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)
Evan S. Posner, 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) 515-3289
Date of fiscal year end: June 30
Date of reporting period: June 30, 2022
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 Tax Managed Large Cap Fund Bridge Builder Small/Mid Cap Growth Fund Bridge Builder Small/Mid Cap Value Fund Bridge Builder Tax Managed Small/Mid Cap Fund Bridge Builder International Equity Fund Bridge Builder Tax Managed International Equity Fund
Table of Contents
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| | | Annual Report • June 30, 2022 |
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, 2022. 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 overall Fund costs compared to Morningstar® category averages. As a result, your ownership of the Funds as part of 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 and addition of new Funds to the series. In September of 2021, Victory Capital Management, Inc. and Driehaus Capital Management were added as sub-advisers to the Bridge Builder Small/Mid Cap Growth Fund. In October of 2021, BlackRock Investment Management, LLC replaced T. Rowe Price Associates, Inc. as a sub-adviser to the Bridge Builder Core Plus Bond Fund. In June of 2022, Bridge Builder added three Funds to the series: the Bridge Builder Tax Managed Large Cap Fund, the Bridge Builder Tax Managed Small/Mid Cap Fund, and the Bridge Builder Tax Managed International Equity 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,
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John Tesoro Chairman, Bridge Builder Trust |
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Tom Kersting President, Olive Street Investment Advisers, LLC Principal, Edward Jones Investment and Protection Products |
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| Annual Report • June 30, 2022 | | 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 -10.36% during the fiscal year ended June 30, 2022. The Fund marginally underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -10.29% over the same period.
The fiscal year was a challenging period for fixed income assets, as U.S. Treasury rates rose materially throughout the period. The second half of 2021 and first half of 2022 saw the U.S. economy shift from record levels of monetary and fiscal policy support following the COVID-19 pandemic to the U.S. Federal Reserve (the “Fed”) seeking to control elevated inflation prints and rising inflation expectations, driven by supply and demand imbalances related to the pandemic and other events, including Russia’s invasion of Ukraine, and an attempted orchestration of a “soft-landing”. The Fed took an increasingly hawkish stance throughout the fiscal period, pulling forward its rate hike projections in response to persistently higher inflation expectations and ultimately introduced rate hikes beginning with a 25 basis points (“bps”, 1bps equals 0.01%) increase and then another 50bps in March and May, respectively. A particularly large year-over-year inflation print in early June 2022 spurred the Fed to take more dramatic action, raising rates by 75bps – marking the largest rate hike since 1994. Altogether, the 10-Year U.S. Treasury rate rose from 1.45% on June 30, 2021 to 2.98% at the end of the fiscal period on June 30, 2022, pushing all fixed income sectors into negative territory for the period.
As a result, the Bloomberg U.S. Aggregate Bond Index, an index measuring the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market marked its largest one-year loss in its history. At the same time, corporate credit spreads widened over the period, leading to larger losses in U.S. investment-grade and high-yield corporate bonds and other credit-sensitive areas of the market. Developed non-U.S. and emerging markets experienced similar, albeit deeper, drawdowns over the same period while the U.S. dollar appreciated relative to most other developed-markets currencies.
Against this backdrop, the Fund underperformed its benchmark by 0.07% over the fiscal year. The underperformance was primarily driven by an underweight to U.S. Treasuries and an overweight to corporate bonds. Security selection within those sectors in addition to commercial mortgage-backed securities were also detractors from relative performance. The Fund’s lower sensitivity to interest rates compared to the benchmark throughout most of the period amid a sell-off in interest-rate sensitive assets was the most significant contributor over the fiscal year, largely offsetting negative results realized elsewhere in the portfolio.
Investment Sub-advisers
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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. |
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| 2 | | Annual Report • June 30, 2022 |
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, 2022 as compared with the Bloomberg Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Bloomberg U.S. Aggregate Bond Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (10/28/2013) | |
Bridge Builder Core Bond Fund | | | -10.36 | % | | | 1.32 | % | | | 2.11 | % |
Bloomberg U.S. Aggregate Bond Index | | | -10.29 | % | | | 0.88 | % | | | 1.69 | % |
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 0.35%(1) and 0.14%(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)
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| Security Type Breakdown | | (% of Investments) | |
Mortgage-Backed Obligations | | | 33.7 | % |
Corporate Bonds | | | 27.6 | |
Government Related | | | 23.5 | |
Asset-Backed Obligations | | | 10.9 | |
Short-Term Investments | | | 4.3 | |
Preferred Stocks | | | 0.0 | * |
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| Annual Report • June 30, 2022 | | 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 in fixed-income securities issued or guaranteed by the U.S. government or its agencies, corporate bonds, convertible securities, corporate commercial paper, asset-backed securities, including collateralized loan obligations and other collateralized debt obligations, privately-issued securities, floating rate securities, inflation-linked securities and other inflation-indexed bonds issued both by governments and corporations, structured 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 may buy or sell futures, swaps, or forward contracts to gain or hedge exposure to risk factors or to alter the Fund’s investment characteristics. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned -10.59% during the fiscal year ended June 30, 2022. The Fund modestly underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -10.29% during the same period.
The fiscal year was a challenging period for fixed income assets, as U.S. Treasury rates rose materially throughout the period. The second half of 2021 and first half of 2022 saw the U.S. economy shift from record levels of monetary and fiscal policy support following the COVID-19 pandemic to the Fed seeking to control elevated inflation prints and rising inflation expectations, driven by supply and demand imbalances related to the pandemic and other events, including Russia’s invasion of Ukraine, and an attempted orchestration of a “soft-landing”. The Fed took an increasingly hawkish stance throughout the fiscal period, pulling forward its rate hike projections in response to persistently higher inflation expectations and ultimately introduced rate hikes beginning with a 25bps increase and then another 50bps in March and May, respectively. A particularly large year-over-year inflation print in early June 2022 spurred the Fed to take more dramatic action, raising rates by 75bps – marking the largest rate hike since 1994. Altogether, the 10-Year U.S. Treasury rate rose from 1.45% on June 30, 2021 to 2.98% at the end of the fiscal period on June 30, 2022, pushing all fixed income sectors into negative territory for the period.
As a result, the Bloomberg U.S. Aggregate Bond Index, an index measuring the investment grade, US dollar-denominated, fixed-rate taxable bond market marked its largest one-year loss in its history. At the same time, corporate credit spreads widened over the period, leading to larger losses in U.S. investment-grade and high-yield corporate bonds and other credit-sensitive areas of the market. Developed non-U.S. and emerging markets experienced similar, albeit deeper, drawdowns over the same period while the U.S. dollar appreciated relative to most other developed-markets currencies.
Against this backdrop, the Fund underperformed its benchmark by 0.30% over the fiscal year. The Fund’s overweight to credit sensitive sectors such as investment-grade and below-investment grade corporate bonds, emerging market bonds, as well as non-agency mortgage-backed securities and asset-backed securities weighed modestly on relative returns as spreads widened, particularly in the first half of 2022. The Fund’s lower duration compared to the benchmark helped offset losses elsewhere as interest rates rose materially and more interest-rate sensitive instruments sold off to a larger degree during the fiscal year.
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| 4 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Investment Sub-advisers
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| 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. | | BlackRock Investment Management, LLC will buy or sell securities whenever its portfolio management team sees an appropriate opportunity. Under normal circumstances, BlackRock invests primarily in fixed income securities and derivatives with similar economic characteristics. | | 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. |
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| Annual Report • June 30, 2022 | | 5 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Core Plus Bond
Fund from its inception (July 13, 2015) to June 30, 2022 as compared with the Bloomberg U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Bloomberg U.S. Aggregate Bond Index
Average Annual Total Returns of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (7/13/2015) | |
Bridge Builder Core Plus Bond Fund | | | -10.59 | % | | | 1.63 | % | | | 2.06 | % |
Bloomberg U.S. Aggregate Bond Index | | | -10.29 | % | | | 0.88 | % | | | 1.48 | % |
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 0.15%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
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| Security Type Breakdown | | (% of Investments) | |
Corporate Bonds | | | 29.2 | % |
Mortgage-Backed Obligations | | | 26.8 | |
Government Related | | | 21.6 | |
Asset-Backed Obligations | | | 10.4 | |
Short-Term Investments | | | 10.2 | |
Bank Loans | | | 1.2 | |
Convertible Securities | | | 0.2 | |
Convertible Preferred Stocks | | | 0.2 | |
Common Stocks | | | 0.1 | |
Preferred Stocks | | | 0.1 | |
Warrants | | | 0.0 | * |
Rights | | | — | ** |
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| 6 | | Annual Report • June 30, 2022 |
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 -7.73% during the fiscal year ended June 30, 2022. The Fund underperformed its benchmark, the Bloomberg Municipal 1-15 Year Index, which returned -6.53% during the same period.
The fiscal year was a challenging period for fixed income assets, as U.S. Treasury rates rose materially throughout the period. The second half of 2021 and first half of 2022 saw the U.S. economy shift from record levels of monetary and fiscal policy support following the COVID-19 pandemic to the Fed seeking to control elevated inflation prints and rising inflation expectations, driven by supply and demand imbalances related to the pandemic and other events, including Russia’s invasion of Ukraine, and an attempted orchestration of a “soft-landing”. The Fed took an increasingly hawkish stance throughout the fiscal period, pulling forward its rate hike projections in response to persistently higher inflation expectations and ultimately introduced rate hikes beginning with a 25bps increase and then another 50bps in March and May, respectively. A particularly large year-over-year inflation print in early June 2022 spurred the Fed to take more dramatic action, raising rates by 75bps – marking the largest rate hike since 1994. Altogether, the 10-Year U.S. Treasury rate rose from 1.45% on June 30, 2021 to 2.98% at the end of the fiscal period on June 30, 2022, pushing all fixed income sectors into negative territory for the period. Municipal bond yields followed suit during the period, as reduced growth expectations, higher inflation and less advantageous supply and demand dynamics later in the period resulted in higher yields and losses across the municipal bond market.
Against this backdrop, the Fund underperformed its benchmark by 1.20% for the fiscal year. The Fund’s underperformance was largely driven by its overall longer duration positioning and overweight to lower quality municipal bonds relative to the Index. Both were headwinds as interest rates shifted meaningfully higher and lower-quality issues suffered greater losses compared to higher-quality segments of the market for the full period.
Investment Sub-advisers
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| 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. |
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| Annual Report • June 30, 2022 | | 7 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Municipal Bond
Fund from its inception (September 14, 2015) to June 30, 2022 as compared with the Bloomberg Municipal 1-15 Year Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Bloomberg Municipal 1-15 Year Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (9/14/2015) | |
Bridge Builder Municipal Bond Fund | | | -7.73 | % | | | 1.53 | % | | | 1.87 | % |
Bloomberg Municipal 1-15 Year Index | | | -6.53 | % | | | 1.47 | % | | | 1.85 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.38%(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.
Portfolio Characteristics (3)
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| Security Type Breakdown | | (% of Investments) | |
General Revenue | | | 28.4 | % |
General Obligation | | | 17.6 | |
Transportation | | | 15.9 | |
Healthcare | | | 12.8 | |
Utilities | | | 8.7 | |
Education | | | 8.1 | |
Housing | | | 6.3 | |
Short-Term Investments | | | 2.2 | |
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| Breakdown by State | | (% of Long-Term Investments) | |
New York | | | 10.6 | % |
Texas | | | 8.5 | |
Illinois | | | 8.4 | |
California | | | 7.4 | |
Florida | | | 5.6 | |
Pennsylvania | | | 4.2 | |
New Jersey | | | 4.0 | |
Michigan | | | 3.2 | |
Georgia | | | 3.0 | |
Washington | | | 3.0 | |
Other | | | 42.1 | |
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| 8 | | Annual Report • June 30, 2022 |
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, 2022, the Fund returned -20.83%, underperforming its benchmark, the Russell 1000® Growth Index, which returned -18.77%.
For the year, within large-capitalization growth stocks, energy and consumer staples led the broad market and were the only two positive returning sectors. Conversely, communication services, consumer discretionary and materials were the worst-performing sectors, trailing the broader market over the past year. 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 stock selection within the technology sector. Stock selection within communication services was also another headwind to performance. Poor stock selection within these two sectors was meaningfully attributable to the strong performance of benchmark’s largest holdings. These holdings have become significantly concentrated relative to history, which has led to underweight positions within the Fund.
Investment Sub-advisers
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| 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. |
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| Annual Report • June 30, 2022 | | 9 |
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, 2022 as compared with the Russell 1000® Growth Index
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Russell 1000® Growth Index
Average Total Annual Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Growth Fund | | | -20.83 | % | | | 12.32 | % | | | 10.91 | % |
Russell 1000® Growth Index | | | -18.77 | % | | | 14.29 | % | | | 12.76 | % |
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 0.45%(1) and 0.19%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Information Technology | | | 30.0 | % |
Healthcare | | | 19.7 | |
Consumer Discretionary | | | 13.8 | |
Financials | | | 9.3 | |
Communication Services | | | 8.8 | |
Consumer Staples | | | 4.1 | |
Materials | | | 4.0 | |
Industrials | | | 3.8 | |
Short-Term Investments | | | 2.7 | |
Real Estate | | | 2.4 | |
Energy | | | 1.4 | |
Utilities | | | 0.0 | * |
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| Top Ten Equity Holdings | | (% of Net Assets) | |
Microsoft Corp. | | | 6.7 | % |
Amazon.com, Inc. | | | 4.9 | |
Visa, Inc. – Class A | | | 3.7 | |
UnitedHealth Group, Inc. | | | 3.2 | |
Alphabet, Inc. Class A | | | 3.0 | |
Danaher Corp. | | | 2.7 | |
Apple, Inc. | | | 2.4 | |
Salesforce, Inc. | | | 2.4 | |
Alphabet, Inc. – Class C | | | 2.2 | |
Thermo Fisher Scientific, Inc. | | | 2.1 | |
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| 10 | | Annual Report • June 30, 2022 |
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, 2022, the Fund returned -5.27%, outperforming its benchmark, the Russell 1000® Value Index, which returned -6.82%.
For the year, within large-capitalization value stocks, energy, utilities, health care and consumer staples sectors performed best and were the only positive performing sectors during the time period. Conversely, communication services, technology and consumer discretionary were the worst-performing sectors over the trailing year. 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 outperformance was driven predominantly by strong stock selection within the industrials, technology and consumer discretionary sectors. An underweight allocation to energy and overweight allocation to consumer discretionary were the largest headwinds for the Fund during the year. Given the strong performance over the trailing year, cash drag was a meaningful headwind to relative performance versus the index.
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 invests in companies that are temporarily undervalued for reasons Barrow Hanley can identify, understand, and believe will improve over time. In its valuation framework, Barrow Hanley strives to construct portfolios that trade at levels below the market across multiple metrics, such as the price-to-earnings and the price-to-book ratios, while simultaneously delivering an above-market dividend yield. | | 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. | | | | |
| | |
| Annual Report • June 30, 2022 | | 11 |
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, 2022 as compared with the Russell 1000® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Russell 1000® Value Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Value Fund | | | -5.27 | % | | | 9.54 | % | | | 9.07 | % |
Russell 1000® Value Index | | | -6.82 | % | | | 7.17 | % | | | 7.30 | % |
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 0.45%(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) | |
Healthcare | | | 17.0 | % |
Financials | | | 15.7 | |
Industrials | | | 14.5 | |
Information Technology | | | 9.9 | |
Consumer Discretionary | | | 9.0 | |
Consumer Staples | | | 8.0 | |
Communication Services | | | 7.2 | |
Energy | | | 5.0 | |
Materials | | | 4.6 | |
Utilities | | | 3.9 | |
Real Estate | | | 3.4 | |
Short-Term Investments | | | 1.8 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Merck & Co., Inc. | | | 2.0 | % |
Comcast Corp. – Class A | | | 1.6 | |
Raytheon Technologies Corp. | | | 1.5 | |
Northrop Grumman Corp. | | | 1.5 | |
Medtronic Plc | | | 1.5 | |
UnitedHealth Group, Inc. | | | 1.5 | |
Philip Morris International, Inc. | | | 1.4 | |
Chubb Ltd. | | | 1.3 | |
Visa, Inc. – Class A | | | 1.2 | |
Johnson & Johnson | | | 1.1 | |
| | |
| 12 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed Large Cap Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of Bridge Builder Tax Managed Large Cap Fund (the “Fund”) is to seek to provide a tax-efficient investment return consisting of capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell 1000® Index. The Fund seeks to manage the impact of taxes through its use of a tax overlay manager. The Fund employs a multi-manager sub-advised structure and implements the investment recommendations of the Fund’s sub-advisers through the use of Parametric Portfolio Associates LLC (“Parametric”) as overlay manager, as described in greater detail below. As overlay manager, Parametric has limited authority to vary from the model portfolios provided by the Fund’s sub-advisers, primarily for the purpose of efficient tax management of the Fund’s securities transactions.
Investment Commentary
For the period June 1, 2022 thru June 30, 2022 on a pre-tax basis, the Fund returned -6.90%, outperforming its benchmark, the S&P 500 Index, which returned -7.57% for the period.
For the one month period, within domestic equities, large-capitalization companies outperformed both mid- and small-capitalization companies. In addition, growth stocks outperformed value stocks across the market-cap spectrum. Value’s underperformance was predominantly driven by the underperformance of energy relative to the broader market. The Fund’s underweight position to this sector was a tailwind during the period. Further supporting the outperformance, active management performed better in June’s market downturn as the Morningstar Category average outperformed the S&P 500 Index. Strong stock selection within the technology sector further aided the Fund’s outperformance.
Investment Sub-advisers
| | | | | | |
T. Rowe Price Associates, Inc. seeks long-term capital appreciation and recommends primarily large-capitalization companies with above-average rate of earnings and cash flow growth, as well as companies that T. Rowe Price believes have the ability to sustain earnings momentum even during times of slow economic growth. | | ClearBridge Investments, LLC seeks long-term appreciation of capital with individual company selection and management of cash reserves. ClearBridge recommends primarily medium capitalization and large-capitalization U.S. companies, but may also recommend small-capitalization companies and foreign companies, selecting from among a strong core of growth and value stocks consisting primarily of blue-chip companies dominant in their industries. ClearBridge may also recommend companies with prospects for sustained earnings growth and/or a cyclical earnings record. | | Barrow, Hanley, Mewhinney & Strauss, LLC invests in companies that are temporarily undervalued for reasons Barrow Hanley can identify, understand, and believe will improve over time. In its valuation framework, Barrow Hanley strives to construct portfolios that trade at levels below the market across multiple metrics (e.g., price/earnings, price/book value) while simultaneously delivering an above-market dividend yield. | | Parametric Portfolio Associates LLC serves as the Fund’s overlay manager and also serves as the Fund’s direct indexing manager. As the Fund’s direct indexing manager, Parametric manages one or more allocated portions of the Fund pursuant to a strategy that is designed to provide similar exposure to the S&P 500® Growth Index and S&P 500® Value Index. As the Fund’s overlay manager, Parametric implements a portfolio that represents the aggregation of the model portfolios of the Fund’s sub-advisers, including with respect to each direct indexing portion of the Fund, at weightings set by Olive Street Investment Advisers, LLC, the Fund’s investment adviser. In this role, Parametric manages the impact of taxes by, among other things, selling stocks with the lowest tax cost first, opportunistically harvesting losses and deferring recognition of taxable gains, where possible. |
| | |
| Annual Report • June 30, 2022 | | 13 |
Bridge Builder Tax Managed Large Cap 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 Tax Managed Large Cap Fund from its inception (June 1, 2022) to June 30, 2022 as compared with the S&P 500 Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
S&P 500 Index
Average Total Annual Returns as of June 30, 2022
| | | | |
| | | Since Inception (6/1/2022) | |
Bridge Builder Tax Managed Large Cap Fund | | | -6.90 | % |
S&P 500 Index | | | -7.57 | % |
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 0.49%(1) and 0.34%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Information Technology | | | 23.8 | % |
Healthcare | | | 15.4 | |
Consumer Discretionary | | | 10.9 | |
Financials | | | 9.9 | |
Communication Services | | | 9.8 | |
Industrials | | | 8.2 | |
Materials | | | 4.6 | |
Energy | | | 4.3 | |
Short-Term Investments | | | 4.1 | |
Consumer Staples | | | 3.9 | |
Real Estate | | | 2.6 | |
Utilities | | | 2.5 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Microsoft Corp. | | | 6.0 | % |
Apple, Inc. | | | 4.1 | |
Amazon.com, Inc. | | | 3.1 | |
Alphabet, Inc. – Class A | | | 2.9 | |
UnitedHealth Group, Inc. | | | 2.9 | |
Alphabet, Inc. – Class C | | | 1.5 | |
Visa, Inc. – Class A | | | 1.5 | |
Merck & Co., Inc. | | | 1.4 | |
Raytheon Technologies Corp. | | | 1.3 | |
Berkshire Hathaway, Inc. – Class B | | | 1.2 | |
| | |
| 14 | | Annual Report • June 30, 2022 |
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, 2022, the Fund returned -27.88%, while its benchmark, the Russell 2500® Growth Index, returned -31.81% for the period, which resulted in overall outperformance.
For the year, mid-capitalization stocks outperformed small-capitalization stocks. Within the investment universe, strongest performers included the energy and utilities sectors. The healthcare 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 outperformance was driven by the overweight to mid-cap stocks, favorable sector allocation and strong stock selection within certain sectors. An overweight to financials and an underweight to health care contributed to performance, which was partially offset by an underweight to energy and real estate. Stock selection within health care, financials, and consumer staples sectors also contributed to performance. Cash exposure was also a tailwind to the Fund’s performance over the year.
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. | | Driehaus Capital Management LLC primarily invests in the equity securities of U.S. small-capitalization and U.S. medium capitalization companies. Driehaus believes that fundamentally strong companies are more likely to generate superior earnings growth on a sustained basis and are more likely to experience positive earnings revisions. Investment decisions involve evaluating a company’s competitive position and industry dynamics, identifying potential growth catalysts and assessing the financial position of the company. | | Victory Capital Management Inc. primarily invests in the equity securities of U.S. small-capitalization companies. Victory Capital employs both fundamental analysis and quantitative screening in seeking to identify companies that it believes will produce sustainable earnings growth over a multi-year horizon. Valuation is an integral part of the growth investment process and decisions are based on the team’s expectation of the potential reward relative to risk of each security. |
| 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. | | | | | | |
| | |
| Annual Report • June 30, 2022 | | 15 |
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, 2022 as compared with the Russell 2500® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Russell 2500® Growth Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Growth Fund | | | -27.88 | % | | | 8.54 | % | | | 8.04 | % |
Russell 2500® Growth Index | | | -31.81 | % | | | 7.53 | % | | | 6.92 | % |
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 0.37%(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.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Healthcare | | | 22.9 | % |
Information Technology | | | 22.6 | |
Industrials | | | 15.5 | |
Financials | | | 10.7 | |
Consumer Discretionary | | | 10.1 | |
Consumer Staples | | | 4.3 | |
Communication Services | | | 3.7 | |
Short-Term Investments | | | 3.5 | |
Materials | | | 3.1 | |
Energy | | | 2.5 | |
Real Estate | | | 1.0 | |
Utilities | | | 0.1 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Veeva Systems, Inc. – Class A | | | 1.5 | % |
Catalent, Inc. | | | 1.3 | |
Argenx SE – ADR | | | 1.0 | |
Tradeweb Markets, Inc. – Class A | | | 1.0 | |
Generac Holdings, Inc. | | | 1.0 | |
Zscaler, Inc. | | | 1.0 | |
Synopsys, Inc. | | | 1.0 | |
Fortive Corp. | | | 1.0 | |
SVB Financial Group | | | 0.9 | |
Ulta Beauty, Inc. | | | 0.8 | |
ADR – American Depositary Receipt
| | |
| 16 | | Annual Report • June 30, 2022 |
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, 2022, the Fund returned -10.21%, outperforming its benchmark, the Russell 2500® Value Index, which returned -13.19% for the period.
For the year, mid-capitalization stocks outperformed small-capitalization stocks. Within the investment universe, strongest performers included the energy and utilities sectors. The communication services 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 outperformance was driven by the overweight to mid-cap stocks, favorable sector allocation, and strong stock selection within certain sectors. An underweight to communication services and an overweight to utilities contributed to performance, which was partially offset by an overweight to consumer discretionary. Stock selection within consumer discretionary, health care and industrials sectors also contributed to performance. Cash exposure was also a tailwind to the Fund performance over the year.
Investment Sub-advisers
| | | | | | |
| Vaughan Nelson Investment Management, LP 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. |
| 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-capitalization 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. |
| | |
| Annual Report • June 30, 2022 | | 17 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Value Fund from its inception (April 27, 2015) to June 30, 2022 as compared with the Russell 2500® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Russell 2500® Value Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Value Fund | | | -10.21 | % | | | 6.39 | % | | | 6.23 | % |
Russell 2500® Value Index | | | -13.19 | % | | | 5.54 | % | | | 6.14 | % |
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 0.40%(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 | | | 20.1 | % |
Industrials | | | 15.9 | |
Consumer Discretionary | | | 11.1 | |
Healthcare | | | 9.5 | |
Information Technology | | | 9.2 | |
Materials | | | 6.8 | |
Utilities | | | 6.6 | |
Real Estate | | | 6.0 | |
Energy | | | 5.8 | |
Consumer Staples | | | 4.1 | |
Short-Term Investments | | | 2.7 | |
Communication Services | | | 1.8 | |
Exchange Traded Funds | | | 0.4 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Nexstar Media Group, Inc. – Class A | | | 0.8 | % |
Motorola Solutions, Inc. | | | 0.8 | |
Vistra Corp. | | | 0.7 | |
Evergy, Inc. | | | 0.7 | |
Ameriprise Financial, Inc. | | | 0.6 | |
Avantor, Inc. | | | 0.6 | |
Pioneer Natural Resources Co. | | | 0.6 | |
WillScot Mobile Mini Holdings Corp. – Class A | | | 0.6 | |
Ameren Corp. | | | 0.6 | |
CMS Energy Corp. | | | 0.6 | |
| | |
| 18 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed Small/Mid Cap Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of Bridge Builder Tax Managed Small/Mid Cap Fund (the “Fund”) is to seek to provide a tax-efficient investment return consisting of capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of small and mid-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell Midcap® Index and the Russell 2000® Index. The Fund seeks to manage the impact of taxes through its use of a tax overlay manager. The Fund employs a multi-manager sub-advised structure and implements the investment recommendations of the Fund’s sub-advisers through the use of Parametric Portfolio Associates LLC (“Parametric”) as overlay manager, as described in greater detail below. As overlay manager, Parametric has limited authority to vary from the model portfolios provided by the Fund’s sub-advisers, primarily for the purpose of efficient tax management of the Fund’s securities transactions.
Investment Commentary
For the period June 1, 2022 thru June 30, 2022 on a pre-tax basis, the Fund returned -7.10%, outperforming its benchmark, the Russell 2500® Index, which returned -8.90% for the period.
For the one month period within domestic equities, results were mixed within the small-, small/mid and mid-capitalization companies during the period. The modest outperformance of mid-capitalization companies relative to small/mid provided a tailwind for the Fund. Growth stocks outperformed value stocks across the market-cap spectrum. Like the large-capitalization companies, energy was the worst performing sector within the Russell 2500® Index during the period. The Fund’s underweight position in energy was an additional tailwind during the period.
Investment Sub-advisers
| | | | | | |
| Goldman Sachs Asset Management, L.P. seeks long-term growth of capital and recommends primarily small-capitalization and medium capitalization U.S. companies, but may also recommend foreign companies. Goldman Sachs utilizes a fundamental process to evaluate companies based on specific characteristics it believes indicate a high-quality business with sustainable growth. These specific characteristics include strong business franchises, favorable long-term prospects, and excellent management. Goldman Sachs also considers the valuation of a company in recommending its purchase or sale. | | J.P. Morgan Investment Management Inc. recommends investments primarily in medium capitalization companies and seeks growth companies with leading competitive positions that can achieve sustainable growth. J.P. Morgan employs a fundamental bottom-up investment process that combines research, valuation, and stock selection to identify companies that have a history of above-average growth or which it believes will achieve above-average growth in the future. | | Neuberger Berman Investment Advisers LLC seeks to recommend investments mainly in small and medium capitalization U.S. companies, but may also recommend foreign companies. Neuberger Berman focuses on companies that it believes to be high quality companies that have strong current market shares and balance sheets, and whose financial strength is largely based on existing business lines rather than future business prospects. Factors in identifying these companies may include: a history of above-average returns, an established market niche, circumstances that would make it difficult for new competitors to enter the market, the ability to finance their own growth, and/or a belief by Neuberger Berman that the company has sound future business prospects. | | AllianceBernstein L.P. recommends primarily small and medium capitalization U.S. companies that it believes are undervalued by using AllianceBernstein’s fundamental value approach. In making recommendations, AllianceBernstein uses its fundamental and quantitative research to identify companies whose long-term earnings power is not reflected in the current market price of their securities. |
| | | | | Neuberger Berman seeks to diversify among many companies and industries, but, at times, may emphasize certain sectors that it believes will benefit from market or economic trends. | | |
| | |
| Annual Report • June 30, 2022 | | 19 |
Bridge Builder Tax Managed Small/Mid Cap Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
| | | | | | |
| Allspring Global Investments, LLC recommends primarily medium capitalization companies that it believes are undervalued, have the potential for above average capital appreciation with below average risk, and that possess a long-term competitive advantage provided by a durable asset base, strong balance sheets, and sustainable cash flows. Typical recommendations by Allspring include stocks of companies that are generally out of favor in the marketplace or are undergoing reorganization or other corporate action that may create above-average price appreciation. | | Parametric Portfolio Associates LLC serves as the Fund’s overlay manager and also serves as the Fund’s direct indexing manager. As the Fund’s direct indexing manager, Parametric manages one or more allocated portions of the Fund pursuant to a strategy that is designed to provide similar exposure to the Russell Midcap® Growth Index, Russell Midcap® Value Index, Russell 2000® Growth Index and Russell 2000® Value Index. As the Fund’s overlay manager, Parametric implements a portfolio that represents the aggregation of the model portfolios of the Fund’s sub-advisers, including with respect to each direct indexing portion of the Fund, at weightings set by Olive Street Investment Advisers, LLC, the Fund’s investment adviser. In this role, Parametric manages the impact of taxes by, among other things, selling stocks with the lowest tax cost first, opportunistically harvesting losses and deferring recognition of taxable gains, where possible. | | | | |
| | |
| 20 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed Small/Mid Cap 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 Tax Managed Small/Mid Cap Fund from its inception (June 1, 2022) to June 30, 2022 as compared with the Russell 2500® Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
Russell 2500® Index
Average Annual Total Returns as of June 30, 2022
| | | | |
| | | Since Inception (6/01/2022) | |
Bridge Builder Tax Managed Small/Mid Cap Fund | | | -7.10 | % |
Russell 2500® Index | | | -8.90 | % |
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 0.75%(1) and 0.54%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Industrials | | | 19.5 | % |
Information Technology | | | 17.1 | |
Financials | | | 14.6 | |
Healthcare | | | 13.5 | |
Consumer Discretionary | | | 11.6 | |
Materials | | | 4.2 | |
Real Estate | | | 4.0 | |
Energy | | | 4.0 | |
Consumer Staples | | | 3.8 | |
Utilities | | | 2.7 | |
Short-Term Investments | | | 2.7 | |
Communication Services | | | 2.1 | |
Exchange Traded Funds | | | 0.2 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Carlisle Companies, Inc. | | | 0.8 | % |
RBC Bearings, Inc. | | | 0.8 | |
Jacobs Engineering Group, Inc. | | | 0.7 | |
Arch Capital Group Ltd. | | | 0.7 | |
Novanta, Inc. | | | 0.7 | |
LKQ Corp. | | | 0.7 | |
Toro Co. | | | 0.7 | |
Church & Dwight Co., Inc. | | | 0.6 | |
Republic Services, Inc. – Class A | | | 0.6 | |
Lattice Semiconductor Corp. | | | 0.6 | |
| | |
| Annual Report • June 30, 2022 | | 21 |
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, 2022, the Fund returned -21.02%, underperforming its benchmark, the MSCI EAFE Index, which returned -17.77% for the period.
For the year, the U.S. dollar generally appreciated versus the currencies of other developed regions, detracting from the returns of international securities for U.S. investors. Emerging markets performance was weaker than developed markets. In developed markets, value stocks outperformed growth stocks and large-capitalization stocks outperformed small-capitalization stocks. Information technology and consumer discretionary struggled over the year, while energy and health care performed the strongest.
Compared to its benchmark, the Fund’s relative underperformance was driven by sector allocation, weak stock selection and an exposure to emerging markets. Overweight to consumer discretionary and information technology detracted from performance. Weak stock selection, particularly in consumer discretionary, materials and health care detracted from relative returns and offset the stronger stock selection in financials.
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. |
| 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. |
| | |
| 22 | | Annual Report • June 30, 2022 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder International Equity Fund from its inception (July 6, 2015) to June 30, 2022 as compared with the MSCI EAFE Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
MSCI EAFE Index
Average Annual Total Returns as of June 30, 2022
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (7/06/2015) | |
Bridge Builder International Equity Fund | | | -21.02 | % | | | 2.95 | % | | | 3.88 | % |
MSCI EAFE Index | | | -17.77 | % | | | 2.20 | % | | | 2.88 | % |
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 0.32%(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) | |
Industrials | | | 16.1 | % |
Financials | | | 15.4 | |
Consumer Discretionary | | | 15.2 | |
Healthcare | | | 13.9 | |
Information Technology | | | 10.8 | |
Consumer Staples | | | 8.8 | |
Communication Services | | | 6.2 | |
Materials | | | 4.4 | |
Energy | | | 4.2 | |
Utilities | | | 2.9 | |
Short-Term Investments | | | 1.9 | |
Real Estate | | | 0.2 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Shell Plc | | | 1.5 | % |
United Overseas Bank Ltd. | | | 1.3 | |
Sanofi | | | 1.2 | |
BP Plc | | | 1.2 | |
Honda Motor Co. Ltd. | | | 1.2 | |
AIA Group Ltd. | | | 1.2 | |
Takeda Pharmaceutical Co. Ltd. | | | 1.2 | |
Nippon Telegraph & Telephone Corp. | | | 1.1 | |
Tesco Plc | | | 1.1 | |
Novartis AG | | | 1.1 | |
| | |
| Annual Report • June 30, 2022 | | 23 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
| | | | |
| Country Breakdown | | (% of Long-Term Investments) | |
Japan | | | 20.7 | % |
United Kingdom | | | 18.7 | |
France | | | 8.2 | |
Switzerland | | | 6.2 | |
Germany | | | 5.5 | |
Netherlands | | | 4.1 | |
Hong Kong | | | 3.8 | |
China | | | 3.5 | |
Sweden | | | 3.2 | |
Italy | | | 3.2 | |
Other | | | 22.9 | |
| | |
| 24 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed International Equity Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Tax Managed International Equity Fund (the “Fund”) is to seek to provide a tax-efficient investment return consisting of 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 and seeks to manage the impact of taxes through its use of a tax overlay manager. The Fund implements the investment recommendations of the Fund’s sub-advisers through the use of Parametric Portfolio Associates LLC (“Parametric”) as overlay manager, as described in greater detail below. As overlay manager, Parametric has limited authority to vary from the model portfolios provided by the Fund’s sub-advisers, primarily for the purpose of efficient tax management of the Fund’s securities transactions.
Investment Commentary
For the period June 1, 2022 thru June 30, 2022 on a pre-tax basis, the Fund returned -8.80%, underperforming its benchmark, the MSCI EAFE Index, which returned -8.59% for the period.
For the one month period, the U.S. dollar generally appreciated versus the currencies of other developed regions, detracting from the returns of international securities for U.S. investors. Generally, U.S. exposures contributed to performance. Emerging markets performance, specifically China, was also stronger than developed markets and also contributed to performance. In developed markets, growth stocks outperformed value stocks, and large-capitalization stocks outperformed small-capitalization stocks. Information technology and materials struggled over the period, while consumer staples and health care performed the strongest.
Investment Sub-advisers
| | | | |
| Pzena Investment Management, LLC focuses on deep value investing, seeking to identify international companies that are trading at prices substantially below their intrinsic value but have solid long-term prospects. | | T. Rowe Price Associates, Inc. seeks long-term growth of capital through investments in non-U.S. companies. T. Rowe Price recommends investments in companies with a favorable combination of growth prospects and valuation. Several of the characteristics T. Rowe Price looks for include accelerating earnings and cash flow growth, reasonable valuation, and barriers to entry at industry and product level. | | Walter Scott & Partners Limited seeks a favorable real rate of return over the long term. Walter Scott seeks companies that perform relatively well and grow to a higher weight in the strategy based on fundamental company analysis and a bottom-up research process. Walter Scott recommends the purchase of these companies with no near-term expectation of recommending the sale of such companies. Walter Scott’s approach expects the strategy to realize low portfolio turnover. |
| Parametric Portfolio Associates LLC serves as the Fund’s overlay manager and also serves as the Fund’s direct indexing manager. As the Fund’s direct indexing manager, Parametric manages one or more allocated portions of the Fund pursuant to a strategy that is designed to provide similar exposure to the MSCI EAFE Growth Index and the MSCI EAFE Value Index. As the Fund’s overlay manager, Parametric implements a portfolio that represents the aggregation of the model portfolios of the Fund’s sub-advisers, including with respect to each direct indexing portion of the Fund, at weightings set by Olive Street Investment Advisers, LLC, the Fund’s investment adviser. In this role, Parametric manages the impact of taxes by, among other things, selling stocks with the lowest tax cost first, opportunistically harvesting losses and deferring recognition of taxable gains, where possible. | | | | |
| | |
| Annual Report • June 30, 2022 | | 25 |
Bridge Builder Tax Managed International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Tax Managed International Equity Fund from its inception (June 1, 2022) to June 30, 2022 as compared with the MSCI EAFE Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2022
vs.
MSCI EAFE Index
Average Annual Total Returns as of June 30, 2022
| | | | |
| | | Since Inception (6/01/2022) | |
Bridge Builder Tax Managed International Equity Fund | | | -8.80 | % |
MSCI EAFE Index | | | -8.59 | % |
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 0.74%(1) and 0.55%(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 | | | 16.6 | % |
Healthcare | | | 15.7 | |
Industrials | | | 15.4 | |
Consumer Discretionary | | | 13.1 | |
Information Technology | | | 11.0 | |
Consumer Staples | | | 9.4 | |
Materials | | | 9.0 | |
Energy | | | 3.5 | |
Communication Services | | | 2.9 | |
Utilities | | | 2.2 | |
Real Estate | | | 0.8 | |
Short-Term Investments | | | 0.4 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Roche Holding AG | | | 2.3 | % |
Nestle SA | | | 2.0 | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 1.5 | |
Novartis AG | | | 1.4 | |
ASML Holding NV | | | 1.2 | |
TotalEnergies SE | | | 1.1 | |
Compass Group Plc | | | 1.1 | |
AIA Group Ltd. | | | 1.1 | |
Diageo Plc | | | 1.1 | |
Novo Nordisk – Class B | | | 1.1 | |
| |
ADR – American Depositary Receipt | | | | |
| | |
| 26 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
| | | | |
| Country Breakdown | | (% of Long-Term Investments) | |
Japan | | | 21.6 | % |
United Kingdom | | | 13.5 | |
France | | | 11.9 | |
Switzerland | | | 10.9 | |
Germany | | | 8.0 | |
Netherlands | | | 4.2 | |
Denmark | | | 4.2 | |
Australia | | | 3.7 | |
Hong Kong | | | 3.0 | |
Canada | | | 3.0 | |
Other | | | 16.0 | |
| | |
| Annual Report • June 30, 2022 | | 27 |
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, 2023 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 U.S. Aggregate Bond Index measures the performance of the U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
Bloomberg Municipal 1-15 Year Index (1-17) is a subset of the Bloomberg Municipal Bond Index covering only maturities between 1 and 17 years. The Bloomberg 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.
| | |
| 28 | | Annual Report • June 30, 2022 |
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® Index measures the performance of the small-to mid-cap segment of the U.S. equity universe.
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.
The S&P 500 Growth Index, an unmanaged index, measures the performance of the large-capitalization growth segment of the U.S. equity market. It consists of those stocks in the S&P 500 Index exhibiting the strongest growth characteristics based on: (i) sales growth; (ii) the ratio of earnings change to price; and (iii) momentum.
The S&P 500 Value Index, an unmanaged index, measures the performance of the large-capitalization value segment of the U.S. equity market. It consists of those stocks in the S&P 500 Index exhibiting the strongest value characteristics based on the ratios of book value, earnings, and sales to price.
| | |
| Annual Report • June 30, 2022 | | 29 |
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, 2022 to June 30, 2022.
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 | | | $ | 896.50 | | | | 0.13 | % | | $ | 0.61 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,024.15 | | | | | | | | 0.65 | |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 892.10 | | | | 0.15 | | | | 0.70 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,024.05 | | | | | | | | 0.75 | |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 919.20 | | | | 0.15 | | | | 0.71 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,024.05 | | | | | | | | 0.75 | |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 728.30 | | | | 0.20 | | | | 0.86 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,023.80 | | | | | | | | 1.00 | |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 886.50 | | | | 0.23 | | | | 1.08 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,023.65 | | | | | | | | 1.15 | |
Bridge Builder Tax Managed Large Cap Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | ** | | | 1,000.00 | | | | 931.00 | | | | 0.51 | | | | 0.39 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,022.27 | | | | | | | | 2.56 | |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 691.30 | | | | 0.40 | | | | 1.68 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,022.81 | | | | | | | | 2.01 | |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | | 1,000.00 | | | | 852.10 | | | | 0.40 | | | | 1.84 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,022.81 | | | | | | | | 2.01 | |
Bridge Builder Tax Managed Small/Mid Cap Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | ** | | | 1,000.00 | | | | 929.00 | | | | 0.73 | | | | 0.56 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,021.17 | | | | | | | | 3.66 | |
| | |
| 30 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Beginning
account value | | | Ending
account value | | | Annualized
Expense Ratio | | | Expenses paid
during the period | |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | * | | $ | 1,000.00 | | | $ | 788.50 | | | | 0.37 | % | | $ | 1.64 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,022.96 | | | | | | | | 1.86 | |
Bridge Builder Tax Managed International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | ** | | | 1,000.00 | | | | 912.00 | | | | 0.67 | | | | 0.51 | |
| | | Hypothetical | * | | | 1,000.00 | | | | 1,021.47 | | | | | | | | 3.36 | |
| * | | 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. |
| ** | | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 29/365 (to reflect the actual period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. Fund inception date was June 1, 2022. |
| | |
| Annual Report • June 30, 2022 | | 31 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
BONDS & NOTES – 98.63% | | | | | | | | |
Asset-Backed Obligations – 11.23% | | | | | | | | |
Various Securities (1)(2)(3)(4)(5)(6) | | $ | 2,008,511 | | | $ | 1,920,279 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 1,920,279 | |
| | | | | | | | |
Corporate Bonds – 28.45% | | | | | | | | |
| Basic Materials – 0.81% | | | | | | | | |
Various Securities (1)(7) | | | 145,662 | | | | 137,802 | |
| | | | | | | | |
Total Basic Materials | | | | 137,802 | |
| | | | | |
| Communications – 2.13% | | | | | | | | |
T-Mobile USA, Inc., 3.88%, Apr. 2030 | | | 44,285 | | | | 41,329 | |
Other Securities (1) | | | 371,362 | | | | 323,276 | |
| | | | | | | | |
Total Communications | | | | 364,605 | |
| | | | | |
| Consumer, Cyclical – 1.73% | | | | | | | | |
Various Securities (1) | | | 328,882 | | | | 295,806 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 295,806 | |
| | | | | |
| Consumer, Non-cyclical – 3.72% | | | | | | | | |
Various Securities (1) | | | 717,099 | | | | 636,482 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 636,482 | |
| | | | | |
| Diversified – 0.02% | | | | | | | | |
Various Securities (1) | | | 3,165 | | | | 3,076 | |
| | | | | | | | |
Total Diversified | | | | 3,076 | |
| | | | | |
| Energy – 2.98% | | | | | | | | |
Various Securities (1) | | | 547,170 | | | | 510,253 | |
| | | | | | | | |
Total Energy | | | | 510,253 | |
| | | | | |
| Financials – 11.02% | | | | | | | | |
Bank of America Corp., 1.53%-7.75%, Dec. 2023-Jul. 2170 (4) | | | 198,351 | | | | 178,135 | |
Other Securities (1)(4)(8) | | | 1,871,903 | | | | 1,706,907 | |
| | | | | | | | |
Total Financials | | | | 1,885,042 | |
| | | | | |
| Industrials – 1.68% | | | | | | | | |
Various Securities (1)(2) | | | 312,629 | | | | 287,053 | |
| | | | | | | | |
Total Industrials | | | | 287,053 | |
| | | | | |
| Technology – 1.54% | | | | | | | | |
Various Securities (1) | | | 301,862 | | | | 262,977 | |
| | | | | | | | |
Total Technology | | | | 262,977 | |
| | | | | |
| Utilities – 2.82% | | | | | | | | |
Various Securities (1)(2)(4) | | | 530,785 | | | | 482,644 | |
| | | | | | | | |
Total Utilities | | | | 482,644 | |
| | | | | |
Total Corporate Bonds | | | | | | | 4,865,740 | |
| | | | | | | | |
Government Related – 24.19% | | | | | | | | |
| Other Government Related – 1.46% | | | | | | | | |
Various Securities (1)(3)(4) | | | 258,559 | | | | 250,457 | |
| | | | | | | | |
Total Other Government Related | | | | 250,457 | |
| | | | | |
| U.S. Treasury Obligations – 22.73% | | | | | | | | |
U.S. Treasury Note/Bond, 0.25%, Sep. 2025 | | | 35,771 | | | | 32,682 | |
U.S. Treasury Note/Bond, 0.38%, Jul. 2024 | | | 83,750 | | | | 79,438 | |
U.S. Treasury Note/Bond, 0.38%, Jan. 2026 | | | 45,164 | | | | 41,068 | |
U.S. Treasury Note/Bond, 0.50%, Feb. 2026 | | | 68,133 | | | | 62,100 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 32 | | Annual Report • June 30, 2022 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| U.S. Treasury Obligations – 22.73% – (continued) | | | | | | | | |
U.S. Treasury Note/Bond, 0.75%, Mar. 2026 (9) | | $ | 141,999 | | | $ | 130,423 | |
U.S. Treasury Note/Bond, 0.75%, Apr. 2026 | | | 50,909 | | | | 46,669 | |
U.S. Treasury Note/Bond, 0.75%, Aug. 2026 | | | 38,265 | | | | 34,830 | |
U.S. Treasury Note/Bond, 0.75%, Jan. 2028 | | | 60,000 | | | | 52,842 | |
U.S. Treasury Note/Bond, 0.88%, Jun. 2026 | | | 64,345 | | | | 59,069 | |
U.S. Treasury Note/Bond, 0.88%, Sep. 2026 | | | 42,561 | | | | 38,870 | |
U.S. Treasury Note/Bond, 1.13%, Oct. 2026 | | | 103,034 | | | | 94,972 | |
U.S. Treasury Note/Bond, 1.13%, Aug. 2028 | | | 234,050 | | | | 208,295 | |
U.S. Treasury Note/Bond, 1.25%, Mar. 2028 | | | 56,535 | | | | 51,076 | |
U.S. Treasury Note/Bond, 1.25%, Jun. 2028 | | | 90,462 | | | | 81,377 | |
U.S. Treasury Note/Bond, 1.25%, Aug. 2031 | | | 67,290 | | | | 57,927 | |
U.S. Treasury Note/Bond, 1.38%, Nov. 2040 | | | 210,649 | | | | 151,708 | |
U.S. Treasury Note/Bond, 1.75%, Dec. 2024 | | | 37,138 | | | | 35,992 | |
U.S. Treasury Note/Bond, 1.75%, Jan. 2029 | | | 82,880 | | | | 76,415 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2027 | | | 44,460 | | | | 42,202 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2032 | | | 74,244 | | | | 67,260 | |
U.S. Treasury Note/Bond, 1.88%, Nov. 2051 | | | 102,096 | | | | 76,604 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | | | 45,425 | | | | 43,431 | |
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | | | 142,371 | | | | 138,667 | |
U.S. Treasury Note/Bond, 2.25%, May 2041 | | | 168,034 | | | | 140,217 | |
U.S. Treasury Note/Bond, 2.25%, Feb. 2052 | | | 62,514 | | | | 51,447 | |
U.S. Treasury Note/Bond, 2.38%, Feb. 2042 | | | 124,141 | | | | 105,268 | |
U.S. Treasury Note/Bond, 2.50%, Feb. 2045 | | | 152,475 | | | | 129,318 | |
U.S. Treasury Note/Bond, 2.50%, May 2046 | | | 38,500 | | | | 32,632 | |
U.S. Treasury Note/Bond, 2.63%, May 2027 | | | 76,051 | | | | 74,613 | |
U.S. Treasury Note/Bond, 2.88%, Apr. 2029 | | | 42,000 | | | | 41,508 | |
U.S. Treasury Note/Bond, 2.88%, May 2032 | | | 124,164 | | | | 122,767 | |
U.S. Treasury Note/Bond, 2.88%, May 2043 | | | 129,960 | | | | 118,507 | |
U.S. Treasury Strip Coupon, 0.00%, Feb. 2032 | | | 46,250 | | | | 34,245 | |
U.S. Treasury Note/Bond, 0.25%-4.75%, Dec. 2022-Aug. 2051 | | | 1,277,251 | | | | 1,136,713 | |
U.S. Treasury Strip Coupon, 0.00%, Aug. 2022-Feb. 2046 | | | 258,471 | | | | 192,527 | |
Other Securities (10) | | | 3,248 | | | | 3,675 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 3,887,354 | |
| | | | | |
Total Government Related | | | | | | | 4,137,811 | |
| | | | | | | | |
Mortgage-Backed Obligations – 34.76% | | | | | | | | |
Fannie Mae, 2.50%, Jul. 2052 (11) | | | 48,570 | | | | 43,671 | |
Fannie Mae, 3.00%, Jul. 2052 (11) | | | 38,105 | | | | 35,482 | |
Fannie Mae, 3.50%, Jul. 2052 (11) | | | 105,790 | | | | 101,732 | |
Fannie Mae, 4.00%, Jul. 2052 (11) | | | 67,340 | | | | 66,402 | |
Fannie Mae, 4.50%, Jul. 2052 (11) | | | 70,320 | | | | 70,586 | |
Fannie Mae Pool, 2.50%, Oct. 2050 (9) | | | 44,500 | | | | 40,149 | |
Fannie Mae Pool, 2.50%, Dec. 2051 | | | 35,699 | | | | 32,196 | |
Fannie Mae Pool, 2.50%, May 2052 | | | 35,789 | | | | 32,341 | |
Fannie Mae Pool, 3.00%, Apr. 2052 | | | 45,853 | | | | 42,887 | |
Freddie Mac Pool, 2.50%, Nov. 2051 | | | 44,271 | | | | 40,094 | |
Freddie Mac Pool, 3.00%, Feb. 2052 | | | 43,365 | | | | 40,444 | |
Freddie Mac Pool, 3.00%, Apr. 2052 | | | 49,353 | | | | 46,044 | |
Freddie Mac Pool, 3.50%, Apr. 2052 | | | 55,175 | | | | 53,196 | |
Ginnie Mae, 2.00%, Jul. 2050 (11) | | | 36,995 | | | | 32,848 | |
Ginnie Mae, 2.50%, Jul. 2052 (11) | | | 57,725 | | | | 52,818 | |
Ginnie Mae II Pool, 2.50%, Aug. 2051 | | | 65,643 | | | | 60,194 | |
Fannie Mae, 2.00%-5.00%, Jun. 2037-Jul. 2052 (11) | | | 78,305 | | | | 72,602 | |
Fannie Mae Pool, 1.46%-8.50%, Nov. 2022-Sep. 2061 (4)(5) | | | 1,556,917 | | | | 1,455,911 | |
Freddie Mac Gold Pool, 2.00%-10.00%, Feb. 2024-Feb. 2048 | | | 217,022 | | | | 214,363 | |
Freddie Mac Multifamily Structured Pass Through Certificates, 0.81%-3.90%, Aug. 2022-Oct. 2033 (5) | | | 435,151 | | | | 172,337 | |
Freddie Mac Pool, 1.50%-4.50%, Aug. 2035-Jun. 2052 | | | 453,491 | | | | 414,950 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 33 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Mortgage-Backed Obligations – 34.76% – (continued) | | | | | | | | |
Ginnie Mae, 3.00%-4.50%, Jul. 2052 (11) | | $ | 55,835 | | | $ | 53,804 | |
Ginnie Mae II Pool, 2.00%-8.50%, Mar. 2025-May 2072 (4)(5)(9) | | | 645,309 | | | | 636,086 | |
Other Securities (1)(2)(3)(4)(5)(6) | | | 2,469,787 | | | | 2,134,479 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 5,945,616 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $18,315,646) | | | | | | | 16,869,446 | |
| | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
PREFERRED STOCKS – 0.01% | | | | | | | | |
| Financials – 0.01% | | | | | | | | |
State Street Corp., 5.35% | | | 95 | | | | 2,366 | |
| | | | | | | | |
Total Financials | | | | 2,366 | |
| | | | | |
Total Preferred Stocks
(Cost: $2,375) | | | | | | | 2,366 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 4.39% | | | | | | | | |
| Money Market Funds – 4.39% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 1.25% (12) | | | 750,007 | | | | 750,007 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 750,007 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.00% (13) | | | | | | | | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 796 | | | | 796 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 22 | | | | 22 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 818 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $750,825) | | | | | | | 750,825 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 103.03%
(Cost: $19,068,846) | | | | | | | 17,622,637 | |
TBA SALE COMMITMENTS – (0.17)% | | | | | | | | |
| Mortgage-Backed Obligations – (0.17)% | | | | | | | | |
Fannie Mae, 2.50%, Jul. 2051 (14) | | | (30,000 | ) | | | (26,974 | ) |
Ginnie Mae, 3.00%, Jul. 2051 (14) | | | (3,000 | ) | | | (2,828 | ) |
| | | | | | | | |
Total TBA Sale Commitments
(Proceeds Received: $(29,753)) | | | | | | | (29,802 | ) |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.86)% | | | | | | | (488,315 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,104,520 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | | 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 $3,451,549, which represents 20.18% of total net assets. |
| (2) | | Includes step-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of June 30, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| 34 | | Annual Report • June 30, 2022 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| (3) | | 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. |
| (4) | | Includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2022. |
| (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, 2022. |
| (6) | | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $40,098, which represents 0.23% of total net assets. |
| (7) | | Includes securities in default as of June 30, 2022. The value of these securities totals $329, which represents 0.00% of total net assets. |
| (8) | | Includes securities restricted at June 30, 2022. The value of the restricted securities totals $5,949, which represents 0.03% of total net assets. |
| (9) | | Assigned as collateral or includes securities assigned as collateral for certain futures contracts. The value of these pledged issues totals $38,485, which represents 0.22% of total net assets. |
| (10) | | Includes inflation protected securities. The value of these securities totals $3,675, which represents 0.02% of total net assets. |
| (11) | | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $529,945, which represents 3.10% of total net assets. |
| (12) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (13) | | Amount calculated is less than 0.005%. |
| (14) | | Delayed delivery sale commitment security. The value of these securities totals $(29,802), which represents (0.17)% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 806 | | U.S. 2 Year Note Future | | | Sep. 2022 | | | $ | 170,021 | | | $ | 169,273 | | | $ | (748 | ) |
| 3,681 | | U.S. 5 Year Note Future | | | Sep. 2022 | | | | 414,417 | | | | 413,192 | | | | (1,225 | ) |
| 775 | | U.S. 10 Year Note Future | | | Sep. 2022 | | | | 91,114 | | | | 91,862 | | | | 748 | |
| 57 | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | 7,395 | | | | 7,260 | | | | (135 | ) |
| 1,470 | | U.S. Ultra Bond Future | | | Sep. 2022 | | | | 230,147 | | | | 226,885 | | | | (3,262 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (4,622 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Number of Contracts
Sold | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (338) | | U.S. Long Bond Future | | | Sep. 2022 | | | $ | (46,322 | ) | | $ | (46,855 | ) | | $ | (533 | ) |
| (10) | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | (1,284 | ) | | | (1,274 | ) | | | 10 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (523 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (5,145 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 35 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
BONDS & NOTES – 97.09% | | | | | | | | |
Asset-Backed Obligations – 11.43% | | | | | | | | |
Various Securities *(1)(2)(3)(4)(5) | | $ | 3,835,893 | | | $ | 3,582,090 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 3,582,090 | |
| | | | | | | | |
Corporate Bonds – 32.14% | | | | | | | | |
| Basic Materials – 0.90% | | | | | | | | |
Various Securities *(1)(2)(6) | | | 314,550 | | | | 280,339 | |
| | | | | | | | |
Total Basic Materials | | | | 280,339 | |
| | | | | |
| Communications – 4.20% | | | | | | | | |
Various Securities *(1)(6)(7)(8) | | | 1,604,794 | | | | 1,315,160 | |
| | | | | | | | |
Total Communications | | | | 1,315,160 | |
| | | | | |
| Consumer, Cyclical – 2.80% | | | | | | | | |
Various Securities *(1)(2)(3)(6) | | | 1,000,094 | | | | 878,743 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 878,743 | |
| | | | | |
| Consumer, Non-cyclical – 3.82% | | | | | | | | |
Various Securities *(1)(2)(6) | | | 1,356,718 | | | | 1,197,622 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 1,197,622 | |
| | | | | |
| Energy – 2.18% | | | | | | | | |
Various Securities *(1)(6)(7)(9) | | | 822,100 | | | | 683,698 | |
| | | | | | | | |
Total Energy | | | | 683,698 | |
| | | | | |
| Financials – 12.69% | | | | | | | | |
Bank of America Corp., 0.52%-4.57%, Dec. 2023-Apr. 2033 (2) | | | 332,524 | | | | 296,286 | |
Other Securities *(1)(2)(3)(5)(6) | | | 4,127,587 | | | | 3,679,972 | |
| | | | | | | | |
Total Financials | | | | 3,976,258 | |
| | | | | |
| Government – 0.11% | | | | | | | | |
Various Securities *(1) | | | 9,146,365 | | | | 34,171 | |
| | | | | | | | |
Total Government | | | | 34,171 | |
| | | | | |
| Industrials – 1.54% | | | | | | | | |
Various Securities *(1)(2) | | | 542,021 | | | | 481,835 | |
| | | | | | | | |
Total Industrials | | | | 481,835 | |
| | | | | |
| Technology – 1.97% | | | | | | | | |
Various Securities (1)(6) | | | 727,773 | | | | 618,121 | |
| | | | | | | | |
Total Technology | | | | 618,121 | |
| | | | | |
| Utilities – 1.93% | | | | | | | | |
Various Securities (1)(6) | | | 683,489 | | | | 605,014 | |
| | | | | | | | |
Total Utilities | | | | 605,014 | |
| | | | | |
Total Corporate Bonds | | | | | | | 10,070,961 | |
| | | | | | | | |
Convertible Securities – 0.26% | | | | | | | | |
| Communications – 0.11% | | | | | | | | |
Various Securities | | | 45,815 | | | | 33,837 | |
| | | | | | | | |
Total Communications | | | | 33,837 | |
| | | | | |
| Consumer, Cyclical – 0.03% | | | | | | | | |
Various Securities (1) | | | 9,575 | | | | 10,104 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 10,104 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 36 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Consumer, Non-cyclical – 0.12% | | | | | | | | |
Various Securities | | $ | 42,425 | | | $ | 36,903 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 36,903 | |
| | | | | |
Total Convertible Securities | | | | | | | 80,844 | |
| | | | | | | | |
Government Related – 23.79% | | | | | | | | |
| Other Government Related – 1.96% | | | | | | | | |
Republic of South Africa Government Bond, 10.50%, Dec. 2026 | | ZAR | 1,668,900 | | | | 108,523 | |
Other Securities *(1)(2)(5)(6)(9)(10) | | | 12,551,337 | | | | 504,065 | |
| | | | | | | | |
Total Other Government Related | | | | 612,588 | |
| | | | | |
| U.S. Treasury Obligations – 21.83% | | | | | | | | |
U.S. Treasury Inflation Indexed Bond, 0.13%, Apr. 2027 (11) | | $ | 136,085 | | | | 133,985 | |
U.S. Treasury Note/Bond, 0.13%, Aug. 2022 | | | 186,755 | | | | 186,309 | |
U.S. Treasury Note/Bond, 0.13%, Sep. 2022 | | | 78,645 | | | | 78,318 | |
U.S. Treasury Note/Bond, 0.13%, Feb. 2023 | | | 97,570 | | | | 95,912 | |
U.S. Treasury Note/Bond, 0.13%, Apr. 2023 | | | 111,785 | | | | 109,270 | |
U.S. Treasury Note/Bond, 0.13%, Aug. 2023 | | | 100,725 | | | | 97,448 | |
U.S. Treasury Note/Bond, 0.25%, Sep. 2023 | | | 237,345 | | | | 229,520 | |
U.S. Treasury Note/Bond, 0.38%, Apr. 2025 | | | 95,425 | | | | 88,563 | |
U.S. Treasury Note/Bond, 0.50%, Nov. 2023 | | | 124,500 | | | | 120,269 | |
U.S. Treasury Note/Bond, 0.50%, Mar. 2025 | | | 95,425 | | | | 89,058 | |
U.S. Treasury Note/Bond, 0.75%, Aug. 2026 | | | 95,425 | | | | 86,859 | |
U.S. Treasury Note/Bond, 0.88%, Sep. 2026 | | | 95,425 | | | | 87,150 | |
U.S. Treasury Note/Bond, 1.25%, Mar. 2028 | | | 298,605 | | | | 269,771 | |
U.S. Treasury Note/Bond, 1.38%, Nov. 2031 | | | 403,700 | | | | 350,147 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2027 | | | 110,900 | | | | 105,268 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2032 | | | 198,230 | | | | 179,584 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2041 | | | 836,527 | | | | 664,385 | |
U.S. Treasury Note/Bond, 2.25%, Aug. 2049 | | | 116,300 | | | | 95,425 | |
U.S. Treasury Note/Bond, 2.25%, Feb. 2052 | | | 264,765 | | | | 217,893 | |
U.S. Treasury Note/Bond, 2.50%, May 2024 | | | 139,070 | | | | 137,815 | |
U.S. Treasury Note/Bond, 2.63%, May 2027 | | | 153,485 | | | | 150,583 | |
U.S. Treasury Note/Bond, 2.75%, May 2025 | | | 88,860 | | | | 88,180 | |
U.S. Treasury Note/Bond, 2.88%, Jun. 2025 | | | 185,235 | | | | 184,497 | |
U.S. Treasury Note/Bond, 2.88%, May 2032 | | | 1,292,013 | | | | 1,277,478 | |
U.S. Treasury Note/Bond, 2.88%, May 2052 | | | 215,583 | | | | 203,625 | |
U.S. Treasury Note/Bond, 3.25%, Jun. 2027 | | | 190,210 | | | | 192,068 | |
U.S. Treasury Note/Bond, 0.13%-3.13%, Dec. 2022-Aug. 2051 (12) | | | 1,391,824 | | | | 1,229,791 | |
Other Securities (11)(12) | | | 101,645 | | | | 92,590 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 6,841,761 | |
| | | | | |
Total Government Related | | | | | | | 7,454,349 | |
| | | | | | | | |
Mortgage-Backed Obligations – 29.47% | | | | | | | | |
Extended Stay America Trust 2021-ESH, 2.41%, (1 Month LIBOR USD + 1.08%, 1.08% Floor), Jul. 2038, Series 2021-ESH, Class A (1)(2) | | | 76,271 | | | | 74,355 | |
Fannie Mae, 2.00%, Jun. 2037 (13) | | | 79,785 | | | | 74,468 | |
Fannie Mae, 2.00%, Jul. 2052 (13) | | | 261,987 | | | | 227,315 | |
Fannie Mae, 2.00%, Aug. 2052 (13) | | | 493,125 | | | | 427,401 | |
Fannie Mae, 2.50%, Jul. 2052 (13) | | | 283,065 | | | | 254,515 | |
Fannie Mae, 2.50%, Aug. 2052 (13) | | | 647,823 | | | | 581,706 | |
Fannie Mae, 3.00%, Jul. 2052 (13) | | | 270,912 | | | | 252,266 | |
Fannie Mae, 3.50%, Jul. 2052 (13) | | | 185,264 | | | | 178,157 | |
Fannie Mae, 3.50%, Aug. 2052 (13) | | | 343,224 | | | | 329,628 | |
Fannie Mae, 4.00%, Jul. 2052 (13) | | | 241,729 | | | | 238,363 | |
Fannie Mae, 4.50%, Jul. 2052 (13) | | | 71,935 | | | | 72,208 | |
Fannie Mae Pool, 2.00%, Jan. 2052 | | | 126,926 | | | | 110,672 | |
Fannie Mae Pool, 3.00%, Apr. 2052 | | | 85,042 | | | | 79,302 | |
Fannie Mae Pool, 3.00%, Jun. 2052 | | | 78,152 | | | | 72,931 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 37 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Mortgage-Backed Obligations – 29.47% – (continued) | | | | | | | | |
Fannie Mae Pool, 3.50%, Jul. 2052 | | $ | 123,344 | | | $ | 118,769 | |
Freddie Mac Pool, 2.00%, Apr. 2051 | | | 88,176 | | | | 76,884 | |
Freddie Mac Pool, 2.50%, Feb. 2052 | | | 82,506 | | | | 74,266 | |
Freddie Mac Pool, 3.00%, Jun. 2052 | | | 74,983 | | | | 69,934 | |
Freddie Mac Pool, 3.00%, Jul. 2052 | | | 195,759 | | | | 182,538 | |
Ginnie Mae, 2.50%, Jul. 2052 (13) | | | 131,993 | | | | 120,774 | |
Towd Point Mortgage Funding, 1.36%, (Sterling Overnight Index Average + 0.90%), Jul. 2045, Series 2019-A13A, Class A1 (1)(2) | | GBP | 74,540 | | | | 90,637 | |
Fannie Mae, 1.50%-5.00%, Jul. 2036-Aug. 2052 (13) | | $ | 178,037 | | | | 165,521 | |
Fannie Mae Pool, 1.50%-6.00%, Feb. 2030-Jul. 2052 | | | 1,450,884 | | | | 1,363,169 | |
Freddie Mac Pool, 2.00%-5.00%, May 2031-Jul. 2052 | | | 566,102 | | | | 523,528 | |
Ginnie Mae, 2.00%-4.50%, Jul. 2050-Jul. 2052 (13) | | | 104,511 | | | | 97,444 | |
Ginnie Mae II Pool, 2.00%-5.50%, Feb. 2043-Dec. 2051 | | | 397,115 | | | | 378,813 | |
Other Securities *(1)(2)(3)(4)(5)(6)(8) | | | 3,461,832 | | | | 3,000,200 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 9,235,764 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $33,114,160) | | | | | | | 30,424,008 | |
| | | | | |
BANK LOANS – 1.30% | | | | | | | | |
Various Securities *(2)(8) | | | 433,423 | | | | 406,906 | |
| | | | | | | | |
Total Bank Loans
(Cost: $435,074) | | | | | | | 406,906 | |
| | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 0.12% | | | | | | | | |
| Communications – 0.08% | | | | | | | | |
Various Securities (6)(8)(14) | | | 3,375 | | | | 25,140 | |
Total Communications | | | | 25,140 | |
| | | | | |
| Consumer Discretionary – 0.04% | | | | | | | | |
Neiman Marcus Group, Inc. (6)(8)(14) | | | 62 | | | | 10,773 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 10,773 | |
| | | | | |
| Energy – 0.00% (15) | | | | | | | | |
Various Securities (1)(6)(8)(14) | | | 18 | | | | 442 | |
| | | | | | | | |
Total Energy | | | | 442 | |
| | | | | |
| Financials – 0.00% (15) | | | | | | | | |
Various Securities (1)(8)(14) | | | 2 | | | | 40 | |
| | | | | | | | |
Total Financials | | | | 40 | |
| | | | | |
| Industrials – 0.00% (15) | | | | | | | | |
AMI Investments LLC (8)(14)(16) | | | 206 | | | | — | |
| | | | | | | | |
Total Industrials | | | | — | |
| | | | | |
Total Common Stocks
(Cost: $53,433) | | | | | | | 36,395 | |
| | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.17% | | | | | | | | |
| Financials – 0.17% | | | | | | | | |
Bank of America Corp., 7.25% | | | 23 | | | | 28,155 | |
Wells Fargo & Co., 7.50% | | | 20 | | | | 24,642 | |
| | | | | | | | |
Total Financials | | | | 52,797 | |
| | | | | |
Total Convertible Preferred Stocks
(Cost: $62,493) | | | | | | | 52,797 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 38 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
PREFERRED STOCKS – 0.07% | | | | | | | | |
| Communications – 0.07% | | | | | | | | |
AT&T Mobility II LLC, 7.00% (6)(8)(14) | | | 1,036 | | | $ | 23,554 | |
| | | | | | | | |
Total Communications | | | | 23,554 | |
| | | | | |
| Financials – 0.00%(15) | | | | | | | | |
Cayenne Aviation Holdings LLC (1)(8)(14)(16) | | | 0 | | | | 7 | |
| | | | | | | | |
Total Financials | | | | 7 | |
| | | | | |
Total Preferred Stocks
(Cost: $28,084) | | | | | | | 23,561 | |
| | | | | |
RIGHTS – 0.00% (15) | | | | | | | | |
| Communications – 0.00% (15) | | | | | | | | |
Various Securities (8)(14)(16) | | | 95 | | | | — | |
Total Communications | | | | — | |
| | | | | |
Total Rights
(Cost: $0) | | | | | | | — | |
| | | | | |
WARRANTS – 0.00% (15) | | | | | | | | |
| Communications – 0.00% (15) | | | | | | | | |
Various Securities (8)(14) | | | 14 | | | | 81 | |
| | | | | | | | |
Total Communications | | | | 81 | |
| | | | | |
Total Warrants
(Cost: $8,440) | | | | | | | 81 | |
| | | | | |
SHORT-TERM INVESTMENTS – 11.20% | | | | | | | | |
| Money Market Funds – 2.49% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 1.25% (17) | | | 778,926 | | | | 778,926 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 778,926 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Government Related – 0.04% | | | | | | | | |
Republic of Argentina, -35.08%, Dec. 2022 | | ARS | 1,401,000 | | | | 13,426 | |
| | | | | | | | |
Total Government Related | | | | | | | 13,426 | |
| | | | | | | | |
| Repurchase Agreements – 0.99% | | | | | | | | |
JP Morgan Securities LLC, 1.35% dated 06/30/2022, due 07/01/2022, repurchase price $124,205 (collateralized by U.S. Treasury Bond, value $127,114, 3.25%, 05/15/2042) | | $ | 124,200 | | | | 124,200 | |
JP Morgan Securities LLC, 1.40% dated 06/30/2022, due 07/01/2022, repurchase price $2,700 (collateralized by U.S. Treasury Bond, value $2,765, 2.25%, 05/15/2041) | | | 2,700 | | | | 2,700 | |
Nomura Securities International, Inc., 1.42% dated 06/30/2022, due 07/01/2022, repurchase price $182,707 (collateralized by U.S. Treasury Bond, value $187,152, 4.38%, 11/15/2039) | | | 182,700 | | | | 182,700 | |
| | | | | | | | |
Total Repurchase Agreements | | | | | | | 309,600 | |
| | | | | | | | |
| U.S. Treasury Bills – 7.58% | | | | | | | | |
U.S. Cash Management Bill, 0.00%, Oct. 2022 | | | 175,000 | | | | 174,040 | |
U.S. Treasury Bill, 0.00%, Jul. 2022-Dec. 2022 (12) | | | 2,205,425 | | | | 2,201,019 | |
| | | | | | | | |
Total U.S. Treasury Bills | | | | | | | 2,375,059 | |
| | | | | | | | |
| Time Deposits – 0.10% | | | | | | | | |
ANZ, Hong Kong, 0.25% due 07/01/2022 | | AUD | 901 | | | | 622 | |
BBVA, Madrid, 1.06% due 07/01/2022 | | $ | 194 | | | | 194 | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 117 | | | | 122 | |
BNP Paribas, Paris, 0.52% due 07/01/2022 | | GBP | 1,742 | | | | 2,120 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 39 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.10% – (continued) | | | | | | | | |
Brown Brothers Harriman, 0.25% due 07/01/2022 | | NZD | 89 | | | $ | 56 | |
Brown Brothers Harriman, 3.85% due 07/01/2022 | | ZAR | 6,134 | | | | 377 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 878 | | | | 921 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 7,427 | | | | 7,427 | |
Nordea Bank ABP, Oslo, 0.07% due 07/01/2022 | | NOK | 5 | | | | 1 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022 | | CAD | 84 | | | | 65 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 14,612 | | | | 14,612 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022 (16) | | SEK | 3 | | | | 0 | |
Sumitomo, Tokyo, -0.36% due 07/01/2022 | | JPY | 732,552 | | | | 5,399 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 31,916 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $3,510,232) | | | | | | | 3,508,927 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 109.95%
(Cost: $37,211,916) | | | | | | | 34,452,675 | |
TBA SALE COMMITMENTS – (1.19)% | | | | | | | | |
| Mortgage-Backed Obligations – (1.19)% | | | | | | | | |
Fannie Mae, 1.50%-5.00%, Jul. 2036-Aug. 2052 (18) | | $ | (348,041 | ) | | | (331,138 | ) |
Ginnie Mae, 3.50%, Jul. 2052-Aug. 2052 (18) | | | (42,428 | ) | | | (41,193 | ) |
| | | | | | | | |
Total TBA Sale Commitments
(Proceeds Received: $(371,015)) | | | | | | | (372,331 | ) |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.76)% | | | | | | | (2,746,375 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 31,333,969 | |
| | | | | | | | |
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) | | 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 $7,986,361, which represents 25.49% 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, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| 40 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| (3) | | 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. |
| (4) | | 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, 2022. |
| (5) | | Includes step-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of June 30, 2022. |
| (6) | | Security that is restricted or includes securities restricted at June 30, 2022. The value of the restricted securities totals $92,515, which represents 0.30% of total net assets. |
| (7) | | Includes payment in-kind securities for which part of the income earned may be paid as additional principal. |
| (8) | | Security or includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $89,463 or 0.29% of the Fund’s net assets. |
| (9) | | Includes securities in default as of June 30, 2022. The value of these securities totals $4,885, which represents 0.02% of total net assets. |
| (10) | | Includes adjustable rate securities. The rate reported is the rate in effect as of June 30, 2022. |
| (11) | | Inflation protected security or includes inflation protected securities. The value of these securities totals $226,575, which represents 0.72% of total net assets. |
| (12) | | Partially assigned as collateral for certain futures contracts, swap contracts and delayed delivery securities. The value of these pledged issues totals $102,181, which represents 0.33% of total net assets. |
| (13) | | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $3,019,766, which represents 9.64% of total net assets. |
| (14) | | Non-income producing security or includes securities that are non-income producing. |
| (15) | | Amount calculated is less than 0.005%. |
| (16) | | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (17) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (18) | | Delayed delivery sale commitment security or includes delayed delivery sales commitment securities. The value of these securities totals $(372,331), which represents (1.19)% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 275 | | Australian 10 Year Bond Future | | | Sep. 2022 | | | AUD | 32,818 | | | $ | 22,568 | | | $ | (84 | ) |
| 610 | | Euro-Btp Future | | | Sep. 2022 | | | EUR | 77,219 | | | | 78,704 | | | | (2,217 | ) |
| 433 | | Euro-Bund Future | | | Sep. 2022 | | | | 62,287 | | | | 67,511 | | | | 2,237 | |
| 5,910 | | U.S. 2 Year Note Future | | | Sep. 2022 | | | $ | 1,246,437 | | | | 1,241,192 | | | | (5,245 | ) |
| 6,352 | | U.S. 5 Year Note Future | | | Sep. 2022 | | | | 716,820 | | | | 713,012 | | | | (3,808 | ) |
| 12,025 | | U.S. 10 Year Note Future | | | Sep. 2022 | | | | 1,438,906 | | | | 1,425,338 | | | | (13,568 | ) |
| 1,558 | | U.S. Long Bond Future | | | Sep. 2022 | | | | 218,819 | | | | 215,978 | | | | (2,841 | ) |
| 2,690 | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | 331,200 | | | | 342,639 | | | | 11,439 | |
| 986 | | U.S. Ultra Bond Future | | | Sep. 2022 | | | | 149,146 | | | | 152,183 | | | | 3,037 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (11,050 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Number of Contracts
Sold | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (1,091) | | Euro-Btp Future | | | Sep. 2022 | | | EUR | (129,117) | | | $ | (140,765 | ) | | $ | (5,457 | ) |
| (312) | | Euro-Bund Future | | | Sep. 2022 | | | | (47,461) | | | | (48,645 | ) | | | 1,092 | |
| (24) | | Japan 10 Year Bond Future | | | Sep. 2022 | | | JPY | (3,577,120) | | | | (26,287 | ) | | | 77 | |
| (554) | | U.S. Long Bond Future | | | Sep. 2022 | | | $ | (77,356) | | | | (76,798 | ) | | | 558 | |
| (391) | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | (49,322) | | | | (49,804 | ) | | | (482 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (4,212 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (15,262 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 41 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| AUD | | | 2,210 | | | USD | | | 1,519 | | | 07/20/22 | | Deutsche Bank | | $ | 6 | |
| AUD | | | 4,088 | | | USD | | | 2,813 | | | 08/02/22 | | J.P. Morgan | | | 9 | |
| AUD | | | 3,198 | | | USD | | | 2,203 | | | 08/02/22 | | Morgan Stanley | | | 5 | |
| BRL* | | | 23,400 | | | USD | | | 4,449 | | | 07/05/22 | | BNP Paribas | | | 23 | |
| BRL* | | | 24,000 | | | USD | | | 4,554 | | | 07/05/22 | | J.P. Morgan | | | 32 | |
| CHF | | | 1,197 | | | USD | | | 1,250 | | | 07/20/22 | | Barclays Bank | | | 5 | |
| CZK | | | 22,660 | | | USD | | | 950 | | | 07/20/22 | | UBS | | | 8 | |
| EUR | | | 1,475 | | | USD | | | 1,545 | | | 07/05/22 | | Bank Of America (1) | | | 0 | |
| EUR | | | 30,190 | | | GBP | | | 25,787 | | | 09/21/22 | | Deutsche Bank | | | 380 | |
| GBP | | | 1,325 | | | USD | | | 1,602 | | | 07/05/22 | | Bank Of America | | | 11 | |
| GBP | | | 926 | | | USD | | | 1,119 | | | 07/05/22 | | J.P. Morgan | | | 8 | |
| GBP | | | 1,509 | | | USD | | | 1,836 | | | 07/05/22 | | Morgan Stanley | | | 1 | |
| JPY | | | 12,369,261 | | | USD | | | 91,200 | | | 08/02/22 | | BNP Paribas | | | 121 | |
| MXN | | | 1,074,672 | | | USD | | | 51,377 | | | 07/01/22 | | BNP Paribas | | | 2,064 | |
| MXN | | | 245,793 | | | USD | | | 12,108 | | | 08/09/22 | | Bank Of America | | | 34 | |
| MXN | | | 132,419 | | | USD | | | 6,028 | | | 08/09/22 | | BNP Paribas | | | 513 | |
| MXN | | | 19,031 | | | USD | | | 911 | | | 08/24/22 | | Morgan Stanley | | | 27 | |
| MXN | | | 927,331 | | | USD | | | 45,463 | | | 09/15/22 | | BNP Paribas | | | 22 | |
| PEN* | | | 519 | | | USD | | | 134 | | | 07/25/22 | | Goldman Sachs | | | 1 | |
| RUB* | | | 0 | | | USD | | | 0 | | | 08/10/22 | | Deutsche Bank (1) | | | 0 | |
| RUB* | | | 262,970 | | | USD | | | 2,777 | | | 10/07/22 | | Goldman Sachs | | | 1,274 | |
| RUB* | | | 106,548 | | | USD | | | 1,105 | | | 10/21/22 | | Deutsche Bank | | | 506 | |
| USD | | | 46,143 | | | MXN | | | 927,331 | | | 07/01/22 | | BNP Paribas | | | 29 | |
| USD | | | 31,853 | | | AUD | | | 45,187 | | | 07/05/22 | | Bank Of America | | | 662 | |
| USD | | | 221,115 | | | EUR | | | 206,291 | | | 07/05/22 | | Bank Of America | | | 4,932 | |
| USD | | | 396,771 | | | GBP | | | 313,805 | | | 07/05/22 | | Bank Of America | | | 14,776 | |
| USD | | | 83,594 | | | EUR | | | 77,891 | | | 07/05/22 | | BNP Paribas | | | 1,968 | |
| USD | | | 758 | | | AUD | | | 1,054 | | | 07/05/22 | | Goldman Sachs | | | 31 | |
| USD | | | 72,535 | | | BRL* | | | 377,071 | | | 07/05/22 | | Goldman Sachs | | | 484 | |
| USD | | | 4,682 | | | EUR | | | 4,437 | | | 07/05/22 | | J.P. Morgan | | | 32 | |
| USD | | | 4,610 | | | GBP | | | 3,750 | | | 07/05/22 | | J.P. Morgan | | | 45 | |
| USD | | | 114 | | | JPY | | | 14,700 | | | 07/05/22 | | J.P. Morgan | | | 5 | |
| USD | | | 16,169 | | | ZAR | | | 248,087 | | | 07/13/22 | | Bank Of America | | | 932 | |
| USD | | | 984 | | | ZAR | | | 15,400 | | | 07/13/22 | | BNP Paribas | | | 38 | |
| USD | | | 3 | | | ILS | | | 12 | | | 07/15/22 | | BNP Paribas (1) | | | 0 | |
| USD | | | 1,860 | | | ZAR | | | 29,955 | | | 07/20/22 | | J.P. Morgan | | | 22 | |
| USD | | | 296,088 | | | EUR | | | 280,994 | | | 08/02/22 | | BNP Paribas | | | 1,061 | |
| USD | | | 37 | | | IDR* | | | 542,165 | | | 08/10/22 | | Bank Of America | | | 1 | |
| USD | | | 17,203 | | | TWD | | | 506,870 | | | 08/10/22 | | J.P. Morgan | | | 113 | |
| USD | | | 5,117 | | | TWD | | | 150,736 | | | 08/10/22 | | Morgan Stanley | | | 35 | |
| USD | | | 11 | | | IDR* | | | 165,487 | | | 08/16/22 | | BNP Paribas (1) | | | 0 | |
| USD | | | 35,236 | | | ZAR | | | 562,601 | | | 08/16/22 | | BNP Paribas | | | 811 | |
| USD | | | 1,159 | | | CAD | | | 1,485 | | | 08/16/22 | | Morgan Stanley | | | 5 | |
| USD | | | 11 | | | IDR* | | | 162,429 | | | 08/23/22 | | Bank Of America (1) | | | 0 | |
| USD | | | 1,475 | | | COP | | | 5,661,781 | | | 08/24/22 | | Barclays Bank | | | 124 | |
| USD | | | 1,752 | | | MXN | | | 35,430 | | | 08/24/22 | | J.P. Morgan | | | 7 | |
| USD | | | 613 | | | EUR | | | 582 | | | 08/24/22 | | Morgan Stanley | | | 1 | |
| USD | | | 4,691 | | | CAD | | | 5,907 | | | 09/21/22 | | BNP Paribas | | | 102 | |
| USD | | | 524 | | | GBP | | | 422 | | | 09/21/22 | | Deutsche Bank | | | 9 | |
| USD | | | 32,135 | | | EUR | | | 30,190 | | | 09/21/22 | | J.P. Morgan | | | 316 | |
| USD | | | 1,669 | | | ILS | | | 5,300 | | | 10/07/22 | | Bank Of America | | | 141 | |
| USD | | | 20,030 | | | ZAR | | | 308,883 | | | 10/19/22 | | Deutsche Bank | | | 1,251 | |
| USD | | | 3,973 | | | ZAR | | | 63,088 | | | 11/08/22 | | Bank Of America | | | 145 | |
| USD | | | 11,528 | | | ZAR | | | 185,594 | | | 11/08/22 | | BNP Paribas | | | 267 | |
| USD | | | 2,023 | | | ZAR | | | 32,472 | | | 11/08/22 | | Goldman Sachs | | | 53 | |
| USD | | | 10,014 | | | ZAR | | | 157,343 | | | 12/12/22 | | Deutsche Bank | | | 500 | |
| USD | | | 536 | | | MXN | | | 10,917 | | | 12/21/22 | | Goldman Sachs | | | 10 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 42 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
Over-the-Counter Forward Foreign Currency Exchange Contracts (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| USD | | | 7,239 | | | | ZAR | | | | 120,980 | | | | 05/12/23 | | | Goldman Sachs | | $ | 38 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Appreciation | | | 33,996 | |
| | | | | | | | | | | | | | | | | | | | | | |
| AUD | | | 53,527 | | | | USD | | | | 37,318 | | | | 07/05/22 | | | BNP Paribas | | | (372 | ) |
| AUD | | | 24,856 | | | | USD | | | | 17,263 | | | | 08/02/22 | | | Bank Of America | | | (102 | ) |
| BRL* | | | 400,700 | | | | USD | | | | 80,459 | | | | 07/05/22 | | | Goldman Sachs | | | (3,894 | ) |
| BRL* | | | 4,722 | | | | USD | | | | 920 | | | | 07/20/22 | | | J.P. Morgan | | | (22 | ) |
| BRL* | | | 377,071 | | | | USD | | | | 71,964 | | | | 08/02/22 | | | Goldman Sachs | | | (551 | ) |
| BRL* | | | 252,800 | | | | USD | | | | 49,899 | | | | 10/04/22 | | | BNP Paribas | | | (2,846 | ) |
| BRL* | | | 183,500 | | | | USD | | | | 35,179 | | | | 10/04/22 | | | Goldman Sachs | | | (1,024 | ) |
| EUR | | | 283,951 | | | | USD | | | | 298,650 | | | | 07/05/22 | | | BNP Paribas | | | (1,084 | ) |
| EUR | | | 4,303 | | | | USD | | | | 4,540 | | | | 07/05/22 | | | J.P. Morgan | | | (30 | ) |
| EUR | | | 6,890 | | | | USD | | | | 7,304 | | | | 09/21/22 | | | Barclays Bank | | | (42 | ) |
| GBP | | | 8,344 | | | | USD | | | | 10,201 | | | | 07/05/22 | | | BNP Paribas | | | (44 | ) |
| GBP | | | 3,841 | | | | USD | | | | 4,839 | | | | 07/05/22 | | | J.P. Morgan | | | (164 | ) |
| GBP | | | 938 | | | | USD | | | | 1,172 | | | | 07/05/22 | | | Morgan Stanley | | | (30 | ) |
| IDR* | | | 155,959,687 | | | | USD | | | | 10,602 | | | | 08/10/22 | | | J.P. Morgan | | | (182 | ) |
| IDR* | | | 74,283,364 | | | | USD | | | | 5,038 | | | | 08/16/22 | | | BNP Paribas | | | (76 | ) |
| IDR* | | | 81,773,752 | | | | USD | | | | 5,522 | | | | 08/16/22 | | | Goldman Sachs | | | (59 | ) |
| IDR* | | | 91,987,945 | | | | USD | | | | 6,235 | | | | 08/23/22 | | | Morgan Stanley | | | (92 | ) |
| IDR* | | | 1,147,768 | | | | USD | | | | 78 | | | | 09/21/22 | | | Goldman Sachs | | | (1 | ) |
| INR* | | | 4,041 | | | | USD | | | | 52 | | | | 08/10/22 | | | BNP Paribas | | | (1 | ) |
| INR* | | | 6,787 | | | | USD | | | | 87 | | | | 08/10/22 | | | Morgan Stanley | | | (1 | ) |
| JPY | | | 1,543,000 | | | | USD | | | | 11,454 | | | | 07/05/22 | | | Bank Of America | | | (82 | ) |
| JPY | | | 10,894,100 | | | | USD | | | | 81,911 | | | | 07/05/22 | | | J.P. Morgan | | | (1,618 | ) |
| JPY | | | 216,878 | | | | USD | | | | 1,610 | | | | 07/20/22 | | | UBS | | | (10 | ) |
| MXN | | | 35,430 | | | | USD | | | | 1,785 | | | | 08/24/22 | | | Citibank | | | (40 | ) |
| NOK | | | 118,006 | | | | USD | | | | 12,394 | | | | 08/16/22 | | | Bank Of America | | | (402 | ) |
| NOK | | | 212,480 | | | | USD | | | | 22,016 | | | | 08/16/22 | | | BNP Paribas | | | (424 | ) |
| PEN* | | | 115 | | | | USD | | | | 31 | | | | 07/14/22 | | | Goldman Sachs | | | (1 | ) |
| PEN* | | | 1,029 | | | | USD | | | | 275 | | | | 07/19/22 | | | Morgan Stanley | | | (7 | ) |
| PEN* | | | 1,919 | | | | USD | | | | 508 | | | | 08/08/22 | | | BNP Paribas | | | (8 | ) |
| PEN* | | | 7,347 | | | | USD | | | | 1,932 | | | | 08/08/22 | | | J.P. Morgan | | | (20 | ) |
| SEK | | | 312,915 | | | | USD | | | | 31,633 | | | | 08/16/22 | | | Deutsche Bank | | | (994 | ) |
| TRY | | | 15,980 | | | | USD | | | | 950 | | | | 07/20/22 | | | Deutsche Bank (1) | | | (0 | ) |
| USD | | | 1,270 | | | | MXN | | | | 26,280 | | | | 07/01/22 | | | BNP Paribas | | | (37 | ) |
| USD | | | 5,856 | | | | MXN | | | | 121,061 | | | | 07/01/22 | | | Goldman Sachs | | | (164 | ) |
| USD | | | 4,079 | | | | BRL* | | | | 23,400 | | | | 07/05/22 | | | BNP Paribas | | | (392 | ) |
| USD | | | 4,511 | | | | BRL* | | | | 23,629 | | | | 07/05/22 | | | Goldman Sachs | | | (4 | ) |
| USD | | | 2,813 | | | | AUD | | | | 4,088 | | | | 07/05/22 | | | J.P. Morgan | | | (9 | ) |
| USD | | | 4,367 | | | | BRL* | | | | 24,000 | | | | 07/05/22 | | | J.P. Morgan | | | (218 | ) |
| USD | | | 1,610 | | | | JPY | | | | 218,967 | | | | 07/20/22 | | | Barclays Bank | | | (5 | ) |
| USD | | | 920 | | | | BRL* | | | | 4,839 | | | | 07/20/22 | | | Goldman Sachs (1) | | | (0 | ) |
| USD | | | 1,240 | | | | MXN | | | | 25,050 | | | | 07/20/22 | | | Goldman Sachs | | | (2 | ) |
| USD | | | 950 | | | | TRY | | | | 17,323 | | | | 07/20/22 | | | J.P. Morgan | | | (80 | ) |
| USD | | | 881 | | | | EUR | | | | 840 | | | | 07/20/22 | | | Morgan Stanley (1) | | | (0 | ) |
| USD | | | 2,517 | | | | EUR | | | | 2,410 | | | | 07/20/22 | | | UBS | | | (11 | ) |
| USD | | | 10,157 | | | | PEN* | | | | 40,911 | | | | 07/25/22 | | | Bank Of America | | | (504 | ) |
| USD | | | 1,165 | | | | EUR | | | | 1,116 | | | | 08/02/22 | | | Bank Of America | | | (7 | ) |
| USD | | | 365,330 | | | | GBP | | | | 300,672 | | | | 08/02/22 | | | Bank Of America | | | (861 | ) |
| USD | | | 17,553 | | | | MXN | | | | 365,744 | | | | 08/09/22 | | | Deutsche Bank | | | (515 | ) |
| USD | | | 1,465 | | | | TWD | | | | 43,496 | | | | 08/10/22 | | | Deutsche Bank | | | (2 | ) |
| USD | | | 4,837 | | | | CAD | | | | 6,256 | | | | 08/16/22 | | | BNP Paribas | | | (24 | ) |
| USD | | | 55,008 | | | | BRL* | | | | 314,800 | | | | 10/04/22 | | | Goldman Sachs | | | (3,585 | ) |
| USD | | | 20,970 | | | | BRL* | | | | 121,500 | | | | 10/04/22 | | | J.P. Morgan | | | (1,644 | ) |
| USD | | | 12,225 | | | | ZAR | | | | 204,161 | | | | 02/13/23 | | | Deutsche Bank | | | (43 | ) |
| ZAR | | | 88,677 | | | | USD | | | | 5,514 | | | | 07/22/22 | | | Bank Of America | | | (73 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Depreciation | | | (22,403 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Net Unrealized Appreciation | | $ | 11,593 | |
| | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 43 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| * | | Non-deliverable forward |
| (1) | | A zero balance may reflect actual amounts rounding to less than one thousand. |
Centrally Cleared Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Annual
Rate Received
by Fund | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| AT&T, Inc. | | 1.00% | | | 12/20/2024 | | | | 1.03% | | | $ | 5,200 | | | $ | 18 | | | $ | (6) | | | $ | 12 | |
| AT&T, Inc. | | 1.00 | | | 6/20/2026 | | | | 1.14 | | | | 6,900 | | | | 106 | | | | (122 | ) | | | (16 | ) |
| Boeing Co. | | 1.00 | | | 12/20/2026 | | | | 2.45 | | | | 1,200 | | | | (4 | ) | | | (64 | ) | | | (68 | ) |
| Boeing Co. | | 1.00 | | | 6/20/2027 | | | | 2.54 | | | | 10,800 | | | | (672 | ) | | | (40 | ) | | | (712 | ) |
| CDX.EM.28 | | 1.00 | | | 12/20/2022 | | | | 18.80 | | | | 9,588 | | | | (164 | ) | | | (539 | ) | | | (703 | ) |
| CDX.EM.29 | | 1.00 | | | 6/20/2023 | | | | 10.64 | | | | 1,880 | | | | (32 | ) | | | (119 | ) | | | (151 | ) |
| CDX.EM.30 | | 1.00 | | | 12/20/2023 | | | | 8.02 | | | | 6,768 | | | | (133 | ) | | | (459 | ) | | | (592 | ) |
| CDX.EM.31 | | 1.00 | | | 6/20/2024 | | | | 5.90 | | | | 8,178 | | | | (276 | ) | | | (391 | ) | | | (667 | ) |
| CDX.EM.32 | | 1.00 | | | 12/20/2024 | | | | 5.26 | | | | 12,090 | | | | (523 | ) | | | (537 | ) | | | (1,060 | ) |
| CDX.EM.34 | | 1.00 | | | 12/20/2025 | | | | 5.69 | | | | 3,100 | | | | (198 | ) | | | (210 | ) | | | (408 | ) |
| CDX.EM.36 | | 1.00 | | | 12/20/2026 | | | | 4.59 | | | | 40,200 | | | | (1,414 | ) | | | (3,707 | ) | | | (5,121 | ) |
| CDX.NA.HY.35 | | 5.00 | | | 12/20/2025 | | | | 5.14 | | | | 495 | | | | 39 | | | | (34 | ) | | | 5 | |
| CDX.NA.HY.38 | | 5.00 | | | 6/20/2027 | | | | 5.75 | | | | 28,071 | | | | (763 | ) | | | (12 | ) | | | (775 | ) |
| CDX.NA.HY.38 | | 5.00 | | | 6/20/2027 | | | | 5.75 | | | | 33,309 | | | | (1,000 | ) | | | 81 | | | | (919 | ) |
| Ford Motor Credit Co. LLC | | 5.00 | | | 6/20/2023 | | | | 2.73 | | | | 28,100 | | | | 760 | | | | 249 | | | | 1,009 | |
| Ford Motor Credit Co. LLC | | 5.00 | | | 6/20/2024 | | | | 3.13 | | | | 18,400 | | | | 980 | | | | (81 | ) | | | 899 | |
| Ford Motor Credit Co. LLC | | 5.00 | | | 12/20/2024 | | | | 3.39 | | | | 1,700 | | | | 105 | | | | (19 | ) | | | 86 | |
| Ford Motor Credit Co. LLC | | 5.00 | | | 12/20/2025 | | | | 3.77 | | | | 400 | | | | 14 | | | | 7 | | | | 21 | |
| Ford Motor Credit Co. LLC | | 5.00 | | | 6/20/2026 | | | | 3.93 | | | | 19,400 | | | | 1,621 | | | | (640 | ) | | | 981 | |
| General Electric Co. | | 1.00 | | | 12/20/2023 | | | | 0.87 | | | | 700 | | | | (12 | ) | | | 14 | | | | 2 | |
iTraxx Asia ex-Japan
Series 37 Version 1 Index | | 1.00 | | | 6/20/2027 | | | | 1.42 | | | | 10,100 | | | | (49 | ) | | | (135 | ) | | | (184 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (1,597 | ) | | $ | (6,764 | ) | | $ | (8,361 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 44 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
Over-the-Counter Credit Default Swaps – Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Fixed Annual
Rate Paid
by Fund | | Payment
Frequency | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| J.P. Morgan | | Abbott Laboratories | | 1.00% | | Quarterly | | | 6/20/2027 | | | | 0.44% | | | $ | 2,433 | | | $ | (59 | ) | | $ | (4 | ) | | $ | (63 | ) |
| Bank of America | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.92 | | | | 589 | | | | 39 | | | | 10 | | | | 49 | |
| Bank of America | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.92 | | | | 981 | | | | 65 | | | | 17 | | | | 82 | |
| Bank of America | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.92 | | | | 981 | | | | 64 | | | | 18 | | | | 82 | |
| Bank of America | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.92 | | | | 1,094 | | | | 73 | | | | 18 | | | | 91 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 586 | | | | 9 | | | | 3 | | | | 12 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 1,370 | | | | 21 | | | | 7 | | | | 28 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 975 | | | | 15 | | | | 5 | | | | 20 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 974 | | | | 15 | | | | 5 | | | | 20 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 970 | | | | 15 | | | | 5 | | | | 20 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 976 | | | | 15 | | | | 5 | | | | 20 | |
| Barclays Bank | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.92 | | | | 14,173 | | | | 790 | | | | 395 | | | | 1,185 | |
| Goldman Sachs | | Chile Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 1.13 | | | | 1,662 | | | | (10 | ) | | | 19 | | | | 9 | |
| Goldman Sachs | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 2,002 | | | | 102 | | | | 64 | | | | 166 | |
| Morgan Stanley | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 41 | | | | 37 | | | | 78 | |
| Morgan Stanley | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
| Morgan Stanley | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
| Morgan Stanley | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
| Goldman Sachs | | Indonesia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 1.43 | | | | 3,849 | | | | 48 | | | | 25 | | | | 73 | |
| Morgan Stanley | | Mexico Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 1.75 | | | | 5,667 | | | | 36 | | | | 153 | | | | 189 | |
| Goldman Sachs | | Philippine Government Internat | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 1.28 | | | | 5,765 | | | | 31 | | | | 40 | | | | 71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 1,436 | | | | $930 | | | $ | 2,366 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 45 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
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,
2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| Deutsche Bank | | CMBX.NA.AAA.10 | | 0.50% | | Monthly | | | 11/17/2059 | | | | 0.59% | | | $ | 16,450 | | | $ | (261 | ) | | $ | 202 | | | $ | (59 | ) |
| Goldman Sachs | | CMBX.NA.AAA.13 | | 0.50 | | Monthly | | | 12/16/2072 | | | | 0.78 | | | | 205,400 | | | | 563 | | | | (4,222 | ) | | | (3,659 | ) |
| Morgan Stanley | | CMBX.NA.AAA.13 | | 0.50 | | Monthly | | | 12/16/2072 | | | | 0.78 | | | | 157,900 | | | | 636 | | | | (3,449 | ) | | | (2,813 | ) |
| Goldman Sachs | | Brazilian Government International | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 1.61 | | | | 300 | | | | (4 | ) | | | 1 | | | | (3 | ) |
| Goldman Sachs | | Brazilian Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.87 | | | | 3,200 | | | | (24 | ) | | | (41 | ) | | | (65 | ) |
| BNP Paribas | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 600 | | | | (29 | ) | | | (19 | ) | | | (48 | ) |
| Goldman Sachs | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 2,800 | | | | (118 | ) | | | (107 | ) | | | (225 | ) |
| J.P. Morgan | | Colombia Government International | | 1.00 | | Quarterly | | | 12/20/2026 | | | | 2.72 | | | | 1,400 | | | | (66 | ) | | | (30 | ) | | | (96 | ) |
| J.P. Morgan | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 400 | | | | (15 | ) | | | (17 | ) | | | (32 | ) |
| Morgan Stanley | | Colombia Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 2.91 | | | | 2,000 | | | | (96 | ) | | | (65 | ) | | | (161 | ) |
| J.P. Morgan | | Mexico Government International | | 1.00 | | Quarterly | | | 6/20/2026 | | | | 1.50 | | | | 100 | | | | (1 | ) | | | (1 | ) | | | (2 | ) |
| Morgan Stanley | | Mexico Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1.18 | | | | 300 | | | | (2 | ) | | | 1 | | | | (1 | ) |
| Morgan Stanley | | Mexico Government International | | 1.00 | | Quarterly | | | 12/20/2026 | | | | 1.64 | | | | 500 | | | | 75 | | | | (88 | ) | | | (13 | ) |
| Morgan Stanley | | Mexico Government International | | 1.00 | | Quarterly | | | 6/20/2027 | | | | 1.75 | | | | 2,300 | | | | (15 | ) | | | (62 | ) | | | (77 | ) |
| Goldman Sachs | | Republic of South Africa | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 2.18 | | | | 4,700 | | | | (81 | ) | | | (22 | ) | | | (103 | ) |
| Morgan Stanley | | Republic of Turkey | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 9.23 | | | | 400 | | | | (46 | ) | | | (11 | ) | | | (57 | ) |
| Goldman Sachs | | Russia Emerging Markets SPMYC | | 1.00 | | Quarterly | | | 12/20/2022 | | | | 1541.61 | | | | 1,300 | | | | (8 | ) | | | (965 | ) | | | (973 | ) |
| J.P. Morgan | | Russia Emerging Markets SPMYC | | 1.00 | | Quarterly | | | 6/20/2023 | | | | 1504.57 | | | | 13,000 | | | | (112 | ) | | | (9,621 | ) | | | (9,733 | ) |
| Goldman Sachs | | Russian Foreign Bond – Eurobond | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 1504.56 | | | | 12,600 | | | | 34 | | | | (9,467 | ) | | | (9,433 | ) |
| Bank of America | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 9.16 | | | | 3,000 | | | | (171 | ) | | | (155 | ) | | | (326 | ) |
| Bank of America | | Turkey Government International | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 9.23 | | | | 400 | | | | (37 | ) | | | (20 | ) | | | (57 | ) |
| Bank of America | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 9.04 | | | | 1,300 | | | | (134 | ) | | | (84 | ) | | | (218 | ) |
| BNP Paribas | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 9.16 | | | | 500 | | | | (40 | ) | | | (14 | ) | | | (54 | ) |
| BNP Paribas | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 9.16 | | | | 200 | | | | (14 | ) | | | (7 | ) | | | (21 | ) |
| BNP Paribas | | Turkey Government International | | 1.00 | | Quarterly | | | 6/20/2025 | | | | 8.92 | | | | 200 | | | | (34 | ) | | | (4 | ) | | | (38 | ) |
| Goldman Sachs | | Turkey Government International | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 9.23 | | | | 1,200 | | | | (91 | ) | | | (79 | ) | | | (170 | ) |
| Goldman Sachs | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 9.04 | | | | 900 | | | | (96 | ) | | | (55 | ) | | | (151 | ) |
| J.P. Morgan | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 9.16 | | | | 200 | | | | (14 | ) | | | (8 | ) | | | (22 | ) |
| Morgan Stanley | | Turkey Government International | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 9.16 | | | | 500 | | | | (38 | ) | | | (16 | ) | | | (54 | ) |
| Goldman Sachs | | United Mexican States | | 1.00 | | Quarterly | | | 6/20/2023 | | | | 0.80 | | | | 8,200 | | | | (21 | ) | | | 39 | | | | 18 | |
| Goldman Sachs | | United Mexican States | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 0.96 | | | | 8,500 | | | | (383 | ) | | | 412 | | | | 29 | |
| J.P. Morgan | | United Mexican States | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 1.05 | | | | 100 | | | | (1 | ) | | | 1 | | | | — | |
| Morgan Stanley | | United Mexican States | | 1.00 | | Quarterly | | | 12/20/2022 | | | | 0.59 | | | | 3,800 | | | | 2 | | | | 7 | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (642 | ) | | | $(27,966) | | | $ | (28,608 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
The accompanying notes are an integral part of these financial statements.
| | |
| 46 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
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 | | | $ | — | | | $ | 77 | | | $ | 77 | |
| (0.43) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/28/2024 | | | | 2,700 | | | | — | | | | 99 | | | | 99 | |
| (0.40) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 12/30/2024 | | | | 1,200 | | | | — | | | | 60 | | | | 60 | |
| (0.36) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/30/2025 | | | | 2,300 | | | | — | | | | 135 | | | | 135 | |
| (0.33) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 12/30/2025 | | | | 1,400 | | | | — | | | | 100 | | | | 100 | |
| (0.29) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/30/2026 | | | | 700 | | | | — | | | | 56 | | | | 56 | |
| (0.15) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 3/18/2030 | | | | 16,100 | | | | 223 | | | | 2,373 | | | | 2,596 | |
| 0.25 | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 9/21/2032 | | | | 116,600 | | | | 10,392 | | | | 11,623 | | | | 22,015 | |
| 0.30 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 4/7/2032 | | | JPY | 1,696,910 | | | | 0 | | | | 159 | | | | 159 | |
| 0.30 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 4/7/2032 | | | | 1,710,982 | | | | 0 | | | | 156 | | | | 156 | |
| 0.30 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 4/7/2032 | | | | 1,704,401 | | | | 0 | | | | 153 | | | | 153 | |
| 0.31 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 4/7/2032 | | | | 1,487,699 | | | | 0 | | | | 131 | | | | 131 | |
| 0.31 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 4/7/2032 | | | | 1,677,618 | | | | 0 | | | | 147 | | | | 147 | |
| 0.39 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/2/2032 | | | | 1,039,541 | | | | 0 | | | | 30 | | | | 30 | |
| 0.40 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/2/2032 | | | | 1,039,541 | | | | 0 | | | | 28 | | | | 28 | |
| 0.42 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 6/14/2032 | | | | 2,066,232 | | | | 0 | | | | 37 | | | | 37 | |
| 0.42 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 6/14/2032 | | | | 2,330,006 | | | | 0 | | | | 34 | | | | 34 | |
| 0.50 | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/17/2050 | | | EUR | 9,000 | | | | (267 | ) | | | 3,344 | | | | 3,077 | |
| 0.75 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 6/16/2031 | | | $ | 269,450 | | | | (21,036 | ) | | | (27,477 | ) | | | (48,513 | ) |
| 0.75 | | Sterling Overnight Index Average | | | Received | | | | Annual | | | | 9/21/2032 | | | GBP | 17,300 | | | | 1,634 | | | | 1,347 | | | | 2,981 | |
| 0.75 | | Sterling Overnight Index Average | | | Received | | | | Annual | | | | 9/21/2052 | | | | 40,700 | | | | 2,653 | | | | 12,485 | | | | 15,138 | |
| 0.81 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/30/2052 | | | JPY | 378,708 | | | | 0 | | | | 145 | | | | 145 | |
| 0.82 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 140 | | | | 140 | |
| 0.83 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 132 | | | | 132 | |
| 0.86 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/9/2052 | | | | 374,201 | | | | 0 | | | | 109 | | | | 109 | |
| 0.86 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/9/2052 | | | | 679,175 | | | | 0 | | | | 192 | | | | 192 | |
| 0.87 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 104 | | | | 104 | |
| 0.89 | | 1 Year JPY TONA (1) | | | Received | | | | Annual | | | | 5/10/2052 | | | | 344,733 | | | | 0 | | | | 81 | | | | 81 | |
| 1.03 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 7/24/2025 | | | $ | 224,440 | | | | — | | | | (8,253 | ) | | | (8,253 | ) |
| 1.03 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 7/24/2025 | | | | 166,015 | | | | — | | | | (6,080 | ) | | | (6,080 | ) |
| 1.07 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 7/24/2025 | | | | 112,220 | | | | — | | | | (4,028 | ) | | | (4,028 | ) |
| 1.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 12/15/2026 | | | | 1,300 | | | | (23 | ) | | | 119 | | | | 96 | |
| 1.25 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 6/15/2032 | | | | 49,170 | | | | (1,295 | ) | | | (5,197 | ) | | | (6,492 | ) |
| 1.25 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 6/15/2032 | | | | 11,630 | | | | (977 | ) | | | (558 | ) | | | (1,535 | ) |
| 1.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 12/16/2050 | | | | 48,900 | | | | 4,735 | | | | 11,272 | | | | 16,007 | |
| 1.31 | | 6 Month EURIBOR (1) | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | EUR | 10,822 | | | | 0 | | | | (51 | ) | | | (51 | ) |
| 1.39 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 9/28/2025 | | | $ | 273,250 | | | | — | | | | (7,865 | ) | | | (7,865 | ) |
| 1.44 | | 6 Month EURIBOR (1) | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | EUR | 4,778 | | | | 0 | | | | (63 | ) | | | (63 | ) |
| 1.45 | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | | 4,893 | | | | (2 | ) | | | (65 | ) | | | (67 | ) |
| 1.46 | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | | 5,080 | | | | 1 | | | | (74 | ) | | | (73 | ) |
| 1.48 | | 6 Month EURIBOR (1) | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | | 4,838 | | | | 0 | | | | (76 | ) | | | (76 | ) |
| 1.49 | | 6 Month EURIBOR (1) | | | Received | | | | Semi-Annual | | | | 6/10/2052 | | | | 4,783 | | | | 0 | | | | (78 | ) | | | (78 | ) |
| 1.50 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 6/17/2050 | | | $ | 81,200 | | | | (14,295 | ) | | | 36,777 | | | | 22,482 | |
| 1.52 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 4,162 | | | | 0 | | | | (187 | ) | | | (187 | ) |
| 1.52 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 3,113 | | | | 0 | | | | (140 | ) | | | (140 | ) |
| 1.54 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 10,559 | | | | 0 | | | | (459 | ) | | | (459 | ) |
| 1.55 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 5,296 | | | | 0 | | | | (226 | ) | | | (226 | ) |
| 1.55 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 3,113 | | | | 0 | | | | (131 | ) | | | (131 | ) |
| 1.56 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 10,559 | | | | 0 | | | | (440 | ) | | | (440 | ) |
| 1.57 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 10,563 | | | | 0 | | | | (432 | ) | | | (432 | ) |
| 1.59 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 5,276 | | | | 0 | | | | (205 | ) | | | (205 | ) |
| 1.64 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 2,063 | | | | 0 | | | | (71 | ) | | | (71 | ) |
| 1.65 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | | 2,063 | | | | 0 | | | | (71 | ) | | | (71 | ) |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 47 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
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 | |
| 1.65% | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 4,168 | | | $ | 0 | | | $ | (143 | ) | | $ | (143 | ) |
| 1.69 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 12/7/2025 | | | $ | 297,995 | | | | — | | | | (6,650 | ) | | | (6,650 | ) |
| 1.69 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 2,126 | | | | 0 | | | | (65 | ) | | | (65 | ) |
| 1.74 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 12/7/2053 | | | $ | 24,920 | | | | — | | | | 5,287 | | | | 5,287 | |
| 1.75 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 6/15/2029 | | | | 164,400 | | | | (12,922 | ) | | | 2,618 | | | | (10,304 | ) |
| 1.75 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 6/15/2032 | | | | 9,860 | | | | (434 | ) | | | (436 | ) | | | (870 | ) |
| 1.75 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 6/15/2032 | | | | 3,590 | | | | (149 | ) | | | (168 | ) | | | (317 | ) |
| 1.77 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 7/24/2053 | | | | 18,750 | | | | — | | | | 3,973 | | | | 3,973 | |
| 1.79 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 7/24/2053 | | | | 13,870 | | | | — | | | | 2,905 | | | | 2,905 | |
| 1.81 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 7/24/2053 | | | | 9,375 | | | | — | | | | 1,922 | | | | 1,922 | |
| 1.82 | | 6 Month EURIBOR (1) | | | Paid | | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 8,573 | | | | 0 | | | | (170 | ) | | | (170 | ) |
| 1.87 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 9/28/2053 | | | $ | 23,320 | | | | — | | | | 4,427 | | | | 4,427 | |
| 1.94 | | Secured Overnight Financing Rate | | | Received | | | | Annual | | | | 5/23/2052 | | | | 61,602 | | | | 2 | | | | 142 | | | | 144 | |
| 1.95 | | Secured Overnight Financing Rate | | | Received | | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | 107 | | | | 109 | |
| 1.96 | | Secured Overnight Financing Rate | | | Received | | | | Annual | | | | 5/23/2052 | | | | 61,602 | | | | 2 | | | | 79 | | | | 81 | |
| 1.97 | | Secured Overnight Financing Rate | | | Received | | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | 70 | | | | 72 | |
| 2.08 | | Secured Overnight Financing Rate | | | Paid | | | | Annual | | | | 5/30/2052 | | | | 58,865 | | | | 2 | | | | 275 | | | | 277 | |
| 2.09 | | Secured Overnight Financing Rate | | | Received | | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | (338 | ) | | | (336 | ) |
| 2.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 3/12/2050 | | | | 3,200 | | | | (10 | ) | | | 411 | | | | 401 | |
| 3.00 | | 6 Month Australian Bank Bill | | | Paid | | | | Semi-Annual | | | | 3/21/2027 | | | AUD | 109,400 | | | | 489 | | | | (2,362 | ) | | | (1,873 | ) |
| 3.00 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 6/19/2029 | | | $ | 6,100 | | | | 354 | | | | (360 | ) | | | (6 | ) |
| 4.47 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | MXN | 65,200 | | | | — | | | | (102 | ) | | | (102 | ) |
| 4.50 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 3/3/2023 | | | | 291,500 | | | | (8 | ) | | | (450 | ) | | | (458 | ) |
| 4.52 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 130,500 | | | | — | | | | (202 | ) | | | (202 | ) |
| 4.55 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 429,900 | | | | 3,182 | | | | (3,844 | ) | | | (662 | ) |
| 4.57 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 65,200 | | | | — | | | | (100 | ) | | | (100 | ) |
| 4.85 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 1/11/2026 | | | ZAR | 151,700 | | | | (42 | ) | | | (803 | ) | | | (845 | ) |
| 4.85 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 1/7/2026 | | | | 41,600 | | | | 0 | | | | (231 | ) | | | (231 | ) |
| 4.92 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 2/1/2026 | | | | 103,000 | | | | (17 | ) | | | (553 | ) | | | (570 | ) |
| 5.16 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 6/6/2025 | | | MXN | 1,700 | | | | — | | | | (9 | ) | | | (9 | ) |
| 5.54 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 5/4/2027 | | | | 3,400 | | | | 0 | | | | (23 | ) | | | (23 | ) |
| 5.97 | | 3 Month ZAR SAJIBOR (1) | | | Received | | | | Quarterly | | | | 3/10/2026 | | | ZAR | 2,100 | | | | 0 | | | | 8 | | | | 8 | |
| 6.15 | | 3 Month PLN WIBOR (1) | | | Received | | | | Quarterly | | | | 4/11/2024 | | | PLN | 21,075 | | | | 0 | | | | 74 | | | | 74 | |
| 7.15 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 6/11/2027 | | | MXN | 25,800 | | | | (14 | ) | | | (81 | ) | | | (95 | ) |
| 7.36 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 8/21/2037 | | | | 900 | | | | 3 | | | | 3 | | | | 6 | |
| 7.37 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 10/11/2027 | | | | 40,300 | | | | (2 | ) | | | (135 | ) | | | (137 | ) |
| 7.38 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 8/14/2037 | | | | 1,300 | | | | 5 | | | | 4 | | | | 9 | |
| 7.50 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/14/2032 | | | | 5,900 | | | | 24 | | | | 2 | | | | 26 | |
| 7.50 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/15/2032 | | | | 24,500 | | | | 98 | | | | 11 | | | | 109 | |
| 7.53 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 1/23/2032 | | | | 49,970 | | | | 0 | | | | (219 | ) | | | (219 | ) |
| 7.57 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 1/12/2032 | | | | 27,764 | | | | 0 | | | | (118 | ) | | | (118 | ) |
| 7.60 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 1/1/2032 | | | | 73,611 | | | | 0 | | | | (305 | ) | | | (305 | ) |
| 7.61 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/23/2023 | | | | 222,400 | | | | 59 | | | | 27 | | | | 86 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 48 | | Annual Report • June 30, 2022 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
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 | |
| 7.75% | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 1/5/2023 | | | MXN | 1,400 | | | $ | — | | | $ | 0 | | | $ | — | |
| 7.81 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800 | | | | — | | | | (1 | ) | | | (1 | ) |
| 7.82 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800 | | | | 0 | | | | (1 | ) | | | (1 | ) |
| 7.87 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 3,400 | | | | — | | | | (1 | ) | | | (1 | ) |
| 7.88 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 12/16/2022 | | | | 2,000 | | | | — | | | | 0 | | | | — | |
| 7.88 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 36,000 | | | | 4 | | | | (12 | ) | | | (8 | ) |
| 7.91 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/30/2027 | | | | 800 | | | | — | | | | 2 | | | | 2 | |
| 7.98 | | Mexico Interbank TIIE 28 Day (1) | | | Received | | | | Lunar | | | | 12/10/2027 | | | | 3,300 | | | | 0 | | | | 7 | | | | 7 | |
| 7.99 | | Mexico Interbank TIIE 28 Day (1) | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 100 | | | | — | | | | 0 | | | | — | |
| 8.01 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 20,200 | | | | (7 | ) | | | 49 | | | | 42 | |
| 8.03 | | Mexico Interbank TIIE 28 Day (1) | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 1,600 | | | | 0 | | | | 3 | | | | 3 | |
| 8.05 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 2,400 | | | | 1 | | | | 4 | | | | 5 | |
| 8.29 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 3/17/2032 | | | | 45,215 | | | | 0 | | | | (87 | ) | | | (87 | ) |
| 8.41 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/31/2027 | | | | 14,300 | | | | — | | | | 17 | | | | 17 | |
| 8.66 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/4/2024 | | | | 49,700 | | | | — | | | | 36 | | | | 36 | |
| 8.68 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/3/2024 | | | | 119,300 | | | | — | | | | 84 | | | | 84 | |
| 8.70 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/31/2032 | | | | 14,300 | | | | — | | | | 8 | | | | 8 | |
| 8.73 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/6/2027 | | | | 12,100 | | | | — | | | | 6 | | | | 6 | |
| 8.73 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/30/2032 | | | | 6,000 | | | | — | | | | 3 | | | | 3 | |
| 8.75 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/5/2024 | | | | 29,000 | | | | — | | | | 17 | | | | 17 | |
| 8.96 | | Mexico Interbank TIIE 28 Day (1) | | | Paid | | | | Lunar | | | | 4/21/2032 | | | | 34,304 | | | | 0 | | | | 7 | | | | 7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (27,631 | ) | | $ | 24,037 | | | $ | (3,594 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Lunar – payment frequency equal periods of 28 days (a lunar month).
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
Over-the-Counter Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Fixed Annual
Rate | | Floating Rate Index | | Floating Rate
Paid or
Received | | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| J.P. Morgan | | 12.04% | | Brazil Cetip DI Interbank Deposit | | | Paid | | | | 1/2/2025 | | | | BRL 13,221 | | | $ | — | | | $ | (38 | ) | | $ | (38 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | $ | — | | | $ | (38 | ) | | $ | (38 | ) |
| | | | | | | | | | | | | | | | | | | |
Centrally Cleared Inflation Linked Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed Annual
Rate | | Floating Rate Index | | Floating Rate
Paid or
Received | | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| 4.00% | | 10-Year GBP Inflation Linked | | | Paid | | | | 9/15/2031 | | | GBP | 7,300 | | | $ | (6 | ) | | $ | (681 | ) | | $ | (687 | ) |
| 4.06 | | 10-Year GBP Inflation Linked | | | Paid | | | | 9/15/2031 | | | | 6,800 | | | | 28 | | | | (615 | ) | | | (587 | ) |
| 4.07 | | 10-Year GBP Inflation Linked | | | Paid | | | | 9/15/2031 | | | | 13,100 | | | | (162 | ) | | | (949 | ) | | | (1,111 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (140 | ) | | $ | (2,245 | ) | | $ | (2,385 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| EURIBOR | | Euro Interbank Offered Rate |
| LIBOR | | London Interbank Offered Rate |
| SAJIBOR | | South African Johannesburg Interbank Offered Rate |
| TIIE | | Interbank Equilibrium Interest Rate |
| TONA | | Tokyo Overnight Average Rate |
| WIBOR | | Warsaw Interbank Offered Rate |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 49 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
MUNICIPAL BONDS – 97.37% | | | | | | | | |
| Education – 8.01% | | | | | | | | |
Alabama Public School & College Authority, 5.00%, Nov. 2037 | | $ | 47,500 | | | $ | 53,678 | |
Connecticut State Health & Educational Facilities Authority, 1.10%, Jul. 2033 (1) | | | 22,000 | | | | 21,116 | |
New Jersey Economic Development Authority, 5.25%, Sep. 2024 (2)(3) | | | 35,925 | | | | 37,513 | |
Tennessee State School Bond Authority, 5.00%, Nov. 2040 | | | 25,000 | | | | 27,276 | |
Illinois Finance Authority, 4.00%-5.00%, Aug. 2025-Aug. 2049 (2)(3) | | | 25,880 | | | | 26,060 | |
Indiana Finance Authority, 5.50%, Jul. 2052 (3) | | | 3,400 | | | | 3,598 | |
New Jersey Economic Development Authority, 5.00%-5.50%, Jun. 2024-Jun. 2054 (2)(3) | | | 19,340 | | | | 20,336 | |
New York State Dormitory Authority, 5.00%, Jul. 2027-Jul. 2037 (3) | | | 7,380 | | | | 8,089 | |
Other Securities (1)(2) | | | 654,820 | | | | 668,630 | |
| | | | | | | | |
Total Education | | | | 866,296 | |
| | | | | |
| General Obligation – 17.48% | | | | | | | | |
Commonwealth of Pennsylvania, 4.00%, Apr. 2033 | | | 20,000 | | | | 20,093 | |
Commonwealth of Puerto Rico, 5.63%, Jul. 2027 | | | 18,901 | | | | 20,106 | |
Maricopa County Special Health Care District, 4.00%, Jul. 2038 | | | 19,340 | | | | 19,576 | |
Northside Independent School District, 0.70%, Jun. 2050 (1) | | | 24,595 | | | | 23,297 | |
State of Illinois, 5.00%, Nov. 2025 | | | 18,745 | | | | 19,848 | |
State of Illinois, 5.00%, Mar. 2035 | | | 26,675 | | | | 28,319 | |
Illinois Finance Authority, 3.00%-5.00%, Jul. 2025-Jul. 2035 (3) | | | 3,465 | | | | 3,351 | |
State of California, 4.00%-5.00%, Aug. 2023-Apr. 2042 | | | 122,745 | | | | 135,598 | |
State of Illinois, 4.00%-5.50%, Aug. 2022-Mar. 2042 (4) | | | 141,100 | | | | 148,718 | |
Other Securities (1)(2)(4) | | | 1,400,561 | | | | 1,470,658 | |
| | | | | | | | |
Total General Obligation | | | | 1,889,564 | |
| | | | | |
| General Revenue – 28.32% | | | | | | | | |
Black Belt Energy Gas District, 1.26% (SIFMA Municipal Swap Index Yield + 0.35%), Oct. 2052 (5) | | | 24,660 | | | | 23,495 | |
Buckeye Tobacco Settlement Financing Authority, 5.00%, Jun. 2055 | | | 48,735 | | | | 45,890 | |
California Infrastructure & Economic Development Bank, 0.85%, Jan. 2050 (1)(2) | | | 20,000 | | | | 19,733 | |
Central Plains Energy Project, 4.00%, Dec. 2049 (1) | | | 32,420 | | | | 33,304 | |
Chandler Industrial Development Authority, 5.00%, Jun. 2049 (1) | | | 18,960 | | | | 19,842 | |
City of Whiting IN, 5.00%, Dec. 2044 (1) | | | 21,625 | | | | 23,269 | |
Hudson Yards Infrastructure Corp., 4.00%, Feb. 2047 | | | 18,780 | | | | 17,905 | |
Indiana Finance Authority, 0.28%, Dec. 2045 (1)(3) | | | 22,800 | | | | 22,626 | |
Kentucky Public Energy Authority, 4.00%, Dec. 2049 (1) | | | 21,270 | | | | 21,553 | |
Kentucky Public Energy Authority, 4.00%, Dec. 2050 (1) | | | 17,720 | | | | 17,934 | |
Main Street Natural Gas, Inc., 4.00%, Aug. 2049 (1) | | | 47,670 | | | | 49,011 | |
Main Street Natural Gas, Inc., 4.00%, Mar. 2050 (1) | | | 20,000 | | | | 20,064 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, 4.00%, Feb. 2040 | | | 26,755 | | | | 26,591 | |
New York State Dormitory Authority, 4.00%, Mar. 2032 (3) | | | 17,500 | | | | 17,843 | |
New York State Urban Development Corp., 4.00%, Mar. 2039 | | | 19,995 | | | | 19,710 | |
Parish of St James LA, 1.15%, Nov. 2040 (1) | | | 91,725 | | | | 91,725 | |
Patriots Energy Group Financing Agency, 4.00%, Oct. 2048 (1) | | | 34,175 | | | | 34,800 | |
Port of Port Arthur Navigation District, 0.95%, Apr. 2040 (1) | | | 60,575 | | | | 60,575 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 4.33%, Jul. 2040 | | | 41,749 | | | | 39,205 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.00%, Jul. 2058 | | | 27,485 | | | | 27,017 | |
Southeast Alabama Gas Supply District, 4.00%, Jun. 2049 (1) | | | 24,010 | | | | 24,245 | |
Southeast Energy Authority A Cooperative District, 5.00%, May 2053 (1) | | | 16,925 | | | | 17,904 | |
Tennergy Corp., 4.00%, Dec. 2051 (1) | | | 28,625 | | | | 28,784 | |
Texas Municipal Gas Acquisition & Supply Corp. II, 1.90% (LIBOR + 0.69%), Sep. 2027 (5) | | | 36,000 | | | | 35,103 | |
Virginia College Building Authority, 5.00%, Feb. 2039 | | | 18,215 | | | | 20,854 | |
Illinois Finance Authority, 4.00%-5.25%, May 2023-May 2047 (3) | | | 1,350 | | | | 1,358 | |
Indiana Finance Authority, 1.75%-5.25%, Dec. 2024-Jan. 2051 (1)(3) | | | 54,975 | | | | 56,576 | |
Main Street Natural Gas, Inc., 1.54%-5.00%, Mar. 2023-Sep. 2052 (1)(5) | | | 59,810 | | | | 60,735 | |
New Jersey Economic Development Authority, 3.13%-5.63%, Jan. 2023-Jan. 2052 (3) | | | 55,425 | | | | 56,928 | |
New Jersey Transportation Trust Fund Authority, 0.00%-5.50%, Dec. 2022-Jun. 2050 (3) | | | 116,835 | | | | 115,298 | |
New York City Transitional Finance Authority Future Tax Secured Revenue,
4.00%-5.00%, Nov. 2023-Feb. 2047 | | | 89,110 | | | | 94,838 | |
New York State Dormitory Authority, 3.00%-5.25%, Jul. 2023-Mar. 2046 (3) | | | 75,150 | | | | 78,102 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 50 | | Annual Report • June 30, 2022 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| General Revenue – 28.32% – (continued) | | | | | | | | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 0.00%-4.78%, Jul. 2024-Jul. 2058 | | $ | 97,088 | | | $ | 59,035 | |
Other Securities (1)(2)(4)(5)(6) | | | 1,800,143 | | | | 1,780,450 | |
| | | | | | | | |
Total General Revenue | | | | 3,062,302 | |
| | | | | |
| Healthcare – 12.72% | | | | | | | | |
Kansas Development Finance Authority, 5.00%, Nov. 2054 (1) | | | 18,710 | | | | 21,113 | |
Kentucky Economic Development Finance Authority, 1.15%, May 2034 (1) | | | 19,000 | | | | 19,000 | |
Illinois Finance Authority, 3.63%-5.25%, Nov. 2023-Jul. 2057 (1)(3) | | | 141,220 | | | | 147,212 | |
Indiana Finance Authority, 0.70%-5.00%, May 2026-Dec. 2058 (1)(3) | | | 22,355 | | | | 22,530 | |
New Jersey Economic Development Authority, 5.00%, Oct. 2039-Jan. 2040 (2)(3) | | | 895 | | | | 728 | |
New York State Dormitory Authority, 5.00%, Dec. 2022-May 2048 (1)(2)(3) | | | 18,415 | | | | 19,250 | |
Other Securities (1)(2)(5)(6) | | | 1,135,135 | | | | 1,145,600 | |
| | | | | | | | |
Total Healthcare | | | | 1,375,433 | |
| | | | | |
| Housing – 6.31% | | | | | | | | |
Maryland Community Development Administration, 3.00%, Sep. 2051 | | | 20,000 | | | | 19,476 | |
New York City Housing Development Corp., 0.70%, Nov. 2060 (1) | | | 27,525 | | | | 25,701 | |
New York City Housing Development Corp., 0.90%, Nov. 2060 (1) | | | 24,505 | | | | 22,709 | |
New Jersey Economic Development Authority, 5.00%, Jun. 2026-Jan. 2048 (3) | | | 3,400 | | | | 3,263 | |
Other Securities (1)(2)(4)(5) | | | 632,833 | | | | 611,307 | |
| | | | | | | | |
Total Housing | | | | 682,456 | |
| | | | | |
| Transportation – 15.87% | | | | | | | | |
City of Los Angeles Department of Airports, 4.00%, May 2038 | | | 20,750 | | | | 20,460 | |
Metropolitan Washington Airports Authority, 5.00%, Oct. 2027 | | | 33,065 | | | | 36,412 | |
Metropolitan Washington Airports Authority, 5.00%, Oct. 2032 | | | 16,490 | | | | 18,058 | |
State of Connecticut Special Tax Revenue, 5.00%, Oct. 2031 | | | 26,000 | | | | 26,797 | |
State of Michigan Trunk Line Revenue, 4.00%, Nov. 2046 | | | 24,000 | | | | 23,457 | |
New Jersey Transportation Trust Fund Authority, 0.00%, Dec. 2028 (3) | | | 980 | | | | 770 | |
Other Securities (1)(2)(4)(5) | | | 1,556,858 | | | | 1,590,047 | |
| | | | | | | | |
Total Transportation | | | | 1,716,001 | |
| | | | | |
| Utilities – 8.66% | | | | | | | | |
City of San Antonio TX Electric & Gas Systems Revenue, 1.13%, Dec. 2045 (1) | | | 22,440 | | | | 20,741 | |
County of King WA Sewer Revenue, 5.00%, Jan. 2047 | | | 28,000 | | | | 29,314 | |
Illinois Finance Authority, 5.25%, Jul. 2035 (3) | | | 20,085 | | | | 22,768 | |
Illinois Municipal Electric Agency, 4.00%, Feb. 2035 | | | 24,645 | | | | 24,271 | |
Illinois Finance Authority, 5.00%, Jan. 2029-Jul. 2034 (3) | | | 13,070 | | | | 14,603 | |
Indiana Finance Authority, 0.65%-5.00%, Aug. 2025-Oct. 2040 (1)(3) | | | 10,955 | | | | 10,348 | |
New Jersey Economic Development Authority, 1.20%-5.00%, Nov. 2034-Aug. 2059 (1)(3) | | | 5,755 | | | | 5,598 | |
Other Securities (1)(2)(5)(6) | | | 784,085 | | | | 809,021 | |
| | | | | | | | |
Total Utilities | | | | 936,664 | |
| | | | | |
Total Municipal Bonds
(Cost: $11,172,954) | | | | | | | 10,528,716 | |
| | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
SHORT-TERM INVESTMENTS – 2.19% | | | | | | | | |
| Money Market Funds – 2.02% | | | | | | | | |
Fidelity Institutional Money Market Government Fund-Class I, 1.25% (7) | | | 218,301 | | | | 218,301 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 218,301 | |
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Commercial Paper – 0.16% | | | | | | | | |
California Statewide Communities Development Authority, 0.20%, Jul. 2022 | | $ | 17,335 | | | | 17,331 | |
| | | | | | | | |
Total Commercial Paper | | | | | | | 17,331 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 51 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.01% | | | | | | | | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 1,184 | | | $ | 1,184 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 1,184 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $236,820) | | | | | | | 236,816 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.56%
(Cost: $11,409,774) | | | | | | | 10,765,532 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.44% | | | | | | | 47,591 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 10,813,123 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Adjustable rate security or includes adjustable rate securities. The rate reported is the rate in effect as of June 30, 2022. |
| (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 $618,896, which represents 5.72% of total net assets. |
| (3) | 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. |
| (4) | Includes security that is restricted at June 30, 2022. The value of the restricted securities totals $54,738, which represents 0.51% of total net assets. |
| (5) | 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, 2022. |
| (6) | Security in default or includes securities in default as of June 30, 2022. The value of these securities totals $18,681, which represents 0.17% of total net assets. |
| (7) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Sold | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (654) | | U.S. 5 Year Note Future | | | Sep. 2022 | | | $ | (74,158 | ) | | $ | (73,411 | ) | | $ | 747 | |
| (905) | | U.S. 10 Year Note Future | | | Sep. 2022 | | | | (108,673 | ) | | | (107,270 | ) | | | 1,403 | |
| (79) | | U.S. Long Bond Future | | | Sep. 2022 | | | | (11,120 | ) | | | (10,951 | ) | | | 169 | |
| (700) | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | (90,825 | ) | | | (89,163 | ) | | | 1,662 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 3,981 | |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 52 | | Annual Report • June 30, 2022 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | |
State/U.S. Territory | | Percentage of
Net Assets | |
Alabama | | | 2.44 | % |
Alaska | | | 0.14 | |
Arizona | | | 1.82 | |
Arkansas | | | 0.11 | |
California | | | 7.20 | |
Colorado | | | 2.22 | |
Connecticut | | | 2.51 | |
Delaware | | | 0.43 | |
District of Columbia | | | 1.83 | |
Florida | | | 5.49 | |
Georgia | | | 2.91 | |
Guam | | | 0.16 | |
Hawaii | | | 0.74 | |
Idaho | | | 0.20 | |
Illinois | | | 8.16 | |
Indiana | | | 1.75 | |
Iowa | | | 0.31 | |
Kansas | | | 0.25 | |
Kentucky | | | 1.57 | |
Louisiana | | | 2.14 | |
Maine | | | 0.12 | |
Maryland | | | 2.13 | |
Massachusetts | | | 1.76 | |
Michigan | | | 3.16 | |
Minnesota | | | 0.52 | |
Mississippi | | | 0.17 | |
Missouri | | | 0.76 | |
Montana | | | 0.09 | |
Nebraska | | | 0.71 | |
Nevada | | | 1.03 | |
New Hampshire | | | 0.32 | |
| | | | |
State/U.S. Territory (Continued) | | Percentage of
Net Assets | |
New Jersey | | | 3.85 | % |
New Mexico | | | 0.25 | |
New York | | | 10.34 | |
North Carolina | | | 1.14 | |
North Dakota | | | 0.14 | |
Ohio | | | 2.24 | |
Oklahoma | | | 0.57 | |
Oregon | | | 0.58 | |
Other Territory | | | 0.03 | |
Pennsylvania | | | 4.13 | |
Puerto Rico | | | 2.72 | |
Rhode Island | | | 0.30 | |
South Carolina | | | 0.87 | |
South Dakota | | | 0.17 | |
Tennessee | | | 1.12 | |
Texas | | | 8.24 | |
Utah | | | 0.53 | |
Vermont | | | 0.07 | |
Virgin Islands | | | 0.29 | |
Virginia | | | 1.89 | |
Washington | | | 2.88 | |
West Virginia | | | 0.20 | |
Wisconsin | | | 1.57 | |
Wyoming | | | 0.10 | |
| | | | |
Total Municipal Bonds | | | 97.37 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 2.19 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 99.56 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.44 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 53 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.23% | |
| Communication Services – 8.81% | |
Alphabet, Inc. – Class A (1) | | | 214 | | | $ | 465,568 | |
Alphabet, Inc. – Class C (1) | | | 157 | | | | 342,787 | |
Match Group, Inc. (1) | | | 2,261 | | | | 157,551 | |
Netflix, Inc. (1) | | | 817 | | | | 142,875 | |
Walt Disney Co. (1) | | | 1,744 | | | | 164,664 | |
Other Securities (1) | | | 1,032 | | | | 81,231 | |
| | | | | | | | |
Total Communication Services | | | | 1,354,676 | |
| | | | | | | | |
| Consumer Discretionary – 13.82% | | | | | | | | |
Amazon.com, Inc. (1) | | | 7,111 | | | | 755,284 | |
Home Depot, Inc. | | | 471 | | | | 129,092 | |
McDonald’s Corp. | | | 561 | | | | 138,496 | |
Tesla, Inc. (1) | | | 353 | | | | 237,418 | |
Yum! Brands, Inc. | | | 1,683 | | | | 191,063 | |
Other Securities (1) | | | 4,318 | | | | 675,040 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 2,126,393 | |
| | | | | | | | |
| Consumer Staples – 4.09% | | | | | | | | |
Coca-Cola Co. | | | 2,306 | | | | 145,083 | |
Procter & Gamble Co. | | | 964 | | | | 138,566 | |
Other Securities (1) | | | 2,516 | | | | 345,060 | |
| | | | | | | | |
Total Consumer Staples | | | | 628,709 | |
| | | | | | | | |
| Energy – 1.42% | | | | | | | | |
ConocoPhillips | | | 1,786 | | | | 160,437 | |
Other Securities (1) | | | 1,305 | | | | 57,506 | |
| | | | | | | | |
Total Energy | | | | 217,943 | |
| | | | | | | | |
| Financials – 9.28% | | | | | | | | |
American Express Co. | | | 1,966 | | | | 272,575 | |
Bank of America Corp. | | | 5,974 | | | | 185,965 | |
Intercontinental Exchange, Inc. | | | 1,824 | | | | 171,559 | |
Marsh & McLennan Companies, Inc. | | | 751 | | | | 116,547 | |
MSCI, Inc. – Class A | | | 512 | | | | 210,986 | |
PNC Financial Services Group, Inc. | | | 666 | | | | 104,999 | |
S&P Global, Inc. | | | 578 | | | | 194,734 | |
Other Securities (1) | | | 2,548 | | | | 170,176 | |
| | | | | | | | |
Total Financials | | | | 1,427,541 | |
| | | | | | | | |
| Healthcare – 19.64% | | | | | | | | |
Abbott Laboratories | | | 1,881 | | | | 204,416 | |
Danaher Corp. | | | 1,623 | | | | 411,347 | |
Eli Lilly & Co. | | | 322 | | | | 104,457 | |
Intuitive Surgical, Inc. (1) | | | 868 | | | | 174,246 | |
IQVIA Holdings, Inc. (1) | | | 949 | | | | 205,885 | |
Johnson & Johnson | | | 1,526 | | | | 270,896 | |
Medtronic Plc | | | 1,645 | | | | 147,643 | |
Regeneron Pharmaceuticals, Inc. (1) | | | 291 | | | | 171,872 | |
Thermo Fisher Scientific, Inc. | | | 603 | | | | 327,339 | |
UnitedHealth Group, Inc. | | | 968 | | | | 497,240 | |
Zoetis, Inc. – Class A | | | 764 | | | | 131,393 | |
Other Securities (1) | | | 3,693 | | | | 373,728 | |
| | | | | | | | |
Total Healthcare | | | | 3,020,462 | |
| | | | | | | | |
| Industrials – 3.79% | | | | | | | | |
Honeywell International, Inc. | | | 906 | | | | 157,441 | |
Other Securities (1) | | | 5,231 | | | | 426,261 | |
| | | | | | | | |
Total Industrials | | | | 583,702 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
| Information Technology – 29.98% | | | | | | | | |
Adobe, Inc. (1) | | | 761 | | | $ | 278,493 | |
Analog Devices, Inc. | | | 746 | | | | 108,914 | |
Apple, Inc. | | | 2,742 | | | | 374,909 | |
Autodesk, Inc. (1) | | | 1,060 | | | | 182,344 | |
Cisco Systems, Inc. | | | 2,663 | | | | 113,548 | |
FleetCor Technologies, Inc. (1) | | | 700 | | | | 147,066 | |
Intuit, Inc. | | | 566 | | | | 218,038 | |
Mastercard, Inc. – Class A | | | 333 | | | | 104,935 | |
Microsoft Corp. | | | 3,998 | | | | 1,026,823 | |
NVIDIA Corp. | | | 852 | | | | 129,189 | |
Salesforce, Inc. (1) | | | 2,206 | | | | 364,156 | |
Visa, Inc. – Class A | | | 2,915 | | | | 573,941 | |
Workday, Inc. – Class A (1) | | | 1,163 | | | | 162,331 | |
Other Securities (1)(2) | | | 8,035 | | | | 827,300 | |
| | | | | | | | |
Total Information Technology | | | | 4,611,987 | |
| | | | | | | | |
| Materials – 4.01% | | | | | | | | |
Ball Corp. | | | 2,876 | | | | 197,756 | |
Ecolab, Inc. | | | 1,233 | | | | 189,639 | |
Sherwin-Williams Co. | | | 733 | | | | 164,038 | |
Other Securities (1) | | | 493 | | | | 65,450 | |
| | | | | | | | |
Total Materials | | | | 616,883 | |
| | | | | | | | |
| Real Estate – 2.39% | | | | | | | | |
Equinix, Inc. | | | 267 | | | | 175,505 | |
Prologis, Inc. | | | 1,128 | | | | 132,751 | |
Other Securities (1) | | | 294 | | | | 59,038 | |
| | | | | | | | |
Total Real Estate | | | | 367,294 | |
| | | | | | | | |
| Utilities – 0.00% (3) | | | | | | | | |
Various Securities | | | 31 | | | | 711 | |
| | | | | | | | |
Total Utilities | | | | 711 | |
| | | | | | | | |
Total Common Stocks
(Cost: $12,315,245) | | | | | | | 14,956,301 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.66% | | | | | |
| Money Market Funds – 2.62% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (4) | | | 402,049 | | | | 402,049 | |
| | | | | | | | |
Total Money Market Funds | | | | 402,049 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 54 | | Annual Report • June 30, 2022 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.04% | | | | | | | | |
Barclays Bank, London, 1.06% due 07/01/2022 | | $ | 2,434 | | | $ | 2,434 | |
BBVA, Madrid, 1.06% due 07/01/2022 | | | 306 | | | | 306 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 2 | | | | 2 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 281 | | | | 281 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 3,419 | | | | 3,419 | |
| | | | | | | | |
Total Time Deposits | | | | 6,442 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $408,491) | | | | 408,491 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.89%
(Cost: $12,723,736) | | | | 15,364,792 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.11% | | | | 16,159 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 15,380,951 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
EUR Euro
| (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 $61,609, which represents 0.40% 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 | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 20 | | NASDAQ 100 E-mini Future | | | Sep. 2022 | | | $ | 4,803 | | | $ | 4,612 | | | $ | (191 | ) |
| 13 | | S&P 500 E-mini Future | | | Sep. 2022 | | | | 2,518 | | | | 2,463 | | | | (55 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (246 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 55 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.51% | |
| Communication Services – 7.15% | |
Alphabet, Inc. – Class A (1) | | | 2 | | | $ | 4,062 | |
Alphabet, Inc. – Class C (1) | | | 79 | | | | 173,292 | |
Comcast Corp. – Class A | | | 7,111 | | | | 279,042 | |
Electronic Arts, Inc. | | | 1,188 | | | | 144,509 | |
Meta Platforms, Inc. – Class A (1) | | | 816 | | | | 131,529 | |
Other Securities (1) | | | 15,608 | | | | 484,910 | |
| | | | | | | | |
Total Communication Services | | | | 1,217,344 | |
| | | | | |
| Consumer Discretionary – 8.80% | | | | | | | | |
Booking Holdings, Inc. (1) | | | 59 | | | | 103,379 | |
Compass Group Plc | | | 5,088 | | | | 104,467 | |
McDonald’s Corp. | | | 486 | | | | 120,087 | |
NIKE, Inc. – Class B | | | 1,010 | | | | 103,181 | |
TJX Companies, Inc. | | | 2,921 | | | | 163,136 | |
Other Securities (1) | | | 15,766 | | | | 904,547 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,498,797 | |
| | | | | |
| Consumer Staples – 7.98% | | | | | | | | |
Coca-Cola Co. | | | 1,792 | | | | 112,749 | |
Colgate-Palmolive Co. | | | 1,807 | | | | 144,814 | |
PepsiCo, Inc. | | | 665 | | | | 110,808 | |
Philip Morris International, Inc. | | | 2,426 | | | | 239,496 | |
Procter & Gamble Co. | | | 843 | | | | 121,171 | |
Other Securities (1) | | | 9,592 | | | | 630,869 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,359,907 | |
| | | | | |
| Energy – 5.03% | | | | | | | | |
EOG Resources, Inc. | | | 1,383 | | | | 152,728 | |
Hess Corp. | | | 1,027 | | | | 108,751 | |
Other Securities (1) | | | 10,404 | | | | 596,085 | |
| | | | | | | | |
Total Energy | | | | 857,564 | |
| | | | | |
| Financials – 15.63% | | | | | | | | |
American Express Co. | | | 828 | | | | 114,814 | |
American International Group, Inc. | | | 2,771 | | | | 141,691 | |
Arch Capital Group Ltd. (1) | | | 2,307 | | | | 104,951 | |
Bank of America Corp. | | | 3,188 | | | | 99,233 | |
Chubb Ltd. | | | 1,139 | | | | 223,916 | |
Goldman Sachs Group, Inc. | | | 458 | | | | 135,953 | |
Marsh & McLennan Companies, Inc. | | | 705 | | | | 109,481 | |
Morgan Stanley | | | 1,642 | | | | 124,897 | |
Wells Fargo & Co. | | | 4,179 | | | | 163,706 | |
Other Securities (1) | | | 28,959 | | | | 1,442,868 | |
| | | | | | | | |
Total Financials | | | | 2,661,510 | |
| | | | | |
| Healthcare – 16.92% | | | | | | | | |
Cigna Corp. | | | 483 | | | | 127,261 | |
CVS Health Corp. | | | 1,403 | | | | 130,044 | |
Elevance Health, Inc. | | | 343 | | | | 165,711 | |
Johnson & Johnson | | | 1,036 | | | | 183,882 | |
Medtronic Plc | | | 2,855 | | | | 256,218 | |
Merck & Co., Inc. | | | 3,810 | | | | 347,340 | |
Pfizer, Inc. | | | 2,743 | | | | 143,791 | |
Stryker Corp. | | | 494 | | | | 98,177 | |
UnitedHealth Group, Inc. | | | 494 | | | | 253,819 | |
Vertex Pharmaceuticals, Inc. (1) | | | 352 | | | | 99,289 | |
Other Securities (1) | | | 15,852 | | | | 1,076,474 | |
| | | | | | | | |
Total Healthcare | | | | 2,882,006 | |
| | | | | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
| Industrials – 14.45% | | | | | | | | |
Deere & Co. | | | 327 | | | $ | 97,881 | |
FedEx Corp. | | | 669 | | | | 151,628 | |
General Dynamics Corp. | | | 439 | | | | 97,089 | |
Honeywell International, Inc. | | | 690 | | | | 119,882 | |
Northrop Grumman Corp. | | | 540 | | | | 258,365 | |
Raytheon Technologies Corp. | | | 2,743 | | | | 263,599 | |
Union Pacific Corp. | | | 439 | | | | 93,557 | |
United Parcel Service, Inc. – Class B | | | 864 | | | | 157,708 | |
Other Securities (1) | | | 24,714 | | | | 1,221,516 | |
| | | | | | | | |
Total Industrials | | | | 2,461,225 | |
| | | | | |
| Information Technology – 9.88% | | | | | | | | |
Microsoft Corp. | | | 557 | | | | 143,110 | |
QUALCOMM, Inc. | | | 994 | | | | 127,019 | |
Texas Instruments, Inc. | | | 743 | | | | 114,117 | |
Visa, Inc. – Class A | | | 1,013 | | | | 199,476 | |
Other Securities (1) | | | 14,554 | | | | 1,100,053 | |
| | | | | | | | |
Total Information Technology | | | | 1,683,775 | |
| | | | | |
| Materials – 4.62% | | | | | | | | |
International Flavors & Fragrances, Inc. | | | 822 | | | | 97,961 | |
Linde Plc | | | 360 | | | | 103,379 | |
Other Securities (1)(2) | | | 12,038 | | | | 585,216 | |
| | | | | | | | |
Total Materials | | | | 786,556 | |
| | | | | |
| Real Estate – 3.38% | | | | | | | | |
VICI Properties, Inc. | | | 3,283 | | | | 97,788 | |
Other Securities (1) | | | 9,472 | | | | 477,443 | |
| | | | | | | | |
Total Real Estate | | | | 575,231 | |
| | | | | |
| Utilities – 3.67% | | | | | | | | |
Various Securities (1) | | | 10,931 | | | | 625,777 | |
| | | | | | | | |
Total Utilities | | | | 625,777 | |
| | | | | |
Total Common Stocks
(Cost: $13,377,273) | | | | 16,609,692 | |
| | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.26% | |
| Healthcare – 0.07% | |
Becton Dickinson & Co., 6.00% | | | 225 | | | | 11,137 | |
| | | | | | | | |
Total Healthcare | | | | 11,137 | |
| | | | | |
| Utilities – 0.19% | | | | | | | | |
Various Securities | | | 518 | | | | 32,302 | |
| | | | | | | | |
Total Utilities | | | | 32,302 | |
| | | | | |
Total Convertible Preferred Stocks
(Cost: $40,240) | | | | 43,439 | |
| | | | | |
PREFERRED STOCKS – 0.15% | |
| Consumer Discretionary – 0.15% | |
Volkswagen AG | | | 188 | | | | 25,298 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 25,298 | |
| | | | | |
Total Preferred Stocks
(Cost: $33,121) | | | | 25,298 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 56 | | Annual Report • June 30, 2022 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
SHORT-TERM INVESTMENTS – 1.76% | |
| Money Market Funds – 1.73% | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (3) | | | 294,167 | | | $ | 294,167 | |
| | | | | | | | |
Total Money Market Funds | | | | 294,167 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.03% | | | | | | | | |
BBVA, Madrid, 1.06% due 07/01/2022 | | $ | 310 | | | | 310 | |
BNP Paribas, Paris, 0.52% due 07/01/2022 (4) | | GBP | 0 | | | | 0 | |
Brown Brothers Harriman, 0.01% due 07/01/2022 (4) | | SEK | 0 | | | | 0 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 1 | | | | 1 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 4,456 | | | | 4,456 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | | 665 | | | | 665 | |
| | | | | | | | |
Total Time Deposits | | | | 5,432 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $299,599) | | | | 299,599 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.68%
(Cost: $13,750,233) | | | | 16,978,028 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.32% | | | | 55,229 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 17,033,257 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
EUR Euro
GBP British Pound
SEK Swedish Krona
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $11, which represents 0.00% of total net assets. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | A zero balance may reflect actual amounts rounding to less than one thousand. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 18 | | S&P 500 E-mini Future | | | Sep. 2022 | | | $ | 3,509 | | | $ | 3,411 | | | $ | (98 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (98 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 57 |
Bridge Builder Tax Managed Large Cap Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 93.54% | | | | | |
| Communication Services – 9.56% | |
Alphabet, Inc. – Class A (1) | | | 2 | | | $ | 4,459 | |
Alphabet, Inc. – Class C (1) | | | 1 | | | | 2,319 | |
Comcast Corp. – Class A | | | 31 | | | | 1,226 | |
Electronic Arts, Inc. | | | 7 | | | | 795 | |
Meta Platforms, Inc. – Class A (1) | | | 7 | | | | 1,197 | |
T-Mobile U.S., Inc. (1) | | | 11 | | | | 1,522 | |
Other Securities (1) | | | 79 | | | | 2,997 | |
| | | | | | | | |
Total Communication Services | | | | 14,515 | |
| | | | | |
| Consumer Discretionary – 10.65% | | | | | | | | |
Amazon.com, Inc. (1) | | | 45 | | | | 4,767 | |
Dollar General Corp. | | | 6 | | | | 1,425 | |
Home Depot, Inc. | | | 4 | | | | 1,076 | |
Rivian Automotive, Inc. – Class A (1) | | | 32 | | | | 827 | |
Other Securities (1) | | | 144 | | | | 8,083 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 16,178 | |
| | | | | |
| Consumer Staples – 3.79% | | | | | | | | |
Procter & Gamble Co. | | | 6 | | | | 846 | |
Walmart, Inc. | | | 8 | | | | 996 | |
Other Securities (1) | | | 52 | | | | 3,912 | |
| | | | | | | | |
Total Consumer Staples | | | | 5,754 | |
| | | | | |
| Energy – 4.22% | | | | | | | | |
Chevron Corp. | | | 7 | | | | 1,082 | |
Exxon Mobil Corp. | | | 9 | | | | 784 | |
Hess Corp. | | | 9 | | | | 948 | |
Pioneer Natural Resources Co. | | | 8 | | | | 1,732 | |
Other Securities | | | 52 | | | | 1,868 | |
| | | | | | | | |
Total Energy | | | | 6,414 | |
| | | | | |
| Financials – 9.65% | | | | | | | | |
Bank of America Corp. | | | 29 | | | | 904 | |
Berkshire Hathaway, Inc. – Class B (1) | | | 7 | | | | 1,823 | |
JPMorgan Chase & Co. | | | 12 | | | | 1,296 | |
M&T Bank Corp. | | | 5 | | | | 781 | |
Travelers Companies, Inc. | | | 7 | | | | 1,105 | |
Other Securities (1) | | | 125 | | | | 8,743 | |
| | | | | | | | |
Total Financials | | | | 14,652 | |
| | | | | |
| Healthcare – 14.99% | | | | | | | | |
Becton Dickinson & Co. | | | 3 | | | | 794 | |
Cigna Corp. | | | 5 | | | | 1,186 | |
Elevance Health, Inc. | | | 2 | | | | 1,009 | |
Humana, Inc. | | | 3 | | | | 1,218 | |
Johnson & Johnson | | | 8 | | | | 1,387 | |
Merck & Co., Inc. | | | 23 | | | | 2,136 | |
Perrigo Co. Plc | | | 20 | | | | 796 | |
Pfizer, Inc. | | | 17 | | | | 868 | |
Stryker Corp. | | | 5 | | | | 956 | |
Thermo Fisher Scientific, Inc. | | | 3 | | | | 1,390 | |
UnitedHealth Group, Inc. | | | 9 | | | | 4,416 | |
Other Securities (1) | | | 77 | | | | 6,611 | |
| | | | | | | | |
Total Healthcare | | | | 22,767 | |
| | | | | |
| Industrials – 8.01% | | | | | | | | |
Honeywell International, Inc. | | | 6 | | | | 982 | |
Raytheon Technologies Corp. | | | 20 | | | | 1,954 | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
United Parcel Service, Inc. – Class B | | | 5 | | | $ | 851 | |
Waste Management, Inc. | | | 5 | | | | 829 | |
Other Securities (1) | | | 157 | | | | 7,545 | |
| | | | | | | | |
Total Industrials | | | | 12,161 | |
| | | | | |
| Information Technology – 23.23% | | | | | | | | |
Apple, Inc. | | | 46 | | | | 6,270 | |
ASML Holding NV – Class REG | | | 2 | | | | 954 | |
Automatic Data Processing, Inc. | | | 4 | | | | 821 | |
Fidelity National Information Services, Inc. | | | 12 | | | | 1,112 | |
Fiserv, Inc. (1) | | | 9 | | | | 842 | |
Intuit, Inc. | | | 3 | | | | 1,270 | |
Microsoft Corp. | | | 35 | | | | 9,101 | |
Oracle Corp. | | | 16 | | | | 1,128 | |
Salesforce, Inc. (1) | | | 5 | | | | 822 | |
Visa, Inc. – Class A | | | 12 | | | | 2,291 | |
Other Securities (1) | | | 101 | | | | 10,666 | |
| | | | | | | | |
Total Information Technology | | | | 35,277 | |
| | | | | |
| Materials – 4.52% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 6 | | | | 1,400 | |
Other Securities (1) | | | 120 | | | | 5,461 | |
| | | | | | | | |
Total Materials | | | | 6,861 | |
| | | | | |
| Real Estate – 2.53% | | | | | | | | |
American Tower Corp. | | | 3 | | | | 805 | |
VICI Properties, Inc. | | | 33 | | | | 985 | |
Other Securities (1) | | | 47 | | | | 2,060 | |
| | | | | | | | |
Total Real Estate | | | | 3,850 | |
| | | | | |
| Utilities – 2.39% | | | | | | | | |
Pinnacle West Capital Corp. | | | 11 | | | | 782 | |
Other Securities | | | 52 | | | | 2,844 | |
| | | | | | | | |
Total Utilities | | | | 3,626 | |
| | | | | |
Total Common Stocks
(Cost: $151,607) | | | | 142,055 | |
| | | | | |
SHORT-TERM INVESTMENTS – 4.04% | |
| Money Market Funds – 3.02% | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (2) | | | 4,577 | | | | 4,577 | |
| | | | | | | | |
Total Money Market Funds | | | | 4,577 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 58 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed Large Cap Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 1.02% | | | | | | | | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 1,552 | | | $ | 1,552 | |
| | | | | | | | |
Total Time Deposits | | | | 1,552 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $6,129) | | | | 6,129 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 97.58%
(Cost: $157,736) | | | | 148,184 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.42% | | | | 3,682 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 151,866 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 59 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 96.30% | |
| Communication Services – 3.67% | |
Match Group, Inc. (1) | | | 383 | | | $ | 26,671 | |
Other Securities (1) | | | 3,629 | | | | 168,808 | |
| | | | | | | | |
Total Communication Services | | | | 195,479 | |
| | | | | |
| Consumer Discretionary – 10.05% | | | | | | | | |
Advance Auto Parts, Inc. | | | 189 | | | | 32,793 | |
Chipotle Mexican Grill, Inc. – Class A (1) | | | 25 | | | | 32,093 | |
Leslie’s, Inc. (1) | | | 1,874 | | | | 28,440 | |
Planet Fitness, Inc. – Class A (1) | | | 391 | | | | 26,580 | |
Tractor Supply Co. | | | 153 | | | | 29,624 | |
Ulta Beauty, Inc. (1) | | | 111 | | | | 42,613 | |
Other Securities (1) | | | 7,138 | | | | 343,440 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 535,583 | |
| | | | | |
| Consumer Staples – 4.29% | | | | | | | | |
Various Securities (1) | | | 4,044 | | | | 228,972 | |
| | | | | | | | |
Total Consumer Staples | | | | 228,972 | |
| | | | | |
| Energy – 2.49% | | | | | | | | |
Various Securities (1) | | | 5,481 | | | | 132,675 | |
| | | | | | | | |
Total Energy | | | | 132,675 | |
| | | | | |
| Financials – 10.72% | | | | | | | | |
Arthur J. Gallagher & Co. | | | 213 | | | | 34,770 | |
Everest Re Group Ltd. | | | 143 | | | | 40,123 | |
LPL Financial Holdings, Inc. | | | 216 | | | | 39,886 | |
MSCI, Inc. – Class A | | | 63 | | | | 25,761 | |
Nasdaq, Inc. | | | 183 | | | | 27,938 | |
Ryan Specialty Holdings, Inc. – Class A (1) | | | 787 | | | | 30,835 | |
SVB Financial Group (1) | | | 128 | | | | 50,572 | |
Tradeweb Markets, Inc. – Class A | | | 804 | | | | 54,858 | |
Other Securities (1) | | | 4,118 | | | | 266,961 | |
| | | | | | | | |
Total Financials | | | | 571,704 | |
| | | | | |
| Healthcare – 22.82% | | | | | | | | |
Argenx SE – ADR (1) | | | 145 | | | | 55,089 | |
Ascendis Pharma – ADR (1) | | | 404 | | | | 37,573 | |
Bio-Techne Corp. | | | 101 | | | | 35,135 | |
Catalent, Inc. (1) | | | 652 | | | | 69,991 | |
Cooper Companies, Inc. | | | 78 | | | | 24,349 | |
DexCom, Inc. (1) | | | 455 | | | | 33,897 | |
Edwards Lifesciences Corp. (1) | | | 355 | | | | 33,757 | |
Halozyme Therapeutics, Inc. (1) | | | 679 | | | | 29,892 | |
Inspire Medical Systems, Inc. (1) | | | 139 | | | | 25,358 | |
Repligen Corp. (1) | | | 257 | | | | 41,744 | |
STERIS Plc | | | 124 | | | | 25,563 | |
Veeva Systems, Inc. – Class A (1) | | | 399 | | | | 79,039 | |
Waters Corp. (1) | | | 119 | | | | 39,297 | |
West Pharmaceutical Services, Inc. | | | 96 | | | | 29,038 | |
Other Securities (1)(2) | | | 14,798 | | | | 656,746 | |
| | | | | | | | |
Total Healthcare | | | | 1,216,468 | |
| | | | | |
| Industrials – 15.50% | | | | | | | | |
AMETEK, Inc. | | | 329 | | | | 36,154 | |
Chart Industries, Inc. (1) | | | 215 | | | | 36,067 | |
Fortive Corp. | | | 932 | | | | 50,689 | |
Generac Holdings, Inc. (1) | | | 250 | | | | 52,743 | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
IDEX Corp. | | | 153 | | | $ | 27,847 | |
Ingersoll Rand, Inc. | | | 685 | | | | 28,812 | |
Nordson Corp. | | | 121 | | | | 24,552 | |
Quanta Services, Inc. | | | 204 | | | | 25,519 | |
Rockwell Automation, Inc. | | | 151 | | | | 30,018 | |
Toro Co. | | | 328 | | | | 24,862 | |
Verisk Analytics, Inc. – Class A | | | 194 | | | | 33,558 | |
Other Securities (1) | | | 9,103 | | | | 455,536 | |
| | | | | | | | |
Total Industrials | | | | 826,357 | |
| | | | | |
| Information Technology – 22.55% | | | | | | | | |
Atlassian Corp. Plc – Class A (1) | | | 212 | | | | 39,757 | |
Five9, Inc. (1) | | | 284 | | | | 25,841 | |
Global Payments, Inc. | | | 369 | | | | 40,811 | |
HubSpot, Inc. (1) | | | 141 | | | | 42,411 | |
Lattice Semiconductor Corp. (1) | | | 720 | | | | 34,921 | |
ON Semiconductor Corp. (1) | | | 596 | | | | 30,000 | |
Palo Alto Networks, Inc. (1) | | | 70 | | | | 34,494 | |
Pure Storage, Inc. – Class A (1) | | | 958 | | | | 24,637 | |
Synopsys, Inc. (1) | | | 170 | | | | 51,572 | |
Zscaler, Inc. (1) | | | 349 | | | | 52,248 | |
Other Securities (1) | | | 15,976 | | | | 825,867 | |
| | | | | | | | |
Total Information Technology | | | | 1,202,559 | |
| | | | | |
| Materials – 3.13% | | | | | | | | |
Various Securities (1) | | | 3,226 | | | | 167,058 | |
| | | | | | | | |
Total Materials | | | | 167,058 | |
| | | | | |
| Real Estate – 1.02% | | | | | | | | |
Various Securities (1) | | | 1,399 | | | | 54,366 | |
| | | | | | | | |
Total Real Estate | | | | 54,366 | |
| | | | | |
| Utilities – 0.06% | | | | | | | | |
Various Securities (1) | | | 104 | | | | 3,430 | |
| | | | | | | | |
Total Utilities | | | | 3,430 | |
| | | | | |
Total Common Stocks
(Cost: $4,949,231) | | | | 5,134,651 | |
| | | | | |
SHORT-TERM INVESTMENTS – 3.53% | |
| Money Market Funds – 3.46% | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (3) | | | 184,308 | | | | 184,308 | |
| | | | | | | | |
Total Money Market Funds | | | | 184,308 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 60 | | Annual Report • June 30, 2022 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.07% | | | | | | | | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 1,445 | | | $ | 1,445 | |
Citibank, New York, 1.06% due 07/01/2022 | | | 2,293 | | | | 2,293 | |
Sumitomo Trust Bank, London, 1.06% due 07/01/2022 | | | 192 | | | | 192 | |
| | | | | | | | |
Total Time Deposits | | | | 3,930 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $188,238) | | | | 188,238 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.83%
(Cost: $5,137,469) | | | | 5,322,889 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.17% | | | | 8,948 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 5,331,837 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $16, which represents 0.00% of total net assets. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 9 | | E-mini Russell 2000 Future | | | Sep. 2022 | | | $ | 791 | | | $ | 769 | | | $ | (22 | ) |
| 7 | | S&P 500 E-mini Future | | | Sep. 2022 | | | | 1,349 | | | | 1,326 | | | | (23 | ) |
| 3 | | S&P MidCap 400 E-mini Future | | | Sep. 2022 | | | | 693 | | | | 680 | | | | (13 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (58 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 61 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 96.61% | |
Communication Services – 1.77%
| | | | | |
Nexstar Media Group, Inc. – Class A | | | 306 | | | $ | 49,840 | |
Other Securities (1) | | | 2,955 | | | | 57,046 | |
| | | | | | | | |
Total Communication Services | | | | 106,886 | |
| | | | | | | | |
| Consumer Discretionary – 11.09% | | | | | |
AutoZone, Inc. (1) | | | 13 | | | | 28,383 | |
LKQ Corp. | | | 471 | | | | 23,137 | |
Whirlpool Corp. | | | 134 | | | | 20,790 | |
Other Securities (1) | | | 17,440 | | | | 598,173 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 670,483 | |
| | | | | | | | |
| Consumer Staples – 4.10% | | | | | |
Church & Dwight Co., Inc. | | | 319 | | | | 29,590 | |
Other Securities (1) | | | 5,095 | | | | 218,110 | |
| | | | | | | | |
Total Consumer Staples | | | | 247,700 | |
| | | | | | | | |
| Energy – 5.75% | | | | | |
Diamondback Energy, Inc. | | | 275 | | | | 33,343 | |
Magnolia Oil & Gas Corp. – Class A | | | 1,041 | | | | 21,856 | |
Matador Resources Co. | | | 445 | | | | 20,711 | |
Pioneer Natural Resources Co. | | | 168 | | | | 37,528 | |
Southwestern Energy Co. (1) | | | 3,304 | | | | 20,652 | |
Other Securities (1) | | | 7,731 | | | | 213,287 | |
| | | | | | | | |
Total Energy | | | | 347,377 | |
| | | | | | | | |
| Financials – 20.05% | | | | | |
Alleghany Corp. (1) | | | 25 | | | | 21,219 | |
Allstate Corp. | | | 248 | | | | 31,367 | |
American International Group, Inc. | | | 584 | | | | 29,840 | |
Ameriprise Financial, Inc. | | | 161 | | | | 38,354 | |
CVB Financial Corp. | | | 871 | | | | 21,610 | |
Discover Financial Services | | | 275 | | | | 25,975 | |
East West Bancorp, Inc. | | | 406 | | | | 26,307 | |
Everest Re Group Ltd. | | | 97 | | | | 27,077 | |
Fifth Third Bancorp | | | 1,018 | | | | 34,210 | |
Glacier Bancorp, Inc. | | | 429 | | | | 20,324 | |
Huntington Bancshares, Inc. | | | 1,785 | | | | 21,469 | |
Independent Bank Corp. | | | 289 | | | | 22,418 | |
KeyCorp | | | 1,536 | | | | 26,467 | |
Nasdaq, Inc. | | | 134 | | | | 20,474 | |
Selective Insurance Group, Inc. | | | 258 | | | | 22,468 | |
South State Corp. | | | 288 | | | | 22,234 | |
Other Securities (1) | | | 27,553 | | | | 800,622 | |
| | | | | | | | |
Total Financials | | | | 1,212,435 | |
| | | | | | | | |
| Healthcare – 9.52% | | | | | |
Avantor, Inc. (1) | | | 1,221 | | | | 37,978 | |
Elanco Animal Health, Inc. (1) | | | 1,432 | | | | 28,111 | |
ICON Plc (1) | | | 118 | | | | 25,659 | |
Lantheus Holdings, Inc. (1) | | | 371 | | | | 24,472 | |
Sotera Health Co. (1) | | | 1,166 | | | | 22,851 | |
Syneos Health, Inc. – Class A (1) | | | 300 | | | | 21,481 | |
Other Securities (1)(2) | | | 13,381 | | | | 414,962 | |
| | | | | | | | |
Total Healthcare | | | | 575,514 | |
| | | | | | | | |
| Industrials – 15.87% | | | | | |
AMETEK, Inc. | | | 298 | | | | 32,795 | |
CACI International, Inc. – Class A (1) | | | 110 | | | | 31,087 | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
Parker-Hannifin Corp. | | | 114 | | | $ | 28,086 | |
Republic Services, Inc. – Class A | | | 227 | | | | 29,685 | |
WillScot Mobile Mini Holdings Corp. – Class A (1) | | | 1,120 | | | | 36,302 | |
Other Securities (1) | | | 18,101 | | | | 801,270 | |
| | | | | | | | |
Total Industrials | | | | 959,225 | |
| | | | | | | | |
| Information Technology – 9.15% | | | | | |
Check Point Software Technologies Ltd. (1) | | | 247 | | | | 30,021 | |
Cognizant Technology Solutions Corp. – Class A | | | 314 | | | | 21,169 | |
MAXIMUS, Inc. | | | 350 | | | | 21,900 | |
Motorola Solutions, Inc. | | | 223 | | | | 46,830 | |
Other Securities (1) | | | 14,824 | | | | 433,195 | |
| | | | | | | | |
Total Information Technology | | | | 553,115 | |
| | | | | | | | |
| Materials – 6.75% | | | | | |
Crown Holdings, Inc. | | | 376 | | | | 34,701 | |
FMC Corp. | | | 276 | | | | 29,487 | |
Other Securities (1)(2) | | | 11,725 | | | | 344,193 | |
| | | | | | | | |
Total Materials | | | | 408,381 | |
| | | | | | | | |
| Real Estate – 5.94% | | | | | |
Various Securities (1) | | | 14,587 | | | | 359,077 | |
| | | | | | | | |
Total Real Estate | | | | 359,077 | |
| | | | | | | | |
| Utilities – 6.62% | | | | | |
Alliant Energy Corp. | | | 583 | | | | 34,164 | |
Ameren Corp. | | | 397 | | | | 35,854 | |
CenterPoint Energy, Inc. | | | 814 | | | | 24,085 | |
CMS Energy Corp. | | | 523 | | | | 35,305 | |
Evergy, Inc. | | | 606 | | | | 39,531 | |
ONE Gas, Inc. | | | 253 | | | | 20,544 | |
Vistra Corp. | | | 1,937 | | | | 44,271 | |
Other Securities (1) | | | 2,955 | | | | 166,360 | |
| | | | | | | | |
Total Utilities | | | | 400,114 | |
| | | | | | | | |
Total Common Stocks
(Cost: $4,942,049) | | | | 5,840,307 | |
| | | | | | | | |
| EXCHANGE TRADED FUNDS – 0.42% | |
iShares Russell Mid-Capital
Value ETF | | | 248 | | | | 25,142 | |
| | | | | | | | |
Total Exchange Traded Funds
(Cost: $28,891) | | | | 25,142 | |
| | | | | | | | |
| SHORT-TERM INVESTMENTS – 2.66% | |
| Money Market Funds – 2.54% | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (3) | | | 153,912 | | | | 153,912 | |
| | | | | | | | |
Total Money Market Funds | | | | 153,912 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 62 | | Annual Report • June 30, 2022 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.12% | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 1,432 | | | $ | 1,432 | |
Barclays Bank, London, 1.06% due 07/01/2022 | | | 467 | | | | 467 | |
Citibank, New York, 1.06% due 07/01/2022 | | | 3,897 | | | | 3,897 | |
JP Morgan, New York, 1.06% due 07/01/2022 | | | 215 | | | | 215 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022(4) | | CAD | 0 | | | | 0 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 357 | | | | 357 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 756 | | | | 756 | |
| | | | | | | | |
Total Time Deposits | | | | 7,124 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $161,036) | | | | 161,036 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.69%
(Cost: $5,131,976) | | | | 6,026,485 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.31% | | | | 18,806 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 6,045,291 | |
| | | | | | | | |
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) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $22, which represents 0.00% of total net assets. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | A zero balance may reflect actual amounts rounding to less than one thousand. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 35 | | E-mini Russell 2000 Future | | | Sep. 2022 | | | $ | 3,058 | | | $ | 2,989 | | | $ | (69 | ) |
| 6 | | S&P 500 E-mini Future | | | Sep. 2022 | | | | 1,170 | | | | 1,137 | | | | (33 | ) |
| 1 | | S&P MidCap 400 E-mini Future | | | Sep. 2022 | | | | 247 | | | | 227 | | | | (20 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (122 | ) |
| | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 63 |
Bridge Builder Tax Managed Small/Mid Cap Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 94.79% | |
| Communication Services – 2.05% | |
Nexstar Media Group, Inc. – Class A | | | 3 | | | $ | 423 | |
Other Securities (1) | | | 35 | | | | 1,411 | |
| | | | | | | | |
Total Communication Services | | | | 1,834 | |
| | | | | | | | |
| Consumer Discretionary – 11.26% | | | | | | | | |
Bright Horizons Family Solutions, Inc. (1) | | | 4 | | | | 368 | |
DR Horton, Inc. | | | 5 | | | | 342 | |
LKQ Corp. | | | 12 | | | | 600 | |
Pool Corp. | | | 1 | | | | 468 | |
Other Securities (1) | | | 213 | | | | 8,294 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 10,072 | |
| | | | | | | | |
| Consumer Staples – 3.75% | | | | | | | | |
Church & Dwight Co., Inc. | | | 6 | | | | 575 | |
Keurig Dr Pepper, Inc. | | | 12 | | | | 416 | |
Reynolds Consumer Products, Inc. | | | 17 | | | | 451 | |
Other Securities (1) | | | 54 | | | | 1,912 | |
| | | | | | | | |
Total Consumer Staples | | | | 3,354 | |
| | | | | | | | |
| Energy – 3.93% | | | | | | | | |
EOG Resources, Inc. | | | 4 | | | | 412 | |
Other Securities (1) | | | 86 | | | | 3,102 | |
| | | | | | | | |
Total Energy | | | | 3,514 | |
| | | | | | | | |
| Financials – 14.22% | | | | | | | | |
Annaly Capital Management, Inc. | | | 67 | | | | 395 | |
Arch Capital Group Ltd. (1) | | | 14 | | | | 630 | |
Brown & Brown, Inc. | | | 8 | | | | 488 | |
Glacier Bancorp, Inc. | | | 8 | | | | 362 | |
LPL Financial Holdings, Inc. | | | 3 | | | | 495 | |
RLI Corp. | | | 3 | | | | 342 | |
Other Securities (1) | | | 254 | | | | 10,005 | |
| | | | | | | | |
Total Financials | | | | 12,717 | |
| | | | | | | | |
| Healthcare – 13.21% | | | | | | | | |
Acadia Healthcare Co., Inc. (1) | | | 6 | | | | 392 | |
Alcon, Inc. | | | 6 | | | | 386 | |
Bio-Techne Corp. | | | 1 | | | | 405 | |
Halozyme Therapeutics, Inc. (1) | | | 8 | | | | 343 | |
Humana, Inc. | | | 1 | | | | 463 | |
Neurocrine Biosciences, Inc. (1) | | | 4 | | | | 368 | |
West Pharmaceutical Services, Inc. | | | 1 | | | | 373 | |
Other Securities (1) | | | 234 | | | | 9,085 | |
| | | | | | | | |
Total Healthcare | | | | 11,815 | |
| | | | | | | | |
| Industrials – 19.01% | | | | | | | | |
AAON, Inc. | | | 7 | | | | 382 | |
AerCap Holdings NV (1) | | | 11 | | | | 438 | |
Carlisle Companies, Inc. | | | 3 | | | | 711 | |
Jacobs Engineering Group, Inc. | | | 5 | | | | 633 | |
Kirby Corp. (1) | | | 6 | | | | 338 | |
Nordson Corp. | | | 3 | | | | 541 | |
RBC Bearings, Inc. (1) | | | 4 | | | | 690 | |
Republic Services, Inc. – Class A | | | 4 | | | | 570 | |
Stanley Black & Decker, Inc. | | | 3 | | | | 337 | |
Tetra Tech, Inc. | | | 4 | | | | 489 | |
Toro Co. | | | 8 | | | | 591 | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
Other Securities (1) | | | 266 | | | $ | 11,283 | |
| | | | | | | | |
Total Industrials | | | | 17,003 | |
| | | | | | | | |
| Information Technology – 16.65% | | | | | | | | |
Amdocs Ltd. | | | 7 | | | | 553 | |
Entegris, Inc. | | | 6 | | | | 532 | |
Fair Isaac Corp. (1) | | | 1 | | | | 376 | |
Jack Henry & Associates, Inc. | | | 2 | | | | 336 | |
Lattice Semiconductor Corp. (1) | | | 12 | | | | 562 | |
Manhattan Associates, Inc. (1) | | | 3 | | | | 382 | |
MKS Instruments, Inc. | | | 4 | | | | 454 | |
Novanta, Inc. (1) | | | 5 | | | | 608 | |
Zebra Technologies Corp. – Class A (1) | | | 1 | | | | 332 | |
Other Securities (1) | | | 233 | | | | 10,756 | |
| | | | | | | | |
Total Information Technology | | | | 14,891 | |
| | | | | | | | |
| Materials – 4.14% | | | | | | | | |
Ashland Global Holdings, Inc. | | | 4 | | | | 388 | |
Berry Global Group, Inc. (1) | | | 6 | | | | 332 | |
Vulcan Materials Co. | | | 3 | | | | 381 | |
Other Securities (1) | | | 56 | | | | 2,606 | |
| | | | | | | | |
Total Materials | | | | 3,707 | |
| | | | | | | | |
| Real Estate – 3.94% | | | | | | | | |
American Campus Communities, Inc. | | | 7 | | | | 442 | |
CBRE Group, Inc. – Class A (1) | | | 6 | | | | 441 | |
Other Securities (1) | | | 121 | | | | 2,638 | |
| | | | | | | | |
Total Real Estate | | | | 3,521 | |
| | | | | | | | |
| Utilities – 2.63% | | | | | | | | |
American Electric Power Co., Inc. | | | 5 | | | | 460 | |
American Water Works Co., Inc. | | | 2 | | | | 357 | |
FirstEnergy Corp. | | | 11 | | | | 441 | |
Other Securities | | | 19 | | | | 1,097 | |
| | | | | | | | |
Total Utilities | | | | 2,355 | |
| | | | | | | | |
Total Common Stocks
(Cost: $91,734) | | | | 84,783 | |
| | | | | | | | |
EXCHANGE TRADED FUNDS – 0.24% | | | | | | | | |
SPDR S&P Oil & Gas Exploration &
Production ETF | | | 2 | | | | 217 | |
| | | | | | | | |
Total Exchange Traded Funds
(Cost: $293) | | | | 217 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.63% | | | | | | | | |
| Money Market Funds – 2.31% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (2) | | | 2,067 | | | | 2,067 | |
| | | | | | | | |
Total Money Market Funds | | | | 2,067 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 64 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed Small/Mid Cap Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.32% | | | | | | | | |
Barclays Bank, London, 1.06% due 07/01/2022 | | $ | 285 | | | $ | 285 | |
| | | | | | | | |
Total Time Deposits | | | | 285 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $2,352) | | | | 2,352 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 97.66%
(Cost: $94,379) | | | | 87,352 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.34% | | | | 2,095 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 89,447 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 65 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.55% | |
| Communication Services – 6.23% | |
Nippon Telegraph & Telephone Corp. | | | 5,444 | | | $ | 156,429 | |
Rightmove Plc | | | 10,747 | | | | 74,478 | |
Telia Co. AB | | | 22,330 | | | | 85,703 | |
WPP Plc | | | 9,676 | | | | 97,735 | |
Other Securities (1)(2) | | | 95,491 | | | | 432,977 | |
| | | | | | | | |
Total Communication Services | | | | 847,322 | |
| | | | | | | | |
| Consumer Discretionary – 14.82% | | | | | | | | |
Alibaba Group Holding Ltd. (2) | | | 6,198 | | | | 88,422 | |
Cie Financiere Richemont SA | | | 1,005 | | | | 85,067 | |
Honda Motor Co. Ltd. | | | 6,704 | | | | 161,653 | |
Kingfisher Plc | | | 31,827 | | | | 95,114 | |
Li Ning Co. Ltd. | | | 8,878 | | | | 82,665 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 191 | | | | 117,344 | |
Sony Group Corp. | | | 1,557 | | | | 126,951 | |
Other Securities (1)(2) | | | 81,326 | | | | 1,259,505 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 2,016,721 | |
| | | | | | | | |
| Consumer Staples – 8.81% | | | | | | | | |
Imperial Brands Plc | | | 4,577 | | | | 102,460 | |
Nestle SA | | | 676 | | | | 78,966 | |
Tesco Plc | | | 48,605 | | | | 151,482 | |
WH Group Ltd. (1) | | | 106,261 | | | | 82,245 | |
Other Securities (1)(2)(3)(4) | | | 110,232 | | | | 784,549 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,199,702 | |
| | | | | | | | |
| Energy – 4.23% | | | | | | | | |
BP Plc | | | 34,930 | | | | 164,013 | |
Shell Plc | | | 8,055 | | | | 209,467 | |
Other Securities (2) | | | 32,542 | | | | 202,011 | |
| | | | | | | | |
Total Energy | | | | 575,491 | |
| | | | | | | | |
| Financials – 15.33% | | | | | | | | |
AIA Group Ltd. | | | 14,716 | | | | 160,797 | |
Allianz SE | | | 461 | | | | 88,318 | |
Banco Santander SA | | | 35,372 | | | | 100,081 | |
Lloyds Banking Group Plc | | | 261,188 | | | | 134,383 | |
Tokio Marine Holdings, Inc. | | | 2,258 | | | | 131,686 | |
United Overseas Bank Ltd. | | | 9,477 | | | | 179,047 | |
Other Securities (1)(2) | | | 168,996 | | | | 1,292,152 | |
| | | | | | | | |
Total Financials | | | | 2,086,464 | |
| | | | | | | | |
| Healthcare – 13.85% | | | | | | | | |
AstraZeneca Plc | | | 576 | | | | 75,950 | |
CSL Ltd. | | | 390 | | | | 72,381 | |
GSK Plc | | | 6,279 | | | | 135,321 | |
Mettler-Toledo International, Inc. (2) | | | 94 | | | | 107,426 | |
Novartis AG | | | 1,770 | | | | 150,048 | |
Novo Nordisk – Class B | | | 1,293 | | | | 143,356 | |
Roche Holding AG | | | 374 | | | | 125,228 | |
Sanofi | | | 1,647 | | | | 166,135 | |
Takeda Pharmaceutical Co. Ltd. | | | 5,597 | | | | 157,208 | |
Other Securities (1)(2) | | | 17,435 | | | | 751,685 | |
| | | | | | | | |
Total Healthcare | | | | 1,884,738 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
| Industrials – 16.04% | | | | | | | | |
Atlas Copco AB – Class A | | | 8,218 | | | $ | 76,923 | |
Bouygues SA | | | 2,650 | | | | 81,783 | |
Canadian Pacific Railway Ltd. | | | 1,345 | | | | 93,935 | |
CK Hutchison Holdings Ltd. | | | 20,047 | | | | 135,995 | |
Experian Plc | | | 3,289 | | | | 96,565 | |
Hitachi Ltd. | | | 1,929 | | | | 91,772 | |
Mitsubishi Electric Corp. | | | 9,729 | | | | 104,574 | |
Other Securities (1)(2) | | | 92,073 | | | | 1,501,571 | |
| | | | | | | | |
Total Industrials | | | | 2,183,118 | |
| | | | | | | | |
| Information Technology – 10.78% | | | | | | | | |
Accenture Plc – Class A | | | 258 | | | | 71,634 | |
Adyen NV (1)(2) | | | 59 | | | | 85,601 | |
ASML Holding NV | | | 168 | | | | 79,493 | |
ASML Holding NV – Class REG | | | 139 | | | | 66,147 | |
FUJIFILM Holdings Corp. | | | 1,353 | | | | 72,715 | |
Keyence Corp. | | | 237 | | | | 81,332 | |
Kyocera Corp. | | | 1,909 | | | | 102,048 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 4,015 | | | | 64,344 | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 1,633 | | | | 133,515 | |
Other Securities (1)(2) | | | 56,402 | | | | 710,705 | |
| | | | | | | | |
Total Information Technology | | | | 1,467,534 | |
| | | | | | | | |
| Materials – 4.32% | | | | | | | | |
Evonik Industries AG | | | 3,460 | | | | 74,201 | |
Other Securities (1)(2)(3)(4) | | | 29,343 | | | | 513,704 | |
| | | | | | | | |
Total Materials | | | | 587,905 | |
| | | | | | | | |
| Real Estate – 0.21% | | | | | | | | |
Various Securities (1)(2) | | | 4,198 | | | | 29,237 | |
| | | | | | | | |
Total Real Estate | | | | 29,237 | |
| | | | | | | | |
| Utilities – 2.93% | | | | | | | | |
Enel SpA | | | 26,395 | | | | 144,759 | |
Snam SpA | | | 21,556 | | | | 113,092 | |
SSE Plc | | | 5,484 | | | | 108,229 | |
Other Securities (1)(2) | | | 2,553 | | | | 32,351 | |
| | | | | | | | |
Total Utilities | | | | 398,431 | |
| | | | | | | | |
Total Common Stocks
(Cost: $13,977,931) | | | | 13,276,663 | |
| | | | | | | | |
PREFERRED STOCKS – 0.36% | | | | | | | | |
| Consumer Discretionary – 0.35% | | | | | | | | |
Various Securities | | | 359 | | | | 47,551 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 47,551 | |
| | | | | | | | |
| Consumer Staples – 0.01% | | | | | | | | |
Various Securities | | | 16 | | | | 727 | |
| | | | | | | | |
Total Consumer Staples | | | | 727 | |
| | | | | | | | |
| Healthcare – 0.00% (5) | | | | | | | | |
Sartorius AG | | | 1 | | | | 408 | |
| | | | | | | | |
Total Healthcare | | | | 408 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $70,799) | | | | 48,686 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 66 | | Annual Report • June 30, 2022 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
RIGHTS – 0.01% | | | | | | | | |
| Communication Services – 0.00% (5) | | | | | |
carsales.com Ltd., expires 07/13/2022 (2) | | | 45 | | | $ | 21 | |
| | | | | | | | |
Total Communication Services | | | | 21 | |
| | | | | | | | |
| Energy – 0.00% (5) | | | | | | | | |
Saipem SpA, expires 07/13/2022 (2) | | | 100 | | | | 132 | |
| | | | | | | | |
Total Energy | | | | 132 | |
| | | | | | | | |
| Information Technology – 0.01% (5) | | | | | |
Moder Times Group, expires 12/31/2022 (2) | | | 258 | | | | 631 | |
| | | | | | | | |
Total Information Technology | | | | 631 | |
| | | | | | | | |
Total Rights
(Cost: $11,843) | | | | 784 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 1.91% | | | | | |
| Money Market Funds – 1.51% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (6) | | | 205,948 | | | | 205,948 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 205,948 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.40% | | | | | | | | |
ANZ, Hong Kong, 0.25% due 07/01/2022 | | AUD | 237 | | | | 163 | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 296 | | | | 296 | |
BBVA, Madrid, 1.06% due 07/01/2022 (7) | | | 0 | | | | 0 | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 75 | | | | 78 | |
BNP Paribas, Paris, 0.52% due 07/01/2022 | | GBP | 13,231 | | | | 16,107 | |
Brown Brothers Harriman, -0.73% due 07/01/2022 | | DKK | 329 | | | | 46 | |
Brown Brothers Harriman, 0.25% due 07/01/2022 | | NZD | 20 | | | | 12 | |
Brown Brothers Harriman, 0.37% due 07/04/2022 | | HKD | 929 | | | | 118 | |
Brown Brothers Harriman, 3.85% due 07/01/2022 (7) | | ZAR | 1 | | | | 0 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 3,402 | | | | 3,566 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 2,918 | | | | 2,918 | |
HSBC, Hong Kong, 0.37% due 07/04/2022 | | HKD | 5,189 | | | | 661 | |
HSBC, Singapore, 0.65% due 07/01/2022 | | SGD | 49 | | | | 35 | |
Nordea Bank ABP, Oslo, 0.07% due 07/01/2022 | | NOK | 400 | | | | 41 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 1,782 | | | | 1,782 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022 | | SEK | 12,631 | | | | 1,235 | |
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Sumitomo, Tokyo, -0.36% due 07/01/2022 | | JPY | 3,688,876 | | | $ | 27,188 | |
| | | | | | | | |
Total Time Deposits | | | | 54,246 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $260,194) | | | | 260,194 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.83%
(Cost: $14,320,767) | | | | 13,586,327 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.17% | | | | 23,003 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 13,609,330 | |
| | | | | | | | |
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
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
ZAR South African Rand
| (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 $546,072, which represents 4.01% of total net assets. |
| (2) | Non-income producing security or includes securities that are non-income producing. |
| (3) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $0, which represents 0.00% of total net assets. |
| (4) | Includes securities restricted at June 30, 2022. The value of the restricted securities totals $0, which represents 0.00% of total net assets. |
| (5) | Amount calculated is less than 0.005%. |
| (6) | Represents annualized seven-day yield as of the close of the reporting period. |
| (7) | A zero balance may reflect actual amounts rounding to less than one thousand. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 67 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 37 | | Euro Stoxx 50 Future | | | Sep. 2022 | | | EUR | 1,296 | | | $ | 1,334 | | | $ | (24 | ) |
| 13 | | FTSE 100 INDEX Future | | | Sep. 2022 | | | GBP | 934 | | | | 1,127 | | | | (10 | ) |
| 8 | | TOPIX INDEX Future | | | Sep. 2022 | | | JPY | 153,450 | | | | 1,103 | | | | (28 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (62 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
Country | | Percentage of
Net Assets | |
Argentina | | | 0.22 | % |
Australia | | | 2.07 | |
Austria | | | 0.11 | |
Belgium | | | 0.11 | |
Bermuda | | | 0.03 | |
Brazil | | | 0.50 | |
Canada | | | 1.46 | |
China | | | 3.42 | |
Denmark | | | 2.41 | |
Finland | | | 0.64 | |
France | | | 7.99 | |
Germany | | | 5.39 | |
Hong Kong | | | 3.75 | |
India | | | 1.31 | |
Indonesia | | | 0.04 | |
Ireland | | | 2.31 | |
Isle of Man | | | 0.02 | |
Israel | | | 0.04 | |
Italy | | | 3.10 | |
Japan | | | 20.23 | |
Luxembourg | | | 0.43 | |
Malaysia | | | 0.01 | |
Mexico | | | 0.17 | |
Netherlands | | | 4.06 | |
| | | | |
Country (Continued) | | Percentage of
Net Assets | |
New Zealand | | | 0.26 | % |
Norway | | | 0.41 | |
Peru | | | 0.03 | |
Portugal | | | 0.32 | |
Singapore | | | 2.26 | |
South Africa | | | 0.13 | |
South Korea | | | 0.69 | |
Spain | | | 1.77 | |
Sweden | | | 3.14 | |
Switzerland | | | 6.11 | |
Taiwan | | | 1.94 | |
Thailand | | | 0.11 | |
United Kingdom | | | 18.34 | |
United States | | | 2.59 | |
Other (individually each country is less than 0.005%) | | | 0.00 | |
| | | | |
Total Country | | | 97.92 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 1.91 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 99.83 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.17 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 68 | | Annual Report • June 30, 2022 |
Bridge Builder Tax Managed International Equity Fund
Summary Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 95.08% | |
| Communication Services – 2.77% | |
Nippon Telegraph & Telephone Corp. | | | 23 | | | $ | 672 | |
Other Securities (1)(2) | | | 328 | | | | 2,203 | |
| | | | | | | | |
Total Communication Services | | | | 2,875 | |
| | | | | | | | |
| Consumer Discretionary – 12.03% | | | | | | | | |
Adidas AG | | | 4 | | | | 684 | |
Cie Generale des Etablissements
Michelin SCA | | | 25 | | | | 676 | |
Compass Group Plc | | | 55 | | | | 1,132 | |
Galaxy Entertainment Group Ltd. | | | 110 | | | | 659 | |
Honda Motor Co. Ltd. | | | 30 | | | | 726 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 2 | | | | 1,000 | |
Panasonic Corp. | | | 85 | | | | 683 | |
Other Securities (1)(2) | | | 397 | | | | 6,907 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 12,467 | |
| | | | | | | | |
| Consumer Staples – 8.97% | | | | | | | | |
Alimentation Couche-Tard, Inc. | | | 20 | | | | 777 | |
Diageo Plc | | | 26 | | | | 1,120 | |
L’Oreal SA | | | 3 | | | | 1,028 | |
Nestle SA | | | 18 | | | | 2,084 | |
Other Securities | | | 809 | | | | 4,290 | |
| | | | | | | | |
Total Consumer Staples | | | | 9,299 | |
| | | | | | | | |
| Energy – 3.32% | | | | | | | | |
Shell Plc | | | 27 | | | | 716 | |
TotalEnergies SE | | | 22 | | | | 1,138 | |
Other Securities (2) | | | 133 | | | | 1,588 | |
| | | | | | | | |
Total Energy | | | | 3,442 | |
| | | | | | | | |
| Financials – 15.99% | | | | | | | | |
AIA Group Ltd. | | | 103 | | | | 1,130 | |
Amundi SA (1) | | | 14 | | | | 790 | |
HSBC Holdings Plc | | | 103 | | | | 674 | |
ING Groep NV | | | 91 | | | | 901 | |
Prudential Plc | | | 58 | | | | 719 | |
Other Securities (1)(2) | | | 1,853 | | | | 12,357 | |
| | | | | | | | |
Total Financials | | | | 16,571 | |
| | | | | | | | |
| Healthcare – 15.08% | | | | | | | | |
Coloplast – Class B | | | 6 | | | | 692 | |
CSL Ltd. | | | 5 | | | | 908 | |
Fresenius Medical Care AG & Co. KGaA | | | 14 | | | | 679 | |
Lonza Group AG | | | 1 | | | | 659 | |
Novartis AG | | | 17 | | | | 1,413 | |
Novo Nordisk – Class B | | | 10 | | | | 1,104 | |
Roche Holding AG | | | 7 | | | | 2,359 | |
Sanofi | | | 9 | | | | 893 | |
Sysmex Corp. | | | 12 | | | | 700 | |
Other Securities (1)(2) | | | 162 | | | | 6,220 | |
| | | | | | | | |
Total Healthcare | | | | 15,627 | |
| | | | | | | | |
| Industrials – 14.80% | | | | | | | | |
Canadian National Railway Co. | | | 8 | | | | 878 | |
Daikin Industries Ltd. | | | 6 | | | | 931 | |
Experian Plc | | | 23 | | | | 664 | |
FANUC Corp. | | | 4 | | | | 674 | |
Komatsu Ltd. | | | 34 | | | | 764 | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
Kone OYJ – Class B | | | 14 | | | $ | 682 | |
Siemens AG | | | 8 | | | | 833 | |
SMC Corp. | | | 2 | | | | 801 | |
Other Securities (2) | | | 422 | | | | 9,116 | |
| | | | | | | | |
Total Industrials | | | | 15,343 | |
| | | | | | | | |
| Information Technology – 10.56% | | | | | | | | |
ASML Holding NV | | | 3 | | | | 1,288 | |
Dassault Systemes SE | | | 18 | | | | 655 | |
Keyence Corp. | | | 3 | | | | 857 | |
Murata Manufacturing Co. Ltd. | | | 15 | | | | 800 | |
Nokia OYJ | | | 169 | | | | 782 | |
SAP SE | | | 10 | | | | 898 | |
Taiwan Semiconductor Manufacturing
Co. Ltd. – ADR | | | 19 | | | | 1,546 | |
Other Securities (1)(2) | | | 192 | | | | 4,112 | |
| | | | | | | | |
Total Information Technology | | | | 10,938 | |
| | | | | | | | |
| Materials – 8.67% | | | | | | | | |
Air Liquide SA | | | 8 | | | | 1,046 | |
BASF SE | | | 17 | | | | 747 | |
CHR Hansen Holding | | | 9 | | | | 684 | |
Covestro AG (1) | | | 22 | | | | 751 | |
Givaudan SA (3) | | | 0 | | | | 740 | |
Novozymes – Class B | | | 12 | | | | 705 | |
Shin-Etsu Chemical Co. Ltd. | | | 7 | | | | 753 | |
Other Securities (2) | | | 320 | | | | 3,553 | |
| | | | | | | | |
Total Materials | | | | 8,979 | |
| | | | | | | | |
| Real Estate – 0.82% | | | | | | | | |
Various Securities | | | 169 | | | | 846 | |
| | | | | | | | |
Total Real Estate | | | | 846 | |
| | | | | | | | |
| Utilities – 2.07% | | | | | | | | |
Various Securities (1)(2) | | | 274 | | | | 2,143 | |
| | | | | | | | |
Total Utilities | | | | 2,143 | |
| | | | | | | | |
Total Common Stocks
(Cost: $107,845) | | | | 98,530 | |
| | | | | | | | |
PREFERRED STOCKS – 0.61% | | | | | | | | |
| Consumer Discretionary – 0.56% | | | | | | | | |
Volkswagen AG | | | 4 | | | | 587 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 587 | |
| | | | | | | | |
| Consumer Staples – 0.05% | | | | | | | | |
Henkel AG & Co. KGaA | | | 1 | | | | 49 | |
| | | | | | | | |
Total Consumer Staples | | | | 49 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $779) | | | | 636 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 0.38% | | | | | | | | |
| Money Market Funds – 0.24% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.36% (4) | | | 245 | | | | 245 | |
| | | | | | | | |
Total Money Market Funds | | | | 245 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 69 |
Bridge Builder Tax Managed International Equity Fund
Summary Schedule of Investments
June 30, 2022 (Continued)
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| Time Deposits – 0.14% | | | | | | | | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 1 | | | $ | 1 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 8 | | | | 8 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022 | | CAD | 4 | | | | 4 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 89 | | | | 89 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022(3) | | SEK | 0 | | | | 0 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | $ | 45 | | | | 45 | |
| | | | | | | | |
Total Time Deposits | | | | 147 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $392) | | | | 392 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 96.07%
(Cost: $109,016) | | | | 99,558 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 3.93% | | | | 4,070 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 103,628 | |
| | | | | | | | |
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
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
SEK Swedish Krona
| (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 $2,556, which represents 2.47% of total net assets. |
| (2) | Non-income producing security or includes securities that are non-income producing. |
| (3) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| | | | |
Country | | Percentage of
Net Assets | |
Australia | | | 3.50 | % |
Austria | | | 0.10 | |
Belgium | | | 0.27 | |
Brazil | | | 0.61 | |
Canada | | | 2.87 | |
Chile | | | 0.16 | |
China | | | 1.41 | |
Denmark | | | 3.99 | |
Finland | | | 2.00 | |
France | | | 11.38 | |
Germany | | | 7.70 | |
Hong Kong | | | 2.90 | |
Ireland | | | 1.15 | |
Israel | | | 0.15 | |
Italy | | | 1.07 | |
Japan | | | 20.68 | |
Luxembourg | | | 0.17 | |
Netherlands | | | 4.04 | |
New Zealand | | | 0.10 | |
| | | | |
Country (Continued) | | Percentage of
Net Assets | |
Norway | | | 1.04 | % |
Portugal | | | 0.06 | |
Singapore | | | 1.13 | |
South Korea | | | 0.94 | |
Spain | | | 1.45 | |
Sweden | | | 0.92 | |
Switzerland | | | 10.45 | |
Taiwan | | | 2.10 | |
United Kingdom | | | 12.96 | |
United States | | | 0.39 | |
| | | | |
Total Country | | | 95.69 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 0.38 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 96.07 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 3.93 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 70 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2022
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | | | | | |
| | | 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) | | $ | 17,622,637 | | | $ | 34,452,675 | | | $ | 10,765,532 | | | $ | 15,364,792 | |
Cash and cash equivalents | | | 3,905 | | | | 39,379 | | | | 1 | | | | 1 | |
Over-the-counter credit default swap contracts, at value | | | — | | | | 2,485 | | | | — | | | | — | |
Receivable for foreign currency transactions | | | — | | | | 725 | | | | — | | | | — | |
Receivable for investments sold | | | 175,059 | | | | 2,283,422 | | | | 10,159 | | | | — | |
Receivable for fund shares sold | | | 19,508 | | | | 46,109 | | | | 36,567 | | | | 37,496 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 33,996 | | | | — | | | | — | |
Receivable for swap contracts | | | — | | | | 3,355 | | | | — | | | | — | |
Dividend and interest receivable | | | 85,466 | | | | 158,964 | | | | 112,610 | | | | 7,475 | |
Tax reclaim receivable | | | — | | | | 38 | | | | — | | | | 1,115 | |
Deposits at broker for futures contracts | | | — | | | | 26,979 | | | | — | | | | — | |
Variation margin on futures contracts | | | 8,936 | | | | 37,153 | | | | 2,338 | | | | 366 | |
Deposits at broker for centrally cleared swap contracts | | | — | | | | 66,110 | | | | — | | | | — | |
Variation margin on centrally cleared swap contracts | | | — | | | | 42,342 | | | | — | | | | — | |
Deposits at broker for TBA commitments | | | 1,775 | | | | — | | | | — | | | | — | |
Prepaid expenses and other assets | | | 115 | | | | 234 | | | | 208 | | | | 101 | |
Total Assets | | | 17,917,401 | | | | 37,193,966 | | | | 10,927,415 | | | | 15,411,346 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
TBA sale commitments, at value (2) | | | 29,802 | | | | 372,331 | | | | — | | | | — | |
Over-the-counter credit default swap contracts, at value | | | — | | | | 28,727 | | | | — | | | | — | |
Over-the-counter interest rate swap contracts, at value | | | — | | | | 38 | | | | — | | | | — | |
Due to broker for centrally cleared swap contracts | | | — | | | | 830 | | | | — | | | | — | |
Due to broker for forward foreign currency exchange contracts | | | — | | | | 23,060 | | | | — | | | | — | |
Payable for investments purchased | | | 754,441 | | | | 5,340,726 | | | | 87,707 | | | | 17,163 | |
Payable for fund shares redeemed | | | 22,827 | | | | 38,715 | | | | 23,994 | | | | 10,306 | |
Interest payable | | | 52 | | | | 13 | | | | — | | | | — | |
Payable for foreign currency transactions | | | — | | | | 1,836 | | | | — | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | 22,403 | | | | — | | | | — | |
Unrealized depreciation on unfunded loan commitments | | | — | | | | 21 | | | | — | | | | — | |
Payable to Sub-advisers for Investment Advisory Fee | | | 1,573 | | | | 3,431 | | | | 1,154 | | | | 2,326 | |
Payable to Trustees | | | 36 | | | | 66 | | | | 22 | | | | 33 | |
Accrued expenses and other liabilities | | | 4,150 | | | | 27,800 | | | | 1,415 | | | | 567 | |
Total Liabilities | | | 812,881 | | | | 5,859,997 | | | | 114,292 | | | | 30,395 | |
Net Assets | | $ | 17,104,520 | | | $ | 31,333,969 | | | $ | 10,813,123 | | | $ | 15,380,951 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 18,945,455 | | | $ | 35,280,422 | | | $ | 11,523,834 | | | $ | 12,868,939 | |
Total distributable earnings/(loss) | | | (1,840,935 | ) | | | (3,946,453 | ) | | | (710,711 | ) | | | 2,512,012 | |
Net Assets | | $ | 17,104,520 | | | $ | 31,333,969 | | | $ | 10,813,123 | | | $ | 15,380,951 | |
Net Assets | | $ | 17,104,520 | | | $ | 31,333,969 | | | $ | 10,813,123 | | | $ | 15,380,951 | |
Shares Outstanding | | | 1,853,648 | | | | 3,442,151 | | | | 1,106,061 | | | | 897,748 | |
Net Asset Value | | $ | 9.23 | | | $ | 9.10 | | | $ | 9.78 | | | $ | 17.13 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | | 19,068,846 | | | | 37,211,916 | | | | 11,409,774 | | | | 12,723,736 | |
(2) Proceeds from TBA sale commitments | | | (29,753 | ) | | | (371,015 | ) | | | — | | | | — | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 71 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2022 (Continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap
Value Fund | | | Bridge Builder
Tax Managed
Large Cap Fund | | | Bridge Builder
Small/Mid Cap
Growth Fund | | | Bridge Builder
Small/Mid Cap
Value Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments, at value (1) | | $ | 16,978,028 | | | $ | 148,184 | | | $ | 5,322,889 | | | $ | 6,026,485 | |
Cash and cash equivalents* | | | 1 | | | | 0 | | | | 2 | | | | 2 | |
Receivable for foreign currency transactions | | | 6 | | | | — | | | | — | | | | — | |
Receivable for investments sold | | | 29,317 | | | | — | | | | 22,687 | | | | 19,986 | |
Receivable for fund shares sold | | | 26,312 | | | | 9,466 | | | | 22,726 | | | | 11,590 | |
Receivable from Adviser | | | — | | | | 48 | | | | — | | | | — | |
Dividend and interest receivable | | | 31,949 | | | | 111 | | | | 1,611 | | | | 7,822 | |
Tax reclaim receivable | | | 2,073 | | | | 2 | | | | 17 | | | | 33 | |
Variation margin on futures contracts | | | 172 | | | | — | | | | 152 | | | | 259 | |
Prepaid expenses and other assets | | | 123 | | | | 100 | | | | 203 | | | | 127 | |
Total Assets | | | 17,067,981 | | | | 157,911 | | | | 5,370,287 | | | | 6,066,304 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
Payable for investments purchased | | | 16,557 | | | | 5,735 | | | | 32,733 | | | | 14,281 | |
Payable for fund shares redeemed | | | 14,445 | | | | 119 | | | | 3,713 | | | | 4,466 | |
Payable to Sub-advisers for Investment Advisory Fee | | | 3,180 | | | | 26 | | | | 1,602 | | | | 1,984 | |
Payable to Trustees* | | | 36 | | | | 0 | | | | 11 | | | | 14 | |
Accrued expenses and other liabilities | | | 506 | | | | 165 | | | | 391 | | | | 268 | |
Total Liabilities | | | 34,724 | | | | 6,045 | | | | 38,450 | | | | 21,013 | |
Net Assets | | $ | 17,033,257 | | | $ | 151,866 | | | $ | 5,331,837 | | | $ | 6,045,291 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 13,049,484 | | | $ | 161,303 | | | $ | 5,589,808 | | | $ | 4,892,766 | |
Total distributable earnings/(loss) | | | 3,983,773 | | | | (9,437 | ) | | | (257,971 | ) | | | 1,152,525 | |
Net Assets | | $ | 17,033,257 | | | $ | 151,866 | | | $ | 5,331,837 | | | $ | 6,045,291 | |
Net Assets | | $ | 17,033,257 | | | $ | 151,866 | | | $ | 5,331,837 | | | $ | 6,045,291 | |
Shares Outstanding | | | 1,120,567 | | | | 16,307 | | | | 459,804 | | | | 481,427 | |
Net Asset Value | | $ | 15.20 | | | $ | 9.31 | | | $ | 11.60 | | | $ | 12.56 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | | 13,750,233 | | | | 157,736 | | | | 5,137,469 | | | | 5,131,976 | |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
The accompanying notes are an integral part of these financial statements.
| | |
| 72 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2022 (Continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | Bridge Builder
Tax Managed
Small/Mid
Cap Fund | | | Bridge Builder
International
Equity Fund | | | Bridge Builder
Tax Managed
International
Equity Fund | |
Assets | | | | | | | | | | | | |
Investments, at value (1) | | $ | 87,352 | | | $ | 13,586,327 | | | $ | 99,558 | |
Cash and cash equivalents* | | | 0 | | | | 50 | | | | 0 | |
Receivable for investments sold | | | — | | | | 5,185 | | | | — | |
Receivable for fund shares sold | | | 4,255 | | | | 27,719 | | | | 5,825 | |
Receivable from Adviser | | | 48 | | | | — | | | | 59 | |
Dividend and interest receivable | | | 65 | | | | 25,455 | | | | 104 | |
Tax reclaim receivable* | | | 0 | | | | 28,580 | | | | 2 | |
Variation margin on futures contracts | | | — | | | | 261 | | | | — | |
Prepaid expenses and other assets | | | 101 | | | | 204 | | | | 100 | |
Total Assets | | | 91,821 | | | | 13,673,781 | | | | 105,648 | |
| | | |
Liabilities | | | | | | | | | | | | |
Payable for investments purchased | | | 2,122 | | | | 44,977 | | | | 89 | |
Payable for fund shares redeemed | | | 65 | | | | 10,889 | | | | 1,831 | |
Payable for foreign currency transactions | | | — | | | | 30 | | | | — | |
Foreign withholding tax payable | | | — | | | | 3,612 | | | | — | |
Payable to Sub-advisers for Investment Advisory Fee | | | 23 | | | | 3,829 | | | | 29 | |
Payable to Trustees* | | | 0 | | | | 27 | | | | 0 | |
Accrued expenses and other liabilities | | | 164 | | | | 1,087 | | | | 71 | |
Total Liabilities | | | 2,374 | | | | 64,451 | | | | 2,020 | |
Net Assets | | $ | 89,447 | | | $ | 13,609,330 | | | $ | 103,628 | |
| | | |
Net Assets Consist of | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 96,458 | | | $ | 14,296,737 | | | $ | 112,767 | |
Total distributable earnings/(loss) | | | (7,011 | ) | | | (687,407 | ) | | | (9,139 | ) |
Net Assets | | $ | 89,447 | | | $ | 13,609,330 | | | $ | 103,628 | |
Net Assets | | $ | 89,447 | | | $ | 13,609,330 | | | $ | 103,628 | |
Shares Outstanding | | | 9,633 | | | | 1,289,825 | | | | 11,357 | |
Net Asset Value | | $ | 9.29 | | | $ | 10.55 | | | $ | 9.12 | |
| | | | | | | | | | | | |
(1) Cost of investments | | | 94,379 | | | | 14,320,767 | | | | 109,016 | |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 73 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2022
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | 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 | | $ | 1,519 | | | $ | 6,319 | | | $ | 421 | | | $ | 140,448 | |
Less: Foreign taxes withheld and issuance fees* | | | 0 | | | | (13 | ) | | | — | | | | (253 | ) |
Interest | | | 407,738 | | | | 707,367 | | | | 225,376 | | | | 29 | |
Less: Foreign taxes withheld | | | — | | | | (36 | ) | | | — | | | | — | |
Other Income* | | | 17 | | | | 0 | | | | 1 | | | | 1 | |
Total investment income | | | 409,274 | | | | 713,637 | | | | 225,798 | | | | 140,225 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 58,125 | | | | 119,774 | | | | 38,457 | | | | 78,276 | |
Professional fees | | | 380 | | | | 663 | | | | 231 | | | | 316 | |
Administration fee | | | 11 | | | | 11 | | | | 10 | | | | 10 | |
Fund accounting fees | | | 1,190 | | | | 1,858 | | | | 870 | | | | 672 | |
Transfer agent fees and expenses | | | 50 | | | | 68 | | | | 41 | | | | 50 | |
Trustees fees and expenses | | | 223 | | | | 408 | | | | 135 | | | | 217 | |
Printing and mailing expense | | | 330 | | | | 363 | | | | 297 | | | | 332 | |
Custody fees | | | 362 | | | | 885 | | | | 120 | | | | 171 | |
Insurance expenses | | | 68 | | | | 118 | | | | 37 | | | | 54 | |
Interest expense | | | — | | | | 6 | | | | — | | | | — | |
Registration fees | | | 519 | | | | 958 | | | | 553 | | | | 721 | |
Other expenses | | | 213 | | | | 780 | | | | 127 | | | | 225 | |
Total expenses before fee waivers | | | 61,471 | | | | 125,892 | | | | 40,878 | | | | 81,044 | |
Fee waivers and/or expense reimbursements by Adviser | | | (37,795 | ) | | | (76,665 | ) | | | (24,676 | ) | | | (46,762 | ) |
Net expenses | | | 23,676 | | | | 49,227 | | | | 16,202 | | | | 34,282 | |
Net Investment Income | | | 385,598 | | | | 664,410 | | | | 209,596 | | | | 105,943 | |
| | | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (202,695 | ) | | | (878,570 | ) | | | (61,129 | ) | | | 261,181 | |
TBA sale commitments | | | 391 | | | | 52,893 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 135,143 | | | | — | | | | — | |
Foreign currency transactions* | | | 0 | | | | (7,496 | ) | | | — | | | | (223 | ) |
Futures contracts | | | (82,582 | ) | | | (183,812 | ) | | | 13,677 | | | | (1,316 | ) |
Swap contracts | | | — | | | | 32,332 | | | | — | | | | — | |
Net realized gain/(loss) | | | (284,886 | ) | | | (849,510 | ) | | | (47,452 | ) | | | 259,642 | |
Net change in net unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (2,064,880 | ) | | | (3,375,317 | ) | | | (1,061,031 | ) | | | (4,271,782 | ) |
TBA sale commitments | | | (49 | ) | | | (2,252 | ) | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | (10,582 | ) | | | — | | | | — | |
Foreign currency transactions* | | | 0 | | | | (1,489 | ) | | | — | | | | 24 | |
Futures contracts | | | (19,525 | ) | | | (43,480 | ) | | | 4,242 | | | | (598 | ) |
Swap contracts | | | — | | | | (83,638 | ) | | | — | | | | — | |
Unfunded loan commitments | | | — | | | | (21 | ) | | | — | | | | — | |
Net change in unrealized appreciation/(depreciation) | | | (2,084,454 | ) | | | (3,516,779 | ) | | | (1,056,789 | ) | | | (4,272,356 | ) |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | (2,369,340 | ) | | | (4,366,289 | ) | | | (1,104,241 | ) | | | (4,012,714 | ) |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | (1,983,742 | ) | | $ | (3,701,879 | ) | | $ | (894,645 | ) | | $ | (3,906,771 | ) |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
The accompanying notes are an integral part of these financial statements.
| | |
| 74 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2022 (Continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap
Value Fund | | | Bridge Builder Tax
Managed
Large Cap Fund** | | | Bridge Builder
Small/Mid Cap
Growth Fund | | | Bridge Builder
Small/Mid Cap
Value Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Dividend income | | $ | 366,505 | | | $ | 156 | | | $ | 29,661 | | | $ | 116,312 | |
Less: Foreign taxes withheld and issuance fees* | | | (3,531 | ) | | | 0 | | | | (110 | ) | | | (190 | ) |
Interest | | | 23 | | | | 1 | | | | 23 | | | | 25 | |
Less: Foreign taxes withheld | | | — | | | | — | | | | — | | | | — | |
Other Income* | | | 0 | | | | — | | | | 0 | | | | 0 | |
Total investment income | | | 362,997 | | | | 157 | | | | 29,574 | | | | 116,147 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 80,037 | | | | 34 | | | | 38,187 | | | | 44,872 | |
Professional fees | | | 331 | | | | 29 | | | | 159 | | | | 163 | |
Administration fee | | | 10 | | | | 1 | | | | 11 | | | | 11 | |
Fund accounting fees | | | 689 | | | | 2 | | | | 256 | | | | 298 | |
Transfer agent fees and expenses* | | | 51 | | | | 0 | | | | 35 | | | | 37 | |
Trustees fees and expenses* | | | 230 | | | | 0 | | | | 74 | | | | 73 | |
Printing and mailing expense* | | | 331 | | | | 0 | | | | 334 | | | | 484 | |
Custody fees | | | 277 | | | | 6 | | | | 189 | | | | 186 | |
Insurance expenses | | | 59 | | | | — | | | | 21 | | | | 26 | |
Registration fees | | | 514 | | | | 21 | | | | 413 | | | | 240 | |
Other expenses | | | 243 | | | | 6 | | | | 75 | | | | 87 | |
Total expenses before fee waivers | | | 82,772 | | | | 99 | | | | 39,754 | | | | 46,477 | |
Fee waivers and/or expense reimbursements by Adviser | | | (40,740 | ) | | | (56 | ) | | | (17,167 | ) | | | (18,412 | ) |
Net expenses | | | 42,032 | | | | 43 | | | | 22,587 | | | | 28,065 | |
Net Investment Income | | | 320,965 | | | | 114 | | | | 6,987 | | | | 88,082 | |
| | | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 1,308,497 | | | | 1 | | | | 93,638 | | | | 550,968 | |
Foreign currency transactions* | | | (3 | ) | | | — | | | | 0 | | | | 3 | |
Futures contracts | | | (184 | ) | | | — | | | | (348 | ) | | | (853 | ) |
Net realized gain/(loss) | | | 1,308,310 | | | | 1 | | | | 93,290 | | | | 550,118 | |
Net change in net unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (2,617,343 | ) | | | (9,552 | ) | | | (1,997,874 | ) | | | (1,318,267 | ) |
Foreign currency transactions* | | | (167 | ) | | | — | | | | — | | | | 0 | |
Futures contracts | | | (127 | ) | | | — | | | | (81 | ) | | | (108 | ) |
Net change in unrealized appreciation/(depreciation) | | | (2,617,637 | ) | | | (9,552 | ) | | | (1,997,955 | ) | | | (1,318,375 | ) |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | (1,309,327 | ) | | | (9,551 | ) | | | (1,904,665 | ) | | | (768,257 | ) |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | (988,362 | ) | | $ | (9,437 | ) | | $ | (1,897,678 | ) | | $ | (680,175 | ) |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ** | Fund inception date was June 1, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 75 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2022 (Continued)
(Amounts in thousands)
| | | | | | | | | | | | |
| | | Bridge Builder
Tax Managed
Small/Mid
Cap Fund** | | | Bridge Builder
International
Equity Fund | | | Bridge Builder
Tax Managed
International
Equity Fund** | |
Investment Income | | | | | | | | | | | | |
Dividend income | | $ | 83 | | | $ | 400,692 | | | $ | 129 | |
Less: Foreign taxes withheld and issuance fees* | | | 0 | | | | (34,491 | ) | | | (9 | ) |
Interest* | | | 0 | | | | 23 | | | | — | |
Less: Foreign taxes withheld | | | — | | | | — | | | | — | |
Other Income* | | | 0 | | | | 6 | | | | 0 | |
Total investment income | | | 83 | | | | 366,230 | | | | 120 | |
Expenses | | | | | | | | | | | | |
Investment advisory fee | | | 33 | | | | 86,370 | | | | 41 | |
Professional fees | | | 32 | | | | 306 | | | | 30 | |
Administration fee | | | 1 | | | | 10 | | | | 1 | |
Fund accounting fees | | | 4 | | | | 674 | | | | 3 | |
Transfer agent fees and expenses* | | | 0 | | | | 46 | | | | 0 | |
Trustees fees and expenses* | | | 0 | | | | 176 | | | | 0 | |
Printing and mailing expense* | | | 0 | | | | 565 | | | | 0 | |
Custody fees | | | 10 | | | | 2,594 | | | | 25 | |
Insurance expenses | | | — | | | | 53 | | | | — | |
Registration fees | | | 11 | | | | 644 | | | | 11 | |
Other expenses | | | 7 | | | | 387 | | | | 6 | |
Total expenses before fee waivers | | | 98 | | | | 91,825 | | | | 117 | |
Fee waivers and/or expense reimbursements by Adviser | | | (59 | ) | | | (38,688 | ) | | | (72 | ) |
Net expenses | | | 39 | | | | 53,137 | | | | 45 | |
Net Investment Income | | | 44 | | | | 313,093 | | | | 75 | |
| | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | |
Investments | | | (28 | ) | | | 275,579 | | | | — | |
Foreign currency transactions | | | — | | | | (12,082 | ) | | | 245 | |
Futures contracts | | | — | | | | 49 | | | | — | |
Net realized gain/(loss) | | | (28 | ) | | | 263,546 | | | | 245 | |
Net change in net unrealized appreciation/(depreciation) on: | | | | | | | | | | | | |
Investments | | | (7,027 | ) | | | (3,906,270 | ) | | | (9,458 | ) |
Foreign currency transactions* | | | — | | | | (2,099 | ) | | | (1 | ) |
Futures contracts | | | — | | | | (29 | ) | | | — | |
Net change in unrealized appreciation/(depreciation) | | | (7,027 | ) | | | (3,908,398 | ) | | | (9,459 | ) |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | (7,055 | ) | | | (3,644,852 | ) | | | (9,214 | ) |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | (7,011 | ) | | $ | (3,331,759 | ) | | $ | (9,139 | ) |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ** | Fund inception date was June 1, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| 76 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Core Bond Fund | | | Bridge Builder Core
Plus Bond Fund | |
| | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 385,598 | | | $ | 351,249 | | | $ | 664,410 | | | $ | 531,772 | |
Net realized gain/(loss) | | | (284,886 | ) | | | 70,149 | | | | (849,510 | ) | | | 45,160 | |
Net change in unrealized appreciation/(depreciation) | | | (2,084,454 | ) | | | (261,712 | ) | | | (3,516,779 | ) | | | 187,218 | |
Net increase/(decrease) in net assets resulting from operations | | | (1,983,742 | ) | | | 159,686 | | | | (3,701,879 | ) | | | 764,150 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (441,022 | ) | | | (723,634 | ) | | | (814,204 | ) | | | (1,104,123 | ) |
Total distributions | | | (441,022 | ) | | | (723,634 | ) | | | (814,204 | ) | | | (1,104,123 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,161,843 | | | | 5,037,444 | | | | 5,882,428 | | | | 14,765,777 | |
Reinvestment of dividends | | | 441,022 | | | | 723,634 | | | | 814,204 | | | | 1,104,123 | |
Cost of shares redeemed | | | (1,964,432 | ) | | | (1,446,410 | ) | | | (3,536,432 | ) | | | (2,273,741 | ) |
Net increase/(decrease) from capital transactions | | | 1,638,433 | | | | 4,314,668 | | | | 3,160,200 | | | | 13,596,159 | |
Net increase/(decrease) in net assets | | | (786,331 | ) | | | 3,750,720 | | | | (1,355,883 | ) | | | 13,256,186 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 17,890,851 | | | | 14,140,131 | | | | 32,689,852 | | | | 19,433,666 | |
End of period | | $ | 17,104,520 | | | $ | 17,890,851 | | | $ | 31,333,969 | | | $ | 32,689,852 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,696,403 | | | | 1,295,679 | | | | 3,134,557 | | | | 1,840,217 | |
Shares sold | | | 311,473 | | | | 467,888 | | | | 585,917 | | | | 1,405,552 | |
Shares issued to holders in reinvestments of dividends | | | 43,810 | | | | 67,317 | | | | 81,629 | | | | 104,726 | |
Shares redeemed | | | (198,038 | ) | | | (134,481 | ) | | | (359,952 | ) | | | (215,938 | ) |
Shares outstanding, end of period | | | 1,853,648 | | | | 1,696,403 | | | | 3,442,151 | | | | 3,134,557 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 77 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Municipal Bond Fund | | | Bridge Builder
Large Cap Growth Fund | |
| | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 209,596 | | | $ | 167,922 | | | $ | 105,943 | | | $ | 99,166 | |
Net realized gain/(loss) | | | (47,452 | ) | | | 6,739 | | | | 259,642 | | | | 1,230,045 | |
Net change in unrealized appreciation/(depreciation) | | | (1,056,789 | ) | | | 234,705 | | | | (4,272,356 | ) | | | 3,954,963 | |
Net increase/(decrease) in net assets resulting from operations | | | (894,645 | ) | | | 409,366 | | | | (3,906,771 | ) | | | 5,284,174 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (209,403 | ) | | | (168,048 | ) | | | (1,371,952 | ) | | | (551,932 | ) |
Total distributions | | | (209,403 | ) | | | (168,048 | ) | | | (1,371,952 | ) | | | (551,932 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,708,759 | | | | 3,841,024 | | | | 4,125,184 | | | | 2,085,139 | |
Reinvestment of dividends | | | 209,403 | | | | 168,048 | | | | 1,371,952 | | | | 551,932 | |
Cost of shares redeemed | | | (1,889,846 | ) | | | (881,976 | ) | | | (2,443,209 | ) | | | (3,227,851 | ) |
Net increase/(decrease) from capital transactions | | | 2,028,316 | | | | 3,127,096 | | | | 3,053,927 | | | | (590,780 | ) |
Net increase/(decrease) in net assets | | | 924,268 | | | | 3,368,414 | | | | (2,224,796 | ) | | | 4,141,462 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 9,888,855 | | | | 6,520,441 | | | | 17,605,747 | | | | 13,464,285 | |
End of period | | $ | 10,813,123 | | | $ | 9,888,855 | | | $ | 15,380,951 | | | $ | 17,605,747 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 914,906 | | | | 621,865 | | | | 754,992 | | | | 786,809 | |
Shares sold | | | 355,673 | | | | 359,858 | | | | 193,257 | | | | 100,774 | |
Shares issued to holders in reinvestments of dividends | | | 20,166 | | | | 15,715 | | | | 58,603 | | | | 27,457 | |
Shares redeemed | | | (184,684 | ) | | | (82,532 | ) | | | (109,104 | ) | | | (160,048 | ) |
Shares outstanding, end of period | | | 1,106,061 | | | | 914,906 | | | | 897,748 | | | | 754,992 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 78 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
(Amounts in thousands)
| | | | | | | | | | | | |
| | | Bridge Builder
Large Cap Value Fund | | | Bridge Builder
Tax Managed Large Cap Fund | |
| | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | | | Period Ended
June 30, 2022* | |
Operations | | | | | | | | | | | | |
Net investment income | | $ | 320,965 | | | $ | 269,234 | | | $ | 114 | |
Net realized gain/(loss) | | | 1,308,310 | | | | 834,352 | | | | 1 | |
Net change in unrealized appreciation/(depreciation) | | | (2,617,637 | ) | | | 4,775,070 | | | | (9,552 | ) |
Net increase/(decrease) in net assets resulting from operations | | | (988,362 | ) | | | 5,878,656 | | | | (9,437 | ) |
Distributions to Shareholders | | | | | | | | | | | | |
From distributable earnings | | | (1,289,665 | ) | | | (271,568 | ) | | | — | |
Total distributions | | | (1,289,665 | ) | | | (271,568 | ) | | | — | |
Capital Transactions | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,756,018 | | | | 2,242,789 | | | | 165,541 | |
Reinvestment of dividends | | | 1,289,665 | | | | 271,568 | | | | — | |
Cost of shares redeemed | | | (3,131,841 | ) | | | (3,222,624 | ) | | | (4,238 | ) |
Net increase/(decrease) from capital transactions | | | 1,913,842 | | | | (708,267 | ) | | | 161,303 | |
Net increase/(decrease) in net assets | | | (364,185 | ) | | | 4,898,821 | | | | 151,866 | |
Net Assets | | | | | | | | | | | | |
Beginning of period | | | 17,397,442 | | | | 12,498,621 | | | | — | |
End of period | | $ | 17,033,257 | | | $ | 17,397,442 | | | $ | 151,866 | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,009,277 | | | | 1,061,951 | | | | — | |
Shares sold | | | 218,762 | | | | 149,992 | | | | 16,748 | |
Shares issued to holders in reinvestments of dividends | | | 76,179 | | | | 18,070 | | | | — | |
Shares redeemed | | | (183,651 | ) | | | (220,736 | ) | | | (441 | ) |
Shares outstanding, end of period | | | 1,120,567 | | | | 1,009,277 | | | | 16,307 | |
| | | | | | | | | | | | | |
| * | Fund inception date was June 1, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 79 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Small/Mid Cap Growth Fund | | | Bridge Builder
Small/Mid Cap Value Fund | |
| | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 6,987 | | | $ | 6,962 | | | $ | 88,082 | | | $ | 69,108 | |
Net realized gain/(loss) | | | 93,290 | | | | 658,726 | | | | 550,118 | | | | 594,818 | |
Net change in unrealized appreciation/(depreciation) | | | (1,997,955 | ) | | | 1,358,114 | | | | (1,318,375 | ) | | | 2,139,425 | |
Net increase/(decrease) in net assets resulting from operations | | | (1,897,678 | ) | | | 2,023,802 | | | | (680,175 | ) | | | 2,803,351 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (965,578 | ) | | | (625,437 | ) | | | (737,343 | ) | | | (73,292 | ) |
Total distributions | | | (965,578 | ) | | | (625,437 | ) | | | (737,343 | ) | | | (73,292 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,205,860 | | | | 760,521 | | | | 1,706,279 | | | | 804,057 | |
Reinvestment of dividends | | | 965,578 | | | | 625,437 | | | | 737,343 | | | | 73,292 | |
Cost of shares redeemed | | | (952,012 | ) | | | (1,602,803 | ) | | | (1,989,101 | ) | | | (1,700,119 | ) |
Net increase/(decrease) from capital transactions | | | 2,219,426 | | | | (216,845 | ) | | | 454,521 | | | | (822,770 | ) |
Net increase/(decrease) in net assets | | | (643,830 | ) | | | 1,181,520 | | | | (962,997 | ) | | | 1,907,289 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 5,975,667 | | | | 4,794,147 | | | | 7,008,288 | | | | 5,100,999 | |
End of period | | $ | 5,331,837 | | | $ | 5,975,667 | | | $ | 6,045,291 | | | $ | 7,008,288 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 314,116 | | | | 325,518 | | | | 450,592 | | | | 514,013 | |
Shares sold | | | 146,912 | | | | 43,913 | | | | 116,301 | | | | 61,991 | |
Shares issued to holders in reinvestments of dividends | | | 58,303 | | | | 38,176 | | | | 50,657 | | | | 5,753 | |
Shares redeemed | | | (59,527 | ) | | | (93,491 | ) | | | (136,123 | ) | | | (131,165 | ) |
Shares outstanding, end of period | | | 459,804 | | | | 314,116 | | | | 481,427 | | | | 450,592 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 80 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
(Amounts in thousands)
| | | | | | | | | | | | |
| | | Bridge Builder
Tax Managed Small/Mid Cap Fund | | | Bridge Builder
International Equity Fund | |
| | | Period Ended
June 30, 2022* | | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | |
Operations | | | | | | | | | | | | |
Net investment income | | $ | 44 | | | $ | 313,093 | | | $ | 293,542 | |
Net realized gain/(loss) | | | (28 | ) | | | 263,546 | | | | 1,178,623 | |
Net change in unrealized appreciation/(depreciation) | | | (7,027 | ) | | | (3,908,398 | ) | | | 2,589,939 | |
Net increase/(decrease) in net assets resulting from operations | | | (7,011 | ) | | | (3,331,759 | ) | | | 4,062,104 | |
Distributions to Shareholders | | | | | | | | | | | | |
From distributable earnings | | | — | | | | (1,359,777 | ) | | | (250,025 | ) |
Total distributions | | | — | | | | (1,359,777 | ) | | | (250,025 | ) |
Capital Transactions | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,053 | | | | 4,808,044 | | | | 2,494,131 | |
Reinvestment of dividends | | | — | | | | 1,359,777 | | | | 250,025 | |
Cost of shares redeemed | | | (3,595 | ) | | | (3,080,388 | ) | | | (2,687,307 | ) |
Net increase/(decrease) from capital transactions | | | 96,458 | | | | 3,087,433 | | | | 56,849 | |
Net increase/(decrease) in net assets | | | 89,447 | | | | (1,604,103 | ) | | | 3,868,928 | |
Net Assets | | | | | | | | | | | | |
Beginning of period | | | — | | | | 15,213,433 | | | | 11,344,505 | |
End of period | | $ | 89,447 | | | $ | 13,609,330 | | | $ | 15,213,433 | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | 1,033,080 | | | | 1,034,339 | |
Shares sold | | | 10,015 | | | | 380,233 | | | | 186,134 | |
Shares issued to holders in reinvestments of dividends | | | — | | | | 100,819 | | | | 18,841 | |
Shares redeemed | | | (382 | ) | | | (224,307 | ) | | | (206,234 | ) |
Shares outstanding, end of period | | | 9,633 | | | | 1,289,825 | | | | 1,033,080 | |
| | | | | | | | | | | | | |
| * | Fund inception date was June 1, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 81 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
(Amounts in thousands)
| | | | |
| | | Bridge Builder
Tax Managed International Equity Fund | |
| | | Period Ended
June 30, 2022* | |
Operations | | | | |
Net investment income | | $ | 75 | |
Net realized gain/(loss) | | | 245 | |
Net change in unrealized appreciation/(depreciation) | | | (9,459 | ) |
Net increase/(decrease) in net assets resulting from operations | | | (9,139 | ) |
Distributions to Shareholders | | | | |
From distributable earnings | | | — | |
Total distributions | | | — | |
Capital Transactions | | | | |
Proceeds from shares sold | | | 126,483 | |
Reinvestment of dividends | | | — | |
Cost of shares redeemed | | | (13,716 | ) |
Net increase/(decrease) from capital transactions | | | 112,767 | |
Net increase/(decrease) in net assets | | | 103,628 | |
Net Assets | | | | |
Beginning of period | | | — | |
End of period | | $ | 103,628 | |
| | | | | |
| |
| | | | |
Change in Shares Outstanding | | | | |
Shares outstanding, beginning of period | | | — | |
Shares sold | | | 12,840 | |
Shares issued to holders in reinvestments of dividends | | | — | |
Shares redeemed | | | (1,483 | ) |
Shares outstanding, end of period | | | 11,357 | |
| | | | | |
| * | Fund inception date was June 1, 2022. |
The accompanying notes are an integral part of these financial statements.
| | |
| 82 | | Annual Report • June 30, 2022 |
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| | |
| Annual Report • June 30, 2022 | | 83 |
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, 2022(5) | | $ | 10.55 | | | | 0.21 | | | | (1.28 | ) | | | (1.07 | ) | | | (0.23 | ) | | | (0.02 | ) | | | (0.25 | ) |
For the year ended June 30, 2021(5) | | $ | 10.91 | | | | 0.23 | | | | (0.10 | ) | | | 0.13 | | | | (0.26 | ) | | | (0.23 | ) | | | (0.49 | ) |
For the year ended June 30, 2020(5) | | $ | 10.34 | | | | 0.31 | | | | 0.61 | | | | 0.92 | | | | (0.32 | ) | | | (0.03 | ) | | | (0.35 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 10.43 | | | | 0.20 | | | | (1.28 | ) | | | (1.08 | ) | | | (0.22 | ) | | | (0.03 | ) | | | (0.25 | ) |
For the year ended June 30, 2021(5) | | $ | 10.56 | | | | 0.22 | | | | 0.12 | | | | 0.34 | | | | (0.25 | ) | | | (0.22 | ) | | | (0.47 | ) |
For the year ended June 30, 2020(5) | | $ | 10.27 | | | | 0.32 | | | | 0.47 | | | | 0.79 | | | | (0.36 | ) | | | (0.14 | ) | | | (0.50 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 10.81 | | | | 0.20 | | | | (1.03 | ) | | | (0.83 | ) | | | (0.20 | ) | | | — | | | | (0.20 | ) |
For the year ended June 30, 2021(5) | | $ | 10.49 | | | | 0.22 | | | | 0.32 | | | | 0.54 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
For the year ended June 30, 2020(5) | | $ | 10.46 | | | | 0.26 | | | | 0.03 | | | | 0.29 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 23.32 | | | | 0.13 | | | | (4.51 | ) | | | (4.38 | ) | | | (0.12 | ) | | | (1.69 | ) | | | (1.81 | ) |
For the year ended June 30, 2021(5) | | $ | 17.11 | | | | 0.13 | | | | 6.83 | | | | 6.96 | | | | (0.11 | ) | | | (0.64 | ) | | | (0.75 | ) |
For the year ended June 30, 2020(5) | | $ | 14.64 | | | | 0.14 | | | | 2.65 | | | | 2.79 | | | | (0.14 | ) | | | (0.18 | ) | | | (0.32 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 17.24 | | | | 0.30 | | | | (1.10 | ) | | | (0.80 | ) | | | (0.30 | ) | | | (0.94 | ) | | | (1.24 | ) |
For the year ended June 30, 2021(5) | | $ | 11.77 | | | | 0.26 | | | | 5.48 | | | | 5.74 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
For the year ended June 30, 2020(5) | | $ | 12.71 | | | | 0.24 | | | | (0.94 | ) | | | (0.70 | ) | | | (0.23 | ) | | | (0.01 | ) | | | (0.24 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Tax Managed Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
For the period 6/01/22(7) - 6/30/22(5) | | $ | 10.00 | | | | 0.01 | | | | (0.70 | ) | | | (0.69 | ) | | | — | | | | — | | | | — | |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 19.02 | | | | 0.02 | | | | (4.42 | ) | | | (4.40 | ) | | | (0.01 | ) | | | (3.01 | ) | | | (3.02 | ) |
For the year ended June 30, 2021(5) | | $ | 14.73 | | | | 0.02 | | | | 6.42 | | | | 6.44 | | | | (0.04 | ) | | | (2.11 | ) | | | (2.15 | ) |
For the year ended June 30, 2020(5) | | $ | 14.25 | | | | 0.05 | | | | 1.01 | | | | 1.06 | | | | (0.05 | ) | | | (0.53 | ) | | | (0.58 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 15.55 | | | | 0.19 | | | | (1.57 | ) | | | (1.38 | ) | | | (0.16 | ) | | | (1.45 | ) | | | (1.61 | ) |
For the year ended June 30, 2021(5) | | $ | 9.92 | | | | 0.14 | | | | 5.64 | | | | 5.78 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
For the year ended June 30, 2020(5) | | $ | 11.55 | | | | 0.16 | | | | (1.63 | ) | | | (1.47 | ) | | | (0.16 | ) | | | — | | | | (0.16 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Tax Managed Small/Mid Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
For the period 6/01/22(7) - 6/30/22(5) | | $ | 10.00 | | | | 0.01 | | | | (0.72 | ) | | | (0.71 | ) | | | — | | | | — | | | | — | |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2022(5) | | $ | 14.73 | | | | 0.29 | | | | (3.11 | ) | | | (2.82 | ) | | | (0.32 | ) | | | (1.04 | ) | | | (1.36 | ) |
For the year ended June 30, 2021(5) | | $ | 10.97 | | | | 0.29 | | | | 3.72 | | | | 4.01 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
For the year ended June 30, 2020(5) | | $ | 11.38 | | | | 0.23 | | | | (0.36 | ) | | | (0.13 | ) | | | (0.28 | ) | | | — | | | | (0.28 | ) |
For the year ended June 30, 2019(5) | | $ | 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 | ) |
Bridge Builder Tax Managed International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
For the period 6/01/22(7) - 6/30/22(5) | | $ | 10.00 | | | | 0.01 | | | | (0.89 | ) | | | (0.88 | ) | | | — | | | | — | | | | — | |
| (1) | Annualized for periods less than one year. |
| (2) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| (3) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (4) | Ratios do not include the impact of the expenses of the underlying funds in which the fund invests. |
| (5) | Per share amounts based on average number of shares outstanding during the year/period. |
| (6) | Portfolio turnover rate does not include securities received as part of an in-kind capital contribution. |
| (8) | Since inception return. |
The accompanying notes are an integral part of these financial statements.
| | |
| 84 | | Annual Report • June 30, 2022 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average Net Assets of:(1) | | | | |
Net asset
value, end of
period | | | Total
return(2)(3) | | | Net assets,
end of period
(millions) | | | Expenses,
before
waivers(4) | | | Expenses, net of
waivers(4) | | | Net investment
income/
(loss) | | | Portfolio
turnover
rate | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.23 | | | | (10.36 | )% | | $ | 17,105 | | | | 0.34 | % | | | 0.13 | % | | | 2.12 | % | | | 157 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.10 | | | | (10.59 | )% | | $ | 31,334 | | | | 0.38 | % | | | 0.15 | % | | | 2.00 | % | | | 283 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.78 | | | | (7.73 | )% | | $ | 10,813 | | | | 0.38 | % | | | 0.15 | % | | | 1.96 | % | | | 22 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 17.13 | | | | (20.83 | )% | | $ | 15,381 | | | | 0.46 | % | | | 0.19 | % | | | 0.60 | % | | | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 15.20 | | | | (5.27 | )% | | $ | 17,033 | | | | 0.46 | % | | | 0.23 | % | | | 1.76 | % | | | 24 | % |
| $ | 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 | %(6) |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.31 | | | | (6.90 | )%(8) | | $ | 152 | | | | 0.66 | % | | | 0.51 | % | | | 1.36 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 11.60 | | | | (27.88 | )% | | $ | 5,332 | | | | 0.67 | % | | | 0.38 | % | | | 0.12 | % | | | 84 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 12.56 | | | | (10.21 | )% | | $ | 6,045 | | | | 0.66 | % | | | 0.40 | % | | | 1.26 | % | | | 33 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.29 | | | | (7.10 | )%(8) | | $ | 89 | | | | 1.13 | % | | | 0.73 | % | | | 0.84 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.55 | | | | (21.02 | )% | | $ | 13,609 | | | | 0.64 | % | | | 0.37 | % | | | 2.18 | % | | | 23 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.12 | | | | (8.80 | )%(8) | | $ | 104 | | | | 1.20 | % | | | 0.67 | % | | | 1.10 | % | | | 0 | % |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2022 | | 85 |
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, 2022, the Trust consisted of fourteen series, of which the eleven active series identified below are presented in this report (each a “Fund,” and collectively, the “Funds”). The Bridge Builder Tax Managed Large Cap Fund, Bridge Builder Tax Managed Small/Mid Cap Fund and Bridge Builder Tax Managed International Equity Fund were launched on June 1, 2022. The three remaining series are 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 Tax Managed Large Cap Fund
(“Tax Managed Large Cap Fund”) | | To seek to provide a tax-efficient investment return consisting of 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 Tax Managed Small/Mid Cap Fund (“Tax Managed Small/Mid Cap Fund”) | | To seek to provide a tax-efficient investment return consisting of capital appreciation |
| Bridge Builder International Equity Fund (“International Equity Fund”) | | To provide capital appreciation |
| Bridge Builder Tax Managed International Equity Fund (“Tax Managed International Equity Fund”) | | To seek to provide a tax-efficient investment return consisting of 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.
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| 86 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
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, 2022, 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, Tax Managed Large Cap, Small/Mid Cap Growth, Small/Mid Cap Value, Tax Managed Small/Mid Cap, International Equity and Tax Managed 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
| | |
| Annual Report • June 30, 2022 | | 87 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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, 2021. The compliance date for both the new rule and the associated new recordkeeping requirements is September 8, 2022. At this time, management has finalized its evaluation and determined there are no material impacts to 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 compliance date for the new rule was August 19, 2022. At this time, management has finalized its evaluation and determined there are no material impacts to 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 – Certain Funds invest in derivatives as permitted by their investment strategies and policies. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument.
Futures Contracts – Certain Funds may enter into futures contracts, which are agreements between two parties to buy or sell a specified underlying instrument for a fixed price on a specified future date. The Funds buy and sell
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| 88 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
futures contracts to gain or hedge exposure to certain risk factors. Upon entering into a futures contract, the Funds are required to deposit with the broker cash or securities, which are referred to as initial margin. Securities deposited as initial margin are designated on the Summary Schedule of Investments, and cash deposited is recorded as Deposits at broker for futures contracts on the Statements of Assets and Liabilities.
Exchange traded futures are marked to market daily based on the price movement of the contract. This change in value creates either a payable or receivable for the Fund as either more or less margin is required by the clearing agent. This change in value, known as variation margin, is moved daily between the Fund and its counterparty.
A change in the market value of an open futures contract is recorded as unrealized appreciation/(depreciation) until the contract is closed. When a contract is closed, the Fund will record a realized gain or (loss) equal to the difference between the proceeds of the closing transaction and the Fund’s basis in the contract. Futures contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments. During the period, all Funds, except for Tax Managed Large Cap Fund, Tax Managed Small/Mid Cap Fund and Tax Managed International Equity Fund, 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.
| | |
| Annual Report • June 30, 2022 | | 89 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Swap Contracts – Certain Funds may invest in swap contracts. Swap contracts are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap contracts may be privately negotiated in the over-the-counter market (“OTC Swaps”) or may be cleared through a third-party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”).
A Fund may enter into credit default, interest rate and/or total return swap contracts to manage the Fund’s exposure to credit, interest rate and equity risk. Securities or cash may be used as collateral or margin in accordance with the terms of the swap contract in order to provide assets in the event of a default or bankruptcy.
Centrally Cleared Swaps are marked to market daily and the change, if any, is recorded as variation margin on centrally cleared swap contracts on the Statements of Assets and Liabilities. OTC Swaps are marked to market daily and the change, if any, is included in the over-the-counter swap contracts, at value line item on the Statements of Assets and Liabilities. Both OTC and Centrally Cleared Swaps show this component as change in unrealized appreciation/(depreciation) on the Statements of Operations. Swap variation margin is accounted for as unrealized appreciation/(depreciation) until the contract is closed, at which time the gains or (losses) are realized. Upfront premiums received/(paid) represent cash payments made upon the opening of the swap contract to compensate for differences between the stated terms of the contract and the current market value contract. These upfront payments are recorded as assets/(liabilities) and are included within the market value of the swap contract. Upon liquidation or termination of the swap contract, these payments are recorded as realized gain/(loss) on the Statements of Operations. Net periodic payments received/(paid) by the Fund are also included in the realized gain/ (loss) on swap contracts on the Statements of Operations. Swap contracts outstanding, including their respective notional amounts at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Interest Rate Swaps – 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 payments based on interest rates or on an inflation index. 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
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| 90 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 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 following table summarizes Core Plus Bond Fund’s unfunded loan positions as of June 30, 2022.
| | | | | | | | | | | | | | |
Fund | | Borrower | | Unfunded Bank Loan
Commitment
(000s) | | | Value of
Underlying Bank
Loan Commitment
(000s) | | | Unrealized
Appreciation/
(Depreciation)
(000s) | |
Core Plus Bond Fund | | athenahealth Group, Inc. | | $ | 354 | | | $ | 333 | | | $ | (21 | ) |
| | |
| Annual Report • June 30, 2022 | | 91 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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, 2022.
Bridge Builder Core Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition Cost
(000s) | | | Market Value at
June 30, 2022
(000s) | | | % of Net Assets at
June 30, 2022 | |
Deutsche Bank AG | | | 11/17/2020 | | | $ | 6,700 | | | $ | 5,949 | | | | 0.03 | % |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 6,700 | | | $ | 5,949 | | | | 0.03 | % |
| | | | | | | | | | | | | | | | |
Bridge Builder Core Plus Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition Cost
(000s) | | | Market Value at
June 30, 2022
(000s) | | | % of Net Assets at
June 30, 2022 | |
Adani Green Energy Ltd. | | | 3/14/2022 | | | $ | 411 | | | $ | 397 | | | | 0.00 | %* |
Arabian Centres Sukuk Ltd. | | | 11/5/2021 | | | | 479 | | | | 432 | | | | 0.00 | * |
AT&T Mobility II LLC | | | 9/24/2020 | | | | 28,023 | | | | 23,554 | | | | 0.09 | |
Banco Mercantil del Norte S.A./Grand Cayman | | | 4/26/2022 - 4/27/2022 | | | | 2,375 | | | | 2,213 | | | | 0.01 | |
Braskem Idesa SAPI | | | 5/3/2022 | | | | 511 | | | | 443 | | | | 0.00 | * |
Braskem Netherlands Finance BV | | | 11/4/2021 | | | | 251 | | | | 223 | | | | 0.00 | * |
CLP Power Hong Kong Financing Ltd. | | | 2/24/2021 | | | | 5,606 | | | | 1,691 | | | | 0.01 | |
Cold Storage Trust 2020-ICE5 | | | 10/22/2020 | | | | 3,534 | | | | 3,436 | | | | 0.01 | |
Deutsche Bank AG | | | 11/17/2020 - 6/21/2021 | | | | 14,346 | | | | 7,406 | | | | 0.03 | |
DP World Salaam | | | 6/7/2022 | | | | 754 | | | | 736 | | | | 0.00 | * |
Emirates NBD Bank PJSC | | | 11/5/2021 | | | | 773 | | | | 731 | | | | 0.00 | * |
Eskom Holdings SOC Ltd. | | | 11/5/2021 - 12/1/2021 | | | | 1,893 | | | | 763 | | | | 0.00 | * |
Fresnillo PLC | | | 4/1/2022 - 4/4/2022 | | | | 517 | | | | 427 | | | | 0.00 | * |
Ghana Government International Bond | | | 1/27/2022 - 2/4/2022 | | | | 575 | | | | 225 | | | | 0.00 | * |
Grupo Aval Ltd. | | | 11/4/2021 | | | | 298 | | | | 290 | | | | 0.00 | * |
Industrias Penoles SAB de CV | | | 4/1/2022 - 4/11/2022 | | | | 1,136 | | | | 980 | | | | 0.00 | * |
Intelsat SA | | | 6/19/2017 - 2/24/2022 | | | | 24,897 | | | | 16,399 | | | | 0.05 | |
Ivory Coast Government International Bond | | | 3/11/2022 | | | | 593 | | | | 442 | | | | 0.00 | * |
MAF Global** | | | 11/5/2021 | | | | 394 | | | | — | | | | 0.00 | * |
Metalsa S A P I de CV | | | 11/02/2021 - 11/12/2021 | | | | 697 | | | | 508 | | | | 0.00 | * |
Metinvest BV | | | 4/8/2022 - 4/11/2022 | | | | 198 | | | | 227 | | | | 0.00 | * |
Morgan Stanley | | | 2/11/2020 | | | | 12,558 | | | | 9,233 | | | | 0.03 | |
Movida Europe S.A. | | | 3/2/2022 | | | | 377 | | | | 343 | | | | 0.00 | * |
Neiman Marcus Group, Inc. | | | 9/25/2020 | | | | 2,007 | | | | 10,773 | | | | 0.04 | |
Nemak SAB de CV | | | 11/02/2021 - 11/15/2021 | | | | 680 | | | | 496 | | | | 0.00 | * |
Noble Corp. | | | 2/8/2021 - 2/12/2021 | | | | 226 | | | | 395 | | | | 0.00 | * |
Oi SA | | | 11/5/2021 | | | | 353 | | | | 182 | | | | 0.00 | * |
Oil & Gas Holding Co. BSCC | | | 11/5/2021 | | | | 660 | | | | 618 | | | | 0.00 | * |
Oracle Corp. | | | 6/17/2021 - 10/5/2021 | | | | 9,699 | | | | 6,155 | | | | 0.03 | |
Orbia Advance Corp. SAB de CV | | | 6/17/2021 - 4/6/2022 | | | | 1,182 | | | | 1,010 | | | | 0.00 | * |
Promigas SA ESP | | | 11/4/2021 | | | | 379 | | | | 305 | | | | 0.00 | * |
Puma International Financing S.A. | | | 4/20/2022 - 4/25/2022 | | | | 537 | | | | 500 | | | | 0.00 | * |
Stillwater Mining Co. | | | 4/26/2022 | | | | 530 | | | | 475 | | | | 0.00 | * |
Trust Fibra Uno | | | 5/19/2022 | | | | 517 | | | | 507 | | | | 0.00 | * |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 117,966 | | | $ | 92,515 | | | | 0.30 | % |
| | | | | | | | | | | | | | | | |
| * | Amount less than 0.005%. |
| ** | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | |
| 92 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Municipal Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition Cost
(000s) | | | Market Value at
June 30, 2022
(000s) | | | % of Net Assets at
June 30, 2022 | |
Connector 2000 Association, Inc. | | | 1/4/2022 | | | $ | 404 | | | $ | 311 | | | | 0.00 | %* |
Deutsche Bank Spears/Lifers Trust | | | 12/10/2020 - 4/14/2022 | | | | 23,600 | | | | 23,600 | | | | 0.22 | |
Mizuho Floater/Residual Trust | | | 8/14/2020 - 2/10/2022 | | | | 25,395 | | | | 25,395 | | | | 0.24 | |
Public Finance Authority | | | 5/19/2016 - 4/14/2020 | | | | 6,175 | | | | 5,432 | | | | 0.05 | |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 55,574 | | | $ | 54,738 | | | | 0.51 | % |
| | | | | | | | | | | | | | | | |
| * | Amount less than 0.005%. |
Bridge Builder International Equity Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition Cost
(000s) | | | Market Value at
June 30, 2022
(000s) | | | % of Net Assets at
June 30, 2022 | |
Severstal PAO** | | | 7/15/2021 - 11/29/2021 | | | $ | 3,360 | | | $ | — | | | | 0.00 | %* |
X5 Retail Group NV** | | | 7/15/2021 - 1/27/2022 | | | | 2,010 | | | | — | | | | 0.00 | * |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 5,370 | | | $ | — | | | | 0.00 | %* |
| | | | | | | | | | | | | | | | |
| * | Amount less than 0.005%. |
| ** | A zero balance may reflect actual amounts rounding to less than one thousand. |
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 year ended June 30, 2022, the Core Plus Bond Fund participated in sale-buyback transactions which were as follows:
| | | | | | | | | | | | | | | | |
Fund | | Outstanding
Sale-Buyback Transactions
(000s) | | | Average Amount
Borrowed
(000s) | | | Incurred Interest
Expense
(000s) | | | % of Weighted Average
Interest Rate | |
Core Plus Bond Fund | | $ | — | | | $ | 2,410 | | | $ | 6 | | | | 0.04 | % |
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 year ended June 30, 2022, 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 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.
| | |
| Annual Report • June 30, 2022 | | 93 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
4. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has 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 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). |
| | |
| 94 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other
relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such 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.
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
| | |
| Annual Report • June 30, 2022 | | 95 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented in the Summary Schedule of Investments as of June 30, 2022.
Bridge Builder Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 1,917,209 | | | $ | 3,070 | | | $ | 1,920,279 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 137,802 | | | | — | | | | 137,802 | |
Communications | | | — | | | | 364,605 | | | | — | | | | 364,605 | |
Consumer, Cyclical | | | — | | | | 295,806 | | | | — | | | | 295,806 | |
Consumer, Non-cyclical | | | — | | | | 636,482 | | | | — | | | | 636,482 | |
Diversified | | | — | | | | 3,076 | | | | — | | | | 3,076 | |
Energy | | | — | | | | 510,253 | | | | — | | | | 510,253 | |
Financials | | | — | | | | 1,885,042 | | | | — | | | | 1,885,042 | |
Industrials | | | — | | | | 287,053 | | | | — | | | | 287,053 | |
Technology | | | — | | | | 262,977 | | | | — | | | | 262,977 | |
Utilities | | | — | | | | 482,644 | | | | — | | | | 482,644 | |
Government Related | | | | | | | | | | | | | | | | |
Other Government Related | | | — | | | | 250,457 | | | | — | | | | 250,457 | |
U.S. Treasury Obligations | | | — | | | | 3,887,354 | | | | — | | | | 3,887,354 | |
Mortgage-Backed Obligations | | | — | | | | 5,908,588 | | | | 37,028 | | | | 5,945,616 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Financials | | | 2,366 | | | | — | | | | — | | | | 2,366 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 750,007 | | | | — | | | | — | | | | 750,007 | |
Time Deposits | | | — | | | | 818 | | | | — | | | | 818 | |
Futures Contracts (1) | | | 758 | | | | — | | | | — | | | | 758 | |
Total Assets | | $ | 753,131 | | | $ | 16,830,166 | | | $ | 40,098 | | | $ | 17,623,395 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | $ | — | | | $ | (29,802 | ) | | $ | — | | | $ | (29,802 | ) |
Futures Contracts (1) | | | (5,903 | ) | | | — | | | | — | | | | (5,903 | ) |
Total Liabilities | | $ | (5,903 | ) | | $ | (29,802 | ) | | $ | — | | | $ | (35,705 | ) |
| | |
| 96 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Core Plus Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 3,582,090 | | | $ | — | | | $ | 3,582,090 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 280,339 | | | | — | | | | 280,339 | |
Communications | | | — | | | | 1,315,160 | | | | — | (2) | | | 1,315,160 | |
Consumer, Cyclical | | | — | | | | 878,743 | | | | — | | | | 878,743 | |
Consumer, Non-cyclical | | | — | | | | 1,197,622 | | | | — | | | | 1,197,622 | |
Energy | | | — | | | | 683,698 | | | | — | | | | 683,698 | |
Financials | | | — | | | | 3,976,258 | | | | — | | | | 3,976,258 | |
Government | | | — | | | | 34,171 | | | | — | | | | 34,171 | |
Industrials | | | — | | | | 481,835 | | | | — | | | | 481,835 | |
Technology | | | — | | | | 618,121 | | | | — | | | | 618,121 | |
Utilities | | | — | | | | 605,014 | | | | — | | | | 605,014 | |
Convertible Securities | | | | | | | | | | | | | | | | |
Communications | | | — | | | | 33,837 | | | | — | | | | 33,837 | |
Consumer, Cyclical | | | — | | | | 10,104 | | | | — | | | | 10,104 | |
Consumer, Non-cyclical | | | — | | | | 36,903 | | | | — | | | | 36,903 | |
Government Related | | | | | | | | | | | | | | | | |
Other Government Related | | | — | | | | 612,588 | | | | — | | | | 612,588 | |
U.S. Treasury Obligations | | | — | | | | 6,841,761 | | | | — | | | | 6,841,761 | |
Mortgage-Backed Obligations | | | — | | | | 9,209,195 | | | | 26,569 | | | | 9,235,764 | |
Bank Loans | | | — | | | | 397,468 | | | | 9,438 | | | | 406,906 | |
Common Stocks | | | | | | | | | | | | | | | | |
Communications | | | 6,146 | | | | — | | | | 18,994 | | | | 25,140 | |
Consumer Discretionary | | | — | | | | — | | | | 10,773 | | | | 10,773 | |
Energy | | | 395 | | | | — | | | | 47 | | | | 442 | |
Financials | | | 40 | | | | — | | | | — | (2) | | | 40 | |
Industrials | | | — | | | | — | | | | — | (2) | | | — | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
Financials | | | 52,797 | | | | — | | | | — | | | | 52,797 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Communications | | | — | | | | — | | | | 23,554 | | | | 23,554 | |
Financials | | | — | | | | — | | | | 7 | | | | 7 | |
Rights | | | — | | | | — | | | | — | (2) | | | — | |
Warrants | | | — | | | | — | | | | 81 | | | | 81 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 778,926 | | | | — | | | | — | | | | 778,926 | |
Government Related | | | — | | | | 13,426 | | | | — | | | | 13,426 | |
Repurchase Agreements | | | — | | | | 309,600 | | | | — | | | | 309,600 | |
U.S. Treasury Bills | | | — | | | | 2,375,059 | | | | — | | | | 2,375,059 | |
Time Deposits | | | — | | | | 31,916 | | | | — | | | | 31,916 | |
Futures Contracts (1) | | | 18,440 | | | | — | | | | — | | | | 18,440 | |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | 33,996 | | | | — | | | | 33,996 | |
Swap Contracts (1) | | | — | | | | 112,350 | | | | — | | | | 112,350 | |
Total Assets | | $ | 856,744 | | | $ | 33,671,254 | | | $ | 89,463 | | | $ | 34,617,461 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | $ | — | | | $ | (372,331 | ) | | $ | — | | | $ | (372,331 | ) |
Futures Contracts (1) | | | (33,702 | ) | | | — | | | | — | | | | (33,702 | ) |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | (22,403 | ) | | | — | | | | (22,403 | ) |
Swap Contracts (1) | | | — | | | | (152,970 | ) | | | — | | | | (152,970 | ) |
Total Liabilities | | $ | (33,702 | ) | | $ | (547,704 | ) | | $ | — | | | $ | (581,406 | ) |
| | |
| Annual Report • June 30, 2022 | | 97 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | | | | | | | | | | | | |
Education | | $ | — | | | $ | 866,296 | | | $ | — | | | $ | 866,296 | |
General Obligation | | | — | | | | 1,889,564 | | | | — | | | | 1,889,564 | |
General Revenue | | | — | | | | 3,062,302 | | | | — | | | | 3,062,302 | |
Healthcare | | | — | | | | 1,375,433 | | | | — | | | | 1,375,433 | |
Housing | | | — | | | | 682,456 | | | | — | | | | 682,456 | |
Transportation | | | — | | | | 1,716,001 | | | | — | | | | 1,716,001 | |
Utilities | | | — | | | | 936,664 | | | | — | | | | 936,664 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 218,301 | | | | — | | | | — | | | | 218,301 | |
Commercial Paper | | | — | | | | 17,331 | | | | — | | | | 17,331 | |
Time Deposits | | | — | | | | 1,184 | | | | — | | | | 1,184 | |
Futures Contracts (1) | | | 3,981 | | | | — | | | | — | | | | 3,981 | |
Total Assets | | $ | 222,282 | | | $ | 10,547,231 | | | $ | — | | | $ | 10,769,513 | |
| | | | |
| Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services . . . . . . . . . . . . . . . | | $ | 1,354,676 | | | $ | — | | | $ | — | | | $ | 1,354,676 | |
Consumer Discretionary . . . . . . . . . . . . . . . | | | 2,043,103 | | | | 83,290 | | | | — | | | | 2,126,393 | |
Consumer Staples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 628,709 | | | | — | | | | — | | | | 628,709 | |
Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 217,943 | | | | — | | | | — | | | | 217,943 | |
Financials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 1,427,541 | | | | — | | | | — | | | | 1,427,541 | |
Healthcare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 3,020,462 | | | | — | | | | — | | | | 3,020,462 | |
Industrials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 583,702 | | | | — | | | | — | | | | 583,702 | |
Information Technology . . . . . . . . . . . . . . . | | | 4,550,378 | | | | 61,609 | | | | — | | | | 4,611,987 | |
Materials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 616,883 | | | | — | | | | — | | | | 616,883 | |
Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 367,294 | | | | — | | | | — | | | | 367,294 | |
Utilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | | | 711 | | | | — | | | | — | | | | 711 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds . . . . . . . . . . . . . . . | | | 402,049 | | | | — | | | | — | | | | 402,049 | |
Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . | | | — | | | | 6,442 | | | | — | | | | 6,442 | |
Total Assets | | $ | 15,213,451 | | | $ | 151,341 | | | $ | — | | | $ | 15,364,792 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) . . . . . . . . . . . . . . . . . . . | | $ | (246 | ) | | $ | — | | | $ | — | | | $ | (246 | ) |
Total Liabilities | | $ | (246 | ) | | $ | — | | | $ | — | | | $ | (246 | ) |
| | |
| 98 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Large Cap Value Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 1,217,344 | | | $ | — | | | $ | — | | | $ | 1,217,344 | |
Consumer Discretionary | | | 1,394,330 | | | | 104,467 | | | | — | | | | 1,498,797 | |
Consumer Staples | | | 1,359,907 | | | | — | | | | — | | | | 1,359,907 | |
Energy | | | 795,198 | | | | 62,366 | | | | — | | | | 857,564 | |
Financials | | | 2,661,510 | | | | — | | | | — | | | | 2,661,510 | |
Healthcare | | | 2,739,927 | | | | 142,079 | | | | — | | | | 2,882,006 | |
Industrials | | | 2,347,247 | | | | 113,978 | | | | — | | | | 2,461,225 | |
Information Technology | | | 1,598,916 | | | | 84,859 | | | | — | | | | 1,683,775 | |
Materials | | | 778,723 | | | | 7,822 | | | | 11 | | | | 786,556 | |
Real Estate | | | 575,231 | | | | — | | | | — | | | | 575,231 | |
Utilities | | | 625,777 | | | | — | | | | — | | | | 625,777 | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
Healthcare | | | 11,137 | | | | — | | | | — | | | | 11,137 | |
Utilities | | | 32,302 | | | | — | | | | — | | | | 32,302 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 25,298 | | | | — | | | | 25,298 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 294,167 | | | | — | | | | — | | | | 294,167 | |
Time Deposits | | | — | | | | 5,432 | | | | — | | | | 5,432 | |
Total Assets | | $ | 16,431,716 | | | $ | 546,301 | | | $ | 11 | | | $ | 16,978,028 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (98 | ) | | $ | — | | | $ | — | | | $ | (98 | ) |
Total Liabilities | | $ | (98 | ) | | $ | — | | | $ | — | | | $ | (98 | ) |
| | | | |
| Bridge Builder Tax Managed Large Cap Fund | | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 14,515 | | | $ | — | | | $ | — | | | $ | 14,515 | |
Consumer Discretionary | | | 16,178 | | | | — | | | | — | | | | 16,178 | |
Consumer Staples | | | 5,754 | | | | — | | | | — | | | | 5,754 | |
Energy | | | 6,414 | | | | — | | | | — | | | | 6,414 | |
Financials | | | 14,652 | | | | — | | | | — | | | | 14,652 | |
Healthcare | | | 22,767 | | | | — | | | | — | | | | 22,767 | |
Industrials | | | 12,161 | | | | — | | | | — | | | | 12,161 | |
Information Technology | | | 35,277 | | | | — | | | | — | | | | 35,277 | |
Materials | | | 6,861 | | | | — | | | | — | | | | 6,861 | |
Real Estate | | | 3,850 | | | | — | | | | — | | | | 3,850 | |
Utilities | | | 3,626 | | | | — | | | | — | | | | 3,626 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 4,577 | | | | — | | | | — | | | | 4,577 | |
Time Deposits | | | — | | | | 1,552 | | | | — | | | | 1,552 | |
Total Assets | | $ | 146,632 | | | $ | 1,552 | | | $ | — | | | $ | 148,184 | |
| | |
| Annual Report • June 30, 2022 | | 99 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 195,479 | | | $ | — | | | $ | — | | | $ | 195,479 | |
Consumer Discretionary | | | 535,583 | | | | — | | | | — | | | | 535,583 | |
Consumer Staples | | | 228,972 | | | | — | | | | — | | | | 228,972 | |
Energy | | | 132,675 | | | | — | | | | — | | | | 132,675 | |
Financials | | | 571,704 | | | | — | | | | — | | | | 571,704 | |
Healthcare | | | 1,216,452 | | | | — | | | | 16 | | | | 1,216,468 | |
Industrials | | | 826,357 | | | | — | | | | — | | | | 826,357 | |
Information Technology | | | 1,202,559 | | | | — | | | | — | | | | 1,202,559 | |
Materials | | | 167,058 | | | | — | | | | — | | | | 167,058 | |
Real Estate | | | 54,366 | | | | — | | | | — | | | | 54,366 | |
Utilities | | | 3,430 | | | | — | | | | — | | | | 3,430 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 184,308 | | | | — | | | | — | | | | 184,308 | |
Time Deposits | | | — | | | | 3,930 | | | | — | | | | 3,930 | |
Total Assets | | $ | 5,318,943 | | | $ | 3,930 | | | $ | 16 | | | $ | 5,322,889 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (58 | ) | | $ | — | | | $ | — | | | $ | (58 | ) |
Total Liabilities | | $ | (58 | ) | | $ | — | | | $ | — | | | $ | (58 | ) |
Bridge Builder Small/Mid Cap Value Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 106,886 | | | $ | – | | | $ | – | | | $ | 106,886 | |
Consumer Discretionary | | | 670,483 | | | | — | | | | — | | | | 670,483 | |
Consumer Staples | | | 247,700 | | | | — | | | | — | | | | 247,700 | |
Energy | | | 347,377 | | | | — | | | | — | | | | 347,377 | |
Financials | | | 1,212,435 | | | | — | | | | — | | | | 1,212,435 | |
Healthcare | | | 575,498 | | | | — | | | | 16 | | | | 575,514 | |
Industrials | | | 957,792 | | | | 1,433 | | | | — | | | | 959,225 | |
Information Technology | | | 553,115 | | | | — | | | | — | | | | 553,115 | |
Materials | | | 408,375 | | | | — | | | | 6 | | | | 408,381 | |
Real Estate | | | 359,077 | | | | — | | | | — | | | | 359,077 | |
Utilities | | | 400,114 | | | | — | | | | — | | | | 400,114 | |
Exchange Traded Funds | | | 25,142 | | | | — | | | | — | | | | 25,142 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 153,912 | | | | — | | | | — | | | | 153,912 | |
Time Deposits | | | — | | | | 7,124 | | | | — | | | | 7,124 | |
Total Assets | | $ | 6,017,906 | | | $ | 8,557 | | | $ | 22 | | | $ | 6,026,485 | |
Liablities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (122 | ) | | $ | — | | | $ | — | | | $ | (122 | ) |
Total Liabilities | | $ | (122 | ) | | $ | — | | | $ | — | | | $ | (122 | ) |
| | |
| 100 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Tax Managed Small/Mid Cap Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 1,834 | | | $ | — | | | $ | — | | | $ | 1,834 | |
Consumer Discretionary | | | 10,072 | | | | — | | | | — | | | | 10,072 | |
Consumer Staples | | | 3,354 | | | | — | | | | — | | | | 3,354 | |
Energy | | | 3,514 | | | | — | | | | — | | | | 3,514 | |
Financials | | | 12,717 | | | | — | | | | — | | | | 12,717 | |
Healthcare | | | 11,815 | | | | — | | | | — | | | | 11,815 | |
Industrials | | | 17,003 | | | | — | | | | — | | | | 17,003 | |
Information Technology | | | 14,891 | | | | — | | | | — | | | | 14,891 | |
Materials | | | 3,707 | | | | — | | | | — | | | | 3,707 | |
Real Estate | | | 3,521 | | | | — | | | | — | | | | 3,521 | |
Utilities | | | 2,355 | | | | — | | | | — | | | | 2,355 | |
Exchange Traded Funds | | | 217 | | | | — | | | | — | | | | 217 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 2,067 | | | | — | | | | — | | | | 2,067 | |
Time Deposits | | | — | | | | 285 | | | | — | | | | 285 | |
Total Assets | | $ | 87,067 | | | $ | 285 | | | $ | — | | | $ | 87,352 | |
| | | | |
| Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 48,668 | | | $ | 798,654 | | | $ | — | | | $ | 847,322 | |
Consumer Discretionary | | | 169,408 | | | | 1,847,313 | | | | — | | | | 2,016,721 | |
Consumer Staples | | | 95,559 | | | | 1,104,143 | | | | — | (2) | | | 1,199,702 | |
Energy | | | 34,352 | | | | 541,139 | | | | — | | | | 575,491 | |
Financials | | | 83,053 | | | | 2,003,411 | | | | — | | | | 2,086,464 | |
Healthcare | | | 293,773 | | | | 1,590,965 | | | | — | | | | 1,884,738 | |
Industrials | | | 131,618 | | | | 2,051,500 | | | | — | | | | 2,183,118 | |
Information Technology | | | 388,109 | | | | 1,079,425 | | | | — | | | | 1,467,534 | |
Materials | | | 7,042 | | | | 580,863 | | | | — | (2) | | | 587,905 | |
Real Estate | | | — | | | | 29,237 | | | | — | | | | 29,237 | |
Utilities | | | 128 | | | | 398,303 | | | | — | | | | 398,431 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 47,551 | | | | — | | | | 47,551 | |
Consumer Staples | | | — | | | | 727 | | | | — | | | | 727 | |
Healthcare | | | — | | | | 408 | | | | — | | | | 408 | |
Rights | | | | | | | | | | | | | | | | |
Communication Services | | | — | | | | 21 | | | | — | | | | 21 | |
Energy | | | 132 | | | | — | | | | — | | | | 132 | |
Information Technology | | | — | | | | 631 | | | | — | | | | 631 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 205,948 | | | | — | | | | — | | | | 205,948 | |
Time Deposits | | | — | | | | 54,246 | | | | — | | | | 54,246 | |
Total Assets | | $ | 1,457,790 | | | $ | 12,128,537 | | | $ | — | | | $ | 13,586,327 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | | (62 | ) | | | — | | | | — | | | | (62 | ) |
Total Liabilities | | $ | (62 | ) | | $ | — | | | $ | — | | | $ | (62 | ) |
| | |
| Annual Report • June 30, 2022 | | 101 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Tax Managed International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
(000s) | | | Level 2
(000s) | | | Level 3
(000s) | | | Total
(000s) | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 211 | | | $ | 2,664 | | | $ | — | | | $ | 2,875 | |
Consumer Discretionary | | | 868 | | | | 11,599 | | | | — | | | | 12,467 | |
Consumer Staples | | | 1,242 | | | | 8,057 | | | | — | | | | 9,299 | |
Energy | | | 500 | | | | 2,942 | | | | — | | | | 3,442 | |
Financials | | | 1,488 | | | | 15,083 | | | | — | | | | 16,571 | |
Healthcare | | | 753 | | | | 14,874 | | | | — | | | | 15,627 | |
Industrials | | | 951 | | | | 14,392 | | | | — | | | | 15,343 | |
Information Technology | | | 2,894 | | | | 8,044 | | | | — | | | | 10,938 | |
Materials | | | 245 | | | | 8,734 | | | | — | | | | 8,979 | |
Real Estate | | | — | | | | 846 | | | | — | | | | 846 | |
Utilities | | | — | | | | 2,143 | | | | — | | | | 2,143 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 587 | | | | — | | | | 587 | |
Consumer Staples | | | — | | | | 49 | | | | — | | | | 49 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 245 | | | | — | | | | — | | | | 245 | |
Time Deposits | | | — | | | | 147 | | | | — | | | | 147 | |
Total Assets | | $ | 9,397 | | | $ | 90,161 | | | $ | — | | | $ | 99,558 | |
| (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, interest rate swaps and inflation linked 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 less than one thousand. |
The Core Bond Fund, Core Plus Bond Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund, Small/Mid Cap Value Fund and International Equity Fund all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Core Bond Fund, Core Plus Bond Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund, Small/Mid Cap Value Fund and International Equity Fund have been deemed immaterial with respect to each Fund. As a result, additional quantitative information regarding Level 3 fair value measurements has not been presented.
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.
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.
| | |
| 102 | | Annual Report • June 30, 2022 |
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*
(000s) | | | Swaps at
Value*
(000s) | | | Unrealized
Appreciation on
Forward Foreign
Currency
Exchange
Contracts
(000s) | | | Unrealized
Depreciation on
Futures Contracts*
(000s) | | | Swaps at
Value*
(000s) | | | Unrealized
Depreciation
on Forward
Foreign
Currency
Exchange
Contracts
(000s) | |
Interest Rate Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond Fund | | $ | 758 | | | $ | — | | | $ | — | | | $ | (5,903 | ) | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | 18,440 | | | | 106,850 | | | | — | | | | (33,702 | ) | | | (112,867 | ) | | | — | |
Municipal Bond Fund | | | 3,981 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Equity Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | — | | | | — | | | | — | | | | (246 | ) | | | — | | | | — | |
Large Cap Value Fund | | | — | | | | — | | | | — | | | | (98 | ) | | | — | | | | — | |
Small/Mid Cap Growth Fund | | | — | | | | — | | | | — | | | | (58 | ) | | | — | | | | — | |
Small/Mid Cap Value Fund | | | — | | | | — | | | | — | | | | (122 | ) | | | — | | | | — | |
International Equity Fund | | | — | | | | — | | | | — | | | | (62 | ) | | | — | | | | — | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | — | | | | 33,996 | | | | — | | | | — | | | | (22,403 | ) |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | 5,500 | | | | — | | | | — | | | | (40,103 | ) | | | — | |
| * | 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, 2022.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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
(000s) | | | Forward Foreign
Currency Exchange
Contracts
(000s) | | | Swaps
(000s) | | | Futures
Contracts
(000s) | | | Forward Foreign
Currency Exchange
Contracts
(000s) | | | Swaps
(000s) | |
Interest Rate Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond Fund | | $ | (82,582 | ) | | $ | — | | | $ | — | | | $ | (19,525 | ) | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | (183,812 | ) | | | — | | | | 23,569 | | | | (43,480 | ) | | | — | | | | (31,126 | ) |
Municipal Bond Fund | | | 13,677 | | | | — | | | | — | | | | 4,242 | | | | — | | | | — | |
Equity Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | (1,316 | ) | | | — | | | | — | | | | (598 | ) | | | — | | | | — | |
Large Cap Value Fund | | | (184 | ) | | | — | | | | — | | | | (127 | ) | | | — | | | | — | |
Small/Mid Cap Growth Fund | | | (348 | ) | | | — | | | | — | | | | (81 | ) | | | — | | | | — | |
Small/Mid Cap Value Fund | | | (853 | ) | | | — | | | | — | | | | (108 | ) | | | — | | | | — | |
International Equity Fund | | | 49 | | | | — | | | | — | | | | (29 | ) | | | — | | | | — | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | 135,143 | | | | — | | | | — | | | | (10,582 | ) | | | — | |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | — | | | | 8,763 | | | | — | | | | — | | | | (52,512 | ) |
| | |
| Annual Report • June 30, 2022 | | 103 |
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, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities
(000s) | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities
(000s) | | | | |
| Counterparty | | Investment
Type | | Gross Amounts
Available for Offset
(000s) | | | Net
Amounts
(000s) | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount
(000s) | |
Bank of America | | Credit
Default
Swap
Contracts | | $ | 304 | | | $ | (304 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Bank of America | | Forward
Foreign
Currency
Exchange
Contracts | | | 21,634 | | | | (2,031 | ) | | | 19,603 | | | | — | | | | (19,603 | ) | | | — | |
Barclays Bank | | Credit
Default
Swap
Contracts | | | 1,305 | | | | — | | | | 1,305 | | | | — | | | | — | | | | 1,305 | |
Barclays Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 129 | | | | (47 | ) | | | 82 | | | | — | | | | — | | | | 82 | |
BNP Paribas | | Forward
Foreign
Currency
Exchange
Contracts | | | 7,019 | | | | (5,308 | ) | | | 1,711 | | | | — | | | | (950 | ) | | | 761 | |
Deutsche Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 2,652 | | | | (1,554 | ) | | | 1,098 | | | | — | | | | (710 | ) | | | 388 | |
Goldman Sachs | | Credit
Default
Swap
Contracts | | | 366 | | | | (366 | ) | | | — | | | | — | | | | — | | | | — | |
Goldman Sachs | | Forward
Foreign
Currency
Exchange
Contracts | | | 1,891 | | | | (1,891 | ) | | | — | | | | — | | | | — | | | | — | |
J.P. Morgan | | Forward
Foreign
Currency
Exchange
Contracts | | | 589 | | | | (589 | ) | | | — | | | | — | | | | — | | | | — | |
Morgan Stanley | | Credit
Default
Swap
Contracts | | | 510 | | | | (510 | ) | | | — | | | | — | | | | — | | | | — | |
| | |
| 104 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund (Continued) | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities
(000s) | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities
(000s) | | | | |
| Counterparty | | Investment
Type | | | Gross Amounts
Available for Offset
(000s) | | | Net
Amounts
(000s) | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount
(000s) | |
Morgan Stanley | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | $ | 74 | | | $ | (74 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
UBS | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 8 | | | | (8 | ) | | | — | | | | — | | | | — | | | | — | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | | | 36,481 | | | | (12,682 | ) | | | 23,799 | | | | — | | | | (21,263 | ) | | | 2,536 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets & Liabilities
(000s) | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities
(000s) | | | | |
| Counterparty | | Investment
Type | | Gross Amounts
Available for Offset
(000s) | | | Net
Amounts
(000s) | | | Financial
Instruments | | | Collateral
Pledged | | | Net
Amount
(000s) | |
Bank Of America | | Credit
Default
Swap
Contracts | | $ | 601 | | | $ | (304 | ) | | $ | 297 | | | $ | — | | | $ | — | | | $ | 297 | |
Bank Of America | | Forward
Foreign
Currency
Exchange
Contracts | | | 2,031 | | | | (2,031 | ) | | | — | | | | — | | | | — | | | | — | |
Barclays Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 47 | | | | (47 | ) | | | — | | | | — | | | | — | | | | — | |
BNP Paribas | | Credit
Default
Swap
Contracts | | | 161 | | | | — | | | | 161 | | | | — | | | | — | | | | 161 | |
BNP Paribas | | Forward
Foreign
Currency
Exchange
Contracts | | | 5,308 | | | | (5,308 | ) | | | — | | | | — | | | | — | | | | — | |
Citibank | | Forward
Foreign
Currency
Exchange
Contracts | | | 40 | | | | — | | | | 40 | | | | — | | | | — | | | | 40 | |
Deutsche Bank | | Credit
Default
Swap
Contracts | | | 59 | | | | — | | | | 59 | | | | — | | | | — | | | | 59 | |
| | |
| Annual Report • June 30, 2022 | | 105 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund (Continued) | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets & Liabilities
(000s) | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities
(000s) | | | | |
| Counterparty | | Investment
Type | | | Gross Amounts
Available for Offset
(000s) | | | Net
Amounts
(000s) | | | Financial
Instruments | | | Collateral
Pledged | | | Net
Amount
(000s) | |
Deutsche Bank | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | $ | 1,554 | | | $ | (1,554 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Goldman Sachs | |
| Credit
Default
Swap
Contracts |
| | | 14,782 | | | | (366 | ) | | | 14,416 | | | | — | | | | — | | | | 14,416 | |
Goldman Sachs | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 9,285 | | | | (1,891 | ) | | | 7,394 | | | | — | | | | — | | | | 7,394 | |
J.P. Morgan | |
| Credit
Default
Swap
Contracts |
| | | 9,948 | | | | — | | | | 9,948 | | | | — | | | | — | | | | 9,948 | |
J.P. Morgan | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 3,987 | | | | (589 | ) | | | 3,398 | | | | — | | | | — | | | | 3,398 | |
J.P. Morgan | |
| Interest
Rate
Swap
Contracts |
| | | 38 | | | | — | | | | 38 | | | | — | | | | — | | | | 38 | |
Morgan Stanley | |
| Credit
Default
Swap
Contracts |
| | | 3,176 | | | | (510 | ) | | | 2,666 | | | | — | | | | — | | | | 2,666 | |
Morgan Stanley | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 130 | | | | (74 | ) | | | 56 | | | | — | | | | — | | | | 56 | |
UBS | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 21 | | | | (8 | ) | | | 13 | | | | — | | | | — | | | | 13 | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | | | 51,168 | | | | (12,682 | ) | | | 38,486 | | | | — | | | | — | | | | 38,486 | |
| | |
| 106 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Funds’ average monthly notional amount of derivatives during the year ended June 30, 2022 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund
(000s) | | | Core Plus Bond
Fund*
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | | | Large Cap
Value Fund
(000s) | | | Small/Mid
Cap Growth
Fund
(000s) | | | Small/Mid
Cap Value
Fund
(000s) | | | International
Equity Fund*
(000s) | |
Futures Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Notional
Balance – Long | | $ | 1,051,672 | | | $ | 3,559,215 | | | $ | — | | | $ | 8,549 | | | $ | 4,983 | | | $ | 2,995 | | | $ | 4,360 | | | $ | 4,467 | |
Average Notional Balance – Short | | | (57,853 | ) | | | (769,437 | ) | | | (185,760 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Purchased | | | — | | | | 1,666,740 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Sold | | | — | | | | (817,587 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Credit Default Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Buy Protection | | | — | | | | 43,002 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Sell Protection | | | — | | | | (1,007,568 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Pays Fixed Rate | | | — | | | | 741,653 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Receives Fixed Rate | | | — | | | | (1,698,403 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Long | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Short | | | — | | | | (4 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Inflation Linked Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Receives Floating Rate | | | — | | | | 27,481 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Pays Floating Rate | | | — | | | | (98,262 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| * | 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
| | |
| Annual Report • June 30, 2022 | | 107 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
waive its advisory fees for each Fund to the extent advisory fees paid to the Adviser exceed the aggregate advisory fees the Fund is required to pay its Sub-advisers. The annual advisory fee and amounts of advisory fees waived by the Adviser during the period ended June 30, 2022 are noted in the table below:
| | | | | | | | |
Fund | | Annual
Management Fee | | | Management Fees
Waived by Adviser
(000s) | |
Core Bond Fund | | | 0.32 | % | | $ | (37,795 | ) |
Core Plus Bond Fund | | | 0.36 | | | | (76,665 | ) |
Municipal Bond Fund | | | 0.36 | | | | (24,676 | ) |
Large Cap Growth Fund | | | 0.44 | | | | (46,762 | ) |
Large Cap Value Fund | | | 0.44 | | | | (40,740 | ) |
Tax Managed Large Cap Fund | | | 0.44 | | | | (8 | ) |
Small/Mid Cap Growth Fund | | | 0.64 | | | | (17,167 | ) |
Small/Mid Cap Value Fund | | | 0.64 | | | | (18,412 | ) |
Tax Managed Small/Mid Cap Fund | | | 0.64 | | | | (11 | ) |
International Equity Fund | | | 0.60 | | | | (38,688 | ) |
Tax Managed International Equity Fund | | | 0.60 | | | | (13 | ) |
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 * BlackRock Investment Management, LLC |
| 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 |
| Tax Managed Large Cap Fund | | Barrow, Hanley, Mewhinney & Strauss, LLC ClearBridge Investments, LLC Parametric Portfolio Associates, LLC T. Rowe Price Associates, Inc. |
| 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 Driehaus Capital Management LLC Victory Capital Management Inc. |
| | |
| 108 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | |
| Fund | | Sub-advisers |
| 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. |
| Tax Managed Small/Mid Cap Fund | | AllianceBernstein L.P. Goldman Sachs Asset Management L.P. J.P. Morgan Investment Management, Inc. Neuberger Berman Investment Advisers, LLC Parametric Portfolio Associates, LLC Allspring Global Investments, LLC |
| 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 Limited |
| Tax Managed International Equity Fund | | Parametric Portfolio Associates, LLC Pzena Investment Management, LLC T. Rowe Price Associates, Inc. Walter Scott & Partners Limited |
| * | Blackrock has entered into a sub-sub-advisory agreement with each of Blackrock International Limited (“BIL”), a U.K.-based affiliate of Blackrock, and Blackrock (Singapore) Limited (“BRS”), a Singapore-based affiliate of Blackrock, to facilitate the provision of advice and trading out of non-U.S. jurisdictions. BIL and BRS, each registered as an investment adviser with the SEC, organized in 1995 and 2000, respectively. |
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, except that any fees payable to BIL or BRS for their services as sub-sub-advisers to the Core Plus Bond Fund would be paid by BlackRock (and not the Adviser or the Core Plus Bond Fund).
Pursuant to an operating expense limitation agreement between the Adviser and the Funds, effective until October 28, 2023 (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 |
| Tax Managed Large Cap Fund | | 0.51 |
| Small/Mid Cap Growth Fund | | 0.73 |
| Small/Mid Cap Value Fund | | 0.73 |
| Tax Managed Small/Mid Cap Fund | | 0.73 |
| International Equity Fund | | 0.67 |
| Tax Managed International Equity Fund | | 0.67 |
| | |
| Annual Report • June 30, 2022 | | 109 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Any fee reductions or expense payments made by the Adviser, pursuant to the Expense Limitation Agreement are subject to reimbursement by a Fund, if requested by the Adviser, in the thirty-six (36) month period following such fee waiver and/or expense payment, if the aggregate amount actually paid by the Fund toward its aggregate operating expenses, as accrued each month (taking into account the reimbursement) does not exceed the applicable Expense Cap accrued for such month (a) at the time of the fee waiver and/or expense payment and (b) at the time of the reimbursement. During the period ended June 30, 2022, three Funds exceeded their respective Expense Caps, and there are expense reimbursements currently available for recoupment in future periods. The fees reimbursed by the Adviser during the period ended June 30, 2022 are noted in the table below:
| | | | |
Fund | | Fees reimbursed
by Adviser
(000s) | |
Tax Managed Large Cap Fund | | $ | (48 | ) |
Tax Managed Small/Mid Cap Fund | | | (48 | ) |
Tax Managed International Equity Fund | | | (59 | ) |
The Adviser has until June 30, 2025 to recoup these amounts.
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.
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 or a non-Edward Jones interested trustee. The Trustees who are affiliated with the Adviser or its parent company, 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.
| | |
| 110 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
During the year ended June 30, 2022, the aggregate value of purchases and sales cross trades with other funds or accounts were as follows:
| | | | | | | | | | | | |
| | | Purchases
(000s) | | | Sales
(000s) | | | Realized
Gain/(Loss)
(000s) | |
Core Plus Bond Fund | | $ | 2,365 | | | $ | 690 | | | $ | 12 | |
Large Cap Growth Fund | | | 158,342 | | | | 113,241 | | | | (23,616 | ) |
Large Cap Value Fund | | | 101,086 | | | | 93,282 | | | | 10,449 | |
Small/Mid Cap Growth Fund | | | 63,635 | | | | 59,506 | | | | (23,229 | ) |
Small/Mid Cap Value Fund | | | 65,177 | | | | 77,366 | | | | 19,379 | |
International Equity Fund | | | 64,533 | | | | 53,352 | | | | 244 | |
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, 2022, the Funds have yet to lend under this agreement.
8. INVESTMENT TRANSACTIONS
For the year or period ended June 30, 2022, purchases and sales of investment securities, other than short-term investments, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund
(000s) | | | Core Plus
Bond Fund
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth
Fund
(000s) | | | Large Cap
Value Fund
(000s) | | | Tax
Managed
Large
Cap Fund*
(000s) | | | Small/Mid
Cap Growth
Fund
(000s) | | | Small/Mid
Cap Value
Fund
(000s) | | | Tax
Managed
Small/
Mid Cap
Fund*
(000s) | | | International
Equity Fund
(000s) | | | Tax
Managed
International
Equity Fund*
(000s) | |
Purchases: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | $ | 24,723,956 | | | $ | 83,813,012 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Other | | | 4,742,108 | | | | 11,335,870 | | | | 4,594,308 | | | | 5,585,946 | | | | 5,170,031 | | | | 151,613 | | | | 6,114,775 | | | | 2,245,198 | | | | 92,275 | | | | 5,314,961 | | | | 108,535 | |
Sales: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | 22,790,473 | | | | 82,128,412 | | | | 9 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Other | | | 4,875,206 | | | | 8,987,973 | | | | 2,229,966 | | | | 3,964,459 | | | | 4,302,385 | | | | — | | | | 4,945,940 | | | | 2,469,531 | | | | 201 | | | | 3,232,219 | | | | — | |
| * | Fund inception date was June 1, 2022. |
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 or period ended June 30, 2022, 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.
| | |
| Annual Report • June 30, 2022 | | 111 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
For the fiscal year or period ended June 30, 2022, the Funds made the following reclassifications between total distributable earnings and paid-in capital:
| | | | | | | | |
| | | Total Distributable
Earnings/(Loss)
(000s) | | | Paid-in Capital
(000s) | |
Core Bond Fund | | $ | 6 | | | $ | (6 | ) |
Core Plus Bond Fund* | | | 0 | | | | 0 | |
Municipal Bond Fund | | | — | | | | — | |
Large Cap Growth Fund | | | 3 | | | | (3 | ) |
Large Cap Value Fund | | | (18,000 | ) | | | 18,000 | |
Tax Managed Large Cap Fund | | | — | | | | — | |
Small/Mid Cap Growth Fund* | | | 0 | | | | 0 | |
Small/Mid Cap Value Fund | | | (2,718 | ) | | | 2,718 | |
Tax Managed Small/Mid Cap Fund | | | — | | | | — | |
International Equity Fund | | | (5,000 | ) | | | 5,000 | |
Tax Managed International Equity Fund | | | — | | | | — | |
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
At June 30, 2022, gross unrealized appreciation and (depreciation) of investments and derivative contracts based on cost for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund (000s) | | | Core Plus
Bond Fund
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | | | Large Cap
Value Fund
(000s) | | | Tax
Managed
Large
Cap Fund
(000s) | | | Small/Mid
Cap Growth
Fund
(000s) | | | Small/Mid
Cap Value
Fund
(000s) | | | Tax
Managed
Small/
Mid Cap
Fund
(000s) | | | International
Equity Fund
(000s) | | | Tax
Managed
International
Equity Fund
(000s) | |
Tax Cost of Portfolio | | $ | 19,142,804 | | | $ | 37,243,091 | | | $ | 11,417,187 | | | $ | 12,799,061 | | | $ | 13,910,748 | | | $ | 157,742 | | | $ | 5,265,880 | | | $ | 5,235,882 | | | $ | 94,396 | | | $ | 14,486,434 | | | $ | 109,032 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross Unrealized App | | $ | 27,216 | | | $ | 361,148 | | | $ | 38,112 | | | $ | 3,733,694 | | | $ | 4,003,975 | | | $ | 681 | | | $ | 786,477 | | | $ | 1,318,605 | | | $ | 520 | | | $ | 1,678,817 | | | $ | 816 | |
Gross Unrealized Dep | | | (1,552,528 | ) | | | (3,195,853 | ) | | | (685,786 | ) | | | (1,168,209 | ) | | | (936,793 | ) | | | (10,239 | ) | | | (729,526 | ) | | | (528,124 | ) | | | (7,564 | ) | | | (2,578,986 | ) | | | (10,290 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized App/(Dep) | | $ | (1,525,312 | ) | | $ | (2,834,705 | ) | | $ | (647,674 | ) | | $ | 2,565,485 | | | $ | 3,067,182 | | | $ | (9,558 | ) | | | 56,951 | | | $ | 790,481 | | | $ | (7,044 | ) | | $ | (900,169 | ) | | $ | (9,474 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 30, 2022, the components of distributable earnings/(losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund (000s) | | | Core Plus
Bond Fund
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | | | Large Cap
Value Fund
(000s) | | | Tax
Managed
Large
Cap Fund
(000s) | | | Small/Mid
Cap Growth
Fund
(000s) | | | Small/Mid
Cap Value
Fund
(000s) | | | Tax
Managed
Small/Mid
Cap Fund
(000s) | | | International
Equity Fund
(000s) | | | Tax
Managed
International
Equity Fund
(000s) | |
Accumulated Capital and Losses(1) | | $ | (315,507 | ) | | $ | (1,144,088 | ) | | $ | (66,667 | ) | | $ | (112,242 | ) | | $ | — | | | $ | — | | | $ | (318,880 | ) | | $ | — | | | $ | (28 | ) | | $ | — | | | $ | — | |
Other(2)(3) | | | (66 | ) | | | (3,443 | ) | | | (16 | ) | | | (3 | ) | | | (2 | ) | | | — | | | | 0 | | | | — | | | | — | | | | (12 | ) | | | — | |
Undistributed Ordinary Income | | | — | | | | 38,593 | | | | — | | | | 58,946 | | | | 66,018 | | | | 114 | | | | 3,917 | | | | 20,349 | | | | 44 | | | | 153,311 | | | | 336 | |
Undistributed Tax Exempt Income | | | — | | | | — | | | | 3,647 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Undistributed Long Term Capital Gain | | | — | | | | — | | | | — | | | | — | | | | 850,758 | | | | 1 | | | | 41 | | | | 341,696 | | | | — | | | | 69,366 | | | | — | |
Unrealized Appreciation/(Depreciation) | | | (1,525,362 | ) | | | (2,837,515 | ) | | | (647,675 | ) | | | 2,565,311 | | | | 3,066,999 | | | | (9,552 | ) | | | 56,951 | | | | 790,480 | | | | (7,027 | ) | | | (910,072 | ) | | | (9,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributable Earnings/(Loss) | | $ | (1,840,935 | ) | | $ | (3,946,453 | ) | | $ | (710,711 | ) | | $ | 2,512,012 | | | $ | 3,983,773 | | | $ | (9,437 | ) | | $ | (257,971 | ) | | $ | 1,152,525 | | | $ | (7,011 | ) | | $ | (687,407 | ) | | $ | (9,139 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Includes capital loss carryforwards and late year loss deferrals. |
| (2) | Includes straddle loss deferrals and organizational costs. |
| (3) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | |
| 112 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including paydowns, organizational costs, straddle loss deferrals, and capital loss carryforwards.
At June 30, 2022, 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, 2022, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund
(000s) | | | Core Plus
Bond Fund
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | | | Large Cap
Value Fund
(000s) | | | Tax
Managed
Large
Cap Fund
(000s) | | | Small/Mid
Cap Growth
Fund
(000s) | | | Small/Mid
Cap Value
Fund
(000s) | | | Tax
Managed
Small/
Mid Cap
Fund
(000s) | | | International
Equity Fund
(000s) | | | Tax
Managed
International
Equity Fund
(000s) | |
Short-Term | | $ | — | | | $ | — | | | $ | 42,681 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 28 | | | $ | — | | | $ | — | |
Long-Term | | | — | | | | — | | | | 23,986 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 66,667 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 28 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At June 30, 2022, the Funds deferred, on a tax basis, the following post-October capital losses:
| | | | | | | | | | | | | | | | |
| | | Core Bond
Fund (000s) | | | Core Plus
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | | | Small/Mid Cap
Growth Fund
(000s) | |
Loss deferral | | $ | 315,507 | | | $ | 1,144,088 | | | $ | 112,242 | | | $ | 318,880 | |
| | | | | | | | | | | | | | | | |
The tax character of distributions paid by the Funds during the fiscal periods ended June 30, 2022 and June 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund (000s) | | | Core Plus
Bond Fund
(000s) | | | Municipal
Bond Fund
(000s) | | | Large Cap
Growth Fund
(000s) | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income(1) | | $ | 414,458 | | | $ | 503,702 | | | $ | 736,321 | | | $ | 897,442 | | | $ | 1,722 | | | $ | 751 | | | $ | 709,609 | | | $ | 355,405 | |
Tax Exempt Income | | | — | | | | — | | | | — | | | | — | | | | 207,681 | | | | 167,297 | | | | — | | | | — | |
Long-term Capital Gains | | | 26,564 | | | | 219,932 | | | | 77,883 | | | | 206,681 | | | | — | | | | — | | | | 662,343 | | | | 196,527 | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 441,022 | | | $ | 723,634 | | | $ | 814,204 | | | $ | 1,104,123 | | | $ | 209,403 | | | $ | 168,048 | | | $ | 1,371,952 | | | $ | 551,932 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Value Fund
(000s) | | | Tax Managed
Large Cap Fund
(000s) | | | Small/Mid Cap
Growth Fund
(000s) | | | Small/Mid Cap
Value Fund
(000s) | |
| | | 2022 | | | 2021 | | | 2022 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income(1) | | $ | 593,022 | | | $ | 271,568 | | | $ | — | | | $ | 253,410 | | | $ | 200,473 | | | $ | 327,837 | | | $ | 73,292 | |
Tax Exempt Income | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Long-term Capital Gains | | | 696,643 | | | | — | | | | — | | | | 712,168 | | | | 424,964 | | | | 409,506 | | | | — | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 1,289,665 | | | $ | 271,568 | | | $ | — | | | $ | 965,578 | | | $ | 625,437 | | | $ | 737,343 | | | $ | 73,292 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| Annual Report • June 30, 2022 | | 113 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | Tax Managed
Small/Mid Cap Fund
(000s) | | | International
Equity Fund
(000s) | | | Tax Managed
International Equity Fund
(000s) | |
| | | 2022 | | | 2022 | | | 2021 | | | 2022 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income(1) | | $ | — | | | $ | 676,301 | | | $ | 250,025 | | | $ | — | |
Tax Exempt Income | | | — | | | | — | | | | — | | | | — | |
Long-term Capital Gains | | | — | | | | 683,476 | | | | — | | | | — | |
Return of Capital | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | — | | | $ | 1,359,777 | | | $ | 250,025 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (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’ prospectuses and statements 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 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. In addition, very low or negative interest rates environments may magnify interest rate risk. 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. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from performance to the extent the Funds are exposed to such interest rates and/or volatility.
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.
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| 114 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
c) Redemption Risk – A Fund may experience losses when selling securities to meet redemption requests. This risk is greater for larger redemption requests or redemption requests during adverse market conditions. Because the Funds currently are available only to participants in a single asset allocation program, a reduction in the allocation of program assets to the Funds could result in one or more large redemption requests. Moreover, as a result of the requirement that a Fund satisfy redemption requests even during times of significant market or economic turmoil, a Fund may be forced to sell portfolio securities during periods of reduced liquidity when prices are rapidly declining. This may require a Fund to realize investment losses at times that a Sub-adviser believes that it would have been advisable to hold a particular investment until a more orderly sale could occur or the market recovers.
d) Credit Risk – There is a risk that issuers and counterparties will not make payments on securities, repurchase agreements or other investments held by a Fund. Such defaults could result in losses to a Fund. In addition, the credit quality of securities held by a Fund may be lowered if an issuer’s financial condition changes. Lower credit quality may lead to greater volatility in the price of a security and in shares of a Fund. Lower credit quality also may affect liquidity and make it difficult for the Fund to sell the security. A Fund may invest in securities that are rated in the lowest investment grade category. Such securities may exhibit speculative characteristics similar to high yield securities, and issuers of such securities may be more vulnerable to changes in economic conditions than issuers of higher grade securities.
e) Counterparty Risk – When a Fund enters into an investment contract, such as a derivative or a repurchase agreement, the Fund is exposed to the risk that the other party will not fulfill its contractual obligations. For example, in a repurchase agreement, there exists the risk that a Fund buys a security from a seller (counterparty) that agrees to repurchase the security at an agreed upon price and time, but the counterparty later fails to repurchase the security.
f) Market Risk – Various market risks can affect the price or liquidity of an issuer’s securities in which a Fund may invest. Returns from the securities in which a Fund invests may underperform returns from the various general securities markets or different asset classes. Different types of securities tend to go through cycles of outperformance and underperformance in comparison to the general securities markets. Adverse events occurring with respect to an issuer’s performance or financial position can depress the value of the issuer’s securities. The liquidity in a market for a particular security will affect its value and may be affected by factors relating to the issuer, as well as the depth of the market for that security. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed-income markets. As a result, a Fund’s value may fluctuate and/or a Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market. 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.
As it pertains to wars and regional conflicts, Russia’s large-scale invasion of Ukraine on February 24, 2022 and the resulting responses by the United States and other countries could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed
| | |
| Annual Report • June 30, 2022 | | 115 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
broad-ranging economic sanctions on Russia, certain Russian individuals, banking entities and corporations, and Belarus, as a response to Russia’s invasion of Ukraine and may impose sanctions on other countries that provide military or economic support to Russia. The extent and duration of Russia’s military actions or future escalation of such hostilities, and the extent and impact of the resulting sanctions (including any retaliatory actions or countermeasures that may be taken by those subject to sanctions, including cyber-attacks) are impossible to predict, but could result in significant market disruptions, including in certain industries or sectors, such as the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. These and any related events could have a significant impact on a Fund’s performance and the value of the Fund’s investments, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.
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 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
| | |
| 116 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
LIBOR Replacement Risk – The publication of the London Inter-Bank Offered Rate (“LIBOR”) on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and is expected to cease for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. The elimination of LIBOR may adversely affect the interest rates on, and value of, certain investments for which the value is tied to LIBOR. 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 risk 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.
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.
| | |
| Annual Report • June 30, 2022 | | 117 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
12. SHAREHOLDER PROXY
At a special meeting of shareholders of the Funds held on April 19, 2022 (the “Meeting”), shareholders of the Funds approved the election of the following eleven individuals to serve on the Board of Trustees of the Funds (the “Board”); (i) John M. Tesoro, Jean E. Carter, Michelle M. Keeley, William E. Fiala and Merry L. Mosbacher, each an existing member of the Board; (ii) Heidi Stam and Craig A. Griffith, each of whom was nominated in October 2021 to join the Board as a trustee of the Funds, but had not yet been elected by the Funds’ shareholders to the Board, and (iii) Maureen Leary-Jago, Timothy Jacoby, David D. Sylvester and Lena Haas, each an existing board member of the Edward Jones Money Market Fund (“EJMMF”), a separate mutual fund sponsored by Edward Jones (together with the Funds, the “Edward Jones Fund Complex”). On the same date, shareholders of EJMMF separately approved the election of the same slate of eleven individuals to the EJMMF Board. Prior to the date of the Meeting, the Funds and EJMMF were overseen by separate boards of trustees with different individuals serving as board members. Following the Meeting and shareholder approval of the eleven individuals set forth above, the Funds and EJMMF are now overseen by a unified board comprised of a common group of members that oversees the entire Edward Jones Fund Complex. Results of the Meeting, at which the Trustees were elected by shareholders of the Funds, are available on page 140 of the report.
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| 118 | | Annual Report • June 30, 2022 |
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 Tax Managed Large Cap Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund, Bridge Builder Tax Managed Small/Mid Cap Fund, Bridge Builder International Equity Fund, and Bridge Builder Tax Managed 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 each of the funds listed in the table below (eleven of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the "Funds") as of June 30, 2022, the related statements of operations, the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (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, 2022, the results of each of their operations, the changes in each of their net assets and each of the financial highlights for each of the periods indicated in the table below in conformity with accounting principles generally accepted in the United States of America.
Bridge Builder Core Bond Fund (1)
Bridge Builder Core Plus Bond Fund (1)
Bridge Builder Municipal Bond Fund (1)
Bridge Builder Large Cap Growth Fund (1)
Bridge Builder Large Cap Value Fund (1)
Bridge Builder Tax Managed Large Cap Fund (2)
Bridge Builder Small/Mid Cap Growth Fund (1)
Bridge Builder Small/Mid Cap Value Fund (1)
Bridge Builder Tax Managed Small/Mid Cap Fund (2)
Bridge Builder International Equity Fund (1)
Bridge Builder Tax Managed International Equity Fund (2)
| (1) | Statement of operations for the year ended June 30, 2022, statement of changes in net assets for the years ended June 30, 2022 and 2021 and the financial highlights for the years ended June 30, 2022, 2021, 2020, 2019 and 2018 |
| (2) | Statement of operations, statement of changes in net assets and the financial highlights for the period June 1, 2022 (inception date) through June 30, 2022 |
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, 2022 by correspondence with the custodian, brokers and agent banks; when
| | |
| Annual Report • June 30, 2022 | | 119 |
Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm (Continued)
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 29, 2022
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
| | |
| 120 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited)
Independent Trustees of the Trust (1)
| | | | | | | | | | |
| Name and Year of Birth | | Position with the Trust | | Term of Office and Length of Time Served | | Principal Occupation During Past Five Years | | Number of Portfolios in Fund Complex (4) 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). | | 15 | | Trustee, Brandes U.S. registered mutual funds (2008-2020). |
Craig A. Griffith (Born: 1958) | | Trustee | | Indefinite Term; Since April 2022 | | Retired; Partner at Sidley Austin LLP (1998-2019). | | 15 | | None. |
Timothy Jacoby (Born: 1952) | | Trustee | | Indefinite Term; Since April 2022 | | Retired; Partner at Deloitte & Touche LLP (2000-2014). | | 15 | | Audit Committee Chair, Perth Mint Physical Gold ETF (AAAU) (2018-2020); Independent Trustee, Exchange Traded Concepts Trust (17 funds) (2014-present); Exchange Listed Funds Trust (18 funds) (2014-present). |
Michelle M. Keeley (Born: 1964) | | Trustee | | Indefinite Term; Since August 2015 | | Retired; Executive Vice President, Ameriprise Financial Services, Inc. (2002-2010). | | 15 | | Independent Director, American Equity Life Holding Company (June 2020-2022); Independent Director, Federal Home Loan Bank of Des Moines (2015-2021). |
| | |
| Annual Report • June 30, 2022 | | 121 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
| | | | | | | | | | |
| Name and Year of Birth | | Position with the Trust | | Term of Office and Length of Time Served | | Principal Occupation During Past Five Years | | Number of Portfolios in Fund Complex (4) Overseen by Trustees | | Other Directorships Held During Past Five
Years |
Heidi Stam (Born: 1956) | | Trustee | | Indefinite Term; Since April 2022 | | Retired; Managing Director and General Counsel, Vanguard (2005-2016). | | 15 | | Trustee, CBRE Global Real Estate Income Fund (2021-present); Vice Chair, Investor Advisory Committee, U.S. Securities and Exchange Commission (2020-2021); Committee Member, Investor Advisory Committee, U.S. Securities and Exchange Commission (2017-2021); Council Member, National Adjudicatory Council, FINRA (2017-2021). |
David D. Sylvester (Born: 1950) | | Trustee | | Indefinite Term; Since April 2022 | | Retired; Portfolio Manager at Wells, Fargo & Co. (1979-2015). | | 15 | | Trustee, Minnehaha Academy (2017-present). |
John M. Tesoro (Born: 1952) | | Chairman (since April 2022) and Trustee | | Indefinite Term; Since Inception | | Retired; Partner, KPMG LLP (2002-2012). | | 15 | | Independent Trustee, BBH Trust (8 funds) (2014-present); Director, Teton Advisors, Inc., registered investment adviser (2013-2021). |
Non-Edward Jones Interested Trustee of the Trust (2)
| | | | | | | | | | |
Maureen Leary-Jago (Born: 1957) | | Trustee | | Indefinite Term; Since April 2022 | | Retired; Senior Global Advisor at MFS (2004-2016). | | 15 | | None. |
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| 122 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
Interested Trustees of the Trust (3)
| | | | | | | | | | |
Name and Year of Birth | | Position with the Trust | | Term of Office and Length of Time Served | | Principal Occupation During Past Five Years | | Number of Portfolios in Fund Complex(4) Overseen by Trustees | | Other Directorships Held During Past Five
Years |
William E. Fiala (Born: 1967) | | Trustee; Chairman (January 2020 – April 2022) | | Indefinite Term; Since Inception | | Subordinated Limited Partner, The Jones Financial Companies, LLLP (since 2022); Principal, Edward Jones, and General Partner, The Jones Financial Companies, LLLP (1994-2021). | | 15 | | None. |
Lena Haas (Born: 1975) | | Trustee | | Indefinite Term; Since April 2022 | | Principal, Products (March 2020-present) and Principal, Banking and Trust Services (November 2017-March 2020) at Edward Jones; Senior Vice President, Head of Investing Product Management and Retirement, E*TRADE Financial and President of E*TRADE Capital Management (2011-2017). | | 15 | | Director, Craft Alliance Center of Art and Design. |
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). | | 15 | | None. |
| | |
| Annual Report • June 30, 2022 | | 123 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
Officers of the Trust
| | | | | | | | | | |
Name and Year of Birth | | Position with the Trust | | Term of Office and Length of Time Served | | Principal Occupation During Past Five
Years | | Number of Portfolios in Fund Complex (4) Overseen by Trustees | | Other Directorships Held During Past Five
Years |
Colleen R. Dean (Born: 1980) | | President | | Indefinite
Term;
Since
June
2022 | | Director of Propriety
Funds Strategy and
Management at
Edward Jones (since
2022); Senior Vice
President, PIMCO,
and Assistant
Treasurer or Deputy
Treasurer for various
PIMCO-sponsored
mutual funds
(2013-2022); Vice
President, Cohen &
Steers Capital
Management
(2006-2013). | | N/A | | N/A |
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). | | N/A | | N/A |
Alan J. Herzog (Born: 1973) | | Chief
Compliance
Officer,
Vice
President
and Anti-
Money
Laundering
Officer | | Indefinite
Term;
Since
March
2022 | | Principal, Compliance,
Edward Jones (since
2013); Chief
Compliance Officer
and Vice President of
the Trust
(2015-2019). | | N/A | | N/A |
Evan S. Posner (Born: 1979) | | Secretary | | Indefinite
Term;
Since
July
2021 | | Associate General
Counsel at Edward
Jones (since 2018);
Assistant Secretary of
the Trust (2019-2021);
Vice President,
Counsel at Voya
Investment
Management
(2012-2018). | | N/A | | N/A |
| (1) | The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”). |
| (2) | Ms. Leary-Jago is treated as an “interested person” of the Trust as defined by the 1940 Act by virtue of the fact that she has an immediate family member who is considered an affiliated person of an existing investment sub-adviser to one of the portfolios of the Trust. However, |
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| 124 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
| | Ms. Leary-Jago is not an affiliated person of Edward D. Jones & Co., L.P. or any of its affiliates and, therefore, serves as an independent trustee of the Edward Jones Money Market Fund, which is advised by Passport Research, Ltd., an affiliate of the Adviser. |
| (3) | Mr. Fiala, Ms. Haas 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. |
| (4) | The “Fund Complex” is comprised of each Fund offered by the Trust, three of which are not included in this Annual Report, and the Edward Jones Money Market Fund. Each Trustee also serves as a Trustee of the Edward Jones Money Market Fund. |
The business address of the Trustees and Officers is the address of the Trust: 12555 Manchester Road, St. Louis, MO 63131.
The Funds’ Statements of Additional Information include additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
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| Annual Report • June 30, 2022 | | 125 |
Bridge Builder Mutual Funds
Board Considerations of Investment Advisory Agreement and Investment Sub-advisory Agreements for Tax Managed Funds (Unaudited)
Pursuant to Section 15 of the Investment Company of 1940 (the “1940 Act”), the Board of Trustees (each member, a “Trustee” and, collectively, the “Board”) of the Bridge Builder Trust (the “Trust”), including a majority of the Trustees who are not parties to the Agreements (as defined below) or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), must determine whether to initially approve and, after an initial two year term, to approve annually the continuance of the Agreements.
At a meeting held on February 15-16, 2022 (the “February Meeting”), the Board, including the Independent Trustees, considered and approved for an initial two-year term (i) an investment advisory agreement (the “Advisory Agreement”) between the Trust and Olive Street Investment Advisors, LLC (the “Adviser”) for Bridge Builder Tax Managed Large Cap Fund, Bridge Builder Tax Managed Small/Mid Cap Value Fund and Bridge Builder Tax Managed International Equity Fund (collectively, the “Funds”), each a new series of the Trust, and (ii) separate investment sub-advisory agreements (collectively, the “Sub-Advisory Agreements” and together with the Advisory Agreement, the “Agreements”) between the Adviser and each of the following subadvisers to the Funds (collectively, the “Subadvisers”):
| | |
| Bridge Builder Fund | | Subadviser |
| Bridge Builder Tax Managed Large Cap Fund | | Parametric Portfolio Associates LLC Barrow, Hanley, Mewhinney & Strauss, LLC ClearBridge Investments, LLC T. Rowe Price Associates, Inc. |
| Bridge Builder Tax Managed Small/Mid Cap Value Fund | | Parametric Portfolio Associates LLC AllianceBernstein L.P. Goldman Sachs Asset Management, L.P. J.P. Morgan Investment Management Inc. Neuberger Berman Investment Advisers LLC Allspring Global Investments LLC |
| Bridge Builder Tax Managed International Equity Fund | | Parametric Portfolio Associates LLC Pzena Investment Management, LLC T. Rowe Price Associates, Inc. Walter Scott & Partners Limited |
Parametric Portfolio Associates LLC (“Parametric”) serves as the tax overlay manager and as the direct indexing manager for each Fund. Each Subadviser other than Parametric is referred to herein as a “Model Provider.”
In advance of the February Meeting, the Adviser and the Subadvisers provided information to the Board in response to requests for information by independent legal counsel on behalf of the Independent Trustees to facilitate the Board’s evaluation of 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 proposed to be provided by the Adviser and the Subadvisers; (ii) the Adviser’s and the Subadvisers’ personnel, including portfolio managers; (iii) the Adviser’s and the Subadvisers’ operations and financial health; (iv) each Subadviser’s investment philosophy and investment process; (v) the advisory fees proposed to be payable to the Adviser by each Fund, and each Fund’s anticipated overall fees and operating expenses, in each case compared with those of a category and a peer group of mutual funds; (vi) the sub-advisory fees proposed to be payable to each Subadviser by the Adviser; (vii) the Adviser’s and the Subadvisers’ compliance policies and procedures; (viii) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; (ix) composite or other investment performance information for accounts and funds managed by each Model Provider with investment strategies similar to the portion of the Fund proposed to be managed by such Model Provider; (x) composite performance information, including pre-tax and post-tax returns, for other accounts and funds for which Parametric serves as direct indexing manager and tax overlay manager (xi) other “fall-out” benefits the Adviser and/or its affiliates and the Subadvisers may receive based on their relationships with the Funds.
At the February Meeting and the Board’s meetings on January 31, 2022, December 13, 2021 and December 9, 2021, representatives of the Adviser and the Subadvisers made presentations, provided materials and responded
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| 126 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Board Considerations of Investment Advisory Agreement and Investment Sub-advisory Agreements for Tax Managed Funds (Unaudited) (Continued)
to questions regarding services, fees and other aspects of the Agreements. Throughout the evaluation process, the Board 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 the proposed advisory and sub-advisory arrangements. The Independent Trustees met in executive session on several occasions to discuss the materials presented and other matters deemed relevant to their consideration of the Agreements.
In considering and approving the Agreements, the Board considered information and factors that they deemed relevant, including but not limited to, the information and factors discussed in further detail below. The Board’s determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board. The Board considered not only the specific information presented to the Board in connection with its consideration of the Agreements, but also the Board’s experience through past interactions with the Adviser and certain of the Subadvisers in connection with the Board’s oversight of existing series of the Trust. 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 Proposed to be Provided by the Adviser and the Subadvisers. The Board considered the nature, extent and quality of the services proposed to be provided to the Funds by the Adviser and each Subadviser, including their respective responsibilities for management of the Funds. The Board reviewed the advisory services to be provided by the Adviser, including designing the Funds and identifying, analyzing and recommending the engagement of the Subadvisers. The Board also reviewed the portfolio management services to be provided by Parametric and each Model Provider, as well as the background and experience of Parametric’s and the Model Providers’ portfolio management personnel.
The Board considered that the services proposed to be provided by each Model Provider would include providing a model portfolio to Parametric that represents the Model Provider’s recommendation as to the securities to be purchased, sold, or retained by a Fund and monitoring and updating such model portfolio on an on-going basis. The Board considered the investment research capabilities and investment philosophy and processes to be used by the Model Provider in constructing, maintaining and updating their model portfolios.
The Board considered Parametric’s proposed role as tax overlay manager with respect to each Fund’s portfolio. The Board considered that, in this capacity, Parametric would be responsible for constructing a portfolio that represents the aggregation of the model portfolios of the Subadvisers, including with respect to the direct indexing portion of a Fund, and implementing the investment recommendations of the Subadvisers for the Fund’s portfolio based on the aggregated model portfolio. The Board considered Parametric’s limited authority to vary from the model portfolios of the Subadvisers, primarily for the purpose of efficient tax management of a Fund’s securities transactions. The Board considered Parametric’s experience with respect to portfolio implementation and the practices, techniques and systems and tools proposed to be used by Parametric in delivering these services. The Board also considered Parametric’s proposed role as direct indexing manager for each Fund, pursuant to which Parametric would manage an allocated portion of the Fund in a manner designed to provide exposure to a designated index.
The Board reviewed the resources of the Adviser, Parametric and the Model Providers, and the terms of the Agreements, including the Adviser’s obligation to supervise and monitor the performance of the Subadvisers and to determine the weighting of Fund assets allocated to each Model Provider and to Parametric in its capacity as direct indexing manager. In this regard, the Board considered that the Adviser’s on-going oversight and due diligence of the Subadvisers would include continuous analysis of, and regular discussions with each Subadviser about, the Subadviser’s investment results and the performance of the Subadviser’s obligations under its Sub-Advisory Agreement, and periodic on-site or virtual and other meetings with the Subadvisers. The Board also considered other services proposed to be provided to the Funds by the Adviser, such as supervising and coordinating with the Funds’ other service providers, monitoring Fund- and model portfolio-level adherence to investment guidelines and
| | |
| Annual Report • June 30, 2022 | | 127 |
Bridge Builder Mutual Funds
Board Considerations of Investment Advisory Agreement and Investment Sub-advisory Agreements for Tax Managed Funds (Unaudited) (Continued)
restrictions, monitoring Fund- and model portfolio-level compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, monitoring the Subadvisers’ approaches to risk management and monitoring Parametric’s process for selecting broker-dealers to execute portfolio transactions and other trading operations. The Board also considered the Adviser’s assumption of business, entrepreneurial and other risks by sponsoring and managing the Funds.
The Board considered the special attributes of the Fund’s proposed centralized portfolio management structure that would use Parametric as a tax overlay manager and the benefits that are expected to be realized from such a structure. The Board also considered the resources proposed to be committed by the Adviser and its affiliates to support the on-going operations of the Funds’ portfolio management structure, including the model portfolio delivery process.
Based on these considerations, the Board concluded, within the context of its full deliberations, that the Adviser, Parametric and the Model Providers are capable of providing services of the nature, extent and quality contemplated by the terms of the Agreements.
2. Fees and Other Expenses. The Board reviewed a report on the advisory fees proposed to be payable by each Fund to the Adviser, as well as the sub-advisory fees proposed to be payable by the Fund to each Subadviser. The Board also reviewed reports prepared by Broadridge Financial Solutions, an independent provider of mutual fund industry data, comparing each Fund’s proposed advisory fees and anticipated gross and net expense ratios to those paid by an independently-selected category and peer group of mutual funds. The Board noted that each of the Funds’ anticipated gross and net expense ratios were below their respective category and peer group medians. The Board also noted that each Fund’s proposed advisory fee was below its respective category and peer group medians.
The Board also reviewed comparative fee information provided by the Subadvisers, including information (i) from each Model Provider regarding the fees charged to other accounts and funds, if any, managed by the Model Provider that have investment objectives and investment strategies similar those that the Model Provider proposes to utilize for a portion of a Fund and (ii) from Parametric regarding fees charged to other accounts and funds, for which Parametric serves as direct indexing manager and tax overlay manager. 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 other accounts and funds managed by each Subadviser and the portion of each Fund’s assets anticipated to be managed by the Subadviser.
The Board considered that the Adviser would contractually agree to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the aggregate sub-advisory fees to be paid to the Subadvisers. The Board noted that the Adviser would not have the unilateral ability to terminate this waiver arrangement until October 28, 2023 at the earliest.
Based on these considerations, the Board concluded, within the context of its full deliberations, that the proposed advisory and sub-advisory fees payable under the Agreement are reasonable in light of the nature, extent and quality of the services expected to be rendered by the Adviser and the Subadvisers.
3. Investment Performance. Because the Funds are new and had not commenced operations, the Funds did not yet have investment performance records. However, the Board received and considered information about the investment performance of the Subadvisers, including, for purposes of considering the investment skill and experience of the Subadvisers, composite or other performance data showing (i) the Model Providers’ capabilities in managing other accounts and funds with investment strategies similar to the portion of the Fund proposed to be managed by the Model Provider and (ii) Parametric’s capabilities in providing direct indexing and tax overlay management services to other accounts and funds. The Board also considered the Adviser’s work in developing a
| | |
| 128 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Board Considerations of Investment Advisory Agreement and Investment Sub-advisory Agreements for Tax Managed Funds (Unaudited) (Continued)
framework in which to evaluate and monitor the performance of the Model Providers and Parametric with respect to their management of the Funds’ portfolios.
Based on these considerations, the Board concluded that it was satisfied that the Adviser, Parametric and the Model Providers have the capability of providing satisfactory investment performance for the Funds.
4. Profitability and Economies of Scale. The Board considered that, because the Adviser would contractually agree to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the aggregate sub-advisory fees to be paid to the Subadvisers, the Adviser would not profit from providing advisory services to the Funds. In addition, the Board did not consider profitability of the Subadvisers to be a material factor in its determination, given that the Subadvisers are not affiliated with the Adviser and, therefore, the sub-advisory fees are the result of arm’s length negotiations. Further, the Board was satisfied that the Adviser employed a rigorous sub-advisory fee negotiation process. The Board also considered whether each Fund’s fee structure is designed to share economies of scale with shareholders as the Fund’s assets grow. In this regard, the Board noted that many of the Subadvisers have agreed to contractual breakpoints in their fee schedules, which would 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 would be 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 that Edward Jones would expect to receive from participants in Edward Jones Advisory Solutions® in connection with their investments in the Funds as an indirect or “fall-out” benefit. In addition, the Board considered that the Adviser, Edward Jones and each Subadviser may derive a benefit to their reputations and standing in the investment community from their relationships with the Funds.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously voted to approve each Agreement for an initial two-year term.
| | |
| Annual Report • June 30, 2022 | | 129 |
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 17-18, 2022 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 or investment sub-sub-advisory agreement, as applicable (each, a “Sub-advisory Agreement” and collectively, the “Sub-advisory Agreements”), with each of the following Fund subadvisers or sub-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 or sub-subadviser (each, a “Subadviser” and collectively, the “Subadvisers”):
| | |
| Bridge Builder Fund | | Sub-Advisers and Sub-Sub-Advisers |
| 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”) BlackRock Investment Management, LLC* (“BIM”) BlackRock International Limited (UK) (Sub-sub-adviser)* BlackRock (Singapore) Limited (Sub-sub-adviser)* |
| Municipal Bond Fund | | Fidelity Institutional Asset Management LLC (“FIAM”) T. Rowe Price Associates, Inc. (“T. Rowe Price”) MacKay Shields LLC (“MacKay Shields”) BIM |
| Large Cap Growth Fund | | Lazard Asset Management, LLC (“Lazard”) Sustainable Growth Advisers, LP (“SGA”) Jennison Associates LLC (“Jennison”) BIM |
| Large Cap Value Fund | | Artisan Partners Limited Partnership (“Artisan Partners”) Barrow, Hanley, Mewhinney & Strauss, LLC (“Barrow Hanley”) Wellington Management Company, LLP (“Wellington”) BIM T. Rowe Price LSV Asset Management (“LSV”) |
| Small/Mid Cap Growth Fund | | Eagle Asset Management, Inc. (“Eagle”) Champlain Investment Partners, LLC (“Champlain”) Artisan Partners BIM Stephens Investment Management Group, LLC (“Stephens”) Driehaus Capital Management LLC** (“Driehaus”) Victory Capital Management, Inc.** (“Victory”) |
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| 130 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
| | |
| Bridge Builder Fund | | Sub-Advisers and Sub-Sub-Advisers |
| Small/Mid Cap Value Fund | | Vaughan Nelson (“Vaughan Nelson”) Boston Partners Global Investors, Inc. (“Boston Partners”) Silvercrest Asset Management Group LLC (“Silvercrest”) BIM LSV Diamond Hill Capital Management, Inc. (“Diamond Hill”) MFS Investment Management (“MFS”) American Century Investment Management, Inc.** (“American Century”) |
| International Equity Fund | | Baillie Gifford Overseas Limited (“Baillie Gifford”) BIM Pzena Investment Management, LLC (“Pzena”) Mondrian Investment Partners Limited (“Mondrian”) WCM Investment Management (“WCM”) Marathon Asset Management Limited** (“Marathon”) |
| * | BlackRock International Limited (UK) (“BIL”) and BlackRock (Singapore) Limited (“BSL”) each serve as investment sub-sub-advisers of the Core Plus Bond Fund pursuant to Investment Sub-sub-advisory Agreements between BlackRock Investment Management LLC (“BIM” and, together with BIL and BSL, “BlackRock”) and BIL and BSL, respectively. |
| ** | Denotes a Sub-advisory Agreement that was not subject to renewal at the May Renewal Meeting. |
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’ business, operations and personnel, including portfolio managers; (iv) the investment practices and techniques used by the Adviser and the Subadvisers in managing the Funds; (v) the management fees payable by the Funds to the Adviser and the Funds’ overall fees and operating expenses, including in comparison to 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 5, 2022 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, and engaged in discussions with the Board, regarding, among other things, the performance of the Funds, the services provided to the Funds by the Adviser and the Subadvisers, and compliance, risk and operational matters related to the Trust, the Funds, the Adviser, and the Subadvisers. In addition, the Board received information between regularly scheduled meetings on particular matters as the need arose.
Throughout the evaluation process, including at the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received separate advice from their independent legal counsel, including detailed memoranda from independent legal counsel regarding the legal standards applicable to the consideration of the approval of advisory arrangements. In connection with their deliberations, the Independent Trustees met separately with their independent legal counsel in executive session on several occasions, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Subadvisers, to discuss the Agreements and other materials presented 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’s decision to approve the
| | |
| Annual Report • June 30, 2022 | | 131 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically in connection with the May Meetings, as well as 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 evaluated information about the nature and extent of responsibilities retained and risks assumed by the Adviser that were not delegated to or assumed by the Subadvisers, including the Adviser’s assumption of business, entrepreneurial, overall managerial and other risks by sponsoring and advising the Funds. The Board also evaluated the Adviser’s ongoing 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 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’ operations and the Funds’ other service providers.
The Board considered the Adviser’s and each Subadviser’s operations, including personnel and other resources devoted to supporting such operations. The Board noted key personnel additions to 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. With respect to the Subadvisers, the Board considered each Subadviser’s investment process, investment research capabilities and resources, trade execution capabilities, experience and reputation. 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 management 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 the Core Plus Bond Fund, each Fund’s management fee was equal to or below its respective peer group median. The Board noted that the management fee before waivers for the Core Plus Bond Fund was higher than the peer group median, but the Fund’s net management fee was lower than its peer group median. The Board received a description of the methodology used by Broadridge to select the mutual funds in each Fund’s peer group. While the Board recognized that comparisons between a Fund and its peer group may be imprecise, the comparative, independently-selected information provided by Broadridge assisted the Board in evaluating the reasonableness of the Funds’ management fees and total expenses.
The Board observed that the Adviser advised that it has no other clients with investments strategies similar to those of the Funds for purposes of comparison. The Board reviewed the information provided by certain of the Subadvisers regarding fees charged to other clients with investment strategies similar to those of the portion of the Fund’s
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| 132 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
assets allocated to the particular Subadviser, including 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 other clients 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 management fees to the extent 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, 2023.
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. For purposes of the Fund-by-Fund discussion below, each performance time period for the performance of the Funds and Subadvisers ended as of February 28, 2022, and the performance of each Fund and its Subadvisers relative to the “benchmark index” refers to the Fund’s benchmark index as identified by Broadridge.
The Board reviewed the performance of the Core Bond Fund. The Board observed that the Core Bond Fund outperformed its peer group median and benchmark index for the one-, three- and five-year periods. The Board also reviewed the investment performance of each Subadviser of the Core Bond Fund. In so doing, the Board observed that: (i) J.P. Morgan, Loomis, and PGIM each outperformed the benchmark index for the one-, three- and five-year periods; and (ii) Baird outperformed the benchmark index for the three- and five-year periods and performed within 8 basis points of the benchmark index for the one-year period.
The Board reviewed the performance of the Core Plus Bond Fund. The Board observed that the Core Plus Bond Fund outperformed its peer group median and 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 and MetWest each outperformed the benchmark index for the one-, three- and five-year periods; (ii) PIMCO outperformed the benchmark index for the one- and three-year periods, but 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; and (iii) BlackRock’s performance information for the one-, three- and five-year periods was unavailable as BlackRock began managing its sleeve of the Fund in October 2021.
The Board reviewed the performance of the Municipal Bond Fund. The Board observed that the Municipal Bond 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 Municipal Bond Fund, the Board observed that: (i) BIM outperformed the benchmark index for the one-year and three-year periods, and BIM’s performance information for the five-year period was unavailable as BIM had begun managing its sleeve of the Fund in September 2018; (ii) FIAM outperformed the benchmark index for the one-, three- and five-year periods; (iii) T. Rowe Price outperformed the benchmark index for the one-, three- and five-year periods; and (iv) MacKay Shields outperformed the benchmark index for the one-year period, and MacKay Shields’ performance information for the three- and five-year periods was unavailable as MacKay Shields began managing its sleeve of the Fund in January 2021.
In reviewing the investment performance of the Large Cap Growth Fund, the Board observed that the Fund outperformed its peer group median for the one- and three-year periods and underperformed its peer group median for the five-year period. The Board noted that the Large Cap Growth Fund underperformed its benchmark index for
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| Annual Report • June 30, 2022 | | 133 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
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 five-year period, and underperformed the benchmark index for the one- and three-year periods; (ii) SGA underperformed the benchmark index for the one, three- and five-year periods; (iii) BIM outperformed the benchmark index for the one- and three-year periods, and performed within 2 basis points of the benchmark index for the five-year period; and (iv) Lazard outperformed the benchmark index for the one--year period and underperformed the benchmark for the 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, Wellington and Barrow Hanley each outperformed the benchmark index for the one-, three- and five-year periods; (ii) BIM outperformed the benchmark index for the one-year periods, and performed within 2 basis points of the benchmark index for the three- and five-year period; and (iii) LSV and T. Rowe Price each outperformed the benchmark index for the one-year period, and neither Subadviser’s performance information for the three- and five-year periods was available as each Subadviser began managing its sleeve of the Fund in May 2020.
In reviewing the investment performance of the Small/Mid Cap Growth Fund, the Board observed that the Fund outperformed its peer group median for the one- and five-year periods, but it underperformed its peer group median for the three-year period. The Board noted that the Small/Mid Cap Growth Fund outperformed its benchmark index for the one-, three- and five-year periods. In reviewing the investment performance of each Subadviser of the Small/Mid Cap Growth Fund, the Board observed that: (i) Stephens and Champlain each outperformed the benchmark index for the one-, three- and five-year periods; (ii) Eagle outperformed the benchmark index for the one- and three-year periods and underperformed the benchmark index for the five-year period; (iii) one BIM sleeve of the Fund underperformed the benchmark index for the one-, three- and five-year periods, while the other BIM sleeve of the Fund outperformed the benchmark index for the three- and five-year periods and underperformed the benchmark index in for the one-year period; (iv) Artisan underperformed the benchmark for the one-year period, and Artisan’s performance information for the three- and five-year periods was unavailable as Artisan began managing its sleeve of the Fund in June 2020. The Board also observed that neither Victory nor Driehaus had been managing its respective sleeve of the Fund for an entire one-year period.
The Board reviewed the performance of the Small/Mid Cap Value Fund, observing that it outperformed its peer group median for the one- and three-year periods, and equaled the performance of its peer group median for the five-year period. The Board noted that the Small/Mid Cap Value Fund outperformed its benchmark index for the one-, three- and five-year periods. The Board reviewed the performance of each Subadviser as well, noting that: (i) Boston Partners and Vaughn Nelson each outperformed the benchmark index for the one-, three- and five-year periods; (ii) Silver Crest underperformed its benchmark index for the one- three- and five-year periods; (iii) one BIM sleeve of the Fund underperformed the benchmark index for the one-, three- and five-year periods, while the other BIM sleeve of the Fund outperformed the benchmark index for the one-, three- and five-year periods; (iv) MFS outperformed the benchmark index for the one- and three-year periods and MFS’s performance information for the five-year period was unavailable as MFS began managing its sleeve of the Fund in January 2019; (v) Diamond Hill outperformed the benchmark index for the one- and three-year periods, and Diamond Hill’s performance information for the five-year period was unavailable as Diamond Hill began managing its sleeve of the Fund in January 2019; and (vi) LSV outperformed the benchmark index for the one-year period and underperformed the benchmark for the three- and five-year periods. The Board also observed that American Century had not been managing its sleeve of the Fund for an entire one-year period.
The Board considered the performance of the International Equity Fund. The Board observed that the International Equity Fund underperformed its peer group median and benchmark index for the one-year period, but it outperformed its peer group median and its benchmark index for the three- and five-year periods. In reviewing the performance of
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| 134 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
each Subadviser of the International Equity Fund, the Board noted that: (i) Baillie Gifford and WCM each underperformed the benchmark index for the one-year period, but outperformed the benchmark index for the three- and five-year periods; and (ii) Pzena, Mondrian and each of BIM’s sleeves outperformed the benchmark index for the one-year period, but underperformed the benchmark for the three- and five-year periods. The Board also observed that Marathon had not been managing its sleeve of the Fund for an entire one-year period.
Taking into account the performance information above and other performance information deemed relevant by the Board, including steps that the Adviser and Subadvisers had taken, or had agreed to take, to address underperformance, the Board concluded that the investment performance generated by each Subadviser was generally satisfactory, or that any steps taken, or agreed to be 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 management fees to the extent management 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 Board considered that 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 information about the extent to which economies of scale may be realized as the Funds’ assets grow and 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 considered other benefits to the Adviser and its affiliates and the Subadvisers from their relationships with the Funds. 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 fee rates charged by Edward Jones to participants in Edward Jones Advisory Solutions® in connection with their investments in the Funds as an indirect or “fall-out” benefit. In addition, the Board considered that the Adviser, Edward Jones and each 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.
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| Annual Report • June 30, 2022 | | 135 |
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, 2020 through November 30, 2021 (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 market volatility associated with rising inflation and 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.
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| 136 | | Annual Report • June 30, 2022 |
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 18, 2022, 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.
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| Annual Report • June 30, 2022 | | 137 |
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, 2022, 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 | | 32.10 | | 33.09 |
| Large Cap Value Fund | | 74.59 | | 66.01 |
| Tax Managed Large Cap Fund | | — | | — |
| Small/Mid Cap Growth Fund | | 11.24 | | 11.07 |
| Small/Mid Cap Value Fund | | 83.51 | | 100.00 |
| Tax Managed Small/Mid Cap Fund | | — | | — |
| International Equity Fund | | 84.60 | | 0.20 |
| Tax Managed International Equity Fund | | — | | — |
| | |
| 138 | | Annual Report • June 30, 2022 |
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, 2022, 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 | | — % |
| Core Plus Bond Fund | | — |
| Municipal Bond Fund | | — |
| Large Cap Growth Fund | | — |
| Large Cap Value Fund | | 13.94 |
| Tax Managed Large Cap Fund | | — |
| Small/Mid Cap Growth Fund | | 95.85 |
| Small/Mid Cap Value Fund | | 16.28 |
| Tax Managed Small/Mid Cap Fund | | — |
| International Equity Fund | | — |
| Tax Managed International Equity Fund | | — |
For the fiscal year or period ended June 30, 2022, the International Equity Fund earned foreign source income of $392,296,035 which amounts to $0.31 per share, and paid foreign taxes of $28,760,789 which amounts to $0.02 per share, which it intends to pass through to its shareholders pursuant Section 853 of the Internal Revenue Code.
For the fiscal year or period ended June 30, 2022, the Tax Managed International Equity Fund earned foreign source income of $125,962 which amounts to $0.00 per share, and paid foreign taxes of $8,757 which amounts to $0.00 per share, which it intends to pass through to its shareholders pursuant Section 853 of the Internal Revenue Code.
As of June 30, 2022, the following Funds are designating amounts as long-term capital gain distributions under Section 852(b)(3) as follows:
| | | | |
| Fund | | Long-Term Capital Gain Distributions (000) | |
Core Bond Fund | | | 26,564 | |
Core Plus Bond Fund | | | 77,883 | |
Municipal Bond Fund | | | — | |
Large Cap Growth Fund | | | 662,343 | |
Large Cap Value Fund | | | 714,642 | |
Tax Managed Large Cap Fund | | | — | |
Small/Mid Cap Growth Fund | | | 712,168 | |
Small/Mid Cap Value Fund | | | 412,506 | |
Tax Managed Small/Mid Cap Fund | | | — | |
International Equity Fund | | | 688,476 | |
Tax Managed International Equity Fund | | | — | |
| | |
| Annual Report • June 30, 2022 | | 139 |
Bridge Builder Mutual Funds
Shareholder Proxy (Unaudited)
At a special meeting of shareholders held on April 19, 2022, shareholders approved the election of the below-listed persons to serve as Trustees of the Fund. The results of the voting were as follows:
| | | | | | | | |
| Vote on Trustees | | Shares Voted | | % Shares Voted | | % of Total Outstanding Shares |
John M. Tesoro | | For Withheld | | 10,186,837,762.622 46,867.580 | | 100.000% 0.000% | | 99.999% 0.000% |
Jean E. Carter | | For Withheld | | 10,186,845,620.947 39,009.255 | | 100.000% 0.000% | | 99.999% 0.000% |
Michelle M. Keeley | | For Withheld | | 10,186,844,111.337 40,518.865 | | 100.000% 0.000% | | 99.999% 0.000% |
David D. Sylvester | | For Withheld | | 10,186,845,553.752 42,076.450 | | 100.000% 0.000% | | 99.999% 0.000% |
Timothy Jacoby | | For Withheld | | 10,186,842,003.705 42,626.497 | | 100.000% 0.000% | | 99.999% 0.000% |
Craig A. Griffith | | For Withheld | | 10,186,842,440.196 42,190.006 | | 100.000% 0.000% | | 99.999% 0.000% |
Heidi Stam | | For Withheld | | 10,186,849,415.503 35,214.699 | | 100.000% 0.000% | | 99.999% 0.000% |
Maureen Leary-Jago | | For Withheld | | 10,004,068,439.984 186,816,190.218 | | 98.206% 1.794% | | 98.205% 1.794% |
Lena Haas | | For Withheld | | 10,186,849,415.503 35,214.699 | | 100.000% 0.000% | | 99.999% 0.000% |
Merry L. Mosbacher | | For Withheld | | 10,186,847,776.417 36,853.785 | | 100.000% 0.000% | | 99.999% 0.000% |
William E. Fiala | | For Withheld | | 10,004,057,088.915 185,827,541.287 | | 98.206% 1.794% | | 98.205% 1.794% |
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| 140 | | Annual Report • June 30, 2022 |
Bridge Builder Mutual Funds
Privacy Notice (Unaudited)
June 2022
| | | | |
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.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. |
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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. |
Vermont residents | | As a resident of Vermont, we will automatically limit sharing of your information outside of the Edward Jones corporate family, unless otherwise permitted by law. We may share information with your consent to service your accounts or under joint marketing agreements. |
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| Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
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| Annual Report • June 30, 2022 | | 141 |
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 Timothy Jacoby, a member of the Board’s Audit Committee, is the “audit committee financial expert” and is 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 6/30/2022 | | | FYE 6/30/2021 | |
Audit Fees | | $ | 776,950 | | | $ | 624,321 | |
Audit-Related Fees | | $ | 0 | | | $ | 0 | |
Tax Fees | | $ | 90,229 | | | $ | 64,786 | |
All Other Fees | | $ | 0 | | | $ | 0 | |
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 6/30/2022 | | | FYE 6/30/2021 | |
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 6/30/2022 | | | FYE 6/30/2021 | |
Registrant | | $ | 90,229 | | | $ | 64,786 | |
Registrant’s Investment Adviser | | $ | 0 | | | $ | 0 | |
The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
| | | | |
| | | FYE 2021 | |
Non-Audit Related Fees | | $ | 1,210,245 | |
Tax Fees | | $ | 476,390 | |
All Other Fees | | $ | 41,293 | |
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, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| | | | | | | |
BONDS & NOTES – 98.63% | | | | |
Asset-Backed Obligations – 11.23% | | | | |
510 Asset Backed 2021-NPL1 Trust | | | | | | | | |
2.24%, 06/25/2061, Series 2021-NPL1, Class A1(1)(2) | | $ | 1,614 | | | $ | 1,519 | |
510 Asset Backed 2021-NPL2 Trust | | | | | | | | |
2.12%, 06/25/2061, Series 2021-NPL2, Class A1(1)(2) | | | 5,908 | | | | 5,514 | |
ABFC 2006-OPT1 Trust | | | | | | | | |
1.92% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 09/25/2036, Series 2006-OPT1, Class A3C2(3) | | | 1,440 | | | | 1,423 | |
Academic Loan Funding Trust 2013-1 | | | | | | | | |
2.42% (1 Month LIBOR USD + 0.80%), 12/26/2044, Series 2013-1A, Class A(1)(3) | | | 557 | | | | 543 | |
ACC Trust 2021-1 | | | | | | | | |
1.43%, 07/22/2024, Series 2021-1, Class B(1) | | | 4,350 | | | | 4,313 | |
ACC Trust 2022-1 | | | | | | | | |
2.55%, 02/20/2025, Series 2022-1, Class B(1) | | | 5,000 | | | | 4,813 | |
Accelerated 2021-1H LLC | | | | | | | | |
1.90%, 10/20/2040, Series 2021-1H, Class B(1) | | | 3,546 | | | | 3,242 | |
Allegro CLO VII Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031, Series 2018-1A, Class A(1)(3) | | | 12,000 | | | | 11,720 | |
Ally Auto Receivables Trust 2019-4 | | | | | | | | |
1.84%, 06/17/2024, Series 2019-4, Class A3 | | | 1,528 | | | | 1,526 | |
1.92%, 01/15/2025, Series 2019-4, Class A4 | | | 1,987 | | | | 1,965 | |
American Credit Acceptance Receivables Trust 2020-4 | | | | | | | | |
1.31%, 12/14/2026, Series 2020-4, Class C(1) | | | 3,665 | | | | 3,601 | |
American Credit Acceptance Receivables Trust 2021-2 | | | | | | | | |
0.37%, 10/15/2024, Series 2021-2, Class A(1) | | | 447 | | | | 447 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
3.79%, 10/17/2036, Series 2014-SFR2, Class A(1) | | | 3,579 | | | | 3,556 | |
4.29%, 10/17/2036, Series 2014-SFR2, Class B(1) | | | 300 | | | | 300 | |
6.23%, 10/17/2036, Series 2014-SFR2, Class E(1) | | | 1,000 | | | | 1,017 | |
American Homes 4 Rent 2014-SFR3 Trust | | | | | | | | |
4.60%, 12/17/2036, Series 2014-SFR3, Class C(1) | | | 600 | | | | 597 | |
6.42%, 12/17/2036, Series 2014-SFR3, Class E(1) | | | 1,000 | | | | 1,023 | |
American Homes 4 Rent 2015-SFR1 Trust | | | | | | | | |
3.47%, 04/17/2052, Series 2015-SFR1, Class A(1) | | | 1,951 | | | | 1,910 | |
5.64%, 04/17/2052, Series 2015-SFR1, Class E(1) | | | 3,900 | | | | 3,942 | |
American Homes 4 Rent 2015-SFR2 Trust | | | | | | | | |
3.73%, 10/17/2052, Series 2015-SFR2, Class A(1) | | | 1,704 | | | | 1,675 | |
AmeriCredit Automobile Receivables Trust 2019-1 | | | | | | | | |
3.13%, 02/18/2025, Series 2019-1, Class B | | | 399 | | | | 399 | |
3.36%, 02/18/2025, Series 2019-1, Class C | | | 3,500 | | | | 3,490 | |
AmeriCredit Automobile Receivables Trust 2020-1 | | | | | | | | |
1.48%, 01/21/2025, Series 2020-1, Class B | | | 6,100 | | | | 6,044 | |
AmeriCredit Automobile Receivables Trust 2020-2 | | | | | | | | |
0.66%, 12/18/2024, Series 2020-2, Class A3 | | | 1,957 | | | | 1,945 | |
0.97%, 02/18/2026, Series 2020-2, Class B | | | 1,443 | | | | 1,412 | |
AmeriCredit Automobile Receivables Trust 2021-1 | | | | | | | | |
0.37%, 08/18/2025, Series 2021-1, Class A3 | | | 6,331 | | | | 6,226 | |
AmeriCredit Automobile Receivables Trust 2021-2 | | | | | | | | |
1.01%, 01/19/2027, Series 2021-2, Class C | | | 4,600 | | | | 4,264 | |
AmeriCredit Automobile Receivables Trust 2021-3 | | | | | | | | |
0.76%, 08/18/2026, Series 2021-3, Class A3 | | | 3,069 | | | | 2,945 | |
1.41%, 08/18/2027, Series 2021-3, Class C | | | 5,100 | | | | 4,665 | |
AmeriCredit Automobile Receivables Trust 2022-2 | | | | | | | | |
4.81%, 04/18/2028, Series 2022-2, Class B | | | 8,202 | | | | 8,310 | |
Amortizing Residential Collateral Trust 2002-BC5 | | | | | | | | |
2.66% (1 Month LIBOR USD + 1.04%, 1.04% Floor), 07/25/2032, Series 2002-BC5, Class M1(3) | | | 801 | | | | 788 | |
AMSR 2019-SFR1 Trust | | | | | | | | |
3.02%, 01/19/2039, Series 2019-SFR1, Class B(1) | | | 2,471 | | | | 2,335 | |
AMSR 2020-SFR3 Trust | | | | | | | | |
2.56%, 09/17/2037, Series 2020-SFR3, Class E1(1) | | | 7,734 | | | | 7,065 | |
AMSR 2020-SFR4 Trust | | | | | | | | |
1.86%, 11/17/2037, Series 2020-SFR4, Class C(1) | | | 9,000 | | | | 8,253 | |
AMSR 2021-SFR1 Trust | | | | | | | | |
2.90%, 06/17/2038, Series 2021-SFR1, Class E2(1)(4) | | | 3,950 | | | | 3,326 | |
Anchorage Capital CLO 2013-1 Ltd. | | | | | | | | |
2.27% (3 Month LIBOR USD + 1.25%), 10/13/2030, Series 2013-1A, Class A1R(1)(3) | | | 2,500 | | | | 2,470 | |
Anchorage Capital CLO 8 Ltd. | | | | | | | | |
2.42% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 10/27/2034, Series 2016-8A, Class AR2A(1)(3) | | | 15,500 | | | | 14,909 | |
Apres Static CLO Ltd. | | | | | | | | |
2.11% (3 Month LIBOR USD + 1.07%), 10/15/2028, Series 2019-1A, Class A1R(1)(3) | | | 2,472 | | | | 2,454 | |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6 | | | | | | | | |
2.30% (1 Month LIBOR USD + 0.68%, 0.68% Floor), 11/25/2033, Series 2003-HE6, Class A2(3) | | | 1,607 | | | | 1,582 | |
Atlas Senior Loan Fund III Ltd. | | | | | | | | |
2.27% (3 Month LIBOR USD + 0.83%), 11/17/2027, Series 2013-1A, Class AR(1)(3) | | | 2,472 | | | | 2,446 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
1.38%, 08/20/2027, Series 2021-1A, Class A(1) | | | 12,900 | | | | 11,533 | |
| | | | | | | | |
1.66%, 02/20/2028, Series 2021-2A, Class A(1) | | | 14,400 | | | | 12,836 | |
2.33%, 08/20/2026, Series 2020-1A, Class A(1) | | | 6,100 | | | | 5,799 | |
2.36%, 03/20/2026, Series 2019-3A, Class A(1) | | | 12,000 | | | | 11,434 | |
3.70%, 09/20/2024, Series 2018-1A, Class A(1) | | | 6,200 | | | | 6,191 | |
3.83%, 08/21/2028, Series 2022-1A, Class A(1) | | | 17,300 | | | | 16,897 | |
4.00%, 03/20/2025, Series 2018-2A, Class A(1) | | | 5,800 | | | | 5,797 | |
BA Credit Card Trust | | | | | | | | |
0.34%, 05/15/2026, Series 2020-A1, Class A1 | | | 3,665 | | | | 3,512 | |
Balboa Bay Loan Funding 2020-1 Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 01/20/2032, Series 2020-1A, Class AR(1)(3) | | | 16,750 | | | | 16,384 | |
Barings Loan Partners CLO Ltd. 2 | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 01/20/2034, Series LP-2A, Class A(1)(3)(5) | | | 22,150 | | | | 21,633 | |
Battalion CLO X Ltd. | | | | | | | | |
2.35% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 01/25/2035, Series 2016-10A, Class A1R2(1)(3) | | | 2,000 | | | | 1,934 | |
Bayview Financial Mortgage Pass-Through Trust 2007-B | | | | | | | | |
7.33%, 08/28/2047, Series 2007-B, Class 1A2(2) | | | 119 | | | | 103 | |
Bear Stearns Asset Backed Securities Trust 2003-2 | | | | | | | | |
3.12% (1 Month LIBOR USD + 1.50%, 1.50% Floor, 11.00% Cap), 03/25/2043, Series 2003-2, Class A3(3) | | | 1,736 | | | | 1,675 | |
BMW Vehicle Owner Trust 2020-A | | | | | | | | |
0.62%, 04/26/2027, Series 2020-A, Class A4 | | | 3,009 | | | | 2,877 | |
Business Jet Securities 2020-1 LLC | | | | | | | | |
2.98%, 11/15/2035, Series 2020-1A, Class A(1) | | | 5,882 | | | | 5,396 | |
Business Jet Securities 2021-1 LLC | | | | | | | | |
2.16%, 04/15/2036, Series 2021-1A, Class A(1) | | | 4,149 | | | | 3,752 | |
BXG Receivables Note Trust 2022-A | | | | | | | | |
5.35%, 09/28/2037, Series 2022-A, Class C(1) | | | 11,437 | | | | 11,221 | |
Camillo Issuer LLC 2016-SFR1 A | | | | | | | | |
5.00%, 12/05/2023(1) | | | 4,768 | | | | 4,761 | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
1.39%, 07/15/2030, Series 2021-A2, Class A2 | | | 3,700 | | | | 3,230 | |
1.72%, 08/15/2024, Series 2019-A2, Class A2 | | | 2,808 | | | | 2,808 | |
2.80%, 03/15/2027, Series 2022-A1, Class A1 | | | 2,602 | | | | 2,556 | |
3.49%, 05/15/2027, Series 2022-A2, Class A | | | 7,487 | | | | 7,492 | |
Capital One Prime Auto Receivables Trust 2019-2 | | | | | | | | |
1.92%, 05/15/2024, Series 2019-2, Class A3 | | | 920 | | | | 917 | |
Capital One Prime Auto Receivables Trust 2021-1 | | | | | | | | |
0.77%, 09/15/2026, Series 2021-1, Class A3 | | | 5,901 | | | | 5,575 | |
Carlyle US CLO 2021-11 Ltd. | | | | | | | | |
1.35% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 01/25/2033, Series 2021-11A, Class A(1)(3) | | | 30,000 | | | | 29,272 | |
CarMax Auto Owner Trust 2019-1 | | | | | | | | |
3.26%, 08/15/2024, Series 2019-1, Class A4 | | | 1,614 | | | | 1,615 | |
CarMax Auto Owner Trust 2020-3 | | | | | | | | |
0.77%, 03/16/2026, Series 2020-3, Class A4 | | | 2,901 | | | | 2,783 | |
Carmax Auto Owner Trust 2021-1 | | | | | | | | |
0.34%, 12/15/2025, Series 2021-1, Class A3 | | | 3,816 | | | | 3,720 | |
0.53%, 10/15/2026, Series 2021-1, Class A4 | | | 4,057 | | | | 3,788 | |
CarMax Auto Owner Trust 2021-2 | | | | | | | | |
1.34%, 02/16/2027, Series 2021-2, Class C | | | 4,180 | | | | 3,862 | |
CarMax Auto Owner Trust 2021-3 | | | | | | | | |
0.55%, 06/15/2026, Series 2021-3, Class A3 | | | 5,500 | | | | 5,283 | |
1.25%, 05/17/2027, Series 2021-3, Class C | | | 3,350 | | | | 3,094 | |
CarMax Auto Owner Trust 2021-4 | | | | | | | | |
0.56%, 09/15/2026, Series 2021-4, Class A3 | | | 4,535 | | | | 4,345 | |
1.38%, 07/15/2027, Series 2021-4, Class C | | | 2,850 | | | | 2,608 | |
CarMax Auto Owner Trust 2022-1 | | | | | | | | |
1.47%, 12/15/2026, Series 2022-1, Class A3 | | | 6,679 | | | | 6,388 | |
2.20%, 11/15/2027, Series 2022-1, Class C | | | 4,200 | | | | 3,894 | |
2.47%, 07/17/2028, Series 2022-1, Class D | | | 2,000 | | | | 1,859 | |
Carnow Auto Receivables Trust 2019-1 | | | | | | | | |
3.36%, 06/17/2024, Series 2019-1A, Class C(1) | | | 1,972 | | | | 1,973 | |
CarNow Auto Receivables Trust 2021-2 | | | | | | | | |
1.30%, 01/15/2026, Series 2021-2A, Class B(1) | | | 2,500 | | | | 2,440 | |
Carvana Auto Receivables Trust 2019-3 | | | | | | | | |
3.04%, 04/15/2025, Series 2019-3A, Class D(1) | | | 11,005 | | | | 10,914 | |
Carvana Auto Receivables Trust 2021-N2 | | | | | | | | |
0.75%, 03/10/2028, Series 2021-N2, Class B | | | 1,105 | | | | 1,066 | |
Carvana Auto Receivables Trust 2021-P3 | | | | | | | | |
0.70%, 11/10/2026, Series 2021-P3, Class A3 | | | 3,456 | | | | 3,275 | |
1.03%, 06/10/2027, Series 2021-P3, Class A4 | | | 2,994 | | | | 2,732 | |
CFIN 2022-RTL1 Issuer LLC | | | | | | | | |
3.25%, 02/16/2026, Series 2022-RTL1, Class AA(1) | | | 11,000 | | | | 10,830 | |
Chase Funding Trust Series 2003-4 | | | | | | | | |
4.92%, 05/25/2033, Series 2003-4, Class 1A5(2) | | | 74 | | | | 73 | |
Chase Funding Trust Series 2003-6 | | | | | | | | |
4.89%, 11/25/2034, Series 2003-6, Class 1A5(2) | | | 93 | | | | 90 | |
4.89%, 11/25/2034, Series 2003-6, Class 1A7(2) | | | 158 | | | | 153 | |
CIFC Funding 2018-II Ltd. | | | | | | | | |
2.10% (3 Month LIBOR USD + 1.04%), 04/20/2031, Series 2018-2A, Class A1(1)(3) | | | 11,800 | | | | 11,552 | |
CIFC Funding 2021-V Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/15/2034, Series 2021-5A, Class A(1)(3) | | | 10,000 | | | | 9,648 | |
CIG Auto Receivables Trust 2020-1 | | | | | | | | |
2.35%, 01/12/2026, Series 2020-1A, Class D(1) | | | 6,200 | | | | 6,040 | |
| | | | | | | | |
Commonbond Student Loan Trust 2017-B-GS | | | | | | | | |
2.68%, 09/25/2042, Series 2017-BGS, Class A1(1) | | | 2,713 | | | | 2,601 | |
Commonbond Student Loan Trust 2018-A-GS | | | | | | | | |
3.21%, 02/25/2044, Series 2018-AGS, Class A1(1) | | | 2,182 | | | | 2,131 | |
Commonbond Student Loan Trust 2018-C-GS | | | | | | | | |
3.87%, 02/25/2046, Series 2018-CGS, Class A1(1) | | | 618 | | | | 607 | |
Consumer Receivables Asset Investment Trust 2021-1 | | | | | | | | |
4.52% (3 Month LIBOR USD + 3.00%, 3.00% Floor), 03/24/2023, Series 2021-1, Class A1X(1)(3) | | | 5,643 | | | | 5,599 | |
Continental Finance Credit Card ABS Master Trust | | | | | | | | |
2.24%, 12/15/2028, Series 2020-1A, Class A(1) | | | 4,000 | | | | 3,773 | |
COOF Securitization Trust 2014-1 Ltd. | | | | | | | | |
2.79%, 06/25/2040, Series 2014-1, Class A(1)(4) | | | 457 | | | | 38 | |
Corevest American Finance 2019-1 Trust | | | | | | | | |
3.88%, 03/15/2052, Series 2019-1, Class B(1) | | | 4,860 | | | | 4,735 | |
Corevest American Finance 2019-3 Trust | | | | | | | | |
2.71%, 10/15/2052, Series 2019-3, Class A(1) | | | 3,505 | | | | 3,374 | |
3.16%, 10/15/2052, Series 2019-3, Class B(1) | | | 2,250 | | | | 2,010 | |
3.27%, 10/15/2052, Series 2019-3, Class C(1) | | | 5,862 | | | | 5,110 | |
CoreVest American Finance 2020-3 Trust | | | | | | | | |
2.20%, 08/15/2053, Series 2020-3, Class B(1) | | | 6,314 | | | | 5,135 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
5.12%, 02/25/2035, Series 2004-S1, Class A3(2) | | | 8 | | | | 8 | |
CPS Auto Receivables Trust 2021-B | | | | | | | | |
0.37%, 03/17/2025, Series 2021-B, Class A(1) | | | 1,229 | | | | 1,225 | |
Credit Acceptance Auto Loan Trust 2020-1 | | | | | | | | |
2.39%, 04/16/2029, Series 2020-1A, Class B(1) | | | 6,680 | | | | 6,562 | |
Credit Acceptance Auto Loan Trust 2020-2 | | | | | | | | |
1.37%, 07/16/2029, Series 2020-2A, Class A(1) | | | 2,850 | | | | 2,807 | |
2.73%, 11/15/2029, Series 2020-2A, Class C(1) | | | 3,500 | | | | 3,377 | |
Credit Acceptance Auto Loan Trust 2021-4 | | | | | | | | |
1.26%, 10/15/2030, Series 2021-4, Class A(1) | | | 2,488 | | | | 2,345 | |
Crossroads Asset Trust 2021-A | | | | | | | | |
2.52%, 01/20/2026, Series 2021-A, Class D(1) | | | 1,500 | | | | 1,413 | |
CWABS Asset-Backed Certificates Trust 2005-10 | | | | | | | | |
4.12%, 02/25/2036, Series 2005-10, Class AF6(4) | | | 7 | | | | 7 | |
CWABS Asset-Backed Certificates Trust 2005-17 | | | | | | | | |
5.56%, 05/25/2036, Series 2005-17, Class 1AF5(4) | | | 8 | | | | 8 | |
CWABS Asset-Backed Certificates Trust 2006-10 | | | | | | | | |
5.97%, 09/25/2046, Series 2006-10, Class 1AF3(4) | | | 16 | | | | 16 | |
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | | | | | | | | |
2.18% (1 Month LIBOR USD + 0.56%, 0.56% Floor), 04/25/2034, Series 2004-1, Class 3A(3) | | | 1 | | | | 1 | |
2.37% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 03/25/2034, Series 2004-1, Class M1(3) | | | 6 | | | | 6 | |
2.45% (1 Month LIBOR USD + 0.83%, 0.83% Floor), 03/25/2034, Series 2004-1, Class M2(3) | | | 5 | | | | 5 | |
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 11/25/2034, Series 2004-6, Class 2A5(3) | | | 307 | | | | 289 | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2034, Series 2004-6, Class M1(3) | | | 9 | | | | 9 | |
DataBank Issuer | | | | | | | | |
2.06%, 02/27/2051, Series 2021-1A, Class A2(1) | | | 6,150 | | | | 5,562 | |
Delta Air Lines 2015-1 Class AA Pass-Through Trust | | | | | | | | |
3.63%, 07/30/2027 | | | 932 | | | | 882 | |
Diamond Resorts Owner Trust 2018-1 | | | | | | | | |
3.70%, 01/21/2031, Series 2018-1, Class A(1) | | | 1,146 | | | | 1,144 | |
Diamond Resorts Owner Trust 2019-1 | | | | | | | | |
3.53%, 02/20/2032, Series 2019-1A, Class B(1) | | | 2,517 | | | | 2,464 | |
Discover Card Execution Note Trust | | | | | | | | |
1.03%, 09/15/2028, Series 2021-A2, Class A2 | | | 4,668 | | | | 4,156 | |
Drive Auto Receivables Trust 2019-1 | | | | | | | | |
4.09%, 06/15/2026, Series 2019-1, Class D | | | 1,857 | | | | 1,860 | |
Drive Auto Receivables Trust 2020-2 | | | | | | | | |
1.42%, 03/17/2025, Series 2020-2, Class B | | | 511 | | | | 510 | |
2.28%, 08/17/2026, Series 2020-2, Class C | | | 1,611 | | | | 1,604 | |
Drive Auto Receivables Trust 2021-1 | | | | | | | | |
0.65%, 07/15/2025, Series 2021-1, Class B | | | 3,800 | | | | 3,783 | |
1.02%, 06/15/2027, Series 2021-1, Class C | | | 2,965 | | | | 2,889 | |
Drive Auto Receivables Trust 2021-2 | | | | | | | | |
0.58%, 12/15/2025, Series 2021-2, Class B | | | 7,700 | | | | 7,526 | |
Drive Auto Receivables Trust 2021-3 | | | | | | | | |
0.79%, 10/15/2025, Series 2021-3, Class A3 | | | 3,459 | | | | 3,383 | |
DT Auto Owner Trust 2019-4 | | | | | | | | |
2.73%, 07/15/2025, Series 2019-4A, Class C(1) | | | 3,305 | | | | 3,304 | |
DT Auto Owner Trust 2020-2 | | | | | | | | |
2.08%, 03/16/2026, Series 2020-2A, Class B(1) | | | 456 | | | | 455 | |
DT Auto Owner Trust 2021-2 | | | | | | | | |
1.10%, 02/16/2027, Series 2021-2A, Class C(1) | | | 1,835 | | | | 1,742 | |
DT Auto Owner Trust 2021-4 | | | | | | | | |
0.56%, 09/15/2025, Series 2021-4A, Class A(1) | | | 4,554 | | | | 4,466 | |
1.02%, 05/15/2026, Series 2021-4A, Class B(1) | | | 4,753 | | | | 4,518 | |
Elmwood CLO II Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 04/20/2034, Series 2019-2A, Class AR(1)(3) | | | 20,000 | | | | 19,386 | |
Exeter Automobile Receivables Trust 2021-4 | | | | | | | | |
0.68%, 07/15/2025, Series 2021-4A, Class A3 | | | 7,128 | | | | 7,040 | |
1.05%, 05/15/2026, Series 2021-4A, Class B | | | 4,461 | | | | 4,320 | |
Exeter Automobile Receivables Trust 2022-2 | | | | | | | | |
4.56%, 07/17/2028, Series 2022-2A, Class D | | | 11,635 | | | | 11,055 | |
| | | | | | | | |
FirstKey Homes 2020-SFR2 Trust | | | | | | | | |
1.27%, 10/19/2037, Series 2020-SFR2, Class A(1) | | | 19,437 | | | | 17,906 | |
2.67%, 10/19/2037, Series 2020-SFR2, Class E(1) | | | 7,948 | | | | 7,260 | |
FirstKey Homes 2021-SFR1 Trust | | | | | | | | |
1.54%, 08/17/2038, Series 2021-SFR1, Class A(1) | | | 12,451 | | | | 11,157 | |
2.19%, 08/17/2038, Series 2021-SFR1, Class D(1) | | | 7,500 | | | | 6,611 | |
FirstKey Homes 2022-SFR1 Trust | | | | | | | | |
4.15%, 05/17/2039, Series 2022-SFR1, Class A(1) | | | 10,841 | | | | 10,655 | |
5.20%, 05/17/2039, Series 2022-SFR1, Class D(1) | | | 4,935 | | | | 4,814 | |
Flagship Credit Auto Trust 2018-3 | | | | | | | | |
3.79%, 12/16/2024, Series 2018-3, Class C(1) | | | 2,005 | | | | 2,007 | |
Flagship Credit Auto Trust 2019-4 | | | | | | | | |
3.12%, 01/15/2026, Series 2019-4, Class D(1) | | | 9,275 | | | | 8,999 | |
Flagship Credit Auto Trust 2020-3 | | | | | | | | |
0.70%, 04/15/2025, Series 2020-3, Class A(1) | | | 425 | | | | 423 | |
Flagship Credit Auto Trust 2021-2 | | | | | | | | |
0.37%, 12/15/2026, Series 2021-2, Class A(1) | | | 3,768 | | | | 3,689 | |
Flagship Credit Auto Trust 2022-2 | | | | | | | | |
5.80%, 04/17/2028, Series 2022-2, Class D(1) | | | 4,000 | | | | 3,961 | |
FMC GMSR Issuer Trust | | | | | | | | |
3.62%, 07/25/2026, Series 2021-GT1, Class A(1)(4) | | | 10,900 | | | | 9,867 | |
3.85%, 10/25/2026, Series 2021-GT2, Class A(1)(4) | | | 8,250 | | | | 7,367 | |
4.45%, 01/25/2026, Series 2020-GT1, Class A(1)(4) | | | 9,700 | | | | 8,986 | |
Ford Credit Auto Owner Trust 2018-REV1 | | | | | | | | |
3.19%, 07/15/2031, Series 2018-1, Class A(1) | | | 20,424 | | | | 20,090 | |
Ford Credit Auto Owner Trust 2020-A | | | | | | | | |
1.04%, 08/15/2024, Series 2020-A, Class A3 | | | 1,463 | | | | 1,448 | |
1.35%, 07/15/2025, Series 2020-A, Class A4 | | | 2,163 | | | | 2,106 | |
Ford Credit Auto Owner Trust 2020-B | | | | | | | | |
0.79%, 11/15/2025, Series 2020-B, Class A4 | | | 3,711 | | | | 3,576 | |
Ford Credit Auto Owner Trust 2020-C | | | | | | | | |
0.51%, 08/15/2026, Series 2020-C, Class A4 | | | 5,576 | | | | 5,214 | |
Ford Credit Auto Owner Trust 2020-REV1 | | | | | | | | |
2.04%, 08/15/2031, Series 2020-1, Class A(1) | | | 12,300 | | | | 11,757 | |
Ford Credit Auto Owner Trust 2020-REV2 | | | | | | | | |
1.06%, 04/15/2033, Series 2020-2, Class A(1) | | | 3,800 | | | | 3,437 | |
Ford Credit Auto Owner Trust 2021-REV1 | | | | | | | | |
1.61%, 10/17/2033, Series 2021-1, Class B(1) | | | 2,320 | | | | 2,072 | |
Ford Credit Auto Owner Trust 2021-REV2 | | | | | | | | |
1.53%, 05/15/2034, Series 2021-2, Class A(1) | | | 7,993 | | | | 7,262 | |
1.91%, 05/15/2034, Series 2021-2, Class B(1) | | | 2,150 | | | | 1,941 | |
Ford Credit Auto Owner Trust 2022-A | | | | | | | | |
1.29%, 06/15/2026, Series 2022-A, Class A3 | | | 3,920 | | | | 3,762 | |
Ford Credit Auto Owner Trust 2022-B | | | | | | | | |
3.74%, 09/15/2026, Series 2022-B, Class A3 | | | 4,754 | | | | 4,757 | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
1.06%, 09/15/2027, Series 2020-2, Class A | | | 14,747 | | | | 13,529 | |
Foundation Finance Trust 2017-1 | | | | | | | | |
3.30%, 07/15/2033, Series 2017-1A, Class A(1) | | | 100 | | | | 100 | |
Foundation Finance Trust 2019-1 | | | | | | | | |
3.86%, 11/15/2034, Series 2019-1A, Class A(1) | | | 1,113 | | | | 1,101 | |
Foursight Capital Automobile Receivables Trust 2021-1 | | | | | | | | |
1.32%, 03/15/2027, Series 2021-1, Class D(1) | | | 900 | | | | 839 | |
Foursight Capital Automobile Receivables Trust 2021-2 | | | | | | | | |
1.92%, 09/15/2027, Series 2021-2, Class D(1) | | | 850 | | | | 781 | |
FREED ABS Trust 2022-3FP | | | | | | | | |
5.79%, 08/20/2029, Series 2022-3FP, Class B(1) | | | 2,390 | | | | 2,390 | |
FTF 2019-1 A FRN | | | | | | | | |
5.50%, 08/15/2024(4)(6) | | | 516 | | | | 512 | |
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | | | | | | | | |
6.27%, 04/25/2029, Series 1999-HE1, Class A7(7) | | | 0 | | | | 0 | |
6.71%, 04/25/2029, Series 1999-HE1, Class M(4) | | | 11 | | | | 10 | |
Genesis Sales Finance Master Trust | | | | | | | | |
1.65%, 09/22/2025, Series 2020-AA, Class A(1) | | | 6,111 | | | | 6,012 | |
GLS Auto Receivables Issuer Trust 2021-1 | | | | | | | | |
1.68%, 01/15/2027, Series 2021-1A, Class D(1) | | | 1,200 | | | | 1,136 | |
GLS Auto Receivables Issuer Trust 2021-2 | | | | | | | | |
0.77%, 09/15/2025, Series 2021-2A, Class B(1) | | | 2,318 | | | | 2,260 | |
1.42%, 04/15/2027, Series 2021-2A, Class D(1) | | | 2,250 | | | | 2,057 | |
GLS Auto Receivables Issuer Trust 2021-4 | | | | | | | | |
1.53%, 04/15/2026, Series 2021-4A, Class B(1) | | | 5,850 | | | | 5,593 | |
GM Financial Automobile Leasing Trust 2020-2 | | | | | | | | |
0.80%, 07/20/2023, Series 2020-2, Class A3 | | | 1,101 | | | | 1,100 | |
1.01%, 07/22/2024, Series 2020-2, Class A4 | | | 1,000 | | | | 995 | |
GM Financial Consumer Automobile Receivables Trust 2018-4 | | | | | | | | |
3.62%, 06/17/2024, Series 2018-4, Class C | | | 1,400 | | | | 1,402 | |
GM Financial Consumer Automobile Receivables Trust 2020-1 | | | | | | | | |
1.84%, 09/16/2024, Series 2020-1, Class A3 | | | 3,046 | | | | 3,037 | |
GM Financial Consumer Automobile Receivables Trust 2020-2 | | | | | | | | |
1.49%, 12/16/2024, Series 2020-2, Class A3 | | | 1,640 | | | | 1,628 | |
GM Financial Consumer Automobile Receivables Trust 2020-3 | | | | | | | | |
0.45%, 04/16/2025, Series 2020-3, Class A3 | | | 2,791 | | | | 2,743 | |
GM Financial Consumer Automobile Receivables Trust 2020-4 | | | | | | | | |
0.50%, 02/17/2026, Series 2020-4, Class A4 | | | 5,097 | | | | 4,817 | |
GM Financial Consumer Automobile Receivables Trust 2021-1 | | | | | | | | |
0.54%, 05/17/2027, Series 2021-1, Class A4 | | | 4,174 | | | | 3,921 | |
| | | | | | | | |
GM Financial Revolving Receivables Trust 2021-1 | | | | | | | | |
1.17%, 06/12/2034, Series 2021-1, Class A(1) | | | 2,882 | | | | 2,580 | |
1.49%, 06/12/2034, Series 2021-1, Class B(1) | | | 500 | | | | 440 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
0.68%, 08/15/2025, Series 2020-1, Class A(1) | | | 4,031 | | | | 3,894 | |
Gold Key Resorts 2014-A LLC | | | | | | | | |
3.22%, 03/17/2031, Series 2014-A, Class A(1) | | | 57 | | | | 56 | |
Golden Bear 2016-R LLC | | | | | | | | |
5.65%, 09/20/2047, Series 2016-R, Class R(1) | | | 113 | | | | 112 | |
Goodgreen 2017-1 Trust | | | | | | | | |
3.74%, 10/15/2052, Series 2017-1A, Class A(1) | | | 795 | | | | 756 | |
Goodgreen 2017-2 Trust | | | | | | | | |
3.26%, 10/15/2053, Series 2017-2A, Class A(1) | | | 2,230 | | | | 2,056 | |
Goodgreen 2017-R1 Trust | | | | | | | | |
5.00%, 10/20/2051(1)(6) | | | 2,803 | | | | 2,558 | |
Goodgreen 2019-2 Trust | | | | | | | | |
2.76%, 04/15/2055, Series 2019-2A, Class A(1) | | | 3,405 | | | | 3,088 | |
Greenwood Park CLO Ltd. | | | | | | | | |
2.05% (3 Month LIBOR USD + 1.01%), 04/15/2031, Series 2018-1A, Class A2(1)(3) | | | 23,000 | | | | 22,516 | |
GSAMP Trust 2006-HE7 | | | | | | | | |
2.08% (1 Month LIBOR USD + 0.46%, 0.46% Floor), 10/25/2046, Series 2006-HE7, Class A2D(3) | | | 267 | | | | 264 | |
Harley-Davidson Motorcycle Trust 2021-A | | | | | | | | |
0.37%, 04/15/2026, Series 2021-A, Class A3 | | | 8,629 | | | | 8,450 | |
0.53%, 09/15/2028, Series 2021-A, Class A4 | | | 4,288 | | | | 4,041 | |
HERO Funding 2017-3 | | | | | | | | |
3.95%, 09/20/2048, Series 2017-3A, Class A2(1) | | | 1,574 | | | | 1,528 | |
HERO Funding II 2016-3B | | | | | | | | |
5.24%, 09/20/2042, Series 2016-3B, Class B(1) | | | 14 | | | | 14 | |
HERO Funding Trust 2016-2 | | | | | | | | |
3.75%, 09/20/2041, Series 2016-2A, Class A(1) | | | 874 | | | | 863 | |
HERO Funding Trust 2016-3 | | | | | | | | |
3.08%, 09/20/2042, Series 2016-3A, Class A1(1) | | | 368 | | | | 358 | |
HERO Funding Trust 2016-4A | | | | | | | | |
3.57%, 09/20/2047, Series 2016-4A, Class A1(1) | | | 1,202 | | | | 1,183 | |
HERO Funding Trust 2017-1A | | | | | | | | |
4.46%, 09/20/2047, Series 2017-1A, Class A2(1) | | | 2,208 | | | | 2,173 | |
HERO Funding Trust 2017-2 | | | | | | | | |
3.28%, 09/20/2048, Series 2017-2A, Class A1(1) | | | 1,974 | | | | 1,911 | |
Hertz Vehicle Financing III LP | | | | | | | | |
1.68%, 12/27/2027, Series 2021-2A, Class A(1) | | | 7,200 | | | | 6,348 | |
Hertz Vehicle Financing LLC | | | | | | | | |
1.21%, 12/26/2025, Series 2021-1A, Class A(1) | | | 8,200 | | | | 7,669 | |
2.33%, 06/26/2028, Series 2022-2A, Class A(1) | | | 18,900 | | | | 17,103 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028, Series 2017-AA, Class A(1) | | | 472 | | | | 465 | |
Hilton Grand Vacations Trust 2022-1D | | | | | | | | |
4.10%, 06/20/2034, Series 2022-1D, Class B(1) | | | 4,452 | | | | 4,363 | |
HIN Timeshare Trust 2020-A | | | | | | | | |
2.23%, 10/09/2039, Series 2020-A, Class B(1) | | | 2,184 | | | | 2,013 | |
Home Partners of America 2021-2 Trust | | | | | | | | |
1.90%, 12/17/2026, Series 2021-2, Class A(1) | | | 7,391 | | | | 6,600 | |
2.95%, 12/17/2026, Series 2021-2, Class E2(1) | | | 6,382 | | | | 5,553 | |
Home Partners of America 2021-3 Trust | | | | | | | | |
2.20%, 01/17/2041, Series 2021-3, Class A(1) | | | 6,533 | | | | 5,850 | |
3.20%, 01/17/2041, Series 2021-3, Class E1(1) | | | 5,519 | | | | 4,880 | |
Honda Auto Receivables 2020-2 Owner Trust | | | | | | | | |
0.82%, 07/15/2024, Series 2020-2, Class A3 | | | 2,253 | | | | 2,227 | |
Honda Auto Receivables 2020-3 Owner Trust | | | | | | | | |
0.46%, 04/19/2027, Series 2020-3, Class A4 | | | 5,701 | | | | 5,443 | |
Honda Auto Receivables 2021-4 Owner Trust | | | | | | | | |
0.88%, 01/21/2026, Series 2021-4, Class A3 | | | 4,355 | | | | 4,152 | |
Hyundai Auto Receivables Trust 2020-A | | | | | | | | |
1.41%, 11/15/2024, Series 2020-A, Class A3 | | | 2,835 | | | | 2,808 | |
1.72%, 06/15/2026, Series 2020-A, Class A4 | | | 3,308 | | | | 3,204 | |
Hyundai Auto Receivables Trust 2021-B | | | | | | | | |
0.38%, 01/15/2026, Series 2021-B, Class A3 | | | 5,918 | | | | 5,680 | |
Hyundai Auto Receivables Trust 2021-C | | | | | | | | |
0.74%, 05/15/2026, Series 2021-C, Class A3 | | | 3,887 | | | | 3,713 | |
1.03%, 12/15/2027, Series 2021-C, Class A4 | | | 3,379 | | | | 3,104 | |
Hyundai Auto Receivables Trust 2022-A | | | | | | | | |
2.22%, 10/15/2026, Series 2022-A, Class A3 | | | 1,642 | | | | 1,590 | |
Imc Home Equity Loan Trust 1997-5 | | | | | | | | |
6.88%, 11/20/2028, Series 1997-5, Class A10(7) | | | 0 | | | | 0 | |
KGS-Alpha SBA COOF Trust | | | | | | | | |
0.62%, 05/25/2039, Series 2012-6, Class A(1)(4) | | | 1,241 | | | | 16 | |
KGS-Alpha SBA COOF Trust 2012-2 | | | | | | | | |
0.91%, 08/25/2038, Series 2012-2, Class A(1)(4) | | | 1,346 | | | | 26 | |
KGS-Alpha SBA COOF Trust 2014-2 | | | | | | | | |
2.67%, 04/25/2040, Series 2014-2, Class A(1)(4) | | | 443 | | | | 33 | |
KKR CLO 11 Ltd. | | | | | | | | |
2.22% (3 Month LIBOR USD + 1.18%, 1.18% Floor), 01/15/2031, Series 11, Class AR(1)(3) | | | 8,500 | | | | 8,358 | |
KKR CLO 32 Ltd. | | | | | | | | |
2.36% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 01/15/2032, Series 32A, Class A1(1)(3) | | | 26,000 | | | | 25,565 | |
Laurel Road Prime Student Loan Trust 2017-C | | | | | | | | |
2.81%, 11/25/2042, Series 2017-C, Class A2B(1) | | | 525 | | | | 523 | |
| | | | | | | | |
Laurel Road Prime Student Loan Trust 2018-B | | | | | | | | |
3.54%, 05/26/2043, Series 2018-B, Class A2FX(1) | | | 1,142 | | | | 1,143 | |
LendingPoint 2020-REV1 Asset Securitization Trust | | | | | | | | |
2.73%, 10/15/2028, Series 2020-REV1, Class A(1) | | | 8,400 | | | | 8,250 | |
4.49%, 10/15/2028, Series 2020-REV1, Class B(1) | | | 8,407 | | | | 8,316 | |
Lendmark Funding Trust 2019-2 | | | | | | | | |
2.78%, 04/20/2028, Series 2019-2A, Class A(1) | | | 12,835 | | | | 12,567 | |
Long Beach Mortgage Loan Trust 2004-1 | | | | | | | | |
2.37% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 02/25/2034, Series 2004-1, Class M1(3) | | | 87 | | | | 85 | |
Long Beach Mortgage Loan Trust 2004-3 | | | | | | | | |
2.48% (1 Month LIBOR USD + 0.86%, 0.86% Floor), 07/25/2034, Series 2004-3, Class M1(3) | | | 28 | | | | 27 | |
LP LMS 2021-1 | | | | | | | | |
3.23%, 10/15/2028(1) | | | 5,071 | | | | 5,013 | |
LP LMS 2021-2 Asset Securitization Trust | | | | | | | | |
1.75%, 01/15/2029, Series 2021-2A, Class A(1) | | | 6,208 | | | | 6,101 | |
Madison Park Funding LIX Ltd. | | | | | | | | |
1.39% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 01/18/2034, Series 2021-59A, Class A(1)(3) | | | 20,000 | | | | 19,455 | |
Mariner Finance Issuance Trust 2019-A | | | | | | | | |
2.96%, 07/20/2032, Series 2019-AA, Class A(1) | | | 6,000 | | | | 5,953 | |
3.51%, 07/20/2032, Series 2019-AA, Class B(1) | | | 5,235 | | | | 5,065 | |
Mariner Finance Issuance Trust 2021-A | | | | | | | | |
2.33%, 03/20/2036, Series 2021-AA, Class B(1) | | | 5,700 | | | | 5,018 | |
Mercury Financial Credit Card Master Trust | | | | | | | | |
1.54%, 03/20/2026, Series 2021-1A, Class A(1) | | | 5,365 | | | | 5,105 | |
MidOcean Credit CLO III | | | | | | | | |
2.22% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031, Series 2014-3A, Class A1R(1)(3) | | | 15,218 | | | | 15,023 | |
MidOcean Credit CLO IX | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/20/2031, Series 2018-9A, Class A1(1)(3) | | | 4,000 | | | | 3,938 | |
Mid-State Capital Corp. 2006-1 Trust | | | | | | | | |
6.08%, 10/15/2040, Series 2006-1, Class M1(1) | | | 453 | | | | 452 | |
Mission Lane Credit Card Master Trust | | | | | | | | |
1.59%, 09/15/2026, Series 2021-A, Class A(1) | | | 7,691 | | | | 7,407 | |
MMAF Equipment Finance LLC 2019-B | | | | | | | | |
2.29%, 11/12/2041, Series 2019-B, Class A5(1) | | | 7,200 | | | | 6,788 | |
Mountain View CLO IX Ltd. | | | | | | | | |
2.16% (3 Month LIBOR USD + 1.12%), 07/15/2031, Series 2015-9A, Class A1R(1)(3) | | | 20,000 | | | | 19,639 | |
MRA Issuance Trust 2021-EBO7 | �� | | | | | | | |
2.85% (1 Month LIBOR USD + 2.75%), 02/15/2023, Series 2021-EBO7, Class A1X(1)(3) | | | 16,400 | | | | 16,063 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
3.19%, 02/18/2042, Series 2018-A, Class A2(1) | | | 1,638 | | | | 1,638 | |
Navient Private Education Refi Loan Trust 2018-C | | | | | | | | |
3.52%, 06/16/2042, Series 2018-CA, Class A2(1) | | | 1,184 | | | | 1,181 | |
Navient Private Education Refi Loan Trust 2019-C | | | | | | | | |
3.13%, 02/15/2068, Series 2019-CA, Class A2(1) | | | 3,069 | | | | 2,996 | |
Navient Private Education Refi Loan Trust 2020-B | | | | | | | | |
2.12%, 01/15/2069, Series 2020-BA, Class A2(1) | | | 3,249 | | | | 3,054 | |
Navient Private Education Refi Loan Trust 2021-G | | | | | | | | |
1.58%, 04/15/2070, Series 2021-GA, Class A(1) | | | 10,188 | | | | 9,007 | |
Nelnet Student Loan Trust 2021-D | | | | | | | | |
1.63%, 04/20/2062, Series 2021-DA, Class AFX(1) | | | 10,708 | | | | 9,973 | |
New Century Home Equity Loan Trust Series 2003-5 | | | | | | | | |
4.85%, 11/25/2033, Series 2003-5, Class AI6(2) | | | 102 | | | | 99 | |
New Residential Mortgage Loan Trust 2018-1 | | | | | | | | |
4.00%, 12/25/2057, Series 2018-1A, Class A1A(1)(4) | | | 1,602 | | | | 1,558 | |
Nissan Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.38%, 12/16/2024, Series 2020-A, Class A3 | | | 2,343 | | | | 2,322 | |
Nissan Auto Receivables 2021-A Owner Trust | | | | | | | | |
0.33%, 10/15/2025, Series 2021-A, Class A3 | | | 9,768 | | | | 9,364 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-FM1 | | | | | | | | |
2.08% (1 Month LIBOR USD + 0.46%, 0.46% Floor), 11/25/2035, Series 2006-FM1, Class 1A1(3) | | | 2,020 | | | | 2,004 | |
NRZ Excess Spread-Collateralized Notes | | | | | | | | |
3.10%, 07/25/2026, Series 2021-FHT1, Class A(1) | | | 14,956 | | | | 13,626 | |
3.23%, 05/25/2026, Series 2021-FNT2, Class A(1) | | | 6,784 | | | | 6,198 | |
3.47%, 11/25/2026, Series 2021-GNT1, Class A(1) | | | 9,477 | | | | 8,823 | |
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1 | | | | | | | | |
3.84%, 12/25/2025, Series 2020-PLS1, Class A(1) | | | 5,808 | | | | 5,514 | |
Oakwood Mortgage Investors, Inc. | | | | | | | | |
6.45%, 12/15/2023, Series 1999-B, Class A3(7) | | | 0 | | | | 0 | |
OCP CLO 2015-9 Ltd. | | | | | | | | |
0.00% (3 Month Term SOFR + 1.25%, 1.25% Floor), 01/15/2033, Series 2015-9A, Class A1R2(1)(3)(5) | | | 15,000 | | | | 14,659 | |
Octane Receivables Trust 2021-1 | | | | | | | | |
1.53%, 04/20/2027, Series 2021-1A, Class B(1) | | | 700 | | | | 638 | |
OL SP 2018-B LLC | | | | | | | | |
4.16%, 02/09/2030, Series 2018, Class A | | | 1,076 | | | | 1,064 | |
4.61%, 02/09/2030, Series 2018, Class B | | | 234 | | | | 230 | |
OneMain Direct Auto Receivables Trust 2019-1 | | | | | | | | |
3.63%, 09/14/2027, Series 2019-1A, Class A(1) | | | 14,600 | | | | 14,254 | |
OneMain Direct Auto Receivables Trust 2021-1 | | | | | | | | |
1.26%, 07/14/2028, Series 2021-1A, Class B(1) | | | 10,300 | | | | 9,317 | |
OneMain Financial Issuance Trust 2020-2 | | | | | | | | |
1.75%, 09/14/2035, Series 2020-2A, Class A(1) | | | 9,400 | | | | 8,371 | |
OneMain Financial Issuance Trust 2020-A | | | | | | | | |
3.84%, 05/14/2032, Series 2020-1A, Class A(1) | | | 2,970 | | | | 2,961 | |
| | | | | | | | |
OneMain Financial Issuance Trust 2021-1 | | | | | | | | |
1.54% (30-day Average SOFR + 0.76%), 06/16/2036, Series 2021-1A, Class A2(1)(3) | | | 10,342 | | | | 9,777 | |
Oportun Funding XIV LLC | | | | | | | | |
1.21%, 03/08/2028, Series 2021-A, Class A(1) | | | 3,600 | | | | 3,369 | |
1.76%, 03/08/2028, Series 2021-A, Class B(1) | | | 5,625 | | | | 5,292 | |
Oportun Issuance Trust 2021-B | | | | | | | | |
1.47%, 05/08/2031, Series 2021-B, Class A(1) | | | 5,610 | | | | 5,203 | |
Oportun Issuance Trust 2022-A | | | | | | | | |
5.05%, 06/09/2031, Series 2022-A, Class A(1) | | | 10,500 | | | | 10,423 | |
Option One Mortgage Loan Trust 2004-3 | | | | | | | | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 11/25/2034, Series 2004-3, Class A4(3) | | | 1,692 | | | | 1,609 | |
OZLM Funding IV Ltd. | | | | | | | | |
2.39% (3 Month LIBOR USD + 1.25%), 10/22/2030, Series 2013-4A, Class A1R(1)(3) | | | 9,812 | | | | 9,698 | |
OZLM XXII Ltd. | | | | | | | | |
2.11% (3 Month LIBOR USD + 1.07%), 01/17/2031, Series 2018-22A, Class A1(1)(3) | | | 6,991 | | | | 6,877 | |
P4 SFR 2019-STL | | | | | | | | |
7.25%, 10/11/2022 | | | 5,700 | | | | 5,731 | |
Pagaya AI Debt Selection Trust 2021-1 | | | | | | | | |
1.18%, 11/15/2027, Series 2021-1, Class A(1) | | | 7,558 | | | | 7,396 | |
Palmer Square CLO 2014-1 Ltd. | | | | | | | | |
2.17% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031, Series 2014-1A, Class A1R2(1)(3) | | | 4,000 | | | | 3,925 | |
Palmer Square CLO 2018-2 Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%), 07/16/2031, Series 2018-2A, Class A1A(1)(3) | | | 20,000 | | | | 19,634 | |
Park Avenue Institutional Advisers CLO Ltd. 2018-1 | | | | | | | | |
2.06% (3 Month LIBOR USD + 1.00%, 1.00% Floor), 10/20/2031, Series 2018-1A, Class A1AR(1)(3) | | | 21,500 | | | | 21,163 | |
Pennsylvania Higher Education Assistance Agency | | | | | | | | |
2.15% (1 Month LIBOR USD + 0.53%, 0.53% Floor), 05/25/2070, Series 2021-1A, Class A(1)(3) | | | 8,627 | | | | 8,369 | |
PNMAC GMSR ISSUER TRUST 2022-GT1 | | | | | | | | |
5.18% (30-day Average SOFR + 4.25%), 05/25/2027, Series 2022-GT1, Class A(1)(3) | | | 9,425 | | | | 9,409 | |
Prestige Auto Receivables Trust 2021-1 | | | | | | | | |
0.55%, 09/16/2024, Series 2021-1A, Class A2(1) | | | 5,723 | | | | 5,679 | |
PRET 2021-RN4 LLC | | | | | | | | |
2.49%, 10/25/2051, Series 2021-RN4, Class A1(1)(4) | | | 16,179 | | | | 15,965 | |
Pretium Mortgage Credit Partners I 2021-NPL1 LLC | | | | | | | | |
2.24%, 09/27/2060, Series 2021-NPL1, Class A1(1)(2) | | | 8,819 | | | | 8,348 | |
Progress Residential 2020-SFR3 Trust | | | | | | | | |
2.30%, 10/17/2027, Series 2020-SFR3, Class E(1) | | | 6,000 | | | | 5,398 | |
Progress Residential 2021-SFR1 | | | | | | | | |
1.56%, 04/17/2038, Series 2021-SFR1, Class C(1) | | | 3,500 | | | | 3,093 | |
Progress Residential 2021-SFR2 Trust | | | | | | | | |
2.55%, 04/19/2038, Series 2021-SFR2, Class E1(1) | | | 5,000 | | | | 4,433 | |
Progress Residential 2021-SFR3 | | | | | | | | |
2.54%, 05/17/2026, Series 2021-SFR3, Class E1(1) | | | 6,250 | | | | 5,441 | |
Progress Residential 2021-SFR9 Trust | | | | | | | | |
2.81%, 11/17/2040, Series 2021-SFR9, Class E1(1) | | | 4,400 | | | | 3,529 | |
Progress Residential 2022-SFR1 Trust | | | | | | | | |
3.93%, 02/17/2041, Series 2022-SFR1, Class E1(1) | | | 11,100 | | | | 9,782 | |
Progress Residential 2022-SFR2 Trust | | | | | | | | |
3.95%, 04/17/2027, Series 2022-SFR2, Class D | | | 3,000 | | | | 2,780 | |
Progress Residential 2022-SFR3 Trust | | | | | | | | |
5.20%, 04/17/2039, Series 2022-SFR3, Class E1(1) | | | 9,025 | | | | 8,488 | |
Regional Management Issuance Trust 2020-1 | | | | | | | | |
3.23%, 10/15/2030, Series 2020-1, Class B(1) | | | 2,590 | | | | 2,431 | |
Regional Management Issuance Trust 2021-1 | | | | | | | | |
1.68%, 03/17/2031, Series 2021-1, Class A(1) | | | 3,183 | | | | 2,936 | |
Renaissance Home Equity Loan Trust | | | | | | | | |
5.61%, 04/25/2037, Series 2007-1, Class AF3(2) | | | 299 | | | | 98 | |
Renew 2017-1 | | | | | | | | |
3.67%, 09/20/2052, Series 2017-1A, Class A(1) | | | 1,001 | | | | 934 | |
Rockford Tower CLO 2020-1 Ltd. | | | | | | | | |
2.34% (3 Month LIBOR USD + 1.28%), 01/20/2032, Series 2020-1A, Class A(1)(3) | | | 12,000 | | | | 11,801 | |
Santander Consumer Auto Receivables Trust 2020-B | | | | | | | | |
0.46%, 08/15/2024, Series 2020-BA, Class A3(1) | | | 1,890 | | | | 1,885 | |
Santander Consumer Auto Receivables Trust 2021-A | | | | | | | | |
0.33%, 10/15/2025, Series 2021-AA, Class A3(1) | | | 5,323 | | | | 5,227 | |
0.48%, 06/15/2026, Series 2021-AA, Class A4(1) | | | 3,258 | | | | 3,092 | |
Santander Drive Auto Receivables Trust 2019-3 | | | | | | | | |
2.49%, 10/15/2025, Series 2019-3, Class C | | | 110 | | | | 110 | |
Santander Drive Auto Receivables Trust 2020-3 | | | | | | | | |
1.12%, 01/15/2026, Series 2020-3, Class C | | | 8,000 | | | | 7,939 | |
Santander Drive Auto Receivables Trust 2020-4 | | | | | | | | |
1.01%, 01/15/2026, Series 2020-4, Class C | | | 11,568 | | | | 11,402 | |
Santander Drive Auto Receivables Trust 2021-2 | | | | | | | | |
0.90%, 06/15/2026, Series 2021-2, Class C | | | 7,277 | | | | 7,046 | |
1.35%, 07/15/2027, Series 2021-2, Class D | | | 10,700 | | | | 10,036 | |
Santander Drive Auto Receivables Trust 2021-3 | | | | | | | | |
0.95%, 09/15/2027, Series 2021-3, Class C | | | 8,100 | | | | 7,794 | |
Santander Drive Auto Receivables Trust 2021-4 | | | | | | | | |
1.26%, 02/16/2027, Series 2021-4, Class C | | | 10,600 | | | | 10,108 | |
Santander Drive Auto Receivables Trust 2022-1 | | | | | | | | |
2.56%, 04/17/2028, Series 2022-1, Class C | | | 6,590 | | | | 6,271 | |
Santander Drive Auto Receivables Trust 2022-2 | | | | | | | | |
3.44%, 09/15/2027, Series 2022-2, Class B | | | 6,127 | | | | 5,961 | |
SART 2017-1 | | | | | | | | |
4.75%, 07/15/2024 | | | 2,154 | | | | 2,127 | |
| | | | | | | | |
SART 2018-1 | | | | | | | | |
4.76%, 06/15/2025 | | | 2,615 | | | | 2,576 | |
SCF Equipment Leasing 2021-1 LLC | | | | | | | | |
1.93%, 09/20/2030, Series 2021-1A, Class D(1) | | | 3,600 | | | | 3,251 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | | | | | | | | |
2.90%, 01/25/2036, Series 2006-CB1, Class AF2(2) | | | 46 | | | | 37 | |
Sierra Timeshare 2019-3 Receivables Funding LLC | | | | | | | | |
2.75%, 08/20/2036, Series 2019-3A, Class B(1) | | | 1,459 | | | | 1,401 | |
Sierra Timeshare 2020-2 Receivables Funding LLC | | | | | | | | |
1.33%, 07/20/2037, Series 2020-2A, Class A(1) | | | 1,530 | | | | 1,447 | |
Sierra Timeshare 2021-1 Receivables Funding LLC | | | | | | | | |
1.34%, 11/20/2037, Series 2021-1A, Class B(1) | | | 3,948 | | | | 3,674 | |
Sixth Street CLO XVI Ltd. | | | | | | | | |
2.38% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 10/20/2032, Series 2020-16A, Class A1A(1)(3) | | | 20,000 | | | | 19,640 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
2.84%, 01/25/2041, Series 2017-F, Class A2FX(1) | | | 4,508 | | | | 4,437 | |
SoFi Professional Loan Program 2018-B Trust | | | | | | | | |
3.34%, 08/25/2047, Series 2018-B, Class A2FX(1) | | | 1,963 | | | | 1,935 | |
SoFi Professional Loan Program 2019-C LLC | | | | | | | | |
2.37%, 11/16/2048, Series 2019-C, Class A2FX(1) | | | 4,625 | | | | 4,463 | |
SoFi Professional Loan Program 2020-ATrust | | | | | | | | |
2.54%, 05/15/2046, Series 2020-A, Class A2FX(1) | | | 6,100 | | | | 5,847 | |
Sound Point CLO II Ltd. | | | | | | | | |
2.28% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031, Series 2013-1A, Class A1R(1)(3) | | | 9,000 | | | | 8,807 | |
Structured Asset Securities Corp. Mortgage Loan Trust 2005-7XS | | | | | | | | |
5.94%, 04/25/2035, Series 2005-7XS, Class 1A4B(2)(7) | | | 0 | | | | 0 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2004-6XS | | | | | | | | |
6.03%, 03/25/2034, Series 2004-6XS, Class A5A(2) | | | 25 | | | | 25 | |
6.05%, 03/25/2034, Series 2004-6XS, Class A5B(2) | | | 20 | | | | 20 | |
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1 | | | | | | | | |
3.45%, 02/25/2032, Series 2002-AL1, Class A2 | | | 7 | | | | 7 | |
3.45%, 02/25/2032, Series 2002-AL1, Class A3 | | | 27 | | | | 17 | |
Synchrony Card Funding LLC | | | | | | | | |
3.37%, 04/15/2028, Series 2022-A1, Class A | | | 10,650 | | | | 10,571 | |
Towd Point Mortgage Trust 2020-MH1 | | | | | | | | |
2.25%, 02/25/2060, Series 2020-MH1, Class A1(1)(4) | | | 4,810 | | | | 4,557 | |
Toyota Auto Loan Extended Note Trust 2019-1 | | | | | | | | |
2.56%, 11/25/2031, Series 2019-1A, Class A(1) | | | 7,675 | | | | 7,508 | |
Toyota Auto Loan Extended Note Trust 2020-1 | | | | | | | | |
1.35%, 05/25/2033, Series 2020-1A, Class A(1) | | | 7,685 | | | | 7,148 | |
Toyota Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.68%, 05/15/2025, Series 2020-A, Class A4 | | | 1,196 | | | | 1,171 | |
Toyota Auto Receivables 2020-B Owner Trust | | | | | | | | |
1.36%, 08/15/2024, Series 2020-B, Class A3 | | | 2,002 | | | | 1,988 | |
1.66%, 09/15/2025, Series 2020-B, Class A4 | | | 3,189 | | | | 3,106 | |
Toyota Auto Receivables 2020-D Owner Trust | | | | | | | | |
0.47%, 01/15/2026, Series 2020-D, Class A4 | | | 4,856 | | | | 4,632 | |
Toyota Auto Receivables 2021-B Owner Trust | | | | | | | | |
0.53%, 10/15/2026, Series 2021-B, Class A4 | | | 7,016 | | | | 6,495 | |
Toyota Auto Receivables 2021-D Owner Trust | | | | | | | | |
1.02%, 03/15/2027, Series 2021-D, Class A4 | | | 3,168 | | | | 2,907 | |
Tricolor Auto Securitization Trust 2020-1 | | | | | | | | |
4.88%, 11/15/2026, Series 2020-1A, Class A(1) | | | 1,198 | | | | 1,198 | |
United Auto Credit Securitization Trust | | | | | | | | |
1.14%, 06/10/2026, Series 2021-1, Class D(1) | | | 850 | | | | 818 | |
Upstart Pass-Through Trust Series 2021-ST9 | | | | | | | | |
1.70%, 11/20/2029, Series 2021-ST9, Class A(1) | | | 3,883 | | | | 3,586 | |
USAA Auto Owner Trust 2019-1 | | | | | | | | |
2.14%, 11/15/2024, Series 2019-1, Class A4 | | | 2,647 | | | | 2,647 | |
VCAT 2021-NPL1 LLC | | | | | | | | |
2.29%, 12/26/2050, Series 2021-NPL1, Class A1(1)(2) | | | 1,958 | | | | 1,885 | |
VCAT 2021-NPL5 LLC | | | | | | | | |
1.87%, 08/25/2051, Series 2021-NPL5, Class A1(1)(2) | | | 6,951 | | | | 6,566 | |
VCAT 2021-NPL6 LLC | | | | | | | | |
1.92%, 09/25/2051, Series 2021-NPL6, Class A1(1)(2) | | | 2,631 | | | | 2,468 | |
Venture 32 CLO Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031, Series 2018-32A, Class A1(1)(3) | | | 6,000 | | | | 5,873 | |
Vericrest Opportunity Loan Transferee | | | | | | | | |
1.87%, 08/25/2051, Series 2021-NP11, Class A1(1)(2) | | | 6,350 | | | | 5,883 | |
Verizon Master Trust | | | | | | | | |
0.50%, 05/20/2027, Series 2021-1, Class A | | | 10,714 | | | | 10,095 | |
1.04%, 01/20/2027, Series 2022-1, Class A(2) | | | 11,241 | | | | 10,956 | |
Verizon Owner Trust 2019-A | | | | | | | | |
2.93%, 09/20/2023, Series 2019-A, Class A1A | | | 28 | | | | 28 | |
Verizon Owner Trust 2019-C | | | | | | | | |
2.06%, 04/22/2024, Series 2019-C, Class B | | | 9,211 | | | | 9,132 | |
Verizon Owner Trust 2020-A | | | | | | | | |
1.85%, 07/22/2024, Series 2020-A, Class A1A | | | 5,288 | | | | 5,272 | |
Veros Auto Receivables Trust 2021-1 | | | | | | | | |
0.92%, 10/15/2026, Series 2021-1, Class A(1) | | | 2,189 | | | | 2,149 | |
VM DEBT 2019-1 | | | | | | | | |
7.50%, 06/15/2024 | | | 7,000 | | | | 7,070 | |
Volkswagen Auto Lease Trust 2022-A | | | | | | | | |
3.44%, 07/21/2025, Series 2022-A, Class A3 | | | 4,541 | | | | 4,530 | |
3.65%, 01/20/2027, Series 2022-A, Class A4 | | | 5,487 | | | | 5,481 | |
| | | | | | | | |
Volkswagen Auto Loan Enhanced Trust 2020-1 | | | | | | | | |
0.98%, 11/20/2024, Series 2020-1, Class A3 | | | 2,734 | | | | 2,700 | |
VOLT XCII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL1, Class A1(1)(2) | | | 7,094 | | | | 6,734 | |
VOLT XCIII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL2, Class A1(1)(2) | | | 13,373 | | | | 12,669 | |
VOLT XCIV LLC | | | | | | | | |
2.24%, 02/27/2051, Series 2021-NPL3, Class A1(1)(2) | | | 12,880 | | | | 12,234 | |
VOLT XCIX LLC | | | | | | | | |
2.12%, 04/25/2051, Series 2021-NPL8, Class A1(1)(2) | | | 4,662 | | | | 4,401 | |
VOLT XCVI LLC | | | | | | | | |
2.12%, 03/27/2051, Series 2021-NPL5, Class A1(1)(2) | | | 12,402 | | | | 11,837 | |
VOLT XCVII LLC | | | | | | | | |
2.24%, 04/25/2051, Series 2021-NPL6, Class A1(1)(2) | | | 11,146 | | | | 10,597 | |
Voya CLO 2015-1 Ltd. | | | | | | | | |
1.94% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029, Series 2015-1A, Class A1R(1)(3) | | | 4,415 | | | | 4,352 | |
Voya CLO 2019-3 Ltd. | | | | | | | | |
2.12% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 10/17/2032, Series 2019-3A, Class AR(1)(3) | | | 20,000 | | | | 19,447 | |
VSE 2018-A Voi Mortgage LLC | | | | | | | | |
3.56%, 02/20/2036, Series 2018-A, Class A(1) | | | 911 | | | | 896 | |
Westgate Resorts 2020-1 LLC | | | | | | | | |
3.96%, 03/20/2034, Series 2020-1A, Class B(1) | | | 2,859 | | | | 2,826 | |
Westlake Automobile Receivables Trust 2020-3 | | | | | | | | |
0.56%, 05/15/2024, Series 2020-3A, Class A2(1) | | | 1,668 | | | | 1,663 | |
1.65%, 02/17/2026, Series 2020-3A, Class D(1) | | | 1,875 | | | | 1,803 | |
Westlake Automobile Receivables Trust 2022-2 | | | | | | | | |
3.36%, 08/15/2025, Series 2022-2A, Class A2A(1) | | | 7,038 | | | | 7,008 | |
5.48%, 09/15/2027, Series 2022-2A, Class D(1) | | | 3,500 | | | | 3,490 | |
World Omni Auto Receivables Trust 2018-D | | | | | | | | |
3.33%, 04/15/2024, Series 2018-D, Class A3 | | | 1,236 | | | | 1,238 | |
World Omni Auto Receivables Trust 2019-B | | | | | | | | |
2.59%, 07/15/2024, Series 2019-B, Class A3 | | | 799 | | | | 800 | |
World Omni Auto Receivables Trust 2019-C | | | | | | | | |
1.96%, 12/16/2024, Series 2019-C, Class A3 | | | 2,178 | | | | 2,170 | |
World Omni Auto Receivables Trust 2020-C | | | | | | | | |
0.48%, 11/17/2025, Series 2020-C, Class A3 | | | 2,064 | | | | 2,025 | |
0.61%, 10/15/2026, Series 2020-C, Class A4 | | | 3,043 | | | | 2,859 | |
World Omni Select Auto Trust 2020-A | | | | | | | | |
0.55%, 07/15/2025, Series 2020-A, Class A3 | | | 2,195 | | | | 2,177 | |
World Omni Select Auto Trust 2021-A | | | | | | | | |
0.29%, 02/18/2025, Series 2021-A, Class A2 | | | 2,429 | | | | 2,412 | |
1.09%, 11/15/2027, Series 2021-A, Class C | | | 2,350 | | | | 2,170 | |
Zais CLO 7 Ltd. | | | | | | | | |
2.33% (3 Month LIBOR USD + 1.29%), 04/15/2030, Series 2017-2A, Class A(1)(3) | | | 9,382 | | | | 9,289 | |
Zais CLO 8 Ltd. | | | | | | | | |
1.99% (3 Month LIBOR USD + 0.95%), 04/15/2029, Series 2018-1A, Class A(1)(3) | | | 23,066 | | | | 22,872 | |
| | | | | | | | |
Total Asset-Backed Obligations (Cost: $2,005,648) | | | | | | | 1,920,279 | |
| | | | | | | | |
Corporate Bonds – 28.45% | | | | |
Basic Materials – 0.81% | | | | |
Air Liquide Finance SA | | | | | | | | |
2.25%, 09/27/2023(1) | | | 550 | | | | 543 | |
Albemarle Corp. | | | | | | | | |
5.45%, 12/01/2044 | | | 600 | | | | 587 | |
Anglo American Capital Plc | | | | | | | | |
2.88%, 03/17/2031(1) | | | 9,591 | | | | 7,980 | |
3.63%, 09/11/2024(1) | | | 630 | | | | 618 | |
4.75%, 04/10/2027(1) | | | 5,500 | | | | 5,434 | |
5.63%, 04/01/2030(1) | | | 4,300 | | | | 4,330 | |
ArcelorMittal SA | | | | | | | | |
6.75%, 03/01/2041 | | | 3,462 | | | | 3,425 | |
Barrick Gold Corp. | | | | | | | | |
6.45%, 10/15/2035 | | | 203 | | | | 225 | |
Barrick North America Finance LLC | | | | | | | | |
5.75%, 05/01/2043 | | | 4,480 | | | | 4,663 | |
Celulosa Arauco y Constitucion SA | | | | | | | | |
4.50%, 08/01/2024 | | | 779 | | | | 773 | |
CF Industries, Inc. | | | | | | | | |
4.95%, 06/01/2043 | | | 1,800 | | | | 1,634 | |
5.38%, 03/15/2044 | | | 2,040 | | | | 1,902 | |
Chevron Phillips Chemical Co. LLC | | | | | | | | |
5.13%, 04/01/2025(1) | | | 1,705 | | | | 1,757 | |
Dow Chemical Co. | | | | | | | | |
4.55%, 11/30/2025 | | | 437 | | | | 446 | |
5.55%, 11/30/2048 | | | 3,005 | | | | 3,033 | |
DuPont de Nemours, Inc. | | | | | | | | |
5.32%, 11/15/2038 | | | 5,665 | | | | 5,608 | |
5.42%, 11/15/2048 | | | 1,200 | | | | 1,192 | |
Freeport Indonesia PT | | | | | | | | |
4.76%, 04/14/2027(1) | | | 2,121 | | | | 2,030 | |
5.32%, 04/14/2032(1) | | | 2,965 | | | | 2,688 | |
6.20%, 04/14/2052(1) | | | 814 | | | | 708 | |
Glencore Finance Canada Ltd. | | | | | | | | |
4.25%, 10/25/2022(1) | | | 5,000 | | | | 4,996 | |
Glencore Funding LLC | | | | | | | | |
2.50%, 09/01/2030(1) | | | 5,040 | | | | 4,106 | |
2.63%, 09/23/2031(1) | | | 4,000 | | | | 3,223 | |
| | | | | | | | |
3.88%, 10/27/2027(1) | | | 875 | | | | 827 | |
3.88%, 04/27/2051(1) | | | 1,000 | | | | 749 | |
4.00%, 03/27/2027(1) | | | 6,300 | | | | 6,058 | |
4.13%, 05/30/2023(1) | | | 1,055 | | | | 1,051 | |
4.63%, 04/29/2024(1) | | | 1,500 | | | | 1,500 | |
Indonesia Asahan Aluminium Persero PT | | | | | | | | |
4.75%, 05/15/2025(1) | | | 5,657 | | | | 5,620 | |
6.76%, 11/15/2048(1) | | | 532 | | | | 480 | |
International Flavors & Fragrances, Inc. | | | | | | | | |
1.83%, 10/15/2027(1) | | | 2,105 | | | | 1,813 | |
3.27%, 11/15/2040(1) | | | 1,205 | | | | 920 | |
3.47%, 12/01/2050(1) | | | 878 | | | | 640 | |
International Paper Co. | | | | | | | | |
8.70%, 06/15/2038 | | | 350 | | | | 452 | |
LYB International Finance BV | | | | | | | | |
4.88%, 03/15/2044 | | | 300 | | | | 270 | |
5.25%, 07/15/2043 | | | 610 | | | | 570 | |
LYB International Finance III LLC | | | | | | | | |
1.25%, 10/01/2025 | | | 692 | | | | 626 | |
4.20%, 05/01/2050 | | | 2,245 | | | | 1,824 | |
LyondellBasell Industries NV | | | | | | | | |
5.75%, 04/15/2024 | | | 1,453 | | | | 1,486 | |
Mosaic Co. | | | | | | | | |
4.25%, 11/15/2023 | | | 8,533 | | | | 8,592 | |
5.63%, 11/15/2043 | | | 2,055 | | | | 2,122 | |
Nucor Corp. | | | | | | | | |
2.98%, 12/15/2055 | | | 800 | | | | 541 | |
Nutrien Ltd. | | | | | | | | |
3.15%, 10/01/2022 | | | 875 | | | | 876 | |
4.13%, 03/15/2035 | | | 1,960 | | | | 1,809 | |
4.20%, 04/01/2029 | | | 420 | | | | 408 | |
5.25%, 01/15/2045 | | | 1,444 | | | | 1,435 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
2.15%, 08/15/2030 | | | 3,100 | | | | 2,512 | |
Rio Tinto Alcan, Inc. | | | | | | | | |
5.75%, 06/01/2035 | | | 54 | | | | 59 | |
Samarco Mineracao SA | | | | | | | | |
5.75%, 10/24/2023(1)(8) | | | 537 | | | | 329 | |
Sasol Financing USA LLC | | | | | | | | |
5.88%, 03/27/2024 | | | 3,249 | | | | 3,177 | |
6.50%, 09/27/2028 | | | 1,555 | | | | 1,408 | |
Solvay Finance America LLC | | | | | | | | |
4.45%, 12/03/2025(1) | | | 11,810 | | | | 11,761 | |
Steel Dynamics, Inc. | | | | | | | | |
1.65%, 10/15/2027 | | | 1,637 | | | | 1,405 | |
Teck Resources Ltd. | | | | | | | | |
3.90%, 07/15/2030 | | | 1,200 | | | | 1,104 | |
Union Carbide Corp. | | | | | | | | |
7.75%, 10/01/2096 | | | 681 | | | | 811 | |
Vale Overseas Ltd. | | | | | | | | |
3.75%, 07/08/2030 | | | 2,255 | | | | 1,977 | |
6.88%, 11/21/2036 | | | 5,167 | | | | 5,547 | |
6.88%, 11/10/2039 | | | 2,107 | | | | 2,241 | |
8.25%, 01/17/2034 | | | 984 | | | | 1,154 | |
Westlake Corp. | | | | | | | | |
3.38%, 08/15/2061 | | | 2,595 | | | | 1,747 | |
| | | | | | | | |
Total Basic Materials | | | | 137,802 | |
| | | | | | | | |
Communications – 2.13% | | | | |
Amazon.com, Inc. | | | | | | | | |
3.88%, 08/22/2037 | | | 1,700 | | | | 1,611 | |
3.95%, 04/13/2052 | | | 6,982 | | | | 6,451 | |
America Movil SAB de CV | | | | | | | | |
3.63%, 04/22/2029 | | | 11,164 | | | | 10,569 | |
4.38%, 04/22/2049 | | | 1,214 | | | | 1,126 | |
AT&T, Inc. | | | | | | | | |
1.65%, 02/01/2028 | | | 525 | | | | 454 | |
2.25%, 02/01/2032 | | | 3,510 | | | | 2,868 | |
2.30%, 06/01/2027 | | | 4,900 | | | | 4,473 | |
2.55%, 12/01/2033 | | | 15,334 | | | | 12,439 | |
3.50%, 06/01/2041 | | | 1,353 | | | | 1,080 | |
3.50%, 09/15/2053 | | | 17,761 | | | | 13,463 | |
3.55%, 09/15/2055 | | | 10,545 | | | | 7,901 | |
3.65%, 06/01/2051 | | | 1,565 | | | | 1,224 | |
3.65%, 09/15/2059 | | | 1,685 | | | | 1,262 | |
3.80%, 12/01/2057 | | | 987 | | | | 762 | |
4.50%, 05/15/2035 | | | 6,790 | | | | 6,452 | |
4.65%, 06/01/2044 | | | 2,145 | | | | 1,947 | |
6.00%, 08/15/2040 | | | 2,275 | | | | 2,431 | |
Booking Holdings, Inc. | | | | | | | | |
2.75%, 03/15/2023 | | | 857 | | | | 855 | |
British Telecommunications Plc | | | | | | | | |
9.63%, 12/15/2030 | | | 5,000 | | | | 6,222 | |
Charter Communications Operating LLC | | | | | | | | |
2.30%, 02/01/2032 | | | 4,000 | | | | 3,027 | |
3.50%, 06/01/2041 | | | 7,240 | | | | 5,067 | |
3.50%, 03/01/2042 | | | 14,545 | | | | 10,093 | |
3.70%, 04/01/2051 | | | 4,320 | | | | 2,923 | |
| | | | | | | | |
3.90%, 06/01/2052 | | | 2,310 | | | | 1,604 | |
4.91%, 07/23/2025 | | | 10,000 | | | | 10,023 | |
5.05%, 03/30/2029 | | | 8,484 | | | | 8,166 | |
5.38%, 04/01/2038 | | | 835 | | | | 742 | |
5.38%, 05/01/2047 | | | 4,610 | | | | 3,925 | |
5.75%, 04/01/2048 | | | 1,603 | | | | 1,437 | |
6.38%, 10/23/2035 | | | 5,867 | | | | 5,901 | |
6.48%, 10/23/2045 | | | 1,275 | | | | 1,240 | |
6.83%, 10/23/2055 | | | 690 | | | | 693 | |
Comcast Corp. | | | | | | | | |
2.89%, 11/01/2051 | | | 8,955 | | | | 6,397 | |
2.94%, 11/01/2056 | | | 716 | | | | 498 | |
2.99%, 11/01/2063 | | | 3,108 | | | | 2,120 | |
3.15%, 02/15/2028 | | | 1,500 | | | | 1,430 | |
3.25%, 11/01/2039 | | | 3,295 | | | | 2,708 | |
3.55%, 05/01/2028 | | | 886 | | | | 859 | |
3.75%, 04/01/2040 | | | 2,195 | | | | 1,924 | |
3.90%, 03/01/2038 | | | 455 | | | | 412 | |
3.97%, 11/01/2047 | | | 154 | | | | 133 | |
4.00%, 11/01/2049 | | | 638 | | | | 556 | |
4.05%, 11/01/2052 | | | 156 | | | | 136 | |
4.20%, 08/15/2034 | | | 555 | | | | 534 | |
4.25%, 01/15/2033 | | | 3,107 | | | | 3,053 | |
Corning, Inc. | | | | | | | | |
5.35%, 11/15/2048 | | | 960 | | | | 967 | |
Cox Communications, Inc. | | | | | | | | |
2.60%, 06/15/2031(1) | | | 15,920 | | | | 13,314 | |
2.95%, 10/01/2050(1) | | | 1,275 | | | | 844 | |
3.35%, 09/15/2026(1) | | | 369 | | | | 353 | |
3.50%, 08/15/2027(1) | | | 8,245 | | | | 7,823 | |
3.60%, 06/15/2051(1) | | | 1,250 | | | | 940 | |
3.85%, 02/01/2025(1) | | | 1,250 | | | | 1,235 | |
4.80%, 02/01/2035(1) | | | 6,000 | | | | 5,693 | |
Crown Castle Towers LLC | | | | | | | | |
3.66%, 05/15/2025(1) | | | 955 | | | | 934 | |
Deutsche Telekom International Finance BV | | | | | | | | |
4.88%, 03/06/2042(1) | | | 240 | | | | 228 | |
8.75%, 06/15/2030 | | | 49 | | | | 60 | |
Discovery Communications LLC | | | | | | | | |
3.63%, 05/15/2030 | | | 2,500 | | | | 2,223 | |
5.20%, 09/20/2047 | | | 1,375 | | | | 1,179 | |
eBay, Inc. | | | | | | | | |
2.60%, 05/10/2031 | | | 8,000 | | | | 6,650 | |
Grupo Televisa SAB | | | | | | | | |
6.13%, 01/31/2046 | | | 382 | | | | 421 | |
Level 3 Financing, Inc. | | | | | | | | |
3.40%, 03/01/2027(1) | | | 7,000 | | | | 6,029 | |
NBCUniversal Media LLC | | | | | | | | |
4.45%, 01/15/2043 | | | 10 | | | | 9 | |
NBN Co. Ltd. | | | | | | | | |
2.63%, 05/05/2031(1) | | | 15,025 | | | | 12,814 | |
Netflix, Inc. | | | | | | | | |
3.63%, 06/15/2025(1) | | | 894 | | | | 852 | |
4.88%, 04/15/2028 | | | 7,512 | | | | 7,069 | |
Paramount Global | | | | | | | | |
2.90%, 01/15/2027 | | | 450 | | | | 414 | |
3.70%, 06/01/2028 | | | 870 | | | | 807 | |
4.00%, 01/15/2026 | | | 1,000 | | | | 976 | |
4.90%, 08/15/2044 | | | 315 | | | | 255 | |
5.85%, 09/01/2043 | | | 1,645 | | | | 1,537 | |
Prosus NV | | | | | | | | |
3.06%, 07/13/2031(1) | | | 477 | | | | 351 | |
Rogers Communications, Inc. | | | | | | | | |
3.80%, 03/15/2032(1) | | | 4,650 | | | | 4,252 | |
4.55%, 03/15/2052(1) | | | 1,995 | | | | 1,752 | |
Sky Ltd. | | | | | | | | |
3.75%, 09/16/2024(1) | | | 287 | | | | 286 | |
TCI Communications, Inc. | | | | | | | | |
7.13%, 02/15/2028 | | | 138 | | | | 156 | |
Telecom Italia Capital SA | | | | | | | | |
7.20%, 07/18/2036 | | | 1,644 | | | | 1,248 | |
Telefonica Emisiones SA | | | | | | | | |
4.10%, 03/08/2027 | | | 4,775 | | | | 4,675 | |
4.67%, 03/06/2038 | | | 1,175 | | | | 1,037 | |
4.90%, 03/06/2048 | | | 4,575 | | | | 3,901 | |
Time Warner Cable LLC | | | | | | | | |
5.50%, 09/01/2041 | | | 6,815 | | | | 5,949 | |
5.88%, 11/15/2040 | | | 1,275 | | | | 1,168 | |
6.55%, 05/01/2037 | | | 375 | | | | 376 | |
6.75%, 06/15/2039 | | | 539 | | | | 536 | |
7.30%, 07/01/2038 | | | 1,418 | | | | 1,481 | |
Time Warner Entertainment Co. LP | | | | | | | | |
8.38%, 07/15/2033 | | | 529 | | | | 612 | |
T-Mobile USA, Inc. | | | | | | | | |
3.00%, 02/15/2041 | | | 2,300 | | | | 1,715 | |
3.60%, 11/15/2060(1) | | | 3,920 | | | | 2,857 | |
3.88%, 04/15/2030 | | | 44,285 | | | | 41,329 | |
| | | | | | | | |
Verizon Communications, Inc. | | | | | | | | |
1.68%, 10/30/2030 | | | 765 | | | | 617 | |
2.10%, 03/22/2028 | | | 1,815 | | | | 1,612 | |
2.36%, 03/15/2032 | | | 1,056 | | | | 876 | |
2.55%, 03/21/2031 | | | 13,778 | | | | 11,780 | |
2.65%, 11/20/2040 | | | 2,329 | | | | 1,709 | |
3.15%, 03/22/2030 | | | 5,000 | | | | 4,546 | |
3.40%, 03/22/2041 | | | 1,500 | | | | 1,221 | |
3.70%, 03/22/2061 | | | 3,000 | | | | 2,356 | |
4.02%, 12/03/2029 | | | 712 | | | | 690 | |
4.13%, 03/16/2027 | | | 2,800 | | | | 2,793 | |
4.27%, 01/15/2036 | | | 7,380 | | | | 6,948 | |
4.40%, 11/01/2034 | | | 2,500 | | | | 2,396 | |
4.81%, 03/15/2039 | | | 7,941 | | | | 7,794 | |
Vodafone Group Plc | | | | | | | | |
5.00%, 05/30/2038 | | | 3,300 | | | | 3,162 | |
5.25%, 05/30/2048 | | | 3,594 | | | | 3,419 | |
6.15%, 02/27/2037 | | | 4,600 | | | | 4,964 | |
Walt Disney Co. | | | | | | | | |
3.70%, 10/15/2025 | | | 380 | | | | 380 | |
6.20%, 12/15/2034 | | | 150 | | | | 171 | |
7.63%, 11/30/2028 | | | 310 | | | | 365 | |
8.88%, 04/26/2023 | | | 108 | | | | 114 | |
9.50%, 07/15/2024 | | | 175 | | | | 194 | |
| | | | | | | | |
Total Communications | | | | 364,605 | |
| | | | | | | | |
Consumer, Cyclical – 1.73% | | | | |
7-Eleven, Inc. | | | | | | | | |
0.95%, 02/10/2026(1) | | | 3,971 | | | | 3,504 | |
1.30%, 02/10/2028(1) | | | 1,274 | | | | 1,059 | |
2.50%, 02/10/2041(1) | | | 1,298 | | | | 879 | |
Air Canada 2013-1 Class A Pass-Through Trust | | | | | | | | |
4.13%, 05/15/2025(1) | | | 1,352 | | | | 1,260 | |
Air Canada 2015-1 Class A Pass-Through Trust | | | | | | | | |
3.60%, 03/15/2027(1) | | | 625 | | | | 592 | |
Air Canada 2015-2 Class AA Pass-Through Trust | | | | | | | | |
3.75%, 12/15/2027(1) | | | 1,013 | | | | 955 | |
Air Canada 2017-1 Class A Pass-Through Trust | | | | | | | | |
3.55%, 01/15/2030(1) | | | 2,424 | | | | 2,135 | |
Air Canada 2017-1 Class AA Pass-Through Trust | | | | | | | | |
3.30%, 01/15/2030(1) | | | 4,692 | | | | 4,264 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
3.44%, 05/13/2041(1) | | | 2,460 | | | | 1,840 | |
3.63%, 05/13/2051(1) | | | 3,500 | | | | 2,535 | |
3.80%, 01/25/2050(1) | | | 2,100 | | | | 1,585 | |
American Airlines 2014-1 Class A Pass-Through Trust | | | | | | | | |
3.70%, 10/01/2026 | | | 300 | | | | 260 | |
American Airlines 2015-1 Class A Pass-Through Trust | | | | | | | | |
3.38%, 05/01/2027 | | | 2,757 | | | | 2,470 | |
American Airlines 2015-2 Class AA Pass-Through Trust | | | | | | | | |
3.60%, 09/22/2027 | | | 508 | | | | 471 | |
American Airlines 2016-2 Class A Pass-Through Trust | | | | | | | | |
3.65%, 06/15/2028 | | | 890 | | | | 736 | |
American Airlines 2016-2 Class AA Pass-Through Trust | | | | | | | | |
3.20%, 06/15/2028 | | | 1,128 | | | | 1,031 | |
American Airlines 2016-3 Class AA Pass-Through Trust | | | | | | | | |
3.00%, 10/15/2028 | | | 2,082 | | | | 1,887 | |
American Airlines 2017-1 Class AA Pass-Through Trust | | | | | | | | |
3.65%, 02/15/2029 | | | 1,763 | | | | 1,643 | |
American Airlines 2021-1 Class A Pass-Through Trust | | | | | | | | |
2.88%, 07/11/2034 | | | 7,840 | | | | 6,674 | |
American Honda Finance Corp. | | | | | | | | |
2.30%, 09/09/2026 | | | 185 | | | | 173 | |
AutoZone, Inc. | | | | | | | | |
1.65%, 01/15/2031 | | | 3,800 | | | | 2,980 | |
British Airways 2018-1 Class A Pass-Through Trust | | | | | | | | |
4.13%, 09/20/2031(1) | | | 2,070 | | | | 1,874 | |
British Airways 2018-1 Class AA Pass-Through Trust | | | | | | | | |
3.80%, 09/20/2031(1) | | | 976 | | | | 922 | |
British Airways 2019-1 Class AA Pass-Through Trust | | | | | | | | |
3.30%, 12/15/2032(1) | | | 1,434 | | | | 1,277 | |
CK Hutchison International 21 Ltd. | | | | | | | | |
3.13%, 04/15/2041(1) | | | 2,725 | | | | 2,208 | |
Continental Airlines 2012-2 Class A Pass-Through Trust | | | | | | | | |
4.00%, 10/29/2024 | | | 3,830 | | | | 3,679 | |
Daimler Finance North America LLC | | | | | | | | |
3.35%, 02/22/2023(1) | | | 1,000 | | | | 1,001 | |
Daimler Trucks Finance North America LLC | | | | | | | | |
2.38%, 12/14/2028(1) | | | 8,747 | | | | 7,530 | |
Delta Air Lines 2015-1 Class B Pass-Through Trust | | | | | | | | |
4.25%, 07/30/2023 | | | 1,600 | | | | 1,563 | |
Dollar Tree, Inc. | | | | | | | | |
2.65%, 12/01/2031 | | | 15,340 | | | | 12,640 | |
4.20%, 05/15/2028 | | | 595 | | | | 578 | |
Ford Motor Co. | | | | | | | | |
5.29%, 12/08/2046 | | | 280 | | | | 215 | |
Ford Motor Credit Co. LLC | | | | | | | | |
3.35%, 11/01/2022 | | | 620 | | | | 615 | |
4.25%, 09/20/2022 | | | 3,800 | | | | 3,792 | |
| | | | | | | | |
General Motors Co. | | | | | | | | |
5.00%, 04/01/2035 | | | 4,591 | | | | 4,091 | |
5.20%, 04/01/2045 | | | 2,750 | | | | 2,310 | |
6.13%, 10/01/2025 | | | 15,205 | | | | 15,718 | |
6.25%, 10/02/2043 | | | 3,100 | | | | 2,953 | |
6.60%, 04/01/2036 | | | 685 | | | | 694 | |
General Motors Financial Co., Inc. | | | | | | | | |
1.20%, 10/15/2024 | | | 1,910 | | | | 1,776 | |
1.25%, 01/08/2026 | | | 4,283 | | | | 3,772 | |
2.35%, 01/08/2031 | | | 1,707 | | | | 1,323 | |
2.40%, 10/15/2028 | | | 9,864 | | | | 8,192 | |
2.70%, 06/10/2031 | | | 2,395 | | | | 1,887 | |
3.60%, 06/21/2030 | | | 3,374 | | | | 2,915 | |
3.70%, 05/09/2023 | | | 4,180 | | | | 4,179 | |
3.80%, 04/07/2025 | | | 8,578 | | | | 8,363 | |
3.95%, 04/13/2024 | | | 5,535 | | | | 5,493 | |
4.30%, 07/13/2025 | | | 1,765 | | | | 1,736 | |
4.35%, 01/17/2027 | | | 1,035 | | | | 993 | |
5.00%, 04/09/2027 | | | 3,092 | | | | 3,033 | |
Home Depot, Inc. | | | | | | | | |
4.40%, 03/15/2045 | | | 268 | | | | 256 | |
Hyundai Capital America | | | | | | | | |
1.15%, 11/10/2022(1) | | | 5,552 | | | | 5,512 | |
1.30%, 01/08/2026(1) | | | 1,005 | | | | 892 | |
1.50%, 06/15/2026(1) | | | 2,215 | | | | 1,960 | |
1.80%, 10/15/2025(1) | | | 1,190 | | | | 1,088 | |
1.80%, 01/10/2028(1) | | | 2,170 | | | | 1,831 | |
2.38%, 10/15/2027(1) | | | 1,200 | | | | 1,056 | |
3.00%, 02/10/2027(1) | | | 675 | | | | 621 | |
3.40%, 06/20/2024(1) | | | 1,500 | | | | 1,471 | |
JetBlue 2020-1 Class B Pass-Through Trust | | | | | | | | |
7.75%, 11/15/2028 | | | 1,586 | | | | 1,623 | |
Kia Corp. | | | | | | | | |
1.75%, 10/16/2026(1) | | | 1,620 | | | | 1,464 | |
Lear Corp. | | | | | | | | |
2.60%, 01/15/2032 | | | 1,225 | | | | 956 | |
Lennar Corp. | | | | | | | | |
4.50%, 04/30/2024 | | | 880 | | | | 878 | |
Lowe’s Companies, Inc. | | | | | | | | |
1.70%, 10/15/2030 | | | 2,300 | | | | 1,844 | |
2.63%, 04/01/2031 | | | 2,845 | | | | 2,435 | |
4.25%, 04/01/2052 | | | 3,441 | | | | 2,980 | |
Magallanes, Inc. | | | | | | | | |
4.05%, 03/15/2029(1) | | | 1,650 | | | | 1,511 | |
5.05%, 03/15/2042(1) | | | 6,759 | | | | 5,750 | |
5.14%, 03/15/2052(1) | | | 5,244 | | | | 4,402 | |
5.39%, 03/15/2062(1) | | | 4,268 | | | | 3,570 | |
McDonald’s Corp. | | | | | | | | |
4.45%, 03/01/2047 | | | 360 | | | | 334 | |
4.70%, 12/09/2035 | | | 216 | | | | 215 | |
6.30%, 10/15/2037 | | | 394 | | | | 452 | |
MDC Holdings, Inc. | | | | | | | | |
2.50%, 01/15/2031 | | | 1,595 | | | | 1,177 | |
Nissan Motor Co. Ltd. | | | | | | | | |
4.35%, 09/17/2027(1) | | | 4,222 | | | | 3,875 | |
4.81%, 09/17/2030(1) | | | 2,686 | | | | 2,386 | |
Nordstrom, Inc. | | | | | | | | |
4.00%, 03/15/2027 | | | 2,511 | | | | 2,210 | |
4.25%, 08/01/2031 | | | 2,871 | | | | 2,176 | |
O’Reilly Automotive, Inc. | | | | | | | | |
3.55%, 03/15/2026 | | | 500 | | | | 496 | |
3.60%, 09/01/2027 | | | 802 | | | | 774 | |
4.70%, 06/15/2032 | | | 3,150 | | | | 3,137 | |
Ross Stores, Inc. | | | | | | | | |
1.88%, 04/15/2031 | | | 11,995 | | | | 9,482 | |
Spirit Airlines Pass-Through Trust 2017-1AA | | | | | | | | |
3.38%, 02/15/2030 | | | 767 | | | | 698 | |
Starbucks Corp. | | | | | | | | |
4.45%, 08/15/2049 | | | 1,664 | | | | 1,492 | |
Stellantis Finance U.S., Inc. | | | | | | | | |
2.69%, 09/15/2031(1) | | | 2,008 | | | | 1,590 | |
Toll Brothers Finance Corp. | | | | | | | | |
4.35%, 02/15/2028 | | | 17,435 | | | | 15,755 | |
Toyota Motor Credit Corp. | | | | | | | | |
4.45%, 06/29/2029 | | | 4,600 | | | | 4,656 | |
United Airlines 2012-1 Class A Pass-Through Trust | | | | | | | | |
4.15%, 04/11/2024 | | | 919 | | | | 902 | |
United Airlines 2013-1 Class A Pass-Through Trust | | | | | | | | |
4.30%, 08/15/2025 | | | 2,799 | | | | 2,675 | |
United Airlines 2014-1 Class A Pass-Through Trust | | | | | | | | |
4.00%, 04/11/2026 | | | 691 | | | | 651 | |
United Airlines 2016-1 Class A Pass-Through Trust | | | | | | | | |
3.45%, 07/07/2028 | | | 1,354 | | | | 1,173 | |
United Airlines 2016-1 Class AA Pass-Through Trust | | | | | | | | |
3.10%, 07/07/2028 | | | 6,093 | | | | 5,563 | |
| | | | | | | | |
United Airlines 2016-1 Class B Pass-Through Trust | | | | | | | | |
3.65%, 01/07/2026 | | | 1,638 | | | | 1,491 | |
United Airlines 2016-2 Class A Pass-Through Trust | | | | | | | | |
3.10%, 10/07/2028 | | | 2,286 | | | | 1,953 | |
United Airlines 2016-2 Class AA Pass-Through Trust | | | | | | | | |
2.88%, 10/07/2028 | | | 1,372 | | | | 1,251 | |
United Airlines 2016-2 Class B Pass-Through Trust | | | | | | | | |
3.65%, 10/07/2025 | | | 1,967 | | | | 1,792 | |
United Airlines 2018-1 Class A Pass-Through Trust | | | | | | | | |
3.70%, 03/01/2030 | | | 3,223 | | | | 2,848 | |
United Airlines 2018-1 Class AA Pass-Through Trust | | | | | | | | |
3.50%, 03/01/2030 | | | 4,148 | | | | 3,787 | |
United Airlines 2018-1 Class B Pass-Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 1,080 | | | | 989 | |
United Airlines 2019-1 Class A Pass-Through Trust | | | | | | | | |
4.55%, 08/25/2031 | | | 1,834 | | | | 1,637 | |
United Airlines 2019-1 Class AA Pass-Through Trust | | | | | | | | |
4.15%, 08/25/2031 | | | 2,098 | | | | 1,971 | |
United Airlines 2019-2 Class AA Pass-Through Trust | | | | | | | | |
2.70%, 05/01/2032 | | | 2,643 | | | | 2,253 | |
Volkswagen Group of America Finance LLC | | | | | | | | |
1.63%, 11/24/2027(1) | | | 1,670 | | | | 1,427 | |
4.35%, 06/08/2027(1) | | | 24,670 | | | | 24,183 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 295,806 | |
| | | | | | | | |
Consumer, Non-cyclical – 3.72% | | | | |
Abbott Laboratories | | | | | | | | |
4.75%, 11/30/2036 | | | 5,000 | | | | 5,297 | |
AbbVie, Inc. | | | | | | | | |
2.60%, 11/21/2024 | | | 5,387 | | | | 5,214 | |
2.80%, 03/15/2023 | | | 971 | | | | 968 | |
3.60%, 05/14/2025 | | | 12,060 | | | | 11,864 | |
3.80%, 03/15/2025 | | | 3,000 | | | | 2,976 | |
3.85%, 06/15/2024 | | | 1,198 | | | | 1,197 | |
4.05%, 11/21/2039 | | | 4,531 | | | | 4,040 | |
4.25%, 11/21/2049 | | | 11,691 | | | | 10,378 | |
4.40%, 11/06/2042 | | | 1,700 | | | | 1,545 | |
4.45%, 05/14/2046 | | | 425 | | | | 386 | |
4.55%, 03/15/2035 | | | 6,025 | | | | 5,861 | |
4.70%, 05/14/2045 | | | 4,415 | | | | 4,156 | |
Aetna, Inc. | | | | | | | | |
4.50%, 05/15/2042 | | | 4,205 | | | | 3,759 | |
4.75%, 03/15/2044 | | | 1,800 | | | | 1,651 | |
6.75%, 12/15/2037 | | | 341 | | | | 390 | |
Ahold Finance USA LLC | | | | | | | | |
6.88%, 05/01/2029 | | | 3,280 | | | | 3,659 | |
AHS Hospital Corp. | | | | | | | | |
2.78%, 07/01/2051 | | | 2,730 | | | | 1,939 | |
Altria Group, Inc. | | | | | | | | |
2.45%, 02/04/2032 | | | 3,845 | | | | 2,896 | |
3.40%, 02/04/2041 | | | 8,495 | | | | 5,623 | |
AmerisourceBergen Corp. | | | | | | | | |
4.30%, 12/15/2047 | | | 1,080 | | | | 972 | |
Amgen, Inc. | | | | | | | | |
1.65%, 08/15/2028 | | | 1,155 | | | | 990 | |
2.80%, 08/15/2041 | | | 15,620 | | | | 11,576 | |
3.00%, 01/15/2052 | | | 5,108 | | | | 3,622 | |
3.15%, 02/21/2040 | | | 4,747 | | | | 3,753 | |
4.20%, 02/22/2052 | | | 2,275 | | | | 1,996 | |
Anheuser-Busch InBev Finance, Inc. | | | | | | | | |
4.63%, 02/01/2044 | | | 455 | | | | 408 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
4.38%, 04/15/2038 | | | 2,240 | | | | 2,054 | |
4.44%, 10/06/2048 | | | 590 | | | | 517 | |
4.60%, 04/15/2048 | | | 5,390 | | | | 4,839 | |
4.60%, 06/01/2060 | | | 1,910 | | | | 1,670 | |
4.70%, 02/01/2036 | | | 15,292 | | | | 14,650 | |
4.75%, 01/23/2029 | | | 1,150 | | | | 1,170 | |
4.75%, 04/15/2058 | | | 93 | | | | 83 | |
4.90%, 02/01/2046 | | | 6,000 | | | | 5,639 | |
4.95%, 01/15/2042 | | | 2,735 | | | | 2,603 | |
5.45%, 01/23/2039 | | | 7,035 | | | | 7,152 | |
Ascension Health | | | | | | | | |
2.53%, 11/15/2029 | | | 1,740 | | | | 1,572 | |
3.11%, 11/15/2039 | | | 2,670 | | | | 2,199 | |
AstraZeneca Plc | | | | | | | | |
2.13%, 08/06/2050 | | | 1,040 | | | | 694 | |
4.00%, 09/18/2042 | | | 540 | | | | 497 | |
6.45%, 09/15/2037 | | | 500 | | | | 600 | |
Baptist Healthcare System Obligated Group | | | | | | | | |
3.54%, 08/15/2050 | | | 2,280 | | | | 1,814 | |
BAT Capital Corp. | | | | | | | | |
2.26%, 03/25/2028 | | | 2,000 | | | | 1,675 | |
2.73%, 03/25/2031 | | | 6,820 | | | | 5,401 | |
3.56%, 08/15/2027 | | | 3,615 | | | | 3,307 | |
3.73%, 09/25/2040 | | | 1,240 | | | | 869 | |
3.98%, 09/25/2050 | | | 2,500 | | | | 1,722 | |
4.39%, 08/15/2037 | | | 3,610 | | | | 2,864 | |
4.54%, 08/15/2047 | | | 635 | | | | 466 | |
| | | | | | | | |
BAT International Finance Plc | | | | | | | | |
1.67%, 03/25/2026 | | | 1,390 | | | | 1,230 | |
4.45%, 03/16/2028 | | | 2,426 | | | | 2,297 | |
Baxalta, Inc. | | | | | | | | |
5.25%, 06/23/2045 | | | 50 | | | | 50 | |
Becton Dickinson & Co. | | | | | | | | |
3.73%, 12/15/2024 | | | 515 | | | | 513 | |
Bimbo Bakeries USA, Inc. | | | | | | | | |
4.00%, 05/17/2051(1) | | | 3,755 | | | | 3,042 | |
Biogen, Inc. | | | | | | | | |
2.25%, 05/01/2030 | | | 1,364 | | | | 1,118 | |
Bon Secours Mercy Health, Inc. | | | | | | | | |
3.21%, 06/01/2050 | | | 1,730 | | | | 1,290 | |
Boston Scientific Corp. | | | | | | | | |
4.55%, 03/01/2039 | | | 356 | | | | 332 | |
Bristol-Myers Squibb Co. | | | | | | | | |
3.55%, 03/15/2042 | | | 4,307 | | | | 3,784 | |
3.70%, 03/15/2052 | | | 1,903 | | | | 1,644 | |
4.13%, 06/15/2039 | | | 1,512 | | | | 1,444 | |
4.35%, 11/15/2047 | | | 7,950 | | | | 7,576 | |
4.55%, 02/20/2048 | | | 1,374 | | | | 1,344 | |
4.63%, 05/15/2044 | | | 2,640 | | | | 2,602 | |
Bunge Ltd. Finance Corp. | | | | | | | | |
2.75%, 05/14/2031 | | | 3,900 | | | | 3,219 | |
Campbell Soup Co. | | | | | | | | |
2.38%, 04/24/2030 | | | 895 | | | | 755 | |
3.13%, 04/24/2050 | | | 494 | | | | 349 | |
Centene Corp. | | | | | | | | |
2.45%, 07/15/2028 | | | 9,312 | | | | 7,767 | |
Children’s Health System of Texas | | | | | | | | |
2.51%, 08/15/2050 | | | 2,270 | | | | 1,536 | |
Children’s Hospital | | | | | | | | |
2.93%, 07/15/2050 | | | 1,340 | | | | 952 | |
Children’s Hospital Corp. | | | | | | | | |
2.59%, 02/01/2050 | | | 1,290 | | | | 892 | |
Cigna Corp. | | | | | | | | |
3.25%, 04/15/2025 | | | 970 | | | | 951 | |
4.38%, 10/15/2028 | | | 30,325 | | | | 30,091 | |
4.50%, 02/25/2026 | | | 755 | | | | 763 | |
4.80%, 07/15/2046 | | | 218 | | | | 208 | |
Coca-Cola Femsa SAB de CV | | | | | | | | |
1.85%, 09/01/2032 | | | 1,500 | | | | 1,164 | |
2.75%, 01/22/2030 | | | 1,370 | | | | 1,224 | |
CommonSpirit Health | | | | | | | | |
1.55%, 10/01/2025 | | | 1,290 | | | | 1,190 | |
2.78%, 10/01/2030 | | | 5,925 | | | | 5,121 | |
3.91%, 10/01/2050 | | | 1,265 | | | | 1,015 | |
Conagra Brands, Inc. | | | | | | | | |
1.38%, 11/01/2027 | | | 1,755 | | | | 1,465 | |
7.00%, 10/01/2028 | | | 3,250 | | | | 3,510 | |
Constellation Brands, Inc. | | | | | | | | |
2.25%, 08/01/2031 | | | 2,970 | | | | 2,409 | |
2.88%, 05/01/2030 | | | 3,620 | | | | 3,149 | |
4.40%, 11/15/2025 | | | 760 | | | | 763 | |
4.65%, 11/15/2028 | | | 4,780 | | | | 4,748 | |
Cottage Health Obligated Group | | | | | | | | |
3.30%, 11/01/2049 | | | 1,530 | | | | 1,234 | |
CVS Health Corp. | | | | | | | | |
2.70%, 08/21/2040 | | | 2,500 | | | | 1,805 | |
4.30%, 03/25/2028 | | | 783 | | | | 775 | |
4.78%, 03/25/2038 | | | 11,721 | | | | 11,095 | |
4.88%, 07/20/2035 | | | 2,515 | | | | 2,489 | |
5.05%, 03/25/2048 | | | 5,000 | | | | 4,786 | |
5.13%, 07/20/2045 | | | 4,430 | | | | 4,267 | |
5.30%, 12/05/2043 | | | 3,260 | | | | 3,256 | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033(1) | | | 672 | | | | 703 | |
5.93%, 01/10/2034(1) | | | 508 | | | | 521 | |
7.51%, 01/10/2032(1) | | | 741 | | | | 808 | |
CVS Pass-Through Trust Series 2009 | | | | | | | | |
8.35%, 07/10/2031(1) | | | 748 | | | | 855 | |
CVS Pass-Through Trust Series 2013 | | | | | | | | |
4.70%, 01/10/2036(1) | | | 805 | | | | 772 | |
DENTSPLY SIRONA, Inc. | | | | | | | | |
3.25%, 06/01/2030 | | | 3,000 | | | | 2,532 | |
DH Europe Finance II Sarl | | | | | | | | |
3.25%, 11/15/2039 | | | 431 | | | | 358 | |
Element Fleet Management Corp. | | | | | | | | |
1.60%, 04/06/2024(1) | | | 1,405 | | | | 1,338 | |
3.85%, 06/15/2025(1) | | | 3,000 | | | | 2,947 | |
Elevance Health, Inc. | | | | | | | | |
3.60%, 03/15/2051 | | | 4,420 | | | | 3,587 | |
4.10%, 03/01/2028 | | | 920 | | | | 910 | |
4.38%, 12/01/2047 | | | 4,500 | | | | 4,142 | |
4.63%, 05/15/2042 | | | 400 | | | | 380 | |
4.65%, 01/15/2043 | | | 391 | | | | 372 | |
4.65%, 08/15/2044 | | | 395 | | | | 375 | |
5.10%, 01/15/2044 | | | 1,690 | | | | 1,689 | |
| | | | | | | | |
ERAC USA Finance LLC | | | | | | | | |
4.50%, 02/15/2045(1) | | | 300 | | | | 259 | |
5.63%, 03/15/2042(1) | | | 357 | | | | 358 | |
Experian Finance Plc | | | | | | | | |
2.75%, 03/08/2030(1) | | | 9,240 | | | | 8,140 | |
Fomento Economico Mexicano SAB de CV | | | | | | | | |
3.50%, 01/16/2050 | | | 2,290 | | | | 1,787 | |
4.38%, 05/10/2043 | | | 526 | | | | 469 | |
Ford Foundation | | | | | | | | |
2.82%, 06/01/2070 | | | 3,035 | | | | 2,087 | |
Fresenius Medical Care US Finance III, Inc. | | | | | | | | |
3.00%, 12/01/2031(1) | | | 8,000 | | | | 6,512 | |
General Mills, Inc. | | | | | | | | |
3.00%, 02/01/2051 | | | 3,007 | | | | 2,185 | |
Gilead Sciences, Inc. | | | | | | | | |
1.65%, 10/01/2030 | | | 1,700 | | | | 1,393 | |
2.60%, 10/01/2040 | | | 1,855 | | | | 1,356 | |
4.60%, 09/01/2035 | | | 4,225 | | | | 4,187 | |
Global Payments, Inc. | | | | | | | | |
3.20%, 08/15/2029 | | | 4,843 | | | | 4,232 | |
Grupo Bimbo SAB de CV | | | | | | | | |
3.88%, 06/27/2024(1) | | | 8,310 | | | | 8,210 | |
4.70%, 11/10/2047(1) | | | 4,500 | | | | 4,127 | |
GSK Consumer Healthcare Capital US LLC | | | | | | | | |
3.38%, 03/24/2027(1) | | | 14,900 | | | | 14,261 | |
3.38%, 03/24/2029(1) | | | 2,865 | | | | 2,680 | |
Hackensack Meridian Health, Inc. | | | | | | | | |
2.68%, 09/01/2041 | | | 3,780 | | | | 2,884 | |
2.88%, 09/01/2050 | | | 2,000 | | | | 1,448 | |
Hartford HealthCare Corp. | | | | | | | | |
3.45%, 07/01/2054 | | | 3,370 | | | | 2,718 | |
HCA, Inc. | | | | | | | | |
3.50%, 07/15/2051 | | | 116 | | | | 79 | |
3.63%, 03/15/2032(1) | | | 3,500 | | | | 2,953 | |
4.38%, 03/15/2042(1) | | | 1,015 | | | | 817 | |
4.50%, 02/15/2027 | | | 7,000 | | | | 6,730 | |
4.63%, 03/15/2052(1) | | | 1,141 | | | | 913 | |
5.13%, 06/15/2039 | | | 1,715 | | | | 1,501 | |
5.25%, 06/15/2026 | | | 4,200 | | | | 4,179 | |
5.50%, 06/15/2047 | | | 1,825 | | | | 1,628 | |
5.88%, 02/01/2029 | | | 4,000 | | | | 4,003 | |
JBS USA LUX SA | | | | | | | | |
3.00%, 05/15/2032(1) | | | 7,450 | | | | 5,721 | |
6.50%, 04/15/2029(1) | | | 916 | | | | 922 | |
Johnson & Johnson | | | | | | | | |
4.38%, 12/05/2033 | | | 1,070 | | | | 1,106 | |
Keurig Dr Pepper, Inc. | | | | | | | | |
3.43%, 06/15/2027 | | | 1,802 | | | | 1,721 | |
4.42%, 05/25/2025 | | | 107 | | | | 108 | |
4.42%, 12/15/2046 | | | 4,032 | | | | 3,579 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43%, 07/01/2031(1) | | | 7,500 | | | | 6,231 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.00%, 06/01/2026 | | | 3,353 | | | | 3,159 | |
4.38%, 06/01/2046 | | | 13,341 | | | | 11,118 | |
4.63%, 10/01/2039 | | | 2,357 | | | | 2,068 | |
4.88%, 10/01/2049 | | | 3,375 | | | | 2,981 | |
Kroger Co. | | | | | | | | |
4.45%, 02/01/2047 | | | 2,610 | | | | 2,357 | |
5.40%, 07/15/2040 | | | 95 | | | | 96 | |
Laboratory Corp. of America Holdings | | | | | | | | |
2.95%, 12/01/2029 | | | 2,190 | | | | 1,928 | |
Mars, Inc. | | | | | | | | |
3.95%, 04/01/2049(1) | | | 3,482 | | | | 3,102 | |
Massachusetts Institute of Technology | | | | | | | | |
3.89%, 07/01/2116 | | | 2,906 | | | | 2,425 | |
4.68%, 07/01/2114 | | | 1,645 | | | | 1,646 | |
McKesson Corp. | | | | | | | | |
0.90%, 12/03/2025 | | | 2,410 | | | | 2,177 | |
Mead Johnson Nutrition Co. | | | | | | | | |
4.13%, 11/15/2025 | | | 891 | | | | 900 | |
Memorial Health Services | | | | | | | | |
3.45%, 11/01/2049 | | | 3,040 | | | | 2,489 | |
Merck & Co., Inc. | | | | | | | | |
2.75%, 12/10/2051 | | | 1,415 | | | | 1,045 | |
MidMichigan Health | | | | | | | | |
3.41%, 06/01/2050 | | | 3,480 | | | | 2,779 | |
Moody’s Corp. | | | | | | | | |
2.55%, 08/18/2060 | | | 705 | | | | 439 | |
Mount Sinai Hospitals Group, Inc. | | | | | | | | |
3.98%, 07/01/2048 | | | 999 | | | | 881 | |
MultiCare Health System | | | | | | | | |
2.80%, 08/15/2050 | | | 3,003 | | | | 2,184 | |
Mylan, Inc. | | | | | | | | |
3.13%, 01/15/2023(1) | | | 5,000 | | | | 4,970 | |
4.55%, 04/15/2028 | | | 700 | | | | 667 | |
| | | | | | | | |
5.20%, 04/15/2048 | | | 7,550 | | | | 6,029 | |
5.40%, 11/29/2043 | | | 3,770 | | | | 3,170 | |
Nationwide Children’s Hospital, Inc. | | | | | | | | |
4.56%, 11/01/2052 | | | 646 | | | | 649 | |
NYU Langone Hospitals | | | | | | | | |
3.38%, 07/01/2055 | | | 1,270 | | | | 963 | |
Orlando Health Obligated Group | | | | | | | | |
4.09%, 10/01/2048 | | | 2,605 | | | | 2,386 | |
Pepperdine University | | | | | | | | |
3.30%, 12/01/2059 | | | 1,440 | | | | 1,067 | |
PerkinElmer, Inc. | | | | | | | | |
3.63%, 03/15/2051 | | | 3,400 | | | | 2,571 | |
Piedmont Healthcare, Inc. | | | | | | | | |
2.86%, 01/01/2052 | | | 2,195 | | | | 1,582 | |
President & Fellows of Harvard College | | | | | | | | |
2.52%, 10/15/2050 | | | 3,480 | | | | 2,549 | |
3.30%, 07/15/2056 | | | 4,420 | | | | 3,762 | |
Providence St Joseph Health Obligated Group | | | | | | | | |
2.75%, 10/01/2026 | | | 1,200 | | | | 1,153 | |
Quanta Services, Inc. | | | | | | | | |
2.35%, 01/15/2032 | | | 2,965 | | | | 2,296 | |
Quest Diagnostics, Inc. | | | | | | | | |
3.45%, 06/01/2026 | | | 223 | | | | 217 | |
3.50%, 03/30/2025 | | | 4,820 | | | | 4,745 | |
Regeneron Pharmaceuticals, Inc. | | | | | | | | |
1.75%, 09/15/2030 | | | 2,800 | | | | 2,245 | |
RELX Capital, Inc. | | | | | | | | |
4.75%, 05/20/2032 | | | 2,745 | | | | 2,788 | |
Reynolds American, Inc. | | | | | | | | |
4.45%, 06/12/2025 | | | 5,000 | | | | 4,970 | |
Roche Holdings, Inc. | | | | | | | | |
2.31%, 03/10/2027(1) | | | 16,417 | | | | 15,368 | |
2.61%, 12/13/2051(1) | | | 4,621 | | | | 3,355 | |
Royalty Pharma Plc | | | | | | | | |
0.75%, 09/02/2023 | | | 7,105 | | | | 6,842 | |
1.20%, 09/02/2025 | | | 874 | | | | 779 | |
2.15%, 09/02/2031 | | | 1,291 | | | | 1,007 | |
S&P Global, Inc. | | | | | | | | |
2.90%, 03/01/2032(1) | | | 2,118 | | | | 1,888 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
3.20%, 09/23/2026 | | | 3,626 | | | | 3,483 | |
Sysco Corp. | | | | | | | | |
5.95%, 04/01/2030 | | | 5,000 | | | | 5,331 | |
Takeda Pharmaceutical Co. Ltd. | | | | | | | | |
3.03%, 07/09/2040 | | | 3,675 | | | | 2,828 | |
3.18%, 07/09/2050 | | | 1,920 | | | | 1,437 | |
Texas Health Resources | | | | | | | | |
2.33%, 11/15/2050 | | | 970 | | | | 635 | |
4.33%, 11/15/2055 | | | 1,000 | | | | 970 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
2.60%, 10/01/2029 | | | 5,613 | | | | 5,087 | |
2.80%, 10/15/2041 | | | 1,040 | | | | 817 | |
Triton Container International Ltd. | | | | | | | | |
1.15%, 06/07/2024(1) | | | 2,755 | | | | 2,579 | |
Tyson Foods, Inc. | | | | | | | | |
4.88%, 08/15/2034 | | | 400 | | | | 402 | |
5.15%, 08/15/2044 | | | 588 | | | | 582 | |
UnitedHealth Group, Inc. | | | | | | | | |
3.10%, 03/15/2026 | | | 550 | | | | 538 | |
3.25%, 05/15/2051 | | | 1,395 | | | | 1,095 | |
3.50%, 08/15/2039 | | | 1,675 | | | | 1,460 | |
4.00%, 05/15/2029 | | | 9,294 | | | | 9,206 | |
4.63%, 07/15/2035 | | | 427 | | | | 433 | |
4.75%, 05/15/2052 | | | 6,256 | | | | 6,253 | |
Universal Health Services, Inc. | | | | | | | | |
2.65%, 10/15/2030(1) | | | 3,208 | | | | 2,566 | |
University of Chicago | | | | | | | | |
2.76%, 04/01/2045 | | | 1,575 | | | | 1,296 | |
University of Miami | | | | | | | | |
4.06%, 04/01/2052 | | | 1,280 | | | | 1,154 | |
University of Southern California | | | | | | | | |
3.23%, 10/01/2120 | | | 1,370 | | | | 916 | |
Utah Acquisition Sub, Inc. | | | | | | | | |
3.95%, 06/15/2026 | | | 532 | | | | 501 | |
5.25%, 06/15/2046 | | | 275 | | | | 222 | |
Verisk Analytics, Inc. | | | | | | | | |
4.00%, 06/15/2025 | | | 7,000 | | | | 6,944 | |
Viatris, Inc. | | | | | | | | |
2.30%, 06/22/2027 | | | 3,525 | | | | 3,045 | |
3.85%, 06/22/2040 | | | 4,820 | | | | 3,414 | |
4.00%, 06/22/2050 | | | 4,000 | | | | 2,678 | |
Viterra Finance BV | | | | | | | | |
3.20%, 04/21/2031(1) | | | 10,250 | | | | 8,295 | |
5.25%, 04/21/2032(1) | | | 5,295 | | | | 4,921 | |
Yale-New Haven Health Services Corp. | | | | | | | | |
2.50%, 07/01/2050 | | | 1,530 | | | | 1,054 | |
| | | | | | | | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
2.60%, 11/24/2031 | | | 3,081 | | | | 2,522 | |
Zoetis, Inc. | | | | | | | | |
2.00%, 05/15/2030 | | | 1,590 | | | | 1,331 | |
3.90%, 08/20/2028 | | | 4,685 | | | | 4,535 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 636,482 | |
| | | | | | | | |
Diversified – 0.02% | | | | |
CK Hutchison International 16 Ltd. | | | | | | | | |
2.75%, 10/03/2026(1) | | | 600 | | | | 576 | |
CK Hutchison International 17 II Ltd. | | | | | | | | |
2.75%, 03/29/2023(1) | | | 500 | | | | 498 | |
CK Hutchison International 19 Ltd. | | | | | | | | |
3.63%, 04/11/2029(1) | | | 1,615 | | | | 1,551 | |
Hutchison Whampoa International 12 II Ltd. | | | | | | | | |
3.25%, 11/08/2022(1) | | | 450 | | | | 451 | |
| | | | | | | | |
Total Diversified | | | | 3,076 | |
| | | | | | | | |
Energy – 2.98% | | | | |
Abu Dhabi Crude Oil Pipeline LLC | | | | | | | | |
4.60%, 11/02/2047(1) | | | 3,856 | | | | 3,647 | |
Aker BP ASA | | | | | | | | |
2.88%, 01/15/2026(1) | | | 2,326 | | | | 2,199 | |
Apache Corp. | | | | | | | | |
5.35%, 07/01/2049 | | | 1,600 | | | | 1,264 | |
Baker Hughes Holdings LLC | | | | | | | | |
5.13%, 09/15/2040 | | | 600 | | | | 588 | |
Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc. | | | | | | | | |
4.49%, 05/01/2030 | | | 1,365 | | | | 1,345 | |
Boardwalk Pipelines LP | | | | | | | | |
3.40%, 02/15/2031 | | | 1,145 | | | | 976 | |
3.60%, 09/01/2032 | | | 5,000 | | | | 4,230 | |
5.95%, 06/01/2026 | | | 3,000 | | | | 3,115 | |
BP Capital Markets America, Inc. | | | | | | | | |
2.94%, 06/04/2051 | | | 3,935 | | | | 2,814 | |
3.02%, 01/16/2027 | | | 1,052 | | | | 1,002 | |
3.79%, 02/06/2024 | | | 9,145 | | | | 9,182 | |
BP Capital Markets Plc | | | | | | | | |
3.28%, 09/19/2027 | | | 1,244 | | | | 1,191 | |
Buckeye Partners LP | | | | | | | | |
5.60%, 10/15/2044 | | | 2,000 | | | | 1,393 | |
5.85%, 11/15/2043 | | | 591 | | | | 420 | |
Canadian Natural Resources Ltd. | | | | | | | | |
6.25%, 03/15/2038 | | | 5,000 | | | | 5,287 | |
6.50%, 02/15/2037 | | | 118 | | | | 126 | |
Cenovus Energy, Inc. | | | | | | | | |
4.25%, 04/15/2027 | | | 3,567 | | | | 3,496 | |
5.25%, 06/15/2037 | | | 5,270 | | | | 5,139 | |
5.38%, 07/15/2025 | | | 15,574 | | | | 16,030 | |
5.40%, 06/15/2047 | | | 3,590 | | | | 3,448 | |
6.80%, 09/15/2037 | | | 2,100 | | | | 2,315 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
2.74%, 12/31/2039 | | | 2,025 | | | | 1,598 | |
5.13%, 06/30/2027 | | | 377 | | | | 378 | |
5.88%, 03/31/2025 | | | 5,900 | | | | 6,041 | |
Chevron USA, Inc. | | | | | | | | |
3.25%, 10/15/2029 | | | 1,155 | | | | 1,096 | |
Columbia Pipeline Group, Inc. | | | | | | | | |
5.80%, 06/01/2045 | | | 2,700 | | | | 2,772 | |
Continental Resources, Inc. | | | | | | | | |
2.27%, 11/15/2026(1) | | | 3,235 | | | | 2,869 | |
4.38%, 01/15/2028 | | | 4,894 | | | | 4,600 | |
4.50%, 04/15/2023 | | | 3,444 | | | | 3,456 | |
4.90%, 06/01/2044 | | | 4,024 | | | | 3,168 | |
Coterra Energy, Inc. | | | | | | | | |
3.90%, 05/15/2027(1) | | | 3,045 | | | | 2,920 | |
DCP Midstream Operating LP | | | | | | | | |
5.38%, 07/15/2025 | | | 4,225 | | | | 4,109 | |
5.60%, 04/01/2044 | | | 1,994 | | | | 1,611 | |
Devon Energy Corp. | | | | | | | | |
5.25%, 09/15/2024 | | | 1,010 | | | | 1,030 | |
Diamondback Energy, Inc. | | | | | | | | |
3.25%, 12/01/2026 | | | 10,490 | | | | 10,234 | |
4.25%, 03/15/2052 | | | 2,701 | | | | 2,240 | |
Eastern Gas Transmission & Storage, Inc. | | | | | | | | |
4.60%, 12/15/2044(1) | | | 1,300 | | | | 1,191 | |
Ecopetrol SA | | | | | | | | |
4.13%, 01/16/2025 | | | 383 | | | | 355 | |
5.38%, 06/26/2026 | | | 537 | | | | 497 | |
5.88%, 09/18/2023 | | | 395 | | | | 396 | |
EIG Pearl Holdings Sarl | | | | | | | | |
3.55%, 08/31/2036(1) | | | 5,996 | | | | 5,112 | |
Enbridge Energy Partners LP | | | | | | | | |
7.38%, 10/15/2045 | | | 2,600 | | | | 3,097 | |
7.50%, 04/15/2038 | | | 4,949 | | | | 5,807 | |
Enbridge, Inc. | | | | | | | | |
2.50%, 02/14/2025 | | | 3,925 | | | | 3,768 | |
Energy Transfer LP | | | | | | | | |
3.60%, 02/01/2023 | | | 1,245 | | | | 1,241 | |
4.40%, 03/15/2027 | | | 900 | | | | 872 | |
| | | | | | | | |
4.75%, 01/15/2026 | | | 1,822 | | | | 1,815 | |
4.95%, 05/15/2028 | | | 1,615 | | | | 1,579 | |
4.95%, 01/15/2043 | | | 1,482 | | | | 1,225 | |
5.00%, 05/15/2050 | | | 5,545 | | | | 4,719 | |
5.25%, 04/15/2029 | | | 5,631 | | | | 5,577 | |
5.30%, 04/01/2044 | | | 200 | | | | 174 | |
5.40%, 10/01/2047 | | | 1,500 | | | | 1,316 | |
5.50%, 06/01/2027 | | | 277 | | | | 281 | |
6.05%, 06/01/2041 | | | 2,000 | | | | 1,921 | |
6.13%, 12/15/2045 | | | 810 | | | | 773 | |
6.25%, 04/15/2049 | | | 3,288 | | | | 3,187 | |
6.50%, 02/01/2042 | | | 3,000 | | | | 2,990 | |
6.63%, 10/15/2036 | | | 2,000 | | | | 2,008 | |
ENI SpA | | | | | | | | |
4.25%, 05/09/2029(1) | | | 2,825 | | | | 2,758 | |
5.70%, 10/01/2040(1) | | | 557 | | | | 560 | |
ENI USA, Inc. | | | | | | | | |
7.30%, 11/15/2027 | | | 400 | | | | 448 | |
Enterprise Products Operating LLC | | | | | | | | |
3.70%, 02/15/2026 | | | 304 | | | | 299 | |
3.90%, 02/15/2024 | | | 3,400 | | | | 3,396 | |
4.85%, 08/15/2042 | | | 4,000 | | | | 3,668 | |
4.95%, 10/15/2054 | | | 177 | | | | 161 | |
5.75%, 03/01/2035 | | | 1,075 | | | | 1,081 | |
5.95%, 02/01/2041 | | | 201 | | | | 210 | |
EQM Midstream Partners LP | | | | | | | | |
4.00%, 08/01/2024 | | | 749 | | | | 695 | |
EQT Corp. | | | | | | | | |
3.90%, 10/01/2027 | | | 805 | | | | 749 | |
Equinor ASA | | | | | | | | |
2.88%, 04/06/2025 | | | 665 | | | | 653 | |
3.25%, 11/10/2024 | | | 508 | | | | 505 | |
Exxon Mobil Corp. | | | | | | | | |
3.00%, 08/16/2039 | | | 3,535 | | | | 2,886 | |
3.10%, 08/16/2049 | | | 2,040 | | | | 1,593 | |
Flex Intermediate Holdco LLC | | | | | | | | |
3.36%, 06/30/2031(1) | | | 3,360 | | | | 2,744 | |
4.32%, 12/30/2039(1) | | | 1,365 | | | | 1,059 | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
2.94%, 09/30/2040(1) | | | 2,407 | | | | 1,964 | |
Gazprom PJSC Via Gaz Capital SA | | | | | | | | |
4.95%, 07/19/2022(1) | | | 610 | | | | 494 | |
Gray Oak Pipeline LLC | | | | | | | | |
2.00%, 09/15/2023(1) | | | 1,220 | | | | 1,189 | |
2.60%, 10/15/2025(1) | | | 5,580 | | | | 5,210 | |
Halliburton Co. | | | | | | | | |
4.75%, 08/01/2043 | | | 565 | | | | 502 | |
4.85%, 11/15/2035 | | | 200 | | | | 192 | |
7.60%, 08/15/2096(1) | | | 258 | | | | 263 | |
Hess Corp. | | | | | | | | |
5.60%, 02/15/2041 | | | 2,125 | | | | 2,070 | |
5.80%, 04/01/2047 | | | 1,172 | | | | 1,169 | |
HF Sinclair Corp. | | | | | | | | |
2.63%, 10/01/2023(1) | | | 250 | | | | 243 | |
5.88%, 04/01/2026(1) | | | 4,573 | | | | 4,613 | |
KazMunayGas National Co. JSC | | | | | | | | |
4.75%, 04/24/2025(1) | | | 1,590 | | | | 1,484 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
4.30%, 05/01/2024 | | | 3,700 | | | | 3,707 | |
6.95%, 01/15/2038 | | | 8,490 | | | | 9,141 | |
7.30%, 08/15/2033 | | | 1,650 | | | | 1,837 | |
7.50%, 11/15/2040 | | | 483 | | | | 543 | |
Kinder Morgan, Inc. | | | | | | | | |
5.05%, 02/15/2046 | | | 600 | | | | 537 | |
7.80%, 08/01/2031 | | | 4,600 | | | | 5,344 | |
Lundin Energy Finance BV | | | | | | | | |
2.00%, 07/15/2026(1) | | | 2,255 | | | | 2,014 | |
3.10%, 07/15/2031(1) | | | 2,730 | | | | 2,259 | |
Magellan Midstream Partners LP | | | | | | | | |
3.20%, 03/15/2025 | | | 386 | | | | 376 | |
4.20%, 03/15/2045 | | | 5,725 | | | | 4,427 | |
Marathon Petroleum Corp. | | | | | | | | |
3.63%, 09/15/2024 | | | 1,000 | | | | 989 | |
4.50%, 04/01/2048 | | | 3,000 | | | | 2,522 | |
4.70%, 05/01/2025 | | | 7,532 | | | | 7,620 | |
5.13%, 12/15/2026 | | | 5,930 | | | | 6,068 | |
MPLX LP | | | | | | | | |
2.65%, 08/15/2030 | | | 7,390 | | | | 6,169 | |
4.50%, 04/15/2038 | | | 6,723 | | | | 5,895 | |
4.88%, 06/01/2025 | | | 3,000 | | | | 3,014 | |
5.20%, 03/01/2047 | | | 695 | | | | 630 | |
5.20%, 12/01/2047 | | | 560 | | | | 503 | |
5.50%, 02/15/2049 | | | 950 | | | | 881 | |
NGPL PipeCo LLC | | | | | | | | |
3.25%, 07/15/2031(1) | | | 2,055 | | | | 1,712 | |
Occidental Petroleum Corp. | | | | | | | | |
6.45%, 09/15/2036 | | | 2,685 | | | | 2,752 | |
| | | | | | | | |
ONEOK Partners LP | | | | | | | | |
3.38%, 10/01/2022 | | | 151 | | | | 151 | |
5.00%, 09/15/2023 | | | 3,923 | | | | 3,964 | |
6.20%, 09/15/2043 | | | 2,500 | | | | 2,348 | |
6.65%, 10/01/2036 | | | 1,050 | | | | 1,069 | |
ONEOK, Inc. | | | | | | | | |
2.75%, 09/01/2024 | | | 6,954 | | | | 6,724 | |
3.10%, 03/15/2030 | | | 13,970 | | | | 12,010 | |
4.50%, 03/15/2050 | | | 915 | | | | 733 | |
4.95%, 07/13/2047 | | | 1,850 | | | | 1,577 | |
Ovintiv Exploration, Inc. | | | | | | | | |
5.38%, 01/01/2026 | | | 12,705 | | | | 12,846 | |
Petroleos Mexicanos | | | | | | | | |
6.35%, 02/12/2048 | | | 4,537 | | | | 2,666 | |
6.49%, 01/23/2027 | | | 1,185 | | | | 1,027 | |
6.50%, 03/13/2027 | | | 1,090 | | | | 945 | |
6.50%, 01/23/2029 | | | 970 | | | | 789 | |
6.75%, 09/21/2047 | | | 4,518 | | | | 2,790 | |
6.88%, 08/04/2026 | | | 2,390 | | | | 2,151 | |
Phillips 66 | | | | | | | | |
4.88%, 11/15/2044 | | | 70 | | | | 68 | |
5.88%, 05/01/2042 | | | 3,000 | | | | 3,260 | |
Phillips 66 Co. | | | | | | | | |
3.15%, 12/15/2029(1) | | | 19,655 | | | | 17,653 | |
3.55%, 10/01/2026(1) | | | 190 | | | | 185 | |
3.61%, 02/15/2025(1) | | | 560 | | | | 554 | |
4.90%, 10/01/2046(1) | | | 412 | | | | 390 | |
Pioneer Natural Resources Co. | | | | | | | | |
1.90%, 08/15/2030 | | | 10,650 | | | | 8,698 | |
Plains All American Pipeline LP | | | | | | | | |
3.55%, 12/15/2029 | | | 2,800 | | | | 2,467 | |
4.65%, 10/15/2025 | | | 2,391 | | | | 2,367 | |
4.70%, 06/15/2044 | | | 8,454 | | | | 6,688 | |
4.90%, 02/15/2045 | | | 1,020 | | | | 820 | |
5.15%, 06/01/2042 | | | 2,380 | | | | 1,998 | |
Qatar Energy | | | | | | | | |
1.38%, 09/12/2026(1) | | | 13,142 | | | | 11,820 | |
2.25%, 07/12/2031(1) | | | 3,240 | | | | 2,766 | |
3.13%, 07/12/2041(1) | | | 897 | | | | 703 | |
Reliance Industries Ltd. | | | | | | | | |
2.88%, 01/12/2032(1) | | | 3,000 | | | | 2,489 | |
Sabal Trail Transmission LLC | | | | | | | | |
4.68%, 05/01/2038(1) | | | 10,000 | | | | 9,495 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50%, 05/15/2030 | | | 3,320 | | | | 3,182 | |
5.00%, 03/15/2027 | | | 1,700 | | | | 1,704 | |
5.63%, 03/01/2025 | | | 505 | | | | 515 | |
5.88%, 06/30/2026 | | | 6,680 | | | | 6,902 | |
Saudi Arabian Oil Co. | | | | | | | | |
1.25%, 11/24/2023(1) | | | 352 | | | | 340 | |
1.63%, 11/24/2025(1) | | | 653 | | | | 603 | |
3.25%, 11/24/2050(1) | | | 2,425 | | | | 1,758 | |
Schlumberger Finance Canada Ltd. | | | | | | | | |
1.40%, 09/17/2025 | | | 2,640 | | | | 2,448 | |
Schlumberger Holdings Corp. | | | | | | | | |
3.75%, 05/01/2024(1) | | | 780 | | | | 777 | |
3.90%, 05/17/2028(1) | | | 852 | | | | 805 | |
Shell International Finance BV | | | | | | | | |
2.75%, 04/06/2030 | | | 3,300 | | | | 2,978 | |
Sinopec Group Overseas Development 2018 Ltd. | | | | | | | | |
3.68%, 08/08/2049(1) | | | 4,318 | | | | 3,445 | |
Southern Natural Gas Co. LLC | | | | | | | | |
4.80%, 03/15/2047(1) | | | 428 | | | | 378 | |
8.00%, 03/01/2032 | | | 446 | | | | 521 | |
Spectra Energy Partners LP | | | | | | | | |
4.50%, 03/15/2045 | | | 3,225 | | | | 2,806 | |
Suncor Energy, Inc. | | | | | | | | |
5.95%, 12/01/2034 | | | 1,048 | | | | 1,098 | |
5.95%, 05/15/2035 | | | 350 | | | | 363 | |
6.80%, 05/15/2038 | | | 423 | | | | 475 | |
7.88%, 06/15/2026 | | | 543 | | | | 605 | |
Targa Resources Corp. | | | | | | | | |
4.20%, 02/01/2033 | | | 1,060 | | | | 960 | |
5.20%, 07/01/2027 | | | 4,000 | | | | 4,017 | |
TC PipeLines LP | | | | | | | | |
3.90%, 05/25/2027 | | | 5,000 | | | | 4,903 | |
4.38%, 03/13/2025 | | | 8,465 | | | | 8,510 | |
Texas Eastern Transmission LP | | | | | | | | |
3.50%, 01/15/2028(1) | | | 450 | | | | 424 | |
TotalEnergies Capital International SA | | | | | | | | |
2.99%, 06/29/2041 | | | 4,000 | | | | 3,151 | |
3.13%, 05/29/2050 | | | 2,465 | | | | 1,884 | |
3.46%, 07/12/2049 | | | 1,905 | | | | 1,540 | |
TransCanada PipeLines Ltd. | | | | | | | | |
4.75%, 05/15/2038 | | | 1,000 | | | | 945 | |
6.20%, 10/15/2037 | | | 573 | | | | 623 | |
| | | | | | | | |
Valero Energy Corp. | | | | | | | | |
2.15%, 09/15/2027 | | | 1,870 | | | | 1,664 | |
2.80%, 12/01/2031 | | | 2,925 | | | | 2,454 | |
4.35%, 06/01/2028 | | | 5,000 | | | | 4,862 | |
6.63%, 06/15/2037 | | | 5,000 | | | | 5,432 | |
7.50%, 04/15/2032 | | | 175 | | | | 201 | |
Var Energi ASA | | | | | | | | |
5.00%, 05/18/2027(1) | | | 11,460 | | | | 11,410 | |
Williams Companies, Inc. | | | | | | | | |
2.60%, 03/15/2031 | | | 2,530 | | | | 2,118 | |
4.30%, 03/04/2024 | | | 2,500 | | | | 2,511 | |
4.85%, 03/01/2048 | | | 3,000 | | | | 2,714 | |
4.90%, 01/15/2045 | | | 7,000 | | | | 6,282 | |
5.40%, 03/04/2044 | | | 2,750 | | | | 2,619 | |
5.75%, 06/24/2044 | | | 2,500 | | | | 2,493 | |
6.30%, 04/15/2040 | | | 333 | | | | 352 | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025(1) | | | 3,300 | | | | 3,242 | |
| | | | | | | | |
Total Energy | | | | 510,253 | |
| | | | | | | | |
Financials – 11.02% | | | | |
ABN AMRO Bank NV | | | | | | | | |
1.54% (1 Year CMT Index + 0.80%), 06/16/2027(1)(3) | | | 5,000 | | | | 4,379 | |
2.47% (1 Year CMT Index + 1.10%), 12/13/2029(1)(3) | | | 1,300 | | | | 1,108 | |
3.32% (5 Year CMT Index + 1.90%), 03/13/2037(1)(3) | | | 2,500 | | | | 2,003 | |
4.75%, 07/28/2025(1) | | | 5,000 | | | | 4,976 | |
AerCap Ireland Capital DAC | | | | | | | | |
1.75%, 01/30/2026 | | | 1,140 | | | | 996 | |
2.45%, 10/29/2026 | | | 1,045 | | | | 910 | |
2.88%, 08/14/2024 | | | 1,060 | | | | 1,010 | |
3.00%, 10/29/2028 | | | 13,272 | | | | 11,179 | |
3.30%, 01/30/2032 | | | 1,225 | | | | 981 | |
3.50%, 01/15/2025 | | | 333 | | | | 318 | |
4.45%, 10/01/2025 | | | 3,500 | | | | 3,382 | |
4.50%, 09/15/2023 | | | 5,280 | | | | 5,255 | |
6.50%, 07/15/2025 | | | 1,848 | | | | 1,891 | |
AIA Group Ltd. | | | | | | | | |
3.20%, 03/11/2025(1) | | | 5,545 | | | | 5,464 | |
3.20%, 09/16/2040(1) | | | 915 | | | | 731 | |
3.60%, 04/09/2029(1) | | | 795 | | | | 765 | |
3.90%, 04/06/2028(1) | | | 1,000 | | | | 990 | |
AIB Group Plc | | | | | | | | |
4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(3) | | | 1,265 | | | | 1,241 | |
4.75%, 10/12/2023(1) | | | 5,775 | | | | 5,779 | |
AIG SunAmerica Global Financing X | | | | | | | | |
6.90%, 03/15/2032(1) | | | 955 | | | | 1,104 | |
Air Lease Corp. | | | | | | | | |
1.88%, 08/15/2026 | | | 3,070 | | | | 2,652 | |
2.88%, 01/15/2026 | | | 1,300 | | | | 1,193 | |
3.25%, 03/01/2025 | | | 710 | | | | 678 | |
3.25%, 10/01/2029 | | | 3,950 | | | | 3,328 | |
3.38%, 07/01/2025 | | | 1,835 | | | | 1,728 | |
3.88%, 07/03/2023 | | | 2,500 | | | | 2,478 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
1.88%, 02/01/2033 | | | 1,190 | | | | 895 | |
2.00%, 05/18/2032 | | | 2,180 | | | | 1,722 | |
3.80%, 04/15/2026 | | | 338 | | | | 331 | |
4.00%, 02/01/2050 | | | 1,451 | | | | 1,197 | |
Ally Financial, Inc. | | | | | | | | |
4.75%, 06/09/2027 | | | 6,449 | | | | 6,193 | |
American Campus Communities Operating Partnership LP | | | | | | | | |
2.25%, 01/15/2029 | | | 1,600 | | | | 1,482 | |
American Express Co. | | | | | | | | |
3.55% (5 Year CMT Index + 2.85%), 09/15/2170(3) | | | 3,475 | | | | 2,827 | |
4.20%, 11/06/2025 | | | 1,400 | | | | 1,413 | |
American International Group, Inc. | | | | | | | | |
3.90%, 04/01/2026 | | | 1,370 | | | | 1,342 | |
American Tower Corp. | | | | | | | | |
1.50%, 01/31/2028 | | | 2,660 | | | | 2,212 | |
1.88%, 10/15/2030 | | | 2,485 | | | | 1,933 | |
2.10%, 06/15/2030 | | | 1,300 | | | | 1,041 | |
2.95%, 01/15/2051 | | | 875 | | | | 592 | |
3.10%, 06/15/2050 | | | 1,340 | | | | 926 | |
3.38%, 10/15/2026 | | | 506 | | | | 478 | |
3.70%, 10/15/2049 | | | 2,065 | | | | 1,550 | |
American Tower Trust | | | | | | | | |
3.07%, 03/15/2023(1) | | | 2,900 | | | | 2,888 | |
AmFam Holdings, Inc. | | | | | | | | |
2.81%, 03/11/2031(1) | | | 5,000 | | | | 4,206 | |
ANZ New Zealand Int’l Ltd. | | | | | | | | |
3.45%, 01/21/2028(1) | | | 500 | | | | 476 | |
Aon Corp. / Aon Global Holdings Plc | | | | | | | | |
3.90%, 02/28/2052 | | | 4,250 | | | | 3,476 | |
Aon Global Ltd. | | | | | | | | |
3.50%, 06/14/2024 | | | 815 | | | | 810 | |
4.00%, 11/27/2023 | | | 5,000 | | | | 5,020 | |
Arthur J Gallagher & Co. | | | | | | | | |
3.50%, 05/20/2051 | | | 3,000 | | | | 2,292 | |
| | | | | | | | |
Assurant, Inc. | | | | | | | | |
4.20%, 09/27/2023 | | | 908 | | | | 914 | |
Athene Global Funding | | | | | | | | |
0.95%, 01/08/2024(1) | | | 2,225 | | | | 2,112 | |
1.73%, 10/02/2026(1) | | | 5,173 | | | | 4,489 | |
2.50%, 01/14/2025(1) | | | 629 | | | | 598 | |
2.67%, 06/07/2031(1) | | | 5,124 | | | | 4,109 | |
2.95%, 11/12/2026(1) | | | 8,845 | | | | 8,129 | |
Australia & New Zealand Banking Group Ltd. | | | | | | | | |
2.57% (5 Year CMT Index + 1.70%), 11/25/2035(1)(3) | | | 4,590 | | | | 3,640 | |
4.40%, 05/19/2026(1) | | | 1,816 | | | | 1,790 | |
4.50%, 03/19/2024(1) | | | 9,000 | | | | 9,010 | |
Aviation Capital Group LLC | | | | | | | | |
3.88%, 05/01/2023(1) | | | 780 | | | | 773 | |
5.50%, 12/15/2024(1) | | | 1,745 | | | | 1,730 | |
Avolon Holdings Funding Ltd. | | | | | | | | |
2.13%, 02/21/2026(1) | | | 1,430 | | | | 1,236 | |
2.53%, 11/18/2027(1) | | | 15,330 | | | | 12,496 | |
2.88%, 02/15/2025(1) | | | 3,704 | | | | 3,407 | |
3.95%, 07/01/2024(1) | | | 2,835 | | | | 2,714 | |
4.25%, 04/15/2026(1) | | | 1,710 | | | | 1,584 | |
4.38%, 05/01/2026(1) | | | 790 | | | | 732 | |
5.13%, 10/01/2023(1) | | | 3,000 | | | | 2,970 | |
5.25%, 05/15/2024(1) | | | 2,790 | | | | 2,741 | |
5.50%, 01/15/2026(1) | | | 4,364 | | | | 4,234 | |
Banco Nacional de Panama | | | | | | | | |
2.50%, 08/11/2030(1) | | | 2,750 | | | | 2,183 | |
Banco Santander SA | | | | | | | | |
1.72% (1 Year CMT Index + 0.90%), 09/14/2027(3) | | | 3,200 | | | | 2,778 | |
1.85%, 03/25/2026 | | | 6,600 | | | | 5,932 | |
2.13% (3 Month LIBOR USD + 1.12%), 04/12/2023(3) | | | 1,000 | | | | 1,000 | |
2.75%, 05/28/2025 | | | 1,600 | | | | 1,515 | |
2.75%, 12/03/2030 | | | 1,400 | | | | 1,112 | |
3.23% (1 Year CMT Index + 1.60%), 11/22/2032(3) | | | 3,000 | | | | 2,373 | |
4.18% (1 Year CMT Index + 2.00%), 03/24/2028(3) | | | 11,760 | | | | 11,221 | |
5.18%, 11/19/2025 | | | 1,500 | | | | 1,499 | |
Bank of America Corp. | | | | | | | | |
1.53% (SOFR + 0.65%), 12/06/2025(3) | | | 9,210 | | | | 8,569 | |
1.66% (SOFR + 0.91%), 03/11/2027(3) | | | 950 | | | | 851 | |
1.73% (SOFR + 0.96%), 07/22/2027(3) | | | 7,170 | | | | 6,373 | |
1.90% (SOFR + 1.53%), 07/23/2031(3) | | | 1,285 | | | | 1,027 | |
2.09% (SOFR + 1.06%), 06/14/2029(3) | | | 15,630 | | | | 13,385 | |
2.30% (SOFR + 1.22%), 07/21/2032(3) | | | 26,051 | | | | 21,052 | |
2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(3) | | | 2,000 | | | | 1,905 | |
2.55% (SOFR + 1.05%), 02/04/2028(3) | | | 3,075 | | | | 2,797 | |
2.57% (SOFR + 1.21%), 10/20/2032(3) | | | 4,515 | | | | 3,724 | |
2.59% (SOFR + 2.15%), 04/29/2031(3) | | | 11,813 | | | | 10,019 | |
2.68% (SOFR + 1.93%), 06/19/2041(3) | | | 7,418 | | | | 5,337 | |
2.69% (SOFR + 1.32%), 04/22/2032(3) | | | 17,025 | | | | 14,293 | |
2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(3) | | | 5,130 | | | | 4,480 | |
2.97% (SOFR + 1.33%), 02/04/2033(3) | | | 4,550 | | | | 3,876 | |
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(3) | | | 4,530 | | | | 4,515 | |
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(3) | | | 5,000 | | | | 4,838 | |
3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(3) | | | 1,500 | | | | 1,453 | |
3.38% (SOFR + 1.33%), 04/02/2026(3) | | | 1,490 | | | | 1,444 | |
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(3) | | | 4,105 | | | | 4,092 | |
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(3) | | | 7,800 | | | | 7,356 | |
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(3) | | | 4,500 | | | | 4,290 | |
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(3) | | | 10,000 | | | | 9,589 | |
3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(3) | | | 3,457 | | | | 3,442 | |
3.95%, 04/21/2025 | | | 5,201 | | | | 5,130 | |
3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(3) | | | 2,820 | | | | 2,664 | |
4.00%, 01/22/2025 | | | 3,860 | | | | 3,843 | |
4.20%, 08/26/2024 | | | 4,140 | | | | 4,148 | |
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(3) | | | 1,500 | | | | 1,441 | |
4.30% (3 Month LIBOR USD + 2.66%), 07/28/2170(3) | | | 3,075 | | | | 2,571 | |
4.38% (SOFR + 1.58%), 04/27/2028(3) | | | 4,000 | | | | 3,938 | |
4.45%, 03/03/2026 | | | 7,140 | | | | 7,105 | |
4.57% (SOFR + 1.83%), 04/27/2033(3) | | | 4,694 | | | | 4,568 | |
6.11%, 01/29/2037 | | | 3,580 | | | | 3,851 | |
7.75%, 05/14/2038 | | | 137 | | | | 169 | |
Bank of Ireland Group Plc | | | | | | | | |
2.03% (1 Year CMT Index + 1.10%), 09/30/2027(1)(3) | | | 6,132 | | | | 5,330 | |
Bank of Montreal | | | | | | | | |
1.85%, 05/01/2025 | | | 1,950 | | | | 1,845 | |
3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(3) | | | 7,167 | | | | 6,643 | |
Bank of New York Mellon Corp. | | | | | | | | |
3.00%, 02/24/2025 | | | 5,360 | | | | 5,254 | |
3.30%, 08/23/2029 | | | 241 | | | | 223 | |
Banque Federative du Credit Mutuel SA | | | | | | | | |
1.60%, 10/04/2026(1) | | | 3,100 | | | | 2,755 | |
Barclays Plc | | | | | | | | |
1.01% (1 Year CMT Index + 0.80%), 12/10/2024(3) | | | 3,434 | | | | 3,259 | |
2.89% (1 Year CMT Index + 1.30%), 11/24/2032(3) | | | 1,572 | | | | 1,264 | |
3.65%, 03/16/2025 | | | 1,500 | | | | 1,467 | |
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(3) | | | 7,000 | | | | 6,886 | |
4.34%, 01/10/2028 | | | 2,360 | | | | 2,255 | |
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(3) | | | 2,450 | | | | 2,408 | |
5.20%, 05/12/2026 | | | 500 | | | | 498 | |
| | | | | | | | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
3.85%, 03/15/2052 | | | 2,265 | | | | 1,939 | |
4.30%, 05/15/2043 | | | 322 | | | | 298 | |
4.40%, 05/15/2042 | | | 1,524 | | | | 1,435 | |
Blackstone Holdings Finance Co. LLC | | | | | | | | |
4.45%, 07/15/2045(1) | | | 170 | | | | 154 | |
Blackstone Secured Lending Fund | | | | | | | | |
3.65%, 07/14/2023 | | | 2,110 | | | | 2,068 | |
BNP Paribas SA | | | | | | | | |
1.32% (SOFR + 1.00%), 01/13/2027(1)(3) | | | 8,178 | | | | 7,225 | |
1.68% (SOFR + 0.91%), 06/30/2027(1)(3) | | | 2,660 | | | | 2,344 | |
1.90% (SOFR + 1.61%), 09/30/2028(1)(3) | | | 6,280 | | | | 5,367 | |
2.16% (SOFR + 1.22%), 09/15/2029(1)(3) | | | 4,000 | | | | 3,346 | |
2.22% (SOFR + 2.07%), 06/09/2026(1)(3) | | | 782 | | | | 722 | |
2.59% (5 Year CMT Index + 2.05%), 08/12/2035(1)(3) | | | 6,899 | | | | 5,430 | |
2.82% (3 Month LIBOR USD + 1.11%), 11/19/2025(1)(3) | | | 4,000 | | | | 3,821 | |
2.87% (SOFR + 1.39%), 04/19/2032(1)(3) | | | 3,560 | | | | 2,943 | |
3.38%, 01/09/2025(1) | | | 10,725 | | | | 10,475 | |
3.50%, 03/01/2023(1) | | | 430 | | | | 429 | |
4.71% (3 Month LIBOR USD + 2.24%), 01/10/2025(1)(3) | | | 1,600 | | | | 1,599 | |
BOC Aviation Ltd. | | | | | | | | |
2.75%, 09/18/2022(1) | | | 780 | | | | 779 | |
BOC Aviation USA Corp. | | | | | | | | |
1.63%, 04/29/2024(1) | | | 2,170 | | | | 2,079 | |
Boston Properties LP | | | | | | | | |
3.13%, 09/01/2023 | | | 300 | | | | 298 | |
3.20%, 01/15/2025 | | | 1,139 | | | | 1,111 | |
3.65%, 02/01/2026 | | | 557 | | | | 541 | |
BPCE SA | | | | | | | | |
1.00%, 01/20/2026(1) | | | 3,225 | | | | 2,859 | |
1.65% (SOFR + 1.52%), 10/06/2026(1)(3) | | | 1,566 | | | | 1,402 | |
2.28% (SOFR + 1.31%), 01/20/2032(1)(3) | | | 10,100 | | | | 7,990 | |
3.12% (SOFR + 1.73%), 10/19/2032(1)(3) | | | 3,000 | | | | 2,417 | |
3.25%, 01/11/2028(1) | | | 7,815 | | | | 7,251 | |
4.50%, 03/15/2025(1) | | | 2,000 | | | | 1,966 | |
4.63%, 07/11/2024(1) | | | 1,300 | | | | 1,292 | |
5.15%, 07/21/2024(1) | | | 2,800 | | | | 2,799 | |
5.70%, 10/22/2023(1) | | | 3,645 | | | | 3,698 | |
Brixmor Operating Partnership LP | | | | | | | | |
2.25%, 04/01/2028 | | | 1,930 | | | | 1,655 | |
2.50%, 08/16/2031 | | | 1,080 | | | | 847 | |
3.85%, 02/01/2025 | | | 1,100 | | | | 1,082 | |
4.05%, 07/01/2030 | | | 2,286 | | | | 2,063 | |
Brookfield Finance, Inc. | | | | | | | | |
3.90%, 01/25/2028 | | | 770 | | | | 736 | |
4.70%, 09/20/2047 | | | 158 | | | | 138 | |
4.85%, 03/29/2029 | | | 875 | | | | 867 | |
Brown & Brown, Inc. | | | | | | | | |
2.38%, 03/15/2031 | | | 4,150 | | | | 3,285 | |
4.20%, 03/17/2032 | | | 6,000 | | | | 5,461 | |
Capital One Financial Corp. | | | | | | | | |
1.88% (SOFR + 0.86%), 11/02/2027(3) | | | 361 | | | | 317 | |
2.62% (SOFR + 1.27%), 11/02/2032(3) | | | 2,495 | | | | 2,006 | |
3.20%, 02/05/2025 | | | 726 | | | | 706 | |
3.75%, 07/28/2026 | | | 599 | | | | 572 | |
3.90%, 01/29/2024 | | | 3,600 | | | | 3,594 | |
4.20%, 10/29/2025 | | | 400 | | | | 395 | |
4.93% (SOFR + 2.06%), 05/10/2028(3) | | | 10,187 | | | | 10,089 | |
Cboe Global Markets, Inc. | | | | | | | | |
1.63%, 12/15/2030 | | | 10,880 | | | | 8,800 | |
Charles Schwab Corp. | | | | | | | | |
1.65%, 03/11/2031 | | | 11,130 | | | | 8,917 | |
3.20%, 03/02/2027 | | | 1,700 | | | | 1,632 | |
Citigroup, Inc. | | | | | | | | |
1.12% (SOFR + 0.77%), 01/28/2027(3) | | | 32,820 | | | | 28,979 | |
2.52% (SOFR + 1.18%), 11/03/2032(3) | | | 1,140 | | | | 925 | |
2.56% (SOFR + 1.17%), 05/01/2032(3) | | | 19,270 | | | | 15,866 | |
2.57% (SOFR + 2.11%), 06/03/2031(3) | | | 4,423 | | | | 3,718 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(3) | | | 2,500 | | | | 2,499 | |
3.06% (SOFR + 1.35%), 01/25/2033(3) | | | 6,852 | | | | 5,808 | |
3.20%, 10/21/2026 | | | 905 | | | | 861 | |
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(3) | | | 3,846 | | | | 3,593 | |
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(3) | | | 7,895 | | | | 7,453 | |
3.70%, 01/12/2026 | | | 9,150 | | | | 8,966 | |
3.79% (SOFR + 1.94%), 03/17/2033(3) | | | 1,000 | | | | 901 | |
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(3) | | | 12,600 | | | | 12,114 | |
3.98% (3 Month LIBOR USD + 1.34%), 03/20/2030(3) | | | 3,490 | | | | 3,264 | |
4.08% (3 Month LIBOR USD + 1.19%), 04/23/2029(3) | | | 1,111 | | | | 1,056 | |
4.30%, 11/20/2026 | | | 1,570 | | | | 1,547 | |
4.40%, 06/10/2025 | | | 12,181 | | | | 12,163 | |
4.45%, 09/29/2027 | | | 8,213 | | | | 8,043 | |
4.91% (SOFR + 2.09%), 05/24/2033(3) | | | 12,389 | | | | 12,225 | |
6.63%, 01/15/2028 | | | 387 | | | | 423 | |
Citizens Financial Group, Inc. | | | | | | | | |
2.64%, 09/30/2032 | | | 343 | | | | 274 | |
3.25%, 04/30/2030 | | | 5,000 | | | | 4,437 | |
| | | | | | | | |
CNA Financial Corp. | | | | | | | | |
3.45%, 08/15/2027 | | | 820 | | | | 778 | |
3.95%, 05/15/2024 | | | 303 | | | | 303 | |
7.25%, 11/15/2023 | | | 7,470 | | | | 7,811 | |
Comerica, Inc. | | | | | | | | |
4.00%, 02/01/2029 | | | 1,900 | | | | 1,843 | |
Commonwealth Bank of Australia | | | | | | | | |
3.31%, 03/11/2041(1) | | | 1,255 | | | | 951 | |
3.74%, 09/12/2039(1) | | | 5,000 | | | | 4,073 | |
Cooperatieve Rabobank UA | | | | | | | | |
3.76% (1 Year CMT Index + 1.42%), 04/06/2033(1)(3) | | | 6,233 | | | | 5,625 | |
4.38%, 08/04/2025 | | | 570 | | | | 565 | |
Corebridge Financial, Inc. | | | | | | | | |
3.65%, 04/05/2027(1) | | | 2,055 | | | | 1,932 | |
3.85%, 04/05/2029(1) | | | 1,455 | | | | 1,345 | |
Corporate Office Properties LP | | | | | | | | |
2.00%, 01/15/2029 | | | 860 | | | | 693 | |
2.90%, 12/01/2033 | | | 5,350 | | | | 4,142 | |
Credit Agricole SA | | | | | | | | |
1.25% (SOFR + 0.89%), 01/26/2027(1)(3) | | | 27,604 | | | | 24,300 | |
1.91% (SOFR + 1.68%), 06/16/2026(1)(3) | | | 6,715 | | | | 6,175 | |
2.81%, 01/11/2041(1) | | | 1,485 | | | | 1,025 | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(3) | | | 5,000 | | | | 4,567 | |
4.38%, 03/17/2025(1) | | | 305 | | | | 300 | |
Credit Suisse AG | | | | | | | | |
1.25%, 08/07/2026 | | | 3,100 | | | | 2,710 | |
3.70%, 02/21/2025 | | | 560 | | | | 547 | |
Credit Suisse Group AG | | | | | | | | |
1.31% (SOFR + 0.98%), 02/02/2027(1)(3) | | | 4,075 | | | | 3,503 | |
2.19% (SOFR + 2.04%), 06/05/2026(1)(3) | | | 1,020 | | | | 924 | |
2.59% (SOFR + 1.56%), 09/11/2025(1)(3) | | | 1,450 | | | | 1,364 | |
3.09% (SOFR + 1.73%), 05/14/2032(1)(3) | | | 2,915 | | | | 2,320 | |
3.80%, 06/09/2023 | | | 8,500 | | | | 8,419 | |
3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(1)(3) | | | 2,000 | | | | 1,797 | |
4.28%, 01/09/2028(1) | | | 3,973 | | | | 3,709 | |
4.55%, 04/17/2026 | | | 1,500 | | | | 1,466 | |
Crown Castle International Corp. | | | | | | | | |
4.00%, 03/01/2027 | | | 261 | | | | 254 | |
CubeSmart LP | | | | | | | | |
2.25%, 12/15/2028 | | | 7,275 | | | | 6,216 | |
Dai-ichi Life Insurance Co. Ltd. | | | | | | | | |
4.00% (3 Month LIBOR USD + 3.66%), 01/24/2171(1)(3) | | | 1,179 | | | | 1,106 | |
Danske Bank | | | | | | | | |
1.17% (1 Year CMT Index + 1.03%), 12/08/2023(1)(3) | | | 4,448 | | | | 4,389 | |
1.62% (1 Year CMT Index + 1.35%), 09/11/2026(1)(3) | | | 2,000 | | | | 1,790 | |
Deutsche Bank AG | | | | | | | | |
0.96%, 11/08/2023 | | | 5,520 | | | | 5,289 | |
2.13% (SOFR + 1.87%), 11/24/2026(3)(9) | | | 6,700 | | | | 5,949 | |
2.22% (SOFR + 2.16%), 09/18/2024(3) | | | 2,835 | | | | 2,733 | |
2.55% (SOFR + 1.32%), 01/07/2028(3) | | | 14,446 | | | | 12,505 | |
3.30%, 11/16/2022 | | | 2,000 | | | | 1,999 | |
3.70%, 05/30/2024 | | | 850 | | | | 835 | |
3.70%, 05/30/2024 | | | 2,063 | | | | 2,038 | |
3.74% (SOFR + 2.26%), 01/07/2033(3) | | | 5,000 | | | | 3,640 | |
3.95%, 02/27/2023 | | | 5,000 | | | | 4,989 | |
Dexia Credit Local SA | | | | | | | | |
3.25%, 09/26/2023(1) | | | 500 | | | | 501 | |
Digital Realty Trust LP | | | | | | | | |
3.70%, 08/15/2027 | | | 462 | | | | 440 | |
Discover Bank | | | | | | | | |
3.45%, 07/27/2026 | | | 2,800 | | | | 2,645 | |
4.20%, 08/08/2023 | | | 6,305 | | | | 6,327 | |
4.65%, 09/13/2028 | | | 4,000 | | | | 3,849 | |
Discover Financial Services | | | | | | | | |
3.75%, 03/04/2025 | | | 2,920 | | | | 2,870 | |
4.10%, 02/09/2027 | | | 3,471 | | | | 3,329 | |
DNB Bank ASA | | | | | | | | |
0.86% (1 Year CMT Index + 0.33%), 09/30/2025(1)(3) | | | 7,075 | | | | 6,576 | |
1.13% (1 Year CMT Index + 0.85%), 09/16/2026(1)(3) | | | 4,000 | | | | 3,602 | |
1.61% (1 Year CMT Index + 0.68%), 03/30/2028(1)(3) | | | 3,435 | | | | 2,981 | |
Duke Realty LP | | | | | | | | |
2.88%, 11/15/2029 | | | 800 | | | | 719 | |
3.25%, 06/30/2026 | | | 203 | | | | 195 | |
Equinix, Inc. | | | | | | | | |
2.00%, 05/15/2028 | | | 4,467 | | | | 3,835 | |
2.90%, 11/18/2026 | | | 2,580 | | | | 2,398 | |
Essex Portfolio LP | | | | | | | | |
1.65%, 01/15/2031 | | | 910 | | | | 711 | |
2.65%, 03/15/2032 | | | 1,740 | | | | 1,445 | |
F&G Global Funding | | | | | | | | |
1.75%, 06/30/2026(1) | | | 1,905 | | | | 1,687 | |
Federation des Caisses Desjardins du Quebec | | | | | | | | |
2.05%, 02/10/2025(1) | | | 5,000 | | | | 4,721 | |
FMR LLC | | | | | | | | |
4.95%, 02/01/2033(1) | | | 250 | | | | 250 | |
6.45%, 11/15/2039(1) | | | 258 | | | | 286 | |
| | | | | | | | |
GAIF Bond Issuer Pty Ltd. | | | | | | | | |
3.40%, 09/30/2026(1) | | | 1,000 | | | | 963 | |
Globe Life, Inc. | | | | | | | | |
4.55%, 09/15/2028 | | | 3,000 | | | | 2,957 | |
Goldman Sachs Capital I | | | | | | | | |
6.35%, 02/15/2034 | | | 127 | | | | 135 | |
Goldman Sachs Group, Inc. | | | | | | | | |
1.43% (SOFR + 0.80%), 03/09/2027(3) | | | 5,125 | | | | 4,543 | |
1.54% (SOFR + 0.82%), 09/10/2027(3) | | | 6,340 | | | | 5,565 | |
1.95% (SOFR + 0.91%), 10/21/2027(3) | | | 2,541 | | | | 2,249 | |
1.99% (SOFR + 1.09%), 01/27/2032(3) | | | 7,395 | | | | 5,842 | |
2.38% (SOFR + 1.25%), 07/21/2032(3) | | | 3,165 | | | | 2,559 | |
2.62% (SOFR + 1.28%), 04/22/2032(3) | | | 9,805 | | | | 8,140 | |
2.64% (SOFR + 1.11%), 02/24/2028(3) | | | 12,438 | | | | 11,288 | |
2.65% (SOFR + 1.26%), 10/21/2032(3) | | | 11,273 | | | | 9,289 | |
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(3) | | | 6,350 | | | | 6,348 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(3) | | | 5,590 | | | | 5,431 | |
3.50%, 01/23/2025 | | | 6,509 | | | | 6,412 | |
3.62% (SOFR + 1.85%), 03/15/2028(3) | | | 14,810 | | | | 14,016 | |
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(3) | | | 9,911 | | | | 9,398 | |
3.75%, 02/25/2026 | | | 9,005 | | | | 8,827 | |
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(3) | | | 5,000 | | | | 4,806 | |
4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(3) | | | 3,956 | | | | 3,591 | |
5.15%, 05/22/2045 | | | 4,000 | | | | 3,799 | |
6.75%, 10/01/2037 | | | 2,170 | | | | 2,403 | |
Goodman US Finance Four LLC | | | | | | | | |
4.50%, 10/15/2037(1) | | | 200 | | | | 184 | |
Goodman US Finance Three LLC | | | | | | | | |
3.70%, 03/15/2028(1) | | | 862 | | | | 825 | |
Great-West Lifeco Finance 2018 LP | | | | | | | | |
4.58%, 05/17/2048(1) | | | 650 | | | | 603 | |
GTP Acquisition Partners I LLC | | | | | | | | |
3.48%, 06/16/2025(1) | | | 1,824 | | | | 1,796 | |
Guardian Life Insurance Co. of America | | | | | | | | |
4.85%, 01/24/2077(1) | | | 5,610 | | | | 5,024 | |
Hanover Insurance Group, Inc. | | | | | | | | |
2.50%, 09/01/2030 | | | 5,610 | | | | 4,682 | |
Hartford Financial Services Group, Inc. | | | | | | | | |
3.60%, 08/19/2049 | | | 1,000 | | | | 794 | |
4.30%, 04/15/2043 | | | 1,080 | | | | 956 | |
Healthcare Trust of America Holdings LP | | | | | | | | |
2.00%, 03/15/2031 | | | 1,380 | | | | 1,070 | |
Healthpeak Properties, Inc. | | | | | | | | |
3.40%, 02/01/2025 | | | 41 | | | | 40 | |
3.50%, 07/15/2029 | | | 1,742 | | | | 1,606 | |
High Street Funding Trust II | | | | | | | | |
4.68%, 02/15/2048(1) | | | 5,250 | | | | 4,892 | |
HSBC Holdings Plc | | | | | | | | |
1.59% (SOFR + 1.29%), 05/24/2027(3) | | | 4,240 | | | | 3,724 | |
2.01% (SOFR + 1.73%), 09/22/2028(3) | | | 3,585 | | | | 3,066 | |
2.21% (SOFR + 1.29%), 08/17/2029(3) | | | 2,075 | | | | 1,743 | |
2.36% (SOFR + 1.95%), 08/18/2031(3) | | | 2,580 | | | | 2,091 | |
2.87% (SOFR + 1.41%), 11/22/2032(3) | | | 2,095 | | | | 1,714 | |
3.80% (3 Month LIBOR USD + 1.21%), 03/11/2025(3) | | | 679 | | | | 669 | |
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(3) | | | 1,301 | | | | 1,295 | |
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(3) | | | 1,000 | | | | 919 | |
4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(3) | | | 3,161 | | | | 3,002 | |
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(3) | | | 8,009 | | | | 7,825 | |
4.76% (SOFR + 2.11%), 06/09/2028(3) | | | 13,664 | | | | 13,283 | |
6.10%, 01/14/2042 | | | 1,060 | | | | 1,164 | |
HSBC USA, Inc. | | | | | | | | |
3.75%, 05/24/2024 | | | 2,450 | | | | 2,436 | |
ING Groep NV | | | | | | | | |
1.40% (1 Year CMT Index + 1.10%), 07/01/2026(1)(3) | | | 1,940 | | | | 1,762 | |
1.73% (SOFR + 1.01%), 04/01/2027(3) | | | 705 | | | | 629 | |
4.02% (SOFR + 1.83%), 03/28/2028(3) | | | 6,598 | | | | 6,284 | |
Intact US Holdings, Inc. | | | | | | | | |
4.60%, 11/09/2022 | | | 1,500 | | | | 1,506 | |
International Lease Finance Corp. | | | | | | | | |
5.88%, 08/15/2022 | | | 438 | | | | 439 | |
Intesa Sanpaolo SpA | | | | | | | | |
4.00%, 09/23/2029(1) | | | 10,590 | | | | 9,437 | |
Invesco Finance Plc | | | | | | | | |
3.75%, 01/15/2026 | | | 4,000 | | | | 3,951 | |
4.00%, 01/30/2024 | | | 2,489 | | | | 2,489 | |
JAB Holdings BV | | | | | | | | |
4.50%, 04/08/2052(1) | | | 2,408 | | | | 1,858 | |
Jefferies Group LLC | | | | | | | | |
6.25%, 01/15/2036 | | | 155 | | | | 156 | |
6.45%, 06/08/2027 | | | 428 | | | | 458 | |
John Hancock Life Insurance Co. | | | | | | | | |
7.38%, 02/15/2024(1) | | | 731 | | | | 771 | |
JP Morgan Chase & Co. | | | | | | | | |
1.04% (3 Month Term SOFR + 0.70%), 02/04/2027(3) | | | 1,950 | | | | 1,725 | |
1.47% (SOFR + 0.77%), 09/22/2027(3) | | | 15,960 | | | | 13,998 | |
1.56% (SOFR + 0.61%), 12/10/2025(3) | | | 9,475 | | | | 8,852 | |
1.58% (SOFR + 0.89%), 04/22/2027(3) | | | 5,000 | | | | 4,450 | |
2.07% (SOFR + 1.02%), 06/01/2029(3) | | | 3,750 | | | | 3,225 | |
| | | | | | | | |
2.58% (SOFR + 1.25%), 04/22/2032(3) | | | 6,390 | | | | 5,377 | |
2.95% (SOFR + 1.17%), 02/24/2028(3) | | | 2,600 | | | | 2,409 | |
3.11% (SOFR + 2.44%), 04/22/2051(3) | | | 1,474 | | | | 1,080 | |
3.13%, 01/23/2025 | | | 4,000 | | | | 3,941 | |
3.38%, 05/01/2023 | | | 3,800 | | | | 3,800 | |
3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(3) | | | 8,000 | | | | 7,975 | |
3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(3) | | | 5,770 | | | | 4,889 | |
4.00% (SOFR + 2.75%), 10/01/2170(3) | | | 4,275 | | | | 3,522 | |
4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(3) | | | 2,320 | | | | 2,224 | |
4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(3) | | | 5,140 | | | | 4,583 | |
4.32% (SOFR + 1.56%), 04/26/2028(3) | | | 1,995 | | | | 1,962 | |
4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(3) | | | 9,660 | | | | 9,408 | |
4.60% (SOFR + 3.13%), 08/01/2170(3) | | | 1,985 | | | | 1,676 | |
5.00% (SOFR + 3.38%), 02/01/2171(3) | | | 5,010 | | | | 4,421 | |
KeyCorp | | | | | | | | |
4.15%, 10/29/2025 | | | 950 | | | | 948 | |
4.79% (SOFR + 2.06%), 06/01/2033(3) | | | 590 | | | | 582 | |
LeasePlan Corp. NV | | | | | | | | |
2.88%, 10/24/2024(1) | | | 5,500 | | | | 5,266 | |
Liberty Mutual Group, Inc. | | | | | | | | |
3.95%, 10/15/2050(1) | | | 6,769 | | | | 5,141 | |
4.25%, 06/15/2023(1) | | | 72 | | | | 72 | |
4.57%, 02/01/2029(1) | | | 2,301 | | | | 2,262 | |
5.50%, 06/15/2052(1) | | | 5,750 | | | | 5,446 | |
Liberty Mutual Insurance Co. | | | | | | | | |
7.70%, 10/15/2097(1) | | | 100 | | | | 120 | |
8.50%, 05/15/2025(1) | | | 700 | | | | 765 | |
Life Storage LP | | | | | | | | |
2.20%, 10/15/2030 | | | 2,630 | | | | 2,108 | |
2.40%, 10/15/2031 | | | 1,310 | | | | 1,043 | |
4.00%, 06/15/2029 | | | 1,831 | | | | 1,689 | |
Lincoln National Corp. | | | | | | | | |
7.00%, 06/15/2040 | | | 1,715 | | | | 1,958 | |
Lloyds Banking Group Plc | | | | | | | | |
1.63% (1 Year CMT Index + 0.85%), 05/11/2027(3) | | | 2,280 | | | | 2,026 | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(3) | | | 8,950 | | | | 8,919 | |
3.51% (1 Year CMT Index + 1.60%), 03/18/2026(3) | | | 1,075 | | | | 1,047 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(3) | | | 1,000 | | | | 936 | |
3.75%, 01/11/2027 | | | 2,000 | | | | 1,931 | |
4.05%, 08/16/2023 | | | 3,000 | | | | 3,007 | |
4.38%, 03/22/2028 | | | 949 | | | | 922 | |
4.50%, 11/04/2024 | | | 2,010 | | | | 2,005 | |
4.58%, 12/10/2025 | | | 550 | | | | 539 | |
LSEGA Financing Plc | | | | | | | | |
2.00%, 04/06/2028(1) | | | 4,565 | | | | 4,000 | |
LXP Industrial Trust | | | | | | | | |
2.38%, 10/01/2031 | | | 4,601 | | | | 3,558 | |
M&T Bank Corp. | | | | | | | | |
4.00%, 07/15/2024 | | | 4,350 | | | | 4,326 | |
Macquarie Bank Ltd. | | | | | | | | |
3.05% (5 Year CMT Index + 1.70%), 03/03/2036(1)(3) | | | 2,090 | | | | 1,657 | |
4.00%, 07/29/2025(1) | | | 500 | | | | 498 | |
Macquarie Group Ltd. | | | | | | | | |
2.87% (SOFR + 1.53%), 01/14/2033(1)(3) | | | 4,000 | | | | 3,263 | |
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(1)(3) | | | 6,000 | | | | 5,986 | |
4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(1)(3) | | | 2,000 | | | | 2,001 | |
5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(1)(3) | | | 4,445 | | | | 4,433 | |
Markel Corp. | | | | | | | | |
3.63%, 03/30/2023 | | | 400 | | | | 401 | |
4.15%, 09/17/2050 | | | 655 | | | | 545 | |
5.00%, 04/05/2046 | | | 1,265 | | | | 1,193 | |
Massachusetts Mutual Life Insurance Co. | | | | | | | | |
3.73%, 10/15/2070(1) | | | 2,690 | | | | 1,961 | |
4.90%, 04/01/2077(1) | | | 5,000 | | | | 4,581 | |
7.63%, 11/15/2023(1) | | | 300 | | | | 310 | |
MassMutual Global Funding II | | | | | | | | |
2.75%, 06/22/2024(1) | | | 700 | | | | 686 | |
MBIA Insurance Corp. | | | | | | | | |
12.30% (3 Month LIBOR USD + 11.26%), 01/15/2033(1)(3) | | | 86 | | | | 16 | |
MetLife, Inc. | | | | | | | | |
4.88%, 11/13/2043 | | | 3,000 | | | | 2,957 | |
6.40%, 12/15/2036 | | | 3,530 | | | | 3,549 | |
Metropolitan Life Global Funding I | | | | | | | | |
3.00%, 09/19/2027(1) | | | 1,180 | | | | 1,112 | |
Mid-America Apartments LP | | | | | | | | |
1.70%, 02/15/2031 | | | 1,330 | | | | 1,052 | |
4.00%, 11/15/2025 | | | 1,500 | | | | 1,489 | |
Mitsubishi HC Capital, Inc. | | | | | | | | |
2.65%, 09/19/2022(1) | | | 764 | | | | 763 | |
3.96%, 09/19/2023(1) | | | 2,730 | | | | 2,730 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
0.85% (1 Year CMT Index + 0.68%), 09/15/2024(3) | | | 11,588 | | | | 11,156 | |
2.05%, 07/17/2030 | | | 2,940 | | | | 2,397 | |
2.19%, 02/25/2025 | | | 5,000 | | | | 4,745 | |
3.75%, 07/18/2039 | | | 1,615 | | | | 1,400 | |
Mizuho Bank Ltd. | | | | | | | | |
3.60%, 09/25/2024(1) | | | 1,250 | | | | 1,239 | |
| | | | | | | | |
Mizuho Financial Group, Inc. | | | | | | | | |
1.23% (1 Year CMT Index + 0.67%), 05/22/2027(3) | | | 2,378 | | | | 2,077 | |
2.17% (1 Year CMT Index + 0.87%), 05/22/2032(3) | | | 8,000 | | | | 6,336 | |
2.23% (3 Month LIBOR USD + 0.83%), 05/25/2026(3) | | | 1,740 | | | | 1,626 | |
2.26% (1 Year CMT Index + 0.90%), 07/09/2032(3) | | | 1,000 | | | | 798 | |
2.87% (SOFR + 1.57%), 09/13/2030(3) | | | 1,620 | | | | 1,407 | |
Morgan Stanley | | | | | | | | |
1.51% (SOFR + 0.86%), 07/20/2027(3) | | | 3,032 | | | | 2,659 | |
1.79% (SOFR + 1.03%), 02/13/2032(3) | | | 2,440 | | | | 1,919 | |
1.93% (SOFR + 1.02%), 04/28/2032(3) | | | 16,920 | | | | 13,417 | |
2.19% (SOFR + 1.99%), 04/28/2026(3) | | | 11,050 | | | | 10,344 | |
2.24% (SOFR + 1.18%), 07/21/2032(3) | | | 3,555 | | | | 2,880 | |
2.48% (SOFR + 1.00%), 01/21/2028(3) | | | 526 | | | | 478 | |
2.72% (SOFR + 1.15%), 07/22/2025(3) | | | 873 | | | | 841 | |
3.13%, 07/27/2026 | | | 936 | | | | 893 | |
3.22% (SOFR + 1.49%), 04/22/2042(3) | | | 5,000 | | | | 3,935 | |
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(3) | | | 5,882 | | | | 5,568 | |
3.63%, 01/20/2027 | | | 8,854 | | | | 8,576 | |
3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(3) | | | 4,371 | | | | 4,147 | |
3.88%, 04/29/2024 | | | 2,050 | | | | 2,053 | |
3.88%, 01/27/2026 | | | 1,725 | | | | 1,699 | |
3.95%, 04/23/2027 | | | 14,190 | | | | 13,741 | |
4.10%, 05/22/2023 | | | 3,460 | | | | 3,473 | |
4.35%, 09/08/2026 | | | 930 | | | | 920 | |
4.43% (3 Month LIBOR USD + 1.63%), 01/23/2030(3) | | | 2,304 | | | | 2,239 | |
5.00%, 11/24/2025 | | | 4,023 | | | | 4,088 | |
MUFG Bank Ltd. | | | | | | | | |
3.75%, 03/10/2024(1) | | | 3,215 | | | | 3,201 | |
National Australia Bank Ltd. | | | | | | | | |
2.33%, 08/21/2030(1) | | | 7,300 | | | | 5,868 | |
3.35% (5 Year CMT Index + 1.70%), 01/12/2037(1)(3) | | | 2,600 | | | | 2,182 | |
3.93% (5 Year CMT Index + 1.88%), 08/02/2034(1)(3) | | | 2,330 | | | | 2,112 | |
National Retail Properties, Inc. | | | | | | | | |
3.50%, 10/15/2027 | | | 400 | | | | 375 | |
3.60%, 12/15/2026 | | | 700 | | | | 674 | |
3.90%, 06/15/2024 | | | 1,310 | | | | 1,306 | |
Nationwide Building Society | | | | | | | | |
1.00%, 08/28/2025(1) | | | 1,085 | | | | 981 | |
1.50%, 10/13/2026(1) | | | 2,800 | | | | 2,494 | |
4.00%, 09/14/2026(1) | | | 9,650 | | | | 9,294 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
9.38%, 08/15/2039(1) | | | 7,150 | | | | 9,784 | |
Natwest Group Plc | | | | | | | | |
1.64% (1 Year CMT Index + 0.90%), 06/14/2027(3) | | | 8,225 | | | | 7,211 | |
3.75% (5 Year CMT Index + 2.10%), 11/01/2029(3) | | | 1,833 | | | | 1,760 | |
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(3) | | | 985 | | | | 927 | |
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(3) | | | 555 | | | | 554 | |
4.80%, 04/05/2026 | | | 3,017 | | | | 3,005 | |
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(3) | | | 6,005 | | | | 5,819 | |
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(3) | | | 7,000 | | | | 6,851 | |
NatWest Markets Plc | | | | | | | | |
1.60%, 09/29/2026(1) | | | 2,390 | | | | 2,105 | |
New York Life Global Funding | | | | | | | | |
3.00%, 01/10/2028(1) | | | 2,022 | | | | 1,914 | |
New York Life Insurance Co. | | | | | | | | |
4.45%, 05/15/2069(1) | | | 4,225 | | | | 3,618 | |
Nomura Holdings, Inc. | | | | | | | | |
1.65%, 07/14/2026 | | | 5,000 | | | | 4,378 | |
1.85%, 07/16/2025 | | | 5,000 | | | | 4,578 | |
2.61%, 07/14/2031 | | | 2,025 | | | | 1,615 | |
2.65%, 01/16/2025 | | | 2,597 | | | | 2,477 | |
2.68%, 07/16/2030 | | | 1,550 | | | | 1,268 | |
2.71%, 01/22/2029 | | | 11,000 | | | | 9,390 | |
Nordea Bank Abp | | | | | | | | |
1.50%, 09/30/2026(1) | | | 1,479 | | | | 1,314 | |
Northern Trust Corp. | | | | | | | | |
3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(3) | | | 411 | | | | 387 | |
Northwestern Mutual Global Funding | | | | | | | | |
1.70%, 06/01/2028(1) | | | 1,995 | | | | 1,760 | |
Office Properties Income Trust | | | | | | | | |
2.40%, 02/01/2027 | | | 2,800 | | | | 2,288 | |
4.50%, 02/01/2025 | | | 2,261 | | | | 2,166 | |
Ontario Teachers’ Cadillac Fairview Properties Trust | | | | | | | | |
3.88%, 03/20/2027(1) | | | 1,044 | | | | 1,017 | |
ORIX Corp. | | | | | | | | |
3.25%, 12/04/2024 | | | 1,500 | | | | 1,476 | |
Pacific Life Insurance Co. | | | | | | | | |
4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(1)(3) | | | 743 | | | | 626 | |
Park Aerospace Holdings Ltd. | | | | | | | | |
4.50%, 03/15/2023(1) | | | 2,655 | | | | 2,645 | |
5.50%, 02/15/2024(1) | | | 275 | | | | 273 | |
Physicians Realty LP | | | | | | | | |
2.63%, 11/01/2031 | | | 1,360 | | | | 1,095 | |
PNC Bank N.A. | | | | | | | | |
2.50%, 08/27/2024 | | | 1,615 | | | | 1,569 | |
3.88%, 04/10/2025 | | | 7,840 | | | | 7,774 | |
4.20%, 11/01/2025 | | | 322 | | | | 322 | |
| | | | | | | | |
PNC Financial Services Group, Inc. | | | | | | | | |
4.63% (SOFR + 1.85%), 06/06/2033(3) | | | 5,113 | | | | 4,938 | |
Principal Life Global Funding II | | | | | | | | |
1.38%, 01/10/2025(1) | | | 4,722 | | | | 4,405 | |
3.00%, 04/18/2026(1) | | | 2,000 | | | | 1,908 | |
Private Export Funding Corp. | | | | | | | | |
3.25%, 06/15/2025 | | | 1,280 | | | | 1,280 | |
3.55%, 01/15/2024 | | | 2,489 | | | | 2,507 | |
Prologis LP | | | | | | | | |
1.25%, 10/15/2030 | | | 10,115 | | | | 7,996 | |
2.25%, 04/15/2030 | | | 305 | | | | 264 | |
Protective Life Corp. | | | | | | | | |
4.30%, 09/30/2028(1) | | | 4,500 | | | | 4,435 | |
Prudential Financial, Inc. | | | | | | | | |
3.91%, 12/07/2047 | | | 1,231 | | | | 1,061 | |
6.63%, 06/21/2040 | | | 5,995 | | | | 6,914 | |
Prudential Insurance Co. of America | | | | | | | | |
8.30%, 07/01/2025(1) | | | 1,691 | | | | 1,871 | |
Public Storage | | | | | | | | |
1.95%, 11/09/2028 | | | 1,668 | | | | 1,442 | |
2.25%, 11/09/2031 | | | 1,401 | | | | 1,158 | |
Realty Income Corp. | | | | | | | | |
1.80%, 03/15/2033 | | | 1,320 | | | | 1,010 | |
3.25%, 01/15/2031 | | | 1,740 | | | | 1,582 | |
4.60%, 02/06/2024 | | | 7,100 | | | | 7,160 | |
Regency Centers LP | | | | | | | | |
2.95%, 09/15/2029 | | | 2,200 | | | | 1,933 | |
Sabra Health Care LP | | | | | | | | |
3.20%, 12/01/2031 | | | 2,195 | | | | 1,742 | |
Safehold Operating Partnership LP | | | | | | | | |
2.80%, 06/15/2031 | | | 7,000 | | | | 5,693 | |
2.85%, 01/15/2032 | | | 4,308 | | | | 3,458 | |
Sammons Financial Group, Inc. | | | | | | | | |
3.35%, 04/16/2031(1) | | | 7,000 | | | | 5,786 | |
4.75%, 04/08/2032(1) | | | 5,000 | | | | 4,551 | |
Santander UK Group Holdings Plc | | | | | | | | |
1.67% (SOFR + 0.99%), 06/14/2027(3) | | | 2,290 | | | | 1,999 | |
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(3) | | | 800 | | | | 743 | |
Santander UK Plc | | | | | | | | |
5.00%, 11/07/2023(1) | | | 4,150 | | | | 4,179 | |
Scentre Group Trust 1 / Scentre Group Trust 2 | | | | | | | | |
3.50%, 02/12/2025(1) | | | 1,390 | | | | 1,350 | |
Scentre Group Trust 2 | | | | | | | | |
4.75% (5 Year CMT Index + 4.38%), 09/24/2080(1)(3) | | | 1,865 | | | | 1,662 | |
SITE Centers Corp. | | | | | | | | |
4.70%, 06/01/2027 | | | 368 | | | | 363 | |
Societe Generale SA | | | | | | | | |
1.49% (1 Year CMT Index + 1.10%), 12/14/2026(1)(3) | | | 19,302 | | | | 17,025 | |
1.79% (1 Year CMT Index + 1.00%), 06/09/2027(1)(3) | | | 7,100 | | | | 6,193 | |
2.63%, 01/22/2025(1) | | | 1,907 | | | | 1,813 | |
2.89% (1 Year CMT Index + 1.30%), 06/09/2032(1)(3) | | | 8,975 | | | | 7,167 | |
3.00%, 01/22/2030(1) | | | 562 | | | | 477 | |
3.63%, 03/01/2041(1) | | | 6,000 | | | | 4,093 | |
4.03% (1 Year CMT Index + 1.90%), 01/21/2043(1)(3) | | | 3,282 | | | | 2,321 | |
4.25%, 04/14/2025(1) | | | 2,880 | | | | 2,822 | |
5.00%, 01/17/2024(1) | | | 860 | | | | 864 | |
6.22% (1 Year CMT Index + 3.20%), 06/15/2033(1)(3) | | | 4,500 | | | | 4,295 | |
SouthTrust Bank | | | | | | | | |
7.69%, 05/15/2025 | | | 253 | | | | 273 | |
Standard Chartered Plc | | | | | | | | |
1.46% (1 Year CMT Index + 1.00%), 01/14/2027(1)(3) | | | 10,474 | | | | 9,234 | |
1.82% (1 Year CMT Index + 0.95%), 11/23/2025(1)(3) | | | 10,598 | | | | 9,814 | |
2.61% (1 Year CMT Index + 1.18%), 01/12/2028(1)(3) | | | 5,000 | | | | 4,466 | |
2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(1)(3) | | | 1,360 | | | | 1,288 | |
4.87% (5 Year 1100 Run ICE Swap Rate USD + 1.97%), 03/15/2033(1)(3) | | | 800 | | | | 754 | |
State Bank of India | | | | | | | | |
4.38%, 01/24/2024(1) | | | 6,475 | | | | 6,509 | |
State Street Corp. | | | | | | | | |
2.20%, 03/03/2031 | | | 14,130 | | | | 11,555 | |
Sumitomo Life Insurance Co. | | | | | | | | |
4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(1)(3) | | | 1,000 | | | | 935 | |
Sumitomo Mitsui Banking Corp. | | | | | | | | |
3.95%, 07/19/2023 | | | 250 | | | | 251 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
1.47%, 07/08/2025 | | | 3,668 | | | | 3,369 | |
2.13%, 07/08/2030 | | | 2,650 | | | | 2,180 | |
2.63%, 07/14/2026 | | | 644 | | | | 601 | |
3.04%, 07/16/2029 | | | 5,005 | | | | 4,456 | |
Sumitomo Mitsui Trust Bank Ltd. | | | | | | | | |
1.55%, 03/25/2026(1) | | | 3,871 | | | | 3,511 | |
Svenska Handelsbanken AB | | | | | | | | |
3.95%, 06/10/2027(1) | | | 11,443 | | | | 11,200 | |
Synchrony Financial | | | | | | | | |
3.95%, 12/01/2027 | | | 1,500 | | | | 1,367 | |
4.50%, 07/23/2025 | | | 4,000 | | | | 3,892 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
4.27%, 05/15/2047(1) | | | 3,360 | | | | 2,991 | |
| | | | | | | | |
4.90%, 09/15/2044(1) | | | 200 | | | | 192 | |
6.85%, 12/16/2039(1) | | | 218 | | | | 256 | |
Toronto-Dominion Bank | | | | | | | | |
4.46%, 06/08/2032 | | | 6,232 | | | | 6,162 | |
Trinity Acquisition Plc | | | | | | | | |
4.40%, 03/15/2026 | | | 2,300 | | | | 2,279 | |
6.13%, 08/15/2043 | | | 5,000 | | | | 5,092 | |
Truist Financial Corp. | | | | | | | | |
2.85%, 10/26/2024 | | | 1,000 | | | | 980 | |
4.00%, 05/01/2025 | | | 424 | | | | 425 | |
4.12% (SOFR + 1.37%), 06/06/2028(3) | | | 7,293 | | | | 7,183 | |
4.80% (5 Year CMT Index + 3.00%), 12/31/2099(3) | | | 3,460 | | | | 3,096 | |
Trustage Financial Group, Inc. | | | | | | | | |
4.63%, 04/15/2032(1) | | | 5,000 | | | | 4,581 | |
UBS Group AG | | | | | | | | |
1.36% (1 Year CMT Index + 1.08%), 01/30/2027(1)(3) | | | 6,550 | | | | 5,806 | |
1.49% (1 Year CMT Index + 0.85%), 08/10/2027(1)(3) | | | 1,515 | | | | 1,326 | |
2.10% (1 Year CMT Index + 1.00%), 02/11/2032(1)(3) | | | 6,420 | | | | 5,097 | |
2.75% (1 Year CMT Index + 1.10%), 02/11/2033(1)(3) | | | 1,450 | | | | 1,180 | |
2.79% (SOFR + 1.58%), 05/12/2026(1)(3) | | | 5,330 | | | | 5,320 | |
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(1)(3) | | | 6,625 | | | | 6,623 | |
4.13%, 09/24/2025(1) | | | 2,510 | | | | 2,490 | |
4.25%, 03/23/2028(1) | | | 3,000 | | | | 2,911 | |
4.49% (1 Year CMT Index + 1.55%), 05/12/2026(1)(3) | | | 1,770 | | | | 1,763 | |
UDR, Inc. | | | | | | | | |
1.90%, 03/15/2033 | | | 2,025 | | | | 1,530 | |
2.10%, 08/01/2032 | | | 1,430 | | | | 1,112 | |
2.95%, 09/01/2026 | | | 276 | | | | 260 | |
3.00%, 08/15/2031 | | | 415 | | | | 355 | |
3.20%, 01/15/2030 | | | 1,565 | | | | 1,405 | |
UniCredit SpA | | | | | | | | |
1.98% (1 Year CMT Index + 1.20%), 06/03/2027(1)(3) | | | 1,135 | | | | 980 | |
2.57% (1 Year CMT Index + 2.30%), 09/22/2026(1)(3) | | | 2,330 | | | | 2,084 | |
5.86% (5 Year 1100 Run ICE Swap Rate USD + 3.70%), 06/19/2032(1)(3) | | | 1,400 | | | | 1,228 | |
7.30% (5 Year 1100 Run ICE Swap Rate USD + 4.91%), 04/02/2034(1)(3) | | | 715 | | | | 657 | |
Ventas Realty LP | | | | | | | | |
3.25%, 10/15/2026 | | | 323 | | | | 305 | |
3.50%, 02/01/2025 | | | 251 | | | | 245 | |
3.75%, 05/01/2024 | | | 382 | | | | 379 | |
3.85%, 04/01/2027 | | | 677 | | | | 654 | |
4.13%, 01/15/2026 | | | 126 | | | | 125 | |
Vornado Realty LP | | | | | | | | |
3.50%, 01/15/2025 | | | 800 | | | | 774 | |
Wells Fargo & Co. | | | | | | | | |
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(3) | | | 4,525 | | | | 4,253 | |
2.39% (SOFR + 2.10%), 06/02/2028(3) | | | 2,875 | | | | 2,575 | |
2.57% (SOFR + 1.26%), 02/11/2031(3) | | | 12,110 | | | | 10,410 | |
3.00%, 04/22/2026 | | | 2,125 | | | | 2,022 | |
3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(3) | | | 6,623 | | | | 6,270 | |
4.10%, 06/03/2026 | | | 3,580 | | | | 3,521 | |
4.30%, 07/22/2027 | | | 729 | | | | 721 | |
4.40%, 06/14/2046 | | | 626 | | | | 545 | |
4.61% (SOFR + 2.13%), 04/25/2053(3) | | | 3,301 | | | | 3,054 | |
4.65%, 11/04/2044 | | | 675 | | | | 607 | |
4.90%, 11/17/2045 | | | 1,571 | | | | 1,456 | |
5.38%, 11/02/2043 | | | 317 | | | | 310 | |
Welltower, Inc. | | | | | | | | |
2.70%, 02/15/2027 | | | 497 | | | | 459 | |
3.10%, 01/15/2030 | | | 1,085 | | | | 961 | |
6.50%, 03/15/2041 | | | 700 | | | | 785 | |
Westpac Banking Corp. | | | | | | | | |
3.13%, 11/18/2041 | | | 2,377 | | | | 1,743 | |
Weyerhaeuser Co. | | | | | | | | |
7.38%, 03/15/2032 | | | 142 | | | | 164 | |
Willis North America, Inc. | | | | | | | | |
5.05%, 09/15/2048 | | | 7,500 | | | | 6,996 | |
WP Carey, Inc. | | | | | | | | |
2.40%, 02/01/2031 | | | 1,800 | | | | 1,470 | |
2.45%, 02/01/2032 | | | 1,360 | | | | 1,094 | |
4.25%, 10/01/2026 | | | 3,404 | | | | 3,357 | |
WR Berkley Corp. | | | | | | | | |
4.75%, 08/01/2044 | | | 3,445 | | | | 3,219 | |
XLIT Ltd. | | | | | | | | |
5.25%, 12/15/2043 | | | 2,700 | | | | 2,861 | |
| | | | | | | | |
Total Financials | | | | 1,885,042 | |
| | | | | | | | |
Industrials – 1.68% | | | | |
Airbus SE | | | | | | | | |
3.15%, 04/10/2027(1) | | | 736 | | | | 709 | |
3.95%, 04/10/2047(1) | | | 150 | | | | 132 | |
Allegion US Holding Co., Inc. | | | | | | | | |
3.20%, 10/01/2024 | | | 2,000 | | | | 1,951 | |
Amphenol Corp. | | | | | | | | |
3.20%, 04/01/2024 | | | 8,135 | | | | 8,075 | |
Arrow Electronics, Inc. | | | | | | | | |
3.25%, 09/08/2024 | | | 219 | | | | 214 | |
3.88%, 01/12/2028 | | | 221 | | | | 210 | |
4.50%, 03/01/2023 | | | 183 | | | | 184 | |
| | | | | | | | |
BAE Systems Plc | | | | | | | | |
1.90%, 02/15/2031(1) | | | 6,886 | | | | 5,539 | |
3.00%, 09/15/2050(1) | | | 754 | | | | 535 | |
5.80%, 10/11/2041(1) | | | 400 | | | | 419 | |
Berry Global, Inc. | | | | | | | | |
1.57%, 01/15/2026 | | | 17,410 | | | | 15,525 | |
Boeing Co. | | | | | | | | |
1.17%, 02/04/2023 | | | 2,040 | | | | 2,017 | |
1.43%, 02/04/2024 | | | 4,150 | | | | 3,964 | |
1.95%, 02/01/2024 | | | 2,080 | | | | 2,013 | |
2.20%, 02/04/2026 | | | 19,535 | | | | 17,608 | |
2.75%, 02/01/2026 | | | 2,010 | | | | 1,866 | |
2.85%, 10/30/2024 | | | 3,650 | | | | 3,534 | |
3.10%, 05/01/2026 | | | 1,529 | | | | 1,424 | |
3.25%, 03/01/2028 | | | 2,061 | | | | 1,835 | |
3.30%, 03/01/2035 | | | 1,410 | | | | 1,069 | |
3.63%, 02/01/2031 | | | 4,745 | | | | 4,096 | |
3.95%, 08/01/2059 | | | 4,825 | | | | 3,248 | |
4.88%, 05/01/2025 | | | 5,616 | | | | 5,595 | |
5.04%, 05/01/2027 | | | 1,185 | | | | 1,171 | |
5.15%, 05/01/2030 | | | 4,225 | | | | 4,056 | |
5.71%, 05/01/2040 | | | 1,555 | | | | 1,450 | |
5.81%, 05/01/2050 | | | 6,010 | | | | 5,520 | |
Burlington Northern Santa Fe LLC | | | | | | | | |
2.88%, 06/15/2052 | | | 4,625 | | | | 3,453 | |
3.30%, 09/15/2051 | | | 2,162 | | | | 1,733 | |
3.55%, 02/15/2050 | | | 517 | | | | 432 | |
4.38%, 09/01/2042 | | | 462 | | | | 436 | |
4.45%, 01/15/2053 | | | 4,785 | | | | 4,628 | |
5.15%, 09/01/2043 | | | 389 | | | | 403 | |
5.40%, 06/01/2041 | | | 542 | | | | 574 | |
5.75%, 05/01/2040 | | | 373 | | | | 409 | |
6.15%, 05/01/2037 | | | 320 | | | | 377 | |
7.29%, 06/01/2036 | | | 134 | | | | 168 | |
Canadian Pacific Railway Co. | | | | | | | | |
2.90%, 02/01/2025 | | | 644 | | | | 625 | |
Carlisle Companies, Inc. | | | | | | | | |
3.50%, 12/01/2024 | | | 3,025 | | | | 2,990 | |
CH Robinson Worldwide, Inc. | | | | | | | | |
4.20%, 04/15/2028 | | | 6,000 | | | | 5,788 | |
CRH America Finance, Inc. | | | | | | | | |
3.40%, 05/09/2027(1) | | | 200 | | | | 191 | |
CRH America, Inc. | | | | | | | | |
3.88%, 05/18/2025(1) | | | 354 | | | | 352 | |
5.13%, 05/18/2045(1) | | | 230 | | | | 223 | |
CSX Corp. | | | | | | | | |
3.35%, 09/15/2049 | | | 305 | | | | 239 | |
4.10%, 03/15/2044 | | | 175 | | | | 154 | |
4.65%, 03/01/2068 | | | 2,000 | | | | 1,806 | |
4.75%, 11/15/2048 | | | 1,280 | | | | 1,250 | |
5.50%, 04/15/2041 | | | 402 | | | | 420 | |
Eaton Corp. | | | | | | | | |
4.00%, 11/02/2032 | | | 143 | | | | 138 | |
5.80%, 03/15/2037 | | | 500 | | | | 540 | |
7.63%, 04/01/2024 | | | 206 | | | | 219 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.05%, 06/15/2025 | | | 2,202 | | | | 2,130 | |
Embraer Overseas Ltd. | | | | | | | | |
5.70%, 09/16/2023(1) | | | 4,000 | | | | 4,045 | |
FedEx Corp. | | | | | | | | |
4.95%, 10/17/2048 | | | 3,000 | | | | 2,856 | |
Flex Ltd. | | | | | | | | |
3.75%, 02/01/2026 | | | 14,000 | | | | 13,396 | |
GE Capital Funding LLC | | | | | | | | |
4.55%, 05/15/2032 | | �� | 1,595 | | | | 1,538 | |
GE Capital International Funding Co. Unlimited Co. | | | | | | | | |
4.42%, 11/15/2035 | | | 8,599 | | | | 8,031 | |
Graphic Packaging International LLC | | | | | | | | |
0.82%, 04/15/2024(1) | | | 6,170 | | | | 5,804 | |
1.51%, 04/15/2026(1) | | | 11,485 | | | | 10,366 | |
JB Hunt Transport Services, Inc. | | | | | | | | |
3.85%, 03/15/2024 | | | 650 | | | | 649 | |
3.88%, 03/01/2026 | | | 1,380 | | | | 1,366 | |
Johnson Controls International Plc | | | | | | | | |
4.95%, 07/02/2064(2) | | | 928 | | | | 823 | |
Keysight Technologies, Inc. | | | | | | | | |
4.60%, 04/06/2027 | | | 13,000 | | | | 13,057 | |
L3Harris Technologies, Inc. | | | | | | | | |
1.80%, 01/15/2031 | | | 1,970 | | | | 1,572 | |
3.83%, 04/27/2025 | | | 820 | | | | 813 | |
4.85%, 04/27/2035 | | | 1,000 | | | | 984 | |
Lennox International, Inc. | | | | | | | | |
1.70%, 08/01/2027 | | | 2,000 | | | | 1,748 | |
Martin Marietta Materials, Inc. | | | | | | | | |
3.45%, 06/01/2027 | | | 811 | | | | 774 | |
3.50%, 12/15/2027 | | | 6,165 | | | | 5,823 | |
4.25%, 07/02/2024 | | | 1,705 | | | | 1,713 | |
6.25%, 05/01/2037 | | | 107 | | | | 114 | |
| | | | | | | | |
Masco Corp. | | | | | | | | |
2.00%, 10/01/2030 | | | 760 | | | | 600 | |
6.50%, 08/15/2032 | | | 1,240 | | | | 1,334 | |
Mexico City Airport Trust | | | | | | | | |
3.88%, 04/30/2028(1) | | | 3,126 | | | | 2,684 | |
5.50%, 07/31/2047(1) | | | 3,902 | | | | 2,675 | |
Norfolk Southern Corp. | | | | | | | | |
3.95%, 10/01/2042 | | | 332 | | | | 289 | |
4.05%, 08/15/2052 | | | 1,100 | | | | 958 | |
4.80%, 08/15/2043 | | | 1,273 | | | | 1,173 | |
5.59%, 05/17/2025 | | | 6 | | | | 6 | |
7.80%, 05/15/2027 | | | 1,705 | | | | 1,967 | |
Northrop Grumman Corp. | | | | | | | | |
3.25%, 01/15/2028 | | | 250 | | | | 238 | |
3.85%, 04/15/2045 | | | 195 | | | | 164 | |
nVent Finance Sarl | | | | | | | | |
4.55%, 04/15/2028 | | | 3,625 | | | | 3,503 | |
Otis Worldwide Corp. | | | | | | | | |
2.57%, 02/15/2030 | | | 3,430 | | | | 2,963 | |
Pactiv LLC | | | | | | | | |
7.95%, 12/15/2025 | | | 34 | | | | 30 | |
Parker-Hannifin Corp. | | | | | | | | |
4.10%, 03/01/2047 | | | 583 | | | | 500 | |
4.45%, 11/21/2044 | | | 333 | | | | 299 | |
4.50%, 09/15/2029 | | | 7,227 | | | | 7,191 | |
Penske Truck Leasing Co. LP | | | | | | | | |
1.20%, 11/15/2025(1) | | | 7,300 | | | | 6,517 | |
3.95%, 03/10/2025(1) | | | 7,000 | | | | 6,892 | |
Precision Castparts Corp. | | | | | | | | |
4.20%, 06/15/2035 | | | 75 | | | | 74 | |
4.38%, 06/15/2045 | | | 415 | | | | 393 | |
Raytheon Technologies Corp. | | | | | | | | |
2.82%, 09/01/2051 | | | 2,550 | | | | 1,825 | |
3.20%, 03/15/2024 | | | 409 | | | | 405 | |
3.75%, 11/01/2046 | | | 1,130 | | | | 957 | |
4.15%, 05/15/2045 | | | 1,683 | | | | 1,496 | |
4.35%, 04/15/2047 | | | 970 | | | | 898 | |
4.50%, 06/01/2042 | | | 1,823 | | | | 1,738 | |
Siemens Financieringsmaatschappij NV | | | | | | | | |
2.35%, 10/15/2026(1) | | | 700 | | | | 653 | |
3.13%, 03/16/2024(1) | | | 800 | | | | 794 | |
4.40%, 05/27/2045(1) | | | 513 | | | | 486 | |
SMBC Aviation Capital Finance DAC | | | | | | | | |
1.90%, 10/15/2026(1) | | | 1,400 | | | | 1,189 | |
Teledyne Technologies, Inc. | | | | | | | | |
2.75%, 04/01/2031 | | | 12,950 | | | | 10,826 | |
Textron, Inc. | | | | | | | | |
3.65%, 03/15/2027 | | | 4,975 | | | | 4,796 | |
Timken Co. | | | | | | | | |
3.88%, 09/01/2024 | | | 1,000 | | | | 992 | |
TTX Co. | | | | | | | | |
3.60%, 01/15/2025(1) | | | 2,000 | | | | 1,975 | |
Union Pacific Corp. | | | | | | | | |
4.10%, 09/15/2067 | | | 200 | | | | 170 | |
Vontier Corp. | | | | | | | | |
2.40%, 04/01/2028 | | | 8,000 | | | | 6,706 | |
Vulcan Materials Co. | | | | | | | | |
4.70%, 03/01/2048 | | | 2,054 | | | | 1,878 | |
Westinghouse Air Brake Technologies Corp. | | | | | | | | |
3.45%, 11/15/2026 | | | 5,000 | | | | 4,556 | |
4.38%, 08/15/2023 | | | 322 | | | | 323 | |
WestRock MWV LLC | | | | | | | | |
8.20%, 01/15/2030 | | | 537 | | | | 640 | |
WRKCo, Inc. | | | | | | | | |
3.75%, 03/15/2025 | | | 1,300 | | | | 1,288 | |
Xylem, Inc. | | | | | | | | |
1.95%, 01/30/2028 | | | 2,170 | | | | 1,917 | |
2.25%, 01/30/2031 | | | 960 | | | | 800 | |
3.25%, 11/01/2026 | | | 192 | | | | 186 | |
| | | | | | | | |
Total Industrials | | | | 287,053 | |
| | | | | | | | |
Technology – 1.54% | | | | |
Activision Blizzard, Inc. | | | | | | | | |
1.35%, 09/15/2030 | | | 1,423 | | | | 1,142 | |
Analog Devices, Inc. | | | | | | | | |
2.95%, 10/01/2051 | | | 2,122 | | | | 1,619 | |
Apple, Inc. | | | | | | | | |
2.45%, 08/04/2026 | | | 1,111 | | | | 1,063 | |
2.70%, 08/05/2051 | | | 5,980 | | | | 4,460 | |
3.45%, 02/09/2045 | | | 1,357 | | | | 1,180 | |
3.85%, 08/04/2046 | | | 776 | | | | 710 | |
Broadcom, Inc. | | | | | | | | |
2.45%, 02/15/2031(1) | | | 4,393 | | | | 3,529 | |
3.14%, 11/15/2035(1) | | | 16,812 | | | | 12,767 | |
3.19%, 11/15/2036(1) | | | 17,915 | | | | 13,618 | |
4.11%, 09/15/2028 | | | 3,329 | | | | 3,159 | |
4.75%, 04/15/2029 | | | 6,850 | | | | 6,637 | |
4.93%, 05/15/2037(1) | | | 436 | | | | 391 | |
| | | | | | | | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
2.67%, 12/01/2026 | | | 14,070 | | | | 12,535 | |
CGI, Inc. | | | | | | | | |
1.45%, 09/14/2026 | | | 2,182 | | | | 1,927 | |
2.30%, 09/14/2031 | | | 3,919 | | | | 3,144 | |
Dell International LLC / EMC Corp. | | | | | | | | |
3.38%, 12/15/2041(1) | | | 6,349 | | | | 4,536 | |
3.45%, 12/15/2051(1) | | | 971 | | | | 657 | |
5.30%, 10/01/2029 | | | 1,100 | | | | 1,084 | |
5.45%, 06/15/2023 | | | 1,620 | | | | 1,636 | |
6.02%, 06/15/2026 | | | 8,889 | | | | 9,226 | |
Fiserv, Inc. | | | | | | | | |
3.20%, 07/01/2026 | | | 890 | | | | 843 | |
3.85%, 06/01/2025 | | | 5,000 | | | | 4,949 | |
4.40%, 07/01/2049 | | | 2,850 | | | | 2,449 | |
Genpact Luxembourg Sarl | | | | | | | | |
3.38%, 12/01/2024 | | | 7,000 | | | | 6,867 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
4.40%, 10/15/2022 | | | 7,500 | | | | 7,514 | |
HP, Inc. | | | | | | | | |
3.00%, 06/17/2027 | | | 1,380 | | | | 1,276 | |
KLA Corp. | | | | | | | | |
3.30%, 03/01/2050 | | | 1,800 | | | | 1,426 | |
4.65%, 07/15/2032 | | | 3,578 | | | | 3,650 | |
5.25%, 07/15/2062 | | | 4,230 | | | | 4,360 | |
Leidos, Inc. | | | | | | | | |
2.30%, 02/15/2031 | | | 1,075 | | | | 856 | |
3.63%, 05/15/2025 | | | 3,500 | | | | 3,426 | |
Microchip Technology, Inc. | | | | | | | | |
0.97%, 02/15/2024 | | | 30,970 | | | | 29,405 | |
0.98%, 09/01/2024 | | | 2,397 | | | | 2,235 | |
2.67%, 09/01/2023 | | | 5,353 | | | | 5,264 | |
Micron Technology, Inc. | | | | | | | | |
2.70%, 04/15/2032 | | | 7,951 | | | | 6,340 | |
3.37%, 11/01/2041 | | | 331 | | | | 240 | |
Microsoft Corp. | | | | | | | | |
2.40%, 08/08/2026 | | | 600 | | | | 577 | |
2.53%, 06/01/2050 | | | 9,330 | | | | 6,872 | |
3.04%, 03/17/2062 | | | 589 | | | | 457 | |
3.50%, 02/12/2035 | | | 318 | | | | 305 | |
NXP BV / NXP USA, Inc. | | | | | | | | |
2.50%, 05/11/2031 | | | 3,495 | | | | 2,873 | |
2.65%, 02/15/2032 | | | 4,875 | | | | 4,004 | |
2.70%, 05/01/2025 | | | 2,110 | | | | 2,006 | |
3.25%, 05/11/2041 | | | 5,003 | | | | 3,766 | |
3.40%, 05/01/2030 | | | 2,970 | | | | 2,620 | |
4.30%, 06/18/2029 | | | 7,077 | | | | 6,752 | |
Oracle Corp. | | | | | | | | |
2.95%, 04/01/2030 | | | 7,672 | | | | 6,552 | |
3.60%, 04/01/2040 | | | 2,500 | | | | 1,868 | |
3.60%, 04/01/2050 | | | 2,355 | | | | 1,636 | |
3.65%, 03/25/2041 | | | 1,537 | | | | 1,145 | |
3.80%, 11/15/2037 | | | 600 | | | | 467 | |
3.85%, 07/15/2036 | | | 1,065 | | | | 856 | |
3.90%, 05/15/2035 | | | 936 | | | | 772 | |
4.30%, 07/08/2034 | | | 221 | | | | 193 | |
4.38%, 05/15/2055 | | | 400 | | | | 301 | |
QUALCOMM, Inc. | | | | | | | | |
4.50%, 05/20/2052 | | | 1,615 | | | | 1,590 | |
Roper Technologies, Inc. | | | | | | | | |
1.40%, 09/15/2027 | | | 3,050 | | | | 2,613 | |
2.00%, 06/30/2030 | | | 1,150 | | | | 926 | |
Seagate HDD Cayman | | | | | | | | |
4.75%, 06/01/2023 | | | 1,500 | | | | 1,485 | |
ServiceNow, Inc. | | | | | | | | |
1.40%, 09/01/2030 | | | 6,530 | | | | 5,110 | |
SK Hynix, Inc. | | | | | | | | |
1.50%, 01/19/2026(1) | | | 2,000 | | | | 1,797 | |
TSMC Arizona Corp. | | | | | | | | |
3.13%, 10/25/2041 | | | 4,500 | | | | 3,692 | |
4.50%, 04/22/2052 | | | 1,880 | | | | 1,839 | |
VMware, Inc. | | | | | | | | |
1.40%, 08/15/2026 | | | 8,282 | | | | 7,327 | |
1.80%, 08/15/2028 | | | 1,928 | | | | 1,601 | |
2.20%, 08/15/2031 | | | 10,586 | | | | 8,336 | |
4.65%, 05/15/2027 | | | 1,370 | | | | 1,363 | |
Workday, Inc. | | | | | | | | |
3.50%, 04/01/2027 | | | 3,141 | | | | 3,004 | |
3.70%, 04/01/2029 | | | 4,243 | | | | 3,969 | |
3.80%, 04/01/2032 | | | 7,025 | | | | 6,419 | |
Xilinx, Inc. | | | | | | | | |
2.38%, 06/01/2030 | | | 2,000 | | | | 1,764 | |
| | | | | | | | |
Total Technology | | | | 262,977 | |
| | | | | | | | |
Utilities – 2.82% | | | | |
Abu Dhabi National Energy Co. PJSC | | | | | | | | |
2.00%, 04/29/2028(1) | | | 2,015 | | | | 1,791 | |
| | | | | | | | |
AEP Texas, Inc. | | | | | | | | |
3.80%, 10/01/2047 | | | 3,715 | | | | 2,994 | |
AEP Transmission Co. LLC | | | | | | | | |
2.75%, 08/15/2051 | | | 3,446 | | | | 2,415 | |
3.15%, 09/15/2049 | | | 580 | | | | 440 | |
3.75%, 12/01/2047 | | | 2,600 | | | | 2,209 | |
4.00%, 12/01/2046 | | | 2,020 | | | | 1,784 | |
4.25%, 09/15/2048 | | | 4,790 | | | | 4,393 | |
Alabama Power Co. | | | | | | | | |
2.80%, 04/01/2025 | | | 2,025 | | | | 1,979 | |
3.75%, 03/01/2045 | | | 182 | | | | 150 | |
4.10%, 01/15/2042 | | | 233 | | | | 203 | |
4.15%, 08/15/2044 | | | 205 | | | | 181 | |
6.13%, 05/15/2038 | | | 219 | | | | 240 | |
Alexander Funding Trust | | | | | | | | |
1.84%, 11/15/2023(1) | | | 2,000 | | | | 1,915 | |
Alfa Desarrollo SpA | | | | | | | | |
4.55%, 09/27/2051(1) | | | 2,468 | | | | 1,771 | |
Ameren Corp. | | | | | | | | |
2.50%, 09/15/2024 | | | 2,153 | | | | 2,087 | |
American Electric Power Co., Inc. | | | | | | | | |
0.75%, 11/01/2023 | | | 3,032 | | | | 2,916 | |
American Water Capital Corp. | | | | | | | | |
3.45%, 06/01/2029 | | | 590 | | | | 555 | |
3.85%, 03/01/2024 | | | 500 | | | | 499 | |
4.00%, 12/01/2046 | | | 2,350 | | | | 2,039 | |
6.59%, 10/15/2037 | | | 386 | | | | 447 | |
APA Infrastructure Ltd. | | | | | | | | |
4.20%, 03/23/2025(1) | | | 2,100 | | | | 2,082 | |
4.25%, 07/15/2027(1) | | | 1,098 | | | | 1,068 | |
Arizona Public Service Co. | | | | | | | | |
3.35%, 06/15/2024 | | | 676 | | | | 668 | |
3.75%, 05/15/2046 | | | 2,290 | | | | 1,850 | |
5.05%, 09/01/2041 | | | 349 | | | | 327 | |
Atmos Energy Corp. | | | | | | | | |
4.13%, 10/15/2044 | | | 1,860 | | | | 1,647 | |
4.15%, 01/15/2043 | | | 830 | | | | 735 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
4.35%, 08/01/2028(1) | | | 10,275 | | | | 9,996 | |
Avangrid, Inc. | | | | | | | | |
3.15%, 12/01/2024 | | | 610 | | | | 596 | |
Baltimore Gas & Electric Co. | | | | | | | | |
2.90%, 06/15/2050 | | | 950 | | | | 694 | |
3.20%, 09/15/2049 | | | 1,105 | | | | 856 | |
3.50%, 08/15/2046 | | | 375 | | | | 307 | |
Berkshire Hathaway Energy Co. | | | | | | | | |
2.85%, 05/15/2051 | | | 7,650 | | | | 5,424 | |
3.50%, 02/01/2025 | | | 625 | | | | 625 | |
6.13%, 04/01/2036 | | | 366 | | | | 404 | |
Boston Gas Co. | | | | | | | | |
4.49%, 02/15/2042(1) | | | 253 | | | | 226 | |
Brooklyn Union Gas Co. | | | | | | | | |
3.87%, 03/04/2029(1) | | | 1,125 | | | | 1,058 | |
4.27%, 03/15/2048(1) | | | 1,100 | | | | 899 | |
4.50%, 03/10/2046(1) | | | 2,000 | | | | 1,713 | |
CenterPoint Energy Houston Electric LLC | | | | | | | | |
3.95%, 03/01/2048 | | | 151 | | | | 137 | |
China Southern Power Grid International Finance BVI Co. Ltd. | | | | | | | | |
3.50%, 05/08/2027(1) | | | 1,910 | | | | 1,882 | |
Cleveland Electric Illuminating Co. | | | | | | | | |
3.50%, 04/01/2028(1) | | | 1,333 | | | | 1,254 | |
CMS Energy Corp. | | | | | | | | |
2.95%, 02/15/2027 | | | 348 | | | | 327 | |
3.00%, 05/15/2026 | | | 110 | | | | 105 | |
3.45%, 08/15/2027 | | | 350 | | | | 335 | |
Colbun SA | | | | | | | | |
3.15%, 01/19/2032(1) | | | 464 | | | | 373 | |
Comision Federal de Electricidad | | | | | | | | |
4.69%, 05/15/2029(1) | | | 5,000 | | | | 4,468 | |
4.88%, 01/15/2024(1) | | | 322 | | | | 320 | |
Commonwealth Edison Co. | | | | | | | | |
3.65%, 06/15/2046 | | | 364 | | | | 309 | |
3.75%, 08/15/2047 | | | 1,000 | | | | 861 | |
4.00%, 03/01/2048 | | | 4,615 | | | | 4,149 | |
Connecticut Light & Power Co. | | | | | | | | |
3.20%, 03/15/2027 | | | 600 | | | | 583 | |
Consolidated Edison Co. of New York, Inc. | | | | | | | | |
3.85%, 06/15/2046 | | | 2,940 | | | | 2,479 | |
3.88%, 06/15/2047 | | | 1,800 | | | | 1,507 | |
4.13%, 05/15/2049 | | | 4,293 | | | | 3,780 | |
4.30%, 12/01/2056 | | | 3,050 | | | | 2,672 | |
4.50%, 05/15/2058 | | | 538 | | | | 483 | |
5.70%, 06/15/2040 | | | 318 | | | | 336 | |
Consolidated Edison, Inc. | | | | | | | | |
0.65%, 12/01/2023 | | | 7,561 | | | | 7,271 | |
Constellation Energy Generation LLC | | | | | | | | |
5.75%, 10/01/2041 | | | 3,192 | | | | 3,090 | |
6.25%, 10/01/2039 | | | 300 | | | | 307 | |
| | | | | | | | |
Consumers Energy Co. | | | | | | | | |
3.25%, 08/15/2046 | | | 190 | | | | 153 | |
4.35%, 08/31/2064 | | | 191 | | | | 175 | |
Delmarva Power & Light Co. | | | | | | | | |
4.00%, 06/01/2042 | | | 170 | | | | 147 | |
Dominion Energy, Inc. | | | | | | | | |
2.45%, 01/15/2023(1) | | | 3,264 | | | | 3,244 | |
2.85%, 08/15/2026 | | | 304 | | | | 288 | |
3.30%, 04/15/2041 | | | 1,438 | | | | 1,128 | |
4.90%, 08/01/2041 | | | 212 | | | | 204 | |
5.25%, 08/01/2033 | | | 1,161 | | | | 1,198 | |
7.00%, 06/15/2038 | | | 124 | | | | 143 | |
DTE Energy Co. | | | | | | | | |
1.05%, 06/01/2025 | | | 3,707 | | | | 3,410 | |
2.53%, 10/01/2024 | | | 3,878 | | | | 3,735 | |
Duke Energy Carolinas LLC | | | | | | | | |
3.70%, 12/01/2047 | | | 878 | | | | 743 | |
4.25%, 12/15/2041 | | | 141 | | | | 130 | |
6.00%, 12/01/2028 | | | 235 | | | | 254 | |
Duke Energy Corp. | | | | | | | | |
3.75%, 09/01/2046 | | | 13,800 | | | | 10,867 | |
3.95%, 08/15/2047 | | | 3,432 | | | | 2,784 | |
Duke Energy Florida LLC | | | | | | | | |
4.20%, 07/15/2048 | | | 3,636 | | | | 3,308 | |
Duke Energy Indiana LLC | | | | | | | | |
3.75%, 05/15/2046 | | | 600 | | | | 508 | |
Duke Energy Progress LLC | | | | | | | | |
2.90%, 08/15/2051 | | | 1,645 | | | | 1,212 | |
3.70%, 10/15/2046 | | | 506 | | | | 429 | |
4.10%, 05/15/2042 | | | 217 | | | | 196 | |
4.10%, 03/15/2043 | | | 181 | | | | 162 | |
4.15%, 12/01/2044 | | | 129 | | | | 115 | |
4.20%, 08/15/2045 | | | 325 | | | | 295 | |
4.38%, 03/30/2044 | | | 132 | | | | 123 | |
Duquesne Light Holdings, Inc. | | | | | | | | |
2.53%, 10/01/2030(1) | | | 2,500 | | | | 2,054 | |
3.62%, 08/01/2027(1) | | | 6,675 | | | | 6,199 | |
Edison International | | | | | | | | |
3.13%, 11/15/2022 | | | 4,014 | | | | 4,007 | |
3.55%, 11/15/2024 | | | 3,606 | | | | 3,518 | |
5.75%, 06/15/2027 | | | 10,028 | | | | 10,177 | |
Electricite de France SA | | | | | | | | |
4.75%, 10/13/2035(1) | | | 5,000 | | | | 4,639 | |
Emera US Finance LP | | | | | | | | |
3.55%, 06/15/2026 | | | 3,895 | | | | 3,728 | |
4.75%, 06/15/2046 | | | 900 | | | | 792 | |
Enel Finance International NV | | | | | | | | |
1.88%, 07/12/2028(1) | | | 270 | | | | 226 | |
2.65%, 09/10/2024(1) | | | 1,440 | | | | 1,395 | |
3.50%, 04/06/2028(1) | | | 5,845 | | | | 5,402 | |
4.75%, 05/25/2047(1) | | | 7,050 | | | | 6,004 | |
5.50%, 06/15/2052(1) | | | 1,605 | | | | 1,524 | |
6.00%, 10/07/2039(1) | | | 307 | | | | 305 | |
6.80%, 09/15/2037(1) | | | 2,425 | | | | 2,678 | |
Engie Energia Chile SA | | | | | | | | |
3.40%, 01/28/2030(1) | | | 1,600 | | | | 1,358 | |
Entergy Arkansas LLC | | | | | | | | |
2.65%, 06/15/2051 | | | 960 | | | | 665 | |
3.50%, 04/01/2026 | | | 307 | | | | 303 | |
Entergy Corp. | | | | | | | | |
2.95%, 09/01/2026 | | | 310 | | | | 294 | |
Entergy Louisiana LLC | | | | | | | | |
2.40%, 10/01/2026 | | | 650 | | | | 602 | |
2.90%, 03/15/2051 | | | 1,570 | | | | 1,132 | |
3.05%, 06/01/2031 | | | 440 | | | | 396 | |
3.12%, 09/01/2027 | | | 370 | | | | 352 | |
4.00%, 03/15/2033 | | | 2,610 | | | | 2,482 | |
Entergy Texas, Inc. | | | | | | | | |
4.50%, 03/30/2039 | | | 11,000 | | | | 10,305 | |
Evergy Kansas Central, Inc. | | | | | | | | |
4.13%, 03/01/2042 | | | 4,175 | | | | 3,717 | |
Evergy Metro, Inc. | | | | | | | | |
3.15%, 03/15/2023 | | | 375 | | | | 374 | |
4.20%, 03/15/2048 | | | 500 | | | | 448 | |
5.30%, 10/01/2041 | | | 1,032 | | | | 1,062 | |
Evergy, Inc. | | | | | | | | |
2.90%, 09/15/2029 | | | 2,190 | | | | 1,933 | |
Eversource Energy | | | | | | | | |
2.90%, 03/01/2027 | | | 7,736 | | | | 7,262 | |
Exelon Corp. | | | | | | | | |
4.95%, 06/15/2035 | | | 1,500 | | | | 1,462 | |
Fells Point Funding Trust | | | | | | | | |
3.05%, 01/31/2027(1) | | | 9,320 | | | | 8,594 | |
FirstEnergy Transmission LLC | | | | | | | | |
2.87%, 09/15/2028(1) | | | 3,735 | | | | 3,157 | |
4.35%, 01/15/2025(1) | | | 9,387 | | | | 9,240 | |
| | | | | | | | |
4.55%, 04/01/2049(1) | | | 2,858 | | | | 2,300 | |
5.45%, 07/15/2044(1) | | | 1,702 | | | | 1,591 | |
Florida Power & Light Co. | | | | | | | | |
2.88%, 12/04/2051 | | | 6,536 | | | | 4,860 | |
5.40%, 09/01/2035 | | | 700 | | | | 746 | |
Fortis, Inc. | | | | | | | | |
3.06%, 10/04/2026 | | | 2,291 | | | | 2,156 | |
Indiana Michigan Power Co. | | | | | | | | |
3.25%, 05/01/2051 | | | 1,570 | | | | 1,188 | |
Israel Electric Corp. Ltd. | | | | | | | | |
3.75%, 02/22/2032(1) | | | 3,154 | | | | 2,818 | |
4.25%, 08/14/2028(1) | | | 2,173 | | | | 2,088 | |
6.88%, 06/21/2023(1) | | | 7,780 | | | | 7,973 | |
ITC Holdings Corp. | | | | | | | | |
2.70%, 11/15/2022 | | | 10,512 | | | | 10,473 | |
2.95%, 05/14/2030(1) | | | 890 | | | | 785 | |
Jersey Central Power & Light Co. | | | | | | | | |
4.30%, 01/15/2026(1) | | | 740 | | | | 731 | |
6.15%, 06/01/2037 | | | 400 | | | | 426 | |
John Sevier Combined Cycle Generation LLC | | | | | | | | |
4.63%, 01/15/2042 | | | 410 | | | | 416 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026(1) | | | 538 | | | | 507 | |
Massachusetts Electric Co. | | | | | | | | |
4.00%, 08/15/2046(1) | | | 624 | | | | 516 | |
MidAmerican Energy Co. | | | | | | | | |
3.50%, 10/15/2024 | | | 317 | | | | 317 | |
Mid-Atlantic Interstate Transmission LLC | | | | | | | | |
4.10%, 05/15/2028(1) | | | 9,900 | | | | 9,659 | |
Monongahela Power Co. | | | | | | | | |
5.40%, 12/15/2043(1) | | | 1,650 | | | | 1,630 | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
8.00%, 03/01/2032 | | | 791 | | | | 985 | |
Nevada Power Co. | | | | | | | | |
5.38%, 09/15/2040 | | | 261 | | | | 269 | |
5.45%, 05/15/2041 | | | 386 | | | | 388 | |
New England Power Co. | | | | | | | | |
3.80%, 12/05/2047(1) | | | 5,108 | | | | 4,243 | |
New York State Electric & Gas Corp. | | | | | | | | |
3.25%, 12/01/2026(1) | | | 804 | | | | 774 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
0.65%, 03/01/2023 | | | 7,671 | | | | 7,539 | |
4.45%, 06/20/2025 | | | 3,505 | | | | 3,529 | |
Niagara Mohawk Power Corp. | | | | | | | | |
1.96%, 06/27/2030(1) | | | 2,150 | | | | 1,779 | |
3.51%, 10/01/2024(1) | | | 258 | | | | 253 | |
NiSource, Inc. | | | | | | | | |
1.70%, 02/15/2031 | | | 1,640 | | | | 1,282 | |
2.95%, 09/01/2029 | | | 1,520 | | | | 1,346 | |
3.95%, 03/30/2048 | | | 862 | | | | 715 | |
4.38%, 05/15/2047 | | | 3,618 | | | | 3,184 | |
5.80%, 02/01/2042 | | | 774 | | | | 784 | |
Northern States Power Co. | | | | | | | | |
3.60%, 09/15/2047 | | | 2,395 | | | | 2,011 | |
4.13%, 05/15/2044 | | | 1,480 | | | | 1,341 | |
NRG Energy, Inc. | | | | | | | | |
2.00%, 12/02/2025(1) | | | 2,685 | | | | 2,430 | |
2.45%, 12/02/2027(1) | | | 6,215 | | | | 5,336 | |
4.45%, 06/15/2029(1) | | | 1,155 | | | | 1,035 | |
OGE Energy Corp. | | | | | | | | |
0.70%, 05/26/2023 | | | 1,300 | | | | 1,267 | |
Ohio Power Co. | | | | | | | | |
2.90%, 10/01/2051 | | | 1,390 | | | | 994 | |
4.15%, 04/01/2048 | | | 1,190 | | | | 1,039 | |
Oklahoma Gas & Electric Co. | | | | | | | | |
0.55%, 05/26/2023 | | | 1,690 | | | | 1,642 | |
Oncor Electric Delivery Co. LLC | | | | | | | | |
3.10%, 09/15/2049 | | | 1,895 | | | | 1,466 | |
5.75%, 03/15/2029 | | | 124 | | | | 134 | |
Pacific Gas & Electric Co. | | | | | | | | |
1.37%, 03/10/2023 | | | 13,123 | | | | 12,922 | |
1.70%, 11/15/2023 | | | 1,880 | | | | 1,812 | |
2.37% (SOFR + 1.15%), 11/14/2022(3) | | | 2,245 | | | | 2,236 | |
2.95%, 03/01/2026 | | | 990 | | | | 899 | |
3.25%, 02/16/2024 | | | 12,309 | | | | 11,989 | |
3.45%, 07/01/2025 | | | 1,570 | | | | 1,476 | |
3.75%, 02/15/2024 | | | 676 | | | | 661 | |
3.75%, 08/15/2042 | | | 376 | | | | 254 | |
4.00%, 12/01/2046 | | | 2,289 | | | | 1,606 | |
4.25%, 08/01/2023 | | | 2,482 | | | | 2,468 | |
4.30%, 03/15/2045 | | | 638 | | | | 464 | |
4.45%, 04/15/2042 | | | 1,905 | | | | 1,431 | |
4.50%, 07/01/2040 | | | 2,046 | | | | 1,586 | |
5.90%, 06/15/2032 | | | 1,141 | | | | 1,103 | |
PECO Energy Co. | | | | | | | | |
2.80%, 06/15/2050 | | | 860 | | | | 628 | |
2.85%, 09/15/2051 | | | 2,878 | | | | 2,110 | |
| | | | | | | | |
3.70%, 09/15/2047 | | | 2,120 | | | | 1,840 | |
3.90%, 03/01/2048 | | | 5,235 | | | | 4,684 | |
4.15%, 10/01/2044 | | | 353 | | | | 320 | |
Pennsylvania Electric Co. | | | | | | | | |
3.25%, 03/15/2028(1) | | | 2,386 | | | | 2,214 | |
Pepco Holdings LLC | | | | | | | | |
7.45%, 08/15/2032 | | | 222 | | | | 260 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | | | | | | |
4.13%, 05/15/2027(1) | | | 3,453 | | | | 3,317 | |
PG&E Wildfire Recovery Funding LLC | | | | | | | | |
4.26%, 06/01/2036 | | | 1,735 | | | | 1,745 | |
Potomac Electric Power Co. | | | | | | | | |
6.50%, 11/15/2037 | | | 136 | | | | 158 | |
PPL Electric Utilities Corp. | | | | | | | | |
3.00%, 10/01/2049 | | | 2,105 | | | | 1,588 | |
4.13%, 06/15/2044 | | | 208 | | | | 186 | |
Public Service Co. of Colorado | | | | | | | | |
3.55%, 06/15/2046 | | | 353 | | | | 290 | |
4.10%, 06/15/2048 | | | 2,515 | | | | 2,294 | |
Public Service Co. of Oklahoma | | | | | | | | |
6.63%, 11/15/2037 | | | 649 | | | | 730 | |
Public Service Electric & Gas Co. | | | | | | | | |
3.15%, 08/15/2024 | | | 1,000 | | | | 990 | |
3.60%, 12/01/2047 | | | 1,605 | | | | 1,358 | |
5.38%, 11/01/2039 | | | 117 | | | | 121 | |
Public Service Enterprise Group, Inc. | | | | | | | | |
1.60%, 08/15/2030 | | | 8,395 | | | | 6,668 | |
Puget Energy, Inc. | | | | | | | | |
2.38%, 06/15/2028 | | | 4,023 | | | | 3,517 | |
3.65%, 05/15/2025 | | | 1,200 | | | | 1,175 | |
San Diego Gas & Electric Co. | | | | | | | | |
2.95%, 08/15/2051 | | | 2,230 | | | | 1,644 | |
3.75%, 06/01/2047 | | | 4,417 | | | | 3,728 | |
3.95%, 11/15/2041 | | | 310 | | | | 266 | |
5.35%, 05/15/2040 | | | 3,430 | | | | 3,501 | |
6.00%, 06/01/2026 | | | 213 | | | | 228 | |
Sempra Energy | | | | | | | | |
6.00%, 10/15/2039 | | | 752 | | | | 795 | |
Southern California Edison Co. | | | | | | | | |
2.95%, 02/01/2051 | | | 6,220 | | | | 4,217 | |
3.45%, 02/01/2052 | | | 594 | | | | 442 | |
3.50%, 10/01/2023 | | | 328 | | | | 328 | |
3.65%, 03/01/2028 | | | 1,200 | | | | 1,136 | |
3.90%, 12/01/2041 | | | 392 | | | | 317 | |
4.05%, 03/15/2042 | | | 800 | | | | 659 | |
4.13%, 03/01/2048 | | | 1,880 | | | | 1,547 | |
5.45%, 06/01/2052 | | | 1,815 | | | | 1,782 | |
6.05%, 03/15/2039 | | | 253 | | | | 265 | |
Southern California Gas Co. | | | | | | | | |
2.55%, 02/01/2030 | | | 2,621 | | | | 2,316 | |
Southern Co. | | | | | | | | |
4.48%, 08/01/2024(2) | | | 9,015 | | | | 9,049 | |
5.11%, 08/01/2027 | | | 4,294 | | | | 4,330 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
2.45%, 10/01/2023 | | | 230 | | | | 227 | |
3.25%, 06/15/2026 | | | 225 | | | | 216 | |
3.95%, 10/01/2046 | | | 282 | | | | 231 | |
4.40%, 06/01/2043 | | | 160 | | | | 139 | |
5.88%, 03/15/2041 | | | 1,210 | | | | 1,274 | |
Southern Power Co. | | | | | | | | |
5.15%, 09/15/2041 | | | 746 | | | | 702 | |
Southwest Gas Corp. | | | | | | | | |
3.80%, 09/29/2046 | | | 508 | | | | 395 | |
Southwestern Public Service Co. | | | | | | | | |
4.50%, 08/15/2041 | | | 350 | | | | 330 | |
Toledo Edison Co. | | | | | | | | |
2.65%, 05/01/2028(1) | | | 1,208 | | | | 1,130 | |
6.15%, 05/15/2037 | | | 680 | | | | 754 | |
Tri-State Generation & Transmission Association, Inc. | | | | | | | | |
4.25%, 06/01/2046 | | | 371 | | | | 322 | |
Union Electric Co. | | | | | | | | |
2.95%, 06/15/2027 | | | 715 | | | | 683 | |
3.65%, 04/15/2045 | | | 1,370 | | | | 1,132 | |
3.90%, 04/01/2052 | | | 3,065 | | | | 2,696 | |
Virginia Electric & Power Co. | | | | | | | | |
3.45%, 02/15/2024 | | | 191 | | | | 191 | |
3.50%, 03/15/2027 | | | 1,732 | | | | 1,691 | |
3.80%, 04/01/2028 | | | 2,675 | | | | 2,615 | |
4.45%, 02/15/2044 | | | 126 | | | | 117 | |
4.65%, 08/15/2043 | | | 1,765 | | | | 1,681 | |
Vistra Operations Co. LLC | | | | | | | | |
3.55%, 07/15/2024(1) | | | 8,460 | | | | 8,166 | |
WEC Energy Group, Inc. | | | | | | | | |
3.55%, 06/15/2025 | | | 204 | | | | 200 | |
Wisconsin Electric Power Co. | | | | | | | | |
3.10%, 06/01/2025 | | | 285 | | | | 280 | |
| | | | | | | | |
Xcel Energy, Inc. | | | | | | | | |
3.35%, 12/01/2026 | | | 5,105 | | | | 4,929 | |
| | | | | | | | |
Total Utilities | | | | 482,644 | |
| | | | | | | | |
Total Corporate Bonds (Cost: $5,438,941) | | | | | | | 4,865,740 | |
| | | | | | | | |
Government Related – 24.19% | | | | |
Other Government Related – 1.46% | | | | |
Alabama Economic Settlement Authority | | | | | | | | |
4.26%, 09/15/2032 | | | 610 | | | | 608 | |
American Municipal Power, Inc. | | | | | | | | |
7.50%, 02/15/2050 | | | 1,350 | | | | 1,772 | |
Atlanta Independent School System | | | | | | | | |
5.56%, 03/01/2026 | | | 535 | | | | 571 | |
Bay Area Toll Authority | | | | | | | | |
2.57%, 04/01/2031 | | | 6,700 | | | | 6,123 | |
6.26%, 04/01/2049 | | | 1,650 | | | | 2,106 | |
Bermuda Government International Bond | | | | | | | | |
2.38%, 08/20/2030(1) | | | 1,765 | | | | 1,474 | |
California Municipal Finance Authority | | | | | | | | |
3.28%, 02/01/2046 | | | 4,000 | | | | 3,170 | |
California Qualified School Bond Joint Powers Authority | | | | | | | | |
7.16%, 03/01/2027 | | | 670 | | | | 732 | |
Chile Government International Bond | | | | | | | | |
2.55%, 01/27/2032 | | | 1,398 | | | | 1,187 | |
4.34%, 03/07/2042 | | | 2,950 | | | | 2,626 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
3.83%, 05/15/2028 | | | 1,850 | | | | 1,849 | |
City of Los Angeles Department of Airports | | | | | | | | |
6.58%, 05/15/2039 | | | 1,585 | | | | 1,818 | |
Clark County School District | | | | | | | | |
5.51%, 06/15/2024 | | | 1,700 | | | | 1,739 | |
Colombia Government International Bond | | | | | | | | |
3.00%, 01/30/2030 | | | 2,682 | | | | 2,041 | |
4.50%, 03/15/2029 | | | 1,411 | | | | 1,217 | |
Corp. Andina de Fomento | | | | | | | | |
2.75%, 01/06/2023 | | | 1,125 | | | | 1,123 | |
Curators of the University of Missouri | | | | | | | | |
5.96%, 11/01/2039 | | | 3,445 | | | | 3,996 | |
District of Columbia Water & Sewer Authority | | | | | | | | |
4.81%, 10/01/2114 | | | 875 | | | | 878 | |
Eaton Community City School District | | | | | | | | |
5.39%, 08/25/2027 | | | 275 | | | | 275 | |
Export-Import Bank of India | | | | | | | | |
3.88%, 02/01/2028(1) | | | 3,480 | | | | 3,317 | |
Fannie Mae | | | | | | | | |
0.88%, 08/05/2030 | | | 3,585 | | | | 2,966 | |
1.63%, 01/07/2025 | | | 6,247 | | | | 6,032 | |
1.88%, 09/24/2026 | | | 170 | | | | 162 | |
2.63%, 09/06/2024 | | | 5,221 | | | | 5,173 | |
6.63%, 11/15/2030 | | | 2,920 | | | | 3,608 | |
7.13%, 01/15/2030 | | | 1,500 | | | | 1,886 | |
Federal Home Loan Banks | | | | | | | | |
4.00%, 10/24/2029 | | | 2,000 | | | | 2,097 | |
Federal Home Loan Mortgage Corp. | | | | | | | | |
6.25%, 07/15/2032 | | | 3,764 | | | | 4,674 | |
Finnvera OYJ | | | | | | | | |
2.38%, 06/04/2025(1) | | | 600 | | | | 586 | |
Hydro-Quebec | | | | | | | | |
8.05%, 07/07/2024 | | | 638 | | | | 695 | |
Idaho Energy Resources Authority | | | | | | | | |
2.86%, 09/01/2046 | | | 3,175 | | | | 2,451 | |
Indonesia Government International Bond | | | | | | | | |
4.13%, 01/15/2025(1) | | | 1,325 | | | | 1,318 | |
Israel Government AID Bond | | | | | | | | |
0.00%, 09/15/2023 | | | 1,837 | | | | 1,764 | |
0.00%, 11/01/2024 | | | 1,000 | | | | 922 | |
5.50%, 09/18/2033 | | | 619 | | | | 733 | |
Japan Finance Organization for Municipalities | | | | | | | | |
1.75%, 09/05/2024(1) | | | 200 | | | | 194 | |
2.13%, 10/25/2023(1) | | | 3,400 | | | | 3,360 | |
3.25%, 04/24/2023(1) | | | 1,000 | | | | 1,001 | |
Korea National Oil Corp. | | | | | | | | |
1.75%, 04/18/2025(1) | | | 5,339 | | | | 5,032 | |
Los Angeles Department of Water & Power Power System Revenue | | | | | | | | |
6.60%, 07/01/2050 | | | 2,400 | | | | 3,129 | |
Mexico Government International Bond | | | | | | | | |
2.66%, 05/24/2031 | | | 2,579 | | | | 2,122 | |
3.50%, 02/12/2034 | | | 3,202 | | | | 2,645 | |
3.75%, 01/11/2028 | | | 3,517 | | | | 3,368 | |
3.77%, 05/24/2061 | | | 1,753 | | | | 1,135 | |
4.13%, 01/21/2026 | | | 1,014 | | | | 1,014 | |
4.28%, 08/14/2041 | | | 6,339 | | | | 5,010 | |
4.35%, 01/15/2047 | | | 42 | | | | 32 | |
4.40%, 02/12/2052 | | | 3,052 | | | | 2,294 | |
4.60%, 01/23/2046 | | | 1,494 | | | | 1,195 | |
4.60%, 02/10/2048 | | | 1,482 | | | | 1,171 | |
4.75%, 03/08/2044 | | | 450 | | | | 374 | |
5.75%, 10/12/2110 | | | 588 | | | | 493 | |
| | | | | | | | |
New Hampshire Housing Finance Authority | | | | | | | | |
3.75%, 07/01/2034 | | | 15 | | | | 15 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
5.75%, 12/15/2028 | | | 5,100 | | | | 5,342 | |
New Jersey Turnpike Authority | | | | | | | | |
7.10%, 01/01/2041 | | | 5,870 | | | | 7,576 | |
New York State Dormitory Authority | | | | | | | | |
2.20%, 03/15/2034 | | | 4,165 | | | | 3,400 | |
5.60%, 03/15/2040 | | | 260 | | | | 288 | |
New York State Urban Development Corp. | | | | | | | | |
5.84%, 03/15/2040 | | | 2,000 | | | | 2,220 | |
North American Development Bank | | | | | | | | |
2.40%, 10/26/2022 | | | 684 | | | | 683 | |
North Carolina Housing Finance Agency | | | | | | | | |
3.00%, 01/01/2033 | | | 320 | | | | 320 | |
North Carolina State Education Assistance Authority | | | | | | | | |
0.00% (3 Month LIBOR USD + 0.80%), 07/25/2036(3)(5) | | | 7,791 | | | | 7,723 | |
Ohio State University | | | | | | | | |
4.05%, 12/01/2056 | | | 406 | | | | 391 | |
4.80%, 06/01/2111 | | | 1,102 | | | | 1,105 | |
Panama Government International Bond | | | | | | | | |
4.50%, 04/16/2050 | | | 1,610 | | | | 1,310 | |
Peruvian Government International Bond | | | | | | | | |
2.78%, 01/23/2031 | | | 2,220 | | | | 1,887 | |
5.63%, 11/18/2050 | | | 190 | | | | 197 | |
Port Authority of New York & New Jersey | | | | | | | | |
4.46%, 10/01/2062 | | | 2,065 | | | | 2,008 | |
5.65%, 11/01/2040 | | | 435 | | | | 487 | |
5.65%, 11/01/2040 | | | 1,260 | | | | 1,411 | |
Province of Manitoba Canada | | | | | | | | |
2.13%, 06/22/2026 | | | 400 | | | | 382 | |
Qatar Government International Bond | | | | | | | | |
4.40%, 04/16/2050(1) | | | 3,490 | | | | 3,325 | |
4.82%, 03/14/2049(1) | | | 1,200 | | | | 1,206 | |
5.10%, 04/23/2048(1) | | | 3,140 | | | | 3,285 | |
Regents of the University of California Medical Center Pooled Revenue | | | | | | | | |
3.71%, 05/15/2120 | | | 3,270 | | | | 2,379 | |
Republic of South Africa Government International Bond | | | | | | | | |
5.88%, 09/16/2025 | | | 403 | | | | 399 | |
Resolution Funding Corp. Principal Strip | | | | | | | | |
0.00%, 04/15/2030 | | | 929 | | | | 708 | |
Romanian Government International Bond | | | | | | | | |
6.00%, 05/25/2034(1) | | | 7,000 | | | | 6,324 | |
Saudi Government International Bond | | | | | | | | |
2.25%, 02/02/2033(1) | | | 1,533 | | | | 1,274 | |
2.88%, 03/04/2023(1) | | | 5,560 | | | | 5,545 | |
3.45%, 02/02/2061(1) | | | 1,185 | | | | 886 | |
St Johns County Industrial Development Authority | | | | | | | | |
2.54%, 10/01/2030 | | | 10,000 | | | | 8,686 | |
State of California | | | | | | | | |
7.30%, 10/01/2039 | | | 4,025 | | | | 5,207 | |
7.50%, 04/01/2034 | | | 5,540 | | | | 7,110 | |
State of Illinois | | | | | | | | |
5.00%, 10/01/2022 | | | 685 | | | | 690 | |
5.00%, 11/01/2022 | | | 10,340 | | | | 10,434 | |
5.10%, 06/01/2033 | | | 10,560 | | | | 10,624 | |
Tennessee Valley Authority | | | | | | | | |
0.75%, 05/15/2025 | | | 5,562 | | | | 5,202 | |
1.50%, 09/15/2031 | | | 1,230 | | | | 1,046 | |
2.88%, 02/01/2027 | | | 805 | | | | 794 | |
4.25%, 09/15/2065 | | | 1,720 | | | | 1,760 | |
4.63%, 09/15/2060 | | | 1,308 | | | | 1,443 | |
5.50%, 06/15/2038 | | | 57 | | | | 66 | |
5.88%, 04/01/2036 | | | 2,967 | | | | 3,600 | |
7.13%, 05/01/2030 | | | 1,615 | | | | 2,029 | |
Tennessee Valley Authority Generic Strip | | | | | | | | |
0.00%, 07/15/2028 | | | 2,000 | | | | 1,627 | |
0.00%, 03/15/2032 | | | 1,514 | | | | 1,066 | |
Tennessee Valley Authority Principal Strip | | | | | | | | |
0.00%, 11/01/2025 | | | 1,847 | | | | 1,656 | |
0.00%, 06/15/2035 | | | 258 | | | | 157 | |
Texas Private Activity Bond Surface Transportation Corp. | | | | | | | | |
3.92%, 12/31/2049 | | | 1,810 | | | | 1,592 | |
Three Rivers Local School District | | | | | | | | |
5.21%, 09/15/2027 | | | 285 | | | | 285 | |
Tokyo Metropolitan Government | | | | | | | | |
3.25%, 06/01/2023(1) | | | 1,200 | | | | 1,200 | |
University of Michigan | | | | | | | | |
4.45%, 04/01/2122 | | | 7,800 | | | | 7,100 | |
University of Pittsburgh-of the Commonwealth System of Higher Education | | | | | | | | |
3.56%, 09/15/2119 | | | 2,045 | | | | 1,487 | |
University of Virginia | | | | | | | | |
2.58%, 11/01/2051 | | | 3,150 | | | | 2,317 | |
4.18%, 09/01/2117 | | | 1,540 | | | | 1,333 | |
Uruguay Government International Bond | | | | | | | | |
4.98%, 04/20/2055 | | | 790 | | | | 780 | |
5.10%, 06/18/2050 | | | 1,150 | | | | 1,155 | |
| | | | | | | | |
West Contra Costa Unified School District | | | | | | | | |
6.25%, 08/01/2030 | | | 215 | | | | 246 | |
Westlake City School District | | | | | | | | |
5.23%, 12/01/2026 | | | 430 | | | | 431 | |
| | | | | | | | |
Total Other Government Related | | | | 250,457 | |
| | | | | | | | |
U.S. Treasury Obligations – 22.73% | | | | |
U.S. Treasury Inflation Indexed Bonds | | | | | | | | |
1.75%, 01/15/2028(10) | | | 828 | | | | 879 | |
2.50%, 01/15/2029(10) | | | 556 | | | | 618 | |
3.63%, 04/15/2028(10) | | | 1,864 | | | | 2,178 | |
U.S. Treasury Note/Bond | | | | | | | | |
0.25%, 05/31/2025 | | | 30,950 | | | | 28,560 | |
0.25%, 07/31/2025 | | | 6,707 | | | | 6,158 | |
0.25%, 08/31/2025 | | | 14,022 | | | | 12,839 | |
0.25%, 09/30/2025 | | | 35,771 | | | | 32,682 | |
0.38%, 07/15/2024 | | | 83,750 | | | | 79,438 | |
0.38%, 11/30/2025 | | | 34,650 | | | | 31,648 | |
0.38%, 12/31/2025 | | | 16,736 | | | | 15,253 | |
0.38%, 01/31/2026 | | | 45,164 | | | | 41,068 | |
0.50%, 02/28/2026 | | | 68,133 | | | | 62,100 | |
0.63%, 07/31/2026 | | | 26,486 | | | | 24,020 | |
0.63%, 08/15/2030 | | | 2,700 | | | | 2,238 | |
0.75%, 03/31/2026(11) | | | 141,999 | | | | 130,423 | |
0.75%, 04/30/2026 | | | 50,909 | | | | 46,669 | |
0.75%, 05/31/2026 | | | 29,191 | | | | 26,709 | |
0.75%, 08/31/2026 | | | 38,265 | | | | 34,830 | |
0.75%, 01/31/2028 | | | 60,000 | | | | 52,842 | |
0.88%, 06/30/2026 | | | 64,345 | | | | 59,069 | |
0.88%, 09/30/2026 | | | 42,561 | | | | 38,870 | |
0.88%, 11/15/2030 | | | 20,235 | | | | 17,085 | |
1.00%, 07/31/2028 | | | 32,000 | | | | 28,301 | |
1.13%, 10/31/2026 | | | 103,034 | | | | 94,972 | |
1.13%, 08/31/2028 | | | 234,050 | | | | 208,295 | |
1.13%, 05/15/2040 | | | 5,125 | | | | 3,568 | |
1.13%, 08/15/2040 | | | 9,056 | | | | 6,256 | |
1.25%, 11/30/2026 | | | 14,157 | | | | 13,109 | |
1.25%, 12/31/2026 | | | 21,469 | | | | 19,844 | |
1.25%, 03/31/2028 | | | 56,535 | | | | 51,076 | |
1.25%, 06/30/2028 | | | 90,462 | | | | 81,377 | |
1.25%, 09/30/2028 | | | 24,505 | | | | 21,948 | |
1.25%, 08/15/2031 | | | 67,290 | | | | 57,927 | |
1.25%, 05/15/2050 | | | 36,261 | | | | 23,071 | |
1.38%, 11/15/2031 | | | 8,874 | | | | 7,696 | |
1.38%, 11/15/2040 | | | 210,649 | | | | 151,708 | |
1.38%, 08/15/2050 | | | 37,840 | | | | 24,908 | |
1.50%, 09/30/2024 | | | 26,000 | | | | 25,151 | |
1.50%, 01/31/2027 | | | 2,499 | | | | 2,333 | |
1.50%, 02/15/2030 | | | 1,855 | | | | 1,666 | |
1.63%, 05/15/2026 | | | 20,000 | | | | 18,954 | |
1.63%, 08/15/2029 | | | 380 | | | | 346 | |
1.63%, 05/15/2031 | | | 4,225 | | | | 3,775 | |
1.63%, 11/15/2050 | | | 33,177 | | | | 23,334 | |
1.75%, 01/31/2023 | | | 12,000 | | | | 11,942 | |
1.75%, 12/31/2024 | | | 37,138 | | | | 35,992 | |
1.75%, 12/31/2026 | | | 115 | | | | 109 | |
1.75%, 01/31/2029 | | | 82,880 | | | | 76,415 | |
1.75%, 08/15/2041 | | | 38,777 | | | | 29,496 | |
1.88%, 02/28/2027 | | | 44,460 | | | | 42,202 | |
1.88%, 02/28/2029 | | | 33,900 | | | | 31,507 | |
1.88%, 02/15/2032 | | | 74,244 | | | | 67,260 | |
1.88%, 02/15/2041 | | | 37,782 | | | | 29,631 | |
1.88%, 02/15/2051 | | | 41,454 | | | | 31,096 | |
1.88%, 11/15/2051 | | | 102,096 | | | | 76,604 | |
2.00%, 06/30/2024 | | | 543 | | | | 533 | |
2.00%, 08/15/2025 | | | 150 | | | | 145 | |
2.00%, 11/15/2026 | | | 45,425 | | | | 43,431 | |
2.00%, 11/15/2041 | | | 22,413 | | | | 17,801 | |
2.00%, 02/15/2050 | | | 35,859 | | | | 27,788 | |
2.00%, 08/15/2051 | | | 32,246 | | | | 24,921 | |
2.13%, 12/31/2022 | | | 20,000 | | | | 19,958 | |
2.13%, 02/29/2024 | | | 10,842 | | | | 10,695 | |
2.13%, 05/15/2025 | | | 670 | | | | 654 | |
2.25%, 11/15/2024 | | | 20,529 | | | | 20,181 | |
2.25%, 11/15/2025 | | | 142,371 | | | | 138,667 | |
2.25%, 02/15/2027 | | | 1,530 | | | | 1,475 | |
2.25%, 11/15/2027 | | | 4,075 | | | | 3,907 | |
2.25%, 05/15/2041 | | | 168,034 | | | | 140,217 | |
2.25%, 08/15/2046 | | | 39,102 | | | | 31,529 | |
2.25%, 08/15/2049 | | | 9,259 | | | | 7,597 | |
2.25%, 02/15/2052 | | | 62,514 | | | | 51,447 | |
2.38%, 03/31/2029 | | | 30,000 | | | | 28,717 | |
2.38%, 02/15/2042 | | | 124,141 | | | | 105,268 | |
2.38%, 11/15/2049 | | | 32,332 | | | | 27,308 | |
2.38%, 05/15/2051 | | | 19,851 | | | | 16,758 | |
2.50%, 05/15/2024 | | | 738 | | | | 731 | |
2.50%, 02/28/2026 | | | 1,285 | | | | 1,260 | |
2.50%, 03/31/2027 | | | 15,034 | | | | 14,668 | |
| | | | | | | | |
2.50%, 02/15/2045 | | | 152,475 | | | | 129,318 | |
2.50%, 02/15/2046 | | | 14,435 | | | | 12,240 | |
2.50%, 05/15/2046 | | | 38,500 | | | | 32,632 | |
2.63%, 01/31/2026 | | | 25,000 | | | | 24,638 | |
2.63%, 05/31/2027 | | | 76,051 | | | | 74,613 | |
2.75%, 05/31/2023 | | | 1,737 | | | | 1,735 | |
2.75%, 02/15/2024 | | | 1,000 | | | | 997 | |
2.75%, 05/15/2025 | | | 8,043 | | | | 7,981 | |
2.75%, 04/30/2027 | | | 9,343 | | | | 9,217 | |
2.75%, 05/31/2029 | | | 20,712 | | | | 20,304 | |
2.75%, 11/15/2042 | | | 13,300 | | | | 11,909 | |
2.88%, 04/30/2025 | | | 840 | | | | 836 | |
2.88%, 05/31/2025 | | | 5,392 | | | | 5,369 | |
2.88%, 06/15/2025 | | | 23,796 | | | | 23,701 | |
2.88%, 04/30/2029 | | | 42,000 | | | | 41,508 | |
2.88%, 05/15/2032 | | | 124,164 | | | | 122,767 | |
2.88%, 05/15/2043 | | | 129,960 | | | | 118,507 | |
2.88%, 08/15/2045 | | | 8,405 | | | | 7,635 | |
2.88%, 05/15/2049 | | | 7,305 | | | | 6,811 | |
3.00%, 11/15/2044 | | | 1,585 | | | | 1,469 | |
3.00%, 02/15/2047 | | | 780 | | | | 728 | |
3.00%, 05/15/2047 | | | 12,505 | | | | 11,688 | |
3.00%, 02/15/2048 | | | 870 | | | | 820 | |
3.13%, 02/15/2043 | | | 18,100 | | | | 17,197 | |
3.13%, 05/15/2048 | | | 24,938 | | | | 24,134 | |
3.25%, 06/30/2027 | | | 26,460 | | | | 26,718 | |
3.25%, 05/15/2042 | | | 19,578 | | | | 19,107 | |
3.50%, 02/15/2039 | | | 22,157 | | | | 23,147 | |
3.63%, 08/15/2043 | | | 16,350 | | | | 16,780 | |
3.63%, 02/15/2044 | | | 10,150 | | | | 10,414 | |
3.75%, 11/15/2043 | | | 10,943 | | | | 11,447 | |
3.88%, 08/15/2040 | | | 25,825 | | | | 27,844 | |
4.25%, 05/15/2039 | | | 9,000 | | | | 10,280 | |
4.38%, 11/15/2039 | | | 11,454 | | | | 13,232 | |
4.38%, 05/15/2041 | | | 1,500 | | | | 1,718 | |
4.75%, 02/15/2037 | | | 6,162 | | | | 7,440 | |
U.S. Treasury Strip Coupon | | | | | | | | |
0.00%, 08/15/2022 | | | 4,975 | | | | 4,967 | |
0.00%, 11/15/2022 | | | 25,950 | | | | 25,768 | |
0.00%, 08/15/2023 | | | 22,550 | | | | 21,882 | |
0.00%, 11/15/2023 | | | 23,218 | | | | 22,345 | |
0.00%, 02/15/2024 | | | 12,206 | | | | 11,649 | |
0.00%, 05/15/2024 | | | 21,322 | | | | 20,193 | |
0.00%, 08/15/2024 | | | 1,834 | | | | 1,724 | |
0.00%, 11/15/2024 | | | 6,105 | | | | 5,698 | |
0.00%, 02/15/2025 | | | 799 | | | | 739 | |
0.00%, 05/15/2025 | | | 3,279 | | | | 3,015 | |
0.00%, 08/15/2027 | | | 4,314 | | | | 3,687 | |
0.00%, 11/15/2027 | | | 4,607 | | | | 3,905 | |
0.00%, 02/15/2031 | | | 12,590 | | | | 9,626 | |
0.00%, 02/15/2032 | | | 46,250 | | | | 34,245 | |
0.00%, 11/15/2034 | | | 2,487 | | | | 1,677 | |
0.00%, 02/15/2035 | | | 1,824 | | | | 1,219 | |
0.00%, 05/15/2035 | | | 1,920 | | | | 1,273 | |
0.00%, 08/15/2035 | | | 175 | | | | 115 | |
0.00%, 05/15/2036 | | | 121 | | | | 78 | |
0.00%, 05/15/2039 | | | 455 | | | | 260 | |
0.00%, 02/15/2041 | | | 50,000 | | | | 26,277 | |
0.00%, 08/15/2041 | | | 1,225 | | | | 622 | |
0.00%, 05/15/2043 | | | 36,515 | | | | 17,175 | |
0.00%, 02/15/2046 | | | 20,000 | | | | 8,633 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 3,887,354 | |
| | | | | | | | |
Total Government Related (Cost: $4,566,262) | | | | | | | 4,137,811 | |
| | | | | | | | |
Mortgage-Backed Obligations – 34.76% | | | | |
20 Times Square Trust 2018-20TS | | | | | | | | |
3.20%, 05/15/2035, Series 2018-20TS, Class D(1)(4) | | | 5,204 | | | | 4,933 | |
ACRE Commercial Mortgage 2021-FL4 Ltd. | | | | | | | | |
2.71% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/18/2037, Series 2021-FL4, Class AS(1)(3) | | | 3,990 | | | | 3,914 | |
Ajax Mortgage Loan Trust 2021-B | | | | | | | | |
2.24%, 06/25/2066, Series 2021-B, Class A(1)(2) | | | 6,880 | | | | 6,408 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
6.00%, 12/25/2033, Series 2003-22CB, Class 3A1 | | | 1,302 | | | | 1,257 | |
Alternative Loan Trust 2004-2CB | | | | | | | | |
5.75%, 03/25/2034, Series 2004-2CB, Class 1A9 | | | 300 | | | | 302 | |
Alternative Loan Trust 2005-1CB | | | | | | | | |
5.48% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035, Series 2005-1CB, Class 1A6(3)(5) | | | 91 | | | | 8 | |
Alternative Loan Trust 2005-20CB | | | | | | | | |
3.13% (1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035, Series 2005-20CB, Class 3A8(3)(5) | | | 324 | | | | 20 | |
Alternative Loan Trust 2005-22T1 | | | | | | | | |
3.45% (1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035, Series 2005-22T1, Class A2(3)(5) | | | 433 | | | | 35 | |
Alternative Loan Trust 2005-28CB | | | | | | | | |
5.50%, 08/25/2035, Series 2005-28CB, Class 1A4 | | | 130 | | | | 119 | |
6.00%, 08/25/2035, Series 2005-28CB, Class 3A5 | | | 6 | | | | 3 | |
| | | | | | | | |
Alternative Loan Trust 2005-37T1 | | | | | | | | |
3.43% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035, Series 2005-37T1, Class A2(3)(5) | | | 1,485 | | | | 127 | |
Alternative Loan Trust 2005-54CB | | | | | | | | |
3.23% (1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035, Series 2005-54CB, Class 1A2(3)(5) | | | 438 | | | | 31 | |
5.50%, 11/25/2035, Series 2005-54CB, Class 1A7 | | | 2 | | | | 1 | |
5.50%, 11/25/2035, Series 2005-54CB, Class 1A11 | | | 111 | | | | 93 | |
Alternative Loan Trust 2005-64CB | | | | | | | | |
5.50%, 12/25/2035, Series 2005-64CB, Class 1A9 | | | 52 | | | | 48 | |
Alternative Loan Trust 2006-28CB | | | | | | | | |
6.00%, 10/25/2036, Series 2006-28CB, Class A17 | | | 51 | | | | 31 | |
Alternative Loan Trust 2006-43CB | | | | | | | | |
6.00%, 08/25/2022, Series 2006-43CB, Class 2A1 | | | 1 | | | | 1 | |
American General Mortgage Loan Trust 2006-1 | | | | | | | | |
5.75%, 12/25/2035, Series 2006-1, Class A5(1)(4)(7) | | | 0 | | | | 0 | |
Anchor Mortgage Trust 2021-RTL1 | | | | | | | | |
2.60%, 10/25/2026, Series 2021-1, Class A1(1) | | | 13,200 | | | | 12,797 | |
Arbor Multifamily Mortgage Securities Trust 2022-MF4 | | | | | | | | |
3.40%, 02/15/2055, Series 2022-MF4, Class A5(1)(4) | | | 17,500 | | | | 16,016 | |
ASG Resecuritization Trust 2011-1 | | | | | | | | |
6.00%, 09/28/2036, Series 2011-1, Class 2A35(1)(4) | | | 27 | | | | 27 | |
Assurant Commercial Mortgage Trust 2016-1 | | | | | | | | |
3.17%, 05/15/2049, Series 2016-1A, Class AS(1) | | | 9,100 | | | | 8,827 | |
BAMLL Commercial Mortgage Securities Trust 2012-PARK | | | | | | | | |
2.96%, 12/10/2030, Series 2012-PARK, Class A(1) | | | 809 | | | | 808 | |
BAMLL Commercial Mortgage Securities Trust 2014-520M | | | | | | | | |
4.35%, 08/15/2046, Series 2014-520M, Class C(1)(4) | | | 1,200 | | | | 998 | |
BAMLL Re-REMIC Trust 2013-FRR2 | | | | | | | | |
0.00%, 09/26/2022, Series 2013-FRR2, Class A(1) | | | 4,000 | | | | 3,962 | |
BAMLL Re-REMIC Trust 2014-FRR5 | | | | | | | | |
0.00%, 06/27/2045, Series 2014-FRR5, Class AK30(1) | | | 6,300 | | | | 6,024 | |
Banc of America Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2049, Series 2004-6, Class 15PO(7) | | | 1 | | | | 0 | |
Banc of America Alternative Loan Trust 2005-11 | | | | | | | | |
5.50%, 12/25/2035, Series 2005-11, Class 1CB4 | | | 5 | | | | 5 | |
Banc of America Alternative Loan Trust 2006-5 | | | | | | | | |
6.00%, 06/25/2046, Series 2006-5, Class CB7 | | | 20 | | | | 18 | |
Banc of America Alternative Loan Trust 2007-1 | | | | | | | | |
3.92%, 10/25/2022, Series 2007-1, Class 1A1(4) | | | 9 | | | | 8 | |
Banc of America Funding 2004-1 Trust | | | | | | | | |
0.00%, 03/25/2034, Series 2004-1, Class PO | | | 13 | | | | 10 | |
Banc of America Funding 2004-2 Trust | | | | | | | | |
5.75%, 09/20/2034, Series 2004-2, Class 1CB1 | | | 745 | | | | 744 | |
Banc of America Funding 2005-6 Trust | | | | | | | | |
5.50%, 10/25/2035, Series 2005-6, Class 2A7 | | | 18 | | | | 16 | |
Banc of America Funding 2005-7 Trust | | | | | | | | |
0.00%, 11/25/2035, Series 2005-7, Class 30PO | | | 13 | | | | 12 | |
Banc of America Funding 2005-8 Trust | | | | | | | | |
0.00%, 01/25/2036, Series 2005-8, Class 30PO | | | 3 | | | | 2 | |
Banc of America Funding 2005-C Trust | | | | | | | | |
1.85% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035, Series 2005-C, Class A1(3) | | | 727 | | | | 720 | |
Banc of America Funding 2006-1 Trust | | | | | | | | |
0.00%, 01/25/2036, Series 2006-1, Class XPO | | | 4 | | | | 2 | |
Banc of America Mortgage 2003-C Trust | | | | | | | | |
2.75%, 04/25/2033, Series 2003-C, Class 3A1(4) | | | 2 | | | | 2 | |
BANK 2017-BNK4 | | | | | | | | |
3.63%, 05/15/2050, Series 2017-BNK4, Class A4 | | | 6,790 | | | | 6,613 | |
BANK 2017-BNK8 | | | | | | | | |
3.49%, 11/15/2050, Series 2017-BNK8, Class A4 | | | 12,745 | | | | 12,295 | |
BANK 2017-BNK9 | | | | | | | | |
3.54%, 11/15/2054, Series 2017-BNK9, Class A4 | | | 6,100 | | | | 5,910 | |
BANK 2018-BNK10 | | | | | | | | |
3.69%, 02/15/2061, Series 2018-BN10, Class A5 | | | 4,000 | | | | 3,885 | |
BANK 2019-BNK21 | | | | | | | | |
2.85%, 10/17/2052, Series 2019-BN21, Class A5 | | | 13,192 | | | | 12,015 | |
BANK 2019-BNK23 | | | | | | | | |
2.92%, 12/15/2052, Series 2019-BN23, Class A3 | | | 8,058 | | | | 7,341 | |
BANK 2020-BNK27 | | | | | | | | |
2.14%, 04/15/2063, Series 2020-BN27, Class A5 | | | 1,538 | | | | 1,321 | |
BANK 2020-BNK29 | | | | | | | | |
2.00%, 11/15/2053, Series 2020-BN29, Class A4 | | | 11,175 | | | | 9,364 | |
BANK 2021-BNK36 | | | | | | | | |
2.47%, 09/15/2064, Series 2021-BN36, Class A5 | | | 534 | | | | 460 | |
BANK 2021-BNK37 | | | | | | | | |
2.37%, 11/15/2064, Series 2021-BN37, Class A4 | | | 22,400 | | | | 19,057 | |
Bayview Financing Trust | | | | | | | | |
3.15%, 11/10/2022, Series 2020-3F, Class A(1)(4) | | | 3,689 | | | | 3,685 | |
BBCMS Mortgage Trust 2018-C2 | | | | | | | | |
4.05%, 12/15/2051, Series 2018-C2, Class A4 | | | 20,000 | | | | 19,665 | |
4.31%, 12/15/2051, Series 2018-C2, Class A5 | | | 5,475 | | | | 5,475 | |
BBCMS Mortgage Trust 2021-C12 | | | | | | | | |
2.42%, 11/15/2054, Series 2021-C12, Class A4 | | | 25,600 | | | | 22,181 | |
BBCMS Mortgage Trust 2022-C15 | | | | | | | | |
3.68%, 04/15/2055, Series 2022-C15, Class ASB(4) | | | 8,700 | | | | 8,404 | |
BBCMS Mortgage Trust 2022-C16 | | | | | | | | |
4.60%, 06/15/2055, Series 2022-C16, Class A5(4) | | | 8,750 | | | | 8,936 | |
| | | | | | | | |
BB-UBS Trust 2012-SHOW | | | | | | | | |
3.43%, 11/05/2036, Series 2012-SHOW, Class A(1) | | | 4,602 | | | | 4,427 | |
Bear Stearns ARM Trust 2003-2 | | | | | | | | |
2.59%, 01/25/2033, Series 2003-2, Class A5(1)(4) | | | 65 | | | | 65 | |
Bear Stearns ARM Trust 2003-7 | | | | | | | | |
3.15%, 10/25/2033, Series 2003-7, Class 3A(4) | | | 2 | | | | 2 | |
Bear Stearns ARM Trust 2004-2 | | | | | | | | |
3.08%, 05/25/2034, Series 2004-2, Class 14A(4) | | | 23 | | | | 22 | |
Bear Stearns ARM Trust 2006-1 | | | | | | | | |
2.40% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036, Series 2006-1, Class A1(3) | | | 61 | | | | 59 | |
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | | | | | | | | |
5.00%, 05/25/2034, Series 2004-AC2, Class 2A | | | 13 | | | | 12 | |
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | | | | | | | | |
1.17%, 01/12/2045, Series 2007-T26, Class X1(1)(4)(7) | | | 63 | | | | 0 | |
Bellemeade Re 2018-3 Ltd. | | | | | | | | |
3.47% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028, Series 2018-3A, Class M1B(1)(3) | | | 1,083 | | | | 1,078 | |
Bellemeade Re 2019-3 Ltd. | | | | | | | | |
3.22% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 07/25/2029, Series 2019-3A, Class M1B(1)(3) | | | 1,471 | | | | 1,465 | |
Bellemeade RE 2021-3 Ltd. | | | | | | | | |
1.93% (30-day Average SOFR + 1.00%, 1.00% Floor), 09/25/2031, Series 2021-3A, Class M1A(1)(3) | | | 6,100 | | | | 6,021 | |
1.93% (30-day Average SOFR + 1.00%, 1.00% Floor), 09/25/2031, Series 2021-3A, Class A2(1)(3) | | | 8,400 | | | | 8,182 | |
Benchmark 2018-B6 Mortgage Trust | | | | | | | | |
4.26%, 10/10/2051, Series 2018-B6, Class A4 | | | 8,862 | | | | 8,833 | |
Benchmark 2019-B15 Mortgage Trust | | | | | | | | |
2.67%, 12/15/2072, Series 2019-B15, Class A4 | | | 30,000 | | | | 26,807 | |
Benchmark 2020-B16 Mortgage Trust | | | | | | | | |
2.73%, 02/15/2053, Series 2020-B16, Class A5 | | | 511 | | | | 459 | |
Benchmark 2020-B17 Mortgage Trust | | | | | | | | |
2.29%, 03/15/2053, Series 2020-B17, Class A5 | | | 3,637 | | | | 3,156 | |
Benchmark 2020-B19 Mortgage Trust | | | | | | | | |
1.55%, 09/15/2053, Series 2020-B19, Class A4 | | | 21,500 | | | | 18,103 | |
1.85%, 09/15/2053, Series 2020-B19, Class A5 | | | 9,420 | | | | 7,884 | |
Benchmark 2020-B20 Mortgage Trust | | | | | | | | |
2.03%, 10/15/2053, Series 2020-B20, Class A5 | | | 3,735 | | | | 3,150 | |
Benchmark 2020-B21 Mortgage Trust | | | | | | | | |
1.98%, 12/17/2053, Series 2020-B21, Class A5 | | | 8,664 | | | | 7,251 | |
Benchmark 2020-B22 Mortgage Trust | | | | | | | | |
1.97%, 01/15/2054, Series 2020-B22, Class A5 | | | 4,844 | | | | 4,046 | |
Benchmark 2021-B24 Mortgage Trust | | | | | | | | |
2.01%, 03/15/2054, Series 2021-B24, Class A3 | | | 10,000 | | | | 8,866 | |
2.26%, 03/15/2054, Series 2021-B24, Class A4 | | | 20,000 | | | | 17,236 | |
2.58%, 03/15/2054, Series 2021-B24, Class A5 | | | 3,000 | | | | 2,625 | |
Benchmark 2021-B25 Mortgage Trust | | | | | | | | |
2.58%, 04/15/2054, Series 2021-B25, Class A5 | | | 544 | | | | 476 | |
Benchmark 2021-B26 Mortgage Trust | | | | | | | | |
2.61%, 06/15/2054, Series 2021-B26, Class A5 | | | 1,465 | | | | 1,281 | |
Benchmark 2021-B27 Mortgage Trust | | | | | | | | |
2.10%, 07/15/2054, Series 2021-B27, Class A4 | | | 22,500 | | | | 19,067 | |
2.39%, 07/15/2054, Series 2021-B27, Class A5 | | | 1,984 | | | | 1,702 | |
Benchmark 2021-B28 Mortgage Trust | | | | | | | | |
2.22%, 08/15/2054, Series 2021-B28, Class A5 | | | 2,052 | | | | 1,732 | |
Benchmark 2021-B29 Mortgage Trust | | | | | | | | |
2.39%, 09/15/2054, Series 2021-B29, Class A5 | | | 1,367 | | | | 1,169 | |
Benchmark 2022-B32 Mortgage Trust | | | | | | | | |
3.04%, 01/15/2055, Series 2022-B32, Class A3 | | | 23,000 | | | | 21,338 | |
Cascade Funding Mortgage Trust 2021-FRR1 | | | | | | | | |
2.32%, 02/28/2025, Series 2021-FRR1, Class BK45(1) | | | 4,450 | | | | 4,077 | |
CD 2006-CD3 Mortgage Trust | | | | | | | | |
0.18%, 10/15/2048, Series 2006-CD3, Class XS(1)(4) | | | 88 | | | | 1 | |
CD 2019-CD8 Mortgage Trust | | | | | | | | |
2.66%, 08/15/2057, Series 2019-CD8, Class A3 | | | 20,000 | | | | 17,735 | |
Central Park Funding Trust 2021-1 | | | | | | | | |
4.40% (1 Month LIBOR USD + 2.75%, 2.75% Floor), 08/29/2022, Series 2021-1, Class PT(1)(3) | | | 10,933 | | | | 10,576 | |
Chase Mortgage Finance Trust Series 2006-A1 | | | | | | | | |
3.11%, 09/25/2036, Series 2006-A1, Class 2A3(4) | | | 65 | | | | 58 | |
Chase Mortgage Finance Trust Series 2007-A1 | | | | | | | | |
2.62%, 02/25/2037, Series 2007-A1, Class 1A3(4) | | | 15 | | | | 15 | |
3.12%, 02/25/2037, Series 2007-A1, Class 9A1(4) | | | 15 | | | | 15 | |
3.44%, 02/25/2037, Series 2007-A1, Class 7A1(4) | | | 4 | | | | 4 | |
3.52%, 02/25/2037, Series 2007-A1, Class 2A1(4) | | | 28 | | | | 28 | |
Chase Mortgage Finance Trust Series 2007-A2 | | | | | | | | |
2.43%, 06/25/2035, Series 2007-A2, Class 2A1(4) | | | 20 | | | | 20 | |
3.21%, 06/25/2035, Series 2007-A2, Class 1A1(4) | | | 9 | | | | 8 | |
CHL Mortgage Pass-Through Trust 2002-18 | | | | | | | | |
0.00%, 11/25/2032, Series 2002-18, Class PO | | | 5 | | | | 4 | |
CHL Mortgage Pass-Through Trust 2004-3 | | | | | | | | |
5.50%, 04/25/2034, Series 2004-3, Class A26 | | | 15 | | | | 14 | |
5.75%, 04/25/2034, Series 2004-3, Class A4 | | | 10 | | | | 10 | |
CHL Mortgage Pass-Through Trust 2004-5 | | | | | | | | |
5.50%, 06/25/2034, Series 2004-5, Class 1A4 | | | 67 | | | | 65 | |
CHL Mortgage Pass-Through Trust 2004-7 | | | | | | | | |
3.09%, 06/25/2034, Series 2004-7, Class 2A1(4) | | | 4 | | | | 4 | |
CHL Mortgage Pass-Through Trust 2004-HYB1 | | | | | | | | |
2.81%, 05/20/2034, Series 2004-HYB1, Class 2A(4) | | | 7 | | | | 7 | |
| | | | | | | | |
CHL Mortgage Pass-Through Trust 2004-HYB3 | | | | | | | | |
2.68%, 06/20/2034, Series 2004-HYB3, Class 2A(4) | | | 29 | | | | 28 | |
CHL Mortgage Pass-Through Trust 2004-HYB6 | | | | | | | | |
2.57%, 11/20/2034, Series 2004-HYB6, Class A3(4) | | | 23 | | | | 23 | |
CHL Mortgage Pass-Through Trust 2005-14 | | | | | | | | |
5.50%, 07/25/2035, Series 2005-14, Class A2 | | | 10 | | | | 6 | |
CHL Mortgage Pass-Through Trust 2005-16 | | | | | | | | |
5.50%, 09/25/2035, Series 2005-16, Class A23 | | | 6 | | | | 4 | |
CHL Mortgage Pass-Through Trust 2005-22 | | | | | | | | |
2.49%, 11/25/2035, Series 2005-22, Class 2A1(4) | | | 94 | | | | 84 | |
Citicorp Mortgage Securities Trust Series 2006-4 | | | | | | | | |
6.00%, 08/25/2036, Series 2006-4, Class 1A2 | | | 22 | | | | 21 | |
Citigroup Commercial Mortgage Trust 2014-GC19 | | | | | | | | |
3.75%, 03/10/2047, Series 2014-GC19, Class A3 | | | 3,643 | | | | 3,603 | |
Citigroup Commercial Mortgage Trust 2014-GC21 | | | | | | | | |
3.58%, 05/10/2047, Series 2014-GC21, Class A4 | | | 2,282 | | | | 2,258 | |
Citigroup Commercial Mortgage Trust 2014-GC23 | | | | | | | | |
3.36%, 07/10/2047, Series 2014-GC23, Class A3 | | | 6,803 | | | | 6,695 | |
Citigroup Commercial Mortgage Trust 2015-GC29 | | | | | | | | |
2.94%, 04/10/2048, Series 2015-GC29, Class A3 | | | 9,394 | | | | 9,112 | |
Citigroup Commercial Mortgage Trust 2015-GC33 | | | | | | | | |
3.78%, 09/10/2058, Series 2015-GC33, Class A4 | | | 717 | | | | 710 | |
Citigroup Commercial Mortgage Trust 2016-C1 | | | | | | | | |
2.94%, 05/10/2049, Series 2016-C1, Class A3 | | | 10,100 | | | | 9,674 | |
Citigroup Commercial Mortgage Trust 2016-C3 | | | | | | | | |
3.15%, 11/15/2049, Series 2016-C3, Class A4 | | | 2,764 | | | | 2,649 | |
Citigroup Commercial Mortgage Trust 2016-GC37 | | | | | | | | |
3.05%, 04/10/2049, Series 2016-GC37, Class A3 | | | 9,635 | | | | 9,250 | |
Citigroup Commercial Mortgage Trust 2016-P6 | | | | | | | | |
3.72%, 12/10/2049, Series 2016-P6, Class A5(4) | | | 2,783 | | | | 2,727 | |
Citigroup Commercial Mortgage Trust 2017-P7 | | | | | | | | |
3.44%, 04/14/2050, Series 2017-P7, Class A3 | | | 16,000 | | | | 15,464 | |
Citigroup Commercial Mortgage Trust 2017-P8 | | | | | | | | |
3.20%, 09/15/2050, Series 2017-P8, Class A3 | | | 21,000 | | | | 19,982 | |
Citigroup Commercial Mortgage Trust 2018-B2 | | | | | | | | |
3.74%, 03/10/2051, Series 2018-B2, Class A3 | | | 22,000 | | | | 21,338 | |
4.01%, 03/10/2051, Series 2018-B2, Class A4 | | | 1,000 | | | | 984 | |
Citigroup Commercial Mortgage Trust 2019-C7 | | | | | | | | |
2.86%, 12/15/2072, Series 2019-C7, Class A3 | | | 2,550 | | | | 2,304 | |
3.10%, 12/15/2072, Series 2019-C7, Class A4 | | | 3,996 | | | | 3,656 | |
Citigroup Commercial Mortgage Trust 2020-GC46 | | | | | | | | |
2.72%, 02/15/2053, Series 2020-GC46, Class A5 | | | 13,520 | | | | 12,038 | |
Citigroup Global Markets Mortgage Securities VII, Inc. | | | | | | | | |
0.00%, 06/25/2033, Series 2003-UP2, Class PO1(7) | | | 0 | | | | 0 | |
2.24%, 09/25/2033, Series 2003-HYB1, Class A(4) | | | 22 | | | | 22 | |
Citigroup Mortgage Loan Trust 2009-10 | | | | | | | | |
2.53%, 09/25/2033, Series 2009-10, Class 1A1(1)(4) | | | 77 | | | | 76 | |
Citigroup Mortgage Loan Trust 2015-A | | | | | | | | |
4.50%, 06/25/2058, Series 2015-A, Class B2(1)(4) | | | 261 | | | | 254 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
0.00%, 09/25/2033, Series 2003-1, Class PO3 | | | 2 | | | | 1 | |
0.00%, 10/25/2033, Series 2003-1, Class PO2(7) | | | 0 | | | | 0 | |
2.24%, 02/25/2035, Series 2005-1, Class 2A1A(4) | | | 17 | | | | 15 | |
3.80%, 08/25/2035, Series 2005-5, Class 1A2(4) | | | 48 | | | | 37 | |
3.91%, 08/25/2034, Series 2004-UST1, Class A6(4) | | | 5 | | | | 5 | |
5.25%, 10/25/2033, Series 2003-1, Class 2A5 | | | 7 | | | | 6 | |
5.50%, 05/25/2035, Series 2005-2, Class 2A11 | | | 54 | | | | 52 | |
5.50%, 11/25/2035, Series 2005-9, Class 2A2 | | | 1 | | | | 1 | |
6.00%, 11/25/2035, Series 2005-9, Class 22A2 | | | 1,061 | | | | 1,044 | |
7.00%, 09/25/2033, Series 2003-UP3, Class A3 | | | 2 | | | | 2 | |
COMM 2012-CCRE2 Mortgage Trust | | | | | | | | |
1.54%, 08/15/2045, Series 2012-CR2, Class XA(4)(7) | | | 162 | | | | 0 | |
COMM 2013-300P Mortgage Trust | | | | | | | | |
4.35%, 08/10/2030, Series 2013-300P, Class A1(1) | | | 516 | | | | 512 | |
COMM 2013-CCRE10 Mortgage Trust | | | | | | | | |
3.92%, 08/10/2046, Series 2013-CR10, Class A3 | | | 1,189 | | | | 1,183 | |
COMM 2013-CCRE11 Mortgage Trust | | | | | | | | |
4.26%, 08/10/2050, Series 2013-CR11, Class A4 | | | 8,100 | | | | 8,117 | |
COMM 2013-CCRE12 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2046, Series 2013-CR12, Class A3 | | | 8,881 | | | | 8,768 | |
COMM 2013-CCRE7 Mortgage Trust | | | | | | | | |
3.21%, 03/10/2046, Series 2013-CR7, Class A4 | | | 1,226 | | | | 1,218 | |
COMM 2013-SFS Mortgage Trust | | | | | | | | |
3.09%, 04/12/2035, Series 2013-SFS, Class A2(1)(4) | | | 708 | | | | 697 | |
COMM 2014-CCRE19 Mortgage Trust | | | | | | | | |
3.80%, 08/10/2047, Series 2014-CR19, Class A5 | | | 17,769 | | | | 17,580 | |
COMM 2014-CCRE20 Mortgage Trust | | | | | | | | |
3.33%, 11/10/2047, Series 2014-CR20, Class A3 | | | 10,861 | | | | 10,649 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.43%, 08/10/2048, Series 2015-CR24, Class A4 | | | 6,734 | | | | 6,571 | |
3.70%, 08/10/2048, Series 2015-CR24, Class A5 | | | 771 | | | | 758 | |
COMM 2015-CCRE25 Mortgage Trust | | | | | | | | |
3.51%, 08/10/2048, Series 2015-CR25, Class A3 | | | 10,096 | | | | 9,842 | |
3.76%, 08/10/2048, Series 2015-CR25, Class A4 | | | 2,437 | | | | 2,399 | |
COMM 2015-LC23 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2048, Series 2015-LC23, Class A4 | | | 4,039 | | | | 3,974 | |
| | | | | | | | |
COMM 2018-HOME Mortgage Trust | | | | | | | | |
3.94%, 04/10/2033, Series 2018-HOME, Class A(1)(4) | | | 10,975 | | | | 10,341 | |
COMM 2020-CBM Mortgage Trust | | | | | | | | |
3.40%, 02/10/2037, Series 2020-CBM, Class C(1) | | | 6,090 | | | | 5,672 | |
Connecticut Avenue Securities Trust 2022-R01 | | | | | | | | |
2.83% (30-day Average SOFR + 1.90%), 12/25/2041, Series 2022-R01, Class 1M2(1)(3) | | | 7,380 | | | | 6,648 | |
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | | | | | | | | |
0.05%, 01/15/2049, Series 2007-C2, Class AX(1)(4)(7) | | | 1,796 | | | | 0 | |
Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | |
0.00%, 10/25/2033, Series 2003-23, Class 1P | | | 24 | | | | 18 | |
2.95%, 06/25/2033, Series 2003-AR15, Class 3A1(4) | | | 15 | | | | 14 | |
5.25%, 09/25/2033, Series 2003-21, Class 1A4 | | | 30 | | | | 28 | |
5.25%, 09/25/2034, Series 2004-5, Class 3A1 | | | 9 | | | | 9 | |
6.66%, 02/25/2033, Series 2003-1, Class DB1(4) | | | 49 | | | | 49 | |
CSAIL 2015-C4 Commercial Mortgage Trust | | | | | | | | |
3.54%, 11/15/2048, Series 2015-C4, Class A3 | | | 7,447 | | | | 7,247 | |
CSAIL 2016-C7 Commercial Mortgage Trust | | | | | | | | |
3.50%, 11/15/2049, Series 2016-C7, Class A5 | | | 1,882 | | | | 1,820 | |
CSAIL 2017-C8 Commercial Mortgage Trust | | | | | | | | |
3.13%, 06/15/2050, Series 2017-C8, Class A3 | | | 15,025 | | | | 14,038 | |
CSAIL 2019-C16 Commercial Mortgage Trust | | | | | | | | |
3.33%, 06/15/2052, Series 2019-C16, Class A3 | | | 1,299 | | | | 1,209 | |
CSAIL 2021-C20 Commercial Mortgage Trust | | | | | | | | |
2.49%, 03/15/2054, Series 2021-C20, Class A2 | | | 22,125 | | | | 19,455 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | | | | | | | | |
5.25%, 11/25/2033, Series 2003-27, Class 5A4 | | | 2 | | | | 2 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 | | | | | | | | |
5.50%, 09/25/2034, Series 2004-4, Class 2A4 | | | 22 | | | | 21 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8 | | | | | | | | |
5.50%, 12/25/2034, Series 2004-8, Class 1A4 | | | 64 | | | | 61 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 | | | | | | | | |
0.00%, 11/25/2035, Series 2005-10, Class AP | | | 5 | | | | 3 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 | | | | | | | | |
0.00%, 10/25/2035, Series 2005-9, Class AP | | | 4 | | | | 3 | |
5.50%, 10/25/2035, Series 2005-9, Class DX | | | 126 | | | | 14 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.37%, 09/15/2037, Series 2014-USA, Class D(1) | | | 3,000 | | | | 2,518 | |
CSMC 2018-RPL9 Trust | | | | | | | | |
3.85%, 09/25/2057, Series 2018-RPL9, Class A(1)(4) | | | 4,326 | | | | 4,198 | |
CSMC 2020-RPL3 Trust | | | | | | | | |
2.69%, 03/25/2060, Series 2020-RPL3, Class A1(1)(4) | | | 2,479 | | | | 2,403 | |
CSMC 2020-RPL6 Trust | | | | | | | | |
2.69%, 03/25/2059, Series 2020-RPL6, Class A1(1)(4) | | | 3,968 | | | | 3,821 | |
CSMCM 2018-RPL4 Trust | | | | | | | | |
0.00%, 05/25/2058(1)(4)(6) | | | 2,457 | | | | 2,343 | |
CSMCM 2018-RPL9 Trust | | | | | | | | |
4.95%, 09/25/2057, Series 2018-RPL9, Class CERT(1)(4)(6) | | | 2,037 | | | | 1,785 | |
DBJPM 16-C1 Mortgage Trust | | | | | | | | |
3.02%, 05/10/2049, Series 2016-C1, Class A3A | | | 13,217 | | | | 12,561 | |
DBJPM 20-C9 Mortgage Trust | | | | | | | | |
1.64%, 08/15/2053, Series 2020-C9, Class A4 | | | 20,600 | | | | 17,312 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | | | | | | | | |
6.15%, 04/25/2034, Series 2004-4, Class 1A6(2)(7) | | | 0 | | | | 0 | |
Eagle RE 2018-1 Ltd. | | | | | | | | |
3.32% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/25/2028, Series 2018-1, Class M1(1)(3) | | | 1,514 | | | | 1,508 | |
Eagle RE 2019-1 Ltd. | | | | | | | | |
3.42% (1 Month LIBOR USD + 1.80%), 04/25/2029, Series 2019-1, Class M1B(1)(3) | | | 866 | | | | 859 | |
Eagle RE 2021-1 Ltd. | | | | | | | | |
2.63% (30-day Average SOFR + 1.70%, 1.70% Floor), 10/25/2033, Series 2021-1, Class M1A(1)(3) | | | 5,527 | | | | 5,524 | |
Eagle RE 2021-2 Ltd. | | | | | | | | |
2.48% (30-day Average SOFR + 1.55%, 1.55% Floor), 04/25/2034, Series 2021-2, Class M1A(1)(3) | | | 21,840 | | | | 21,642 | |
EDP Finance BV | | | | | | | | |
3.63%, 07/15/2024(1) | | | 652 | | | | 646 | |
Fannie Mae | | | | | | | | |
2.00%, 06/01/2037(12) | | | 15,095 | | | | 14,089 | |
2.00%, 07/01/2052(12) | | | 32,760 | | | | 28,424 | |
2.50%, 07/01/2037(12) | | | 11,215 | | | | 10,709 | |
2.50%, 07/01/2052(12) | | | 48,570 | | | | 43,671 | |
3.00%, 07/01/2037(12) | | | 5,780 | | | | 5,647 | |
3.00%, 07/01/2052(12) | | | 38,105 | | | | 35,482 | |
3.50%, 07/01/2052(12) | | | 105,790 | | | | 101,732 | |
4.00%, 07/01/2052(12) | | | 67,340 | | | | 66,402 | |
4.50%, 07/01/2052(12) | | | 70,320 | | | | 70,586 | |
5.00%, 07/01/2052(12) | | | 13,455 | | | | 13,733 | |
Fannie Mae Grantor Trust 1999-T2 | | | | | | | | |
7.50%, 01/19/2039, Series 1999-T2, Class A1(4) | | | 40 | | | | 42 | |
Fannie Mae Grantor Trust 2001-T3 | | | | | | | | |
7.50%, 11/25/2040, Series 2001-T3, Class A1 | | | 69 | | | | 72 | |
Fannie Mae Grantor Trust 2002-T16 | | | | | | | | |
7.00%, 07/25/2042, Series 2002-T16, Class A2 | | | 82 | | | | 90 | |
Fannie Mae Grantor Trust 2004-T1 | | | | | | | | |
6.50%, 01/25/2044, Series 2004-T1, Class 1A2 | | | 15 | | | | 16 | |
Fannie Mae Grantor Trust 2004-T2 | | | | | | | | |
3.40%, 07/25/2043, Series 2004-T2, Class 2A(4) | | | 61 | | | | 62 | |
7.50%, 11/25/2043, Series 2004-T2, Class 1A4 | | | 130 | | | | 141 | |
| | | | | | | | |
Fannie Mae Grantor Trust 2004-T3 | | | | | | | | |
6.50%, 02/25/2044, Series 2004-T3, Class 1A2 | | | 207 | | | | 221 | |
7.00%, 02/25/2044, Series 2004-T3, Class 1A3 | | | 87 | | | | 94 | |
10.14%, 01/25/2044, Series 2004-T3, Class PT1(4) | | | 16 | | | | 18 | |
Fannie Mae Grantor Trust 2017-T1 | | | | | | | | |
2.90%, 06/25/2027, Series 2017-T1, Class A | | | 6,512 | | | | 6,335 | |
Fannie Mae Interest Strip | | | | | | | | |
0.00%, 09/25/2024, Series 300, Class 1 | | | 10 | | | | 9 | |
0.00%, 01/25/2033, Series 329, Class 1 | | | 5 | | | | 4 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042, Series 412, Class F2(3) | | | 276 | | | | 278 | |
2.17% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042, Series 411, Class F1(3) | | | 619 | | | | 621 | |
5.00%, 12/25/2033, Series 345, Class 6(4) | | | 7 | | | | 1 | |
5.50%, 05/25/2036, Series 365, Class 8 | | | 23 | | | | 5 | |
5.50%, 08/25/2036, Series 374, Class 5 | | | 17 | | | | 3 | |
5.50%, 04/25/2037, Series 393, Class 6 | | | 6 | | | | 1 | |
6.00%, 01/25/2038, Series 383, Class 33 | | | 16 | | | | 3 | |
7.50%, 04/25/2023, Series 218, Class 2(7) | | | 0 | | | | 0 | |
9.00%, 03/25/2024, Series 265, Class 2(7) | | | 0 | | | | 0 | |
Fannie Mae Pool | | | | | | | | |
1.46% (6 Month LIBOR USD + 1.20%, 1.20% Floor, 10.20% Cap), 08/01/2034(3) | | | 13 | | | | 13 | |
1.47% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 97.76% Cap), 01/01/2023(3) | | | 1,211 | | | | 1,209 | |
1.50% (1 Year LIBOR USD + 1.25%, 1.25% Floor, 11.25% Cap), 11/01/2037(3) | | | 48 | | | | 49 | |
1.50%, 01/01/2031 | | | 10,000 | | | | 8,474 | |
1.50%, 03/01/2041 | | | 1,203 | | | | 1,024 | |
1.50%, 02/01/2042 | | | 1,478 | | | | 1,267 | |
1.50%, 10/01/2050 | | | 2,058 | | | | 1,713 | |
1.50%, 11/01/2050 | | | 4,744 | | | | 3,948 | |
1.50%, 12/01/2050 | | | 14,668 | | | | 12,206 | |
1.50%, 01/01/2051 | | | 1,617 | | | | 1,347 | |
1.56%, 01/01/2031 | | | 2,275 | | | | 1,938 | |
1.60% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(3) | | | 3,288 | | | | 3,285 | |
1.67% (6 Month LIBOR USD + 1.17%, 1.17% Floor, 12.60% Cap), 09/01/2036(3) | | | 56 | | | | 56 | |
1.72% (1 Year LIBOR USD + 1.47%, 1.46% Floor, 10.03% Cap), 10/01/2034(3) | | | 5 | | | | 5 | |
1.72% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 10.72% Cap), 07/01/2037(3) | | | 7 | | | | 7 | |
1.73% (6 Month LIBOR USD + 1.33%, 1.34% Floor, 12.15% Cap), 07/01/2037(3) | | | 28 | | | | 29 | |
1.73% (1 Year LIBOR USD + 1.48%, 1.48% Floor, 10.30% Cap), 11/01/2033(3) | | | 25 | | | | 25 | |
1.74% (6 Month LIBOR USD + 1.41%, 1.41% Floor, 9.28% Cap), 09/01/2033(3) | | | 23 | | | | 23 | |
1.79% (6 Month LIBOR USD + 1.53%, 1.53% Floor, 12.79% Cap), 02/01/2037(3) | | | 30 | | | | 31 | |
1.80%, 10/01/2033 | | | 7,500 | | | | 6,318 | |
1.82% (1 Year LIBOR USD + 1.57%, 1.57% Floor, 11.37% Cap), 09/01/2036(3) | | | 23 | | | | 23 | |
1.86% (6 Month LIBOR USD + 1.55%, 1.55% Floor, 10.95% Cap), 02/01/2035(3) | | | 2 | | | | 2 | |
1.88% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 10.24% Cap), 01/01/2035(3) | | | 6 | | | | 6 | |
1.89% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 9.93% Cap), 08/01/2034(3) | | | 8 | | | | 8 | |
1.90% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 10.98% Cap), 09/01/2034(3) | | | 1 | | | | 1 | |
1.90% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 10.15% Cap), 09/01/2035(3) | | | 10 | | | | 10 | |
1.94% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 11.22% Cap), 09/01/2036(3) | | | 19 | | | | 20 | |
1.97% (1 Year LIBOR USD + 1.68%, 1.68% Floor, 8.86% Cap), 01/01/2034(3) | | | 3 | | | | 3 | |
1.97% (6 Month LIBOR USD + 1.47%, 1.47% Floor, 12.63% Cap), 01/01/2037(3) | | | 20 | | | | 21 | |
1.98% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 9.98% Cap), 11/01/2034(3) | | | 3 | | | | 3 | |
2.00% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.74% Cap), 07/01/2037(3) | | | 47 | | | | 48 | |
2.00%, 08/01/2031 | | | 1,345 | | | | 1,286 | |
2.00% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 10.00% Cap), 08/01/2034(3) | | | 1 | | | | 1 | |
2.00% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 9.70% Cap), 03/01/2035(3) | | | 13 | | | | 13 | |
2.00%, 06/01/2040 | | | 2,983 | | | | 2,668 | |
2.00%, 07/01/2040 | | | 2,815 | | | | 2,518 | |
2.00%, 09/01/2040 | | | 1,610 | | | | 1,440 | |
2.00%, 02/01/2041 | | | 7,801 | | | | 6,975 | |
2.00%, 05/01/2041 | | | 25,105 | | | | 22,446 | |
2.00%, 06/01/2041 | | | 7,887 | | | | 7,051 | |
2.00%, 04/01/2042 | | | 6,890 | | | | 6,159 | |
2.00%, 09/01/2050 | | | 6,329 | | | | 5,505 | |
2.00%, 09/01/2050 | | | 6,689 | | | | 5,832 | |
2.00%, 10/01/2050 | | | 1,628 | | | | 1,428 | |
2.00%, 10/01/2050 | | | 25,489 | | | | 22,277 | |
2.00%, 11/01/2050 | | | 398 | | | | 347 | |
2.00%, 11/01/2050 | | | 1,561 | | | | 1,366 | |
2.00%, 11/01/2050 | | | 15,165 | | | | 13,224 | |
2.00%, 12/01/2050 | | | 3,322 | | | | 2,887 | |
2.00%, 01/01/2051 | | | 3,848 | | | | 3,356 | |
2.00%, 01/01/2051 | | | 19,434 | | | | 16,945 | |
2.00%, 02/01/2051 | | | 7,847 | | | | 6,841 | |
2.00%, 03/01/2051 | | | 22,999 | | | | 20,060 | |
2.00%, 04/01/2051 | | | 6,004 | | | | 5,230 | |
2.00%, 05/01/2051 | | | 1,509 | | | | 1,311 | |
2.00%, 07/01/2051 | | | 3,099 | | | | 2,691 | |
2.00%, 08/01/2051 | | | 2,270 | | | | 1,979 | |
2.00%, 08/01/2051 | | | 3,548 | | | | 3,089 | |
2.00%, 08/01/2051 | | | 6,050 | | | | 5,268 | |
2.00%, 08/01/2051 | | | 12,617 | | | | 11,003 | |
2.00%, 09/01/2051 | | | 2,012 | | | | 1,754 | |
2.00%, 09/01/2051 | | | 15,834 | | | | 13,804 | |
2.00%, 10/01/2051 | | | 175 | | | | 152 | |
2.00%, 10/01/2051 | | | 5,087 | | | | 4,428 | |
2.00%, 10/01/2051 | | | 10,373 | | | | 9,085 | |
2.00%, 10/01/2051 | | | 13,088 | | | | 11,409 | |
2.00%, 11/01/2051 | | | 176 | | | | 153 | |
2.00%, 12/01/2051 | | | 12,814 | | | | 11,171 | |
| | | | | | | | |
2.00%, 12/01/2051 | | | 13,996 | | | | 12,227 | |
2.00%, 01/01/2052 | | | 2,052 | | | | 1,783 | |
2.00%, 01/01/2052 | | | 14,631 | | | | 12,755 | |
2.00%, 02/01/2052 | | | 9,719 | | | | 8,473 | |
2.00%, 02/01/2052 | | | 11,556 | | | | 10,085 | |
2.00%, 03/01/2052 | | | 21,129 | | | | 18,420 | |
2.00%, 04/01/2052 | | | 1,465 | | | | 1,274 | |
2.01% (1 Year LIBOR USD + 1.76%, 1.76% Floor, 11.26% Cap), 09/01/2037(3) | | | 4 | | | | 4 | |
2.02% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.62% Cap), 10/01/2036(3) | | | 25 | | | | 25 | |
2.02% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.10% Cap), 07/01/2036(3) | | | 21 | | | | 21 | |
2.02% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 10.84% Cap), 08/01/2036(3) | | | 37 | | | | 38 | |
2.03% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 10.63% Cap), 01/01/2037(3) | | | 9 | | | | 9 | |
2.04% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.37% Cap), 07/01/2037(3) | | | 24 | | | | 24 | |
2.05% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 10.83% Cap), 12/01/2036(3) | | | 30 | | | | 30 | |
2.06% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 9.16% Cap), 09/01/2033(3) | | | 6 | | | | 7 | |
2.07% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 11.20% Cap), 09/01/2036(3) | | | 13 | | | | 13 | |
2.07% (1 Year CMT Index + 2.02%, 2.02% Floor, 10.78% Cap), 11/01/2037(3) | | | 21 | | | | 22 | |
2.08%, 10/01/2033 | | | 9,930 | | | | 8,741 | |
2.09% (1 Year LIBOR USD + 1.84%, 1.84% Floor, 11.01% Cap), 06/01/2036(3) | | | 34 | | | | 35 | |
2.10% (6 Month LIBOR USD + 1.60%, 1.60% Floor, 10.35% Cap), 09/01/2036(3) | | | 21 | | | | 21 | |
2.12% (1 Year CMT Index + 2.00%, 2.00% Floor, 9.06% Cap), 11/01/2034(3) | | | 3 | | | | 3 | |
2.13% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.50% Cap), 08/01/2036(3) | | | 11 | | | | 11 | |
2.16%, 01/01/2034 | | | 6,070 | | | | 5,179 | |
2.16% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 12.16% Cap), 09/01/2037(3) | | | 4 | | | | 4 | |
2.17% (1 Year CMT Index + 2.05%, 2.05% Floor, 9.42% Cap), 07/01/2034(3)(7) | | | 0 | | | | 0 | |
2.20% (ECOFC + 1.25%, 2.01% Floor, 12.64% Cap), 09/01/2027(3) | | | 2 | | | | 2 | |
2.20% (1 Year LIBOR USD + 1.95%, 1.95% Floor, 12.32% Cap), 11/01/2036(3)(7) | | | 0 | | | | 0 | |
2.20% (6 Month LIBOR USD + 1.51%, 1.51% Floor, 10.86% Cap), 01/01/2035(3) | | | 83 | | | | 85 | |
2.22% (1 Year LIBOR USD + 1.61%, 1.61% Floor, 10.91% Cap), 04/01/2037(3) | | | 10 | | | | 10 | |
2.24% (12 Month U.S. Treasury Average + 1.94%, 1.94% Floor, 8.55% Cap), 01/01/2036(3) | | | 41 | | | | 42 | |
2.26% (6 Month LIBOR USD + 2.03%, 2.03% Floor, 11.19% Cap), 02/01/2037(3) | | | 18 | | | | 19 | |
2.29% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.19% Cap), 01/01/2038(3) | | | 16 | | | | 16 | |
2.33% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.76% Cap), 10/01/2036(3) | | | 19 | | | | 19 | |
2.33% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.84% Cap), 10/01/2036(3) | | | 42 | | | | 44 | |
2.34%, 12/01/2022 | | | 1,930 | | | | 1,928 | |
2.35% (1 Year CMT Index + 2.26%, 2.26% Floor, 10.76% Cap), 12/01/2037(3) | | | 60 | | | | 62 | |
2.37%, 01/01/2023 | | | 950 | | | | 950 | |
2.38% (1 Year CMT Index + 2.09%, 2.09% Floor, 10.01% Cap), 07/01/2035(3) | | | 3 | | | | 3 | |
2.41%, 11/01/2022 | | | 136 | | | | 136 | |
2.42%, 06/01/2023 | | | 785 | | | | 779 | |
2.49% (1 Year CMT Index + 2.38%, 2.38% Floor, 10.19% Cap), 10/01/2034(3) | | | 20 | | | | 21 | |
2.50%, 04/01/2030 | | | 1,038 | | | | 1,018 | |
2.50%, 05/01/2030 | | | 1,266 | | | | 1,242 | |
2.50%, 11/01/2031 | | | 1,777 | | | | 1,743 | |
2.50%, 12/01/2034 | | | 9,035 | | | | 8,682 | |
2.50%, 08/01/2035 | | | 2,243 | | | | 2,147 | |
2.50%, 08/01/2035 | | | 4,373 | | | | 4,186 | |
2.50%, 09/01/2035 | | | 5,906 | | | | 5,653 | |
2.50%, 10/01/2035 | | | 160 | | | | 153 | |
2.50%, 12/01/2036 | | | 1,429 | | | | 1,313 | |
2.50%, 04/01/2042 | | | 9,525 | | | | 8,767 | |
2.50%, 05/01/2042 | | | 3,859 | | | | 3,549 | |
2.50%, 01/01/2043 | | | 1,356 | | | | 1,235 | |
2.50%, 02/01/2043 | | | 615 | | | | 560 | |
2.50%, 10/01/2043 | | | 1,247 | | | | 1,136 | |
2.50%, 05/01/2046 | | | 544 | | | | 494 | |
2.50%, 07/01/2046 | | | 1,383 | | | | 1,255 | |
2.50%, 08/01/2046 | | | 506 | | | | 459 | |
2.50%, 10/01/2046 | | | 412 | | | | 374 | |
2.50%, 03/01/2050 | | | 729 | | | | 659 | |
2.50%, 06/01/2050 | | | 1,062 | | | | 958 | |
2.50%, 06/01/2050 | | | 2,384 | | | | 2,154 | |
2.50%, 06/01/2050 | | | 3,787 | | | | 3,419 | |
2.50%, 06/01/2050 | | | 15,011 | | | | 13,593 | |
2.50%, 07/01/2050 | | | 2,479 | | | | 2,241 | |
2.50%, 07/01/2050 | | | 5,876 | | | | 5,299 | |
2.50%, 07/01/2050 | | | 13,052 | | | | 11,856 | |
2.50%, 08/01/2050 | | | 2,806 | | | | 2,535 | |
2.50%, 08/01/2050 | | | 19,227 | | | | 17,340 | |
2.50%, 09/01/2050 | | | 3,227 | | | | 2,936 | |
2.50%, 09/01/2050 | | | 7,715 | | | | 6,836 | |
2.50%, 10/01/2050 | | | 1,369 | | | | 1,244 | |
2.50%, 10/01/2050(11) | | | 43,131 | | | | 38,905 | |
2.50%, 11/01/2050 | | | 1,778 | | | | 1,602 | |
2.50%, 12/01/2050 | | | 12,126 | | | | 10,936 | |
2.50%, 01/01/2051 | | | 1,436 | | | | 1,294 | |
2.50%, 02/01/2051 | | | 1,570 | | | | 1,430 | |
2.50%, 02/01/2051 | | | 4,362 | | | | 3,958 | |
2.50%, 02/01/2051 | | | 5,107 | | | | 4,609 | |
2.50%, 03/01/2051 | | | 2,615 | | | | 2,356 | |
2.50%, 04/01/2051 | | | 26,721 | | | | 24,081 | |
2.50%, 05/01/2051 | | | 3,092 | | | | 2,786 | |
2.50%, 05/01/2051 | | | 7,216 | | | | 6,609 | |
2.50%, 06/01/2051 | | | 867 | | | | 783 | |
2.50%, 07/01/2051 | | | 2,499 | | | | 2,251 | |
2.50%, 08/01/2051 | | | 1,122 | | | | 1,011 | |
2.50%, 08/01/2051 | | | 3,503 | | | | 3,157 | |
| | | | | | | | |
2.50%, 08/01/2051 | | | 10,822 | | | | 9,789 | |
2.50%, 09/01/2051 | | | 1,003 | | | | 886 | |
2.50%, 09/01/2051 | | | 13,317 | | | | 12,035 | |
2.50%, 10/01/2051 | | | 1,758 | | | | 1,584 | |
2.50%, 11/01/2051 | | | 19 | | | | 17 | |
2.50%, 11/01/2051 | | | 11,223 | | | | 10,182 | |
2.50%, 11/01/2051 | | | 17,824 | | | | 16,098 | |
2.50%, 12/01/2051 | | | 7,291 | | | | 6,570 | |
2.50%, 12/01/2051 | | | 14,157 | | | | 12,786 | |
2.50%, 12/01/2051 | | | 14,251 | | | | 12,840 | |
2.50%, 01/01/2052 | | | 4,499 | | | | 4,053 | |
2.50%, 01/01/2052 | | | 11,285 | | | | 10,167 | |
2.50%, 01/01/2052 | | | 13,627 | | | | 12,276 | |
2.50%, 03/01/2052 | | | 22,059 | | | | 19,876 | |
2.50%, 05/01/2052 | | | 35,789 | | | | 32,341 | |
2.50%, 07/01/2061 | | | 11,440 | | | | 10,201 | |
2.50%, 09/01/2061 | | | 6,816 | | | | 6,044 | |
2.52%, 05/01/2023 | | | 3,302 | | | | 3,294 | |
2.52%, 11/01/2029 | | | 14,343 | | | | 13,456 | |
2.54% (1 Year CMT Index + 2.22%, 2.22% Floor, 9.77% Cap), 01/01/2036(3) | | | 11 | | | | 12 | |
2.55%, 11/01/2022 | | | 350 | | | | 350 | |
2.55%, 11/01/2022 | | | 1,096 | | | | 1,095 | |
2.55%, 10/01/2028 | | | 9,029 | | | | 8,583 | |
2.58% (1 Year LIBOR USD + 1.61%, 1.61% Floor, 9.30% Cap), 08/01/2033(3) | | | 15 | | | | 16 | |
2.58%, 09/01/2028 | | | 3,782 | | | | 3,602 | |
2.59%, 09/01/2028 | | | 7,552 | | | | 7,194 | |
2.61% (1 Year CMT Index + 2.32%, 2.32% Floor, 11.02% Cap), 09/01/2037(3) | | | 11 | | | | 11 | |
2.62% (1 Year LIBOR USD + 2.37%, 2.37% Floor, 11.22% Cap), 08/01/2037(3) | | | 34 | | | | 34 | |
2.62%, 10/01/2028 | | | 8,951 | | | | 8,510 | |
2.63%, 06/01/2023(4) | | | 458 | | | | 458 | |
2.64% (1 Year CMT Index + 2.12%, 2.12% Floor, 10.31% Cap), 08/01/2036(3) | | | 5 | | | | 5 | |
2.67%, 12/01/2035 | | | 15,510 | | | | 13,533 | |
2.68%, 05/01/2025 | | | 1,735 | | | | 1,704 | |
2.70%, 04/01/2025 | | | 4,595 | | | | 4,515 | |
2.72%, 04/01/2023(4) | | | 222 | | | | 222 | |
2.77%, 06/01/2023 | | | 865 | | | | 863 | |
2.80% (1 Year CMT Index + 2.47%, 2.47% Floor, 10.42% Cap), 10/01/2035(3) | | | 33 | | | | 33 | |
2.81%, 04/01/2025 | | | 2,900 | | | | 2,858 | |
2.81%, 05/01/2027 | | | 1,847 | | | | 1,799 | |
2.83%, 05/01/2027 | | | 7,989 | | | | 7,783 | |
2.90%, 10/01/2029 | | | 3,301 | | | | 3,178 | |
2.91%, 03/01/2027 | | | 9,418 | | | | 9,234 | |
2.93%, 01/01/2025 | | | 1,782 | | | | 1,759 | |
2.95% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 11.23% Cap), 03/01/2036(3) | | | 127 | | | | 133 | |
2.99% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.69% Cap), 04/01/2035(3) | | | 17 | | | | 17 | |
3.00%, 01/01/2027 | | | 1,264 | | | | 1,257 | |
3.00%, 06/01/2027 | | | 1,967 | | | | 1,929 | |
3.00%, 10/01/2027 | | | 986 | | | | 982 | |
3.00%, 08/01/2028 | | | 516 | | | | 514 | |
3.00%, 09/01/2028 | | | 930 | | | | 927 | |
3.00%, 12/01/2028 | | | 292 | | | | 291 | |
3.00%, 05/01/2030 | | | 811 | | | | 808 | |
3.00%, 04/01/2032 | | | 5,901 | | | | 5,882 | |
3.00%, 02/01/2034 | | | 3,073 | | | | 3,046 | |
3.00%, 04/01/2036 | | | 617 | | | | 606 | |
3.00%, 08/01/2036 | | | 584 | | | | 574 | |
3.00%, 05/01/2038 | | | 7,992 | | | | 7,850 | |
3.00%, 05/01/2042 | | | 219 | | | | 209 | |
3.00%, 10/01/2042 | | | 1,978 | | | | 1,891 | |
3.00%, 11/01/2042 | | | 1,304 | | | | 1,246 | |
3.00%, 12/01/2042 | | | 52 | | | | 50 | |
3.00%, 12/01/2042 | | | 439 | | | | 420 | |
3.00%, 12/01/2042 | | | 706 | | | | 676 | |
3.00%, 01/01/2043 | | | 441 | | | | 421 | |
3.00%, 01/01/2043 | | | 709 | | | | 678 | |
3.00%, 01/01/2043 | | | 779 | | | | 739 | |
3.00%, 01/01/2043 | | | 787 | | | | 752 | |
3.00%, 02/01/2043 | | | 412 | | | | 390 | |
3.00%, 04/01/2043 | | | 538 | | | | 514 | |
3.00%, 04/01/2043 | | | 691 | | | | 660 | |
3.00%, 04/01/2043 | | | 1,309 | | | | 1,251 | |
3.00%, 05/01/2043 | | | 19 | | | | 18 | |
3.00%, 05/01/2043 | | | 131 | | | | 125 | |
3.00%, 05/01/2043 | | | 838 | | | | 800 | |
3.00%, 05/01/2043 | | | 4,448 | | | | 4,250 | |
3.00%, 06/01/2043 | | | 38 | | | | 37 | |
3.00%, 06/01/2043 | | | 238 | | | | 228 | |
3.00%, 06/01/2043 | | | 256 | | | | 245 | |
3.00%, 06/01/2043 | | | 1,547 | | | | 1,478 | |
3.00%, 06/01/2043 | | | 2,569 | | | | 2,454 | |
3.00%, 07/01/2043 | | | 35 | | | | 34 | |
3.00%, 07/01/2043 | | | 72 | | | | 69 | |
3.00%, 07/01/2043 | | | 237 | | | | 227 | |
3.00%, 07/01/2043 | | | 849 | | | | 810 | |
3.00%, 07/01/2043 | | | 3,919 | | | | 3,744 | |
3.00%, 08/01/2043 | | | 889 | | | | 850 | |
3.00%, 08/01/2043 | | | 2,497 | | | | 2,387 | |
| | | | | | | | |
3.00%, 10/01/2043 | | | 56 | | | | 54 | |
3.00%, 10/01/2043 | | | 7,467 | | | | 7,135 | |
3.00%, 02/01/2044 | | | 3,253 | | | | 3,110 | |
3.00%, 03/01/2044 | | | 356 | | | | 340 | |
3.00%, 04/01/2045 | | | 3,813 | | | | 3,626 | |
3.00%, 05/01/2046 | | | 3,085 | | | | 2,924 | |
3.00%, 09/01/2046 | | | 477 | | | | 452 | |
3.00%, 11/01/2046 | | | 1,037 | | | | 982 | |
3.00%, 11/01/2046 | | | 3,254 | | | | 3,103 | |
3.00%, 11/01/2046 | | | 3,661 | | | | 3,465 | |
3.00%, 01/01/2047 | | | 2,189 | | | | 2,072 | |
3.00%, 02/01/2047 | | | 487 | | | | 466 | |
3.00%, 03/01/2047 | | | 376 | | | | 355 | |
3.00%, 12/01/2047 | | | 988 | | | | 933 | |
3.00%, 07/01/2049 | | | 929 | | | | 871 | |
3.00%, 07/01/2049 | | | 2,331 | | | | 2,186 | |
3.00%, 08/01/2049 | | | 13,854 | | | | 13,032 | |
3.00%, 11/01/2049 | | | 677 | | | | 635 | |
3.00%, 11/01/2049 | | | 3,629 | | | | 3,402 | |
3.00%, 12/01/2049 | | | 234 | | | | 219 | |
3.00%, 12/01/2049 | | | 804 | | | | 754 | |
3.00%, 12/01/2049 | | | 4,898 | | | | 4,592 | |
3.00%, 02/01/2050 | | | 4,726 | | | | 4,416 | |
3.00%, 02/01/2050 | | | 5,202 | | | | 4,853 | |
3.00%, 03/01/2050 | | | 1,436 | | | | 1,339 | |
3.00%, 03/01/2050 | | | 2,467 | | | | 2,314 | |
3.00%, 05/01/2050 | | | 395 | | | | 372 | |
3.00%, 05/01/2050 | | | 2,029 | | | | 1,907 | |
3.00%, 06/01/2050 | | | 634 | | | | 592 | |
3.00%, 06/01/2050 | | | 2,302 | | | | 2,149 | |
3.00%, 07/01/2050 | | | 969 | | | | 911 | |
3.00%, 08/01/2050 | | | 2,369 | | | | 2,219 | |
3.00%, 08/01/2050 | | | 5,210 | | | | 4,866 | |
3.00%, 09/01/2050 | | | 2,099 | | | | 1,975 | |
3.00%, 09/01/2050 | | | 5,869 | | | | 5,495 | |
3.00%, 11/01/2050 | | | 431 | | | | 405 | |
3.00%, 02/01/2051 | | | 5,546 | | | | 5,172 | |
3.00%, 04/01/2051 | | | 6,755 | | | | 6,305 | |
3.00%, 07/01/2051 | | | 1,230 | | | | 1,148 | |
3.00%, 07/01/2051 | | | 5,782 | | | | 5,397 | |
3.00%, 10/01/2051 | | | 2,376 | | | | 2,218 | |
3.00%, 01/01/2052 | | | 625 | | | | 586 | |
3.00%, 01/01/2052 | | | 9,836 | | | | 9,180 | |
3.00%, 02/01/2052 | | | 10,640 | | | | 9,975 | |
3.00%, 03/01/2052 | | | 494 | | | | 462 | |
3.00%, 03/01/2052 | | | 7,575 | | | | 7,097 | |
3.00%, 03/01/2052 | | | 12,429 | | | | 11,636 | |
3.00%, 04/01/2052 | | | 493 | | | | 461 | |
3.00%, 04/01/2052 | | | 9,513 | | | | 8,943 | |
3.00%, 04/01/2052 | | | 35,847 | | | | 33,483 | |
3.00%, 06/01/2052 | | | 4,654 | | | | 4,343 | |
3.00%, 07/01/2060 | | | 9,016 | | | | 8,489 | |
3.02%, 07/01/2029 | | | 8,200 | | | | 7,953 | |
3.03% (1 Year LIBOR USD + 1.28%, 1.29% Floor, 9.97% Cap), 05/01/2035(3) | | | 6 | | | | 6 | |
3.07%, 02/01/2025 | | | 4,995 | | | | 4,976 | |
3.08%, 12/01/2024 | | | 1,768 | | | | 1,760 | |
3.08%, 01/01/2028 | | | 8,000 | | | | 7,878 | |
3.09%, 09/01/2029 | | | 7,484 | | | | 7,236 | |
3.09% (1 Year LIBOR USD + 1.72%, 1.72% Floor, 11.29% Cap), 05/01/2036(3) | | | 2 | | | | 2 | |
3.10%, 01/01/2028 | | | 6,590 | | | | 6,473 | |
3.12%, 11/01/2026 | | | 920 | | | | 911 | |
3.12%, 06/01/2035 | | | 3,400 | | | | 3,142 | |
3.13%, 03/01/2027 | | | 6,810 | | | | 6,719 | |
3.14%, 12/01/2026 | | | 1,707 | | | | 1,691 | |
3.16% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 10.32% Cap), 06/01/2036(3) | | | 12 | | | | 12 | |
3.17% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.91% Cap), 05/01/2035(3) | | | 4 | | | | 4 | |
3.19%, 01/01/2033 | | | 3,924 | | | | 3,857 | |
3.19%, 03/01/2036 | | | 2,291 | | | | 2,204 | |
3.22%, 09/01/2032 | | | 6,000 | | | | 5,649 | |
3.25%, 09/01/2026 | | | 1,399 | | | | 1,393 | |
3.25%, 02/01/2027 | | | 5,403 | | | | 5,362 | |
3.25% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 10.63% Cap), 02/01/2036(3) | | | 4 | | | | 4 | |
3.26%, 12/01/2026 | | | 901 | | | | 895 | |
3.29%, 08/01/2026 | | | 2,904 | | | | 2,895 | |
3.34%, 02/01/2027 | | | 1,500 | | | | 1,510 | |
3.38%, 12/01/2023 | | | 2,309 | | | | 2,317 | |
3.42% (1 Year CMT Index + 2.30%, 2.30% Floor, 9.19% Cap), 06/01/2034(3) | | | 21 | | | | 22 | |
3.45%, 04/01/2035 | | | 1,756 | | | | 1,703 | |
3.50%, 11/01/2029 | | | 249 | | | | 249 | |
3.50%, 12/01/2029 | | | 1,357 | | | | 1,357 | |
3.50%, 05/01/2030 | | | 289 | | | | 289 | |
3.50%, 08/01/2030 | | | 862 | | | | 866 | |
3.50%, 12/01/2030 | | | 778 | | | | 779 | |
3.50%, 06/01/2031 | | | 35 | | | | 35 | |
3.50%, 07/01/2032 | | | 64 | | | | 64 | |
3.50%, 11/01/2032 | | | 455 | | | | 456 | |
3.50%, 12/01/2032 | | | 172 | | | | 170 | |
| | | | | | | | |
3.50%, 02/01/2033 | | | 218 | | | | 218 | |
3.50%, 02/01/2033 | | | 255 | | | | 253 | |
3.50%, 03/01/2033 | | | 1,424 | | | | 1,426 | |
3.50%, 04/01/2033 | | | 955 | | | | 954 | |
3.50%, 06/01/2033 | | | 111 | | | | 110 | |
3.50%, 10/01/2033 | | | 4,735 | | | | 4,735 | |
3.50%, 06/01/2040 | | | 840 | | | | 821 | |
3.50%, 12/01/2040 | | | 40 | | | | 40 | |
3.50%, 02/01/2041 | | | 3,565 | | | | 3,508 | |
3.50%, 06/01/2041 | | | 7,798 | | | | 7,675 | |
3.50%, 11/01/2041 | | | 142 | | | | 139 | |
3.50%, 12/01/2041 | | | 119 | | | | 117 | |
3.50%, 12/01/2041 | | | 199 | | | | 196 | |
3.50%, 12/01/2041 | | | 235 | | | | 230 | |
3.50%, 02/01/2042 | | | 4 | | | | 4 | |
3.50%, 02/01/2042 | | | 135 | | | | 133 | |
3.50%, 02/01/2042 | | | 178 | | | | 175 | |
3.50%, 04/01/2042 | | | 103 | | | | 102 | |
3.50%, 05/01/2042 | | | 2,900 | | | | 2,849 | |
3.50%, 05/01/2042 | | | 2,901 | | | | 2,855 | |
3.50%, 06/01/2042 | | | 703 | | | | 691 | |
3.50%, 07/01/2042 | | | 540 | | | | 531 | |
3.50%, 07/01/2042 | | | 1,788 | | | | 1,757 | |
3.50%, 07/01/2042 | | | 9,865 | | | | 9,695 | |
3.50%, 08/01/2042 | | | 345 | | | | 339 | |
3.50%, 09/01/2042 | | | 281 | | | | 277 | |
3.50%, 09/01/2042 | | | 321 | | | | 315 | |
3.50%, 09/01/2042 | | | 375 | | | | 367 | |
3.50%, 09/01/2042 | | | 2,193 | | | | 2,155 | |
3.50%, 10/01/2042 | | | 142 | | | | 139 | |
3.50%, 10/01/2042 | | | 173 | | | | 170 | |
3.50%, 10/01/2042 | | | 302 | | | | 296 | |
3.50%, 10/01/2042 | | | 519 | | | | 510 | |
3.50%, 11/01/2042 | | | 1,326 | | | | 1,303 | |
3.50%, 11/01/2042 | | | 3,484 | | | | 3,424 | |
3.50%, 01/01/2043 | | | 328 | | | | 320 | |
3.50%, 01/01/2043 | | | 412 | | | | 404 | |
3.50%, 02/01/2043 | | | 20 | | | | 19 | |
3.50%, 02/01/2043 | | | 35 | | | | 35 | |
3.50%, 03/01/2043 | | | 255 | | | | 250 | |
3.50%, 03/01/2043 | | | 758 | | | | 745 | |
3.50%, 03/01/2043 | | | 1,578 | | | | 1,545 | |
3.50%, 04/01/2043 | | | 826 | | | | 811 | |
3.50%, 04/01/2043 | | | 1,935 | | | | 1,901 | |
3.50%, 05/01/2043 | | | 34 | | | | 33 | |
3.50%, 05/01/2043 | | | 235 | | | | 230 | |
3.50%, 05/01/2043 | | | 850 | | | | 831 | |
3.50%, 05/01/2043 | | | 864 | | | | 846 | |
3.50%, 07/01/2043 | | | 4,543 | | | | 4,464 | |
3.50%, 08/01/2043 | | | 850 | | | | 832 | |
3.50%, 06/01/2044 | | | 2,953 | | | | 2,892 | |
3.50%, 06/01/2044 | | | 3,204 | | | | 3,152 | |
3.50%, 04/01/2045 | | | 5,180 | | | | 5,082 | |
3.50%, 06/01/2045 | | | 728 | | | | 712 | |
3.50%, 06/01/2045 | | | 3,364 | | | | 3,291 | |
3.50%, 11/01/2045 | | | 1,402 | | | | 1,371 | |
3.50%, 12/01/2045 | | | 240 | | | | 235 | |
3.50%, 01/01/2046 | | | 3,861 | | | | 3,810 | |
3.50%, 04/01/2046 | | | 608 | | | | 599 | |
3.50%, 08/01/2046 | | | 2,090 | | | | 2,044 | |
3.50%, 09/01/2046 | | | 1,791 | | | | 1,758 | |
3.50%, 11/01/2046 | | | 5,240 | | | | 5,126 | |
3.50%, 12/01/2046 | | | 1,707 | | | | 1,669 | |
3.50%, 12/01/2046 | | | 3,864 | | | | 3,797 | |
3.50%, 02/01/2047 | | | 3,250 | | | | 3,194 | |
3.50%, 06/01/2047 | | | 298 | | | | 291 | |
3.50%, 11/01/2047 | | | 2,859 | | | | 2,796 | |
3.50%, 12/01/2047 | | | 2,032 | | | | 1,983 | |
3.50%, 01/01/2048 | | | 2,042 | | | | 1,996 | |
3.50%, 04/01/2048 | | | 12,411 | | | | 12,160 | |
3.50%, 08/01/2048 | | | 6,891 | | | | 6,710 | |
3.50%, 10/01/2048 | | | 2,564 | | | | 2,507 | |
3.50%, 05/01/2049 | | | 7,063 | | | | 6,874 | |
3.50%, 03/01/2050 | | | 9,488 | | | | 9,216 | |
3.50%, 02/01/2052 | | | 10,397 | | | | 10,057 | |
3.50%, 06/01/2052 | | | 7,499 | | | | 7,227 | |
3.50%, 07/01/2052 | | | 59 | | | | 57 | |
3.50%, 03/01/2060 | | | 7,693 | | | | 7,465 | |
3.54%, 06/01/2032 | | | 15,495 | | | | 15,421 | |
3.55%, 02/01/2030 | | | 1,500 | | | | 1,490 | |
3.57%, 06/01/2028 | | | 8,361 | | | | 8,402 | |
3.61%, 04/01/2028 | | | 2,868 | | | | 2,891 | |
3.64%, 01/01/2025 | | | 516 | | | | 515 | |
3.66%, 03/01/2027 | | | 2,234 | | | | 2,251 | |
3.77%, 12/01/2025 | | | 3,299 | | | | 3,361 | |
3.81%, 12/01/2028 | | | 7,000 | | | | 7,115 | |
3.83% (ECOFC + 1.25%, 3.81% Floor, 13.46% Cap), 03/01/2029(3) | | | 1 | | | | 1 | |
| | | | | | | | |
4.00%, 11/01/2031 | | | 2,103 | | | | 2,138 | |
4.00%, 06/01/2033 | | | 403 | | | | 409 | |
4.00%, 12/01/2033 | | | 29 | | | | 29 | |
4.00%, 05/01/2037 | | | 3,937 | | | | 4,003 | |
4.00%, 10/01/2037 | | | 774 | | | | 775 | |
4.00%, 07/01/2040 | | | 2,089 | | | | 2,112 | |
4.00%, 08/01/2040 | | | 65 | | | | 66 | |
4.00%, 09/01/2040 | | | 513 | | | | 518 | |
4.00%, 12/01/2040 | | | 96 | | | | 97 | |
4.00%, 12/01/2040 | | | 452 | | | | 457 | |
4.00%, 01/01/2041 | | | 95 | | | | 96 | |
4.00%, 01/01/2041 | | | 220 | | | | 223 | |
4.00%, 01/01/2041 | | | 402 | | | | 405 | |
4.00%, 01/01/2041 | | | 429 | | | | 434 | |
4.00%, 01/01/2041 | | | 553 | | | | 559 | |
4.00%, 01/01/2041 | | | 732 | | | | 741 | |
4.00%, 01/01/2041 | | | 769 | | | | 778 | |
4.00%, 02/01/2041 | | | 24 | | | | 25 | |
4.00%, 02/01/2041 | | | 875 | | | | 885 | |
4.00%, 03/01/2041 | | | 3,386 | | | | 3,425 | |
4.00%, 09/01/2041 | | | 94 | | | | 95 | |
4.00%, 10/01/2041 | | | 366 | | | | 370 | |
4.00%, 10/01/2041 | | | 542 | | | | 548 | |
4.00%, 12/01/2041 | | | 694 | | | | 702 | |
4.00%, 12/01/2041 | | | 809 | | | | 817 | |
4.00%, 01/01/2042 | | | 1,127 | | | | 1,137 | |
4.00%, 03/01/2042 | | | 27 | | | | 26 | |
4.00%, 07/01/2042 | | | 167 | | | | 168 | |
4.00%, 07/01/2042 | | | 217 | | | | 217 | |
4.00%, 07/01/2042 | | | 229 | | | | 231 | |
4.00%, 07/01/2042 | | | 236 | | | | 237 | |
4.00%, 08/01/2042 | | | 2,290 | | | | 2,316 | |
4.00%, 12/01/2042 | | | 180 | | | | 181 | |
4.00%, 04/01/2043 | | | 4,129 | | | | 4,169 | |
4.00%, 07/01/2043 | | | 449 | | | | 451 | |
4.00%, 11/01/2043 | | | 1,184 | | | | 1,191 | |
4.00%, 12/01/2043 | | | 53 | | | | 54 | |
4.00%, 12/01/2043 | | | 769 | | | | 775 | |
4.00%, 07/01/2044 | | | 1,036 | | | | 1,044 | |
4.00%, 09/01/2044 | | | 414 | | | | 417 | |
4.00%, 12/01/2044 | | | 11,642 | | | | 11,725 | |
4.00%, 01/01/2045 | | | 3,067 | | | | 3,089 | |
4.00%, 07/01/2045 | | | 2,944 | | | | 2,964 | |
4.00%, 10/01/2045 | | | 311 | | | | 314 | |
4.00%, 12/01/2045 | | | 433 | | | | 436 | |
4.00%, 12/01/2045 | | | 1,652 | | | | 1,664 | |
4.00%, 01/01/2046 | | | 1,014 | | | | 1,022 | |
4.00%, 08/01/2046 | | | 1,457 | | | | 1,465 | |
4.00%, 03/01/2047 | | | 272 | | | | 273 | |
4.00%, 03/01/2047 | | | 3,012 | | | | 2,991 | |
4.00%, 03/01/2047 | | | 3,049 | | | | 3,070 | |
4.00%, 05/01/2047 | | | 329 | | | | 330 | |
4.00%, 05/01/2047 | | | 699 | | | | 702 | |
4.00%, 05/01/2047 | | | 1,540 | | | | 1,547 | |
4.00%, 06/01/2047 | | | 1,684 | | | | 1,690 | |
4.00%, 08/01/2047 | | | 3,195 | | | | 3,219 | |
4.00%, 11/01/2047 | | | 2,739 | | | | 2,750 | |
4.00%, 01/01/2048 | | | 2,989 | | | | 2,987 | |
4.00%, 01/01/2048 | | | 5,196 | | | | 5,204 | |
4.00%, 02/01/2048 | | | 544 | | | | 544 | |
4.00%, 03/01/2048 | | | 1,075 | | | | 1,074 | |
4.00%, 03/01/2048 | | | 6,177 | | | | 6,191 | |
4.00%, 09/01/2048 | | | 356 | | | | 357 | |
4.00%, 10/01/2048 | | | 285 | | | | 286 | |
4.00%, 10/01/2048 | | | 1,221 | | | | 1,223 | |
4.00%, 02/01/2049 | | | 2,203 | | | | 2,209 | |
4.00%, 03/01/2049 | | | 3,756 | | | | 3,760 | |
4.00%, 07/01/2049 | | | 496 | | | | 494 | |
4.00%, 07/01/2049 | | | 2,081 | | | | 2,085 | |
4.00%, 10/01/2049 | | | 2,854 | | | | 2,870 | |
4.00%, 08/01/2051 | | | 4,933 | | | | 4,938 | |
4.00%, 04/01/2052 | | | 5,785 | | | | 5,726 | |
4.00%, 05/01/2052 | | | 10,985 | | | | 10,896 | |
4.00%, 06/01/2052 | | | 15,247 | | | | 15,053 | |
4.18%, 11/01/2030 | | | 3,570 | | | | 3,644 | |
4.50%, 08/01/2029 | | | 68 | | | | 69 | |
4.50%, 09/01/2029 | | | 75 | | | | 76 | |
4.50%, 01/01/2030 | | | 125 | | | | 127 | |
4.50%, 10/01/2033 | | | 2,174 | | | | 2,235 | |
4.50%, 11/01/2033 | | | 5 | | | | 6 | |
4.50%, 09/01/2034 | | | 13 | | | | 13 | |
4.50%, 04/01/2039 | | | 3,414 | | | | 3,566 | |
4.50%, 11/01/2039 | | | 9 | | | | 10 | |
4.50%, 08/01/2040 | | | 1,468 | | | | 1,515 | |
4.50%, 08/01/2040 | | | 1,477 | | | | 1,524 | |
4.50%, 12/01/2040 | | | 682 | | | | 704 | |
4.50%, 12/01/2040 | | | 2,111 | | | | 2,179 | |
| | | | | | | | |
4.50%, 03/01/2041 | | | 555 | | | | 573 | |
4.50%, 04/01/2041 | | | 280 | | | | 287 | |
4.50%, 05/01/2041 | | | 587 | | | | 605 | |
4.50%, 05/01/2041 | | | 3,531 | | | | 3,645 | |
4.50%, 07/01/2041 | | | 134 | | | | 138 | |
4.50%, 08/01/2041 | | | 1,118 | | | | 1,152 | |
4.50%, 01/01/2042 | | | 1,117 | | | | 1,153 | |
4.50%, 11/01/2042 | | | 2,948 | | | | 3,034 | |
4.50%, 02/01/2046 | | | 3,586 | | | | 3,701 | |
4.50%, 08/01/2047 | | | 371 | | | | 377 | |
4.50%, 05/01/2048 | | | 874 | | | | 883 | |
4.50%, 07/01/2049 | | | 4,038 | | | | 4,093 | |
4.50%, 09/01/2050 | | | 2,163 | | | | 2,183 | |
4.50%, 02/01/2051 | | | 1,084 | | | | 1,094 | |
4.63%, 12/01/2026(4) | | | 835 | | | | 872 | |
4.77%, 08/01/2026 | | | 589 | | | | 619 | |
5.00%, 05/01/2023(7) | | | 0 | | | | 0 | |
5.00%, 08/01/2024 | | | 4 | | | | 4 | |
5.00%, 05/01/2028 | | | 8 | | | | 9 | |
5.00%, 04/01/2031 | | | 37 | | | | 38 | |
5.00%, 12/01/2032 | | | 1 | | | | 1 | |
5.00%, 06/01/2033 | | | 8 | | | | 9 | |
5.00%, 07/01/2033 | | | 8 | | | | 9 | |
5.00%, 07/01/2033 | | | 9 | | | | 9 | |
5.00%, 11/01/2033 | | | 2 | | | | 3 | |
5.00%, 11/01/2033 | | | 21 | | | | 22 | |
5.00%, 11/01/2033 | | | 1,582 | | | | 1,662 | |
5.00%, 04/01/2034 | | | 53 | | | | 55 | |
5.00%, 05/01/2034 | | | 19 | | | | 20 | |
5.00%, 12/01/2034 | | | 15 | | | | 15 | |
5.00%, 01/01/2035 | | | 10 | | | | 10 | |
5.00%, 02/01/2035 | | | 280 | | | | 294 | |
5.00%, 02/01/2035 | | | 1,341 | | | | 1,410 | |
5.00%, 06/01/2035 | | | 250 | | | | 263 | |
5.00%, 07/01/2035 | | | 6 | | | | 6 | |
5.00%, 07/01/2035 | | | 1,204 | | | | 1,246 | |
5.00%, 07/01/2035 | | | 1,377 | | | | 1,448 | |
5.00%, 09/01/2035 | | | 31 | | | | 33 | |
5.00%, 10/01/2035 | | | 120 | | | | 126 | |
5.00%, 11/01/2035 | | | 271 | | | | 286 | |
5.00%, 01/01/2036 | | | 22 | | | | 24 | |
5.00%, 02/01/2036 | | | 18 | | | | 19 | |
5.00%, 07/01/2037 | | | 355 | | | | 373 | |
5.00%, 01/01/2039 | | | 1,075 | | | | 1,116 | |
5.00%, 09/01/2039 | | | 60 | | | | 63 | |
5.00%, 04/01/2040 | | | 138 | | | | 145 | |
5.00%, 08/01/2040 | | | 110 | | | | 116 | |
5.00%, 05/01/2041 | | | 61 | | | | 65 | |
5.00%, 05/01/2042 | | | 939 | | | | 989 | |
5.00%, 09/01/2043 | | | 449 | | | | 471 | |
5.00%, 01/01/2048 | | | 488 | | | | 505 | |
5.00%, 05/01/2048 | | | 1,202 | | | | 1,242 | |
5.00%, 01/01/2049 | | | 4,015 | | | | 4,181 | |
5.50%, 07/01/2025 | | | 6 | | | | 6 | |
5.50%, 11/01/2032 | | | 37 | | | | 39 | |
5.50%, 02/01/2033 | | | 1 | | | | 1 | |
5.50%, 03/01/2033 | | | 39 | | | | 42 | |
5.50%, 04/01/2033 | | | 27 | | | | 29 | |
5.50%, 07/01/2033 | | | 5 | | | | 5 | |
5.50%, 09/01/2033 | | | 104 | | | | 111 | |
5.50%, 11/01/2033 | | | 2 | | | | 2 | |
5.50%, 12/01/2033 | | | 46 | | | | 50 | |
5.50%, 01/01/2034 | | | 5 | | | | 6 | |
5.50%, 03/01/2034 | | | 5 | | | | 5 | |
5.50%, 09/01/2034 | | | 9 | | | | 10 | |
5.50%, 10/01/2034 | | | 12 | | | | 12 | |
5.50%, 02/01/2035 | | | 30 | | | | 33 | |
5.50%, 12/01/2035 | | | 9 | | | | 10 | |
5.50%, 04/01/2036 | | | 33 | | | | 35 | |
5.50%, 05/01/2036 | | | 28 | | | | 30 | |
5.50%, 05/01/2036 | | | 44 | | | | 47 | |
5.50%, 11/01/2036 | | | 11 | | | | 12 | |
5.50%, 03/01/2037 | | | 215 | | | | 231 | |
5.50%, 04/01/2037 | | | 74 | | | | 79 | |
5.50%, 05/01/2037 | | | 71 | | | | 75 | |
5.50%, 01/01/2038 | | | 55 | | | | 59 | |
5.50%, 05/01/2038 | | | 10 | | | | 11 | |
5.50%, 06/01/2038 | | | 1 | | | | 1 | |
5.50%, 06/01/2038 | | | 62 | | | | 66 | |
5.50%, 06/01/2038 | | | 459 | | | | 493 | |
5.50%, 09/01/2038 | | | 397 | | | | 426 | |
5.50%, 06/01/2039 | | | 15 | | | | 16 | |
5.50%, 09/01/2039 | | | 25 | | | | 26 | |
5.50%, 12/01/2039 | | | 34 | | | | 35 | |
5.50%, 01/01/2040 | | | 256 | | | | 275 | |
6.00%, 02/01/2023 | | | 1 | | | | 1 | |
6.00%, 01/01/2024 | | | 2 | | | | 2 | |
| | | | | | | | |
6.00%, 01/01/2024 | | | 7 | | | | 7 | |
6.00%, 07/01/2024 | | | 2 | | | | 2 | |
6.00%, 07/01/2026 | | | 11 | | | | 12 | |
6.00%, 07/01/2027 | | | 15 | | | | 15 | |
6.00%, 11/01/2027 | | | 8 | | | | 8 | |
6.00%, 12/01/2027 | | | 23 | | | | 24 | |
6.00%, 01/01/2028 | | | 43 | | | | 45 | |
6.00%, 10/01/2028 | | | 29 | | | | 31 | |
6.00%, 12/01/2028 | | | 1 | | | | 1 | |
6.00%, 01/01/2029 | | | 2 | | | | 2 | |
6.00%, 09/01/2029 | | | 20 | | | | 21 | |
6.00%, 12/01/2032 | | | 11 | | | | 11 | |
6.00%, 12/01/2032 | | | 76 | | | | 83 | |
6.00%, 03/01/2033 | | | 1 | | | | 1 | |
6.00%, 03/01/2033 | | | 1 | | | | 1 | |
6.00%, 03/01/2033 | | | 2 | | | | 2 | |
6.00%, 03/01/2033 | | | 2 | | | | 3 | |
6.00%, 03/01/2033 | | | 5 | | | | 5 | |
6.00%, 05/01/2033 | | | 11 | | | | 12 | |
6.00%, 08/01/2033 | | | 3 | | | | 3 | |
6.00%, 09/01/2033 | | | 6 | | | | 7 | |
6.00%, 09/01/2033 | | | 9 | | | | 10 | |
6.00%, 11/01/2034 | | | 3 | | | | 3 | |
6.00%, 04/01/2035 | | | 48 | | | | 51 | |
6.00%, 02/01/2036 | | | 2 | | | | 2 | |
6.00%, 09/01/2036 | | | 162 | | | | 178 | |
6.00%, 11/01/2036 | | | 18 | | | | 19 | |
6.00%, 03/01/2037 | | | 24 | | | | 25 | |
6.00%, 09/01/2037 | | | 44 | | | | 48 | |
6.00%, 04/01/2038 | | | 10 | | | | 10 | |
6.00%, 05/01/2038 | | | 112 | | | | 123 | |
6.00%, 11/01/2038 | | | 39 | | | | 42 | |
6.00%, 12/01/2039 | | | 563 | | | | 617 | |
6.00%, 10/01/2040 | | | 762 | | | | 827 | |
6.00%, 07/01/2041 | | | 1,986 | | | | 2,146 | |
6.00%, 11/01/2048 | | | 24 | | | | 25 | |
6.50%, 12/01/2022(7) | | | 0 | | | | 0 | |
6.50%, 02/01/2024 | | | 4 | | | | 4 | |
6.50%, 07/01/2024(7) | | | 0 | | | | 0 | |
6.50%, 04/01/2025(7) | | | 0 | | | | 0 | |
6.50%, 08/01/2026 | | | 20 | | | | 21 | |
6.50%, 03/01/2029 | | | 6 | | | | 6 | |
6.50%, 11/01/2029 | | | 209 | | | | 220 | |
6.50%, 08/01/2031 | | | 8 | | | | 8 | |
6.50%, 02/01/2032 | | | 34 | | | | 35 | |
6.50%, 01/01/2036 | | | 136 | | | | 144 | |
6.50%, 04/01/2036 | | | 1 | | | | 1 | |
6.50%, 07/01/2036 | | | 3 | | | | 3 | |
6.50%, 08/01/2036 | | | 90 | | | | 96 | |
6.50%, 10/01/2036 | | | 18 | | | | 20 | |
6.50%, 01/01/2037 | | | 32 | | | | 34 | |
6.50%, 08/01/2037 | | | 13 | | | | 14 | |
6.50%, 08/01/2037 | | | 23 | | | | 25 | |
6.50%, 10/01/2037 | | | 34 | | | | 37 | |
6.50%, 10/01/2038 | | | 41 | | | | 44 | |
6.50%, 10/01/2038 | | | 158 | | | | 171 | |
7.00%, 01/01/2024(7) | | | 0 | | | | 0 | |
7.00%, 09/01/2027(7) | | | 0 | | | | 0 | |
7.00%, 01/01/2029 | | | 1 | | | | 1 | |
7.00%, 06/01/2032 | | | 1 | | | | 1 | |
7.00%, 02/01/2033 | | | 1 | | | | 1 | |
7.00%, 06/01/2033 | | | 43 | | | | 47 | |
7.00%, 02/01/2036 | | | 7 | | | | 7 | |
7.00%, 03/01/2036 | | | 1 | | | | 1 | |
7.00%, 03/01/2037 | | | 3 | | | | 4 | |
7.00%, 04/01/2037 | | | 3 | | | | 3 | |
7.00%, 09/01/2037 | | | 24 | | | | 24 | |
7.00%, 09/01/2038 | | | 36 | | | | 41 | |
7.00%, 10/01/2038 | | | 46 | | | | 51 | |
7.00%, 11/01/2038 | | | 36 | | | | 39 | |
7.00%, 12/01/2038 | | | 91 | | | | 101 | |
7.00%, 01/01/2039 | | | 143 | | | | 163 | |
7.50%, 10/01/2024(7) | | | 0 | | | | 0 | |
7.50%, 01/01/2035 | | | 17 | | | | 19 | |
7.50%, 03/01/2035 | | | 27 | | | | 29 | |
7.50%, 05/01/2037 | | | 12 | | | | 13 | |
7.50%, 10/01/2037 | | | 81 | | | | 89 | |
7.50%, 11/01/2037 | | | 25 | | | | 28 | |
7.50%, 11/01/2038 | | | 19 | | | | 21 | |
7.50%, 04/01/2039 | | | 88 | | | | 99 | |
8.00%, 05/01/2024(7) | | | 0 | | | | 0 | |
8.00%, 03/01/2027 | | | 4 | | | | 4 | |
8.00%, 06/01/2027 | | | 3 | | | | 3 | |
8.00%, 06/01/2028(7) | | | 0 | | | | 0 | |
8.00%, 09/01/2028 | | | 3 | | | | 3 | |
8.00%, 11/01/2028 | | | 10 | | | | 10 | |
8.00%, 11/01/2037 | | | 9 | | | | 9 | |
| | | | | | | | |
8.00%, 01/01/2038 | | | 3 | | | | 3 | |
8.50%, 07/01/2024(7) | | | 0 | | | | 0 | |
8.50%, 05/01/2025(7) | | | 0 | | | | 0 | |
Fannie Mae REMIC Trust 2003-W1 | | | | | | | | |
4.90%, 12/25/2042, Series 2003-W1, Class 1A1(4) | | | 70 | | | | 70 | |
5.35%, 12/25/2042, Series 2003-W1, Class 2A(4) | | | 19 | | | | 19 | |
Fannie Mae REMIC Trust 2003-W4 | | | | | | | | |
5.27%, 10/25/2042, Series 2003-W4, Class 2A(4) | | | 10 | | | | 10 | |
Fannie Mae REMIC Trust 2004-W10 | | | | | | | | |
5.75%, 08/25/2034, Series 2004-W10, Class A6 | | | 282 | | | | 285 | |
Fannie Mae REMIC Trust 2004-W11 | | | | | | | | |
6.00%, 05/25/2044, Series 2004-W11, Class 1A1 | | | 55 | | | | 60 | |
Fannie Mae REMIC Trust 2005-W1 | | | | | | | | |
6.50%, 10/25/2044, Series 2005-W1, Class 1A2 | | | 99 | | | | 108 | |
Fannie Mae REMIC Trust 2006-W3 | | | | | | | | |
6.00%, 09/25/2046, Series 2006-W3, Class 2A | | | 65 | | | | 67 | |
Fannie Mae REMIC Trust 2007-W1 | | | | | | | | |
6.28%, 08/25/2047, Series 2007-W10, Class 2A(4) | | | 7 | | | | 8 | |
Fannie Mae REMIC Trust 2007-W3 | | | | | | | | |
6.75%, 04/25/2037, Series 2007-W3, Class 1A3 | | | 18 | | | | 19 | |
Fannie Mae REMIC Trust 2007-W5 | | | | | | | | |
0.00%, 06/25/2037, Series 2007-W5, Class PO | | | 13 | | | | 11 | |
Fannie Mae REMIC Trust 2007-W7 | | | | | | | | |
33.15% (1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037, Series 2007-W7, Class 1A4(3)(5) | | | 11 | | | | 14 | |
Fannie Mae REMIC Trust 2009-W1 | | | | | | | | |
6.00%, 12/25/2049, Series 2009-W1, Class A | | | 255 | | | | 268 | |
Fannie Mae REMICS | | | | | | | | |
0.00%, 10/25/2022, Series G92-62, Class B(7) | | | 0 | | | | 0 | |
0.00%, 04/25/2023, Series 1998-4, Class C(7) | | | 0 | | | | 0 | |
0.00%, 09/25/2023, Series G93-37, Class H(7) | | | 0 | | | | 0 | |
0.00%, 09/25/2023, Series 1993-205, Class H(7) | | | 0 | | | | 0 | |
0.00%, 11/25/2023, Series 1994-9, Class E(7) | | | 0 | | | | 0 | |
0.00%, 01/25/2032, Series 2001-81, Class LO | | | 1 | | | | 1 | |
0.00%, 04/25/2032, Series 2002-21, Class LO | | | 1 | | | | 1 | |
0.00%, 12/25/2032, Series 2004-59, Class BG | | | 6 | | | | 5 | |
0.00%, 05/25/2033, Series 2003-35, Class EA | | | 3 | | | | 3 | |
0.00%, 08/25/2033, Series 2003-132, Class OA | | | 1 | | | | 1 | |
0.00%, 12/25/2033, Series 2006-44, Class P | | | 51 | | | | 44 | |
0.00%, 03/25/2034, Series 2004-46, Class EP | | | 39 | | | | 37 | |
0.00%, 09/25/2035, Series 2005-90, Class PO | | | 4 | | | | 4 | |
0.00%, 10/25/2035, Series 2010-39, Class OT | | | 13 | | | | 11 | |
0.00%, 03/25/2036, Series 2006-16, Class OA | | | 9 | | | | 8 | |
0.00%, 03/25/2036, Series 2006-8, Class WQ | | | 105 | | | | 87 | |
0.00%, 04/25/2036, Series 2006-23, Class KO | | | 11 | | | | 10 | |
0.00%, 04/25/2036, Series 2006-27, Class OH | | | 20 | | | | 18 | |
0.00%, 04/25/2036, Series 2006-22, Class AO | | | 32 | | | | 28 | |
0.00%, 06/25/2036, Series 2006-43, Class PO | | | 9 | | | | 8 | |
0.00%, 06/25/2036, Series 2006-44, Class GO | | | 18 | | | | 15 | |
0.00%, 06/25/2036, Series 2006-43, Class DO | | | 26 | | | | 22 | |
0.00%, 06/25/2036, Series 2006-50, Class JO | | | 64 | | | | 54 | |
0.00%, 06/25/2036, Series 2006-50, Class PS | | | 78 | | | | 70 | |
0.00%, 07/25/2036, Series 2006-58, Class AP | | | 6 | | | | 5 | |
0.00%, 07/25/2036, Series 2006-58, Class PO | | | 11 | | | | 10 | |
0.00%, 07/25/2036, Series 2006-65, Class QO | | | 20 | | | | 18 | |
0.00%, 08/25/2036, Series 2006-72, Class TO | | | 6 | | | | 5 | |
0.00%, 08/25/2036, Series 2006-79, Class DO | | | 15 | | | | 13 | |
0.00%, 08/25/2036, Series 2006-79, Class OP | | | 22 | | | | 18 | |
0.00%, 08/25/2036, Series 2006-72, Class GO | | | 36 | | | | 32 | |
0.00%, 09/25/2036, Series 2008-42, Class AO | | | 8 | | | | 7 | |
0.00%, 09/25/2036, Series 2006-90, Class AO | | | 16 | | | | 14 | |
0.00%, 09/25/2036, Series 2006-86, Class OB | | | 20 | | | | 17 | |
0.00%, 11/25/2036, Series 2006-109, Class PO | | | 6 | | | | 5 | |
0.00%, 11/25/2036, Series 2006-111, Class EO | | | 16 | | | | 14 | |
0.00%, 11/25/2036, Series 2006-110, Class PO | | | 29 | | | | 25 | |
0.00%, 12/25/2036, Series 2006-119, Class PO | | | 9 | | | | 8 | |
0.00%, 12/25/2036, Series 2006-115, Class OK | | | 17 | | | | 14 | |
0.00%, 01/25/2037, Series 2006-128, Class PO | | | 18 | | | | 15 | |
0.00%, 01/25/2037, Series 2009-70, Class CO | | | 50 | | | | 44 | |
0.00%, 03/25/2037, Series 2007-14, Class OP | | | 15 | | | | 13 | |
0.00%, 04/25/2037, Series 2007-28, Class EO | | | 47 | | | | 40 | |
0.00%, 05/25/2037, Series 2007-42, Class AO | | | 4 | | | | 3 | |
0.00%, 07/25/2037, Series 2007-67, Class PO | | | 34 | | | | 29 | |
0.00%, 10/25/2037, Series 2009-86, Class OT | | | 306 | | | | 257 | |
0.00%, 05/25/2038, Series 2008-44, Class PO | | | 1 | | | | 1 | |
0.00%, 01/25/2040, Series 2009-113, Class AO | | | 27 | | | | 23 | |
0.00%, 06/25/2040, Series 2010-63, Class AP | | | 41 | | | | 36 | |
0.00%, 09/25/2043, Series 2013-92, Class PO | | | 606 | | | | 505 | |
0.00%, 10/25/2043, Series 2013-101, Class DO | | | 484 | | | | 399 | |
0.00%, 12/25/2043, Series 2013-128, Class PO | | | 1,079 | | | | 890 | |
0.77%, 01/25/2038, Series 2007-116, Class HI(4) | | | 180 | | | | 6 | |
0.79%, 06/25/2038, Series 2008-46, Class HI(4) | | | 54 | | | | 3 | |
1.03% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022, Series G92-52, Class FD(3)(7) | | | 0 | | | | 0 | |
1.07% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036, Series 2006-118, Class A1(3) | | | 30 | | | | 30 | |
1.07% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036, Series 2006-118, Class A2(3) | | | 137 | | | | 136 | |
1.23%, 04/25/2041, Series 2011-30, Class LS(4) | | | 287 | | | | 15 | |
| | | | | | | | |
1.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036, Series 2007-101, Class A2(3) | | | 231 | | | | 228 | |
1.60% (1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032, Series 2002-13, Class SJ(3)(5) | | | 24 | | | | 1 | |
1.61% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023, Series 1993-230,
Class FA(3)(7) | | | 0 | | | | 0 | |
1.84%, 03/25/2027, Series 1997-20, Class IB(4)(7) | | | 0 | | | | 0 | |
1.84%, 03/25/2027, Series 1997-20, Class IO(4)(7) | | | 1 | | | | 0 | |
1.87% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034, Series 2005-93, Class MF(3) | | | 4 | | | | 4 | |
1.87% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036, Series 2006-23, Class FK(3) | | | 65 | | | | 64 | |
1.87% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037, Series 2007-10, Class FD(3) | | | 35 | | | | 34 | |
1.91% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036, Series 2006-56, Class FC(3) | | | 169 | | | | 168 | |
1.92% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037, Series 2007-43, Class FL(3) | | | 24 | | | | 24 | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035, Series 2005-25, Class PF(3) | | | 62 | | | | 61 | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036, Series 2006-79, Class DF(3) | | | 63 | | | | 62 | |
1.99% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037, Series 2007-64, Class FB(3) | | | 35 | | | | 35 | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034, Series 2004-28, Class PF(3) | | | 36 | | | | 36 | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034, Series 2004-36, Class FA(3) | | | 123 | | | | 123 | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036, Series 2006-46, Class FW(3) | | | 19 | | | | 19 | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037, Series 2007-54, Class FA(3) | | | 119 | | | | 118 | |
2.07% (1 Month LIBOR USD + 0.45%, 6.50% Cap), 06/25/2037, Series 2007-98, Class FB(3) | | | 13 | | | | 13 | |
2.07% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042, Series 2012-99, Class FA(3) | | | 170 | | | | 170 | |
2.08% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036, Series 2006-58, Class FL(3) | | | 18 | | | | 18 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037, Series 2007-77, Class FG(3) | | | 33 | | | | 33 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037, Series 2007-97, Class FC(3) | | | 20 | | | | 20 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041, Series 2011-149, Class EF(3) | | | 21 | | | | 21 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041, Series 2011-149, Class MF(3) | | | 89 | | | | 89 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042, Series 2012-101, Class FC(3) | | | 75 | | | | 74 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042, Series 2012-97, Class FB(3) | | | 580 | | | | 580 | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042, Series 2012-108, Class F(3) | | | 218 | | | | 218 | |
2.17% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041, Series 2011-75, Class FA(3) | | | 59 | | | | 59 | |
2.22% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040, Series 2010-40, Class FJ(3) | | | 21 | | | | 21 | |
2.22% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040, Series 2010-43, Class FD(3) | | | 35 | | | | 35 | |
2.37% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034, Series 2004-87, Class F(3) | | | 68 | | | | 69 | |
2.37% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037, Series 2007-16, Class FC(3) | | | 21 | | | | 21 | |
2.42% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032, Series 2004-61, Class FH(3) | | | 149 | | | | 151 | |
2.50%, 12/25/2042, Series 2012-134, Class ZC | | | 6,692 | | | | 5,709 | |
2.50%, 02/25/2051, Series 2021-3, Class JI | | | 12,529 | | | | 1,688 | |
2.50% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023, Series G93-27, Class FD(3)(7) | | | 0 | | | | 0 | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038, Series 2008-18, Class FA(3) | | | 24 | | | | 25 | |
2.62% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023, Series 1993-247,
Class FE(3)(7) | | | 0 | | | | 1 | |
2.81%, 12/25/2039, Series 2009-103, Class MB(4) | | | 91 | | | | 94 | |
2.82% (1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040, Series 2010-125, Class SA(3)(5) | | | 195 | | | | 14 | |
3.00%, 12/25/2028, Series 2013-118, Class YL | | | 1,238 | | | | 1,191 | |
3.00%, 10/25/2033, Series 2013-100, Class WB | | | 851 | | | | 835 | |
3.00%, 02/25/2043, Series 2013-81, Class TA | | | 543 | | | | 539 | |
3.00%, 01/25/2046, Series 2016-38, Class NA | | | 1,229 | | | | 1,197 | |
3.00%, 02/25/2047, Series 2017-51, Class CP | | | 1,244 | | | | 1,189 | |
3.50%, 04/25/2031, Series 2011-31, Class DB | | | 429 | | | | 429 | |
3.50%, 09/25/2033, Series 2013-90, Class DL | | | 1,500 | | | | 1,498 | |
3.50%, 03/25/2042, Series 2013-136, Class QB | | | 689 | | | | 676 | |
3.50%, 02/25/2043, Series 2013-4, Class AJ | | | 173 | | | | 166 | |
3.50%, 11/25/2057, Series 2019-7, Class CA | | | 3,690 | | | | 3,688 | |
4.00%, 04/25/2033, Series 2003-22, Class UD | | | 113 | | | | 114 | |
4.00%, 05/25/2033, Series 2003-42, Class GB | | | 8 | | | | 8 | |
4.00%, 04/25/2041, Series 2014-21, Class KW | | | 1,285 | | | | 1,276 | |
4.16% (1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037, Series 2007-92, Class YS(3)(5) | | | 20 | | | | 2 | |
4.23% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038, Series 2008-81, Class SB(3)(5) | | | 84 | | | | 9 | |
4.23% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038, Series 2008-80, Class SA(3)(5) | | | 90 | | | | 10 | |
4.28% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039, Series 2009-84, Class WS(3)(5) | | | 27 | | | | 3 | |
4.29% (1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038, Series 2008-1, Class BI(3)(5) | | | 91 | | | | 11 | |
4.38% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038, Series 2008-4, Class SD(3)(5) | | | 249 | | | | 25 | |
4.46% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037, Series 2007-22, Class SC(3)(5)(7) | | | 3 | | | | 0 | |
| | | | | | | | |
4.48% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037, Series 2007-35, Class SI(3)(5) | | | 37 | | | | 3 | |
4.48% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037, Series 2007-54, Class WI(3)(5) | | | 25 | | | | 3 | |
4.48% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037, Series 2007-53, Class SH(3)(5) | | | 76 | | | | 9 | |
4.48% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049, Series 2010-103, Class SB(3)(5) | | | 56 | | | | 6 | |
4.50%, 07/25/2023, Series 2008-61, Class BH | | | 4 | | | | 4 | |
4.50%, 10/25/2036, Series 2009-19, Class PW | | | 93 | | | | 95 | |
4.50%, 02/25/2039, Series 2009-4, Class BD | | | 2 | | | | 2 | |
4.50%, 04/25/2042, Series 2014-11, Class VB | | | 1,500 | | | | 1,526 | |
4.56% (1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039, Series 2009-99, Class SC(3)(5) | | | 33 | | | | 4 | |
4.58% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038, Series 2008-16, Class IS(3)(5) | | | 30 | | | | 3 | |
4.61% (1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038, Series 2008-10, Class XI(3)(5) | | | 32 | | | | 4 | |
4.63% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040, Series 2009-112, Class ST(3)(5) | | | 76 | | | | 9 | |
4.74% (1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037, Series 2007-108, Class SA(3)(5)(7) | | | 3 | | | | 0 | |
4.78% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037, Series 2007-72, Class EK(3)(5) | | | 228 | | | | 30 | |
4.78% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037, Series 2007-109, Class AI(3)(5) | | | 106 | | | | 10 | |
4.78% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040, Series 2010-42, Class S(3)(5) | | | 38 | | | | 4 | |
4.80% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040, Series 2010-35, Class SB(3)(5) | | | 54 | | | | 6 | |
4.82% (1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037, Series 2007-14, Class ES(3)(5) | | | 118 | | | | 15 | |
4.83% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037, Series 2007-100, Class SM(3)(5) | | | 79 | | | | 11 | |
4.83% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037, Series 2007-112, Class SA(3)(5) | | | 125 | | | | 18 | |
4.84% (1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037, Series 2007-91, Class ES(3)(5) | | | 121 | | | | 17 | |
4.88% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036, Series 2007-7, Class SG(3)(5) | | | 93 | | | | 15 | |
4.90% (1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036, Series 2006-58, Class IG(3)(5) | | | 17 | | | | 2 | |
4.91% (1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041, Series 2010-147, Class SA(3)(5) | | | 378 | | | | 58 | |
4.92% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037, Series 2007-88, Class VI(3)(5) | | | 118 | | | | 16 | |
4.93% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039, Series 2009-6, Class GS(3)(5) | | | 61 | | | | 9 | |
4.96% (1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036, Series 2006-53, Class US(3)(5) | | | 73 | | | | 9 | |
5.00% (1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037, Series 2007-65, Class KI(3)(5) | | | 76 | | | | 9 | |
5.00%, 11/25/2024, Series 2004-81, Class JG | | | 36 | | | | 36 | |
5.00%, 03/25/2029, Series 2009-11, Class NB | | | 57 | | | | 58 | |
5.00%, 11/25/2032, Series 2002-71, Class AP | | | 5 | | | | 5 | |
5.00%, 03/25/2033, Series 2003-14, Class TI(7) | | | 8 | | | | 0 | |
5.00%, 03/25/2037, Series 2009-63, Class P | | | 2 | | | | 2 | |
5.00%, 07/25/2038, Series 2008-56, Class AC | | | 20 | | | | 21 | |
5.00%, 07/25/2038, Series 2008-60, Class JC | | | 27 | | | | 28 | |
5.00%, 07/25/2039, Series 2009-52, Class PI | | | 44 | | | | 8 | |
5.00%, 08/25/2039, Series 2009-59, Class HB | | | 174 | | | | 181 | |
5.00%, 09/25/2039, Series 2009-65, Class MT | | | 36 | | | | 35 | |
5.00%, 06/25/2040, Series 2010-64, Class DM | | | 268 | | | | 279 | |
5.00%, 09/25/2040, Series 2010-102, Class PN | | | 178 | | | | 185 | |
5.03% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036, Series 2006-117, Class GS(3)(5) | | | 64 | | | | 6 | |
5.03% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039, Series 2009-17, Class QS(3)(5) | | | 20 | | | | 2 | |
5.08% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036, Series 2006-8, Class WN(3)(5) | | | 384 | | | | 50 | |
5.09% (1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035, Series 2005-56, Class S(3)(5) | | | 34 | | | | 4 | |
5.23% (1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038, Series 2008-32, Class SA(3)(5) | | | 16 | | | | 2 | |
5.28% (1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038, Series 2008-27, Class SN(3)(5) | | | 41 | | | | 6 | |
5.37% (1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038, Series 2008-20, Class SA(3)(5) | | | 46 | | | | 7 | |
5.48% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033, Series 2004-4, Class QI(3)(5)(7) | | | 2 | | | | 0 | |
5.50%, 09/25/2022, Series 1992-143, Class MA(7) | | | 0 | | | | 0 | |
5.50%, 03/25/2023, Series 2003-17, Class EQ | | | 6 | | | | 6 | |
5.50%, 04/25/2023, Series 1993-58, Class H | | | 1 | | | | 1 | |
5.50%, 04/25/2023, Series 2003-23, Class EQ | | | 13 | | | | 13 | |
5.50%, 05/25/2023, Series 2003-39, Class LW | | | 4 | | | | 4 | |
5.50%, 07/25/2024, Series 2004-53, Class NC | | | 1 | | | | 1 | |
5.50%, 08/25/2024, Series 2004-65, Class EY | | | 20 | | | | 20 | |
5.50%, 08/25/2025, Series 2005-67, Class EY | | | 36 | | | | 37 | |
5.50%, 01/25/2026, Series 2005-121, Class DX | | | 19 | | | | 19 | |
5.50%, 04/18/2029, Series 1999-18, Class Z | | | 3 | | | | 3 | |
5.50%, 12/25/2032, Series 2002-78, Class Z | | | 67 | | | | 71 | |
5.50%, 08/25/2033, Series 2003-72, Class IE | | | 111 | | | | 18 | |
5.50%, 08/25/2033, Series 2003-73, Class HC | | | 52 | | | | 56 | |
5.50%, 10/25/2033, Series 2003-105, Class AZ | | | 414 | | | | 440 | |
5.50%, 04/25/2034, Series 2004-17, Class H | | | 127 | | | | 135 | |
5.50%, 07/25/2034, Series 2004-50, Class VZ | | | 208 | | | | 220 | |
5.50%, 08/25/2035, Series 2005-68, Class PG | | | 49 | | | | 51 | |
5.50%, 08/25/2035, Series 2005-73, Class ZB | | | 373 | | | | 395 | |
| | | | | | | | |
5.50%, 12/25/2035, Series 2006-46, Class UC | | | 14 | | | | 14 | |
5.50%, 12/25/2035, Series 2005-110, Class GL | | | 266 | | | | 283 | |
5.50%, 01/25/2036, Series 2006-39, Class WC | | | 7 | | | | 8 | |
5.50%, 03/25/2036, Series 2006-16, Class HZ | | | 23 | | | | 24 | |
5.50%, 03/25/2036, Series 2006-12, Class BZ | | | 108 | | | | 114 | |
5.50%, 03/25/2036, Series 2006-8, Class JZ | | | 135 | | | | 143 | |
5.50%, 01/25/2037, Series 2006-128, Class BP | | | 8 | | | | 8 | |
5.50%, 07/25/2037, Series 2007-70, Class Z | | | 80 | | | | 84 | |
5.50%, 08/25/2037, Series 2007-76, Class AZ | | | 25 | | | | 27 | |
5.50%, 07/25/2038, Series 2011-47, Class ZA | | | 101 | | | | 106 | |
5.50%, 10/25/2039, Series 2009-86, Class IP | | | 103 | | | | 19 | |
5.50%, 06/25/2040, Series 2010-58, Class MB | | | 470 | | | | 492 | |
5.50%, 07/25/2040, Series 2010-71, Class HJ | | | 147 | | | | 158 | |
5.50%, 10/25/2040, Series 2010-111, Class AM | | | 496 | | | | 532 | |
5.50%, 07/25/2051, Series 2011-58, Class WA(4) | | | 19 | | | | 20 | |
5.53% (1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037, Series 2007-60, Class AX(3)(5) | | | 361 | | | | 63 | |
5.58% (1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038, Series 2008-53, Class CI(3)(5) | | | 25 | | | | 3 | |
5.75%, 06/25/2033, Series 2003-47, Class PE | | | 36 | | | | 37 | |
5.75%, 07/25/2035, Series 2005-66, Class ZH | | | 1,082 | | | | 1,142 | |
5.75%, 10/25/2035, Series 2005-84, Class XM | | | 40 | | | | 42 | |
5.82%, 02/25/2051, Series 2011-2, Class WA(4) | | | 52 | | | | 55 | |
5.98% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028, Series 2008-55, Class S(3)(5) | | | 103 | | | | 8 | |
5.98% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033, Series 2003-116, Class SB(3)(5) | | | 58 | | | | 7 | |
6.00%, 08/25/2022, Series 1992-136, Class PK(7) | | | 0 | | | | 0 | |
6.00%, 09/25/2022, Series 2002-54, Class PG(7) | | | 0 | | | | 0 | |
6.00% (1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023, Series G93-17, Class SI(3)(5)(7) | | | 0 | | | | 0 | |
6.00%, 07/25/2023, Series 1993-136, Class ZB(4) | | | 4 | | | | 4 | |
6.00%, 07/18/2028, Series 1998-36, Class ZB | | | 4 | | | | 4 | |
6.00%, 12/25/2028, Series 1998-66, Class C | | | 1 | | | | 1 | |
6.00%, 07/25/2031, Series 2001-33, Class ID | | | 16 | | | | 2 | |
6.00%, 11/25/2031, Series 2001-60, Class PX | | | 27 | | | | 29 | |
6.00%, 04/25/2032, Series 2002-15, Class ZA | | | 70 | | | | 74 | |
6.00%, 11/25/2032, Series 2011-39, Class ZA | | | 211 | | | | 226 | |
6.00%, 05/25/2033, Series 2003-39, Class IO(4) | | | 5 | | | | 1 | |
6.00%, 05/25/2033, Series 2003-34, Class AX | | | 17 | | | | 18 | |
6.00%, 05/25/2033, Series 2003-34, Class GE | | | 48 | | | | 51 | |
6.00%, 05/25/2033, Series 2003-34, Class ED | | | 89 | | | | 96 | |
6.00%, 12/25/2035, Series 2005-109, Class PC | | | 6 | | | | 7 | |
6.00%, 07/25/2036, Series 2006-71, Class ZL | | | 221 | | | | 238 | |
6.00%, 03/25/2037, Series 2007-18, Class MZ | | | 141 | | | | 146 | |
6.00%, 05/25/2037, Series 2007-42, Class B | | | 66 | | | | 71 | |
6.00%, 08/25/2037, Series 2007-78, Class CB | | | 9 | | | | 9 | |
6.00%, 08/25/2037, Series 2007-78, Class PE | | | 20 | | | | 21 | |
6.00%, 08/25/2037, Series 2007-76, Class ZG | | | 21 | | | | 23 | |
6.00%, 08/25/2037, Series 2007-81, Class GE | | | 34 | | | | 36 | |
6.00%, 08/25/2039, Series 2009-60, Class HT | | | 215 | | | | 232 | |
6.02%, 09/25/2039, Series 2009-69, Class WA(4) | | | 67 | | | | 71 | |
6.05% (1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033, Series 2003-71, Class DS(3)(5) | | | 58 | | | | 56 | |
6.17%, 03/25/2040, Series 2010-16, Class WB(4) | | | 133 | | | | 142 | |
6.20%, 02/25/2040, Series 2010-1, Class WA(4) | | | 30 | | | | 32 | |
6.25%, 10/25/2037, Series 2007-106, Class A7(4) | | | 28 | | | | 31 | |
6.30%, 12/25/2039, Series 2009-99, Class WA(4) | | | 184 | | | | 196 | |
6.35%, 04/25/2029, Series 1999-17, Class C | | | 2 | | | | 2 | |
6.43% (1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023, Series 1999-38, Class SK(3)(5)(7) | | | 0 | | | | 0 | |
6.44%, 03/25/2040, Series 2010-16, Class WA(4) | | | 127 | | | | 134 | |
6.50%, 08/25/2022, Series 1996-59, Class J(7) | | | 0 | | | | 0 | |
6.50%, 02/25/2023, Series G93-5, Class Z(7) | | | 0 | | | | 0 | |
6.50%, 03/25/2023, Series G93-14, Class J(7) | | | 0 | | | | 0 | |
6.50%, 07/25/2023, Series 1993-122, Class M(7) | | | 0 | | | | 0 | |
6.50%, 09/25/2023, Series 1993-178, Class PK(7) | | | 0 | | | | 0 | |
6.50%, 10/25/2023, Series 1993-189, Class PL | | | 2 | | | | 2 | |
6.50%, 10/25/2023, Series 1993-183, Class KA | | | 5 | | | | 5 | |
6.50%, 11/25/2023, Series 1995-19, Class Z | | | 2 | | | | 2 | |
6.50%, 12/25/2023, Series 1993-225, Class UB | | | 1 | | | | 1 | |
6.50%, 03/25/2024, Series 1994-37, Class L | | | 2 | | | | 2 | |
6.50%, 03/25/2024, Series 1994-40, Class Z | | | 13 | | | | 13 | |
6.50%, 04/25/2027, Series 1997-32, Class PG | | | 7 | | | | 7 | |
6.50%, 07/18/2027, Series 1997-42, Class ZC(7) | | | 0 | | | | 1 | |
6.50%, 09/25/2031, Series 2001-49, Class Z | | | 4 | | | | 5 | |
6.50%, 10/25/2031, Series 2001-52, Class KB | | | 3 | | | | 3 | |
6.50%, 04/25/2032, Series 2002-21, Class PE | | | 12 | | | | 13 | |
6.50%, 05/25/2032, Series 2002-28, Class PK | | | 25 | | | | 27 | |
6.50%, 06/25/2032, Series 2002-37, Class Z | | | 11 | | | | 12 | |
6.50%, 07/25/2032, Series 2006-130, Class GI | | | 44 | | | | 5 | |
6.50%, 08/25/2032, Series 2002-48, Class GH | | | 32 | | | | 35 | |
6.50%, 02/25/2033, Series 2003-9, Class NZ | | | 11 | | | | 11 | |
6.50%, 05/25/2033, Series 2003-33, Class IA | | | 47 | | | | 9 | |
6.50%, 07/25/2036, Series 2006-63, Class ZH | | | 110 | | | | 121 | |
6.50%, 07/25/2036, Series 2011-19, Class ZY | | | 146 | | | | 160 | |
6.50%, 08/25/2036, Series 2006-78, Class BZ | | | 10 | | | | 11 | |
6.50%, 08/25/2036, Series 2006-77, Class PC | | | 56 | | | | 60 | |
6.50%, 09/25/2036, Series 2006-85, Class MZ | | | 5 | | | | 5 | |
6.50%, 06/25/2037, Series 2007-92, Class YA | | | 12 | | | | 13 | |
| | | | | | | | |
6.50%, 12/25/2037, Series 2007-112, Class MJ | | | 91 | | | | 99 | |
6.50%, 06/25/2042, Series 2002-90, Class A1 | | | 39 | | | | 42 | |
6.53% (1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028, Series 1998-66, Class SB(3)(5)(7) | | | 0 | | | | 0 | |
6.88%, 08/25/2023, Series 2002-83, Class CS | | | 3 | | | | 3 | |
7.00%, 10/25/2022, Series G92-61, Class Z(7) | | | 0 | | | | 0 | |
7.00%, 02/25/2023, Series 1997-61, Class ZC | | | 1 | | | | 1 | |
7.00%, 03/25/2023, Series 1993-37, Class PX | | | 1 | | | | 1 | |
7.00%, 04/25/2023, Series 1993-54, Class Z(7) | | | 0 | | | | 0 | |
7.00%, 05/25/2023, Series 1993-56, Class PZ | | | 6 | | | | 6 | |
7.00%, 07/25/2023, Series 2002-1, Class G | | | 2 | | | | 2 | |
7.00%, 07/25/2023, Series 1993-99, Class Z | | | 3 | | | | 3 | |
7.00%, 08/25/2023, Series 1993-141, Class Z | | | 5 | | | | 6 | |
7.00%, 04/25/2024, Series 1994-63, Class PK | | | 8 | | | | 9 | |
7.00%, 04/25/2024, Series 1994-62, Class PK | | | 19 | | | | 20 | |
7.00%, 11/25/2026, Series 1996-48, Class Z | | | 5 | | | | 6 | |
7.00%, 12/18/2027, Series 1997-81, Class PI(7) | | | 3 | | | | 0 | |
7.00%, 03/25/2031, Series 2001-7, Class PF | | | 3 | | | | 3 | |
7.00%, 07/25/2031, Series 2001-30, Class PM | | | 8 | | | | 9 | |
7.00%, 08/25/2031, Series 2001-36, Class DE | | | 16 | | | | 18 | |
7.00%, 09/25/2031, Series 2001-44, Class PU | | | 3 | | | | 3 | |
7.00%, 09/25/2031, Series 2001-44, Class PD | | | 4 | | | | 4 | |
7.00%, 09/25/2031, Series 2001-44, Class MY | | | 21 | | | | 23 | |
7.00%, 11/25/2031, Series 2001-61, Class Z | | | 31 | | | | 34 | |
7.00%, 05/25/2033, Series 2007-97, Class KI | | | 82 | | | | 8 | |
7.00%, 07/25/2039, Series 2009-47, Class MT | | | 1 | | | | 1 | |
7.00%, 11/25/2041, Series 2011-118, Class LB | | | 482 | | | | 539 | |
7.00%, 11/25/2041, Series 2011-118, Class NT | | | 502 | | | | 554 | |
7.00%, 11/25/2041, Series 2011-118, Class MT | | | 563 | | | | 626 | |
7.25% (1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033, Series 2003-74, Class SH(3)(5) | | | 8 | | | | 8 | |
7.48% (1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030, Series 2000-20, Class SA(3)(5)(7) | | | 5 | | | | 0 | |
7.50%, 10/25/2022, Series 1992-188, Class PZ(7) | | | 0 | | | | 0 | |
7.50%, 03/25/2023, Series 1993-25, Class J(7) | | | 0 | | | | 1 | |
7.50%, 04/18/2027, Series 1997-27, Class J | | | 2 | | | | 2 | |
7.50%, 04/20/2027, Series 1997-29, Class J | | | 3 | | | | 3 | |
7.50%, 05/20/2027, Series 1997-39, Class PD | | | 11 | | | | 11 | |
7.50%, 12/18/2029, Series 1999-62, Class PB | | | 4 | | | | 4 | |
7.50%, 02/25/2030, Series 2000-2, Class ZE | | | 19 | | | | 20 | |
7.70%, 03/25/2023, Series 1993-21, Class KA(7) | | | 0 | | | | 0 | |
7.75%, 09/25/2022, Series 1992-163, Class M(7) | | | 0 | | | | 0 | |
7.88% (10 Year CMT Index + 10.75%, 10.00% Cap), 08/25/2023, Series 1996-14, Class SE(3)(5)(7) | | | 3 | | | | 0 | |
7.90%, 01/25/2023, Series G93-1, Class KA(7) | | | 0 | | | | 0 | |
8.00%, 07/25/2022, Series 1992-117, Class MA(7) | | | 0 | | | | 0 | |
8.00%, 09/25/2022, Series 1992-150, Class M(7) | | | 0 | | | | 0 | |
8.50%, 01/25/2025, Series 1995-2, Class Z | | | 1 | | | | 1 | |
8.50%, 01/25/2031, Series 2000-52, Class IO(7) | | | 1 | | | | 0 | |
8.50% (1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032, Series 2004-61, Class SK(3)(5) | | | 10 | | | | 10 | |
8.80%, 01/25/2025, Series G95-1, Class C | | | 2 | | | | 2 | |
9.08% (1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034, Series 2003-130, Class SX(3)(5) | | | 1 | | | | 1 | |
9.41% (1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040, Series 2010-49, Class SC(3)(5) | | | 117 | | | | 125 | |
9.45% (1 Year LIBOR USD + 14.86%, 14.86% Cap), 09/25/2023, Series 1993-165, Class SD(3)(5)(7) | | | 0 | | | | 0 | |
9.79% (1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033, Series 2003-91, Class SD(3)(5) | | | 9 | | | | 9 | |
10.00% (1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032, Series 2002-13, Class ST(3)(5)(7) | | | 0 | | | | 0 | |
10.40% (1 Year LIBOR USD + 12.95%, 4.00% Floor, 12.95% Cap), 12/25/2023, Series 1993-247,
Class SU(3)(5)(7) | | | 0 | | | | 0 | |
10.50% (1 Year LIBOR USD + 63.39%, 10.50% Cap), 10/25/2023, Series 1993-179, Class SC(3)(5)(7) | | | 0 | | | | 0 | |
10.75% (1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038, Series 2008-18, Class SP(3)(5) | | | 16 | | | | 15 | |
10.95% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033, Series 2004-4, Class QM(3)(5) | | | 2 | | | | 2 | |
10.99% (1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034, Series 2004-51, Class SY(3)(5) | | | 8 | | | | 8 | |
11.10% (1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033, Series 2003-64, Class SX(3)(5) | | | 11 | | | | 11 | |
11.51% (1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032, Series 2002-77, Class S(3)(5) | | | 5 | | | | 5 | |
12.04% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034, Series 2004-46, Class SK(3)(5) | | | 6 | | | | 7 | |
12.09% (1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037, Series 2007-85, Class SL(3)(5) | | | 6 | | | | 6 | |
12.25% (1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040, Series 2010-35, Class SJ(3)(5) | | | 72 | | | | 76 | |
12.31% (1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031, Series 2004-74, Class SW(3)(5) | | | 9 | | | | 10 | |
12.44% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037, Series 2007-62, Class SE(3)(5) | | | 15 | | | | 16 | |
12.50% (1 Month LIBOR USD + 77.31%, 12.50% Cap), 09/25/2023, Series 1993-165, Class SK(3)(5)(7) | | | 0 | | | | 0 | |
12.64% (1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035, Series 2005-73, Class PS(3)(5) | | | 18 | | | | 19 | |
12.82% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035, Series 2005-72, Class SB(3)(5) | | | 14 | | | | 16 | |
12.82% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035, Series 2005-90, Class ES(3)(5) | | | 18 | | | | 20 | |
12.94% (1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035, Series 2005-42, Class PS(3)(5) | | | 2 | | | | 2 | |
| | | | | | | | |
12.95% (1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034, Series 2003-131, Class SK(3)(5) | | | 2 | | | | 2 | |
13.28% (1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033, Series 2005-56, Class TP(3)(5) | | | 10 | | | | 10 | |
13.32% (1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035, Series 2005-66, Class SG(3)(5) | | | 18 | | | | 21 | |
13.68% (1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031, Series 2001-72, Class SX(3)(5) | | | 1 | | | | 1 | |
14.59% (1 Year LIBOR USD + 20.53%, 20.53% Cap), 04/25/2023, Series 1993-62, Class SA(3)(5)(7) | | | 0 | | | | 0 | |
15.06% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034, Series 2004-25, Class SA(3)(5) | | | 23 | | | | 26 | |
15.06% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034, Series 2004-36, Class SA(3)(5) | | | 53 | | | | 61 | |
15.50% (1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023, Series 1993-27, Class SA(3)(5)(7) | | | 0 | | | | 0 | |
15.53% (7 Year CMT Index + 22.30%, 21.83% Cap), 04/25/2023, Series 1998-43, Class SA(3)(5)(7) | | | 0 | | | | 0 | |
15.56% (1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035, Series 2005-74, Class CS(3)(5) | | | 38 | | | | 39 | |
15.67% (1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035, Series 2005-74, Class SK(3)(5) | | | 26 | | | | 27 | |
15.83% (1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038, Series 2008-28, Class QS(3)(5) | | | 17 | | | | 20 | |
17.25% (1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037, Series 2007-29, Class SG(3)(5) | | | 23 | | | | 29 | |
17.38% (1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035, Series 2005-59, Class SU(3)(5) | | | 16 | | | | 19 | |
17.51% (1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034, Series 2004-46, Class QB(3)(5) | | | 11 | | | | 13 | |
17.71% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035, Series 2005-75, Class SV(3)(5) | | | 4 | | | | 4 | |
18.06% (1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037, Series 2007-79, Class SB(3)(5) | | | 31 | | | | 39 | |
18.08% (1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031, Series 2003-52, Class SX(3)(5) | | | 7 | | | | 8 | |
18.25% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036, Series 2006-46, Class SW(3)(5) | | | 3 | | | | 4 | |
18.60% (1 Year LIBOR USD + 29.75%, 29.75% Cap), 10/25/2023, Series 1993-179, Class SB(3)(5)(7) | | | 0 | | | | 0 | |
18.61% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035, Series 2005-106, Class US(3)(5) | | | 85 | | | | 96 | |
18.61% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036, Series 2006-11, Class PS(3)(5) | | | 10 | | | | 13 | |
18.80% (1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035, Series 2005-74, Class CP(3)(5) | | | 9 | | | | 9 | |
18.82% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023, Series 2002-1, Class UD(3)(5)(7) | | | 0 | | | | 1 | |
18.82% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031, Series 2001-60, Class QS(3)(5) | | | 12 | | | | 13 | |
18.83% (1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023, Series 1999-52, Class NS(3)(5)(7) | | | 0 | | | | 0 | |
19.71% (1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036, Series 2006-95, Class SG(3)(5) | | | 12 | | | | 15 | |
19.72% (1 Year LIBOR USD + 31.01%, 31.01% Cap), 12/25/2023, Series 1993-247, Class SA(3)(5) | | | 1 | | | | 1 | |
19.91% (1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032, Series 2002-1, Class SA(3)(5) | | | 2 | | | | 3 | |
20.07% (1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036, Series 2006-115, Class ES(3)(5) | | | 2 | | | | 3 | |
22.31% (1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036, Series 2006-60, Class AK(3)(5) | | | 11 | | | | 12 | |
22.84% (1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036, Series 2006-33, Class LS(3)(5) | | | 10 | | | | 14 | |
25.13% (1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026, Series 2006-94, Class GK(3)(5) | | | 6 | | | | 6 | |
29.26% (1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037, Series 2007-1, Class SD(3)(5) | | | 8 | | | | 18 | |
30.16% (1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036, Series 2006-62, Class PS(3)(5) | | | 8 | | | | 11 | |
Fannie Mae Trust 2003-W2 | | | | | | | | |
5.90%, 07/25/2042, Series 2003-W2, Class 2A9 | | | 38 | | | | 40 | |
6.50%, 07/25/2042, Series 2003-W2, Class 1A1 | | | 65 | | | | 69 | |
Fannie Mae Trust 2003-W6 | | | | | | | | |
5.20%, 09/25/2042, Series 2003-W6, Class 2A4 | | | 231 | | | | 235 | |
6.50%, 09/25/2042, Series 2003-W6, Class 3A | | | 84 | | | | 89 | |
Fannie Mae Trust 2003-W8 | | | | | | | | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042, Series 2003-W8, Class 3F1(3) | | | 20 | | | | 20 | |
7.00%, 10/25/2042, Series 2003-W8, Class 2A | | | 89 | | | | 95 | |
Fannie Mae Trust 2004-W1 | | | | | | | | |
7.00%, 12/25/2033, Series 2004-W1, Class 2A2 | | | 146 | | | | 160 | |
Fannie Mae Trust 2004-W15 | | | | | | | | |
1.87% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044, Series 2004-W15, Class 2AF(3) | | | 74 | | | | 73 | |
Fannie Mae Trust 2004-W2 | | | | | | | | |
7.00%, 02/25/2044, Series 2004-W2, Class 2A2 | | | 26 | | | | 29 | |
Fannie Mae Trust 2004-W8 | | | | | | | | |
7.50%, 06/25/2044, Series 2004-W8, Class 3A | | | 24 | | | | 26 | |
Fannie Mae Trust 2005-W3 | | | | | | | | |
1.84% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045, Series 2005-W3, Class 2AF(3) | | | 630 | | | | 628 | |
Fannie Mae Trust 2005-W4 | | | | | | | | |
6.00%, 08/25/2045, Series 2005-W4, Class 1A1 | | | 35 | | | | 37 | |
Fannie Mae Trust 2006-W2 | | | | | | | | |
1.84% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046, Series 2006-W2, Class 1AF1(3) | | | 286 | | | | 286 | |
2.50%, 11/25/2045, Series 2006-W2, Class 2A(4) | | | 96 | | | | 98 | |
Fannie Mae Whole Loan | | | | | | | | |
1.88% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046, Series 2007-W1, Class 1AF1(3) | | | 667 | | | | 662 | |
| | | | | | | | |
Fannie Mae-Aces | | | | | | | | |
0.67%, 10/25/2030, Series 2020-M50, Class A1 | | | 1,780 | | | | 1,641 | |
0.75%, 09/25/2028, Series 2020-M39, Class 1A1 | | | 20,803 | | | | 19,627 | |
1.00%, 11/25/2033, Series 2021-M3, Class 1A1 | | | 4,430 | | | | 4,250 | |
1.20%, 10/25/2030, Series 2020-M50, Class A2 | | | 1,055 | | | | 945 | |
1.59%, 11/25/2028, Series 2020-M38, Class 2A1 | | | 2,060 | | | | 1,875 | |
1.76%, 11/25/2031, Series 2022-M3, Class A2(4) | | | 13,600 | | | | 11,542 | |
1.86% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 11/25/2022, Series 2015-M17, Class FA(3) | | | 39 | | | | 38 | |
1.99%, 12/25/2029, Series 2019-M30, Class 2A1 | | | 14,672 | | | | 14,140 | |
2.00%, 10/25/2030, Series 2020-M50, Class X1(4) | | | 16,580 | | | | 1,505 | |
2.09%, 11/25/2033, Series 2021-M3, Class X1(4) | | | 28,306 | | | | 3,231 | |
2.10%, 11/25/2028, Series 2020-M38, Class X2(4) | | | 11,690 | | | | 1,174 | |
2.11%, 07/25/2030, Series 2020-M39, Class X1(4) | | | 107,950 | | | | 11,636 | |
2.28%, 12/27/2022, Series 2013-M7, Class A2 | | | 312 | | | | 310 | |
2.39%, 01/25/2023, Series 2013-M9, Class A2(4) | | | 317 | | | | 315 | |
2.53%, 09/25/2024, Series 2015-M1, Class A2 | | | 1,083 | | | | 1,059 | |
2.56%, 12/25/2026, Series 2017-M3, Class A2(4) | | | 1,218 | | | | 1,173 | |
2.59%, 12/25/2024, Series 2015-M7, Class A2 | | | 1,127 | | | | 1,108 | |
2.66%, 12/25/2026, Series 2017-M4, Class A2(4) | | | 6,783 | | | | 6,566 | |
2.90%, 01/25/2025, Series 2015-M8, Class A2(4) | | | 1,925 | | | | 1,894 | |
2.96%, 02/25/2027, Series 2017-M7, Class A2(4) | | | 3,404 | | | | 3,321 | |
2.98%, 08/25/2029, Series 2017-M11, Class A2 | | | 2,200 | | | | 2,128 | |
3.02%, 08/25/2024, Series 2014-M13, Class A2(4) | | | 799 | | | | 794 | |
3.06%, 05/25/2027, Series 2017-M8, Class A2(4) | | | 4,936 | | | | 4,853 | |
3.09%, 04/25/2027, Series 2015-M10, Class A2(4) | | | 6,384 | | | | 6,283 | |
3.16%, 03/25/2028, Series 2018-M4, Class A2(4) | | | 3,526 | | | | 3,456 | |
3.17%, 06/25/2027, Series 2017-M12, Class A2(4) | | | 4,367 | | | | 4,304 | |
3.18%, 02/25/2030, Series 2018-M3, Class A2(4) | | | 2,732 | | | | 2,659 | |
3.22%, 04/25/2029, Series 2017-M5, Class A2(4) | | | 4,218 | | | | 4,145 | |
3.41%, 06/25/2028, Series 2018-M8, Class A2(4) | | | 4,693 | | | | 4,646 | |
3.48%, 07/25/2028, Series 2018-M10, Class A1(4) | | | 1,959 | | | | 1,966 | |
3.48%, 07/25/2028, Series 2018-M10, Class A2(4) | | | 6,977 | | | | 6,937 | |
3.50%, 01/25/2024, Series 2014-M3, Class A2(4) | | | 4,235 | | | | 4,232 | |
3.51%, 12/25/2023, Series 2014-M2, Class A2(4) | | | 1,089 | | | | 1,091 | |
3.67%, 09/25/2028, Series 2019-M1, Class A2(4) | | | 7,273 | | | | 7,286 | |
3.77%, 08/25/2030, Series 2018-M12, Class A2(4) | | | 5,611 | | | | 5,615 | |
FHLMC-Ginnie Mae | | | | | | | | |
6.25%, 11/25/2023, Series 24, Class ZE | | | 1 | | | | 1 | |
7.00%, 03/25/2023, Series 8, Class ZA(7) | | | 0 | | | | 0 | |
7.50%, 04/25/2024, Series 29, Class L | | | 6 | | | | 6 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | | | | | | | | |
5.50%, 11/25/2035, Series 2005-FA8, Class 1A19 | | | 56 | | | | 33 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | | | | | | | | |
5.75%, 11/25/2024, Series 2006-FA6, Class 3A1 | | | 1 | | | | 1 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | | | | | | | | |
5.75%, 02/25/2037, Series 2006-FA8, Class 2A1(7) | | | 4 | | | | 0 | |
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | | | | | | | | |
4.03% (1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037, Series 2007-FA4, Class 1A2(3)(5) | | | 567 | | | | 69 | |
FMC GMSR Issuer Trust | | | | | | | | |
3.65%, 02/25/2024, Series 2021-SAT1, Class A(1)(4) | | | 16,715 | | | | 16,464 | |
Freddie Mac Gold Pool | | | | | | | | |
2.00%, 01/01/2032 | | | 2,792 | | | | 2,673 | |
2.50%, 06/01/2028 | | | 369 | | | | 364 | |
2.50%, 03/01/2030 | | | 700 | | | | 688 | |
2.50%, 07/01/2030 | | | 1,731 | | | | 1,699 | |
2.50%, 07/01/2031 | | | 1,544 | | | | 1,515 | |
2.50%, 08/01/2031 | | | 756 | | | | 739 | |
2.50%, 11/01/2046 | | | 1,343 | | | | 1,217 | |
3.00%, 07/01/2028 | | | 602 | | | | 598 | |
3.00%, 08/01/2028 | | | 399 | | | | 398 | |
3.00%, 09/01/2028 | | | 1,324 | | | | 1,320 | |
3.00%, 10/01/2028 | | | 548 | | | | 547 | |
3.00%, 05/01/2029 | | | 503 | | | | 499 | |
3.00%, 09/01/2031 | | | 609 | | | | 606 | |
3.00%, 02/01/2032 | | | 3,066 | | | | 3,058 | |
3.00%, 07/01/2035 | | | 3,794 | | | | 3,730 | |
3.00%, 09/01/2036 | | | 1,472 | | | | 1,441 | |
3.00%, 08/01/2042 | | | 754 | | | | 721 | |
3.00%, 10/01/2042 | | | 2,017 | | | | 1,930 | |
3.00%, 11/01/2042 | | | 3,516 | | | | 3,364 | |
3.00%, 02/01/2043 | | | 174 | | | | 167 | |
3.00%, 03/01/2043 | | | 1,191 | | | | 1,139 | |
3.00%, 03/01/2043 | | | 2,374 | | | | 2,271 | |
3.00%, 04/01/2043 | | | 43 | | | | 41 | |
3.00%, 04/01/2043 | | | 7,047 | | | | 6,740 | |
3.00%, 06/01/2043 | | | 19 | | | | 18 | |
3.00%, 07/01/2043 | | | 13 | | | | 12 | |
3.00%, 07/01/2043 | | | 145 | | | | 139 | |
3.00%, 08/01/2043 | | | 279 | | | | 266 | |
3.00%, 08/01/2043 | | | 3,165 | | | | 3,026 | |
3.00%, 05/01/2045 | | | 458 | | | | 437 | |
3.00%, 05/01/2045 | | | 1,457 | | | | 1,387 | |
3.00%, 06/01/2045 | | | 288 | | | | 275 | |
3.00%, 10/01/2045 | | | 2,219 | | | | 2,122 | |
3.00%, 10/01/2046 | | | 3,693 | | | | 3,499 | |
3.00%, 10/01/2046 | | | 11,445 | | | | 10,893 | |
| | | | | | | | |
3.00%, 01/01/2047 | | | 912 | | | | 863 | |
3.00%, 02/01/2047 | | | 5,121 | | | | 4,847 | |
3.00%, 03/01/2047 | | | 658 | | | | 623 | |
3.00%, 05/01/2047 | | | 8,098 | | | | 7,679 | |
3.50%, 01/01/2032 | | | 244 | | | | 244 | |
3.50%, 03/01/2032 | | | 95 | | | | 95 | |
3.50%, 02/01/2033 | | | 123 | | | | 122 | |
3.50%, 05/01/2033 | | | 105 | | | | 103 | |
3.50%, 05/01/2033 | | | 379 | | | | 375 | |
3.50%, 01/01/2034 | | | 3,415 | | | | 3,418 | |
3.50%, 04/01/2037 | | | 3,742 | | | | 3,727 | |
3.50%, 11/01/2037 | | | 1,025 | | | | 1,009 | |
3.50%, 05/01/2042 | | | 379 | | | | 373 | |
3.50%, 06/01/2042 | | | 164 | | | | 161 | |
3.50%, 06/01/2042 | | | 1,157 | | | | 1,133 | |
3.50%, 08/01/2042 | | | 276 | | | | 271 | |
3.50%, 09/01/2042 | | | 1,508 | | | | 1,483 | |
3.50%, 09/01/2042 | | | 2,166 | | | | 2,131 | |
3.50%, 10/01/2042 | | | 1,127 | | | | 1,108 | |
3.50%, 10/01/2042 | | | 5,839 | | | | 5,744 | |
3.50%, 11/01/2042 | | | 82 | | | | 80 | |
3.50%, 11/01/2042 | | | 498 | | | | 490 | |
3.50%, 11/01/2042 | | | 1,303 | | | | 1,282 | |
3.50%, 12/01/2042 | | | 1,402 | | | | 1,379 | |
3.50%, 01/01/2043 | | | 3,527 | | | | 3,469 | |
3.50%, 03/01/2043 | | | 311 | | | | 306 | |
3.50%, 05/01/2043 | | | 146 | | | | 143 | |
3.50%, 06/01/2043 | | | 340 | | | | 333 | |
3.50%, 06/01/2043 | | | 687 | | | | 676 | |
3.50%, 07/01/2043 | | | 237 | | | | 233 | |
3.50%, 10/01/2043 | | | 106 | | | | 104 | |
3.50%, 05/01/2044 | | | 8,207 | | | | 8,073 | |
3.50%, 01/01/2045 | | | 6,564 | | | | 6,457 | |
3.50%, 06/01/2045 | | | 639 | | | | 628 | |
3.50%, 12/01/2045 | | | 1,623 | | | | 1,588 | |
3.50%, 01/01/2046 | | | 3,806 | | | | 3,725 | |
3.50%, 05/01/2046 | | | 1,008 | | | | 986 | |
3.50%, 07/01/2046 | | | 1,637 | | | | 1,602 | |
3.50%, 08/01/2046 | | | 3,660 | | | | 3,601 | |
3.50%, 08/01/2046 | | | 3,954 | | | | 3,889 | |
3.50%, 12/01/2046 | | | 3,268 | | | | 3,199 | |
3.50%, 01/01/2047 | | | 1,279 | | | | 1,254 | |
3.50%, 10/01/2047 | | | 2,944 | | | | 2,881 | |
4.00%, 09/01/2040 | | | 260 | | | | 263 | |
4.00%, 11/01/2040 | | | 15 | | | | 15 | |
4.00%, 11/01/2040 | | | 687 | | | | 695 | |
4.00%, 12/01/2040 | | | 206 | | | | 208 | |
4.00%, 12/01/2040 | | | 407 | | | | 412 | |
4.00%, 12/01/2040 | | | 484 | | | | 490 | |
4.00%, 12/01/2040 | | | 509 | | | | 516 | |
4.00%, 12/01/2040 | | | 582 | | | | 589 | |
4.00%, 01/01/2041 | | | 465 | | | | 468 | |
4.00%, 10/01/2041 | | | 1,775 | | | | 1,793 | |
4.00%, 11/01/2041 | | | 5 | | | | 5 | |
4.00%, 01/01/2042 | | | 80 | | | | 81 | |
4.00%, 05/01/2042 | | | 7 | | | | 7 | |
4.00%, 06/01/2042 | | | 830 | | | | 835 | |
4.00%, 10/01/2042 | | | 40 | | | | 39 | |
4.00%, 01/01/2043 | | | 119 | | | | 119 | |
4.00%, 09/01/2043 | | | 3,087 | | | | 3,125 | |
4.00%, 11/01/2043 | | | 32 | | | | 32 | |
4.00%, 11/01/2043 | | | 60 | | | | 60 | |
4.00%, 12/01/2043 | | | 95 | | | | 96 | |
4.00%, 12/01/2043 | | | 162 | | | | 162 | |
4.00%, 12/01/2043 | | | 570 | | | | 575 | |
4.00%, 01/01/2044 | | | 67 | | | | 68 | |
4.00%, 01/01/2044 | | | 184 | | | | 185 | |
4.00%, 03/01/2044 | | | 964 | | | | 972 | |
4.00%, 10/01/2044 | | | 3,027 | | | | 3,051 | |
4.00%, 01/01/2045 | | | 148 | | | | 149 | |
4.00%, 10/01/2045 | | | 194 | | | | 196 | |
4.00%, 10/01/2045 | | | 2,736 | | | | 2,741 | |
4.00%, 11/01/2045 | | | 4,156 | | | | 4,189 | |
4.00%, 01/01/2046 | | | 2,047 | | | | 2,058 | |
4.00%, 05/01/2046 | | | 102 | | | | 103 | |
4.00%, 06/01/2046 | | | 4,389 | | | | 4,424 | |
4.00%, 08/01/2046 | | | 987 | | | | 995 | |
4.00%, 01/01/2047 | | | 6,348 | | | | 6,399 | |
4.00%, 04/01/2047 | | | 199 | | | | 200 | |
4.00%, 06/01/2047 | | | 1,512 | | | | 1,520 | |
4.00%, 09/01/2047 | | | 3,181 | | | | 3,200 | |
4.50%, 11/01/2035 | | | 7 | | | | 7 | |
4.50%, 07/01/2039 | | | 85 | | | | 87 | |
4.50%, 10/01/2039 | | | 653 | | | | 675 | |
4.50%, 11/01/2039 | | | 730 | | | | 754 | |
4.50%, 11/01/2039 | | | 1,032 | | | | 1,066 | |
4.50%, 05/01/2040 | | | 364 | | | | 376 | |
| | | | | | | | |
4.50%, 08/01/2040 | | | 150 | | | | 155 | |
4.50%, 09/01/2040 | | | 122 | | | | 126 | |
4.50%, 09/01/2040 | | | 472 | | | | 487 | |
4.50%, 03/01/2041 | | | 97 | | | | 100 | |
4.50%, 05/01/2041 | | | 852 | | | | 880 | |
4.50%, 08/01/2041 | | | 236 | | | | 244 | |
4.50%, 12/01/2043 | | | 2,978 | | | | 3,076 | |
4.50%, 03/01/2044 | | | 223 | | | | 229 | |
4.50%, 05/01/2044 | | | 303 | | | | 312 | |
4.50%, 07/01/2044 | | | 22 | | | | 23 | |
4.50%, 07/01/2044 | | | 121 | | | | 125 | |
4.50%, 09/01/2044 | | | 751 | | | | 773 | |
4.50%, 09/01/2046 | | | 1,383 | | | | 1,415 | |
4.50%, 10/01/2046 | | | 1,226 | | | | 1,253 | |
4.50%, 11/01/2046 | | | 5,391 | | | | 5,567 | |
4.50%, 07/01/2047 | | | 533 | | | | 542 | |
4.50%, 07/01/2047 | | | 631 | | | | 645 | |
4.50%, 11/01/2047 | | | 387 | | | | 395 | |
5.00%, 01/01/2034 | | | 14 | | | | 14 | |
5.00%, 06/01/2034 | | | 41 | | | | 42 | |
5.00%, 09/01/2034 | | | 51 | | | | 54 | |
5.00%, 03/01/2035 | | | 14 | | | | 14 | |
5.00%, 08/01/2035 | | | 586 | | | | 617 | |
5.00%, 03/01/2036 | | | 1,282 | | | | 1,349 | |
5.00%, 07/01/2036 | | | 1 | | | | 1 | |
5.00%, 11/01/2036 | | | 34 | | | | 36 | |
5.00%, 03/01/2037 | | | 80 | | | | 84 | |
5.00%, 06/01/2037 | | | 91 | | | | 96 | |
5.00%, 08/01/2037 | | | 97 | | | | 102 | |
5.00%, 02/01/2038 | | | 121 | | | | 126 | |
5.00%, 03/01/2038 | | | 32 | | | | 34 | |
5.00%, 03/01/2038 | | | 113 | | | | 119 | |
5.00%, 03/01/2038 | | | 133 | | | | 140 | |
5.00%, 03/01/2038 | | | 141 | | | | 148 | |
5.00%, 04/01/2038 | | | 71 | | | | 74 | |
5.00%, 09/01/2038 | | | 15 | | | | 16 | |
5.00%, 09/01/2038 | | | 89 | | | | 93 | |
5.00%, 11/01/2038 | | | 1 | | | | 1 | |
5.00%, 11/01/2038 | | | 31 | | | | 32 | |
5.00%, 12/01/2038(7) | | | 0 | | | | 0 | |
5.00%, 12/01/2038 | | | 105 | | | | 111 | |
5.00%, 02/01/2039 | | | 211 | | | | 223 | |
5.00%, 05/01/2039 | | | 5 | | | | 5 | |
5.00%, 10/01/2039 | | | 243 | | | | 256 | |
5.00%, 01/01/2040 | | | 58 | | | | 61 | |
5.00%, 03/01/2040 | | | 99 | | | | 104 | |
5.00%, 03/01/2040 | | | 930 | | | | 980 | |
5.00%, 08/01/2040 | | | 141 | | | | 149 | |
5.00%, 04/01/2041 | | | 502 | | | | 529 | |
5.00%, 06/01/2041 | | | 236 | | | | 248 | |
5.00%, 12/01/2047 | | | 1,635 | | | | 1,674 | |
5.00%, 02/01/2048 | | | 742 | | | | 768 | |
5.50%, 02/01/2024(7) | | | 0 | | | | 0 | |
5.50%, 01/01/2033 | | | 18 | | | | 19 | |
5.50%, 10/01/2033 | | | 21 | | | | 22 | |
5.50%, 07/01/2035 | | | 47 | | | | 50 | |
5.50%, 01/01/2036 | | | 10 | | | | 10 | |
5.50%, 12/01/2036 | | | 19 | | | | 20 | |
5.50%, 05/01/2038 | | | 27 | | | | 29 | |
5.50%, 08/01/2038 | | | 36 | | | | 38 | |
5.50%, 01/01/2039 | | | 1,452 | | | | 1,557 | |
5.50%, 03/01/2040 | | | 13 | | | | 14 | |
5.50%, 05/01/2040 | | | 932 | | | | 1,002 | |
5.50%, 08/01/2040 | | | 382 | | | | 411 | |
6.00%, 10/01/2029 | | | 5 | | | | 5 | |
6.00%, 12/01/2033 | | | 10 | | | | 10 | |
6.00%, 01/01/2034 | | | 5 | | | | 5 | |
6.00%, 01/01/2034 | | | 15 | | | | 17 | |
6.00%, 11/01/2036 | | | 7 | | | | 7 | |
6.00%, 12/01/2036 | | | 4 | | | | 4 | |
6.00%, 12/01/2036 | | | 9 | | | | 10 | |
6.50%, 01/01/2028 | | | 13 | | | | 13 | |
6.50%, 06/01/2029 | | | 6 | | | | 6 | |
6.50%, 08/01/2029 | | | 58 | | | | 62 | |
6.50%, 11/01/2034 | | | 4 | | | | 5 | |
6.50%, 01/01/2035 | | | 57 | | | | 60 | |
6.50%, 12/01/2035 | | | 10 | | | | 11 | |
6.50%, 12/01/2035 | | | 35 | | | | 37 | |
6.50%, 11/01/2036 | | | 10 | | | | 11 | |
6.50%, 11/01/2036 | | | 90 | | | | 97 | |
6.50%, 11/01/2036 | | | 101 | | | | 108 | |
6.50%, 12/01/2036 | | | 66 | | | | 72 | |
6.50%, 12/01/2036 | | | 150 | | | | 164 | |
6.50%, 01/01/2037 | | | 6 | | | | 6 | |
6.50%, 01/01/2037 | | | 9 | | | | 9 | |
6.50%, 02/01/2037 | | | 8 | | | | 8 | |
6.50%, 06/01/2037 | | | 5 | | | | 5 | |
| | | | | | | | |
6.50%, 11/01/2037 | | | 31 | | | | 33 | |
6.50%, 03/01/2038 | | | 28 | | | | 30 | |
7.00%, 04/01/2026(7) | | | 0 | | | | 0 | |
7.00%, 12/01/2028 | | | 15 | | | | 16 | |
7.00%, 07/01/2029 | | | 1 | | | | 1 | |
7.00%, 01/01/2031 | | | 18 | | | | 19 | |
7.00%, 07/01/2032 | | | 2 | | | | 3 | |
7.00%, 08/01/2032 | | | 3 | | | | 4 | |
7.00%, 02/01/2037 | | | 4 | | | | 5 | |
7.50%, 08/01/2025(7) | | | 0 | | | | 0 | |
7.50%, 01/01/2032 | | | 42 | | | | 45 | |
7.50%, 12/01/2036 | | | 131 | | | | 138 | |
7.50%, 01/01/2038 | | | 23 | | | | 25 | |
7.50%, 01/01/2038 | | | 42 | | | | 46 | |
7.50%, 09/01/2038 | | | 16 | | | | 17 | |
8.00%, 08/01/2024(7) | | | 0 | | | | 0 | |
8.00%, 11/01/2024(7) | | | 0 | | | | 0 | |
8.50%, 07/01/2028 | | | 1 | | | | 1 | |
10.00%, 10/01/2030 | | | 3 | | | | 3 | |
Freddie Mac Multifamily Structured Pass-Through Certificates | | | | | | | | |
0.81%, 12/25/2030, Series K124, Class X1(4) | | | 40,630 | | | | 1,995 | |
0.88%, 10/25/2022, Series K025, Class X1(4) | | | 18,582 | | | | 24 | |
1.31%, 10/25/2030, Series K120, Class XAM(4) | | | 31,375 | | | | 2,597 | |
1.48%, 01/25/2030, Series K106, Class X1(4) | | | 134,545 | | | | 11,003 | |
1.48%, 03/25/2026, Series K055, Class X1(4) | | | 26,109 | | | | 1,084 | |
1.64%, 01/25/2030, Series K107, Class A2 | | | 1,890 | | | | 1,655 | |
1.68%, 05/25/2030, Series K111, Class X1(4) | | | 28,097 | | | | 2,775 | |
2.31%, 12/25/2022, Series KJ07, Class A2 | | | 2,049 | | | | 2,041 | |
2.36%, 08/25/2022, Series KJ08, Class A2 | | | 11 | | | | 11 | |
2.40%, 03/25/2032, Series K142, Class A2 | | | 13,700 | | | | 12,314 | |
2.52%, 01/25/2023, Series KS01, Class A2 | | | 687 | | | | 685 | |
2.57%, 07/25/2026, Series K057, Class A2 | | | 10,075 | | | | 9,754 | |
2.77%, 05/25/2025, Series KPLB, Class A | | | 4,250 | | | | 4,181 | |
2.81%, 09/25/2024, Series KJ14, Class A2 | | | 4,324 | | | | 4,283 | |
2.84%, 09/25/2022, Series KJ09, Class A2 | | | 201 | | | | 201 | |
3.04%, 07/25/2024, Series K727, Class AM | | | 10,000 | | | | 9,918 | |
3.08%, 01/25/2031, Series K152, Class A2 | | | 4,126 | | | | 3,986 | |
3.10%, 02/25/2024, Series K725, Class AM(4) | | | 5,000 | | | | 4,977 | |
3.12%, 06/25/2027, Series K066, Class A2 | | | 4,263 | | | | 4,189 | |
3.19%, 09/25/2027, Series K069, Class A2(4) | | | 11,650 | | | | 11,474 | |
3.19%, 07/25/2027, Series K067, Class A2 | | | 9,215 | | | | 9,086 | |
3.22%, 03/25/2027, Series K064, Class A2 | | | 14,175 | | | | 14,010 | |
3.24%, 04/25/2027, Series K065, Class A2 | | | 7,030 | | | | 6,951 | |
3.24%, 08/25/2027, Series K068, Class A2 | | | 2,846 | | | | 2,812 | |
3.30%, 11/25/2027, Series K070, Class A2(4) | | | 4,589 | | | | 4,541 | |
3.33%, 05/25/2027, Series K065, Class AM | | | 1,779 | | | | 1,759 | |
3.34%, 04/25/2028, Series W5FX, Class AFX(4) | | | 3,315 | | | | 3,277 | |
3.35%, 11/25/2026, Series K061, Class A2(4) | | | 14,450 | | | | 14,441 | |
3.39%, 03/25/2024, Series K038, Class A2 | | | 4,286 | | | | 4,284 | |
3.49%, 01/25/2024, Series K037, Class A2 | | | 5,000 | | | | 5,010 | |
3.51%, 03/25/2029, Series K091, Class A2 | | | 2,527 | | | | 2,520 | |
3.85%, 06/25/2028, Series K078, Class A2 | | | 7,875 | | | | 8,005 | |
3.90%, 10/25/2033, Series K158, Class A3(4) | | | 6,500 | | | | 6,494 | |
Freddie Mac Multifamily WI Certificates Series WI-K138 | | | | | | | | |
1.89%, 03/25/2032, Series K138, Class AM | | | 4,300 | | | | 3,657 | |
Freddie Mac Multifamily WI Certificates Series WI-K146 | | | | | | | | |
2.92%, 07/25/2032, Series K146, Class A2 | | | 9,700 | | | | 9,093 | |
Freddie Mac Non Gold Pool | | | | | | | | |
1.83% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 11.49% Cap), 12/01/2036(3) | | | 61 | | | | 62 | |
1.85% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 11.32% Cap), 10/01/2036(3) | | | 12 | | | | 12 | |
1.89% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 11.05% Cap), 11/01/2036(3) | | | 25 | | | | 26 | |
1.92% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.29% Cap), 08/01/2035(3) | | | 5 | | | | 5 | |
1.92% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.97% Cap), 12/01/2036(3) | | | 103 | | | | 105 | |
1.94% (1 Year LIBOR USD + 1.69%, 1.69% Floor, 11.32% Cap), 12/01/2036(3) | | | 4 | | | | 4 | |
1.97% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.05% Cap), 11/01/2036(3) | | | 11 | | | | 11 | |
1.99% (1 Year LIBOR USD + 1.74%, 1.74% Floor, 11.42% Cap), 11/01/2036(3) | | | 20 | | | | 20 | |
2.00% (6 Month LIBOR USD + 1.62%, 1.62% Floor, 12.64% Cap), 08/01/2036(3) | | | 42 | | | | 43 | |
2.00% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.46% Cap), 09/01/2036(3) | | | 26 | | | | 26 | |
2.00% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.75% Cap), 11/01/2037(3) | | | 5 | | | | 5 | |
2.04% (6 Month LIBOR USD + 1.74%, 1.74% Floor, 12.82% Cap), 08/01/2036(3) | | | 26 | | | | 26 | |
2.04% (1 Year LIBOR USD + 1.69%, 1.69% Floor, 10.08% Cap), 02/01/2036(3) | | | 7 | | | | 7 | |
2.07% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.06% Cap), 02/01/2037(3) | | | 8 | | | | 8 | |
2.12% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 11.99% Cap), 07/01/2037(3) | | | 3 | | | | 3 | |
2.13% (1 Year CMT Index + 2.13%, 2.13% Floor, 12.13% Cap), 07/01/2026(3) | | | 2 | | | | 2 | |
2.14% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.39% Cap), 10/01/2036(3) | | | 27 | | | | 27 | |
2.16% (1 Year LIBOR USD + 1.78%, 1.78% Floor, 10.73% Cap), 01/01/2037(3) | | | 18 | | | | 18 | |
2.16% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 10.91% Cap), 04/01/2037(3) | | | 2 | | | | 2 | |
2.17% (1 Year LIBOR USD + 1.93%, 1.93% Floor, 11.12% Cap), 12/01/2036(3) | | | 40 | | | | 41 | |
2.29% (6 Month LIBOR USD + 1.78%, 1.77% Floor, 12.49% Cap), 07/01/2036(3) | | | 24 | | | | 25 | |
2.31% (6 Month LIBOR USD + 1.74%, 1.74% Floor, 13.12% Cap), 10/01/2036(3) | | | 60 | | | | 62 | |
2.31% (1 Year CMT Index + 2.25%, 2.25% Floor, 11.38% Cap), 11/01/2036(3) | | | 48 | | | | 50 | |
2.33% (1 Year LIBOR USD + 1.84%, 1.84% Floor, 9.13% Cap), 07/01/2040(3) | | | 19 | | | | 20 | |
2.33% (1 Year LIBOR USD + 1.90%, 1.90% Floor, 11.33% Cap), 02/01/2037(3) | | | 15 | | | | 15 | |
2.34% (1 Year CMT Index + 2.11%, 2.11% Floor, 12.26% Cap), 01/01/2027(3) | | | 2 | | | | 2 | |
2.35% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.17% Cap), 09/01/2036(3) | | | 66 | | | | 68 | |
2.36% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.36% Cap), 12/01/2033(3) | | | 12 | | | | 12 | |
2.36% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.71% Cap), 11/01/2036(3) | | | 16 | | | | 17 | |
| | | | | | | | |
2.36% (6 Month LIBOR USD + 1.91%, 1.87% Floor, 12.27% Cap), 03/01/2037(3) | | | 45 | | | | 46 | |
2.37% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.87% Cap), 07/01/2036(3) | | | 11 | | | | 12 | |
2.37% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.06% Cap), 02/01/2036(3) | | | 25 | | | | 26 | |
2.38% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.94% Cap), 01/01/2035(3) | | | 19 | | | | 20 | |
2.38% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.06% Cap), 01/01/2035(3) | | | 68 | | | | 69 | |
2.38% (1 Year LIBOR USD + 2.13%, 2.13% Floor, 10.93% Cap), 12/01/2036(3) | | | 2 | | | | 2 | |
2.39% (6 Month LIBOR USD + 2.14%, 2.14% Floor, 12.14% Cap), 12/01/2035(3) | | | 13 | | | | 13 | |
2.40% (6 Month LIBOR USD + 2.11%, 2.11% Floor, 12.44% Cap), 02/01/2037(3) | | | 26 | | | | 26 | |
2.42% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 10.42% Cap), 01/01/2037(3) | | | 5 | | | | 5 | |
2.45% (1 Year LIBOR USD + 2.20%, 2.20% Floor, 10.78% Cap), 10/01/2036(3) | | | 22 | | | | 22 | |
2.47% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.11% Cap), 09/01/2032(3) | | | 2 | | | | 2 | |
2.48% (1 Year CMT Index + 2.36%, 2.36% Floor, 11.29% Cap), 10/01/2036(3) | | | 21 | | | | 21 | |
2.48% (1 Year CMT Index + 2.26%, 2.26% Floor, 11.71% Cap), 04/01/2030(3) | | | 1 | | | | 1 | |
2.53% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.33% Cap), 07/01/2036(3) | | | 19 | | | | 19 | |
2.54% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.83% Cap), 03/01/2036(3) | | | 33 | | | | 34 | |
2.56% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.98% Cap), 05/01/2037(3) | | | 28 | | | | 28 | |
2.57% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 11.05% Cap), 04/01/2038(3) | | | 25 | | | | 26 | |
2.57% (6 Month LIBOR USD + 1.88%, 1.88% Floor, 12.42% Cap), 10/01/2036(3) | | | 22 | | | | 23 | |
2.61% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.61% Cap), 09/01/2034(3) | | | 56 | | | | 58 | |
2.67% (1 Year LIBOR USD + 1.98%, 1.98% Floor, 10.62% Cap), 04/01/2037(3) | | | 25 | | | | 25 | |
2.69% (1 Year LIBOR USD + 1.89%, 1.89% Floor, 10.73% Cap), 05/01/2038(3) | | | 8 | | | | 8 | |
2.69% (6 Month LIBOR USD + 1.56%, 1.56% Floor, 11.81% Cap), 05/01/2037(3) | | | 40 | | | | 41 | |
2.71% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.34% Cap), 05/01/2033(3) | | | 51 | | | | 52 | |
2.72% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.06% Cap), 05/01/2037(3) | | | 11 | | | | 11 | |
2.74% (1 Year LIBOR USD + 2.39%, 2.39% Floor, 12.01% Cap), 03/01/2037(3) | | | 3 | | | | 3 | |
2.86% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 9.13% Cap), 04/01/2034(3) | | | 8 | | | | 8 | |
2.91% (6 Month LIBOR USD + 2.12%, 2.12% Floor, 11.05% Cap), 05/01/2037(3) | | | 2 | | | | 2 | |
3.03% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.26% Cap), 05/01/2037(3) | | | 28 | | | | 28 | |
3.06% (1 Year LIBOR USD + 2.47%, 2.47% Floor, 11.82% Cap), 03/01/2036(3) | | | 14 | | | | 15 | |
3.17% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.94% Cap), 06/01/2036(3) | | | 73 | | | | 75 | |
3.23% (1 Year LIBOR USD + 1.99%, 1.99% Floor, 10.89% Cap), 06/01/2036(3) | | | 55 | | | | 55 | |
3.25% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.58% Cap), 05/01/2036(3) | | | 11 | | | | 11 | |
3.25% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.65% Cap), 05/01/2036(3) | | | 38 | | | | 39 | |
3.52% (1 Year LIBOR USD + 2.33%, 2.33% Floor, 10.91% Cap), 05/01/2036(3) | | | 6 | | | | 6 | |
3.56% (1 Year LIBOR USD + 2.18%, 2.18% Floor, 11.04% Cap), 05/01/2037(3) | | | 28 | | | | 28 | |
Freddie Mac Pool | | | | | | | | |
1.50%, 11/01/2050 | | | 8,050 | | | | 6,692 | |
2.00%, 06/01/2040 | | | 1,552 | | | | 1,387 | |
2.00%, 12/01/2041 | | | 10,365 | | | | 9,192 | |
2.00%, 12/01/2041 | | | 19,283 | | | | 17,238 | |
2.00%, 09/01/2050 | | | 4,176 | | | | 3,639 | |
2.00%, 09/01/2050 | | | 5,791 | | | | 5,046 | |
2.00%, 10/01/2050 | | | 4,320 | | | | 3,765 | |
2.00%, 11/01/2050 | | | 2,018 | | | | 1,759 | |
2.00%, 12/01/2050 | | | 1,673 | | | | 1,459 | |
2.00%, 03/01/2051 | | | 2,279 | | | | 1,987 | |
2.00%, 04/01/2051 | | | 3,862 | | | | 3,367 | |
2.00%, 04/01/2051 | | | 4,116 | | | | 3,580 | |
2.00%, 05/01/2051 | | | 981 | | | | 852 | |
2.00%, 05/01/2051 | | | 8,863 | | | | 7,751 | |
2.00%, 06/01/2051 | | | 360 | | | | 314 | |
2.00%, 08/01/2051 | | | 3,912 | | | | 3,411 | |
2.00%, 08/01/2051 | | | 5,862 | | | | 5,110 | |
2.00%, 09/01/2051 | | | 9,495 | | | | 8,286 | |
2.00%, 10/01/2051 | | | 2,457 | | | | 2,142 | |
2.00%, 11/01/2051 | | | 2,862 | | | | 2,495 | |
2.00%, 11/01/2051 | | | 15,102 | | | | 13,165 | |
2.00%, 12/01/2051 | | | 3,600 | | | | 3,128 | |
2.00%, 01/01/2052 | | | 620 | | | | 539 | |
2.00%, 02/01/2052 | | | 1,981 | | | | 1,727 | |
2.00%, 02/01/2052 | | | 20,279 | | | | 17,678 | |
2.50%, 02/01/2042 | | | 11,248 | | | | 10,352 | |
2.50%, 04/01/2042 | | | 8,924 | | | | 8,213 | |
2.50%, 07/01/2050 | | | 1,470 | | | | 1,302 | |
2.50%, 08/01/2050 | | | 1,243 | | | | 1,131 | |
2.50%, 09/01/2050 | | | 887 | | | | 800 | |
2.50%, 10/01/2050 | | | 7,304 | | | | 6,581 | |
2.50%, 10/01/2050 | | | 25,958 | | | | 23,619 | |
2.50%, 11/01/2050 | | | 2,290 | | | | 2,065 | |
2.50%, 02/01/2051 | | | 13,208 | | | | 12,007 | |
2.50%, 02/01/2051 | | | 13,658 | | | | 12,420 | |
2.50%, 03/01/2051 | | | 714 | | | | 649 | |
2.50%, 04/01/2051 | | | 25,784 | | | | 23,232 | |
2.50%, 05/01/2051 | | | 5,234 | | | | 4,719 | |
2.50%, 06/01/2051 | | | 1,465 | | | | 1,320 | |
2.50%, 08/01/2051 | | | 9,008 | | | | 8,120 | |
2.50%, 09/01/2051 | | | 9,946 | | | | 8,956 | |
2.50%, 11/01/2051 | | | 11,752 | | | | 10,660 | |
2.50%, 11/01/2051 | | | 14,078 | | | | 12,779 | |
2.50%, 11/01/2051 | | | 18,441 | | | | 16,655 | |
2.50%, 12/01/2051 | | | 20 | | | | 18 | |
2.50%, 02/01/2052 | | | 3,507 | | | | 3,167 | |
2.50%, 02/01/2052 | | | 5,293 | | | | 4,769 | |
2.50%, 02/01/2052 | | | 7,282 | | | | 6,562 | |
3.00%, 01/01/2046 | | | 8,720 | | | | 8,333 | |
3.00%, 08/01/2048 | | | 2,429 | | | | 2,287 | |
3.00%, 02/01/2049 | | | 10,739 | | | | 10,206 | |
| | | | | | | | |
3.00%, 10/01/2049 | | | 1,594 | | | | 1,494 | |
3.00%, 11/01/2049 | | | 1,138 | | | | 1,067 | |
3.00%, 12/01/2049 | | | 530 | | | | 497 | |
3.00%, 01/01/2050 | | | 1,626 | | | | 1,524 | |
3.00%, 01/01/2050 | | | 1,931 | | | | 1,812 | |
3.00%, 01/01/2050 | | | 2,307 | | | | 2,161 | |
3.00%, 02/01/2050 | | | 8,642 | | | | 8,111 | |
3.00%, 02/01/2050 | | | 11,309 | | | | 10,562 | |
3.00%, 04/01/2050 | | | 955 | | | | 897 | |
3.00%, 06/01/2050 | | | 640 | | | | 598 | |
3.00%, 06/01/2050 | | | 9,356 | | | | 8,790 | |
3.00%, 07/01/2050 | | | 5,595 | | | | 5,259 | |
3.00%, 09/01/2050 | | | 53 | | | | 50 | |
3.00%, 09/01/2050 | | | 1,224 | | | | 1,160 | |
3.00%, 03/01/2051 | | | 2,279 | | | | 2,137 | |
3.00%, 04/01/2051 | | | 13,733 | | | | 12,819 | |
3.00%, 01/01/2052 | | | 9,351 | | | | 8,731 | |
3.00%, 02/01/2052 | | | 8,031 | | | | 7,488 | |
3.00%, 02/01/2052 | | | 10,630 | | | | 9,911 | |
3.00%, 02/01/2052 | | | 24,704 | | | | 23,045 | |
3.00%, 04/01/2052 | | | 49,353 | | | | 46,044 | |
3.00%, 05/01/2052 | | | 994 | | | | 927 | |
3.50%, 08/01/2035 | | | 4,375 | | | | 4,375 | |
3.50%, 02/01/2042 | | | 929 | | | | 913 | |
3.50%, 08/01/2044 | | | 2,320 | | | | 2,280 | |
3.50%, 08/01/2046 | | | 242 | | | | 238 | |
3.50%, 10/01/2047 | | | 212 | | | | 207 | |
3.50%, 03/01/2048 | | | 4,656 | | | | 4,551 | |
3.50%, 10/01/2049 | | | 1,434 | | | | 1,397 | |
3.50%, 04/01/2052 | | | 19,806 | | | | 19,071 | |
3.50%, 04/01/2052 | | | 35,369 | | | | 34,125 | |
4.00%, 02/01/2046 | | | 4,571 | | | | 4,623 | |
4.00%, 04/01/2047 | | | 316 | | | | 317 | |
4.00%, 05/01/2047 | | | 1,882 | | | | 1,899 | |
4.00%, 01/01/2048 | | | 98 | | | | 98 | |
4.00%, 06/01/2048 | | | 94 | | | | 94 | |
4.00%, 01/01/2049 | | | 3,367 | | | | 3,370 | |
4.00%, 07/01/2049 | | | 9,032 | | | | 9,043 | |
4.00%, 05/01/2050 | | | 435 | | | | 434 | |
4.00%, 02/01/2051 | | | 4,065 | | | | 4,034 | |
4.00%, 06/01/2052 | | | 15,009 | | | | 14,844 | |
4.50%, 06/01/2048 | | | 3,316 | | | | 3,381 | |
4.50%, 12/01/2048 | | | 3,691 | | | | 3,719 | |
Freddie Mac Reference REMIC | | | | | | | | |
6.00%, 04/15/2036, Series R006, Class ZA | | | 163 | | | | 177 | |
6.00%, 05/15/2036, Series R007, Class ZA | | | 216 | | | | 232 | |
Freddie Mac REMICS | | | | | | | | |
0.00%, 02/15/2024, Series 1865, Class D | | | 2 | | �� | | 2 | |
0.00%, 05/15/2024, Series 2306, Class K | | | 1 | | | | 1 | |
0.00%, 09/15/2032, Series 3393, Class JO | | | 587 | | | | 510 | |
0.00%, 12/15/2032, Series 2835, Class QO | | | 11 | | | | 9 | |
0.00%, 07/15/2034, Series 3611, Class PO | | | 60 | | | | 52 | |
0.00%, 02/15/2035, Series 2990, Class GO | | | 19 | | | | 17 | |
0.00%, 04/15/2035, Series 3077, Class TO | | | 15 | | | | 15 | |
0.00%, 08/15/2035, Series 3014, Class OD | | | 4 | | | | 4 | |
0.00%, 09/15/2035, Series 3029, Class SO | | | 13 | | | | 12 | |
0.00%, 02/15/2036, Series 3117, Class OG | | | 11 | | | | 10 | |
0.00%, 02/15/2036, Series 3117, Class OK | | | 14 | | | | 12 | |
0.00%, 02/15/2036, Series 3117, Class EO | | | 15 | | | | 13 | |
0.00%, 02/15/2036, Series 3117, Class AO | | | 35 | | | | 32 | |
0.00%, 03/15/2036, Series 3134, Class PO | | | 4 | | | | 3 | |
0.00%, 03/15/2036, Series 3122, Class OP | | | 20 | | | | 18 | |
0.00%, 03/15/2036, Series 3122, Class OH | | | 22 | | | | 19 | |
0.00%, 04/15/2036, Series 3138, Class PO | | | 19 | | | | 16 | |
0.00%, 04/15/2036, Series 3607, Class AO | | | 37 | | | | 31 | |
0.00%, 04/15/2036, Series 3147, Class PO | | | 41 | | | | 37 | |
0.00%, 04/15/2036, Series 3607, Class BO | | | 67 | | | | 58 | |
0.00%, 05/15/2036, Series 3233, Class OP | | | 5 | | | | 4 | |
0.00%, 05/15/2036, Series 3149, Class SO | | | 11 | | | | 9 | |
0.00%, 05/15/2036, Series 3151, Class PO | | | 25 | | | | 21 | |
0.00%, 05/15/2036, Series 3153, Class EO | | | 29 | | | | 25 | |
0.00%, 06/15/2036, Series 3171, Class MO | | | 46 | | | | 42 | |
0.00%, 07/15/2036, Series 3179, Class OA | | | 13 | | | | 11 | |
0.00%, 08/15/2036, Series 3200, Class PO | | | 20 | | | | 18 | |
0.00%, 09/15/2036, Series 3218, Class AO | | | 9 | | | | 7 | |
0.00%, 09/15/2036, Series 3213, Class OA | | | 11 | | | | 9 | |
0.00%, 10/15/2036, Series 3225, Class EO | | | 24 | | | | 20 | |
0.00%, 12/15/2036, Series 3256, Class PO | | | 13 | | | | 11 | |
0.00%, 01/15/2037, Series 3261, Class OA | | | 13 | | | | 11 | |
0.00%, 02/15/2037, Series 3274, Class JO | | | 3 | | | | 3 | |
0.00%, 02/15/2037, Series 3510, Class OD | | | 34 | | | | 30 | |
0.00%, 03/15/2037, Series 3286, Class PO | | | 2 | | | | 1 | |
0.00%, 04/15/2037, Series 3373, Class TO | | | 13 | | | | 11 | |
0.00%, 05/15/2037, Series 3318, Class AO | | | 1 | | | | 1 | |
0.00%, 05/15/2037, Series 3316, Class PO | | | 23 | | | | 19 | |
0.00%, 05/15/2037, Series 3607, Class PO | | | 133 | | | | 111 | |
0.00%, 06/15/2037, Series 3326, Class JO | | | 2 | | | | 2 | |
| | | | | | | | |
0.00%, 06/15/2037, Series 3331, Class PO | | | 12 | | | | 11 | |
0.00%, 07/15/2037, Series 3607, Class OP | | | 192 | | | | 160 | |
0.00%, 09/15/2037, Series 3365, Class PO | | | 19 | | | | 16 | |
0.00%, 10/15/2039, Series 3607, Class TO | | | 64 | | | | 54 | |
0.00%, 01/15/2040, Series 3621, Class BO | | | 53 | | | | 46 | |
0.00%, 10/15/2049, Series 3582, Class PO | | | 229 | | | | 203 | |
1.01%, 01/15/2040, Series 3802, Class LS(4) | | | 315 | | | | 11 | |
1.14% (ECOFIN + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023, Series 1470, Class F(3)(7) | | | 0 | | | | 0 | |
1.20% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 07/15/2037, Series 4048, Class FJ(3) | | | 332 | | | | 330 | |
1.47% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024, Series 1699, Class FC(3)(7) | | | 0 | | | | 0 | |
1.62% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035, Series 2988, Class AF(3) | | | 48 | | | | 48 | |
1.69%, 02/15/2039, Series 3546, Class A(4) | | | 35 | | | | 35 | |
1.72% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035, Series 2981, Class FA(3) | | | 30 | | | | 30 | |
1.72% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041, Series 4048, Class FB(3) | | | 254 | | | | 253 | |
1.72% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042, Series 4106, Class DF(3) | | | 304 | | | | 302 | |
1.73% (ECOFIN + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023, Series 1570, Class F(3)(7) | | | 0 | | | | 0 | |
1.76% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037, Series 3275, Class FL(3) | | | 20 | | | | 20 | |
1.77% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042, Series 4091, Class TF(3) | | | 1,036 | | | | 1,031 | |
1.82% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040, Series 3966, Class BF(3)(7) | | | 0 | | | | 0 | |
1.82% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042, Series 4012, Class FN(3) | | | 433 | | | | 431 | |
1.82% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042, Series 4077, Class FB(3) | | | 183 | | | | 183 | |
1.87% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040, Series 3996, Class XF(3) | | | 293 | | | | 294 | |
1.87% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041, Series 4013, Class QF(3) | | | 254 | | | | 255 | |
1.92% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029, Series 2388, Class FB(3) | | | 6 | | | | 6 | |
1.92% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033, Series 2722, Class PF(3) | | | 91 | | | | 92 | |
1.92% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037, Series 3371, Class FA(3) | | | 9 | | | | 9 | |
2.00%, 10/25/2050, Series 5023, Class IO | | | 5,109 | | | | 606 | |
2.00%, 12/25/2051, Series 5190, Class EC | | | 9,448 | | | | 8,682 | |
2.00%, 02/25/2052, Series 5197, Class EA | | | 9,082 | | | | 8,295 | |
2.00% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037, Series 3386, Class KF(3) | | | 335 | | | | 338 | |
2.02% (10 Year CMT Index + -0.85%, 10.00% Cap), 03/15/2024, Series 1709, Class FA(3)(7) | | | 0 | | | | 0 | |
2.02% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027, Series 1935, Class FL(3)(7) | | | 0 | | | | 0 | |
2.07% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032, Series 2571, Class FY(3) | | | 24 | | | | 24 | |
2.12% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035, Series 3085, Class WF(3) | | | 28 | | | | 28 | |
2.22% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032, Series 2418, Class FO(3) | | | 24 | | | | 24 | |
2.31% (10 Year CMT Index + -0.70%, 10.00% Cap), 07/15/2023, Series 1541, Class O(3) | | | 1 | | | | 1 | |
2.47% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022, Series 1370, Class JA(3)(7) | | | 0 | | | | 0 | |
2.47% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023, Series 1498, Class I(3) | | | 1 | | | | 1 | |
2.52% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039, Series 3549, Class FA(3) | | | 10 | | | | 10 | |
3.00%, 08/15/2033, Series 4238, Class WY | | | 303 | | | | 297 | |
3.00%, 06/15/2043, Series 4217, Class KY | | | 206 | | | | 191 | |
3.00%, 12/15/2047, Series 4740, Class P | | | 1,203 | | | | 1,143 | |
3.00%, 10/25/2050, Series 5019, Class IP | | | 2,192 | | | | 356 | |
3.00%, 01/25/2052, Series 5185, Class LI | | | 6,583 | | | | 1,015 | |
3.50%, 01/15/2026, Series 3793, Class AB | | | 517 | | | | 519 | |
3.50%, 01/15/2042, Series 3989, Class JW | | | 1,545 | | | | 1,505 | |
3.50%, 02/15/2047, Series 4661, Class KZ | | | 11,994 | | | | 11,509 | |
3.50%, 08/15/2047, Series 4710, Class KZ | | | 15,860 | | | | 15,219 | |
3.50%, 11/15/2047, Series 4739, Class Z | | | 1,838 | | | | 1,777 | |
3.50%, 12/15/2047, Series 4746, Class ZN | | | 5,852 | | | | 5,668 | |
3.50%, 10/15/2053, Series 4821, Class MA | | | 2,722 | | | | 2,730 | |
3.54% (1 Month LIBOR USD + 2.22%, 8.32% Cap), 07/15/2034, Series 3305, Class MG(3) | | | 24 | | | | 24 | |
4.00%, 12/15/2024, Series 3614, Class QB | | | 43 | | | | 43 | |
4.00%, 11/15/2041, Series 3957, Class B | | | 177 | | | | 179 | |
4.00%, 12/15/2041, Series 3966, Class NA | | | 144 | | | | 147 | |
4.24% (1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022, Series 1455, Class WB(3)(5)(7) | | | 0 | | | | 0 | |
4.50%, 06/15/2025, Series 3684, Class CY | | | 150 | | | | 152 | |
4.50%, 07/15/2039, Series 3680, Class MA | | | 19 | | | | 20 | |
4.50%, 12/15/2039, Series 3610, Class CA | | | 1,626 | | | | 1,669 | |
4.50%, 05/15/2041, Series 3852, Class CE | | | 426 | | | | 441 | |
4.50%, 09/15/2043, Series 4247, Class AY | | | 1,000 | | | | 1,037 | |
4.53% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038, Series 3481, Class SJ(3)(5) | | | 120 | | | | 14 | |
4.68% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038, Series 3404, Class SC(3)(5) | | | 168 | | | | 20 | |
4.68% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039, Series 3511, Class SA(3)(5) | | | 51 | | | | 5 | |
4.68% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040, Series 3740, Class SB(3)(5) | | | 127 | | | | 14 | |
| | | | | | | | |
4.68% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040, Series 3740, Class SC(3)(5) | | | 119 | | | | 17 | |
4.78% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039, Series 3531, Class SM(3)(5) | | | 8 | | | | 1 | |
4.82% (1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037, Series 3260, Class CS(3)(5) | | | 20 | | | | 3 | |
4.88% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038, Series 3455, Class SE(3)(5) | | | 70 | | | | 7 | |
4.93% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039, Series 3608, Class SC(3)(5) | | | 55 | | | | 6 | |
4.98% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039, Series 3531, Class SA(3)(5) | | | 61 | | | | 2 | |
5.00%, 05/15/2023, Series 1798, Class F | | | 1 | | | | 1 | |
5.00%, 11/15/2023, Series 2709, Class PG | | | 27 | | | | 27 | |
5.00%, 12/15/2023, Series 2720, Class PC | | | 3 | | | | 3 | |
5.00%, 12/15/2024, Series 2903, Class Z | | | 10 | | | | 10 | |
5.00%, 04/15/2030, Series 3654, Class DC | | | 655 | | | | 674 | |
5.00%, 07/15/2033, Series 2653, Class PZ | | | 222 | | | | 228 | |
5.00%, 01/15/2034, Series 3920, Class LP | | | 139 | | | | 145 | |
5.00%, 10/15/2039, Series 3795, Class EI | | | 37 | | | | 1 | |
5.00%, 12/15/2040, Series 3770, Class ZB | | | 716 | | | | 740 | |
5.00%, 05/15/2041, Series 3860, Class PZ | | | 1,442 | | | | 1,525 | |
5.10% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037, Series 3387, Class SA(3)(5) | | | 146 | | | | 17 | |
5.13% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037, Series 3290, Class SB(3)(5) | | | 36 | | | | 5 | |
5.13% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037, Series 3383, Class SA(3)(5) | | | 91 | | | | 13 | |
5.28% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037, Series 3344, Class SL(3)(5) | | | 29 | | | | 3 | |
5.33% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036, Series 3202, Class HI(3)(5) | | | 292 | | | | 39 | |
5.38% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036, Series 3232, Class ST(3)(5) | | | 31 | | | | 4 | |
5.48% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038, Series 3424, Class PI(3)(5) | | | 83 | | | | 13 | |
5.50%, 10/15/2022, Series 2512, Class PG | | | 1 | | | | 1 | |
5.50%, 12/15/2022, Series 2535, Class BK(7) | | | 0 | | | | 0 | |
5.50%, 03/15/2023, Series 2586, Class HD | | | 11 | | | | 11 | |
5.50%, 04/15/2023, Series 2595, Class HC | | | 13 | | | | 13 | |
5.50%, 11/15/2023, Series 2710, Class HB | | | 4 | | | | 4 | |
5.50%, 02/15/2034, Series 2744, Class PE | | | 1 | | | | 1 | |
5.50%, 08/15/2036, Series 3645, Class KZ | | | 30 | | | | 32 | |
5.50%, 08/15/2036, Series 3200, Class AY | | | 85 | | | | 91 | |
5.50%, 03/15/2038, Series 3423, Class PB | | | 238 | | | | 256 | |
5.50%, 05/15/2038, Series 3453, Class B | | | 11 | | | | 11 | |
5.50%, 01/15/2039, Series 3501, Class CB | | | 97 | | | | 103 | |
5.50% (1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041, Series 3852, Class QN(3)(5) | | | 90 | | | | 89 | |
5.50% (1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041, Series 3852, Class TP(3)(5) | | | 232 | | | | 228 | |
5.60%, 06/15/2023, Series 2033, Class J | | | 2 | | | | 2 | |
5.67%, 10/15/2038, Series 3895, Class WA(4) | | | 51 | | | | 54 | |
5.78% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036, Series 3194, Class SA(3)(5) | | | 7 | | | | 1 | |
6.00%, 11/15/2023, Series 1642, Class PJ | | | 3 | | | | 3 | |
6.00%, 06/15/2024, Series 1737, Class L | | | 3 | | | | 3 | |
6.00%, 05/15/2027, Series 1981, Class Z | | | 6 | | | | 6 | |
6.00%, 07/15/2028, Series 2070, Class C | | | 5 | | | | 5 | |
6.00%, 09/15/2028, Series 2086, Class GB | | | 2 | | | | 2 | |
6.00%, 11/15/2028, Series 2095, Class PE | | | 13 | | | | 14 | |
6.00%, 12/15/2028, Series 2106, Class ZD | | | 28 | | | | 29 | |
6.00%, 01/15/2029, Series 2110, Class PG | | | 35 | | | | 37 | |
6.00%, 02/15/2029, Series 2125, Class JZ | | | 8 | | | | 9 | |
6.00%, 09/15/2032, Series 2500, Class MC | | | 24 | | | | 26 | |
6.00%, 12/15/2032, Series 2544, Class HC | | | 16 | | | | 18 | |
6.00%, 12/15/2032, Series 2543, Class YX | | | 46 | | | | 49 | |
6.00%, 01/15/2033, Series 2552, Class ME | | | 29 | | | | 32 | |
6.00%, 02/15/2033, Series 2567, Class QD | | | 24 | | | | 26 | |
6.00%, 02/15/2033, Series 2575, Class ME | | | 111 | | | | 119 | |
6.00%, 03/15/2033, Series 2596, Class QG | | | 17 | | | | 18 | |
6.00%, 05/15/2034, Series 2802, Class OH | | | 54 | | | | 57 | |
6.00%, 04/15/2035, Series 2968, Class EH | | | 626 | | | | 661 | |
6.00%, 01/15/2036, Series 3101, Class UZ | | | 69 | | | | 75 | |
6.00%, 03/15/2036, Series 3122, Class ZB | | | 3 | | | | 4 | |
6.00%, 04/15/2036, Series 3219, Class DI | | | 35 | | | | 7 | |
6.00%, 04/15/2036, Series 3137, Class XP | | | 45 | | | | 49 | |
6.00%, 04/15/2036, Series 3819, Class ZQ | | | 353 | | | | 384 | |
6.00%, 06/15/2036, Series 3164, Class MG | | | 8 | | | | 8 | |
6.00%, 02/15/2037, Series 3274, Class B | | | 30 | | | | 31 | |
6.00%, 04/15/2037, Series 3302, Class UT | | | 33 | | | | 36 | |
6.00%, 05/15/2037, Series 3315, Class HZ | | | 31 | | | | 33 | |
6.00%, 06/15/2038, Series 3461, Class LZ | | | 8 | | | | 8 | |
6.00%, 06/15/2038, Series 3461, Class Z | | | 204 | | | | 218 | |
6.25%, 10/15/2023, Series 1591, Class PV | | | 1 | | | | 1 | |
6.25%, 08/15/2028, Series 2075, Class PM | | | 17 | | | | 18 | |
6.25%, 02/15/2029, Series 2126, Class CB | | | 35 | | | | 37 | |
6.27% (1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033, Series 2642, Class SL(3)(5)(7) | | | 0 | | | | 0 | |
6.38%, 02/15/2032, Series 2410, Class OE | | | 6 | | | | 6 | |
6.50%, 09/15/2023, Series 1608, Class L | | | 7 | | | | 7 | |
6.50%, 12/15/2023, Series 1983, Class Z | | | 2 | | | | 2 | |
6.50%, 12/15/2023, Series 2283, Class K | | | 2 | | | | 2 | |
| | | | | | | | |
6.50%, 03/15/2026, Series 1829, Class ZB(7) | | | 0 | | | | 0 | |
6.50%, 07/15/2026, Series 1863, Class Z | | | 3 | | | | 4 | |
6.50%, 01/15/2027, Series 1927, Class ZA | | | 4 | | | | 4 | |
6.50%, 12/15/2027, Series 2019, Class Z | | | 4 | | | | 5 | |
6.50%, 06/15/2028, Series 2063, Class PG | | | 7 | | | | 8 | |
6.50%, 08/15/2028, Series 2075, Class PH | | | 16 | | | | 17 | |
6.50%, 05/15/2031, Series 2313, Class LA | | | 2 | | | | 2 | |
6.50%, 08/15/2031, Series 2351, Class PZ | | | 6 | | | | 7 | |
6.50%, 08/15/2031, Series 2345, Class NE | | | 7 | | | | 8 | |
6.50%, 08/15/2031, Series 2344, Class ZJ | | | 11 | | | | 12 | |
6.50%, 08/15/2031, Series 2344, Class ZD | | | 89 | | | | 95 | |
6.50%, 10/15/2031, Series 2367, Class ME | | | 9 | | | | 10 | |
6.50%, 01/15/2032, Series 2399, Class OH | | | 11 | | | | 12 | |
6.50%, 01/15/2032, Series 2399, Class TH | | | 15 | | | | 16 | |
6.50%, 02/15/2032, Series 2410, Class NG | | | 15 | | | | 16 | |
6.50%, 02/15/2032, Series 2420, Class XK | | | 19 | | | | 20 | |
6.50%, 03/15/2032, Series 2430, Class WF | | | 23 | | | | 25 | |
6.50%, 03/15/2032, Series 2423, Class TB | | | 27 | | | | 29 | |
6.50%, 04/15/2032, Series 2441, Class GF | | | 5 | | | | 6 | |
6.50%, 04/15/2032, Series 2435, Class CJ | | | 36 | | | | 39 | |
6.50%, 04/15/2032, Series 2434, Class ZA | | | 45 | | | | 48 | |
6.50%, 05/15/2032, Series 2455, Class GK | | | 18 | | | | 19 | |
6.50%, 06/15/2032, Series 2466, Class DH | | | 7 | | | | 8 | |
6.50%, 06/15/2032, Series 2458, Class ZM | | | 14 | | | | 15 | |
6.50%, 06/15/2032, Series 2466, Class PH | | | 21 | | | | 22 | |
6.50%, 07/15/2032, Series 2474, Class NR | | | 20 | | | | 21 | |
6.50%, 07/15/2032, Series 2484, Class LZ | | | 25 | | | | 27 | |
6.50%, 03/15/2033, Series 2586, Class WI | | | 11 | | | | 2 | |
6.50%, 07/15/2036, Series 3195, Class PD | | | 37 | | | | 40 | |
6.50%, 07/15/2036, Series 3181, Class AZ | | | 46 | | | | 50 | |
6.63% (1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032, Series 2444, Class ES(3)(5) | | | 15 | | | | 1 | |
6.68% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032, Series 2475, Class S(3)(5) | | | 36 | | | | 5 | |
6.68% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032, Series 2450, Class SW(3)(5) | | | 10 | | | | 1 | |
6.82% (1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033, Series 2733, Class SB(3)(5) | | | 296 | | | | 296 | |
7.00%, 04/15/2023, Series 1502, Class PX | | | 1 | | | | 1 | |
7.00%, 05/15/2023, Series 1505, Class Q(7) | | | 0 | | | | 0 | |
7.00%, 09/15/2023, Series 1573, Class PZ | | | 1 | | | | 1 | |
7.00%, 01/15/2024, Series 1658, Class GZ | | | 1 | | | | 1 | |
7.00%, 02/15/2024, Series 1671, Class L | | | 1 | | | | 1 | |
7.00%, 03/15/2024, Series 1695, Class EB | | | 1 | | | | 1 | |
7.00%, 03/15/2024, Series 1706, Class K | | | 5 | | | | 5 | |
7.00%, 03/15/2028, Series 2038, Class PN | | | 5 | | | | 1 | |
7.00%, 06/15/2028, Series 2064, Class TE | | | 1 | | | | 1 | |
7.00%, 10/15/2028, Series 2089, Class PJ | | | 7 | | | | 1 | |
7.00%, 04/15/2029, Series 2141, Class IO(7) | | | 1 | | | | 0 | |
7.00%, 06/15/2029, Series 2169, Class TB | | | 33 | | | | 36 | |
7.00%, 07/15/2029, Series 2172, Class QC | | | 19 | | | | 20 | |
7.00%, 08/15/2029, Series 2176, Class OJ | | | 9 | | | | 9 | |
7.00%, 01/15/2030, Series 2208, Class PG | | | 17 | | | | 18 | |
7.00%, 10/15/2030, Series 2259, Class ZM | | | 12 | | | | 14 | |
7.00%, 03/15/2031, Series 2296, Class PD | | | 8 | | | | 9 | |
7.00%, 06/15/2031, Series 2325, Class PM | | | 5 | | | | 5 | |
7.00%, 07/15/2031, Series 2332, Class ZH | | | 15 | | | | 17 | |
7.00%, 03/15/2032, Series 2423, Class MC | | | 14 | | | | 15 | |
7.00%, 03/15/2032, Series 2423, Class MT | | | 17 | | | | 19 | |
7.00%, 04/15/2032, Series 2436, Class MC | | | 8 | | | | 8 | |
7.00%, 04/15/2032, Series 2434, Class TC | | | 31 | | | | 34 | |
7.00%, 05/15/2032, Series 2450, Class GZ | | | 17 | | | | 19 | |
7.00%, 12/15/2036, Series 3704, Class CT | | | 703 | | | | 783 | |
7.25%, 07/15/2027, Series 1970, Class PG(7) | | | 0 | | | | 0 | |
7.25%, 09/15/2030, Series 2256, Class MC | | | 8 | | | | 9 | |
7.25%, 12/15/2030, Series 2271, Class PC | | | 14 | | | | 15 | |
7.28% (1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023, Series 2638, Class DS(3)(5) | | | 1 | | | | 1 | |
7.33% (1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032, Series 2410, Class QX(3)(5) | | | 8 | | | | 1 | |
7.50%, 08/15/2022, Series 1343, Class LB(7) | | | 0 | | | | 0 | |
7.50%, 02/15/2023, Series 1466, Class PZ | | | 1 | | | | 1 | |
7.50%, 04/15/2023, Series 1491, Class I(7) | | | 0 | | | | 0 | |
7.50%, 04/15/2024, Series 1720, Class PL | | | 2 | | | | 2 | |
7.50%, 08/15/2024, Series 1745, Class D | | | 2 | | | | 2 | |
7.50%, 09/15/2026, Series 1890, Class H | | | 1 | | | | 1 | |
7.50%, 01/15/2027, Series 1963, Class Z | | | 3 | | | | 3 | |
7.50%, 01/15/2027, Series 1927, Class PH | | | 8 | | | | 9 | |
7.50%, 09/15/2027, Series 1987, Class PE | | | 3 | | | | 3 | |
7.50%, 03/15/2028, Series 2040, Class PE | | | 12 | | | | 13 | |
7.50%, 05/15/2028, Series 2054, Class PV | | | 5 | | | | 6 | |
7.50%, 06/15/2029, Series 2163, Class PC(7) | | | 3 | | | | 0 | |
7.50%, 11/15/2029, Series 2196, Class TL(7) | | | 0 | | | | 0 | |
7.50%, 05/15/2030, Series 2234, Class PZ | | | 4 | | | | 5 | |
7.50%, 08/15/2030, Series 2247, Class Z | | | 5 | | | | 5 | |
7.50%, 10/15/2030, Series 2262, Class Z | | | 1 | | | | 1 | |
7.50%, 11/15/2036, Series 3704, Class DT | | �� | 286 | | | | 320 | |
7.50%, 12/15/2036, Series 3704, Class ET | | | 244 | | | | 276 | |
7.51%, 11/15/2046, Series 3688, Class GT(4) | | | 355 | | | | 389 | |
| | | | | | | | |
7.65% (3 Month CMT Index + 8.90%, 8.90% Cap), 05/15/2023, Series 1518, Class G(3)(5) | | | 1 | | | | 1 | |
7.73% (10 Year CMT Index + 10.60%, 10.00% Cap), 05/15/2024, Series 2306, Class SE(3)(5)(7) | | | 2 | | | | 0 | |
8.00%, 08/15/2022, Series 1343, Class LA(7) | | | 0 | | | | 0 | |
8.00%, 09/15/2026, Series 1899, Class ZE | | | 3 | | | | 4 | |
8.00%, 11/15/2029, Series 2201, Class C | | | 6 | | | | 7 | |
8.00%, 01/15/2030, Series 2209, Class TC | | | 5 | | | | 5 | |
8.00%, 01/15/2030, Series 2210, Class Z | | | 17 | | | | 19 | |
8.00%, 03/15/2030, Series 2224, Class CB | | | 4 | | | | 4 | |
8.00%, 04/15/2030, Series 2230, Class Z | | | 5 | | | | 6 | |
8.50%, 06/15/2031, Series 2359, Class ZB | | | 15 | | | | 17 | |
9.00% (1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037, Series 3443, Class SY(3)(5) | | | 12 | | | | 13 | |
10.00% (11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024, Series 1671, Class QC(3)(5) | | | 1 | | | | 1 | |
10.64% (1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033, Series 2692, Class SC(3)(5) | | | 14 | | | | 15 | |
12.33% (1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033, Series 2671, Class S(3)(5) | | | 11 | | | | 12 | |
12.42% (1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033, Series 2631, Class SA(3)(5) | | | 38 | | | | 43 | |
13.09% (1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040, Series 3632, Class BS(3)(5) | | | 174 | | | | 192 | |
13.45% (1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032, Series 2412, Class SP(3)(5) | | | 17 | | | | 19 | |
13.57% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025, Series 3022, Class SX(3)(5) | | | 2 | | | | 2 | |
13.59% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033, Series 2780, Class SY(3)(5) | | | 6 | | | | 7 | |
14.14% (1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038, Series 3422, Class SE(3)(5) | | | 7 | | | | 8 | |
14.77% (1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035, Series 2990, Class WP(3)(5) | | | 1 | | | | 1 | |
15.42% (1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032, Series 2571, Class SY(3)(5) | | | 14 | | | | 16 | |
15.59% (1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035, Series 3064, Class SG(3)(5) | | | 19 | | | | 23 | |
16.02% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036, Series 3523, Class SD(3)(5) | | | 14 | | | | 14 | |
16.06% (1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032, Series 2410, Class QS(3)(5) | | | 19 | | | | 23 | |
17.27% (1 Month LIBOR USD + 10.13%, 19.24% Cap), 02/15/2024, Series 1686, Class SH(3)(7) | | | 0 | | | | 0 | |
19.64% (1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034, Series 2990, Class SL(3)(5) | | | 6 | | | | 6 | |
19.71% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036, Series 3102, Class HS(3)(5) | | | 4 | | | | 4 | |
19.91% (1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023, Series 1602, Class SA(3)(5) | | | 1 | | | | 1 | |
22.20% (1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025, Series 3051, Class DP(3)(5) | | | 6 | | | | 6 | |
22.33% (1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035, Series 2929, Class MS(3)(5) | | | 24 | | | | 25 | |
25.95% (1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029, Series 2132, Class SB(3)(5) | | | 1 | | | | 1 | |
26.54% (1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025, Series 2967, Class S(3)(5) | | | 4 | | | | 4 | |
26.92% (11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023, Series 1541, Class M(3)(5)(7) | | | 0 | | | | 0 | |
28.79% (1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023, Series 2571, Class SK(3)(5) | | | 1 | | | | 1 | |
30.38% (ECOFIN + 31.43%, 31.43% Cap), 03/15/2024, Series 2033, Class SN(3)(5)(7) | | | 1 | | | | 0 | |
Freddie Mac STACR REMIC Trust 2021-DNA3 | | | | | | | | |
3.03% (30-day Average SOFR + 2.10%), 10/25/2033, Series 2021-DNA3, Class M2(1)(3) | | | 10,610 | | | | 9,811 | |
Freddie Mac STACR REMIC Trust 2021-DNA5 | | | | | | | | |
2.58% (30-day Average SOFR + 1.65%), 01/25/2034, Series 2021-DNA5, Class M2(1)(3) | | | 1,115 | | | | 1,075 | |
Freddie Mac STACR REMIC Trust 2021-HQA3 | | | | | | | | |
1.78% (30-day Average SOFR + 0.85%), 09/25/2041, Series 2021-HQA3, Class M1(1)(3) | | | 26,754 | | | | 25,834 | |
Freddie Mac STACR REMIC Trust 2022-DNA1 | | | | | | | | |
1.93% (30-day Average SOFR + 1.00%), 01/25/2042, Series 2022-DNA1, Class M1A(1)(3) | | | 7,570 | | | | 7,304 | |
Freddie Mac Strips | | | | | | | | |
0.00%, 04/01/2028, Series 197, Class PO | | | 28 | | | | 26 | |
0.00%, 09/15/2043, Series 310, Class PO | | | 432 | | | | 357 | |
1.82% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042, Series 270, Class F1(3) | | | 473 | | | | 482 | |
1.87% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042, Series 264, Class F1(3) | | | 836 | | | | 847 | |
1.87% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042, Series 272, Class F2(3) | | | 426 | | | | 435 | |
3.00%, 08/15/2042, Series 267, Class 30 | | | 630 | | | | 597 | |
3.00%, 01/15/2043, Series 299, Class 300 | | | 139 | | | | 131 | |
3.00%, 12/15/2046, Series 365, Class C28 | | | 946 | | | | 141 | |
3.50%, 07/15/2042, Series 262, Class 35 | | | 2,501 | | | | 2,453 | |
5.00%, 09/15/2035, Series 233, Class 12 | | | 53 | | | | 7 | |
5.00%, 09/15/2035, Series 233, Class 11 | | | 62 | | | | 13 | |
5.00%, 09/15/2035, Series 233, Class 13 | | | 101 | | | | 21 | |
6.38% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036, Series 239, Class S30(3)(5) | | | 185 | | | | 31 | |
Freddie Mac Structured Pass-Through Certificates | | | | | | | | |
0.00%, 07/25/2043, Series T-57, Class 1AP | | | 14 | | | | 12 | |
0.00%, 09/25/2043, Series T-58, Class APO | | | 16 | | | | 12 | |
0.00%, 10/25/2043, Series T-59, Class 1AP | | | 18 | | | | 10 | |
1.50%, 10/25/2037, Series T-76, Class 2A(4) | | | 684 | | | | 704 | |
1.68% (12 Month U.S. Treasury Average + 1.20%, 1.20% Floor), 10/25/2044, Series T-62, Class 1A1(3) | | | 277 | | | | 284 | |
| | | | | | | | |
4.45%, 07/25/2033, Series T-48, Class 1A(4) | | | 120 | | | | 120 | |
4.49%, 07/25/2032, Series T-41, Class 3A(4) | | | 42 | | | | 42 | |
5.23%, 05/25/2043, Series T-56, Class A5 | | | 409 | | | | 423 | |
6.50%, 02/25/2043, Series T-54, Class 2A | | | 186 | | | | 204 | |
7.00%, 02/25/2043, Series T-54, Class 3A | | | 60 | | | | 64 | |
7.00%, 10/25/2043, Series T-59, Class 1A2 | | | 213 | | | | 229 | |
7.50%, 02/25/2042, Series T-42, Class A5 | | | 165 | | | | 184 | |
7.50%, 08/25/2042, Series T-51, Class 2A(4) | | | 32 | | | | 34 | |
7.50%, 07/25/2043, Series T-57, Class 1A3 | | | 39 | | | | 44 | |
7.50%, 09/25/2043, Series T-58, Class 4A | | | 220 | | | | 235 | |
FREMF 2013-K25 Mortgage Trust | | | | | | | | |
3.72%, 11/25/2045, Series 2013-K25, Class C(1)(4) | | | 2,000 | | | | 1,996 | |
FREMF 2013-K35 Mortgage Trust | | | | | | | | |
4.07%, 12/25/2046, Series 2013-K35, Class C(1)(4) | | | 2,951 | | | | 2,933 | |
FREMF 2014-K40 Mortgage Trust | | | | | | | | |
4.21%, 11/25/2047, Series 2014-K40, Class C(1)(4) | | | 2,273 | | | | 2,240 | |
FREMF 2014-K41 Mortgage Trust | | | | | | | | |
3.96%, 11/25/2047, Series 2014-K41, Class C(1)(4) | | | 6,000 | | | | 5,864 | |
FREMF 2015-K44 Mortgage Trust | | | | | | | | |
3.85%, 01/25/2048, Series 2015-K44, Class B(1)(4) | | | 3,510 | | | | 3,437 | |
FREMF 2015-K45 Mortgage Trust | | | | | | | | |
3.73%, 04/25/2048, Series 2015-K45, Class B(1)(4) | | | 2,135 | | | | 2,093 | |
FREMF 2015-K49 Mortgage Trust | | | | | | | | |
3.85%, 10/25/2048, Series 2015-K49, Class C(1)(4) | | | 4,000 | | | | 3,866 | |
FREMF 2015-K51 Mortgage Trust | | | | | | | | |
4.09%, 10/25/2048, Series 2015-K51, Class C(1)(4) | | | 1,500 | | | | 1,459 | |
FREMF 2015-K720 Mortgage Trust | | | | | | | | |
3.60%, 07/25/2022, Series 2015-K720, Class C(1)(4) | | | 4,000 | | | | 3,993 | |
FREMF 2016-K52 Mortgage Trust | | | | | | | | |
4.06%, 01/25/2049, Series 2016-K52, Class B(1)(4) | | | 4,750 | | | | 4,673 | |
FREMF 2016-K59 Mortgage Trust | | | | | | | | |
3.70%, 11/25/2049, Series 2016-K59, Class B(1)(4) | | | 2,450 | | | | 2,355 | |
FREMF 2016-K722 Mortgage Trust | | | | | | | | |
4.02%, 07/25/2049, Series 2016-K722, Class B(1)(4) | | | 1,845 | | | | 1,841 | |
FREMF 2017-KGS1 Mortgage Trust | | | | | | | | |
3.62% (1 Month LIBOR USD + 2.50%, 2.50% Floor), 10/25/2027, Series 2017-KGL1, Class BFL(1)(3) | | | 4,905 | | | | 4,885 | |
FREMF 2019-K92 Mortgage Trust | | | | | | | | |
4.34%, 05/25/2052, Series 2019-K92, Class B(1)(4) | | | 6,020 | | | | 5,790 | |
Ginnie Mae | | | | | | | | |
0.00%, 03/16/2033, Series 2003-24, Class PO | | | 4 | | | | 4 | |
0.00%, 06/16/2033, Series 2003-52, Class AP | | | 22 | | | | 20 | |
0.00%, 10/20/2033, Series 2003-90, Class PO | | | 3 | | | | 3 | |
0.00%, 06/20/2034, Series 2004-46, Class PO | | | 35 | | | | 33 | |
0.00%, 08/20/2035, Series 2010-14, Class CO | | | 82 | | | | 71 | |
0.00%, 10/20/2035, Series 2005-82, Class PO | | | 19 | | | | 16 | |
0.00%, 11/20/2035, Series 2010-14, Class BO | | | 28 | | | | 24 | |
0.00%, 03/20/2036, Series 2006-16, Class OP | | | 23 | | | | 21 | |
0.00%, 05/20/2036, Series 2006-22, Class AO | | | 33 | | | | 31 | |
0.00%, 07/20/2036, Series 2006-34, Class PO | | | 5 | | | | 4 | |
0.00%, 03/20/2037, Series 2007-57, Class PO | | | 43 | | | | 40 | |
0.00%, 04/16/2037, Series 2007-17, Class JO | | | 46 | | | | 39 | |
0.00%, 05/20/2037, Series 2007-28, Class BO | | | 7 | | | | 6 | |
0.00%, 06/16/2037, Series 2007-36, Class HO | | | 12 | | | | 11 | |
0.00%, 06/16/2037, Series 2007-35, Class PO | | | 118 | | | | 106 | |
0.00%, 11/16/2037, Series 2009-79, Class OK | | | 125 | | | | 111 | |
0.00%, 01/20/2038, Series 2008-1, Class PO | | | 5 | | | | 4 | |
0.00%, 12/20/2040, Series 2010-157, Class OP | | | 245 | | | | 211 | |
0.91% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065, Series 2015-H07, Class ES(3) | | | 1,037 | | | | 1,028 | |
1.10% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060, Series 2013-H03, Class FA(3)(7) | | | 0 | | | | 0 | |
1.10% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062, Series 2013-H02, Class HF(3)(7) | | | 0 | | | | 0 | |
1.12% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063, Series 2013-H01, Class JA(3) | | | 432 | | | | 428 | |
1.14% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062, Series 2012-H31, Class FD(3) | | | 1,265 | | | | 1,251 | |
1.21% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063, Series 2013-H07, Class HA(3) | | | 428 | | | | 424 | |
1.22% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063, Series 2013-H04, Class SA(3) | | | 149 | | | | 147 | |
1.23% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060, Series 2012-H24, Class FG(3) | | | 9 | | | | 8 | |
1.24% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065, Series 2015-H16, Class FL(3) | | | 2,423 | | | | 2,394 | |
1.25% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060, Series 2012-H24, Class FA(3) | | | 18 | | | | 18 | |
1.25% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062, Series 2012-H15, Class FA(3)(7) | | | 0 | | | | 0 | |
1.25% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065, Series 2015-H18, Class FA(3) | | | 848 | | | | 841 | |
1.25% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067, Series 2017-H19, Class FA(3) | | | 1,385 | | | | 1,376 | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061, Series 2011-H19, Class FA(3) | | | 282 | | | | 280 | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063, Series 2013-H07, Class GA(3) | | | 121 | | | | 120 | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063, Series 2013-H14, Class FD(3) | | | 936 | | | | 928 | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064, Series 2014-H14, Class GF(3) | | | 1,744 | | | | 1,732 | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064, Series 2014-H19, Class FE(3) | | | 2,598 | | | | 2,571 | |
| | | | | | | | |
1.27% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065, Series 2015-H20, Class FA(3) | | | 390 | | | | 386 | |
1.28% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065, Series 2015-H05, Class FC(3) | | | 2,616 | | | | 2,588 | |
1.28% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065, Series 2015-H08, Class FC(3) | | | 5,059 | | | | 5,009 | |
1.28% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065, Series 2015-H10, Class FC(3) | | | 3,827 | | | | 3,786 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061, Series 2011-H11, Class FA(3) | | | 1,054 | | | | 1,045 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063, Series 2013-H01, Class TA(3) | | | 4 | | | | 4 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064, Series 2014-H11, Class VA(3) | | | 1,534 | | | | 1,518 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064, Series 2014-H15, Class FA(3) | | | 1,256 | | | | 1,243 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064, Series 2014-H17, Class FC(3) | | | 1,497 | | | | 1,481 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064, Series 2015-H03, Class FA(3) | | | 1,503 | | | | 1,492 | |
1.30% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067, Series 2017-H14, Class FV(3) | | | 4,202 | | | | 4,158 | |
1.32% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062, Series 2012-H29, Class FA(3) | | | 874 | | | | 869 | |
1.35% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061, Series 2012-H26, Class JA(3) | | | 2 | | | | 2 | |
1.35% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062, Series 2013-H07, Class MA(3) | | | 1 | | | | 1 | |
1.35% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062, Series 2012-H26, Class MA(3) | | | 4 | | | | 4 | |
1.36% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067, Series 2017-H09, Class DF(3) | | | 3,717 | | | | 3,682 | |
1.38% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062, Series 2012-H28, Class FA(3) | | | 9 | | | | 9 | |
1.40% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062, Series 2012-H24, Class FE(3) | | | 10 | | | | 10 | |
1.40% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064, Series 2014-H09, Class TA(3) | | | 2,066 | | | | 2,056 | |
1.40% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064, Series 2014-H10, Class TA(3) | | | 2,204 | | | | 2,186 | |
1.40% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064, Series 2014-H07, Class FA(3) | | | 3,647 | | | | 3,617 | |
1.40% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064, Series 2014-H20, Class LF(3) | | | 1,180 | | | | 1,170 | |
1.45% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061, Series 2012-H21, Class DF(3) | | | 11 | | | | 11 | |
1.45% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064, Series 2014-H01, Class FD(3) | | | 1,612 | | | | 1,605 | |
1.45% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064, Series 2014-H04, Class FB(3) | | | 3,183 | | | | 3,168 | |
1.45% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064, Series 2014-H06, Class HB(3) | | | 1,318 | | | | 1,311 | |
1.49% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064, Series 2014-H05, Class FA(3) | | | 2,068 | | | | 2,056 | |
1.50% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061, Series 2012-H21, Class CF(3) | | | 11 | | | | 11 | |
1.50% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062, Series 2012-H08, Class FS(3) | | | 580 | | | | 577 | |
1.65%, 01/20/2063, Series 2013-H01, Class FA | | | 4 | | | | 4 | |
1.65%, 02/20/2063, Series 2013-H04, Class BA | | | 17 | | | | 16 | |
1.65%, 04/20/2063, Series 2013-H09, Class HA | | | 9 | | | | 9 | |
1.81% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037, Series 2007-25, Class FN(3) | | | 38 | | | | 37 | |
1.83%, 05/20/2067, Series 2017-H11, Class LI(4) | | | 8,819 | | | | 834 | |
2.00%, 07/01/2050(12) | | | 36,995 | | | | 32,848 | |
2.08% (1 Month LIBOR USD + 1.28%, 1.28% Floor), 02/20/2071, Series 2021-H03, Class LF(3) | | | 13,022 | | | | 13,326 | |
2.42% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038, Series 2008-58, Class FA(3) | | | 189 | | | | 191 | |
2.50%, 07/21/2052(12) | | | 57,725 | | | | 52,818 | |
2.57%, 06/20/2067, Series 2017-H14, Class XI(4) | | | 8,713 | | | | 352 | |
3.00%, 12/20/2041, Series 2011-157, Class UY | | | 1,000 | | | | 948 | |
3.00%, 10/20/2045, Series 2015-144, Class HP | | | 721 | | | | 696 | |
3.00%, 02/20/2047, Series 2018-7, Class GA | | | 932 | | | | 910 | |
3.00%, 09/20/2047, Series 2017-139, Class BA | | | 936 | | | | 903 | |
3.00%, 07/01/2052(12) | | | 31,650 | | | | 29,833 | |
3.50%, 07/20/2046, Series 2018-160, Class PA | | | 1,208 | | | | 1,210 | |
3.50%, 09/20/2046, Series 2018-34, Class DL | | | 1,266 | | | | 1,259 | |
3.50%, 07/01/2052(12) | | | 10,440 | | | | 10,143 | |
3.72%, 01/20/2042, Series 2012-141, Class WC(4) | | | 173 | | | | 174 | |
4.00%, 07/01/2052(12) | | | 6,240 | | | | 6,213 | |
4.01%, 09/16/2042, Series 2012-141, Class WB(4) | | | 105 | | | | 108 | |
4.10% (1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038, Series 2008-93, Class AS(3)(5) | | | 117 | | | | 8 | |
4.30% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038, Series 2008-76, Class US(3)(5) | | | 106 | | | | 7 | |
4.35% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039, Series 2009-10, Class SA(3)(5) | | | 83 | | | | 6 | |
4.35% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039, Series 2009-43, Class SA(3)(5) | | | 82 | | | | 4 | |
4.40% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037, Series 2007-73, Class MI(3)(5) | | | 79 | | | | 4 | |
4.40% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038, Series 2009-106, Class ST(3)(5) | | | 651 | | | | 52 | |
4.40% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038, Series 2008-71, Class SC(3)(5) | | | 30 | | | | 2 | |
4.40% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038, Series 2008-96, Class SL(3)(5) | | | 65 | | | | 3 | |
4.44% (1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039, Series 2009-6, Class SH(3)(5) | | | 51 | | | | 2 | |
4.46%, 04/20/2043, Series 2013-91, Class WA(4) | | | 154 | | | | 155 | |
| | | | | | | | |
4.48% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034, Series 2004-96, Class SC(3)(5)(7) | | | 125 | | | | 0 | |
4.48% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039, Series 2009-42, Class SC(3)(5) | | | 111 | | | | 9 | |
4.49% (1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039, Series 2009-81, Class SB(3)(5) | | | 220 | | | | 24 | |
4.50%, 07/01/2052(12) | | | 7,505 | | | | 7,615 | |
4.50% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034, Series 2004-90, Class SI(3)(5) | | | 212 | | | | 16 | |
4.53%, 11/16/2041, Series 2012-141, Class WA(4) | | | 204 | | | | 208 | |
4.55% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038, Series 2008-60, Class CS(3)(5) | | | 86 | | | | 5 | |
4.56%, 10/20/2041, Series 2014-188, Class W(4) | | | 313 | | | | 319 | |
4.59% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039, Series 2009-6, Class SA(3)(5)(7) | | | 43 | | | | 0 | |
4.59% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039, Series 2009-64, Class SN(3)(5) | | | 113 | | | | 10 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037, Series 2007-9, Class CI(3)(5) | | | 90 | | | | 7 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037, Series 2007-19, Class SD(3)(5) | | | 44 | | | | 2 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037, Series 2007-26, Class SC(3)(5) | | | 80 | | | | 4 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037, Series 2007-27, Class SD(3)(5) | | | 88 | | | | 6 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038, Series 2008-55, Class SA(3)(5) | | | 25 | | | | 2 | |
4.60% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038, Series 2008-81, Class S(3)(5) | | | 221 | | | | 8 | |
4.64% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039, Series 2009-11, Class SC(3)(5) | | | 60 | | | | 3 | |
4.65% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037, Series 2007-36, Class SJ(3)(5) | | | 63 | | | | 3 | |
4.67% (1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039, Series 2009-22, Class SA(3)(5) | | | 143 | | | | 12 | |
4.68%, 09/20/2041, Series 2013-26, Class AK(4) | | | 172 | | | | 179 | |
4.69%, 10/20/2042, Series 2014-41, Class W(4) | | | 590 | | | | 606 | |
4.70% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035, Series 2005-68, Class KI(3)(5) | | | 283 | | | | 35 | |
4.70% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038, Series 2008-36, Class SH(3)(5)(7) | | | 103 | | | | 0 | |
4.70% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039, Series 2009-31, Class TS(3)(5) | | | 57 | | | | 2 | |
4.74% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039, Series 2009-72, Class SM(3)(5) | | | 126 | | | | 12 | |
4.77%, 03/20/2048, Series 2020-30, Class PT(4) | | | 7,256 | | | | 7,458 | |
4.88%, 11/20/2042, Series 2013-54, Class WA(4) | | | 117 | | | | 122 | |
4.89% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038, Series 2008-40, Class SA(3)(5) | | | 357 | | | | 32 | |
4.89% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039, Series 2009-106, Class AS(3)(5) | | | 182 | | | | 21 | |
4.90% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036, Series 2006-38, Class SW(3)(5)(7) | | | 1 | | | | 0 | |
4.90% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037, Series 2007-76, Class SB(3)(5) | | | 153 | | | | 7 | |
4.91% (1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037, Series 2007-67, Class SI(3)(5) | | | 84 | | | | 7 | |
4.95% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037, Series 2007-53, Class ES(3)(5) | | | 71 | | | | 5 | |
4.95% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037, Series 2007-72, Class US(3)(5) | | | 69 | | | | 4 | |
4.95% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037, Series 2007-79, Class SY(3)(5) | | | 103 | | | | 4 | |
4.96% (1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037, Series 2007-36, Class SE(3)(5) | | | 51 | | | | 3 | |
5.00% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041, Series 2011-75, Class SM(3)(5) | | | 166 | | | | 15 | |
5.03% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037, Series 2007-74, Class SL(3)(5) | | | 85 | | | | 10 | |
5.04% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033, Series 2003-97, Class SA(3)(5) | | | 39 | | | | 2 | |
5.04% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033, Series 2003-112, Class SA(3)(5) | | | 42 | | | | 2 | |
5.04% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034, Series 2004-73, Class JL(3)(5) | | | 148 | | | | 18 | |
5.04% (1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037, Series 2007-45, Class QA(3)(5) | | | 101 | | | | 8 | |
5.08% (1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037, Series 2007-40, Class SN(3)(5) | | | 97 | | | | 8 | |
5.10% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036, Series 2006-59, Class SD(3)(5) | | | 45 | | | | 4 | |
5.13%, 06/20/2040, Series 2013-75, Class WA(4) | | | 89 | | | | 94 | |
5.15% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035, Series 2005-3, Class SK(3)(5) | | | 140 | | | | 16 | |
5.15% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037, Series 2007-40, Class SD(3)(5) | | | 69 | | | | 5 | |
5.20% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035, Series 2008-79, Class CS(3)(5) | | | 70 | | | | 67 | |
5.20% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036, Series 2006-65, Class SA(3)(5) | | | 75 | | | | 4 | |
5.21%, 07/20/2060, Series 2010-H17, Class XQ(4) | | | 5 | | | | 5 | |
5.30% (1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037, Series 2007-17, Class JI(3)(5) | | | 118 | | | | 14 | |
5.38%, 01/20/2039, Series 2014-6, Class W(4) | | | 373 | | | | 393 | |
5.50%, 01/16/2033, Series 2011-43, Class ZQ | | | 196 | | | | 198 | |
5.50%, 04/20/2033, Series 2003-25, Class PZ | | | 109 | | | | 111 | |
5.50%, 03/16/2034, Series 2004-17, Class MZ | | | 1,619 | | | | 1,682 | |
5.50%, 07/20/2035, Series 2005-56, Class IC | | | 14 | | | | 2 | |
5.50%, 09/20/2035, Series 2005-72, Class AZ | | | 77 | | | | 80 | |
5.50%, 10/16/2037, Series 2008-32, Class PI(7) | | | 25 | | | | 0 | |
5.50%, 02/20/2038, Series 2008-17, Class IO(7) | | | 15 | | | | 0 | |
5.50%, 05/20/2039, Series 2009-33, Class CI | | | 18 | | | | 2 | |
| | | | | | | | |
5.50%, 09/20/2039, Series 2009-75, Class MN | | | 317 | | | | 345 | |
5.50%, 10/20/2039, Series 2009-87, Class BE | | | 436 | | | | 462 | |
5.55%, 01/20/2038, Series 2015-137, Class WA(4) | | | 373 | | | | 401 | |
5.56%, 10/20/2036, Series 2006-57, Class PZ | | | 84 | | | | 86 | |
5.58%, 08/20/2038, Series 2012-59, Class WA(4) | | | 137 | | | | 145 | |
5.60%, 07/20/2040, Series 2011-137, Class WA(4) | | | 127 | | | | 137 | |
5.69%, 08/20/2034, Series 2010-103, Class WA(4) | | | 43 | | | | 45 | |
5.70% (1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038, Series 2008-95, Class DS(3)(5) | | | 192 | | | | 15 | |
5.75%, 02/20/2036, Series 2006-20, Class QA | | | 3 | | | | 3 | |
5.75%, 07/20/2038, Series 2008-69, Class QD | | | 43 | | | | 44 | |
5.83%, 10/20/2033, Series 2010-41, Class WA(4) | | | 77 | | | | 81 | |
5.89%, 12/20/2038, Series 2011-163, Class WA(4) | | | 315 | | | | 337 | |
5.89%, 02/20/2037, Series 2011-22, Class WA(4) | | | 29 | | | | 31 | |
5.92%, 04/20/2037, Series 2010-129, Class AW(4) | | | 53 | | | | 57 | |
6.00%, 02/20/2029, Series 1999-4, Class ZB | | | 41 | | | | 41 | |
6.00%, 09/16/2033, Series 2003-75, Class ZX | | | 65 | | | | 69 | |
6.00%, 06/20/2034, Series 2004-49, Class Z | | | 144 | | | | 153 | |
6.00%, 12/20/2035, Series 2005-91, Class PI | | | 29 | | | | 4 | |
6.00%, 06/20/2038, Series 2008-50, Class KB | | | 53 | | | | 56 | |
6.00%, 12/20/2038, Series 2009-65, Class IQ(7) | | | 1 | | | | 0 | |
6.00%, 05/20/2039, Series 2009-33, Class TI | | | 24 | | | | 4 | |
6.00% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038, Series 2009-25, Class SE(3)(5) | | | 46 | | | | 4 | |
6.10% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033, Series 2003-12, Class SP(3)(5) | | | 13 | | | | 1 | |
6.12%, 11/20/2038, Series 2011-97, Class WA(4) | | | 80 | | | | 86 | |
6.19% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038, Series 2008-33, Class XS(3)(5) | | | 41 | | | | 4 | |
6.50%, 07/20/2032, Series 2002-52, Class GH | | | 39 | | | | 39 | |
6.50%, 01/20/2033, Series 2003-58, Class BE | | | 52 | | | | 53 | |
6.50%, 03/20/2033, Series 2003-46, Class TC | | | 29 | | | | 30 | |
6.50%, 03/20/2033, Series 2003-40, Class TJ | | | 99 | | | | 101 | |
6.50%, 05/20/2033, Series 2003-46, Class MG | | | 41 | | | | 42 | |
6.50%, 07/20/2036, Series 2006-33, Class Z | | | 147 | | | | 159 | |
6.50%, 08/20/2036, Series 2006-38, Class ZK | | | 189 | | | | 198 | |
6.50%, 03/20/2039, Series 2009-14, Class KI | | | 29 | | | | 4 | |
6.50%, 03/20/2039, Series 2009-14, Class NI | | | 64 | | | | 12 | |
6.74% (1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031, Series 2001-35, Class SA(3)(5)(7) | | | 8 | | | | 0 | |
7.00% (1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034, Series 2004-71, Class ST(3)(5) | | | 15 | | | | 15 | |
7.00%, 08/16/2039, Series 2009-104, Class AB | | | 30 | | | | 31 | |
7.00%, 10/16/2040, Series 2010-130, Class CP | | | 230 | | | | 253 | |
10.21% (1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037, Series 2008-7, Class SP(3)(5) | | | 12 | | | | 11 | |
11.00% (1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034, Series 2004-83, Class AP(3)(5)(7) | | | 0 | | | | 0 | |
12.80% (1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035, Series 2005-68, Class DP(3)(5) | | | 43 | | | | 44 | |
13.40% (1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034, Series 2005-7, Class JM(3)(5) | | | 1 | | | | 1 | |
15.16% (1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037, Series 2008-7, Class SK(3)(5) | | | 8 | | | | 8 | |
15.42% (1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037, Series 2007-53, Class SW(3)(5) | | | 16 | | | | 18 | |
15.51% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034, Series 2004-28, Class S(3)(5) | | | 21 | | | | 24 | |
15.80% (1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035, Series 2005-66, Class SP(3)(5) | | | 8 | | | | 9 | |
16.69% (1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035, Series 2005-65, Class SA(3)(5) | | | 3 | | | | 3 | |
18.85% (1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034, Series 2004-89, Class LS(3)(5) | | | 13 | | | | 15 | |
21.63% (1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034, Series 2004-71, Class SB(3)(5) | | | 15 | | | | 18 | |
Ginnie Mae I Pool | | | | | | | | |
3.00%, 05/15/2043 | | | 306 | | | | 292 | |
3.00%, 07/15/2045 | | | 653 | | | | 620 | |
3.50%, 01/15/2042 | | | 2,184 | | | | 2,182 | |
3.50%, 03/15/2043 | | | 823 | | | | 822 | |
3.50%, 04/15/2043 | | | 1,914 | | | | 1,912 | |
3.50%, 06/15/2043 | | | 881 | | | | 880 | |
3.50%, 07/15/2043 | | | 340 | | | | 340 | |
4.00%, 06/15/2039 | | | 195 | | | | 198 | |
4.00%, 10/15/2040 | | | 102 | | | | 105 | |
4.50%, 04/15/2040 | | | 757 | | | | 790 | |
5.50%, 04/15/2033 | | | 173 | | | | 188 | |
5.50%, 06/15/2033 | | | 2 | | | | 2 | |
5.50%, 12/15/2033 | | | 7 | | | | 7 | |
5.50%, 07/15/2034 | | | 3 | | | | 3 | |
5.50%, 09/15/2034 | | | 3 | | | | 3 | |
6.00%, 11/15/2028 | | | 2 | | | | 2 | |
6.50%, 01/15/2024 | | | 1 | | | | 1 | |
6.50%, 03/15/2028 | | | 4 | | | | 4 | |
6.50%, 09/15/2028 | | | 11 | | | | 12 | |
6.50%, 10/15/2028(7) | | | 0 | | | | 0 | |
6.50%, 01/15/2032 | | | 34 | | | | 36 | |
6.50%, 07/15/2032 | | | 2 | | | | 2 | |
6.50%, 02/15/2033 | | | 7 | | | | 8 | |
6.50%, 04/15/2033 | | | 5 | | | | 5 | |
6.50%, 12/15/2035 | | | 36 | | | | 39 | |
7.00%, 08/15/2023(7) | | | 0 | | | | 0 | |
| | | | | | | | |
7.00%, 09/15/2023 | | | 1 | | | | 1 | |
7.00%, 11/15/2023(7) | | | 0 | | | | 0 | |
7.00%, 02/15/2024(7) | | | 0 | | | | 0 | |
7.00%, 09/15/2031 | | | 40 | | | | 44 | |
7.00%, 02/15/2033 | | | 5 | | | | 5 | |
7.00%, 06/15/2033 | | | 12 | | | | 13 | |
7.00%, 06/15/2035 | | | 94 | | | | 102 | |
7.00%, 04/15/2037 | | | 10 | | | | 10 | |
7.50%, 03/15/2023(7) | | | 0 | | | | 0 | |
7.50%, 11/15/2026(7) | | | 0 | | | | 0 | |
7.50%, 07/15/2027 | | | 1 | | | | 1 | |
7.50%, 07/15/2028(7) | | | 0 | | | | 0 | |
7.50%, 09/15/2028 | | | 2 | | | | 2 | |
7.50%, 10/15/2037 | | | 17 | | | | 18 | |
8.00%, 08/15/2028 | | | 1 | | | | 1 | |
Ginnie Mae II Pool | | | | | | | | |
2.00%, 03/20/2051 | | | 4,979 | | | | 4,431 | |
2.00%, 07/20/2051 | | | 2,888 | | | | 2,579 | |
2.00%, 10/20/2051 | | | 2,773 | | | | 2,467 | |
2.00%, 12/20/2051 | | | 21,445 | | | | 19,080 | |
2.50%, 12/20/2046 | | | 1,144 | | | | 1,049 | |
2.50%, 09/20/2050 | | | 3,530 | | | | 3,236 | |
2.50%, 09/20/2050 | | | 5,643 | | | | 5,230 | |
2.50%, 03/20/2051 | | | 14,671 | | | | 13,331 | |
2.50%, 03/20/2051 | | | 17,276 | | | | 15,873 | |
2.50%, 06/20/2051 | | | 15,958 | | | | 14,489 | |
2.50%, 08/20/2051 | | | 65,643 | | | | 60,194 | |
2.50%, 09/20/2051 | | | 5,647 | | | | 5,188 | |
2.50%, 10/20/2051 | | | 7,896 | | | | 7,253 | |
2.50%, 11/20/2051 | | | 4,346 | | | | 3,993 | |
2.50%, 12/20/2051 | | | 4,377 | | | | 4,020 | |
2.94%, 10/20/2070(4) | | | 6,917 | | | | 6,514 | |
3.00%, 06/20/2042 | | | 153 | | | | 147 | |
3.00%, 08/20/2042 | | | 2,007 | | | | 1,925 | |
3.00%, 11/20/2042 | | | 1,134 | | | | 1,088 | |
3.00%, 12/20/2042 | | | 575 | | | | 552 | |
3.00%, 01/20/2043 | | | 572 | | | | 549 | |
3.00%, 04/20/2043 | | | 1,411 | | | | 1,353 | |
3.00%, 09/20/2043 | | | 438 | | | | 420 | |
3.00%, 10/20/2043 | | | 68 | | | | 65 | |
3.00%, 01/20/2044 | | | 392 | | | | 376 | |
3.00%, 07/20/2044 | | | 152 | | | | 146 | |
3.00%, 12/20/2044 | | | 241 | | | | 231 | |
3.00%, 04/20/2045 | | | 2,174 | | | | 2,085 | |
3.00%, 05/20/2045 | | | 386 | | | | 370 | |
3.00%, 07/20/2045 | | | 926 | | | | 888 | |
3.00%, 10/20/2045 | | | 1,045 | | | | 1,002 | |
3.00%, 11/20/2045 | | | 254 | | | | 243 | |
3.00%, 02/20/2046 | | | 368 | | | | 353 | |
3.00%, 04/20/2046 | | | 2,179 | | | | 2,091 | |
3.00%, 05/20/2046 | | | 94 | | | | 90 | |
3.00%, 07/20/2046 | | | 1,809 | | | | 1,736 | |
3.00%, 08/20/2046 | | | 2,078 | | | | 1,994 | |
3.00%, 09/20/2046 | | | 621 | | | | 596 | |
3.00%, 01/20/2047 | | | 1,458 | | | | 1,398 | |
3.00%, 02/20/2047 | | | 2,162 | | | | 2,074 | |
3.00%, 03/20/2047 | | | 232 | | | | 223 | |
3.00%, 07/20/2049 | | | 1,403 | | | | 1,331 | |
3.00%, 12/20/2049(11) | | | 7,637 | | | | 7,233 | |
3.00%, 01/20/2050 | | | 915 | | | | 867 | |
3.00%, 02/20/2050 | | | 135 | | | | 128 | |
3.00%, 09/20/2050 | | | 393 | | | | 372 | |
3.00%, 09/20/2050 | | | 2,713 | | | | 2,563 | |
3.00%, 09/20/2050 | | | 8,532 | | | | 8,382 | |
3.00%, 07/20/2051 | | | 29,136 | | | | 27,553 | |
3.00%, 10/20/2051 | | | 15,604 | | | | 14,749 | |
3.00%, 11/20/2051 | | | 502 | | | | 474 | |
3.00%, 12/20/2051 | | | 534 | | | | 504 | |
3.00%, 12/20/2051 | | | 5,543 | | | | 5,366 | |
3.00%, 04/20/2052 | | | 1,997 | | | | 1,885 | |
3.00%, 05/20/2052 | | | 3,489 | | | | 3,293 | |
3.01% (1 Year CMT Index + 1.47%, 1.46% Floor, 6.58% Cap), 11/20/2071(3) | | | 3,598 | | | | 3,672 | |
3.03%, 12/20/2070(4) | | | 3,489 | | | | 3,297 | |
3.04%, 06/20/2070(4) | | | 4,226 | | | | 4,007 | |
3.06%, 09/20/2070(4) | | | 4,061 | | | | 3,855 | |
3.09%, 12/20/2071(4) | | | 9,671 | | | | 9,124 | |
3.11% (1 Year CMT Index + 1.57%, 1.57% Floor, 6.71% Cap), 11/20/2071(3) | | | 4,597 | | | | 4,721 | |
3.13% (1 Year CMT Index + 1.62%, 1.62% Floor, 6.74% Cap), 11/20/2071(3) | | | 3,802 | | | | 3,918 | |
3.25% (1 Year CMT Index + 1.71%, 1.71% Floor, 7.86% Cap), 03/20/2072(3) | | | 10,283 | | | | 10,678 | |
3.28% (1 Year CMT Index + 1.73%, 1.73% Floor, 6.84% Cap), 10/20/2071(3) | | | 10,854 | | | | 11,257 | |
3.29% (1 Year CMT Index + 1.75%, 1.75% Floor, 6.86% Cap), 10/20/2071(3) | | | 10,549 | | | | 10,948 | |
3.29% (1 Year CMT Index + 1.68%, 1.68% Floor, 8.25% Cap), 04/20/2072(3) | | | 12,946 | | | | 13,421 | |
3.30% (1 Year CMT Index + 1.75%, 1.75% Floor, 6.89% Cap), 11/20/2071(3) | | | 10,817 | | | | 11,236 | |
3.30% (1 Year CMT Index + 1.76%, 1.76% Floor, 6.92% Cap), 11/20/2071(3) | | | 11,279 | | | | 11,719 | |
3.31% (1 Year CMT Index + 1.78%, 1.78% Floor, 6.86% Cap), 08/20/2071(3) | | | 10,013 | | | | 10,409 | |
3.32% (1 Year CMT Index + 1.78%, 1.78% Floor, 7.00% Cap), 12/20/2071(3) | | | 9,934 | | | | 10,341 | |
3.32% (1 Year CMT Index + 1.79%, 1.79% Floor, 6.86% Cap), 09/20/2071(3) | | | 10,021 | | | | 10,421 | |
| | | | | | | | |
3.39% (1 Year CMT Index + 1.84%, 1.84% Floor, 6.91% Cap), 08/20/2071(3) | | | 9,793 | | | | 10,208 | |
3.44% (1 Year CMT Index + 1.74%, 1.74% Floor, 8.46% Cap), 04/20/2072(3) | | | 9,647 | | | | 10,027 | |
3.44% (1 Year CMT Index + 1.70%, 1.70% Floor, 8.40% Cap), 04/20/2072(3) | | | 9,704 | | | | 10,074 | |
3.47% (1 Year CMT Index + 1.78%, 1.78% Floor, 8.41% Cap), 04/20/2072(3) | | | 3,297 | | | | 3,438 | |
3.48% (1 Year CMT Index + 1.97%, 1.97% Floor, 8.26% Cap), 03/20/2072(3) | | | 9,863 | | | | 10,378 | |
3.48%, 04/20/2072(4) | | | 3,246 | | | | 3,130 | |
3.50%, 10/20/2042 | | | 2,206 | | | | 2,179 | |
3.50%, 11/20/2042 | | | 767 | | | | 753 | |
3.50%, 05/20/2043 | | | 532 | | | | 528 | |
3.50%, 03/20/2045 | | | 550 | | | | 544 | |
3.50%, 04/20/2045 | | | 4,181 | | | | 4,139 | |
3.50%, 10/20/2045 | | | 3,521 | | | | 3,479 | |
3.50%, 01/20/2046 | | | 2,125 | | | | 2,099 | |
3.50%, 02/20/2046 | | | 7,572 | | | | 7,467 | |
3.50%, 03/20/2046 | | | 1,717 | | | | 1,696 | |
3.50%, 04/20/2046 | | | 13,470 | | | | 13,280 | |
3.50%, 05/20/2046 | | | 6,521 | | | | 6,429 | |
3.50%, 06/20/2046 | | | 2,029 | | | | 2,004 | |
3.50%, 07/20/2046(11) | | | 3,839 | | | | 3,784 | |
3.50%, 08/20/2046 | | | 570 | | | | 562 | |
3.50%, 09/20/2046 | | | 447 | | | | 441 | |
3.50%, 11/20/2046 | | | 685 | | | | 671 | |
3.50%, 12/20/2046 | | | 3,046 | | | | 3,003 | |
3.50%, 01/20/2047 | | | 19 | | | | 19 | |
3.50%, 02/20/2047 | | | 3,059 | | | | 3,015 | |
3.50%, 03/20/2047 | | | 2,561 | | | | 2,518 | |
3.50%, 04/20/2047 | | | 315 | | | | 309 | |
3.50%, 05/20/2047 | | | 3,150 | | | | 3,104 | |
3.50%, 07/20/2047 | | | 2,580 | | | | 2,539 | |
3.50%, 08/20/2047 | | | 281 | | | | 277 | |
3.50%, 11/20/2047 | | | 5,559 | | | | 5,466 | |
3.50%, 12/20/2047 | | | 923 | | | | 907 | |
3.50%, 04/20/2048 | | | 2,621 | | | | 2,560 | |
3.50%, 06/20/2049 | | | 913 | | | | 893 | |
3.50%, 11/20/2049 | | | 3,601 | | | | 3,542 | |
3.50%, 08/20/2050 | | | 7,463 | | | | 7,264 | |
3.50%, 01/20/2051 | | | 9,436 | | | | 9,367 | |
3.50%, 06/20/2051 | | | 1,977 | | | | 1,924 | |
3.50%, 02/20/2052 | | | 2,121 | | | | 2,074 | |
3.50%, 02/20/2052 | | | 3,592 | | | | 3,499 | |
3.50%, 02/20/2052 | | | 5,238 | | | | 5,137 | |
3.69% (1 Year CMT Index + 1.64%, 1.64% Floor, 8.69% Cap), 05/20/2072(3) | | | 9,518 | | | | 9,857 | |
4.00%, 10/20/2040 | | | 922 | | | | 937 | |
4.00%, 06/20/2042 | | | 1,282 | | | | 1,312 | |
4.00%, 10/20/2042 | | | 2,916 | | | | 2,962 | |
4.00%, 12/20/2042 | | | 1,471 | | | | 1,495 | |
4.00%, 02/20/2043 | | | 609 | | | | 619 | |
4.00%, 10/20/2043 | | | 1,695 | | | | 1,709 | |
4.00%, 11/20/2044 | | | 950 | | | | 959 | |
4.00%, 12/20/2044 | | | 700 | | | | 705 | |
4.00%, 03/20/2045 | | | 189 | | | | 190 | |
4.00%, 05/20/2045 | | | 2,238 | | | | 2,256 | |
4.00%, 06/20/2045 | | | 445 | | | | 449 | |
4.00%, 08/20/2045 | | | 4,379 | | | | 4,421 | |
4.00%, 10/20/2045 | | | 1,351 | | | | 1,362 | |
4.00%, 11/20/2045 | | | 1,928 | | | | 1,947 | |
4.00%, 12/20/2045 | | | 51 | | | | 51 | |
4.00%, 01/20/2046 | | | 636 | | | | 641 | |
4.00%, 02/20/2046 | | | 216 | | | | 218 | |
4.00%, 03/20/2046 | | | 417 | | | | 417 | |
4.00%, 04/20/2046 | | | 1,073 | | | | 1,075 | |
4.00%, 05/20/2046 | | | 1,804 | | | | 1,819 | |
4.00%, 06/20/2046 | | | 871 | | | | 880 | |
4.00%, 11/20/2046 | | | 760 | | | | 766 | |
4.00%, 02/20/2047 | | | 1,122 | | | | 1,129 | |
4.00%, 03/20/2047 | | | 2,281 | | | | 2,295 | |
4.00%, 05/20/2047 | | | 179 | | | | 179 | |
4.00%, 05/20/2047 | | | 189 | | | | 190 | |
4.00%, 06/20/2047 | | | 1,416 | | | | 1,425 | |
4.00%, 07/20/2047 | | | 3,228 | | | | 3,248 | |
4.00%, 09/20/2047 | | | 1,044 | | | | 1,051 | |
4.00%, 12/20/2047 | | | 1,490 | | | | 1,502 | |
4.00%, 01/20/2048 | | | 840 | | | | 844 | |
4.00%, 06/20/2048 | | | 2,506 | | | | 2,518 | |
4.00%, 01/20/2050 | | | 3,000 | | | | 3,015 | |
4.00%, 12/20/2051 | | | 4,725 | | | | 4,722 | |
4.00%, 12/20/2051 | | | 11,576 | | | | 11,570 | |
4.25%, 12/20/2047 | | | 1,140 | | | | 1,150 | |
4.50%, 06/20/2040 | | | 321 | | | | 335 | |
4.50%, 01/20/2041 | | | 286 | | | | 301 | |
4.50%, 03/20/2041 | | | 252 | | | | 261 | |
4.50%, 05/20/2041 | | | 125 | | | | 130 | |
4.50%, 06/20/2041 | | | 897 | | | | 937 | |
4.50%, 09/20/2041 | | | 305 | | | | 319 | |
4.50%, 09/20/2043 | | | 699 | | | | 738 | |
4.50%, 10/20/2043 | | | 1,324 | | | | 1,395 | |
4.50%, 12/20/2043 | | | 728 | | | | 768 | |
| | | | | | | | |
4.50%, 10/20/2045 | | | 7,844 | | | | 8,219 | |
4.50%, 01/20/2046 | | | 1,115 | | | | 1,168 | |
4.50%, 07/20/2046 | | | 506 | | | | 530 | |
4.50%, 09/20/2046 | | | 970 | | | | 995 | |
4.50%, 11/20/2046 | | | 1,471 | | | | 1,549 | |
4.50%, 03/20/2047 | | | 268 | | | | 278 | |
4.50%, 07/20/2047 | | | 2,572 | | | | 2,664 | |
4.50%, 08/20/2047 | | | 658 | | | | 683 | |
4.50%, 09/20/2047 | | | 3,468 | | | | 3,595 | |
4.50%, 01/20/2048 | | | 503 | | | | 518 | |
4.50%, 02/20/2048 | | | 2,210 | | | | 2,277 | |
4.50%, 03/20/2048 | | | 244 | | | | 252 | |
4.50%, 04/20/2048 | | | 207 | | | | 212 | |
4.50%, 04/20/2048 | | | 1,402 | | | | 1,443 | |
4.50%, 04/20/2048 | | | 1,433 | | | | 1,471 | |
4.50%, 04/20/2048 | | | 1,659 | | | | 1,722 | |
4.50%, 05/20/2048 | | | 926 | | | | 944 | |
4.50%, 05/20/2048 | | | 2,181 | | | | 2,210 | |
4.50%, 05/20/2048 | | | 2,815 | | | | 2,916 | |
4.50%, 09/20/2048 | | | 501 | | | | 510 | |
4.50%, 11/20/2049 | | | 6,246 | | | | 6,499 | |
5.00%, 10/20/2037 | | | 188 | | | | 200 | |
5.00%, 07/20/2040 | | | 84 | | | | 89 | |
5.00%, 06/20/2044 | | | 371 | | | | 395 | |
5.00%, 07/20/2044 | | | 336 | | | | 357 | |
5.00%, 08/20/2045 | | | 399 | | | | 420 | |
5.00%, 09/20/2046 | | | 950 | | | | 1,009 | |
5.00%, 10/20/2047 | | | 129 | | | | 134 | |
5.00%, 11/20/2047 | | | 691 | | | | 717 | |
5.00%, 06/20/2048 | | | 1,003 | | | | 1,046 | |
5.00%, 07/20/2048 | | | 319 | | | | 336 | |
5.00%, 07/20/2048 | | | 2,093 | | | | 2,160 | |
5.00%, 02/20/2049 | | | 3,487 | | | | 3,590 | |
5.00%, 07/20/2049 | | | 282 | | | | 298 | |
5.00%, 08/20/2049 | | | 6,207 | | | | 6,535 | |
5.00%, 09/20/2049 | | | 3,532 | | | | 3,643 | |
5.00%, 05/20/2052 | | | 3,671 | | | | 3,768 | |
5.50%, 09/20/2039 | | | 60 | | | | 66 | |
6.00%, 03/20/2028 | | | 3 | | | | 3 | |
6.00%, 11/20/2033 | | | 2 | | | | 3 | |
6.00%, 09/20/2038 | | | 221 | | | | 241 | |
6.00%, 11/20/2038 | | | 1 | | | | 1 | |
6.00%, 08/20/2039 | | | 104 | | | | 114 | |
6.50%, 07/20/2029 | | | 37 | | | | 39 | |
7.00%, 08/20/2038 | | | 9 | | | | 11 | |
7.50%, 02/20/2028 | | | 1 | | | | 1 | |
7.50%, 09/20/2028 | | | 2 | | | | 2 | |
8.00%, 12/20/2025(7) | | | 0 | | | | 0 | |
8.00%, 06/20/2026 | | | 1 | | | | 1 | |
8.00%, 08/20/2026(7) | | | 0 | | | | 0 | |
8.00%, 09/20/2026 | | | 1 | | | | 1 | |
8.00%, 11/20/2026(7) | | | 0 | | | | 0 | |
8.00%, 10/20/2027 | | | 1 | | | | 1 | |
8.00%, 11/20/2027 | | | 1 | | | | 1 | |
8.00%, 12/20/2027 | | | 1 | | | | 1 | |
8.00%, 08/20/2028(7) | | | 0 | | | | 0 | |
8.00%, 09/20/2028(7) | | | 0 | | | | 0 | |
8.50%, 03/20/2025(7) | | | 0 | | | | 0 | |
8.50%, 04/20/2025(7) | | | 0 | | | | 0 | |
8.50%, 05/20/2025(7) | | | 0 | | | | 0 | |
GMACM Mortgage Loan Trust 2005-AR3 | | | | | | | | |
3.18%, 06/19/2035, Series 2005-AR3, Class 3A4(4) | | | 37 | | | | 35 | |
GS Mortgage Securities Corp. II | | | | | | | | |
4.26%, 07/10/2051, Series 2018-GS10, Class A3(4) | | | 28,521 | | | | 28,634 | |
GS Mortgage Securities Corp. Trust 2021-RENT | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 11/21/2035, Series 2021-RENT, Class A(1)(3) | | | 5,072 | | | | 4,958 | |
GS Mortgage Securities Trust 2013-GC13 | | | | | | | | |
3.87%, 07/10/2046, Series 2013-GC13, Class A4(4) | | | 5,880 | | | | 5,849 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
1.18%, 11/10/2046, Series 2013-GC16, Class XA(4) | | | 15,424 | | | | 154 | |
GS Mortgage Securities Trust 2013-GCJ12 | | | | | | | | |
3.14%, 06/10/2046, Series 2013-GC12, Class A4 | | | 1,260 | | | | 1,247 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
4.07%, 01/10/2047, Series 2014-GC18, Class A4 | | | 8,419 | | | | 8,389 | |
GS Mortgage Securities Trust 2014-GC26 | | | | | | | | |
3.36%, 11/10/2047, Series 2014-GC26, Class A4 | | | 5,452 | | | | 5,312 | |
GS Mortgage Securities Trust 2015-GC28 | | | | | | | | |
3.14%, 02/10/2048, Series 2015-GC28, Class A4 | | | 8,290 | | | | 8,067 | |
GS Mortgage Securities Trust 2016-GS4 | | | | | | | | |
3.18%, 11/10/2049, Series 2016-GS4, Class A3 | | | 11,387 | | | | 10,845 | |
3.44%, 11/10/2049, Series 2016-GS4, Class A4(4) | | | 1,317 | | | | 1,267 | |
GS Mortgage Securities Trust 2020-GC45 | | | | | | | | |
2.91%, 02/13/2053, Series 2020-GC45, Class A5 | | | 2,550 | | | | 2,304 | |
GSMPS Mortgage Loan Trust 2004-4 | | | | | | | | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034, Series 2004-4, Class 1AF(1)(3) | | | 39 | | | | 33 | |
| | | | | | | | |
GSMPS Mortgage Loan Trust 2005-RP2 | | | | | | | | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035, Series 2005-RP2, Class 1AF(1)(3) | | | 66 | | | | 64 | |
GSMPS Mortgage Loan Trust 2005-RP3 | | | | | | | | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035, Series 2005-RP3,
Class 1AF(1)(3) | | | 451 | | | | 391 | |
3.14%, 09/25/2035, Series 2005-RP3, Class 1AS(1)(4) | | | 332 | | | | 11 | |
GSR Mortgage Loan Trust 2003-3F | | | | | | | | |
5.75%, 04/25/2033, Series 2003-3F, Class 4A3 | | | 6 | | | | 6 | |
GSR Mortgage Loan Trust 2004-13F | | | | | | | | |
6.00%, 11/25/2034, Series 2004-13F, Class 3A3 | | | 24 | | | | 23 | |
GSR Mortgage Loan Trust 2004-6F | | | | | | | | |
5.50%, 05/25/2034, Series 2004-6F, Class 2A4 | | | 29 | | | | 28 | |
6.50%, 05/25/2034, Series 2004-6F, Class 3A4 | | | 23 | | | | 22 | |
GSR Mortgage Loan Trust 2005-5F | | | | | | | | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035, Series 2005-5F, Class 8A3(3) | | | 11 | | | | 11 | |
GSR Mortgage Loan Trust 2005-7F | | | | | | | | |
6.00%, 09/25/2035, Series 2005-7F, Class 3A9 | | | 57 | | | | 56 | |
GSR Mortgage Loan Trust 2005-AR6 | | | | | | | | |
3.00%, 09/25/2035, Series 2005-AR6, Class 3A1(4) | | | 3 | | | | 3 | |
GSR Mortgage Loan Trust 2006-1F | | | | | | | | |
5.50%, 02/25/2036, Series 2006-1F, Class 1A3 | | | 15 | | | | 26 | |
6.00%, 02/25/2036, Series 2006-1F, Class 2A4 | | | 186 | | | | 107 | |
Headlands Residential LLC | | | | | | | | |
3.88%, 11/25/2024, Series 2017-RPL1, Class A(1)(2) | | | 2,268 | | | | 2,246 | |
Home Re 2018-1 Ltd. | | | | | | | | |
3.22% (1 Month LIBOR USD + 1.60%), 10/25/2028, Series 2018-1, Class M1(1)(3) | | | 223 | | | | 223 | |
Home RE 2019-1 Ltd. | | | | | | | | |
3.27% (1 Month LIBOR USD + 1.65%), 05/25/2029, Series 2019-1, Class M1(1)(3) | | | 513 | | | | 512 | |
Home RE 2021-2 Ltd. | | | | | | | | |
2.18% (30-day Average SOFR + 1.25%), 01/25/2034, Series 2021-2, Class M1A(1)(3) | | | 5,391 | | | | 5,349 | |
Home RE 2022-1 Ltd. | | | | | | | | |
3.78% (30-day Average SOFR + 2.85%), 10/25/2034, Series 2022-1, Class M1A(1)(3) | | | 8,800 | | | | 8,748 | |
HPA 2022-SFR1 | | | | | | | | |
3.95%, 04/15/2026(4)(6) | | | 9,833 | | | | 9,833 | |
Impac CMB Trust Series 2004-4 | | | | | | | | |
5.29%, 09/25/2034, Series 2004-4, Class 2A2(2) | | | 6 | | | | 6 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034, Series 2004-7, Class 1A1(3) | | | 338 | | | | 335 | |
Impac CMB Trust Series 2005-4 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 10.25% Cap), 05/25/2035, Series 2005-4, Class 2A1(3) | | | 81 | | | | 73 | |
Impac Secured Assets CMN Owner Trust | | | | | | | | |
5.50%, 08/25/2033, Series 2003-2, Class A1 | | | 38 | | | | 32 | |
Impac Secured Assets Trust 2006-1 | | | | | | | | |
2.32% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.50% Cap), 05/25/2036, Series 2006-1, Class 2A1(3) | | | 53 | | | | 49 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.76%, 07/10/2035, Series 2018-INDP, Class A(1) | | | 5,445 | | | | 5,286 | |
JP Morgan Alternative Loan Trust | | | | | | | | |
3.19%, 03/25/2036, Series 2006-A1, Class 2A1(4) | | | 18 | | | | 17 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | | | | | | | | |
0.21%, 08/12/2037, Series 2005-CB11, Class X1(1)(4)(7) | | | 806 | | | | 0 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | | | | | | | | |
0.45%, 06/12/2043, Series 2006-CB15, Class X1(4)(7) | | | 796 | | | | 0 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | | | | | | | | |
0.00%, 02/15/2051, Series 2007-LD12, Class X(4)(7) | | | 820 | | | | 0 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | | | | | | | | |
2.96%, 04/15/2046, Series 2013-LC11, Class A5 | | | 7,152 | | | | 7,079 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD | | | | | | | | |
2.32% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 09/15/2029, Series 2019-BKWD, Class A(1)(3) | | | 7,918 | | | | 7,798 | |
JP Morgan Mortgage Trust 2004-A3 | | | | | | | | |
3.64%, 07/25/2034, Series 2004-A3, Class 4A1(4) | | | 2 | | | | 2 | |
JP Morgan Mortgage Trust 2004-A4 | | | | | | | | |
3.08%, 09/25/2034, Series 2004-A4, Class 1A1(4) | | | 12 | | | | 11 | |
JP Morgan Mortgage Trust 2004-S1 | | | | | | | | |
5.00%, 09/25/2034, Series 2004-S1, Class 1A7 | | | 2 | | | | 2 | |
JP Morgan Mortgage Trust 2005-A1 | | | | | | | | |
2.72%, 02/25/2035, Series 2005-A1, Class 3A4(4) | | | 35 | | | | 34 | |
JP Morgan Mortgage Trust 2005-A4 | | | | | | | | |
2.90%, 07/25/2035, Series 2005-A4, Class 1A1(4) | | | 18 | | | | 18 | |
JP Morgan Mortgage Trust 2006-A2 | | | | | | | | |
2.28%, 11/25/2033, Series 2006-A2, Class 5A3(4) | | | 97 | | | | 95 | |
3.09%, 08/25/2034, Series 2006-A2, Class 4A1(4) | | | 206 | | | | 208 | |
JP Morgan Mortgage Trust 2006-A3 | | | | | | | | |
2.77%, 08/25/2034, Series 2006-A3, Class 6A1(4) | | | 34 | | | | 33 | |
JP Morgan Mortgage Trust 2006-A7 | | | | | | | | |
3.17%, 01/25/2037, Series 2006-A7, Class 2A2(4) | | | 30 | | | | 27 | |
3.17%, 01/25/2037, Series 2006-A7, Class 2A4R(4) | | | 53 | | | | 47 | |
JP Morgan Mortgage Trust 2007-A1 | | | | | | | | |
2.42%, 07/25/2035, Series 2007-A1, Class 5A1(4) | | | 24 | | | | 24 | |
2.42%, 07/25/2035, Series 2007-A1, Class 5A2(4) | | | 371 | | | | 364 | |
JP Morgan Mortgage Trust 2007-A2 | | | | | | | | |
2.98%, 04/25/2037, Series 2007-A2, Class 2A3(4) | | | 99 | | | | 87 | |
JPMBB Commercial Mortgage Securities Trust 2013-C17 | | | | | | | | |
3.93%, 01/15/2047, Series 2013-C17, Class A3 | | | 2,138 | | | | 2,103 | |
JPMBB Commercial Mortgage Securities Trust 2014-C19 | | | | | | | | |
3.67%, 04/15/2047, Series 2014-C19, Class A3 | | | 552 | | | | 551 | |
| | | | | | | | |
JPMBB Commercial Mortgage Securities Trust 2014-C25 | | | | | | | | |
3.41%, 11/15/2047, Series 2014-C25, Class A4A1 | | | 6,795 | | | | 6,679 | |
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | | | | | | | | |
3.46%, 03/15/2050, Series 2017-JP5, Class A4 | | | 8,479 | | | | 8,349 | |
JPMCC Commercial Mortgage Securities Trust 2017-JP7 | | | | | | | | |
3.19%, 09/15/2050, Series 2017-JP7, Class A4 | | | 20,000 | | | | 18,808 | |
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | | | | | | | | |
3.99%, 02/15/2036, Series 2013-GCP, Class A2(1) | | | 1,027 | | | | 981 | |
LCCM 2017-LC26 | | | | | | | | |
3.29%, 07/12/2050, Series 2017-LC26, Class A3(1) | | | 17,328 | | | | 16,490 | |
Legacy Mortgage Asset Trust 2019-GS6 | | | | | | | | |
3.00%, 06/25/2059, Series 2019-GS6, Class A1(1)(2) | | | 639 | | | | 638 | |
Legacy Mortgage Asset Trust 2019-PR1 | | | | | | | | |
3.86%, 09/25/2059, Series 2019-PR1, Class A1(1)(2) | | | 12,032 | | | | 12,021 | |
Legacy Mortgage Asset Trust 2020-GS1 | | | | | | | | |
2.88%, 10/25/2059, Series 2020-GS1, Class A1(1)(2) | | | 4,274 | | | | 4,245 | |
Legacy Mortgage Asset Trust 2021-GS1 | | | | | | | | |
1.89%, 10/25/2066, Series 2021-GS1, Class A1(1)(2) | | | 5,424 | | | | 5,251 | |
Legacy Mortgage Asset Trust 2021-GS2 | | | | | | | | |
1.75%, 04/25/2061, Series 2021-GS2, Class A1(1)(2) | | | 5,593 | | | | 5,243 | |
Legacy Mortgage Asset Trust 2021-GS4 | | | | | | | | |
1.65%, 11/25/2060, Series 2021-GS4, Class A1(1)(2) | | | 2,387 | | | | 2,213 | |
Lehman Mortgage Trust 2006-2 | | | | | | | | |
5.92%, 04/25/2036, Series 2006-2, Class 1A1(4) | | | 42 | | | | 30 | |
Lehman Mortgage Trust 2007-6 | | | | | | | | |
6.00%, 07/25/2037, Series 2007-6, Class 1A8 | | | 12 | | | | 10 | |
Lehman Mortgage Trust 2008-2 | | | | | | | | |
6.00%, 03/25/2038, Series 2008-2, Class 1A6 | | | 229 | | | | 90 | |
LHOME Mortgage Trust 2021-RTL1 | | | | | | | | |
2.09%, 09/25/2026, Series 2021-RTL1, Class A1(1)(4) | | | 4,790 | | | | 4,590 | |
MASTR Adjustable Rate Mortgages Trust 2004-13 | | | | | | | | |
2.68%, 04/21/2034, Series 2004-13, Class 2A1(4) | | | 59 | | | | 57 | |
MASTR Adjustable Rate Mortgages Trust 2004-15 | | | | | | | | |
2.44%, 12/25/2034, Series 2004-15, Class 3A1(4) | | | 8 | | | | 8 | |
MASTR Adjustable Rate Mortgages Trust 2004-3 | | | | | | | | |
2.28%, 04/25/2034, Series 2004-3, Class 4A2(4) | | | 19 | | | | 17 | |
MASTR Alternative Loan Trust 2003-9 | | | | | | | | |
6.00%, 12/25/2033, Series 2003-9, Class 2A1 | | | 22 | | | | 21 | |
6.00%, 01/25/2034, Series 2003-9, Class 8A1 | | | 13 | | | | 13 | |
MASTR Alternative Loan Trust 2004-3 | | | | | | | | |
6.00%, 04/25/2034, Series 2004-3, Class 3A1 | | | 130 | | | | 124 | |
6.25%, 04/25/2034, Series 2004-3, Class 2A1 | | | 23 | | | | 22 | |
MASTR Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2034, Series 2004-6, Class 30PO | | | 15 | | | | 11 | |
6.00%, 07/25/2034, Series 2004-6, Class 7A1 | | | 11 | | | | 11 | |
MASTR Alternative Loan Trust 2004-7 | | | | | | | | |
0.00%, 08/25/2034, Series 2004-7, Class 30PO | | | 11 | | | | 9 | |
MASTR Alternative Loan Trust 2005-6 | | | | | | | | |
5.50%, 12/25/2035, Series 2005-6, Class 3A1 | | | 8 | | | | 6 | |
MASTR Asset Securitization Trust 2003-12 | | | | | | | | |
0.00%, 12/25/2033, Series 2003-12, Class 30PO | | | 1 | | | | 1 | |
5.00%, 12/25/2033, Series 2003-12, Class 6A1 | | | 8 | | | | 7 | |
MASTR Asset Securitization Trust 2004-1 | | | | | | | | |
0.00%, 02/25/2034, Series 2004-1, Class 30PO | | | 1 | | | | 1 | |
MASTR Asset Securitization Trust 2004-4 | | | | | | | | |
5.25%, 12/26/2033, Series 2004-4, Class 1A6 | | | 20 | | | | 20 | |
MASTR Reperforming Loan Trust 2005-2 | | | | | | | | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035, Series 2005-2, Class 1A1F(1)(3) | | | 677 | | | | 371 | |
MASTR Reperforming Loan Trust 2006-2 | | | | | | | | |
4.04%, 05/25/2036, Series 2006-2, Class 1A1(1)(4) | | | 73 | | | | 62 | |
MASTR Resecuritization Trust 2005-PO | | | | | | | | |
0.00%, 05/28/2035, Series 2005-PO, Class 3PO(1) | | | 11 | | | | 9 | |
Mello Warehouse Securitization Trust 2021-1 | | | | | | | | |
1.37% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 02/25/2055, Series 2021-1, Class A(1)(3) | | | 8,500 | | | | 8,353 | |
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | | | | | | | | |
1.57%, 06/25/2037, Series 2007-3, Class 1A3(4) | | | 36 | | | | 33 | |
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | | | | | | | | |
2.41%, 08/25/2033, Series 2003-A5, Class 2A6(4) | | | 14 | | | | 13 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | | | | | | | | |
2.24% (1 Month LIBOR USD + 0.62%, 0.62% Floor, 11.75% Cap), 10/25/2028, Series 2003-E, Class A1(3) | | | 37 | | | | 35 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 11.75% Cap), 10/25/2028, Series 2003-F, Class A1(3) | | | 39 | | | | 37 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | | | | | | | | |
2.29%, 12/25/2034, Series 2004-1, Class 2A1(4) | | | 37 | | | | 35 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | | | | | | | | |
2.08% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 11.75% Cap), 04/25/2029, Series 2004-A, Class A1(3) | | | 13 | | | | 12 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | | | | | | | | |
3.44% (6 Month LIBOR USD + 0.60%, 0.60% Floor, 11.75% Cap), 07/25/2029, Series 2004-C, Class A2(3) | | | 23 | | | | 22 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | | | | | | | | |
2.96%, 08/25/2034, Series 2004-A4, Class A2(4) | | | 36 | | | | 34 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | | | | | | | | |
2.82%, 02/25/2035, Series 2005-A2, Class A1(4) | | | 61 | | | | 59 | |
| | | | | | | | |
MFA 2021-RPL1 Trust | | | | | | | | |
1.13%, 07/25/2060, Series 2021-RPL1, Class A1(1)(4) | | | 10,934 | | | | 10,068 | |
MHC Commercial Mortgage Trust 2021-MHC | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 04/15/2038, Series 2021-MHC, Class C(1)(3) | | | 11,300 | | | | 10,704 | |
Mill City Mortgage Loan Trust 2021-NMR1 | | | | | | | | |
1.13%, 11/25/2060, Series 2021-NMR1, Class A1(1)(4) | | | 2,190 | | | | 2,058 | |
Mill City Securities 2021-RS1 Ltd. | | | | | | | | |
2.91%, 04/28/2066, Series 2021-RS1, Class A1(1)(4) | | | 8,118 | | | | 7,663 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | | | | | | | | |
3.25%, 02/15/2048, Series 2015-C20, Class A4 | | | 3,652 | | | | 3,563 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | | | | | | | | |
3.45%, 07/15/2050, Series 2015-C23, Class A3 | | | 17,607 | | | | 17,087 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
3.48%, 05/15/2048, Series 2015-C24, Class A3 | | | 4,574 | | | | 4,451 | |
3.73%, 05/15/2048, Series 2015-C24, Class A4 | | | 6,507 | | | | 6,398 | |
Morgan Stanley Capital I Trust 2016-UB11 | | | | | | | | |
2.53%, 08/15/2049, Series 2016-UB11, Class A3 | | | 20,000 | | | | 18,723 | |
Morgan Stanley Capital I Trust 2018-H4 | | | | | | | | |
4.31%, 12/15/2051, Series 2018-H4, Class A4 | | | 2,552 | | | | 2,520 | |
Morgan Stanley Mortgage Loan Trust 2004-3 | | | | | | | | |
5.65%, 04/25/2034, Series 2004-3, Class 4A(4) | | | 93 | | | | 91 | |
Morgan Stanley Mortgage Loan Trust 2004-9 | | | | | | | | |
3.21%, 10/01/2022, Series 2004-9, Class 4A(4) | | | 7 | | | | 7 | |
Mortgage Repurchase Agreement Financing Trust Series 2021-1 | | | | | | | | |
1.70% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 09/10/2022, Series 2021-S1, Class A1(1)(3) | | | 10,400 | | | | 10,399 | |
MRA Issuance Trust 2020-7 | | | | | | | | |
2.36% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 09/15/2022, Series 2020-7, Class A(1)(3) | | | 13,360 | | | | 13,350 | |
MRA Issuance Trust 2021-9 | | | | | | | | |
0.00%, 07/15/2022(4)(6) | | | 12,780 | | | | 12,780 | |
MRA Issuance Trust 2021-EBO2 | | | | | | | | |
0.00%, 04/05/2023, Series 2021-EBO2(1)(4) | | | 14,100 | | | | 13,875 | |
MRA Issuance Trust 2021-EBO5 | | | | | | | | |
1.84% (1 Month LIBOR USD + 1.75%), 02/15/2023, Series 2021-EBO5, Class A1X(1)(3) | | | 16,400 | | | | 15,766 | |
MRCD 2019-MARK Mortgage Trust | | | | | | | | |
2.72%, 12/15/2036, Series 2019-PARK, Class D(1) | | | 6,108 | | | | 5,571 | |
2.72%, 12/15/2036, Series 2019-PARK, Class A(1) | | | 9,990 | | | | 9,492 | |
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | | | | | | | | |
1.80% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030, Series 2000-TBC2, Class A1(3) | | | 78 | | | | 74 | |
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | | | | | | | | |
1.76% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030, Series 2000-TBC3, Class A1(3) | | | 19 | | | | 19 | |
NACC Reperforming Loan REMIC Trust 2004-R2 | | | | | | | | |
6.50%, 10/25/2034, Series 2004-R2, Class A1(1)(4) | | | 35 | | | | 31 | |
New Residential Mortgage Loan Trust 2017-2 | | | | | | | | |
4.00%, 03/25/2057, Series 2017-2A, Class A3(1)(4) | | | 1,664 | | | | 1,620 | |
New Residential Mortgage Loan Trust 2017-3 | | | | | | | | |
4.00%, 04/25/2057, Series 2017-3A, Class A1(1)(4) | | | 2,753 | | | | 2,694 | |
New Residential Mortgage Loan Trust 2017-4 | | | | | | | | |
4.00%, 05/25/2057, Series 2017-4A, Class A1(1)(4) | | | 1,595 | | | | 1,546 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A1 | | | | | | | | |
5.50%, 05/25/2033, Series 2003-A1, Class A1 | | | 2 | | | | 2 | |
6.00%, 05/25/2033, Series 2003-A1, Class A2 | | | 8 | | | | 8 | |
7.00%, 04/25/2033, Series 2003-A1, Class A5 | | | 8 | | | | 8 | |
Oaktown Re II Ltd. | | | | | | | | |
3.17% (1 Month LIBOR USD + 1.55%), 07/25/2028, Series 2018-1A, Class M1(1)(3) | | | 547 | | | | 546 | |
Oaktown Re III Ltd. | | | | | | | | |
3.02% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/25/2029, Series 2019-1A, Class M1A(1)(3) | | | 146 | | | | 146 | |
Oaktown Re VII Ltd. | | | | | | | | |
2.53% (30-day Average SOFR + 1.60%, 1.60% Floor), 04/25/2034, Series 2021-2, Class M1A(1)(3) | | | 15,350 | | | | 15,066 | |
OBX 2022-NQM2 Trust | | | | | | | | |
2.94%, 01/25/2062, Series 2022-NQM2, Class A1(1)(4) | | | 8,800 | | | | 8,174 | |
OBX 2022-NQM5 Trust | | | | | | | | |
4.31%, 05/25/2062, Series 2022-NQM5, Class A1(1)(2) | | | 10,575 | | | | 10,429 | |
PMT Credit Risk Transfer Trust 2020-2R | | | | | | | | |
5.47% (1 Month LIBOR USD + 3.82%, 3.82% Floor), 12/25/2022, Series 2020-2R, Class A(1)(3) | | | 5,574 | | | | 5,545 | |
PMT Credit Risk Transfer Trust 2021-1R | | | | | | | | |
4.52% (1 Month LIBOR USD + 2.90%, 2.90% Floor), 02/27/2024, Series 2021-1R, Class A(1)(3) | | | 10,622 | | | | 10,357 | |
Prime Mortgage Trust 2004-CL1 | | | | | | | | |
6.00%, 02/25/2034, Series 2004-CL1, Class 1A1 | | | 32 | | | | 31 | |
PRPM 2021-1 LLC | | | | | | | | |
2.12%, 01/25/2026, Series 2021-1, Class A1(1)(4) | | | 7,356 | | | | 6,987 | |
PRPM 2021-10 LLC | | | | | | | | |
2.49%, 10/25/2026, Series 2021-10, Class A1(1)(2) | | | 2,194 | | | | 2,073 | |
PRPM 2021-2 LLC | | | | | | | | |
2.12%, 03/25/2026, Series 2021-2, Class A1(1)(4) | | | 7,309 | | | | 6,963 | |
PRPM 2021-3 LLC | | | | | | | | |
1.87%, 04/25/2026, Series 2021-3, Class A1(1)(2) | | | 2,128 | | | | 2,006 | |
PRPM 2021-5 LLC | | | | | | | | |
1.79%, 06/25/2026, Series 2021-5, Class A1(1)(2) | | | 2,618 | | | | 2,450 | |
PRPM 2021-9 LLC | | | | | | | | |
2.36%, 10/25/2026, Series 2021-9, Class A1(1)(2) | | | 1,865 | | | | 1,751 | |
PRPM 2021-RPL1 LLC | | | | | | | | |
1.32%, 07/25/2051, Series 2021-RPL1, Class A1(1)(2) | | | 3,516 | | | | 3,242 | |
| | | | | | | | |
Radnor Re 2018-1 Ltd. | | | | | | | | |
3.02% (1 Month LIBOR USD + 1.40%), 03/25/2028, Series 2018-1, Class M1(1)(3) | | | 192 | | | | 192 | |
Radnor RE 2020-1 Ltd. | | | | | | | | |
2.57% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 01/25/2030, Series 2020-1, Class M1A(1)(3) | | | 1,100 | | | | 1,077 | |
RALI Series 2002-QS16 Trust | | | | | | | | |
13.23% (1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2049, Series 2002-QS16, Class A3(3)(5)(7) | | | 0 | | | | 0 | |
RALI Series 2003-QS9 Trust | | | | | | | | |
5.93% (1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2049, Series 2003-QS9, Class A3(3)(5)(7) | | | 1 | | | | 0 | |
RALI Series 2004-QS6 Trust | | | | | | | | |
5.00%, 05/25/2023, Series 2004-QS6, Class A1 | | | 1 | | | | 1 | |
RALI Series 2005-QA6 Trust | | | | | | | | |
4.30%, 05/25/2035, Series 2005-QA6, Class A32(4) | | | 81 | | | | 52 | |
RALI Series 2007-QS1 Trust | | | | | | | | |
6.00%, 01/25/2037, Series 2007-QS1, Class 1A1 | | | 10 | | | | 8 | |
RBS Commercial Funding, Inc. 2013-SMV Trust | | | | | | | | |
3.26%, 03/11/2031, Series 2013-SMV, Class A(1) | | | 512 | | | | 504 | |
RCO VI Mortgage LLC 2022-1 | | | | | | | | |
3.00%, 01/25/2027, Series 2022-1, Class A1(1)(2) | | | 9,526 | | | | 9,065 | |
Reperforming Loan REMIC Trust 2005-R1 | | | | | | | | |
0.00%, 03/25/2035, Series 2005-R1, Class 2APO(1) | | | 4 | | | | 2 | |
Residential Asset Securitization Trust 2003-A8 | | | | | | | | |
4.25%, 10/01/2022, Series 2003-A8, Class A5 | | | 1 | | | | 1 | |
Residential Asset Securitization Trust 2004-A7 | | | | | | | | |
5.50%, 10/25/2034, Series 2004-A7, Class A6 | | | 1,260 | | | | 1,211 | |
Seasoned Credit Risk Transfer Trust 2017-4 | | | | | | | | |
3.50%, 06/25/2057, Series 2017-4, Class MT | | | 2,678 | | | | 2,615 | |
Seasoned Credit Risk Transfer Trust Series 2018-1 | | | | | | | | |
3.50%, 05/25/2057, Series 2018-1, Class M60C | | | 11,142 | | | | 10,974 | |
Seasoned Credit Risk Transfer Trust Series 2018-2 | | | | | | | | |
3.50%, 11/25/2057, Series 2018-2, Class MT | | | 6,211 | | | | 6,051 | |
Seasoned Credit Risk Transfer Trust Series 2018-4 | | | | | | | | |
3.50%, 03/25/2058, Series 2018-4, Class MZ | | | 9,094 | | | | 8,137 | |
Seasoned Credit Risk Transfer Trust Series 2019-1 | | | | | | | | |
3.50%, 07/25/2058, Series 2019-1, Class MT | | | 7,202 | | | | 7,015 | |
Seasoned Credit Risk Transfer Trust Series 2019-3 | | | | | | | | |
3.50%, 10/25/2058, Series 2019-3, Class MB | | | 3,880 | | | | 3,603 | |
Seasoned Credit Risk Transfer Trust Series 2019-4 | | | | | | | | |
4.00%, 02/25/2059, Series 2019-4, Class M55D | | | 4,914 | | | | 4,919 | |
Seasoned Credit Risk Transfer Trust Series 2020-1 | | | | | | | | |
3.00%, 08/25/2059, Series 2020-1, Class M55G | | | 5,992 | | | | 5,769 | |
Seasoned Credit Risk Transfer Trust Series 2020-3 | | | | | | | | |
2.00%, 05/25/2060, Series 2020-3, Class MT | | | 5,322 | | | | 4,772 | |
3.00%, 05/25/2060, Series 2020-3, Class M5TW | | | 6,459 | | | | 6,234 | |
Seasoned Credit Risk Transfer Trust Series 2022-1 | | | | | | | | |
3.25%, 11/25/2061, Series 2022-1, Class MTU | | | 9,662 | | | | 9,248 | |
Sequoia Mortgage Trust 2004-10 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.62%, 0.62% Floor, 11.50% Cap), 11/20/2034, Series 2004-10, Class A1A(3) | | | 23 | | | | 21 | |
Sequoia Mortgage Trust 2004-11 | | | | | | | | |
2.20% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.50% Cap), 12/20/2034, Series 2004-11, Class A1(3) | | | 67 | | | | 61 | |
Sequoia Mortgage Trust 2004-12 | | | | | | | | |
3.07% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035, Series 2004-12, Class A3(3) | | | 67 | | | | 62 | |
Sequoia Mortgage Trust 2004-8 | | | | | | | | |
1.51% (6 Month LIBOR USD + 0.74%, 0.74% Floor, 11.50% Cap), 09/20/2034, Series 2004-8, Class A2(3) | | | 67 | | | | 66 | |
2.30% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.50% Cap), 09/20/2034, Series 2004-8, Class A1(3) | | | 442 | | | | 401 | |
Series RR 2014-1 Trust | | | | | | | | |
0.00%, 05/25/2047, Series 2014-1, Class A(1) | | | 1,603 | | | | 1,459 | |
SLG Office Trust 2021-OVA | | | | | | | | |
2.59%, 07/15/2041, Series 2021-OVA, Class A(1) | | | 11,326 | | | | 9,607 | |
Starwood Mortgage Residential Trust 2022-1 | | | | | | | | |
2.45%, 12/25/2066, Series 2022-1, Class A1(1)(4) | | | 16,507 | | | | 15,349 | |
Structured Asset Mortgage Investments II Trust 2004-AR5 | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 11.00% Cap), 10/19/2034, Series 2004-AR5, Class 1A1(3) | | | 62 | | | | 59 | |
Structured Asset Mortgage Investments II Trust 2005-AR5 | | | | | | | | |
2.10% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/19/2035, Series 2005-AR5, Class A3(3) | | | 224 | | | | 208 | |
Structured Asset Mortgage Investments Trust 2003-CL1 | | | | | | | | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032, Series 2003-CL1, Class 1F1(3) | | | 123 | | | | 122 | |
Structured Asset Securities Corp. | | | | | | | | |
1.97% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035, Series 2005-RF3, Class 1A(1)(3) | | | 49 | | | | 46 | |
5.15%, 02/25/2034, Series 2004-4XS, Class 1A5(2) | | | 121 | | | | 113 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-34A | | | | | | | | |
3.03%, 11/25/2033, Series 2003-34A, Class 3A3(4) | | | 10 | | | | 10 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-37A | | | | | | | | |
2.31%, 12/25/2033, Series 2003-37A, Class 2A(4) | | | 89 | | | | 86 | |
2.79%, 12/25/2033, Series 2003-37A, Class 8A2(4) | | | 811 | | | | 795 | |
Thornburg Mortgage Securities Trust 2003-4 | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 11.50% Cap), 09/25/2043, Series 2003-4, Class A1(3) | | | 276 | | | | 266 | |
| | | | | | | | |
Thornburg Mortgage Securities Trust 2003-5 | | | | | | | | |
2.00%, 10/25/2043, Series 2003-5, Class 3A(4) | | | 1,280 | | | | 1,251 | |
Thornburg Mortgage Securities Trust 2004-4 | | | | | | | | |
1.94%, 12/25/2044, Series 2004-4, Class 3A(4) | | | 133 | | | | 127 | |
Thornburg Mortgage Securities Trust 2005-1 | | | | | | | | |
2.18%, 04/25/2045, Series 2005-1, Class A3(4) | | | 313 | | | | 302 | |
Toorak Mortgage Corp. 2019-2 Ltd. | | | | | | | | |
3.72%, 09/25/2022, Series 2019-2, Class A1(2) | | | 1,642 | | | | 1,635 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057, Series 2017-2, Class A1(1)(4) | | | 1,114 | | | | 1,106 | |
Towd Point Mortgage Trust 2017-6 | | | | | | | | |
2.75%, 10/25/2057, Series 2017-6, Class A1(1)(4) | | | 2,931 | | | | 2,864 | |
Towd Point Mortgage Trust 2018-1 | | | | | | | | |
3.00%, 01/25/2058, Series 2018-1, Class A1(1)(4) | | | 2,655 | | | | 2,606 | |
Towd Point Mortgage Trust 2019-1 | | | | | | | | |
3.66%, 03/25/2058, Series 2019-1, Class A1(1)(4) | | | 4,271 | | | | 4,167 | |
Towd Point Mortgage Trust 2019-HY3 | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2059, Series 2019-HY3, Class A1A(1)(3) | | | 1,077 | | | | 1,060 | |
Towd Point Mortgage Trust 2020-4 | | | | | | | | |
1.75%, 10/25/2060, Series 2020-4, Class A1(1) | | | 2,742 | | | | 2,517 | |
Towd Point Mortgage Trust 2021-R1 | | | | | | | | |
2.92%, 11/30/2060, Series 2021-R1, Class A1(1)(4) | | | 14,223 | | | | 12,646 | |
Towd Point Mortgage Trust 2021-SJ1 | | | | | | | | |
2.25%, 07/25/2068, Series 2021-SJ1, Class A1(1)(4) | | | 10,528 | | | | 10,217 | |
Towd Point Mortgage Trust 2021-SJ2 | | | | | | | | |
2.25%, 12/25/2061, Series 2021-SJ2, Class A1A(1)(4) | | | 15,493 | | | | 15,128 | |
UBS Commercial Mortgage Trust 2017-C2 | | | | | | | | |
3.26%, 08/15/2050, Series 2017-C2, Class ASB | | | 10,114 | | | | 9,908 | |
UBS Commercial Mortgage Trust 2017-C5 | | | | | | | | |
3.21%, 11/15/2050, Series 2017-C5, Class A4 | | | 21,500 | | | | 20,192 | |
UBS Commercial Mortgage Trust 2018-C9 | | | | | | | | |
3.85%, 03/15/2051, Series 2018-C9, Class A3 | | | 9,650 | | | | 9,328 | |
UBS-BAMLL Trust | | | | | | | | |
3.66%, 06/10/2030, Series 2012-WRM, Class A(1) | | | 57 | | | | 57 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
1.14%, 05/10/2063, Series 2012-C2, Class XA(1)(4)(7) | | | 1,163 | | | | 0 | |
3.53%, 05/10/2063, Series 2012-C2, Class A4 | | | 101 | | | | 101 | |
UBS-Barclays Commercial Mortgage Trust 2013-C6 | | | | | | | | |
3.24%, 04/10/2046, Series 2013-C6, Class A4 | | | 271 | | | | 269 | |
Vendee Mortgage Trust 1993-1 | | | | | | | | |
7.25%, 02/15/2023, Series 1993-1, Class ZB | | | 14 | | | | 14 | |
Vendee Mortgage Trust 1994-1 | | | | | | | | |
4.88%, 02/15/2024, Series 1994-1, Class 1(4) | | | 11 | | | | 11 | |
6.50%, 02/15/2024, Series 1994-1, Class 2ZB | | | 32 | | | | 32 | |
Vendee Mortgage Trust 1996-1 | | | | | | | | |
6.75%, 02/15/2026, Series 1996-1, Class 1Z | | | 42 | | | | 44 | |
Vendee Mortgage Trust 1996-2 | | | | | | | | |
6.75%, 06/15/2026, Series 1996-2, Class 1Z | | | 18 | | | | 19 | |
Vendee Mortgage Trust 1997-1 | | | | | | | | |
7.50%, 02/15/2027, Series 1997-1, Class 2Z | | | 61 | | | | 64 | |
Vendee Mortgage Trust 1998-1 | | | | | | | | |
7.00%, 03/15/2028, Series 1998-1, Class 2E | | | 43 | | | | 45 | |
VM Master Issuer LLC | | | | | | | | |
5.16%, 05/24/2025, Series 2022-1, Class A1(1)(4)(6) | | | 10,800 | | | | 10,287 | |
VOLT CV LLC | | | | | | | | |
2.49%, 11/27/2051, Series 2021-CF2, Class A1(1)(2) | | | 9,097 | | | | 8,716 | |
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | | | | | | | | |
0.00%, 03/15/2045, Series 2006-C24, Class XC(1)(4)(7) | | | 311 | | | | 0 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | | | | | | | | |
2.52%, 10/25/2033, Series 2003-AR11, Class A6(4) | | | 100 | | | | 95 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | | | | | | | | |
2.47%, 08/25/2033, Series 2003-AR7, Class A7(4) | | | 36 | | | | 34 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | | | | | | | | |
2.38%, 09/25/2033, Series 2003-AR9, Class 2A(4) | | | 21 | | | | 19 | |
2.53%, 09/25/2033, Series 2003-AR9, Class 1A6(4) | | | 199 | | | | 189 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | | | | | | | | |
5.50%, 04/25/2033, Series 2003-S1, Class A5 | | | 38 | | | | 37 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | | | | | | | | |
13.00% (1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033, Series 2003-S4, Class 2A10(3)(5) | | | 9 | | | | 9 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | | | | | | | | |
0.00%, 10/25/2033, Series 2003-S9, Class P | | | 2 | | | | 1 | |
5.25%, 10/25/2033, Series 2003-S9, Class A8 | | | 129 | | | | 123 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust | | | | | | | | |
2.81%, 01/25/2035, Series 2004-AR14, Class A1(4) | | | 1,128 | | | | 1,071 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | | | | | | | | |
3.08%, 06/25/2034, Series 2004-AR3, Class A2(4) | | | 53 | | | | 50 | |
3.08%, 06/25/2034, Series 2004-AR3, Class A1(4) | | | 938 | | | | 888 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | | | | | | | | |
6.00%, 08/25/2034, Series 2004-CB2, Class 3A | | | 350 | | | | 348 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | | | | | | | | |
6.50%, 10/25/2034, Series 2004-CB3, Class 2A | | | 1,087 | | | | 1,057 | |
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | | | | | | | | |
5.00%, 11/25/2033, Series 2004-RS2, Class A4 | | | 20 | | | | 20 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | | | | | | | | |
5.50%, 06/25/2034, Series 2004-S2, Class 2A4 | | | 86 | | | | 83 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | | | | | | | | |
5.00%, 07/25/2034, Series 2004-S3, Class 1A5 | | | 7 | | | | 6 | |
| | | | | | | | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | | | | | | | | |
2.83%, 09/25/2036, Series 2006-AR10, Class 2P(4) | | | 6 | | | | 5 | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | | | | | | | | |
2.85%, 08/25/2046, Series 2006-AR8, Class 1A2(4) | | | 30 | | | | 28 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | | | | | | | | |
0.00%, 03/25/2035, Series 2005-1, Class CP | | | 5 | | | | 4 | |
5.50%, 03/25/2035, Series 2005-1, Class 1A1 | | | 46 | | | | 44 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | | | | | | | | |
3.38% (1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035, Series 2005-2, Class 2A3(3)(5) | | | 97 | | | | 6 | |
3.43% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035, Series 2005-2, Class 1A4(3)(5) | | | 380 | | | | 24 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | | | | | | | | |
5.50%, 06/25/2035, Series 2005-4, Class CX | | | 137 | | | | 22 | |
5.50%, 06/25/2035, Series 2005-4, Class CB7 | | | 133 | | | | 125 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | | | | | | | | |
5.50%, 08/25/2035, Series 2005-6, Class 2A4 | | | 20 | | | | 17 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | | | | | | | | |
5.75%, 02/25/2036, Series 2006-1, Class 3A2 | | | 11 | | | | 10 | |
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | | | | | | | | |
0.00%, 03/25/2033, Series 2003-MS7, Class P(7) | | | 0 | | | | 0 | |
Wells Fargo Alternative Loan 2003-1 Trust | | | | | | | | |
0.00%, 09/25/2033, Series 2003-1, Class APO | | | 2 | | | | 2 | |
Wells Fargo Alternative Loan 2007-PA3 Trust | | | | | | | | |
5.75%, 07/25/2037, Series 2007-PA3, Class 1A2 | | | 12 | | | | 10 | |
Wells Fargo Commercial Mortgage Trust 2015-C26 | | | | | | | | |
2.99%, 02/15/2048, Series 2015-C26, Class ASB | | | 4,964 | | | | 4,895 | |
Wells Fargo Commercial Mortgage Trust 2015-C29 | | | | | | | | |
3.37%, 06/15/2048, Series 2015-C29, Class A3 | | | 7,527 | | | | 7,353 | |
Wells Fargo Commercial Mortgage Trust 2015-C30 | | | | | | | | |
3.66%, 09/15/2058, Series 2015-C30, Class A4 | | | 729 | | | | 717 | |
Wells Fargo Commercial Mortgage Trust 2015-C31 | | | | | | | | |
3.70%, 11/15/2048, Series 2015-C31, Class A4 | | | 3,280 | | | | 3,220 | |
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | | | | | | | | |
3.50%, 07/15/2058, Series 2015-NXS2, Class A4 | | | 15,000 | | | | 14,665 | |
Wells Fargo Commercial Mortgage Trust 2015-P2 | | | | | | | | |
3.81%, 12/15/2048, Series 2015-P2, Class A4 | | | 7,273 | | | | 7,174 | |
Wells Fargo Commercial Mortgage Trust 2016-C34 | | | | | | | | |
3.10%, 06/15/2049, Series 2016-C34, Class A4 | | | 3,698 | | | | 3,527 | |
Wells Fargo Commercial Mortgage Trust 2016-NXS6 | | | | | | | | |
2.64%, 11/15/2049, Series 2016-NXS6, Class A3 | | | 20,000 | | | | 18,955 | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.19%, 07/15/2050, Series 2017-C38, Class A4 | | | 13,441 | | | | 12,802 | |
Wells Fargo Commercial Mortgage Trust 2017-RC1 | | | | | | | | |
3.63%, 01/15/2060, Series 2017-RC1, Class A4 | | | 10,000 | | | | 9,720 | |
Wells Fargo Commercial Mortgage Trust 2018-C47 | | | | | | | | |
4.44%, 09/15/2061, Series 2018-C47, Class A4 | | | 8,850 | | | | 8,888 | |
Wells Fargo Commercial Mortgage Trust 2020-C57 | | | | | | | | |
1.86%, 08/15/2053, Series 2020-C57, Class A3 | | | 19,500 | | | | 16,342 | |
2.12%, 08/15/2053, Series 2020-C57, Class A4 | | | 1,003 | | | | 852 | |
Wells Fargo Commercial Mortgage Trust 2020-C58 | | | | | | | | |
1.81%, 07/15/2053, Series 2020-C58, Class A3 | | | 23,000 | | | | 19,179 | |
Wells Fargo Commercial Mortgage Trust 2021-C61 | | | | | | | | |
2.66%, 11/15/2054, Series 2021-C61, Class A4 | | | 464 | | | | 399 | |
Wells Fargo Commercial Mortgage Trust 2021-SAVE | | | | | | | | |
2.47% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 02/15/2040, Series 2021-SAVE, Class A(1)(3) | | | 4,981 | | | | 4,796 | |
Wells Fargo Commercial Mortgage Trust 2022-C62 | | | | | | | | |
4.00%, 04/15/2055, Series 2022-C62, Class A4(4) | | | 3,819 | | | | 3,655 | |
Wells Fargo Mortgage Backed Securities 2007-7 Trust | | | | | | | | |
6.00%, 06/25/2037, Series 2007-7, Class A7 | | | 7 | | | | 6 | |
WFRBS Commercial Mortgage Trust 2013-C11 | | | | | | | | |
4.37%, 03/15/2045, Series 2013-C11, Class D(1)(4) | | | 300 | | | | 289 | |
WFRBS Commercial Mortgage Trust 2013-C14 | | | | | | | | |
3.34%, 06/15/2046, Series 2013-C14, Class A5 | | | 230 | | | | 226 | |
WFRBS Commercial Mortgage Trust 2014-C21 | | | | | | | | |
3.68%, 08/15/2047, Series 2014-C21, Class A5 | | | 7,000 | | | | 6,915 | |
WFRBS Commercial Mortgage Trust 2014-C23 | | | | | | | | |
3.64%, 10/15/2057, Series 2014-C23, Class ASB | | | 1,582 | | | | 1,571 | |
WFRBS Commercial Mortgage Trust 2014-C25 | | | | | | | | |
3.63%, 11/15/2047, Series 2014-C25, Class A5 | | | 3,846 | | | | 3,796 | |
WFRBS Commercial Mortgage Trust 2014-LC14 | | | | | | | | |
3.77%, 03/15/2047, Series 2014-LC14, Class A4 | | | 7,910 | | | | 7,866 | |
| | | | | | | | |
Total Mortgage-Backed Obligations (Cost: $6,304,795) | | | | | | | 5,945,616 | |
| | | | | | | | |
Total Bonds & Notes (Cost: $18,315,646) | | | | 16,869,446 | |
| | | | | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
| | | | | | | |
PREFERRED STOCKS – 0.01% | | | | |
Financials – 0.01% | | | | |
State Street Corp., 5.35% | | | 95 | | | | 2,366 | |
| | | | | | | | |
Total Financials | | | | 2,366 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $2,375) | | | | 2,366 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 4.39% | | | | |
Money Market Funds – 4.39% | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 1.25%(13) | | | 750,007 | | | | 750,007 | |
| | | | | | | | |
Total Money Market Funds (Cost: $750,007) | | | | | | | 750,007 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| | | | | | | |
Time Deposits – 0.00%(14) | | | | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 796 | | | | 796 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 22 | | | | 22 | |
| | | | | | | | |
Total Time Deposits (Cost: $818) | | | | | | | 818 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $750,825) | | | | 750,825 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 103.03%
(Cost: $19,068,846) | | | | | | | 17,622,637 | |
| | | | | | | | |
TBA SALE COMMITMENTS – (0.17)% | | | | |
Mortgage-Backed Obligations – (0.17)% | | | | |
Fannie Mae | | | | | | | | |
2.50%, 07/01/2052(15) | | | (30,000 | ) | | | (26,974 | ) |
Ginnie Mae | | | | | | | | |
3.00%, 07/01/2052(15) | | | (3,000 | ) | | | (2,828 | ) |
| | | | | | | | |
Total TBA Sale Commitments (Proceeds Received: $(29,753)) | | | | (29,802 | ) |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.86)% | | | | | | | (488,315 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,104,520 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $3,451,549, which represents 20.18% of total net assets. |
| (2) | 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, 2022. |
| (3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2022. |
| (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, 2022. |
| (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 that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $40,098, which represents 0.23% of total net assets. |
| (7) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (8) | Security in default as of June 30, 2022. The value of these securities totals $329, which represents 0.00% of total net assets. |
| (9) | Security that is restricted at June 30, 2022. The value of the restricted securities totals $5,949, which represents 0.03% of total net assets. |
| (10) | Inflation protected security. The value of these securities totals $3,675, which represents 0.02% of total net assets. |
| (11) | Assigned as collateral for certain futures contracts. The value of these pledged issues totals $38,485, which represents 0.22% of total net assets. |
| (12) | Delayed delivery purchase commitment security. The value of these securities totals $529,945, which represents 3.10% of total net assets. |
| (13) | Represents annualized seven-day yield as of the close of the reporting period. |
| (14) | Amount calculated is less than 0.005%. |
| (15) | Delayed delivery sale commitment security. The value of these securities totals $(29,802), which represents (0.17)% 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 | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 806 | | U.S. 2 Year Note Future | | Sep. 2022 | | $ | 170,021 | | | $ | 169,273 | | | $ | (748 | ) |
| 3,681 | | U.S. 5 Year Note Future | | Sep. 2022 | | | 414,417 | | | | 413,192 | | | | (1,225 | ) |
| 775 | | U.S. 10 Year Note Future | | Sep. 2022 | | | 91,114 | | | | 91,862 | | | | 748 | |
| 57 | | U.S. Ultra 10 Year Note Future | | Sep. 2022 | | | 7,395 | | | | 7,260 | | | | (135 | ) |
| 1,470 | | U.S. Ultra Bond Future | | Sep. 2022 | | | 230,147 | | | | 226,885 | | | | (3,262 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (4,622 | ) |
| | | | | | | | | | | | | | | | |
| | | | | |
Number of Contracts
Sold | | Reference Entity | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (338) | | U.S. Long Bond Future | | Sep. 2022 | | $ | (46,322 | ) | | $ | (46,855 | ) | | $ | (533 | ) |
| (10) | | U.S. Ultra 10 Year Note Future | | Sep. 2022 | | | (1,284 | ) | | | (1,274 | ) | | | 10 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (523 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (5,145 | ) |
| | | | | | | | | | | | | | | | |
Bridge Builder Core Plus Bond Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| | | | | | | |
BONDS & NOTES – 97.09% | | | | |
Asset-Backed Obligations – 11.43% | | | | |
522 Funding CLO 2019-5 Ltd. | | | | | | | | |
2.18% (3 Month Term SOFR + 1.33%, 1.33% Floor), 04/15/2035, Series 2019-5A, Class AR(1)(2) | | $ | 4,710 | | | $ | 4,560 | |
Aaset 2021-2 Trust | | | | | | | | |
2.80%, 01/15/2047, Series 2021-2A, Class A(1) | | | 8,368 | | | | 7,136 | |
ABFC 2005-WMC1 Trust | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 06/25/2035, Series 2005-WMC1, Class M3(2) | | | 4,812 | | | | 4,644 | |
ABFC 2007-NC1 Trust | | | | | | | | |
1.92% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037, Series 2007-NC1, Class A2(1)(2) | | | 9,801 | | | | 9,068 | |
Accredited Mortgage Loan Trust 2006-2 | | | | | | | | |
1.88% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 09/25/2036, Series 2006-2, Class A4(2) | | | 221 | | | | 216 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE3 | | | | | | | | |
2.55% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 11/25/2034, Series 2004-HE3, Class M1(2) | | | 4,789 | | | | 4,678 | |
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3 | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.71%, 0.71% Floor), 05/25/2035, Series 2005-HE3, Class M3(2) | | | 3,856 | | | | 3,803 | |
ACRES Commercial Realty 2021-FL1 Ltd. | | | | | | | | |
2.72% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 06/15/2036, Series 2021-FL1, Class A(1)(2) | | | 932 | | | | 915 | |
ACRES Commercial Realty 2021-FL2 Ltd. | | | | | | | | |
2.92% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 01/15/2037, Series 2021-FL2, Class A(1)(2) | | | 5,330 | | | | 5,208 | |
Adams Outdoor Advertising LP | | | | | | | | |
5.65%, 11/15/2048, Series 2018-1, Class B(1) | | | 1,475 | | | | 1,444 | |
Aegis Asset Backed Securities Corp. Mortgage Pass-Through Certificates Series 2003-2 | | | | | | | | |
2.75% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 11/25/2033, Series 2003-2, Class M1(2) | | | 598 | | | | 565 | |
Affirm Asset Securitization Trust 2021-B | | | | | | | | |
1.40%, 08/17/2026, Series 2021-B, Class C(1) | | | 835 | | | | 758 | |
AGL Core CLO 15 Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 01/20/2035, Series 2021-15A, Class A1(1)(2) | | | 3,850 | | | | 3,713 | |
AIG CLO 2019-2 Ltd. | | | | | | | | |
2.78% (3 Month LIBOR USD + 1.60%, 1.60% Floor), 10/25/2033, Series 2019-2A, Class BR(1)(2) | | | 4,500 | | | | 4,299 | |
Aligned Data Centers Issuer LLC | | | | | | | | |
1.94%, 08/15/2046, Series 2021-1A, Class A2(1) | | | 15,000 | | | | 13,252 | |
Allegro CLO IX Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/16/2031, Series 2018-3A, Class A(1)(2) | | | 11,400 | | | | 11,133 | |
Ally Auto Receivables Trust 2019-2 | | | | | | | | |
2.23%, 01/16/2024, Series 2019-2, Class A3 | | | 1,566 | | | | 1,566 | |
American Credit Acceptance Receivables Trust 2019-3 | | | | | | | | |
2.89%, 09/12/2025, Series 2019-3, Class D(1) | | | 3,701 | | | | 3,694 | |
American Credit Acceptance Receivables Trust 2020-3 | | | | | | | | |
2.40%, 06/15/2026, Series 2020-3, Class D(1) | | | 105 | | | | 102 | |
American Credit Acceptance Receivables Trust 2020-4 | | | | | | | | |
1.77%, 12/14/2026, Series 2020-4, Class D(1) | | | 2,785 | | | | 2,668 | |
American Credit Acceptance Receivables Trust 2021-4 | | | | | | | | |
1.82%, 02/14/2028, Series 2021-4, Class D(1) | | | 8,655 | | | | 8,021 | |
American Credit Acceptance Receivables Trust 2022-1 | | | | | | | | |
2.46%, 03/13/2028, Series 2022-1, Class D(1) | | | 3,475 | | | | 3,219 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
6.23%, 10/17/2036, Series 2014-SFR2, Class E(1) | | | 515 | | | | 524 | |
American Homes 4 Rent 2015-SFR1 Trust | | | | | | | | |
5.64%, 04/17/2052, Series 2015-SFR1, Class E(1) | | | 6,400 | | | | 6,468 | |
5.89%, 04/17/2052, Series 2015-SFR1, Class F(1) | | | 2,378 | | | | 2,343 | |
Americredit Automobile Receivables Trust 2018-2 | | | | | | | | |
4.01%, 07/18/2024, Series 2018-2, Class D | | | 2,940 | | | | 2,945 | |
Americredit Automobile Receivables Trust 2018-3 | | | | | | | | |
4.04%, 11/18/2024, Series 2018-3, Class D | | | 4,310 | | | | 4,309 | |
AmeriCredit Automobile Receivables Trust 2019-3 | | | | | | | | |
2.58%, 09/18/2025, Series 2019-3, Class D | | | 1,330 | | | | 1,298 | |
AmeriCredit Automobile Receivables Trust 2020-1 | | | | | | | | |
1.80%, 12/18/2025, Series 2020-1, Class D | | | 3,030 | | | | 2,881 | |
AmeriCredit Automobile Receivables Trust 2020-2 | | | | | | | | |
2.13%, 03/18/2026, Series 2020-2, Class D | | | 5,720 | | | | 5,506 | |
AmeriCredit Automobile Receivables Trust 2020-3 | | | | | | | | |
1.49%, 09/18/2026, Series 2020-3, Class D | | | 7,135 | | | | 6,697 | |
AmeriCredit Automobile Receivables Trust 2021-1 | | | | | | | | |
0.89%, 10/19/2026, Series 2021-1, Class C | | | 4,735 | | | | 4,426 | |
1.21%, 12/18/2026, Series 2021-1, Class D | | | 5,425 | | | | 5,073 | |
Ammc CLO 19 Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 10/16/2028, Series 2016-19A, Class AR(1)(2) | | | 2,899 | | | | 2,883 | |
Anchorage Capital CLO 15 Ltd. | | | | | | | | |
2.26% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 07/20/2034, Series 2020-15A, Class AR(1)(2) | | | 250 | | | | 241 | |
Anchorage Capital CLO 16 Ltd. | | | | | | | | |
2.24% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 01/19/2035, Series 2020-16A, Class A1R(1)(2) | | | 2,870 | | | | 2,777 | |
Anchorage Capital CLO 3-R Ltd. | | | | | | | | |
2.29% (3 Month LIBOR USD + 1.05%), 01/28/2031, Series 2014-3RA, Class A(1)(2) | | | 499 | | | | 492 | |
Apidos CLO XX | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%), 07/16/2031, Series 2015-20A, Class A1RA(1)(2) | | | 4,190 | | | | 4,107 | |
Apidos CLO XXIII | | | | | | | | |
2.26% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 04/15/2033, Series 2015-23A, Class AR(1)(2) | | | 5,000 | | | | 4,873 | |
Aqua Finance Trust 2021-A | | | | | | | | |
2.40%, 07/17/2046, Series 2021-A, Class B(1) | | | 1,550 | | | | 1,325 | |
| | | | | | | | |
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd. | | | | | | | | |
4.55% (1 Month LIBOR USD + 2.55%, 2.55% Floor), 08/15/2034, Series 2021-FL3, Class E(1)(2) | | | 6,250 | | | | 5,639 | |
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd. | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 11/15/2036, Series 2021-FL4, Class A(1)(2) | | | 14,220 | | | | 13,810 | |
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd. | | | | | | | | |
2.23% (30-day Average SOFR + 1.45%, 1.45% Floor), 01/15/2037, Series 2022-FL1, Class A(1)(2) | | | 10,000 | | | | 9,687 | |
Arbor Realty Commercial Real Estate Notes 2022-FL2 Ltd. | | | | | | | | |
3.13% (1 Month Term SOFR + 1.85%, 1.85% Floor), 05/15/2037, Series 2022-FL2, Class A(1)(2) | | | 2,410 | | | | 2,377 | |
Ares European CLO | | | | | | | | |
0.66% (3 Month EURIBOR + 0.66%, 0.66% Floor), 10/15/2030, Series 7A, Class A1RR(1)(2) | | EUR | 26,452 | | | | 27,024 | |
Ares LIX CLO Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 04/25/2034, Series 2021-59A, Class A(1)(2) | | $ | 6,590 | | | | 6,344 | |
2.58% (3 Month LIBOR USD + 1.40%, 1.40% Floor), 04/25/2034, Series 2021-59A,
Class B1(1)(2) | | | 4,500 | | | | 4,248 | |
Ares LXII CLO Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 01/25/2034, Series 2021-62A,
Class B(1)(2)(3) | | | 8,350 | | | | 7,879 | |
Aurium CLO III DAC | | | | | | | | |
0.67% (3 Month EURIBOR + 0.67%, 0.67% Floor), 04/16/2030, Series 3A, Class AR(1)(2) | | EUR | 898 | | | | 922 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
2.02%, 02/20/2027, Series 2020-2A, Class A(1) | | $ | 9,740 | | | | 8,946 | |
2.35%, 02/20/2028, Series 2021-2A, Class C(1) | | | 3,030 | | | | 2,651 | |
2.36%, 03/20/2026, Series 2019-3A, Class A(1) | | | 12,120 | | | | 11,548 | |
2.68%, 08/20/2026, Series 2020-1A, Class B(1) | | | 2,505 | | | | 2,329 | |
3.35%, 09/22/2025, Series 2019-2A, Class A(1) | | | 1,245 | | | | 1,224 | |
4.08%, 02/20/2028, Series 2021-2A, Class D(1) | | | 7,500 | | | | 6,708 | |
Bain Capital Credit CLO 2018-2 | | | | | | | | |
2.12% (3 Month LIBOR USD + 1.08%), 07/19/2031, Series 2018-2A, Class A1(1)(2) | | | 250 | | | | 245 | |
Bain Capital Credit CLO 2020-4 Ltd. | | | | | | | | |
2.47% (3 Month LIBOR USD + 1.41%, 1.41% Floor), 10/20/2033, Series 2020-4A, Class A1(1)(2) | | | 250 | | | | 245 | |
Bain Capital Credit CLO 2021-4 Ltd. | | | | | | | | |
2.23% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/20/2034, Series 2021-4A, Class A1(1)(2) | | | 2,840 | | | | 2,757 | |
Bain Capital Euro CLO 2018-2 DAC | | | | | | | | |
0.74% (3 Month EURIBOR + 0.74%, 0.74% Floor), 01/20/2032, Series 2018-2A, Class AR(1)(2) | | EUR | 24,900 | | | | 25,268 | |
Ballyrock CLO 15 Ltd. | | | | | | | | |
2.10% (3 Month LIBOR USD + 1.06%, 1.06% Floor), 04/15/2034, Series 2021-1A, Class A1(1)(2) | | $ | 10,050 | | | | 9,662 | |
Barings CLO Ltd. 2013-I | | | | | | | | |
1.86% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028, Series 2013-IA, Class AR(1)(2) | | | 2,261 | | | | 2,234 | |
Bayview Opportunity Master Fund IVb Trust 2017-RT2 | | | | | | | | |
3.50%, 08/28/2057, Series 2017-RT2, Class A(1)(4) | | | 410 | | | | 406 | |
BCMSC Trust 1999-B | | | | | | | | |
6.61%, 12/15/2029, Series 1999-B, Class A1B(4) | | | 3,594 | | | | 539 | |
BDS 2021-FL10 Ltd. | | | | | | | | |
2.96% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 12/16/2036, Series 2021-FL10, Class A(1)(2) | | | 15,910 | | | | 15,237 | |
BDS 2022-FL11 LLC | | | | | | | | |
3.31% (1 Month Term SOFR + 1.80%, 1.80% Floor), 03/19/2039, Series 2022-FL11,
Class ATS(1)(2) | | | 3,627 | | | | 3,564 | |
Bear Stearns Asset Backed Securities I Trust 2005-EC1 | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%), 11/25/2035, Series 2005-EC1, Class M3(2) | | | 6,729 | | | | 6,700 | |
Bear Stearns Asset Backed Securities I Trust 2007-HE2 | | | | | | | | |
1.78% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037, Series 2007-HE2, Class 2A3(2) | | | 3,730 | | | | 3,694 | |
Benefit Street Partners CLO IV Ltd. | | | | | | | | |
2.61% (3 Month LIBOR USD + 1.55%, 1.55% Floor), 01/20/2032, Series 2014-IVA,
Class A2AR(1)(2) | | | 9,595 | | | | 9,145 | |
Benefit Street Partners CLO X Ltd. | | | | | | | | |
2.27% (3 Month LIBOR USD + 1.21%, 1.21% Floor), 04/20/2034, Series 2016-10A,
Class A1RR(1)(2) | | | 12,795 | | | | 12,417 | |
Benefit Street Partners CLO XX Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 07/15/2034, Series 2020-20A, Class AR(1)(2) | | | 6,155 | | | | 5,929 | |
BHG Securitization Trust 2022-A | | | | | | | | |
2.70%, 02/20/2035, Series 2022-A, Class B(1) | | | 12,175 | | | | 11,140 | |
Birch Grove CLO 2 Ltd. | | | | | | | | |
2.30% (3 Month LIBOR USD + 1.26%, 1.26% Floor), 10/19/2034, Series 2021-2A, Class A1(1)(2) | | | 4,000 | | | | 3,865 | |
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 | | | | | | | | |
4.21%, 12/16/2041, Series 2016-1A, Class A(1)(5) | | | 1,003 | | | | 887 | |
BPCRE 2022-FL2 Ltd. | | | | | | | | |
3.91% (1 Month Term SOFR + 2.40%, 2.40% Floor), 01/18/2037, Series 2022-FL2, Class A(1)(2) | | | 1,493 | | | | 1,479 | |
BRE Grand Islander Timeshare Issuer 2019-A LLC | | | | | | | | |
3.28%, 09/26/2033, Series 2019-A, Class A(1) | | | 1,485 | | | | 1,428 | |
Brex Commercial Charge Card Master Trust | | | | | | | | |
2.09%, 07/15/2024, Series 2021-1, Class A(1) | | | 3,335 | | | | 3,271 | |
BSPRT 2021-FL7 Issuer Ltd. | | | | | | | | |
2.64% (1 Month LIBOR USD + 1.32%, 1.32% Floor), 12/15/2038, Series 2021-FL7, Class A(1)(2) | | | 15,580 | | | | 15,016 | |
BSPRT 2022-FL8 Issuer Ltd. | | | | | | | | |
2.28% (30-day Average SOFR + 1.50%, 1.50% Floor), 02/15/2037, Series 2022-FL8, Class A(1)(2) | | | 9,260 | | | | 8,993 | |
Business Jet Securities 2021-1 LLC | | | | | | | | |
2.16%, 04/15/2036, Series 2021-1A, Class A(1) | | | 2,771 | | | | 2,506 | |
California Republic Auto Receivables Trust 2018-1 | | | | | | | | |
4.33%, 04/15/2025, Series 2018-1, Class D | | | 2,050 | | | | 2,054 | |
Capitalsource Real Estate Loan Trust | | | | | | | | |
1.64% (3 Month LIBOR USD + 0.65%), 01/20/2037, Series 2006-1A, Class C(1)(2) | | | 2,938 | | | | 2,761 | |
1.74% (3 Month LIBOR USD + 0.75%), 01/20/2037, Series 2006-1A, Class D(1)(2) | | | 1,200 | | | | 1,092 | |
1.84% (3 Month LIBOR USD + 0.85%), 01/20/2037, Series 2006-1A, Class E(1)(2) | | | 700 | | | | 396 | |
Carlyle Global Market Strategies CLO 2014-1 Ltd. | | | | | | | | |
2.01% (3 Month LIBOR USD + 0.97%, 0.97% Floor), 04/17/2031, Series 2014-1A,
Class A1R2(1)(2) | | | 997 | | | | 976 | |
Carlyle Global Market Strategies CLO 2014-2R Ltd. | | | | | | | | |
2.46% (3 Month LIBOR USD + 1.05%), 05/15/2031, Series 2014-2RA, Class A1(1)(2) | | | 1,168 | | | | 1,139 | |
Carlyle Global Market Strategies CLO 2014-5 Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/15/2031, Series 2014-5A,
Class A1RR(1)(2) | | | 9,518 | | | | 9,323 | |
CARLYLE US CLO 2017-4 Ltd. | | | | | | | | |
2.22% (3 Month LIBOR USD + 1.18%, 1.18% Floor), 01/15/2030, Series 2017-4A, Class A1(1)(2) | | | 13,000 | | | | 12,752 | |
| | | | | | | | |
Carlyle US CLO 2021-1 Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 04/15/2034, Series 2021-1A, Class A1(1)(2) | | | 1,750 | | | | 1,702 | |
Carmax Auto Owner Trust 2019-2 | | | | | | | | |
3.41%, 10/15/2025, Series 2019-2, Class D | | | 2,055 | | | | 2,041 | |
Carmax Auto Owner Trust 2019-3 | | | | | | | | |
2.85%, 01/15/2026, Series 2019-3, Class D | | | 1,120 | | | | 1,098 | |
Carmax Auto Owner Trust 2020-1 | | | | | | | | |
2.64%, 07/15/2026, Series 2020-1, Class D | | | 2,622 | | | | 2,542 | |
CarMax Auto Owner Trust 2020-3 | | | | | | | | |
2.53%, 01/15/2027, Series 2020-3, Class D | | | 1,510 | | | | 1,450 | |
CarMax Auto Owner Trust 2020-4 | | | | | | | | |
1.75%, 04/15/2027, Series 2020-4, Class D | | | 1,875 | | | | 1,758 | |
Carmax Auto Owner Trust 2021-1 | | | | | | | | |
1.28%, 07/15/2027, Series 2021-1, Class D | | | 825 | | | | 753 | |
CarMax Auto Owner Trust 2021-3 | | | | | | | | |
1.50%, 01/18/2028, Series 2021-3, Class D | | | 2,010 | | | | 1,845 | |
CarMax Auto Owner Trust 2022-1 | | | | | | | | |
2.47%, 07/17/2028, Series 2022-1, Class D | | | 1,235 | | | | 1,148 | |
CarNow Auto Receivables Trust 2022-1 | | | | | | | | |
3.44%, 07/15/2024, Series 2022-1A, Class A(1) | | | 11,983 | | | | 11,977 | |
Carvana Auto Receivables Trust 2021-N3 | | | | | | | | |
1.02%, 06/12/2028, Series 2021-N3, Class C | | | 4,645 | | | | 4,463 | |
Carvana Auto Receivables Trust 2021-N4 | | | | | | | | |
1.72%, 09/11/2028, Series 2021-N4, Class C | | | 2,540 | | | | 2,427 | |
2.30%, 09/11/2028, Series 2021-N4, Class D | | | 5,760 | | | | 5,378 | |
Carvana Auto Receivables Trust 2021-P3 | | | | | | | | |
1.93%, 10/12/2027, Series 2021-P3, Class C | | | 4,125 | | | | 3,578 | |
Carvana Auto Receivables Trust 2021-P4 | | | | | | | | |
2.33%, 02/10/2028, Series 2021-P4, Class C | | | 2,720 | | | | 2,339 | |
Castlelake Aircraft Securitization Trust 2018-1 | | | | | | | | |
4.13%, 06/15/2043, Series 2018-1, Class A(1) | | | 2,921 | | | | 2,626 | |
CBAM 2019-9 Ltd. | | | | | | | | |
2.32% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 02/12/2030, Series 2019-9A, Class A(1)(2) | | | 12,229 | | | | 12,079 | |
Centex Home Equity Loan Trust 2005-B | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 03/25/2035, Series 2005-B, Class M2(2) | | | 3,993 | | | | 3,922 | |
Centex Home Equity Loan Trust 2005-D | | | | | | | | |
2.58% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 10/25/2035, Series 2005-D, Class M5(2) | | | 2,131 | | | | 2,082 | |
CHEC Loan Trust 2004-2 | | | | | | | | |
2.58% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 06/25/2034, Series 2004-2, Class M1(2) | | | 1,095 | | | | 1,065 | |
CIFC Funding 2015-IV Ltd. | | | | | | | | |
2.13% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 04/20/2034, Series 2015-4A, Class A1A2(1)(2) | | | 19,600 | | | | 18,878 | |
CIFC Funding 2017-III Ltd. | | | | | | | | |
2.28% (3 Month LIBOR USD + 1.22%), 07/20/2030, Series 2017-3A, Class A1(1)(2) | | | 500 | | | | 494 | |
CIFC Funding 2018-I Ltd. | | | | | | | | |
2.04% (3 Month LIBOR USD + 1.00%), 04/18/2031, Series 2018-1A, Class A(1)(2) | | | 3,400 | | | | 3,336 | |
CIFC Funding 2019-V Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 01/15/2035, Series 2019-5A, Class A1R1(1)(2) | | | 3,350 | | | | 3,240 | |
CIFC Funding 2021-VII Ltd. | | | | | | | | |
2.31% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/23/2035, Series 2021-7A, Class A1(1)(2) | | | 11,700 | | | | 11,293 | |
CIT Mortgage Loan Trust 2007-1 | | | | | | | | |
3.12% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 10/25/2037, Series 2007-1, Class 1M1(1)(2) | | | 2,000 | | | | 1,863 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2.25% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 02/25/2035, Series 2005-OPT1, Class M1(2) | | | 1,907 | | | | 1,791 | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 09/25/2035, Series 2005-HE3, Class M4(2) | | | 7,900 | | | | 7,455 | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2035, Series 2005-HE4, Class M4(2) | | | 14,327 | | | | 12,760 | |
CLI Funding VI LLC | | | | | | | | |
2.07%, 10/18/2045, Series 2020-3A, Class A(1) | | | 3,712 | | | | 3,347 | |
CLI Funding VIII LLC | | | | | | | | |
1.64%, 02/18/2046, Series 2021-1A, Class A(1) | | | 3,924 | | | | 3,461 | |
College Ave Student Loans 2021-A LLC | | | | | | | | |
2.92%, 07/25/2051, Series 2021-A, Class C(1) | | | 480 | | | | 439 | |
College Avenue Student Loans 2018-A LLC | | | | | | | | |
2.82% (1 Month LIBOR USD + 1.20%), 12/26/2047, Series 2018-A, Class A1(1)(2) | | | 1,348 | | | | 1,314 | |
4.13%, 12/26/2047, Series 2018-A, Class A2(1) | | | 1,838 | | | | 1,763 | |
College Avenue Student Loans LLC | | | | | | | | |
3.27% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046, Series 2017-A, Class A1(1)(2) | | | 2,512 | | | | 2,488 | |
Commonbond Student Loan Trust 2020-1 | | | | | | | | |
1.69%, 10/25/2051, Series 2020-1, Class A(1) | | | 1,892 | | | | 1,674 | |
Conseco Finance Securitizations Corp. | | | | | | | | |
7.97%, 05/01/2032, Series 2000-4, Class A5 | | | 734 | | | | 168 | |
8.06%, 09/01/2029, Series 2000-1, Class A5(4) | | | 13,024 | | | | 3,288 | |
8.31%, 05/01/2032, Series 2000-4, Class A6(4) | | | 8,505 | | | | 2,034 | |
Conseco Financial Corp. | | | | | | | | |
7.70%, 05/15/2027(4) | | | 3,464 | | | | 3,272 | |
CoreVest American Finance 2018-1 Trust | | | | | | | | |
3.80%, 06/15/2051, Series 2018-1, Class A(1) | | | 575 | | | | 573 | |
CoreVest American Finance 2018-2 Trust | | | | | | | | |
4.03%, 11/15/2052, Series 2018-2, Class A(1) | | | 11,375 | | | | 11,340 | |
Corevest American Finance 2019-3 Trust | | | | | | | | |
2.71%, 10/15/2052, Series 2019-3, Class A(1) | | | 1,732 | | | | 1,667 | |
3.16%, 10/15/2052, Series 2019-3, Class B(1) | | | 1,470 | | | | 1,313 | |
Corevest American Finance 2021-1 Trust | | | | | | | | |
2.80%, 04/15/2053, Series 2021-1, Class C(1) | | | 1,525 | | | | 1,266 | |
CoreVest American Finance 2021-2 Trust | | | | | | | | |
2.48%, 07/15/2054, Series 2021-2, Class C(1) | | | 3,100 | | | | 2,475 | |
CoreVest American Finance 2021-3 Trust | | | | | | | | |
3.47%, 10/15/2054, Series 2021-3, Class D(1) | | | 1,630 | | | | 1,346 | |
| | | | | | | | |
Countrywide Asset-Backed Certificates | | | | | | | | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/25/2046, Series 2006-8, Class 2A4(2) | | | 20,966 | | | | 19,683 | |
CPS Auto Receivables Trust 2018-B | | | | | | | | |
4.26%, 03/15/2024, Series 2018-B, Class D(1) | | | 229 | | | | 229 | |
CPS Auto Receivables Trust 2020-C | | | | | | | | |
1.71%, 08/17/2026, Series 2020-C, Class C(1) | | | 925 | | | | 919 | |
Credit Acceptance Auto Loan Trust 2020-2 | | | | | | | | |
2.73%, 11/15/2029, Series 2020-2A, Class C(1) | | | 1,935 | | | | 1,867 | |
Credit Acceptance Auto Loan Trust 2021-3 | | | | | | | | |
1.63%, 09/16/2030, Series 2021-3A, Class C(1) | | | 2,360 | | | | 2,163 | |
Credit Acceptance Auto Loan Trust 2021-4 | | | | | | | | |
1.94%, 02/18/2031, Series 2021-4, Class C(1) | | | 5,235 | | | | 4,807 | |
Credit-Based Asset Servicing & Securitization LLC | | | | | | | | |
1.92% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 10/25/2036, Series 2006-CB8, Class A2C(2) | | | 11,402 | | | | 9,837 | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 07/25/2033, Series 2004-CB2, Class M1(2) | | | 3,737 | | | | 3,510 | |
Crown City CLO III | | | | | | | | |
2.23% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 07/20/2034, Series 2021-1A, Class A1A(1)(2) | | | 250 | | | | 241 | |
CVS Pass-Through Trust | | | | | | | | |
6.94%, 01/10/2030 | | | 830 | | | | 884 | |
CWABS Asset-Backed Certificates Trust 2004-13 | | | | | | | | |
3.05% (1 Month LIBOR USD + 1.43%, 1.43% Floor), 06/25/2035, Series 2004-14, Class M4(2) | | | 4,521 | | | | 4,352 | |
CWABS Asset-Backed Certificates Trust 2005-12 | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 02/25/2036, Series 2005-12, Class M2(2) | | | 546 | | | | 545 | |
CWABS Asset-Backed Certificates Trust 2005-7 | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 11/25/2035, Series 2005-7, Class MV4(2) | | | 127 | | | | 127 | |
CWABS Asset-Backed Certificates Trust 2005-9 | | | | | | | | |
2.60% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 01/25/2036, Series 2005-9, Class M2(2) | | | 4,819 | | | | 4,647 | |
CWABS Asset-Backed Certificates Trust 2005-AB4 | | | | | | | | |
2.10% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 03/25/2036, Series 2005-AB4, Class 1A(2) | | | 1,916 | | | | 1,835 | |
CWABS Asset-Backed Certificates Trust 2006-2 | | | | | | | | |
1.85% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 04/25/2047, Series 2006-20, Class 2A4(2) | | | 20,739 | | | | 18,874 | |
2.25% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 06/25/2036, Series 2006-2, Class M2(2) | | | 23,500 | | | | 22,261 | |
CWABS Asset-Backed Certificates Trust 2006-22 | | | | | | | | |
1.84% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 05/25/2047, Series 2006-22, Class 2A4(2) | | | 8,113 | | | | 7,676 | |
CWABS Asset-Backed Certificates Trust 2006-BC1 | | | | | | | | |
2.21% (1 Month LIBOR USD + 0.59%, 0.59% Floor), 04/25/2036, Series 2006-BC1, Class M3(2) | | | 1,000 | | | | 855 | |
CWABS Asset-Backed Certificates Trust 2007-10 | | | | | | | | |
1.80% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 06/25/2047, Series 2007-10, Class 1A1(2) | | | 27,122 | | | | 25,417 | |
CWABS Asset-Backed Certificates Trust 2007-2 | | | | | | | | |
1.84% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 08/25/2037, Series 2007-2, Class 2A4(2) | | | 25,730 | | | | 23,343 | |
CWABS Asset-Backed Certificates Trust 2007-8 | | | | | | | | |
1.87% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/25/2036, Series 2007-9, Class 2A4(2) | | | 1,533 | | | | 1,481 | |
CWABS Asset-Backed Certificates Trust 2007-BC2 | | | | | | | | |
1.91% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 06/25/2037, Series 2007-BC2, Class 2A4(2) | | | 6,747 | | | | 6,423 | |
CWABS Revolving Home Equity Loan Trust Series 2004-T | | | | | | | | |
1.56% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 16.00% Cap), 02/15/2030, Series 2004-T, Class 2A(2) | | | 3,664 | | | | 3,579 | |
CWABS, Inc. Asset-backed Certificates Series 2007-12 | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 08/25/2047, Series 2007-12, Class 1A1(2) | | | 3,557 | | | | 3,407 | |
CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES | | | | | | | | |
1.51% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 16.00% Cap), 05/15/2035, Series 2006-RES,
Class 5B1B(1)(2) | | | 281 | | | | 283 | |
DB Master Finance LLC | | | | | | | | |
4.03%, 11/20/2047, Series 2017-1A, Class A2II(1) | | | 2,103 | | | | 2,012 | |
4.35%, 05/20/2049, Series 2019-1A, Class A23(1) | | | 3,660 | | | | 3,412 | |
Dell Equipment Finance Trust 2020-2 | | | | | | | | |
1.37%, 01/22/2024, Series 2020-2, Class C(1) | | | 4,930 | | | | 4,813 | |
1.92%, 03/23/2026, Series 2020-2, Class D(1) | | | 500 | | | | 490 | |
Diameter Capital CLO 1 Ltd. | | | | | | | | |
2.28% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 07/15/2036, Series 2021-1A, Class A1A(1)(2) | | | 4,390 | | | | 4,249 | |
Diameter Capital CLO 3 Ltd. | | | | | | | | |
1.69% (3 Month Term SOFR + 1.39%, 1.39% Floor), 04/15/2037, Series 2022-3A, Class A1A(1)(2) | | | 4,770 | | | | 4,634 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2.66%, 04/25/2051, Series 2021-1A, Class A2I(1) | | | 11,509 | | | | 10,031 | |
3.67%, 10/25/2049, Series 2019-1A, Class A2(1) | | | 6,347 | | | | 5,745 | |
4.12%, 07/25/2047, Series 2017-1A, Class A23(1) | | | 4,165 | | | | 3,980 | |
4.33%, 07/25/2048, Series 2018-1A, Class A2II(1) | | | 2,403 | | | | 2,327 | |
Drive Auto Receivables Trust | | | | | | | | |
4.30%, 09/16/2024, Series 2018-3, Class D | | | 562 | | | | 564 | |
Drive Auto Receivables Trust 2018-5 | | | | | | | | |
4.30%, 04/15/2026, Series 2018-5, Class D | | | 2,210 | | | | 2,220 | |
Drive Auto Receivables Trust 2019-1 | | | | | | | | |
4.09%, 06/15/2026, Series 2019-1, Class D | | | 2,521 | | | | 2,525 | |
Drive Auto Receivables Trust 2021-1 | | | | | | | | |
1.45%, 01/16/2029, Series 2021-1, Class D | | | 6,530 | | | | 6,115 | |
Dryden 30 Senior Loan Fund | | | | | | | | |
2.23% (3 Month LIBOR USD + 0.82%), 11/15/2028, Series 2013-30A, Class AR(1)(2) | | | 1,039 | | | | 1,022 | |
Dryden 36 Senior Loan Fund | | | | | | | | |
2.06% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/15/2029, Series 2014-36A, Class AR3(1)(2) | | | 9,516 | | | | 9,387 | |
Dryden 64 CLO Ltd. | | | | | | | | |
2.01% (3 Month LIBOR USD + 0.97%), 04/18/2031, Series 2018-64A, Class A(1)(2) | | | 5,900 | | | | 5,759 | |
Dryden 83 CLO Ltd. | | | | | | | | |
2.26% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 01/18/2032, Series 2020-83A, Class A(1)(2) | | | 1,250 | | | | 1,228 | |
Dryden 86 CLO Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/17/2034, Series 2020-86A, Class A1R(1)(2) | | | 8,050 | | | | 7,769 | |
Dryden XXVI Senior Loan Fund | | | | | | | | |
1.94% (3 Month LIBOR USD + 0.90%), 04/15/2029, Series 2013-26A, Class AR(1)(2) | | | 4,135 | | | | 4,069 | |
DT Auto Owner Trust 2018-2 | | | | | | | | |
4.15%, 03/15/2024, Series 2018-2A, Class D(1) | | | 27 | | | | 27 | |
| | | | | | | | |
DT Auto Owner Trust 2019-3 | | | | | | | | |
2.96%, 04/15/2025, Series 2019-3A, Class D(1) | | | 1,635 | | | | 1,624 | |
DT Auto Owner Trust 2020-3 | | | | | | | | |
1.47%, 06/15/2026, Series 2020-3A, Class C(1) | | | 3,850 | | | | 3,743 | |
DT Auto Owner Trust 2021-1 | | | | | | | | |
1.16%, 11/16/2026, Series 2021-1A, Class D(1) | | | 2,650 | | | | 2,457 | |
DT Auto Owner Trust 2021-2 | | | | | | | | |
1.50%, 02/16/2027, Series 2021-2A, Class D(1) | | | 2,250 | | | | 2,092 | |
DT Auto Owner Trust 2021-4 | | | | | | | | |
1.99%, 09/15/2027, Series 2021-4A, Class D(1) | | | 6,980 | | | | 6,366 | |
DT Auto Owner Trust 2022-1 | | | | | | | | |
3.40%, 12/15/2027, Series 2022-1A, Class D(1) | | | 11,305 | | | | 10,693 | |
Eaton Vance CLO 2014-1R Ltd. | | | | | | | | |
2.53% (3 Month LIBOR USD + 1.49%), 07/15/2030, Series 2014-1RA, Class A2(1)(2) | | | 1,000 | | | | 971 | |
Eaton Vance CLO 2019-1 Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 04/15/2031, Series 2019-1A, Class AR(1)(2) | | | 23,000 | | | | 22,358 | |
ECAF I Ltd. | | | | | | | | |
3.47%, 06/15/2040, Series 2015-1A, Class A1(1) | | | 244 | | | | 156 | |
ECMC Group Student Loan Trust | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.00%), 07/25/2069, Series 2019-1A, Class A1B(1)(2) | | | 872 | | | | 845 | |
ECMC Group Student Loan Trust 2017-2 | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.05%), 05/25/2067, Series 2017-2A, Class A(1)(2) | | | 7,246 | | | | 7,076 | |
Elara HGV Timeshare Issuer 2021-A LLC | | | | | | | | |
2.09%, 08/27/2035, Series 2021-A, Class C(1) | | | 594 | | | | 543 | |
ELFI Graduate Loan Program 2019-A LLC | | | | | | | | |
2.54%, 03/25/2044, Series 2019-A, Class A(1) | | | 1,759 | | | | 1,675 | |
ELFI Graduate Loan Program 2021-A LLC | | | | | | | | |
2.09%, 12/26/2046, Series 2021-A, Class B(1)(4) | | | 586 | | | | 524 | |
Ellington Loan Acquisition Trust 2007-1 | | | | | | | | |
2.72% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 05/25/2037, Series 2007-1, Class A1(1)(2) | | | 714 | | | | 689 | |
Elmwood CLO 15 Ltd. | | | | | | | | |
1.98% (3 Month Term SOFR + 1.34%), 04/22/2035, Series 2022-2A, Class A1(1)(2) | | | 11,210 | | | | 10,779 | |
Elmwood CLO I Ltd. | | | | | | | | |
2.51% (3 Month LIBOR USD + 1.45%, 1.45% Floor), 10/20/2033, Series 2019-1A, Class AR(1)(2) | | | 2,000 | | | | 1,957 | |
Exeter Automobile Receivables Trust 2020-2 | | | | | | | | |
4.73%, 04/15/2026, Series 2020-2A, Class D(1) | | | 3,090 | | | | 3,102 | |
Exeter Automobile Receivables Trust 2020-3 | | | | | | | | |
1.73%, 07/15/2026, Series 2020-3A, Class D | | | 1,175 | | | | 1,142 | |
Exeter Automobile Receivables Trust 2021-2 | | | | | | | | |
1.08%, 11/16/2026, Series 2021-1A, Class D | | | 2,515 | | | | 2,369 | |
Exeter Automobile Receivables Trust 2022-2 | | | | | | | | |
4.56%, 07/17/2028, Series 2022-2A, Class D | | | 2,920 | | | | 2,774 | |
FHF Trust 2022-1 | | | | | | | | |
4.43%, 01/18/2028, Series 2022-1A, Class A(1) | | | 7,863 | | | | 7,779 | |
Fieldstone Mortgage Investment Trust Series 2006-3 | | | | | | | | |
1.29% (1 Month LIBOR USD + 0.28%, 0.28% Floor, 12.25% Cap), 11/25/2036, Series 2006-3, Class 1A(2) | | | 4,217 | | | | 3,934 | |
First Franklin Mortgage Loan Trust 2002-FF4 | | | | | | | | |
2.19% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 02/25/2033, Series 2002-FF4, Class 1A2(2) | | | 3,769 | | | | 3,633 | |
First Franklin Mortgage Loan Trust 2003-FFH2 | | | | | | | | |
2.71% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 02/25/2034, Series 2003-FFH2, Class M1A(2) | | | 4,613 | | | | 4,535 | |
First Franklin Mortgage Loan Trust 2004-FF7 | | | | | | | | |
3.80% (1 Month LIBOR USD + 2.18%, 2.18% Floor), 09/25/2034, Series 2004-FF7, Class M5(2) | | | 854 | | | | 854 | |
First Franklin Mortgage Loan Trust 2006-FF11 | | | | | | | | |
1.98% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 08/25/2036, Series 2006-FF11, Class 1A2(2) | | | 26,104 | | | | 24,634 | |
First Franklin Mortgage Loan Trust 2006-FF16 | | | | | | | | |
2.04% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 12/25/2036, Series 2006-FF16, Class 2A4(2) | | | 5,463 | | | | 2,641 | |
First Franklin Mortgage Loan Trust 2006-FF17 | | | | | | | | |
1.77% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036, Series 2006-FF17, Class A5(2) | | | 3,169 | | | | 2,979 | |
First Franklin Mortgage Loan Trust 2006-FF2 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 02/25/2036, Series 2006-FF2, Class A5(2) | | | 9,925 | | | | 9,089 | |
First Investors Auto Owner Trust 2018-1 | | | | | | | | |
4.11%, 06/17/2024, Series 2018-1A, Class D(1) | | | 106 | | | | 106 | |
First Investors Auto Owner Trust 2019-2 | | | | | | | | |
2.71%, 12/15/2025, Series 2019-2A, Class C(1) | | | 1,254 | | | | 1,249 | |
First Investors Auto Owner Trust 2022-1 | | | | | | | | |
3.79%, 06/15/2028, Series 2022-1A, Class D(1) | | | 2,875 | | | | 2,708 | |
FirstKey Homes 2020-SFR1 Trust | | | | | | | | |
2.24%, 08/17/2037, Series 2020-SFR1, Class D(1) | | | 1,590 | | | | 1,471 | |
2.79%, 08/17/2037, Series 2020-SFR1, Class E(1) | | | 805 | | | | 739 | |
FirstKey Homes 2021-SFR1 Trust | | | | | | | | |
2.39%, 08/17/2038, Series 2021-SFR1, Class E1(1) | | | 4,795 | | | | 4,165 | |
FirstKey Homes 2021-SFR2 Trust | | | | | | | | |
2.26%, 09/17/2038, Series 2021-SFR2, Class E1(1) | | | 3,380 | | | | 2,918 | |
2.36%, 09/17/2038, Series 2021-SFR2, Class E2(1) | | | 2,000 | | | | 1,704 | |
FirstKey Homes 2022-SFR2 Trust | | | | | | | | |
4.50%, 07/17/2039, Series 2022-SFR2, Class D(1) | | | 10,352 | | | | 9,781 | |
Flagship Credit Auto Trust 2018-1 | | | | | | | | |
3.86%, 04/15/2024, Series 2018-1, Class D(1) | | | 975 | | | | 976 | |
Flagship Credit Auto Trust 2018-2 | | | | | | | | |
4.23%, 09/16/2024, Series 2018-2, Class D(1) | | | 1,580 | | | | 1,579 | |
Flagship Credit Auto Trust 2019-3 | | | | | | | | |
2.86%, 12/15/2025, Series 2019-3, Class D(1) | | | 2,235 | | | | 2,176 | |
Flagship Credit Auto Trust 2020-4 | | | | | | | | |
2.18%, 02/16/2027, Series 2020-4, Class D(1) | | | 8,135 | | | | 7,800 | |
Flagship Credit Auto Trust 2021-1 | | | | | | | | |
1.27%, 03/15/2027, Series 2021-1, Class D(1) | | | 1,480 | | | | 1,358 | |
Flagship Credit Auto Trust 2021-2 | | | | | | | | |
1.59%, 06/15/2027, Series 2021-2, Class D(1) | | | 3,085 | | | | 2,809 | |
| | | | | | | | |
Flagship Credit Auto Trust 2021-4 | | | | | | | | |
1.96%, 12/15/2027, Series 2021-4, Class C(1) | | | 5,215 | | | | 4,831 | |
Flagship Credit Auto Trust 2022-2 | | | | | | | | |
4.76%, 05/17/2027, Series 2022-2, Class B(1) | | | 5,200 | | | | 5,165 | |
Flatiron CLO 19 Ltd. | | | | | | | | |
2.49% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 11/16/2034, Series 2019-1A, Class AR(1)(2) | | | 500 | | | | 487 | |
Ford Auto Securitization Trust | | | | | | | | |
2.47%, 02/15/2025, Series 2019-BA, Class A3(1) | | CAD | 4,925 | | | | 3,809 | |
2.55%, 09/15/2024, Series 2019-AA, Class A3(1) | | | 3,997 | | | | 3,095 | |
2.76%, 04/15/2028, Series 2020-AA, Class C(1) | | | 290 | | | | 214 | |
Ford Credit Auto Owner Trust 2020-B | | | | | | | | |
0.56%, 10/15/2024, Series 2020-B, Class A3 | | $ | 6,081 | | | | 6,011 | |
Ford Credit Auto Owner Trust 2020-C | | | | | | | | |
0.41%, 07/15/2025, Series 2020-C, Class A3 | | | 9,560 | | | | 9,354 | |
Ford Credit Auto Owner Trust 2021-A | | | | | | | | |
0.30%, 08/15/2025, Series 2021-A, Class A3 | | | 17,415 | | | | 16,952 | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
1.32%, 09/15/2027, Series 2020-2, Class B | | | 4,235 | | | | 3,807 | |
Foursight Capital Automobile Receivables Trust 2021-1 | | | | | | | | |
1.32%, 03/15/2027, Series 2021-1, Class D(1) | | | 4,890 | | | | 4,560 | |
Foursight Capital Automobile Receivables Trust 2021-2 | | | | | | | | |
1.92%, 09/15/2027, Series 2021-2, Class D(1) | | | 3,280 | | | | 3,016 | |
FREED ABS Trust 2021-2 | | | | | | | | |
1.94%, 06/19/2028, Series 2021-2, Class C(1) | | | 885 | | | | 858 | |
FREED ABS Trust 2021-3FP | | | | | | | | |
2.37%, 11/20/2028, Series 2021-3FP, Class D(1) | | | 3,655 | | | | 3,269 | |
FREED ABS Trust 2022-1FP | | | | | | | | |
3.35%, 03/19/2029, Series 2022-1FP, Class D(1) | | | 3,290 | | | | 3,069 | |
Fremont Home Loan Trust 2003-1 | | | | | | | | |
2.90% (1 Month LIBOR USD + 1.28%, 1.28% Floor), 02/25/2033, Series 2003-1, Class M1(2) | | | 2,048 | | | | 1,979 | |
Fremont Home Loan Trust 2004-4 | | | | | | | | |
2.42% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 03/25/2035, Series 2004-4, Class M1(2) | | | 23,073 | | | | 21,886 | |
Fremont Home Loan Trust 2004-C | | | | | | | | |
2.60% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 08/25/2034, Series 2004-C, Class M1(2) | | | 7,548 | | | | 7,130 | |
Fremont Home Loan Trust 2005-1 | | | | | | | | |
2.78% (1 Month LIBOR USD + 1.16%, 1.16% Floor), 06/25/2035, Series 2005-1, Class M6(2) | | | 3,072 | | | | 2,645 | |
Fremont Home Loan Trust 2005-2 | | | | | | | | |
2.37% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 06/25/2035, Series 2005-2, Class M3(2) | | | 2,154 | | | | 2,104 | |
Fremont Home Loan Trust 2005-C | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 07/25/2035, Series 2005-C, Class M3(2) | | | 10,200 | | | | 9,719 | |
2.55% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 07/25/2035, Series 2005-C, Class M4(2) | | | 6,749 | | | | 5,684 | |
FRTKL 2021-SFR1 | | | | | | | | |
2.37%, 09/17/2038, Series 2021-SFR1, Class E1(1) | | | 1,420 | | | | 1,234 | |
2.52%, 09/17/2038, Series 2021-SFR1, Class E2(1) | | | 1,190 | | | | 1,031 | |
FS Rialto 2022-Fl4 Issuer LLC | | | | | | | | |
2.69% (30-day Average SOFR + 1.90%, 1.90% Floor), 01/19/2039, Series 2022-FL4, Class A(1)(2) | | | 6,401 | | | | 6,341 | |
Gallatin CLO IX 2018-1 Ltd. | | | | | | | | |
2.15% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028, Series 2018-1A, Class A(1)(2) | | | 6,678 | | | | 6,608 | |
Gallatin CLO VIII 2017-1 Ltd. | | | | | | | | |
2.13% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 07/15/2031, Series 2017-1A, Class A1R(1)(2) | | | 34,600 | | | | 33,832 | |
Generate CLO 5 Ltd. | | | | | | | | |
2.32% (3 Month LIBOR USD + 1.18%), 10/22/2031, Series 5A, Class A(1)(2) | | | 500 | | | | 491 | |
Generate CLO 6 Ltd. | | | | | | | | |
2.34% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 01/22/2035, Series 6A, Class A1R(1)(2) | | | 750 | | | | 723 | |
Generate CLO 7 Ltd. | | | | | | | | |
2.51% (3 Month LIBOR USD + 1.37%, 1.37% Floor), 01/22/2033, Series 7A, Class A1(1)(2) | | | 1,400 | | | | 1,369 | |
GLS Auto Receivables Issuer Trust 2021-2 | | | | | | | | |
1.42%, 04/15/2027, Series 2021-2A, Class D(1) | | | 5,235 | | | | 4,786 | |
GLS Auto Receivables Issuer Trust 2021-4 | | | | | | | | |
2.48%, 10/15/2027, Series 2021-4A, Class D(1) | | | 15,090 | | | | 13,903 | |
GM Financial Automobile Leasing Trust 2020-3 | | | | | | | | |
1.11%, 10/21/2024, Series 2020-3, Class C | | | 2,675 | | | | 2,623 | |
GM Financial Automobile Leasing Trust 2021-1 | | | | | | | | |
1.01%, 07/21/2025, Series 2021-1, Class D | | | 3,055 | | | | 2,939 | |
GM Financial Consumer Automobile Receivables Trust 2019-4 | | | | | | | | |
1.75%, 07/16/2024, Series 2019-4, Class A3 | | | 1,436 | | | | 1,432 | |
GM Financial Consumer Automobile Receivables Trust 2021-1 | | | | | | | | |
0.35%, 10/16/2025, Series 2021-1, Class A3 | | | 6,540 | | | | 6,379 | |
GM Financial Consumer Automobile Receivables Trust 2021-2 | | | | | | | | |
0.51%, 04/16/2026, Series 2021-2, Class A3 | | | 16,035 | | | | 15,515 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
1.31%, 10/15/2025, Series 2020-2, Class C(1) | | | 3,040 | | | | 2,910 | |
1.48%, 08/15/2025, Series 2020-1, Class C(1) | | | 735 | | | | 711 | |
3.30%, 04/15/2026, Series 2019-2, Class C(1) | | | 6,875 | | | | 6,709 | |
Goldentree Loan Management US CLO 10 Ltd. | | | | | | | | |
2.16% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/20/2034, Series 2021-10A, Class A(1)(2) | | | 1,000 | | | | 966 | |
GoldenTree Loan Opportunities IX Ltd. | | | | | | | | |
2.35% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029, Series 2014-9A, Class AR2(1)(2) | | | 10,679 | | | | 10,539 | |
Golub Capital Partners CLO 51M Ltd. | | | | | | | | |
2.91% (3 Month LIBOR USD + 1.55%, 1.55% Floor), 05/05/2034, Series 2021-51A, Class A(1)(2) | | | 25,300 | | | | 24,537 | |
Golub Capital Partners CLO 55B Ltd. | | | | | | | | |
2.26% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 07/20/2034, Series 2021-55A, Class A(1)(2) | | | 3,990 | | | | 3,868 | |
Greystone Commercial Real Estate Notes 2019-FL2 Ltd. | | | | | | | | |
2.50% (1 Month LIBOR USD + 1.18%, 1.18% Floor), 09/15/2037, Series 2019-FL2, Class A(1)(2) | | | 1,900 | | | | 1,873 | |
GREYWOLF CLO VII Ltd. | | | | | | | | |
2.24% (3 Month LIBOR USD + 1.18%, 1.18% Floor), 10/20/2031, Series 2018-2A, Class A1(1)(2) | | | 500 | | | | 491 | |
| | | | | | | | |
GSAMP Trust 2005-AHL | | | | | | | | |
2.60% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 04/25/2035, Series 2005-AHL, Class M2(2) | | | 4,143 | | | | 3,948 | |
GSAMP Trust 2007-FM2 | | | | | | | | |
1.68% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2037, Series 2007-FM2, Class A2A(2) | | | 1,616 | | | | 1,028 | |
Gulf Stream Meridian 1 Ltd. | | | | | | | | |
2.41% (3 Month LIBOR USD + 1.37%, 1.37% Floor), 04/15/2033, Series 2020-IA, Class A1(1)(2) | | | 2,000 | | | | 1,949 | |
Gulf Stream Meridian 3 Ltd. | | | | | | | | |
2.36% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 04/15/2034, Series 2021-IIIA, Class A1(1)(2) | | | 3,200 | | | | 3,122 | |
Gulf Stream Meridian 4 Ltd. | | | | | | | | |
2.24% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 07/15/2034, Series 2021-4A, Class A1(1)(2) | | | 1,250 | | | | 1,213 | |
Gulf Stream Meridian 7 Ltd. | | | | | | | | |
1.66% (3 Month Term SOFR + 1.36%, 1.36% Floor), 07/15/2035, Series 2022-7A, Class A1(1)(2) | | | 18,270 | | | | 17,679 | |
HalseyPoint CLO 3 Ltd. | | | | | | | | |
2.74% (3 Month LIBOR USD + 1.45%, 1.45% Floor), 11/30/2032, Series 2020-3A, Class A1A(1)(2) | | | 1,050 | | | | 1,032 | |
Hardee’s Funding LLC | | | | | | | | |
2.87%, 06/20/2051, Series 2021-1A, Class A2(1) | | | 4,742 | | | | 4,060 | |
4.96%, 06/20/2048, Series 2018-1A, Class A2II(1) | | | 4,148 | | | | 4,041 | |
Harley Marine Financing LLC | | | | | | | | |
5.68%, 05/15/2043, Series 2018-1A, Class A2(1) | | | 698 | | | | 677 | |
Harvest CLO XXI DAC | | | | | | | | |
0.76% (3 Month EURIBOR + 0.76%, 0.76% Floor), 07/15/2031, Series 21A, Class A1R(1)(2) | | EUR | 34,400 | | | | 34,654 | |
1.04%, 07/15/2031, Series 21A, Class A2R(1) | | | 4,100 | | | | 3,978 | |
Harvest SBA Loan Trust 2018-1 | | | | | | | | |
3.26% (1 Month LIBOR USD + 2.25%), 08/25/2044, Series 2018-1, Class A(1)(2) | | $ | 3,816 | | | | 3,815 | |
Hertz Vehicle Financing III LLC | | | | | | | | |
4.85%, 06/25/2026, Series 2022-1A, Class D(1) | | | 17,188 | | | | 15,373 | |
6.31%, 03/25/2025, Series 2022-3A, Class D(1) | | | 17,758 | | | | 17,041 | |
Highbridge Loan Management 7-2015 Ltd. | | | | | | | | |
2.59% (3 Month LIBOR USD + 1.18%), 03/15/2027, Series 7A-2015, Class BR(1)(2) | | | 1,730 | | | | 1,689 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028, Series 2017-AA, Class A(1) | | | 69 | | | | 68 | |
2.96%, 12/26/2028, Series 2017-AA, Class B(1) | | | 31 | | | | 31 | |
HIN Timeshare Trust 2020-A | | | | | | | | |
3.42%, 10/09/2039, Series 2020-A, Class C(1) | | | 177 | | | | 166 | |
Home Partners of America 2019-1 Trust | | | | | | | | |
3.41%, 09/17/2039, Series 2019-1, Class D(1) | | | 1,181 | | | | 1,068 | |
Home Partners of America 2019-2 Trust | | | | | | | | |
3.12%, 10/19/2039, Series 2019-2, Class D(1) | | | 1,202 | | | | 1,052 | |
Home Partners of America 2021-1 Trust | | | | | | | | |
2.58%, 09/17/2041, Series 2021-1, Class E(1) | | | 803 | | | | 675 | |
Home Partners of America 2021-2 Trust | | | | | | | | |
2.85%, 12/17/2026, Series 2021-2, Class E1(1) | | | 8,640 | | | | 7,608 | |
2.95%, 12/17/2026, Series 2021-2, Class E2(1) | | | 4,320 | | | | 3,759 | |
Home Partners of America 2021-3 Trust | | | | | | | | |
2.20%, 01/17/2041, Series 2021-3, Class A(1) | | | 16,095 | | | | 14,413 | |
Honda Auto Receivables 2019-4 Owner Trust | | | | | | | | |
1.83%, 01/18/2024, Series 2019-4, Class A3 | | | 637 | | | | 636 | |
Honda Auto Receivables 2020-1 Owner Trust | | | | | | | | |
1.61%, 04/22/2024, Series 2020-1, Class A3 | | | 4,954 | | | | 4,923 | |
Honda Auto Receivables 2020-3 Owner Trust | | | | | | | | |
0.37%, 10/18/2024, Series 2020-3, Class A3 | | | 6,255 | | | | 6,142 | |
Honda Auto Receivables 2021-1 Owner Trust | | | | | | | | |
0.27%, 04/21/2025, Series 2021-1, Class A3 | | | 10,365 | | | | 10,119 | |
Horizon Aircraft Finance II Ltd. | | | | | | | | |
3.72%, 07/15/2039, Series 2019-1, Class A(1) | | | 1,213 | | | | 1,073 | |
HPEFS Equipment Trust | | | | | | | | |
2.00%, 07/22/2030, Series 2020-2A, Class C(1) | | | 1,030 | | | | 1,017 | |
2.40%, 11/20/2029, Series 2022-1A, Class D(1) | | | 3,390 | | | | 3,166 | |
HPEFS Equipment Trust 2019-1 | | | | | | | | |
2.49%, 09/20/2029, Series 2019-1A, Class C(1) | | | 247 | | | | 247 | |
HPEFS Equipment Trust 2020-1 | | | | | | | | |
2.26%, 02/20/2030, Series 2020-1A, Class D(1) | | | 1,900 | | | | 1,876 | |
HPEFS Equipment Trust 2021-1 | | | | | | | | |
1.03%, 03/20/2031, Series 2021-1A, Class D(1) | | | 1,775 | | | | 1,664 | |
Huntington CDO Ltd. | | | | | | | | |
0.82% (3 Month LIBOR USD + 0.50%), 11/05/2040, Series 2005-1A, Class A2(1)(2) | | | 9,284 | | | | 9,028 | |
Invitation Homes 2018-SFR1 Trust | | | | | | | | |
2.47% (1 Month LIBOR USD + 0.95%), 03/17/2037, Series 2018-SFR1, Class B(1)(2) | | | 7,699 | | | | 7,641 | |
IXIS Real Estate Capital Trust 2005-HE2 | | | | | | | | |
2.60% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 09/25/2035, Series 2005-HE2, Class M5(2) | | | 4,874 | | | | 4,701 | |
JMP Credit Advisors CLO IV Ltd. | | | | | | | | |
2.32% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 07/17/2029, Series 2017-1A, Class AR(1)(2) | | | 5,671 | | | | 5,616 | |
JP Morgan Mortgage Acquisition Corp. 2005-FRE1 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 10/25/2035, Series 2005-FRE1, Class M2(2) | | | 7,044 | | | | 6,474 | |
JP Morgan Mortgage Acquisition Corp. 2006-FRE2 | | | | | | | | |
2.16% (1 Month LIBOR USD + 0.54%, 0.54% Floor), 02/25/2036, Series 2006-FRE2, Class M2(2) | | | 8,467 | | | | 7,657 | |
JP Morgan Mortgage Acquisition Trust 2006-CW1 | | | | | | | | |
2.06% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 05/25/2036, Series 2006-CW1, Class M2(2) | | | 11,322 | | | | 10,120 | |
JP Morgan Mortgage Acquisition Trust 2006-WMC4 | | | | | | | | |
1.74% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036, Series 2006-WMC4, Class A3(2) | | | 19,812 | | | | 11,390 | |
1.77% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036, Series 2006-WMC4, Class A4(2) | | | 18,044 | | | | 10,408 | |
JP Morgan Mortgage Acquisition Trust 2007-CH3 | | | | | | | | |
1.88% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037, Series 2007-CH3, Class A5(2) | | | 14,194 | | | | 13,972 | |
JP Morgan Mortgage Acquisition Trust 2007-CH5 | | | | | | | | |
1.89% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2037, Series 2007-CH5, Class M1(2) | | | 6,439 | | | | 6,099 | |
Kestrel Aircraft Funding Ltd. | | | | | | | | |
4.25%, 12/15/2038, Series 2018-1A, Class A(1) | | | 2,879 | | | | 2,527 | |
| | | | | | | | |
KKR CLO 11 Ltd. | | | | | | | | |
2.22% (3 Month LIBOR USD + 1.18%, 1.18% Floor), 01/15/2031, Series 11, Class AR(1)(2) | | | 8,900 | | | | 8,752 | |
KKR CLO 29 Ltd. | | | | | | | | |
2.54% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 01/15/2032, Series 29A, Class B(1)(2) | | | 8,540 | | | | 8,136 | |
KREF 2022-FL3 Ltd. | | | | | | | | |
2.96% (1 Month Term SOFR + 1.45%, 1.45% Floor), 02/17/2039, Series 2022-FL3, Class A(1)(2) | | | 10,000 | | | | 9,668 | |
Laurel Road Prime Student Loan Trust 2020-A | | | | | | | | |
1.40%, 11/25/2050, Series 2020-A, Class A2FX(1) | | | 5,161 | | | | 4,815 | |
LCM XVII LP | | | | | | | | |
2.17% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 10/15/2031, Series 17A, Class A1AR(1)(2) | | | 1,500 | | | | 1,466 | |
Lehman XS Trust 2007-6 | | | | | | | | |
2.04% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 05/25/2037, Series 2007-6, Class 2A1(2) | | | 7,550 | | | | 6,322 | |
Lendmark Funding Trust 2022-1 | | | | | | | | |
5.12%, 07/20/2032, Series 2022-1A, Class A(1) | | | 2,819 | | | | 2,832 | |
LoanCore 2019-CRE2 Issuer Ltd. | | | | | | | | |
2.45% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 05/15/2036, Series 2019-CRE2, Class A(1)(2) | | | 278 | | | | 278 | |
LoanCore 2022-CRE7 Issuer Ltd. | | | | | | | | |
2.33% (30-day Average SOFR + 1.55%, 1.55% Floor), 01/17/2037, Series 2022-CRE7, Class A(1)(2) | | | 10,000 | | | | 9,742 | |
Long Beach Mortgage Loan Trust 2004-6 | | | | | | | | |
2.82% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 11/25/2034, Series 2004-6, Class M1(2) | | | 19,531 | | | | 18,046 | |
Long Beach Mortgage Loan Trust 2005-2 | | | | | | | | |
2.75% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 04/25/2035, Series 2005-2, Class M6(2) | | | 12,500 | | | | 11,894 | |
Long Beach Mortgage Loan Trust 2005-WL2 | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 08/25/2035, Series 2005-WL2, Class M3(2) | | | 10,000 | | | | 9,733 | |
Long Beach Mortgage Loan Trust 2006-WL1 | | | | | | | | |
2.25% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 01/25/2046, Series 2006-WL1, Class M1(2) | | | 15,000 | | | | 14,206 | |
Madison Park Funding XLVII Ltd. | | | | | | | | |
2.89% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 01/19/2034, Series 2020-47A, Class B(1)(2) | | | 500 | | | | 472 | |
Madison Park Funding XVIII Ltd. | | | | | | | | |
2.04% (3 Month LIBOR USD + 0.94%, 0.94% Floor), 10/21/2030, Series 2015-18A, Class ARR(1)(2) | | | 5,185 | | | | 5,081 | |
Madison Park Funding XXVI Ltd. | | | | | | | | |
2.44% (3 Month LIBOR USD + 1.20%), 07/29/2030, Series 2017-26A, Class AR(1)(2) | | | 2,940 | | | | 2,897 | |
Madison Park Funding XXXIII Ltd. | | | | | | | | |
2.14% (3 Month Term SOFR + 1.29%, 1.29% Floor), 10/15/2032, Series 2019-33A, Class AR(1)(2) | | | 14,360 | | | | 14,027 | |
Madison Park Funding XXXIV Ltd. | | | | | | | | |
2.30% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/25/2032, Series 2019-34A, Class AR(1)(2) | | | 250 | | | | 243 | |
Madison Park Funding XXXIX Ltd. | | | | | | | | |
2.79% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 10/22/2034, Series 2021-39A, Class B(1)(2) | | | 25,900 | | | | 24,493 | |
Madison Park Funding XXXV Ltd. | | | | | | | | |
2.05% (3 Month LIBOR USD + 0.99%, 0.99% Floor), 04/20/2032, Series 2019-35A, Class A1R(1)(2) | | | 2,500 | | | | 2,435 | |
Magnetite VII Ltd. | | | | | | | | |
1.84% (3 Month LIBOR USD + 0.80%), 01/15/2028, Series 2012-7A, Class A1R2(1)(2) | | | 10,962 | | | | 10,803 | |
Magnetite VIII Ltd. | | | | | | | | |
2.02% (3 Month LIBOR USD + 0.98%, 0.98% Floor), 04/15/2031, Series 2014-8A, Class AR2(1)(2) | | | 1,100 | | | | 1,085 | |
Magnetite XXV Ltd. | | | | | | | | |
2.38% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 01/25/2032, Series 2020-25A, Class A(1)(2) | | | 18,000 | | | | 17,623 | |
MAPS 2018-1 Ltd. | | | | | | | | |
4.21%, 05/15/2043, Series 2018-1A, Class A(1) | | | 5,204 | | | | 4,821 | |
MAPS 2019-1 Ltd. | | | | | | | | |
4.46%, 03/15/2044, Series 2019-1A, Class A(1) | | | 1,066 | | | | 965 | |
MAPS 2021-1 Trust | | | | | | | | |
2.52%, 06/15/2046, Series 2021-1A, Class A(1) | | | 15,697 | | | | 13,621 | |
Marble Point CLO X Ltd. | | | | | | | | |
2.08% (3 Month LIBOR USD + 1.04%, 1.04% Floor), 10/15/2030, Series 2017-1A, Class AR(1)(2) | | | 800 | | | | 789 | |
Marlette Funding Trust 2021-2 | | | | | | | | |
1.50%, 09/15/2031, Series 2021-2A, Class C(1) | | | 1,120 | | | | 1,043 | |
Marlette Funding Trust 2021-3 | | | | | | | | |
1.81%, 12/15/2031, Series 2021-3A, Class C(1) | | | 2,145 | | | | 1,907 | |
MASTR Asset Backed Securities Trust 2004-WMC1 | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 02/25/2034, Series 2004-WMC1, Class M1(2) | | | 1,052 | | | | 1,032 | |
MASTR Specialized Loan Trust | | | | | | | | |
2.14% (1 Month LIBOR USD + 0.52%, 0.52% Floor), 02/25/2036, Series 2006-2, Class A(1)(2) | | | 494 | | | | 472 | |
Mercury Financial Credit Card Master Trust | | | | | | | | |
1.54%, 03/20/2026, Series 2021-1A, Class A(1) | | | 4,880 | | | | 4,643 | |
4.21%, 03/20/2026, Series 2021-1A, Class C(1) | | | 5,000 | | | | 4,789 | |
Merlin Aviation Holdings DAC | | | | | | | | |
4.50%, 12/15/2032, Series 2016-1, Class A(1)(5) | | | 1,553 | | | | 1,247 | |
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | | | | | | | | |
1.86% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037, Series 2007-2, Class A2C(2) | | | 2,224 | | | | 1,743 | |
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5 | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2037, Series 2007-5, Class 2A2(2) | | | 15,366 | | | | 13,778 | |
Merrill Lynch Mortgage Investors Trust Series 2006-OPT1 | | | | | | | | |
1.77% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 08/25/2037, Series 2006-OPT1, Class A1(2) | | | 12,288 | | | | 11,289 | |
METAL 2017-1 LLC | | | | | | | | |
4.58%, 10/15/2042, Series 2017-1, Class A(1) | | | 3,164 | | | | 2,463 | |
MF1 2020-FL4 Ltd. | | | | | | | | |
3.15% (1 Month Term SOFR + 1.81%, 1.70% Floor), 11/15/2035, Series 2020-FL4, Class A(1)(2) | | | 29,500 | | | | 29,358 | |
MF1 2021-FL6 Ltd. | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 07/16/2036, Series 2021-FL6, Class A(1)(2) | | | 21,219 | | | | 20,688 | |
MF1 2021-FL7 Ltd. | | | | | | | | |
2.69% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 10/16/2036, Series 2021-FL7, Class A(1)(2) | | | 24,015 | | | | 23,200 | |
MF1 2022-FL8 Ltd. | | | | | | | | |
2.14% (30-day Average SOFR + 1.35%, 1.35% Floor), 02/19/2037, Series 2022-FL8, Class A(1)(2) | | | 6,050 | | | | 5,842 | |
MF1 2022-FL9 LLC | | | | | | | | |
2.96% (1 Month Term SOFR + 2.15%, 2.15% Floor), 06/19/2037, Series 2022-FL9, Class A(1)(2) | | | 1,546 | | | | 1,542 | |
Midocean Credit CLO VIII | | | | | | | | |
2.53% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 02/20/2031, Series 2018-8A, Class A1R(1)(2) | | | 27,400 | | | | 26,869 | |
| | | | | | | | |
Mission Lane Credit Card Master Trust | | | | | | | | |
2.24%, 09/15/2026, Series 2021-A, Class B(1) | | | 1,195 | | | | 1,153 | |
Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC2 | | | | | | | | |
2.55% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 02/25/2035, Series 2005-WMC2, Class M4(2) | | | 1,569 | | | | 1,500 | |
Morgan Stanley ABS Capital I, Inc. Trust 2006-HE8 | | | | | | | | |
1.75% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036, Series 2006-HE8, Class A1(2) | | | 485 | | | | 436 | |
Morgan Stanley Capital I, Inc. Trust 2006-HE1 | | | | | | | | |
2.20% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 01/25/2036, Series 2006-HE1, Class A4(2) | | | 6,158 | | | | 5,956 | |
Morgan Stanley Mortgage Loan Trust 2006-15XS | | | | | | | | |
6.70%, 11/25/2036, Series 2006-15XS, Class A4A(5) | | | 12,730 | | | | 3,677 | |
Morgan Stanley Mortgage Loan Trust 2007-8XS | | | | | | | | |
2.15% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037, Series 2007-8XS, Class A5(2) | | | 20,007 | | | | 8,219 | |
2.16% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037, Series 2007-8XS, Class A9(2) | | | 1,932 | | | | 794 | |
Mountain View CLO 2017-1 LLC | | | | | | | | |
2.13% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 10/16/2029, Series 2017-1A, Class AR(1)(2) | | | 13,493 | | | | 13,302 | |
Mountain View CLO IX Ltd. | | | | | | | | |
2.16% (3 Month LIBOR USD + 1.12%), 07/15/2031, Series 2015-9A, Class A1R(1)(2) | | | 1,400 | | | | 1,375 | |
Mountain View CLO X Ltd. | | | | | | | | |
1.84% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 10/13/2027, Series 2015-10A, Class AR(1)(2) | | | 410 | | | | 408 | |
MVW 2020-1 LLC | | | | | | | | |
4.21%, 10/20/2037, Series 2020-1A, Class C(1) | | | 330 | | | | 319 | |
MVW 2021-1W LLC | | | | | | | | |
1.94%, 01/22/2041, Series 2021-1WA, Class C(1) | | | 777 | | | | 713 | |
MVW 2021-2 LLC | | | | | | | | |
2.23%, 05/20/2039, Series 2021-2A, Class C(1) | | | 12,136 | | | | 11,072 | |
MVW Owner Trust 2017-1 | | | | | | | | |
2.75%, 12/20/2034, Series 2017-1A, Class B(1) | | | 38 | | | | 37 | |
MVW Owner Trust 2019-1 | | | | | | | | |
3.33%, 11/20/2036, Series 2019-1A, Class C(1) | | | 208 | | | | 197 | |
Nassau 2017-I Ltd. | | | | | | | | |
2.19% (3 Month LIBOR USD + 1.15%), 10/15/2029, Series 2017-IA, Class A1AS(1)(2) | | | 13,779 | | | | 13,683 | |
National Collegiate Student Loan Trust 2005-3 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.29%), 10/25/2033, Series 2005-3W, Class A51(1)(2) | | | 5,015 | | | | 4,873 | |
Navient Private Education Loan Trust 2015-B | | | | | | | | |
2.77% (1 Month LIBOR USD + 1.45%), 07/16/2040, Series 2015-BA, Class A3(1)(2) | | | 11,691 | | | | 11,648 | |
Navient Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 12/16/2058, Series 2017-A, Class A2A(1) | | | 164 | | | | 163 | |
3.91%, 12/16/2058, Series 2017-A, Class B(1) | | | 440 | | | | 415 | |
Navient Private Education Loan Trust 2018-B | | | | | | | | |
3.61%, 12/15/2059, Series 2018-BA, Class A2A(1) | | | 1,010 | | | | 998 | |
Navient Private Education Loan Trust 2020-I | | | | | | | | |
1.33%, 04/15/2069, Series 2020-IA, Class A1A(1) | | | 8,919 | | | | 8,195 | |
2.32% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 04/15/2069, Series 2020-IA, Class A1B(1)(2) | | | 15,376 | | | | 15,134 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
3.19%, 02/18/2042, Series 2018-A, Class A2(1) | | | 464 | | | | 463 | |
Navient Private Education Refi Loan Trust 2018-C | | | | | | | | |
3.52%, 06/16/2042, Series 2018-CA, Class A2(1) | | | 270 | | | | 269 | |
Navient Private Education Refi Loan Trust 2019-F | | | | | | | | |
2.60%, 08/15/2068, Series 2019-FA, Class A2(1) | | | 3,291 | | | | 3,136 | |
Navient Private Education Refi Loan Trust 2019-G | | | | | | | | |
2.40%, 10/15/2068, Series 2019-GA, Class A(1) | | | 3,457 | | | | 3,331 | |
Navient Private Education Refi Loan Trust 2020-B | | | | | | | | |
2.12%, 01/15/2069, Series 2020-BA, Class A2(1) | | | 3,390 | | | | 3,187 | |
Navient Private Education Refi Loan Trust 2020-C | | | | | | | | |
2.15%, 11/15/2068, Series 2020-CA, Class A2A(1) | | | 4,661 | | | | 4,318 | |
2.83%, 11/15/2068, Series 2020-CA, Class B(1) | | | 4,665 | | | | 4,011 | |
Navient Private Education Refi Loan Trust 2020-D | | | | | | | | |
1.69%, 05/15/2069, Series 2020-DA, Class A(1) | | | 5,965 | | | | 5,635 | |
Navient Private Education Refi Loan Trust 2020-G | | | | | | | | |
1.17%, 09/16/2069, Series 2020-GA, Class A(1) | | | 4,005 | | | | 3,756 | |
Navient Private Education Refi Loan Trust 2020-H | | | | | | | | |
1.31%, 01/15/2069, Series 2020-HA, Class A(1) | | | 2,951 | | | | 2,750 | |
Navient Private Education Refi Loan Trust 2021-A | | | | | | | | |
0.84%, 05/15/2069, Series 2021-A, Class A(1) | | | 3,371 | | | | 3,086 | |
2.24%, 05/15/2069, Series 2021-A, Class B(1) | | | 360 | | | | 301 | |
Navient Private Education Refi Loan Trust 2021-E | | | | | | | | |
2.03%, 12/16/2069, Series 2021-EA, Class B(1) | | | 1,680 | | | | 1,375 | |
Navient Private Education Refi Loan Trust 2021-F | | | | | | | | |
2.12%, 02/18/2070, Series 2021-FA, Class B(1) | | | 3,810 | | | | 2,910 | |
Navient Student Loan Trust 2014-3 | | | | | | | | |
2.24% (1 Month LIBOR USD + 0.62%), 03/25/2083, Series 2014-3, Class A(2) | | | 235 | | | | 228 | |
Navient Student Loan Trust 2016-2 | | | | | | | | |
3.12% (1 Month LIBOR USD + 1.50%), 06/25/2065, Series 2016-2A, Class A3(1)(2) | | | 6,055 | | | | 6,054 | |
Navient Student Loan Trust 2018-2 | | | | | | | | |
2.37% (1 Month LIBOR USD + 0.75%), 03/25/2067, Series 2018-2A, Class A3(1)(2) | | | 15,000 | | | | 14,460 | |
Navigator Aircraft ABS Ltd. | | | | | | | | |
2.77%, 11/15/2046, Series 2021-1, Class A(1)(5) | | | 13,934 | | | | 12,405 | |
Nelnet Student Loan Trust 2006-1 | | | | | | | | |
1.95% (3 Month LIBOR USD + 0.45%), 08/23/2036, Series 2006-1, Class A6(1)(2) | | | 24,504 | | | | 23,691 | |
Nelnet Student Loan Trust 2014-2 | | | | | | | | |
2.47% (1 Month LIBOR USD + 0.85%), 07/27/2037, Series 2014-2A, Class A3(1)(2) | | | 4,250 | | | | 4,107 | |
Nelnet Student Loan Trust 2021-B | | | | | | | | |
1.42%, 04/20/2062, Series 2021-BA, Class AFX(1) | | | 8,144 | | | | 7,548 | |
Neuberger Berman CLO XIV Ltd. | | | | | | | | |
2.27% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 01/28/2030, Series 2013-14A, Class AR2(1)(2) | | | 2,334 | | | | 2,304 | |
Neuberger Berman CLO XVI-S Ltd. | | | | | | | | |
2.08% (3 Month LIBOR USD + 1.04%, 1.04% Floor), 04/15/2034, Series 2017-16SA, Class AR(1)(2) | | | 18,770 | | | | 18,081 | |
| | | | | | | | |
Neuberger Berman Loan Advisers CLO 32 Ltd. | | | | | | | | |
2.03% (3 Month LIBOR USD + 0.99%, 0.99% Floor), 01/20/2032, Series 2019-32A, Class AR(1)(2) | | | 15,740 | | | | 15,360 | |
Neuberger Berman Loan Advisers CLO 42 Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/16/2035, Series 2021-42A, Class A(1)(2) | | | 550 | | | | 527 | |
Neuberger Berman Loan Advisers CLO 43 Ltd. | | | | | | | | |
2.17% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 07/17/2035, Series 2021-43A, Class A(1)(2) | | | 29,715 | | | | 28,614 | |
New Century Home Equity Loan Trust 2005-1 | | | | | | | | |
2.30% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 12.50% Cap), 03/25/2035, Series 2005-1, Class M1(2) | | | 4,536 | | | | 4,515 | |
New Century Home Equity Loan Trust Series 2005-D | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.71%, 0.71% Floor), 02/25/2036, Series 2005-D, Class M2(2) | | | 10,390 | | | | 8,568 | |
Nissan Auto Receivables 2019-C Owner Trust | | | | | | | | |
1.93%, 07/15/2024, Series 2019-C, Class A3 | | | 2,039 | | | | 2,033 | |
Nissan Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.38%, 12/16/2024, Series 2020-A, Class A3 | | | 4,578 | | | | 4,537 | |
Nissan Auto Receivables 2020-B Owner Trust | | | | | | | | |
0.55%, 07/15/2024, Series 2020-B, Class A3 | | | 2,734 | | | | 2,707 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 | | | | | | | | |
2.24% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 02/25/2036, Series 2006-HE1, Class M1(2) | | | 642 | | | | 640 | |
OCP CLO 2014-5 Ltd. | | | | | | | | |
2.29% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 04/26/2031, Series 2014-5A, Class A1R(1)(2) | | | 1,250 | | | | 1,226 | |
OCP CLO 2014-7 Ltd. | | | | | | | | |
2.18% (3 Month LIBOR USD + 1.12%), 07/20/2029, Series 2014-7A, Class A1RR(1)(2) | | | 14,474 | | | | 14,300 | |
OCP CLO 2020-19 Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2034, Series 2020-19A, Class AR(1)(2) | | | 12,450 | | | | 11,999 | |
Octagon Investment Partners 29 Ltd. | | | | | | | | |
2.36% (3 Month LIBOR USD + 1.18%), 01/24/2033, Series 2016-1A, Class AR(1)(2) | | | 7,880 | | | | 7,708 | |
Octagon Investment Partners 43 Ltd. | | | | | | | | |
2.83% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 10/25/2032, Series 2019-1A, Class A2(1)(2) | | | 1,250 | | | | 1,206 | |
Octagon Investment Partners XVI Ltd. | | | | | | | | |
2.06% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 07/17/2030, Series 2013-1A, Class A1R(1)(2) | | | 1,000 | | | | 977 | |
OHA Credit Funding 3 Ltd. | | | | | | | | |
2.20% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/02/2035, Series 2019-3A, Class AR(1)(2) | | | 8,770 | | | | 8,464 | |
OHA Credit Funding 4 Ltd. | | | | | | | | |
2.29% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/22/2036, Series 2019-4A, Class AR(1)(2) | | | 750 | | | | 724 | |
OHA Credit Funding 6 Ltd. | | | | | | | | |
2.20% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/20/2034, Series 2020-6A, Class AR(1)(2) | | | 6,730 | | | | 6,490 | |
OHA Credit Funding 7 Ltd. | | | | | | | | |
2.15% (3 Month Term SOFR + 1.30%, 1.30% Floor), 02/24/2037, Series 2020-7A, Class AR(1)(2) | | | 330 | | | | 319 | |
OHA Credit Partners XIII Ltd. | | | | | | | | |
2.80% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 10/25/2034, Series 2016-13A, Class BR(1)(2) | | | 250 | | | | 237 | |
OHA Credit Partners XVI | | | | | | | | |
2.19% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/18/2034, Series 2021-16A, Class A(1)(2) | | | 6,680 | | | | 6,467 | |
OneMain Financial Issuance Trust 2016-3 | | | | | | | | |
3.83%, 06/18/2031, Series 2016-3A, Class A(1) | | | 10 | | | | 10 | |
Onemain Financial Issuance Trust 2018-1 | | | | | | | | |
4.08%, 03/14/2029, Series 2018-1A, Class D(1) | | | 1,220 | | | | 1,188 | |
OneMain Financial Issuance Trust 2018-2 | | | | | | | | |
3.57%, 03/14/2033, Series 2018-2A, Class A(1) | | | 2,256 | | | | 2,218 | |
4.04%, 03/14/2033, Series 2018-2A, Class C(1) | | | 1,015 | | | | 976 | |
OneMain Financial Issuance Trust 2019-1 | | | | | | | | |
4.22%, 02/14/2031, Series 2019-1A, Class D(1) | | | 3,360 | | | | 3,357 | |
OneMain Financial Issuance Trust 2020-2 | | | | | | | | |
1.75%, 09/14/2035, Series 2020-2A, Class A(1) | | | 3,465 | | | | 3,086 | |
OneMain Financial Issuance Trust 2020-A | | | | | | | | |
4.83%, 05/14/2032, Series 2020-1A, Class B(1) | | | 2,425 | | | | 2,431 | |
OneMain Financial Issuance Trust 2021-1 | | | | | | | | |
1.54% (30-day Average SOFR + 0.76%), 06/16/2036, Series 2021-1A, Class A2(1)(2) | | | 244 | | | | 231 | |
2.47%, 06/16/2036, Series 2021-1A, Class D(1) | | | 3,300 | | | | 2,785 | |
OneMain Financial Issuance Trust 2022-S1 | | | | | | | | |
5.20%, 05/14/2035, Series 2022-S1, Class D(1) | | | 8,785 | | | | 8,601 | |
Option One Mortgage Loan Trust 2004-2 | | | | | | | | |
2.42% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/25/2034, Series 2004-2, Class M1(2) | | | 5,346 | | | | 5,131 | |
Option One Mortgage Loan Trust 2005-2 | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.66%, 0.66% Floor), 05/25/2035, Series 2005-2, Class M1(2) | | | 149 | | | | 148 | |
Option One Mortgage Loan Trust 2006-1 | | | | | | | | |
2.06% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 01/25/2036, Series 2006-1, Class 1A1(2) | | | 104 | | | | 104 | |
2.22% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 01/25/2036, Series 2006-1, Class 2A4(2) | | | 9,271 | | | | 9,185 | |
Option One Mortgage Loan Trust 2006-3 | | | | | | | | |
1.76% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037, Series 2006-3, Class 1A1(2) | | | 16,689 | | | | 11,439 | |
Option One Mortgage Loan Trust 2007-4 | | | | | | | | |
1.80% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 04/25/2037, Series 2007-4, Class 2A2(2) | | | 15,130 | | | | 9,113 | |
OZLM VI Ltd. | | | | | | | | |
2.12% (3 Month LIBOR USD + 1.08%), 04/17/2031, Series 2014-6A, Class A1S(1)(2) | | | 15,517 | | | | 15,195 | |
OZLM VII Ltd. | | | | | | | | |
2.05% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029, Series 2014-7RA, Class A1R(1)(2) | | | 6,096 | | | | 6,025 | |
OZLM VIII Ltd. | | | | | | | | |
2.02% (3 Month LIBOR USD + 0.98%, 0.98% Floor), 10/17/2029, Series 2014-8A, Class A1R3(1)(2) | | | 36,264 | | | | 35,796 | |
2.69% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 10/17/2029, Series 2014-8A, Class A2R3(1)(2) | | | 2,955 | | | | 2,863 | |
Pagaya AI Debt Selection Trust 2021-5 | | | | | | | | |
1.53%, 08/15/2029, Series 2021-5, Class A(1) | | | 36,918 | | | | 35,737 | |
Palmer Square CLO 2013-2 Ltd. | | | | | | | | |
2.54% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 10/17/2031, Series 2013-2A, Class A2R3(1)(2) | | | 250 | | | | 240 | |
Palmer Square CLO 2020-3 Ltd. | | | | | | | | |
2.49% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 11/15/2031, Series 2020-3A, Class A1AR(1)(2) | | | 26,020 | | | | 25,456 | |
Palmer Square CLO 2021-2 Ltd. | | | | | | | | |
2.19% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2034, Series 2021-2A, Class A(1)(2) | | | 9,020 | | | | 8,684 | |
Palmer Square CLO 2021-4 Ltd. | | | | | | | | |
2.21% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/15/2034, Series 2021-4A, Class A(1)(2) | | | 22,275 | | | | 21,491 | |
| | | | | | | | |
Palmer Square Loan Funding 2019-4 Ltd. | | | | | | | | |
2.08% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 10/24/2027, Series 2019-4A, Class A1(1)(2) | | | 513 | | | | 509 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WHQ4 | | | | | | | | |
2.40% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 09/25/2035, Series 2005-WHQ4, Class M3(2) | | | 8,000 | | | | 7,285 | |
Pikes Peak CLO 11 | | | | | | | | |
0.00% (3 Month Term SOFR + 1.95%, 1.95% Floor), 07/25/2034, Series 2022-11A, Class A1(1)(2)(3) | | | 1,760 | | | | 1,760 | |
Planet Fitness Master Issuer LLC | | | | | | | | |
3.86%, 12/05/2049, Series 2019-1A, Class A2(1) | | | 775 | | | | 689 | |
4.67%, 09/05/2048, Series 2018-1A, Class A2II(1) | | | 4,245 | | | | 4,128 | |
Prestige Auto Receivables Trust 2018-1 | | | | | | | | |
3.75%, 10/15/2024, Series 2018-1A, Class C(1) | | | 164 | | | | 164 | |
Prestige Auto Receivables Trust 2020-1 | | | | | | | | |
3.67%, 02/15/2028, Series 2020-1A, Class E(1) | | | 3,270 | | | | 3,207 | |
PRET 2021-NPL5 LLC | | | | | | | | |
2.49%, 10/25/2051, Series 2021-NPL5, Class A1(1)(5) | | | 25,734 | | | | 24,130 | |
PRET 2021-RN3 LLC | | | | | | | | |
1.84%, 09/25/2051, Series 2021-RN3, Class A1(1)(5) | | | 35,183 | | | | 32,923 | |
PRET 2022-RN1 LLC | | | | | | | | |
3.72%, 07/25/2051, Series 2022-RN1, Class A1(1)(5) | | | 23,652 | | | | 22,468 | |
Progress Residential 2019-SFR4 Trust | | | | | | | | |
3.14%, 10/17/2036, Series 2019-SFR4, Class D(1) | | | 1,915 | | | | 1,858 | |
Progress Residential 2020-SFR3 Trust | | | | | | | | |
1.50%, 10/17/2027, Series 2020-SFR3, Class B(1) | | | 345 | | | | 311 | |
2.30%, 10/17/2027, Series 2020-SFR3, Class E(1) | | | 545 | | | | 490 | |
Progress Residential 2021-SFR11 Trust | | | | | | | | |
2.28%, 01/17/2039, Series 2021-SFR11, Class A(1) | | | 11,973 | | | | 10,469 | |
Progress Residential 2021-SFR2 Trust | | | | | | | | |
2.55%, 04/19/2038, Series 2021-SFR2, Class E1(1) | | | 4,365 | | | | 3,870 | |
Progress Residential 2021-SFR3 | | | | | | | | |
2.54%, 05/17/2026, Series 2021-SFR3, Class E1(1) | | | 1,815 | | | | 1,580 | |
2.69%, 05/17/2026, Series 2021-SFR3, Class E2(1) | | | 1,510 | | | | 1,309 | |
Progress Residential 2021-SFR4 | | | | | | | | |
2.41%, 05/17/2038, Series 2021-SFR4, Class E1(1) | | | 955 | | | | 851 | |
2.56%, 05/17/2038, Series 2021-SFR4, Class E2(1) | | | 640 | | | | 566 | |
Progress Residential 2021-SFR5 Trust | | | | | | | | |
2.21%, 07/17/2038, Series 2021-SFR5, Class E1(1) | | | 2,185 | | | | 1,889 | |
2.36%, 07/17/2038, Series 2021-SFR5, Class E2(1) | | | 545 | | | | 469 | |
Progress Residential 2021-SFR7 Trust | | | | | | | | |
2.59%, 08/17/2040, Series 2021-SFR7, Class E1(1) | | | 3,970 | | | | 3,265 | |
2.64%, 08/17/2040, Series 2021-SFR7, Class E2(1) | | | 1,035 | | | | 829 | |
Progress Residential 2021-SFR9 Trust | | | | | | | | |
2.81%, 11/17/2040, Series 2021-SFR9, Class E1(1) | | | 1,130 | | | | 906 | |
3.01%, 11/17/2040, Series 2021-SFR9, Class E2(1) | | | 615 | | | | 491 | |
Progress Residential Trust | | | | | | | | |
2.43%, 07/17/2038, Series 2021-SFR6, Class E1(1) | | | 2,730 | | | | 2,357 | |
2.53%, 07/17/2038, Series 2021-SFR6, Class E2(1) | | | 1,375 | | | | 1,178 | |
RAAC Series 2006-RP4 Trust | | | | | | | | |
2.45% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 14.00% Cap), 01/25/2046, Series 2006-RP4,
Class M1(1)(2) | | | 10,471 | | | | 10,211 | |
Rad CLO 15 Ltd. | | | | | | | | |
1.34% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 01/20/2034, Series 2021-15A, Class A(1)(2) | | | 5,310 | | | | 5,195 | |
Rad CLO 5 Ltd. | | | | | | | | |
2.30% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 07/24/2032, Series 2019-5A, Class AR(1)(2) | | | 700 | | | | 684 | |
RAMP Series 2005-RS5 Trust | | | | | | | | |
2.64% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 14.00% Cap), 05/25/2035, Series 2005-RS5, Class M5(2) | | | 500 | | | | 490 | |
RASC Series 2005-KS10 Trust | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 14.00% Cap), 11/25/2035, Series 2005-KS10, Class M2(2) | | | 2,645 | | | | 2,626 | |
RASC Series 2006-KS9 Trust | | | | | | | | |
1.78% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036, Series 2006-KS9, Class AI3(2) | | | 6 | | | | 11 | |
RASC Series 2007-KS3 Trust | | | | | | | | |
1.96% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037, Series 2007-KS3, Class AI4(2) | | | 28,756 | | | | 27,342 | |
Regional Management Issuance Trust 2022-1 | | | | | | | | |
3.07%, 03/15/2032, Series 2022-1, Class A(1) | | | 1,326 | | | | 1,253 | |
Republic Finance Issuance Trust 2021-A | | | | | | | | |
3.53%, 12/22/2031, Series 2021-A, Class C(1) | | | 795 | | | | 724 | |
Rockford Tower CLO 2017-3 Ltd. | | | | | | | | |
2.25% (3 Month LIBOR USD + 1.19%), 10/20/2030, Series 2017-3A, Class A(1)(2) | | | 7,100 | | | | 6,959 | |
Rockford Tower CLO 2019-2 Ltd. | | | | | | | | |
2.58% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 08/20/2032, Series 2019-2A, Class AR(1)(2) | | | 13,850 | | | | 13,453 | |
Rockford Tower CLO 2021-1 Ltd. | | | | | | | | |
2.23% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 07/20/2034, Series 2021-1A, Class A1(1)(2) | | | 25,790 | | | | 24,996 | |
RR 3 Ltd. | | | | | | | | |
2.13% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 01/15/2030, Series 2018-3A, Class A1R2(1)(2) | | | 3,040 | | | | 2,994 | |
Santander Drive Auto Receivables Trust 2018-4 | | | | | | | | |
3.98%, 12/15/2025, Series 2018-4, Class D | | | 2,009 | | | | 2,015 | |
Santander Drive Auto Receivables Trust 2018-5 | | | | | | | | |
4.19%, 12/16/2024, Series 2018-5, Class D | | | 660 | | | | 662 | |
Santander Drive Auto Receivables Trust 2019-1 | | | | | | | | |
3.65%, 04/15/2025, Series 2019-1, Class D | | | 6,130 | | | | 6,135 | |
Santander Drive Auto Receivables Trust 2019-3 | | | | | | | | |
2.68%, 10/15/2025, Series 2019-3, Class D | | | 4,095 | | | | 4,085 | |
Santander Drive Auto Receivables Trust 2020-1 | | | | | | | | |
4.11%, 12/15/2025, Series 2020-1, Class C | | | 840 | | | | 840 | |
5.35%, 03/15/2028, Series 2020-1, Class D | | | 7,195 | | | | 7,264 | |
Santander Drive Auto Receivables Trust 2020-4 | | | | | | | | |
1.48%, 01/15/2027, Series 2020-4, Class D | | | 595 | | | | 573 | |
Santander Drive Auto Receivables Trust 2021-1 | | | | | | | | |
1.13%, 11/16/2026, Series 2021-1, Class D | | | 3,280 | | | | 3,143 | |
| | | | | | | | |
Santander Drive Auto Receivables Trust 2021-3 | | | | | | | | |
1.33%, 09/15/2027, Series 2021-3, Class D | | | 9,445 | | | | 8,928 | |
Santander Drive Auto Receivables Trust 2021-4 | | | | | | | | |
1.67%, 10/15/2027, Series 2021-4, Class D | | | 6,305 | | | | 5,864 | |
Santander Retail Auto Lease Trust 2019-B | | | | | | | | |
3.31%, 06/20/2024, Series 2019-B, Class D(1) | | | 6,610 | | | | 6,600 | |
Santander Retail Auto Lease Trust 2019-C | | | | | | | | |
2.88%, 06/20/2024, Series 2019-C, Class D(1) | | | 10,280 | | | | 10,247 | |
Santander Retail Auto Lease Trust 2021-A | | | | | | | | |
1.38%, 03/22/2027, Series 2021-A, Class D(1) | | | 8,685 | | | | 8,098 | |
Saxon Asset Securities Trust 2006-1 | | | | | | | | |
2.09% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 12.25% Cap), 03/25/2036, Series 2006-1, Class M1(2) | | | 1,148 | | | | 1,107 | |
Saxon Asset Securities Trust 2007-2 | | | | | | | | |
1.82% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2047, Series 2007-2, Class A1(2) | | | 18,850 | | | | 16,639 | |
Saxon Asset Securities Trust 2007-3 | | | | | | | | |
1.93% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2037, Series 2007-3, Class 1A(2) | | | 17,079 | | | | 16,346 | |
SCF Equipment Leasing 2021-1 LLC | | | | | | | | |
1.93%, 09/20/2030, Series 2021-1A, Class D(1) | | | 340 | | | | 307 | |
SCF Equipment Leasing 2022-1 LLC | | | | | | | | |
3.79%, 11/20/2031, Series 2022-1A, Class D(1) | | | 2,740 | | | | 2,564 | |
Securitized Asset Backed Receivables LLC Trust 2004-OP1 | | | | | | | | |
2.39% (1 Month LIBOR USD + 0.77%, 0.77% Floor), 02/25/2034, Series 2004-OP1, Class M1(2) | | | 9,526 | | | | 9,319 | |
Securitized Asset Backed Receivables LLC Trust 2005-HE1 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 10/25/2035, Series 2005-HE1, Class M1(2) | | | 2,837 | | | | 2,555 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB5 | | | | | | | | |
1.90% (1 Month LIBOR USD + 0.28%, 0.28% Floor), 06/25/2036, Series 2006-CB5, Class A3(2) | | | 4,256 | | | | 2,908 | |
ServiceMaster Funding LLC | | | | | | | | |
2.84%, 01/30/2051, Series 2020-1, Class A2I(1) | | | 639 | | | | 550 | |
Sierra Timeshare 2019-1 Receivables Funding LLC | | | | | | | | |
3.20%, 01/20/2036, Series 2019-1A, Class A(1) | | | 691 | | | | 678 | |
Sierra Timeshare 2019-2 Receivables Funding LLC | | | | | | | | |
3.12%, 05/20/2036, Series 2019-2A, Class C(1) | | | 1,298 | | | | 1,245 | |
Sierra Timeshare 2019-3 Receivables Funding LLC | | | | | | | | |
3.00%, 08/20/2036, Series 2019-3A, Class C(1) | | | 872 | | | | 832 | |
Sierra Timeshare 2021-1 Receivables Funding LLC | | | | | | | | |
1.34%, 11/20/2037, Series 2021-1A, Class B(1) | | | 2,630 | | | | 2,448 | |
1.79%, 11/20/2037, Series 2021-1A, Class C(1) | | | 729 | | | | 677 | |
Sixth Street CLO XVI Ltd. | | | | | | | | |
2.38% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 10/20/2032, Series 2020-16A, Class A1A(1)(2) | | | 6,370 | | | | 6,255 | |
S-Jets 2017-1 Ltd. | | | | | | | | |
3.97%, 08/15/2042, Series 2017-1, Class A(1) | | | 14,346 | | | | 12,600 | |
Slam 2021-1 Ltd. | | | | | | | | |
2.43%, 06/15/2046, Series 2021-1A, Class A(1) | | | 9,309 | | | | 8,028 | |
SLM Private Credit Student Loan Trust 2003-B | | | | | | | | |
0.00%, 03/15/2033, Series 2003-B, Class A3(4) | | | 1,554 | | | | 1,519 | |
SLM Private Credit Student Loan Trust 2005-B | | | | | | | | |
2.16% (3 Month LIBOR USD + 0.33%), 06/15/2039, Series 2005-B, Class A4(2) | | | 5,429 | | | | 5,170 | |
SLM Student Loan Trust 2003-7 | | | | | | | | |
3.03% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033, Series 2003-7A, Class A5A(1)(2) | | | 6,927 | | | | 6,634 | |
SLM Student Loan Trust 2005-4 | | | | | | | | |
1.35% (3 Month LIBOR USD + 0.17%), 07/25/2040, Series 2005-4, Class A4(2) | | | 11,000 | | | | 10,350 | |
SLM Student Loan Trust 2006-10 | | | | | | | | |
1.40% (3 Month LIBOR USD + 0.22%), 03/25/2044, Series 2006-10, Class B(2) | | | 1,607 | | | | 1,437 | |
SLM Student Loan Trust 2007-2 | | | | | | | | |
1.35% (3 Month LIBOR USD + 0.17%), 07/25/2025, Series 2007-2, Class B(2) | | | 6,950 | | | | 6,028 | |
SLM Student Loan Trust 2007-7 | | | | | | | | |
1.51% (3 Month LIBOR USD + 0.33%), 12/30/2022, Series 2007-7, Class A4(2) | | | 1,962 | | | | 1,906 | |
SLM Student Loan Trust 2008-2 | | | | | | | | |
1.93% (3 Month LIBOR USD + 0.75%), 04/25/2023, Series 2008-2, Class A3(2) | | | 6,766 | | | | 6,574 | |
SLM Student Loan Trust 2008-5 | | | | | | | | |
2.88% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023, Series 2008-5, Class A4(2) | | | 2,940 | | | | 2,937 | |
3.03% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073, Series 2008-5, Class B(2) | | | 7,350 | | | | 7,279 | |
SLM Student Loan Trust 2008-6 | | | | | | | | |
2.28% (3 Month LIBOR USD + 1.10%), 07/25/2023, Series 2008-6, Class A4(2) | | | 10,191 | | | | 9,918 | |
SLM Student Loan Trust 2008-7 | | | | | | | | |
2.08% (3 Month LIBOR USD + 0.90%), 07/25/2023, Series 2008-7, Class A4(2) | | | 7,966 | | | | 7,795 | |
SLM Student Loan Trust 2012-1 | | | | | | | | |
2.57% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028, Series 2012-1, Class A3(2) | | | 10,190 | | | | 9,875 | |
SLM Student Loan Trust 2012-2 | | | | | | | | |
1.71% (1 Month LIBOR USD + 0.70%), 01/25/2029, Series 2012-2, Class A(2) | | | 11,919 | | | | 11,364 | |
SLM Student Loan Trust 2012-7 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026, Series 2012-7, Class A3(2) | | | 3,980 | | | | 3,831 | |
3.42% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043, Series 2012-7, Class B(2) | | | 2,220 | | | | 2,146 | |
SLM Student Loan Trust 2014-1 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.60%), 02/26/2029, Series 2014-1, Class A3(2) | | | 2,368 | | | | 2,255 | |
SMB Private Education Loan Trust 2015-B | | | | | | | | |
3.07% (1 Month LIBOR USD + 1.75%), 05/17/2032, Series 2015-B, Class A3(1)(2) | | | 1,290 | | | | 1,290 | |
SMB Private Education Loan Trust 2015-C | | | | | | | | |
3.50%, 09/15/2043, Series 2015-C, Class B(1) | | | 1,295 | | | | 1,239 | |
SMB Private Education Loan Trust 2016-A | | | | | | | | |
2.70%, 05/15/2031, Series 2016-A, Class A2A(1) | | | 136 | | | | 134 | |
SMB Private Education Loan Trust 2016-B | | | | | | | | |
2.43%, 02/17/2032, Series 2016-B, Class A2A(1) | | | 800 | | | | 773 | |
SMB Private Education Loan Trust 2016-C | | | | | | | | |
2.34%, 09/15/2034, Series 2016-C, Class A2A(1) | | | 249 | | | | 241 | |
SMB Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 09/15/2034, Series 2017-A, Class A2A(1) | | | 755 | | | | 739 | |
| | | | | | | | |
SMB Private Education Loan Trust 2017-B | | | | | | | | |
2.82%, 10/15/2035, Series 2017-B, Class A2A(1) | | | 1,526 | | | | 1,477 | |
SMB Private Education Loan Trust 2018-A | | | | | | | | |
3.50%, 02/15/2036, Series 2018-A, Class A2A(1) | | | 7,871 | | | | 7,670 | |
SMB Private Education Loan Trust 2018-B | | | | | | | | |
3.60%, 01/15/2037, Series 2018-B, Class A2A(1) | | | 3,320 | | | | 3,240 | |
4.00%, 07/15/2042, Series 2018-B, Class B(1) | | | 285 | | | | 263 | |
SMB Private Education Loan Trust 2018-C | | | | | | | | |
3.63%, 11/15/2035, Series 2018-C, Class A2A(1) | | | 7,884 | | | | 7,767 | |
4.00%, 11/17/2042, Series 2018-C, Class B(1) | | | 770 | | | | 740 | |
SMB Private Education Loan Trust 2019-A | | | | | | | | |
3.44%, 07/15/2036, Series 2019-A, Class A2A(1) | | | 5,333 | | | | 5,218 | |
SMB Private Education Loan Trust 2019-B | | | | | | | | |
2.84%, 06/15/2037, Series 2019-B, Class A2A(1) | | | 5,100 | | | | 4,938 | |
SMB Private Education Loan Trust 2020-A | | | | | | | | |
2.23%, 09/15/2037, Series 2020-A, Class A2A(1) | | | 9,657 | | | | 9,218 | |
SMB Private Education Loan Trust 2020-PTB | | | | | | | | |
1.60%, 09/15/2054, Series 2020-PTB, Class A2A(1) | | | 6,098 | | | | 5,595 | |
SMB Private Education Loan Trust 2021-A | | | | | | | | |
1.07%, 01/15/2053, Series 2021-A, Class APT1(1) | | | 9,076 | | | | 8,023 | |
SMB Private Education Loan Trust 2022-B | | | | | | | | |
1.83% (30-day Average SOFR + 1.45%), 02/16/2055, Series 2022-B, Class A1B(1)(2) | | | 30,500 | | | | 30,343 | |
3.94%, 02/16/2055, Series 2022-B, Class A1A(1) | | | 37,700 | | | | 36,755 | |
SoFi Consumer Loan Program 2019-2 Trust | | | | | | | | |
3.46%, 04/25/2028, Series 2019-2, Class C(1) | | | 1,038 | | | | 1,038 | |
SoFi Consumer Loan Program 2019-3 Trust | | | | | | | | |
3.35%, 05/25/2028, Series 2019-3, Class C(1) | | | 3,191 | | | | 3,186 | |
SoFi Consumer Loan Program 2021-1 Trust | | | | | | | | |
2.04%, 09/25/2030, Series 2021-1, Class D(1) | | | 925 | | | | 853 | |
SoFi Professional Loan Program 2016-B LLC | | | | | | | | |
3.80%, 04/25/2037, Series 2016-B, Class B(1) | | | 195 | | | | 195 | |
SoFi Professional Loan Program 2016-C LLC | | | | | | | | |
3.35%, 05/25/2037, Series 2016-C, Class B(1)(4) | | | 310 | | | | 310 | |
SoFi Professional Loan Program 2016-D LLC | | | | | | | | |
3.23%, 01/25/2039, Series 2016-D, Class B(1)(4) | | | 490 | | | | 485 | |
SoFi Professional Loan Program 2016-E LLC | | | | | | | | |
3.44%, 07/25/2040, Series 2016-E, Class B(1)(4) | | | 1,600 | | | | 1,598 | |
SoFi Professional Loan Program 2017-A LLC | | | | | | | | |
4.43%, 03/26/2040, Series 2017-A, Class C(1)(4) | | | 1,030 | | | | 1,014 | |
SoFi Professional Loan Program 2017-C LLC | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.60%), 07/25/2040, Series 2017-C, Class A1(1)(2) | | | 563 | | | | 560 | |
SoFi Professional Loan Program 2017-D LLC | | | | | | | | |
2.65%, 09/25/2040, Series 2017-D, Class A2FX(1) | | | 1,004 | | | | 984 | |
SoFi Professional Loan Program 2017-E LLC | | | | | | | | |
4.16%, 11/26/2040, Series 2017-E, Class C(1) | | | 695 | | | | 678 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
3.62%, 01/25/2041, Series 2017-F, Class BFX(1) | | | 1,405 | | | | 1,352 | |
SoFi Professional Loan Program 2018-C Trust | | | | | | | | |
4.13%, 01/25/2048, Series 2018-C, Class BFX(1) | | | 1,875 | | | | 1,817 | |
Sound Point CLO XIV Ltd. | | | | | | | | |
2.17% (3 Month LIBOR USD + 0.99%, 0.99% Floor), 01/23/2029, Series 2016-3A, Class AR2(1)(2) | | | 2,447 | | | | 2,414 | |
Sound Point CLO XV Ltd. | | | | | | | | |
2.08% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/23/2029, Series 2017-1A, Class ARR(1)(2) | | | 2,493 | | | | 2,453 | |
Sound Point CLO XX Ltd. | | | | | | | | |
2.31% (3 Month LIBOR USD + 1.10%), 07/26/2031, Series 2018-2A, Class A(1)(2) | | | 530 | | | | 519 | |
Soundview Home Loan Trust 2006-OPT5 | | | | | | | | |
1.86% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 07/25/2036, Series 2006-OPT5, Class 2A4(2) | | | 21,571 | | | | 19,183 | |
Southwick Park CLO LLC | | | | | | | | |
2.12% (3 Month LIBOR USD + 1.06%, 1.06% Floor), 07/20/2032, Series 2019-4A, Class A1R(1)(2) | | | 11,400 | | | | 11,109 | |
Specialty Underwriting & Residential Finance Trust Series 2006-BC2 | | | | | | | | |
3.45%, 02/25/2037, Series 2006-BC2, Class A2C(5) | | | 11,147 | | | | 4,696 | |
Specialty Underwriting & Residential Finance Trust Series 2006-BC5 | | | | | | | | |
1.76% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 11/25/2037, Series 2006-BC5, Class A1(2) | | | 11,058 | | | | 9,077 | |
Stack Infrastructure Issuer LLC Series 2019-1 | | | | | | | | |
4.54%, 02/25/2044, Series 2019-1A, Class A2(1) | | | 7,197 | | | | 7,139 | |
Stratus CLO 2021-3 Ltd. | | | | | | | | |
2.01% (3 Month LIBOR USD + 0.95%, 0.95% Floor), 12/29/2029, Series 2021-3A, Class A(1)(2) | | | 31,492 | | | | 31,115 | |
Structured Adjustable Rate Mortgage Loan Trust | | | | | | | | |
2.83%, 02/25/2035, Series 2005-1, Class 1A1(4) | | | 4,462 | | | | 4,240 | |
Structured Asset Investment Loan Trust 2004-8 | | | | | | | | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 09/25/2034, Series 2004-8, Class M1(2) | | | 655 | | | | 638 | |
Structured Asset Investment Loan Trust 2005-HE2 | | | | | | | | |
2.37% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 07/25/2035, Series 2005-HE2, Class M2(2) | | | 6,127 | | | | 5,919 | |
Structured Asset Mortgage Investments II Trust 2007-AR3 | | | | | | | | |
1.81% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047, Series 2007-AR3, Class 2A1(2) | | | 18,600 | | | | 17,163 | |
Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2 | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037, Series 2007-WF2, Class A1(2) | | | 249 | | | | 246 | |
STWD 2019-FL1 Ltd. | | | | | | | | |
2.53% (1 Month Term SOFR + 1.19%, 1.08% Floor), 07/15/2038, Series 2019-FL1, Class A(1)(2) | | | 18,443 | | | | 18,329 | |
Symphony CLO XVII Ltd. | | | | | | | | |
1.92% (3 Month LIBOR USD + 0.88%), 04/15/2028, Series 2016-17A, Class AR(1)(2) | | | 2,069 | | | | 2,044 | |
Symphony CLO XX Ltd. | | | | | | | | |
2.69% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 01/16/2032, Series 2018-20A, Class BR(1)(2) | | | 11,220 | | | | 10,762 | |
Symphony CLO XXIII Ltd. | | | | | | | | |
2.06% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 01/15/2034, Series 2020-23A, Class AR(1)(2) | | | 14,200 | | | | 13,873 | |
Symphony CLO XXIV Ltd. | | | | | | | | |
2.38% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 01/23/2032, Series 2020-24A, Class A(1)(2) | | | 650 | | | | 636 | |
| | | | | | | | |
Symphony CLO XXVI Ltd. | | | | | | | | |
2.14% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 04/20/2033, Series 2021-26A, Class AR(1)(2) | | | 4,650 | | | | 4,541 | |
Taco Bell Funding LLC | | | | | | | | |
1.95%, 08/25/2051, Series 2021-1A, Class A2I(1) | | | 5,239 | | | | 4,564 | |
2.29%, 08/25/2051, Series 2021-1A, Class A2II(1) | | | 9,104 | | | | 7,634 | |
Textainer Marine Containers VII Ltd. | | | | | | | | |
1.68%, 02/20/2046, Series 2021-1A, Class A(1) | | | 3,712 | | | | 3,237 | |
Theorem Funding Trust 2022-1 | | | | | | | | |
1.85%, 02/15/2028, Series 2022-1A, Class A(1) | | | 5,618 | | | | 5,509 | |
TIAA CLO I Ltd. | | | | | | | | |
2.26% (3 Month LIBOR USD + 1.20%), 07/20/2031, Series 2016-1A, Class AR(1)(2) | | | 18,750 | | | | 18,451 | |
Towd Point Mortgage Trust 2019-MH1 | | | | | | | | |
3.00%, 11/25/2058, Series 2019-MH1, Class A1(1)(4) | | | 207 | | | | 205 | |
Toyota Auto Receivables 2020-C Owner Trust | | | | | | | | |
0.44%, 10/15/2024, Series 2020-C, Class A3 | | | 6,088 | | | | 6,005 | |
Toyota Auto Receivables 2021-A Owner Trust | | | | | | | | |
0.16%, 07/17/2023, Series 2021-A, Class A2 | | | 169 | | | | 169 | |
Tricon American Homes 2019-SFR1 Trust | | | | | | | | |
3.20%, 03/17/2038, Series 2019-SFR1, Class D(1) | | | 1,270 | | | | 1,198 | |
Tricon American Homes 2020-SFR1 | | | | | | | | |
2.55%, 07/17/2038, Series 2020-SFR1, Class D(1) | | | 1,220 | | | | 1,123 | |
Tricon American Homes 2020-SFR2 Trust | | | | | | | | |
2.73%, 11/17/2039, Series 2020-SFR2, Class E1(1) | | | 1,855 | | | | 1,583 | |
Tricon Residential 2021-SFR1 Trust | | | | | | | | |
2.79%, 07/17/2038, Series 2021-SFR1, Class E1(1) | | | 1,760 | | | | 1,558 | |
2.89%, 07/17/2038, Series 2021-SFR1, Class E2(1) | | | 4,695 | | | | 4,135 | |
Trimaran Cavu 2019-1 Ltd. | | | | | | | | |
2.96% (3 Month LIBOR USD + 1.90%, 1.90% Floor), 07/20/2032, Series 2019-1A, Class A2(1)(2) | | | 1,820 | | | | 1,763 | |
Triton Container Finance VIII LLC | | | | | | | | |
1.86%, 03/20/2046, Series 2021-1A, Class A(1) | | | 7,722 | | | | 6,740 | |
Upstart Securitization Trust 2021-5 | | | | | | | | |
1.31%, 11/20/2031, Series 2021-5, Class A(1) | | | 4,189 | | | | 4,033 | |
Upstart Securitization Trust 2022-1 | | | | | | | | |
3.12%, 03/20/2032, Series 2022-1, Class A(1) | | | 16,408 | | | | 16,037 | |
Upstart Securitization Trust 2022-3 | | | | | | | | |
5.50%, 06/20/2032, Series 2022-3, Class A(1) | | | 11,800 | | | | 11,658 | |
Upstart Structured Pass-Through Trust Series 2022-2A | | | | | | | | |
4.25%, 06/17/2030, Series 2022-2A, Class A(1) | | | 4,699 | | | | 4,612 | |
VCAT 2021-NPL1 LLC | | | | | | | | |
2.29%, 12/26/2050, Series 2021-NPL1, Class A1(1)(5) | | | 2,063 | | | | 1,986 | |
VCAT 2021-NPL5 LLC | | | | | | | | |
1.87%, 08/25/2051, Series 2021-NPL5, Class A1(1)(5) | | | 9,124 | | | | 8,618 | |
VCAT 2021-NPL6 LLC | | | | | | | | |
1.92%, 09/25/2051, Series 2021-NPL6, Class A1(1)(5) | | | 11,136 | | | | 10,449 | |
Venture XIV CLO Ltd. | | | | | | | | |
2.63% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 08/28/2029, Series 2013-14A, Class ARR(1)(2) | | | 53,676 | | | | 52,964 | |
Venture Xxv CLO Ltd. | | | | | | | | |
2.08% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/20/2029, Series 2016-25A, Class ARR(1)(2) | | | 21,711 | | | | 21,393 | |
VOLT XCII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL1, Class A1(1)(5) | | | 1,817 | | | | 1,725 | |
VOLT XCIII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL2, Class A1(1)(5) | | | 4,673 | | | | 4,427 | |
VOLT XCIV LLC | | | | | | | | |
2.24%, 02/27/2051, Series 2021-NPL3, Class A1(1)(5) | | | 4,108 | | | | 3,901 | |
VOLT XCVI LLC | | | | | | | | |
2.12%, 03/27/2051, Series 2021-NPL5, Class A1(1)(5) | | | 3,421 | | | | 3,265 | |
VOLT XCVII LLC | | | | | | | | |
2.24%, 04/25/2051, Series 2021-NPL6, Class A1(1)(5) | | | 6,749 | | | | 6,417 | |
Voya CLO 2013-2 Ltd. | | | | | | | | |
2.15% (3 Month LIBOR USD + 0.97%, 0.97% Floor), 04/25/2031, Series 2013-2A, Class A1R(1)(2) | | | 2,000 | | | | 1,955 | |
Voya CLO 2020-1 Ltd. | | | | | | | | |
2.74% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/16/2034, Series 2020-1A, Class BR(1)(2) | | | 9,000 | | | | 8,523 | |
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust | | | | | | | | |
3.14%, 02/25/2037, Series 2007-HY1, Class 4A1(4) | | | 6,403 | | | | 5,925 | |
WAVE 2017-1 Trust | | | | | | | | |
3.84%, 11/15/2042, Series 2017-1A, Class A(1) | | | 1,946 | | | | 1,747 | |
Wellfleet CLO 2017-2A Ltd. | | | | | | | | |
2.12% (3 Month LIBOR USD + 1.06%), 10/20/2029, Series 2017-2A, Class A1R(1)(2) | | | 6,102 | | | | 6,038 | |
Wellfleet CLO 2017-3 Ltd. | | | | | | | | |
2.19% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 01/17/2031, Series 2017-3A, Class A1(1)(2) | | | 6,181 | | | | 6,044 | |
Wellfleet CLO X LTD | | | | | | | | |
2.23% (3 Month LIBOR USD + 1.17%), 07/20/2032, Series 2019-XA, Class A1R(1)(2) | | | 8,700 | | | | 8,424 | |
Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust | | | | | | | | |
2.52% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2034, Series 2004-2, Class M1(2) | | | 898 | | | | 882 | |
Wendy’s Funding LLC | | | | | | | | |
2.37%, 06/15/2051, Series 2021-1A, Class A2I(1) | | | 5,030 | | | | 4,264 | |
Westlake Automobile Receivables Trust 2019-1 | | | | | | | | |
3.67%, 03/15/2024, Series 2019-1A, Class D(1) | | | 2,344 | | | | 2,346 | |
Westlake Automobile Receivables Trust 2020-3 | | | | | | | | |
1.24%, 11/17/2025, Series 2020-3A, Class C(1) | | | 1,030 | | | | 1,005 | |
Westlake Automobile Receivables Trust 2021-2 | | | | | | | | |
1.23%, 12/15/2026, Series 2021-2A, Class D(1) | | | 5,075 | | | | 4,736 | |
Westlake Automobile Receivables Trust 2021-3 | | | | | | | | |
2.12%, 01/15/2027, Series 2021-3A, Class D(1) | | | 9,200 | | | | 8,552 | |
Whitebox CLO II Ltd. | | | | | | | | |
2.40% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 10/24/2034, Series 2020-2A, Class A1R(1)(2) | | | 4,000 | | | | 3,875 | |
World Omni Auto Receivables Trust 2020-A | | | | | | | | |
1.64%, 08/17/2026, Series 2020-A, Class C | | | 3,190 | | | | 3,075 | |
| | | | | | | | |
Total Asset-Backed Obligations (Cost: $3,771,875) | | | | | | | 3,582,090 | |
| | | | | | | | |
| | | | | | | | |
Corporate Bonds – 32.14% | | | | |
Basic Materials – 0.90% | | | | |
Alcoa Nederland Holding BV | | | | | | | | |
4.13%, 03/31/2029(1) | | | 2,420 | | | | 2,164 | |
5.50%, 12/15/2027(1) | | | 2,745 | | | | 2,601 | |
6.13%, 05/15/2028(1) | | | 3,625 | | | | 3,525 | |
Alpek SAB de CV | | | | | | | | |
3.25%, 02/25/2031(1) | | | 2,835 | | | | 2,273 | |
Anglo American Capital Plc | | | | | | | | |
2.63%, 09/10/2030(1) | | | 40,530 | | | | 33,353 | |
4.00%, 09/11/2027(1) | | | 1,000 | | | | 951 | |
4.13%, 09/27/2022(1) | | | 2,572 | | | | 2,572 | |
4.50%, 03/15/2028(1) | | | 19,220 | | | | 18,661 | |
AngloGold Ashanti Holdings Plc | | | | | | | | |
3.75%, 10/01/2030 | | | 843 | | | | 694 | |
ArcelorMittal SA | | | | | | | | |
6.75%, 03/01/2041 | | | 12,270 | | | | 12,139 | |
Braskem Idesa SAPI | | | | | | | | |
6.99%, 02/20/2032(6) | | | 574 | | | | 443 | |
6.99%, 02/20/2032(1) | | | 683 | | | | 527 | |
Braskem Netherlands Finance BV | | | | | | | | |
4.50%, 01/31/2030(1) | | | 5,210 | | | | 4,444 | |
5.88%, 01/31/2050(1) | | | 4,160 | | | | 3,286 | |
8.50% (5 Year CMT Index + 8.22%), 01/23/2081(2)(6) | | | 223 | | | | 223 | |
8.50% (5 Year CMT Index + 8.22%), 01/23/2081(1)(2) | | | 694 | | | | 694 | |
CF Industries, Inc. | | | | | | | | |
4.50%, 12/01/2026(1) | | | 5,145 | | | | 5,124 | |
Commercial Metals Co. | | | | | | | | |
4.38%, 03/15/2032 | | | 1,160 | | | | 950 | |
Corp. Nacional del Cobre de Chile | | | | | | | | |
3.15%, 01/14/2030 | | | 2,485 | | | | 2,169 | |
CSN Resources SA | | | | | | | | |
5.88%, 04/08/2032(1) | | | 1,503 | | | | 1,142 | |
DuPont de Nemours, Inc. | | | | | | | | |
4.49%, 11/15/2025 | | | 7,783 | | | | 7,836 | |
Ecolab, Inc. | | | | | | | | |
2.75%, 08/18/2055 | | | 680 | | | | 474 | |
First Quantum Minerals Ltd. | | | | | | | | |
6.88%, 03/01/2026(1) | | | 2,855 | | | | 2,629 | |
6.88%, 10/15/2027(1) | | | 7,600 | | | | 6,795 | |
7.50%, 04/01/2025(1) | | | 1,530 | | | | 1,447 | |
FMC Corp. | | | | | | | | |
3.45%, 10/01/2029 | | | 1,850 | | | | 1,678 | |
FMG Resources August 2006 Pty Ltd. | | | | | | | | |
4.38%, 04/01/2031(1) | | | 8,085 | | | | 6,599 | |
Freeport Indonesia PT | | | | | | | | |
4.76%, 04/14/2027(1) | | | 850 | | | | 813 | |
Freeport-McMoRan, Inc. | | | | | | | | |
4.25%, 03/01/2030 | | | 10,475 | | | | 9,532 | |
4.38%, 08/01/2028 | | | 1,505 | | | | 1,406 | |
4.63%, 08/01/2030 | | | 12,621 | | | | 11,710 | |
5.40%, 11/14/2034 | | | 5,945 | | | | 5,802 | |
Fresnillo Plc | | | | | | | | |
4.25%, 10/02/2050(6) | | | 582 | | | | 427 | |
Glencore Funding LLC | | | | | | | | |
1.63%, 04/27/2026(1) | | | 5,105 | | | | 4,516 | |
2.50%, 09/01/2030(1) | | | 5,954 | | | | 4,850 | |
2.63%, 09/23/2031(1) | | | 8,597 | | | | 6,928 | |
2.85%, 04/27/2031(1) | | | 7,430 | | | | 6,134 | |
3.38%, 09/23/2051(1) | | | 50 | | | | 34 | |
3.88%, 10/27/2027(1) | | | 20,729 | | | | 19,601 | |
4.00%, 04/16/2025(1) | | | 4,450 | | | | 4,395 | |
4.00%, 03/27/2027(1) | | | 1,000 | | | | 962 | |
4.13%, 03/12/2024(1) | | | 4,920 | | | | 4,895 | |
4.88%, 03/12/2029(1) | | | 8,160 | | | | 7,936 | |
Indonesia Asahan Aluminium Persero PT | | | | | | | | |
5.45%, 05/15/2030(1) | | | 1,400 | | | | 1,313 | |
6.53%, 11/15/2028 | | | 200 | | | | 203 | |
6.53%, 11/15/2028(1) | | | 1,800 | | | | 1,825 | |
Industrias Penoles SAB de CV | | | | | | | | |
4.75%, 08/06/2050(6) | | | 582 | | | | 462 | |
5.65%, 09/12/2049(6) | | | 582 | | | | 518 | |
International Flavors & Fragrances, Inc. | | | | | | | | |
2.30%, 11/01/2030(1) | | | 14,250 | | | | 11,711 | |
5.00%, 09/26/2048 | | | 9,965 | | | | 9,283 | |
LYB International Finance III LLC | | | | | | | | |
3.63%, 04/01/2051 | | | 631 | | | | 466 | |
4.20%, 05/01/2050 | | | 580 | | | | 471 | |
Metinvest BV | | | | | | | | |
7.75%, 10/17/2029(6) | | | 200 | | | | 109 | |
8.50%, 04/23/2026(6) | | | 215 | | | | 118 | |
Newmont Corp. | | | | | | | | |
2.25%, 10/01/2030 | | | 1,267 | | | | 1,052 | |
2.60%, 07/15/2032 | | | 1,159 | | | | 956 | |
| | | | | | | | |
Nucor Corp. | | | | | | | | |
2.70%, 06/01/2030 | | | 3,159 | | | | 2,733 | |
4.30%, 05/23/2027 | | | 1,730 | | | | 1,723 | |
Orbia Advance Corp. SAB de CV | | | | | | | | |
2.88%, 05/11/2031(1) | | | 9,280 | | | | 7,447 | |
4.00%, 10/04/2027(1) | | | 1,255 | | | | 1,174 | |
5.50%, 01/15/2048(6) | | | 582 | | | | 489 | |
5.88%, 09/17/2044(6) | | | 582 | | | | 521 | |
Sasol Financing USA LLC | | | | | | | | |
4.38%, 09/18/2026 | | | 1,368 | | | | 1,206 | |
5.50%, 03/18/2031 | | | 763 | | | | 587 | |
5.88%, 03/27/2024 | | | 371 | | | | 363 | |
6.50%, 09/27/2028 | | | 384 | | | | 348 | |
Sherwin-Williams Co. | | | | | | | | |
2.30%, 05/15/2030 | | | 662 | | | | 559 | |
Stillwater Mining Co. | | | | | | | | |
4.00%, 11/16/2026(6) | | | 571 | | | | 475 | |
Suzano Austria GmbH | | | | | | | | |
3.13%, 01/15/2032 | | | 668 | | | | 503 | |
3.75%, 01/15/2031 | | | 6,703 | | | | 5,413 | |
5.00%, 01/15/2030 | | | 735 | | | | 669 | |
5.75%, 07/14/2026(1) | | | 443 | | | | 448 | |
Syngenta Finance NV | | | | | | | | |
3.38%, 04/16/2026 | | EUR | 1,000 | | | | 1,031 | |
4.89%, 04/24/2025(1) | | $ | 550 | | | | 551 | |
5.18%, 04/24/2028(1) | | | 500 | | | | 506 | |
Vale Overseas Ltd. | | | | | | | | |
6.88%, 11/21/2036 | | | 1,132 | | | | 1,215 | |
Vedanta Resources Finance II Plc | | | | | | | | |
8.95%, 03/11/2025(1) | | | 1,471 | | | | 1,162 | |
Vedanta Resources Ltd. | | | | | | | | |
6.13%, 08/09/2024(1) | | | 396 | | | | 240 | |
Volcan Compania Minera SAA | | | | | | | | |
4.38%, 02/11/2026(1) | | | 1,290 | | | | 1,123 | |
Westlake Corp. | | | | | | | | |
1.63%, 07/17/2029 | | EUR | 2,025 | | | | 1,787 | |
3.38%, 08/15/2061 | | $ | 3,521 | | | | 2,371 | |
3.60%, 08/15/2026 | | | 1,925 | | | | 1,874 | |
| | | | | | | | |
Total Basic Materials | | | | 280,339 | |
| | | | | | | | |
Communications – 4.20% | | | | |
Alibaba Group Holding Ltd. | | | | | | | | |
3.40%, 12/06/2027 | | | 628 | | | | 600 | |
Altice Financing SA | | | | | | | | |
3.00%, 01/15/2028 | | EUR | 1,900 | | | | 1,483 | |
5.75%, 08/15/2029(1) | | $ | 7,503 | | | | 6,021 | |
Altice France SA | | | | | | | | |
5.50%, 01/15/2028(1) | | | 3,450 | | | | 2,780 | |
Amazon.com, Inc. | | | | | | | | |
2.50%, 06/03/2050 | | | 494 | | | | 348 | |
4.05%, 08/22/2047 | | | 1,751 | | | | 1,639 | |
4.10%, 04/13/2062 | | | 2,000 | | | | 1,810 | |
AT&T, Inc. | | | | | | | | |
1.65%, 02/01/2028 | | | 1,610 | | | | 1,393 | |
2.25%, 02/01/2032 | | | 7,580 | | | | 6,193 | |
2.30%, 06/01/2027 | | | 4,381 | | | | 3,999 | |
2.55%, 12/01/2033 | | | 49,116 | | | | 39,845 | |
2.75%, 06/01/2031 | | | 11,655 | | | | 10,064 | |
3.55%, 09/15/2055 | | | 14,500 | | | | 10,864 | |
3.65%, 06/01/2051 | | | 4,268 | | | | 3,338 | |
3.65%, 09/15/2059 | | | 1,717 | | | | 1,286 | |
3.80%, 12/01/2057 | | | 29,092 | | | | 22,468 | |
3.85%, 06/01/2060 | | | 2,000 | | | | 1,546 | |
4.30%, 02/15/2030 | | | 9,630 | | | | 9,398 | |
4.30%, 12/15/2042 | | | 5,329 | | | | 4,645 | |
4.35%, 03/01/2029 | | | 7,181 | | | | 7,071 | |
4.50%, 05/15/2035 | | | 1,637 | | | | 1,556 | |
4.50%, 03/09/2048 | | | 6,420 | | | | 5,689 | |
4.75%, 05/15/2046 | | | 1,950 | | | | 1,805 | |
5.25%, 03/01/2037 | | | 6,052 | | | | 6,236 | |
Axtel SAB de CV | | | | | | | | |
6.38%, 11/14/2024(1) | | | 779 | | | | 686 | |
Baidu, Inc. | | | | | | | | |
2.88%, 07/06/2022 | | | 5,105 | | | | 5,105 | |
4.38%, 03/29/2028 | | | 1,192 | | | | 1,172 | |
Booking Holdings, Inc. | | | | | | | | |
4.63%, 04/13/2030 | | | 12,515 | | | | 12,443 | |
C&W Senior Financing DAC | | | | | | | | |
6.88%, 09/15/2027(1) | | | 600 | | | | 539 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
4.25%, 02/01/2031(1) | | | 11,366 | | | | 9,263 | |
4.25%, 01/15/2034(1) | | | 13,710 | | | | 10,591 | |
4.50%, 08/15/2030(1) | | | 11,485 | | | | 9,536 | |
4.50%, 05/01/2032 | | | 185 | | | | 150 | |
4.50%, 06/01/2033(1) | | | 1,762 | | | | 1,389 | |
4.75%, 03/01/2030(1) | | | 754 | | | | 645 | |
4.75%, 02/01/2032(1) | | | 7,465 | | | | 6,112 | |
5.38%, 06/01/2029(1) | | | 1,325 | | | | 1,184 | |
| | | | | | | | |
Charter Communications Operating LLC | | | | | | | | |
2.25%, 01/15/2029 | | | 1,626 | | | | 1,336 | |
2.30%, 02/01/2032 | | | 19,340 | | | | 14,633 | |
2.80%, 04/01/2031 | | | 25,492 | | | | 20,415 | |
3.50%, 03/01/2042 | | | 6,348 | | | | 4,405 | |
3.70%, 04/01/2051 | | | 23,007 | | | | 15,569 | |
3.75%, 02/15/2028 | | | 6,703 | | | | 6,190 | |
3.85%, 04/01/2061 | | | 30,381 | | | | 19,980 | |
3.90%, 06/01/2052 | | | 14,132 | | | | 9,811 | |
3.95%, 06/30/2062 | | | 60,088 | | | | 40,141 | |
4.20%, 03/15/2028 | | | 4,921 | | | | 4,598 | |
4.40%, 04/01/2033 | | | 7,361 | | | | 6,572 | |
4.40%, 12/01/2061 | | | 16,717 | | | | 12,023 | |
4.80%, 03/01/2050 | | | 11,054 | | | | 8,759 | |
5.25%, 04/01/2053 | | | 9,340 | | | | 7,892 | |
5.38%, 04/01/2038 | | | 980 | | | | 871 | |
5.38%, 05/01/2047 | | | 16,334 | | | | 13,908 | |
5.75%, 04/01/2048 | | | 5,589 | | | | 5,010 | |
6.48%, 10/23/2045 | | | 1,445 | | | | 1,405 | |
6.83%, 10/23/2055 | | | 1,914 | | | | 1,924 | |
Clear Channel Outdoor Holdings, Inc. | | | | | | | | |
5.13%, 08/15/2027(1) | | | 642 | | | | 542 | |
Comcast Corp. | | | | | | | | |
2.89%, 11/01/2051 | | | 15,864 | | | | 11,333 | |
3.25%, 11/01/2039 | | | 5,115 | | | | 4,204 | |
CommScope Technologies LLC | | | | | | | | |
5.00%, 03/15/2027(1) | | | 4,460 | | | | 3,297 | |
CommScope, Inc. | | | | | | | | |
4.75%, 09/01/2029(1) | | | 7,905 | | | | 6,377 | |
6.00%, 03/01/2026(1) | | | 2,205 | | | | 2,031 | |
7.13%, 07/01/2028(1) | | | 3,740 | | | | 2,843 | |
Connect Finco Sarl | | | | | | | | |
6.75%, 10/01/2026(1) | | | 1,066 | | | | 958 | |
Cox Communications, Inc. | | | | | | | | |
3.15%, 08/15/2024(1) | | | 636 | | | | 621 | |
3.60%, 06/15/2051(1) | | | 2,150 | | | | 1,617 | |
Crown Castle Towers LLC | | | | | | | | |
3.66%, 05/15/2025(1) | | | 1,300 | | | | 1,271 | |
CSC Holdings LLC | | | | | | | | |
4.13%, 12/01/2030(1) | | | 1,420 | | | | 1,108 | |
4.63%, 12/01/2030(1) | | | 26,645 | | | | 17,819 | |
5.00%, 11/15/2031(1) | | | 1,145 | | | | 772 | |
5.38%, 02/01/2028(1) | | | 530 | | | | 458 | |
5.50%, 04/15/2027(1) | | | 2,300 | | | | 2,084 | |
5.75%, 01/15/2030(1) | | | 2,035 | | | | 1,481 | |
6.50%, 02/01/2029(1) | | | 260 | | | | 235 | |
7.50%, 04/01/2028(1) | | | 591 | | | | 493 | |
Diamond Sports Group LLC / Diamond Sports Finance Co. | | | | | | | | |
5.38%, 08/15/2026(1) | | | 19,000 | | | | 4,750 | |
Digicel Group Holdings Ltd. | | | | | | | | |
8.00%, 04/01/2025(1)(7) | | | 378 | | | | 264 | |
Digicel International Finance Ltd./Digicel international Holdings Ltd. | | | | | | | | |
8.00%, 12/31/2026(1) | | | 147 | | | | 99 | |
8.75%, 05/25/2024(1) | | | 375 | | | | 349 | |
DISH DBS Corp. | | | | | | | | |
5.13%, 06/01/2029 | | | 1,365 | | | | 829 | |
5.25%, 12/01/2026(1) | | | 11,645 | | | | 9,128 | |
5.75%, 12/01/2028(1) | | | 8,850 | | | | 6,553 | |
5.88%, 07/15/2022 | | | 14,300 | | | | 14,219 | |
Expedia Group, Inc. | | | | | | | | |
2.95%, 03/15/2031 | | | 29,525 | | | | 23,484 | |
3.25%, 02/15/2030 | | | 15,237 | | | | 12,707 | |
4.63%, 08/01/2027 | | | 1,800 | | | | 1,729 | |
6.25%, 05/01/2025(1) | | | 6,780 | | | | 6,983 | |
FactSet Research Systems, Inc. | | | | | | | | |
3.45%, 03/01/2032 | | | 4,008 | | | | 3,513 | |
Grupo Televisa SAB | | | | | | | | |
6.63%, 01/15/2040 | | | 391 | | | | 426 | |
iHeartCommunications, Inc. | | | | | | | | |
4.75%, 01/15/2028(1) | | | 4,176 | | | | 3,441 | |
5.25%, 08/15/2027(1) | | | 4,120 | | | | 3,526 | |
6.38%, 05/01/2026 | | | 4,451 | | | | 4,123 | |
8.38%, 05/01/2027 | | | 3,844 | | | | 3,055 | |
Intelsat Jackson Holdings SA | | | | | | | | |
5.50%, 08/01/2023(8)(9) | | | 12,702 | | | | — | |
6.50%, 03/15/2030(1) | | | 32,427 | | | | 26,752 | |
8.50%, 10/15/2024(1)(8)(9) | | | 18,280 | | | | — | |
9.75%, 07/15/2025(1)(8)(9) | | | 15,687 | | | | — | |
Kenbourne Invest SA | | | | | | | | |
4.70%, 01/22/2028(1) | | | 333 | | | | 254 | |
6.88%, 11/26/2024(1) | | | 937 | | | | 853 | |
Lamar Media Corp. | | | | | | | | |
3.75%, 02/15/2028 | | | 66 | | | | 59 | |
Level 3 Financing, Inc. | | | | | | | | |
3.40%, 03/01/2027(1) | | | 3,120 | | | | 2,687 | |
3.63%, 01/15/2029(1) | | | 5,624 | | | | 4,336 | |
3.75%, 07/15/2029(1) | | | 7,200 | | | | 5,567 | |
| | | | | | | | |
3.88%, 11/15/2029(1) | | | 14,974 | | | | 12,367 | |
4.25%, 07/01/2028(1) | | | 2,319 | | | | 1,858 | |
4.63%, 09/15/2027(1) | | | 621 | | | | 529 | |
Liquid Telecommunications Financing Plc | | | | | | | | |
5.50%, 09/04/2026(1) | | | 710 | | | | 621 | |
Lumen Technologies, Inc. | | | | | | | | |
4.00%, 02/15/2027(1) | | | 2,250 | | | | 1,903 | |
5.38%, 06/15/2029(1) | | | 3,000 | | | | 2,375 | |
Motorola Solutions, Inc. | | | | | | | | |
2.30%, 11/15/2030 | | | 7,753 | | | | 6,066 | |
2.75%, 05/24/2031 | | | 7,400 | | | | 5,979 | |
4.60%, 02/23/2028 | | | 5,796 | | | | 5,605 | |
5.60%, 06/01/2032 | | | 4,397 | | | | 4,434 | |
NBN Co. Ltd. | | | | | | | | |
2.63%, 05/05/2031(1) | | | 475 | | | | 405 | |
Netflix, Inc. | | | | | | | | |
3.63%, 06/15/2025(1) | | | 3,500 | | | | 3,337 | |
3.63%, 05/15/2027 | | EUR | 15,245 | | | | 14,946 | |
3.63%, 06/15/2030 | | | 12,461 | | | | 11,263 | |
3.88%, 11/15/2029 | | | 5,000 | | | | 4,713 | |
4.63%, 05/15/2029 | | | 5,400 | | | | 5,326 | |
4.88%, 04/15/2028 | | $ | 10,765 | | | | 10,130 | |
4.88%, 06/15/2030(1) | | | 27,736 | | | | 25,385 | |
5.38%, 11/15/2029(1) | | | 1,896 | | | | 1,792 | |
5.88%, 11/15/2028 | | | 15,972 | | | | 15,616 | |
6.38%, 05/15/2029 | | | 23,034 | | | | 23,263 | |
Nexstar Media, Inc. | | | | | | | | |
5.63%, 07/15/2027(1) | | | 603 | | | | 550 | |
Nokia OYJ | | | | | | | | |
4.38%, 06/12/2027 | | | 4,255 | | | | 4,020 | |
NTT Finance Corp. | | | | | | | | |
1.59%, 04/03/2028(1) | | | 777 | | | | 675 | |
Oi SA | | | | | | | | |
10.00%, 07/27/2025(6)(7) | | | 373 | | | | 182 | |
Omnicom Group, Inc. | | | | | | | | |
2.60%, 08/01/2031 | | | 1,526 | | | | 1,281 | |
Outfront Media Capital LLC / Outfront Media Capital Corp. | | | | | | | | |
4.63%, 03/15/2030(1) | | | 56 | | | | 44 | |
5.00%, 08/15/2027(1) | | | 702 | | | | 613 | |
Paramount Global | | | | | | | | |
4.20%, 05/19/2032 | | | 2,355 | | | | 2,077 | |
4.38%, 03/15/2043 | | | 3,853 | | | | 2,980 | |
4.95%, 01/15/2031 | | | 10,430 | | | | 9,929 | |
Prosus NV | | | | | | | | |
1.99%, 07/13/2033 | | EUR | 4,400 | | | | 3,072 | |
3.06%, 07/13/2031(1) | | $ | 9,400 | | | | 6,920 | |
Rogers Communications, Inc. | | | | | | | | |
3.70%, 11/15/2049 | | | 839 | | | | 639 | |
3.80%, 03/15/2032(1) | | | 5,667 | | | | 5,182 | |
4.55%, 03/15/2052(1) | | | 3,382 | | | | 2,970 | |
SES GLOBAL Americas Holdings, Inc. | | | | | | | | |
5.30%, 03/25/2044(1) | | | 10,000 | | | | 8,518 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.00%, 07/15/2028(1) | | | 674 | | | | 583 | |
5.00%, 08/01/2027(1) | | | 1,385 | | | | 1,285 | |
5.50%, 07/01/2029(1) | | | 806 | | | | 734 | |
Sprint Capital Corp. | | | | | | | | |
6.88%, 11/15/2028 | | | 3,445 | | | | 3,623 | |
8.75%, 03/15/2032 | | | 1,200 | | | | 1,444 | |
Sprint Communications, Inc. | | | | | | | | |
6.00%, 11/15/2022 | | | 4,570 | | | | 4,590 | |
Sprint Corp. | | | | | | | | |
7.13%, 06/15/2024 | | | 12,500 | | | | 12,828 | |
7.63%, 02/15/2025 | | | 11,900 | | | | 12,404 | |
7.63%, 03/01/2026 | | | 137 | | | | 144 | |
7.88%, 09/15/2023 | | | 30,319 | | | | 31,253 | |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | | | | |
4.74%, 03/20/2025(1) | | | 32,141 | | | | 32,147 | |
5.15%, 03/20/2028(1) | | | 30,177 | | | | 30,399 | |
TEGNA, Inc. | | | | | | | | |
4.63%, 03/15/2028 | | | 111 | | | | 104 | |
5.00%, 09/15/2029 | | | 122 | | | | 115 | |
Tencent Holdings Ltd. | | | | | | | | |
3.84%, 04/22/2051(1) | | | 16,095 | | | | 12,483 | |
3.94%, 04/22/2061(1) | | | 15,200 | | | | 11,553 | |
Time Warner Cable LLC | | | | | | | | |
4.50%, 09/15/2042 | | | 13,975 | | | | 10,909 | |
5.50%, 09/01/2041 | | | 11,204 | | | | 9,780 | |
5.88%, 11/15/2040 | | | 6,520 | | | | 5,975 | |
T-Mobile USA, Inc. | | | | | | | | |
2.05%, 02/15/2028 | | | 2,045 | | | | 1,775 | |
2.25%, 02/15/2026 | | | 10,909 | | | | 9,817 | |
2.25%, 02/15/2026(1) | | | 13,200 | | | | 11,879 | |
2.25%, 11/15/2031 | | | 690 | | | | 560 | |
2.40%, 03/15/2029(1) | | | 5,015 | | | | 4,331 | |
2.55%, 02/15/2031 | | | 10,666 | | | | 8,975 | |
2.70%, 03/15/2032(1) | | | 7,589 | | | | 6,367 | |
| | | | | | | | |
3.38%, 04/15/2029(1) | | | 5,800 | | | | 5,075 | |
3.38%, 04/15/2029 | | | 17,959 | | | | 15,714 | |
3.40%, 10/15/2052(1) | | | 15,166 | | | | 11,200 | |
3.50%, 04/15/2031(1) | | | 5,500 | | | | 4,749 | |
3.50%, 04/15/2031 | | | 16,939 | | | | 14,626 | |
3.75%, 04/15/2027 | | | 25,105 | | | | 24,174 | |
3.88%, 04/15/2030 | | | 53,396 | | | | 49,832 | |
4.50%, 04/15/2050 | | | 2,613 | | | | 2,319 | |
Twitter, Inc. | | | | | | | | |
0.00%, 03/15/2026 | | | 2,890 | | | | 2,558 | |
Uber Technologies, Inc. | | | | | | | | |
4.50%, 08/15/2029(1) | | | 7,075 | | | | 5,819 | |
6.25%, 01/15/2028(1) | | | 7,305 | | | | 6,756 | |
7.50%, 09/15/2027(1) | | | 1,395 | | | | 1,351 | |
United Group BV | | | | | | | | |
4.88%, 07/01/2024 | | EUR | 8,500 | | | | 8,088 | |
Univision Communications, Inc. | | | | | | | | |
5.13%, 02/15/2025(1) | | $ | 7,541 | | | | 7,096 | |
6.63%, 06/01/2027(1) | | | 4,480 | | | | 4,265 | |
Verizon Communications, Inc. | | | | | | | | |
1.75%, 01/20/2031 | | | 25,565 | | | | 20,534 | |
2.10%, 03/22/2028 | | | 4,545 | | | | 4,037 | |
2.36%, 03/15/2032 | | | 13,024 | | | | 10,799 | |
2.55%, 03/21/2031 | | | 49,511 | | | | 42,332 | |
Virgin Media Secured Finance Plc | | | | | | | | |
4.50%, 08/15/2030(1) | | | 4,031 | | | | 3,312 | |
5.50%, 05/15/2029(1) | | | 1,670 | | | | 1,493 | |
Vodafone Group Plc | | | | | | | | |
4.25%, 09/17/2050 | | | 1,955 | | | | 1,633 | |
4.88%, 06/19/2049 | | | 6,963 | | | | 6,376 | |
5.25%, 05/30/2048 | | | 14,148 | | | | 13,460 | |
VTR Comunicaciones SpA | | | | | | | | |
4.38%, 04/15/2029(1) | | | 685 | | | | 468 | |
5.13%, 01/15/2028(1) | | | 381 | | | | 275 | |
Walt Disney Co. | | | | | | | | |
3.50%, 05/13/2040 | | | 1,011 | | | | 862 | |
3.60%, 01/13/2051 | | | 7,500 | | | | 6,260 | |
Ziggo Bond Co. BV | | | | | | | | |
6.00%, 01/15/2027(1) | | | 334 | | | | 296 | |
Ziggo BV | | | | | | | | |
4.88%, 01/15/2030(1) | | | 254 | | | | 215 | |
| | | | | | | | |
Total Communications | | | | 1,315,160 | |
| | | | | | | | |
Consumer, Cyclical – 2.80% | | | | |
1011778 BC ULC / New Red Finance, Inc. | | | | | | | | |
3.88%, 01/15/2028(1) | | | 83 | | | | 72 | |
4.00%, 10/15/2030(1) | | | 2,326 | | | | 1,867 | |
7-Eleven, Inc. | | | | | | | | |
0.80%, 02/10/2024(1) | | | 24,535 | | | | 23,246 | |
Air Canada | | | | | | | | |
3.88%, 08/15/2026(1) | | | 1,900 | | | | 1,607 | |
Air Canada 2015-2 Class B Pass-Through Trust | | | | | | | | |
5.00%, 12/15/2023(1) | | | 1,080 | | | | 1,061 | |
Air Canada 2017-1 Class B Pass-Through Trust | | | | | | | | |
3.70%, 01/15/2026(1) | | | 9,723 | | | | 9,096 | |
Alaska Airlines 2020-1 Class A Pass-Through Trust | | | | | | | | |
4.80%, 08/15/2027(1) | | | 1,363 | | | | 1,345 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
3.55%, 07/26/2027(1) | | | 3,000 | | | | 2,798 | |
3.80%, 01/25/2050(1) | | | 4,513 | | | | 3,405 | |
American Airlines 2015-1 Class A Pass-Through Trust | | | | | | | | |
3.38%, 05/01/2027 | | | 586 | | | | 525 | |
American Airlines 2015-2 Class B Pass-Through Trust | | | | | | | | |
4.40%, 09/22/2023 | | | 7,053 | | | | 6,723 | |
American Airlines 2016-1 Class B Pass-Through Trust | | | | | | | | |
5.25%, 01/15/2024 | | | 322 | | | | 307 | |
American Airlines 2016-2 Class B Pass-Through Trust | | | | | | | | |
4.38%, 06/15/2024(1) | | | 2,454 | | | | 2,284 | |
American Airlines 2016-3 Class B Pass-Through Trust | | | | | | | | |
3.75%, 10/15/2025 | | | 2,135 | | | | 1,891 | |
American Airlines 2017-2 Class A Pass-Through Trust | | | | | | | | |
3.60%, 10/15/2029 | | | 184 | | | | 161 | |
American Airlines 2017-2 Class B Pass-Through Trust | | | | | | | | |
3.70%, 10/15/2025 | | | 1,123 | | | | 999 | |
American Airlines 2019-1 Class AA Pass-Through Trust | | | | | | | | |
3.15%, 02/15/2032 | | | 802 | | | | 709 | |
American Airlines 2019-1 Class B Pass-Through Trust | | | | | | | | |
3.85%, 02/15/2028 | | | 9,450 | | | | 7,970 | |
American Airlines 2021-1 Class A Pass-Through Trust | | | | | | | | |
2.88%, 07/11/2034 | | | 15,700 | | | | 13,365 | |
American Airlines, Inc. | | | | | | | | |
5.50%, 04/20/2026(1) | | | 157 | | | | 144 | |
5.75%, 04/20/2029(1) | | | 3,405 | | | | 2,907 | |
American Honda Finance Corp. | | | | | | | | |
0.55%, 07/12/2024 | | | 47,945 | | | | 45,029 | |
Aramark Services, Inc. | | | | | | | | |
5.00%, 02/01/2028(1) | | | 628 | | | | 569 | |
| | | | | | | | |
AutoNation, Inc. | | | | | | | | |
4.75%, 06/01/2030 | | | 1,030 | | | | 969 | |
AutoZone, Inc. | | | | | | | | |
3.63%, 04/15/2025 | | | 5,645 | | | | 5,575 | |
4.00%, 04/15/2030 | | | 8,465 | | | | 8,037 | |
Azul Investments LLP | | | | | | | | |
5.88%, 10/26/2024(1) | | | 467 | | | | 354 | |
7.25%, 06/15/2026(1) | | | 412 | | | | 282 | |
British Airways 2018-1 Class AA Pass-Through Trust | | | | | | | | |
3.80%, 09/20/2031(1) | | | 1,818 | | | | 1,718 | |
British Airways 2019-1 Class A Pass-Through Trust | | | | | | | | |
3.35%, 06/15/2029(1) | | | 2,582 | | | | 2,249 | |
British Airways 2019-1 Class AA Pass-Through Trust | | | | | | | | |
3.30%, 12/15/2032(1) | | | 366 | | | | 326 | |
British Airways 2020-1 Class A Pass-Through Trust | | | | | | | | |
4.25%, 11/15/2032(1) | | | 333 | | | | 320 | |
Brookfield Residential Properties, Inc. / Brookfield Residential US LLC | | | | | | | | |
6.25%, 09/15/2027(1) | | | 640 | | | | 531 | |
Caesars Entertainment, Inc. | | | | | | | | |
4.63%, 10/15/2029(1) | | | 2,801 | | | | 2,178 | |
6.25%, 07/01/2025(1) | | | 5,600 | | | | 5,397 | |
8.13%, 07/01/2027(1) | | | 1,883 | | | | 1,819 | |
Carnival Corp. | | | | | | | | |
4.00%, 08/01/2028(1) | | | 12,385 | | | | 10,156 | |
Carvana Co. | | | | | | | | |
4.88%, 09/01/2029(1) | | | 5,000 | | | | 2,843 | |
5.50%, 04/15/2027(1) | | | 790 | | | | 510 | |
10.25%, 05/01/2030(1) | | | 23,700 | | | | 19,434 | |
Cedar Fair LP | | | | | | | | |
5.25%, 07/15/2029 | | | 540 | | | | 476 | |
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op | | | | | | | | |
5.38%, 04/15/2027 | | | 536 | | | | 508 | |
5.50%, 05/01/2025(1) | | | 370 | | | | 359 | |
Churchill Downs, Inc. | | | | | | | | |
4.75%, 01/15/2028(1) | | | 318 | | | | 283 | |
5.50%, 04/01/2027(1) | | | 641 | | | | 609 | |
Daimler Finance North America LLC | | | | | | | | |
2.45%, 03/02/2031(1) | | | 1,748 | | | | 1,486 | |
Delta Air Lines, Inc. | | | | | | | | |
7.00%, 05/01/2025(1) | | | 2,526 | | | | 2,557 | |
Dillard’s, Inc. | | | | | | | | |
7.00%, 12/01/2028 | | | 380 | | | | 403 | |
7.75%, 07/15/2026 | | | 135 | | | | 142 | |
7.75%, 05/15/2027 | | | 85 | | | | 90 | |
Dollar General Corp. | | | | | | | | |
3.50%, 04/03/2030 | | | 3,125 | | | | 2,876 | |
Ferguson Finance Plc | | | | | | | | |
3.25%, 06/02/2030(1) | | | 1,720 | | | | 1,489 | |
FirstCash, Inc. | | | | | | | | |
5.63%, 01/01/2030(1) | | | 5,000 | | | | 4,317 | |
Ford Motor Co. | | | | | | | | |
3.25%, 02/12/2032 | | | 31,824 | | | | 23,801 | |
9.00%, 04/22/2025 | | | 33 | | | | 35 | |
Ford Motor Credit Co. LLC | | | | | | | | |
0.32% (3 Month EURIBOR + 0.73%), 11/15/2023(2)(3) | | EUR | 1,600 | | | | 1,615 | |
0.35% (3 Month EURIBOR + 0.70%), 12/01/2024(2)(3) | | | 2,000 | | | | 1,948 | |
1.74%, 07/19/2024 | | | 2,200 | | | | 2,128 | |
2.33%, 11/25/2025 | | | 1,400 | | | | 1,298 | |
2.98%, 08/03/2022 | | $ | 800 | | | | 800 | |
3.02%, 03/06/2024 | | EUR | 4,400 | | | | 4,418 | |
3.25%, 09/15/2025 | | | 3,090 | | | | 2,962 | |
3.35%, 11/01/2022 | | $ | 5,600 | | | | 5,559 | |
3.38%, 11/13/2025 | | | 1,800 | | | | 1,621 | |
3.55%, 10/07/2022 | | | 4,200 | | | | 4,179 | |
3.63%, 06/17/2031 | | | 2,295 | | | | 1,779 | |
3.66%, 09/08/2024 | | | 3,100 | | | | 2,931 | |
3.81%, 01/09/2024 | | | 950 | | | | 922 | |
4.25%, 09/20/2022 | | | 2,100 | | | | 2,095 | |
4.39%, 01/08/2026 | | | 2,666 | | | | 2,456 | |
4.54%, 03/06/2025 | | GBP | 1,800 | | | | 2,049 | |
5.13%, 06/16/2025 | | $ | 2,300 | | | | 2,196 | |
5.58%, 03/18/2024 | | | 2,487 | | | | 2,475 | |
General Motors Co. | | | | | | | | |
5.20%, 04/01/2045 | | | 28,550 | | | | 23,980 | |
5.40%, 04/01/2048 | | | 1,330 | | | | 1,157 | |
6.25%, 10/02/2043 | | | 65 | | | | 62 | |
General Motors Financial Co., Inc. | | | | | | | | |
1.05%, 03/08/2024 | | | 5,995 | | | | 5,683 | |
1.20%, 10/15/2024 | | | 8,570 | | | | 7,969 | |
2.90%, 02/26/2025 | | | 2,017 | | | | 1,925 | |
3.10%, 01/12/2032 | | | 9,976 | | | | 8,018 | |
4.00%, 10/06/2026 | | | 537 | | | | 513 | |
4.30%, 07/13/2025 | | | 1,151 | | | | 1,132 | |
4.35%, 04/09/2025 | | | 3,984 | | | | 3,935 | |
5.10%, 01/17/2024 | | | 13,185 | | | | 13,316 | |
Genm Capital Labuan Ltd. | | | | | | | | |
3.88%, 04/19/2031(1) | | | 10,990 | | | | 8,699 | |
| | | | | | | | |
Gol Finance SA | | | | | | | | |
7.00%, 01/31/2025(1) | | | 1,376 | | | | 858 | |
Hasbro, Inc. | | | | | | | | |
3.55%, 11/19/2026 | | | 5,270 | | | | 5,037 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | |
3.63%, 02/15/2032(1) | | | 6,488 | | | | 5,154 | |
3.75%, 05/01/2029(1) | | | 18,012 | | | | 15,277 | |
4.00%, 05/01/2031(1) | | | 15,400 | | | | 12,797 | |
Hyundai Capital America | | | | | | | | |
1.15%, 11/10/2022(1) | | | 20,000 | | | | 19,857 | |
1.25%, 09/18/2023(1) | | | 8,802 | | | | 8,528 | |
1.80%, 10/15/2025(1) | | | 5,395 | | | | 4,934 | |
2.10%, 09/15/2028(1) | | | 6,385 | | | | 5,381 | |
InRetail Consumer | | | | | | | | |
3.25%, 03/22/2028(1) | | | 544 | | | | 451 | |
JetBlue 2019-1 Class AA Pass-Through Trust | | | | | | | | |
2.75%, 05/15/2032 | | | 623 | | | | 539 | |
JetBlue 2020-1 Class A Pass-Through Trust | | | | | | | | |
4.00%, 11/15/2032 | | | 3,156 | | | | 2,933 | |
JSM Global Sarl | | | | | | | | |
4.75%, 10/20/2030(1) | | | 752 | | | | 570 | |
KAR Auction Services, Inc. | | | | | | | | |
5.13%, 06/01/2025(1) | | | 508 | | | | 483 | |
Las Vegas Sands Corp. | | | | | | | | |
3.20%, 08/08/2024 | | | 200 | | | | 189 | |
3.90%, 08/08/2029 | | | 1,200 | | | | 981 | |
Lennar Corp. | | | | | | | | |
4.75%, 11/29/2027 | | | 4,275 | | | | 4,150 | |
4.88%, 12/15/2023 | | | 510 | | | | 513 | |
Lithia Motors, Inc. | | | | | | | | |
3.88%, 06/01/2029(1) | | | 6,480 | | | | 5,504 | |
Lowe’s Companies, Inc. | | | | | | | | |
1.30%, 04/15/2028 | | | 698 | | | | 590 | |
1.70%, 09/15/2028 | | | 9,491 | | | | 8,080 | |
2.80%, 09/15/2041 | | | 6,114 | | | | 4,440 | |
4.25%, 04/01/2052 | | | 200 | | | | 173 | |
Magallanes, Inc. | | | | | | | | |
3.43%, 03/15/2024(1) | | | 3,448 | | | | 3,380 | |
3.76%, 03/15/2027(1) | | | 9,740 | | | | 9,136 | |
4.05%, 03/15/2029(1) | | | 4,505 | | | | 4,126 | |
4.28%, 03/15/2032(1) | | | 18,200 | | | | 16,266 | |
5.05%, 03/15/2042(1) | | | 21,535 | | | | 18,322 | |
5.14%, 03/15/2052(1) | | | 31,733 | | | | 26,635 | |
Magna International, Inc. | | | | | | | | |
4.15%, 10/01/2025 | | | 665 | | | | 668 | |
Marriott International, Inc. | | | | | | | | |
2.75%, 10/15/2033 | | | 2,722 | | | | 2,141 | |
2.85%, 04/15/2031 | | | 7,650 | | | | 6,344 | |
3.13%, 02/15/2023 | | | 1,360 | | | | 1,356 | |
3.50%, 10/15/2032 | | | 6,200 | | | | 5,348 | |
3.75%, 10/01/2025 | | | 1,505 | | | | 1,473 | |
4.63%, 06/15/2030 | | | 11,174 | | | | 10,712 | |
5.75%, 05/01/2025 | | | 1,399 | | | | 1,451 | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
4.50%, 06/15/2029(1) | | | 745 | | | | 620 | |
Mattamy Group Corp. | | | | | | | | |
5.25%, 12/15/2027(1) | | | 56 | | | | 46 | |
MDC Holdings, Inc. | | | | | | | | |
3.97%, 08/06/2061 | | | 7,835 | | | | 4,508 | |
6.00%, 01/15/2043 | | | 7,970 | | | | 6,510 | |
Melco Resorts Finance Ltd. | | | | | | | | |
5.38%, 12/04/2029(1) | | | 3,100 | | | | 1,862 | |
Meritage Homes Corp. | | | | | | | | |
3.88%, 04/15/2029(1) | | | 4,635 | | | | 3,842 | |
Metalsa S A P I de CV | | | | | | | | |
3.75%, 05/04/2031(6) | | | 720 | | | | 508 | |
MGM China Holdings Ltd. | | | | | | | | |
5.25%, 06/18/2025(1) | | | 2,100 | | | | 1,611 | |
5.38%, 05/15/2024(1) | | | 407 | | | | 347 | |
5.88%, 05/15/2026(1) | | | 1,112 | | | | 841 | |
MGM Resorts International | | | | | | | | |
4.63%, 09/01/2026 | | | 43 | | | | 38 | |
5.50%, 04/15/2027 | | | 72 | | | | 65 | |
5.75%, 06/15/2025 | | | 74 | | | | 70 | |
Michaels Companies, Inc. | | | | | | | | |
7.88%, 05/01/2029(1) | | | 11,145 | | | | 7,345 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50%, 06/20/2027(1) | | | 9,040 | | | | 8,885 | |
Mitchells & Butlers Finance Plc | | | | | | | | |
2.28% (3 Month LIBOR USD + 0.45%), 12/15/2030(2) | | | 7,244 | | | | 6,620 | |
6.01%, 12/15/2028 | | GBP | 282 | | | | 348 | |
NCL Corp. Ltd. | | | | | | | | |
5.88%, 03/15/2026(1) | | $ | 1,420 | | | | 1,115 | |
5.88%, 02/15/2027(1) | | | 7,150 | | | | 6,113 | |
Nemak SAB de CV | | | | | | | | |
3.63%, 06/28/2031(6) | | | 710 | | | | 496 | |
Nissan Motor Acceptance Co. LLC | | | | | | | | |
1.85%, 09/16/2026(1) | | | 45,200 | | | | 38,099 | |
| | | | | | | | |
2.00%, 03/09/2026(1) | | | 14,300 | | | | 12,372 | |
2.45%, 09/15/2028(1) | | | 4,800 | | | | 3,870 | |
2.75%, 03/09/2028(1) | | | 14,600 | | | | 12,206 | |
Nissan Motor Co. Ltd. | | | | | | | | |
3.52%, 09/17/2025(1) | | | 1,400 | | | | 1,325 | |
4.35%, 09/17/2027(1) | | | 10,500 | | | | 9,636 | |
4.81%, 09/17/2030(1) | | | 61,431 | | | | 54,571 | |
Ross Stores, Inc. | | | | | | | | |
1.88%, 04/15/2031 | | | 698 | | | | 552 | |
Royal Caribbean Cruises Ltd. | | | | | | | | |
5.50%, 04/01/2028(1) | | | 2,075 | | | | 1,442 | |
9.13%, 06/15/2023(1) | | | 370 | | | | 366 | |
10.88%, 06/01/2023(1) | | | 5,657 | | | | 5,676 | |
11.50%, 06/01/2025(1) | | | 3,158 | | | | 3,245 | |
Sands China Ltd. | | | | | | | | |
3.10%, 03/08/2029(1) | | | 2,000 | | | | 1,415 | |
3.25%, 08/08/2031(1) | | | 1,900 | | | | 1,255 | |
3.80%, 01/08/2026 | | | 2,000 | | | | 1,602 | |
4.88%, 06/18/2030 | | | 1,000 | | | | 731 | |
5.13%, 08/08/2025 | | | 10,423 | | | | 8,741 | |
5.40%, 08/08/2028 | | | 2,000 | | | | 1,540 | |
Southwest Airlines Co. 2007-1 Pass-Through Trust | | | | | | | | |
6.65%, 08/01/2022 | | | 6 | | | | 6 | |
Starbucks Corp. | | | | | | | | |
3.00%, 02/14/2032 | | | 7,000 | | | | 6,085 | |
Tapestry, Inc. | | | | | | | | |
3.05%, 03/15/2032 | | | 3,325 | | | | 2,709 | |
Target Corp. | | | | | | | | |
1.95%, 01/15/2027 | | | 3,790 | | | | 3,516 | |
Travel + Leisure Co. | | | | | | | | |
4.50%, 12/01/2029(1) | | | 2,270 | | | | 1,756 | |
6.00%, 04/01/2027 | | | 6,035 | | | | 5,466 | |
6.60%, 10/01/2025 | | | 1,120 | | | | 1,087 | |
United Airlines 2018-1 Class A Pass-Through Trust | | | | | | | | |
3.70%, 03/01/2030 | | | 534 | | | | 472 | |
United Airlines 2018-1 Class B Pass-Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 4,634 | | | | 4,246 | |
United Airlines 2019-1 Class AA Pass-Through Trust | | | | | | | | |
4.15%, 08/25/2031 | | | 557 | | | | 524 | |
United Airlines 2019-2 Class A Pass-Through Trust | | | | | | | | |
2.90%, 05/01/2028 | | | 1,352 | | | | 1,187 | |
United Airlines 2019-2 Class AA Pass-Through Trust | | | | | | | | |
2.70%, 05/01/2032 | | | 846 | | | | 722 | |
United Airlines 2020-1 Class A Pass-Through Trust | | | | | | | | |
5.88%, 10/15/2027 | | | 18,381 | | | | 18,059 | |
United Airlines, Inc. | | | | | | | | |
4.63%, 04/15/2029(1) | | | 4,200 | | | | 3,563 | |
US Airways 2011-1 Class A Pass-Through Trust | | | | | | | | |
7.13%, 10/22/2023 | | | 1,059 | | | | 1,068 | |
US Airways 2013-1 Class A Pass-Through Trust | | | | | | | | |
3.95%, 11/15/2025 | | | 1,079 | | | | 982 | |
Volkswagen Group of America Finance LLC | | | | | | | | |
0.88%, 11/22/2023(1) | | | 35,590 | | | | 34,101 | |
1.63%, 11/24/2027(1) | | | 792 | | | | 677 | |
2.70%, 09/26/2022(1) | | | 6,040 | | | | 6,031 | |
3.20%, 09/26/2026(1) | | | 1,180 | | | | 1,116 | |
3.35%, 05/13/2025(1) | | | 1,455 | | | | 1,406 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | | | | | | | | |
5.25%, 05/15/2027(1) | | | 588 | | | | 504 | |
5.50%, 03/01/2025(1) | | | 1,166 | | | | 1,067 | |
Wynn Macau Ltd. | | | | | | | | |
4.88%, 10/01/2024(1) | | | 615 | | | | 457 | |
5.13%, 12/15/2029(1) | | | 800 | | | | 496 | |
5.50%, 01/15/2026(1) | | | 2,600 | | | | 1,797 | |
5.50%, 10/01/2027(1) | | | 2,465 | | | | 1,596 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. | | | | | | | | |
5.13%, 10/01/2029(1) | | | 475 | | | | 374 | |
7.75%, 04/15/2025(1) | | | 1,800 | | | | 1,752 | |
Yum! Brands, Inc. | | | | | | | | |
4.75%, 01/15/2030(1) | | | 750 | | | | 681 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 878,743 | |
| | | | | | | | |
Consumer, Non-cyclical – 3.82% | | | | |
AA Bond Co. Ltd. | | | | | | | | |
4.88%, 07/31/2024 | | GBP | 1,000 | | | | 1,209 | |
AbbVie, Inc. | | | | | | | | |
2.85%, 05/14/2023 | | $ | 1,000 | | | | 997 | |
3.20%, 11/21/2029 | | | 622 | | | | 572 | |
4.05%, 11/21/2039 | | | 5,273 | | | | 4,702 | |
4.25%, 11/21/2049 | | | 8,786 | | | | 7,800 | |
4.40%, 11/06/2042 | | | 7,147 | | | | 6,495 | |
4.45%, 05/14/2046 | | | 2,355 | | | | 2,136 | |
4.50%, 05/14/2035 | | | 13,745 | | | | 13,340 | |
4.55%, 03/15/2035 | | | 3,300 | | | | 3,210 | |
4.70%, 05/14/2045 | | | 5,020 | | | | 4,725 | |
4.88%, 11/14/2048 | | | 563 | | | | 540 | |
Adani Ports & Special Economic Zone Ltd. | | | | | | | | |
4.20%, 08/04/2027(1) | | | 4,985 | | | | 4,641 | |
| | | | | | | | |
Aetna, Inc. | | | | | | | | |
2.80%, 06/15/2023 | | | 2,000 | | | | 1,975 | |
3.50%, 11/15/2024 | | | 3,370 | | | | 3,329 | |
Albertsons Companies, Inc. | | | | | | | | |
4.88%, 02/15/2030(1) | | | 91 | | | | 78 | |
5.88%, 02/15/2028(1) | | | 490 | | | | 458 | |
Altria Group, Inc. | | | | | | | | |
3.40%, 02/04/2041 | | | 10,070 | | | | 6,666 | |
Amgen, Inc. | | | | | | | | |
2.80%, 08/15/2041 | | | 962 | | | | 713 | |
3.00%, 02/22/2029 | | | 10,120 | | | | 9,334 | |
4.20%, 02/22/2052 | | | 5,571 | | | | 4,888 | |
4.66%, 06/15/2051 | | | 636 | | | | 595 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
4.50%, 06/01/2050 | | | 4,164 | | | | 3,743 | |
4.60%, 04/15/2048 | | | 2,000 | | | | 1,796 | |
4.70%, 02/01/2036 | | | 3,200 | | | | 3,066 | |
4.90%, 02/01/2046 | | | 3,250 | | | | 3,055 | |
Astrazeneca Finance LLC | | | | | | | | |
1.75%, 05/28/2028 | | | 1,121 | | | | 989 | |
Atento Luxco 1 SA | | | | | | | | |
8.00%, 02/10/2026(1) | | | 853 | | | | 602 | |
Bacardi Ltd. | | | | | | | | |
4.45%, 05/15/2025(1) | | | 13,995 | | | | 13,856 | |
4.70%, 05/15/2028(1) | | | 232 | | | | 229 | |
Baptist Healthcare System Obligated Group | | | | | | | | |
3.54%, 08/15/2050 | | | 8,700 | | | | 6,923 | |
BAT Capital Corp. | | | | | | | | |
2.73%, 03/25/2031 | | | 29,370 | | | | 23,261 | |
3.56%, 08/15/2027 | | | 3,582 | | | | 3,277 | |
4.39%, 08/15/2037 | | | 1,020 | | | | 809 | |
4.54%, 08/15/2047 | | | 10,555 | | | | 7,739 | |
4.70%, 04/02/2027 | | | 7,982 | | | | 7,797 | |
5.65%, 03/16/2052 | | | 11,755 | | | | 10,144 | |
BAT International Finance Plc | | | | | | | | |
1.67%, 03/25/2026 | | | 1,870 | | | | 1,655 | |
Bausch Health Americas, Inc. | | | | | | | | |
9.25%, 04/01/2026(1) | | | 731 | | | | 523 | |
Bausch Health Companies, Inc. | | | | | | | | |
4.88%, 06/01/2028(1) | | | 615 | | | | 481 | |
5.00%, 01/30/2028(1) | | | 938 | | | | 499 | |
5.00%, 02/15/2029(1) | | | 130 | | | | 68 | |
5.25%, 01/30/2030(1) | | | 375 | | | | 194 | |
5.25%, 02/15/2031(1) | | | 1,380 | | | | 706 | |
5.75%, 08/15/2027(1) | | | 230 | | | | 191 | |
6.25%, 02/15/2029(1) | | | 145 | | | | 77 | |
7.00%, 01/15/2028(1) | | | 240 | | | | 137 | |
9.00%, 12/15/2025(1) | | | 761 | | | | 562 | |
Bayer US Finance II LLC | | | | | | | | |
2.85%, 04/15/2025(1) | | | 8,635 | | | | 8,273 | |
3.38%, 07/15/2024(1) | | | 5,915 | | | | 5,808 | |
4.25%, 12/15/2025(1) | | | 5,060 | | | | 4,994 | |
4.38%, 12/15/2028(1) | | | 5,273 | | | | 5,134 | |
4.40%, 07/15/2044(1) | | | 6,355 | | | | 5,099 | |
4.88%, 06/25/2048(1) | | | 11,025 | | | | 9,910 | |
Bayer US Finance LLC | | | | | | | | |
3.38%, 10/08/2024(1) | | | 5,000 | | | | 4,879 | |
Becton Dickinson & Co. | | | | | | | | |
1.96%, 02/11/2031 | | | 4,664 | | | | 3,765 | |
3.36%, 06/06/2024 | | | 864 | | | | 855 | |
3.73%, 12/15/2024 | | | 1,046 | | | | 1,041 | |
7.00%, 08/01/2027 | | | 361 | | | | 402 | |
Biogen, Inc. | | | | | | | | |
2.25%, 05/01/2030 | | | 2,522 | | | | 2,067 | |
3.15%, 05/01/2050 | | | 1,708 | | | | 1,171 | |
Bon Secours Mercy Health, Inc. | | | | | | | | |
3.21%, 06/01/2050 | | | 4,000 | | | | 2,982 | |
Boston Scientific Corp. | | | | | | | | |
2.65%, 06/01/2030 | | | 1,000 | | | | 873 | |
BRF GmbH | | | | | | | | |
4.35%, 09/29/2026(1) | | | 827 | | | | 744 | |
BRF SA | | | | | | | | |
5.75%, 09/21/2050(1) | | | 538 | | | | 358 | |
Bristol-Myers Squibb Co. | | | | | | | | |
3.55%, 03/15/2042 | | | 956 | | | | 840 | |
Centene Corp. | | | | | | | | |
2.45%, 07/15/2028 | | | 36,123 | | | | 30,128 | |
2.50%, 03/01/2031 | | | 14,580 | | | | 11,573 | |
2.63%, 08/01/2031 | | | 8,395 | | | | 6,678 | |
3.00%, 10/15/2030 | | | 18,729 | | | | 15,522 | |
3.38%, 02/15/2030 | | | 2,527 | | | | 2,143 | |
4.25%, 12/15/2027 | | | 16,150 | | | | 15,076 | |
4.63%, 12/15/2029 | | | 315 | | | | 294 | |
Charles River Laboratories International, Inc. | | | | | | | | |
4.25%, 05/01/2028(1) | | | 56 | | | | 50 | |
CHS/Community Health Systems, Inc. | | | | | | | | |
4.75%, 02/15/2031(1) | | | 4,700 | | | | 3,441 | |
| | | | | | | | |
5.63%, 03/15/2027(1) | | | 17,473 | | | | 14,789 | |
8.00%, 03/15/2026(1) | | | 4,312 | | | | 3,927 | |
Cigna Corp. | | | | | | | | |
3.40%, 03/01/2027 | | | 6,858 | | | | 6,595 | |
3.40%, 03/15/2051 | | | 868 | | | | 668 | |
3.88%, 10/15/2047 | | | 1,520 | | | | 1,253 | |
4.38%, 10/15/2028 | | | 24,030 | | | | 23,845 | |
4.80%, 08/15/2038 | | | 2,350 | | | | 2,286 | |
Clorox Co. | | | | | | | | |
4.60%, 05/01/2032 | | | 8,250 | | | | 8,287 | |
CommonSpirit Health | | | | | | | | |
1.55%, 10/01/2025 | | | 3,450 | | | | 3,182 | |
2.78%, 10/01/2030 | | | 7,175 | | | | 6,201 | |
3.35%, 10/01/2029 | | | 3,390 | | | | 3,129 | |
3.91%, 10/01/2050 | | | 2,500 | | | | 2,007 | |
Constellation Brands, Inc. | | | | | | | | |
4.65%, 11/15/2028 | | | 4,330 | | | | 4,301 | |
4.75%, 05/09/2032 | | | 6,400 | | | | 6,360 | |
CoStar Group, Inc. | | | | | | | | |
2.80%, 07/15/2030(1) | | | 11,000 | | | | 9,159 | |
CVS Health Corp. | | | | | | | | |
1.30%, 08/21/2027 | | | 7,129 | | | | 6,143 | |
1.88%, 02/28/2031 | | | 2,616 | | | | 2,095 | |
3.25%, 08/15/2029 | | | 6,270 | | | | 5,724 | |
4.30%, 03/25/2028 | | | 3,882 | | | | 3,841 | |
4.75%, 12/01/2022(1) | | | 56 | | | | 56 | |
5.05%, 03/25/2048 | | | 51,933 | | | | 49,713 | |
5.13%, 07/20/2045 | | | 2,250 | | | | 2,167 | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033(1) | | | 57 | | | | 60 | |
5.77%, 01/10/2033 | | | 2,097 | | | | 2,191 | |
6.04%, 12/10/2028 | | | 1,061 | | | | 1,089 | |
CVS Pass-Through Trust Series 2013 | | | | | | | | |
4.70%, 01/10/2036(1) | | | 4,283 | | | | 4,106 | |
CVS Pass-Through Trust Series 2014 | | | | | | | | |
4.16%, 08/11/2036(1) | | | 9,509 | | | | 9,095 | |
DP World Crescent Ltd. | | | | | | | | |
4.85%, 09/26/2028 | | | 1,250 | | | | 1,247 | |
DP World Salaam | | | | | | | | |
6.00% (5 Year CMT Index + 5.75%), 01/01/2171(2)(6) | | | 734 | | | | 736 | |
Element Fleet Management Corp. | | | | | | | | |
1.60%, 04/06/2024(1) | | | 2,195 | | | | 2,090 | |
Elevance Health, Inc. | | | | | | | | |
3.60%, 03/15/2051 | | | 1,836 | | | | 1,490 | |
3.65%, 12/01/2027 | | | 2,580 | | | | 2,511 | |
Embecta Corp. | | | | | | | | |
5.00%, 02/15/2030(1) | | | 2,488 | | | | 2,089 | |
Endo Dac / Endo Finance LLC / Endo Finco, Inc. | | | | | | | | |
6.00%, 06/30/2028(1) | | | 11,859 | | | | 919 | |
ERAC USA Finance LLC | | | | | | | | |
3.80%, 11/01/2025(1) | | | 4,605 | | | | 4,524 | |
Ford Foundation | | | | | | | | |
2.82%, 06/01/2070 | | | 880 | | | | 605 | |
Fresenius Medical Care US Finance III, Inc. | | | | | | | | |
1.88%, 12/01/2026(1) | | | 9,545 | | | | 8,220 | |
2.38%, 02/16/2031(1) | | | 10,000 | | | | 7,906 | |
Frigorifico Concepcion SA | | | | | | | | |
7.70%, 07/21/2028(1) | | | 564 | | | | 443 | |
Gartner, Inc. | | | | | | | | |
3.63%, 06/15/2029(1) | | | 970 | | | | 840 | |
Gilead Sciences, Inc. | | | | | | | | |
2.60%, 10/01/2040 | | | 4,746 | | | | 3,470 | |
2.80%, 10/01/2050 | | | 1,697 | | | | 1,184 | |
4.60%, 09/01/2035 | | | 9,201 | | | | 9,117 | |
5.65%, 12/01/2041 | | | 491 | | | | 524 | |
GlaxoSmithKline Capital Plc | | | | | | | | |
0.53%, 10/01/2023 | | | 35,910 | | | | 34,693 | |
Global Payments, Inc. | | | | | | | | |
1.20%, 03/01/2026 | | | 10,422 | | | | 9,181 | |
2.90%, 05/15/2030 | | | 1,148 | | | | 969 | |
2.90%, 11/15/2031 | | | 13,400 | | | | 10,974 | |
3.20%, 08/15/2029 | | | 8,970 | | | | 7,839 | |
Greene King Finance Plc | | | | | | | | |
4.06%, 03/15/2035 | | GBP | 3,269 | | | | 3,751 | |
5.11%, 03/15/2034 | | | 428 | | | | 530 | |
Grifols Escrow Issuer SA | | | | | | | | |
4.75%, 10/15/2028(1) | | $ | 4,345 | | | | 3,768 | |
Grupo KUO SAB de CV | | | | | | | | |
5.75%, 07/07/2027(1) | | | 344 | | | | 314 | |
GSK Consumer Healthcare Capital US LLC | | | | | | | | |
3.63%, 03/24/2032(1) | | | 8,305 | | | | 7,675 | |
HCA, Inc. | | | | | | | | |
2.38%, 07/15/2031 | | | 13,750 | | | | 10,721 | |
3.13%, 03/15/2027(1) | | | 5,000 | | | | 4,543 | |
3.38%, 03/15/2029(1) | | | 8,475 | | | | 7,454 | |
3.50%, 09/01/2030 | | | 9,977 | | | | 8,488 | |
3.50%, 07/15/2051 | | | 1,036 | | | | 708 | |
| | | | | | | | |
3.63%, 03/15/2032(1) | | | 5,600 | | | | 4,724 | |
4.13%, 06/15/2029 | | | 25,061 | | | | 22,850 | |
4.50%, 02/15/2027 | | | 3,741 | | | | 3,597 | |
4.63%, 03/15/2052(1) | | | 7,974 | | | | 6,380 | |
5.00%, 03/15/2024 | | | 1,664 | | | | 1,671 | |
5.25%, 04/15/2025 | | | 11,001 | | | | 11,018 | |
5.25%, 06/15/2049 | | | 6,070 | | | | 5,228 | |
5.38%, 09/01/2026 | | | 7,650 | | | | 7,586 | |
5.50%, 06/15/2047 | | | 9,720 | | | | 8,671 | |
5.88%, 02/15/2026 | | | 1,085 | | | | 1,091 | |
7.58%, 09/15/2025 | | | 1,322 | | | | 1,400 | |
7.69%, 06/15/2025 | | | 840 | | | | 880 | |
Herc Holdings, Inc. | | | | | | | | |
5.50%, 07/15/2027(1) | | | 638 | | | | 582 | |
Humana, Inc. | | | | | | | | |
2.15%, 02/03/2032 | | | 4,550 | | | | 3,684 | |
3.15%, 12/01/2022 | | | 1,302 | | | | 1,302 | |
3.70%, 03/23/2029 | | | 11,540 | | | | 10,924 | |
3.85%, 10/01/2024 | | | 4,014 | | | | 4,008 | |
3.95%, 03/15/2027 | | | 2,112 | | | | 2,072 | |
4.88%, 04/01/2030 | | | 10,643 | | | | 10,748 | |
Illumina, Inc. | | | | | | | | |
2.55%, 03/23/2031 | | | 11,640 | | | | 9,465 | |
Imperial Brands Finance Plc | | | | | | | | |
3.13%, 07/26/2024(1) | | | 10,790 | | | | 10,448 | |
3.50%, 07/26/2026(1) | | | 8,675 | | | | 8,128 | |
4.25%, 07/21/2025(1) | | | 4,170 | | | | 4,127 | |
Integris Baptist Medical Center, Inc. | | | | | | | | |
3.88%, 08/15/2050 | | | 7,000 | | | | 5,954 | |
IQVIA, Inc. | | | | | | | | |
5.00%, 05/15/2027(1) | | | 609 | | | | 576 | |
JBS USA LUX SA | | | | | | | | |
3.00%, 02/02/2029(1) | | | 5,290 | | | | 4,468 | |
3.75%, 12/01/2031(1) | | | 6,852 | | | | 5,621 | |
4.38%, 02/02/2052(1) | | | 2,090 | | | | 1,478 | |
5.50%, 01/15/2030(1) | | | 5,532 | | | | 5,235 | |
5.75%, 04/01/2033(1) | | | 10,000 | | | | 9,523 | |
6.50%, 04/15/2029(1) | | | 1,909 | | | | 1,920 | |
6.50%, 12/01/2052(1) | | | 7,760 | | | | 7,346 | |
JDE Peet’s NV | | | | | | | | |
2.25%, 09/24/2031(1) | | | 4,500 | | | | 3,515 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.88%, 05/15/2027 | | | 11,351 | | | | 10,977 | |
4.38%, 06/01/2046 | | | 8,255 | | | | 6,880 | |
4.88%, 10/01/2049 | | | 7,855 | | | | 6,938 | |
5.00%, 06/04/2042 | | | 5,436 | | | | 4,966 | |
Market Bidco Finco Plc | | | | | | | | |
4.75%, 11/04/2027(1) | | EUR | 16,000 | | | | 13,280 | |
Mass General Brigham, Inc. | | | | | | | | |
3.34%, 07/01/2060 | | $ | 3,500 | | | | 2,683 | |
Massachusetts Institute of Technology | | | | | | | | |
4.68%, 07/01/2114 | | | 45 | | | | 45 | |
5.60%, 07/01/2111 | | | 72 | | | | 86 | |
Medline Borrower LP | | | | | | | | |
3.88%, 04/01/2029(1) | | | 3,417 | | | | 2,910 | |
ModivCare Escrow Issuer, Inc. | | | | | | | | |
5.00%, 10/01/2029(1) | | | 5,100 | | | | 4,119 | |
Molina Healthcare, Inc. | | | | | | | | |
3.88%, 11/15/2030(1) | | | 4,206 | | | | 3,595 | |
3.88%, 05/15/2032(1) | | | 6,253 | | | | 5,244 | |
4.38%, 06/15/2028(1) | | | 10,418 | | | | 9,306 | |
Moody’s Corp. | | | | | | | | |
3.10%, 11/29/2061 | | | 2,730 | | | | 1,872 | |
3.75%, 02/25/2052 | | | 332 | | | | 271 | |
Movida Europe SA | | | | | | | | |
5.25%, 02/08/2031(6) | | | 443 | | | | 343 | |
Natura Cosmeticos SA | | | | | | | | |
4.13%, 05/03/2028(1) | | | 5,270 | | | | 4,339 | |
NBM US Holdings, Inc. | | | | | | | | |
7.00%, 05/14/2026(1) | | | 8,095 | | | | 8,216 | |
Nestle Holdings, Inc. | | | | | | | | |
0.38%, 01/15/2024(1) | | | 48,380 | | | | 46,299 | |
New York & Presbyterian Hospital | | | | | | | | |
3.56%, 08/01/2036 | | | 2,630 | | | | 2,403 | |
Option Care Health, Inc. | | | | | | | | |
4.38%, 10/31/2029(1) | | | 5,500 | | | | 4,716 | |
PepsiCo, Inc. | | | | | | | | |
0.40%, 10/07/2023 | | | 2,043 | | | | 1,982 | |
Performance Food Group, Inc. | | | | | | | | |
5.50%, 10/15/2027(1) | | | 557 | | | | 516 | |
PerkinElmer, Inc. | | | | | | | | |
2.25%, 09/15/2031 | | | 2,250 | | | | 1,778 | |
2.55%, 03/15/2031 | | | 11,115 | | | | 9,119 | |
3.30%, 09/15/2029 | | | 698 | | | | 619 | |
Pilgrim’s Pride Corp. | | | | | | | | |
3.50%, 03/01/2032(1) | | | 16,890 | | | | 13,195 | |
4.25%, 04/15/2031(1) | | | 2,650 | | | | 2,211 | |
| | | | | | | | |
5.88%, 09/30/2027(1) | | | 530 | | | | 507 | |
Pomona College | | | | | | | | |
2.89%, 01/01/2051 | | | 3,570 | | | | 2,776 | |
Post Holdings, Inc. | | | | | | | | |
4.50%, 09/15/2031(1) | | | 4,647 | | | | 3,801 | |
4.63%, 04/15/2030(1) | | | 10,565 | | | | 8,914 | |
5.50%, 12/15/2029(1) | | | 407 | | | | 364 | |
5.63%, 01/15/2028(1) | | | 512 | | | | 486 | |
RELX Capital, Inc. | | | | | | | | |
4.00%, 03/18/2029 | | | 8,030 | | | | 7,779 | |
4.75%, 05/20/2032 | | | 435 | | | | 442 | |
Reynolds American, Inc. | | | | | | | | |
4.45%, 06/12/2025 | | | 1,408 | | | | 1,400 | |
5.70%, 08/15/2035 | | | 6,650 | | | | 6,307 | |
5.85%, 08/15/2045 | | | 9,235 | | | | 7,749 | |
Rockefeller Foundation | | | | | | | | |
2.49%, 10/01/2050 | | | 6,700 | | | | 4,871 | |
S&P Global, Inc. | | | | | | | | |
1.25%, 08/15/2030 | | | 2,597 | | | | 2,056 | |
4.25%, 05/01/2029(1) | | | 2,585 | | | | 2,556 | |
4.75%, 08/01/2028(1) | | | 11,982 | | | | 12,174 | |
Select Medical Corp. | | | | | | | | |
6.25%, 08/15/2026(1) | | | 298 | | | | 278 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
2.88%, 09/23/2023 | | | 5,697 | | | | 5,633 | |
Smithfield Foods, Inc. | | | | | | | | |
2.63%, 09/13/2031(1) | | | 10,000 | | | | 7,896 | |
3.00%, 10/15/2030(1) | | | 925 | | | | 767 | |
4.25%, 02/01/2027(1) | | | 1,290 | | | | 1,242 | |
Spectrum Brands, Inc. | | | | | | | | |
5.50%, 07/15/2030(1) | | | 3,217 | | | | 2,895 | |
Sutter Health | | | | | | | | |
3.16%, 08/15/2040 | | | 4,700 | | | | 3,692 | |
3.36%, 08/15/2050 | | | 11,400 | | | | 8,746 | |
Takeda Pharmaceutical Co. Ltd. | | | | | | | | |
2.05%, 03/31/2030 | | | 7,244 | | | | 6,059 | |
Tenet Healthcare Corp. | | | | | | | | |
4.38%, 01/15/2030(1) | | | 1,295 | | | | 1,096 | |
4.88%, 01/01/2026(1) | | | 1,126 | | | | 1,036 | |
5.13%, 11/01/2027(1) | | | 170 | | | | 153 | |
6.13%, 06/15/2030(1) | | | 2,058 | | | | 1,899 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
3.15%, 10/01/2026 | | | 10,685 | | | | 8,762 | |
4.10%, 10/01/2046 | | | 7,075 | | | | 4,406 | |
4.75%, 05/09/2027 | | | 6,755 | | | | 5,770 | |
5.13%, 05/09/2029 | | | 4,885 | | | | 4,024 | |
Transurban Finance Co. Pty Ltd. | | | | | | | | |
3.38%, 03/22/2027(1) | | | 912 | | | | 867 | |
Unilever Capital Corp. | | | | | | | | |
2.60%, 05/05/2024 | | | 28,544 | | | | 28,138 | |
UnitedHealth Group, Inc. | | | | | | | | |
2.00%, 05/15/2030 | | | 649 | | | | 556 | |
2.90%, 05/15/2050 | | | 10,669 | | | | 7,990 | |
3.88%, 12/15/2028 | | | 1,070 | | | | 1,064 | |
4.75%, 05/15/2052 | | | 9,605 | | | | 9,600 | |
Universal Health Services, Inc. | | | | | | | | |
1.65%, 09/01/2026(1) | | | 8,275 | | | | 7,177 | |
US Renal Care, Inc. | | | | | | | | |
10.63%, 07/15/2027(1) | | | 558 | | | | 197 | |
Verisk Analytics, Inc. | | | | | | | | |
4.13%, 03/15/2029 | | | 3,835 | | | | 3,695 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 1,197,622 | |
| | | | | | | | |
Energy – 2.18% | | | | |
Aker BP ASA | | | | | | | | |
2.88%, 01/15/2026(1) | | | 1,685 | | | | 1,593 | |
3.00%, 01/15/2025(1) | | | 1,645 | | | | 1,589 | |
3.75%, 01/15/2030(1) | | | 15,485 | | | | 13,872 | |
4.00%, 01/15/2031(1) | | | 14,110 | | | | 12,674 | |
Boardwalk Pipelines LP | | | | | | | | |
3.40%, 02/15/2031 | | | 5,979 | | | | 5,098 | |
4.95%, 12/15/2024 | | | 834 | | | | 840 | |
BP Capital Markets America, Inc. | | | | | | | | |
3.00%, 03/17/2052 | | | 5,961 | | | | 4,294 | |
Buckeye Partners LP | | | | | | | | |
3.95%, 12/01/2026 | | | 67 | | | | 59 | |
Cameron LNG LLC | | | | | | | | |
2.90%, 07/15/2031(1) | | | 811 | | | | 714 | |
3.30%, 01/15/2035(1) | | | 6,312 | | | | 5,401 | |
3.40%, 01/15/2038(1) | | | 1,059 | | | | 900 | |
3.70%, 01/15/2039(1) | | | 1,330 | | | | 1,122 | |
Canadian Natural Resources Ltd. | | | | | | | | |
6.25%, 03/15/2038 | | | 1,345 | | | | 1,422 | |
Cenovus Energy, Inc. | | | | | | | | |
6.75%, 11/15/2039 | | | 743 | | | | 792 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
2.74%, 12/31/2039 | | | 3,174 | | | | 2,505 | |
3.70%, 11/15/2029 | | | 14,912 | | | | 13,640 | |
| | | | | | | | |
5.13%, 06/30/2027 | | | 12,186 | | | | 12,231 | |
5.88%, 03/31/2025 | | | 12,738 | | | | 13,042 | |
7.00%, 06/30/2024 | | | 5,812 | | | | 6,022 | |
Citgo Holding, Inc. | | | | | | | | |
9.25%, 08/01/2024(1) | | | 517 | | | | 500 | |
Continental Resources, Inc. | | | | | | | | |
2.88%, 04/01/2032(1) | | | 10,920 | | | | 8,528 | |
5.75%, 01/15/2031(1) | | | 26,930 | | | | 26,040 | |
Continuum Energy Levanter Pte Ltd. | | | | | | | | |
4.50%, 02/09/2027(1) | | | 561 | | | | 443 | |
CrownRock LP / CrownRock Finance, Inc. | | | | | | | | |
5.63%, 10/15/2025(1) | | | 285 | | | | 268 | |
DCP Midstream Operating LP | | | | | | | | |
3.25%, 02/15/2032 | | | 15,045 | | | | 11,801 | |
5.13%, 05/15/2029 | | | 3,380 | | | | 3,042 | |
Devon Energy Corp. | | | | | | | | |
4.50%, 01/15/2030 | | | 3,414 | | | | 3,225 | |
4.75%, 05/15/2042 | | | 2,005 | | | | 1,818 | |
5.88%, 06/15/2028 | | | 135 | | | | 138 | |
8.25%, 08/01/2023 | | | 588 | | | | 611 | |
Diamondback Energy, Inc. | | | | | | | | |
3.13%, 03/24/2031 | | | 5,946 | | | | 5,179 | |
3.25%, 12/01/2026 | | | 9,889 | | | | 9,648 | |
3.50%, 12/01/2029 | | | 19,906 | | | | 18,233 | |
4.25%, 03/15/2052 | | | 1,798 | | | | 1,491 | |
4.40%, 03/24/2051 | | | 3,125 | | | | 2,661 | |
Ecopetrol SA | | | | | | | | |
6.88%, 04/29/2030 | | | 2,155 | | | | 1,905 | |
EIG Pearl Holdings Sarl | | | | | | | | |
4.39%, 11/30/2046(1) | | | 2,723 | | | | 2,152 | |
Energean Israel Finance Ltd. | | | | | | | | |
5.38%, 03/30/2028(1) | | | 4,950 | | | | 4,189 | |
5.88%, 03/30/2031(1) | | | 6,495 | | | | 5,277 | |
Energy Transfer LP | | | | | | | | |
2.90%, 05/15/2025 | | | 6,950 | | | | 6,606 | |
3.60%, 02/01/2023 | | | 3,218 | | | | 3,209 | |
3.90%, 05/15/2024 | | | 2,971 | | | | 2,948 | |
4.00%, 10/01/2027 | | | 6,885 | | | | 6,516 | |
4.05%, 03/15/2025 | | | 140 | | | | 138 | |
4.20%, 09/15/2023 | | | 530 | | | | 531 | |
4.40%, 03/15/2027 | | | 1,460 | | | | 1,414 | |
4.50%, 04/15/2024 | | | 985 | | | | 985 | |
4.75%, 01/15/2026 | | | 4,720 | | | | 4,702 | |
4.95%, 06/15/2028 | | | 5,882 | | | | 5,796 | |
5.00%, 05/15/2050 | | | 9,361 | | | | 7,966 | |
5.15%, 03/15/2045 | | | 2,700 | | | | 2,309 | |
5.25%, 04/15/2029 | | | 728 | | | | 721 | |
5.30%, 04/01/2044 | | | 600 | | | | 520 | |
5.35%, 05/15/2045 | | | 2,250 | | | | 1,959 | |
5.40%, 10/01/2047 | | | 22,797 | | | | 20,001 | |
5.50%, 06/01/2027 | | | 1,750 | | | | 1,776 | |
5.88%, 01/15/2024 | | | 1,074 | | | | 1,095 | |
6.00%, 06/15/2048 | | | 3,990 | | | | 3,748 | |
6.25%, 04/15/2049 | | | 7,520 | | | | 7,289 | |
Energy Transfer LP / Regency Energy Finance Corp. | | | | | | | | |
4.50%, 11/01/2023 | | | 9,442 | | | | 9,489 | |
ENI SpA | | | | | | | | |
4.75%, 09/12/2028(1) | | | 4,075 | | | | 4,066 | |
Enterprise Products Operating LLC | | | | | | | | |
2.80%, 01/31/2030 | | | 10,752 | | | | 9,413 | |
3.20%, 02/15/2052 | | | 42 | | | | 30 | |
3.30%, 02/15/2053 | | | 38 | | | | 28 | |
EQT Corp. | | | | | | | | |
3.13%, 05/15/2026(1) | | | 1,540 | | | | 1,442 | |
3.63%, 05/15/2031(1) | | | 8,355 | | | | 7,219 | |
3.90%, 10/01/2027 | | | 14,950 | | | | 13,912 | |
5.00%, 01/15/2029 | | | 3,110 | | | | 3,011 | |
7.50%, 02/01/2030 | | | 1,175 | | | | 1,261 | |
Frontera Energy Corp. | | | | | | | | |
7.88%, 06/21/2028(1) | | | 647 | | | | 525 | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
2.16%, 03/31/2034(1) | | | 2,028 | | | | 1,723 | |
Gazprom PJSC Via Gaz Capital SA | | | | | | | | |
4.95%, 07/19/2022 | | | 3,000 | | | | 2,430 | |
4.95%, 03/23/2027 | | | 20,900 | | | | 6,061 | |
Gazprom PJSC via Gaz Finance Plc | | | | | | | | |
2.95%, 04/15/2025 | | EUR | 15,000 | | | | 4,716 | |
2.95%, 01/27/2029(1) | | $ | 28,600 | | | | 7,865 | |
3.00%, 06/29/2027 | | | 10,000 | | | | 2,700 | |
Geopark Ltd. | | | | | | | | |
5.50%, 01/17/2027(1) | | | 253 | | | | 212 | |
Gray Oak Pipeline LLC | | | | | | | | |
2.00%, 09/15/2023(1) | | | 1,171 | | | | 1,141 | |
2.60%, 10/15/2025(1) | | | 1,575 | | | | 1,471 | |
3.45%, 10/15/2027(1) | | | 2,061 | | | | 1,884 | |
Greenko Dutch BV | | | | | | | | |
3.85%, 03/29/2026(1) | | | 7,566 | | | | 6,412 | |
| | | | | | | | |
Helmerich & Payne, Inc. | | | | | | | | |
2.90%, 09/29/2031 | | | 1,000 | | | | 857 | |
Hess Corp. | | | | | | | | |
4.30%, 04/01/2027 | | | 4,305 | | | | 4,196 | |
5.60%, 02/15/2041 | | | 4,660 | | | | 4,540 | |
KazMunayGas National Co. JSC | | | | | | | | |
3.50%, 04/14/2033 | | | 351 | | | | 252 | |
5.38%, 04/24/2030 | | | 2,346 | | | | 2,067 | |
KazTransGas JSC | | | | | | | | |
4.38%, 09/26/2027 | | | 600 | | | | 530 | |
Kinder Morgan, Inc. | | | | | | | | |
3.60%, 02/15/2051 | | | 1,184 | | | | 872 | |
4.30%, 06/01/2025 | | | 14,500 | | | | 14,425 | |
5.55%, 06/01/2045 | | | 960 | | | | 904 | |
Leviathan Bond Ltd. | | | | | | | | |
6.13%, 06/30/2025(1) | | | 8,515 | | | | 7,993 | |
Lundin Energy Finance BV | | | | | | | | |
2.00%, 07/15/2026(1) | | | 7,715 | | | | 6,891 | |
3.10%, 07/15/2031(1) | | | 5,635 | | | | 4,662 | |
Matador Resources Co. | | | | | | | | |
5.88%, 09/15/2026 | | | 117 | | | | 112 | |
MC Brazil Downstream Trading Sarl | | | | | | | | |
7.25%, 06/30/2031(1) | | | 1,020 | | | | 811 | |
MPLX LP | | | | | | | | |
4.25%, 12/01/2027 | | | 5,655 | | | | 5,457 | |
NGPL PipeCo LLC | | | | | | | | |
4.88%, 08/15/2027(1) | | | 4,268 | | | | 4,222 | |
Noble Finance Co. | | | | | | | | |
11.00%, 02/15/2028(1)(7) | | | 25 | | | | 27 | |
11.00%, 02/15/2028(7) | | | 35 | | | | 38 | |
Occidental Petroleum Corp. | | | | | | | | |
0.00%, 10/10/2036 | | | 5,454 | | | | 2,702 | |
5.55%, 03/15/2026 | | | 2,820 | | | | 2,800 | |
8.00%, 07/15/2025 | | | 2,130 | | | | 2,242 | |
8.50%, 07/15/2027 | | | 1,705 | | | | 1,876 | |
8.88%, 07/15/2030 | | | 2,618 | | | | 3,006 | |
Odebrecht Offshore Drilling Finance Ltd. | | | | | | | | |
6.72%, 12/01/2022 | | | 7 | | | | 6 | |
Oil & Gas Holding Co. BSCC | | | | | | | | |
7.63%, 11/07/2024(6) | | | 602 | | | | 618 | |
OQ SAOC | | | | | | | | |
5.13%, 05/06/2028(1) | | | 348 | | | | 328 | |
Ovintiv, Inc. | | | | | | | | |
6.50%, 08/15/2034 | | | 11,993 | | | | 12,517 | |
7.38%, 11/01/2031 | | | 1,182 | | | | 1,299 | |
Pertamina Persero PT | | | | | | | | |
3.10%, 08/27/2030(1) | | | 4,663 | | | | 4,060 | |
Petrobras Global Finance BV | | | | | | | | |
6.25%, 12/14/2026 | | GBP | 4,359 | | | | 5,134 | |
Petroleos de Venezuela SA | | | | | | | | |
5.38%, 04/12/2027(10) | | $ | 2,052 | | | | 115 | |
5.50%, 04/12/2037(10) | | | 2,500 | | | | 140 | |
6.00%, 05/16/2024(10) | | | 2,312 | | | | 136 | |
6.00%, 11/15/2026(10) | | | 4,600 | | | | 258 | |
9.00%, 11/17/2022(10) | | | 200 | | | | 12 | |
9.75%, 05/17/2035(10) | | | 830 | | | | 48 | |
Petroleos Mexicanos | | | | | | | | |
5.50%, 06/27/2044 | | | 787 | | | | 450 | |
5.95%, 01/28/2031 | | | 4,020 | | | | 2,940 | |
6.70%, 02/16/2032 | | | 38,267 | | | | 29,179 | |
6.75%, 09/21/2047 | | | 14,742 | | | | 9,103 | |
6.95%, 01/28/2060 | | | 3,895 | | | | 2,397 | |
7.69%, 01/23/2050 | | | 7,512 | | | | 5,107 | |
8.75%, 06/02/2029(1) | | | 2,569 | | | | 2,325 | |
Petronas Capital Ltd. | | | | | | | | |
2.48%, 01/28/2032(1) | | | 1,700 | | | | 1,447 | |
3.50%, 04/21/2030(1) | | | 3,900 | | | | 3,664 | |
Plains All American Pipeline LP | | | | | | | | |
3.55%, 12/15/2029 | | | 800 | | | | 705 | |
4.90%, 02/15/2045 | | | 390 | | | | 314 | |
Plains All American Pipeline LP / PAA Finance Corp. | | | | | | | | |
3.80%, 09/15/2030 | | | 4,120 | | | | 3,642 | |
4.30%, 01/31/2043 | | | 4,600 | | | | 3,466 | |
Puma International Financing SA | | | | | | | | |
5.00%, 01/24/2026(6) | | | 572 | | | | 500 | |
5.13%, 10/06/2024(1) | | | 531 | | | | 486 | |
Qatar Energy | | | | | | | | |
2.25%, 07/12/2031 | | | 2,700 | | | | 2,305 | |
Reliance Industries Ltd. | | | | | | | | |
4.13%, 01/28/2025 | | | 250 | | | | 250 | |
Rio Oil Finance Trust Series 2014-1 | | | | | | | | |
9.25%, 07/06/2024 | | | 162 | | | | 167 | |
Rio Oil Finance Trust Series 2014-3 | | | | | | | | |
9.75%, 01/06/2027 | | | 177 | | | | 187 | |
Rio Oil Finance Trust Series 2018-1 | | | | | | | | |
8.20%, 04/06/2028(1) | | | 448 | | | | 464 | |
| | | | | | | | |
Rockies Express Pipeline LLC | | | | | | | | |
4.95%, 07/15/2029(1) | | | 5,700 | | | | 4,873 | |
6.88%, 04/15/2040(1) | | | 3,535 | | | | 2,925 | |
Ruby Pipeline LLC | | | | | | | | |
8.00%, 04/01/2023(1)(10) | | | 2,879 | | | | 2,447 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50%, 05/15/2030 | | | 9,450 | | | | 9,056 | |
5.00%, 03/15/2027 | | | 6,115 | | | | 6,130 | |
5.63%, 03/01/2025 | | | 23,856 | | | | 24,331 | |
5.75%, 05/15/2024 | | | 7,532 | | | | 7,681 | |
5.88%, 06/30/2026 | | | 6,040 | | | | 6,241 | |
Santos Finance Ltd. | | | | | | | | |
3.65%, 04/29/2031(1) | | | 10,000 | | | | 8,482 | |
Saudi Arabian Oil Co. | | | | | | | | |
1.63%, 11/24/2025 | | | 2,200 | | | | 2,031 | |
Southern Gas Corridor CJSC | | | | | | | | |
6.88%, 03/24/2026 | | | 1,584 | | | | 1,554 | |
Southern Natural Gas Co. LLC | | | | | | | | |
4.80%, 03/15/2047(1) | | | 1,000 | | | | 883 | |
Southwestern Energy Co. | | | | | | | | |
4.75%, 02/01/2032 | | | 1,850 | | | | 1,581 | |
Sunoco LP / Sunoco Finance Corp. | | | | | | | | |
4.50%, 04/30/2030(1) | | | 693 | | | | 559 | |
Targa Resources Corp. | | | | | | | | |
4.95%, 04/15/2052 | | | 1,551 | | | | 1,329 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | | | | | | | | |
4.88%, 02/01/2031 | | | 2,085 | | | | 1,901 | |
5.00%, 01/15/2028 | | | 665 | | | | 633 | |
5.50%, 03/01/2030 | | | 2,105 | | | | 2,009 | |
TC PipeLines LP | | | | | | | | |
4.38%, 03/13/2025 | | | 3,330 | | | | 3,348 | |
Texas Eastern Transmission LP | | | | | | | | |
2.80%, 10/15/2022(1) | | | 6,320 | | | | 6,318 | |
3.50%, 01/15/2028(1) | | | 2,263 | | | | 2,134 | |
Topaz Solar Farms LLC | | | | | | | | |
4.88%, 09/30/2039(1) | | | 437 | | | | 377 | |
5.75%, 09/30/2039(1) | | | 3,367 | | | | 3,055 | |
TransCanada PipeLines Ltd. | | | | | | | | |
4.10%, 04/15/2030 | | | 671 | | | | 641 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | | | | |
3.25%, 05/15/2030 | | | 1,610 | | | | 1,446 | |
4.00%, 03/15/2028 | | | 5,410 | | | | 5,242 | |
4.60%, 03/15/2048 | | | 2,646 | | | | 2,398 | |
TransMontaigne Partners LP / TLP Finance Corp. | | | | | | | | |
6.13%, 02/15/2026 | | | 2,540 | | | | 2,245 | |
Transocean Phoenix 2 Ltd. | | | | | | | | |
7.75%, 10/15/2024(1) | | | 942 | | | | 898 | |
Transocean Poseidon Ltd. | | | | | | | | |
6.88%, 02/01/2027(1) | | | 3,544 | | | | 3,118 | |
Transocean Proteus Ltd. | | | | | | | | |
6.25%, 12/01/2024(1) | | | 4,719 | | | | 4,401 | |
Transocean, Inc. | | | | | | | | |
7.25%, 11/01/2025(1) | | | 100 | | | | 74 | |
8.00%, 02/01/2027(1) | | | 70 | | | | 47 | |
Valero Energy Partners LP | | | | | | | | |
4.50%, 03/15/2028 | | | 5,370 | | | | 5,293 | |
Venture Global Calcasieu Pass LLC | | | | | | | | |
4.13%, 08/15/2031(1) | | | 1,000 | | | | 855 | |
Western Midstream Operating LP | | | | | | | | |
4.55%, 02/01/2030 | | | 1,775 | | | | 1,535 | |
5.30%, 03/01/2048 | | | 5,089 | | | | 4,102 | |
5.45%, 04/01/2044 | | | 1,256 | | | | 1,044 | |
5.50%, 08/15/2048 | | | 940 | | | | 766 | |
5.75%, 02/01/2050 | | | 2,350 | | | | 1,887 | |
Williams Companies, Inc. | | | | | | | | |
2.60%, 03/15/2031 | | | 9,367 | | | | 7,840 | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025(1) | | | 1,614 | | | | 1,586 | |
3.70%, 03/15/2028(1) | | | 626 | | | | 584 | |
YPF SA | | | | | | | | |
7.00%, 12/15/2047(1) | | | 750 | | | | 368 | |
| | | | | | | | |
Total Energy | | | | 683,698 | |
| | | | | | | | |
Financials – 12.69% | | | | |
AerCap Ireland Capital DAC | | | | | | | | |
2.45%, 10/29/2026 | | | 4,983 | | | | 4,339 | |
3.00%, 10/29/2028 | | | 39,661 | | | | 33,407 | |
3.30%, 01/30/2032 | | | 8,105 | | | | 6,488 | |
3.50%, 01/15/2025 | | | 958 | | | | 915 | |
3.65%, 07/21/2027 | | | 200 | | | | 182 | |
3.88%, 01/23/2028 | | | 10,445 | | | | 9,428 | |
4.88%, 01/16/2024 | | | 1,828 | | | | 1,818 | |
6.50%, 07/15/2025 | | | 250 | | | | 256 | |
AIB Group Plc | | | | | | | | |
4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(2) | | | 2,400 | | | | 2,354 | |
Air Lease Corp. | | | | | | | | |
3.00%, 02/01/2030 | | | 4,635 | | | | 3,782 | |
3.13%, 12/01/2030 | | | 14,900 | | | | 12,178 | |
3.25%, 10/01/2029 | | | 1,250 | | | | 1,053 | |
| | | | | | | | |
3.38%, 07/01/2025 | | | 5,360 | | | | 5,047 | |
3.88%, 07/03/2023 | | | 4,000 | | | | 3,965 | |
4.63%, 10/01/2028 | | | 30 | | | | 28 | |
Aircastle Ltd. | | | | | | | | |
4.13%, 05/01/2024 | | | 5,440 | | | | 5,286 | |
5.00%, 04/01/2023 | | | 5,090 | | | | 5,084 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
2.95%, 03/15/2034 | | | 269 | | | | 224 | |
3.95%, 01/15/2027 | | | 1,107 | | | | 1,090 | |
3.95%, 01/15/2028 | | | 1,192 | | | | 1,154 | |
4.70%, 07/01/2030 | | | 1,139 | | | | 1,125 | |
Allied World Assurance Co. Holdings Ltd. | | | | | | | | |
4.35%, 10/29/2025 | | | 2,325 | | | | 2,293 | |
Ally Financial, Inc. | | | | | | | | |
2.20%, 11/02/2028 | | | 4,235 | | | | 3,449 | |
3.88%, 05/21/2024 | | | 15 | | | | 15 | |
4.63%, 03/30/2025 | | | 16,915 | | | | 16,801 | |
5.13%, 09/30/2024 | | | 400 | | | | 404 | |
5.75%, 11/20/2025 | | | 9,925 | | | | 9,778 | |
5.80%, 05/01/2025 | | | 9,805 | | | | 10,014 | |
8.00%, 11/01/2031 | | | 5 | | | | 5 | |
8.00%, 11/01/2031 | | | 13,313 | | | | 14,800 | |
American Assets Trust LP | | | | | | | | |
3.38%, 02/01/2031 | | | 10,870 | | | | 9,301 | |
American Campus Communities Operating Partnership LP | | | | | | | | |
2.25%, 01/15/2029 | | | 5,405 | | | | 5,005 | |
2.85%, 02/01/2030 | | | 8,335 | | | | 7,911 | |
3.30%, 07/15/2026 | | | 3,525 | | | | 3,445 | |
3.63%, 11/15/2027 | | | 274 | | | | 269 | |
3.75%, 04/15/2023 | | | 2,000 | | | | 2,002 | |
4.13%, 07/01/2024 | | | 2,750 | | | | 2,765 | |
American Express Co. | | | | | | | | |
2.55%, 03/04/2027 | | | 11,545 | | | | 10,757 | |
American Homes 4 Rent LP | | | | | | | | |
2.38%, 07/15/2031 | | | 1,690 | | | | 1,348 | |
American International Group, Inc. | | | | | | | | |
4.75%, 04/01/2048 | | | 1,226 | | | | 1,147 | |
American Tower Corp. | | | | | | | | |
2.10%, 06/15/2030 | | | 604 | | | | 484 | |
2.30%, 09/15/2031 | | | 7,761 | | | | 6,147 | |
3.38%, 05/15/2024 | | | 1,552 | | | | 1,529 | |
3.65%, 03/15/2027 | | | 1,640 | | | | 1,557 | |
3.80%, 08/15/2029 | | | 10,244 | | | | 9,403 | |
AmFam Holdings, Inc. | | | | | | | | |
2.81%, 03/11/2031(1) | | | 5,500 | | | | 4,627 | |
Antares Holdings LP | | | | | | | | |
2.75%, 01/15/2027(1) | | | 8,970 | | | | 7,163 | |
3.75%, 07/15/2027(1) | | | 20,265 | | | | 17,038 | |
Aon Corp. | | | | | | | | |
2.80%, 05/15/2030 | | | 6,747 | | | | 5,898 | |
Aon Corp. / Aon Global Holdings Plc | | | | | | | | |
2.60%, 12/02/2031 | | | 6,275 | | | | 5,261 | |
3.90%, 02/28/2052 | | | 1,262 | | | | 1,032 | |
Arabian Centres Sukuk II Ltd. | | | | | | | | |
5.63%, 10/07/2026(1) | | | 875 | | | | 797 | |
Arabian Centres Sukuk Ltd. | | | | | | | | |
5.38%, 11/26/2024(6) | | | 456 | | | | 432 | |
Ares Capital Corp. | | | | | | | | |
2.88%, 06/15/2028 | | | 8,315 | | | | 6,587 | |
3.20%, 11/15/2031 | | | 18,865 | | | | 13,707 | |
Arthur J Gallagher & Co. | | | | | | | | |
3.05%, 03/09/2052 | | | 1,995 | | | | 1,384 | |
ASG Finance Designated Activity Co. | | | | | | | | |
7.88%, 12/03/2024(1) | | | 986 | | | | 922 | |
Athene Global Funding | | | | | | | | |
1.61%, 06/29/2026(1) | | | 9,100 | | | | 7,940 | |
1.72%, 01/07/2025(1) | | | 27,575 | | | | 25,731 | |
1.99%, 08/19/2028(1) | | | 12,230 | | | | 10,154 | |
1.99% (SOFR + 0.70%), 05/24/2024(1)(2) | | | 10,525 | | | | 10,219 | |
2.55%, 11/19/2030(1) | | | 3,300 | | | | 2,668 | |
2.72%, 01/07/2029(1) | | | 3,800 | | | | 3,227 | |
3.21%, 03/08/2027(1) | | | 5,070 | | | | 4,611 | |
Athene Holding Ltd. | | | | | | | | |
3.50%, 01/15/2031 | | | 1,835 | | | | 1,553 | |
4.13%, 01/12/2028 | | | 11,630 | | | | 10,936 | |
Athora Netherlands NV | | | | | | | | |
2.38%, 05/17/2024 | | EUR | 500 | | | | 518 | |
Aviation Capital Group LLC | | | | | | | | |
1.95%, 01/30/2026(1) | | $ | 2,130 | | | | 1,853 | |
4.88%, 10/01/2025(1) | | | 2,789 | | | | 2,703 | |
5.50%, 12/15/2024(1) | | | 3,900 | | | | 3,866 | |
Avolon Holdings Funding Ltd. | | | | | | | | |
2.53%, 11/18/2027(1) | | | 37,187 | | | | 30,313 | |
2.75%, 02/21/2028(1) | | | 6,105 | | | | 4,979 | |
2.88%, 02/15/2025(1) | | | 3,919 | | | | 3,605 | |
3.95%, 07/01/2024(1) | | | 2,449 | | | | 2,345 | |
4.25%, 04/15/2026(1) | | | 515 | | | | 477 | |
| | | | | | | | |
4.38%, 05/01/2026(1) | | | 886 | | | | 821 | |
5.50%, 01/15/2026(1) | | | 1,069 | | | | 1,037 | |
Banco Bilbao Vizcaya Argentaria SA | | | | | | | | |
5.88% (5 Year Swap Rate EUR + 5.66%), 12/24/2170(2) | | EUR | 400 | | | | 402 | |
Banco Davivienda SA | | | | | | | | |
6.65% (10 Year CMT Index + 5.10%), 10/22/2170(1)(2) | | $ | 233 | | | | 186 | |
Banco Mercantil del Norte SA | | | | | | | | |
5.88% (5 Year CMT Index + 4.64%), 01/24/2171(1)(2) | | | 1,095 | | | | 906 | |
6.63% (10 Year CMT Index + 5.03%), 01/24/2171(1)(2) | | | 995 | | | | 813 | |
Banco Mercantil del Norte SA/Grand Cayman | | | | | | | | |
5.88% (5 Year CMT Index + 4.64%), 01/24/2171(2)(6) | | | 856 | | | | 708 | |
6.63% (10 Year CMT Index + 5.03%), 01/24/2171(2)(6) | | | 856 | | | | 699 | |
6.75% (5 Year CMT Index + 4.97%), 09/27/2170(2)(6) | | | 856 | | | | 806 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | | | | | | |
5.38%, 04/17/2025(1) | | | 5,395 | | | | 5,413 | |
Banco Santander SA | | | | | | | | |
0.70% (1 Year CMT Index + 0.45%), 06/30/2024(2) | | | 35,800 | | | | 34,486 | |
1.72% (1 Year CMT Index + 0.90%), 09/14/2027(2) | | | 2,800 | | | | 2,430 | |
2.75%, 12/03/2030 | | | 3,200 | | | | 2,542 | |
3.49%, 05/28/2030 | | | 2,000 | | | | 1,769 | |
5.18%, 11/19/2025 | | | 2,400 | | | | 2,399 | |
Banco Votorantim SA | | | | | | | | |
4.00%, 09/24/2022(1) | | | 399 | | | | 398 | |
Bank of America Corp. | | | | | | | | |
0.52% (SOFR + 0.41%), 06/14/2024(2) | | | 1,849 | | | | 1,782 | |
1.32% (SOFR + 1.15%), 06/19/2026(2) | | | 470 | | | | 427 | |
1.66% (SOFR + 0.91%), 03/11/2027(2) | | | 50,030 | | | | 44,838 | |
1.73% (SOFR + 0.96%), 07/22/2027(2) | | | 45,622 | | | | 40,553 | |
1.90% (SOFR + 1.53%), 07/23/2031(2) | | | 11,605 | | | | 9,275 | |
1.92% (SOFR + 1.37%), 10/24/2031(2) | | | 14,935 | | | | 11,930 | |
2.09% (SOFR + 1.06%), 06/14/2029(2) | | | 19,260 | | | | 16,494 | |
2.30% (SOFR + 1.22%), 07/21/2032(2) | | | 12,480 | | | | 10,085 | |
2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(2) | | | 5,377 | | | | 5,122 | |
2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(2) | | | 25,075 | | | | 21,191 | |
2.55% (SOFR + 1.05%), 02/04/2028(2) | | | 4,252 | | | | 3,867 | |
2.57% (SOFR + 1.21%), 10/20/2032(2) | | | 8,673 | | | | 7,154 | |
2.59% (SOFR + 2.15%), 04/29/2031(2) | | | 29,325 | | | | 24,872 | |
2.69% (SOFR + 1.32%), 04/22/2032(2) | | | 3,110 | | | | 2,611 | |
2.97% (SOFR + 1.33%), 02/04/2033(2) | | | 14,208 | | | | 12,104 | |
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) | | | 13,175 | | | | 13,132 | |
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028(2) | | | 5,300 | | | | 4,936 | |
3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(2) | | | 2,135 | | | | 2,017 | |
4.18%, 11/25/2027 | | | 16,659 | | | | 16,190 | |
4.25%, 10/22/2026 | | | 13,040 | | | | 12,856 | |
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) | | | 17,970 | | | | 17,266 | |
4.38% (SOFR + 1.58%), 04/27/2028(2) | | | 6,449 | | | | 6,349 | |
4.45%, 03/03/2026 | | | 855 | | | | 851 | |
4.57% (SOFR + 1.83%), 04/27/2033(2) | | | 10,670 | | | | 10,384 | |
Barclays Bank Plc | | | | | | | | |
7.63%, 11/21/2022 | | | 5,611 | | | | 5,666 | |
Barclays Plc | | | | | | | | |
2.28% (1 Year CMT Index + 1.05%), 11/24/2027(2) | | | 25,615 | | | | 22,708 | |
2.85% (SOFR + 2.71%), 05/07/2026(2) | | | 1,840 | | | | 1,738 | |
2.89% (1 Year CMT Index + 1.30%), 11/24/2032(2) | | | 15,000 | | | | 12,057 | |
3.33% (1 Year CMT Index + 1.30%), 11/24/2042(2) | | | 15,000 | | | | 11,148 | |
3.56% (5 Year CMT Index + 2.90%), 09/23/2035(2) | | | 45,920 | | | | 37,859 | |
3.81% (1 Year CMT Index + 1.70%), 03/10/2042(2) | | | 920 | | | | 697 | |
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(2) | | | 8,495 | | | | 8,357 | |
4.38%, 01/12/2026 | | | 2,670 | | | | 2,643 | |
4.38% (5 Year CMT Index + 3.41%), 12/15/2170(2) | | | 10,985 | | | | 8,424 | |
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2) | | | 3,700 | | | | 3,636 | |
5.09% (3 Month LIBOR USD + 3.05%), 06/20/2030(2) | | | 1,570 | | | | 1,482 | |
5.88% (5 Year Sterling Overnight Index Average Mid-Swap + 5.19%), 12/15/2170(2) | | GBP | 2,400 | | | | 2,697 | |
6.13% (5 Year CMT Index + 5.87%), 12/15/2170(2) | | $ | 4,700 | | | | 4,364 | |
6.38% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 03/15/2171(2) | | GBP | 4,100 | | | | 4,592 | |
7.13% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 09/15/2170(2) | | | 3,200 | | | | 3,735 | |
7.25% (5 Year Sterling Overnight Index Average Mid-Swap + 6.74%), 06/15/2171(2) | | | 18,283 | | | | 21,866 | |
7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2170(2) | | $ | 5,150 | | | | 5,060 | |
7.88% (5 Year Sterling Overnight Index Average Mid-Swap + 6.10%), 12/15/2170(2) | | GBP | 1,600 | | | | 1,938 | |
Barings BDC, Inc. | | | | | | | | |
3.30%, 11/23/2026(1) | | $ | 8,585 | | | | 7,447 | |
BBVA Bancomer SA | | | | | | | | |
1.88%, 09/18/2025(1) | | | 6,755 | | | | 6,123 | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
3.85%, 03/15/2052 | | | 16,214 | | | | 13,880 | |
Blackstone Secured Lending Fund | | | | | | | | |
2.13%, 02/15/2027 | | | 21,770 | | | | 18,205 | |
BNP Paribas SA | | | | | | | | |
1.32% (SOFR + 1.00%), 01/13/2027(1)(2) | | | 7,507 | | | | 6,632 | |
1.68% (SOFR + 0.91%), 06/30/2027(1)(2) | | | 17,105 | | | | 15,075 | |
2.16% (SOFR + 1.22%), 09/15/2029(1)(2) | | | 1,585 | | | | 1,326 | |
2.59% (SOFR + 1.23%), 01/20/2028(1)(2) | | | 17,941 | | | | 16,138 | |
BOC Aviation Ltd. | | | | | | | | |
2.75%, 09/18/2022(1) | | | 300 | | | | 300 | |
Boston Properties LP | | | | | | | | |
3.25%, 01/30/2031 | | | 757 | | | | 649 | |
| | | | | | | | |
Brixmor Operating Partnership LP | | | | | | | | |
2.25%, 04/01/2028 | | | 925 | | | | 793 | |
3.65%, 06/15/2024 | | | 2,825 | | | | 2,784 | |
3.85%, 02/01/2025 | | | 1,035 | | | | 1,018 | |
3.90%, 03/15/2027 | | | 3,304 | | | | 3,160 | |
4.05%, 07/01/2030 | | | 2,337 | | | | 2,109 | |
4.13%, 06/15/2026 | | | 1,967 | | | | 1,920 | |
4.13%, 05/15/2029 | | | 4,934 | | | | 4,596 | |
Broadstone Net Lease LLC | | | | | | | | |
2.60%, 09/15/2031 | | | 3,700 | | | | 3,017 | |
Brookfield Finance I UK Plc | | | | | | | | |
2.34%, 01/30/2032 | | | 14,500 | | | | 11,653 | |
Brookfield Finance, Inc. | | | | | | | | |
2.72%, 04/15/2031 | | | 2,900 | | | | 2,451 | |
Capital One Financial Corp. | | | | | | | | |
3.27% (SOFR + 1.79%), 03/01/2030(2) | | | 19,011 | | | | 16,824 | |
3.65%, 05/11/2027 | | | 1,125 | | | | 1,072 | |
5.27% (SOFR + 2.37%), 05/10/2033(2) | | | 1,065 | | | | 1,046 | |
CBRE Services, Inc. | | | | | | | | |
2.50%, 04/01/2031 | | | 4,900 | | | | 3,986 | |
4.88%, 03/01/2026 | | | 445 | | | | 449 | |
CDBL Funding 2 | | | | | | | | |
3.00%, 08/01/2022 | | | 1,700 | | | | 1,699 | |
Charles Schwab Corp. | | | | | | | | |
2.00%, 03/20/2028 | | | 728 | | | | 650 | |
2.90%, 03/03/2032 | | | 14,665 | | | | 12,910 | |
4.00% (10 Year CMT Index + 3.08%), 03/01/2171(2) | | | 6,883 | | | | 5,298 | |
4.00% (5 Year CMT Index + 3.17%), 06/01/2171(2) | | | 13,200 | | | | 11,189 | |
CIFI Holdings Group Co. Ltd. | | | | | | | | |
4.45%, 08/17/2026 | | | 300 | | | | 168 | |
6.00%, 07/16/2025 | | | 1,755 | | | | 1,045 | |
6.45%, 11/07/2024 | | | 660 | | | | 420 | |
Citigroup, Inc. | | | | | | | | |
0.78% (SOFR + 0.69%), 10/30/2024(2) | | | 2,205 | | | | 2,102 | |
1.28% (SOFR + 0.53%), 11/03/2025(2) | | | 1,315 | | | | 1,221 | |
1.46% (SOFR + 0.77%), 06/09/2027(2) | | | 18,288 | | | | 16,168 | |
1.68% (SOFR + 1.67%), 05/15/2024(2) | | | 1,210 | | | | 1,186 | |
2.01% (SOFR + 0.69%), 01/25/2026(2) | | | 59,090 | | | | 55,356 | |
2.56% (SOFR + 1.17%), 05/01/2032(2) | | | 11,800 | | | | 9,716 | |
2.57% (SOFR + 2.11%), 06/03/2031(2) | | | 5,160 | | | | 4,337 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) | | | 1,290 | | | | 1,289 | |
3.06% (SOFR + 1.35%), 01/25/2033(2) | | | 23,476 | | | | 19,900 | |
3.07% (SOFR + 1.28%), 02/24/2028(2) | | | 14,433 | | | | 13,389 | |
3.11% (SOFR + 2.84%), 04/08/2026(2) | | | 3,865 | | | | 3,710 | |
3.29% (SOFR + 1.53%), 03/17/2026(2) | | | 11,787 | | | | 11,396 | |
3.35% (3 Month LIBOR USD + 0.90%), 04/24/2025(2) | | | 800 | | | | 784 | |
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2) | | | 938 | | | | 876 | |
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) | | | 771 | | | | 728 | |
3.79% (SOFR + 1.94%), 03/17/2033(2) | | | 7,740 | | | | 6,974 | |
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2) | | | 850 | | | | 817 | |
4.00% (5 Year CMT Index + 3.60%), 03/10/2171(2) | | | 2,172 | | | | 1,879 | |
4.13%, 07/25/2028 | | | 1,675 | | | | 1,607 | |
4.41% (SOFR + 3.91%), 03/31/2031(2) | | | 18,395 | | | | 17,568 | |
4.91% (SOFR + 2.09%), 05/24/2033(2) | | | 1,010 | | | | 997 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25%, 05/30/2025 | | | 1,718 | | | | 1,745 | |
5.25%, 05/30/2029 | | | 3,840 | | | | 3,723 | |
Corebridge Financial, Inc. | | | | | | | | |
3.65%, 04/05/2027(1) | | | 10,000 | | | | 9,400 | |
3.85%, 04/05/2029(1) | | | 4,600 | | | | 4,251 | |
Corporate Office Properties LP | | | | | | | | |
2.75%, 04/15/2031 | | | 1,555 | | | | 1,257 | |
Country Garden Holdings Co. Ltd. | | | | | | | | |
2.70%, 07/12/2026 | | | 500 | | | | 231 | |
3.30%, 01/12/2031 | | | 4,895 | | | | 2,000 | |
3.88%, 10/22/2030 | | | 300 | | | | 125 | |
Credit Agricole SA | | | | | | | | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2) | | | 21,168 | | | | 19,336 | |
4.38%, 03/17/2025(1) | | | 1,717 | | | | 1,688 | |
Credit Suisse AG | | | | | | | | |
3.70%, 02/21/2025 | | | 9,610 | | | | 9,383 | |
Credit Suisse Group AG | | | | | | | | |
1.31% (SOFR + 0.98%), 02/02/2027(1)(2) | | | 22,465 | | | | 19,309 | |
2.19% (SOFR + 2.04%), 06/05/2026(1)(2) | | | 12,335 | | | | 11,180 | |
3.00% (3 Month LIBOR USD + 1.20%), 12/14/2023(1)(2) | | | 3,967 | | | | 3,941 | |
3.09% (SOFR + 1.73%), 05/14/2032(1)(2) | | | 25,710 | | | | 20,460 | |
3.63%, 09/09/2024 | | | 10,950 | | | | 10,752 | |
4.19% (SOFR + 3.73%), 04/01/2031(1)(2) | | | 10,164 | | | | 8,994 | |
4.28%, 01/09/2028(1) | | | 4,305 | | | | 4,019 | |
5.25% (5 Year CMT Index + 4.89%), 02/11/2171(1)(2) | | | 1,100 | | | | 850 | |
6.50%, 08/08/2023(1) | | | 1,400 | | | | 1,400 | |
7.13% (5 Year Swap Rate USD + 5.11%), 07/29/2170(2) | | | 1,800 | | | | 1,794 | |
7.25% (5 Year 1100 Run ICE Swap Rate USD + 4.33%), 03/12/2171(1)(2) | | | 1,100 | | | | 956 | |
7.50% (5 Year Swap Rate USD + 4.60%), 01/17/2171(1)(2) | | | 2,900 | | | | 2,675 | |
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2171(2) | | | 1,400 | | | | 1,332 | |
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2171(1)(2) | | | 1,800 | | | | 1,713 | |
Crown Castle International Corp. | | | | | | | | |
2.10%, 04/01/2031 | | | 4,659 | | | | 3,706 | |
| | | | | | | | |
2.50%, 07/15/2031 | | | 1,525 | | | | 1,248 | |
2.90%, 03/15/2027 | | | 1,596 | | | | 1,472 | |
3.15%, 07/15/2023 | | | 663 | | | | 656 | |
3.30%, 07/01/2030 | | | 1,085 | | | | 957 | |
3.65%, 09/01/2027 | | | 7,580 | | | | 7,179 | |
3.80%, 02/15/2028 | | | 12,642 | | | | 11,927 | |
4.30%, 02/15/2029 | | | 11,875 | | | | 11,401 | |
4.45%, 02/15/2026 | | | 7,275 | | | | 7,200 | |
CTP NV | | | | | | | | |
1.25%, 06/21/2029 | | EUR | 300 | | | | 219 | |
Danske Bank | | | | | | | | |
3.24% (3 Month LIBOR USD + 1.59%), 12/20/2025(1)(2) | | $ | 7,177 | | | | 6,839 | |
5.38%, 01/12/2024(1) | | | 15,221 | | | | 15,356 | |
Deutsche Bank AG | | | | | | | | |
0.96%, 11/08/2023 | | | 20,885 | | | | 20,009 | |
1.75% (3 Month EURIBOR + 2.05%), 11/19/2030(2)(3) | | EUR | 2,500 | | | | 2,156 | |
2.13% (SOFR + 1.87%), 11/24/2026(2)(6) | | $ | 5,400 | | | | 4,795 | |
2.22% (SOFR + 2.16%), 09/18/2024(2) | | | 4,895 | | | | 4,719 | |
3.04% (SOFR + 1.72%), 05/28/2032(2)(6) | | | 3,300 | | | | 2,611 | |
3.55% (SOFR + 3.04%), 09/18/2031(2) | | | 16,820 | | | | 14,080 | |
3.73% (SOFR + 2.76%), 01/14/2032(2) | | | 5,330 | | | | 4,007 | |
3.96% (SOFR + 2.58%), 11/26/2025(2) | | | 19,469 | | | | 18,808 | |
5.63% (5 Year Swap Rate EUR + 6.00%), 05/19/2031(2)(3) | | EUR | 1,800 | | | | 1,882 | |
Discover Bank | | | | | | | | |
2.45%, 09/12/2024 | | $ | 1,310 | | | | 1,260 | |
4.65%, 09/13/2028 | | | 1,896 | | | | 1,825 | |
Discover Financial Services | | | | | | | | |
3.95%, 11/06/2024 | | | 6,058 | | | | 5,969 | |
4.10%, 02/09/2027 | | | 6,742 | | | | 6,466 | |
DNB Bank ASA | | | | | | | | |
1.61% (1 Year CMT Index + 0.68%), 03/30/2028(1)(2) | | | 15,430 | | | | 13,388 | |
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass-Through Trust | | | | | | | | |
5.13%, 11/30/2022(1) | | | 518 | | | | 511 | |
Duke Realty LP | | | | | | | | |
1.75%, 02/01/2031 | | | 704 | | | | 572 | |
2.25%, 01/15/2032 | | | 2,973 | | | | 2,476 | |
Emirates NBD Bank PJSC | | | | | | | | |
6.13% (6 Year CMT Index USD + 3.66%), 09/20/2170(2)(6) | | | 732 | | | | 731 | |
EPR Properties | | | | | | | | |
4.75%, 12/15/2026 | | | 140 | | | | 132 | |
4.95%, 04/15/2028 | | | 414 | | | | 381 | |
Equinix, Inc. | | | | | | | | |
1.00%, 09/15/2025 | | | 6,058 | | | | 5,427 | |
2.15%, 07/15/2030 | | | 17,645 | | | | 14,275 | |
2.50%, 05/15/2031 | | | 3,177 | | | | 2,574 | |
3.20%, 11/18/2029 | | | 15,829 | | | | 14,061 | |
3.90%, 04/15/2032 | | | 4,185 | | | | 3,785 | |
Equitable Financial Life Global Funding | | | | | | | | |
1.80%, 03/08/2028(1) | | | 13,720 | | | | 11,893 | |
Equitable Holdings, Inc. | | | | | | | | |
4.35%, 04/20/2028 | | | 707 | | | | 682 | |
Essential Properties LP | | | | | | | | |
2.95%, 07/15/2031 | | | 2,800 | | | | 2,194 | |
Essex Portfolio LP | | | | | | | | |
4.00%, 03/01/2029 | | | 793 | | | | 757 | |
Extra Space Storage LP | | | | | | | | |
2.35%, 03/15/2032 | | | 3,190 | | | | 2,529 | |
Fairfax Financial Holdings Ltd. | | | | | | | | |
4.63%, 04/29/2030 | | | 3,763 | | | | 3,613 | |
Farmers Exchange Capital II | | | | | | | | |
6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2) | | | 3,860 | | | | 4,080 | |
Farmers Exchange Capital III | | | | | | | | |
5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2) | | | 8,000 | | | | 7,884 | |
Farmers Insurance Exchange | | | | | | | | |
4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2) | | | 3,000 | | | | 2,704 | |
8.63%, 05/01/2024(1) | | | 4,480 | | | | 4,775 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50%, 05/01/2025(1) | | | 2,360 | | | | 2,401 | |
Fidelity National Financial, Inc. | | | | | | | | |
2.45%, 03/15/2031 | | | 6,840 | | | | 5,444 | |
3.40%, 06/15/2030 | | | 5,874 | | | | 5,139 | |
4.50%, 08/15/2028 | | | 15,455 | | | | 14,899 | |
Fifth Third Bancorp | | | | | | | | |
2.55%, 05/05/2027 | | | 1,020 | | | | 935 | |
First American Financial Corp. | | | | | | | | |
2.40%, 08/15/2031 | | | 6,800 | | | | 5,243 | |
First-Citizens Bank & Trust Co. | | | | | | | | |
2.97% (3 Month Term SOFR + 1.72%), 09/27/2025(2) | | | 1,700 | | | | 1,638 | |
FS KKR Capital Corp. | | | | | | | | |
3.13%, 10/12/2028 | | | 7,820 | | | | 6,237 | |
Global Atlantic Finance Co. | | | | | | | | |
4.40%, 10/15/2029(1) | | | 2,987 | | | | 2,706 | |
Global Bank Corp. | | | | | | | | |
5.25% (3 Month LIBOR USD + 3.30%), 04/16/2029(2) | | | 750 | | | | 703 | |
GLP Capital LP / GLP Financing II, Inc. | | | | | | | | |
3.25%, 01/15/2032 | | | 16,633 | | | | 13,331 | |
3.35%, 09/01/2024 | | | 11,589 | | | | 11,075 | |
| | | | | | | | |
4.00%, 01/15/2030 | | | 9,751 | | | | 8,539 | |
5.25%, 06/01/2025 | | | 2,271 | | | | 2,227 | |
5.30%, 01/15/2029 | | | 5,325 | | | | 5,086 | |
5.38%, 11/01/2023 | | | 6,254 | | | | 6,264 | |
5.38%, 04/15/2026 | | | 9,110 | | | | 8,915 | |
5.75%, 06/01/2028 | | | 4,034 | | | | 3,940 | |
Goldman Sachs Group, Inc. | | | | | | | | |
0.63% (SOFR + 0.54%), 11/17/2023(2) | | | 21,965 | | | | 21,690 | |
0.66% (SOFR + 0.51%), 09/10/2024(2) | | | 687 | | | | 657 | |
0.67% (SOFR + 0.57%), 03/08/2024(2) | | | 5,000 | | | | 4,885 | |
0.93% (SOFR + 0.49%), 10/21/2024(2) | | | 20,322 | | | | 19,433 | |
1.22%, 12/06/2023 | | | 20,000 | | | | 19,268 | |
1.43% (SOFR + 0.80%), 03/09/2027(2) | | | 38,960 | | | | 34,535 | |
1.54% (SOFR + 0.82%), 09/10/2027(2) | | | 18,755 | | | | 16,463 | |
1.76% (SOFR + 0.73%), 01/24/2025(2) | | | 37,627 | | | | 36,171 | |
1.95% (SOFR + 0.91%), 10/21/2027(2) | | | 18,550 | | | | 16,418 | |
1.99% (SOFR + 1.09%), 01/27/2032(2) | | | 2,820 | | | | 2,228 | |
2.38% (SOFR + 1.25%), 07/21/2032(2) | | | 22,065 | | | | 17,843 | |
2.60%, 02/07/2030 | | | 3,345 | | | | 2,853 | |
2.62% (SOFR + 1.28%), 04/22/2032(2) | | | 2,659 | | | | 2,208 | |
2.64% (SOFR + 1.11%), 02/24/2028(2) | | | 6,769 | | | | 6,143 | |
2.65% (SOFR + 1.26%), 10/21/2032(2) | | | 9,465 | | | | 7,800 | |
3.10% (SOFR + 1.41%), 02/24/2033(2) | | | 8,746 | | | | 7,470 | |
3.20%, 02/23/2023 | | | 10,030 | | | | 10,033 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) | | | 6,686 | | | | 6,496 | |
3.50%, 04/01/2025 | | | 31,382 | | | | 30,762 | |
3.50%, 11/16/2026 | | | 1,895 | | | | 1,818 | |
3.62% (SOFR + 1.85%), 03/15/2028(2) | | | 9,738 | | | | 9,216 | |
Grupo Aval Ltd. | | | | | | | | |
4.38%, 02/04/2030(1) | | | 1,627 | | | | 1,212 | |
4.75%, 09/26/2022(6) | | | 291 | | | | 290 | |
Healthcare Realty Trust, Inc. | | | | | | | | |
3.63%, 01/15/2028 | | | 1,095 | | | | 1,022 | |
Healthcare Trust of America Holdings LP | | | | | | | | |
2.00%, 03/15/2031 | | | 8,500 | | | | 6,589 | |
3.10%, 02/15/2030 | | | 3,411 | | | | 2,939 | |
3.50%, 08/01/2026 | | | 2,000 | | | | 1,903 | |
3.75%, 07/01/2027 | | | 245 | | | | 233 | |
Healthpeak Properties, Inc. | | | | | | | | |
2.88%, 01/15/2031 | | | 1,980 | | | | 1,708 | |
3.40%, 02/01/2025 | | | 160 | | | | 157 | |
3.50%, 07/15/2029 | | | 685 | | | | 631 | |
Highwoods Realty LP | | | | | | | | |
4.13%, 03/15/2028 | | | 1,569 | | | | 1,500 | |
Host Hotels & Resorts LP | | | | | | | | |
2.90%, 12/15/2031 | | | 1,000 | | | | 794 | |
Howard Hughes Corp. | | | | | | | | |
4.13%, 02/01/2029(1) | | | 2,635 | | | | 2,032 | |
5.38%, 08/01/2028(1) | | | 2,805 | | | | 2,349 | |
HSBC Holdings Plc | | | | | | | | |
0.98% (SOFR + 0.71%), 05/24/2025(2) | | | 6,440 | | | | 6,005 | |
1.59% (SOFR + 1.29%), 05/24/2027(2) | | | 10,490 | | | | 9,212 | |
1.65% (SOFR + 1.54%), 04/18/2026(2) | | | 2,782 | | | | 2,549 | |
2.01% (SOFR + 1.73%), 09/22/2028(2) | | | 19,960 | | | | 17,073 | |
2.10% (SOFR + 1.93%), 06/04/2026(2) | | | 6,954 | | | | 6,423 | |
2.21% (SOFR + 1.29%), 08/17/2029(2) | | | 16,275 | | | | 13,670 | |
2.25% (SOFR + 1.10%), 11/22/2027(2) | | | 7,382 | | | | 6,577 | |
2.36% (SOFR + 1.95%), 08/18/2031(2) | | | 2,300 | | | | 1,864 | |
2.63% (SOFR + 1.40%), 11/07/2025(2) | | | 2,390 | | | | 2,279 | |
2.80% (SOFR + 1.19%), 05/24/2032(2) | | | 7,935 | | | | 6,516 | |
2.85% (SOFR + 2.39%), 06/04/2031(2) | | | 34,320 | | | | 28,998 | |
2.87% (SOFR + 1.41%), 11/22/2032(2) | | | 43,030 | | | | 35,212 | |
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(2) | | | 13,200 | | | | 12,125 | |
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) | | | 1,900 | | | | 1,856 | |
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(2) | | | 3,200 | | | | 3,085 | |
4.76% (SOFR + 2.11%), 06/09/2028(2) | | | 6,075 | | | | 5,906 | |
4.95%, 03/31/2030 | | | 9,900 | | | | 9,781 | |
5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2171(2) | | GBP | 5,600 | | | | 6,186 | |
6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2171(2) | | EUR | 600 | | | | 621 | |
6.50% (5 Year 1100 Run ICE Swap Rate USD + 3.61%), 09/23/2170(2) | | $ | 3,420 | | | | 3,097 | |
Huarong Finance 2017 Co. Ltd. | | | | | | | | |
4.95%, 11/07/2047 | | | 400 | | | | 280 | |
Huarong Finance 2019 Co. Ltd. | | | | | | | | |
3.38%, 02/24/2030 | | | 200 | | | | 150 | |
3.88%, 11/13/2029 | | | 200 | | | | 159 | |
4.50%, 05/29/2029 | | | 200 | | | | 166 | |
Hudson Pacific Properties LP | | | | | | | | |
3.95%, 11/01/2027 | | | 10,372 | | | | 9,873 | |
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | | | | | | | | |
4.38%, 02/01/2029 | | | 3,355 | | | | 2,711 | |
IMMOFINANZ AG | | | | | | | | |
2.63%, 01/27/2023 | | EUR | 4,200 | | | | 4,385 | |
Intercontinental Exchange, Inc. | | | | | | | | |
1.85%, 09/15/2032 | | $ | 27,050 | | | | 21,127 | |
2.10%, 06/15/2030 | | | 5,379 | | | | 4,498 | |
3.00%, 09/15/2060 | | | 9,500 | | | | 6,401 | |
3.65%, 05/23/2025 | | | 12,000 | | | | 11,911 | |
| | | | | | | | |
4.00%, 09/15/2027 | | | 6,000 | | | | 5,903 | |
4.35%, 06/15/2029 | | | 1,243 | | | | 1,226 | |
5.20%, 06/15/2062 | | | 3,000 | | | | 2,991 | |
Invitation Homes Operating Partnership LP | | | | | | | | |
2.30%, 11/15/2028 | | | 2,487 | | | | 2,092 | |
4.15%, 04/15/2032 | | | 10,666 | | | | 9,684 | |
Jefferies Group LLC | | | | | | | | |
6.25%, 01/15/2036 | | | 1,430 | | | | 1,438 | |
6.45%, 06/08/2027 | | | 3,660 | | | | 3,913 | |
6.50%, 01/20/2043 | | | 1,125 | | | | 1,112 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | | | | | | | | |
4.15%, 01/23/2030 | | | 7,180 | | | | 6,450 | |
4.85%, 01/15/2027 | | | 1,500 | | | | 1,501 | |
JP Morgan Chase & Co. | | | | | | | | |
0.77% (SOFR + 0.49%), 08/09/2025(2) | | | 2,535 | | | | 2,351 | |
0.97% (3 Month Term SOFR + 0.58%), 06/23/2025(2) | | | 31,140 | | | | 29,110 | |
1.47% (SOFR + 0.77%), 09/22/2027(2) | | | 8,340 | | | | 7,315 | |
1.58% (SOFR + 0.89%), 04/22/2027(2) | | | 33,028 | | | | 29,392 | |
1.76% (3 Month Term SOFR + 1.11%), 11/19/2031(2) | | | 6,670 | | | | 5,274 | |
1.95% (SOFR + 1.07%), 02/04/2032(2) | | | 15,000 | | | | 11,989 | |
2.01% (3 Month Term SOFR + 1.59%), 03/13/2026(2) | | | 8,481 | | | | 7,942 | |
2.08% (SOFR + 1.85%), 04/22/2026(2) | | | 8,375 | | | | 7,831 | |
2.18% (SOFR + 1.89%), 06/01/2028(2) | | | 7,115 | | | | 6,326 | |
2.52% (SOFR + 2.04%), 04/22/2031(2) | | | 24,710 | | | | 21,046 | |
2.55% (SOFR + 1.18%), 11/08/2032(2) | | | 15,585 | | | | 12,949 | |
2.58% (SOFR + 1.25%), 04/22/2032(2) | | | 8,931 | | | | 7,515 | |
2.74% (SOFR + 1.51%), 10/15/2030(2) | | | 4,350 | | | | 3,795 | |
2.95% (SOFR + 1.17%), 02/24/2028(2) | | | 12,747 | | | | 11,810 | |
2.96% (SOFR + 2.52%), 05/13/2031(2) | | | 5,112 | | | | 4,414 | |
2.96% (SOFR + 1.26%), 01/25/2033(2) | | | 11,940 | | | | 10,249 | |
3.11% (SOFR + 2.44%), 04/22/2051(2) | | | 9,936 | | | | 7,282 | |
4.49% (SOFR + 3.79%), 03/24/2031(2) | | | 13,825 | | | | 13,502 | |
JPMorgan Chase & Co. | | | | | | | | |
0.70% (SOFR + 0.58%), 03/16/2024(2) | | | 1,276 | | | | 1,248 | |
2.30% (SOFR + 1.16%), 10/15/2025(2) | | | 2,905 | | | | 2,766 | |
3.85% (SOFR + 0.98%), 06/14/2025(2) | | | 4,248 | | | | 4,206 | |
Kimco Realty Corp. | | | | | | | | |
3.25%, 08/15/2026 | | | 1,665 | | | | 1,601 | |
Lloyds Banking Group Plc | | | | | | | | |
1.63% (1 Year CMT Index + 0.85%), 05/11/2027(2) | | | 14,105 | | | | 12,535 | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) | | | 25,630 | | | | 25,541 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) | | | 420 | | | | 393 | |
3.75% (1 Year CMT Index + 1.80%), 03/18/2028(2) | | | 7,440 | | | | 7,080 | |
3.87% (1 Year CMT Index + 3.50%), 07/09/2025(2) | | | 1,675 | | | | 1,654 | |
4.45%, 05/08/2025 | | | 3,665 | | | | 3,668 | |
4.95% (CMS 5 Year Rate EUR + 5.29%), 06/27/2171(2)(3) | | EUR | 7,781 | | | | 7,647 | |
7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2170(2) | | $ | 4,300 | | | | 4,191 | |
7.50% (5 Year Swap Rate USD + 4.76%), 06/27/2171(2) | | | 3,330 | | | | 3,230 | |
7.63% (5 Year Swap Rate GBP + 5.29%), 06/27/2171(2) | | GBP | 1,900 | | | | 2,307 | |
7.88% (5 Year Sterling Overnight Index Average Mid-Swap + 5.11%), 06/27/2171(2) | | | 900 | | | | 1,080 | |
Logan Group Co. Ltd. | | | | | | | | |
4.25%, 07/12/2025 | | $ | 2,205 | | | | 464 | |
4.85%, 12/14/2026 | | | 2,995 | | | | 631 | |
LSEGA Financing Plc | | | | | | | | |
2.00%, 04/06/2028(1) | | | 7,630 | | | | 6,685 | |
2.50%, 04/06/2031(1) | | | 3,150 | | | | 2,701 | |
Macquarie Group Ltd. | | | | | | | | |
1.34% (SOFR + 1.07%), 01/12/2027(1)(2) | | | 10,480 | | | | 9,211 | |
2.87% (SOFR + 1.53%), 01/14/2033(1)(2) | | | 14,785 | | | | 12,060 | |
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(1)(2) | | | 2,905 | | | | 2,898 | |
4.44% (SOFR + 2.41%), 06/21/2033(1)(2) | | | 6,445 | | | | 5,960 | |
Marsh & McLennan Companies, Inc. | | | | | | | | |
2.25%, 11/15/2030 | | | 4,407 | | | | 3,719 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
2.31% (1 Year CMT Index + 0.95%), 07/20/2032(2) | | | 679 | | | | 553 | |
Mizuho Financial Group, Inc. | | | | | | | | |
0.85% (SOFR + 0.87%), 09/08/2024(2)(3) | | | 913 | | | | 878 | |
1.55% (1 Year CMT Index + 0.75%), 07/09/2027(2) | | | 1,062 | | | | 934 | |
2.26% (1 Year CMT Index + 0.90%), 07/09/2032(2) | | | 1,784 | | | | 1,424 | |
Morgan Stanley | | | | | | | | |
0.00%, 04/02/2032(5)(6) | | | 14,800 | | | | 9,233 | |
0.53% (SOFR + 0.46%), 01/25/2024(2) | | | 24,878 | | | | 24,387 | |
0.56% (SOFR + 0.47%), 11/10/2023(2) | | | 5,000 | | | | 4,943 | |
0.73% (SOFR + 0.62%), 04/05/2024(2) | | | 19,373 | | | | 18,886 | |
0.79% (SOFR + 0.51%), 01/22/2025(2) | | | 5,940 | | | | 5,615 | |
1.16% (SOFR + 0.56%), 10/21/2025(2) | | | 29,255 | | | | 27,104 | |
1.51% (SOFR + 0.86%), 07/20/2027(2) | | | 22,071 | | | | 19,357 | |
1.59% (SOFR + 0.88%), 05/04/2027(2) | | | 22,995 | | | | 20,412 | |
1.79% (SOFR + 1.03%), 02/13/2032(2) | | | 13,004 | | | | 10,229 | |
1.93% (SOFR + 1.02%), 04/28/2032(2) | | | 17,588 | | | | 13,947 | |
2.24% (SOFR + 1.18%), 07/21/2032(2) | | | 30,150 | | | | 24,425 | |
2.48% (SOFR + 1.00%), 01/21/2028(2) | | | 32,901 | | | | 29,908 | |
2.51% (SOFR + 1.20%), 10/20/2032(2) | | | 4,635 | | | | 3,830 | |
2.70% (SOFR + 1.14%), 01/22/2031(2) | | | 10,000 | | | | 8,661 | |
2.94% (SOFR + 1.29%), 01/21/2033(2) | | | 1,499 | | | | 1,285 | |
3.22% (SOFR + 1.49%), 04/22/2042(2) | | | 751 | | | | 591 | |
3.62% (SOFR + 1.16%), 04/17/2025(2) | | | 2,803 | | | | 2,767 | |
| | | | | | | | |
3.74% (3 Month LIBOR USD + 0.85%), 04/24/2024(2) | | | 13,385 | | | | 13,338 | |
3.95%, 04/23/2027 | | | 31,330 | | | | 30,338 | |
4.21% (SOFR + 1.61%), 04/20/2028(2) | | | 3,045 | | | | 2,977 | |
4.35%, 09/08/2026 | | | 8,350 | | | | 8,264 | |
5.00%, 11/24/2025 | | | 10,320 | | | | 10,486 | |
5.30% (SOFR + 2.62%), 04/20/2037(2) | | | 6,315 | | | | 6,115 | |
MPT Operating Partnership LP / MPT Finance Corp. | | | | | | | | |
3.50%, 03/15/2031 | | | 17,400 | | | | 13,714 | |
5.25%, 08/01/2026 | | | 56 | | | | 53 | |
Nasdaq, Inc. | | | | | | | | |
0.45%, 12/21/2022 | | | 5,405 | | | | 5,334 | |
National General Holdings Corp. | | | | | | | | |
6.75%, 05/15/2024(1) | | | 12,910 | | | | 13,609 | |
National Retail Properties, Inc. | | | | | | | | |
3.00%, 04/15/2052 | | | 687 | | | | 468 | |
Nationwide Building Society | | | | | | | | |
0.55%, 01/22/2024(1) | | | 16,400 | | | | 15,575 | |
3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2) | | | 26,268 | | | | 26,199 | |
3.96% (3 Month LIBOR USD + 1.86%), 07/18/2030(1)(2) | | | 5,650 | | | | 5,240 | |
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2) | | | 8,600 | | | | 8,229 | |
4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2) | | | 4,000 | | | | 4,004 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
4.12% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2) | | | 6,180 | | | | 6,181 | |
Natwest Group Plc | | | | | | | | |
1.64% (1 Year CMT Index + 0.90%), 06/14/2027(2) | | | 12,170 | | | | 10,670 | |
4.27% (3 Month LIBOR USD + 1.76%), 03/22/2025(2) | | | 28,415 | | | | 28,123 | |
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(2) | | | 4,390 | | | | 4,133 | |
4.60% (5 Year CMT Index + 3.10%), 09/30/2170(2) | | | 3,600 | | | | 2,650 | |
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2) | | | 2,900 | | | | 2,810 | |
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) | | | 6,600 | | | | 6,460 | |
6.00% (5 Year CMT Index + 5.63%), 09/30/2170(2) | | | 8,300 | | | | 7,681 | |
8.00% (5 Year Swap Rate USD + 5.72%), 09/30/2170(2) | | | 7,151 | | | | 7,074 | |
NatWest Group Plc | | | | | | | | |
5.52% (1 Year CMT Index + 2.27%), 09/30/2028(2) | | | 5,115 | | | | 5,151 | |
Navient Corp. | | | | | | | | |
5.00%, 03/15/2027 | | | 1,997 | | | | 1,643 | |
5.50%, 01/25/2023 | | | 3,000 | | | | 2,974 | |
5.88%, 10/25/2024 | | | 284 | | | | 261 | |
6.13%, 03/25/2024 | | | 14 | | | | 13 | |
6.75%, 06/25/2025 | | | 272 | | | | 245 | |
6.75%, 06/15/2026 | | | 1,977 | | | | 1,750 | |
7.25%, 09/25/2023 | | | 133 | | | | 132 | |
NBK Tier 1 Ltd. | | | | | | | | |
3.63% (6 Year CMT Index USD + 2.88%), 08/24/2170(1)(2) | | | 1,058 | | | | 951 | |
New York Life Global Funding | | | | | | | | |
0.85%, 01/15/2026(1) | | | 12,430 | | | | 11,213 | |
2.35%, 07/14/2026(1) | | | 1,000 | | | | 944 | |
New York Life Insurance Co. | | | | | | | | |
3.75%, 05/15/2050(1) | | | 7,841 | | | | 6,404 | |
Newmark Group, Inc. | | | | | | | | |
6.13%, 11/15/2023 | | | 602 | | | | 600 | |
Nomura Holdings, Inc. | | | | | | | | |
2.17%, 07/14/2028 | | | 19,200 | | | | 16,173 | |
2.61%, 07/14/2031 | | | 1,825 | | | | 1,456 | |
Northwestern Mutual Life Insurance Co. | | | | | | | | |
3.45%, 03/30/2051(1) | | | 2,760 | | | | 2,103 | |
Oaktree Specialty Lending Corp. | | | | | | | | |
2.70%, 01/15/2027 | | | 5,520 | | | | 4,780 | |
Old Republic International Corp. | | | | | | | | |
3.88%, 08/26/2026 | | | 5,155 | | | | 5,010 | |
4.88%, 10/01/2024 | | | 335 | | | | 340 | |
Omega Healthcare Investors, Inc. | | | | | | | | |
3.25%, 04/15/2033 | | | 8,700 | | | | 6,589 | |
OneMain Finance Corp. | | | | | | | | |
5.63%, 03/15/2023 | | | 3,658 | | | | 3,609 | |
6.13%, 03/15/2024 | | | 2,400 | | | | 2,292 | |
Owl Rock Capital Corp. | | | | | | | | |
2.63%, 01/15/2027 | | | 7,570 | | | | 6,342 | |
2.88%, 06/11/2028 | | | 7,985 | | | | 6,270 | |
Owl Rock Technology Finance Corp. | | | | | | | | |
2.50%, 01/15/2027 | | | 10,635 | | | | 8,974 | |
Park Aerospace Holdings Ltd. | | | | | | | | |
4.50%, 03/15/2023(1) | | | 6,564 | | | | 6,540 | |
5.50%, 02/15/2024(1) | | | 1,247 | | | | 1,237 | |
Prologis LP | | | | | | | | |
1.25%, 10/15/2030 | | | 670 | | | | 530 | |
Raymond James Financial, Inc. | | | | | | | | |
4.95%, 07/15/2046 | | | 4,420 | | | | 4,307 | |
Realty Income Corp. | | | | | | | | |
2.20%, 06/15/2028 | | | 1,212 | | | | 1,063 | |
3.40%, 01/15/2028 | | | 3,938 | | | | 3,720 | |
3.95%, 08/15/2027 | | | 4,030 | | | | 3,931 | |
4.63%, 11/01/2025 | | | 2,260 | | | | 2,292 | |
Regency Centers LP | | | | | | | | |
3.60%, 02/01/2027 | | | 2,399 | | | | 2,321 | |
3.70%, 06/15/2030 | | | 1,966 | | | | 1,784 | |
4.13%, 03/15/2028 | | | 970 | | | | 932 | |
| | | | | | | | |
Retail Opportunity Investments Partnership LP | | | | | | | | |
4.00%, 12/15/2024 | | | 895 | | | | 870 | |
Rexford Industrial Realty LP | | | | | | | | |
2.15%, 09/01/2031 | | | 800 | | | | 629 | |
RHP Hotel Properties LP / RHP Finance Corp. | | | | | | | | |
4.75%, 10/15/2027 | | | 436 | | | | 387 | |
Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc. | | | | | | | | |
2.88%, 10/15/2026(1) | | | 9,815 | | | | 8,111 | |
3.63%, 03/01/2029 | | | 4,385 | | | | 3,448 | |
3.88%, 03/01/2031(1) | | | 29,710 | | | | 22,261 | |
4.00%, 10/15/2033(1) | | | 29,285 | | | | 20,792 | |
Royal Bank of Canada | | | | | | | | |
0.50%, 10/26/2023 | | | 15,460 | | | | 14,951 | |
Sabra Health Care LP | | | | | | | | |
3.20%, 12/01/2031 | | | 12,000 | | | | 9,523 | |
Santander Holdings USA, Inc. | | | | | | | | |
3.24%, 10/05/2026 | | | 6,255 | | | | 5,866 | |
3.50%, 06/07/2024 | | | 50 | | | | 49 | |
Santander UK Group Holdings Plc | | | | | | | | |
1.09% (SOFR + 0.79%), 03/15/2025(2) | | | 23,040 | | | | 21,512 | |
1.53% (1 Year CMT Index + 1.25%), 08/21/2026(2) | | | 12,810 | | | | 11,473 | |
1.67% (SOFR + 0.99%), 06/14/2027(2) | | | 11,405 | | | | 9,955 | |
2.47% (SOFR + 1.22%), 01/11/2028(2) | | | 1,125 | | | | 994 | |
2.90% (SOFR + 1.48%), 03/15/2032(2) | | | 24,900 | | | | 20,655 | |
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) | | | 4,990 | | | | 4,632 | |
4.75%, 09/15/2025(1) | | | 1,025 | | | | 1,012 | |
4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(2) | | | 14,535 | | | | 14,535 | |
6.75% (5 Year Swap Rate GBP + 6.07%), 06/24/2171(2) | | GBP | 5,800 | | | | 6,778 | |
Sberbank of Russia Via SB Capital SA | | | | | | | | |
5.13%, 10/29/2022 | | $ | 1,300 | | | | 130 | |
Service Properties Trust | | | | | | | | |
4.35%, 10/01/2024 | | | 279 | | | | 227 | |
Shimao Group Holdings Ltd. | | | | | | | | |
3.45%, 01/11/2031 | | | 5,645 | | | | 579 | |
4.60%, 07/13/2030 | | | 400 | | | | 41 | |
4.75%, 07/03/2022 | | | 4,359 | | | | 503 | |
5.20%, 01/16/2027 | | | 4,595 | | | | 476 | |
5.60%, 07/15/2026 | | | 3,025 | | | | 325 | |
6.13%, 02/21/2024 | | | 1,275 | | | | 139 | |
Simon Property Group LP | | | | | | | | |
2.65%, 07/15/2030 | | | 4,194 | | | | 3,558 | |
Sino-Ocean Land Treasure IV Ltd. | | | | | | | | |
4.75%, 08/05/2029 | | | 1,725 | | | | 742 | |
4.75%, 01/14/2030 | | | 3,305 | | | | 1,428 | |
Sirius International Group Ltd. | | | | | | | | |
4.60%, 11/01/2026(1) | | | 2,520 | | | | 2,344 | |
SITE Centers Corp. | | | | | | | | |
3.63%, 02/01/2025 | | | 1,914 | | | | 1,860 | |
4.25%, 02/01/2026 | | | 2,500 | | | | 2,455 | |
4.70%, 06/01/2027 | | | 8,000 | | | | 7,893 | |
Sitka Holdings LLC | | | | | | | | |
6.75% (3 Month LIBOR USD + 4.50%), 07/06/2026(1)(2) | | | 4,167 | | | | 4,031 | |
SL Green Operating Partnership LP | | | | | | | | |
3.25%, 10/15/2022 | | | 6,000 | | | | 5,985 | |
SL Green Realty Corp. | | | | | | | | |
4.50%, 12/01/2022 | | | 850 | | | | 851 | |
Societe Generale SA | | | | | | | | |
2.89% (1 Year CMT Index + 1.30%), 06/09/2032(1)(2) | | | 10,400 | | | | 8,304 | |
3.65% (5 Year CMT Index + 3.00%), 07/08/2035(1)(2) | | | 7,705 | | | | 6,278 | |
4.25%, 04/14/2025(1) | | | 2,340 | | | | 2,293 | |
4.75%, 11/24/2025(1) | | | 9,285 | | | | 9,138 | |
7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2171(1)(2) | | | 4,300 | | | | 4,142 | |
Standard Chartered Plc | | | | | | | | |
1.21% (1 Year CMT Index + 0.88%), 03/23/2025(1)(2) | | | 2,500 | | | | 2,356 | |
2.61% (1 Year CMT Index + 1.18%), 01/12/2028(1)(2) | | | 5,744 | | | | 5,130 | |
2.68% (1 Year CMT Index + 1.20%), 06/29/2032(1)(2) | | | 52,100 | | | | 41,781 | |
2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(1)(2) | | | 3,241 | | | | 3,068 | |
3.27% (5 Year CMT Index + 2.30%), 02/18/2036(1)(2) | | | 41,220 | | | | 33,296 | |
4.64% (1 Year CMT Index + 3.85%), 04/01/2031(1)(2) | | | 22,853 | | | | 21,780 | |
Stewart Information Services Corp. | | | | | | | | |
3.60%, 11/15/2031 | | | 14,990 | | | | 12,434 | |
Stichting AK Rabobank Certificaten | | | | | | | | |
6.50%, 03/29/2170(5) | | EUR | 3,876 | | | | 3,938 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
1.90%, 09/17/2028 | | $ | 738 | | | | 626 | |
2.45%, 09/27/2024 | | | 1,067 | | | | 1,028 | |
2.70%, 07/16/2024 | | | 5,000 | | | | 4,862 | |
Sunac China Holdings Ltd. | | | | | | | | |
7.00%, 07/09/2025 | | | 700 | | | | 102 | |
Synchrony Financial | | | | | | | | |
4.25%, 08/15/2024 | | | 5,145 | | | | 5,113 | |
4.38%, 03/19/2024 | | | 9,540 | | | | 9,482 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
3.30%, 05/15/2050(1) | | | 7,205 | | | | 5,496 | |
4.27%, 05/15/2047(1) | | | 515 | | | | 458 | |
4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2) | | | 7,500 | | | | 7,353 | |
4.90%, 09/15/2044(1) | | | 1,505 | | | | 1,443 | |
| | | | | | | | |
Times China Holdings Ltd. | | | | | | | | |
5.75%, 01/14/2027 | | | 5,214 | | | | 678 | |
6.20%, 03/22/2026 | | | 1,950 | | | | 253 | |
6.75%, 07/08/2025 | | | 1,715 | | | | 223 | |
Toronto-Dominion Bank | | | | | | | | |
0.25%, 01/06/2023 | | | 19,175 | | | | 18,919 | |
Trust Fibra Uno | | | | | | | | |
5.25%, 01/30/2026(6) | | | 200 | | | | 189 | |
6.39%, 01/15/2050(6) | | | 400 | | | | 318 | |
UBS AG | | | | | | | | |
1.62% (SOFR + 0.45%), 08/09/2024(1)(2) | | | 11,950 | | | | 11,869 | |
5.13%, 05/15/2024 | | | 200 | | | | 200 | |
UBS Group AG | | | | | | | | |
4.49% (1 Year CMT Index + 1.55%), 05/12/2026(1)(2) | | | 3,050 | | | | 3,038 | |
4.75% (1 Year CMT Index + 1.75%), 05/12/2028(1)(2) | | | 10,500 | | | | 10,391 | |
UniCredit SpA | | | | | | | | |
1.98% (1 Year CMT Index + 1.20%), 06/03/2027(1)(2) | | | 1,060 | | | | 916 | |
2.57% (1 Year CMT Index + 2.30%), 09/22/2026(1)(2) | | | 2,600 | | | | 2,326 | |
5.46% (5 Year CMT Index + 4.75%), 06/30/2035(1)(2) | | | 1,930 | | | | 1,560 | |
7.83%, 12/04/2023(1) | | | 13,400 | | | | 13,861 | |
Unique Pub Finance Co. Plc | | | | | | | | |
7.40%, 03/28/2024 | | GBP | 1,894 | | | | 2,350 | |
US Bancorp | | | | | | | | |
2.22% (SOFR + 0.73%), 01/27/2028(2) | | $ | 17,045 | | | | 15,615 | |
Ventas Realty LP | | | | | | | | |
4.88%, 04/15/2049 | | | 1,895 | | | | 1,753 | |
VICI Properties LP | | | | | | | | |
4.38%, 05/15/2025 | | | 1,065 | | | | 1,040 | |
4.75%, 02/15/2028 | | | 2,960 | | | | 2,825 | |
4.95%, 02/15/2030 | | | 5,645 | | | | 5,350 | |
5.13%, 05/15/2032 | | | 8,325 | | | | 7,845 | |
5.63%, 05/15/2052 | | | 6,534 | | | | 5,947 | |
VICI Properties LP / VICI Note Co., Inc. | | | | | | | | |
3.75%, 02/15/2027(1) | | | 1,903 | | | | 1,674 | |
3.88%, 02/15/2029(1) | | | 4,764 | | | | 4,097 | |
4.25%, 12/01/2026(1) | | | 12,614 | | | | 11,520 | |
4.50%, 09/01/2026(1) | | | 12,145 | | | | 11,173 | |
4.50%, 01/15/2028(1) | | | 1,850 | | | | 1,686 | |
4.63%, 06/15/2025(1) | | | 9,034 | | | | 8,594 | |
5.63%, 05/01/2024(1) | | | 6,145 | | | | 6,068 | |
5.75%, 02/01/2027(1) | | | 4,643 | | | | 4,406 | |
Voyager Aviation Holdings LLC | | | | | | | | |
8.50%, 05/09/2026(1) | | | 67 | | | | 59 | |
Wells Fargo & Co. | | | | | | | | |
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(2) | | | 17,765 | | | | 16,697 | |
2.19% (SOFR + 2.00%), 04/30/2026(2) | | | 10,160 | | | | 9,505 | |
2.39% (SOFR + 2.10%), 06/02/2028(2) | | | 14,663 | | | | 13,131 | |
2.57% (SOFR + 1.26%), 02/11/2031(2) | | | 4,803 | | | | 4,129 | |
2.88% (SOFR + 1.43%), 10/30/2030(2) | | | 21,652 | | | | 19,040 | |
3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(2) | | | 5,739 | | | | 5,433 | |
3.35% (SOFR + 1.50%), 03/02/2033(2) | | | 36,020 | | | | 31,967 | |
3.53% (SOFR + 1.51%), 03/24/2028(2) | | | 16,860 | | | | 15,969 | |
3.90% (5 Year CMT Index + 3.45%), 03/15/2171(2) | | | 13,900 | | | | 11,971 | |
4.30%, 07/22/2027 | | | 2,141 | | | | 2,117 | |
5.01% (SOFR + 4.50%), 04/04/2051(2) | | | 3,925 | | | | 3,850 | |
Welltower, Inc. | | | | | | | | |
4.00%, 06/01/2025 | | | 4,690 | | | | 4,655 | |
4.50%, 01/15/2024 | | | 650 | | | | 654 | |
Weyerhaeuser Co. | | | | | | | | |
4.00%, 04/15/2030 | | | 9,630 | | | | 9,065 | |
WP Carey, Inc. | | | | | | | | |
2.40%, 02/01/2031 | | | 677 | | | | 553 | |
| | | | | | | | |
Total Financials | | | | 3,976,258 | |
| | | | | | | | |
Government – 0.11% | | | | |
Asian Development Bank | | | | | | | | |
4.70%, 03/12/2024 | | MXN | 12,200 | | | | 553 | |
CBB International Sukuk Co. 7 SPC | | | | | | | | |
6.88%, 10/05/2025 | | $ | 1,600 | | | | 1,665 | |
European Investment Bank | | | | | | | | |
0.25%, 09/15/2023 | | | 30,865 | | | | 29,834 | |
International Finance Corp. | | | | | | | | |
8.00%, 10/09/2023 | | IDR | 9,100,000 | | | | 629 | |
Perusahaan Penerbit SBSN Indonesia III | | | | | | | | |
2.80%, 06/23/2030(1) | | $ | 1,700 | | | | 1,490 | |
| | | | | | | | |
Total Government | | | | 34,171 | |
| | | | | | | | |
Industrials – 1.54% | | | | |
Agilent Technologies, Inc. | | | | | | | | |
2.30%, 03/12/2031 | | | 1,233 | | | | 1,004 | |
2.75%, 09/15/2029 | | | 648 | | | | 566 | |
Amcor Finance USA, Inc. | | | | | | | | |
3.63%, 04/28/2026 | | | 12,260 | | | | 11,797 | |
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc. | | | | | | | | |
5.25%, 08/15/2027(1) | | | 5,400 | | | | 3,850 | |
5.25%, 08/15/2027(1) | | | 6,101 | | | | 4,350 | |
Arrow Electronics, Inc. | | | | | | | | |
4.00%, 04/01/2025 | | | 2,326 | | | | 2,312 | |
| | | | | | | | |
Artera Services LLC | | | | | | | | |
9.03%, 12/04/2025(1) | | | 6,400 | | | | 5,157 | |
Avnet, Inc. | | | | | | | | |
4.63%, 04/15/2026 | | | 10,485 | | | | 10,543 | |
5.50%, 06/01/2032 | | | 5,440 | | | | 5,338 | |
BAE Systems Plc | | | | | | | | |
1.90%, 02/15/2031(1) | | | 1,594 | | | | 1,282 | |
3.40%, 04/15/2030(1) | | | 10,068 | | | | 9,191 | |
Berry Global, Inc. | | | | | | | | |
1.57%, 01/15/2026 | | | 3,800 | | | | 3,389 | |
4.88%, 07/15/2026(1) | | | 18,610 | | | | 17,761 | |
Boeing Co. | | | | | | | | |
1.43%, 02/04/2024 | | | 16,015 | | | | 15,298 | |
2.20%, 02/04/2026 | | | 19,000 | | | | 17,126 | |
2.25%, 06/15/2026 | | | 2,170 | | | | 1,939 | |
2.95%, 02/01/2030 | | | 2,790 | | | | 2,322 | |
3.10%, 05/01/2026 | | | 370 | | | | 345 | |
3.20%, 03/01/2029 | | | 1,855 | | | | 1,605 | |
3.25%, 02/01/2035 | | | 800 | | | | 605 | |
3.38%, 06/15/2046 | | | 9,940 | | | | 6,463 | |
3.60%, 05/01/2034 | | | 200 | | | | 160 | |
3.63%, 03/01/2048 | | | 1,941 | | | | 1,300 | |
3.75%, 02/01/2050 | | | 10,181 | | | | 7,184 | |
3.83%, 03/01/2059 | | | 1,023 | | | | 659 | |
3.85%, 11/01/2048 | | | 1,465 | | | | 1,034 | |
4.88%, 05/01/2025 | | | 3,005 | | | | 2,994 | |
5.15%, 05/01/2030 | | | 7,397 | | | | 7,100 | |
5.71%, 05/01/2040 | | | 7,091 | | | | 6,614 | |
5.81%, 05/01/2050 | | | 9,293 | | | | 8,535 | |
5.93%, 05/01/2060 | | | 8,907 | | | | 8,109 | |
Bombardier, Inc. | | | | | | | | |
7.50%, 03/15/2025(1) | | | 1,002 | | | | 906 | |
7.88%, 04/15/2027(1) | | | 1,492 | | | | 1,242 | |
Boral Finance Pty Ltd. | | | | | | | | |
3.00%, 11/01/2022(1) | | | 913 | | | | 910 | |
3.75%, 05/01/2028(1) | | | 1,095 | | | | 1,029 | |
Burlington Northern Santa Fe LLC | | | | | | | | |
2.88%, 06/15/2052 | | | 2,212 | | | | 1,652 | |
4.45%, 01/15/2053 | | | 1,155 | | | | 1,117 | |
5.15%, 09/01/2043 | | | 3,815 | | | | 3,955 | |
Carrier Global Corp. | | | | | | | | |
2.24%, 02/15/2025 | | | 791 | | | | 752 | |
Caterpillar Financial Services Corp. | | | | | | | | |
0.95%, 01/10/2024 | | | 25,235 | | | | 24,370 | |
Cellnex Finance Co. SA | | | | | | | | |
3.88%, 07/07/2041(1) | | | 900 | | | | 616 | |
Cemex SAB de CV | | | | | | | | |
3.88%, 07/11/2031(1) | | | 24,365 | | | | 18,274 | |
5.13% (5 Year CMT Index + 4.53%), 09/08/2170(1)(2) | | | 5,670 | | | | 4,811 | |
5.20%, 09/17/2030(1) | | | 8,900 | | | | 7,620 | |
5.45%, 11/19/2029(1) | | | 3,460 | | | | 3,076 | |
CNH Industrial Capital LLC | | | | | | | | |
1.95%, 07/02/2023 | | | 4,243 | | | | 4,147 | |
CSX Corp. | | | | | | | | |
4.25%, 11/01/2066 | | | 3,328 | | | | 2,803 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.05%, 06/15/2025 | | | 2,156 | | | | 2,086 | |
5.40%, 02/01/2027 | | | 960 | | | | 909 | |
6.95%, 01/17/2028(1) | | | 293 | | | | 284 | |
Empresa de los Ferrocarriles del Estado | | | | | | | | |
3.07%, 08/18/2050(1) | | | 2,075 | | | | 1,245 | |
Fortress Transportation & Infrastructure Investors LLC | | | | | | | | |
6.50%, 10/01/2025(1) | | | 1,561 | | | | 1,473 | |
GE Capital Funding LLC | | | | | | | | |
4.55%, 05/15/2032 | | | 1,088 | | | | 1,049 | |
GE Capital International Funding Co. Unlimited Co. | | | | | | | | |
4.42%, 11/15/2035 | | | 18,991 | | | | 17,737 | |
General Dynamics Corp. | | | | | | | | |
2.25%, 06/01/2031 | | | 2,204 | | | | 1,917 | |
2.85%, 06/01/2041 | | | 655 | | | | 509 | |
General Electric Co. | | | | | | | | |
5.16% (3 Month LIBOR USD + 3.33%), 06/15/2171(2) | | | 6,184 | | | | 5,418 | |
6.75%, 03/15/2032 | | | 3,627 | | | | 4,058 | |
HTA Group Ltd. | | | | | | | | |
7.00%, 12/18/2025(1) | | | 590 | | | | 504 | |
Huntington Ingalls Industries, Inc. | | | | | | | | |
2.04%, 08/16/2028 | | | 1,217 | | | | 1,038 | |
3.48%, 12/01/2027 | | | 605 | | | | 566 | |
3.84%, 05/01/2025 | | | 5,344 | | | | 5,262 | |
4.20%, 05/01/2030 | | | 3,064 | | | | 2,887 | |
IHS Holding Ltd. | | | | | | | | |
5.63%, 11/29/2026(1) | | | 1,212 | | | | 993 | |
6.25%, 11/29/2028(1) | | | 765 | | | | 617 | |
Jabil, Inc. | | | | | | | | |
1.70%, 04/15/2026 | | | 4,870 | | | | 4,361 | |
3.00%, 01/15/2031 | | | 2,470 | | | | 2,074 | |
John Deere Capital Corp. | | | | | | | | |
0.70%, 01/15/2026 | | | 1,350 | | | | 1,219 | |
| | | | | | | | |
0.90%, 01/10/2024 | | | 6,420 | | | | 6,197 | |
1.25%, 01/10/2025 | | | 9,965 | | | | 9,449 | |
2.15% (3 Month LIBOR USD + 0.48%), 09/08/2022(2) | | | 10,000 | | | | 9,998 | |
Keysight Technologies, Inc. | | | | | | | | |
3.00%, 10/30/2029 | | | 5,800 | | | | 5,154 | |
Klabin Austria GmbH | | | | | | | | |
3.20%, 01/12/2031(1) | | | 513 | | | | 391 | |
L3Harris Technologies, Inc. | | | | | | | | |
1.80%, 01/15/2031 | | | 6,553 | | | | 5,229 | |
Lockheed Martin Corp. | | | | | | | | |
3.90%, 06/15/2032 | | | 765 | | | | 755 | |
4.07%, 12/15/2042 | | | 4,838 | | | | 4,492 | |
4.09%, 09/15/2052 | | | 652 | | | | 607 | |
4.15%, 06/15/2053 | | | 651 | | | | 607 | |
Masonite International Corp. | | | | | | | | |
5.38%, 02/01/2028(1) | | | 276 | | | | 250 | |
Mauser Packaging Solutions Holding Co. | | | | | | | | |
5.50%, 04/15/2024(1) | | | 510 | | | | 487 | |
Norfolk Southern Corp. | | | | | | | | |
2.90%, 06/15/2026 | | | 641 | | | | 612 | |
3.00%, 03/15/2032 | | | 3,436 | | | | 3,097 | |
3.05%, 05/15/2050 | | | 2,380 | | | | 1,744 | |
3.16%, 05/15/2055 | | | 1,277 | | | | 928 | |
4.55%, 06/01/2053 | | | 1,125 | | | | 1,063 | |
Northrop Grumman Corp. | | | | | | | | |
3.25%, 01/15/2028 | | | 3,649 | | | | 3,468 | |
4.03%, 10/15/2047 | | | 5,621 | | | | 4,991 | |
Parker-Hannifin Corp. | | | | | | | | |
2.70%, 06/14/2024 | | | 1,081 | | | | 1,055 | |
Penske Truck Leasing Co. LP | | | | | | | | |
1.20%, 11/15/2025(1) | | | 3,726 | | | | 3,327 | |
4.00%, 07/15/2025(1) | | | 3,519 | | | | 3,464 | |
Raytheon Technologies Corp. | | | | | | | | |
2.38%, 03/15/2032 | | | 1,822 | | | | 1,542 | |
3.03%, 03/15/2052 | | | 9,701 | | | | 7,224 | |
4.13%, 11/16/2028 | | | 9,077 | | | | 8,958 | |
4.50%, 06/01/2042 | | | 928 | | | | 885 | |
Republic Services, Inc. | | | | | | | | |
2.38%, 03/15/2033 | | | 1,200 | | | | 981 | |
Rolls-Royce Plc | | | | | | | | |
1.63%, 05/09/2028 | | EUR | 16,946 | | | | 13,201 | |
3.38%, 06/18/2026 | | GBP | 2,693 | | | | 2,834 | |
4.63%, 02/16/2026 | | EUR | 3,221 | | | | 3,164 | |
5.75%, 10/15/2027 | | GBP | 2,925 | | | | 3,347 | |
Ryder System, Inc. | | | | | | | | |
2.50%, 09/01/2024 | | $ | 4,986 | | | | 4,810 | |
3.65%, 03/18/2024 | | | 5,981 | | | | 5,930 | |
Siemens Financieringsmaatschappij NV | | | | | | | | |
1.70%, 03/11/2028(1) | | | 1,174 | | | | 1,029 | |
2.15%, 03/11/2031(1) | | | 689 | | | | 584 | |
Simpar Europe SA | | | | | | | | |
5.20%, 01/26/2031(1) | | | 825 | | | | 637 | |
Spirit AeroSystems, Inc. | | | | | | | | |
4.60%, 06/15/2028 | | | 2,125 | | | | 1,569 | |
Standard Industries, Inc. | | | | | | | | |
2.25%, 11/21/2026 | | EUR | 800 | | | | 654 | |
4.75%, 01/15/2028(1) | | $ | 112 | | | | 96 | |
5.00%, 02/15/2027(1) | | | 273 | | | | 244 | |
TD SYNNEX Corp. | | | | | | | | |
1.75%, 08/09/2026(1) | | | 10,725 | | | | 9,448 | |
Textron, Inc. | | | | | | | | |
3.00%, 06/01/2030 | | | 26,608 | | | | 23,144 | |
TK Elevator US Newco, Inc. | | | | | | | | |
5.25%, 07/15/2027(1) | | | 2,361 | | | | 2,105 | |
Trivium Packaging Finance BV | | | | | | | | |
5.50%, 08/15/2026(1) | | | 6,143 | | | | 5,803 | |
Union Pacific Corp. | | | | | | | | |
2.97%, 09/16/2062 | | | 919 | | | | 636 | |
3.55%, 05/20/2061 | | | 857 | | | | 681 | |
3.84%, 03/20/2060 | | | 8,070 | | | | 6,736 | |
Vulcan Materials Co. | | | | | | | | |
3.50%, 06/01/2030 | | | 1,400 | | | | 1,269 | |
Waste Management, Inc. | | | | | | | | |
2.95%, 06/01/2041 | | | 1,074 | | | | 836 | |
Waste Pro USA, Inc. | | | | | | | | |
5.50%, 02/15/2026(1) | | | 5,183 | | | | 4,604 | |
WRKCo, Inc. | | | | | | | | |
3.75%, 03/15/2025 | | | 815 | | | | 808 | |
4.00%, 03/15/2028 | | | 1,325 | | | | 1,293 | |
| | | | | | | | |
Total Industrials | | | | 481,835 | |
| | | | | | | | |
Technology – 1.97% | | | | |
Activision Blizzard, Inc. | | | | | | | | |
1.35%, 09/15/2030 | | | 1,296 | | | | 1,041 | |
Amdocs Ltd. | | | | | | | | |
2.54%, 06/15/2030 | | | 15,503 | | | | 13,056 | |
Analog Devices, Inc. | | | | | | | | |
2.80%, 10/01/2041 | | | 1,340 | | | | 1,050 | |
| | | | | | | | |
Apple, Inc. | | | | | | | | |
2.38%, 02/08/2041 | | | 1,973 | | | | 1,509 | |
2.55%, 08/20/2060 | | | 2,465 | | | | 1,688 | |
2.70%, 08/05/2051 | | | 5,870 | | | | 4,378 | |
2.80%, 02/08/2061 | | | 1,234 | | | | 886 | |
3.85%, 05/04/2043 | | | 5,433 | | | | 4,997 | |
4.65%, 02/23/2046 | | | 1,250 | | | | 1,287 | |
Applied Materials, Inc. | | | | | | | | |
2.75%, 06/01/2050 | | | 708 | | | | 527 | |
Autodesk, Inc. | | | | | | | | |
2.40%, 12/15/2031 | | | 1,572 | | | | 1,283 | |
3.50%, 06/15/2027 | | | 2,647 | | | | 2,531 | |
Broadcom Corp. / Broadcom Cayman Finance Ltd. | | | | | | | | |
3.88%, 01/15/2027 | | | 2,423 | | | | 2,331 | |
Broadcom, Inc. | | | | | | | | |
2.45%, 02/15/2031(1) | | | 24,605 | | | | 19,769 | |
2.60%, 02/15/2033(1) | | | 3,200 | | | | 2,461 | |
3.14%, 11/15/2035(1) | | | 5,817 | | | | 4,417 | |
3.15%, 11/15/2025 | | | 9,014 | | | | 8,681 | |
3.19%, 11/15/2036(1) | | | 10,955 | | | | 8,328 | |
3.42%, 04/15/2033(1) | | | 14,402 | | | | 11,907 | |
3.47%, 04/15/2034(1) | | | 29,523 | | | | 24,028 | |
4.00%, 04/15/2029(1) | | | 20,200 | | | | 18,717 | |
4.15%, 11/15/2030 | | | 8,634 | | | | 7,911 | |
4.15%, 04/15/2032(1) | | | 13,255 | | | | 11,967 | |
4.30%, 11/15/2032 | | | 5,137 | | | | 4,666 | |
4.93%, 05/15/2037(1) | | | 25,177 | | | | 22,572 | |
Broadridge Financial Solutions, Inc. | | | | | | | | |
3.40%, 06/27/2026 | | | 934 | | | | 903 | |
CDW LLC / CDW Finance Corp. | | | | | | | | |
2.67%, 12/01/2026 | | | 1,415 | | | | 1,261 | |
3.25%, 02/15/2029 | | | 3,620 | | | | 3,052 | |
3.28%, 12/01/2028 | | | 6,400 | | | | 5,521 | |
3.57%, 12/01/2031 | | | 44,205 | | | | 36,521 | |
4.25%, 04/01/2028 | | | 895 | | | | 808 | |
CGI, Inc. | | | | | | | | |
2.30%, 09/14/2031 | | | 14,300 | | | | 11,473 | |
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | | | | | | | | |
5.75%, 03/01/2025(1) | | | 230 | | | | 224 | |
Citrix Systems, Inc. | | | | | | | | |
3.30%, 03/01/2030 | | | 2,300 | | | | 2,243 | |
Clarivate Science Holdings Corp. | | | | | | | | |
3.88%, 07/01/2028(1) | | | 119 | | | | 99 | |
Dell International LLC / EMC Corp. | | | | | | | | |
3.45%, 12/15/2051(1) | | | 201 | | | | 136 | |
4.90%, 10/01/2026 | | | 5,249 | | | | 5,251 | |
5.30%, 10/01/2029 | | | 3,695 | | | | 3,643 | |
6.02%, 06/15/2026 | | | 721 | | | | 748 | |
DXC Technology Co. | | | | | | | | |
2.38%, 09/15/2028 | | | 975 | | | | 839 | |
Electronic Arts, Inc. | | | | | | | | |
1.85%, 02/15/2031 | | | 3,961 | | | | 3,218 | |
Entegris Escrow Corp. | | | | | | | | |
4.75%, 04/15/2029(1) | | | 19,155 | | | | 17,838 | |
Exela Intermediate LLC / Exela Finance, Inc. | | | | | | | | |
11.50%, 07/15/2026(1) | | | 218 | | | | 72 | |
Fidelity National Information Services, Inc. | | | | | | | | |
3.10%, 03/01/2041 | | | 2,664 | | | | 1,944 | |
Fiserv, Inc. | | | | | | | | |
3.50%, 07/01/2029 | | | 4,443 | | | | 4,053 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
2.25%, 04/01/2023 | | | 10,082 | | | | 10,009 | |
HP, Inc. | | | | | | | | |
2.65%, 06/17/2031 | | | 913 | | | | 733 | |
6.00%, 09/15/2041 | | | 800 | | | | 808 | |
Intel Corp. | | | | | | | | |
2.80%, 08/12/2041 | | | 924 | | | | 705 | |
3.05%, 08/12/2051 | | | 5,000 | | | | 3,723 | |
3.20%, 08/12/2061 | | | 3,013 | | | | 2,201 | |
International Business Machines Corp. | | | | | | | | |
3.43%, 02/09/2052 | | | 2,257 | | | | 1,736 | |
KLA Corp. | | | | | | | | |
3.30%, 03/01/2050 | | | 4,113 | | | | 3,257 | |
4.10%, 03/15/2029 | | | 6,032 | | | | 5,959 | |
5.25%, 07/15/2062 | | | 2,185 | | | | 2,252 | |
Lam Research Corp. | | | | | | | | |
2.88%, 06/15/2050 | | | 1,715 | | | | 1,258 | |
3.75%, 03/15/2026 | | | 3,171 | | | | 3,163 | |
Leidos, Inc. | | | | | | | | |
2.30%, 02/15/2031 | | | 1,200 | | | | 956 | |
4.38%, 05/15/2030 | | | 7,619 | | | | 7,047 | |
Marvell Technology, Inc. | | | | | | | | |
2.45%, 04/15/2028 | | | 5,625 | | | | 4,908 | |
2.95%, 04/15/2031 | | | 36,852 | | | | 30,903 | |
Microchip Technology, Inc. | | | | | | | | |
0.98%, 09/01/2024 | | | 4,290 | | | | 4,001 | |
4.33%, 06/01/2023 | | | 22,025 | | | | 22,037 | |
| | | | | | | | |
Micron Technology, Inc. | | | | | | | | |
2.70%, 04/15/2032 | | | 4,200 | | | | 3,349 | |
4.19%, 02/15/2027 | | | 5,359 | | | | 5,231 | |
4.66%, 02/15/2030 | | | 15,005 | | | | 14,389 | |
5.33%, 02/06/2029 | | | 6,490 | | | | 6,455 | |
Microsoft Corp. | | | | | | | | |
2.92%, 03/17/2052 | | | 2,570 | | | | 2,027 | |
NXP BV | | | | | | | | |
5.35%, 03/01/2026 | | | 1,945 | | | | 1,982 | |
NXP BV / NXP USA, Inc. | | | | | | | | |
2.50%, 05/11/2031 | | | 4,980 | | | | 4,094 | |
2.65%, 02/15/2032 | | | 1,879 | | | | 1,543 | |
2.70%, 05/01/2025 | | | 2,408 | | | | 2,289 | |
3.15%, 05/01/2027 | | | 5,939 | | | | 5,503 | |
3.25%, 11/30/2051 | | | 2,628 | | | | 1,820 | |
4.30%, 06/18/2029 | | | 5,000 | | | | 4,770 | |
4.40%, 06/01/2027 | | | 1,715 | | | �� | 1,688 | |
Open Text Corp. | | | | | | | | |
3.88%, 02/15/2028(1) | | | 445 | | | | 396 | |
Open Text Holdings, Inc. | | | | | | | | |
4.13%, 02/15/2030(1) | | | 5,035 | | | | 4,356 | |
Oracle Corp. | | | | | | | | |
2.30%, 03/25/2028 | | | 1,017 | | | | 875 | |
2.80%, 04/01/2027 | | | 2,410 | | | | 2,198 | |
2.88%, 03/25/2031 | | | 3,260 | | | | 2,686 | |
3.60%, 04/01/2040 | | | 12,690 | | | | 9,483 | |
3.60%, 04/01/2050 | | | 14,135 | | | | 9,819 | |
3.65%, 03/25/2041 | | | 4,582 | | | | 3,415 | |
3.80%, 11/15/2037 | | | 937 | | | | 729 | |
3.85%, 07/15/2036 | | | 6,000 | | | | 4,821 | |
3.85%, 04/01/2060 | | | 7,163 | | | | 4,914 | |
3.95%, 03/25/2051 | | | 33,015 | | | | 24,249 | |
4.00%, 07/15/2046 | | | 11,909 | | | | 8,805 | |
4.00%, 11/15/2047 | | | 1,660 | | | | 1,231 | |
4.10%, 03/25/2061(6) | | | 8,700 | | | | 6,155 | |
4.13%, 05/15/2045 | | | 5,600 | | | | 4,259 | |
QUALCOMM, Inc. | | | | | | | | |
3.25%, 05/20/2027 | | | 636 | | | | 622 | |
3.25%, 05/20/2050 | | | 1,378 | | | | 1,125 | |
4.30%, 05/20/2047 | | | 1,083 | | | | 1,038 | |
Roper Technologies, Inc. | | | | | | | | |
2.95%, 09/15/2029 | | | 1,930 | | | | 1,702 | |
Salesforce, Inc. | | | | | | | | |
3.05%, 07/15/2061 | | | 2,648 | | | | 1,936 | |
Seagate HDD Cayman | | | | | | | | |
3.13%, 07/15/2029 | | | 6,000 | | | | 4,708 | |
4.09%, 06/01/2029 | | | 4,719 | | | | 4,058 | |
4.13%, 01/15/2031 | | | 11,000 | | | | 8,993 | |
5.75%, 12/01/2034 | | | 1,122 | | | | 987 | |
ServiceNow, Inc. | | | | | | | | |
1.40%, 09/01/2030 | | | 3,507 | | | | 2,744 | |
Skyworks Solutions, Inc. | | | | | | | | |
1.80%, 06/01/2026 | | | 1,340 | | | | 1,189 | |
Take-Two Interactive Software, Inc. | | | | | | | | |
4.00%, 04/14/2032 | | | 1,448 | | | | 1,359 | |
TSMC Arizona Corp. | | | | | | | | |
2.50%, 10/25/2031 | | | 12,905 | | | | 11,066 | |
4.25%, 04/22/2032 | | | 4,000 | | | | 3,944 | |
4.50%, 04/22/2052 | | | 4,850 | | | | 4,744 | |
TSMC Global Ltd. | | | | | | | | |
1.00%, 09/28/2027(1) | | | 2,529 | | | | 2,183 | |
VMware, Inc. | | | | | | | | |
2.20%, 08/15/2031 | | | 12,991 | | | | 10,229 | |
4.70%, 05/15/2030 | | | 2,700 | | | | 2,603 | |
Western Digital Corp. | | | | | | | | |
2.85%, 02/01/2029 | | | 13,507 | | | | 10,997 | |
3.10%, 02/01/2032 | | | 1,020 | | | | 782 | |
4.75%, 02/15/2026 | | | 9,220 | | | | 8,797 | |
Workday, Inc. | | | | | | | | |
3.80%, 04/01/2032 | | | 1,415 | | | | 1,293 | |
| | | | | | | | |
Total Technology | | | | 618,121 | |
| | | | | | | | |
Utilities – 1.93% | | | | |
Adani Green Energy Ltd. | | | | | | | | |
4.38%, 09/08/2024(6) | | | 442 | | | | 397 | |
AEP Texas, Inc. | | | | | | | | |
3.45%, 05/15/2051 | | | 628 | | | | 482 | |
AEP Transmission Co. LLC | | | | | | | | |
2.75%, 08/15/2051 | | | 4,537 | | | | 3,180 | |
3.75%, 12/01/2047 | | | 2,190 | | | | 1,861 | |
4.50%, 06/15/2052 | | | 875 | | | | 838 | |
AES Corp. | | | | | | | | |
2.45%, 01/15/2031 | | | 4,485 | | | | 3,607 | |
3.95%, 07/15/2030(1) | | | 2,040 | | | | 1,839 | |
Alabama Power Co. | | | | | | | | |
3.13%, 07/15/2051 | | | 2,626 | | | | 1,965 | |
Alliant Energy Finance LLC | | | | | | | | |
1.40%, 03/15/2026(1) | | | 925 | | | | 821 | |
| | | | | | | | |
Ameren Illinois Co. | | | | | | | | |
2.90%, 06/15/2051 | | | 921 | | | | 675 | |
American Transmission Systems, Inc. | | | | | | | | |
2.65%, 01/15/2032(1) | | | 9,303 | | | | 7,879 | |
American Water Capital Corp. | | | | | | | | |
3.45%, 05/01/2050 | | | 1,148 | | | | 915 | |
4.15%, 06/01/2049 | | | 1,425 | | | | 1,262 | |
APA Infrastructure Ltd. | | | | | | | | |
4.25%, 07/15/2027(1) | | | 1,678 | | | | 1,632 | |
Atmos Energy Corp. | | | | | | | | |
2.85%, 02/15/2052 | | | 1,158 | | | | 827 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
3.85%, 05/01/2023(1) | | | 2,558 | | | | 2,557 | |
Baltimore Gas & Electric Co. | | | | | | | | |
2.90%, 06/15/2050 | | | 2,102 | | | | 1,534 | |
4.55%, 06/01/2052 | | | 4,979 | | | | 4,825 | |
Black Hills Corp. | | | | | | | | |
4.35%, 05/01/2033 | | | 6,250 | | | | 5,830 | |
Calpine Corp. | | | | | | | | |
3.75%, 03/01/2031(1) | | | 9,495 | | | | 7,723 | |
CenterPoint Energy Houston Electric LLC | | | | | | | | |
3.35%, 04/01/2051 | | | 2,718 | | | | 2,208 | |
3.60%, 03/01/2052 | | | 1,205 | | | | 1,032 | |
CenterPoint Energy Resources Corp. | | | | | | | | |
1.75%, 10/01/2030 | | | 1,572 | | | | 1,277 | |
Cleco Power LLC | | | | | | | | |
6.00%, 12/01/2040 | | | 1,000 | | | | 1,060 | |
CLP Power Hong Kong Financing Ltd. | | | | | | | | |
3.38%, 10/26/2027(6) | | | 1,750 | | | | 1,691 | |
Commonwealth Edison Co. | | | | | | | | |
2.75%, 09/01/2051 | | | 2,120 | | | | 1,508 | |
3.85%, 03/15/2052 | | | 1,535 | | | | 1,352 | |
Consumers Energy Co. | | | | | | | | |
2.65%, 08/15/2052 | | | 3,025 | | | | 2,118 | |
DTE Electric Co. | | | | | | | | |
3.65%, 03/01/2052 | | | 484 | | | | 418 | |
3.95%, 03/01/2049 | | | 1,650 | | | | 1,479 | |
Duke Energy Carolinas LLC | | | | | | | | |
2.55%, 04/15/2031 | | | 3,610 | | | | 3,157 | |
3.45%, 04/15/2051 | | | 3,552 | | | | 2,888 | |
3.55%, 03/15/2052 | | | 417 | | | | 346 | |
3.70%, 12/01/2047 | | | 2,500 | | | | 2,116 | |
3.88%, 03/15/2046 | | | 2,750 | | | | 2,420 | |
4.25%, 12/15/2041 | | | 1,650 | | | | 1,520 | |
Duke Energy Corp. | | | | | | | | |
2.55%, 06/15/2031 | | | 10,699 | | | | 8,888 | |
Duke Energy Florida LLC | | | | | | | | |
3.00%, 12/15/2051 | | | 481 | | | | 359 | |
3.80%, 07/15/2028 | | | 6,065 | | | | 5,927 | |
Duke Energy Progress LLC | | | | | | | | |
2.50%, 08/15/2050 | | | 1,900 | | | | 1,298 | |
3.70%, 09/01/2028 | | | 2,405 | | | | 2,329 | |
4.10%, 03/15/2043 | | | 900 | | | | 807 | |
4.20%, 08/15/2045 | | | 1,000 | | | | 909 | |
Edison International | | | | | | | | |
4.95%, 04/15/2025 | | | 7,313 | | | | 7,331 | |
5.75%, 06/15/2027 | | | 1,722 | | | | 1,748 | |
Empresas Publicas de Medellin ESP | | | | | | | | |
4.25%, 07/18/2029(1) | | | 478 | | | | 373 | |
4.38%, 02/15/2031(1) | | | 363 | | | | 278 | |
4.38%, 02/15/2031 | | | 1,400 | | | | 1,071 | |
Enel Finance International NV | | | | | | | | |
1.88%, 07/12/2028(1) | | | 1,342 | | | | 1,125 | |
2.25%, 07/12/2031(1) | | | 1,179 | | | | 925 | |
3.50%, 04/06/2028(1) | | | 1,505 | | | | 1,391 | |
Entergy Louisiana LLC | | | | | | | | |
4.20%, 09/01/2048 | | | 2,366 | | | | 2,171 | |
Eskom Holdings SOC Ltd. | | | | | | | | |
7.13%, 02/11/2025(6) | | | 907 | | | | 763 | |
Eversource Energy | | | | | | | | |
4.60%, 07/01/2027 | | | 9,315 | | | | 9,390 | |
Exelon Corp. | | | | | | | | |
2.75%, 03/15/2027(1) | | | 1,146 | | | | 1,071 | |
4.10%, 03/15/2052(1) | | | 1,814 | | | | 1,564 | |
4.70%, 04/15/2050 | | | 1,255 | | | | 1,176 | |
FirstEnergy Corp. | | | | | | | | |
2.65%, 03/01/2030 | | | 5,702 | | | | 4,704 | |
3.40%, 03/01/2050 | | | 2,515 | | | | 1,705 | |
FirstEnergy Transmission LLC | | | | | | | | |
2.87%, 09/15/2028(1) | | | 16,876 | | | | 14,266 | |
4.35%, 01/15/2025(1) | | | 2,000 | | | | 1,969 | |
4.55%, 04/01/2049(1) | | | 4,728 | | | | 3,804 | |
Florida Power & Light Co. | | | | | | | | |
2.88%, 12/04/2051 | | | 1,995 | | | | 1,483 | |
3.15%, 10/01/2049 | | | 4,897 | | | | 3,889 | |
3.99%, 03/01/2049 | | | 2,381 | | | | 2,169 | |
| | | | | | | | |
Genneia SA | | | | | | | | |
8.75%, 09/02/2027(1) | | | 266 | | | | 254 | |
IPALCO Enterprises, Inc. | | | | | | | | |
4.25%, 05/01/2030 | | | 1,245 | | | | 1,156 | |
ITC Holdings Corp. | | | | | | | | |
3.25%, 06/30/2026 | | | 2,000 | | | | 1,922 | |
4.05%, 07/01/2023 | | | 3,812 | | | | 3,831 | |
Jersey Central Power & Light Co. | | | | | | | | |
2.75%, 03/01/2032(1) | | | 2,000 | | | | 1,701 | |
4.30%, 01/15/2026(1) | | | 2,000 | | | | 1,975 | |
4.70%, 04/01/2024(1) | | | 150 | | | | 151 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026(1) | | | 4,500 | | | | 4,244 | |
Metropolitan Edison Co. | | | | | | | | |
4.00%, 04/15/2025(1) | | | 4,000 | | | | 3,935 | |
4.30%, 01/15/2029(1) | | | 5,000 | | | | 4,918 | |
MidAmerican Energy Co. | | | | | | | | |
2.70%, 08/01/2052 | | | 3,297 | | | | 2,366 | |
3.65%, 04/15/2029 | | | 2,871 | | | | 2,789 | |
Mid-Atlantic Interstate Transmission LLC | | | | | | | | |
4.10%, 05/15/2028(1) | | | 700 | | | | 683 | |
Mong Duong Finance Holdings BV | | | | | | | | |
5.13%, 05/07/2029 | | | 300 | | | | 242 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
5.00%, 07/15/2032 | | | 16,490 | | | | 16,894 | |
Northern States Power Co. | | | | | | | | |
2.60%, 06/01/2051 | | | 2,262 | | | | 1,592 | |
3.60%, 09/15/2047 | | | 1,800 | | | | 1,512 | |
4.00%, 08/15/2045 | | | 1,000 | | | | 882 | |
NRG Energy, Inc. | | | | | | | | |
2.45%, 12/02/2027(1) | | | 7,243 | | | | 6,219 | |
4.45%, 06/15/2029(1) | | | 10,926 | | | | 9,786 | |
5.25%, 06/15/2029(1) | | | 2,526 | | | | 2,254 | |
5.75%, 01/15/2028 | | | 2,444 | | | | 2,221 | |
NSTAR Electric Co. | | | | | | | | |
1.95%, 08/15/2031 | | | 1,992 | | | | 1,654 | |
Ohio Power Co. | | | | | | | | |
2.90%, 10/01/2051 | | | 4,528 | | | | 3,237 | |
Oncor Electric Delivery Co. LLC | | | | | | | | |
3.10%, 09/15/2049 | | | 1,434 | | | | 1,109 | |
4.15%, 06/01/2032(1) | | | 1,095 | | | | 1,097 | |
Pacific Gas & Electric Co. | | | | | | | | |
1.37%, 03/10/2023 | | | 15,194 | | | | 14,961 | |
2.10%, 08/01/2027 | | | 11,308 | | | | 9,479 | |
2.50%, 02/01/2031 | | | 6,357 | | | | 4,863 | |
2.95%, 03/01/2026 | | | 3,312 | | | | 3,009 | |
3.00%, 06/15/2028 | | | 13,949 | | | | 12,018 | |
3.15%, 01/01/2026 | | | 6,569 | | | | 6,013 | |
3.25%, 06/15/2023 | | | 2,670 | | | | 2,632 | |
3.25%, 06/01/2031 | | | 2,300 | | | | 1,858 | |
3.30%, 03/15/2027 | | | 2,052 | | | | 1,837 | |
3.30%, 12/01/2027 | | | 3,700 | | | | 3,231 | |
3.30%, 08/01/2040 | | | 4,970 | | | | 3,427 | |
3.40%, 08/15/2024 | | | 2,476 | | | | 2,379 | |
3.45%, 07/01/2025 | | | 7,760 | | | | 7,297 | |
3.50%, 06/15/2025 | | | 10,754 | | | | 10,183 | |
3.50%, 08/01/2050 | | | 3,273 | | | | 2,186 | |
3.75%, 02/15/2024 | | | 2,914 | | | | 2,848 | |
3.75%, 07/01/2028 | | | 18,444 | | | | 16,281 | |
3.75%, 08/15/2042 | | | 1,883 | | | | 1,273 | |
3.85%, 11/15/2023 | | | 1,259 | | | | 1,242 | |
3.95%, 12/01/2047 | | | 1,241 | | | | 860 | |
4.00%, 12/01/2046 | | | 13,182 | | | | 9,246 | |
4.25%, 08/01/2023 | | | 20,431 | | | | 20,316 | |
4.25%, 03/15/2046 | | | 409 | | | | 299 | |
4.30%, 03/15/2045 | | | 12,052 | | | | 8,762 | |
4.40%, 03/01/2032 | | | 11,850 | | | | 10,285 | |
4.45%, 04/15/2042 | | | 7,667 | | | | 5,758 | |
4.50%, 07/01/2040 | | | 11,103 | | | | 8,605 | |
4.50%, 12/15/2041 | | | 3,353 | | | | 2,460 | |
4.55%, 07/01/2030 | | | 40,930 | | | | 36,367 | |
4.60%, 06/15/2043 | | | 1,248 | | | | 951 | |
4.65%, 08/01/2028 | | | 100 | | | | 93 | |
4.75%, 02/15/2044 | | | 11,506 | | | | 8,820 | |
4.95%, 07/01/2050 | | | 4,288 | | | | 3,421 | |
5.25%, 03/01/2052 | | | 5,800 | | | | 4,777 | |
5.90%, 06/15/2032 | | | 2,900 | | | | 2,803 | |
PECO Energy Co. | | | | | | | | |
2.85%, 09/15/2051 | | | 2,757 | | | | 2,022 | |
Pennsylvania Electric Co. | | | | | | | | |
3.25%, 03/15/2028(1) | | | 200 | | | | 186 | |
PG&E Wildfire Recovery Funding LLC | | | | | | | | |
4.26%, 06/01/2036 | | | 3,170 | | | | 3,188 | |
4.38%, 06/01/2039 | | | 3,510 | | | | 3,461 | |
4.45%, 12/01/2047 | | | 18,300 | | | | 18,431 | |
4.67%, 12/01/2051 | | | 4,100 | | | | 4,092 | |
Piedmont Natural Gas Co., Inc. | | | | | | | | |
2.50%, 03/15/2031 | | | 12,028 | | | | 10,136 | |
5.05%, 05/15/2052 | | | 4,100 | | | | 4,009 | |
| | | | | | | | |
Promigas SA ESP | | | | | | | | |
3.75%, 10/16/2029(6) | | | 378 | | | | 305 | |
3.75%, 10/16/2029(1) | | | 584 | | | | 471 | |
Public Service Co. of New Mexico | | | | | | | | |
3.85%, 08/01/2025 | | | 7,000 | | | | 6,885 | |
Public Service Electric & Gas Co. | | | | | | | | |
3.20%, 05/15/2029 | | | 3,781 | | | | 3,600 | |
Southern California Edison Co. | | | | | | | | |
1.20%, 02/01/2026 | | | 2,506 | | | | 2,242 | |
2.50%, 06/01/2031 | | | 4,537 | | | | 3,807 | |
3.70%, 08/01/2025 | | | 7,162 | | | | 7,045 | |
Southern Co. | | | | | | | | |
3.25%, 07/01/2026 | | | 1,258 | | | | 1,204 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
4.40%, 05/30/2047 | | | 1,915 | | | | 1,669 | |
5.88%, 03/15/2041 | | | 7,873 | | | | 8,290 | |
Southwestern Electric Power Co. | | | | | | | | |
4.10%, 09/15/2028 | | | 10,000 | | | | 9,659 | |
Southwestern Public Service Co. | | | | | | | | |
3.15%, 05/01/2050 | | | 997 | | | | 761 | |
Spire, Inc. | | | | | | | | |
3.54%, 02/27/2024 | | | 5,000 | | | | 4,922 | |
Tampa Electric Co. | | | | | | | | |
3.45%, 03/15/2051 | | | 614 | | | | 483 | |
Tucson Electric Power Co. | | | | | | | | |
3.05%, 03/15/2025 | | | 3,000 | | | | 2,936 | |
Virginia Electric & Power Co. | | | | | | | | |
4.00%, 01/15/2043 | | | 2,725 | | | | 2,384 | |
Vistra Operations Co. LLC | | | | | | | | |
3.55%, 07/15/2024(1) | | | 8,385 | | | | 8,093 | |
3.70%, 01/30/2027(1) | | | 6,435 | | | | 5,923 | |
4.30%, 07/15/2029(1) | | | 7,285 | | | | 6,597 | |
5.00%, 07/31/2027(1) | | | 712 | | | | 647 | |
5.13%, 05/13/2025(1) | | | 8,879 | | | | 8,792 | |
5.50%, 09/01/2026(1) | | | 548 | | | | 518 | |
5.63%, 02/15/2027(1) | | | 713 | | | | 670 | |
| | | | | | | | |
Total Utilities | | | | 605,014 | |
| | | | | | | | |
Total Corporate Bonds (Cost: $11,593,979) | | | | | | | 10,070,961 | |
| | | | | | | | |
Convertible Securities – 0.26% | | | | |
Communications – 0.11% | | | | |
DISH Network Corp. | | | | | | | | |
0.00%, 12/15/2025 | | | 2,700 | | | | 1,890 | |
2.38%, 03/15/2024 | | | 7,520 | | | | 6,618 | |
3.38%, 08/15/2026 | | | 25,080 | | | | 16,941 | |
Uber Technologies, Inc. | | | | | | | | |
0.00%, 12/15/2025 | | | 10,515 | | | | 8,388 | |
| | | | | | | | |
Total Communications | | | | 33,837 | |
| | | | | | | | |
Consumer, Cyclical – 0.03% | | | | |
GOL Equity Finance SA | | | | | | | | |
3.75%, 07/15/2024(1) | | | 200 | | | | 146 | |
Peloton Interactive, Inc. | | | | | | | | |
0.00%, 02/15/2026 | | | 1,975 | | | | 1,244 | |
Southwest Airlines Co. | | | | | | | | |
1.25%, 05/01/2025 | | | 7,400 | | | | 8,714 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 10,104 | |
| | | | | | | | |
Consumer, Non-cyclical – 0.12% | | | | |
BioMarin Pharmaceutical, Inc. | | | | | | | | |
0.60%, 08/01/2024 | | | 10,090 | | | | 9,989 | |
1.25%, 05/15/2027 | | | 10,100 | | | | 10,037 | |
Livongo Health, Inc. | | | | | | | | |
0.88%, 06/01/2025 | | | 5,435 | | | | 4,571 | |
Teladoc Health, Inc. | | | | | | | | |
1.25%, 06/01/2027 | | | 16,800 | | | | 12,306 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 36,903 | |
| | | | | | | | |
Total Convertible Securities (Cost: $100,662) | | | | | | | 80,844 | |
| | | | | | | | |
Government Related – 23.79% | | | | |
Other Government Related – 1.96% | | | | |
Abu Dhabi Government International Bond | | | | | | | | |
2.50%, 09/30/2029 | | | 2,541 | | | | 2,333 | |
2.70%, 09/02/2070(1) | | | 6,171 | | | | 4,125 | |
3.88%, 04/16/2050 | | | 4,200 | | | | 3,729 | |
Africa Finance Corp. | | | | | | | | |
3.88%, 04/13/2024(1) | | | 1,085 | | | | 1,061 | |
Airport Authority | | | | | | | | |
3.25%, 01/12/2052(1) | | | 10,310 | | | | 8,176 | |
American Municipal Power, Inc. | | | | | | | | |
8.08%, 02/15/2050 | | | 1,070 | | | | 1,570 | |
Angolan Government International Bond | | | | | | | | |
8.75%, 04/14/2032(1) | | | 703 | | | | 560 | |
Argentina Bocon | | | | | | | | |
47.33% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(2) | | ARS | 3,900 | | | | 7 | |
Argentina Treasury Bond BONCER | | | | | | | | |
1.40%, 03/25/2023 | | | 486,637 | | | | 9,288 | |
1.45%, 08/13/2023 | | | 718,535 | | | | 11,588 | |
| | | | | | | | |
Argentine Bonos del Tesoro | | | | | | | | |
15.50%, 10/17/2026 | | | 110,804 | | | | 296 | |
Argentine Republic Government International Bond | | | | | | | | |
0.50%, 07/09/2030(5) | | $ | 25,484 | | | | 5,981 | |
1.00%, 07/09/2029 | | | 1,109 | | | | 252 | |
1.13%, 07/09/2035(5) | | | 6,568 | | | | 1,414 | |
1.13%, 07/09/2046(5) | | | 115 | | | | 26 | |
2.00%, 01/09/2038(5) | | | 261 | | | | 74 | |
2.50%, 07/09/2041(5) | | | 12,427 | | | | 3,327 | |
Bay Area Toll Authority | | | | | | | | |
7.04%, 04/01/2050 | | | 2,790 | | | | 3,835 | |
Brazil Notas do Tesouro Nacional Serie F | | | | | | | | |
10.00%, 01/01/2025 | | BRL | 185,230 | | | | 33,357 | |
Brazilian Government International Bond | | | | | | | | |
2.88%, 06/06/2025 | | $ | 2,300 | | | | 2,168 | |
3.88%, 06/12/2030 | | | 4,400 | | | | 3,685 | |
4.63%, 01/13/2028 | | | 600 | | | | 560 | |
California State University | | | | | | | | |
2.37%, 11/01/2035 | | | 5,520 | | | | 4,404 | |
Chile Government International Bond | | | | | | | | |
2.45%, 01/31/2031 | | | 1,849 | | | | 1,577 | |
2.55%, 01/27/2032 | | | 2,270 | | | | 1,927 | |
City of New York NY | | | | | | | | |
1.92%, 08/01/2031 | | | 4,350 | | | | 3,595 | |
2.05%, 03/01/2032 | | | 2,480 | | | | 2,054 | |
3.55%, 12/01/2028 | | | 3,645 | | | | 3,551 | |
City of San Antonio TX Electric & Gas Systems Revenue | | | | | | | | |
5.81%, 02/01/2041 | | | 1,315 | | | | 1,536 | |
City of San Francisco CA Public Utilities Commission Water Revenue | | | | | | | | |
2.19%, 11/01/2032 | | | 1,610 | | | | 1,355 | |
2.83%, 11/01/2041 | | | 6,380 | | | | 5,072 | |
Ciudad Autonoma de Buenos Aires/Government Bonds | | | | | | | | |
52.23% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 02/22/2028(2) | | ARS | 401,380 | | | | 3,173 | |
53.71% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/29/2024(2) | | | 314,346 | | | | 2,523 | |
Colombia Government International Bond | | | | | | | | |
3.00%, 01/30/2030 | | $ | 3,730 | | | | 2,838 | |
3.13%, 04/15/2031 | | | 650 | | | | 479 | |
4.13%, 02/22/2042 | | | 427 | | | | 265 | |
4.13%, 05/15/2051 | | | 676 | | | | 405 | |
4.50%, 01/28/2026 | | | 2,192 | | | | 2,056 | |
4.50%, 03/15/2029 | | | 2,372 | | | | 2,046 | |
Colombian TES | | | | | | | | |
7.00%, 03/26/2031 | | COP | 3,722,000 | | | | 679 | |
7.25%, 10/18/2034 | | | 3,280,000 | | | | 570 | |
Commonwealth of Puerto Rico | | | | | | | | |
0.00%, 07/01/2024 | | $ | 167 | | | | 153 | |
0.00%, 07/01/2033 | | | 418 | | | | 235 | |
0.00%, 11/01/2043(11) | | | 1,615 | | | | 803 | |
4.00%, 07/01/2033 | | | 325 | | | | 298 | |
4.00%, 07/01/2035 | | | 292 | | | | 261 | |
4.00%, 07/01/2037 | | | 251 | | | | 222 | |
4.00%, 07/01/2041 | | | 248 | | | | 215 | |
5.25%, 07/01/2023 | | | 363 | | | | 369 | |
County of Miami-Dade FL Aviation Revenue | | | | | | | | |
2.61%, 10/01/2032 | | | 900 | | | | 767 | |
2.71%, 10/01/2033 | | | 1,290 | | | | 1,093 | |
3.45%, 10/01/2030 | | | 600 | | | | 562 | |
Croatia Government International Bond | | | | | | | | |
6.00%, 01/26/2024 | | | 1,253 | | | | 1,290 | |
Dominican Republic International Bond | | | | | | | | |
4.50%, 01/30/2030(1) | | | 3,830 | | | | 3,066 | |
4.88%, 09/23/2032 | | | 2,500 | | | | 1,924 | |
5.50%, 02/22/2029(1) | | | 1,275 | | | | 1,108 | |
Egypt Government International Bond | | | | | | | | |
5.25%, 10/06/2025 | | | 400 | | | | 327 | |
7.60%, 03/01/2029(1) | | | 1,550 | | | | 1,128 | |
Ghana Government International Bond | | | | | | | | |
7.63%, 05/16/2029(6) | | | 464 | | | | 225 | |
Golden State Tobacco Securitization Corp. | | | | | | | | |
2.25%, 06/01/2029 | | | 1,300 | | | | 1,149 | |
3.00%, 06/01/2046 | | | 530 | | | | 466 | |
3.49%, 06/01/2036 | | | 1,600 | | | | 1,344 | |
3.85%, 06/01/2050 | | | 2,800 | | | | 2,523 | |
4.21%, 06/01/2050 | | | 7,900 | | | | 6,430 | |
Guatemala Government Bond | | | | | | | | |
3.70%, 10/07/2033 | | | 700 | | | | 538 | |
4.90%, 06/01/2030 | | | 2,500 | | | | 2,276 | |
Hungary Government International Bond | | | | | | | | |
2.13%, 09/22/2031(1) | | | 3,700 | | | | 2,855 | |
5.50%, 06/16/2034(1) | | | 1,290 | | | | 1,250 | |
Indonesia Government International Bond | | | | | | | | |
2.85%, 02/14/2030 | | | 3,783 | | | | 3,376 | |
3.05%, 03/12/2051 | | | 3,490 | | | | 2,652 | |
Israel Government International Bond | | | | | | | | |
4.50%, 04/03/2120 | | | 1,400 | | | | 1,266 | |
Israel Makam Bill | | | | | | | | |
0.00%, 10/07/2022 | | ILS | 5,300 | | | | 1,514 | |
| | | | | | | | |
Ivory Coast Government International Bond | | | | | | | | |
6.63%, 03/22/2048(6) | | EUR | 633 | | | | 442 | |
Los Angeles Community College District | | | | | | | | |
6.60%, 08/01/2042 | | $ | 955 | | | | 1,212 | |
Los Angeles Department of Water & Power Water System Revenue | | | | | | | | |
6.01%, 07/01/2039 | | | 675 | | | | 758 | |
Los Angeles Unified School District | | | | | | | | |
5.75%, 07/01/2034 | | | 2,510 | | | | 2,788 | |
6.76%, 07/01/2034 | | | 2,990 | | | | 3,572 | |
Massachusetts School Building Authority | | | | | | | | |
2.50%, 02/15/2037 | | | 4,495 | | | | 3,568 | |
Metropolitan Transportation Authority | | | | | | | | |
5.18%, 11/15/2049 | | | 2,065 | | | | 2,131 | |
5.87%, 11/15/2039 | | | 300 | | | | 334 | |
6.67%, 11/15/2039 | | | 140 | | | | 167 | |
6.81%, 11/15/2040 | | | 310 | | | | 375 | |
Mexican Bonos | | | | | | | | |
6.75%, 03/09/2023 | | MXN | 320,418 | | | | 15,650 | |
8.50%, 11/18/2038 | | | 707,857 | | | | 33,375 | |
Mexico Government International Bond | | | | | | | | |
2.66%, 05/24/2031 | | $ | 11,851 | | | | 9,753 | |
3.75%, 01/11/2028 | | | 4,850 | | | | 4,644 | |
4.40%, 02/12/2052 | | | 1,640 | | | | 1,232 | |
4.50%, 04/22/2029 | | | 773 | | | | 751 | |
4.50%, 01/31/2050 | | | 7,786 | | | | 6,061 | |
4.75%, 04/27/2032 | | | 1,100 | | | | 1,055 | |
Municipal Electric Authority of Georgia | | | | | | | | |
6.64%, 04/01/2057 | | | 983 | | | | 1,154 | |
New Jersey Turnpike Authority | | | | | | | | |
1.86%, 01/01/2031 | | | 2,370 | | | | 1,991 | |
7.41%, 01/01/2040 | | | 941 | | | | 1,249 | |
New York City Municipal Water Finance Authority | | | | | | | | |
5.88%, 06/15/2044 | | | 500 | | | | 606 | |
6.01%, 06/15/2042 | | | 255 | | | | 311 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
2.40%, 11/01/2032 | | | 2,580 | | | | 2,184 | |
2.69%, 05/01/2033 | | | 1,275 | | | | 1,097 | |
2.80%, 02/01/2026 | | | 1,850 | | | | 1,804 | |
3.95%, 08/01/2032 | | | 1,900 | | | | 1,855 | |
5.27%, 05/01/2027 | | | 5,820 | | | | 6,195 | |
New York State Dormitory Authority | | | | | | | | |
5.05%, 09/15/2027 | | | 1,800 | | | | 1,894 | |
5.29%, 03/15/2033 | | | 830 | | | | 885 | |
Oman Government International Bond | | | | | | | | |
5.63%, 01/17/2028 | | | 3,300 | | | | 3,173 | |
Panama Government International Bond | | | | | | | | |
2.25%, 09/29/2032 | | | 2,200 | | | | 1,714 | |
3.16%, 01/23/2030 | | | 6,109 | | | | 5,425 | |
3.88%, 03/17/2028 | | | 3,108 | | | | 2,959 | |
4.50%, 04/01/2056 | | | 3,232 | | | | 2,561 | |
Paraguay Government International Bond | | | | | | | | |
4.70%, 03/27/2027 | | | 2,030 | | | | 1,944 | |
4.95%, 04/28/2031(1) | | | 1,200 | | | | 1,108 | |
Peru Government Bond | | | | | | | | |
5.94%, 02/12/2029 | | PEN | 21,282 | | | | 5,075 | |
6.15%, 08/12/2032 | | | 15,829 | | | | 3,653 | |
6.95%, 08/12/2031 | | | 5,192 | | | | 1,287 | |
Peruvian Government International Bond | | | | | | | | |
2.78%, 01/23/2031 | | $ | 720 | | | | 612 | |
2.84%, 06/20/2030 | | | 1,370 | | | | 1,192 | |
3.55%, 03/10/2051 | | | 2,819 | | | | 2,103 | |
4.13%, 08/25/2027 | | | 5,606 | | | | 5,483 | |
5.94%, 02/12/2029 | | PEN | 10,087 | | | | 2,405 | |
5.94%, 02/12/2029(1) | | | 11,100 | | | | 2,647 | |
6.15%, 08/12/2032(1) | | | 2,030 | | | | 468 | |
6.35%, 08/12/2028(1) | | | 12,544 | | | | 3,088 | |
6.90%, 08/12/2037(1) | | | 780 | | | | 184 | |
6.95%, 08/12/2031 | | | 1,183 | | | | 293 | |
6.95%, 08/12/2031(1) | | | 10,939 | | | | 2,711 | |
8.20%, 08/12/2026(1) | | | 15,908 | | | | 4,345 | |
Philippine Government International Bond | | | | | | | | |
1.65%, 06/10/2031 | | $ | 563 | | | | 451 | |
1.95%, 01/06/2032 | | | 1,000 | | | | 814 | |
2.46%, 05/05/2030 | | | 3,387 | | | | 2,950 | |
3.00%, 02/01/2028 | | | 3,452 | | | | 3,260 | |
3.20%, 07/06/2046 | | | 3,645 | | | | 2,724 | |
Port Authority of New York & New Jersey | | | | | | | | |
4.93%, 10/01/2051 | | | 425 | | | | 454 | |
4.96%, 08/01/2046 | | | 1,010 | | | | 1,053 | |
5.65%, 11/01/2040 | | | 825 | | | | 924 | |
Province of Quebec Canada | | | | | | | | |
0.60%, 07/23/2025 | | | 7,535 | | | | 6,969 | |
Provincia de Buenos Aires/Government Bonds | | | | | | | | |
49.10% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 04/12/2025(1)(2) | | ARS | 1,284,476 | | | | 10,130 | |
Puerto Rico Electric Power Authority | | | | | | | | |
6.05%, 07/01/2032(10) | | $ | 100 | | | | 80 | |
| | | | | | | | |
Qatar Government International Bond | | | | | | | | |
3.75%, 04/16/2030 | | | 1,350 | | | | 1,338 | |
4.50%, 04/23/2028 | | | 3,159 | | | | 3,270 | |
Regents of the University of California Medical Center Pooled Revenue | | | | | | | | |
3.26%, 05/15/2060 | | | 11,545 | | | | 8,581 | |
Republic of South Africa Government Bond | | | | | | | | |
8.00%, 01/31/2030 | | ZAR | 43,000 | | | | 2,294 | |
8.25%, 03/31/2032 | | | 60,400 | | | | 3,106 | |
8.75%, 02/28/2048 | | | 16,700 | | | | 789 | |
8.88%, 02/28/2035 | | | 43,200 | | | | 2,225 | |
10.50%, 12/21/2026 | | | 1,668,900 | | | | 108,523 | |
Republic of South Africa Government International Bond | | | | | | | | |
4.30%, 10/12/2028 | | $ | 1,534 | | | | 1,309 | |
4.85%, 09/30/2029 | | | 7,935 | | | | 6,765 | |
4.88%, 04/14/2026 | | | 700 | | | | 663 | |
5.88%, 04/20/2032 | | | 2,000 | | | | 1,706 | |
7.30%, 04/20/2052 | | | 1,472 | | | | 1,174 | |
Romanian Government International Bond | | | | | | | | |
1.75%, 07/13/2030(1) | | EUR | 16,100 | | | | 12,002 | |
2.75%, 04/14/2041(1) | | | 8,300 | | | | 5,067 | |
2.88%, 04/13/2042(1) | | | 11,800 | | | | 7,224 | |
3.00%, 02/14/2031 | | $ | 3,400 | | | | 2,613 | |
Russian Federal Bond - OFZ | | | | | | | | |
6.10%, 07/18/2035 | | RUB | 279,032 | | | | 431 | |
Russian Foreign Bond - Eurobond | | | | | | | | |
4.25%, 06/23/2027 | | $ | 1,000 | | | | 200 | |
5.10%, 03/28/2035 | | | 200 | | | | 50 | |
5.25%, 06/23/2047(1) | | | 200 | | | | 40 | |
5.25%, 06/23/2047 | | | 4,000 | | | | 800 | |
5.63%, 04/04/2042 | | | 1,200 | | | | 372 | |
5.88%, 09/16/2043 | | | 2,600 | | | | 572 | |
Saudi Government International Bond | | | | | | | | |
3.25%, 10/26/2026 | | | 2,800 | | | | 2,734 | |
3.25%, 10/22/2030 | | | 990 | | | | 931 | |
3.63%, 03/04/2028 | | | 3,080 | | | | 3,037 | |
Serbia International Bond | | | | | | | | |
1.65%, 03/03/2033(1) | | EUR | 3,200 | | | | 2,096 | |
3.13%, 05/15/2027(1) | | | 1,998 | | | | 1,829 | |
State of California | | | | | | | | |
4.60%, 04/01/2038 | | $ | 395 | | | | 399 | |
7.55%, 04/01/2039 | | | 2,705 | | | | 3,669 | |
State of Illinois | | | | | | | | |
5.10%, 06/01/2033 | | | 5,530 | | | | 5,564 | |
6.73%, 04/01/2035 | | | 70 | | | | 74 | |
7.35%, 07/01/2035 | | | 55 | | | | 60 | |
State of Israel | | | | | | | | |
3.80%, 05/13/2060 | | | 16,900 | | | | 14,052 | |
State of Texas | | | | | | | | |
5.52%, 04/01/2039 | | | 1,720 | | | | 1,947 | |
Turkey Government International Bond | | | | | | | | |
3.25%, 03/23/2023 | | | 2,050 | | | | 1,984 | |
4.25%, 03/13/2025 | | | 400 | | | | 343 | |
4.63%, 03/31/2025 | | EUR | 3,700 | | | | 3,581 | |
5.75%, 05/11/2047 | | $ | 2,800 | | | | 1,720 | |
7.63%, 04/26/2029 | | | 11,900 | | | | 10,012 | |
Turkiye Ihracat Kredi Bankasi AS | | | | | | | | |
8.25%, 01/24/2024(1) | | | 1,000 | | | | 980 | |
University of California | | | | | | | | |
4.86%, 05/15/2112 | | | 743 | | | | 706 | |
University of Michigan | | | | | | | | |
3.50%, 04/01/2052 | | | 5,300 | | | | 4,688 | |
Uruguay Government International Bond | | | | | | | | |
4.38%, 10/27/2027 | | | 1,783 | | | | 1,806 | |
4.38%, 01/23/2031 | | | 3,170 | | | | 3,203 | |
5.10%, 06/18/2050 | | | 1,868 | | | | 1,876 | |
Venezuela Government International Bond | | | | | | | | |
6.00%, 12/09/2049(10) | | | 30 | | | | 2 | |
7.00%, 03/31/2038(10) | | | 187 | | | | 15 | |
7.65%, 04/21/2025(10) | | | 534 | | | | 44 | |
7.75%, 10/13/2099(10) | | | 100 | | | | 7 | |
8.25%, 10/13/2024(10) | | | 7,294 | | | | 584 | |
9.00%, 05/07/2023(10) | | | 110 | | | | 9 | |
9.00%, 05/07/2023(10) | | | 7,405 | | | | 592 | |
9.25%, 09/15/2027(10) | | | 1,049 | | | | 87 | |
9.25%, 05/07/2028(10) | | | 420 | | | | 35 | |
11.75%, 10/21/2026(10) | | | 120 | | | | 10 | |
11.95%, 08/05/2031(10) | | | 3,200 | | | | 264 | |
| | | | | | | | |
Total Other Government Related | | | | | | | 612,588 | |
| | | | | | | | |
U.S. Treasury Obligations – 21.83% | | | | | | | | |
U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.13%, 04/15/2027(12) | | | 136,085 | | | | 133,985 | |
0.13%, 07/15/2030(12) | | | 10,171 | | | | 9,700 | |
0.13%, 02/15/2052(12) | | | 23,358 | | | | 18,123 | |
0.25%, 07/15/2029(12)(13) | | | 40,606 | | | | 39,373 | |
0.25%, 02/15/2050(12) | | | 3,846 | | | | 3,035 | |
0.63%, 02/15/2043(12) | | | 377 | | | | 333 | |
0.75%, 02/15/2042(12) | | | 640 | | | | 585 | |
0.75%, 02/15/2045(12) | | | 4,297 | | | | 3,847 | |
| | | | | | | | |
0.88%, 02/15/2047(12) | | | 4,312 | | | | 3,983 | |
1.00%, 02/15/2046(12) | | | 2,440 | | | | 2,312 | |
1.00%, 02/15/2048(12) | | | 3,869 | | | | 3,692 | |
1.00%, 02/15/2049(12) | | | 6,445 | | | | 6,201 | |
1.38%, 02/15/2044(12) | | | 620 | | | | 634 | |
2.13%, 02/15/2040(12) | | | 268 | | | | 312 | |
2.13%, 02/15/2041(12) | | | 396 | | | | 460 | |
U.S. Treasury Note/Bond | | | | | | | | |
0.13%, 08/31/2022 | | | 186,755 | | | | 186,309 | |
0.13%, 09/30/2022 | | | 78,645 | | | | 78,318 | |
0.13%, 12/31/2022(13) | | | 57,430 | | | | 56,744 | |
0.13%, 02/28/2023 | | | 97,570 | | | | 95,912 | |
0.13%, 04/30/2023 | | | 111,785 | | | | 109,270 | |
0.13%, 08/31/2023 | | | 100,725 | | | | 97,448 | |
0.25%, 04/15/2023 | | | 64,441 | | | | 63,145 | |
0.25%, 09/30/2023 | | | 237,345 | | | | 229,520 | |
0.25%, 03/15/2024 | | | 64,441 | | | | 61,529 | |
0.38%, 10/31/2023 | | | 33,975 | | | | 32,834 | |
0.38%, 09/15/2024 | | | 64,441 | | | | 60,821 | |
0.38%, 04/30/2025 | | | 95,425 | | | | 88,563 | |
0.50%, 03/15/2023 | | | 64,441 | | | | 63,439 | |
0.50%, 11/30/2023 | | | 124,500 | | | | 120,269 | |
0.50%, 03/31/2025 | | | 95,425 | | | | 89,058 | |
0.50%, 04/30/2027 | | | 48,605 | | | | 43,019 | |
0.50%, 05/31/2027 | | | 48,605 | | | | 42,924 | |
0.63%, 03/31/2027 | | | 48,605 | | | | 43,389 | |
0.75%, 08/31/2026 | | | 95,425 | | | | 86,859 | |
0.88%, 01/31/2024 | | | 68,555 | | | | 66,338 | |
0.88%, 09/30/2026 | | | 95,425 | | | | 87,150 | |
0.88%, 11/15/2030 | | | 78,150 | | | | 65,985 | |
1.13%, 02/29/2028 | | | 76,082 | | | | 68,408 | |
1.13%, 05/15/2040 | | | 25,840 | | | | 17,987 | |
1.13%, 08/15/2040 | | | 25,840 | | | | 17,852 | |
1.25%, 03/31/2028 | | | 298,605 | | | | 269,771 | |
1.25%, 08/15/2031 | | | 14,846 | | | | 12,780 | |
1.38%, 11/15/2031 | | | 403,700 | | | | 350,147 | |
1.38%, 11/15/2040 | | | 25,840 | | | | 18,610 | |
1.38%, 08/15/2050 | | | 73,900 | | | | 48,644 | |
1.50%, 02/15/2030 | | | 14,846 | | | | 13,335 | |
1.63%, 05/15/2031 | | | 14,846 | | | | 13,265 | |
1.75%, 08/15/2041 | | | 25,840 | | | | 19,656 | |
1.88%, 02/28/2027 | | | 110,900 | | | | 105,268 | |
1.88%, 02/15/2032 | | | 198,230 | | | | 179,584 | |
1.88%, 02/15/2051 | | | 38,400 | | | | 28,805 | |
2.00%, 11/15/2041 | | | 836,527 | | | | 664,385 | |
2.00%, 08/15/2051 | | | 36,035 | | | | 27,850 | |
2.25%, 08/15/2049 | | | 116,300 | | | | 95,425 | |
2.25%, 02/15/2052 | | | 264,765 | | | | 217,893 | |
2.38%, 02/15/2042 | | | 60,090 | | | | 50,954 | |
2.38%, 05/15/2051 | | | 36,035 | | | | 30,420 | |
2.50%, 04/30/2024 | | | 18,015 | | | | 17,858 | |
2.50%, 05/31/2024 | | | 139,070 | | | | 137,815 | |
2.50%, 02/15/2045 | | | 49,400 | | | | 41,897 | |
2.63%, 05/31/2027 | | | 153,485 | | | | 150,583 | |
2.75%, 05/15/2025 | | | 88,860 | | | | 88,180 | |
2.75%, 11/15/2047 | | | 36,285 | | | | 32,506 | |
2.88%, 06/15/2025 | | | 185,235 | | | | 184,497 | |
2.88%, 05/15/2032 | | | 1,292,013 | | | | 1,277,478 | |
2.88%, 05/15/2052 | | | 215,583 | | | | 203,625 | |
3.00%, 06/30/2024 | | | 8,235 | | | | 8,239 | |
3.00%, 05/15/2045 | | | 30,000 | | | | 27,827 | |
3.00%, 02/15/2048 | | | 51,835 | | | | 48,838 | |
3.00%, 08/15/2048 | | | 10,405 | | | | 9,832 | |
3.00%, 02/15/2049 | | | 64,740 | | | | 61,693 | |
3.13%, 05/15/2048 | | | 12,780 | | | | 12,368 | |
3.25%, 06/30/2027 | | | 190,210 | | | | 192,068 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 6,841,761 | |
| | | | | | | | |
Total Government Related (Cost: $8,014,376) | | | | | | | 7,454,349 | |
| | | | | | | | |
Mortgage-Backed Obligations – 29.47% | | | | |
1211 Avenue of the Americas Trust 2015-1211 | | | | | | | | |
3.90%, 08/10/2035, Series 2015-1211, Class A1A2(1) | | | 4,300 | | | | 4,149 | |
280 Park Avenue 2017-280P Mortgage Trust | | | | | | | | |
2.07% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034, Series 2017-280P, Class A(1)(2) | | | 1,316 | | | | 1,290 | |
Ajax Mortgage Loan Trust 2019-F | | | | | | | | |
2.86%, 07/25/2059, Series 2019-F, Class A1(1)(5) | | | 13,839 | | | | 13,369 | |
Alen 2021-ACEN Mortgage Trust | | | | | | | | |
2.47% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 04/15/2034, Series 2021-ACEN, Class A(1)(2) | | | 11,160 | | | | 10,717 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
5.75%, 12/25/2033, Series 2003-22CB, Class 1A1 | | | 387 | | | | 371 | |
6.00%, 12/25/2033, Series 2003-22CB, Class 3A1 | | | 118 | | | | 114 | |
Alternative Loan Trust 2004-16CB | | | | | | | | |
5.50%, 07/25/2034, Series 2004-16CB, Class 1A1 | | | 189 | | | | 183 | |
5.50%, 08/25/2034, Series 2004-16CB, Class 3A1 | | | 200 | | | | 195 | |
Alternative Loan Trust 2005-56 | | | | | | | | |
3.08% (1 Month LIBOR USD + 1.46%, 1.46% Floor), 11/25/2035, Series 2005-56, Class 1A1(2) | | | 3,515 | | | | 3,260 | |
| | | | | | | | |
Alternative Loan Trust 2005-74T1 | | | | | | | | |
6.00%, 01/25/2036, Series 2005-74T1, Class A1 | | | 8,599 | | | | 5,926 | |
Alternative Loan Trust 2006-HY12 | | | | | | | | |
3.36%, 08/25/2036, Series 2006-HY12, Class A5(4) | | | 153 | | | | 144 | |
Alternative Loan Trust 2006-OA17 | | | | | | | | |
1.81% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046, Series 2006-OA17, Class 1A1A(2) | | | 11,009 | | | | 9,187 | |
Alternative Loan Trust 2006-OA22 | | | | | | | | |
2.04% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 02/25/2047, Series 2006-OA22, Class A2(2) | | | 9,965 | | | | 8,819 | |
Alternative Loan Trust 2006-OA3 | | | | | | | | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 05/25/2036, Series 2006-OA3, Class 1A1(2) | | | 4,295 | | | | 3,714 | |
Alternative Loan Trust 2006-OA7 | | | | | | | | |
1.42% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046, Series 2006-OA7, Class 2A1(2) | | | 9,274 | | | | 7,719 | |
Alternative Loan Trust 2006-OC5 | | | | | | | | |
2.14% (1 Month LIBOR USD + 0.52%, 0.52% Floor), 06/25/2046, Series 2006-OC5, Class 2A3(2) | | | 6,688 | | | | 5,880 | |
Alternative Loan Trust 2007-5CB | | | | | | | | |
6.00%, 04/25/2037, Series 2007-5CB, Class 1A4 | | | 13,163 | | | | 8,426 | |
Alternative Loan Trust 2007-HY7C | | | | | | | | |
1.90% (1 Month LIBOR USD + 0.28%, 0.28% Floor), 08/25/2037, Series 2007-HY7C, Class A1(2) | | | 2,014 | | | | 1,852 | |
Alternative Loan Trust 2007-OA2 | | | | | | | | |
1.32% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047, Series 2007-OA2, Class 1A1(2) | | | 17,631 | | | | 15,125 | |
1.88% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2047, Series 2007-OA2, Class 2A1(2) | | | 9,787 | | | | 7,711 | |
Alternative Loan Trust 2007-OA4 | | | | | | | | |
1.96% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 05/25/2047, Series 2007-OA4, Class A1(2) | | | 1,399 | | | | 1,222 | |
Angel Oak Mortgage Trust 2020-5 | | | | | | | | |
2.04%, 05/25/2065, Series 2020-5, Class A3(1)(4) | | | 732 | | | | 695 | |
2.97%, 05/25/2065, Series 2020-5, Class M1(1)(4) | | | 2,480 | | | | 2,294 | |
Angel Oak Mortgage Trust 2021-1 | | | | | | | | |
1.22%, 01/25/2066, Series 2021-1, Class A3(1)(4) | | | 3,246 | | | | 2,965 | |
Angel Oak Mortgage Trust 2021-3 | | | | | | | | |
1.31%, 05/25/2066, Series 2021-3, Class A2(1)(4) | | | 3,518 | | | | 3,173 | |
Angel Oak Mortgage Trust 2022-1 | | | | | | | | |
2.88%, 12/25/2066, Series 2022-1, Class A1(1)(5) | | | 7,579 | | | | 7,158 | |
Angel Oak Mortgage Trust 2022-2 | | | | | | | | |
3.35%, 01/25/2067, Series 2022-2, Class A1(1)(4) | | | 39,864 | | | | 38,223 | |
Angel Oak Mortgage Trust I LLC 2019-1 | | | | | | | | |
3.92%, 11/25/2048, Series 2019-1, Class A1(1)(4) | | | 433 | | | | 431 | |
Angel Oak Mortgage Trust I LLC 2019-2 | | | | | | | | |
4.07%, 03/25/2049, Series 2019-2, Class M1(1)(4) | | | 3,460 | | | | 3,410 | |
AREIT 2022-CRE6 Trust | | | | | | | | |
2.02% (30-day Average SOFR + 1.25%, 1.25% Floor), 01/16/2037, Series 2022-CRE6, Class A(1)(2) | | | 9,650 | | | | 9,266 | |
Ashford Hospitality Trust 2018-KEYS | | | | | | | | |
2.78% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 06/15/2035, Series 2018-KEYS, Class B(1)(2) | | | 3,000 | | | | 2,883 | |
Austin Fairmont Hotel Trust 2019-FAIR | | | | | | | | |
2.57% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 09/15/2032, Series 2019-FAIR, Class B(1)(2) | | | 2,155 | | | | 2,090 | |
2.77% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 09/15/2032, Series 2019-FAIR, Class C(1)(2) | | | 5,500 | | | | 5,306 | |
3.80% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/15/2032, Series 2019-FAIR, Class D(1)(2) | | | 10,000 | | | | 9,522 | |
Aventura Mall Trust | | | | | | | | |
4.25%, 07/05/2040, Series 2018-AVM, Class A(1)(4) | | | 5,325 | | | | 5,030 | |
BAMLL Commercial Mortgage Securities Trust 2018-DSNY | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 09/15/2034, Series 2018-DSNY, Class C(1)(2) | | | 1,800 | | | | 1,710 | |
BAMLL Commercial Mortgage Securities Trust 2018-PARK | | | | | | | | |
4.23%, 08/10/2038, Series 2018-PARK, Class A(1)(4) | | | 6,575 | | | | 6,359 | |
BAMLL Re-REMIC Trust 2016-RRLD11 | | | | | | | | |
6.02%, 06/17/2050, Series 2016-LD11, Class AJB(1)(4) | | | 100 | | | | 33 | |
Banc of America Funding 2015-R7 Trust | | | | | | | | |
1.24% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046, Series 2015-R7, Class 1A1(1)(2) | | | 351 | | | | 348 | |
Banc of America Funding 2015-R8 Trust | | | | | | | | |
1.16%, 11/26/2046, Series 2015-R8, Class 1A1(1)(4) | | | 157 | | | | 157 | |
Banc of America Funding 2015-R9 Trust | | | | | | | | |
1.83% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/26/2037, Series 2015-R9, Class 2A1(1)(2) | | | 5,270 | | | | 5,183 | |
BANK 2021-BNK35 | | | | | | | | |
2.46%, 06/15/2064, Series 2021-BN35, Class AS | | | 6,770 | | | | 5,560 | |
BANK 2021-BNK37 | | | | | | | | |
2.62%, 11/15/2064, Series 2021-BN37, Class A5(4) | | | 1,277 | | | | 1,114 | |
Bayview MSR Opportunity Master Fund Trust 2021-INV4 | | | | | | | | |
2.50%, 10/25/2051, Series 2021-4, Class A20(1)(4) | | | 5,549 | | | | 4,606 | |
BBCCRE Trust 2015-GTP | | | | | | | | |
4.70%, 08/10/2033, Series 2015-GTP, Class C(1)(4) | | | 2,715 | | | | 2,551 | |
BBCMS 2017-DELC Mortgage Trust | | | | | | | | |
2.52% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 08/15/2036, Series 2017-DELC, Class C(1)(2) | | | 13,718 | | | | 13,235 | |
BBCMS Mortgage Trust 2021-C12 | | | | | | | | |
2.69%, 11/15/2054, Series 2021-C12, Class A5 | | | 1,192 | | | | 1,041 | |
BBCMS Mortgage Trust 2022-C16 | | | | | | | | |
4.60%, 06/15/2055, Series 2022-C16, Class A5(4) | | | 1,730 | | | | 1,767 | |
BBSG 2016-MRP Mortgage Trust | | | | | | | | |
3.28%, 06/05/2036, Series 2016-MRP, Class A(1) | | | 2,045 | | | | 1,874 | |
BB-UBS Trust | | | | | | | | |
2.89%, 06/05/2030, Series 2012-TFT, Class A(1) | | | 1,086 | | | | 1,060 | |
BCAP LLC 2014-RR2 | | | | | | | | |
1.49% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/26/2036, Series 2014-RR2, Class 6A8(1)(2) | | | 11,701 | | | | 11,283 | |
Bear Stearns ALT-A Trust 2005-1 | | | | | | | | |
2.75% (1 Month LIBOR USD + 1.13%, 1.13% Floor, 11.50% Cap), 01/25/2035, Series 2005-1, Class M2(2) | | | 6,027 | | | | 6,257 | |
Bear Stearns ARM Trust 2003-3 | | | | | | | | |
3.00%, 05/25/2033, Series 2003-3, Class 3A1(4) | | | 367 | | | | 355 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | | | | | | | | |
5.66%, 10/12/2041, Series 2006-T24, Class B(1)(4) | | | 509 | | | | 485 | |
Bear Stearns Mortgage Funding Trust 2007-AR4 | | | | | | | | |
1.83% (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap), 06/25/2037, Series 2007-AR4, Class 2A1(2) | | | 9,396 | | | | 8,756 | |
| | | | | | | | |
Benchmark 2018-B1 Mortgage Trust | | | | | | | | |
3.88%, 01/15/2051, Series 2018-B1, Class AM(4) | | | 2,050 | | | | 1,938 | |
Benchmark 2022-B34 Mortgage Trust | | | | | | | | |
3.79%, 04/15/2055, Series 2022-B34, Class A5(4) | | | 1,483 | | | | 1,419 | |
Benchmark 2022-B35 Mortgage Trust | | | | | | | | |
4.59%, 05/15/2055, Series 2022-B35, Class A5(4) | | | 1,070 | | | | 1,082 | |
BFLD 2019-DPLO | | | | | | | | |
2.86% (1 Month LIBOR USD + 1.54%, 1.54% Floor), 10/15/2034, Series 2019-DPLO, Class C(1)(2) | | | 4,650 | | | | 4,486 | |
BFLD Trust 2020-OBRK | | | | | | | | |
3.37% (1 Month LIBOR USD + 2.05%, 2.05% Floor), 11/15/2028, Series 2020-OBRK,
Class A(1)(2) | | | 13,350 | | | | 13,175 | |
BINOM Securitization Trust 2022-RPL1 | | | | | | | | |
3.00%, 02/25/2061, Series 2022-RPL1, Class M1(1)(4) | | | 8,591 | | | | 7,865 | |
BMO 2022-C2 Mortgage Trust | | | | | | | | |
4.97%, 07/15/2054, Series 2022-C2, Class A5(4) | | | 783 | | | | 811 | |
BOCA Commercial Mortgage Trust 2022-BOCA | | | | | | | | |
2.27% (1 Month Term SOFR + 1.77%, 1.77% Floor), 05/15/2039, Series 2022-BOCA, Class A(1)(2) | | | 1,587 | | | | 1,555 | |
BPR Trust 2021-NRD | | | | | | | | |
3.46% (1 Month Term SOFR + 2.12%, 2.12% Floor), 12/15/2023, Series 2021-NRD, Class B(1)(2) | | | 2,815 | | | | 2,712 | |
3.76% (1 Month Term SOFR + 2.42%, 2.42% Floor), 12/15/2023, Series 2021-NRD, Class C(1)(2) | | | 2,880 | | | | 2,755 | |
5.06% (1 Month Term SOFR + 3.72%, 3.72% Floor), 12/15/2023, Series 2021-NRD, Class D(1)(2) | | | 1,770 | | | | 1,679 | |
BPR Trust 2022-OANA | | | | | | | | |
3.18% (1 Month Term SOFR + 1.90%, 1.90% Floor), 04/15/2037, Series 2022-OANA, Class A(1)(2) | | | 25,012 | | | | 24,500 | |
Braemar Hotels & Resorts Trust 2018-Prime | | | | | | | | |
2.37% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 06/15/2035, Series 2018-PRME,
Class B(1)(2) | | | 3,000 | | | | 2,887 | |
Brass NO 8 Plc | | | | | | | | |
2.11% (3 Month LIBOR USD + 0.70%), 11/16/2066, Series 8A, Class A1(1)(2) | | | 708 | | | | 708 | |
BRAVO Residential Funding Trust 2022-NQM1 | | | | | | | | |
3.63%, 09/25/2061, Series 2022-NQM1, Class A1(1)(4) | | | 4,391 | | | | 4,244 | |
BX Commercial Mortgage Trust 2019-XL | | | | | | | | |
2.24% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 10/15/2036, Series 2019-XL, Class A(1)(2) | | | 15,746 | | | | 15,469 | |
BX Commercial Mortgage Trust 2020-VIVA | | | | | | | | |
3.67%, 03/11/2044, Series 2020-VIVA, Class D(1)(4) | | | 5,500 | | | | 4,438 | |
BX Commercial Mortgage Trust 2022-AHP | | | | | | | | |
3.12% (1 Month Term SOFR + 1.84%, 1.84% Floor), 01/17/2039, Series 2022-AHP, Class B(1)(2) | | | 13,508 | | | | 13,002 | |
BX Commercial Mortgage Trust 2022-CSMO | | | | | | | | |
2.86% (1 Month Term SOFR + 2.11%, 2.12% Floor), 06/15/2027, Series 2022-CSMO, Class A(1)(2) | | | 20,460 | | | | 20,179 | |
3.89% (1 Month Term SOFR + 3.14%, 3.14% Floor), 06/15/2027, Series 2022-CSMO, Class B(1)(2) | | | 12,065 | | | | 11,854 | |
BX Trust 2018-GW | | | | | | | | |
2.12% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/15/2035, Series 2018-GW, Class A(1)(2) | | | 2,485 | | | | 2,416 | |
BX Trust 2019-OC11 | | | | | | | | |
3.20%, 12/09/2041, Series 2019-OC11, Class A(1) | | | 7,400 | | | | 6,612 | |
4.08%, 12/09/2041, Series 2019-OC11, Class E(1)(4) | | | 1,300 | | | | 1,044 | |
BX Trust 2021-RISE | | | | | | | | |
3.07% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 11/15/2036, Series 2021-RISE, Class D(1)(2) | | | 3,240 | | | | 3,001 | |
BXP Trust 2017-GM | | | | | | | | |
3.38%, 06/13/2039, Series 2017-GM, Class A(1) | | | 3,800 | | | | 3,550 | |
CAFL 2021-RTL1 Issuer LLC | | | | | | | | |
2.24%, 03/28/2029, Series 2021-RTL1, Class A1(1)(5) | | | 8,260 | | | | 7,736 | |
CALI Mortgage Trust 2019-101C | | | | | | | | |
3.96%, 03/10/2039, Series 2019-101C, Class A(1) | | | 5,010 | | | | 4,750 | |
Canterbury Finance NO 1 Plc | | | | | | | | |
1.95% (Sterling Overnight Index Average + 1.35%), 05/16/2056, Series 1, Class A2(2) | | GBP | 6,566 | | | | 7,992 | |
Cassia 2022-1 SRL | | | | | | | | |
0.00% (3 Month EURIBOR + 2.50%, 2.50% Floor), 05/22/2034, Series 2022-1A, Class A(1)(2)(3) | | EUR | 2,506 | | | | 2,497 | |
Century Plaza Towers 2019-CPT | | | | | | | | |
2.87%, 11/13/2039, Series 2019-CPT, Class A(1) | | $ | 5,185 | | | | 4,527 | |
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R | | | | | | | | |
6.00%, 08/25/2037, Series 2008-3R, Class 1A1(1) | | | 4,591 | | | | 2,731 | |
CIM Trust 2018-R5 | | | | | | | | |
3.75%, 07/25/2058, Series 2018-R5, Class A1(1)(4) | | | 5,417 | | | | 5,396 | |
CIM Trust 2018-R6 | | | | | | | | |
2.14% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058, Series 2018-R6, Class A1(1)(2) | | | 7,567 | | | | 7,386 | |
CIM Trust 2019-R3 | | | | | | | | |
2.63%, 06/25/2058, Series 2019-R3, Class A(1)(4) | | | 12,945 | | | | 11,876 | |
CIM Trust 2019-R4 | | | | | | | | |
3.00%, 10/25/2059, Series 2019-R4, Class A1(1)(4) | | | 15,436 | | | | 14,417 | |
CIM Trust 2020-R1 | | | | | | | | |
2.85%, 10/27/2059, Series 2020-R1, Class A1(1)(4) | | | 21,307 | | | | 19,610 | |
CIM Trust 2020-R6 | | | | | | | | |
2.25%, 12/25/2060, Series 2020-R6, Class A1A(1)(4) | | | 12,682 | | | | 11,356 | |
CIM Trust 2020-R7 | | | | | | | | |
2.25%, 12/27/2061, Series 2020-R7, Class A1A(1)(4) | | | 20,914 | | | | 18,696 | |
CIM Trust 2021-INV1 | | | | | | | | |
2.50%, 07/01/2051, Series 2021-INV1, Class A8(1)(4) | | | 4,788 | | | | 4,385 | |
CIM Trust 2021-NR2 | | | | | | | | |
2.57%, 07/25/2059, Series 2021-NR2, Class A1(1)(5) | | | 7,313 | | | | 6,962 | |
CIM Trust 2021-NR3 | | | | | | | | |
2.57%, 06/25/2057, Series 2021-NR3, Class A1(1)(5) | | | 12,737 | | | | 12,068 | |
CIM Trust 2021-R1 | | | | | | | | |
2.40%, 08/25/2056, Series 2021-R1, Class A2(1)(4) | | | 21,673 | | | | 19,401 | |
CIM Trust 2021-R2 | | | | | | | | |
2.50%, 01/25/2057, Series 2021-R2, Class A2(1)(4) | | | 9,831 | | | | 9,292 | |
CIM Trust 2021-R3 | | | | | | | | |
1.95%, 06/25/2057, Series 2021-R3, Class A1A(1)(4) | | | 32,720 | | | | 29,671 | |
CIM Trust 2021-R4 | | | | | | | | |
2.00%, 05/01/2061, Series 2021-R4, Class A1A(1)(4) | | | 33,026 | | | | 30,014 | |
| | | | | | | | |
CIM Trust 2021-R5 | | | | | | | | |
2.00%, 08/25/2061, Series 2021-R5, Class A1A(1)(4) | | | 25,572 | | | | 21,781 | |
CIM Trust 2022-I1 | | | | | | | | |
4.35%, 02/25/2067, Series 2022-I1, Class A1(1)(4) | | | 23,000 | | | | 22,623 | |
CIM TRUST 2022-R2 | | | | | | | | |
3.75%, 12/25/2061, Series 2022-R2, Class A1(1)(4) | | | 37,401 | | | | 36,275 | |
Citigroup Commercial Mortgage Trust 2013-375P | | | | | | | | |
3.63%, 05/10/2035, Series 2013-375P, Class C(1)(4) | | | 9,030 | | | | 8,652 | |
Citigroup Commercial Mortgage Trust 2017-P7 | | | | | | | | |
3.92%, 04/14/2050, Series 2017-P7, Class AS | | | 1,418 | | | | 1,369 | |
Citigroup Mortgage Loan Trust 2019-RP1 | | | | | | | | |
3.50%, 01/25/2066, Series 2019-RP1, Class A1(1)(4) | | | 1,823 | | | | 1,774 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2.50%, 08/25/2050, Series 2020-EXP2, Class A4(1)(4) | | | 1,287 | | | | 1,127 | |
Clavis Securities Plc | | | | | | | | |
1.76% (3 Month LIBOR GBP + 0.17%), 12/15/2032, Series 2007-1, Class A3A(2) | | GBP | 780 | | | | 907 | |
Cold Storage Trust 2020-ICE5 | | | | | | | | |
2.97% (1 Month LIBOR USD + 1.65%, 1.43% Floor), 11/15/2037, Series 2020-ICE5,
Class C(1)(2)(6) | | $ | 3,534 | | | | 3,436 | |
COLT 2020-3 Mortgage Loan Trust | | | | | | | | |
1.51%, 04/27/2065, Series 2020-3, Class A1(1)(4) | | | 586 | | | | 562 | |
COLT 2021-5 Mortgage Loan Trust | | | | | | | | |
1.73%, 11/26/2066, Series 2021-5, Class A1(1)(4) | | | 18,150 | | | | 16,456 | |
COLT 2022-4 Mortgage Loan Trust | | | | | | | | |
4.30%, 03/25/2067, Series 2022-4, Class A1(1)(4) | | | 27,293 | | | | 26,959 | |
COLT 2022-5 Mortgage Loan Trust | | | | | | | | |
4.55%, 04/25/2067, Series 2022-5, Class A1(1)(4) | | | 34,679 | | | | 34,247 | |
COMM 2012-CCRE3 Mortgage Trust | | | | | | | | |
3.42%, 10/15/2045, Series 2012-CR3, Class AM(1) | | | 4,535 | | | | 4,513 | |
Comm 2013-CCRE13 Mortgage Trust | | | | | | | | |
5.04%, 11/10/2046, Series 2013-CR13, Class C(4) | | | 7,470 | | | | 7,309 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.70%, 08/10/2048, Series 2015-CR24, Class A5 | | | 1,990 | | | | 1,958 | |
COMM 2015-DC1 Mortgage Trust | | | | | | | | |
3.72%, 02/10/2048, Series 2015-DC1, Class AM | | | 2,495 | | | | 2,429 | |
COMM 2017-COR2 Mortgage Trust | | | | | | | | |
3.51%, 09/10/2050, Series 2017-COR2, Class A3 | | | 3,110 | | | | 2,998 | |
COMM 2017-PANW Mortgage Trust | | | | | | | | |
3.53%, 10/10/2029, Series 2017-PANW, Class B(1)(4) | | | 1,285 | | | | 1,227 | |
COMM 2020-CBM Mortgage Trust | | | | | | | | |
3.40%, 02/10/2037, Series 2020-CBM, Class C(1) | | | 5,150 | | | | 4,797 | |
Commercial Mortgage Pass-Through Certificates | | | | | | | | |
3.40%, 10/05/2030, Series 2012-LTRT, Class A2(1) | | | 770 | | | | 741 | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | |
2.44%, 02/25/2061, Series 2021-RPL9, Class A1(1)(4) | | | 16,078 | | | | 14,966 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4 | | | | | | | | |
2.30% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 05/15/2036, Series 2019-ICE4, Class A(1)(2) | | | 18,943 | | | | 18,633 | |
CRSNT Trust 2021-MOON | | | | | | | | |
2.53% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 04/15/2036, Series 2021-MOON, Class B(1)(2) | | | 20,000 | | | | 19,071 | |
2.88% (1 Month LIBOR USD + 1.55%, 1.55% Floor), 04/15/2036, Series 2021-MOON, Class C(1)(2) | | | 12,000 | | | | 11,391 | |
Csail 2015-C2 Commercial Mortgage Trust | | | | | | | | |
3.85%, 06/15/2057, Series 2015-C2, Class AS(4) | | | 5,670 | | | | 5,462 | |
CSAIL 2016-C6 Commercial Mortgage Trust | | | | | | | | |
3.09%, 01/15/2049, Series 2016-C6, Class A5 | | | 840 | | | | 805 | |
CSAIL 2019-C17 Commercial Mortgage Trust | | | | | | | | |
2.76%, 09/15/2052, Series 2019-C17, Class A4 | | | 6,050 | | | | 5,412 | |
3.28%, 09/15/2052, Series 2019-C17, Class AS | | | 2,625 | | | | 2,377 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | | | | | | | | |
5.75%, 11/25/2033, Series 2003-27, Class 4A4 | | | 67 | | | | 67 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.18%, 09/15/2037, Series 2014-USA, Class B(1) | | | 5,255 | | | | 4,836 | |
4.34%, 09/15/2037, Series 2014-USA, Class C(1) | | | 400 | | | | 355 | |
4.37%, 09/15/2037, Series 2014-USA, Class D(1) | | | 6,175 | | | | 5,184 | |
CSMC 2020-NET | | | | | | | | |
2.26%, 08/15/2037, Series 2020-NET, Class A(1) | | | 2,741 | | | | 2,528 | |
3.53%, 08/15/2037, Series 2020-NET, Class C(1) | | | 4,405 | | | | 4,049 | |
CSMC 2020-RPL3 Trust | | | | | | | | |
2.69%, 03/25/2060, Series 2020-RPL3, Class A1(1)(4) | | | 8,807 | | | | 8,538 | |
CSMC 2020-RPL5 Trust | | | | | | | | |
3.02%, 08/25/2060, Series 2020-RPL5, Class A1(1)(4) | | | 2,694 | | | | 2,599 | |
CSMC 2021-ADV | | | | | | | | |
3.63% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 07/15/2038, Series 2021-ADV, Class C(1)(2) | | | 1,650 | | | | 1,554 | |
CSMC 2021-NQM8 | | | | | | | | |
1.84%, 10/25/2066, Series 2021-NQM8, Class A1(1)(4) | | | 13,304 | | | | 11,927 | |
CSMC 2021-RPL11 Trust | | | | | | | | |
3.76%, 10/25/2061, Series 2021-RP11, Class PT(1)(4) | | | 28,692 | | | | 25,745 | |
CSMC 2021-RPL3 Trust | | | | | | | | |
3.75%, 01/25/2060, Series 2021-RPL3, Class M2(1) | | | 995 | | | | 893 | |
CSMC 2021-RPL4 Trust | | | | | | | | |
1.80%, 12/27/2060, Series 2021-RPL4, Class A1(1)(4) | | | 10,094 | | | | 9,492 | |
CSMC 2022-NQM1 | | | | | | | | |
2.27%, 11/25/2066, Series 2022-NQM1, Class A1(1)(4) | | | 16,176 | | | | 14,328 | |
CSMC 2022-RPL1 Trust | | | | | | | | |
4.23%, 04/25/2061, Series 2022-RPL1, Class PT(1)(4) | | | 32,112 | | | | 30,901 | |
CSMC 2022-RPL3 Trust | | | | | | | | |
3.61%, 03/25/2061, Series 2022-RPL3, Class A1(1)(4) | | | 42,330 | | | | 41,213 | |
CSMC Trust 2013-5R | | | | | | | | |
1.41% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036, Series 2013-5R, Class 1A6(1)(2) | | | 758 | | | | 765 | |
| | | | | | | | |
CSMCM 2021-RPL11 Trust | | | | | | | | |
3.78%, 10/27/2061, Series 2021-RP11, Class CERT(1) | | | 1,239 | | | | 1,068 | |
CSMCM 2022-RPL1 Trust | | | | | | | | |
4.23%, 04/25/2061, Series 2022-RPL1, Class CERT(1) | | | 1,400 | | | | 1,348 | |
DBCG 2017-BBG Mortgage Trust | | | | | | | | |
2.03% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034, Series 2017-BBG, Class A(1)(2) | | | 2,645 | | | | 2,585 | |
DBGS 2018-5BP Mortgage Trust | | | | | | | | |
2.82% (1 Month LIBOR USD + 1.50%, 1.35% Floor), 06/15/2033, Series 2018-5BP, Class D(1)(2) | | | 5,171 | | | | 4,859 | |
DBUBS 2017-BRBK Mortgage Trust | | | | | | | | |
3.65%, 10/10/2034, Series 2017-BRBK, Class D(1)(4) | | | 2,540 | | | | 2,391 | |
DC Office Trust 2019-MTC | | | | | | | | |
2.97%, 09/15/2045, Series 2019-MTC, Class A(1) | | | 12,545 | | | | 11,041 | |
Deephaven Residential Mortgage Trust 2021-2 | | | | | | | | |
1.21%, 04/25/2066, Series 2021-2, Class A2(1)(4) | | | 2,438 | | | | 2,230 | |
Deephaven Residential Mortgage Trust 2022-2 | | | | | | | | |
4.30%, 03/25/2067, Series 2022-2, Class A1(1)(4) | | | 10,769 | | | | 10,453 | |
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-2 | | | | | | | | |
2.02% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035, Series 2005-2, Class 1A1(2) | | | 3,075 | | | | 2,858 | |
Eleven Madison Trust 2015-11MD Mortgage Trust | | | | | | | | |
3.67%, 09/10/2035, Series 2015-11MD, Class A(1)(4) | | | 870 | | | | 841 | |
Ellington Financial Mortgage Trust 2019-2 | | | | | | | | |
2.74%, 11/25/2059, Series 2019-2, Class A1(1)(4) | | | 1,460 | | | | 1,414 | |
3.05%, 11/25/2059, Series 2019-2, Class A3(1)(4) | | | 896 | | | | 867 | |
Ellington Financial Mortgage Trust 2020-2 | | | | | | | | |
1.18%, 10/25/2065, Series 2020-2, Class A1(1)(4) | | | 3,639 | | | | 3,503 | |
Ellington Financial Mortgage Trust 2021-2 | | | | | | | | |
1.09%, 06/25/2066, Series 2021-2, Class A2(1)(4) | | | 4,612 | | | | 4,147 | |
Ellington Financial Mortgage Trust 2021-3 | | | | | | | | |
1.24%, 09/25/2066, Series 2021-3, Class A1(1)(4) | | | 4,812 | | | | 4,226 | |
Ellington Financial Mortgage Trust 2022-1 | | | | | | | | |
2.21%, 01/25/2067, Series 2022-1, Class A1(1)(4) | | | 15,899 | | | | 14,492 | |
EOS European Loan Conduit No 35 DAC | | | | | | | | |
1.00% (3 Month EURIBOR + 1.00%, 1.00% Floor, 6.00% Cap), 04/23/2029, Series 35A,
Class A(1)(2) | | EUR | 582 | | | | 602 | |
Eurosail-UK 2007-5np Plc | | | | | | | | |
2.36% (3 Month LIBOR GBP + 0.77%), 09/13/2045, Series 2007-5X, Class A1A(2) | | GBP | 7,925 | | | | 9,011 | |
Eurosail-UK 2007-6nc Plc | | | | | | | | |
2.29% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045, Series 2007-6NCX, Class A3A(2) | | | 181 | | | | 215 | |
Extended Stay America Trust 2021-ESH | | | | | | | | |
2.41% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038, Series 2021-ESH, Class A(1)(2) | | $ | 76,271 | | | | 74,355 | |
3.03% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 07/15/2038, Series 2021-ESH, Class C(1)(2) | | | 2,833 | | | | 2,740 | |
3.58% (1 Month LIBOR USD + 2.25%, 2.25% Floor), 07/15/2038, Series 2021-ESH, Class D(1)(2) | | | 1,849 | | | | 1,784 | |
Fannie Mae | | | | | | | | |
1.50%, 07/01/2036(14) | | | 28,436 | | | | 25,857 | |
1.50%, 07/01/2052(14) | | | 28,300 | | | | 23,484 | |
2.00%, 06/01/2037(14) | | | 79,785 | | | | 74,468 | |
2.00%, 07/01/2052(14) | | | 261,987 | | | | 227,315 | |
2.00%, 08/01/2052(14) | | | 493,125 | | | | 427,401 | |
2.50%, 07/01/2037(14) | | | 46,601 | | | | 44,499 | |
2.50%, 07/01/2052(14) | | | 283,065 | | | | 254,515 | |
2.50%, 08/01/2052(14) | | | 647,823 | | | | 581,706 | |
3.00%, 07/01/2037(14) | | | 1,596 | | | | 1,559 | |
3.00%, 07/01/2052(14) | | | 270,912 | | | | 252,266 | |
3.00%, 08/01/2052(14) | | | 49,275 | | | | 45,826 | |
3.50%, 07/01/2052(14) | | | 185,264 | | | | 178,157 | |
3.50%, 08/01/2052(14) | | | 343,224 | | | | 329,628 | |
4.00%, 07/01/2052(14) | | | 241,729 | | | | 238,363 | |
4.50%, 07/01/2052(14) | | | 71,935 | | | | 72,208 | |
5.00%, 07/01/2052(14) | | | 15,361 | | | | 15,678 | |
5.00%, 08/01/2052(14) | | | 8,468 | | | | 8,618 | |
Fannie Mae Pool | | | | | | | | |
1.50%, 11/01/2041 | | | 40,323 | | | | 34,552 | |
1.50%, 12/01/2041 | | | 20,683 | | | | 17,718 | |
2.00%, 10/01/2040 | | | 6,507 | | | | 5,819 | |
2.00%, 11/01/2040 | | | 19,774 | | | | 17,683 | |
2.00%, 05/01/2041 | | | 6,835 | | | | 6,111 | |
2.00%, 06/01/2041 | | | 27,079 | | | | 24,210 | |
2.00%, 12/01/2041 | | | 3,194 | | | | 2,855 | |
2.00%, 02/01/2042 | | | 1,517 | | | | 1,356 | |
2.00%, 03/01/2042 | | | 14,426 | | | | 12,824 | |
2.00%, 04/01/2042 | | | 2,239 | | | | 2,001 | |
2.00%, 09/01/2050 | | | 2,582 | | | | 2,251 | |
2.00%, 10/01/2050 | | | 4,636 | | | | 4,052 | |
2.00%, 12/01/2050 | | | 1,112 | | | | 973 | |
2.00%, 12/01/2050 | | | 3,519 | | | | 3,071 | |
2.00%, 02/01/2051 | | | 3,830 | | | | 3,340 | |
2.00%, 03/01/2051 | | | 1,265 | | | | 1,106 | |
2.00%, 03/01/2051 | | | 2,283 | | | | 1,993 | |
2.00%, 04/01/2051 | | | 799 | | | | 699 | |
2.00%, 04/01/2051 | | | 1,411 | | | | 1,235 | |
2.00%, 04/01/2051 | | | 2,273 | | | | 1,984 | |
2.00%, 04/01/2051 | | | 2,665 | | | | 2,331 | |
2.00%, 08/01/2051 | | | 9,347 | | | | 8,150 | |
2.00%, 08/01/2051 | | | 10,781 | | | | 9,399 | |
2.00%, 10/01/2051 | | | 45,520 | | | | 39,618 | |
2.00%, 11/01/2051 | | | 373 | | | | 324 | |
2.00%, 11/01/2051 | | | 1,335 | | | | 1,168 | |
2.00%, 11/01/2051 | | | 1,725 | | | | 1,508 | |
2.00%, 11/01/2051 | | | 3,149 | | | | 2,746 | |
| | | | | | | | |
2.00%, 11/01/2051 | | | 4,625 | | | | 4,036 | |
2.00%, 11/01/2051 | | | 5,251 | | | | 4,585 | |
2.00%, 11/01/2051 | | | 5,970 | | | | 5,204 | |
2.00%, 12/01/2051 | | | 796 | | | | 700 | |
2.00%, 12/01/2051 | | | 1,757 | | | | 1,532 | |
2.00%, 12/01/2051 | | | 2,685 | | | | 2,342 | |
2.00%, 12/01/2051 | | | 4,084 | | | | 3,560 | |
2.00%, 12/01/2051 | | | 4,133 | | | | 3,603 | |
2.00%, 12/01/2051 | | | 6,108 | | | | 5,316 | |
2.00%, 01/01/2052 | | | 990 | | | | 864 | |
2.00%, 01/01/2052 | | | 2,925 | | | | 2,551 | |
2.00%, 01/01/2052 | | | 3,206 | | | | 2,796 | |
2.00%, 01/01/2052 | | | 3,692 | | | | 3,220 | |
2.00%, 01/01/2052 | | | 4,984 | | | | 4,359 | |
2.00%, 01/01/2052 | | | 111,129 | | | | 96,882 | |
2.00%, 02/01/2052 | | | 1,895 | | | | 1,654 | |
2.00%, 02/01/2052 | | | 2,261 | | | | 1,972 | |
2.00%, 02/01/2052 | | | 4,290 | | | | 3,741 | |
2.00%, 02/01/2052 | | | 9,516 | | | | 8,296 | |
2.00%, 02/01/2052 | | | 18,313 | | | | 15,965 | |
2.00%, 02/01/2052 | | | 29,728 | | | | 25,831 | |
2.00%, 03/01/2052 | | | 2,362 | | | | 2,060 | |
2.00%, 03/01/2052 | | | 3,413 | | | | 2,975 | |
2.00%, 03/01/2052 | | | 6,245 | | | | 5,444 | |
2.46%, 04/01/2040 | | | 8,775 | | | | 6,917 | |
2.50%, 11/01/2031 | | | 1,014 | | | | 995 | |
2.50%, 01/01/2032 | | | 856 | | | | 839 | |
2.50%, 02/01/2035 | | | 2,485 | | | | 2,437 | |
2.50%, 07/01/2050 | | | 3,499 | | | | 3,192 | |
2.50%, 07/01/2050 | | | 5,395 | | | | 4,901 | |
2.50%, 07/01/2050 | | | 5,451 | | | | 4,951 | |
2.50%, 07/01/2050 | | | 5,461 | | | | 4,961 | |
2.50%, 08/01/2050 | | | 1,732 | | | | 1,578 | |
2.50%, 08/01/2050 | | | 5,728 | | | | 5,203 | |
2.50%, 08/01/2050 | | | 6,932 | | | | 6,297 | |
2.50%, 11/01/2050 | | | 1,233 | | | | 1,125 | |
2.50%, 11/01/2050 | | | 3,963 | | | | 3,615 | |
2.50%, 01/01/2051 | | | 957 | | | | 869 | |
2.50%, 02/01/2051 | | | 4,913 | | | | 4,433 | |
2.50%, 02/01/2051 | | | 22,404 | | | | 20,218 | |
2.50%, 02/01/2051 | | | 31,269 | | | | 28,218 | |
2.50%, 11/01/2051 | | | 2,526 | | | | 2,297 | |
2.50%, 01/01/2052 | | | 2,803 | | | | 2,550 | |
2.50%, 01/01/2052 | | | 4,465 | | | | 4,036 | |
2.50%, 01/01/2052 | | | 4,890 | | | | 4,437 | |
2.50%, 01/01/2052 | | | 5,943 | | | | 5,386 | |
2.50%, 01/01/2052 | | | 5,946 | | | | 5,392 | |
2.50%, 01/01/2052 | | | 6,710 | | | | 6,089 | |
2.50%, 01/01/2052 | | | 7,409 | | | | 6,703 | |
2.50%, 01/01/2052 | | | 8,990 | | | | 8,146 | |
2.50%, 02/01/2052 | | | 1,031 | | | | 937 | |
2.50%, 02/01/2052 | | | 1,478 | | | | 1,341 | |
2.50%, 02/01/2052 | | | 5,258 | | | | 4,766 | |
2.50%, 02/01/2052 | | | 6,249 | | | | 5,660 | |
3.00%, 02/01/2030 | | | 3,754 | | | | 3,729 | |
3.00%, 03/01/2030 | | | 4,118 | | | | 4,099 | |
3.00%, 09/01/2030 | | | 1,212 | | | | 1,208 | |
3.00%, 04/01/2031 | | | 5,342 | | | | 5,337 | |
3.00%, 06/01/2032 | | | 615 | | | | 610 | |
3.00%, 09/01/2032 | | | 1,215 | | | | 1,202 | |
3.00%, 10/01/2032 | | | 4,530 | | | | 4,490 | |
3.00%, 12/01/2032 | | | 1,304 | | | | 1,293 | |
3.00%, 12/01/2032 | | | 2,780 | | | | 2,770 | |
3.00%, 10/01/2033 | | | 1,119 | | | | 1,099 | |
3.00%, 11/01/2033 | | | 3,653 | | | | 3,626 | |
3.00%, 02/01/2034 | | | 2,005 | | | | 1,987 | |
3.00%, 12/01/2034 | | | 2,987 | | | | 2,951 | |
3.00%, 01/01/2035 | | | 1,072 | | | | 1,059 | |
3.00%, 01/01/2035 | | | 1,949 | | | | 1,925 | |
3.00%, 02/01/2035 | | | 1,747 | | | | 1,726 | |
3.00%, 02/01/2035 | | | 2,861 | | | | 2,829 | |
3.00%, 11/01/2035 | | | 4,502 | | | | 4,493 | |
3.00%, 11/01/2036 | | | 859 | | | | 846 | |
3.00%, 11/01/2036 | | | 1,139 | | | | 1,118 | |
3.00%, 12/01/2036 | | | 1,124 | | | | 1,099 | |
3.00%, 03/01/2038 | | | 925 | | | | 891 | |
3.00%, 01/01/2043 | | | 1,307 | | | | 1,249 | |
3.00%, 02/01/2043 | | | 2,058 | | | | 1,967 | |
3.00%, 04/01/2043 | | | 1,497 | | | | 1,430 | |
3.00%, 06/01/2043 | | | 1,614 | | | | 1,542 | |
3.00%, 08/01/2043 | | | 4,611 | | | | 4,404 | |
3.00%, 09/01/2043 | | | 746 | | | | 712 | |
3.00%, 07/01/2045 | | | 3,041 | | | | 2,893 | |
3.00%, 05/01/2046 | | | 3,733 | | | | 3,538 | |
3.00%, 07/01/2046 | | | 901 | | | | 852 | |
3.00%, 09/01/2046 | | | 2,990 | | | | 2,858 | |
3.00%, 10/01/2046 | | | 1,078 | | | | 1,022 | |
| | | | | | | | |
3.00%, 11/01/2046 | | | 226 | | | | 214 | |
3.00%, 11/01/2046 | | | 789 | | | | 746 | |
3.00%, 11/01/2046 | | | 1,055 | | | | 998 | |
3.00%, 11/01/2046 | | | 1,058 | | | | 1,001 | |
3.00%, 11/01/2046 | | | 1,124 | | | | 1,064 | �� |
3.00%, 11/01/2046 | | | 2,573 | | | | 2,436 | |
3.00%, 01/01/2047 | | | 1,131 | | | | 1,069 | |
3.00%, 01/01/2047 | | | 8,040 | | | | 7,609 | |
3.00%, 04/01/2047 | | | 1,038 | | | | 983 | |
3.00%, 04/01/2047 | | | 1,323 | | | | 1,249 | |
3.00%, 06/01/2047 | | | 1,489 | | | | 1,411 | |
3.00%, 08/01/2047 | | | 6,589 | | | | 6,247 | |
3.00%, 11/01/2047 | | | 2,591 | | | | 2,450 | |
3.00%, 04/01/2048 | | | 11,999 | | | | 11,455 | |
3.00%, 09/01/2048 | | | 870 | | | | 825 | |
3.00%, 02/01/2049 | | | 1,231 | | | | 1,166 | |
3.00%, 08/01/2049 | | | 1,210 | | | | 1,142 | |
3.00%, 08/01/2049 | | | 24,538 | | | | 22,882 | |
3.00%, 09/01/2049 | | | 16,358 | | | | 15,388 | |
3.00%, 09/01/2049 | | | 20,346 | | | | 19,094 | |
3.00%, 10/01/2049 | | | 32,666 | | | | 30,637 | |
3.00%, 11/01/2049 | | | 24,043 | | | | 22,562 | |
3.00%, 03/01/2050 | | | 1,223 | | | | 1,141 | |
3.00%, 03/01/2050 | | | 8,199 | | | | 7,661 | |
3.00%, 07/01/2050 | | | 2,210 | | | | 2,070 | |
3.00%, 07/01/2050 | | | 27,343 | | | | 25,691 | |
3.00%, 08/01/2050 | | | 1,208 | | | | 1,129 | |
3.00%, 08/01/2050 | | | 2,203 | | | | 2,058 | |
3.00%, 10/01/2050 | | | 3,819 | | | | 3,568 | |
3.00%, 04/01/2051 | | | 9,673 | | | | 9,093 | |
3.00%, 03/01/2052 | | | 145 | | | | 135 | |
3.00%, 03/01/2052 | | | 281 | | | | 263 | |
3.00%, 03/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 03/01/2052 | | | 45,988 | | | | 42,883 | |
3.00%, 04/01/2052 | | | 276 | | | | 258 | |
3.00%, 04/01/2052 | | | 371 | | | | 347 | |
3.00%, 04/01/2052 | | | 536 | | | | 500 | |
3.00%, 04/01/2052 | | | 2,563 | | | | 2,392 | |
3.00%, 04/01/2052 | | | 7,260 | | | | 6,769 | |
3.00%, 04/01/2052 | | | 74,036 | | | | 69,036 | |
3.00%, 05/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 05/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 05/01/2052 | | | 1,234 | | | | 1,151 | |
3.00%, 05/01/2052 | | | 10,999 | | | | 10,258 | |
3.00%, 06/01/2052 | | | 500 | | | | 467 | |
3.00%, 06/01/2052 | | | 1,000 | | | | 932 | |
3.00%, 06/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 06/01/2052 | | | 2,226 | | | | 2,075 | |
3.00%, 06/01/2052 | | | 4,766 | | | | 4,448 | |
3.00%, 06/01/2052 | | | 68,660 | | | | 64,076 | |
3.00%, 07/01/2052 | | | 44,838 | | | | 41,814 | |
3.50%, 11/01/2032 | | | 833 | | | | 835 | |
3.50%, 09/01/2033 | | | 3,000 | | | | 2,998 | |
3.50%, 12/01/2033 | | | 2,630 | | | | 2,627 | |
3.50%, 07/01/2034 | | | 2,570 | | | | 2,572 | |
3.50%, 01/01/2038 | | | 2,181 | | | | 2,145 | |
3.50%, 09/01/2042 | | | 79 | | | | 77 | |
3.50%, 12/01/2042 | | | 529 | | | | 518 | |
3.50%, 12/01/2042 | | | 757 | | | | 740 | |
3.50%, 06/01/2043 | | | 712 | | | | 700 | |
3.50%, 06/01/2043 | | | 1,034 | | | | 1,013 | |
3.50%, 08/01/2043 | | | 53 | | | | 52 | |
3.50%, 01/01/2044 | | | 2,488 | | | | 2,433 | |
3.50%, 06/01/2045 | | �� | 789 | | | | 771 | |
3.50%, 06/01/2045 | | | 1,010 | | | | 990 | |
3.50%, 07/01/2045 | | | 1,103 | | | | 1,080 | |
3.50%, 09/01/2045 | | | 1,745 | | | | 1,714 | |
3.50%, 11/01/2045 | | | 2,112 | | | | 2,065 | |
3.50%, 02/01/2046 | | | 4,137 | | | | 4,045 | |
3.50%, 06/01/2046 | | | 1,313 | | | | 1,290 | |
3.50%, 06/01/2046 | | | 1,620 | | | | 1,584 | |
3.50%, 06/01/2046 | | | 1,751 | | | | 1,713 | |
3.50%, 09/01/2046 | | | 1,856 | | | | 1,815 | |
3.50%, 12/01/2046 | | | 686 | | | | 670 | |
3.50%, 01/01/2047 | | | 2,188 | | | | 2,140 | |
3.50%, 01/01/2047 | | | 7,041 | | | | 6,896 | |
3.50%, 02/01/2047 | | | 442 | | | | 432 | |
3.50%, 07/01/2047 | | | 3,009 | | | | 2,946 | |
3.50%, 08/01/2047 | | | 6,538 | | | | 6,393 | |
3.50%, 11/01/2047 | | | 3,102 | | | | 3,034 | |
3.50%, 12/01/2047 | | | 1,358 | | | | 1,323 | |
3.50%, 12/01/2047 | | | 1,694 | | | | 1,653 | |
3.50%, 12/01/2047 | | | 1,897 | | | | 1,855 | |
3.50%, 12/01/2047 | | | 2,043 | | | | 1,998 | |
3.50%, 01/01/2048 | | | 1,957 | | | | 1,913 | |
3.50%, 01/01/2048 | | | 3,816 | | | | 3,731 | |
3.50%, 01/01/2048 | | | 5,058 | | | | 4,943 | |
| | | | | | | | |
3.50%, 02/01/2048 | | | 804 | | | | 787 | |
3.50%, 02/01/2048 | | | 5,056 | | | | 4,944 | |
3.50%, 12/01/2048 | | | 10,611 | | | | 10,378 | |
3.50%, 06/01/2049 | | | 5,953 | | | | 5,792 | |
3.50%, 09/01/2049 | | | 2,341 | | | | 2,276 | |
3.50%, 07/01/2050 | | | 4,639 | | | | 4,518 | |
3.50%, 01/01/2051 | | | 14,246 | | | | 13,871 | |
3.50%, 07/01/2051 | | | 3,113 | | | | 3,005 | |
3.50%, 03/01/2052 | | | 125 | | | | 120 | |
3.50%, 04/01/2052 | | | 416 | | | | 401 | |
3.50%, 04/01/2052 | | | 13,999 | | | | 13,618 | |
3.50%, 05/01/2052 | | | 50 | | | | 48 | |
3.50%, 05/01/2052 | | | 509 | | | | 490 | |
3.50%, 05/01/2052 | | | 2,025 | | | | 1,951 | |
3.50%, 05/01/2052 | | | 4,373 | | | | 4,211 | |
3.50%, 06/01/2052 | | | 285 | | | | 274 | |
3.50%, 06/01/2052 | | | 500 | | | | 481 | |
3.50%, 06/01/2052 | | | 775 | | | | 747 | |
3.50%, 06/01/2052 | | | 38,753 | | | | 37,314 | |
3.50%, 07/01/2052 | | | 5,000 | | | | 4,817 | |
3.50%, 07/01/2052 | | | 118,344 | | | | 113,952 | |
4.00%, 02/01/2039 | | | 97 | | | | 97 | |
4.00%, 11/01/2040 | | | 1,150 | | | | 1,149 | |
4.00%, 01/01/2042 | | | 1,271 | | | | 1,285 | |
4.00%, 03/01/2042 | | | 1,520 | | | | 1,537 | |
4.00%, 06/01/2042 | | | 5,317 | | | | 5,325 | |
4.00%, 08/01/2042 | | | 1,154 | | | | 1,160 | |
4.00%, 12/01/2043 | | | 1,158 | | | | 1,164 | |
4.00%, 06/01/2045 | | | 2,469 | | | | 2,452 | |
4.00%, 10/01/2045 | | | 1,121 | | | | 1,126 | |
4.00%, 12/01/2045 | | | 1,904 | | | | 1,917 | |
4.00%, 03/01/2046 | | | 5,513 | | | | 5,553 | |
4.00%, 09/01/2046 | | | 594 | | | | 596 | |
4.00%, 12/01/2046 | | | 2,102 | | | | 2,112 | |
4.00%, 02/01/2047 | | | 978 | | | | 985 | |
4.00%, 02/01/2047 | | | 1,629 | | | | 1,640 | |
4.00%, 03/01/2047 | | | 686 | | | | 688 | |
4.00%, 04/01/2047 | | | 181 | | | | 181 | |
4.00%, 04/01/2047 | | | 699 | | | | 702 | |
4.00%, 05/01/2047 | | | 15 | | | | 15 | |
4.00%, 05/01/2047 | | | 770 | | | | 773 | |
4.00%, 06/01/2047 | | | 770 | | | | 770 | |
4.00%, 07/01/2047 | | | 695 | | | | 696 | |
4.00%, 08/01/2047 | | | 26 | | | | 26 | |
4.00%, 08/01/2047 | | | 773 | | | | 773 | |
4.00%, 08/01/2047 | | | 1,111 | | | | 1,120 | |
4.00%, 08/01/2047 | | | 6,392 | | | | 6,408 | |
4.00%, 09/01/2047 | | | 122 | | | | 122 | |
4.00%, 10/01/2047 | | | 3,451 | | | | 3,462 | |
4.00%, 01/01/2048 | | | 48 | | | | 48 | |
4.00%, 03/01/2048 | | | 118 | | | | 118 | |
4.00%, 04/01/2048 | | | 60 | | | | 60 | |
4.00%, 04/01/2048 | | | 218 | | | | 218 | |
4.00%, 05/01/2048 | | | 251 | | | | 251 | |
4.00%, 06/01/2048 | | | 3,877 | | | | 3,888 | |
4.00%, 07/01/2048 | | | 169 | | | | 169 | |
4.00%, 07/01/2048 | | | 180 | | | | 180 | |
4.00%, 07/01/2048 | | | 3,017 | | | | 3,009 | |
4.00%, 08/01/2048 | | | 11 | | | | 11 | |
4.00%, 08/01/2048 | | | 50 | | | | 50 | |
4.00%, 08/01/2048 | | | 198 | | | | 198 | |
4.00%, 09/01/2048 | | | 18 | | | | 18 | |
4.00%, 09/01/2048 | | | 86 | | | | 86 | |
4.00%, 09/01/2048 | | | 118 | | | | 117 | |
4.00%, 09/01/2048 | | | 1,271 | | | | 1,272 | |
4.00%, 09/01/2048 | | | 11,449 | | | | 11,476 | |
4.00%, 10/01/2048 | | | 530 | | | | 530 | |
4.00%, 11/01/2048 | | | 27 | | | | 27 | |
4.00%, 11/01/2048 | | | 215 | | | | 215 | |
4.00%, 12/01/2048 | | | 75 | | | | 75 | |
4.00%, 12/01/2048 | | | 164 | | | | 164 | |
4.00%, 12/01/2048 | | | 644 | | | | 643 | |
4.00%, 01/01/2049 | | | 3,271 | | | | 3,283 | |
4.00%, 02/01/2049 | | | 2,794 | | | | 2,796 | |
4.00%, 03/01/2049 | | | 368 | | | | 369 | |
4.00%, 03/01/2049 | | | 11,667 | | | | 11,677 | |
4.00%, 06/01/2049 | | | 16,646 | | | | 16,581 | |
4.00%, 08/01/2049 | | | 105 | | | | 105 | |
4.00%, 09/01/2049 | | | 4,911 | | | | 4,915 | |
4.00%, 10/01/2049 | | | 91 | | | | 91 | |
4.00%, 11/01/2049 | | | 392 | | | | 391 | |
4.00%, 11/01/2049 | | | 734 | | | | 729 | |
4.00%, 12/01/2049 | | | 351 | | | | 350 | |
4.00%, 12/01/2049 | | | 601 | | | | 599 | |
4.00%, 02/01/2050 | | | 4,703 | | | | 4,700 | |
4.00%, 03/01/2050 | | | 2,381 | | | | 2,361 | |
4.00%, 03/01/2050 | | | 5,325 | | | | 5,300 | |
| | | | | | | | |
4.00%, 04/01/2050 | | | 146 | | | | 145 | |
4.00%, 04/01/2050 | | | 975 | | | | 968 | |
4.00%, 05/01/2050 | | | 730 | | | | 725 | |
4.00%, 05/01/2050 | | | 1,989 | | | | 1,989 | |
4.00%, 06/01/2050 | | | 2,663 | | | | 2,644 | |
4.00%, 08/01/2050 | | | 883 | | | | 875 | |
4.00%, 08/01/2050 | | | 69,003 | | | | 68,434 | |
4.00%, 11/01/2050 | | | 61 | | | | 61 | |
4.00%, 11/01/2050 | | | 196 | | | | 195 | |
4.00%, 01/01/2051 | | | 256 | | | | 254 | |
4.00%, 01/01/2051 | | | 10,285 | | | | 10,257 | |
4.00%, 03/01/2051 | | | 1,327 | | | | 1,322 | |
4.00%, 03/01/2051 | | | 11,613 | | | | 11,581 | |
4.00%, 05/01/2051 | | | 26,369 | | | | 26,392 | |
4.00%, 10/01/2051 | | | 27,309 | | | | 27,220 | |
4.00%, 05/01/2052 | | | 8,999 | | | | 8,885 | |
4.50%, 11/01/2035 | | | 150 | | | | 155 | |
4.50%, 11/01/2040 | | | 957 | | | | 987 | |
4.50%, 05/01/2041 | | | 1,583 | | | | 1,629 | |
4.50%, 05/01/2041 | | | 2,638 | | | | 2,717 | |
4.50%, 06/01/2045 | | | 171 | | | | 175 | |
4.50%, 02/01/2046 | | | 949 | | | | 975 | |
4.50%, 03/01/2046 | | | 766 | | | | 773 | |
4.50%, 09/01/2046 | | | 1,237 | | | | 1,273 | |
4.50%, 02/01/2047 | | | 3,725 | | | | 3,844 | |
4.50%, 05/01/2047 | | | 2,180 | | | | 2,250 | |
4.50%, 11/01/2047 | | | 1,410 | | | | 1,440 | |
4.50%, 04/01/2048 | | | 828 | | | | 833 | |
4.50%, 05/01/2048 | | | 2,107 | | | | 2,128 | |
4.50%, 05/01/2048 | | | 5,207 | | | | 5,259 | |
4.50%, 08/01/2048 | | | 467 | | | | 471 | |
4.50%, 08/01/2048 | | | 3,602 | | | | 3,636 | |
4.50%, 09/01/2048 | | | 1,187 | | | | 1,196 | |
4.50%, 11/01/2048 | | | 642 | | | | 646 | |
4.50%, 12/01/2048 | | | 1,535 | | | | 1,548 | |
4.50%, 05/01/2049 | | | 2,491 | | | | 2,535 | |
4.50%, 09/01/2049 | | | 5,408 | | | | 5,518 | |
4.50%, 01/01/2050 | | | 3,269 | | | | 3,293 | |
5.00%, 11/01/2044 | | | 1,642 | | | | 1,727 | |
5.50%, 05/01/2034 | | | 905 | | | | 969 | |
5.50%, 12/01/2039 | | | 158 | | | | 169 | |
5.50%, 03/01/2040 | | | 997 | | | | 1,069 | |
5.50%, 06/01/2041 | | | 141 | | | | 151 | |
5.50%, 02/01/2042 | | | 592 | | | | 633 | |
5.50%, 10/01/2043 | | | 279 | | | | 299 | |
5.50%, 05/01/2044 | | | 3,629 | | | | 3,890 | |
6.00%, 07/01/2041 | | | 3,305 | | | | 3,622 | |
Fannie Mae REMICS | | | | | | | | |
2.12% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 01/25/2050, Series 2019-79,
Class FA(2) | | | 2,142 | | | | 2,139 | |
3.00%, 09/25/2049, Series 2019-52, Class PA | | | 402 | | | | 383 | |
3.50%, 03/25/2042, Series 2012-20, Class ZT | | | 2,530 | | | | 2,420 | |
3.50%, 01/25/2047, Series 2018-55, Class PA | | | 3,113 | | | | 3,118 | |
3.50%, 06/25/2047, Series 2018-38, Class PA | | | 3,646 | | | | 3,640 | |
4.00%, 05/25/2047, Series 2018-86, Class JA | | | 1,263 | | | | 1,266 | |
Flagstar Mortgage Trust 2017-2 | | | | | | | | |
4.05%, 10/25/2047, Series 2017-2, Class B1(1)(4) | | | 1,225 | | | | 1,179 | |
Flagstar Mortgage Trust 2020-1NV | | | | | | | | |
2.47% (1 Month LIBOR USD + 0.85%), 03/25/2050, Series 2020-1INV, Class A11(1)(2) | | | 851 | | | | 803 | |
Flagstar Mortgage Trust 2021-5INV | | | | | | | | |
2.50%, 07/25/2051, Series 2021-5INV, Class A16(1)(4) | | | 4,015 | | | | 3,346 | |
2.50%, 07/25/2051, Series 2021-5INV, Class A2(1)(4) | | | 5,808 | | | | 4,962 | |
Fontainebleau Miami Beach Trust 2019-FBLU | | | | | | | | |
3.75%, 12/10/2036, Series 2019-FBLU, Class C(1) | | | 7,500 | | | | 7,213 | |
Formentera Issuer Plc | | | | | | | | |
1.35% (Sterling Overnight Index Average + 0.80%), 07/28/2047, Series 2022-1, Class A(2) | | GBP | 27,464 | | | | 33,007 | |
Freddie Mac Gold Pool | | | | | | | | |
2.50%, 02/01/2032 | | $ | 4,682 | | | | 4,595 | |
3.00%, 03/01/2031 | | | 305 | | | | 304 | |
3.00%, 12/01/2032 | | | 1,018 | | | | 1,007 | |
3.00%, 06/01/2033 | | | 419 | | | | 414 | |
3.00%, 02/01/2038 | | | 1,334 | | | | 1,287 | |
3.00%, 04/01/2046 | | | 64 | | | | 61 | |
3.00%, 06/01/2046 | | | 2,374 | | | | 2,252 | |
3.00%, 08/01/2046 | | | 2,924 | | | | 2,772 | |
3.00%, 09/01/2046 | | | 8,872 | | | | 8,407 | |
3.00%, 10/01/2046 | | | 2,848 | | | | 2,705 | |
3.00%, 11/01/2046 | | | 3,165 | | | | 2,993 | |
3.00%, 12/01/2046 | | | 2,164 | | | | 2,053 | |
3.00%, 01/01/2047 | | | 3,943 | | | | 3,734 | |
3.00%, 02/01/2047 | | | 3,933 | | | | 3,722 | |
3.00%, 03/01/2047 | | | 2,332 | | | | 2,207 | |
3.00%, 04/01/2047 | | | 1,426 | | | | 1,347 | |
3.50%, 05/01/2033 | | | 211 | | | | 211 | |
3.50%, 08/01/2033 | | | 1,686 | | | | 1,690 | |
3.50%, 08/01/2033 | | | 4,889 | | | | 4,898 | |
3.50%, 11/01/2033 | | | 3,179 | | | | 3,171 | |
3.50%, 07/01/2043 | | | 185 | | | | 181 | |
| | | | | | | | |
3.50%, 10/01/2045 | | | 5,426 | | | | 5,319 | |
3.50%, 06/01/2046 | | | 2,077 | | | | 2,022 | |
3.50%, 08/01/2046 | | | 3,327 | | | | 3,277 | |
3.50%, 08/01/2046 | | | 9,774 | | | | 9,615 | |
3.50%, 11/01/2046 | | | 805 | | | | 789 | |
3.50%, 02/01/2047 | | | 389 | | | | 382 | |
3.50%, 04/01/2047 | | | 1,533 | | | | 1,501 | |
3.50%, 04/01/2047 | | | 7,599 | | | | 7,437 | |
3.50%, 09/01/2047 | | | 5,272 | | | | 5,160 | |
3.50%, 10/01/2047 | | | 1,147 | | | | 1,124 | |
3.50%, 11/01/2047 | | | 779 | | | | 762 | |
3.50%, 11/01/2047 | | | 1,259 | | | | 1,232 | |
3.50%, 12/01/2047 | | | 17,624 | | | | 17,248 | |
3.50%, 01/01/2048 | | | 930 | | | | 911 | |
3.50%, 01/01/2048 | | | 12,360 | | | | 12,189 | |
3.50%, 02/01/2048 | | | 832 | | | | 813 | |
3.50%, 03/01/2048 | | | 14,487 | | | | 14,174 | |
3.50%, 03/01/2048 | | | 15,386 | | | | 15,058 | |
3.50%, 03/01/2048 | | | 18,509 | | | | 18,114 | |
4.00%, 01/01/2045 | | | 919 | | | | 927 | |
4.00%, 12/01/2045 | | | 1,873 | | | | 1,892 | |
4.00%, 03/01/2048 | | | 4,365 | | | | 4,380 | |
4.00%, 07/01/2048 | | | 4,762 | | | | 4,777 | |
4.00%, 11/01/2048 | | | 18,540 | | | | 18,599 | |
4.50%, 05/01/2044 | | | 171 | | | | 176 | |
4.50%, 06/01/2045 | | | 420 | | | | 434 | |
4.50%, 02/01/2046 | | | 443 | | | | 457 | |
4.50%, 05/01/2046 | | | 469 | | | | 484 | |
4.50%, 06/01/2046 | | | 477 | | | | 491 | |
4.50%, 02/01/2047 | | | 382 | | | | 395 | |
4.50%, 12/01/2047 | | | 1,216 | | | | 1,235 | |
4.50%, 10/01/2048 | | | 2,894 | | | | 2,928 | |
5.00%, 07/01/2048 | | | 616 | | | | 637 | |
5.00%, 08/01/2048 | | | 275 | | | | 284 | |
5.00%, 09/01/2048 | | | 192 | | | | 198 | |
5.00%, 10/01/2048 | | | 842 | | | | 870 | |
5.00%, 11/01/2048 | | | 1,288 | | | | 1,330 | |
5.50%, 08/01/2041 | | | 3,487 | | | | 3,743 | |
8.00%, 04/01/2032 | | | 126 | | | | 140 | |
Freddie Mac Multifamily Structured Pass-Through Certificates | | | | | | | | |
0.86%, 01/25/2031, Series KLU1, Class X1(4) | | | 286,122 | | | | 6,493 | |
1.05%, 04/25/2034, Series K-1512, Class X1(4) | | | 18,891 | | | | 1,402 | |
3.01%, 12/25/2047, Series Q010, Class APT2(4) | | | 170 | | | | 170 | |
3.09%, 10/25/2046, Series Q010, Class APT3(4) | | | 211 | | | | 209 | |
3.75%, 04/25/2033, Series K155, Class A3 | | | 5,505 | | | | 5,503 | |
Freddie Mac Pool | | | | | | | | |
2.00%, 09/01/2040 | | | 10,388 | | | | 9,307 | |
2.00%, 10/01/2040 | | | 8,147 | | | | 7,283 | |
2.00%, 02/01/2042 | | | 923 | | | | 825 | |
2.00%, 03/01/2042 | | | 3,396 | | | | 3,011 | |
2.00%, 04/01/2042 | | | 956 | | | | 852 | |
2.00%, 08/01/2050 | | | 730 | | | | 637 | |
2.00%, 11/01/2050 | | | 1,298 | | | | 1,136 | |
2.00%, 03/01/2051 | | | 8,078 | | | | 7,042 | |
2.00%, 04/01/2051 | | | 4,274 | | | | 3,740 | |
2.00%, 04/01/2051 | | | 83,902 | | | | 73,144 | |
2.00%, 05/01/2051 | | | 2,294 | | | | 2,006 | |
2.00%, 07/01/2051 | | | 9,243 | | | | 8,100 | |
2.00%, 09/01/2051 | | | 522 | | | | 456 | |
2.00%, 09/01/2051 | | | 2,645 | | | | 2,307 | |
2.00%, 10/01/2051 | | | 688 | | | | 599 | |
2.00%, 10/01/2051 | | | 8,553 | | | | 7,456 | |
2.00%, 12/01/2051 | | | 426 | | | | 372 | |
2.00%, 12/01/2051 | | | 1,043 | | | | 909 | |
2.00%, 12/01/2051 | | | 2,226 | | | | 1,940 | |
2.00%, 12/01/2051 | | | 2,837 | | | | 2,474 | |
2.00%, 12/01/2051 | | | 5,044 | | | | 4,386 | |
2.00%, 01/01/2052 | | | 4,925 | | | | 4,317 | |
2.00%, 01/01/2052 | | | 6,605 | | | | 5,760 | |
2.00%, 01/01/2052 | | | 21,197 | | | | 18,562 | |
2.00%, 02/01/2052 | | | 275 | | | | 240 | |
2.00%, 02/01/2052 | | | 919 | | | | 801 | |
2.00%, 02/01/2052 | | | 2,453 | | | | 2,139 | |
2.50%, 07/01/2050 | | | 961 | | | | 871 | |
2.50%, 02/01/2051 | | | 8,241 | | | | 7,510 | |
2.50%, 05/01/2051 | | | 4,816 | | | | 4,406 | |
2.50%, 05/01/2051 | | | 21,569 | | | | 19,554 | |
2.50%, 11/01/2051 | | | 4,582 | | | | 4,161 | |
2.50%, 11/01/2051 | | | 20,717 | | | | 18,807 | |
2.50%, 12/01/2051 | | | 11,627 | | | | 10,541 | |
2.50%, 01/01/2052 | | | 13,953 | | | | 12,616 | |
2.50%, 01/01/2052 | | | 53,236 | | | | 48,255 | |
2.50%, 02/01/2052 | | | 82,506 | | | | 74,266 | |
2.50%, 04/01/2052 | | | 21,561 | | | | 19,408 | |
3.00%, 05/01/2031 | | | 4,105 | | | | 4,102 | |
3.00%, 11/01/2034 | | | 1,070 | | | | 1,058 | |
3.00%, 09/01/2046 | | | 7,527 | | | | 7,151 | |
| | | | | | | �� | |
3.00%, 05/01/2047 | | | 3,106 | | | | 2,948 | |
3.00%, 09/01/2049 | | | 1,403 | | | | 1,323 | |
3.00%, 11/01/2049 | | | 9,489 | | | | 8,924 | |
3.00%, 01/01/2050 | | | 7,374 | | | | 6,919 | |
3.00%, 01/01/2050 | | | 28,918 | | | | 27,154 | |
3.00%, 02/01/2050 | | | 3,606 | | | | 3,339 | |
3.00%, 02/01/2050 | | | 7,997 | | | | 7,552 | |
3.00%, 04/01/2050 | | | 5,652 | | | | 5,307 | |
3.00%, 07/01/2050 | | | 24,384 | | | | 22,920 | |
3.00%, 08/01/2050 | | | 4,954 | | | | 4,654 | |
3.00%, 12/01/2050 | | | 8,531 | | | | 8,021 | |
3.00%, 02/01/2052 | | | 77 | | | | 72 | |
3.00%, 03/01/2052 | | | 1,000 | | | | 932 | |
3.00%, 03/01/2052 | | | 71,485 | | | | 66,657 | |
3.00%, 04/01/2052 | | | 916 | | | | 854 | |
3.00%, 04/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 04/01/2052 | | | 1,000 | | | | 934 | |
3.00%, 05/01/2052 | | | 1,000 | | | | 932 | |
3.00%, 05/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 05/01/2052 | | | 3,050 | | | | 2,845 | |
3.00%, 06/01/2052 | | | 1,000 | | | | 933 | |
3.00%, 06/01/2052 | | | 1,200 | | | | 1,120 | |
3.00%, 06/01/2052 | | | 1,500 | | | | 1,400 | |
3.00%, 06/01/2052 | | | 14,539 | | | | 13,568 | |
3.00%, 06/01/2052 | | | 56,744 | | | | 52,913 | |
3.00%, 07/01/2052 | | | 195,759 | | | | 182,538 | |
3.50%, 06/01/2033 | | | 3,953 | | | | 3,958 | |
3.50%, 06/01/2046 | | | 335 | | | | 327 | |
3.50%, 11/01/2047 | | | 14,375 | | | | 14,054 | |
3.50%, 12/01/2047 | | | 174 | | | | 171 | |
3.50%, 03/01/2048 | | | 3,897 | | | | 3,809 | |
3.50%, 08/01/2049 | | | 2,461 | | | | 2,392 | |
3.50%, 01/01/2050 | | | 475 | | | | 461 | |
3.50%, 11/01/2050 | | | 2,383 | | | | 2,314 | |
3.50%, 02/01/2052 | | | 25 | | | | 24 | |
3.50%, 04/01/2052 | | | 1,366 | | | | 1,316 | |
3.50%, 05/01/2052 | | | 338 | | | | 326 | |
3.50%, 05/01/2052 | | | 9,904 | | | | 9,536 | |
3.50%, 06/01/2052 | | | 376 | | | | 362 | |
3.50%, 06/01/2052 | | | 432 | | | | 416 | |
3.50%, 06/01/2052 | | | 951 | | | | 916 | |
3.50%, 06/01/2052 | | | 977 | | | | 942 | |
3.50%, 06/01/2052 | | | 2,528 | | | | 2,435 | |
3.50%, 06/01/2052 | | | 7,705 | | | | 7,419 | |
3.50%, 07/01/2052 | | | 23,675 | | | | 22,796 | |
4.00%, 08/01/2038 | | | 371 | | | | 372 | |
4.00%, 05/01/2047 | | | 205 | | | | 206 | |
4.00%, 04/01/2048 | | | 223 | | | | 224 | |
4.00%, 07/01/2048 | | | 11 | | | | 11 | |
4.00%, 07/01/2048 | | | 252 | | | | 252 | |
4.00%, 07/01/2048 | | | 638 | | | | 639 | |
4.00%, 11/01/2048 | | | 334 | | | | 335 | |
4.00%, 12/01/2048 | | | 294 | | | | 294 | |
4.00%, 12/01/2049 | | | 1,745 | | | | 1,738 | |
4.00%, 01/01/2050 | | | 2,251 | | | | 2,236 | |
4.00%, 02/01/2050 | | | 1,474 | | | | 1,472 | |
4.00%, 03/01/2050 | | | 61 | | | | 61 | |
4.00%, 03/01/2050 | | | 171 | | | | 171 | |
4.00%, 03/01/2050 | | | 5,402 | | | | 5,423 | |
4.00%, 05/01/2050 | | | 68 | | | | 67 | |
4.00%, 05/01/2050 | | | 75 | | | | 75 | |
4.00%, 06/01/2050 | | | 101 | | | | 101 | |
4.00%, 06/01/2050 | | | 638 | | | | 632 | |
4.00%, 05/01/2051 | | | 255 | | | | 251 | |
4.00%, 09/01/2051 | | | 57 | | | | 56 | |
4.00%, 07/01/2052 | | | 8,599 | | | | 8,569 | |
5.00%, 12/01/2041 | | | 646 | | | | 663 | |
5.00%, 03/01/2042 | | | 183 | | | | 196 | |
Freddie Mac REMICS | | | | | | | | |
3.00%, 01/15/2049, Series 4896, Class DA | | | 916 | | | | 889 | |
3.00%, 04/15/2049, Series 4879, Class BC | | | 2,283 | | | | 2,180 | |
Freddie Mac STACR REMIC Trust 2020-DNA6 | | | | | | | | |
1.83% (30-day Average SOFR + 0.90%), 12/25/2050, Series 2020-DNA6, Class M1(1)(2) | | | 6 | | | | 6 | |
Freddie Mac STACR REMIC Trust 2021-DNA5 | | | | | | | | |
2.58% (30-day Average SOFR + 1.65%), 01/25/2034, Series 2021-DNA5, Class M2(1)(2) | | | 3,510 | | | | 3,384 | |
Freddie Mac STACR REMIC Trust 2021-HQA1 | | | | | | | | |
1.63% (30-day Average SOFR + 0.70%), 08/25/2033, Series 2021-HQA1, Class M1(1)(2) | | | 3,015 | | | | 2,992 | |
Freddie Mac STACR REMIC Trust 2021-HQA3 | | | | | | | | |
1.78% (30-day Average SOFR + 0.85%), 09/25/2041, Series 2021-HQA3, Class M1(1)(2) | | | 8,939 | | | | 8,632 | |
Freddie Mac STACR Trust 2018-DNA2 | | | | | | | | |
2.57% (1 Month LIBOR USD + 0.95%), 12/25/2030, Series 2018-DNA2, Class M2AS(1)(2) | | | 5,420 | | | | 5,362 | |
Freddie Mac Strips | | | | | | | | |
3.00%, 09/15/2044, Series 337, Class 300 | | | 43,140 | | | | 40,903 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | | | | | | | | |
1.73% (30-day Average SOFR + 0.80%), 08/25/2033, Series 2021-DNA2, Class M1(1)(2) | | | 2,280 | | | | 2,265 | |
Freddie Mac Whole Loan Securities Trust | | | | | | | | |
3.65%, 12/25/2046, Series 2017-SC01, Class M1(1)(4) | | | 1,267 | | | | 1,237 | |
| | | | | | | | |
FREMF 2018-K731 Mortgage Trust | | | | | | | | |
4.07%, 02/25/2025, Series 2018-K731, Class B(1)(4) | | | 4,525 | | | | 4,487 | |
FREMF 2019-K736 Mortgage Trust | | | | | | | | |
3.88%, 07/25/2026, Series 2019-K736, Class B(1)(4) | | | 5,440 | | | | 5,284 | |
FREMF 2019-K94 Mortgage Trust | | | | | | | | |
4.10%, 07/25/2052, Series 2019-K94, Class B(1)(4) | | | 2,800 | | | | 2,653 | |
FREMF 2019-K98 Mortgage Trust | | | | | | | | |
3.86%, 10/25/2052, Series 2019-K98, Class B(1)(4) | | | 2,895 | | | | 2,701 | |
Galton Funding Mortgage Trust 2018-2 | | | | | | | | |
4.00%, 10/25/2058, Series 2018-2, Class A22(1)(4) | | | 469 | | | | 461 | |
Galton Funding Mortgage Trust 2019-1 | | | | | | | | |
4.00%, 02/25/2059, Series 2019-1, Class A22(1)(4) | | | 525 | | | | 517 | |
Galton Funding Mortgage Trust 2019-H1 | | | | | | | | |
2.96%, 10/25/2059, Series 2019-H1, Class A3(1)(4) | | | 3,383 | | | | 3,345 | |
GCAT 2019-RPL1 Trust | | | | | | | | |
2.65%, 10/25/2068, Series 2019-RPL1, Class A1(1)(4) | | | 2,193 | | | | 2,107 | |
GCT Commercial Mortgage Trust 2021-GCT | | | | | | | | |
3.02% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 02/15/2038, Series 2021-GCT, Class C(1)(2) | | | 3,000 | | | | 2,875 | |
Ginnie Mae | | | | | | | | |
2.00%, 07/01/2050(14) | | | 50,933 | | | | 45,223 | |
2.50%, 07/21/2052(14) | | | 131,993 | | | | 120,774 | |
3.00%, 07/20/2049, Series 2019-90, Class HE | | | 211 | | | | 202 | |
3.00%, 09/20/2049, Series 2019-119, Class JE | | | 1,561 | | | | 1,496 | |
3.00%, 07/01/2052(14) | | | 12,192 | | | | 11,492 | |
3.50%, 08/20/2048, Series 2018-115, Class DE | | | 2,583 | | | | 2,564 | |
3.50%, 09/20/2048, Series 2018-124, Class NW | | | 2,002 | | | | 1,997 | |
3.50%, 12/20/2048, Series 2019-44, Class CA | | | 56 | | | | 56 | |
3.50%, 07/01/2052(14) | | | 23,780 | | | | 23,104 | |
4.00%, 07/01/2052(14) | | | 12,568 | | | | 12,513 | |
4.50%, 07/01/2052(14) | | | 5,038 | | | | 5,112 | |
Ginnie Mae I Pool | | | | | | | | |
4.50%, 05/15/2041 | | | 287 | | | | 296 | |
5.00%, 09/15/2041 | | | 112 | | | | 119 | |
5.00%, 07/15/2044 | | | 85 | | | | 90 | |
7.50%, 08/15/2033 | | | 108 | | | | 116 | |
Ginnie Mae II Pool | | | | | | | | |
2.00%, 08/20/2050 | | | 15,246 | | | | 13,630 | |
2.00%, 11/20/2050 | | | 10,739 | | | | 9,586 | |
2.00%, 01/20/2051 | | | 24,357 | | | | 21,737 | |
2.00%, 02/20/2051 | | | 1,809 | | | | 1,613 | |
2.50%, 10/20/2051 | | | 57,916 | | | | 53,204 | |
2.50%, 12/20/2051 | | | 37,429 | | | | 34,372 | |
3.00%, 02/20/2043 | | | 1,317 | | | | 1,243 | |
3.00%, 06/20/2045 | | | 14,126 | | | | 13,549 | |
3.00%, 10/20/2045 | | | 2,775 | | | | 2,662 | |
3.00%, 05/20/2046 | | | 4,448 | | | | 4,267 | |
3.00%, 07/20/2046 | | | 5,444 | | | | 5,223 | |
3.00%, 10/20/2046 | | | 845 | | | | 811 | |
3.00%, 12/20/2046 | | | 2,071 | | | | 1,986 | |
3.00%, 03/20/2047 | | | 555 | | | | 533 | |
3.00%, 09/20/2047 | | | 5,553 | | | | 5,301 | |
3.00%, 11/20/2047 | | | 1,933 | | | | 1,844 | |
3.00%, 01/20/2048 | | | 2,449 | | | | 2,332 | |
3.00%, 10/20/2049 | | | 5,000 | | | | 4,699 | |
3.00%, 03/20/2050 | | | 2,421 | | | | 2,274 | |
3.00%, 04/20/2050 | | | 136 | | | | 127 | |
3.00%, 04/20/2051 | | | 12,761 | | | | 12,084 | |
3.00%, 07/20/2051 | | | 24,647 | | | | 23,307 | |
3.50%, 06/20/2043 | | | 874 | | | | 868 | |
3.50%, 07/20/2043 | | | 880 | | | | 873 | |
3.50%, 01/20/2045 | | | 1,128 | | | | 1,114 | |
3.50%, 12/20/2045 | | | 1,032 | | | | 1,018 | |
3.50%, 01/20/2046 | | | 710 | | | | 702 | |
3.50%, 03/20/2046 | | | 7,821 | | | | 7,725 | |
3.50%, 04/20/2046 | | | 2,589 | | | | 2,553 | |
3.50%, 05/20/2046 | | | 1,190 | | | | 1,173 | |
3.50%, 06/20/2046 | | | 1,675 | | | | 1,650 | |
3.50%, 12/20/2046 | | | 1,770 | | | | 1,745 | |
3.50%, 01/20/2047 | | | 2,145 | | | | 2,117 | |
3.50%, 04/20/2047 | | | 2,879 | | | | 2,830 | |
3.50%, 05/20/2047 | | | 126 | | | | 124 | |
3.50%, 06/20/2047 | | | 7,615 | | | | 7,500 | |
3.50%, 07/20/2047 | | | 2,202 | | | | 2,168 | |
3.50%, 08/20/2047 | | | 1,957 | | | | 1,925 | |
3.50%, 09/20/2047 | | | 4,979 | | | | 4,920 | |
3.50%, 10/20/2047 | | | 396 | | | | 389 | |
3.50%, 11/20/2047 | | | 6,810 | | | | 6,695 | |
3.50%, 12/20/2047 | | | 4,506 | | | | 4,430 | |
3.50%, 01/20/2048 | | | 3,117 | | | | 3,064 | |
3.50%, 02/20/2048 | | | 1,546 | | | | 1,527 | |
3.50%, 02/20/2048 | | | 4,471 | | | | 4,417 | |
3.50%, 02/20/2048 | | | 7,080 | | | | 6,949 | |
3.50%, 04/20/2048 | | | 12,394 | | | | 12,302 | |
3.50%, 05/20/2048 | | | 3,530 | | | | 3,470 | |
3.50%, 06/20/2049 | | | 238 | | | | 228 | |
3.50%, 07/20/2049 | | | 1,503 | | | | 1,439 | |
3.50%, 03/20/2050 | | | 631 | | | | 617 | |
| | | | | | | | |
3.50%, 02/20/2051 | | | 10,750 | | | | 10,515 | |
3.50%, 08/20/2051 | | | 10,140 | | | | 9,887 | |
4.00%, 09/20/2045 | | | 766 | | | | 773 | |
4.00%, 03/20/2047 | | | 568 | | | | 571 | |
4.00%, 04/20/2047 | | | 1,184 | | | | 1,191 | |
4.00%, 05/20/2047 | | | 928 | | | | 934 | |
4.00%, 06/20/2047 | | | 1,050 | | | | 1,057 | |
4.00%, 09/20/2047 | | | 1,480 | | | | 1,491 | |
4.00%, 11/20/2047 | | | 1,048 | | | | 1,055 | |
4.00%, 12/20/2047 | | | 998 | | | | 1,005 | |
4.00%, 01/20/2048 | | | 1,363 | | | | 1,370 | |
4.00%, 06/20/2048 | | | 5,345 | | | | 5,372 | |
4.00%, 08/20/2048 | | | 1,991 | | | | 2,001 | |
4.00%, 09/20/2048 | | | 1,133 | | | | 1,138 | |
4.00%, 10/20/2048 | | | 443 | | | | 445 | |
4.00%, 10/20/2050 | | | 9,455 | | | | 9,477 | |
4.50%, 07/20/2045 | | | 1,660 | | | | 1,739 | |
4.50%, 09/20/2046 | | | 2,047 | | | | 2,099 | |
4.50%, 01/20/2047 | | | 1,349 | | | | 1,410 | |
4.50%, 05/20/2047 | | | 2,290 | | | | 2,375 | |
4.50%, 06/20/2047 | | | 3,107 | | | | 3,196 | |
4.50%, 08/20/2047 | | | 905 | | | | 939 | |
4.50%, 09/20/2047 | | | 902 | | | | 935 | |
4.50%, 08/20/2048 | | | 3,773 | | | | 3,840 | |
4.50%, 09/20/2048 | | | 410 | | | | 417 | |
5.00%, 12/20/2044 | | | 155 | | | | 165 | |
5.00%, 06/20/2047 | | | 1,653 | | | | 1,715 | |
5.00%, 09/20/2047 | | | 940 | | | | 975 | |
5.00%, 12/20/2047 | | | 644 | | | | 668 | |
5.00%, 01/20/2048 | | | 832 | | | | 861 | |
5.00%, 02/20/2048 | | | 633 | | | | 661 | |
5.00%, 08/20/2048 | | | 1,410 | | | | 1,450 | |
5.00%, 10/20/2048 | | | 1,223 | | | | 1,259 | |
5.50%, 05/20/2048 | | | 1,160 | | | | 1,221 | |
5.50%, 11/20/2048 | | | 694 | | | | 728 | |
5.50%, 03/20/2049 | | | 915 | | | | 962 | |
Gosforth Funding 2018-1 Plc | | | | | | | | |
1.97% (3 Month LIBOR USD + 0.45%), 08/25/2060, Series 2018-1A, Class A1(1)(2) | | | 138 | | | | 137 | |
Government National Mortgage Association | | | | | | | | |
1.25%, 01/16/2061, Series 2021-31, Class B | | | 9,950 | | | | 7,648 | |
1.25%, 09/16/2062, Series 2020-193, Class AC | | | 4,800 | | | | 3,718 | |
1.34%, 06/16/2063, Series 2021-14, Class AB | | | 5,842 | | | | 4,583 | |
1.40%, 06/16/2063, Series 2021-21, Class AH | | | 9,516 | | | | 7,576 | |
1.50%, 06/16/2063, Series 2021-2, Class AH | | | 13,543 | | | | 10,803 | |
Great Wolf Trust 2019-WOLF | | | | | | | | |
2.36% (1 Month LIBOR USD + 1.03%, 1.03% Floor), 12/15/2036, Series 2019-WOLF,
Class A(1)(2) | | | 13,655 | | | | 13,277 | |
Grifonas Finance No 1 Plc | | | | | | | | |
0.00% (6 Month EURIBOR + 0.28%), 08/28/2039, Series 1, Class A(2)(3) | | EUR | 3,455 | | | | 3,470 | |
GS Mortgage Securities Corp. Trust 2013-PEMB | | | | | | | | |
3.67%, 03/05/2033, Series 2013-PEMB, Class A(1)(4) | | $ | 3,430 | | | | 3,182 | |
3.67%, 03/05/2033, Series 2013-PEMB, Class D(1)(4) | | | 5,150 | | | | 4,047 | |
GS Mortgage Securities Corp. Trust 2017-SLP | | | | | | | | |
3.92%, 10/10/2032, Series 2017-SLP, Class C(1) | | | 8,029 | | | | 7,977 | |
GS Mortgage Securities Corp. Trust 2021-DM | | | | | | | | |
2.21% (1 Month LIBOR USD + 0.89%, 0.89% Floor), 11/15/2036, Series 2021-DM, Class A(1)(2) | | | 9,830 | | | | 9,442 | |
GS Mortgage Securities Corp. Trust 2021-STAR | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 12/15/2036, Series 2021-STAR, Class A(1)(2) | | | 5,100 | | | | 4,899 | |
GS Mortgage Securities Corp. Trust 2022-SROA | | | | | | | | |
3.78% (1 Month Term SOFR + 2.65%, 2.70% Floor), 07/12/2024, Series 2022-SROA,
Class A(1)(2)(8) | | | 6,000 | | | | 6,000 | |
GS Mortgage Securities Trust 2011-GC5 | | | | | | | | |
5.30%, 08/10/2044, Series 2011-GC5, Class D(1)(4) | | | 266 | | | | 113 | |
GS Mortgage Securities Trust 2013-G1 | | | | | | | | |
3.72%, 04/10/2031, Series 2013-G1, Class B(1)(4) | | | 3,560 | | | | 3,423 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
5.16%, 11/10/2046, Series 2013-GC16, Class B(4) | | | 7,561 | | | | 7,470 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
3.80%, 01/10/2047, Series 2014-GC18, Class A3 | | | 12,558 | | | | 12,462 | |
4.38%, 01/10/2047, Series 2014-GC18, Class AS | | | 2,355 | | | | 2,267 | |
4.89%, 01/10/2047, Series 2014-GC18, Class B(4) | | | 9,523 | | | | 8,718 | |
GS Mortgage-Backed Securities Trust 2020-INV1 | | | | | | | | |
2.95%, 10/25/2050, Series 2020-INV1, Class A14(1)(4) | | | 4,206 | | | | 3,798 | |
GS Mortgage-Backed Securities Trust 2021-GR1 | | | | | | | | |
2.50%, 11/25/2051, Series 2021-GR1, Class A4(1)(4) | | | 6,013 | | | | 4,998 | |
GS Mortgage-Backed Securities Trust 2021-GR2 | | | | | | | | |
2.50%, 02/25/2052, Series 2021-GR2, Class A4(1)(4) | | | 3,751 | | | | 3,110 | |
2.50%, 02/25/2052, Series 2021-GR2, Class A6(1)(4) | | | 11,325 | | | | 10,328 | |
HarborView Mortgage Loan Trust 2005-9 | | | | | | | | |
2.51% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 11.00% Cap), 06/20/2035, Series 2005-9,
Class 2A1C(2) | | | 5,120 | | | | 4,759 | |
HarborView Mortgage Loan Trust 2006-10 | | | | | | | | |
1.81% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036, Series 2006-10, Class 1A1A(2) | | | 7,519 | | | | 6,401 | |
HarborView Mortgage Loan Trust 2006-12 | | | | | | | | |
1.82% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/19/2036, Series 2006-12, Class 1A1A(2) | | | 25,950 | | | | 22,692 | |
HarborView Mortgage Loan Trust 2006-7 | | | | | | | | |
2.00% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 09/19/2046, Series 2006-7, Class 2A1A(2) | | | 2,689 | | | | 2,482 | |
HarborView Mortgage Loan Trust 2007-6 | | | | | | | | |
1.81% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037, Series 2007-6, Class 1A1A(2) | | | 6,547 | | | | 5,730 | |
| | | | | | | | |
Harbour | | | | | | | | |
1.30% (Sterling Overnight Index Average + 0.80%), 01/28/2054, Series 1, Class A1(2) | | GBP | 896 | | | | 1,079 | |
Harvest Commercial Capital Loan Trust 2019-1 | | | | | | | | |
3.29%, 09/25/2046, Series 2019-1, Class A(1)(4) | | $ | 3,652 | | | | 3,518 | |
Hawaii Hotel Trust 2019-MAUI | | | | | | | | |
2.77% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 05/15/2038, Series 2019-MAUI, Class B(1)(2) | | | 1,155 | | | | 1,117 | |
Hawksmoor Mortgages | | | | | | | | |
1.70% (Sterling Overnight Index Average + 1.05%), 05/25/2053, Series 2019-1A, Class A(1)(2) | | GBP | 15,141 | | | | 18,428 | |
Hilton Orlando Trust 2018-ORL | | | | | | | | |
2.52% (1 Month LIBOR USD + 1.20%, 1.05% Floor), 12/15/2034, Series 2018-ORL, Class B(1)(2) | | $ | 350 | | | | 337 | |
2.77% (1 Month LIBOR USD + 1.45%, 1.30% Floor), 12/15/2034, Series 2018-ORL, Class C(1)(2) | | | 14,000 | | | | 13,401 | |
Homeward Opportunities Fund I Trust 2020-2 | | | | | | | | |
1.66%, 05/25/2065, Series 2020-2, Class A1(1)(4) | | | 381 | | | | 379 | |
HPLY Trust 2019-HIT | | | | | | | | |
3.60% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 11/15/2036, Series 2019-HIT, Class C(1)(2) | | | 7,705 | | | | 7,358 | |
HSI Asset Securitization Corp. Trust 2005-NC1 | | | | | | | | |
2.58% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 07/25/2035, Series 2005-NC1, Class M3(2) | | | 6,336 | | | | 6,151 | |
Hudson Yards 2019-30HY Mortgage Trust | | | | | | | | |
3.23%, 07/10/2039, Series 2019-30HY, Class A(1) | | | 6,570 | | | | 5,927 | |
Hudson Yards 2019-55HY Mortgage Trust | | | | | | | | |
3.04%, 12/10/2041, Series 2019-55HY, Class A(1)(4) | | | 5,545 | | | | 4,934 | |
Hudsons Bay Simon JV Trust 2015-HBS | | | | | | | | |
4.15%, 08/05/2034, Series 2015-HB10, Class A10(1) | | | 3,540 | | | | 3,186 | |
ILPT Trust 2019-SURF | | | | | | | | |
4.15%, 02/11/2041, Series 2019-SURF, Class A(1) | | | 7,575 | | | | 7,303 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034, Series 2004-7, Class 2A(2) | | | 2,502 | | | | 2,451 | |
Imperial Fund Mortgage Trust 2021-NQM2 | | | | | | | | |
1.07%, 09/25/2056, Series 2021-NQM2, Class A1(1)(4) | | | 3,210 | | | | 2,829 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.76%, 07/10/2035, Series 2018-INDP, Class A(1) | | | 3,265 | | | | 3,169 | |
IndyMac INDX Mortgage Loan Trust 2006-AR19 | | | | | | | | |
2.97%, 08/25/2036, Series 2006-AR19, Class 5A2(4) | | | 15,058 | | | | 12,161 | |
IndyMac INDX Mortgage Loan Trust 2007-AR15 | | | | | | | | |
2.97%, 08/25/2037, Series 2007-AR15, Class 1A1(4) | | | 3,264 | | | | 2,605 | |
InTown Hotel Portfolio Trust 2018-STAY | | | | | | | | |
2.78% (1 Month LIBOR USD + 1.45%, 1.05% Floor), 01/15/2033, Series 2018-STAY, Class B(1)(2) | | | 430 | | | | 425 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | | | | | | | | |
4.51%, 12/15/2047, Series 2012-LC9, Class D(1)(4) | | | 215 | | | | 212 | |
4.51%, 12/15/2047, Series 2012-LC9, Class C(1)(4) | | | 6,150 | | | | 6,088 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 | | | | | | | | |
3.06%, 08/15/2049, Series 2016-JP2, Class AS | | | 1,993 | | | | 1,865 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.95%, 0.84% Floor), 02/15/2035, Series 2018-ASH8, Class A(1)(2) | | | 7,500 | | | | 7,327 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | | | | | | | | |
4.25%, 07/05/2033, Series 2018-WPT, Class AFX(1) | | | 965 | | | | 957 | |
5.35%, 07/05/2033, Series 2018-WPT, Class DFX(1) | | | 10,060 | | | | 9,899 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB | | | | | | | | |
3.40%, 06/05/2039, Series 2019-OSB, Class A(1) | | | 8,013 | | | | 7,343 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2021-1440 | | | | | | | | |
2.62% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 03/15/2036, Series 2021-1440, Class A(1)(2) | | | 5,000 | | | | 4,862 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5 | | | | | | | | |
3.29% (1 Month LIBOR USD + 1.97%, 1.97% Floor), 11/15/2038, Series 2021-HTL5, Class C(1)(2) | | | 8,700 | | | | 8,242 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC | | | | | | | | |
3.02% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 04/15/2038, Series 2021-MHC, Class D(1)(2) | | | 4,263 | | | | 4,027 | |
3.30% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 04/15/2038, Series 2021-MHC, Class C(1)(2) | | | 1,000 | | | | 950 | |
JP Morgan Mortgage Trust 2019-7 | | | | | | | | |
3.04%, 02/25/2050, Series 2019-7, Class B2A(1)(4) | | | 5,151 | | | | 4,502 | |
JP Morgan Mortgage Trust 2019-INV1 | | | | | | | | |
5.00%, 10/25/2049, Series 2019-INV1, Class B3(1)(4) | | | 1,510 | | | | 1,411 | |
JP Morgan Mortgage Trust 2019-INV3 | | | | | | | | |
3.50%, 05/25/2050, Series 2019-INV3, Class A15(1)(4) | | | 962 | | | | 902 | |
3.50%, 05/25/2050, Series 2019-INV3, Class A3(1)(4) | | | 1,126 | | | | 1,073 | |
JP Morgan Mortgage Trust 2020-7 | | | | | | | | |
3.00%, 01/25/2051, Series 2020-7, Class A15(1)(4) | | | 3,311 | | | | 3,021 | |
JP Morgan Mortgage Trust 2020-INV1 | | | | | | | | |
3.50%, 08/25/2050, Series 2020-INV1, Class A3(1)(4) | | | 942 | | | | 895 | |
JP Morgan Mortgage Trust 2020-INV2 | | | | | | | | |
3.00%, 10/25/2050, Series 2020-INV2, Class A15(1)(4) | | | 1,435 | | | | 1,328 | |
JP Morgan Mortgage Trust 2020-LTV1 | | | | | | | | |
3.29%, 06/25/2050, Series 2020-LTV1, Class B1A(1)(4) | | | 4,742 | | | | 4,409 | |
JP Morgan Mortgage Trust 2021-13 | | | | | | | | |
2.50%, 04/25/2052, Series 2021-13, Class A3(1)(4) | | | 40,001 | | | | 34,178 | |
JP Morgan Mortgage Trust 2021-14 | | | | | | | | |
2.50%, 05/25/2052, Series 2021-14, Class A3(1)(4) | | | 18,600 | | | | 15,856 | |
JP Morgan Mortgage Trust 2022-1 | | | | | | | | |
3.00%, 07/25/2052, Series 2022-1, Class A2(1)(4) | | | 7,698 | | | | 6,848 | |
JP Morgan Seasoned Mortgage Trust 2010-1 | | | | | | | | |
0.00%, 03/25/2050, Series 2010-1, Class B(1)(4) | | | 7,773 | | | | 6,695 | |
JP Morgan Trust 2015-1 | | | | | | | | |
2.17%, 12/25/2044, Series 2015-1, Class B4(1)(4) | | | 1,211 | | | | 1,182 | |
JPMBB Commercial Mortgage Securities Trust 2014-C24 | | | | | | | | |
2.94%, 11/15/2047, Series 2014-C24, Class A2 | | | 69 | | | | 68 | |
JPMBB Commercial Mortgage Securities Trust 2015-C30 | | | | | | | | |
3.82%, 07/15/2048, Series 2015-C30, Class A5 | | | 2,780 | | | | 2,745 | |
JPMBB Commercial Mortgage Securities Trust 2015-C31 | | | | | | | | |
3.80%, 08/15/2048, Series 2015-C31, Class A3 | | | 4,662 | | | | 4,552 | |
| | | | | | | | |
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | | | | | | | | |
3.88%, 03/15/2050, Series 2017-JP5, Class AS(4) | | | 4,990 | | | | 4,778 | |
JPMDB Commercial Mortgage Securities Trust 2016-C4 | | | | | | | | |
3.38%, 12/15/2049, Series 2016-C4, Class AS | | | 4,040 | | | | 3,801 | |
Lanark Master Issuer Plc | | | | | | | | |
2.28%, 12/22/2069, Series 2020-1A, Class 1A(1)(4) | | | 695 | | | | 689 | |
Legacy Mortgage Asset Trust 2019-GS7 | | | | | | | | |
3.25%, 11/25/2059, Series 2019-GS7, Class A1(1)(5) | | | 4,464 | | | | 4,442 | |
Legacy Mortgage Asset Trust 2020-GS1 | | | | | | | | |
2.88%, 10/25/2059, Series 2020-GS1, Class A1(1)(5) | | | 3,195 | | | | 3,173 | |
Legacy Mortgage Asset Trust 2020-GS5 | | | | | | | | |
3.25%, 06/25/2060, Series 2020-GS5, Class A1(1)(5) | | | 849 | | | | 836 | |
Legacy Mortgage Asset Trust 2020-SL1 | | | | | | | | |
2.73%, 01/25/2060, Series 2020-SL1, Class A(1)(5) | | | 2,410 | | | | 2,349 | |
Legacy Mortgage Asset Trust 2021-GS2 | | | | | | | | |
1.75%, 04/25/2061, Series 2021-GS2, Class A1(1)(5) | | | 4,834 | | | | 4,532 | |
Legacy Mortgage Asset Trust 2021-GS3 | | | | | | | | |
1.75%, 07/25/2061, Series 2021-GS3, Class A1(1)(5) | | | 9,789 | | | | 9,003 | |
Legacy Mortgage Asset Trust 2021-GS4 | | | | | | | | |
1.65%, 11/25/2060, Series 2021-GS4, Class A1(1)(5) | | | 8,563 | | | | 7,937 | |
Legacy Mortgage Asset Trust 2021-GS5 | | | | | | | | |
2.25%, 07/25/2067, Series 2021-GS5, Class A1(1)(5) | | | 8,072 | | | | 7,520 | |
Lehman XS Trust Series 2005-5N | | | | | | | | |
1.98% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 11/25/2035, Series 2005-5N, Class 3A2(2) | | | 9,084 | | | | 8,516 | |
Life 2021-BMR Mortgage Trust | | | | | | | | |
4.27% (1 Month LIBOR USD + 2.95%, 2.95% Floor), 03/15/2038, Series 2021-BMR, Class G(1)(2) | | | 9,214 | | | | 8,573 | |
Ludgate Funding Plc | | | | | | | | |
1.64% (3 Month LIBOR GBP + 0.60%), 01/01/2061, Series 2008-W1X, Class A1(2) | | GBP | 512 | | | | 607 | |
LUXE Trust 2021-MLBH | | | | | | | | |
3.03% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/15/2038, Series 2021-MLBH,
Class C(1)(2) | | $ | 15,500 | | | | 14,767 | |
Mansard Mortgages 2007-1 Plc | | | | | | | | |
0.87% (Sterling Overnight Index Average + 0.42%), 04/15/2049, Series 2007-1X, Class M1(2) | | GBP | 4,740 | | | | 5,353 | |
Med Trust 2021-MDLN | | | | | | | | |
3.13% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 11/15/2038, Series 2021-MDLN,
Class C(1)(2) | | $ | 4,140 | | | | 3,948 | |
Mello Mortgage Capital Acceptance 2021-INV4 | | | | | | | | |
2.50%, 12/25/2051, Series 2021-INV4, Class A3(1)(4) | | | 9,773 | | | | 8,331 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | | | | | | | | |
2.12%, 04/25/2029, Series 2004-HB1, Class A3(4) | | | 328 | | | | 304 | |
Metlife Securitization Trust 2018-1 | | | | | | | | |
3.75%, 03/25/2057, Series 2018-1A, Class A(1)(4) | | | 7,649 | | | | 7,450 | |
MF1 2021-W10X | | | | | | | | |
2.35% (1 Month Term SOFR + 1.07%, 1.07% Floor), 12/15/2034, Series 2021-W10, Class A(1)(2) | | | 5,140 | | | | 5,138 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | |
2.65% (1 Month Term SOFR + 1.31%, 1.20% Floor), 07/15/2036, Series 2021-FL5, Class AS(1)(2) | | | 15,000 | | | | 14,592 | |
MFA 2021-NQM2 Trust | | | | | | | | |
1.03%, 11/25/2064, Series 2021-NQM2, Class A1(1)(4) | | | 3,120 | | | | 2,828 | |
MHC Commercial Mortgage Trust 2021-MHC | | | | | | | | |
2.67% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 04/15/2038, Series 2021-MHC, Class C(1)(2) | | | 3,500 | | | | 3,315 | |
MHC Trust 2021-MHC2 | | | | | | | | |
3.27% (1 Month LIBOR USD + 1.95%, 1.95% Floor), 05/15/2023, Series 2021-MHC2, Class E(1)(2) | | | 2,050 | | | | 1,911 | |
Mill City Mortgage Loan Trust 2017-2 | | | | | | | | |
2.75%, 07/25/2059, Series 2017-2, Class A1(1)(4) | | | 81 | | | | 80 | |
Mill City Mortgage Loan Trust 2018-1 | | | | | | | | |
3.25%, 05/25/2062, Series 2018-1, Class A1(1)(4) | | | 1,762 | | | | 1,732 | |
Mill City Mortgage Loan Trust 2018-2 | | | | | | | | |
3.75%, 05/25/2058, Series 2018-2, Class M1(1)(4) | | | 494 | | | | 482 | |
Mill City Mortgage Loan Trust 2018-3 | | | | | | | | |
3.50%, 08/25/2058, Series 2018-3, Class A1(1)(4) | | | 1,184 | | | | 1,158 | |
Mill City Mortgage Loan Trust 2019-1 | | | | | | | | |
3.25%, 10/25/2069, Series 2019-1, Class A1(1)(4) | | | 1,258 | | | | 1,223 | |
3.50%, 10/25/2069, Series 2019-1, Class M1(1)(4) | | | 1,188 | | | | 1,095 | |
Mill City Mortgage Loan Trust 2019-GS1 | | | | | | | | |
2.75%, 07/25/2059, Series 2019-GS1, Class A1(1)(4) | | | 2,837 | | | | 2,771 | |
3.25%, 07/25/2059, Series 2019-GS1, Class M2(1)(4) | | | 1,115 | | | | 1,032 | |
Mill City Mortgage Loan Trust 2019-GS2 | | | | | | | | |
2.75%, 08/25/2059, Series 2019-GS2, Class A1(1)(4) | | | 7,563 | | | | 7,332 | |
Mill City Mortgage Loan Trust 2021-NMR1 | | | | | | | | |
2.50%, 11/25/2060, Series 2021-NMR1, Class M2(1)(4) | | | 1,000 | | | | 869 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | | | | | | | | |
4.50%, 08/15/2046, Series 2013-C11, Class B(4) | | | 1,563 | | | | 1,168 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | | | | | | | | |
4.92%, 10/15/2046, Series 2013-C12, Class C(4) | | | 900 | | | | 851 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | | | | | | | | |
4.26%, 04/15/2047, Series 2014-C15, Class AS | | | 1,940 | | | | 1,929 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | | | | | | | | |
3.74%, 08/15/2047, Series 2014-C17, Class A5 | | | 974 | | | | 963 | |
4.46%, 08/15/2047, Series 2014-C17, Class B(4) | | | 122 | | | | 119 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
3.73%, 05/15/2048, Series 2015-C24, Class A4 | | | 6,000 | | | | 5,900 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 | | | | | | | | |
2.86%, 09/15/2049, Series 2016-C30, Class A5 | | | 3,220 | | | | 3,048 | |
Morgan Stanley Capital I Trust 2011-C2 | | | | | | | | |
5.39%, 06/15/2044, Series 2011-C2, Class E(1)(4) | | | 1,415 | | | | 1,132 | |
Morgan Stanley Capital I Trust 2018-H4 | | | | | | | | |
4.31%, 12/15/2051, Series 2018-H4, Class A4 | | | 4,030 | | | | 3,980 | |
Morgan Stanley Capital I Trust 2018-SUN | | | | | | | | |
2.72% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/15/2035, Series 2018-SUN, Class C(1)(2) | | | 16,000 | | | | 15,317 | |
| | | | | | | | |
Morgan Stanley Capital I Trust 2021-230P | | | | | | | | |
3.12% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 12/15/2023, Series 2021-230P, Class C(1)(2) | | | 9,974 | | | | 9,555 | |
Morgan Stanley Resecuritization Trust 2013-R7 | | | | | | | | |
1.55% (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap), 12/26/2046, Series 2013-R7, Class 4B(1)(2) | | | 783 | | | | 781 | |
MRCD 2019-MARK Mortgage Trust | | | | | | | | |
2.72%, 12/15/2036, Series 2019-PARK, Class D(1) | | | 3,000 | | | | 2,736 | |
MSBAM Commercial Mortgage Securities Trust 2012-CKSV | | | | | | | | |
3.28%, 10/15/2030, Series 2012-CKSV, Class A2(1) | | | 767 | | | | 760 | |
MSCG Trust 2018-SELF | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037, Series 2018-SELF, Class A(1)(2) | | | 4,110 | | | | 4,017 | |
New Orleans Hotel Trust 2019-HNLA | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.99%, 0.99% Floor), 04/15/2032, Series 2019-HNLA,
Class A(1)(2) | | | 5,000 | | | | 4,819 | |
2.61% (1 Month LIBOR USD + 1.29%, 1.29% Floor), 04/15/2032, Series 2019-HNLA,
Class B(1)(2) | | | 6,425 | | | | 6,131 | |
New Residential Mortgage Loan Trust 2019-NQM5 | | | | | | | | |
2.71%, 11/25/2059, Series 2019-NQM5, Class A1(1)(4) | | | 1,085 | | | | 1,028 | |
New Residential Mortgage Loan Trust 2019-RPL3 | | | | | | | | |
2.75%, 07/25/2059, Series 2019-RPL3, Class A1(1)(4) | | | 21,694 | | | | 20,958 | |
New Residential Mortgage Loan Trust 2020-NQM | | | | | | | | |
3.89%, 05/24/2060, Series 2020-NQM2, Class M1(1)(4) | | | 8,812 | | | | 7,989 | |
New Residential Mortgage Loan Trust 2020-NQM1 | | | | | | | | |
2.46%, 01/26/2060, Series 2020-NQM1, Class A1(1)(4) | | | 1,202 | | | | 1,154 | |
New Residential Mortgage Loan Trust 2021-INV1 | | | | | | | | |
2.50%, 06/25/2051, Series 2021-INV1, Class A6(1)(4) | | | 6,411 | | | | 5,846 | |
New Residential Mortgage Loan Trust 2021-NQM1R | | | | | | | | |
1.10%, 07/25/2055, Series 2021-NQ1R, Class A2(1)(4) | | | 1,194 | | | | 1,128 | |
1.20%, 07/25/2055, Series 2021-NQ1R, Class A3(1)(4) | | | 1,468 | | | | 1,385 | |
NLT 2021-INV3 Trust | | | | | | | | |
0.00%, 11/25/2056, Series 2021-INV3, Class PT(1)(4)(8) | | | 21,317 | | | | 20,569 | |
NYO Commercial Mortgage Trust 2021-1290 | | | | | | | | |
2.42% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 11/15/2038, Series 2021-1290, Class A(1)(2) | | | 10,900 | | | | 10,416 | |
OBX 2018-EXP1 Trust | | | | | | | | |
2.47% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/25/2048, Series 2018-EXP1,
Class 2A1(1)(2) | | | 238 | | | | 237 | |
4.00%, 04/25/2048, Series 2018-EXP1, Class 1A3(1)(4) | | | 291 | | | | 279 | |
OBX 2019-EXP2 Trust | | | | | | | | |
4.00%, 06/25/2059, Series 2019-EXP2, Class 1A3(1)(4) | | | 860 | | | | 821 | |
OBX 2019-EXP3 Trust | | | | | | | | |
3.50%, 10/25/2059, Series 2019-EXP3, Class 1A8(1)(4) | | | 589 | | | | 565 | |
OBX 2020-EXP1 Trust | | | | | | | | |
2.37% (1 Month LIBOR USD + 0.75%), 02/25/2060, Series 2020-EXP1, Class 2A1(1)(2) | | | 272 | | | | 266 | |
3.50%, 02/25/2060, Series 2020-EXP1, Class 1A8(1)(4) | | | 1,235 | | | | 1,164 | |
OBX 2020-EXP2 Trust | | | | | | | | |
3.00%, 05/25/2060, Series 2020-EXP2, Class A8(1)(4) | | | 2,894 | | | | 2,712 | |
OBX 2020-EXP3 Trust | | | | | | | | |
3.00%, 01/25/2060, Series 2020-EXP3, Class 1A9(1)(4) | | | 2,319 | | | | 2,199 | |
OBX 2020-INV1 Trust | | | | | | | | |
3.50%, 12/25/2049, Series 2020-INV1, Class A5(1)(4) | | | 1,323 | | | | 1,262 | |
OBX 2021-NQM3 Trust | | | | | | | | |
1.05%, 07/25/2061, Series 2021-NQM3, Class A1(1)(4) | | | 4,561 | | | | 3,942 | |
1.26%, 07/25/2061, Series 2021-NQM3, Class A2(1)(4) | | | 2,591 | | | | 2,234 | |
One Bryant Park Trust 2019-OBP | | | | | | | | |
2.52%, 09/15/2054, Series 2019-OBP, Class A(1) | | | 7,390 | | | | 6,385 | |
One Market Plaza Trust 2017-1MKT | | | | | | | | |
3.61%, 02/10/2032, Series 2017-1MKT, Class A(1) | | | 9,606 | | | | 9,429 | |
Precise Mortgage Funding 2018-2B Plc | | | | | | | | |
1.55% (Sterling Overnight Index Average + 0.80%), 03/12/2055, Series 2018-2B, Class A(2) | | GBP | 2,471 | | | | 2,997 | |
PRPM 2020-4 LLC | | | | | | | | |
2.95%, 10/25/2025, Series 2020-4, Class A1(1)(5) | | $ | 2,516 | | | | 2,434 | |
PRPM 2021-1 LLC | | | | | | | | |
2.12%, 01/25/2026, Series 2021-1, Class A1(1)(4) | | | 6,102 | | | | 5,796 | |
PRPM 2021-10 LLC | | | | | | | | |
2.49%, 10/25/2026, Series 2021-10, Class A1(1)(5) | | | 6,600 | | | | 6,236 | |
PRPM 2021-2 LLC | | | | | | | | |
2.12%, 03/25/2026, Series 2021-2, Class A1(1)(4) | | | 2,741 | | | | 2,612 | |
PRPM 2021-3 LLC | | | | | | | | |
1.87%, 04/25/2026, Series 2021-3, Class A1(1)(5) | | | 5,669 | | | | 5,345 | |
PRPM 2021-8 LLC | | | | | | | | |
1.74%, 09/25/2026, Series 2021-8, Class A1(1)(4) | | | 5,178 | | | | 4,817 | |
PRPM 2022-1 LLC | | | | | | | | |
3.72%, 02/25/2027, Series 2022-1, Class A1(1)(5) | | | 39,053 | | | | 37,520 | |
Queens Center Mortgage Trust 2013-QC | | | | | | | | |
3.28%, 01/11/2037, Series 2013-QCA, Class A(1) | | | 3,915 | | | | 3,758 | |
RALI Series 2006-QS9 Trust | | | | | | | | |
6.00%, 07/25/2036, Series 2006-QS9, Class 1A3 | | | 2,826 | | | | 2,368 | |
RALI Series 2007-QH8 Trust | | | | | | | | |
1.26%, 10/25/2037, Series 2007-QH8, Class A(4) | | | 868 | | | | 797 | |
RALI Series 2007-QS2 Trust | | | | | | | | |
6.25%, 01/25/2037, Series 2007-QS2, Class A4 | | | 15,687 | | | | 13,463 | |
RATE Mortgage Trust 2021-HB1 | | | | | | | | |
2.50%, 12/25/2051, Series 2021-HB1, Class A1(1)(4) | | | 16,428 | | | | 14,036 | |
RBS Commercial Funding, Inc. 2013-GSP Trust | | | | | | | | |
3.96%, 01/15/2032, Series 2013-GSP, Class A(1)(4) | | | 6,870 | | | | 6,760 | |
RCKT Mortgage Trust 2021-6 | | | | | | | | |
2.50%, 12/25/2051, Series 2021-6, Class A1(1)(4) | | | 16,235 | | | | 13,871 | |
RCKT Mortgage Trust 2022-1 | | | | | | | | |
2.50%, 01/25/2052, Series 2022-1, Class A1(1)(4) | | | 9,976 | | | | 8,560 | |
Ready Capital Mortgage Financing 2022-FL9 LLC | | | | | | | | |
3.72% (1 Month Term SOFR + 2.47%, 2.47% Floor), 06/25/2037, Series 2022-FL9, Class A(1)(2) | | | 771 | | | | 766 | |
| | | | | | | | |
Real Estate Asset Liquidity Trust | | | | | | | | |
2.42%, 06/12/2054, Series 2019-1A, Class A1(1)(4) | | CAD | 8,284 | | | | 6,287 | |
Residential Mortgage Securities 32 Plc | | | | | | | | |
2.04% (Sterling Overnight Index Average + 1.25%), 06/20/2070, Series 32A, Class A(1)(2) | | GBP | 1,406 | | | | 1,706 | |
RESIMAC Bastille Trust Series 2018-1NC | | | | | | | | |
1.68% (1 Month LIBOR USD + 0.85%), 12/05/2059, Series 2018-1NCA, Class A1(1)(2) | | $ | 408 | | | | 408 | |
RIAL 2022-FL8 Issuer Ltd. | | | | | | | | |
3.73% (1 Month Term SOFR + 2.25%, 2.25% Floor), 01/19/2037, Series 2022-FL8, Class A(1)(2) | | | 5,488 | | | | 5,401 | |
Ripon Mortgages Plc | | | | | | | | |
1.35% (Sterling Overnight Index Average + 0.70%), 08/28/2056, Series 1RA, Class A(1)(2) | | GBP | 48,148 | | | | 57,750 | |
Sequoia Mortgage Trust 2003-2 | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 11.50% Cap), 06/20/2033, Series 2003-2, Class A1(2) | | $ | 279 | | | | 271 | |
Sequoia Mortgage Trust 2004-9 | | | | | | | | |
1.99% (6 Month LIBOR USD + 0.72%, 0.72% Floor, 11.50% Cap), 10/20/2034, Series 2004-9, Class A2(2) | | | 806 | | | | 743 | |
Sequoia Mortgage Trust 2013-4 | | | | | | | | |
3.45%, 04/25/2043, Series 2013-4, Class B1(4) | | | 525 | | | | 509 | |
Sequoia Mortgage Trust 2017-CH1 | | | | | | | | |
4.00%, 08/25/2047, Series 2017-CH1, Class A1(1)(4) | | | 622 | | | | 612 | |
Sequoia Mortgage Trust 2017-CH2 | | | | | | | | |
4.00%, 12/25/2047, Series 2017-CH2, Class A1(1)(4) | | | 239 | | | | 232 | |
4.00%, 12/25/2047, Series 2017-CH2, Class A19(1)(4) | | | 248 | | | | 241 | |
Sequoia Mortgage Trust 2018-CH1 | | | | | | | | |
3.50%, 03/25/2048, Series 2018-CH1, Class A2(1)(4) | | | 67 | | | | 64 | |
Sequoia Mortgage Trust 2018-CH2 | | | | | | | | |
4.00%, 06/25/2048, Series 2018-CH2, Class A21(1)(4) | | | 169 | | | | 166 | |
Sequoia Mortgage Trust 2018-CH3 | | | | | | | | |
4.00%, 08/25/2048, Series 2018-CH3, Class A2(1)(4) | | | 247 | | | | 245 | |
4.50%, 08/25/2048, Series 2018-CH3, Class A19(1)(4) | | | 103 | | | | 103 | |
4.50%, 08/25/2048, Series 2018-CH3, Class A13(1)(4) | | | 612 | | | | 609 | |
Sequoia Mortgage Trust 2018-CH4 | | | | | | | | |
4.00%, 10/25/2048, Series 2018-CH4, Class A2(1)(4) | | | 92 | | | | 91 | |
Sequoia Mortgage Trust 2019-CH2 | | | | | | | | |
4.50%, 08/25/2049, Series 2019-CH2, Class A1(1)(4) | | | 141 | | | | 140 | |
SFO Commercial Mortgage Trust 2021-555 | | | | | | | | |
2.47% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 05/15/2038, Series 2021-555, Class A(1)(2) | | | 4,900 | | | | 4,679 | |
3.12% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 05/15/2038, Series 2021-555, Class C(1)(2) | | | 6,000 | | | | 5,638 | |
SLM Student Loan Trust 2008-9 | | | | | | | | |
2.68% (3 Month LIBOR USD + 1.50%), 04/25/2023, Series 2008-9, Class A(2) | | | 5,638 | | | | 5,623 | |
Southern Pacific Securities 06-1 Plc | | | | | | | | |
1.84% (3 Month LIBOR GBP + 0.30%), 03/10/2044, Series 2006-1X, Class B1C(2) | | GBP | 222 | | | | 270 | |
SREIT Trust 2021-MFP2 | | | | | | | | |
2.15% (1 Month LIBOR USD + 0.82%, 0.82% Floor), 11/15/2036, Series 2021-MFP2, Class A(1)(2) | | $ | 5,000 | | | | 4,792 | |
STACR Trust 2018-DNA3 | | | | | | | | |
2.52% (1 Month LIBOR USD + 0.90%), 09/25/2048, Series 2018-DNA3,
Class M2AS(1)(2) | | | 3,293 | | | | 3,258 | |
STACR Trust 2018-HRP2 | | | | | | | | |
2.87% (1 Month LIBOR USD + 1.25%), 02/25/2047, Series 2018-HRP2, Class M2(1)(2) | | | 296 | | | | 295 | |
Starwood Mortgage Residential Trust 2019-INV1 | | | | | | | | |
2.61%, 09/27/2049, Series 2019-INV1, Class A1(1)(4) | | | 83 | | | | 83 | |
Starwood Mortgage Residential Trust 2020-INV | | | | | | | | |
2.50%, 11/25/2055, Series 2020-INV1, Class M1(1) | | | 1,545 | | | | 1,498 | |
Stratton Mortgage Funding | | | | | | | | |
1.85% (Sterling Overnight Index Average + 0.90%), 07/20/2060, Series 2021-2A, Class A(1)(2) | | GBP | 15,901 | | | | 19,228 | |
STWD 2021-LIH Mortgage Trust | | | | | | | | |
3.28% (1 Month LIBOR USD + 1.96%, 1.96% Floor), 11/15/2036, Series 2021-LIH, Class C(1)(2) | | $ | 16,200 | | | | 15,362 | |
STWD Trust 2021-FLWR | | | | | | | | |
3.25% (1 Month LIBOR USD + 1.92%, 1.92% Floor), 07/15/2036, Series 2021-FLWR,
Class E(1)(2) | | | 5,000 | | | | 4,650 | |
Sutherland Commercial Mortgage Loans 2017-SBC6 | | | | | | | | |
3.19%, 05/25/2037, Series 2017-SBC6, Class A(1)(4) | | | 544 | | | | 543 | |
Taubman Centers Commercial Mortgage Trust 2022-DPM | | | | | | | | |
3.46% (1 Month Term SOFR + 2.19%, 2.19% Floor), 05/15/2037, Series 2022-DPM, Class A(1)(2) | | | 2,380 | | | | 2,315 | |
Toorak Mortgage Corp. 2021-1 Ltd. | | | | | | | | |
2.24%, 06/25/2024, Series 2021-1, Class A1(1)(5) | | | 7,160 | | | | 6,709 | |
Towd Point Mortgage Funding | | | | | | | | |
1.36% (Sterling Overnight Index Average + 0.90%), 07/20/2045, Series 2019-A13A, Class A1(1)(2) | | GBP | 74,540 | | | | 90,637 | |
Towd Point Mortgage Funding 2018 - Auburn 12 Plc | | | | | | | | |
1.55% (Sterling Overnight Index Average + 0.92%, 0.80% Floor), 02/20/2045, Series 2018-A12X, Class A(2) | | | 1,831 | | | | 2,222 | |
Towd Point Mortgage Funding 2019 - Granite4 Plc | | | | | | | | |
2.10% (Sterling Overnight Index Average + 1.14%), 10/20/2051, Series 2019-GR4A, Class A1(1)(2) | | | 17,582 | | | | 21,332 | |
Towd Point Mortgage Trust 2015-4 | | | | | | | | |
3.75%, 04/25/2055, Series 2015-4, Class M2(1)(4) | | $ | 100 | | | | 99 | |
3.75%, 04/25/2055, Series 2015-4, Class M1(1)(4) | | | 431 | | | | 430 | |
Towd Point Mortgage Trust 2016-1 | | | | | | | | |
3.00%, 02/25/2055, Series 2016-1, Class A3B(1)(4) | | | 12 | | | | 12 | |
Towd Point Mortgage Trust 2016-4 | | | | | | | | |
2.25%, 07/25/2056, Series 2016-4, Class A1(1)(4) | | | 17 | | | | 17 | |
Towd Point Mortgage Trust 2017-1 | | | | | | | | |
2.75%, 10/25/2056, Series 2017-1, Class A1(1)(4) | | | 81 | | | | 80 | |
3.75%, 10/25/2056, Series 2017-1, Class M1(1)(4) | | | 6,315 | | | | 6,125 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057, Series 2017-2, Class A1(1)(4) | | | 39 | | | | 38 | |
Towd Point Mortgage Trust 2017-3 | | | | | | | | |
3.00%, 07/25/2057, Series 2017-3, Class A2(1)(4) | | | 320 | | | | 311 | |
Towd Point Mortgage Trust 2017-4 | | | | | | | | |
3.25%, 06/25/2057, Series 2017-4, Class M2(1)(4) | | | 3,873 | | | | 3,507 | |
Towd Point Mortgage Trust 2017-5 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.60%), 02/25/2057, Series 2017-5, Class A1(1)(2) | | | 168 | | | | 166 | |
3.12% (1 Month LIBOR USD + 1.50%), 02/25/2057, Series 2017-5, Class M2(1)(2) | | | 3,310 | | | | 3,231 | |
| | | | | | | | |
Towd Point Mortgage Trust 2018-3 | | | | | | | | |
3.75%, 05/25/2058, Series 2018-3, Class A1(1)(4) | | | 3,462 | | | | 3,383 | |
Towd Point Mortgage Trust 2018-4 | | | | | | | | |
3.00%, 06/25/2058, Series 2018-4, Class A2(1)(4) | | | 1,015 | | | | 916 | |
Towd Point Mortgage Trust 2018-5 | | | | | | | | |
3.25%, 07/25/2058, Series 2018-5, Class M1(1)(4) | | | 2,250 | | | | 1,932 | |
Towd Point Mortgage Trust 2019-1 | | | | | | | | |
3.66%, 03/25/2058, Series 2019-1, Class A1(1)(4) | | | 6,150 | | | | 5,999 | |
Towd Point Mortgage Trust 2019-2 | | | | | | | | |
3.75%, 12/25/2058, Series 2019-2, Class M1(1)(4) | | | 9,810 | | | | 8,638 | |
Towd Point Mortgage Trust 2019-4 | | | | | | | | |
2.90%, 10/25/2059, Series 2019-4, Class A1(1)(4) | | | 62,359 | | | | 60,381 | |
3.50%, 10/25/2059, Series 2019-4, Class M1(1)(4) | | | 1,155 | | | | 1,020 | |
Towd Point Mortgage Trust 2020-1 | | | | | | | | |
3.25%, 01/25/2060, Series 2020-1, Class A2B(1)(4) | | | 575 | | | | 512 | |
Towd Point Mortgage Trust 2020-2 | | | | | | | | |
3.00%, 04/25/2060, Series 2020-2, Class A2B(1)(4) | | | 310 | | | | 266 | |
Towd Point Mortgage Trust 2021-SJ2 | | | | | | | | |
2.25%, 12/25/2061, Series 2021-SJ2, Class A1A(1)(4) | | | 43,454 | | | | 42,431 | |
Trinity Square 2021-1 Plc | | | | | | | | |
2.34% (Sterling Overnight Index Average + 1.40%), 07/15/2059, Series 2021-1A, Class B(1)(2) | | GBP | 11,459 | | | | 13,779 | |
2.64% (Sterling Overnight Index Average + 1.70%), 07/15/2059, Series 2021-1A, Class C(1)(2) | | | 3,286 | | | | 3,941 | |
2.94% (Sterling Overnight Index Average + 2.00%), 07/15/2059, Series 2021-1A, Class D(1)(2) | | | 2,364 | | | | 2,836 | |
3.69% (Sterling Overnight Index Average + 2.75%), 07/15/2059, Series 2021-1A, Class E(1)(2) | | | 1,143 | | | | 1,346 | |
TRK 2021-INV1 Trust | | | | | | | | |
1.15%, 07/25/2056, Series 2021-INV1, Class A1(1)(4) | | $ | 4,392 | | | | 3,964 | |
TRK 2022-INV1 Trust | | | | | | | | |
2.58%, 02/25/2057, Series 2022-INV1, Class A1(1)(4) | | | 11,644 | | | | 10,951 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
4.96%, 05/10/2063, Series 2012-C2, Class E(1)(4) | | | 3,235 | | | | 109 | |
4.96%, 05/10/2063, Series 2012-C2, Class D(1)(4) | | | 1,135 | | | | 333 | |
Uropa Securities Plc | | | | | | | | |
0.00% (3 Month EURIBOR + 0.20%), 10/10/2040, Series 2007-1, Class A3B(2)(3) | | EUR | 1,865 | | | | 1,870 | |
UWM Mortgage Trust 2021-INV2 | | | | | | | | |
2.50%, 09/25/2051, Series 2021-INV2, Class A15(1)(4) | | $ | 6,326 | | | | 5,281 | |
VASA Trust 2021-VASA | | | | | | | | |
2.57% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 07/15/2039, Series 2021-VASA, Class B(1)(2) | | | 14,000 | | | | 13,327 | |
3.07% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 07/15/2039, Series 2021-VASA, Class C(1)(2) | | | 12,000 | | | | 11,393 | |
Verus Securitization Trust 2019-4 | | | | | | | | |
2.64%, 11/25/2059, Series 2019-4, Class A1(1)(5) | | | 887 | | | | 882 | |
2.85%, 11/25/2059, Series 2019-4, Class A2(1)(5) | | | 1,041 | | | | 1,035 | |
3.00%, 11/25/2059, Series 2019-4, Class A3(1)(5) | | | 1,809 | | | | 1,798 | |
Verus Securitization Trust 2019-INV2 | | | | | | | | |
3.12%, 07/25/2059, Series 2019-INV2, Class A2(1)(4) | | | 2,471 | | | | 2,464 | |
Verus Securitization Trust 2019-INV3 | | | | | | | | |
2.69%, 11/25/2059, Series 2019-INV3, Class A1(1)(4) | | | 2,442 | | | | 2,383 | |
Verus Securitization Trust 2020-1 | | | | | | | | |
2.72%, 01/25/2060, Series 2020-1, Class A3(1)(5) | | | 3,232 | | | | 3,168 | |
Verus Securitization Trust 2021-1 | | | | | | | | |
1.16%, 01/25/2066, Series 2021-1, Class A3(1)(4) | | | 2,853 | | | | 2,582 | |
Verus Securitization Trust 2021-8 | | | | | | | | |
1.82%, 11/25/2066, Series 2021-8, Class A1(1)(4) | | | 14,839 | | | | 13,358 | |
Verus Securitization Trust 2021-R1 | | | | | | | | |
1.26%, 10/25/2063, Series 2021-R1, Class A3(1)(4) | | | 1,909 | | | | 1,851 | |
Verus Securitization Trust 2021-R2 | | | | | | | | |
1.23%, 02/25/2064, Series 2021-R2, Class A3(1)(4) | | | 2,791 | | | | 2,691 | |
Verus Securitization Trust 2022-1 | | | | | | | | |
2.72%, 01/25/2067, Series 2022-1, Class A1(1)(5) | | | 11,371 | | | | 10,711 | |
Verus Securitization Trust 2022-3 | | | | | | | | |
4.13%, 02/25/2067, Series 2022-3, Class A1(1)(5) | | | 23,960 | | | | 23,481 | |
Vista Point Securitization Trust 2020-1 | | | | | | | | |
1.76%, 03/25/2065, Series 2020-1, Class A1(1)(4) | | | 44 | | | | 44 | |
3.20%, 03/25/2065, Series 2020-1, Class A3(1)(4) | | | 3,765 | | | | 3,693 | |
Vista Point Securitization Trust 2020-2 | | | | | | | | |
1.48%, 04/25/2065, Series 2020-2, Class A1(1)(4) | | | 1,303 | | | | 1,244 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 10.50% Cap), 08/25/2045, Series 2005-AR11, Class A1A(2) | | | 1,461 | | | | 1,407 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | | | | | | | | |
2.20% (1 Month LIBOR USD + 0.58%, 0.58% Floor, 10.50% Cap), 10/25/2045, Series 2005-AR13, Class A1A1(2) | | | 2,235 | | | | 2,129 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | | | | | | | | |
2.14% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 10.50% Cap), 11/25/2045, Series 2005-AR15, Class A1A1(2) | | | 3,410 | | | | 3,135 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 10.50% Cap), 01/25/2045, Series 2005-AR2, Class 1A1A(2) | | | 3,523 | | | | 3,355 | |
WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust | | | | | | | | |
1.23% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047, Series 2007-OA5, Class 1A(2) | | | 9,040 | | | | 7,941 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust | | | | | | | | |
5.50%, 04/25/2037, Series 2007-2, Class 2A1 | | | 5,189 | | | | 5,006 | |
Wells Fargo Commercial Mortgage Trust 2013-LC12 | | | | | | | | |
4.43%, 07/15/2046, Series 2013-LC12, Class B(4) | | | 1,940 | | | | 1,819 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | | | | | | | | |
4.02%, 08/15/2050, Series 2014-LC16, Class AS | | | 3,015 | | | | 2,924 | |
Wells Fargo Commercial Mortgage Trust 2016-C33 | | | | | | | | |
3.16%, 03/15/2059, Series 2016-C33, Class A3 | | | 901 | | | | 874 | |
4.51%, 03/15/2059, Series 2016-C33, Class B(4) | | | 4,317 | | | | 4,227 | |
Wells Fargo Commercial Mortgage Trust 2016-C35 | | | | | | | | |
3.18%, 07/15/2048, Series 2016-C35, Class AS | | | 3,155 | | | | 2,948 | |
Wells Fargo Commercial Mortgage Trust 2016-C36 | | | | | | | | |
3.42%, 11/15/2059, Series 2016-C36, Class AS | | | 4,341 | | | | 4,025 | |
| | | | | | | | |
Wells Fargo Commercial Mortgage Trust 2016-LC24 | | | | | | | | |
3.37%, 10/15/2049, Series 2016-LC24, Class AS | | | 6,000 | | | | 5,666 | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.45%, 07/15/2050, Series 2017-C38, Class A5 | | | 1,695 | | | | 1,633 | |
Wells Fargo Commercial Mortgage Trust 2017-HSDB | | | | | | | | |
2.11% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031, Series 2017-HSDB,
Class A(1)(2) | | | 8,100 | | | | 7,964 | |
2.36% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031, Series 2017-HSDB,
Class B(1)(2) | | | 6,700 | | | | 6,549 | |
3.10% (1 Month LIBOR USD + 1.84%, 1.85% Floor), 12/13/2031, Series 2017-HSDB,
Class D(1)(2) | | | 100 | | | | 95 | |
Wells Fargo Commercial Mortgage Trust 2019-JWDR | | | | | | | | |
2.58%, 09/15/2031, Series 2019-JWDR, Class A(1)(4) | | | 6,560 | | | | 5,982 | |
3.44%, 09/15/2031, Series 2019-JWDR, Class D(1)(4) | | | 10,000 | | | | 8,910 | |
Wells Fargo Commercial Mortgage Trust 2020-C55 | | | | | | | | |
2.73%, 02/15/2053, Series 2020-C55, Class A5 | | | 5,200 | | | | 4,630 | |
Wells Fargo Mortgage Backed Securities 2021-RR1 Trust | | | | | | | | |
2.50%, 12/25/2050, Series 2021-RR1, Class A1(1)(4) | | | 5,613 | | | | 5,233 | |
WFRBS Commercial Mortgage Trust 2012-C7 | | | | | | | | |
4.69%, 06/15/2045, Series 2012-C7, Class E(1)(4) | | | 690 | | | | 62 | |
WFRBS Commercial Mortgage Trust 2013-C15 | | | | | | | | |
4.67%, 08/15/2046, Series 2013-C15, Class B(4) | | | 1,525 | | | | 1,451 | |
WFRBS Commercial Mortgage Trust 2014-C20 | | | | | | | | |
4.38%, 05/15/2047, Series 2014-C20, Class B | | | 2,365 | | | | 2,241 | |
WFRBS Commercial Mortgage Trust 2014-C22 | | | | | | | | |
4.07%, 09/15/2057, Series 2014-C22, Class AS(4) | | | 4,250 | | | | 4,177 | |
WFRBS Commercial Mortgage Trust 2014-C24 | | | | | | | | |
4.20%, 11/15/2047, Series 2014-C24, Class B(4) | | | 825 | | | | 764 | |
Worldwide Plaza Trust 2017-WWP | | | | | | | | |
3.53%, 11/10/2036, Series 2017-WWP, Class A(1) | | | 1,740 | | | | 1,619 | |
3.72%, 11/10/2036, Series 2017-WWP, Class C(1)(4) | | | 320 | | | | 281 | |
| | | | | | | | |
Total Mortgage-Backed Obligations (Cost: $9,633,268) | | | | | | | 9,235,764 | |
| | | | | | | | |
Total Bonds & Notes (Cost: $33,114,160) | | | | | | | 30,424,008 | |
| | | | | | | | |
BANK LOANS – 1.30% | | | | |
1011778 BC ULC | | | | | | | | |
3.42% (LIBOR + 1.75%), 11/19/2026(2) | | | 1,552 | | | | 1,478 | |
AAdvantage Loyality IP Ltd. | | | | | | | | |
5.81% (LIBOR + 4.75%), 04/20/2028(2) | | | 2,246 | | | | 2,138 | |
Acrisure LLC | | | | | | | | |
5.17% (LIBOR + 3.50%), 02/15/2027(2) | | | 2,985 | | | | 2,731 | |
Acuity Specialty Products, Inc. | | | | | | | | |
5.00% (LIBOR + 4.00%), 08/12/2024(2) | | | 2,369 | | | | 2,061 | |
AEA International Holdings Sarl | | | | | | | | |
6.06% (LIBOR + 3.75%), 09/07/2028(2) | | | 1,349 | | | | 1,285 | |
Air Canada | | | | | | | | |
4.25% (LIBOR + 3.50%), 08/11/2028(2) | | | 3,700 | | | | 3,395 | |
Allied Universal Holdco LLC | | | | | | | | |
5.42% (LIBOR + 3.75%), 05/12/2028(2) | | | 1,129 | | | | 1,033 | |
Amentum Government Services Holdings LLC | | | | | | | | |
0.00%, 01/29/2027 | | | 408 | | | | 387 | |
American Airlines, Inc. | | | | | | | | |
3.40% (LIBOR + 1.75%), 01/29/2027(2) | | | 346 | | | | 304 | |
AmSurg LLC | | | | | | | | |
0.00%, 04/29/2027 | | | 231 | | | | 218 | |
12.50% (CME Term SOFR + 11.50%), 04/28/2028(2) | | | 3,062 | | | | 2,827 | |
16.03% (CME Term SOFR + 15.00%), 04/29/2027(2) | | | 1,269 | | | | 1,199 | |
AmWINS Group, Inc. | | | | | | | | |
3.92% (LIBOR + 2.25%), 02/19/2028(2) | | | 8,249 | | | | 7,779 | |
Aramark Intermediate HoldCo Corp. | | | | | | | | |
3.42% (LIBOR + 1.75%), 03/11/2025(2) | | | 187 | | | | 179 | |
athenahealth Group, Inc. | | | | | | | | |
5.01% (CME Term SOFR + 3.50%), 02/15/2029(2) | | | 2,138 | | | | 1,963 | |
Avantor Funding, Inc. | | | | | | | | |
3.92% (LIBOR + 2.25%), 11/08/2027(2) | | | 2,215 | | | | 2,125 | |
Avolon TLB Borrower 1 US LLC | | | | | | | | |
3.10% (LIBOR + 1.50%), 02/12/2027(2) | | | 695 | | | | 655 | |
3.35% (LIBOR + 1.75%), 01/15/2025(2) | | | 281 | | | | 268 | |
Axalta Coating Systems Dutch Holding B BV | | | | | | | | |
4.00% (LIBOR + 1.75%), 06/01/2024(2) | | | 67 | | | | 65 | |
Bakelite US Holdco, Inc. | | | | | | | | |
6.16% (CME Term SOFR + 4.00%), 05/29/2029(2) | | | 2,304 | | | | 2,148 | |
Bally’s Corp. | | | | | | | | |
4.37% (LIBOR + 3.25%), 10/02/2028(2) | | | 2,995 | | | | 2,773 | |
BCPE North Star US Holdco 2, Inc. | | | | | | | | |
6.25% (LIBOR + 4.00%), 06/09/2028(2) | | | 1,528 | | | | 1,404 | |
Berry Global, Inc. | | | | | | | | |
3.00% (LIBOR + 1.75%), 07/01/2026(2) | | | 1,372 | | | | 1,322 | |
Buckeye Partners LP | | | | | | | | |
3.92% (LIBOR + 2.25%), 11/01/2026(2) | | | 4,052 | | | | 3,867 | |
Caesars Resort Collection LLC | | | | | | | | |
4.42% (LIBOR + 2.75%), 12/23/2024(2) | | | 20,491 | | | | 19,693 | |
5.17% (LIBOR + 3.50%), 07/21/2025(2) | | | 3,424 | | | | 3,293 | |
Carnival Corp. | | | | | | | | |
3.97% (EURIBOR + 3.75%), 06/30/2025(2) | | EUR | 4,900 | | | | 4,711 | |
5.88% (LIBOR + 3.00%), 06/30/2025(2) | | $ | 10,584 | | | | 9,806 | |
6.13% (LIBOR + 3.25%), 10/18/2028(2) | | | 6,261 | | | | 5,603 | |
Central Parent, Inc. | | | | | | | | |
0.00%, 07/06/2029 | | | 2,900 | | | | 2,734 | |
| | | | | | | | |
Change Healthcare Holdings LLC | | | | | | | | |
4.17% (LIBOR + 2.50%), 03/01/2024(2) | | | 1,421 | | | | 1,380 | |
Charter Communications Operating LLC | | | | | | | | |
3.42% (LIBOR + 1.75%), 02/01/2027(2) | | | 7,309 | | | | 6,952 | |
Clarios Global LP | | | | | | | | |
4.92% (LIBOR + 3.25%), 04/30/2026(2) | | | 761 | | | | 708 | |
Cobham Ultra US Co-Borrower LLC | | | | | | | | |
0.00%, 11/17/2028 | | | 330 | | | | 313 | |
Commscope, Inc. | | | | | | | | |
4.92% (LIBOR + 3.25%), 04/06/2026(2) | | | 5,782 | | | | 5,179 | |
ConnectWise LLC | | | | | | | | |
5.75% (LIBOR + 3.50%), 09/29/2028(2) | | | 1,412 | | | | 1,290 | |
CSC Holdings LLC | | | | | | | | |
3.57% (LIBOR + 2.25%), 07/17/2025(2) | | | 3,692 | | | | 3,426 | |
3.82% (LIBOR + 2.50%), 04/15/2027(2) | | | 1,583 | | | | 1,468 | |
Deerfield Dakota Holding LLC | | | | | | | | |
5.28% (CME Term SOFR + 3.75%), 04/09/2027(2) | | | 1,328 | | | | 1,240 | |
Diamond Sports Group LLC | | | | | | | | |
4.43% (CME Term SOFR + 3.25%), 08/24/2026(2) | | | 1,728 | | | | 403 | |
DIRECTV Financing LLC | | | | | | | | |
6.67% (LIBOR + 5.00%), 08/02/2027(2) | | | 10,071 | | | | 9,244 | |
Elanco Animal Health, Inc. | | | | | | | | |
2.81% (LIBOR + 1.75%), 08/01/2027(2) | | | 10,238 | | | | 9,649 | |
Element Materials Technology Group US Holdings, Inc. | | | | | | | | |
0.00%, 04/12/2029 | | | 284 | | | | 272 | |
0.00%, 04/12/2029 | | | 615 | | | | 589 | |
Entegris, Inc. | | | | | | | | |
0.00%, 07/06/2029 | | | 1,610 | | | | 1,554 | |
Fanatics Commerce Intermediate Holdco LLC | | | | | | | | |
4.92% (LIBOR + 3.25%), 11/24/2028(2) | | | 482 | | | | 454 | |
Fertitta Entertainment LLC | | | | | | | | |
5.53% (CME Term SOFR + 4.00%), 01/27/2029(2) | | | 6,152 | | | | 5,657 | |
Foundation Building Materials, Inc. | | | | | | | | |
4.49% (LIBOR + 3.25%), 01/31/2028(2) | | | 2,055 | | | | 1,788 | |
Gainwell Acquisition Corp. | | | | | | | | |
6.25% (LIBOR + 4.00%), 10/01/2027(2) | | | 2,487 | | | | 2,347 | |
Genesee & Wyoming, Inc. | | | | | | | | |
4.25% (LIBOR + 2.00%), 12/30/2026(2) | | | 837 | | | | 802 | |
Gray Television, Inc. | | | | | | | | |
4.06% (LIBOR + 3.00%), 12/01/2028(2) | | | 2,159 | | | | 2,062 | |
Grifols Worldwide Operations Ltd. | | | | | | | | |
3.67% (LIBOR + 2.00%), 11/15/2027(2) | | | 6,690 | | | | 6,307 | |
Hilton Worldwide Finance LLC | | | | | | | | |
3.37% (LIBOR + 1.75%), 06/22/2026(2) | | | 7,632 | | | | 7,321 | |
Horizon Therapeutics USA, Inc. | | | | | | | | |
3.38% (LIBOR + 1.75%), 03/15/2028(2) | | | 7,229 | | | | 6,964 | |
Hostess Brands LLC | | | | | | | | |
3.60% (LIBOR + 2.25%), 08/03/2025(2) | | | 1,657 | | | | 1,585 | |
Hub International Ltd. | | | | | | | | |
0.00%, 04/25/2025 | | | 2,890 | | | | 2,735 | |
II-VI, Inc. | | | | | | | | |
0.00%, 12/08/2028 | | | 4,120 | | | | 3,940 | |
Ineos Finance Plc | | | | | | | | |
2.50% (EURIBOR + 2.00%), 04/01/2024(2) | | EUR | 21,473 | | | | 21,446 | |
Ingram Micro, Inc. | | | | | | | | |
0.00%, 06/30/2028 | | $ | 446 | | | | 421 | |
Intelsat Jackson Holdings SA | | | | | | | | |
4.92% (CME Term SOFR + 4.25%), 02/01/2029(2) | | | 3,256 | | | | 2,979 | |
Jazz Pharmaceuticals Plc | | | | | | | | |
5.17% (LIBOR + 3.50%), 05/05/2028(2) | | | 5,181 | | | | 4,932 | |
Lealand Finance Co. BV | | | | | | | | |
2.67% (LIBOR + 1.00%), 06/30/2025(2) | | | 623 | | | | 313 | |
4.67% (LIBOR + 3.00%), 06/28/2024(2) | | | 149 | | | | 89 | |
Level 3 Financing, Inc. | | | | | | | | |
3.42% (LIBOR + 1.75%), 03/01/2027(2) | | | 9,790 | | | | 9,048 | |
LSF11 A5 Holdco LLC | | | | | | | | |
5.14% (SOFR + 3.50%), 10/15/2028(2) | | | 1,811 | | | | 1,690 | |
Lumen Technologies, Inc. | | | | | | | | |
3.92% (LIBOR + 2.25%), 03/15/2027(2) | | | 6,745 | | | | 6,191 | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
3.42% (LIBOR + 1.75%), 08/29/2025(2) | | | 105 | | | | 100 | |
Medline Borrower LP | | | | | | | | |
4.92% (LIBOR + 3.25%), 10/23/2028(2) | | | 2,743 | | | | 2,540 | |
MH Sub I LLC | | | | | | | | |
5.42% (LIBOR + 3.75%), 09/13/2024(2) | | | 2,950 | | | | 2,771 | |
Naked Juice LLC | | | | | | | | |
5.40% (CME Term SOFR + 3.25%), 01/24/2029(2) | | | 2,369 | | | | 2,200 | |
Nortonlifelock, Inc. | | | | | | | | |
0.00%, 01/28/2029 | | | 9,100 | | | | 8,609 | |
Nouryon Finance BV | | | | | | | | |
5.25% (LIBOR + 3.00%), 10/01/2025(2) | | | 775 | | | | 732 | |
Olaplex, Inc. | | | | | | | | |
4.80% (CME Term SOFR + 3.75%), 02/23/2029(2) | | | 2,362 | | | | 2,227 | |
Organon & Co. | | | | | | | | |
4.63% (LIBOR + 3.00%), 06/02/2028(2) | | | 4,366 | | | | 4,193 | |
Osmosis Buyer Ltd. | | | | | | | | |
0.00%, 07/31/2028 | | | 228 | | | | 207 | |
0.00%, 07/31/2028 | | | 1,004 | | | | 910 | |
| | | | | | | | |
Peraton Corp. | | | | | | | | |
0.00%, 02/01/2028 | | | 438 | | | | 411 | |
PetSmart LLC | | | | | | | | |
4.50% (LIBOR + 3.75%), 02/11/2028(2) | | | 18,163 | | | | 17,046 | |
PetVet Care Centers LLC | | | | | | | | |
0.00%, 02/14/2025 | | | 446 | | | | 419 | |
Pre-Paid Legal Services, Inc. | | | | | | | | |
0.00%, 12/15/2028 | | | 864 | | | | 805 | |
Prime Security Services Borrower LLC | | | | | | | | |
0.00%, 09/23/2026 | | | 1,071 | | | | 997 | |
Proofpoint, Inc. | | | | | | | | |
0.00%, 08/31/2028 | | | 541 | | | | 501 | |
SBA Senior Finance II LLC | | | | | | | | |
3.42% (LIBOR + 1.75%), 04/11/2025(2) | | | 1,440 | | | | 1,385 | |
Scientific Games Holdings LP | | | | | | | | |
4.18% (CME Term SOFR + 3.50%), 04/04/2029(2) | | | 1,446 | | | | 1,336 | |
Scientific Games International, Inc. | | | | | | | | |
0.00%, 04/14/2029 | | | 447 | | | | 424 | |
Sequa Mezzanine Holdings LLC | | | | | | | | |
8.30% (LIBOR + 6.75%), 11/28/2023(2) | | | 6,219 | | | | 6,163 | |
Setanta Aircraft Leasing DAC | | | | | | | | |
4.25% (LIBOR + 2.00%), 11/05/2028(2) | | | 1,500 | | | | 1,424 | |
Sigma Holdco BV | | | | | | | | |
3.50% (EURIBOR + 3.50%), 07/02/2025(2) | | EUR | 7,690 | | | | 6,129 | |
Sinclair Television Group, Inc. | | | | | | | | |
4.67% (LIBOR + 3.00%), 04/01/2028(2) | | $ | 3,713 | | | | 3,432 | |
Softbank Vision Fund II | | | | | | | | |
0.00%, 12/21/2025(8) | | | 9,438 | | | | 9,438 | |
Sophia LP | | | | | | | | |
0.00%, 10/07/2027 | | | 243 | | | | 226 | |
Sotera Health Holdings LLC | | | | | | | | |
4.42% (LIBOR + 2.75%), 12/11/2026(2) | | | 12,000 | | | | 11,385 | |
Southwestern Energy Co. | | | | | | | | |
4.70% (SOFR + 2.50%), 06/22/2027(2) | | | 1,283 | | | | 1,244 | |
Spin Holdco, Inc. | | | | | | | | |
5.61% (LIBOR + 4.00%), 03/04/2028(2) | | | 3,046 | | | | 2,798 | |
SS&C Technologies Holdings, Inc. | | | | | | | | |
3.42% (LIBOR + 1.75%), 04/16/2025(2) | | | 234 | | | | 221 | |
3.42% (LIBOR + 1.75%), 04/16/2025(2) | | | 282 | | | | 268 | |
Sunshine Luxembourg VII Sarl | | | | | | | | |
6.00% (LIBOR + 3.75%), 10/01/2026(2) | | | 6,542 | | | | 6,040 | |
Syniverse Holdings LLC | | | | | | | | |
8.22% (CME Term SOFR + 7.00%), 05/13/2027(2) | | | 291 | | | | 256 | |
Telenet Financing USD LLC | | | | | | | | |
3.32% (LIBOR + 2.00%), 04/30/2028(2) | | | 1,250 | | | | 1,154 | |
Trans Union LLC | | | | | | | | |
3.92% (LIBOR + 2.25%), 12/01/2028(2) | | | 4,105 | | | | 3,906 | |
TransDigm, Inc. | | | | | | | | |
3.92% (LIBOR + 2.25%), 08/22/2024(2) | | | 2,745 | | | | 2,642 | |
3.92% (LIBOR + 2.25%), 05/30/2025(2) | | | 25,895 | | | | 24,553 | |
3.92% (LIBOR + 2.25%), 12/09/2025(2) | | | 21,543 | | | | 20,382 | |
TruGreen LP | | | | | | | | |
0.00%, 11/02/2027 | | | 446 | | | | 423 | |
Uber Technologies, Inc. | | | | | | | | |
5.07% (LIBOR + 3.50%), 04/04/2025(2) | | | 14,430 | | | | 13,796 | |
5.07% (LIBOR + 3.50%), 02/25/2027(2) | | | 10,363 | | | | 9,899 | |
United AirLines, Inc. | | | | | | | | |
5.39% (LIBOR + 3.75%), 04/21/2028(2) | | | 667 | | | | 618 | |
Univision Communications, Inc. | | | | | | | | |
4.42% (LIBOR + 2.75%), 03/15/2024(2) | | | 1,528 | | | | 1,499 | |
Windstream Services II LLC | | | | | | | | |
7.92% (LIBOR + 6.25%), 09/21/2027(2) | | | 73 | | | | 67 | |
Zayo Group Holdings, Inc. | | | | | | | | |
4.67% (LIBOR + 3.00%), 03/09/2027(2) | | | 8,611 | | | | 7,914 | |
5.78% (CME Term SOFR + 4.25%), 03/09/2027(2) | | | 1,111 | | | | 1,034 | |
| | | | | | | | |
Total Bank Loans (Cost: $435,074) | | | | 406,906 | |
| | | | | | | | |
| | |
| | | Shares
(000s) | | | Value
(000s) | |
| | | | | | | |
COMMON STOCKS – 0.12% | | | | |
Communications – 0.08% | | | | |
Clear Channel Outdoor Holdings, Inc. — Class A(15) | | | 2,065 | | | | 2,209 | |
iHeartMedia, Inc. — Class A(15) | | | 499 | | | | 3,937 | |
iHeartMedia, Inc. — Class B(8)(15) | | | 365 | | | | 2,595 | |
Intelsat SA(6)(8)(15) | | | 446 | | | | 16,399 | |
| | | | | | | | |
Total Communications | | | | 25,140 | |
| | | | | | | | |
Consumer Discretionary – 0.04% | | | | |
Neiman Marcus Group, Inc.(6)(8)(15) | | | 62 | | | | 10,773 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 10,773 | |
| | | | | | | | |
Energy – 0.00%(16) | | | | |
Noble Corp.(1)(8)(15) | | | 2 | | | | 47 | |
Noble Corp.(6)(15) | | | 16 | | | | 395 | |
| | | | | | | | |
Total Energy | | | | 442 | |
| | | | | | | | |
Financials – 0.00%(16) | | | | |
CBL & Associates Properties, Inc.(15) | | | 2 | | | | 40 | |
Voyager Aviation Holdings LLC(1)(8)(9)(15) | | | 0 | | | | – | |
| | | | | | | | |
Total Financials | | | | 40 | |
| | | | | | | | |
| | | | | | | | |
Industrials – 0.00%(16) | | | | |
AMI Investments LLC(8)(9)(15) | | | 206 | | | | — | |
| | | | | | | | |
Total Industrials | | | | — | |
| | | | | | | | |
Total Common Stocks (Cost: $53,433) | | | | 36,395 | |
| | | | | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.17% | | | | |
Financials – 0.17% | | | | |
Bank of America Corp., 7.25% | | | 23 | | | | 28,155 | |
Wells Fargo & Co., 7.50% | | | 20 | | | | 24,642 | |
| | | | | | | | |
Total Financials | | | | 52,797 | |
| | | | | | | | |
Total Convertible Preferred Stocks (Cost: $62,493) | | | | 52,797 | |
| | | | | | | | |
PREFERRED STOCKS – 0.07% | | | | |
Communications – 0.07% | | | | |
AT&T Mobility II LLC, 7.00%(6)(8)(15) | | | 1,036 | | | | 23,554 | |
| | | | | | | | |
Total Communications | | | | 23,554 | |
| | | | | | | | |
Financials – 0.00%(16) | | | | |
Cayenne Aviation Holdings LLC(1)(8)(9)(15) | | | 0 | | | | 7 | |
| | | | | | | | |
Total Financials | | | | 7 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $28,084) | | | | 23,561 | |
| | | | | | | | |
RIGHTS – 0.00%(16) | | | | |
Communications – 0.00%(16) | | | | |
Intelsat Jackson Holdings SA, expires 12/31/2049(8)(9)(15) | | | 47 | | | | — | |
Intelsat Jackson Holdings SA, expires 12/31/2049(8)(9)(15) | | | 48 | | | | — | |
| | | | | | | | |
Total Communications | | | | — | |
| | | | | | | | |
Total Rights (Cost: $0) | | | | — | |
| | | | | | | | |
WARRANTS – 0.00%(16) | | | | |
Communications – 0.00%(16) | | | | |
Intelsat SA, expires 02/17/2027(8)(9)(15) | | | 1 | | | | — | |
Intelsat SA, expires 02/17/2027(8)(9)(15) | | | 4 | | | | — | |
Windstream Holdings II LLC, expires 09/21/2055(8)(15) | | | 9 | | | | 81 | |
| | | | | | | | |
Total Communications | | | | 81 | |
| | | | | | | | |
Total Warrants (Cost: $8,440) | | | | 81 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 11.20% | | | | |
Money Market Funds – 2.49% | | | | |
Fidelity Institutional Money Market Government Fund — Class I, 1.25%(17) | | | 778,926 | | | | 778,926 | |
| | | | | | | | |
Total Money Market Funds (Cost: $778,926) | | | | | | | 778,926 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
| | | | | | | |
Government Related – 0.04% | | | | |
Republic of Argentina, -35.08%, 12/16/2022 | | ARS | 1,401,000 | | | | 13,426 | |
| | | | | | | | |
Total Government Related (Cost: $13,394) | | | | | | | 13,426 | |
| | | | | | | | |
Repurchase Agreements – 0.99% | | | | |
JP Morgan Securities LLC, 1.35% dated 06/30/2022, due 07/01/2022, repurchase price $124,205 (collateralized by U.S. Treasury Bond, value $127,114, 3.25%, 05/15/2042) | | $ | 124,200 | | | | 124,200 | |
JP Morgan Securities LLC, 1.40% dated 06/30/2022, due 07/01/2022, repurchase price $2,700 (collateralized by U.S. Treasury Bond, value $2,765, 2.25%, 05/15/2041) | | | 2,700 | | | | 2,700 | |
Nomura Securities International, Inc., 1.42% dated 06/30/2022, due 07/01/2022, repurchase price $182,707 (collateralized by U.S. Treasury Bond, value $187,152, 4.38%, 11/15/2039) | | | 182,700 | | | | 182,700 | |
| | | | | | | | |
Total Repurchase Agreements (Cost: $309,600) | | | | | | | 309,600 | |
| | | | | | | | |
U.S. Treasury Bills – 7.58% | | | | |
U.S. Cash Management Bill, 0.00%, 10/04/2022 | | | 100,000 | | | | 99,524 | |
U.S. Cash Management Bill, 0.00%, 10/25/2022 | | | 75,000 | | | | 74,516 | |
U.S. Treasury Bill, 0.00%, 07/07/2022 | | | 586,471 | | | | 586,398 | |
U.S. Treasury Bill, 0.00%, 07/12/2022(13) | | | 14,723 | | | | 14,719 | |
U.S. Treasury Bill, 0.00%, 07/21/2022(13) | | | 32,851 | | | | 32,832 | |
U.S. Treasury Bill, 0.00%, 07/26/2022 | | | 62,300 | | | | 62,256 | |
U.S. Treasury Bill, 0.00%, 07/28/2022(13) | | | 427,710 | | | | 427,364 | |
U.S. Treasury Bill, 0.00%, 08/04/2022 | | | 263,300 | | | | 263,006 | |
U.S. Treasury Bill, 0.00%, 08/11/2022(13) | | | 10,000 | | | | 9,985 | |
U.S. Treasury Bill, 0.00%, 08/25/2022 | | | 296,168 | | | | 295,519 | |
U.S. Treasury Bill, 0.00%, 09/01/2022(13) | | | 93,837 | | | | 93,591 | |
U.S. Treasury Bill, 0.00%, 09/15/2022 | | | 134,595 | | | | 134,146 | |
U.S. Treasury Bill, 0.00%, 09/22/2022 | | | 72,995 | | | | 72,721 | |
U.S. Treasury Bill, 0.00%, 11/03/2022 | | | 58,875 | | | | 58,470 | |
U.S. Treasury Bill, 0.00%, 12/15/2022 | | | 151,600 | | | | 150,012 | |
| | | | | | | | |
Total U.S. Treasury Bills (Cost: $2,376,396) | | | | | | | 2,375,059 | |
| | | | | | | | |
Time Deposits – 0.10% | | | | |
ANZ, Hong Kong, 0.25% due 07/01/2022 | | AUD | 901 | | | | 622 | |
BBVA, Madrid, 1.06% due 07/01/2022 | | $ | 194 | | | | 194 | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 117 | | | | 122 | |
BNP Paribas, Paris, 0.52% due 07/01/2022 | | GBP | 1,742 | | | | 2,120 | |
Brown Brothers Harriman, 0.25% due 07/01/2022 | | NZD | 89 | | | | 56 | |
Brown Brothers Harriman, 3.85% due 07/01/2022 | | ZAR | 6,134 | | | | 377 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 878 | | | | 921 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 7,427 | | | | 7,427 | |
Nordea Bank ABP, Oslo, 0.07% due 07/01/2022 | | NOK | 5 | | | | 1 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022 | | CAD | 84 | | | | 65 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 14,612 | | | | 14,612 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022(9) | | SEK | 3 | | | | 0 | |
Sumitomo, Tokyo, -0.36% due 07/01/2022 | | JPY | 732,552 | | | | 5,399 | |
| | | | | | | | |
Total Time Deposits (Cost: $31,916) | | | | | | | 31,916 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $3,510,232) | | | | 3,508,927 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 109.95%
(Cost: $37,211,916) | | | | | | | 34,452,675 | |
| | | | | | | | |
| | | | | | | | |
TBA SALE COMMITMENTS – (1.19)% | | | | |
Mortgage-Backed Obligations – (1.19)% | | | | |
Fannie Mae | | | | | | | | |
1.50%, 07/01/2036(18) | | $ | (583 | ) | | | (530 | ) |
1.50%, 07/01/2052(18) | | | (453 | ) | | | (376 | ) |
2.00%, 06/01/2037(18) | | | (497 | ) | | | (464 | ) |
2.00%, 07/01/2052(18) | | | (44,421 | ) | | | (38,542 | ) |
2.50%, 07/01/2037(18) | | | (388 | ) | | | (371 | ) |
2.50%, 07/01/2052(18) | | | (74,062 | ) | | | (66,592 | ) |
3.00%, 07/01/2037(18) | | | (14,204 | ) | | | (13,877 | ) |
3.50%, 07/01/2037(18) | | | (3,981 | ) | | | (3,956 | ) |
3.50%, 07/01/2052(18) | | | (18,752 | ) | | | (18,033 | ) |
4.00%, 07/01/2052(18) | | | (71,143 | ) | | | (70,152 | ) |
4.00%, 08/01/2052(18) | | | (103,828 | ) | | | (102,192 | ) |
5.00%, 07/01/2052(18) | | | (15,729 | ) | | | (16,053 | ) |
Ginnie Mae | | | | | | | | |
3.50%, 07/01/2052(18) | | | (23,180 | ) | | | (22,521 | ) |
3.50%, 08/01/2052(18) | | | (19,248 | ) | | | (18,672 | ) |
| | | | | | | | |
Total TBA Sale Commitments (Proceeds Received: $(371,015)) | | | | (372,331 | ) |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.76)% | | | | | | | (2,746,375 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 31,333,969 | |
| | | | | | | | |
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
COP Colombian Peso
EUR Euro
GBP British Pound
IDR Indonesian Rupiah
ILS Israeli New Shekel
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Sol
RUB Russian Ruble
SEK Swedish Krona
ZAR South African Rand
| (1) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $7,986,361, which represents 25.49% of total net assets. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2022. |
| (3) | 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. |
| (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, 2022. |
| (5) | 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, 2022. |
| (6) | Security that is restricted at June 30, 2022. The value of the restricted securities totals $92,515, which represents 0.30% of total net assets. |
| (7) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (8) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $89,463 or 0.29% of the Fund’s net assets. |
| (9) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (10) | Security in default as of June 30, 2022. The value of these securities totals $4,885, which represents 0.02% of total net assets. |
| (11) | Adjustable rate security. The rate reported is the rate in effect as of June 30, 2022. |
| (12) | Inflation protected security. The value of these securities totals $226,575, which represents 0.72% of total net assets. |
| (13) | Partially assigned as collateral for certain futures contracts, swap contracts and delayed delivery securities. The value of these pledged issues totals $102,181, which represents 0.33% of total net assets. |
| (14) | Delayed delivery purchase commitment security. The value of these securities totals $3,019,766, which represents 9.64% of total net assets. |
| (15) | Non-income producing security. |
| (16) | Amount calculated is less than 0.005%. |
| (17) | Represents annualized seven-day yield as of the close of the reporting period. |
| (18) | Delayed delivery sale commitment security. The value of these securities totals $(372,331), which represents (1.19)% 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 | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 275 | | Australian 10 Year Bond Future | | | Sep. 2022 | | | AUD | 32,818 | | | $ | 22,568 | | | $ | (84 | ) |
| 610 | | Euro-Btp Future | | | Sep. 2022 | | | EUR | 77,219 | | | | 78,704 | | | | (2,217 | ) |
| 433 | | Euro-Bund Future | | | Sep. 2022 | | | | 62,287 | | | | 67,511 | | | | 2,237 | |
| 5,910 | | U.S. 2 Year Note Future | | | Sep. 2022 | | | $ | 1,246,437 | | | | 1,241,192 | | | | (5,245 | ) |
| 6,352 | | U.S. 5 Year Note Future | | | Sep. 2022 | | | | 716,820 | | | | 713,012 | | | | (3,808 | ) |
| 12,025 | | U.S. 10 Year Note Future | | | Sep. 2022 | | | | 1,438,906 | | | | 1,425,338 | | | | (13,568 | ) |
| 1,558 | | U.S. Long Bond Future | | | Sep. 2022 | | | | 218,819 | | | | 215,978 | | | | (2,841 | ) |
| 2,690 | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | 331,200 | | | | 342,639 | | | | 11,439 | |
| 986 | | U.S. Ultra Bond Future | | | Sep. 2022 | | | | 149,146 | | | | 152,183 | | | | 3,037 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (11,050 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Number of Contracts
Sold | | Reference Entity | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (1,091) | | Euro-Btp Future | | | Sep. 2022 | | | EUR | (129,117 | ) | | $ | (140,765 | ) | | $ | (5,457 | ) |
| (312) | | Euro-Bund Future | | | Sep. 2022 | | | | (47,461 | ) | | | (48,645 | ) | | | 1,092 | |
| (24) | | Japan 10 Year Bond Future | | | Sep. 2022 | | | JPY | (3,577,120 | ) | | | (26,287 | ) | | | 77 | |
| (554) | | U.S. Long Bond Future | | | Sep. 2022 | | | $ | (77,356 | ) | | | (76,798 | ) | | | 558 | |
| (391) | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | (49,322 | ) | | | (49,804 | ) | | | (482 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (4,212 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (15,262 | ) |
| | | | | | | | | | | | | | | | | | |
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Settlement
Date | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
AUD | | | 2,210 | | | USD | | | 1,519 | | | 07/20/22 | | Deutsche Bank | | $ | 6 | |
AUD | | | 4,088 | | | USD | | | 2,813 | | | 08/02/22 | | J.P. Morgan | | | 9 | |
AUD | | | 3,198 | | | USD | | | 2,203 | | | 08/02/22 | | Morgan Stanley | | | 5 | |
BRL* | | | 23,400 | | | USD | | | 4,449 | | | 07/05/22 | | BNP Paribas | | | 23 | |
BRL* | | | 24,000 | | | USD | | | 4,554 | | | 07/05/22 | | J.P. Morgan | | | 32 | |
CHF | | | 1,197 | | | USD | | | 1,250 | | | 07/20/22 | | Barclays Bank | | | 5 | |
CZK | | | 22,660 | | | USD | | | 950 | | | 07/20/22 | | UBS | | | 8 | |
EUR | | | 1,475 | | | USD | | | 1,545 | | | 07/05/22 | | Bank Of America(1) | | | 0 | |
EUR | | | 30,190 | | | GBP | | | 25,787 | | | 09/21/22 | | Deutsche Bank | | | 380 | |
GBP | | | 1,325 | | | USD | | | 1,602 | | | 07/05/22 | | Bank Of America | | | 11 | |
GBP | | | 926 | | | USD | | | 1,119 | | | 07/05/22 | | J.P. Morgan | | | 8 | |
GBP | | | 1,509 | | | USD | | | 1,836 | | | 07/05/22 | | Morgan Stanley | | | 1 | |
JPY | | | 12,369,261 | | | USD | | | 91,200 | | | 08/02/22 | | BNP Paribas | | | 121 | |
MXN | | | 1,074,672 | | | USD | | | 51,377 | | | 07/01/22 | | BNP Paribas | | | 2,064 | |
MXN | | | 245,793 | | | USD | | | 12,108 | | | 08/09/22 | | Bank Of America | | | 34 | |
MXN | | | 132,419 | | | USD | | | 6,028 | | | 08/09/22 | | BNP Paribas | | | 513 | |
MXN | | | 19,031 | | | USD | | | 911 | | | 08/24/22 | | Morgan Stanley | | | 27 | |
MXN | | | 927,331 | | | USD | | | 45,463 | | | 09/15/22 | | BNP Paribas | | | 22 | |
PEN* | | | 519 | | | USD | | | 134 | | | 07/25/22 | | Goldman Sachs | | | 1 | |
RUB* | | | 0 | | | USD | | | 0 | | | 08/10/22 | | Deutsche Bank(1) | | | 0 | |
RUB* | | | 262,970 | | | USD | | | 2,777 | | | 10/07/22 | | Goldman Sachs | | | 1,274 | |
RUB* | | | 106,548 | | | USD | | | 1,105 | | | 10/21/22 | | Deutsche Bank | | | 506 | |
USD | | | 46,143 | | | MXN | | | 927,331 | | | 07/01/22 | | BNP Paribas | | | 29 | |
USD | | | 31,853 | | | AUD | | | 45,187 | | | 07/05/22 | | Bank Of America | | | 662 | |
USD | | | 221,115 | | | EUR | | | 206,291 | | | 07/05/22 | | Bank Of America | | | 4,932 | |
USD | | | 396,771 | | | GBP | | | 313,805 | | | 07/05/22 | | Bank Of America | | | 14,776 | |
USD | | | 83,594 | | | EUR | | | 77,891 | | | 07/05/22 | | BNP Paribas | | | 1,968 | |
USD | | | 758 | | | AUD | | | 1,054 | | | 07/05/22 | | Goldman Sachs | | | 31 | |
USD | | | 72,535 | | | BRL* | | | 377,071 | | | 07/05/22 | | Goldman Sachs | | | 484 | |
USD | | | 4,682 | | | EUR | | | 4,437 | | | 07/05/22 | | J.P. Morgan | | | 32 | |
USD | | | 4,610 | | | GBP | | | 3,750 | | | 07/05/22 | | J.P. Morgan | | | 45 | |
USD | | | 114 | | | JPY | | | 14,700 | | | 07/05/22 | | J.P. Morgan | | | 5 | |
USD | | | 16,169 | | | ZAR | | | 248,087 | | | 07/13/22 | | Bank Of America | | | 932 | |
USD | | | 984 | | | ZAR | | | 15,400 | | | 07/13/22 | | BNP Paribas | | | 38 | |
USD | | | 3 | | | ILS | | | 12 | | | 07/15/22 | | BNP Paribas(1) | | | 0 | |
USD | | | 1,860 | | | ZAR | | | 29,955 | | | 07/20/22 | | J.P. Morgan | | | 22 | |
USD | | | 296,088 | | | EUR | | | 280,994 | | | 08/02/22 | | BNP Paribas | | | 1,061 | |
USD | | | 37 | | | IDR* | | | 542,165 | | | 08/10/22 | | Bank Of America | | | 1 | |
USD | | | 17,203 | | | TWD | | | 506,870 | | | 08/10/22 | | J.P. Morgan | | | 113 | |
USD | | | 5,117 | | | TWD | | | 150,736 | | | 08/10/22 | | Morgan Stanley | | | 35 | |
USD | | | 11 | | | IDR* | | | 165,487 | | | 08/16/22 | | BNP Paribas(1) | | | 0 | |
USD | | | 35,236 | | | ZAR | | | 562,601 | | | 08/16/22 | | BNP Paribas | | | 811 | |
USD | | | 1,159 | | | CAD | | | 1,485 | | | 08/16/22 | | Morgan Stanley | | | 5 | |
USD | | | 11 | | | IDR* | | | 162,429 | | | 08/23/22 | | Bank Of America(1) | | | 0 | |
USD | | | 1,475 | | | COP | | | 5,661,781 | | | 08/24/22 | | Barclays Bank | | | 124 | |
USD | | | 1,752 | | | MXN | | | 35,430 | | | 08/24/22 | | J.P. Morgan | | | 7 | |
USD | | | 613 | | | EUR | | | 582 | | | 08/24/22 | | Morgan Stanley | | | 1 | |
USD | | | 4,691 | | | CAD | | | 5,907 | | | 09/21/22 | | BNP Paribas | | | 102 | |
USD | | | 524 | | | GBP | | | 422 | | | 09/21/22 | | Deutsche Bank | | | 9 | |
USD | | | 32,135 | | | EUR | | | 30,190 | | | 09/21/22 | | J.P. Morgan | | | 316 | |
| | | | | | | | | | | | | | |
USD | | 1,669 | | ILS | | 5,300 | | 10/07/22 | | Bank Of America | | | 141 | |
USD | | 20,030 | | ZAR | | 308,883 | | 10/19/22 | | Deutsche Bank | | | 1,251 | |
USD | | 3,973 | | ZAR | | 63,088 | | 11/08/22 | | Bank Of America | | | 145 | |
USD | | 11,528 | | ZAR | | 185,594 | | 11/08/22 | | BNP Paribas | | | 267 | |
USD | | 2,023 | | ZAR | | 32,472 | | 11/08/22 | | Goldman Sachs | | | 53 | |
USD | | 10,014 | | ZAR | | 157,343 | | 12/12/22 | | Deutsche Bank | | | 500 | |
USD | | 536 | | MXN | | 10,917 | | 12/21/22 | | Goldman Sachs | | | 10 | |
USD | | 7,239 | | ZAR | | 120,980 | | 05/12/23 | | Goldman Sachs | | | 38 | |
| | | | | | | | | | | | | | |
| | | | | | Total Unrealized Appreciation | | | 33,996 | |
| | | | | | | | | | |
AUD | | 53,527 | | USD | | 37,318 | | 07/05/22 | | BNP Paribas | | | (372 | ) |
AUD | | 24,856 | | USD | | 17,263 | | 08/02/22 | | Bank Of America | | | (102 | ) |
BRL* | | 400,700 | | USD | | 80,459 | | 07/05/22 | | Goldman Sachs | | | (3,894 | ) |
BRL* | | 4,722 | | USD | | 920 | | 07/20/22 | | J.P. Morgan | | | (22 | ) |
BRL* | | 377,071 | | USD | | 71,964 | | 08/02/22 | | Goldman Sachs | | | (551 | ) |
BRL* | | 252,800 | | USD | | 49,899 | | 10/04/22 | | BNP Paribas | | | (2,846 | ) |
BRL* | | 183,500 | | USD | | 35,179 | | 10/04/22 | | Goldman Sachs | | | (1,024 | ) |
EUR | | 283,951 | | USD | | 298,650 | | 07/05/22 | | BNP Paribas | | | (1,084 | ) |
EUR | | 4,303 | | USD | | 4,540 | | 07/05/22 | | J.P. Morgan | | | (30 | ) |
EUR | | 6,890 | | USD | | 7,304 | | 09/21/22 | | Barclays Bank | | | (42 | ) |
GBP | | 8,344 | | USD | | 10,201 | | 07/05/22 | | BNP Paribas | | | (44 | ) |
GBP | | 3,841 | | USD | | 4,839 | | 07/05/22 | | J.P. Morgan | | | (164 | ) |
GBP | | 938 | | USD | | 1,172 | | 07/05/22 | | Morgan Stanley | | | (30 | ) |
IDR* | | 155,959,687 | | USD | | 10,602 | | 08/10/22 | | J.P. Morgan | | | (182 | ) |
IDR* | | 74,283,364 | | USD | | 5,038 | | 08/16/22 | | BNP Paribas | | | (76 | ) |
IDR* | | 81,773,752 | | USD | | 5,522 | | 08/16/22 | | Goldman Sachs | | | (59 | ) |
IDR* | | 91,987,945 | | USD | | 6,235 | | 08/23/22 | | Morgan Stanley | | | (92 | ) |
IDR* | | 1,147,768 | | USD | | 78 | | 09/21/22 | | Goldman Sachs | | | (1 | ) |
INR* | | 4,041 | | USD | | 52 | | 08/10/22 | | BNP Paribas | | | (1 | ) |
INR* | | 6,787 | | USD | | 87 | | 08/10/22 | | Morgan Stanley | | | (1 | ) |
JPY | | 1,543,000 | | USD | | 11,454 | | 07/05/22 | | Bank Of America | | | (82 | ) |
JPY | | 10,894,100 | | USD | | 81,911 | | 07/05/22 | | J.P. Morgan | | | (1,618 | ) |
JPY | | 216,878 | | USD | | 1,610 | | 07/20/22 | | UBS | | | (10 | ) |
MXN | | 35,430 | | USD | | 1,785 | | 08/24/22 | | Citibank | | | (40 | ) |
NOK | | 118,006 | | USD | | 12,394 | | 08/16/22 | | Bank Of America | | | (402 | ) |
NOK | | 212,480 | | USD | | 22,016 | | 08/16/22 | | BNP Paribas | | | (424 | ) |
PEN* | | 115 | | USD | | 31 | | 07/14/22 | | Goldman Sachs | | | (1 | ) |
PEN* | | 1,029 | | USD | | 275 | | 07/19/22 | | Morgan Stanley | | | (7 | ) |
PEN* | | 1,919 | | USD | | 508 | | 08/08/22 | | BNP Paribas | | | (8 | ) |
PEN* | | 7,347 | | USD | | 1,932 | | 08/08/22 | | J.P. Morgan | | | (20 | ) |
SEK | | 312,915 | | USD | | 31,633 | | 08/16/22 | | Deutsche Bank | | | (994 | ) |
TRY | | 15,980 | | USD | | 950 | | 07/20/22 | | Deutsche Bank(1) | | | (0 | ) |
USD | | 1,270 | | MXN | | 26,280 | | 07/01/22 | | BNP Paribas | | | (37 | ) |
USD | | 5,856 | | MXN | | 121,061 | | 07/01/22 | | Goldman Sachs | | | (164 | ) |
USD | | 4,079 | | BRL* | | 23,400 | | 07/05/22 | | BNP Paribas | | | (392 | ) |
USD | | 4,511 | | BRL* | | 23,629 | | 07/05/22 | | Goldman Sachs | | | (4 | ) |
USD | | 2,813 | | AUD | | 4,088 | | 07/05/22 | | J.P. Morgan | | | (9 | ) |
USD | | 4,367 | | BRL* | | 24,000 | | 07/05/22 | | J.P. Morgan | | | (218 | ) |
USD | | 1,610 | | JPY | | 218,967 | | 07/20/22 | | Barclays Bank | | | (5 | ) |
USD | | 920 | | BRL* | | 4,839 | | 07/20/22 | | Goldman Sachs(1) | | | (0 | ) |
USD | | 1,240 | | MXN | | 25,050 | | 07/20/22 | | Goldman Sachs | | | (2 | ) |
USD | | 950 | | TRY | | 17,323 | | 07/20/22 | | J.P. Morgan | | | (80 | ) |
USD | | 881 | | EUR | | 840 | | 07/20/22 | | Morgan Stanley(1) | | | (0 | ) |
USD | | 2,517 | | EUR | | 2,410 | | 07/20/22 | | UBS | | | (11 | ) |
USD | | 10,157 | | PEN* | | 40,911 | | 07/25/22 | | Bank Of America | | | (504 | ) |
USD | | 1,165 | | EUR | | 1,116 | | 08/02/22 | | Bank Of America | | | (7 | ) |
| | | | | | | | | | | | | | |
USD | | 365,330 | | GBP | | 300,672 | | 08/02/22 | | Bank Of America | | | (861 | ) |
USD | | 17,553 | | MXN | | 365,744 | | 08/09/22 | | Deutsche Bank | | | (515 | ) |
USD | | 1,465 | | TWD | | 43,496 | | 08/10/22 | | Deutsche Bank | | | (2 | ) |
USD | | 4,837 | | CAD | | 6,256 | | 08/16/22 | | BNP Paribas | | | (24 | ) |
USD | | 55,008 | | BRL* | | 314,800 | | 10/04/22 | | Goldman Sachs | | | (3,585 | ) |
USD | | 20,970 | | BRL* | | 121,500 | | 10/04/22 | | J.P. Morgan | | | (1,644 | ) |
USD | | 12,225 | | ZAR | | 204,161 | | 02/13/23 | | Deutsche Bank | | | (43 | ) |
ZAR | | 88,677 | | USD | | 5,514 | | 07/22/22 | | Bank Of America | | | (73 | ) |
| | | | | | | | | | | | | | |
| | | | | | Total Unrealized Depreciation | | | (22,403 | ) |
| | | | | | | | | | |
| | | | | | Net Unrealized Appreciation | | $ | 11,593 | |
| | | | | | | | | | |
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| | |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| CHF | | Swiss Franc |
| COP | | Colombian Peso |
| CZK | | Czech Koruna |
| EUR | | Euro |
| GBP | | British Pound |
| IDR | | Indonesian Rupiah |
| ILS | | Israeli New Shekel |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| MXN | | Mexican Peso |
| NOK | | Norwegian Krone |
| PEN | | Peruvian Sol |
| RUB | | Russian Ruble |
| SEK | | Swedish Krona |
| TRY | | Turkish Lira |
| TWD | | Taiwan New Dollar |
| 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, 2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
AT&T, Inc. | | | 1.00 | % | | | 12/20/2024 | | | | 1.03 | % | | $ | 5,200 | | | $ | 18 | | | $ | (6 | ) | | $ | 12 | |
AT&T, Inc. | | | 1.00 | | | | 6/20/2026 | | | | 1.14 | | | | 6,900 | | | | 106 | | | | (122 | ) | | | (16 | ) |
Boeing Co. | | | 1.00 | | | | 12/20/2026 | | | | 2.45 | | | | 1,200 | | | | (4 | ) | | | (64 | ) | | | (68 | ) |
Boeing Co. | | | 1.00 | | | | 6/20/2027 | | | | 2.54 | | | | 10,800 | | | | (672 | ) | | | (40 | ) | | | (712 | ) |
CDX.EM.28 | | | 1.00 | | | | 12/20/2022 | | | | 18.80 | | | | 9,588 | | | | (164 | ) | | | (539 | ) | | | (703 | ) |
CDX.EM.29 | | | 1.00 | | | | 6/20/2023 | | | | 10.64 | | | | 1,880 | | | | (32 | ) | | | (119 | ) | | | (151 | ) |
CDX.EM.30 | | | 1.00 | | | | 12/20/2023 | | | | 8.02 | | | | 6,768 | | | | (133 | ) | | | (459 | ) | | | (592 | ) |
CDX.EM.31 | | | 1.00 | | | | 6/20/2024 | | | | 5.90 | | | | 8,178 | | | | (276 | ) | | | (391 | ) | | | (667 | ) |
CDX.EM.32 | | | 1.00 | | | | 12/20/2024 | | | | 5.26 | | | | 12,090 | | | | (523 | ) | | | (537 | ) | | | (1,060 | ) |
CDX.EM.34 | | | 1.00 | | | | 12/20/2025 | | | | 5.69 | | | | 3,100 | | | | (198 | ) | | | (210 | ) | | | (408 | ) |
CDX.EM.36 | | | 1.00 | | | | 12/20/2026 | | | | 4.59 | | | | 40,200 | | | | (1,414 | ) | | | (3,707 | ) | | | (5,121 | ) |
CDX.NA.HY.35 | | | 5.00 | | | | 12/20/2025 | | | | 5.14 | | | | 495 | | | | 39 | | | | (34 | ) | | | 5 | |
CDX.NA.HY.38 | | | 5.00 | | | | 6/20/2027 | | | | 5.75 | | | | 28,071 | | | | (763 | ) | | | (12 | ) | | | (775 | ) |
CDX.NA.HY.38 | | | 5.00 | | | | 6/20/2027 | | | | 5.75 | | | | 33,309 | | | | (1,000 | ) | | | 81 | | | | (919 | ) |
Ford Motor Credit Co. LLC | | | 5.00 | | | | 6/20/2023 | | | | 2.73 | | | | 28,100 | | | | 760 | | | | 249 | | | | 1,009 | |
Ford Motor Credit Co. LLC | | | 5.00 | | | | 6/20/2024 | | | | 3.13 | | | | 18,400 | | | | 980 | | | | (81 | ) | | | 899 | |
Ford Motor Credit Co. LLC | | | 5.00 | | | | 12/20/2024 | | | | 3.39 | | | | 1,700 | | | | 105 | | | | (19 | ) | | | 86 | |
Ford Motor Credit Co. LLC | | | 5.00 | | | | 12/20/2025 | | | | 3.77 | | | | 400 | | | | 14 | | | | 7 | | | | 21 | |
Ford Motor Credit Co. LLC | | | 5.00 | | | | 6/20/2026 | | | | 3.93 | | | | 19,400 | | | | 1,621 | | | | (640 | ) | | | 981 | |
General Electric Co. | | | 1.00 | | | | 12/20/2023 | | | | 0.87 | | | | 700 | | | | (12 | ) | | | 14 | | | | 2 | |
iTraxx Asia ex-Japan Series 37 Version 1 Index | | | 1.00 | | | | 6/20/2027 | | | | 1.42 | | | | 10,100 | | | | (49 | ) | | | (135 | ) | | | (184 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (1,597 | ) | | $ | (6,764 | ) | | $ | (8,361 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaps – Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Fixed Annual Rate
Paid by Fund | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread at
June 30, 2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
J.P. Morgan | | Abbott Laboratories | | | 1.00 | % | | | Quarterly | | | | 6/20/2027 | | | | 0.44 | % | | $ | 2,433 | | | $ | (59 | ) | | $ | (4 | ) | | $ | (63 | ) |
Bank of America | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.92 | | | | 589 | | | | 39 | | | | 10 | | | | 49 | |
Bank of America | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.92 | | | | 981 | | | | 65 | | | | 17 | | | | 82 | |
Bank of America | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.92 | | | | 981 | | | | 64 | | | | 18 | | | | 82 | |
Bank of America | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.92 | | | | 1,094 | | | | 73 | | | | 18 | | | | 91 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 586 | | | | 9 | | | | 3 | | | | 12 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 1,370 | | | | 21 | | | | 7 | | | | 28 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 975 | | | | 15 | | | | 5 | | | | 20 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 974 | | | | 15 | | | | 5 | | | | 20 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 970 | | | | 15 | | | | 5 | | | | 20 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 976 | | | | 15 | | | | 5 | | | | 20 | |
Barclays Bank | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.92 | | | | 14,173 | | | | 790 | | | | 395 | | | | 1,185 | |
Goldman Sachs | | Chile Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 1.13 | | | | 1,662 | | | | (10 | ) | | | 19 | | | | 9 | |
Goldman Sachs | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 2,002 | | | | 102 | | | | 64 | | | | 166 | |
Morgan Stanley | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 41 | | | | 37 | | | | 78 | |
Morgan Stanley | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
Morgan Stanley | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
Morgan Stanley | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 943 | | | | 42 | | | | 36 | | | | 78 | |
Goldman Sachs | | Indonesia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 1.43 | | | | 3,849 | | | | 48 | | | | 25 | | | | 73 | |
Morgan Stanley | | Mexico Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 1.75 | | | | 5,667 | | | | 36 | | | | 153 | | | | 189 | |
Goldman Sachs | | Philippine Government Internat | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 1.28 | | | | 5,765 | | | | 31 | | | | 40 | | | | 71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 1,436 | | | $ | 930 | | | $ | 2,366 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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, 2022 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Deutsche Bank | | CMBX.NA.AAA.10 | | | 0.50 | % | | | Monthly | | | | 11/17/2059 | | | | 0.59 | % | | $ | 16,450 | | | $ | (261 | ) | | $ | 202 | | | $ | (59 | ) |
Goldman Sachs | | CMBX.NA.AAA.13 | | | 0.50 | | | | Monthly | | | | 12/16/2072 | | | | 0.78 | | | | 205,400 | | | | 563 | | | | (4,222 | ) | | | (3,659 | ) |
Morgan Stanley | | CMBX.NA.AAA.13 | | | 0.50 | | | | Monthly | | | | 12/16/2072 | | | | 0.78 | | | | 157,900 | | | | 636 | | | | (3,449 | ) | | | (2,813 | ) |
Goldman Sachs | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 1.61 | | | | 300 | | | | (4 | ) | | | 1 | | | | (3 | ) |
Goldman Sachs | | Brazilian Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.87 | | | | 3,200 | | | | (24 | ) | | | (41 | ) | | | (65 | ) |
BNP Paribas | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 600 | | | | (29 | ) | | | (19 | ) | | | (48 | ) |
Goldman Sachs | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 2,800 | | | | (118 | ) | | | (107 | ) | | | (225 | ) |
J.P. Morgan | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2026 | | | | 2.72 | | | | 1,400 | | | | (66 | ) | | | (30 | ) | | | (96 | ) |
J.P. Morgan | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 400 | | | | (15 | ) | | | (17 | ) | | | (32 | ) |
Morgan Stanley | | Colombia Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 2.91 | | | | 2,000 | | | | (96 | ) | | | (65 | ) | | | (161 | ) |
J.P. Morgan | | Mexico Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 1.50 | | | | 100 | | | | (1 | ) | | | (1 | ) | | | (2 | ) |
Morgan Stanley | | Mexico Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.18 | | | | 300 | | | | (2 | ) | | | 1 | | | | (1 | ) |
Morgan Stanley | | Mexico Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2026 | | | | 1.64 | | | | 500 | | | | 75 | | | | (88 | ) | | | (13 | ) |
Morgan Stanley | | Mexico Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2027 | | | | 1.75 | | | | 2,300 | | | | (15 | ) | | | (62 | ) | | | (77 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs | | Republic of South Africa | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 2.18 | | | | 4,700 | | | | (81 | ) | | | (22 | ) | | | (103 | ) |
Morgan Stanley | | Republic of Turkey | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 9.23 | | | | 400 | | | | (46 | ) | | | (11 | ) | | | (57 | ) |
Goldman Sachs | | Russia Emerging Markets SPMYC | | | 1.00 | | | | Quarterly | | | | 12/20/2022 | | | | 1541.61 | | | | 1,300 | | | | (8 | ) | | | (965 | ) | | | (973 | ) |
J.P. Morgan | | Russia Emerging Markets SPMYC | | | 1.00 | | | | Quarterly | | | | 6/20/2023 | | | | 1504.57 | | | | 13,000 | | | | (112 | ) | | | (9,621 | ) | | | (9,733 | ) |
Goldman Sachs | | Russian Foreign Bond - Eurobond | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1504.56 | | | | 12,600 | | | | 34 | | | | (9,467 | ) | | | (9,433 | ) |
Bank of America | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 9.16 | | | | 3,000 | | | | (171 | ) | | | (155 | ) | | | (326 | ) |
Bank of America | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 9.23 | | | | 400 | | | | (37 | ) | | | (20 | ) | | | (57 | ) |
Bank of America | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 9.04 | | | | 1,300 | | | | (134 | ) | | | (84 | ) | | | (218 | ) |
BNP Paribas | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 9.16 | | | | 500 | | | | (40 | ) | | | (14 | ) | | | (54 | ) |
BNP Paribas | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 9.16 | | | | 200 | | | | (14 | ) | | | (7 | ) | | | (21 | ) |
BNP Paribas | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2025 | | | | 8.92 | | | | 200 | | | | (34 | ) | | | (4 | ) | | | (38 | ) |
Goldman Sachs | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 9.23 | | | | 1,200 | | | | (91 | ) | | | (79 | ) | | | (170 | ) |
Goldman Sachs | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 9.04 | | | | 900 | | | | (96 | ) | | | (55 | ) | | | (151 | ) |
J.P. Morgan | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 9.16 | | | | 200 | | | | (14 | ) | | | (8 | ) | | | (22 | ) |
Morgan Stanley | | Turkey Government International | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 9.16 | | | | 500 | | | | (38 | ) | | | (16 | ) | | | (54 | ) |
Goldman Sachs | | United Mexican States | | | 1.00 | | | | Quarterly | | | | 6/20/2023 | | | | 0.80 | | | | 8,200 | | | | (21 | ) | | | 39 | | | | 18 | |
Goldman Sachs | | United Mexican States | | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 0.96 | | | | 8,500 | | | | (383 | ) | | | 412 | | | | 29 | |
J.P. Morgan | | United Mexican States | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 1.05 | | | | 100 | | | | (1 | ) | | | 1 | | | | — | |
Morgan Stanley | | United Mexican States | | | 1.00 | | | | Quarterly | | | | 12/20/2022 | | | | 0.59 | | | | 3,800 | | | | 2 | | | | 7 | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (642 | ) | | $ | (27,966 | ) | | $ | (28,608 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
Centrally Cleared Inflation Linked Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed Annual Rate | | Floating Rate Index | | | Floating Rate
Paid or Received | | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
4.00% | | | 10-Year GBP Inflation Linked | | | | Pay | | | | 9/15/2031 | | | GBP | 7,300 | | | $ | (6 | ) | | $ | (681 | ) | | $ | (687 | ) |
4.06 | | | 10-Year GBP Inflation Linked | | | | Pay | | | | 9/15/2031 | | | | 6,800 | | | | 28 | | | | (615 | ) | | | (587 | ) |
4.07 | | | 10-Year GBP Inflation Linked | | | | Pay | | | | 9/15/2031 | | | | 13,100 | | | | (162 | ) | | | (949 | ) | | | (1,111 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (140 | ) | | $ | (2,245 | ) | | $ | (2,385 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | — | | | $ | 77 | | | $ | 77 | |
(0.43) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/28/2024 | | | | 2,700 | | | | — | | | | 99 | | | | 99 | |
(0.40) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 12/30/2024 | | | | 1,200 | | | | — | | | | 60 | | | | 60 | |
(0.36) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/30/2025 | | | | 2,300 | | | | — | | | | 135 | | | | 135 | |
(0.33) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 12/30/2025 | | | | 1,400 | | | | — | | | | 100 | | | | 100 | |
(0.29) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/30/2026 | | | | 700 | | | | — | | | | 56 | | | | 56 | |
(0.15) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 3/18/2030 | | | | 16,100 | | | | 223 | | | | 2,373 | | | | 2,596 | |
0.25 | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 9/21/2032 | | | | 116,600 | | | | 10,392 | | | | 11,623 | | | | 22,015 | |
0.30 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 4/7/2032 | | | JPY | 1,696,910 | | | | 0 | | | | 159 | | | | 159 | |
0.30 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 4/7/2032 | | | | 1,710,982 | | | | 0 | | | | 156 | | | | 156 | |
0.30 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 4/7/2032 | | | | 1,704,401 | | | | 0 | | | | 153 | | | | 153 | |
0.31 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 4/7/2032 | | | | 1,487,699 | | | | 0 | | | | 131 | | | | 131 | |
0.31 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 4/7/2032 | | | | 1,677,618 | | | | 0 | | | | 147 | | | | 147 | |
0.39 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/2/2032 | | | | 1,039,541 | | | | 0 | | | | 30 | | | | 30 | |
0.40 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/2/2032 | | | | 1,039,541 | | | | 0 | | | | 28 | | | | 28 | |
0.42 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 6/14/2032 | | | | 2,066,232 | | | | 0 | | | | 37 | | | | 37 | |
0.42 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 6/14/2032 | | | | 2,330,006 | | | | 0 | | | | 34 | | | | 34 | |
0.50 | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/17/2050 | | | EUR | 9,000 | | | | (267 | ) | | | 3,344 | | | | 3,077 | |
0.75 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 6/16/2031 | | | $ | 269,450 | | | | (21,036 | ) | | | (27,477 | ) | | | (48,513 | ) |
0.75 | | Sterling Overnight Index Average | | Received | | | Annual | | | | 9/21/2032 | | | GBP | 17,300 | | | | 1,634 | | | | 1,347 | | | | 2,981 | |
0.75 | | Sterling Overnight Index Average | | Received | | | Annual | | | | 9/21/2052 | | | | 40,700 | | | | 2,653 | | | | 12,485 | | | | 15,138 | |
0.81 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/30/2052 | | | JPY | 378,708 | | | | 0 | | | | 145 | | | | 145 | |
0.82 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 140 | | | | 140 | |
0.83 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 132 | | | | 132 | |
0.86 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/9/2052 | | | | 374,201 | | | | 0 | | | | 109 | | | | 109 | |
0.86 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/9/2052 | | | | 679,175 | | | | 0 | | | | 192 | | | | 192 | |
0.87 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/30/2052 | | | | 378,708 | | | | 0 | | | | 104 | | | | 104 | |
0.89 | | 1 Year JPY TONA (1) | | Received | | | Annual | | | | 5/10/2052 | | | | 344,733 | | | | 0 | | | | 81 | | | | 81 | |
1.03 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 7/24/2025 | | | $ | 224,440 | | | | — | | | | (8,253 | ) | | | (8,253 | ) |
1.03 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 7/24/2025 | | | | 166,015 | | | | — | | | | (6,080 | ) | | | (6,080 | ) |
1.07 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 7/24/2025 | | | | 112,220 | | | | — | | | | (4,028 | ) | | | (4,028 | ) |
1.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 12/15/2026 | | | | 1,300 | | | | (23 | ) | | | 119 | | | | 96 | |
1.25 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 6/15/2032 | | | | 49,170 | | | | (1,295 | ) | | | (5,197 | ) | | | (6,492 | ) |
1.25 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 6/15/2032 | | | | 11,630 | | | | (977 | ) | | | (558 | ) | | | (1,535 | ) |
1.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 12/16/2050 | | | | 48,900 | | | | 4,735 | | | | 11,272 | | | | 16,007 | |
1.31 | | 6 Month EURIBOR(1) | | Received | | | Semi-Annual | | | | 6/10/2052 | | | EUR | 10,822 | | | | 0 | | | | (51 | ) | | | (51 | ) |
1.39 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 9/28/2025 | | | $ | 273,250 | | | | — | | | | (7,865 | ) | | | (7,865 | ) |
1.44 | | 6 Month EURIBOR(1) | | Received | | | Semi-Annual | | | | 6/10/2052 | | | EUR | 4,778 | | | | 0 | | | | (63 | ) | | | (63 | ) |
1.45 | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/10/2052 | | | | 4,893 | | | | (2 | ) | | | (65 | ) | | | (67 | ) |
1.46 | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/10/2052 | | | | 5,080 | | | | 1 | | | | (74 | ) | | | (73 | ) |
1.48 | | 6 Month EURIBOR(1) | | Received | | | Semi-Annual | | | | 6/10/2052 | | | | 4,838 | | | | 0 | | | | (76 | ) | | | (76 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1.49 | | 6 Month EURIBOR(1) | | Received | | | Semi-Annual | | | | 6/10/2052 | | | | 4,783 | | | | 0 | | | | (78 | ) | | | (78 | ) |
1.50 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 6/17/2050 | | | $ | 81,200 | | | | (14,295 | ) | | | 36,777 | | | | 22,482 | |
1.52 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 4,162 | | | | 0 | | | | (187 | ) | | | (187 | ) |
1.52 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 3,113 | | | | 0 | | | | (140 | ) | | | (140 | ) |
1.54 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 10,559 | | | | 0 | | | | (459 | ) | | | (459 | ) |
1.55 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 5,296 | | | | 0 | | | | (226 | ) | | | (226 | ) |
1.55 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 3,113 | | | | 0 | | | | (131 | ) | | | (131 | ) |
1.56 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 10,559 | | | | 0 | | | | (440 | ) | | | (440 | ) |
1.57 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 10,563 | | | | 0 | | | | (432 | ) | | | (432 | ) |
1.59 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 5,276 | | | | 0 | | | | (205 | ) | | | (205 | ) |
1.64 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 2,063 | | | | 0 | | | | (71 | ) | | | (71 | ) |
1.65 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 2,063 | | | | 0 | | | | (71 | ) | | | (71 | ) |
1.65 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | | 4,168 | | | | 0 | | | | (143 | ) | | | (143 | ) |
1.69 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 12/7/2025 | | | $ | 297,995 | | | | — | | | | (6,650 | ) | | | (6,650 | ) |
1.69 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 2,126 | | | | 0 | | | | (65 | ) | | | (65 | ) |
1.74 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 12/7/2053 | | | $ | 24,920 | | | | — | | | | 5,287 | | | | 5,287 | |
1.75 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 6/15/2029 | | | | 164,400 | | | | (12,922 | ) | | | 2,618 | | | | (10,304 | ) |
1.75 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 6/15/2032 | | | | 9,860 | | | | (434 | ) | | | (436 | ) | | | (870 | ) |
1.75 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 6/15/2032 | | | | 3,590 | | | | (149 | ) | | | (168 | ) | | | (317 | ) |
1.77 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 7/24/2053 | | | | 18,750 | | | | — | | | | 3,973 | | | | 3,973 | |
1.79 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 7/24/2053 | | | | 13,870 | | | | — | | | | 2,905 | | | | 2,905 | |
1.81 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 7/24/2053 | | | | 9,375 | | | | — | | | | 1,922 | | | | 1,922 | |
1.82 | | 6 Month EURIBOR(1) | | Paid | | | Semi-Annual | | | | 2/15/2031 | | | EUR | 8,573 | | | | 0 | | | | (170 | ) | | | (170 | ) |
1.87 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 9/28/2053 | | | $ | 23,320 | | | | — | | | | 4,427 | | | | 4,427 | |
1.94 | | Secured Overnight Financing Rate | | Received | | | Annual | | | | 5/23/2052 | | | | 61,602 | | | | 2 | | | | 142 | | | | 144 | |
1.95 | | Secured Overnight Financing Rate | | Received | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | 107 | | | | 109 | |
1.96 | | Secured Overnight Financing Rate | | Received | | | Annual | | | | 5/23/2052 | | | | 61,602 | | | | 2 | | | | 79 | | | | 81 | |
1.97 | | Secured Overnight Financing Rate | | Received | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | 70 | | | | 72 | |
2.08 | | Secured Overnight Financing Rate | | Paid | | | Annual | | | | 5/30/2052 | | | | 58,865 | | | | 2 | | | | 275 | | | | 277 | |
2.09 | | Secured Overnight Financing Rate | | Received | | | Annual | | | | 5/12/2052 | | | | 61,885 | | | | 2 | | | | (338 | ) | | | (336 | ) |
2.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 3/12/2050 | | | | 3,200 | | | | (10 | ) | | | 411 | | | | 401 | |
3.00 | | 6 Month Australian Bank Bill | | Paid | | | Semi-Annual | | | | 3/21/2027 | | | AUD | 109,400 | | | | 489 | | | | (2,362 | ) | | | (1,873 | ) |
3.00 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 6/19/2029 | | | $ | 6,100 | | | | 354 | | | | (360 | ) | | | (6 | ) |
4.47 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | MXN | 65,200 | | | | — | | | | (102 | ) | | | (102 | ) |
4.50 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 3/3/2023 | | | | 291,500 | | | | (8 | ) | | | (450 | ) | | | (458 | ) |
4.52 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 130,500 | | | | — | | | | (202 | ) | | | (202 | ) |
4.55 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 429,900 | | | | 3,182 | | | | (3,844 | ) | | | (662 | ) |
4.57 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 65,200 | | | | — | | | | (100 | ) | | | (100 | ) |
4.85 | | 3 Month ZAR SAJIBOR | | Paid | | | Quarterly | | | | 1/11/2026 | | | ZAR | 151,700 | | | | (42 | ) | | | (803 | ) | | | (845 | ) |
4.85 | | 3 Month ZAR SAJIBOR(1) | | Paid | | | Quarterly | | | | 1/7/2026 | | | | 41,600 | | | | 0 | | | | (231 | ) | | | (231 | ) |
4.92 | | 3 Month ZAR SAJIBOR | | Paid | | | Quarterly | | | | 2/1/2026 | | | | 103,000 | | | | (17 | ) | | | (553 | ) | | | (570 | ) |
5.16 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 6/6/2025 | | | MXN | 1,700 | | | | — | | | | (9 | ) | | | (9 | ) |
5.54 | | Mexico Interbank TIIE 28 Day(1) | | Paid | | | Lunar | | | | 5/4/2027 | | | | 3,400 | | | | 0 | | | | (23 | ) | | | (23 | ) |
5.97 | | 3 Month ZAR SAJIBOR(1) | | Received | | | Quarterly | | | | 3/10/2026 | | | ZAR | 2,100 | | | | 0 | | | | 8 | | | | 8 | |
6.15 | | 3 Month PLN WIBOR(1) | | Received | | | Quarterly | | | | 4/11/2024 | | | PLN | 21,075 | | | | 0 | | | | 74 | | | | 74 | |
7.15 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 6/11/2027 | | | MXN | 25,800 | | | | (14 | ) | | | (81 | ) | | | (95 | ) |
7.36 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 8/21/2037 | | | | 900 | | | | 3 | | | | 3 | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7.37 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 10/11/2027 | | | | 40,300 | | | | (2 | ) | | | (135 | ) | | | (137 | ) |
7.38 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 8/14/2037 | | | | 1,300 | | | | 5 | | | | 4 | | | | 9 | |
7.50 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/14/2032 | | | | 5,900 | | | | 24 | | | | 2 | | | | 26 | |
7.50 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/15/2032 | | | | 24,500 | | | | 98 | | | | 11 | | | | 109 | |
7.53 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 1/23/2032 | | | | 49,970 | | | | 0 | | | | (219 | ) | | | (219 | ) |
7.57 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 1/12/2032 | | | | 27,764 | | | | 0 | | | | (118 | ) | | | (118 | ) |
7.60 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 1/1/2032 | | | | 73,611 | | | | 0 | | | | (305 | ) | | | (305 | ) |
7.61 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/23/2023 | | | | 222,400 | | | | 59 | | | | 27 | | | | 86 | |
7.75 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 1/5/2023 | | | | 1,400 | | | | — | | | | 0 | | | | — | |
7.81 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800 | | | | — | | | | (1 | ) | | | (1 | ) |
7.82 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800 | | | | 0 | | | | (1 | ) | | | (1 | ) |
7.87 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 3,400 | | | | — | | | | (1 | ) | | | (1 | ) |
7.88 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 12/16/2022 | | | | 2,000 | | | | — | | | | 0 | | | | — | |
7.88 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 36,000 | | | | 4 | | | | (12 | ) | | | (8 | ) |
7.91 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/30/2027 | | | | 800 | | | | — | | | | 2 | | | | 2 | |
7.98 | | Mexico Interbank TIIE 28 Day(1) | | | Received | | | | Lunar | | | | 12/10/2027 | | | | 3,300 | | | | 0 | | | | 7 | | | | 7 | |
7.99 | | Mexico Interbank TIIE 28 Day(1) | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 100 | | | | — | | | | 0 | | | | — | |
8.01 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 20,200 | | | | (7 | ) | | | 49 | | | | 42 | |
8.03 | | Mexico Interbank TIIE 28 Day(1) | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 1,600 | | | | 0 | | | | 3 | | | | 3 | |
8.05 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 2,400 | | | | 1 | | | | 4 | | | | 5 | |
8.29 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 3/17/2032 | | | | 45,215 | | | | 0 | | | | (87 | ) | | | (87 | ) |
8.41 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/31/2027 | | | | 14,300 | | | | — | | | | 17 | | | | 17 | |
8.66 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/4/2024 | | | | 49,700 | | | | — | | | | 36 | | | | 36 | |
8.68 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/3/2024 | | | | 119,300 | | | | — | | | | 84 | | | | 84 | |
8.70 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/31/2032 | | | | 14,300 | | | | — | | | | 8 | | | | 8 | |
8.73 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/6/2027 | | | | 12,100 | | | | — | | | | 6 | | | | 6 | |
8.73 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 3/30/2032 | | | | 6,000 | | | | — | | | | 3 | | | | 3 | |
8.75 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 4/5/2024 | | | | 29,000 | | | | — | | | | 17 | | | | 17 | |
8.96 | | Mexico Interbank TIIE 28 Day(1) | | | Paid | | | | Lunar | | | | 4/21/2032 | | | | 34,304 | | | | 0 | | | | 7 | | | | 7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (27,631 | ) | | $ | 24,037 | | | $ | (3,594 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Lunar - payment frequency equal periods of 28 days (a lunar month).
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
Over-the-Counter Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Fixed Annual Rate | | Floating Rate Index | | Floating Rate Paid
or Received | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
J.P. Morgan | | 12.04% | | Brazil Cetip DI Interbank Deposit | | Paid | | | 1/2/2025 | | | | BRL 13,221 | | | $ | — | | | $ | (38 | ) | | $ | (38 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | $ | — | | | $ | (38 | ) | | $ | (38 | ) |
| | | | | | | | | | | | | | | | | | | |
| | |
| EURIBOR | | Euro Interbank Offered Rate |
| LIBOR | | London Interbank Offered Rate |
| SAJIBOR | | South African Johannesburg Interbank Offered Rate |
| TIIE | | Interbank Equilibrium Interest Rate |
| TONA | | Tokyo Overnight Average Rate |
| WIBOR | | Warsaw Interbank Offered Rate |
Bridge Builder Municipal Bond Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
MUNICIPAL BONDS – 97.37% | | | | | | | | |
Alabama – 2.44% | | | | | | | | |
Alabama Community College System | | | | | | | | |
3.00%, 11/01/2023 | | $ | 630 | | | $ | 637 | |
4.00%, 11/01/2024 | | | 190 | | | | 197 | |
Alabama Community College System ACCS Enhancements Fee Revenue | | | | | | | | |
4.00%, 09/01/2035 | | | 430 | | | | 433 | |
4.00%, 09/01/2037 | | | 750 | | | | 752 | |
4.00%, 09/01/2038 | | | 640 | | | | 640 | |
4.00%, 09/01/2039 | | | 625 | | | | 623 | |
4.00%, 09/01/2040 | | | 610 | | | | 605 | |
4.00%, 09/01/2041 | | | 525 | | | | 519 | |
4.00%, 09/01/2046 | | | 1,750 | | | | 1,711 | |
Alabama Federal Aid Highway Finance Authority | | | | | | | | |
5.00%, 09/01/2031 | | | 4,845 | | | | 5,150 | |
5.00%, 09/01/2036 | | | 10,000 | | | | 11,072 | |
Alabama Public School & College Authority | | | | | | | | |
5.00%, 11/01/2025 | | | 5,000 | | | | 5,443 | |
5.00%, 06/01/2035 | | | 4,000 | | | | 4,273 | |
5.00%, 11/01/2037 | | | 47,500 | | | | 53,678 | |
Birmingham Airport Authority | | | | | | | | |
5.00%, 07/01/2028 | | | 700 | | | | 782 | |
5.00%, 07/01/2030 | | | 1,000 | | | | 1,135 | |
5.00%, 07/01/2031 | | | 350 | | | | 393 | |
5.00%, 07/01/2032 | | | 300 | | | | 334 | |
5.00%, 07/01/2034 | | | 800 | | | | 880 | |
Black Belt Energy Gas District | | | | | | | | |
1.26% (SIFMA Municipal Swap Index Yield + 0.35%), 10/01/2052(1) | | | 24,660 | | | | 23,495 | |
4.00%, 10/01/2049(2) | | | 4,500 | | | | 4,559 | |
4.00%, 07/01/2052(2) | | | 6,805 | | | | 7,007 | |
4.00%, 10/01/2052(2) | | | 1,500 | | | | 1,518 | |
4.00%, 10/01/2052(2) | | | 1,550 | | | | 1,569 | |
4.00%, 12/01/2052(2) | | | 5,550 | | | | 5,557 | |
4.00%, 04/01/2053(2) | | | 1,500 | | | | 1,516 | |
City of Montgomery AL | | | | | | | | |
4.00%, 12/01/2036 | | | 400 | | | | 400 | |
4.00%, 12/01/2037 | | | 500 | | | | 500 | |
County of Jefferson AL | | | | | | | | |
5.00%, 04/01/2023 | | | 1,550 | | | | 1,588 | |
County of Jefferson AL Sewer Revenue | | | | | | | | |
5.00%, 10/01/2044 | | | 1,500 | | | | 1,567 | |
5.25%, 10/01/2048 | | | 1,650 | | | | 1,728 | |
5.50%, 10/01/2053 | | | 715 | | | | 751 | |
Health Care Authority of the City of Huntsville | | | | | | | | |
4.00%, 06/01/2045 | | | 2,500 | | | | 2,360 | |
5.00%, 06/01/2036 | | | 2,600 | | | | 2,771 | |
5.00%, 06/01/2037 | | | 3,300 | | | | 3,509 | |
Homewood Educational Building Authority | | | | | | | | |
4.00%, 12/01/2038 | | | 1,385 | | | | 1,335 | |
5.00%, 12/01/2041 | | | 2,750 | | | | 2,789 | |
Industrial Development Board of the City of Mobile Alabama | | | | | | | | |
1.00%, 06/01/2034(2) | | | 3,870 | | | | 3,685 | |
2.90%, 07/15/2034(2) | | | 200 | | | | 202 | |
Lower Alabama Gas District | | | | | | | | |
4.00%, 12/01/2050(2) | | | 12,610 | | | | 12,796 | |
Mobile County Board of School Commissioners | | | | | | | | |
4.00%, 03/01/2034 | | | 1,315 | | | | 1,319 | |
4.00%, 03/01/2035 | | | 1,360 | | | | 1,364 | |
4.00%, 03/01/2036 | | | 1,500 | | | | 1,499 | |
4.00%, 03/01/2038 | | | 1,750 | | | | 1,730 | |
4.00%, 03/01/2039 | | | 1,700 | | | | 1,670 | |
4.00%, 03/01/2040 | | | 1,580 | | | | 1,551 | |
4.00%, 03/01/2041 | | | 2,765 | | | | 2,695 | |
4.00%, 03/01/2042 | | | 3,000 | | | | 2,921 | |
5.00%, 03/01/2028 | | | 1,030 | | | | 1,121 | |
Montgomery County Public Facilities Authority | | | | | | | | |
4.00%, 03/01/2038 | | | 685 | | | | 687 | |
4.00%, 03/01/2039 | | | 415 | | | | 416 | |
4.00%, 03/01/2041 | | | 400 | | | | 397 | |
Montgomery Medical Clinic Board | | | | | | | | |
5.00%, 03/01/2029 | | | 1,000 | | | | 1,048 | |
Prichard Water Works & Sewer Board | | | | | | | | |
2.25%, 11/01/2027 | | | 210 | | | | 162 | |
2.38%, 11/01/2028 | | | 550 | | | | 421 | |
Southeast Alabama Gas Supply District | | | | | | | | |
1.56% (1 Month LIBOR USD + 0.85%), 06/01/2049(1) | | | 5,365 | | | | 5,287 | |
4.00%, 06/01/2049(2) | | | 24,010 | | | | 24,245 | |
Southeast Energy Authority A Cooperative District | | | | | | | | |
4.00%, 11/01/2051(2) | | | 15,000 | | | | 15,093 | |
4.00%, 12/01/2051(2) | | | 1,865 | | | | 1,857 | |
5.00%, 05/01/2053(2) | | | 16,925 | | | | 17,904 | |
| | | | | | | | |
Tuscaloosa County Industrial Development Authority | | | | | | | | |
4.50%, 05/01/2032(3) | | | 2,564 | | | | 2,307 | |
5.25%, 05/01/2044(3) | | | 7,400 | | | | 6,605 | |
University of Alabama | | | | | | | | |
4.00%, 06/01/2033 | | | 1,070 | | | | 1,121 | |
Water Works Board of the City of Birmingham | | | | | | | | |
5.00%, 01/01/2023 | | | 430 | | | | 437 | |
| | | | | | | | |
Total Alabama | | | | 264,316 | |
| | | | | | | | |
Alaska – 0.14% | | | | | | | | |
Alaska Housing Finance Corp. | | | | | | | | |
3.00%, 06/01/2051 | | | 1,300 | | | | 1,265 | |
Alaska Industrial Development & Export Authority | | | | | | | | |
5.00%, 10/01/2030 | | | 1,385 | | | | 1,515 | |
Northern Tobacco Securitization Corp. | | | | | | | | |
0.50%, 06/01/2031 | | | 165 | | | | 164 | |
4.00%, 06/01/2034 | | | 1,000 | | | | 976 | |
4.00%, 06/01/2050 | | | 3,145 | | | | 2,793 | |
4.00%, 06/01/2050 | | | 3,570 | | | | 3,575 | |
5.00%, 06/01/2030 | | | 500 | | | | 538 | |
5.00%, 06/01/2031 | | | 875 | | | | 943 | |
5.00%, 06/01/2032 | | | 875 | | | | 940 | |
5.00%, 06/01/2033 | | | 750 | | | | 803 | |
State of Alaska International Airports System | | | | | | | | |
5.00%, 10/01/2029 | | | 1,600 | | | | 1,766 | |
| | | | | | | | |
Total Alaska | | | | 15,278 | |
| | | | | | | | |
Arizona – 1.82% | | | | | | | | |
Arizona Health Facilities Authority | | | | | | | | |
1.16% (SIFMA Municipal Swap Index Yield + 0.25%), 01/01/2046(1) | | | 3,750 | | | | 3,647 | |
5.00%, 12/01/2039 | | | 1,150 | | | | 1,180 | |
Arizona Industrial Development Authority | | | | | | | | |
2.65%, 07/01/2026 | | | 370 | | | | 356 | |
3.00%, 12/15/2031(3) | | | 400 | | | | 342 | |
4.00%, 07/01/2031 | | | 275 | | | | 274 | |
4.00%, 07/01/2031 | | | 310 | | | | 301 | |
4.00%, 11/01/2039 | | | 1,140 | | | | 1,075 | |
4.00%, 07/15/2041(3) | | | 265 | | | | 224 | |
4.00%, 12/15/2041(3) | | | 600 | | | | 514 | |
4.00%, 07/15/2050(3) | | | 1,500 | | | | 1,207 | |
4.00%, 07/01/2051 | | | 1,825 | | | | 1,495 | |
4.00%, 07/15/2051(3) | | | 500 | | | | 393 | |
4.00%, 12/15/2051(3) | | | 925 | | | | 739 | |
4.00%, 07/15/2056(3) | | | 475 | | | | 364 | |
4.50%, 07/15/2029(3) | | | 2,500 | | | | 2,405 | |
5.00%, 02/01/2034 | | | 2,585 | | | | 2,853 | |
5.00%, 07/15/2040(3) | | | 835 | | | | 830 | |
5.00%, 07/01/2049(3) | | | 650 | | | | 615 | |
5.00%, 07/15/2049(3) | | | 500 | | | | 482 | |
5.00%, 07/15/2050(3) | | | 2,365 | | | | 2,275 | |
5.50%, 07/01/2052(3) | | | 655 | | | | 659 | |
Chandler Industrial Development Authority | | | | | | | | |
5.00%, 06/01/2049(2) | | | 18,960 | | | | 19,842 | |
City of Glendale AZ Excise Tax Revenue | | | | | | | | |
5.00%, 07/01/2030 | | | 1,780 | | | | 1,978 | |
City of Mesa AZ | | | | | | | | |
4.00%, 07/01/2028 | | | 1,265 | | | | 1,356 | |
City of Phoenix AZ | | | | | | | | |
4.00%, 07/01/2022 | | | 900 | | | | 900 | |
City of Phoenix Civic Improvement Corp. | | | | | | | | |
4.00%, 07/01/2045 | | | 2,000 | | | | 1,802 | |
5.00%, 07/01/2025 | | | 1,295 | | | | 1,398 | |
5.00%, 07/01/2026 | | | 1,675 | | | | 1,807 | |
5.00%, 07/01/2027 | | | 4,600 | | | | 5,020 | |
5.00%, 07/01/2028 | | | 1,070 | | | | 1,189 | |
5.00%, 07/01/2028 | | | 4,440 | | | | 4,870 | |
5.00%, 07/01/2029 | | | 725 | | | | 799 | |
5.00%, 07/01/2029 | | | 12,865 | | | | 13,120 | |
5.00%, 07/01/2030 | | | 1,000 | | | | 1,116 | |
5.00%, 07/01/2030 | | | 1,500 | | | | 1,528 | |
5.00%, 07/01/2031 | | | 725 | | | | 806 | |
5.00%, 07/01/2032 | | | 120 | | | | 133 | |
5.00%, 07/01/2032 | | | 800 | | | | 854 | |
5.00%, 07/01/2036 | | | 3,000 | | | | 3,201 | |
5.00%, 07/01/2042 | | | 540 | | | | 563 | |
5.00%, 07/01/2045 | | | 635 | | | | 677 | |
Gilbert Water Resource Municipal Property Corp. | | | | | | | | |
5.00%, 07/15/2032 | | | 1,370 | | | | 1,630 | |
5.00%, 07/15/2033 | | | 1,920 | | | | 2,266 | |
5.00%, 07/15/2034 | | | 1,785 | | | | 2,092 | |
Glendale Industrial Development Authority | | | | | | | | |
4.00%, 07/01/2028 | | | 300 | | | | 281 | |
5.00%, 07/01/2025 | | | 790 | | | | 847 | |
5.00%, 07/01/2027 | | | 715 | | | | 789 | |
5.00%, 07/01/2033 | | | 435 | | | | 412 | |
5.00%, 07/01/2038 | | | 450 | | | | 413 | |
5.00%, 07/01/2048 | | | 915 | | | | 791 | |
5.00%, 05/15/2056 | | | 1,375 | | | | 1,288 | |
| | | | | | | | |
Industrial Development Authority of the City of Phoenix | | | | | | | | |
5.00%, 07/01/2030 | | | 700 | | | | 725 | |
5.00%, 07/01/2033 | | | 415 | | | | 424 | |
5.00%, 07/01/2034 | | | 765 | | | | 780 | |
5.00%, 07/01/2037 | | | 4,750 | | | | 4,836 | |
5.00%, 07/01/2038 | | | 1,295 | | | | 1,313 | |
5.00%, 07/01/2049 | | | 525 | | | | 523 | |
Industrial Development Authority of the County of Pima | | | | | | | | |
4.00%, 04/01/2035 | | | 415 | | | | 409 | |
4.00%, 04/01/2036 | | | 420 | | | | 413 | |
4.00%, 04/01/2037 | | | 450 | | | | 440 | |
4.00%, 04/01/2038 | | | 520 | | | | 506 | |
4.00%, 04/01/2039 | | | 700 | | | | 678 | |
4.00%, 04/01/2040 | | | 675 | | | | 650 | |
4.00%, 06/15/2041(3) | | | 675 | | | | 574 | |
4.00%, 06/15/2051(3) | | | 1,000 | | | | 796 | |
4.00%, 06/15/2057(3) | | | 1,000 | | | | 769 | |
5.00%, 04/01/2032 | | | 500 | | | | 549 | |
5.00%, 04/01/2033 | | | 575 | | | | 628 | |
5.00%, 04/01/2034 | | | 795 | | | | 865 | |
Industrial Development Authority of the County of Yavapai | | | | | | | | |
2.20%, 03/01/2028(2) | | | 2,100 | | | | 2,051 | |
Maricopa County Industrial Development Authority | | | | | | | | |
4.00%, 10/15/2047(3) | | | 2,200 | | | | 1,869 | |
5.00%, 01/01/2046(2) | | | 3,210 | | | | 3,487 | |
5.00%, 07/01/2047 | | | 1,000 | | | | 1,060 | |
5.00%, 01/01/2048(2) | | | 1,300 | | | | 1,312 | |
5.75%, 01/01/2036(3) | | | 1,500 | | | | 1,194 | |
6.00%, 01/01/2048(3) | | | 1,155 | | | | 855 | |
Maricopa County School District No 83-Cartwright Elementary | | | | | | | | |
4.00%, 07/01/2036 | | | 1,315 | | | | 1,381 | |
4.00%, 07/01/2037 | | | 860 | | | | 897 | |
4.00%, 07/01/2038 | | | 500 | | | | 509 | |
4.00%, 07/01/2039 | | | 1,035 | | | | 1,051 | |
4.00%, 07/01/2040 | | | 1,090 | | | | 1,104 | |
Maricopa County Special Health Care District | | | | | | | | |
4.00%, 07/01/2038 | | | 19,340 | | | | 19,576 | |
5.00%, 07/01/2025 | | | 5,000 | | | | 5,383 | |
5.00%, 07/01/2026 | | | 7,000 | | | | 7,658 | |
5.00%, 07/01/2033 | | | 6,555 | | | | 7,413 | |
Salt River Project Agricultural Improvement & Power District | | | | | | | | |
5.00%, 01/01/2024 | | | 1,600 | | | | 1,675 | |
5.00%, 01/01/2033 | | | 1,000 | | | | 1,107 | |
Salt Verde Financial Corp. | | | | | | | | |
5.00%, 12/01/2032 | | | 5,020 | | | | 5,420 | |
5.00%, 12/01/2037 | | | 3,500 | | | | 3,759 | |
State of Arizona | | | | | | | | |
5.00%, 10/01/2024 | | | 1,075 | | | | 1,145 | |
Tempe Industrial Development Authority | | | | | | | | |
4.00%, 12/01/2022 | | | 205 | | | | 205 | |
4.00%, 12/01/2024 | | | 115 | | | | 114 | |
4.00%, 12/01/2038 | | | 1,190 | | | | 991 | |
5.00%, 12/01/2050 | | | 500 | | | | 451 | |
5.00%, 12/01/2054 | | | 750 | | | | 669 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 03/01/2029(2)(3) | | | 1,515 | | | | 1,515 | |
1.16%, 01/01/2061(2)(3) | | | 2,100 | | | | 2,100 | |
University of Arizona | | | | | | | | |
5.00%, 06/01/2038 | | | 1,955 | | | | 2,137 | |
5.00%, 06/01/2039 | | | 860 | | | | 939 | |
Western Maricopa Education Center District No 402 | | | | | | | | |
5.00%, 07/01/2022 | | | 2,000 | | | | 2,000 | |
5.00%, 07/01/2024 | | | 320 | | | | 338 | |
5.00%, 07/01/2025 | | | 1,410 | | | | 1,520 | |
Yuma & La Paz Counties Community College District | | | | | | | | |
4.00%, 07/01/2031 | | | 345 | | | | 362 | |
4.00%, 07/01/2032 | | | 355 | | | | 368 | |
4.00%, 07/01/2033 | | | 370 | | | | 379 | |
4.00%, 07/01/2034 | | | 375 | | | | 381 | |
4.00%, 07/01/2035 | | | 350 | | | | 353 | |
| | | | | | | | |
Total Arizona | | | | 196,604 | |
| | | | | | | | |
Arkansas – 0.11% | | | | | | | | |
Arkansas Development Finance Authority | | | | | | | | |
1.20%, 03/01/2024(2) | | | 5,000 | | | | 4,998 | |
3.13%, 07/01/2036 | | | 180 | | | | 148 | |
4.00%, 07/01/2025 | | | 150 | | | | 151 | |
4.00%, 07/01/2027 | | | 220 | | | | 220 | |
4.50%, 09/01/2049(3) | | | 2,900 | | | | 2,790 | |
4.75%, 09/01/2049(3) | | | 2,500 | | | | 2,500 | |
Arkansas Development Finance Authority Public Safety Charges Revenue | | | | | | | | |
4.00%, 06/01/2029 | | | 930 | | | | 983 | |
| | | | | | | | |
Total Arkansas | | | | 11,790 | |
| | | | | | | | |
California – 7.20% | | | | | | | | |
Abag Finance Authority for Nonprofit Corps | | | | | | | | |
5.00%, 08/01/2033 | | | 1,300 | | | | 1,337 | |
Alameda Corridor Transportation Authority | | | | | | | | |
5.00%, 10/01/2036 | | | 2,500 | | | | 2,580 | |
5.00%, 10/01/2037 | | | 2,000 | | | | 2,061 | |
| | | | | | | | |
Alisal Union School District | | | | | | | | |
5.25%, 08/01/2042 | | | 740 | | | | 804 | |
Anaheim Public Financing Authority | | | | | | | | |
5.00%, 09/01/2029 | | | 1,860 | | | | 2,086 | |
Apple Valley Public Financing Authority | | | | | | | | |
4.00%, 06/01/2031 | | | 585 | | | | 626 | |
4.00%, 06/01/2036 | | | 1,350 | | | | 1,359 | |
Bay Area Toll Authority | | | | | | | | |
1.32% (SIFMA Municipal Swap Index Yield + 0.41%), 04/01/2056(1) | | | 15,000 | | | | 14,498 | |
1.36% (SIFMA Municipal Swap Index Yield + 0.45%), 04/01/2056(1) | | | 10,000 | | | | 9,796 | |
2.16% (SIFMA Municipal Swap Index Yield + 1.25%), 04/01/2036(1) | | | 1,000 | | | | 1,007 | |
2.85%, 04/01/2047(2) | | | 985 | | | | 982 | |
2.95%, 04/01/2047(2) | | | 1,155 | | | | 1,152 | |
Calexico Unified School District | | | | | | | | |
4.00%, 08/01/2042 | | | 830 | | | | 812 | |
California Community Housing Agency | | | | | | | | |
4.00%, 02/01/2050(3) | | | 2,735 | | | | 2,118 | |
4.00%, 08/01/2051(3) | | | 925 | | | | 607 | |
4.00%, 02/01/2056(3) | | | 8,400 | | | | 6,697 | |
5.00%, 08/01/2049(3) | | | 3,850 | | | | 3,535 | |
5.00%, 02/01/2050(3) | | | 2,365 | | | | 2,164 | |
California County Tobacco Securitization Agency | | | | | | | | |
4.00%, 06/01/2034 | | | 400 | | | | 395 | |
4.00%, 06/01/2036 | | | 275 | | | | 269 | |
4.00%, 06/01/2037 | | | 275 | | | | 267 | |
4.00%, 06/01/2038 | | | 275 | | | | 266 | |
5.00%, 06/01/2026 | | | 215 | | | | 229 | |
California Health Facilities Financing Authority | | | | | | | | |
4.00%, 04/01/2035 | | | 1,930 | | | | 1,890 | |
4.00%, 08/15/2040 | | | 4,000 | | | | 3,995 | |
4.00%, 04/01/2049 | | | 2,000 | | | | 1,871 | |
5.00%, 11/01/2032(2) | | | 1,400 | | | | 1,415 | |
5.00%, 07/01/2034(2) | | | 1,710 | | | | 1,727 | |
5.00%, 08/15/2034 | | | 125 | | | | 135 | |
California Housing Finance | | | | | | | | |
3.50%, 11/20/2035 | | | 1,267 | | | | 1,182 | |
4.00%, 03/20/2033 | | | 3,368 | | | | 3,329 | |
4.25%, 01/15/2035 | | | 508 | | | | 501 | |
California Infrastructure & Economic Development Bank | | | | | | | | |
0.85%, 01/01/2050(2)(3) | | | 20,000 | | | | 19,733 | |
California Municipal Finance Authority | | | | | | | | |
0.70%, 12/01/2044(2) | | | 3,550 | | | | 3,441 | |
4.00%, 05/15/2032 | | | 750 | | | | 755 | |
4.00%, 05/15/2036 | | | 2,750 | | | | 2,730 | |
4.00%, 08/15/2037 | | | 1,560 | | | | 1,496 | |
4.00%, 08/15/2042 | | | 1,635 | | | | 1,518 | |
4.00%, 02/01/2051 | | | 975 | | | | 880 | |
5.00%, 08/15/2029 | | | 1,000 | | | | 1,110 | |
5.00%, 05/15/2031 | | | 200 | | | | 220 | |
5.00%, 08/15/2034 | | | 1,065 | | | | 1,164 | |
5.00%, 05/15/2036 | | | 2,500 | | | | 2,608 | |
5.00%, 12/31/2043 | | | 12,725 | | | | 12,835 | |
5.00%, 12/31/2047 | | | 555 | | | | 557 | |
5.00%, 05/15/2049 | | | 1,000 | | | | 1,028 | |
5.00%, 10/01/2049(3) | | | 515 | | | | 473 | |
5.00%, 10/01/2057(3) | | | 1,000 | | | | 898 | |
California Pollution Control Financing Authority | | | | | | | | |
2.00%, 08/01/2024(2)(3) | | | 7,375 | | | | 7,375 | |
5.00%, 07/01/2037(3) | | | 5,000 | | | | 5,017 | |
California Public Finance Authority | | | | | | | | |
2.13%, 11/15/2027(3) | | | 1,875 | | | | 1,742 | |
2.38%, 11/15/2028(3) | | | 500 | | | | 459 | |
4.00%, 07/15/2041 | | | 2,800 | | | | 2,700 | |
5.00%, 07/01/2027(3) | | | 175 | | | | 151 | |
5.00%, 11/15/2036(3) | | | 250 | | | | 246 | |
5.00%, 07/01/2047(3) | | | 140 | | | | 107 | |
5.00%, 10/15/2047 | | | 1,775 | | | | 1,793 | |
California School Finance Authority | | | | | | | | |
2.00%, 10/01/2024(3) | | | 285 | | | | 275 | |
3.00%, 10/01/2031(3) | | | 215 | | | | 192 | |
4.00%, 11/01/2031 | | | 500 | | | | 463 | |
4.00%, 11/01/2041 | | | 980 | | | | 824 | |
4.00%, 06/01/2061(3) | | | 1,000 | | | | 730 | |
California State Public Works Board | | | | | | | | |
4.00%, 05/01/2036 | | | 350 | | | | 350 | |
4.00%, 05/01/2037 | | | 500 | | | | 497 | |
4.00%, 11/01/2038 | | | 4,000 | | | | 3,971 | |
4.00%, 05/01/2041 | | | 525 | | | | 523 | |
5.00%, 03/01/2024 | | | 2,500 | | | | 2,626 | |
5.00%, 03/01/2025 | | | 3,340 | | | | 3,586 | |
5.00%, 08/01/2030 | | | 970 | | | | 1,105 | |
5.00%, 08/01/2033 | | | 1,800 | | | | 2,050 | |
5.00%, 11/01/2037 | | | 235 | | | | 238 | |
5.00%, 09/01/2039 | | | 10,705 | | | | 11,197 | |
| | | | | | | | |
California Statewide Communities Development Authority | | | | | | | | |
4.00%, 09/02/2022 | | | 500 | | | | 501 | |
4.00%, 09/02/2025 | | | 375 | | | | 377 | |
4.00%, 09/02/2029 | | | 200 | | | | 200 | |
4.00%, 09/02/2029 | | | 300 | | | | 293 | |
4.00%, 09/02/2031 | | | 300 | | | | 287 | |
4.00%, 05/15/2035 | | | 2,210 | | | | 2,205 | |
4.00%, 04/01/2036 | | | 675 | | | | 673 | |
4.00%, 05/15/2036 | | | 3,250 | | | | 3,233 | |
4.00%, 04/01/2037 | | | 700 | | | | 693 | |
4.00%, 05/15/2037 | | | 3,595 | | | | 3,563 | |
4.00%, 04/01/2038 | | | 2,400 | | | | 2,289 | |
4.00%, 05/15/2038 | | | 2,795 | | | | 2,756 | |
4.00%, 05/15/2039 | | | 2,030 | | | | 1,993 | |
4.00%, 09/02/2051 | | | 1,000 | | | | 823 | |
4.00%, 09/02/2051 | | | 1,175 | | | | 1,006 | |
4.00%, 09/02/2051 | | | 1,250 | | | | 1,061 | |
5.00%, 10/01/2028 | | | 1,100 | | | | 1,109 | |
5.00%, 11/01/2032(3) | | | 1,135 | | | | 1,188 | |
5.00%, 04/01/2035 | | | 1,300 | | | | 1,408 | |
5.00%, 01/01/2038 | | | 750 | | | | 769 | |
5.00%, 09/02/2039 | | | 745 | | | | 779 | |
5.00%, 05/15/2040 | | | 400 | | | | 411 | |
5.00%, 11/01/2041(3) | | | 875 | | | | 906 | |
5.00%, 09/02/2042 | | | 1,300 | | | | 1,305 | |
5.00%, 01/01/2043 | | | 1,000 | | | | 1,016 | |
5.00%, 09/02/2044 | | | 500 | | | | 514 | |
5.00%, 09/02/2044 | | | 700 | | | | 721 | |
5.00%, 09/02/2044 | | | 1,350 | | | | 1,390 | |
5.00%, 02/01/2045 | | | 1,175 | | | | 1,091 | |
5.00%, 04/01/2046(2) | | | 4,300 | | | | 4,874 | |
5.00%, 01/01/2048 | | | 2,840 | | | | 2,866 | |
5.00%, 09/02/2049 | | | 700 | | | | 718 | |
5.00%, 09/02/2052 | | | 1,900 | | | | 1,860 | |
5.25%, 12/01/2048(3) | | | 800 | | | | 792 | |
5.25%, 12/01/2056(3) | | | 6,635 | | | | 6,665 | |
5.38%, 11/01/2049(3) | | | 100 | | | | 92 | |
5.50%, 12/01/2054 | | | 2,270 | | | | 2,297 | |
5.50%, 12/01/2058(3) | | | 6,315 | | | | 6,356 | |
City of Los Angeles CA Wastewater System Revenue | | | | | | | | |
5.00%, 06/01/2031 | | | 8,000 | | | | 9,317 | |
City of Los Angeles Department of Airports | | | | | | | | |
4.00%, 05/15/2035 | | | 685 | | | | 684 | |
4.00%, 05/15/2036 | | | 800 | | | | 793 | |
4.00%, 05/15/2037 | | | 850 | | | | 839 | |
4.00%, 05/15/2038 | | | 750 | | | | 740 | |
4.00%, 05/15/2038 | | | 20,000 | | | | 19,720 | |
4.00%, 05/15/2039 | | | 775 | | | | 763 | |
4.00%, 05/15/2040 | | | 750 | | | | 735 | |
4.00%, 05/15/2041 | | | 800 | | | | 781 | |
4.00%, 05/15/2044 | | | 3,000 | | | | 2,882 | |
4.75%, 05/15/2035 | | | 8,340 | | | | 8,504 | |
5.00%, 05/15/2025 | | | 2,000 | | | | 2,136 | |
5.00%, 05/15/2026 | | | 520 | | | | 565 | |
5.00%, 05/15/2026 | | | 1,455 | | | | 1,581 | |
5.00%, 05/15/2027 | | | 1,325 | | | | 1,462 | |
5.00%, 05/15/2028 | | | 1,150 | | | | 1,277 | |
5.00%, 05/15/2033 | | | 1,325 | | | | 1,425 | |
5.00%, 05/15/2034 | | | 2,425 | | | | 2,684 | |
5.00%, 05/15/2037 | | | 2,000 | | | | 2,173 | |
5.00%, 05/15/2040 | | | 1,095 | | | | 1,128 | |
5.00%, 05/15/2040 | | | 10,000 | | | | 10,683 | |
5.00%, 05/15/2041 | | | 2,255 | | | | 2,421 | |
5.25%, 05/15/2031 | | | 4,805 | | | | 5,288 | |
5.25%, 05/15/2032 | | | 3,210 | | | | 3,514 | |
City of San Mateo CA | | | | | | | | |
5.25%, 09/01/2035 | | | 2,930 | | | | 3,256 | |
City of Vernon CA Electric System Revenue | | | | | | | | |
5.00%, 10/01/2027 | | | 475 | | | | 515 | |
CMFA Special Finance Agency | | | | | | | | |
4.00%, 08/01/2045(3) | | | 970 | | | | 754 | |
CMFA Special Finance Agency VII | | | | | | | | |
3.00%, 08/01/2056(3) | | | 2,000 | | | | 1,439 | |
4.00%, 08/01/2047(3) | | | 2,330 | | | | 1,777 | |
CMFA Special Finance Agency VIII | | | | | | | | |
3.00%, 08/01/2056(3) | | | 3,675 | | | | 2,624 | |
CMFA Special Finance Agency XII | | | | | | | | |
4.38%, 08/01/2049(3) | | | 800 | | | | 612 | |
Coast Community College District | | | | | | | | |
5.00%, 08/01/2036 | | | 3,000 | | | | 3,400 | |
Compton Community Redevelopment Agency Successor Agency | | | | | | | | |
5.00%, 08/01/2028 | | | 3,510 | | | | 3,889 | |
Corona Community Facilities District | | | | | | | | |
5.00%, 09/01/2027 | | | 100 | | | | 108 | |
5.25%, 09/01/2034 | | | 185 | | | | 198 | |
County of Los Angeles CA Community Facilities District No 2021-01 | | | | | | | | |
5.00%, 09/01/2029 | | | 150 | | | | 163 | |
5.00%, 09/01/2031 | | | 225 | | | | 243 | |
5.00%, 09/01/2034 | | | 335 | | | | 355 | |
5.00%, 09/01/2036 | | | 560 | | | | 585 | |
| | | | | | | | |
CSCDA Community Improvement Authority | | | | | | | | |
3.00%, 09/01/2056(3) | | | 6,565 | | | | 4,694 | |
3.00%, 03/01/2057(3) | | | 2,000 | | | | 1,440 | |
3.13%, 06/01/2057(3) | | | 4,540 | | | | 3,031 | |
3.25%, 04/01/2057(3) | | | 2,880 | | | | 2,057 | |
3.25%, 05/01/2057(3) | | | 2,400 | | | | 1,698 | |
4.00%, 09/01/2056(3) | | | 2,025 | | | | 1,669 | |
4.00%, 10/01/2056(3) | | | 250 | | | | 214 | |
4.00%, 10/01/2056(3) | | | 6,125 | | | | 4,882 | |
4.00%, 12/01/2056(3) | | | 5,030 | | | | 3,783 | |
4.00%, 06/01/2058(3) | | | 1,575 | | | | 1,293 | |
4.00%, 12/01/2058(3) | | | 3,595 | | | | 2,801 | |
4.00%, 12/01/2059(3) | | | 255 | | | | 162 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
1.31%, 12/01/2052(2)(3)(4) | | | 15,000 | | | | 15,000 | |
East Bay Municipal Utility District Water System Revenue | | | | | | | | |
5.00%, 06/01/2038 | | | 2,500 | | | | 2,888 | |
Foothill-de Anza Community College District | | | | | | | | |
5.00%, 04/01/2035 | | | 250 | | | | 266 | |
5.00%, 04/01/2036 | | | 200 | | | | 213 | |
Foothill-Eastern Transportation Corridor Agency | | | | | | | | |
4.00%, 01/15/2046 | | | 8,300 | | | | 7,627 | |
Golden State Tobacco Securitization Corp. | | | | | | | | |
0.00%, 06/01/2024 | | | 1,000 | | | | 961 | |
0.00%, 06/01/2066 | | | 4,225 | | | | 414 | |
5.00%, 06/01/2024 | | | 255 | | | | 270 | |
Hercules Redevelopment Agency Successor Agency | | | | | | | | |
5.00%, 08/01/2037 | | | 2,050 | | | | 2,239 | |
5.00%, 08/01/2042 | | | 630 | | | | 674 | |
Huntington Beach Union High School District | | | | | | | | |
5.00%, 08/01/2022 | | | 200 | | | | 201 | |
Irvine Unified School District | | | | | | | | |
5.00%, 03/01/2057 | | | 800 | | | | 817 | |
La Mesa-Spring Valley School District | | | | | | | | |
4.00%, 08/01/2036 | | | 250 | | | | 251 | |
4.00%, 08/01/2038 | | | 425 | | | | 426 | |
4.00%, 08/01/2040 | | | 530 | | | | 530 | |
Los Angeles Community College District | | | | | | | | |
4.00%, 08/01/2036 | | | 10,020 | | | | 10,074 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | | | | | | | | |
4.00%, 06/01/2035 | | | 2,500 | | | | 2,569 | |
Los Angeles County Public Works Financing Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 1,200 | | | | 1,293 | |
5.00%, 12/01/2030 | | | 2,520 | | | | 2,709 | |
5.00%, 12/01/2032 | | | 3,250 | | | | 3,776 | |
5.00%, 12/01/2034 | | | 5,375 | | | | 6,150 | |
Los Angeles Department of Water & Power | | | | | | | | |
5.00%, 07/01/2039 | | | 2,500 | | | | 2,835 | |
5.00%, 07/01/2040 | | | 7,295 | | | | 8,144 | |
5.00%, 07/01/2046 | | | 3,880 | | | | 4,286 | |
Los Angeles Department of Water & Power Water System Revenue | | | | | | | | |
5.00%, 07/01/2034 | | | 4,505 | | | | 4,825 | |
Los Angeles Unified School District | | | | | | | | |
4.00%, 07/01/2036 | | | 6,190 | | | | 6,239 | |
4.00%, 07/01/2037 | | | 3,000 | | | | 3,013 | |
5.00%, 07/01/2027 | | | 2,385 | | | | 2,681 | |
Los Rios Community College District | | | | | | | | |
3.00%, 08/01/2025 | | | 1,150 | | | | 1,174 | |
Mendocino-Lake Community College District | | | | | | | | |
5.00%, 08/01/2027 | | | 1,700 | | | | 1,835 | |
5.00%, 08/01/2028 | | | 1,000 | | | | 1,085 | �� |
5.00%, 08/01/2029 | | | 775 | | | | 841 | |
5.00%, 08/01/2030 | | | 2,530 | | | | 2,744 | |
Merced City School District | | | | | | | | |
4.00%, 08/01/2046 | | | 1,250 | | | | 1,204 | |
Metropolitan Water District of Southern California | | | | | | | | |
1.05% (SIFMA Municipal Swap Index Yield + 0.14%), 07/01/2037(1) | | | 2,530 | | | | 2,524 | |
1.05% (SIFMA Municipal Swap Index Yield + 0.14%), 07/01/2037(1) | | | 6,650 | | | | 6,634 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 12/01/2039(2)(3)(4) | | | 8,800 | | | | 8,800 | |
1.16%, 06/01/2050(2)(3) | | | 13,400 | | | | 13,400 | |
Mount Diablo Unified School District | | | | | | | | |
4.00%, 08/01/2026 | | | 1,225 | | | | 1,305 | |
4.00%, 08/01/2028 | | | 1,350 | | | | 1,454 | |
4.00%, 08/01/2029 | | | 1,000 | | | | 1,078 | |
4.00%, 08/01/2030 | | | 1,445 | | | | 1,554 | |
4.00%, 08/01/2032 | | | 2,030 | | | | 2,163 | |
Natomas Unified School District | | | | | | | | |
4.00%, 08/01/2045 | | | 4,000 | | | | 3,941 | |
Norman Y Mineta San Jose International Airport SJC | | | | | | | | |
4.00%, 03/01/2034 | | | 4,000 | | | | 3,939 | |
5.00%, 03/01/2028 | | | 1,340 | | | | 1,446 | |
5.00%, 03/01/2030 | | | 1,700 | | | | 1,810 | |
5.00%, 03/01/2042 | | | 1,390 | | | | 1,454 | |
| | | | | | | | |
North Coast County Water District | | | | | | | | |
4.00%, 10/01/2029 | | | 145 | | | | 157 | |
4.00%, 10/01/2033 | | | 250 | | | | 264 | |
4.00%, 10/01/2036 | | | 125 | | | | 126 | |
4.00%, 10/01/2041 | | | 420 | | | | 414 | |
Ontario International Airport Authority | | | | | | | | |
4.00%, 05/15/2039 | | | 850 | | | | 820 | |
4.00%, 05/15/2040 | | | 635 | | | | 608 | |
4.00%, 05/15/2041 | | | 400 | | | | 382 | |
Orange County Community Facilities District | | | | | | | | |
5.25%, 08/15/2045 | | | 975 | | | | 1,001 | |
Orange County Transportation Authority | | | | | | | | |
5.00%, 10/15/2024 | | | 6,385 | | | | 6,816 | |
Pittsburg Unified School District | | | | | | | | |
4.00%, 08/01/2032 | | | 280 | | | | 291 | |
4.00%, 08/01/2033 | | | 100 | | | | 103 | |
4.00%, 08/01/2035 | | | 280 | | | | 284 | |
4.00%, 08/01/2036 | | | 285 | | | | 287 | |
4.00%, 08/01/2039 | | | 400 | | | | 398 | |
4.00%, 08/01/2046 | | | 875 | | | | 854 | |
Port of Los Angeles | | | | | | | | |
5.00%, 08/01/2027 | | | 1,810 | | | | 1,895 | |
Port of Oakland | | | | | | | | |
5.00%, 05/01/2023 | | | 175 | | | | 180 | |
5.00%, 05/01/2024 | | | 150 | | | | 158 | |
5.00%, 05/01/2024 | | | 1,920 | | | | 2,012 | |
5.00%, 05/01/2025 | | | 9,600 | | | | 10,240 | |
5.00%, 05/01/2026 | | | 1,170 | | | | 1,265 | |
5.00%, 05/01/2027 | | | 3,970 | | | | 4,342 | |
5.00%, 05/01/2028 | | | 1,875 | | | | 2,056 | |
5.00%, 05/01/2029 | | | 1,875 | | | | 2,068 | |
5.00%, 11/01/2029 | | | 1,875 | | | | 2,075 | |
Regents of the University of California Medical Center Pooled Revenue | | | | | | | | |
5.00%, 05/15/2039 | | | 15,000 | | | | 16,692 | |
5.00%, 05/15/2047 | | | 10,825 | | | | 11,747 | |
Riverside County Community Facilities Districts | | | | | | | | |
4.00%, 09/01/2040 | | | 1,500 | | | | 1,449 | |
Riverside County Transportation Commission | | | | | | | | |
4.00%, 06/01/2046 | | | 5,250 | | | | 4,922 | |
Sacramento City Financing Authority | | | | | | | | |
5.00%, 12/01/2033 | | | 875 | | | | 936 | |
Sacramento City Unified School District | | | | | | | | |
5.00%, 07/01/2031 | | | 1,740 | | | | 1,983 | |
San Diego County Regional Airport Authority | | | | | | | | |
4.00%, 07/01/2035 | | | 4,815 | | | | 4,715 | |
4.00%, 07/01/2036 | | | 5,625 | | | | 5,487 | |
5.00%, 07/01/2030 | | | 205 | | | | 226 | |
5.00%, 07/01/2037 | | | 6,000 | | | | 6,432 | |
5.00%, 07/01/2038 | | | 6,100 | | | | 6,523 | |
San Francisco Bay Area Rapid Transit District | | | | | | | | |
5.00%, 08/01/2039 | | | 2,650 | | | | 3,029 | |
San Francisco City & County Airport Comm-San Francisco International Airport | | | | | | | | |
4.00%, 05/01/2039 | | | 1,875 | | | | 1,824 | |
5.00%, 05/01/2037 | | | 945 | | | | 999 | |
San Mateo Foster City Public Financing Authority | | | | | | | | |
5.00%, 08/01/2025 | | | 2,500 | | | | 2,701 | |
Santa Ana Unified School District | | | | | | | | |
5.50%, 08/01/2022 | | | 200 | | | | 201 | |
State of California | | | | | | | | |
4.00%, 10/01/2024 | | | 4,475 | | | | 4,669 | |
4.00%, 03/01/2025 | | | 3,500 | | | | 3,670 | |
4.00%, 10/01/2025 | | | 2,240 | | | | 2,367 | |
4.00%, 03/01/2026 | | | 375 | | | | 398 | |
4.00%, 10/01/2026 | | | 2,740 | | | | 2,930 | |
4.00%, 11/01/2035 | | | 1,750 | | | | 1,776 | |
4.00%, 03/01/2036 | | | 3,385 | | | | 3,413 | |
4.00%, 11/01/2036 | | | 2,735 | | | | 2,759 | |
4.00%, 11/01/2037 | | | 1,625 | | | | 1,638 | |
4.00%, 10/01/2041 | | | 2,235 | | | | 2,241 | |
4.00%, 11/01/2041 | | | 2,000 | | | | 2,002 | |
5.00%, 08/01/2023 | | | 3,000 | | | | 3,108 | |
5.00%, 12/01/2023 | | | 2,980 | | | | 3,115 | |
5.00%, 05/01/2024 | | | 1,945 | | | | 2,054 | |
5.00%, 10/01/2024 | | | 1,790 | | | | 1,907 | |
5.00%, 12/01/2024 | | | 1,255 | | | | 1,342 | |
5.00%, 10/01/2025 | | | 1,280 | | | | 1,394 | |
5.00%, 09/01/2026 | | | 2,000 | | | | 2,218 | |
5.00%, 08/01/2027 | | | 620 | | | | 670 | |
5.00%, 11/01/2028 | | | 8,000 | | | | 9,163 | |
5.00%, 08/01/2029 | | | 935 | | | | 1,025 | |
5.00%, 09/01/2029 | | | 370 | | | | 406 | |
5.00%, 11/01/2029 | | | 3,170 | | | | 3,558 | |
5.00%, 04/01/2030 | | | 5,130 | | | | 5,963 | |
5.00%, 08/01/2030 | | | 3,500 | | | | 3,824 | |
5.00%, 08/01/2030 | | | 3,910 | | | | 4,355 | |
5.00%, 11/01/2032 | | | 11,555 | | | | 13,423 | |
5.00%, 03/01/2033 | | | 7,765 | | | | 8,914 | |
| | | | | | | | |
5.00%, 04/01/2035 | | | 2,585 | | | | 3,016 | |
5.00%, 04/01/2035 | | | 4,980 | | | | 5,551 | |
5.00%, 10/01/2037 | | | 15,000 | | | | 17,187 | |
5.00%, 10/01/2041 | | | 10,465 | | | | 11,734 | |
5.00%, 04/01/2042 | | | 1,700 | | | | 1,834 | |
5.00%, 04/01/2042 | | | 1,750 | | | | 1,974 | |
State of California Department of Water Resources | | | | | | | | |
5.00%, 12/01/2025 | | | 1,500 | | | | 1,643 | |
5.00%, 12/01/2033 | | | 8,530 | | | | 9,790 | |
Transbay Joint Powers Authority | | | | | | | | |
5.00%, 10/01/2033 | | | 250 | | | | 268 | |
5.00%, 10/01/2034 | | | 250 | | | | 268 | |
5.00%, 10/01/2035 | | | 240 | | | | 256 | |
5.00%, 10/01/2038 | | | 600 | | | | 630 | |
Tustin Unified School District | | | | | | | | |
4.00%, 09/01/2034 | | | 125 | | | | 126 | |
4.00%, 09/01/2035 | | | 255 | | | | 256 | |
West Contra Costa Healthcare District | | | | | | | | |
4.00%, 07/01/2034 | | | 1,125 | | | | 1,129 | |
4.00%, 07/01/2036 | | | 1,220 | | | | 1,223 | |
4.00%, 07/01/2038 | | | 1,320 | | | | 1,321 | |
4.00%, 07/01/2040 | | | 2,850 | | | | 2,818 | |
| | | | | | | | |
Total California | | | | 778,216 | |
| | | | | | | | |
Colorado – 2.22% | | | | | | | | |
Adams 12 Five Star Schools | | | | | | | | |
5.00%, 12/15/2028 | | | 2,050 | | | | 2,264 | |
5.00%, 12/15/2030 | | | 4,000 | | | | 4,389 | |
Aerotropolis Regional Transportation Authority | | | | | | | | |
4.38%, 12/01/2052 | | | 2,000 | | | | 1,571 | |
Amber Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2037 | | | 747 | | | | 721 | |
5.13%, 12/01/2047 | | | 1,050 | | | | 969 | |
Arapahoe County School District No 6 Littleton | | | | | | | | |
5.50%, 12/01/2033 | | | 1,150 | | | | 1,325 | |
Aurora Crossroads Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2040 | | | 500 | | | | 478 | |
5.00%, 12/01/2050 | | | 1,000 | | | | 889 | |
Berthoud-Heritage Metropolitan District No 1 | | | | | | | | |
5.63%, 12/01/2048 | | | 1,400 | | | | 1,345 | |
Brighton Crossing Metropolitan District No 4 | | | | | | | | |
5.00%, 12/01/2037 | | | 525 | | | | 519 | |
Brighton Crossing Metropolitan District No 6 | | | | | | | | |
5.00%, 12/01/2040 | | | 515 | | | | 491 | |
5.00%, 12/01/2050 | | | 1,340 | | | | 1,197 | |
Canyons Metropolitan District No 5 | | | | | | | | |
6.00%, 12/01/2037 | | | 500 | | | | 485 | |
City & County of Denver CO | | | | | | | | |
5.00%, 10/01/2032 | | | 9,405 | | | | 9,374 | |
City & County of Denver CO Airport System Revenue | | | | | | | | |
4.00%, 11/15/2023 | | | 4,465 | | | | 4,567 | |
5.00%, 11/15/2025 | | | 4,390 | | | | 4,721 | |
5.00%, 11/15/2029 | | | 3,105 | | | | 3,373 | |
5.00%, 12/01/2029 | | | 1,130 | | | | 1,234 | |
5.00%, 11/15/2031(2) | | | 1,000 | | | | 1,076 | |
5.00%, 12/01/2031 | | | 7,045 | | | | 7,610 | |
5.00%, 11/15/2032 | | | 2,175 | | | | 2,446 | |
5.00%, 12/01/2032 | | | 385 | | | | 413 | |
5.00%, 12/01/2035 | | | 5,520 | | | | 5,849 | |
City of Colorado Springs CO Utilities System Revenue | | | | | | | | |
5.00%, 11/15/2035 | | | 1,500 | | | | 1,710 | |
Colorado Educational & Cultural Facilities Authority | | | | | | | | |
4.00%, 08/01/2023 | | | 135 | | | | 137 | |
4.00%, 08/01/2024 | | | 165 | | | | 168 | |
4.00%, 05/01/2026 | | | 80 | | | | 80 | |
4.00%, 06/01/2026 | | | 535 | | | | 553 | |
4.00%, 06/01/2028 | | | 580 | | | | 600 | |
4.00%, 05/01/2029 | | | 70 | | | | 68 | |
4.00%, 05/01/2030 | | | 65 | | | | 63 | |
4.00%, 06/01/2030 | | | 325 | | | | 334 | |
4.00%, 06/01/2032 | | | 340 | | | | 342 | |
4.00%, 05/01/2036 | | | 75 | | | | 68 | |
4.00%, 07/01/2036 | | | 1,295 | | | | 1,290 | |
4.00%, 12/15/2036 | | | 750 | | | | 746 | |
4.00%, 12/15/2041 | | | 1,000 | | | | 979 | |
Colorado Health Facilities Authority | | | | | | | | |
2.13%, 05/15/2028 | | | 750 | | | | 700 | |
2.80%, 05/15/2042(2) | | | 3,585 | | | | 3,598 | |
4.00%, 11/01/2039 | | | 3,775 | | | | 3,625 | |
4.00%, 08/01/2044 | | | 1,520 | | | | 1,399 | |
5.00%, 12/01/2022 | | | 1,855 | | | | 1,881 | |
5.00%, 11/01/2023 | | | 1,350 | | | | 1,406 | |
5.00%, 11/01/2024 | | | 1,125 | | | | 1,188 | |
5.00%, 11/01/2025 | | | 1,715 | | | | 1,837 | |
5.00%, 11/01/2026 | | | 1,330 | | | | 1,441 | |
5.00%, 08/01/2027 | | | 1,000 | | | | 1,073 | |
5.00%, 08/01/2028 | | | 1,000 | | | | 1,075 | |
5.00%, 01/01/2031 | | | 100 | | | | 99 | |
| | | | | | | | |
5.00%, 11/15/2036(2) | | | 6,770 | | | | 7,037 | |
5.00%, 01/01/2037 | | | 250 | | | | 242 | |
5.00%, 08/01/2044 | | | 6,110 | | | | 6,242 | |
5.00%, 09/01/2046 | | | 1,000 | | | | 1,024 | |
5.00%, 08/01/2049(2) | | | 1,330 | | | | 1,405 | |
5.00%, 11/15/2049(2) | | | 2,585 | | | | 2,848 | |
5.25%, 01/01/2040 | | | 540 | | | | 549 | |
6.13%, 12/01/2045(3) | | | 675 | | | | 532 | |
6.25%, 12/01/2050(3) | | | 205 | | | | 161 | |
Colorado High Performance Transportation Enterprise | | | | | | | | |
5.00%, 12/31/2047 | | | 645 | | | | 650 | |
5.00%, 12/31/2051 | | | 2,150 | | | | 2,164 | |
5.00%, 12/31/2056 | | | 4,790 | | | | 4,818 | |
Colorado Housing & Finance Authority | | | | | | | | |
4.25%, 11/01/2049 | | | 455 | | | | 465 | |
4.25%, 11/01/2049 | | | 830 | | | | 848 | |
Colorado International Center Metropolitan District No 14 | | | | | | | | |
5.88%, 12/01/2046 | | | 635 | | | | 635 | |
Copperleaf Metropolitan District No 4 | | | | | | | | |
5.00%, 12/01/2039 | | | 775 | | | | 750 | |
5.00%, 12/01/2049 | | | 1,500 | | | | 1,382 | |
Cornerstar Metropolitan District | | | | | | | | |
5.13%, 12/01/2037 | | | 500 | | | | 488 | |
Cottonwood Highlands Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2049 | | | 900 | | | | 835 | |
County of El Paso CO | | | | | | | | |
4.00%, 12/01/2033 | | | 800 | | | | 840 | |
4.00%, 12/01/2035 | | | 910 | | | | 949 | |
5.00%, 12/01/2031 | | | 600 | | | | 685 | |
Denver City & County School District No 1 | | | | | | | | |
5.00%, 12/01/2039 | | | 10,000 | | | | 11,419 | |
Denver Convention Center Hotel Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 4,950 | | | | 5,000 | |
5.00%, 12/01/2030 | | | 2,000 | | | | 2,085 | |
Denver Gateway Center Metropolitan District | | | | | | | | |
5.50%, 12/01/2038 | | | 1,359 | | | | 1,357 | |
5.63%, 12/01/2048 | | | 2,130 | | | | 2,091 | |
Denver Health & Hospital Authority | | | | | | | | |
5.00%, 12/01/2048 | | | 1,800 | | | | 1,850 | |
Denver International Business Center Metropolitan District No 1 | | | | | | | | |
6.00%, 12/01/2048 | | | 500 | | | | 500 | |
Denver Urban Renewal Authority | | | | | | | | |
5.25%, 12/01/2039(3) | | | 1,000 | | | | 1,017 | |
E-470 Public Highway Authority | | | | | | | | |
1.36% (SOFR + 0.35%), 09/01/2039(1) | | | 2,195 | | | | 2,165 | |
5.00%, 09/01/2040 | | | 5,165 | | | | 5,391 | |
Eagle County Airport Terminal Corp. | | | | | | | | |
5.00%, 05/01/2033 | | | 2,000 | | | | 2,055 | |
Eagle County School District No Re50J | | | | | | | | |
4.00%, 12/01/2036 | | | 980 | | | | 1,018 | |
Fiddlers Business Improvement District | | | | | | | | |
5.00%, 12/01/2032(3) | | | 1,190 | | | | 1,218 | |
Hogback Metropolitan District | | | | | | | | |
5.00%, 12/01/2041 | | | 725 | | | | 659 | |
5.00%, 12/01/2051 | | | 1,050 | | | | 907 | |
Lewis Pointe Metropolitan District | | | | | | | | |
4.00%, 12/01/2029 | | | 270 | | | | 287 | |
Mesa County Valley School District No 51 Grand Junction CO | | | | | | | | |
5.25%, 12/01/2033 | | | 2,000 | | | | 2,237 | |
Mirabelle Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2039 | | | 700 | | | | 663 | |
5.00%, 12/01/2049 | | | 1,000 | | | | 898 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 07/01/2034(2)(3)(4) | | | 300 | | | | 300 | |
Morgan Hill Metropolitan District No 3 | | | | | | | | |
3.00%, 12/01/2031 | | | 490 | | | | 396 | |
Painted Prairie Metropolitan District No 2 | | | | | | | | |
5.25%, 12/01/2048 | | | 500 | | | | 475 | |
Park Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2045 | | | 1,775 | | | | 1,877 | |
Peak Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2041(3) | | | 1,000 | | | | 914 | |
Pronghorn Valley Metropolitan District | | | | | | | | |
3.75%, 12/01/2041 | | | 515 | | | | 402 | |
4.00%, 12/01/2051 | | | 650 | | | | 504 | |
Pueblo Urban Renewal Authority | | | | | | | | |
0.00%, 12/01/2025(3) | | | 250 | | | | 207 | |
4.75%, 12/01/2045(3) | | | 1,900 | | | | 1,702 | |
Rampart Range Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2047 | | | 650 | | | | 694 | |
Rampart Range Metropolitan District No 5 | | | | | | | | |
4.00%, 12/01/2051 | | | 2,125 | | | | 1,615 | |
Regional Transportation District | | | | | | | | |
4.00%, 01/15/2033 | | | 850 | | | | 812 | |
4.00%, 07/15/2033 | | | 270 | | | | 257 | |
4.00%, 07/15/2034 | | | 750 | | | | 708 | |
5.00%, 06/01/2031 | | | 1,315 | | | | 1,444 | |
5.00%, 07/15/2032 | | | 600 | | | | 629 | |
| | | | | | | | |
Reunion Metropolitan District | | | | | | | | |
3.63%, 12/01/2044 | | | 1,705 | | | | 1,264 | |
Riverwalk Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2052 | | | 1,500 | | | | 1,278 | |
Serenity Ridge Metropolitan District No 2 | | | | | | | | |
5.13%, 12/01/2037 | | | 1,290 | | | | 1,384 | |
Sierra Ridge Metropolitan District No 2 | | | | | | | | |
4.00%, 12/01/2022 | | | 575 | | | | 580 | |
4.00%, 12/01/2025 | | | 270 | | | | 283 | |
4.00%, 12/01/2026 | | | 300 | | | | 317 | |
4.00%, 12/01/2042 | | | 1,035 | | | | 1,039 | |
4.00%, 12/01/2046 | | | 750 | | | | 744 | |
Southglenn Metropolitan District | | | | | | | | |
5.00%, 12/01/2046 | | | 500 | | | | 467 | |
Southlands Metropolitan District No 1 | | | | | | | | |
3.00%, 12/01/2022 | | | 100 | | | | 100 | |
3.50%, 12/01/2027 | | | 500 | | | | 469 | |
St Vrain Lakes Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2037 | | | 500 | | | | 499 | |
State of Colorado | | | | | | | | |
4.00%, 12/15/2035 | | | 7,400 | | | | 7,464 | |
6.00%, 12/15/2038 | | | 5,000 | | | | 6,149 | |
6.00%, 12/15/2039 | | | 1,200 | | | | 1,473 | |
6.00%, 12/15/2040 | | | 5,165 | | | | 6,322 | |
6.00%, 12/15/2041 | | | 6,125 | | | | 7,482 | |
STC Metropolitan District No 2 | | | | | | | | |
3.00%, 12/01/2025 | | | 555 | | | | 525 | |
5.00%, 12/01/2038 | | | 500 | | | | 489 | |
University of Colorado | | | | | | | | |
2.00%, 06/01/2051(2) | | | 1,310 | | | | 1,263 | |
2.00%, 06/01/2051(2) | | | 1,545 | | | | 1,509 | |
2.00%, 06/01/2054(2) | | | 5,955 | | | | 5,875 | |
5.00%, 06/01/2047 | | | 500 | | | | 552 | |
University of Colorado Hospital Authority | | | | | | | | |
5.00%, 11/15/2047(2) | | | 9,530 | | | | 9,984 | |
Vauxmont Metropolitan District | | | | | | | | |
5.00%, 12/01/2024 | | | 200 | | | | 212 | |
5.00%, 12/15/2024 | | | 135 | | | | 143 | |
5.00%, 12/01/2025 | | | 180 | | | | 195 | |
5.00%, 12/15/2025 | | | 85 | | | | 92 | |
5.00%, 12/01/2026 | | | 195 | | | | 215 | |
5.00%, 12/01/2027 | | | 205 | | | | 229 | |
5.00%, 12/01/2028 | | | 210 | | | | 237 | |
5.00%, 12/15/2028 | | | 130 | | | | 141 | |
5.00%, 12/01/2029 | | | 210 | | | | 239 | |
5.00%, 12/15/2029 | | | 5 | | | | 5 | |
5.00%, 12/15/2030 | | | 500 | | | | 542 | |
5.00%, 12/01/2031 | | | 230 | | | | 260 | |
5.00%, 12/01/2032 | | | 250 | | | | 282 | |
5.00%, 12/01/2035 | | | 100 | | | | 111 | |
Weld County School District No RE-2 Eaton | | | | | | | | |
5.00%, 12/01/2037 | | | 2,280 | | | | 2,525 | |
Willow Bend Metropolitan District | | | | | | | | |
5.00%, 12/01/2039 | | | 600 | | | | 576 | |
5.00%, 12/01/2049 | | | 1,000 | | | | 922 | |
| | | | | | | | |
Total Colorado | | | | 239,505 | |
| | | | | | | | |
Connecticut – 2.51% | | | | | | | | |
City of Bridgeport CT | | | | | | | | |
4.00%, 08/01/2036 | | | 225 | | | | 231 | |
4.00%, 06/01/2037 | | | 2,460 | | | | 2,504 | |
5.00%, 09/15/2029 | | | 2,600 | | | | 2,969 | |
5.00%, 09/15/2030 | | | 2,250 | | | | 2,556 | |
5.00%, 06/01/2033 | | | 1,985 | | | | 2,224 | |
5.00%, 08/01/2034 | | | 250 | | | | 283 | |
City of Hartford CT | | | | | | | | |
5.00%, 07/15/2022 | | | 2,250 | | | | 2,252 | |
5.00%, 07/15/2023 | | | 2,000 | | | | 2,068 | |
5.00%, 07/15/2026 | | | 2,430 | | | | 2,604 | |
City of New Britain CT | | | | | | | | |
5.00%, 03/01/2027 | | | 1,260 | | | | 1,383 | |
5.00%, 03/01/2028 | | | 1,490 | | | | 1,628 | |
5.00%, 03/01/2033 | | | 1,900 | | | | 2,043 | |
City of New Haven CT | | | | | | | | |
4.00%, 08/01/2037 | | | 1,000 | | | | 1,015 | |
5.00%, 08/15/2023 | | | 900 | | | | 932 | |
5.00%, 08/15/2029 | | | 2,000 | | | | 2,170 | |
5.00%, 08/15/2031 | | | 1,000 | | | | 1,080 | |
5.25%, 08/01/2023 | | | 1,115 | | | | 1,153 | |
City of West Haven CT | | | | | | | | |
4.00%, 09/15/2030 | | | 300 | | | | 317 | |
Connecticut Housing Finance Authority | | | | | | | | |
2.25%, 11/15/2023 | | | 1,250 | | | | 1,248 | |
3.00%, 11/15/2050 | | | 6,415 | | | | 6,309 | |
3.00%, 05/15/2051 | | | 8,820 | | | | 8,616 | |
5.00%, 05/15/2025 | | | 1,995 | | | | 2,132 | |
5.00%, 11/15/2025 | | | 1,270 | | | | 1,369 | |
| | | | | | | | |
5.00%, 05/15/2026 | | | 1,290 | | | | 1,402 | |
5.00%, 11/15/2026 | | | 600 | | | | 658 | |
5.00%, 05/15/2027 | | | 675 | | | | 745 | |
5.00%, 11/15/2027 | | | 550 | | | | 611 | |
5.00%, 05/15/2028 | | | 700 | | | | 781 | |
5.00%, 11/15/2028 | | | 750 | | | | 841 | |
5.00%, 05/15/2029 | | | 720 | | | | 809 | |
5.00%, 11/15/2029 | | | 1,000 | | | | 1,129 | |
Connecticut State Health & Educational Facilities Authority | | | | | | | | |
0.38%, 07/01/2035(2) | | | 5,885 | | | | 5,631 | |
0.55%, 07/01/2037(2) | | | 4,500 | | | | 4,425 | |
1.10%, 07/01/2033(2) | | | 22,000 | | | | 21,116 | |
1.10%, 07/01/2048(2) | | | 9,000 | | | | 8,942 | |
1.80%, 07/01/2049(2) | | | 2,005 | | | | 1,978 | |
2.00%, 07/01/2042(2) | | | 6,470 | | | | 6,272 | |
4.00%, 07/01/2022(3) | | | 1,010 | | | | 1,010 | |
4.00%, 07/01/2032 | | | 250 | | | | 264 | |
4.00%, 07/01/2033 | | | 265 | | | | 279 | |
4.00%, 07/01/2034 | | | 275 | | | | 288 | |
4.00%, 07/01/2035 | | | 250 | | | | 259 | |
4.00%, 07/01/2036 | | | 200 | | | | 205 | |
4.00%, 07/01/2044 | | | 865 | | | | 733 | |
4.00%, 07/01/2046 | | | 880 | | | | 754 | |
4.00%, 07/01/2049 | | | 3,370 | | | | 2,765 | |
5.00%, 07/01/2023 | | | 325 | | | | 335 | |
5.00%, 11/01/2023 | | | 695 | | | | 723 | |
5.00%, 07/01/2024 | | | 365 | | | | 385 | |
5.00%, 11/01/2024 | | | 475 | | | | 505 | |
5.00%, 07/01/2025 | | | 150 | | | | 162 | |
5.00%, 07/01/2025(3) | | | 435 | | | | 434 | |
5.00%, 06/01/2027 | | | 200 | | | | 219 | |
5.00%, 06/01/2028 | | | 400 | | | | 440 | |
5.00%, 11/01/2028 | | | 1,245 | | | | 1,411 | |
5.00%, 06/01/2029 | | | 250 | | | | 277 | |
5.00%, 07/01/2029 | | | 150 | | | | 169 | |
5.00%, 07/01/2029(3) | | | 440 | | | | 428 | |
5.00%, 07/01/2029 | | | 1,000 | | | | 1,099 | |
5.00%, 07/01/2030 | | | 175 | | | | 198 | |
5.00%, 06/01/2031 | | | 600 | | | | 664 | |
5.00%, 07/01/2031 | | | 250 | | | | 285 | |
5.00%, 07/01/2032 | | | 700 | | | | 771 | |
5.00%, 07/01/2032 | | | 2,000 | | | | 2,158 | |
5.00%, 07/01/2033 | | | 235 | | | | 262 | |
5.00%, 07/01/2033 | | | 600 | | | | 658 | |
5.00%, 07/01/2033 | | | 2,730 | | | | 2,945 | |
5.00%, 07/01/2034 | | | 320 | | | | 355 | |
5.00%, 07/01/2034 | | | 700 | | | | 765 | |
5.00%, 07/01/2035 | | | 350 | | | | 386 | |
5.00%, 07/01/2035 | | | 525 | | | | 571 | |
5.00%, 07/01/2036 | | | 360 | | | | 395 | |
5.00%, 07/01/2036 | | | 1,000 | | | | 1,082 | |
5.00%, 07/01/2037 | | | 390 | | | | 426 | |
5.00%, 07/01/2042(2) | | | 4,000 | | | | 4,000 | |
5.00%, 07/01/2043 | | | 1,750 | | | | 1,775 | |
5.00%, 07/01/2049(3) | | | 1,550 | | | | 1,313 | |
5.00%, 07/01/2053(2) | | | 2,625 | | | | 2,874 | |
5.00%, 07/01/2053(2) | | | 3,445 | | | | 3,653 | |
Mattabassett District | | | | | | | | |
5.00%, 08/01/2022 | | | 195 | | | | 196 | |
Metropolitan District | | | | | | | | |
4.00%, 09/01/2037 | | | 3,980 | | | | 4,005 | |
4.00%, 09/01/2038 | | | 3,000 | | | | 3,011 | |
State of Connecticut | | | | | | | | |
3.00%, 01/15/2023 | | | 525 | | | | 529 | |
3.00%, 01/15/2024 | | | 450 | | | | 457 | |
4.00%, 01/15/2024 | | | 290 | | | | 299 | |
4.00%, 01/15/2039 | | | 8,835 | | | | 8,815 | |
5.00%, 07/15/2022 | | | 1,455 | | | | 1,457 | |
5.00%, 04/15/2023 | | | 3,200 | | | | 3,284 | |
5.00%, 07/15/2023 | | | 1,160 | | | | 1,198 | |
5.00%, 01/15/2026 | | | 850 | | | | 929 | |
5.00%, 04/15/2026 | | | 1,500 | | | | 1,647 | |
5.00%, 06/15/2027 | | | 1,680 | | | | 1,804 | |
5.00%, 09/15/2027 | | | 1,000 | | | | 1,124 | |
5.00%, 03/01/2029 | | | 1,500 | | | | 1,558 | |
5.00%, 04/15/2030 | | | 565 | | | | 638 | |
5.00%, 09/15/2030 | | | 650 | | | | 747 | |
5.00%, 06/15/2032 | | | 500 | | | | 581 | |
5.00%, 06/15/2032 | | | 710 | | | | 753 | |
5.00%, 09/15/2032 | | | 325 | | | | 378 | |
5.00%, 11/15/2032 | | | 200 | | | | 213 | |
5.00%, 04/15/2034 | | | 645 | | | | 712 | |
5.00%, 04/15/2035 | | | 3,250 | | | | 3,578 | |
5.00%, 06/15/2035 | | | 300 | | | | 341 | |
State of Connecticut Special Tax Revenue | | | | | | | | |
4.00%, 05/01/2036 | | | 3,260 | | | | 3,277 | |
4.00%, 05/01/2038 | | | 1,025 | | | | 1,039 | |
| | | | | | | | |
4.00%, 05/01/2039 | | | 5,645 | | | | 5,632 | |
4.00%, 05/01/2040 | | | 1,780 | | | | 1,769 | |
4.00%, 11/01/2040 | | | 1,040 | | | | 1,033 | |
5.00%, 09/01/2023 | | | 900 | | | | 933 | |
5.00%, 05/01/2030 | | | 2,000 | | | | 2,292 | |
5.00%, 10/01/2031 | | | 26,000 | | | | 26,797 | |
5.00%, 05/01/2033 | | | 3,000 | | | | 3,370 | |
5.00%, 05/01/2034 | | | 3,400 | | | | 3,800 | |
5.00%, 05/01/2034 | | | 8,900 | | | | 10,033 | |
5.00%, 05/01/2035 | | | 4,615 | | | | 5,191 | |
5.00%, 01/01/2036 | | | 1,500 | | | | 1,621 | |
5.00%, 05/01/2037 | | | 5,000 | | | | 5,539 | |
5.00%, 01/01/2038 | | | 4,400 | | | | 4,734 | |
Town of Hamden CT | | | | | | | | |
4.00%, 08/15/2024 | | | 275 | | | | 284 | |
5.00%, 08/15/2026 | | | 500 | | | | 523 | |
5.00%, 08/15/2026 | | | 1,335 | | | | 1,454 | |
5.00%, 08/01/2030 | | | 500 | | | | 555 | |
5.00%, 08/01/2032 | | | 500 | | | | 543 | |
5.00%, 01/01/2040 | | | 1,875 | | | | 1,743 | |
University of Connecticut | | | | | | | | |
5.00%, 11/01/2028 | | | 1,290 | | | | 1,460 | |
5.00%, 02/15/2036 | | | 1,000 | | | | 1,101 | |
5.00%, 02/15/2037 | | | 1,500 | | | | 1,646 | |
5.25%, 11/15/2034 | | | 3,705 | | | | 4,137 | |
| | | | | | | | |
Total Connecticut | | | | 271,866 | |
| | | | | | | | |
Delaware – 0.43% | | | | | | | | |
County of Kent DE | | | | | | | | |
5.00%, 07/01/2040 | | | 1,020 | | | | 983 | |
5.00%, 07/01/2048 | | | 2,305 | | | | 2,135 | |
County of Sussex DE | | | | | | | | |
5.00%, 01/01/2036 | | | 2,230 | | | | 2,251 | |
Delaware Municipal Electric Corp. | | | | | | | | |
4.00%, 07/01/2036 | | | 365 | | | | 372 | |
5.00%, 07/01/2032 | | | 235 | | | | 270 | |
Delaware River & Bay Authority | | | | | | | | |
4.00%, 01/01/2042 | | | 185 | | | | 185 | |
4.00%, 01/01/2046 | | | 1,100 | | | | 1,078 | |
5.00%, 01/01/2029 | | | 350 | | | | 400 | |
5.00%, 01/01/2032 | | | 500 | | | | 582 | |
5.00%, 01/01/2035 | | | 350 | | | | 401 | |
Delaware State Economic Development Authority | | | | | | | | |
1.05%, 01/01/2031(2) | | | 4,630 | | | | 4,394 | |
4.00%, 09/01/2030 | | | 180 | | | | 176 | |
4.00%, 09/01/2041 | | | 550 | | | | 496 | |
4.00%, 06/01/2042 | | | 1,000 | | | | 873 | |
5.00%, 09/01/2036 | | | 1,225 | | | | 1,258 | |
5.00%, 08/01/2039 | | | 715 | | | | 715 | |
5.00%, 09/01/2040 | | | 250 | | | | 258 | |
5.00%, 09/01/2046 | | | 700 | | | | 711 | |
5.00%, 11/15/2048 | | | 2,000 | | | | 2,060 | |
5.00%, 08/01/2049 | | | 900 | | | | 874 | |
5.00%, 09/01/2050 | | | 250 | | | | 255 | |
5.00%, 08/01/2054 | | | 835 | | | | 800 | |
Delaware State Health Facilities Authority | | | | | | | | |
5.00%, 06/01/2037 | | | 1,385 | | | | 1,444 | |
5.00%, 06/01/2043 | | | 1,000 | | | | 1,034 | |
5.00%, 06/01/2048 | | | 500 | | | | 514 | |
5.00%, 06/01/2050 | | | 2,000 | | | | 2,053 | |
Delaware Transportation Authority | | | | | | | | |
5.00%, 07/01/2032 | | | 3,210 | | | | 3,700 | |
5.00%, 09/01/2032 | | | 3,245 | | | | 3,644 | |
5.00%, 09/01/2033 | | | 2,750 | | | | 3,071 | |
5.00%, 09/01/2034 | | | 6,750 | | | | 7,522 | |
5.00%, 09/01/2035 | | | 2,200 | | | | 2,447 | |
| | | | | | | | |
Total Delaware | | | | 46,956 | |
| | | | | | | | |
District of Columbia – 1.83% | | | | | | | | |
District of Columbia | | | | | | | | |
0.00%, 06/01/2046(3) | | | 1,200 | | | | 730 | |
4.00%, 02/01/2037 | | | 2,860 | | | | 2,902 | |
5.00%, 10/01/2022 | | | 3,730 | | | | 3,763 | |
5.00%, 03/01/2024 | | | 455 | | | | 478 | |
5.00%, 10/01/2029 | | | 5,000 | | | | 5,787 | |
5.00%, 06/01/2030 | | | 1,085 | | | | 1,132 | |
5.00%, 12/01/2033 | | | 5,000 | | | | 5,572 | |
5.00%, 06/01/2034 | | | 1,000 | | | | 1,057 | |
5.00%, 06/01/2034 | | | 2,100 | | | | 2,290 | |
5.00%, 06/01/2035 | | | 3,000 | | | | 3,110 | |
5.00%, 07/01/2042 | | | 780 | | | | 731 | |
5.00%, 06/01/2046 | | | 3,370 | | | | 3,404 | |
5.00%, 07/01/2052 | | | 1,230 | | | | 1,100 | |
District of Columbia Housing Finance Agency | | | | | | | | |
0.70%, 06/01/2024(2) | | | 10,000 | | | | 9,831 | |
District of Columbia Tobacco Settlement Financing Corp. | | | | | | | | |
0.00%, 06/15/2046 | | | 2,000 | | | | 280 | |
0.00%, 06/15/2046 | | | 13,000 | | | | 2,721 | |
| | | | | | | | |
District of Columbia Water & Sewer Authority | | | | | | | | |
1.75%, 10/01/2054(2) | | | 9,340 | | | | 9,255 | |
3.00%, 10/01/2057(2) | | | 8,715 | | | | 8,594 | |
Metropolitan Washington Airports Authority | | | | | | | | |
4.00%, 10/01/2037 | | | 570 | | | | 563 | |
4.00%, 10/01/2038 | | | 635 | | | | 624 | |
5.00%, 10/01/2023 | | | 850 | | | | 879 | |
5.00%, 10/01/2024 | | | 1,325 | | | | 1,397 | |
5.00%, 10/01/2024 | | | 1,500 | | | | 1,594 | |
5.00%, 10/01/2025 | | | 1,185 | | | | 1,286 | |
5.00%, 10/01/2027 | | | 500 | | | | 551 | |
5.00%, 10/01/2027 | | | 32,565 | | | | 35,861 | |
5.00%, 10/01/2030 | | | 1,480 | | | | 1,493 | |
5.00%, 10/01/2030 | | | 2,530 | | | | 2,818 | |
5.00%, 10/01/2030 | | | 5,280 | | | | 5,697 | |
5.00%, 10/01/2031 | | | 4,305 | | | | 4,822 | |
5.00%, 10/01/2031 | | | 5,335 | | | | 5,789 | |
5.00%, 10/01/2032 | | | 5,000 | | | | 5,288 | |
5.00%, 10/01/2032 | | | 11,490 | | | | 12,770 | |
5.00%, 10/01/2033 | | | 6,230 | | | | 6,898 | |
5.00%, 10/01/2034 | | | 1,520 | | | | 1,673 | |
5.00%, 10/01/2035 | | | 1,350 | | | | 1,477 | |
5.00%, 10/01/2036 | | | 1,075 | | | | 1,169 | |
5.00%, 10/01/2037 | | | 1,000 | | | | 1,052 | |
5.00%, 10/01/2043 | | | 8,000 | | | | 8,405 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | | | | | | | | |
0.00%, 10/01/2035 | | | 6,025 | | | | 3,433 | |
0.00%, 10/01/2037 | | | 1,000 | | | | 512 | |
4.00%, 10/01/2038 | | | 415 | | | | 394 | |
5.00%, 10/01/2033 | | | 1,250 | | | | 1,314 | |
5.00%, 10/01/2034 | | | 1,500 | | | | 1,574 | |
6.50%, 10/01/2041 | | | 2,000 | | | | 2,344 | |
Washington Convention & Sports Authority | | | | | | | | |
5.00%, 10/01/2023 | | | 1,330 | | | | 1,381 | |
5.00%, 10/01/2024 | | | 1,030 | | | | 1,094 | |
Washington Metropolitan Area Transit Authority | | | | | | | | |
4.00%, 07/15/2034 | | | 2,935 | | | | 3,011 | |
4.00%, 07/15/2035 | | | 2,190 | | | | 2,239 | |
5.00%, 07/15/2023 | | | 1,665 | | | | 1,720 | |
5.00%, 07/01/2024 | | | 2,115 | | | | 2,234 | |
5.00%, 07/15/2024 | | | 1,100 | | | | 1,165 | |
5.00%, 07/01/2032 | | | 3,250 | | | | 3,579 | |
5.00%, 07/15/2035 | | | 3,675 | | | | 4,140 | |
5.00%, 07/15/2037 | | | 2,300 | | | | 2,596 | |
| | | | | | | | |
Total District of Columbia | | | | 197,573 | |
| | | | | | | | |
Florida – 5.49% | | | | | | | | |
Alachua County Health Facilities Authority | | | | | | | | |
4.00%, 12/01/2049 | | | 5,000 | | | | 4,530 | |
5.00%, 12/01/2036 | | | 1,000 | | | | 1,031 | |
5.00%, 12/01/2044 | | | 3,350 | | | | 3,421 | |
6.00%, 11/15/2034 | | | 35 | | | | 29 | |
6.25%, 11/15/2044 | | | 400 | | | | 311 | |
6.38%, 11/15/2049 | | | 300 | | | | 231 | |
Alachua County School Board | | | | | | | | |
5.00%, 07/01/2027 | | | 1,155 | | | | 1,281 | |
5.00%, 07/01/2030 | | | 2,140 | | | | 2,446 | |
Artisan Lakes East Community Development District | | | | | | | | |
2.75%, 05/01/2031 | | | 250 | | | | 208 | |
2.75%, 05/01/2031(3) | | | 270 | | | | 225 | |
Astonia Community Development District | | | | | | | | |
2.50%, 05/01/2026(3) | | | 250 | | | | 229 | |
3.00%, 05/01/2031(3) | | | 205 | | | | 173 | |
Ave Maria Stewardship Community District | | | | | | | | |
2.88%, 05/01/2027 | | | 1,225 | | | | 1,110 | |
Babcock Ranch Community Independent Special District | | | | | | | | |
2.38%, 05/01/2026 | | | 125 | | | | 114 | |
2.88%, 05/01/2031 | | | 250 | | | | 209 | |
5.00%, 05/01/2042 | | | 1,920 | | | | 1,857 | |
5.00%, 05/01/2053 | | | 1,920 | | | | 1,798 | |
Berry Bay Community Development District | | | | | | | | |
2.63%, 05/01/2026 | | | 200 | | | | 184 | |
Brevard County Health Facilities Authority | | | | | | | | |
5.00%, 04/01/2037 | | | 2,285 | | | | 2,361 | |
5.00%, 04/01/2039 | | | 1,335 | | | | 1,402 | |
5.00%, 04/01/2040 | | | 5,000 | | | | 5,350 | |
Capital Projects Finance Authority | | | | | | | | |
5.00%, 10/01/2024 | | | 550 | | | | 566 | |
5.00%, 10/01/2025 | | | 2,630 | | | | 2,724 | |
5.00%, 10/01/2026 | | | 1,275 | | | | 1,324 | |
5.00%, 10/01/2027 | | | 1,750 | | | | 1,823 | |
5.00%, 10/01/2034 | | | 500 | | | | 510 | |
5.00%, 10/01/2035 | | | 500 | | | | 510 | |
Capital Trust Agency, Inc. | | | | | | | | |
3.38%, 07/01/2031(3) | | | 1,440 | | | | 1,250 | |
4.00%, 06/15/2023(3) | | | 550 | | | | 547 | |
4.00%, 06/15/2025(3) | | | 250 | | | | 244 | |
4.00%, 06/15/2031(3) | | | 700 | | | | 629 | |
5.25%, 12/01/2058(3) | | | 2,650 | | | | 2,476 | |
| | | | | | | | |
Celebration Community Development District | | | | | | | | |
2.25%, 05/01/2026 | | | 105 | | | | 95 | |
2.75%, 05/01/2031 | | | 120 | | | | 100 | |
Central Florida Expressway Authority | | | | | | | | |
5.00%, 07/01/2026 | | | 1,375 | | | | 1,521 | |
5.00%, 07/01/2035 | | | 5,000 | | | | 5,436 | |
CFM Community Development District | | | | | | | | |
2.88%, 05/01/2031 | | | 420 | | | | 352 | |
Charles Cove Community Development District | | | | | | | | |
3.00%, 05/01/2031 | | | 280 | | | | 235 | |
City of Jacksonville FL | | | | | | | | |
5.00%, 10/01/2026 | | | 475 | | | | 521 | |
5.00%, 10/01/2027 | | | 380 | | | | 424 | |
5.00%, 08/15/2028 | | | 3,045 | | | | 3,442 | |
5.00%, 10/01/2028 | | | 755 | | | | 850 | |
5.00%, 08/15/2029 | | | 2,500 | | | | 2,851 | |
5.00%, 10/01/2029 | | | 655 | | | | 746 | |
5.00%, 08/15/2030 | | | 1,700 | | | | 1,923 | |
5.00%, 10/01/2030 | | | 615 | | | | 706 | |
5.00%, 08/15/2031 | | | 2,250 | | | | 2,519 | |
5.00%, 08/15/2032 | | | 1,200 | | | | 1,324 | |
5.00%, 10/01/2032 | | | 565 | | | | 659 | |
5.00%, 08/15/2033 | | | 1,200 | | | | 1,315 | |
5.00%, 06/01/2053(3) | | | 1,485 | | | | 1,422 | |
City of Miami Gardens FL | | | | | | | | |
5.00%, 07/01/2034 | | | 1,725 | | | | 1,825 | |
City of Orlando FL | | | | | | | | |
5.00%, 10/01/2031 | | | 1,120 | | | | 1,269 | |
5.00%, 10/01/2032 | | | 1,300 | | | | 1,429 | |
5.00%, 10/01/2032 | | | 1,680 | | | | 1,898 | |
5.00%, 10/01/2035 | | | 1,200 | | | | 1,348 | |
5.00%, 10/01/2036 | | | 1,000 | | | | 1,121 | |
City of Orlando FL Tourist Development Tax Revenue | | | | | | | | |
5.00%, 11/01/2029 | | | 2,000 | | | | 2,245 | |
City of Palmetto FL | | | | | | | | |
4.25%, 06/01/2027 | | | 250 | | | | 252 | |
5.00%, 06/01/2032 | | | 400 | | | | 410 | |
City of Pompano Beach FL | | | | | | | | |
1.45%, 01/01/2027 | | | 600 | | | | 530 | |
City Of South Miami Health Facilities Authority, Inc. | | | | | | | | |
5.00%, 08/15/2023 | | | 250 | | | | 259 | |
5.00%, 08/15/2024 | | | 400 | | | | 421 | |
5.00%, 08/15/2025 | | | 700 | | | | 750 | |
City of Tallahassee FL | | | | | | | | |
5.00%, 12/01/2026 | | | 1,380 | | | | 1,465 | |
City of Tampa FL | | | | | | | | |
0.00%, 09/01/2036 | | | 800 | | | | 432 | |
0.00%, 09/01/2037 | | | 800 | | | | 409 | |
5.00%, 04/01/2040 | | | 1,115 | | | | 1,142 | |
Cobblestone Community Development District | | | | | | | | |
3.40%, 05/01/2027 | | | 190 | | | | 178 | |
Cordova Palms Community Development District | | | | | | | | |
2.40%, 05/01/2026(3) | | | 175 | | | | 159 | |
2.80%, 05/01/2031(3) | | | 245 | | | | 205 | |
4.50%, 05/01/2027(3) | | | 115 | | | | 115 | |
5.10%, 05/01/2032(3) | | | 170 | | | | 170 | |
5.30%, 05/01/2032(3) | | | 105 | | | | 105 | |
County of Broward FL | | | | | | | | |
5.00%, 04/01/2028 | | | 560 | | | | 573 | |
County of Broward FL Airport System Revenue | | | | | | | | |
5.00%, 10/01/2022 | | | 1,185 | | | | 1,194 | |
5.00%, 10/01/2025 | | | 2,125 | | | | 2,279 | |
5.00%, 10/01/2026 | | | 1,000 | | | | 1,083 | |
5.00%, 10/01/2026 | | | 3,665 | | | | 3,969 | |
5.00%, 10/01/2027 | | | 1,650 | | | | 1,804 | |
5.00%, 10/01/2027 | | | 3,500 | | | | 3,828 | |
5.00%, 10/01/2028 | | | 1,500 | | | | 1,649 | |
5.00%, 10/01/2029 | | | 500 | | | | 525 | |
5.00%, 10/01/2029 | | | 1,150 | | | | 1,270 | |
5.00%, 10/01/2030 | | | 405 | | | | 434 | |
5.00%, 10/01/2031 | | | 1,525 | | | | 1,662 | |
5.00%, 10/01/2036 | | | 1,350 | | | | 1,437 | |
5.00%, 10/01/2036 | | | 1,500 | | | | 1,573 | |
5.00%, 10/01/2040 | | | 10,000 | | | | 10,338 | |
5.00%, 10/01/2042 | | | 110 | | | | 111 | |
County of Broward FL Port Facilities Revenue | | | | | | | | |
4.00%, 09/01/2036 | | | 1,000 | | | | 1,007 | |
5.00%, 09/01/2030 | | | 310 | | | | 351 | |
5.00%, 09/01/2030 | | | 1,780 | | | | 1,966 | |
5.00%, 09/01/2032 | | | 265 | | | | 298 | |
5.00%, 09/01/2034 | | | 1,925 | | | | 2,100 | |
5.00%, 09/01/2035 | | | 2,000 | | | | 2,177 | |
County of Broward FL Tourist Development Tax Revenue | | | | | | | | |
4.00%, 09/01/2039 | | | 4,500 | | | | 4,539 | |
County of Clay FL Sales Surtax Revenue | | | | | | | | |
5.00%, 10/01/2026 | | | 1,170 | | | | 1,290 | |
5.00%, 10/01/2030 | | | 1,680 | | | | 1,913 | |
| | | | | | | | |
5.00%, 10/01/2031 | | | 1,375 | | | | 1,559 | |
5.00%, 10/01/2035 | | | 1,805 | | | | 2,026 | |
County of Hillsborough FL Community Investment Tax Revenue | | | | | | | | |
5.00%, 11/01/2025 | | | 1,800 | | | | 1,952 | |
County of Lee FL Solid Waste System Revenue | | | | | | | | |
5.00%, 10/01/2025 | | | 3,045 | | | | 3,255 | |
County of Miami-Dade FL | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000 | | | | 1,033 | |
5.00%, 07/01/2023 | | | 7,135 | | | | 7,368 | |
5.00%, 10/01/2024 | | | 1,785 | | | | 1,886 | |
County of Miami-Dade FL Aviation Revenue | | | | | | | | |
4.00%, 10/01/2034 | | | 3,200 | | | | 3,168 | |
4.00%, 10/01/2039 | | | 300 | | | | 291 | |
4.00%, 10/01/2040 | | | 1,450 | | | | 1,403 | |
4.00%, 10/01/2041 | | | 1,500 | | | | 1,450 | |
5.00%, 10/01/2024 | | | 2,510 | | | | 2,650 | |
5.00%, 10/01/2029 | | | 625 | | | | 647 | |
5.00%, 10/01/2030 | | | 250 | | | | 279 | |
5.00%, 10/01/2031 | | | 3,000 | | | | 3,026 | |
5.00%, 10/01/2031 | | | 7,500 | | | | 7,770 | |
5.00%, 10/01/2033 | | | 7,000 | | | | 7,236 | |
5.00%, 10/01/2034 | | | 5,520 | | | | 5,690 | |
5.00%, 10/01/2035 | | | 1,000 | | | | 1,028 | |
5.00%, 10/01/2037 | | | 2,990 | | | | 3,087 | |
5.00%, 10/01/2038 | | | 490 | | | | 503 | |
5.00%, 10/01/2040 | | | 1,380 | | | | 1,434 | |
County of Miami-Dade FL Transit System | | | | | | | | |
4.00%, 07/01/2036 | | | 1,755 | | | | 1,774 | |
County of Miami-Dade FL Water & Sewer System Revenue | | | | | | | | |
4.00%, 10/01/2035 | | | 1,540 | | | | 1,560 | |
4.00%, 10/01/2038 | | | 1,250 | | | | 1,257 | |
4.00%, 10/01/2040 | | | 8,880 | | | | 8,908 | |
4.00%, 10/01/2048 | | | 1,700 | | | | 1,643 | |
5.00%, 10/01/2031 | | | 4,000 | | | | 4,238 | |
5.00%, 10/01/2032 | | | 1,275 | | | | 1,348 | |
County of Miami-Dade Seaport Department | | | | | | | | |
4.00%, 10/01/2038 | | | 1,000 | | | | 974 | |
4.00%, 10/01/2039 | | | 7,000 | | | | 6,789 | |
4.00%, 10/01/2040 | | | 6,000 | | | | 5,845 | |
6.00%, 10/01/2038 | | | 7,000 | | | | 7,362 | |
6.25%, 10/01/2038 | | | 2,000 | | | | 2,103 | |
County of Palm Beach FL | | | | | | | | |
5.00%, 05/01/2029 | | | 1,915 | | | | 2,095 | |
County of Pasco FL | | | | | | | | |
5.00%, 10/01/2050 | | | 4,785 | | | | 5,254 | |
Crossings At Fleming Island Community Development District | | | | | | | | |
4.50%, 05/01/2030 | | | 175 | | | | 170 | |
East Nassau Stewardship District | | | | | | | | |
2.40%, 05/01/2026 | | | 185 | | | | 168 | |
3.00%, 05/01/2031 | | | 245 | | | | 206 | |
Elevation Pointe Community Development District | | | | | | | | |
3.90%, 05/01/2027 | | | 205 | | | | 196 | |
4.13%, 05/01/2032 | | | 250 | | | | 237 | |
4.40%, 05/01/2032 | | | 1,100 | | | | 1,053 | |
Entrada Community Development District | | | | | | | | |
2.13%, 05/01/2026(3) | | | 270 | | | | 246 | |
Epperson North Community Development District | | | | | | | | |
2.45%, 11/01/2026 | | | 185 | | | | 167 | |
2.50%, 05/01/2026 | | | 95 | | | | 87 | |
3.00%, 05/01/2031 | | | 180 | | | | 151 | |
3.10%, 11/01/2031 | | | 250 | | | | 210 | |
Escambia County Health Facilities Authority | | | | | | | | |
4.00%, 08/15/2045 | | | 1,305 | | | | 1,172 | |
Esplanade Lake Club Community Development District | | | | | | | | |
3.25%, 11/01/2025 | | | 120 | | | | 115 | |
3.25%, 11/01/2025 | | | 250 | | | | 240 | |
Florida Development Finance Corp. | | | | | | | | |
1.75%, 06/01/2026(3) | | | 1,050 | | | | 963 | |
2.38%, 06/01/2027(3) | | | 440 | | | | 399 | |
3.00%, 07/01/2031(3) | | | 375 | | | | 326 | |
3.00%, 06/01/2032 | | | 2,755 | | | | 2,231 | |
4.00%, 06/01/2024 | | | 105 | | | | 103 | |
4.00%, 06/01/2026 | | | 110 | | | | 105 | |
4.00%, 07/01/2031 | | | 170 | | | | 165 | |
4.00%, 11/15/2034 | | | 3,300 | | | | 3,287 | |
4.00%, 11/15/2035 | | | 2,850 | | | | 2,821 | |
4.00%, 07/01/2051(3) | | | 1,000 | | | | 792 | |
5.00%, 04/01/2028 | | | 315 | | | | 344 | |
5.00%, 04/01/2029 | | | 250 | | | | 275 | |
5.00%, 05/01/2029(3) | | | 2,625 | | | | 2,548 | |
5.00%, 02/15/2031 | | | 655 | | | | 669 | |
5.00%, 06/01/2031 | | | 140 | | | | 131 | |
5.00%, 06/15/2032 | | | 545 | | | | 562 | |
5.00%, 06/01/2035 | | | 125 | | | | 113 | |
5.00%, 02/01/2036 | | | 1,905 | | | | 1,939 | |
5.00%, 02/01/2037 | | | 795 | | | | 805 | |
5.00%, 02/15/2038 | | | 600 | | | | 609 | |
| | | | | | | | |
5.00%, 06/15/2038 | | | 860 | | | | 877 | |
5.00%, 02/15/2048 | | | 1,600 | | | | 1,613 | |
5.00%, 02/01/2052 | | | 6,600 | | | | 6,520 | |
5.00%, 06/15/2056 | | | 2,570 | | | | 2,577 | |
Florida Higher Educational Facilities Financial Authority | | | | | | | | |
5.00%, 10/01/2029 | | | 1,000 | | | | 1,077 | |
5.00%, 10/01/2033 | | | 1,000 | | | | 1,047 | |
5.00%, 06/01/2048(3) | | | 2,310 | | | | 2,235 | |
Florida Housing Finance Corp. | | | | | | | | |
3.50%, 07/01/2051 | | | 2,575 | | | | 2,574 | |
Florida Municipal Power Agency | | | | | | | | |
3.00%, 10/01/2032 | | | 750 | | | | 714 | |
3.00%, 10/01/2033 | | | 700 | | | | 659 | |
5.00%, 10/01/2025 | | | 3,475 | | | | 3,751 | |
Fort Pierce Utilities Authority | | | | | | | | |
5.00%, 10/01/2031 | | | 200 | | | | 226 | |
5.00%, 10/01/2032 | | | 150 | | | | 170 | |
5.00%, 10/01/2033 | | | 200 | | | | 226 | |
5.00%, 10/01/2035 | | | 250 | | | | 281 | |
Greater Orlando Aviation Authority | | | | | | | | |
5.00%, 10/01/2022 | | | 1,000 | | | | 1,008 | |
5.00%, 10/01/2024 | | | 8,935 | | | | 9,422 | |
5.00%, 10/01/2026 | | | 500 | | | | 541 | |
5.00%, 10/01/2031 | | | 2,000 | | | | 2,096 | |
5.00%, 10/01/2033 | | | 2,020 | | | | 2,104 | |
5.00%, 10/01/2033 | | | 6,705 | | | | 7,288 | |
Halifax Hospital Medical Center | | | | | | | | |
5.00%, 06/01/2036 | | | 3,000 | | | | 3,105 | |
Harbor Bay Community Development District | | | | | | | | |
3.10%, 05/01/2024 | | | 40 | | | | 39 | |
3.10%, 05/01/2024 | | | 200 | | | | 196 | |
3.10%, 05/01/2024 | | | 250 | | | | 246 | |
Hernando County School District | | | | | | | | |
5.00%, 07/01/2024 | | | 805 | | | | 847 | |
Hillsborough County Aviation Authority | | | | | | | | |
4.00%, 10/01/2038 | | | 1,000 | | | | 999 | |
4.00%, 10/01/2040 | | | 1,610 | | | | 1,604 | |
4.00%, 10/01/2041 | | | 1,100 | | | | 1,095 | |
5.00%, 10/01/2032 | | | 375 | | | | 414 | |
5.00%, 10/01/2033 | | | 465 | | | | 511 | |
5.00%, 10/01/2034 | | | 2,150 | | | | 2,354 | |
5.00%, 10/01/2035 | | | 2,275 | | | | 2,480 | |
5.00%, 10/01/2036 | | | 2,650 | | | | 2,877 | |
5.00%, 10/01/2040 | | | 12,500 | | | | 13,300 | |
5.00%, 10/01/2047 | | | 8,000 | | | | 8,671 | |
Hillsborough County Port District | | | | | | | | |
5.00%, 06/01/2038 | | | 900 | | | | 955 | |
Hillsborough County School Board | | | | | | | | |
5.00%, 07/01/2029 | | | 1,795 | | | | 2,003 | |
Hilltop Point Community Development District | | | | | | | | |
5.00%, 05/01/2033 | | | 200 | | | | 196 | |
Hyde Park Community Development District No 1 | | | | | | | | |
3.25%, 05/01/2027 | | | 425 | | | | 391 | |
3.60%, 05/01/2032 | | | 505 | | | | 436 | |
JEA Electric System Revenue | | | | | | | | |
5.00%, 10/01/2026 | | | 1,120 | | | | 1,227 | |
5.00%, 10/01/2031 | | | 1,360 | | | | 1,544 | |
5.00%, 10/01/2033 | | | 2,130 | | | | 2,397 | |
5.00%, 10/01/2034 | | | 1,215 | | | | 1,361 | |
JEA Water & Sewer System Revenue | | | | | | | | |
4.00%, 10/01/2038 | | | 4,390 | | | | 4,410 | |
Lakes of Sarasota Community Development District | | | | | | | | |
3.63%, 05/01/2031 | | | 130 | | | | 112 | |
3.88%, 05/01/2031 | | | 1,465 | | | | 1,256 | |
3.90%, 05/01/2041 | | | 285 | | | | 232 | |
4.10%, 05/01/2051 | | | 265 | | | | 220 | |
4.13%, 05/01/2031 | | | 2,000 | | | | 1,839 | |
4.13%, 05/01/2041 | | | 200 | | | | 176 | |
4.30%, 05/01/2051 | | | 325 | | | | 276 | |
Lakewood Ranch Stewardship District | | | | | | | | |
2.30%, 05/01/2026 | | | 185 | | | | 169 | |
2.50%, 05/01/2025(3) | | | 375 | | | | 354 | |
2.63%, 05/01/2031 | | | 300 | | | | 246 | |
3.13%, 05/01/2025 | | | 195 | | | | 188 | |
3.13%, 05/01/2030(3) | | | 310 | | | | 271 | |
3.40%, 05/01/2030 | | | 370 | | | | 333 | |
4.00%, 05/01/2040 | | | 600 | | | | 529 | |
4.00%, 05/01/2050 | | | 1,000 | | | | 823 | |
4.35%, 05/01/2024 | | | 660 | | | | 663 | |
4.55%, 05/01/2024(3) | | | 370 | | | | 372 | |
Laurel Road Community Development District | | | | | | | | |
3.00%, 05/01/2031 | | | 550 | | | | 468 | |
3.13%, 05/01/2031 | | | 2,405 | | | | 2,052 | |
4.00%, 05/01/2052 | | | 1,450 | | | | 1,178 | |
Lee County Industrial Development Authority | | | | | | | | |
5.00%, 11/15/2039 | | | 1,850 | | | | 1,871 | |
5.63%, 12/01/2037(3) | | | 250 | | | | 214 | |
5.75%, 12/01/2052(3) | | | 750 | | | | 591 | |
| | | | | | | | |
Lee County School Board | | | | | | | | |
5.00%, 08/01/2028 | | | 3,275 | | | | 3,703 | |
Lee Memorial Health System | | | | | | | | |
5.00%, 04/01/2033(2) | | | 2,850 | | | | 3,062 | |
5.00%, 04/01/2035 | | | 6,575 | | | | 7,011 | |
5.00%, 04/01/2037 | | | 2,060 | | | | 2,180 | |
Live Oak Lake Community Development District | | | | | | | | |
3.80%, 05/01/2030 | | | 1,745 | | | | 1,591 | |
LT Ranch Community Development District | | | | | | | | |
3.00%, 05/01/2025 | | | 415 | | | | 398 | |
Manatee County School District | | | | | | | | |
5.00%, 10/01/2025 | | | 520 | | | | 562 | |
Marion County School Board | | | | | | | | |
5.00%, 06/01/2026 | | | 1,455 | | | | 1,563 | |
Martin County Health Facilities Authority | | | | | | | | |
5.00%, 11/15/2023 | | | 800 | | | | 832 | |
Meadow View at Twin Creeks Community Development District | | | | | | | | |
2.40%, 05/01/2026 | | | 150 | | | | 136 | |
3.00%, 05/01/2031 | | | 310 | | | | 260 | |
Miami Beach Health Facilities Authority | | | | | | | | |
4.00%, 11/15/2040 | | | 500 | | | | 473 | |
4.00%, 11/15/2041 | | | 500 | | | | 471 | |
4.00%, 11/15/2046 | | | 4,825 | | | | 4,465 | |
Miami-Dade County Educational Facilities Authority | | | | | | | | |
5.00%, 04/01/2040 | | | 2,855 | | | | 2,938 | |
5.00%, 04/01/2045 | | | 1,010 | | | | 1,035 | |
Miami-Dade County Expressway Authority | | | | | | | | |
5.00%, 07/01/2030 | | | 1,225 | | | | 1,306 | |
Miami-Dade County Health Facilities Authority | | | | | | | | |
5.00%, 08/01/2025 | | | 110 | | | | 117 | |
5.00%, 08/01/2026 | | | 155 | | | | 167 | |
5.00%, 08/01/2027 | | | 345 | | | | 376 | |
5.00%, 08/01/2028 | | | 400 | | | | 433 | |
5.00%, 08/01/2028 | | | 460 | | | | 503 | |
5.00%, 08/01/2029 | | | 480 | | | | 516 | |
5.00%, 08/01/2030 | | | 680 | | | | 727 | |
5.00%, 08/01/2030 | | | 1,050 | | | | 1,159 | |
5.00%, 08/01/2032 | | | 750 | | | | 792 | |
Miami-Dade County Industrial Development Authority | | | | | | | | |
0.32%, 09/01/2027(2) | | | 1,500 | | | | 1,495 | |
Mirada II Community Development District | | | | | | | | |
2.50%, 05/01/2026 | | | 405 | | | | 370 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 05/01/2034(2)(3)(4) | | | 990 | | | | 990 | |
Monroe County School District | | | | | | | | |
5.00%, 06/01/2033 | | | 540 | | | | 593 | |
5.00%, 06/01/2035 | | | 500 | | | | 548 | |
North AR-1 Pasco Community Development District | | | | | | | | |
2.63%, 05/01/2026 | | | 285 | | | | 261 | |
North Springs Improvement District | | | | | | | | |
4.00%, 05/01/2041 | | | 2,000 | | | | 2,019 | |
Orange County Convention Center | | | | | | | | |
5.00%, 10/01/2023 | | | 1,510 | | | | 1,567 | |
Orange County Health Facilities Authority | | | | | | | | |
5.00%, 10/01/2039 | | | 1,125 | | | | 1,172 | |
Orange County School Board | | | | | | | | |
5.00%, 08/01/2029 | | | 1,000 | | | | 1,079 | |
Orlando Utilities Commission | | | | | | | | |
1.25%, 10/01/2046(2) | | | 1,190 | | | | 1,000 | |
Palm Beach County Health Facilities Authority | | | | | | | | |
3.00%, 06/01/2027 | | | 900 | | | | 830 | |
4.00%, 06/01/2026 | | | 150 | | | | 147 | |
4.00%, 06/01/2031 | | | 625 | | | | 571 | |
4.25%, 06/01/2056 | | | 2,100 | | | | 1,661 | |
5.00%, 12/01/2023 | | | 105 | | | | 110 | |
5.00%, 05/15/2024 | | | 615 | | | | 628 | |
5.00%, 12/01/2024 | | | 105 | | | | 112 | |
5.00%, 05/15/2028 | | | 1,920 | | | | 1,945 | |
5.00%, 06/01/2055 | | | 2,500 | | | | 2,410 | |
Palm Beach County School District | | | | | | | | |
5.00%, 08/01/2023 | | | 500 | | | | 517 | |
5.00%, 08/01/2024 | | | 220 | | | | 232 | |
5.00%, 08/01/2026 | | | 1,065 | | | | 1,165 | |
5.00%, 08/01/2026 | | | 3,750 | | | | 4,101 | |
5.00%, 08/01/2030 | | | 4,520 | | | | 4,782 | |
5.00%, 08/01/2032 | | | 3,000 | | | | 3,162 | |
5.00%, 08/01/2038 | | | 1,280 | | | | 1,415 | |
5.00%, 08/01/2039 | | | 2,560 | | | | 2,823 | |
Palm Coast Park Community Development District | | | | | | | | |
2.40%, 05/01/2026 | | | 120 | | | | 109 | |
4.63%, 05/01/2032 | | | 500 | | | | 496 | |
Pasco County School Board | | | | | | | | |
5.00%, 08/01/2030 | | | 450 | | | | 514 | |
5.00%, 08/01/2033 | | | 1,000 | | | | 1,125 | |
Pine Isle Community Development District | | | | | | | | |
3.00%, 12/15/2031(3) | | | 100 | | | | 84 | |
| | | | | | | | |
Pinellas County Housing Finance Authority | | | | | | | | |
0.65%, 01/01/2025(2) | | | 2,210 | | | | 2,113 | |
Portico Community Development District | | | | | | | | |
2.80%, 05/01/2025 | | | 620 | | | | 589 | |
Preston Cove Community Development District | | | | | | | | |
3.25%, 05/01/2027 | | | 200 | | | | 184 | |
3.60%, 05/01/2032 | | | 340 | | | | 294 | |
Reunion East Community Development District | | | | | | | | |
2.40%, 05/01/2026 | | | 145 | | | | 133 | |
2.85%, 05/01/2031 | | | 200 | | | | 170 | |
Reunion West Community Development District | | | | | | | | |
3.00%, 05/01/2036 | | | 450 | | | | 357 | |
Ridge at Apopka Community Development District | | | | | | | | |
4.75%, 05/01/2027 | | | 250 | | | | 249 | |
River Hall Community Development District | | | | | | | | |
3.00%, 05/01/2031 | | | 250 | | | | 211 | |
Rivers Edge II Community Development District | | | | | | | | |
2.40%, 05/01/2026 | | | 350 | | | | 318 | |
3.00%, 05/01/2031 | | | 300 | | | | 251 | |
Rolling Hills Community Development District | | | | | | | | |
3.13%, 05/01/2027 | | | 315 | | | | 286 | |
3.65%, 05/01/2032 | | | 400 | | | | 344 | |
3.75%, 05/01/2042 | | | 485 | | | | 387 | |
Sarasota County Health Facilities Authority | | | | | | | | |
5.00%, 01/01/2042 | | | 750 | | | | 725 | |
5.00%, 01/01/2047 | | | 875 | | | | 826 | |
Sawyers Landing Community Development District | | | | | | | | |
3.25%, 05/01/2026 | | | 300 | | | | 285 | |
4.25%, 05/01/2053 | | | 1,945 | | | | 1,660 | |
School Board of Miami-Dade County | | | | | | | | |
5.00%, 05/01/2025 | | | 3,000 | | | | 3,228 | |
5.00%, 05/01/2026 | | | 1,000 | | | | 1,066 | |
5.00%, 05/01/2028 | | | 2,785 | | | | 2,953 | |
5.00%, 02/01/2030 | | | 500 | | | | 532 | |
5.00%, 05/01/2031 | | | 5,000 | | | | 5,347 | |
5.00%, 05/01/2031(2) | | | 6,410 | | | | 6,731 | |
School District of Broward County | | | | | | | | |
5.00%, 07/01/2022 | | | 1,000 | | | | 1,000 | |
5.00%, 07/01/2028 | | | 1,500 | | | | 1,656 | |
5.00%, 07/01/2029 | | | 2,545 | | | | 2,802 | |
5.00%, 07/01/2030 | | | 3,955 | | | | 4,452 | |
5.00%, 07/01/2030 | | | 5,500 | | | | 5,886 | |
5.00%, 07/01/2031 | | | 1,000 | | | | 1,113 | |
5.00%, 07/01/2033 | | | 5,000 | | | | 5,524 | |
5.00%, 07/01/2045 | | | 12,400 | | | | 13,980 | |
Seminole County Industrial Development Authority | | | | | | | | |
3.75%, 11/15/2025 | | | 2,690 | | | | 2,519 | |
4.00%, 06/15/2041(3) | | | 425 | | | | 361 | |
4.00%, 06/15/2051(3) | | | 830 | | | | 655 | |
4.00%, 06/15/2056(3) | | | 705 | | | | 538 | |
Seminole Improvement District | | | | | | | | |
4.40%, 10/01/2027 | | | 250 | | | | 249 | |
5.00%, 10/01/2032 | | | 250 | | | | 250 | |
5.30%, 10/01/2037 | | | 500 | | | | 500 | |
Somerset Community Development District | | | | | | | | |
4.00%, 05/01/2024 | | | 200 | | | | 200 | |
4.00%, 05/01/2025 | | | 210 | | | | 209 | |
4.00%, 05/01/2032 | | | 255 | | | | 240 | |
Southern Groves Community Development District No 5 | | | | | | | | |
2.40%, 05/01/2026 | | | 215 | | | | 195 | |
2.80%, 05/01/2031 | | | 300 | | | | 248 | |
St Johns County Industrial Development Authority | | | | | | | | |
4.00%, 12/15/2025 | | | 170 | | | | 166 | |
4.00%, 12/15/2026 | | | 185 | | | | 178 | |
4.00%, 12/15/2027 | | | 215 | | | | 204 | |
St Johns County School Board | | | | | | | | |
5.00%, 07/01/2029 | | | 1,250 | | | | 1,423 | |
5.00%, 07/01/2030 | | | 1,500 | | | | 1,705 | |
5.00%, 07/01/2031 | | | 1,000 | | | | 1,134 | |
State of Florida | | | | | | | | |
4.00%, 07/01/2034 | | | 2,530 | | | | 2,661 | |
5.00%, 06/01/2023 | | | 2,425 | | | | 2,499 | |
5.00%, 06/01/2024 | | | 2,415 | | | | 2,554 | |
5.00%, 07/01/2024 | | | 2,460 | | | | 2,604 | |
State of Florida Department of Transportation | | | | | | | | |
3.00%, 07/01/2032 | | | 2,500 | | | | 2,416 | |
3.00%, 07/01/2033 | | | 2,500 | | | | 2,379 | |
State of Florida Department of Transportation Turnpike System Revenue | | | | | | | | |
4.00%, 07/01/2039 | | | 3,625 | | | | 3,607 | |
State of Florida Lottery Revenue | | | | | | | | |
5.00%, 07/01/2024 | | | 1,400 | | | | 1,479 | |
5.00%, 07/01/2024 | | | 4,000 | | | | 4,226 | |
Stillwater Community Development District | | | | | | | | |
2.38%, 06/15/2026(3) | | | 245 | | | | 223 | |
Sunshine Skyway Bridge | | | | | | | | |
4.00%, 07/01/2037 | | | 2,355 | | | | 2,383 | |
| | | | | | | | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.97%, 10/01/2051(2)(3) | | | 100 | | | | 100 | |
1.05%, 01/01/2028(2)(3) | | | 6,300 | | | | 6,300 | |
Tolomato Community Development District | | | | | | | | |
2.00%, 05/01/2023 | | | 1,250 | | | | 1,249 | |
2.00%, 05/01/2024 | | | 1,295 | | | | 1,281 | |
2.10%, 05/01/2025 | | | 1,345 | | | | 1,312 | |
2.80%, 05/01/2027 | | | 2,015 | | | | 1,815 | |
2.88%, 05/01/2027 | | | 170 | | | | 155 | |
3.00%, 05/01/2032 | | | 1,500 | | | | 1,256 | |
3.50%, 05/01/2024 | | | 170 | | | | 169 | |
Town of Davie FL | | | | | | | | |
5.00%, 04/01/2048 | | | 1,440 | | | | 1,512 | |
Tradition Community Development District No 9 | | | | | | | | |
2.30%, 05/01/2026 | | | 195 | | | | 177 | |
2.70%, 05/01/2031 | | | 270 | | | | 224 | |
Two Rivers North Community Development District | | | | | | | | |
4.63%, 05/01/2027 | | | 125 | | | | 124 | |
4.88%, 05/01/2032 | | | 250 | | | | 245 | |
V-Dana Community Development District | | | | | | | | |
2.60%, 05/01/2026 | | | 125 | | | | 115 | |
3.13%, 05/01/2031 | | | 125 | | | | 107 | |
Verano No 3 Community Development District | | | | | | | | |
2.38%, 05/01/2026 | | | 80 | | | | 73 | |
3.00%, 05/01/2031 | | | 120 | | | | 102 | |
Viera Stewardship District | | | | | | | | |
2.30%, 05/01/2026 | | | 255 | | | | 231 | |
2.80%, 05/01/2031 | | | 465 | | | | 390 | |
3.13%, 05/01/2041 | | | 750 | | | | 565 | |
Village Community Development District No 13 | | | | | | | | |
3.00%, 05/01/2029 | | | 965 | | | | 888 | |
3.38%, 05/01/2034 | | | 975 | | | | 859 | |
Village Community Development District No 14 | | | | | | | | |
5.38%, 05/01/2042(3) | | | 4,095 | | | | 4,110 | |
Volusia County Educational Facility Authority | | | | | | | | |
4.00%, 10/15/2037 | | | 740 | | | | 721 | |
5.00%, 10/15/2044 | | | 390 | | | | 414 | |
5.00%, 10/15/2049 | | | 730 | | | | 771 | |
Volusia County School Board | | | | | | | | |
5.00%, 08/01/2024 | | | 2,100 | | | | 2,217 | |
Watergrass Community Development District II | | | | | | | | |
2.00%, 05/01/2026 | | | 285 | | | | 255 | |
2.50%, 05/01/2031 | | | 310 | | | | 251 | |
West Villages Improvement District | | | | | | | | |
4.00%, 05/01/2024 | | | 205 | | | | 205 | |
Westside Community Development District | | | | | | | | |
3.50%, 05/01/2024(3) | | | 355 | | | | 349 | |
Westside Haines City Community Development District | | | | | | | | |
2.50%, 05/01/2026 | | | 125 | | | | 116 | |
3.00%, 05/01/2031 | | | 215 | | | | 187 | |
Windward at Lakewood Ranch Community Development District | | | | | | | | |
3.25%, 05/01/2027 | | | 355 | | | | 330 | |
3.63%, 05/01/2032 | | | 350 | | | | 305 | |
Wiregrass II Community Development District | | | | | | | | |
4.50%, 05/01/2027 | | | 100 | | | | 99 | |
4.80%, 05/01/2032 | | | 240 | | | | 233 | |
| | | | | | | | |
Total Florida | | | | 593,922 | |
| | | | | | | | |
Georgia – 2.91% | | | | | | | | |
Atlanta Development Authority | | | | | | | | |
6.50%, 01/01/2029 | | | 420 | | | | 223 | |
6.75%, 01/01/2035 | | | 2,390 | | | | 1,267 | |
7.00%, 01/01/2040 | | | 2,585 | | | | 1,370 | |
Atlanta Urban Redevelopment Agency | | | | | | | | |
2.38%, 07/01/2026(3) | | | 1,660 | | | | 1,607 | |
2.88%, 07/01/2031(3) | | | 1,680 | | | | 1,513 | |
Augusta GA Airport Revenue | | | | | | | | |
5.00%, 01/01/2027 | | | 370 | | | | 380 | |
Bartow County Development Authority | | | | | | | | |
1.55%, 08/01/2043(2) | | | 3,000 | | | | 2,997 | |
Brookhaven Development Authority | | | | | | | | |
5.00%, 07/01/2025 | | | 1,400 | | | | 1,510 | |
5.00%, 07/01/2031 | | | 650 | | | | 725 | |
5.00%, 07/01/2032 | | | 1,000 | | | | 1,105 | |
5.00%, 07/01/2033 | | | 1,135 | | | | 1,248 | |
5.00%, 07/01/2037 | | | 1,800 | | | | 1,956 | |
City of Atlanta GA Department of Aviation | | | | | | | | |
4.00%, 07/01/2038 | | | 255 | | | | 250 | |
5.00%, 07/01/2024 | | | 615 | | | | 645 | |
5.00%, 07/01/2026 | | | 580 | | | | 629 | |
5.00%, 07/01/2026 | | | 1,210 | | | | 1,329 | |
5.00%, 07/01/2027 | | | 2,635 | | | | 2,944 | |
5.00%, 01/01/2029 | | | 875 | | | | 900 | |
5.00%, 07/01/2032 | | | 250 | | | | 277 | |
5.00%, 07/01/2033 | | | 350 | | | | 387 | |
5.00%, 07/01/2034 | | | 250 | | | | 275 | |
5.00%, 07/01/2035 | | | 350 | | | | 382 | |
5.00%, 07/01/2036 | | | 350 | | | | 380 | |
5.00%, 07/01/2037 | | | 385 | | | | 417 | |
| | | | | | | | |
City of Atlanta GA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2040 | | | 14,595 | | | | 15,286 | |
Cobb County Kennestone Hospital Authority | | | | | | | | |
4.00%, 04/01/2033 | | | 500 | | | | 504 | |
5.00%, 04/01/2047 | | | 1,150 | | | | 1,200 | |
Columbus Medical Center Hospital Authority | | | | | | | | |
5.00%, 07/01/2054(2) | | | 2,700 | | | | 2,979 | |
5.00%, 07/01/2054(2) | | | 3,330 | | | | 3,581 | |
Coweta County Residential Care Facilities for the Elderly Authority | | | | | | | | |
4.00%, 03/01/2031 | | | 1,260 | | | | 1,170 | |
4.00%, 03/01/2041 | | | 935 | | | | 786 | |
DeKalb Private Hospital Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 1,235 | | | | 1,381 | |
Development Authority for Fulton County | | | | | | | | |
5.00%, 04/01/2023 | | | 300 | | | | 307 | |
5.00%, 06/15/2044 | | | 580 | | | | 632 | |
5.00%, 04/01/2047 | | | 1,750 | | | | 1,826 | |
Development Authority of Burke County | | | | | | | | |
0.92%, 07/01/2049(2) | | | 12,000 | | | | 12,000 | |
1.50%, 01/01/2040(2) | | | 4,000 | | | | 3,834 | |
1.70%, 12/01/2049(2) | | | 2,400 | | | | 2,324 | |
2.25%, 10/01/2032(2) | | | 2,800 | | | | 2,783 | |
2.93%, 11/01/2053(2) | | | 2,940 | | | | 2,931 | |
3.25%, 11/01/2045(2) | | | 3,000 | | | | 3,011 | |
Development Authority Of The City Of Marietta | | | | | | | | |
5.00%, 11/01/2037(3) | | | 3,375 | | | | 3,411 | |
5.00%, 11/01/2047(3) | | | 500 | | | | 498 | |
Fayette County Hospital Authority | | | | | | | | |
5.00%, 07/01/2054(2) | | | 1,300 | | | | 1,350 | |
Fulton County Residential Care Facilities for the Elderly Authority | | | | | | | | |
4.00%, 04/01/2051(3) | | | 1,500 | | | | 1,075 | |
5.00%, 04/01/2047(3) | | | 700 | | | | 635 | |
5.00%, 04/01/2054(3) | | | 550 | | | | 484 | |
Gainesville & Hall County Hospital Authority | | | | | | | | |
5.50%, 02/15/2042 | | | 650 | | | | 691 | |
George L Smith II Congress Center Authority | | | | | | | | |
2.38%, 01/01/2031 | | | 1,250 | | | | 1,078 | |
4.00%, 01/01/2036 | | | 1,500 | | | | 1,372 | |
4.00%, 01/01/2054 | | | 2,115 | | | | 1,758 | |
5.00%, 01/01/2054(3) | | | 5,500 | | | | 4,706 | |
Georgia State Road & Tollway Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000 | | | | 1,030 | |
5.00%, 06/01/2023 | | | 3,250 | | | | 3,346 | |
5.00%, 06/01/2031 | | | 2,000 | | | | 2,281 | |
5.00%, 06/01/2032 | | | 2,000 | | | | 2,273 | |
Griffin-Spalding County Hospital Authority | | | | | | | | |
3.00%, 04/01/2027 | | | 635 | | | | 640 | |
LaGrange-Troup County Hospital Authority | | | | | | | | |
5.00%, 04/01/2024 | | | 500 | | | | 525 | |
Macon-Bibb County Urban Development Authority | | | | | | | | |
5.75%, 06/15/2037(3) | | | 1,000 | | | | 998 | |
Main Street Natural Gas, Inc. | | | | | | | | |
1.54% (1 Month LIBOR USD + 0.83%), 08/01/2048(1) | | | 1,700 | | | | 1,687 | |
4.00%, 03/01/2023 | | | 545 | | | | 552 | |
4.00%, 12/01/2029 | | | 1,370 | | | | 1,369 | |
4.00%, 04/01/2048(2) | | | 3,000 | | | | 3,053 | |
4.00%, 08/01/2048(2) | | | 7,975 | | | | 8,136 | |
4.00%, 08/01/2049(2) | | | 47,670 | | | | 49,011 | |
4.00%, 03/01/2050(2) | | | 20,000 | | | | 20,064 | |
4.00%, 05/01/2052(2) | | | 8,335 | | | | 8,344 | |
4.00%, 07/01/2052(2) | | | 12,855 | | | | 13,180 | |
4.00%, 09/01/2052(2) | | | 14,010 | | | | 13,904 | |
5.00%, 05/15/2027 | | | 3,000 | | | | 3,179 | |
5.00%, 05/15/2028 | | | 2,500 | | | | 2,655 | |
5.00%, 05/15/2043 | | | 4,520 | | | | 4,676 | |
Municipal Electric Authority of Georgia | | | | | | | | |
3.00%, 11/01/2022 | | | 600 | | | | 602 | |
4.00%, 11/01/2023 | | | 805 | | | | 824 | |
4.00%, 01/01/2034 | | | 1,800 | | | | 1,787 | |
4.00%, 01/01/2035 | | | 435 | | | | 426 | |
4.00%, 01/01/2035 | | | 1,500 | | | | 1,483 | |
4.00%, 01/01/2036 | | | 435 | | | | 424 | |
4.00%, 01/01/2037 | | | 860 | | | | 827 | |
4.00%, 01/01/2038 | | | 850 | | | | 813 | |
4.00%, 01/01/2039 | | | 850 | | | | 808 | |
4.00%, 01/01/2046 | | | 400 | | | | 388 | |
4.00%, 01/01/2046 | | | 590 | | | | 573 | |
4.00%, 01/01/2051 | | | 220 | | | | 197 | |
4.00%, 01/01/2051 | | | 1,100 | | | | 993 | |
5.00%, 01/01/2024 | | | 830 | | | | 863 | |
5.00%, 01/01/2025 | | | 350 | | | | 370 | |
5.00%, 01/01/2025 | | | 900 | | | | 950 | |
5.00%, 01/01/2025 | | | 950 | | | | 1,003 | |
5.00%, 01/01/2026 | | | 300 | | | | 322 | |
5.00%, 01/01/2026 | | | 320 | | | | 343 | |
5.00%, 01/01/2026 | | | 1,000 | | | | 1,073 | |
5.00%, 01/01/2027 | | | 300 | | | | 326 | |
| | | | | | | | |
5.00%, 01/01/2027 | | | 1,500 | | | | 1,630 | |
5.00%, 11/01/2027 | | | 200 | | | | 221 | |
5.00%, 01/01/2028 | | | 25 | | | | 27 | |
5.00%, 01/01/2028 | | | 750 | | | | 824 | |
5.00%, 11/01/2028 | | | 275 | | | | 306 | |
5.00%, 11/01/2029 | | | 300 | | | | 336 | |
5.00%, 01/01/2030 | | | 1,000 | | | | 1,089 | |
5.00%, 01/01/2031 | | | 685 | | | | 747 | |
5.00%, 01/01/2033 | | | 1,200 | | | | 1,290 | |
5.00%, 01/01/2034 | | | 1,080 | | | | 1,171 | |
5.00%, 01/01/2035 | | | 465 | | | | 495 | |
5.00%, 01/01/2039 | | | 605 | | | | 632 | |
5.00%, 01/01/2049 | | | 3,610 | | | | 3,717 | |
5.00%, 01/01/2056 | | | 190 | | | | 196 | |
5.00%, 01/01/2056 | | | 280 | | | | 288 | |
5.00%, 01/01/2056 | | | 1,930 | | | | 1,986 | |
5.00%, 01/01/2062 | �� | | 700 | | | | 728 | |
5.00%, 01/01/2062 | | | 1,155 | | | | 1,201 | |
5.00%, 01/01/2063 | | | 515 | | | | 527 | |
Paulding County Hospital Authority | | | | | | | | |
4.00%, 04/01/2041 | | | 3,225 | | | | 3,140 | |
5.00%, 04/01/2033 | | | 250 | | | | 277 | |
5.00%, 04/01/2034 | | | 350 | | | | 387 | |
5.00%, 04/01/2035 | | | 200 | | | | 221 | |
5.00%, 04/01/2036 | | | 330 | | | | 363 | |
5.00%, 04/01/2037 | | | 300 | | | | 329 | |
5.00%, 04/01/2038 | | | 450 | | | | 493 | |
5.00%, 04/01/2039 | | | 725 | | | | 792 | |
5.00%, 04/01/2042 | | | 1,875 | | | | 2,031 | |
5.00%, 04/01/2043 | | | 2,250 | | | | 2,428 | |
Private Colleges & Universities Authority | | | | | | | | |
4.00%, 04/01/2037 | | | 1,000 | | | | 980 | |
4.00%, 09/01/2037 | | | 8,350 | | | | 8,381 | |
4.00%, 09/01/2038 | | | 4,665 | | | | 4,671 | |
5.00%, 10/01/2023 | | | 300 | | | | 311 | |
5.00%, 04/01/2027 | | | 1,900 | | | | 1,999 | |
5.00%, 04/01/2028 | | | 400 | | | | 440 | |
5.00%, 04/01/2034 | | | 780 | | | | 862 | |
5.00%, 04/01/2044 | | | 1,000 | | | | 1,052 | |
Savannah Economic Development Authority | | | | | | | | |
7.25%, 01/01/2049 | | | 120 | | | | 129 | |
State of Georgia | | | | | | | | |
4.00%, 08/01/2034 | | | 6,455 | | | | 6,810 | |
4.00%, 02/01/2036 | | | 5,000 | | | | 5,145 | |
5.00%, 07/01/2023 | | | 1,000 | | | | 1,033 | |
| | | | | | | | |
Total Georgia | | | | 314,292 | |
| | | | | | | | |
Guam – 0.16% | | | | | | | | |
Guam Department of Education | | | | | | | | |
3.63%, 02/01/2025 | | | 745 | | | | 716 | |
Guam Government Waterworks Authority | | | | | | | | |
5.00%, 07/01/2035 | | | 1,550 | | | | 1,587 | |
Guam Power Authority | | | | | | | | |
5.00%, 10/01/2043 | | | 1,800 | | | | 1,837 | |
5.00%, 10/01/2044 | | | 1,000 | | | | 1,020 | |
Territory of Guam | | | | | | | | |
4.00%, 01/01/2036 | | | 2,000 | | | | 1,840 | |
4.00%, 01/01/2042 | | | 2,040 | | | | 1,800 | |
5.00%, 11/01/2027 | | | 430 | | | | 451 | |
5.00%, 01/01/2028 | | | 375 | | | | 395 | |
5.00%, 11/01/2028 | | | 485 | | | | 510 | |
5.00%, 01/01/2029 | | | 850 | | | | 896 | |
5.00%, 11/01/2029 | | | 485 | | | | 510 | |
5.00%, 01/01/2030 | | | 750 | | | | 791 | |
5.00%, 11/01/2030 | | | 250 | | | | 263 | |
5.00%, 01/01/2031 | | | 625 | | | | 660 | |
5.00%, 11/15/2031 | | | 2,100 | | | | 2,161 | |
5.00%, 11/01/2035 | | | 875 | | | | 907 | |
5.00%, 11/01/2040 | | | 1,000 | | | | 1,025 | |
| | | | | | | | |
Total Guam | | | | 17,369 | |
| | | | | | | | |
Hawaii – 0.74% | | | | | | | | |
City & County of Honolulu HI | | | | | | | | |
5.00%, 09/01/2024 | | | 1,275 | | | | 1,355 | |
5.00%, 11/01/2024 | | | 1,895 | | | | 2,013 | |
5.00%, 11/01/2028 | | | 540 | | | | 613 | |
5.00%, 03/01/2029 | | | 2,640 | | | | 3,030 | |
5.00%, 10/01/2029 | | | 2,000 | | | | 2,154 | |
5.00%, 11/01/2029 | | | 1,800 | | | | 2,067 | |
5.00%, 03/01/2030 | | | 6,360 | | | | 7,386 | |
5.00%, 07/01/2034 | | | 810 | | | | 912 | |
5.00%, 07/01/2035 | | | 1,345 | | | | 1,512 | |
Kauai County Community Facilities District | | | | | | | | |
4.00%, 05/15/2028 | | | 485 | | | | 477 | |
State of Hawaii | | | | | | | | |
5.00%, 08/01/2023 | | | 1,925 | | | | 1,991 | |
5.00%, 01/01/2030 | | | 2,330 | | | | 2,641 | |
5.00%, 01/01/2032 | | | 12,800 | | | | 14,353 | |
5.00%, 01/01/2033 | | | 9,500 | | | | 10,620 | |
| | | | | | | | |
State of Hawaii Airports System Revenue | | | | | | | | |
5.00%, 07/01/2031 | | | 1,275 | | | | 1,373 | |
5.00%, 07/01/2032 | | | 1,500 | | | | 1,606 | |
5.00%, 07/01/2033 | | | 1,425 | | | | 1,519 | |
State of Hawaii Department of Budget & Finance | | | | | | | | |
4.00%, 03/01/2037 | | | 1,090 | | | | 1,055 | |
State of Hawaii Harbor System Revenue | | | | | | | | |
4.00%, 07/01/2034 | | | 2,000 | | | | 2,055 | |
4.00%, 07/01/2035 | | | 2,320 | | | | 2,363 | |
4.00%, 07/01/2036 | | | 545 | | | | 556 | |
4.00%, 07/01/2039 | | | 1,000 | | | | 1,014 | |
University of Hawaii | | | | | | | | |
5.00%, 10/01/2028 | | | 4,015 | | | | 4,569 | |
5.00%, 10/01/2028 | | | 4,445 | | | | 5,058 | |
5.00%, 10/01/2029 | | | 1,225 | | | | 1,409 | |
5.00%, 10/01/2030 | | | 5,350 | | | | 6,209 | |
| | | | | | | | |
Total Hawaii | | | | 79,910 | |
| | | | | | | | |
Idaho – 0.20% | | | | | | | | |
Idaho Health Facilities Authority | | | | | | | | |
4.00%, 03/01/2034 | | | 400 | | | | 399 | |
4.00%, 03/01/2035 | | | 250 | | | | 249 | |
4.00%, 03/01/2039 | | | 700 | | | | 684 | |
4.00%, 03/01/2040 | | | 835 | | | | 811 | |
4.00%, 03/01/2041 | | | 850 | | | | 822 | |
4.00%, 03/01/2046 | | | 2,900 | | | | 2,732 | |
4.00%, 03/01/2051 | | | 1,370 | | | | 1,269 | |
5.00%, 03/01/2034 | | | 3,155 | | | | 3,226 | |
Idaho Housing & Finance Association | | | | | | | | |
3.00%, 05/01/2032 | | | 480 | | | | 434 | |
3.00%, 05/01/2032 | | | 630 | | | | 570 | |
4.00%, 07/15/2036 | | | 500 | | | | 509 | |
4.00%, 07/15/2037 | | | 645 | | | | 648 | |
4.00%, 07/15/2038 | | | 1,250 | | | | 1,247 | |
4.00%, 07/15/2039 | | | 4,000 | | | | 3,986 | |
4.00%, 01/01/2050 | | | 215 | | | | 218 | |
5.00%, 07/15/2034 | | | 600 | | | | 679 | |
5.00%, 07/15/2035 | | | 875 | | | | 988 | |
Spring Valley Community Infrastructure District No 1 | | | | | | | | |
3.75%, 09/01/2051(3) | | | 3,512 | | | | 2,517 | |
| | | | | | | | |
Total Idaho | | | | 21,988 | |
| | | | | | | | |
Illinois – 8.16% | | | | | | | | |
Champaign County Community Unit School District No 4 Champaign | | | | | | | | |
0.00%, 01/01/2025 | | | 485 | | | | 452 | |
Chicago Board of Education | | | | | | | | |
0.00%, 12/01/2025 | | | 265 | | | | 235 | |
0.00%, 12/01/2025 | | | 345 | | | | 304 | |
4.00%, 12/01/2047 | | | 1,250 | | | | 1,092 | |
5.00%, 12/01/2022 | | | 500 | | | | 504 | |
5.00%, 12/01/2023 | | | 2,000 | | | | 2,042 | |
5.00%, 12/01/2024 | | | 130 | | | | 134 | |
5.00%, 12/01/2024 | | | 2,175 | | | | 2,240 | |
5.00%, 12/01/2025 | | | 2,500 | | | | 2,667 | |
5.00%, 12/01/2026 | | | 145 | | | | 151 | |
5.00%, 12/01/2026 | | | 3,660 | | | | 3,820 | |
5.00%, 12/01/2028 | | | 1,270 | | | | 1,332 | |
5.00%, 12/01/2029 | | | 540 | | | | 567 | |
5.00%, 12/01/2030 | | | 2,000 | | | | 2,080 | |
5.00%, 12/01/2030 | | | 2,430 | | | | 2,527 | |
5.00%, 12/01/2031 | | | 2,185 | | | | 2,264 | |
5.00%, 12/01/2033 | | | 300 | | | | 308 | |
5.00%, 12/01/2033 | | | 1,165 | | | | 1,205 | |
5.00%, 12/01/2034 | | | 250 | | | | 264 | |
5.00%, 12/01/2034 | | | 7,500 | | | | 7,738 | |
5.00%, 12/01/2035 | | | 1,380 | | | | 1,421 | |
5.00%, 12/01/2036 | | | 1,410 | | | | 1,452 | |
5.00%, 12/01/2037 | | | 450 | | | | 462 | |
5.00%, 12/01/2040 | | | 1,150 | | | | 1,172 | |
5.00%, 12/01/2041 | | | 550 | | | | 560 | |
5.00%, 12/01/2042 | | | 200 | | | | 200 | |
5.00%, 12/01/2046 | | | 1,200 | | | | 1,217 | |
5.00%, 12/01/2046 | | | 3,555 | | | | 3,603 | |
5.00%, 12/01/2047 | | | 9,045 | | | | 9,119 | |
6.50%, 12/01/2046 | | | 100 | | | | 108 | |
6.75%, 12/01/2030(3) | | | 1,500 | | | | 1,679 | |
7.00%, 12/01/2046(3) | | | 400 | | | | 445 | |
Chicago Midway International Airport | | | | | | | | |
4.00%, 01/01/2033 | | | 1,915 | | | | 1,883 | |
5.00%, 01/01/2027 | | | 1,800 | | | | 1,902 | |
5.00%, 01/01/2030 | | | 865 | | | | 886 | |
5.00%, 01/01/2032 | | | 2,000 | | | | 2,048 | |
5.00%, 01/01/2034 | | | 1,000 | | | | 1,021 | |
5.00%, 01/01/2041 | | | 835 | | | | 862 | |
5.00%, 01/01/2046 | | | 300 | | | | 306 | |
5.50%, 01/01/2028 | | | 5,000 | | | | 5,057 | |
Chicago O’Hare International Airport | | | | | | | | |
4.00%, 01/01/2035 | | | 4,060 | | | | 4,043 | |
4.00%, 01/01/2036 | | | 2,500 | | | | 2,506 | |
| | | | | | | | |
4.00%, 01/01/2036 | | | 7,000 | | | | 6,934 | |
4.00%, 01/01/2037 | | | 2,500 | | | | 2,468 | |
5.00%, 01/01/2023 | | | 1,000 | | | | 1,016 | |
5.00%, 01/01/2025 | | | 415 | | | | 439 | |
5.00%, 01/01/2027 | | | 520 | | | | 563 | |
5.00%, 01/01/2028 | | | 1,000 | | | | 1,075 | |
5.00%, 01/01/2028 | | | 1,500 | | | | 1,664 | |
5.00%, 01/01/2030 | | | 520 | | | | 565 | |
5.00%, 01/01/2030 | | | 2,000 | | | | 2,093 | |
5.00%, 01/01/2030 | | | 3,105 | | | | 3,216 | |
5.00%, 01/01/2031 | | | 660 | | | | 697 | |
5.00%, 01/01/2031 | | | 700 | | | | 723 | |
5.00%, 01/01/2031 | | | 835 | | | | 901 | |
5.00%, 01/01/2032 | | | 1,140 | | | | 1,223 | |
5.00%, 01/01/2032 | | | 1,300 | | | | 1,340 | |
5.00%, 01/01/2032 | | | 11,555 | | | | 12,040 | |
5.00%, 01/01/2033 | | | 345 | | | | 363 | |
5.00%, 01/01/2033 | | | 1,200 | | | | 1,279 | |
5.00%, 01/01/2033 | | | 2,520 | | | | 2,622 | |
5.00%, 07/01/2033 | | | 550 | | | | 573 | |
5.00%, 01/01/2034 | | | 400 | | | | 420 | |
5.00%, 01/01/2035 | | | 1,285 | | | | 1,361 | |
5.00%, 01/01/2036 | | | 430 | | | | 450 | |
5.00%, 01/01/2037 | | | 1,200 | | | | 1,265 | |
5.00%, 01/01/2042 | | | 500 | | | | 516 | |
5.00%, 01/01/2048 | | | 880 | | | | 919 | |
5.00%, 01/01/2048 | | | 1,025 | | | | 1,064 | |
5.00%, 01/01/2053 | | | 615 | | | | 637 | |
Chicago Park District | | | | | | | | |
5.00%, 01/01/2029 | | | 3,000 | | | | 3,135 | |
5.00%, 01/01/2044 | | | 5,700 | | | | 6,044 | |
Chicago Transit Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 240 | | | | 246 | |
5.00%, 06/01/2024 | | | 200 | | | | 210 | |
5.00%, 06/01/2025 | | | 200 | | | | 213 | |
5.00%, 06/01/2026 | | | 160 | | | | 173 | |
5.00%, 06/01/2026 | | | 8,275 | | | | 8,954 | |
5.00%, 06/01/2029 | | | 1,500 | | | | 1,660 | |
City of Chicago IL | | | | | | | | |
4.00%, 01/01/2029 | | | 767 | | | | 759 | |
4.00%, 01/01/2035 | | | 1,300 | | | | 1,241 | |
5.00%, 01/01/2027 | | | 500 | | | | 534 | |
5.00%, 01/01/2027 | | | 2,000 | | | | 2,115 | |
5.00%, 01/01/2030 | | | 1,960 | | | | 2,069 | |
5.00%, 01/01/2031 | | | 1,000 | | | | 1,049 | |
5.00%, 01/01/2031 | | | 2,915 | | | | 3,073 | |
5.00%, 01/01/2033 | | | 12,080 | | | | 12,576 | |
5.00%, 01/01/2034 | | | 2,000 | | | | 2,074 | |
5.00%, 01/01/2035 | | | 750 | | | | 769 | |
5.00%, 01/01/2035 | | | 2,650 | | | | 2,682 | |
5.00%, 01/01/2039 | | | 1,200 | | | | 1,238 | |
5.25%, 01/01/2027 | | | 2,435 | | | | 2,532 | |
5.50%, 01/01/2035 | | | 1,000 | | | | 1,032 | |
5.63%, 01/01/2031 | | | 1,500 | | | | 1,591 | |
5.75%, 01/01/2034 | | | 2,000 | | | | 2,124 | |
City of Chicago IL Motor Fuel Tax Revenue | | | | | | | | |
5.00%, 01/01/2025 | | | 2,000 | | | | 2,090 | |
City of Chicago IL Wastewater Transmission Revenue | | | | | | | | |
5.00%, 01/01/2023 | | | 450 | | | | 456 | |
5.00%, 01/01/2024 | | | 500 | | | | 518 | |
5.00%, 01/01/2028 | | | 2,900 | | | | 2,986 | |
5.00%, 01/01/2028 | | | 3,000 | | | | 3,004 | |
5.00%, 01/01/2029 | | | 1,300 | | | | 1,334 | |
5.00%, 01/01/2030 | | | 1,000 | | | | 1,078 | |
5.00%, 01/01/2030 | | | 1,310 | | | | 1,370 | |
5.00%, 01/01/2033 | | | 2,000 | | | | 2,079 | |
5.00%, 01/01/2039 | | | 1,000 | | | | 1,033 | |
5.00%, 01/01/2044 | | | 5,000 | | | | 5,061 | |
City of Chicago IL Waterworks Revenue | | | | | | | | |
4.00%, 11/01/2023 | | | 1,025 | | | | 1,033 | |
5.00%, 11/01/2022 | | | 1,000 | | | | 1,010 | |
5.00%, 11/01/2023 | | | 650 | | | | 671 | |
5.00%, 11/01/2024 | | | 250 | | | | 261 | |
5.00%, 11/01/2024 | | | 1,000 | | | | 1,044 | |
5.00%, 11/01/2024 | | | 1,150 | | | | 1,201 | |
5.00%, 11/01/2025 | | | 1,000 | | | | 1,043 | |
5.00%, 11/01/2026 | | | 1,000 | | | | 1,041 | |
5.00%, 11/01/2033 | | | 500 | | | | 513 | |
City of Galesburg IL | | | | | | | | |
4.00%, 10/01/2036 | | | 565 | | | | 552 | |
5.00%, 10/01/2029 | | | 300 | | | | 325 | |
5.00%, 10/01/2031 | | | 325 | | | | 351 | |
City of Springfield IL | | | | | | | | |
5.00%, 12/01/2024 | | | 340 | | | | 361 | |
5.00%, 12/01/2025 | | | 395 | | | | 426 | |
5.00%, 12/01/2026 | | | 160 | | | | 170 | |
| | | | | | | | |
City of Sterling IL | | | | | | | | |
4.00%, 11/01/2031 | | | 500 | | | | 528 | |
4.00%, 11/01/2032 | | | 500 | | | | 519 | |
City of Waukegan IL | | | | | | | | |
4.00%, 12/30/2024 | | | 540 | | | | 559 | |
City of Waukegan IL Water & Sewer System Revenue | | | | | | | | |
4.00%, 12/30/2036 | | | 500 | | | | 513 | |
5.00%, 12/30/2031 | | | 635 | | | | 729 | |
Community Unit School District Number 427 DeKalb & Kane Counties Illinois | | | | | | | | |
4.00%, 02/01/2032 | | | 700 | | | | 727 | |
4.00%, 02/01/2035 | | | 350 | | | | 360 | |
4.00%, 02/01/2037 | | | 535 | | | | 540 | |
4.00%, 02/01/2039 | | | 415 | | | | 420 | |
4.00%, 02/01/2041 | | | 475 | | | | 479 | |
Cook County Community College District No 508 | | | | | | | | |
5.25%, 12/01/2028 | | | 1,150 | | | | 1,172 | |
Cook County School District No 87 Berkeley | | | | | | | | |
3.00%, 12/01/2034 | | | 1,000 | | | | 929 | |
3.00%, 12/01/2037 | | | 1,000 | | | | 901 | |
3.00%, 12/01/2038 | | | 1,000 | | | | 889 | |
Cook Kane Lake & McHenry Counties Community College District No 512 | | | | | | | | |
5.00%, 12/01/2024 | | | 850 | | | | 906 | |
County of Cook IL | | | | | | | | |
4.00%, 11/15/2026 | | | 555 | | | | 585 | |
4.00%, 11/15/2027 | | | 560 | | | | 594 | |
4.00%, 11/15/2028 | | | 280 | | | | 298 | |
5.00%, 11/15/2023 | | | 350 | | | | 365 | |
5.00%, 11/15/2023 | | | 3,090 | | | | 3,224 | |
5.00%, 11/15/2024 | | | 375 | | | | 397 | |
5.00%, 11/15/2025 | | | 375 | | | | 404 | |
5.00%, 11/15/2026 | | | 750 | | | | 820 | |
5.00%, 11/15/2026 | | | 1,450 | | | | 1,586 | |
5.00%, 11/15/2029 | | | 1,000 | | | | 1,082 | |
5.00%, 11/15/2030 | | | 500 | | | | 539 | |
5.00%, 11/15/2032 | | | 4,400 | | | | 4,861 | |
5.00%, 11/15/2034 | | | 1,200 | | | | 1,284 | |
County of Cook IL Sales Tax Revenue | | | | | | | | |
5.00%, 11/15/2029 | | | 1,085 | | | | 1,098 | |
5.00%, 11/15/2033 | | | 2,795 | | | | 3,060 | |
5.25%, 11/15/2035 | | | 3,000 | | | | 3,310 | |
County of Kendall IL | | | | | | | | |
5.00%, 12/15/2024 | | | 2,190 | | | | 2,323 | |
County of Sangamon IL | | | | | | | | |
3.00%, 12/15/2032 | | | 500 | | | | 471 | |
4.00%, 12/15/2036 | | | 500 | | | | 515 | |
Crawford Hospital District | | | | | | | | |
4.00%, 01/01/2041 | | | 580 | | | | 557 | |
Illinois Finance Authority | | | | | | | | |
3.00%, 07/01/2035 | | | 2,250 | | | | 2,022 | |
3.63%, 02/15/2032 | | | 355 | | | | 348 | |
3.75%, 02/15/2034 | | | 200 | | | | 196 | |
4.00%, 05/15/2023 | | | 10 | | | | 10 | |
4.00%, 05/15/2023 | | | 85 | | | | 85 | |
4.00%, 10/01/2028(3) | | | 280 | | | | 271 | |
4.00%, 10/15/2028 | | | 670 | | | | 645 | |
4.00%, 11/01/2028 | | | 235 | | | | 235 | |
4.00%, 10/01/2029(3) | | | 405 | | | | 388 | |
4.00%, 10/15/2029 | | | 1,045 | | | | 994 | |
4.00%, 10/01/2030(3) | | | 630 | | | | 596 | |
4.00%, 10/15/2030 | | | 730 | | | | 687 | |
4.00%, 11/01/2030 | | | 250 | | | | 246 | |
4.00%, 11/01/2030 | | | 2,500 | | | | 2,578 | |
4.00%, 10/01/2031(3) | | | 620 | | | | 581 | |
4.00%, 10/15/2031 | | | 1,135 | | | | 1,058 | |
4.00%, 10/01/2032(3) | | | 340 | | | | 315 | |
4.00%, 10/01/2033(3) | | | 375 | | | | 345 | |
4.00%, 08/01/2034 | | | 2,050 | | | | 1,926 | |
4.00%, 08/01/2035 | | | 1,625 | | | | 1,516 | |
4.00%, 02/15/2036 | | | 800 | | | | 801 | |
4.00%, 07/15/2037 | | | 3,090 | | | | 3,060 | |
4.00%, 08/01/2037 | | | 1,160 | | | | 1,068 | |
4.00%, 08/15/2037 | | | 4,350 | | | | 4,241 | |
4.00%, 07/15/2038 | | | 5,750 | | | | 5,689 | |
4.00%, 08/01/2038 | | | 1,165 | | | | 1,060 | |
4.00%, 08/15/2038 | | | 4,100 | | | | 3,944 | |
4.00%, 10/01/2038 | | | 7,090 | | | | 7,144 | |
4.00%, 07/15/2039 | | | 6,280 | | | | 6,205 | |
4.00%, 02/15/2041 | | | 5 | | | | 5 | |
4.00%, 02/15/2041 | | | 130 | | | | 138 | |
4.13%, 08/15/2037 | | | 1,090 | | | | 1,065 | |
4.75%, 05/15/2033 | | | 125 | | | | 128 | |
4.75%, 05/15/2033 | | | 835 | | | | 837 | |
5.00%, 11/15/2023 | | | 1,680 | | | | 1,750 | |
5.00%, 12/01/2023 | | | 1,880 | | | | 1,957 | |
5.00%, 01/01/2024 | | | 250 | | | | 261 | |
5.00%, 02/15/2024 | | | 215 | | | | 225 | |
5.00%, 05/15/2024 | | | 350 | | | | 367 | |
| | | | | | | | |
5.00%, 02/15/2025 | | | 695 | | | | 744 | |
5.00%, 07/01/2025 | | | 225 | | | | 240 | |
5.00%, 07/15/2025 | | | 230 | | | | 248 | |
5.00%, 08/01/2025 | | | 1,605 | | | | 1,677 | |
5.00%, 02/15/2026 | | | 360 | | | | 393 | |
5.00%, 02/15/2026 | | | 1,345 | | | | 1,468 | |
5.00%, 07/01/2026 | | | 240 | | | | 260 | |
5.00%, 08/15/2026 | | | 1,500 | | | | 1,652 | |
5.00%, 08/15/2027 | | | 2,000 | | | | 2,240 | |
5.00%, 03/01/2028 | | | 15 | | | | 16 | |
5.00%, 05/15/2028 | | | 12,620 | | | | 13,781 | |
5.00%, 07/01/2028 | | | 750 | | | | 829 | |
5.00%, 09/01/2028 | | | 500 | | | | 533 | |
5.00%, 01/01/2029 | | | 1,650 | | | | 1,814 | |
5.00%, 02/15/2029 | | | 1,445 | | | | 1,584 | |
5.00%, 10/01/2029 | | | 505 | | | | 573 | |
5.00%, 12/01/2029 | | | 340 | | | | 363 | |
5.00%, 02/15/2030 | | | 1,240 | | | | 1,351 | |
5.00%, 05/15/2030 | | | 1,180 | | | | 1,189 | |
5.00%, 07/01/2030 | | | 275 | | | | 301 | |
5.00%, 07/15/2030 | | | 710 | | | | 784 | |
5.00%, 09/01/2030 | | | 430 | | | | 456 | |
5.00%, 10/01/2030 | | | 565 | | | | 638 | |
5.00%, 11/01/2030 | | | 1,455 | | | | 1,565 | |
5.00%, 11/15/2030 | | | 2,000 | | | | 2,081 | |
5.00%, 01/01/2031 | | | 3,545 | | | | 3,948 | |
5.00%, 02/15/2031 | | | 300 | | | | 324 | |
5.00%, 05/15/2031 | | | 5,000 | | | | 5,390 | |
5.00%, 07/01/2031 | | | 1,420 | | | | 1,546 | |
5.00%, 08/15/2031 | | | 1,525 | | | | 1,724 | |
5.00%, 08/15/2032 | | | 730 | | | | 824 | |
5.00%, 05/15/2033 | | | 795 | | | | 693 | |
5.00%, 08/15/2033 | | | 250 | | | | 276 | |
5.00%, 10/01/2033 | | | 500 | | | | 532 | |
5.00%, 10/01/2033 | | | 700 | | | | 780 | |
5.00%, 12/01/2033 | | | 700 | | | | 740 | |
5.00%, 01/01/2034 | | | 605 | | | | 674 | |
5.00%, 02/15/2034 | | | 1,890 | | | | 2,015 | |
5.00%, 07/01/2034 | | | 300 | | | | 329 | |
5.00%, 07/01/2034 | | | 10,000 | | | | 11,243 | |
5.00%, 08/15/2034 | | | 2,310 | | | | 2,568 | |
5.00%, 08/15/2034 | | | 2,500 | | | | 2,668 | |
5.00%, 10/01/2034 | | | 430 | | | | 456 | |
5.00%, 11/15/2034 | | | 300 | | | | 309 | |
5.00%, 11/15/2034 | | | 3,000 | | | | 3,089 | |
5.00%, 08/15/2035 | | | 100 | | | | 103 | |
5.00%, 08/15/2035 | | | 600 | | | | 661 | |
5.00%, 10/01/2035 | | | 400 | | | | 424 | |
5.00%, 10/01/2035 | | | 4,470 | | | | 4,759 | |
5.00%, 02/15/2036 | | | 905 | | | | 962 | |
5.00%, 07/01/2036 | | | 830 | | | | 909 | |
5.00%, 08/15/2036 | | | 1,000 | | | | 1,102 | |
5.00%, 10/01/2036 | | | 620 | | | | 687 | |
5.00%, 01/01/2037 | | | 2,785 | | | | 3,143 | |
5.00%, 05/15/2037 | | | 395 | | | | 402 | |
5.00%, 05/15/2037 | | | 1,050 | | | | 1,128 | |
5.00%, 08/15/2037 | | | 1,000 | | | | 1,102 | |
5.00%, 08/15/2038 | | | 1,000 | | | | 1,100 | |
5.00%, 11/15/2038 | | | 3,795 | | | | 3,889 | |
5.00%, 08/15/2039 | | | 1,200 | | | | 1,315 | |
5.00%, 08/15/2040 | | | 5,000 | | | | 5,465 | |
5.00%, 02/15/2041 | | | 1,075 | | | | 1,130 | |
5.00%, 05/15/2041 | �� | | 400 | | | | 372 | |
5.00%, 08/01/2042 | | | 120 | | | | 123 | |
5.00%, 01/01/2044 | | | 4,145 | | | | 4,678 | |
5.00%, 08/15/2044 | | | 200 | | | | 205 | |
5.00%, 12/01/2046 | | | 5,950 | | | | 6,153 | |
5.00%, 05/15/2047 | | | 100 | | | | 101 | |
5.00%, 08/01/2049 | | | 140 | | | | 143 | |
5.00%, 05/15/2050(2) | | | 1,625 | | | | 1,695 | |
5.00%, 05/15/2050(2) | | | 2,170 | | | | 2,338 | |
5.00%, 05/15/2051 | | | 1,000 | | | | 887 | |
5.00%, 05/15/2056 | | | 1,630 | | | | 1,425 | |
5.00%, 07/15/2057(2) | | | 11,305 | | | | 11,466 | |
5.13%, 05/15/2038 | | | 1,000 | | | | 837 | |
5.25%, 08/15/2031 | | | 500 | | | | 556 | |
5.25%, 07/01/2035 | | | 20,085 | | | | 22,768 | |
5.25%, 02/15/2037 | | | 380 | | | | 384 | |
5.25%, 05/15/2047 | | | 35 | | | | 36 | |
5.25%, 05/15/2047 | | | 245 | | | | 246 | |
5.25%, 05/15/2054 | | | 1,000 | | | | 763 | |
Illinois Housing Development Authority | | | | | | | | |
0.80%, 07/01/2026 | | | 1,000 | | | | 931 | |
3.50%, 04/01/2052 | | | 5,600 | | | | 5,558 | |
3.75%, 04/01/2050 | | | 620 | | | | 625 | |
Illinois Municipal Electric Agency | | | | | | | | |
4.00%, 02/01/2034 | | | 4,500 | | | | 4,449 | |
| | | | | | | | |
4.00%, 02/01/2035 | | | 24,645 | | | | 24,271 | |
5.00%, 02/01/2023 | | | 285 | | | | 290 | |
5.00%, 02/01/2031 | | | 470 | | | | 505 | |
Illinois Sports Facilities Authority | | | | | | | | |
5.00%, 06/15/2030 | | | 750 | | | | 765 | |
5.00%, 06/15/2031 | | | 575 | | | | 584 | |
5.25%, 06/15/2032 | | | 1,735 | | | | 1,809 | |
Illinois State Toll Highway Authority | | | | | | | | |
5.00%, 01/01/2024 | | | 935 | | | | 977 | |
5.00%, 01/01/2025 | | | 1,250 | | | | 1,333 | |
5.00%, 01/01/2026 | | | 1,550 | | | | 1,686 | |
5.00%, 01/01/2028 | | | 3,000 | | | | 3,368 | |
5.00%, 12/01/2031 | | | 235 | | | | 251 | |
5.00%, 12/01/2032 | | | 425 | | | | 452 | |
5.00%, 01/01/2034 | | | 1,300 | | | | 1,413 | |
5.00%, 01/01/2036 | | | 1,000 | | | | 1,113 | |
5.00%, 01/01/2037 | | | 1,260 | | | | 1,313 | |
5.00%, 01/01/2041 | | | 2,190 | | | | 2,374 | |
5.00%, 01/01/2041 | | | 6,665 | | | | 7,000 | |
5.00%, 01/01/2044 | | | 2,270 | | | | 2,433 | |
5.00%, 01/01/2046 | | | 1,140 | | | | 1,233 | |
Illinois State University | | | | | | | | |
5.00%, 04/01/2032 | | | 1,745 | | | | 1,939 | |
Jersey & Greene County Community Unit School District No 100 Jerseyville | | | | | | | | |
5.00%, 12/01/2027 | | | 1,105 | | | | 1,194 | |
Kane & DeKalb Counties Community Unit School District No 302 Kaneland | | | | | | | | |
5.00%, 02/01/2025 | | | 4,125 | | | | 4,388 | |
5.00%, 02/01/2026 | | | 1,930 | | | | 2,091 | |
Lake County Community Unit School District No 60 Waukegan | �� | | | | | | | |
5.00%, 01/01/2026 | | | 1,000 | | | | 1,062 | |
5.00%, 01/01/2027 | | | 100 | | | | 107 | |
5.00%, 01/01/2027 | | | 2,100 | | | | 2,225 | |
Lake County Consolidated High School District No 120 Mundelein | | | | | | | | |
5.50%, 12/01/2039 | | | 1,000 | | | | 1,114 | |
| | |
Macon & de Witt Counties Community Unit School District No 2 Maroa-Forsyth | | | | | | | | |
4.00%, 12/01/2034 | | | 820 | | | | 851 | |
4.00%, 12/01/2035 | | | 870 | | | | 901 | |
4.00%, 12/01/2036 | | | 500 | | | | 513 | |
4.00%, 12/01/2037 | | | 400 | | | | 407 | |
4.00%, 12/01/2044 | | | 755 | | | | 748 | |
Macon County School District No 61 Decatur | | | | | | | | |
4.00%, 01/01/2029 | | | 1,240 | | | | 1,296 | |
4.00%, 01/01/2033 | | | 1,950 | | | | 1,980 | |
4.00%, 01/01/2034 | | | 1,750 | | | | 1,770 | |
Madison County Community Unit School District No 8 Bethalto | | | | | | | | |
4.00%, 12/01/2034 | | | 775 | | | | 795 | |
4.00%, 12/01/2040 | | | 1,965 | | | | 1,990 | |
McHenry County Community Unit School District No 200 Woodstock | | | | | | | | |
0.00%, 01/15/2024 | | | 460 | | | | 446 | |
0.00%, 01/15/2024 | | | 540 | | | | 519 | |
0.00%, 01/15/2025 | | | 1,000 | | | | 929 | |
0.00%, 01/15/2026 | | | 1,000 | | | | 897 | |
Metropolitan Pier & Exposition Authority | | | | | | | | |
0.00%, 12/15/2023 | | | 165 | | | | 158 | |
0.00%, 06/15/2028 | | | 14,270 | | | | 11,460 | |
0.00%, 06/15/2029 | | | 2,540 | | | | 1,950 | |
0.00%, 12/15/2030 | | | 11,000 | | | | 7,868 | |
0.00%, 12/15/2034 | | | 550 | | | | 321 | |
0.00%, 12/15/2035 | | | 10,000 | | | | 5,541 | |
0.00%, 06/15/2037 | | | 1,490 | | | | 748 | |
0.00%, 06/15/2041 | | | 1,460 | | | | 579 | |
3.00%, 06/15/2024 | | | 1,125 | | | | 1,118 | |
4.00%, 06/15/2052 | | | 1,820 | | | | 1,567 | |
5.00%, 12/15/2028 | | | 1,000 | | | | 1,061 | |
5.00%, 12/15/2032 | | | 550 | | | | 570 | |
5.00%, 06/15/2042 | | | 4,600 | | | | 4,707 | |
5.00%, 06/15/2050 | | | 16,465 | | | | 16,615 | |
5.00%, 06/15/2057 | | | 3,275 | | | | 3,295 | |
Metropolitan Water Reclamation District of Greater Chicago | | | | | | | | |
5.25%, 12/01/2032 | | | 1,800 | | | | 2,117 | |
Northern Illinois University | | | | | | | | |
4.00%, 10/01/2032 | | | 515 | | | | 526 | |
4.00%, 10/01/2034 | | | 1,000 | | | | 1,011 | |
4.00%, 10/01/2039 | | | 875 | | | | 852 | |
4.00%, 10/01/2040 | | | 800 | | | | 776 | |
4.00%, 10/01/2041 | | | 800 | | | | 768 | |
4.00%, 10/01/2043 | | | 975 | | | | 925 | |
Peoria Metropolitan Airport Authority | | | | | | | | |
5.00%, 12/01/2026 | | | 1,375 | | | | 1,525 | |
Peoria Public Building Commission | | | | | | | | |
5.00%, 12/01/2022 | | | 1,500 | | | | 1,522 | |
Railsplitter Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,740 | | | | 1,784 | |
5.00%, 06/01/2024 | | | 5,275 | | | | 5,518 | |
| | | | | | | | |
Sales Tax Securitization Corp. | | | | | | | | |
5.00%, 01/01/2025 | | | 1,000 | | | | 1,056 | |
5.00%, 01/01/2025 | | | 4,000 | | | | 4,223 | |
5.00%, 01/01/2026 | | | 2,000 | | | | 2,143 | |
5.00%, 01/01/2029 | | | 1,000 | | | | 1,108 | |
Sangamon Logan & Menard Counties Community Unit School Distributors No 15 Williamsville | | | | | | | | |
5.00%, 12/01/2027 | | | 325 | | | | 364 | |
5.00%, 12/01/2029 | | | 710 | | | | 812 | |
5.00%, 12/01/2031 | | | 600 | | | | 678 | |
5.00%, 12/01/2032 | | | 400 | | | | 451 | |
5.00%, 12/01/2033 | | | 375 | | | | 422 | |
Southern Illinois University | | | | | | | | |
4.00%, 04/01/2029 | | | 200 | | | | 207 | |
4.00%, 04/01/2030 | | | 525 | | | | 539 | |
4.00%, 04/01/2035 | | | 300 | | | | 288 | |
4.00%, 04/01/2039 | | | 500 | | | | 469 | |
5.00%, 04/01/2032 | | | 240 | | | | 260 | |
5.00%, 04/01/2033 | | | 300 | | | | 321 | |
Southwestern Illinois Development Authority | | | | | | | | |
4.00%, 04/15/2031 | | | 1,000 | | | | 1,036 | |
State of Illinois | | | | | | | | |
4.00%, 01/01/2023 | | | 330 | | | | 330 | |
4.00%, 03/01/2024 | | | 4,000 | | | | 4,080 | |
4.00%, 03/01/2031 | | | 1,500 | | | | 1,514 | |
4.00%, 10/01/2032 | | | 1,390 | | | | 1,368 | |
4.00%, 11/01/2039 | | | 2,000 | | | | 1,872 | |
4.00%, 10/01/2040 | | | 800 | | | | 743 | |
5.00%, 08/01/2022 | | | 3,000 | | | | 3,007 | |
5.00%, 09/01/2022 | | | 1,340 | | | | 1,346 | |
5.00%, 11/01/2022 | | | 570 | | | | 575 | |
5.00%, 02/01/2023 | | | 200 | | | | 203 | |
5.00%, 02/01/2023 | | | 235 | | | | 239 | |
5.00%, 03/01/2023 | | | 2,320 | | | | 2,359 | |
5.00%, 09/01/2023 | | | 1,365 | | | | 1,402 | |
5.00%, 09/01/2024 | | | 1,365 | | | | 1,425 | |
5.00%, 11/01/2024 | | | 6,290 | | | | 6,582 | |
5.00%, 02/01/2025 | | | 455 | | | | 469 | |
5.00%, 05/01/2025 | | | 3,050 | | | | 3,161 | |
5.00%, 06/01/2025 | | | 880 | | | | 927 | |
5.00%, 10/01/2025 | | | 355 | | | | 376 | |
5.00%, 10/01/2025 | | | 10,000 | | | | 10,577 | |
5.00%, 11/01/2025 | | | 2,040 | | | | 2,160 | |
5.00%, 11/01/2025 | | | 16,705 | | | | 17,688 | |
5.00%, 12/01/2025 | | | 8,500 | | | | 9,010 | |
5.00%, 06/01/2026 | | | 125 | | | | 133 | |
5.00%, 10/01/2026 | | | 2,270 | | | | 2,429 | |
5.00%, 11/01/2026 | | | 3,000 | | | | 3,213 | |
5.00%, 12/01/2026 | | | 1,380 | | | | 1,479 | |
5.00%, 01/01/2027 | | | 2,000 | | | | 2,121 | |
5.00%, 02/01/2027 | | | 1,635 | | | | 1,755 | |
5.00%, 11/01/2027 | | | 1,040 | | | | 1,121 | |
5.00%, 02/01/2028 | | | 2,100 | | | | 2,250 | |
5.00%, 05/01/2028 | | | 265 | | | | 273 | |
5.00%, 11/01/2028 | | | 3,000 | | | | 3,215 | |
5.00%, 02/01/2029 | | | 1,000 | | | | 1,060 | |
5.00%, 03/01/2029 | | | 2,620 | | | | 2,840 | |
5.00%, 04/01/2029 | | | 605 | | | | 621 | |
5.00%, 03/01/2030 | | | 11,310 | | | | 12,258 | |
5.00%, 10/01/2030 | | | 3,575 | | | | 3,875 | |
5.00%, 03/01/2031 | | | 1,085 | | | | 1,174 | |
5.00%, 03/01/2031 | | | 11,350 | | | | 12,282 | |
5.00%, 10/01/2031 | | | 1,750 | | | | 1,878 | |
5.00%, 10/01/2031 | | | 7,300 | | | | 7,720 | |
5.00%, 05/01/2032 | | | 800 | | | | 814 | |
5.00%, 01/01/2033 | | | 415 | | | | 428 | |
5.00%, 03/01/2034 | | | 1,000 | | | | 1,069 | |
5.00%, 05/01/2034 | | | 2,500 | | | | 2,540 | |
5.00%, 01/01/2035 | | | 1,400 | | | | 1,438 | |
5.00%, 03/01/2035 | | | 3,670 | | | | 3,896 | |
5.00%, 03/01/2035 | | | 23,005 | | | | 24,423 | |
5.00%, 03/01/2036 | | | 1,000 | | | | 1,058 | |
5.00%, 05/01/2038 | | | 1,200 | | | | 1,242 | |
5.00%, 01/01/2041 | | | 800 | | | | 814 | |
5.00%, 11/01/2041 | | | 1,500 | | | | 1,531 | |
5.25%, 02/01/2029 | | | 3,720 | | | | 3,828 | |
5.25%, 02/01/2030 | | | 100 | | | | 103 | |
5.25%, 12/01/2030 | | | 11,685 | | | | 12,552 | |
5.25%, 02/01/2031 | | | 760 | | | | 779 | |
5.50%, 07/01/2024 | | | 1,000 | | | | 1,028 | |
5.50%, 05/01/2025 | | | 840 | | | | 896 | |
5.50%, 07/01/2025 | | | 400 | | | | 410 | |
5.50%, 07/01/2038 | | | 1,500 | | | | 1,531 | |
5.50%, 03/01/2042 | | | 3,125 | | | | 3,395 | |
State of Illinois Sales Tax Revenue | | | | | | | | |
5.00%, 06/15/2023 | | | 510 | | | | 522 | |
5.00%, 06/15/2024 | | | 590 | | | | 614 | |
5.00%, 06/15/2024 | | | 4,905 | | | | 5,014 | |
5.00%, 06/15/2025 | | | 340 | | | | 358 | |
| | | | | | | | |
5.00%, 06/15/2025 | | | 4,190 | | | | 4,278 | |
5.00%, 06/15/2026 | | | 500 | | | | 534 | |
5.00%, 06/15/2027 | | | 1,000 | | | | 1,077 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.04%, 01/01/2037(2)(3) | | | 3,900 | | | | 3,900 | |
University of Illinois | | | | | | | | |
3.00%, 04/01/2034 | | | 3,400 | | | | 3,011 | |
4.00%, 04/01/2036 | | | 1,500 | | | | 1,448 | |
Upper Illinois River Valley Development Authority | | | | | | | | |
5.25%, 12/01/2037(3) | | | 2,005 | | | | 1,943 | |
Village of Bolingbrook IL | | | | | | | | |
4.00%, 03/01/2023 | | | 500 | | | | 507 | |
4.00%, 03/01/2025 | | | 500 | | | | 520 | |
4.00%, 03/01/2027 | | | 1,000 | | | | 1,059 | |
Village of Bourbonnais IL | | | | | | | | |
5.25%, 12/01/2042 | | | 2,840 | | | | 3,119 | |
Village of Hillside IL | | | | | | | | |
5.00%, 01/01/2024 | | | 420 | | | | 423 | |
Will County Community Unit School District No 365 Valley View | | | | | | | | |
0.00%, 11/01/2025 | | | 1,520 | | | | 1,384 | |
0.00%, 11/01/2026 | | | 905 | | | | 801 | |
5.00%, 11/01/2023 | | | 420 | | | | 437 | |
5.00%, 11/01/2024 | | | 2,390 | | | | 2,543 | |
5.00%, 11/01/2026 | | | 1,800 | | | | 1,991 | |
Winnebago-Boone Etc Counties Community College District No 511 Rock Valley Clg | | | | | | | | |
5.00%, 01/01/2027 | | | 1,355 | | | | 1,493 | |
Woodford Lasalle Livingston Etc Counties Community Unit Distributors No 6 Fieldcrest | | | | | | | | |
4.00%, 12/01/2034 | | | 1,000 | | | | 1,034 | |
4.00%, 12/01/2036 | | | 1,095 | | | | 1,128 | |
| | | | | | | | |
Total Illinois | | | | 882,481 | |
| | | | | | | | |
Indiana – 1.75% | | | | | | | | |
Ball State University | | | | | | | | |
5.00%, 07/01/2033 | | | 955 | | | | 1,037 | |
City of Whiting IN | | | | | | | | |
5.00%, 12/01/2044(2) | | | 21,625 | | | | 23,269 | |
5.00%, 11/01/2045(2) | | | 3,000 | | | | 3,024 | |
County of St Joseph IN | | | | | | | | |
5.00%, 04/01/2033 | | | 1,245 | | | | 1,348 | |
Elkhart County Building Corp. | | | | | | | | |
4.00%, 12/01/2032 | | | 1,265 | | | | 1,340 | |
Evansville Waterworks District | | | | | | | | |
5.00%, 01/01/2037 | | | 500 | | | | 559 | |
Indiana Finance Authority | | | | | | | | |
0.28%, 12/15/2045(2) | | | 22,800 | | | | 22,626 | |
0.40%, 10/01/2031(2) | | | 600 | | | | 597 | |
0.65%, 08/01/2025 | | | 2,250 | | | | 2,070 | |
0.70%, 12/01/2046(2) | | | 8,525 | | | | 8,020 | |
0.75%, 12/01/2038(2) | | | 500 | | | | 429 | |
0.95%, 12/01/2038(2) | | | 900 | | | | 782 | |
1.40%, 08/01/2029 | | | 2,500 | | | | 2,131 | |
1.75%, 05/01/2028(2) | | | 4,000 | | | | 4,000 | |
2.25%, 12/01/2058(2) | | | 1,285 | | | | 1,274 | |
2.50%, 11/01/2030 | | | 1,000 | | | | 870 | |
3.75%, 03/01/2031(2) | | | 1,450 | | | | 1,453 | |
4.00%, 02/01/2036 | | | 15,000 | | | | 15,714 | |
4.00%, 10/01/2036 | | | 1,100 | | | | 1,120 | |
4.00%, 02/01/2037 | | | 12,395 | | | | 12,919 | |
4.00%, 10/01/2040 | | | 2,775 | | | | 2,750 | |
4.00%, 11/15/2043 | | | 1,070 | | | | 892 | |
4.13%, 12/01/2026 | | | 7,055 | | | | 7,004 | |
4.25%, 11/01/2030 | | | 1,925 | | | | 1,896 | |
4.50%, 05/01/2035(2) | | | 1,200 | | | | 1,202 | |
5.00%, 12/01/2024 | | | 3,000 | | | | 3,204 | |
5.00%, 05/01/2026 | | | 1,100 | | | | 1,205 | |
5.00%, 11/01/2026 | | | 1,200 | | | | 1,327 | |
5.00%, 05/01/2027 | | | 700 | | | | 781 | |
5.00%, 05/01/2029 | | | 685 | | | | 779 | |
5.00%, 11/01/2029 | | | 2,350 | | | | 2,601 | |
5.00%, 09/01/2031 | | | 440 | | | | 472 | |
5.00%, 10/01/2035 | | | 930 | | | | 1,066 | |
5.00%, 03/01/2036 | | | 4,000 | | | | 4,130 | |
5.00%, 09/01/2036 | | | 1,000 | | | | 1,049 | |
5.25%, 02/01/2033 | | | 2,500 | | | | 2,692 | |
5.25%, 01/01/2051 | | | 5,450 | | | | 5,622 | |
5.50%, 07/01/2052 | | | 3,400 | | | | 3,598 | |
Indiana Health Facility Financing Authority | | | | | | | | |
2.00%, 11/15/2036(2) | | | 2,070 | | | | 2,071 | |
Indiana Housing & Community Development Authority | | | | | | | | |
3.00%, 07/01/2050 | | | 910 | | | | 890 | |
3.00%, 07/01/2051 | | | 990 | | | | 970 | |
3.50%, 01/01/2049 | | | 1,030 | | | | 1,031 | |
5.00%, 07/01/2022 | | | 560 | | | | 560 | |
5.00%, 01/01/2023 | | | 575 | | | | 585 | |
5.00%, 01/01/2024 | | | 285 | | | | 298 | |
5.00%, 01/01/2024 | | | 500 | | | | 521 | |
5.00%, 07/01/2024 | | | 295 | | | | 312 | |
| | | | | | | | |
5.00%, 07/01/2024 | | | 500 | | | | 526 | |
5.00%, 01/01/2025 | | | 300 | | | | 320 | |
5.00%, 01/01/2025 | | | 1,245 | | | | 1,324 | |
5.00%, 01/01/2026 | | | 300 | | | | 327 | |
5.00%, 01/01/2026 | | | 600 | | | | 649 | |
5.00%, 07/01/2026 | | | 320 | | | | 352 | |
5.00%, 07/01/2026 | | | 400 | | | | 436 | |
5.00%, 01/01/2027 | | | 300 | | | | 332 | |
5.00%, 01/01/2027 | | | 575 | | | | 631 | |
5.00%, 07/01/2027 | | | 300 | | | | 335 | |
5.00%, 07/01/2027 | | | 400 | | | | 442 | |
5.00%, 01/01/2028 | | | 600 | | | | 665 | |
5.00%, 07/01/2028 | | | 500 | | | | 557 | |
Indianapolis Local Public Improvement Bond Bank | | | | | | | | |
5.00%, 01/01/2023 | | | 285 | | | | 289 | |
5.00%, 06/01/2023 | | | 435 | | | | 448 | |
5.00%, 07/15/2023 | | | 300 | | | | 310 | |
5.00%, 07/15/2024 | | | 1,000 | | | | 1,058 | |
5.00%, 01/01/2025 | | | 1,195 | | | | 1,265 | |
5.00%, 07/15/2025 | | | 750 | | | | 812 | |
5.00%, 06/01/2026 | | | 3,300 | | | | 3,581 | |
5.00%, 01/15/2027 | | | 700 | | | | 777 | |
5.00%, 01/01/2028 | | | 455 | | | | 469 | |
5.00%, 01/15/2028 | | | 500 | | | | 563 | |
5.00%, 01/01/2029 | | | 1,000 | | | | 1,062 | |
5.00%, 01/01/2030 | | | 3,530 | | | | 3,627 | |
5.00%, 01/01/2031 | | | 1,000 | | | | 1,055 | |
5.00%, 01/01/2032 | | | 5,000 | | | | 5,164 | |
5.00%, 02/01/2054 | | | 2,020 | | | | 2,195 | |
Lebanon Middle School Building Corp. | | | | | | | | |
5.00%, 01/10/2023 | | | 1,065 | | | | 1,083 | |
5.00%, 07/10/2023 | | | 1,740 | | | | 1,795 | |
Muncie Sanitary District | | | | | | | | |
5.00%, 07/01/2029 | | | 525 | | | | 593 | |
5.00%, 01/01/2030 | | | 665 | | | | 754 | |
Westfield-Washington Multi-School Building Corp. | | | | | | | | |
5.00%, 01/15/2028 | | | 390 | | | | 424 | |
5.00%, 01/15/2029 | | | 540 | | | | 586 | |
5.00%, 01/15/2030 | | | 700 | | | | 758 | |
| | | | | | | | |
Total Indiana | | | | 189,654 | |
| | | | | | | | |
Iowa – 0.31% | | | | | | | | |
City of Coralville IA | | | | | | | | |
4.00%, 06/01/2026 | | | 415 | | | | 421 | |
4.00%, 06/01/2028 | | | 300 | | | | 301 | |
4.00%, 05/01/2030 | | | 805 | | | | 814 | |
4.00%, 06/01/2034 | | | 890 | | | | 862 | |
5.00%, 05/01/2036 | | | 735 | | | | 782 | |
5.00%, 05/01/2038 | | | 1,400 | | | | 1,481 | |
5.00%, 05/01/2040 | | | 2,260 | | | | 2,386 | |
5.00%, 05/01/2041 | | | 1,650 | | | | 1,739 | |
| | |
Dubuque Community School District Infrastructure Sales Services & Use Tax | | | | | | | | |
3.00%, 07/01/2036 | | | 600 | | | | 538 | |
3.00%, 07/01/2037 | | | 675 | | | | 600 | |
3.00%, 07/01/2038 | | | 500 | | | | 440 | |
Iowa Finance Authority | | | | | | | | |
1.50%, 01/01/2042(2) | | | 1,370 | | | | 1,362 | |
4.75%, 08/01/2042 | | | 1,180 | | | | 1,133 | |
5.00%, 05/15/2043 | | | 270 | | | | 256 | |
5.00%, 05/15/2048 | | | 825 | | | | 767 | |
Iowa Higher Education Loan Authority | | | | | | | | |
4.00%, 10/01/2030 | | | 380 | | | | 382 | |
4.00%, 10/01/2031 | | | 395 | | | | 393 | |
4.00%, 10/01/2032 | | | 140 | | | | 138 | |
4.00%, 10/01/2033 | | | 275 | | | | 269 | |
4.00%, 10/01/2036 | | | 325 | | | | 309 | |
Iowa Student Loan Liquidity Corp. | | | | | | | | |
5.00%, 12/01/2025 | | | 1,000 | | | | 1,072 | |
5.00%, 12/01/2025 | | | 1,775 | | | | 1,908 | |
5.00%, 12/01/2028 | | | 1,640 | | | | 1,805 | |
5.00%, 12/01/2029 | | | 1,275 | | | | 1,397 | |
5.00%, 12/01/2030 | | | 1,000 | | | | 1,101 | |
PEFA, Inc. | | | | | | | | |
5.00%, 09/01/2049(2) | | | 10,000 | | | | 10,499 | |
| | | | | | | | |
Total Iowa | | | | 33,155 | |
| | | | | | | | |
Kansas – 0.25% | | | | | | | | |
City of Lenexa KS | | | | | | | | |
5.00%, 05/15/2039 | | | 325 | | | | 318 | |
City of Manhattan KS | | | | | | | | |
4.00%, 06/01/2026 | | | 315 | | | | 311 | |
4.00%, 06/01/2027 | | | 2,650 | | | | 2,612 | |
4.00%, 06/01/2028 | | | 300 | | | | 291 | |
4.00%, 06/01/2036 | | | 500 | | | | 446 | |
City of Prairie Village KS | | | | | | | | |
2.88%, 04/01/2030 | | | 410 | | | | 343 | |
3.13%, 04/01/2036 | | | 500 | | | | 383 | |
Johnson County Unified School District No 232 de Soto | | | | | | | | |
5.00%, 09/01/2022 | | | 350 | | | | 352 | |
| | | | | | | | |
Kansas Development Finance Authority | | | | | | | | |
5.00%, 11/15/2054(2) | | | 4,710 | | | | 5,376 | |
5.00%, 11/15/2054(2) | | | 14,000 | | | | 15,737 | |
Wyandotte County Unified School District No 500 Kansas City | | | | | | | | |
4.13%, 09/01/2037 | | | 750 | | | | 802 | |
| | | | | | | | |
Total Kansas | | | | 26,971 | |
| | | | | | | | |
Kentucky – 1.57% | | | | | | | | |
City of Ashland KY | | | | | | | | |
4.00%, 02/01/2034 | | | 500 | | | | 479 | |
4.00%, 02/01/2038 | | | 620 | | | | 579 | |
5.00%, 02/01/2028 | | | 255 | | | | 276 | |
5.00%, 02/01/2032 | | | 395 | | | | 422 | |
City of Berea KY | | | | | | | | |
0.65%, 06/01/2032(2) | | | 1,600 | | | | 1,600 | |
City of Henderson KY | | | | | | | | |
3.70%, 01/01/2032(3) | | | 5,000 | | | | 4,795 | |
4.45%, 01/01/2042(3) | | | 1,000 | | | | 939 | |
4.45%, 01/01/2042(3) | | | 6,520 | | | | 6,123 | |
4.70%, 01/01/2052(3) | | | 1,955 | | | | 1,817 | |
County of Carroll KY | | | | | | | | |
1.55%, 09/01/2042(2) | | | 10,750 | | | | 9,497 | |
1.75%, 10/01/2034(2) | | | 1,045 | | | | 947 | |
County of Trimble KY | | | | | | | | |
1.30%, 09/01/2044(2) | | | 3,000 | | | | 2,520 | |
Kentucky Asset Liability Commission | | | | | | | | |
5.00%, 09/01/2024 | | | 1,000 | | | | 1,060 | |
5.00%, 09/01/2025 | | | 1,250 | | | | 1,348 | |
Kentucky Economic Development Finance Authority | | | | | | | | |
1.15%, 05/01/2034(2) | | | 19,000 | | | | 19,000 | |
5.00%, 08/01/2030 | | | 2,160 | | | | 2,305 | |
5.00%, 05/15/2031 | | | 350 | | | | 337 | |
5.00%, 06/01/2037 | | | 325 | | | | 337 | |
5.00%, 06/01/2041 | | | 225 | | | | 229 | |
5.00%, 06/01/2045 | | | 1,000 | | | | 1,013 | |
5.00%, 12/01/2045 | | | 300 | | | | 329 | |
5.00%, 05/15/2046 | | | 500 | | | | 435 | |
5.00%, 12/01/2047 | | | 375 | | | | 379 | |
5.00%, 05/15/2051 | | | 325 | | | | 277 | |
5.25%, 06/01/2041 | | | 725 | | | | 746 | |
6.00%, 11/15/2036 | | | 275 | | | | 250 | |
6.25%, 11/15/2046 | | | 2,325 | | | | 2,041 | |
6.38%, 11/15/2051 | | | 250 | | | | 220 | |
Kentucky Housing Corp. | | | | | | | | |
1.16%, 02/01/2023(2) | | | 3,000 | | | | 2,999 | |
Kentucky Public Energy Authority | | | | | | | | |
4.00%, 04/01/2048(2) | | | 5,000 | | | | 5,047 | |
4.00%, 01/01/2049(2) | | | 12,500 | | | | 12,650 | |
4.00%, 12/01/2049(2) | | | 10,000 | | | | 10,133 | |
4.00%, 12/01/2049(2) | | | 11,270 | | | | 11,420 | |
4.00%, 02/01/2050(2) | | | 4,000 | | | | 4,033 | |
4.00%, 12/01/2050(2) | | | 17,720 | | | | 17,934 | |
4.00%, 08/01/2052(2) | | | 2,010 | | | | 2,011 | |
Kentucky Public Transportation Infrastructure Authority | | | | | | | | |
5.75%, 07/01/2049 | | | 1,060 | | | | 1,097 | |
6.00%, 07/01/2053 | | | 970 | | | | 1,006 | |
Kentucky State Property & Building Commission | | | | | | | | |
5.00%, 11/01/2026 | | | 1,495 | | | | 1,637 | |
5.00%, 04/01/2027 | | | 1,000 | | | | 1,101 | |
5.00%, 11/01/2027 | | | 2,435 | | | | 2,678 | |
5.00%, 05/01/2029 | | | 1,000 | | | | 1,091 | |
5.00%, 05/01/2029 | | | 1,025 | | | | 1,131 | |
5.00%, 11/01/2031 | | | 1,685 | | | | 1,852 | |
5.00%, 05/01/2032 | | | 270 | | | | 297 | |
Kentucky State University | | | | | | | | |
3.00%, 11/01/2032 | | | 160 | | | | 150 | |
4.00%, 11/01/2038 | | | 500 | | | | 517 | |
4.00%, 11/01/2041 | | | 445 | | | | 447 | |
5.00%, 11/01/2029 | | | 250 | | | | 285 | |
5.00%, 11/01/2031 | | | 180 | | | | 209 | |
Louisville & Jefferson County Metropolitan Government | | | | | | | | |
4.00%, 04/01/2036 | | | 12,510 | | | | 12,900 | |
5.00%, 10/01/2023 | | | 1,565 | | | | 1,625 | |
5.00%, 10/01/2030 | | | 2,500 | | | | 2,663 | |
5.00%, 10/01/2032 | | | 430 | | | | 456 | |
5.00%, 10/01/2037 | | | 1,200 | | | | 1,270 | |
5.00%, 10/01/2047(2) | | | 740 | | | | 790 | |
5.00%, 10/01/2047(2) | | | 1,100 | | | | 1,202 | |
5.00%, 10/01/2047(2) | | | 2,165 | | | | 2,232 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 02/15/2026(2)(3) | | | 2,400 | | | | 2,400 | |
1.16%, 11/01/2060(2)(3) | | | 4,500 | | | | 4,500 | |
| | | | | | | | |
Total Kentucky | | | | 170,063 | |
| | | | | | | | |
Louisiana – 2.14% | | | | | | | | |
City of Youngsville LA Sales Tax Revenue | | | | | | | | |
4.00%, 05/01/2036 | | | 250 | | | | 261 | |
4.00%, 05/01/2038 | | | 250 | | | | 258 | |
4.00%, 05/01/2040 | | | 250 | | | | 253 | |
| | | | | | | �� | |
East Baton Rouge Sewerage Commission | | | | | | | | |
5.00%, 02/01/2031 | | | 1,000 | | | | 1,144 | |
Greater New Orleans Expressway Commission | | | | | | | | |
5.00%, 11/01/2034 | | | 1,000 | | | | 1,078 | |
Greater Ouachita Water Co. | | | | | | | | |
5.00%, 09/01/2027 | | | 1,000 | | | | 1,118 | |
5.00%, 09/01/2028 | | | 960 | | | | 1,086 | |
5.00%, 09/01/2029 | | | 365 | | | | 418 | |
Jefferson Parish Consolidated Sewerage District No 1 | | | | | | | | |
4.00%, 02/01/2035 | | | 1,330 | | | | 1,377 | |
4.00%, 02/01/2036 | | | 750 | | | | 772 | |
4.00%, 02/01/2038 | | | 1,055 | | | | 1,071 | |
4.00%, 02/01/2039 | | | 3,110 | | | | 3,137 | |
Jefferson Parish Consolidated Waterworks District No 2 | | | | | | | | |
4.00%, 02/01/2037 | | | 5,000 | | | | 5,061 | |
Jefferson Parish Economic Development & Port District | | | | | | | | |
5.50%, 06/15/2038(3) | | | 600 | | | | 610 | |
5.63%, 06/15/2048(3) | | | 700 | | | | 706 | |
Louisiana Local Government Environmental Facilities & Community Development Auth | | | | | | | | |
0.88%, 02/01/2046(2) | | | 7,420 | | | | 6,761 | |
3.00%, 10/01/2022 | | | 200 | | | | 201 | |
3.00%, 10/01/2023 | | | 125 | | | | 127 | |
3.50%, 11/01/2032 | | | 6,000 | | | | 5,636 | |
4.00%, 10/01/2024 | | | 125 | | | | 129 | |
4.00%, 10/01/2025 | | | 135 | | | | 141 | |
4.00%, 10/01/2026 | | | 150 | | | | 158 | |
5.00%, 10/01/2028 | | | 1,045 | | | | 1,176 | |
Louisiana Offshore Terminal Authority | | | | | | | | |
1.65%, 09/01/2027(2) | | | 2,500 | | | | 2,473 | |
1.65%, 09/01/2034(2) | | | 4,500 | | | | 4,452 | |
Louisiana Public Facilities Authority | | | | | | | | |
0.00%, 10/01/2027 | | | 2,000 | | | | 1,907 | |
4.00%, 10/01/2036 | | | 765 | | | | 734 | |
4.00%, 10/01/2037 | | | 1,005 | | | | 958 | |
4.00%, 10/01/2038 | | | 310 | | | | 293 | |
4.00%, 10/01/2040 | | | 1,100 | | | | 1,027 | |
4.00%, 10/01/2041 | | | 590 | | | | 548 | |
5.00%, 12/15/2022 | | | 55 | | | | 56 | |
5.00%, 12/15/2022 | | | 175 | | | | 178 | |
5.00%, 12/15/2023 | | | 335 | | | | 349 | |
5.00%, 12/15/2024 | | | 330 | | | | 349 | |
5.00%, 12/15/2025 | | | 275 | | | | 295 | |
5.00%, 12/15/2026 | | | 300 | | | | 326 | |
5.00%, 12/15/2028 | | | 250 | | | | 272 | |
5.00%, 12/15/2029 | | | 200 | | | | 217 | |
5.00%, 12/15/2030 | | | 150 | | | | 162 | |
5.00%, 05/15/2031 | | | 1,250 | | | | 1,326 | |
5.00%, 12/15/2031 | | | 390 | | | | 420 | |
5.00%, 05/15/2032 | | | 1,000 | | | | 1,054 | |
5.00%, 10/01/2032 | | | 275 | | | | 296 | |
5.00%, 05/15/2050(2) | | | 7,500 | | | | 7,952 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 06/01/2033(2)(3)(4) | | | 1,200 | | | | 1,200 | |
New Orleans Aviation Board | | | | | | | | |
5.00%, 01/01/2023 | | | 50 | | | | 51 | |
5.00%, 01/01/2024 | | | 55 | | | | 57 | |
5.00%, 01/01/2024 | | | 1,525 | | | | 1,583 | |
5.00%, 01/01/2027 | | | 850 | | | | 890 | |
5.00%, 01/01/2028 | | | 155 | | | | 167 | |
5.00%, 01/01/2029 | | | 810 | | | | 842 | |
5.00%, 01/01/2030 | | | 275 | | | | 292 | |
5.00%, 01/01/2033 | | | 740 | | | | 777 | |
5.00%, 01/01/2033 | | | 2,600 | | | | 2,807 | |
5.00%, 01/01/2034 | | | 170 | | | | 178 | |
5.00%, 01/01/2034 | | | 750 | | | | 784 | |
5.00%, 01/01/2034 | | | 2,750 | | | | 2,950 | |
5.00%, 01/01/2036 | | | 500 | | | | 520 | |
5.00%, 01/01/2037 | | | 500 | | | | 519 | |
5.00%, 01/01/2040 | | | 1,540 | | | | 1,578 | |
5.00%, 01/01/2040 | | | 9,890 | | | | 10,085 | |
Parish of St James LA | | | | | | | | |
1.15%, 11/01/2040(2) | | | 91,725 | | | | 91,725 | |
6.10%, 06/01/2038(2)(3) | | | 1,000 | | | | 1,105 | |
6.10%, 12/01/2040(2)(3) | | | 1,930 | | | | 2,132 | |
6.35%, 07/01/2040(3) | | | 3,015 | | | | 3,338 | |
6.35%, 10/01/2040(3) | | | 440 | | | | 487 | |
Parish of St John the Baptist LA | | | | | | | | |
2.00%, 06/01/2037(2) | | | 2,335 | | | | 2,307 | |
2.10%, 06/01/2037(2) | | | 5,995 | | | | 5,797 | |
2.13%, 06/01/2037(2) | | | 8,175 | | | | 7,909 | |
2.20%, 06/01/2037(2) | | | 2,475 | | | | 2,301 | |
2.38%, 06/01/2037(2) | | | 1,000 | | | | 936 | |
Port New Orleans Board of Commissioners | | | | | | | | |
5.00%, 04/01/2034 | | | 750 | | | | 804 | |
5.00%, 04/01/2035 | | | 420 | | | | 449 | |
5.00%, 04/01/2037 | | | 500 | | | | 533 | |
| | | | | | | | |
Regional Transit Authority Sales Tax Revenue | | | | | | | | |
5.00%, 01/01/2035 | | | 6,080 | | | | 6,944 | |
State of Louisiana | | | | | | | | |
4.00%, 05/01/2032 | | | 5,000 | | | | 5,112 | |
4.00%, 05/01/2034 | | | 10,685 | | | | 10,866 | |
5.00%, 09/01/2030 | | | 1,200 | | | | 1,391 | |
5.00%, 09/01/2031 | | | 1,475 | | | | 1,706 | |
5.00%, 09/01/2032 | | | 1,480 | | | | 1,702 | |
| | | | | | | | |
Total Louisiana | | | | 231,147 | |
| | | | | | | | |
Maine – 0.12% | | | | | | | | |
Maine Health & Higher Educational Facilities Authority | | | | | | | | |
4.00%, 07/01/2035 | | | 250 | | | | 251 | |
4.00%, 07/01/2041 | | | 1,480 | | | | 1,340 | |
4.00%, 07/01/2046 | | | 330 | | | | 291 | |
5.00%, 07/01/2032 | | | 550 | | | | 610 | |
5.00%, 07/01/2034 | | | 850 | | | | 922 | |
5.00%, 07/01/2034 | | | 1,000 | | | | 1,077 | |
5.00%, 07/01/2041 | | | 1,235 | | | | 1,265 | |
5.00%, 07/01/2043 | | | 610 | | | | 629 | |
5.00%, 07/01/2046 | | | 1,840 | | | | 1,876 | |
Maine Municipal Bond Bank | | | | | | | | |
5.00%, 11/01/2033 | | | 650 | | | | 720 | |
Maine Turnpike Authority | | | | | | | | |
5.00%, 07/01/2032 | | | 885 | | | | 1,017 | |
5.00%, 07/01/2034 | | | 900 | | | | 1,022 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 07/01/2028(2)(3) | | | 1,520 | | | | 1,520 | |
| | | | | | | | |
Total Maine | | | | 12,540 | |
| | | | | | | | |
Maryland – 2.13% | | | | | | | | |
City of Baltimore MD | | | | | | | | |
4.00%, 07/01/2036 | | | 1,460 | | | | 1,491 | |
4.00%, 07/01/2037 | | | 790 | | | | 800 | |
4.00%, 07/01/2037 | | | 1,235 | | | | 1,250 | |
4.00%, 07/01/2039 | | | 605 | | | | 609 | |
5.00%, 09/01/2023 | | | 1,000 | | | | 1,003 | |
5.00%, 07/01/2026 | | | 720 | | | | 788 | |
5.00%, 07/01/2029 | | | 4,770 | | | | 5,232 | |
5.00%, 09/01/2030 | | | 3,000 | | | | 2,961 | |
5.00%, 09/01/2031 | | | 1,000 | | | | 981 | |
5.00%, 09/01/2032 | | | 1,000 | | | | 976 | |
5.00%, 09/01/2036 | | | 2,790 | | | | 2,673 | |
5.00%, 09/01/2046 | | | 2,500 | | | | 2,285 | |
City of Gaithersburg MD | | | | | | | | |
5.00%, 01/01/2027 | | | 1,335 | | | | 1,372 | |
5.00%, 01/01/2033 | | | 130 | | | | 131 | |
5.00%, 01/01/2036 | | | 85 | | | | 86 | |
City of Rockville MD | | | | | | | | |
5.00%, 11/01/2042 | | | 2,250 | | | | 2,126 | |
5.00%, 11/01/2047 | | | 1,885 | | | | 1,742 | |
City of Westminster MD | | | | | | | | |
6.25%, 07/01/2044 | | | 1,100 | | | | 1,128 | |
County of Baltimore MD | | | | | | | | |
4.00%, 03/01/2033 | | | 2,000 | | | | 2,093 | |
4.00%, 03/01/2036 | | | 5,075 | | | | 5,241 | |
5.00%, 10/01/2023 | | | 2,495 | | | | 2,595 | |
5.00%, 03/01/2024 | | | 1,100 | | | | 1,156 | |
County of Montgomery MD | | | | | | | | |
5.00%, 10/01/2024 | | | 1,210 | | | | 1,290 | |
5.38%, 07/01/2048 | | | 625 | | | | 569 | |
County of Prince George’s MD | | | | | | | | |
4.00%, 08/01/2029 | | | 4,035 | | | | 4,133 | |
5.13%, 07/01/2039(3) | | | 1,500 | | | | 1,479 | |
County of Washington MD | | | | | | | | |
4.00%, 05/01/2036 | | | 1,500 | | | | 1,303 | |
4.00%, 05/01/2042 | | | 3,225 | | | | 2,625 | |
Maryland Community Development Administration | | | | | | | | |
2.60%, 09/01/2022 | | | 695 | | | | 696 | |
2.70%, 03/01/2023 | | | 405 | | | | 408 | |
2.75%, 09/01/2023 | | | 125 | | | | 126 | |
2.85%, 03/01/2024 | | | 325 | | | | 328 | |
2.95%, 03/01/2025 | | | 385 | | | | 389 | |
3.00%, 09/01/2051 | | | 20,000 | | | | 19,476 | |
3.10%, 03/01/2026 | | | 180 | | | | 181 | |
3.25%, 03/01/2027 | | | 595 | | | | 602 | |
3.50%, 03/01/2050 | | | 895 | | | | 896 | |
4.00%, 09/01/2049 | | | 855 | | | | 867 | |
5.00%, 09/01/2042 | | | 2,000 | | | | 2,077 | |
Maryland Economic Development Corp. | | | | | | | | |
3.25%, 09/01/2030 | | | 1,225 | | | | 1,105 | |
4.00%, 06/01/2038 | | | 350 | | | | 298 | |
4.00%, 09/01/2040 | | | 410 | | | | 358 | |
4.00%, 09/01/2050 | | | 2,245 | | | | 1,823 | |
5.00%, 06/01/2023 | | | 215 | | | | 221 | |
5.00%, 07/01/2027 | | | 1,100 | | | | 1,100 | |
5.00%, 06/01/2028 | | | 2,000 | | | | 2,181 | |
5.00%, 07/01/2028 | | | 100 | | | | 101 | |
| | | | | | | | |
5.00%, 11/12/2028 | | | 9,935 | | | | 10,454 | |
5.00%, 07/01/2029 | | | 75 | | | | 75 | |
5.00%, 06/01/2035 | | | 1,415 | | | | 1,501 | |
5.00%, 07/01/2036 | | | 100 | | | | 97 | |
5.00%, 06/30/2038 | | | 2,800 | | | | 2,866 | |
5.00%, 12/31/2039 | | | 2,350 | | | | 2,400 | |
5.00%, 12/31/2040 | | | 3,575 | | | | 3,643 | |
5.00%, 06/30/2041 | | | 5,210 | | | | 5,298 | |
5.00%, 12/31/2041 | | | 5,950 | | | | 6,051 | |
5.00%, 06/30/2042 | | | 5,000 | | | | 5,071 | |
5.00%, 06/01/2049 | | | 1,350 | | | | 1,389 | |
5.00%, 06/01/2058 | | | 600 | | | | 572 | |
5.25%, 06/30/2055 | | | 14,800 | | | | 15,007 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | |
4.00%, 07/01/2042 | | | 120 | | | | 105 | |
4.00%, 06/01/2046 | | | 860 | | | | 754 | |
4.00%, 06/01/2051 | | | 1,435 | | | | 1,229 | |
4.00%, 06/01/2055 | | | 895 | | | | 753 | |
5.00%, 07/01/2024 | | | 535 | | | | 566 | |
5.00%, 07/01/2024 | | | 745 | | | | 779 | |
5.00%, 07/01/2030 | | | 600 | | | | 641 | |
5.00%, 07/01/2032 | | | 750 | | | | 778 | |
5.00%, 07/01/2035 | | | 75 | | | | 78 | |
5.00%, 08/15/2038 | | | 1,945 | | | | 2,010 | |
5.00%, 07/01/2043 | | | 500 | | | | 529 | |
5.00%, 07/01/2045 | | | 2,000 | | | | 2,017 | |
5.00%, 07/01/2045(2) | | | 2,075 | | | | 2,261 | |
5.00%, 07/01/2048 | | | 1,000 | | | | 1,050 | |
5.50%, 01/01/2029 | | | 1,500 | | | | 1,608 | |
5.50%, 01/01/2030 | | | 1,750 | | | | 1,867 | |
5.50%, 01/01/2046 | | | 1,290 | | | | 1,334 | |
Maryland Stadium Authority | | | | | | | | |
5.00%, 05/01/2032 | | | 765 | | | | 816 | |
5.00%, 05/01/2041 | | | 5,000 | | | | 5,510 | |
Maryland Stadium Authority Built to Learn Revenue | | | | | | | | |
4.00%, 06/01/2046 | | | 3,000 | | | | 2,934 | |
Maryland State Transportation Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 500 | | | | 517 | |
5.00%, 07/01/2024 | | | 1,000 | | | | 1,058 | |
5.00%, 07/01/2030 | | | 4,655 | | | | 5,121 | |
5.00%, 07/01/2031 | | | 1,665 | | | | 1,935 | |
5.00%, 07/01/2034 | | | 1,550 | | | | 1,754 | |
Montgomery County Housing Opportunities Commission | | | | | | | | |
0.80%, 07/01/2025 | | | 700 | | | | 662 | |
Prince George’s County Revenue Authority | | | | | | | | |
5.00%, 05/01/2030 | | | 1,085 | | | | 1,217 | |
State of Maryland | | | | | | | | |
3.00%, 08/01/2027 | | | 6,490 | | | | 6,682 | |
5.00%, 08/01/2024 | | | 1,450 | | | | 1,539 | |
5.00%, 03/15/2032 | | | 6,625 | | | | 7,640 | |
5.00%, 06/01/2037 | | | 8,000 | | | | 9,365 | |
State of Maryland Department of Transportation | | | | | | | | |
3.00%, 10/01/2031 | | | 6,000 | | | | 6,004 | |
5.00%, 12/01/2023 | | | 815 | | | | 843 | |
5.00%, 10/01/2026 | | | 11,570 | | | | 12,870 | |
5.00%, 12/01/2027 | | | 1,205 | | | | 1,335 | |
5.00%, 12/01/2028 | | | 1,335 | | | | 1,532 | |
Washington Suburban Sanitary Commission | | | | | | | | |
3.00%, 06/01/2026 | | | 5,000 | | | | 5,123 | |
| | | | | | | | |
Total Maryland | | | | 230,591 | |
| | | | | | | | |
Massachusetts – 1.76% | | | | | | | | |
Boston Water & Sewer Commission | | | | | | | | |
3.75%, 11/01/2037 | | | 13,450 | | | | 13,554 | |
Bridgewater-Raynham Regional School District/MA | | | | | | | | |
4.00%, 02/01/2027 | | | 1,655 | | | | 1,764 | |
City of Boston MA | | | | | | | | |
5.00%, 04/01/2023 | | | 2,095 | | | | 2,148 | |
Commonwealth of Massachusetts | | | | | | | | |
1.70%, 08/01/2043(2) | | | 1,750 | | | | 1,750 | |
4.00%, 11/01/2037 | | | 2,500 | | | | 2,527 | |
5.00%, 09/01/2023 | | | 2,500 | | | | 2,594 | |
5.00%, 09/01/2025 | | | 6,400 | | | | 6,964 | |
5.00%, 07/01/2028 | | | 350 | | | | 383 | |
5.00%, 12/01/2030 | | | 1,500 | | | | 1,640 | |
5.00%, 07/01/2036 | | | 12,630 | | | | 13,327 | |
5.00%, 04/01/2037 | | | 3,850 | | | | 4,158 | |
5.00%, 07/01/2040 | | | 5,000 | | | | 5,258 | |
5.00%, 03/01/2046 | | | 205 | | | | 210 | |
5.00%, 05/01/2049 | | | 2,665 | | | | 2,897 | |
Commonwealth of Massachusetts Transportation Fund Revenue | | | | | | | | |
5.00%, 06/01/2034 | | | 4,930 | | | | 5,447 | |
5.00%, 06/01/2035 | | | 4,000 | | | | 4,413 | |
5.00%, 06/01/2036 | | | 3,845 | | | | 4,236 | |
5.00%, 06/01/2040 | | | 7,435 | | | | 8,138 | |
Massachusetts Bay Transportation Authority Sales Tax Revenue | | | | | | | | |
5.00%, 07/01/2040 | | | 5,000 | | | | 5,265 | |
| | | | | | | | |
Massachusetts Development Finance Agency | | | | | | | | |
4.00%, 07/15/2036 | | | 8,525 | | | | 8,786 | |
4.00%, 07/01/2045 | | | 1,325 | | | | 1,298 | |
5.00%, 07/01/2023 | | | 900 | | | | 928 | |
5.00%, 10/01/2024 | | | 2,020 | | | | 2,142 | |
5.00%, 07/01/2025 | | | 1,090 | | | | 1,157 | |
5.00%, 10/01/2025 | | | 905 | | | | 949 | |
5.00%, 07/01/2026 | | | 1,140 | | | | 1,227 | |
5.00%, 10/01/2026 | | | 955 | | | | 1,010 | |
5.00%, 10/01/2028 | | | 475 | | | | 523 | |
5.00%, 10/01/2029 | | | 405 | | | | 449 | |
5.00%, 07/01/2030 | | | 590 | | | | 651 | |
5.00%, 01/01/2031 | | | 475 | | | | 495 | |
5.00%, 10/01/2031 | | | 355 | | | | 392 | |
5.00%, 01/01/2032 | | | 635 | | | | 659 | |
5.00%, 07/01/2032 | | | 500 | | | | 527 | |
5.00%, 01/01/2033 | | | 540 | | | | 558 | |
5.00%, 07/15/2033(3) | | | 315 | | | | 322 | |
5.00%, 01/01/2034 | | | 710 | | | | 733 | |
5.00%, 07/01/2034 | | | 500 | | | | 524 | |
5.00%, 07/15/2034(3) | | | 270 | | | | 275 | |
5.00%, 01/01/2035 | | | 745 | | | | 768 | |
5.00%, 07/15/2035(3) | | | 275 | | | | 280 | |
5.00%, 01/01/2036 | | | 1,100 | | | | 1,132 | |
5.00%, 07/15/2036(3) | | | 465 | | | | 473 | |
5.00%, 07/15/2037(3) | | | 490 | | | | 497 | |
5.00%, 10/01/2037(3) | | | 500 | | | | 527 | |
5.00%, 07/01/2038(2) | | | 8,525 | | | | 8,858 | |
5.00%, 01/01/2040 | | | 755 | | | | 776 | |
5.00%, 10/01/2041 | | | 825 | | | | 809 | |
5.00%, 03/01/2044 | | | 1,000 | | | | 1,022 | |
5.00%, 07/15/2046(3) | | | 1,000 | | | | 984 | |
5.00%, 10/01/2047(3) | | | 1,375 | | | | 1,448 | |
5.00%, 10/01/2048 | | | 1,750 | | | | 1,790 | |
5.00%, 10/01/2048 | | | 9,700 | | | | 9,263 | |
5.00%, 10/01/2057(3) | | | 1,000 | | | | 1,053 | |
5.13%, 01/01/2040 | | | 1,020 | | | | 982 | |
5.13%, 11/15/2046(3) | | | 800 | | | | 828 | |
Massachusetts Educational Financing Authority | | | | | | | | |
2.00%, 07/01/2037 | | | 2,700 | | | | 2,378 | |
5.00%, 07/01/2023 | | | 200 | | | | 206 | |
5.00%, 07/01/2024 | | | 575 | | | | 602 | |
5.00%, 07/01/2024 | | | 2,190 | | | | 2,289 | |
5.00%, 07/01/2025 | | | 825 | | | | 874 | |
5.00%, 07/01/2025 | | | 850 | | | | 900 | |
5.00%, 07/01/2026 | | | 5,000 | | | | 5,387 | |
5.00%, 07/01/2027 | | | 1,500 | | | | 1,626 | |
5.00%, 07/01/2028 | | | 1,250 | | | | 1,360 | |
5.00%, 07/01/2029 | | | 1,600 | | | | 1,743 | |
5.00%, 07/01/2030 | | | 1,425 | | | | 1,569 | |
Massachusetts Housing Finance Agency | | | | | | | | |
1.46% (SIFMA Municipal Swap Index Yield + 0.55%), 11/01/2048(1) | | | 9,400 | | | | 9,400 | |
Massachusetts Port Authority | | | | | | | | |
5.00%, 07/01/2024 | | | 835 | | | | 875 | |
Massachusetts School Building Authority | | | | | | | | |
5.00%, 01/15/2028 | | | 1,500 | | | | 1,595 | |
5.00%, 08/15/2037 | | | 10,000 | | | | 10,563 | |
| | |
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue | | | | | | | | |
5.00%, 01/01/2039(2) | | | 6,830 | | | | 6,932 | |
| | | | | | | | |
Total Massachusetts | | | | 190,067 | |
| | | | | | | | |
Michigan – 3.16% | | | | | | | | |
Avondale School District | | | | | | | | |
5.00%, 11/01/2022 | | | 600 | | | | 607 | |
5.00%, 11/01/2023 | | | 680 | | | | 708 | |
5.00%, 11/01/2024 | | | 800 | | | | 849 | |
5.00%, 11/01/2025 | | | 785 | | | | 849 | |
5.00%, 11/01/2026 | | | 765 | | | | 842 | |
Calhoun County Hospital Finance Authority | | | | | | | | |
5.00%, 02/15/2028 | | | 750 | | | | 800 | |
5.00%, 02/15/2037 | | | 1,695 | | | | 1,754 | |
City of Detroit MI | | | | | | | | |
5.00%, 04/01/2023 | | | 750 | | | | 763 | |
5.00%, 04/01/2024 | | | 900 | | | | 932 | |
5.00%, 04/01/2025 | | | 900 | | | | 943 | |
5.00%, 04/01/2034 | | | 1,000 | | | | 1,042 | |
5.00%, 04/01/2035 | | | 1,700 | | | | 1,781 | |
5.00%, 04/01/2036 | | | 300 | | | | 314 | |
5.50%, 04/01/2031 | | | 560 | | | | 617 | |
5.50%, 04/01/2033 | | | 470 | | | | 514 | |
5.50%, 04/01/2035 | | | 350 | | | | 381 | |
5.50%, 04/01/2037 | | | 465 | | | | 504 | |
5.50%, 04/01/2039 | | | 645 | | | | 697 | |
5.50%, 04/01/2045 | | | 750 | | | | 804 | |
5.50%, 04/01/2050 | | | 605 | | | | 646 | |
City of Detroit MI Sewage Disposal System Revenue | | | | | | | | |
5.25%, 07/01/2039 | | | 4,050 | | | | 4,050 | |
| | | | | | | | |
City of Greenville MI | | | | | | | | |
4.00%, 06/01/2025 | | | 245 | | | | 255 | |
4.00%, 06/01/2029 | | | 285 | | | | 303 | |
4.00%, 06/01/2035 | | | 715 | | | | 736 | |
City of Royal Oak MI | | | | | | | | |
5.00%, 04/01/2029 | | | 500 | | | | 565 | |
5.00%, 04/01/2031 | | | 1,045 | | | | 1,171 | |
City of Saginaw MI Water Supply System Revenue | | | | | | | | |
4.00%, 07/01/2034 | | | 355 | | | | 371 | |
4.00%, 07/01/2035 | | | 185 | | | | 193 | |
4.00%, 07/01/2036 | | | 195 | | | | 202 | |
City of Taylor MI | | | | | | | | |
4.00%, 03/01/2030 | | | 490 | | | | 522 | |
4.00%, 03/01/2034 | | | 570 | | | | 594 | |
City of Wyandotte MI Electric System Revenue | | | | | | | | |
5.00%, 10/01/2022 | | | 800 | | | | 806 | |
5.00%, 10/01/2023 | | | 500 | | | | 517 | |
5.00%, 10/01/2024 | | | 765 | | | | 810 | |
County of Jackson MI | | | | | | | | |
4.00%, 05/01/2034 | | | 610 | | | | 635 | |
County of Kent MI | | | | | | | | |
5.00%, 06/01/2028 | | | 700 | | | | 771 | |
Dearborn School District | | | | | | | | |
5.00%, 05/01/2035 | | | 1,080 | | | | 1,213 | |
Detroit City School District | | | | | | | | |
5.25%, 05/01/2030 | | | 3,345 | | | | 3,901 | |
Detroit Downtown Development Authority | | | | | | | | |
5.00%, 07/01/2037 | | | 540 | | | | 565 | |
5.00%, 07/01/2038 | | | 1,000 | | | | 1,047 | |
Gerald R Ford International Airport Authority | | | | | | | | |
5.00%, 01/01/2046 | | | 1,500 | | | | 1,628 | |
5.00%, 01/01/2051 | | | 1,345 | | | | 1,454 | |
Grand Rapids Public Schools | | | | | | | | |
5.00%, 05/01/2025 | | | 1,075 | | | | 1,155 | |
5.00%, 11/01/2037 | | | 1,750 | | | | 1,944 | |
5.00%, 11/01/2038 | | | 1,000 | | | | 1,108 | |
Great Lakes Water Authority Sewage Disposal System Revenue | | | | | | | | |
5.00%, 07/01/2030 | | | 3,000 | | | | 3,223 | |
5.00%, 07/01/2036 | | | 1,000 | | | | 1,064 | |
Great Lakes Water Authority Water Supply System Revenue | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000 | | | | 1,031 | |
Karegnondi Water Authority | | | | | | | | |
5.00%, 11/01/2036 | | | 1,300 | | | | 1,390 | |
5.25%, 11/01/2040 | | | 130 | | | | 133 | |
Kentwood Economic Development Corp. | | | | | | | | |
4.00%, 11/15/2043 | | | 1,000 | | | | 823 | |
4.00%, 11/15/2045 | | | 750 | | | | 601 | |
Lake Orion Community School District | | | | | | | | |
5.00%, 05/01/2025 | | | 3,275 | | | | 3,515 | |
Lansing Board of Water & Light | | | | | | | | |
2.00%, 07/01/2051(2) | | | 8,585 | | | | 8,135 | |
5.00%, 07/01/2038 | | | 2,620 | | | | 2,901 | |
Michigan Finance Authority | | | | | | | | |
1.20%, 10/15/2030(2) | | | 1,900 | | | | 1,699 | |
1.20%, 10/15/2038(2) | | | 18,900 | | | | 16,923 | |
3.50%, 11/01/2023 | | | 5,500 | | | | 5,526 | |
3.75%, 11/01/2024 | | | 5,500 | | | | 5,524 | |
3.75%, 11/15/2049(2) | | | 3,600 | | | | 3,723 | |
4.00%, 12/01/2035 | | | 1,500 | | | | 1,491 | |
4.00%, 12/01/2036 | | | 6,610 | | | | 6,548 | |
4.00%, 12/01/2040 | | | 1,485 | | | | 1,420 | |
5.00%, 07/01/2022 | | | 1,235 | | | | 1,235 | |
5.00%, 11/15/2022 | | | 275 | | | | 279 | |
5.00%, 10/01/2023 | | | 1,000 | | | | 1,008 | |
5.00%, 10/01/2024 | | | 3,000 | | | | 3,186 | |
5.00%, 11/01/2024 | | | 750 | | | | 798 | |
5.00%, 11/01/2025 | | | 400 | | | | 434 | |
5.00%, 11/01/2025 | | | 1,000 | | | | 1,086 | |
5.00%, 11/01/2026 | | | 500 | | | | 553 | |
5.00%, 12/01/2026 | | | 1,190 | | | | 1,321 | |
5.00%, 06/01/2027 | | | 690 | | | | 741 | |
5.00%, 11/01/2027 | | | 500 | | | | 560 | |
5.00%, 06/01/2028 | | | 2,380 | | | | 2,570 | |
5.00%, 04/15/2029 | | | 4,000 | | | | 4,545 | |
5.00%, 06/01/2029 | | | 1,500 | | | | 1,629 | |
5.00%, 12/01/2029 | | | 500 | | | | 554 | |
5.00%, 04/15/2030 | | | 4,155 | | | | 4,753 | |
5.00%, 06/01/2030 | | | 1,725 | | | | 1,880 | |
5.00%, 07/01/2030 | | | 600 | | | | 632 | |
5.00%, 10/01/2030 | | | 800 | | | | 837 | |
5.00%, 06/01/2031 | | | 2,895 | | | | 3,154 | |
5.00%, 04/15/2032 | | | 3,165 | | | | 3,618 | |
5.00%, 06/01/2032 | | | 280 | | | | 304 | |
5.00%, 08/01/2032 | | | 850 | | | | 901 | |
5.00%, 11/15/2032 | | | 1,445 | | | | 1,524 | |
5.00%, 04/15/2033 | | | 1,935 | | | | 2,181 | |
5.00%, 06/01/2033 | | | 510 | | | | 552 | |
5.00%, 07/01/2033 | | | 350 | | | | 367 | |
| | | | | | | | |
5.00%, 04/15/2034 | | | 970 | | | | 1,086 | |
5.00%, 04/15/2035 | | | 555 | | | | 617 | |
5.00%, 04/15/2036 | | | 5,000 | | | | 5,530 | |
5.00%, 06/01/2040 | | | 900 | | | | 948 | |
5.00%, 12/01/2041 | | | 3,000 | | | | 3,199 | |
5.00%, 12/01/2044(2) | | | 2,550 | | | | 2,715 | |
5.00%, 06/01/2049 | | | 2,020 | | | | 2,041 | |
Michigan Mathematics & Science Initiative | | | | | | | | |
4.00%, 01/01/2031 | | | 430 | | | | 411 | |
Michigan State Building Authority | | | | | | | | |
5.00%, 04/15/2035 | | | 1,250 | | | | 1,392 | |
Michigan State Hospital Finance Authority | | | | | | | | |
2.40%, 11/15/2047(2) | | | 850 | | | | 853 | |
4.00%, 11/15/2047(2) | | | 4,505 | | | | 4,640 | |
4.00%, 11/15/2047(2) | | | 9,750 | | | | 9,923 | |
5.00%, 12/01/2022 | | | 125 | | | | 127 | |
5.00%, 12/01/2023 | | | 1,150 | | | | 1,200 | |
5.00%, 12/01/2024 | | | 275 | | | | 293 | |
5.00%, 12/01/2025 | | | 700 | | | | 762 | |
5.00%, 12/01/2027 | | | 415 | | | | 467 | |
Michigan State Housing Development Authority | | | | | | | | |
3.00%, 06/01/2052 | | | 2,180 | | | | 2,127 | |
3.50%, 12/01/2050 | | | 960 | | | | 959 | |
5.00%, 06/01/2053 | | | 4,000 | | | | 4,237 | |
Michigan Strategic Fund | | | | | | | | |
1.80%, 10/01/2049(2) | | | 2,075 | | | | 2,007 | |
4.00%, 10/01/2061(2) | | | 3,520 | | | | 3,483 | |
5.00%, 06/30/2025 | | | 2,000 | | | | 2,081 | |
5.00%, 12/31/2025 | | | 2,595 | | | | 2,712 | |
5.00%, 06/30/2026 | | | 2,800 | | | | 2,934 | |
5.00%, 12/31/2026 | | | 355 | | | | 373 | |
5.00%, 06/30/2030 | | | 1,080 | | | | 1,122 | |
5.00%, 06/30/2032 | | | 150 | | | | 154 | |
Michigan Technological University | | | | | | | | |
4.00%, 10/01/2051 | | | 1,255 | | | | 1,205 | |
5.00%, 10/01/2025 | | | 400 | | | | 432 | |
5.00%, 10/01/2026 | | | 270 | | | | 296 | |
5.00%, 10/01/2027 | | | 595 | | | | 662 | |
5.00%, 10/01/2028 | | | 890 | | | | 999 | |
5.00%, 10/01/2029 | | | 2,000 | | | | 2,263 | |
5.00%, 10/01/2030 | | | 355 | | | | 404 | |
Michigan Tobacco Settlement Finance Authority | | | | | | | | |
0.00%, 06/01/2052 | | | 2,300 | | | | 241 | |
Milan Area Schools | | | | | | | | |
5.00%, 05/01/2023 | | | 245 | | | | 251 | |
Oakland University | | | | | | | | |
5.00%, 03/01/2041 | | | 2,190 | | | | 2,324 | |
Portage Public Schools | | | | | | | | |
5.00%, 11/01/2028 | | | 1,000 | | | | 1,094 | |
Richfield Public School Academy | | | | | | | | |
2.50%, 09/01/2025 | | | 235 | | | | 219 | |
Romeo Community School District | | | | | | | | |
4.00%, 05/01/2023 | | | 265 | | | | 270 | |
4.00%, 05/01/2024 | | | 275 | | | | 285 | |
4.00%, 05/01/2025 | | | 465 | | | | 485 | |
4.00%, 05/01/2026 | | | 180 | | | | 189 | |
4.00%, 05/01/2027 | | | 325 | | | | 345 | |
4.00%, 05/01/2033 | | | 525 | | | | 549 | |
4.00%, 05/01/2034 | | | 540 | | | | 563 | |
4.00%, 05/01/2035 | | | 755 | | | | 784 | |
4.00%, 05/01/2036 | | | 780 | | | | 799 | |
4.00%, 05/01/2037 | | | 815 | | | | 822 | |
4.00%, 05/01/2038 | | | 1,255 | | | | 1,263 | |
Royal Oak Hospital Finance Authority | | | | | | | | |
5.00%, 09/01/2039 | | | 10,320 | | | | 10,835 | |
Royal Oak School District | | | | | | | | |
5.00%, 05/01/2023 | | | 600 | | | | 617 | |
5.00%, 05/01/2024 | | | 600 | | | | 631 | |
Saginaw City School District | | | | | | | | |
4.00%, 05/01/2028 | | | 1,035 | | | | 1,113 | |
4.00%, 05/01/2031 | | | 1,290 | | | | 1,381 | |
4.00%, 05/01/2034 | | | 1,035 | | | | 1,063 | |
Saginaw Hospital Finance Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 825 | | | | 901 | |
5.00%, 07/01/2028 | | | 435 | | | | 478 | |
State of Michigan | | | | | | | | |
5.00%, 03/15/2023 | | | 2,000 | | | | 2,047 | |
5.00%, 03/15/2025 | | | 1,145 | | | | 1,230 | |
State of Michigan Trunk Line Revenue | | | | | | | | |
4.00%, 11/15/2044 | | | 6,000 | | | | 5,891 | |
4.00%, 11/15/2046 | | | 24,000 | | | | 23,457 | |
5.00%, 11/15/2036 | | | 7,550 | | | | 8,596 | |
Summit Academy North | | | | | | | | |
2.25%, 11/01/2026 | | | 545 | | | | 495 | |
4.00%, 11/01/2031 | | | 785 | | | | 738 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 11/15/2024(2)(3) | | | 1,400 | | | | 1,400 | |
| | | | | | | | |
University of Michigan | | | | | | | | |
5.00%, 04/01/2024 | | | 1,670 | | | | 1,758 | |
5.00%, 04/01/2033 | | | 560 | | | | 658 | |
Van Buren Public Schools | | | | | | | | |
4.00%, 11/01/2036 | | | 1,085 | | | | 1,121 | |
4.00%, 11/01/2037 | | | 1,925 | | | | 1,956 | |
4.00%, 11/01/2038 | | | 2,005 | | | | 2,023 | |
Wayne County Airport Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 200 | | | | 203 | |
5.00%, 12/01/2023 | | | 250 | | | | 260 | |
5.00%, 12/01/2023 | | | 400 | | | | 417 | |
5.00%, 12/01/2023 | | | 550 | | | | 570 | |
5.00%, 12/01/2024 | | | 375 | | | | 398 | |
5.00%, 12/01/2024 | | | 500 | | | | 527 | |
5.00%, 12/01/2025 | | | 600 | | | | 641 | |
5.00%, 12/01/2025 | | | 1,000 | | | | 1,075 | |
5.00%, 12/01/2027 | | | 4,055 | | | | 4,305 | |
5.00%, 12/01/2031 | | | 350 | | | | 377 | |
5.00%, 12/01/2032 | | | 1,400 | | | | 1,453 | |
5.00%, 12/01/2033 | | | 325 | | | | 348 | |
5.00%, 12/01/2034 | | | 1,310 | | | | 1,427 | |
5.00%, 12/01/2039 | | | 1,675 | | | | 1,792 | |
5.00%, 12/01/2040 | | | 2,000 | | | | 2,172 | |
5.00%, 12/01/2040 | | | 4,000 | | | | 4,164 | |
5.00%, 12/01/2041 | | | 1,000 | | | | 1,084 | |
5.00%, 12/01/2042 | | | 900 | | | | 935 | |
5.00%, 12/01/2042 | | | 1,000 | | | | 1,007 | |
5.00%, 12/01/2046 | | | 4,250 | | | | 4,558 | |
5.00%, 12/01/2047 | | | 1,000 | | | | 1,033 | |
Wayne State University | | | | | | | | |
5.00%, 11/15/2036 | | | 3,090 | | | | 3,375 | |
Wayne-Westland Community Schools | | | | | | | | |
4.00%, 11/01/2034 | | | 3,705 | | | | 3,857 | |
4.00%, 11/01/2036 | | | 4,305 | | | | 4,408 | |
4.00%, 11/01/2038 | | | 4,205 | | | | 4,225 | |
5.00%, 11/01/2022 | | | 190 | | | | 192 | |
5.00%, 11/01/2023 | | | 80 | | | | 83 | |
5.00%, 11/01/2024 | | | 185 | | | | 197 | |
5.00%, 11/01/2025 | | | 95 | | | | 103 | |
5.00%, 11/01/2026 | | | 1,000 | | | | 1,106 | |
5.00%, 11/01/2027 | | | 600 | | | | 673 | |
5.00%, 11/01/2029 | | | 585 | | | | 665 | |
Wyoming Public Schools | | | | | | | | |
4.00%, 05/01/2041 | | | 685 | | | | 684 | |
| | | | | | | | |
Total Michigan | | | | 341,575 | |
| | | | | | | | |
Minnesota – 0.52% | | | | | | | | |
City of Deephaven MN | | | | | | | | |
5.00%, 10/01/2037 | | | 1,250 | | | | 1,169 | |
5.00%, 10/01/2049 | | | 2,200 | | | | 1,933 | |
City of Independence MN | | | | | | | | |
4.00%, 07/01/2041 | | | 1,500 | | | | 1,276 | |
City of Minneapolis MN | | | | | | | | |
4.00%, 11/15/2036 | | | 1,125 | | | | 1,128 | |
4.00%, 11/15/2037 | | | 1,625 | | | | 1,625 | |
City of Moorhead MN | | | | | | | | |
5.00%, 12/01/2025 | | | 775 | | | | 806 | |
City of Rochester MN | | | | | | | | |
5.00%, 12/01/2025 | | | 900 | | | | 898 | |
5.00%, 11/15/2057 | | | 2,530 | | | | 2,756 | |
5.25%, 12/01/2038 | | | 1,000 | | | | 930 | |
City of Shakopee MN Senior Housing Revenue | | | | | | | | |
5.85%, 11/01/2058(2)(3) | | | 2,280 | | | | 2,276 | |
County of Hennepin MN | | | | | | | | |
5.00%, 12/15/2037 | | | 2,500 | | | | 2,809 | |
Duluth Economic Development Authority | | | | | | | | |
5.00%, 02/15/2033 | | | 500 | | | | 528 | |
5.00%, 02/15/2034 | | | 750 | | | | 790 | |
5.00%, 02/15/2037 | | | 1,250 | | | | 1,310 | |
Housing & Redevelopment Authority of The City of St Paul Minnesota | | | | | | | | |
4.00%, 11/01/2042 | | | 675 | | | | 531 | |
Minneapolis Special School District No 1 | | | | | | | | |
4.00%, 02/01/2039 | | | 960 | | | | 968 | |
Minneapolis-St Paul Metropolitan Airports Commission | | | | | | | | |
5.00%, 01/01/2037 | | | 1,750 | | | | 1,852 | |
Minnesota Housing Finance Agency | | | | | | | | |
3.00%, 07/01/2051 | | | 725 | | | | 710 | |
3.00%, 01/01/2052 | | | 2,825 | | | | 2,758 | |
3.00%, 07/01/2052 | | | 9,990 | | | | 9,726 | |
Minnesota Rural Water Finance Authority, Inc. | | | | | | | | |
0.25%, 08/01/2022 | | | 1,500 | | | | 1,498 | |
Roseville Independent School District No 623 | | | | | | | | |
5.00%, 02/01/2025 | | | 3,895 | | | | 4,174 | |
5.00%, 02/01/2026 | | | 2,315 | | | | 2,529 | |
Shakopee Independent School District No 720 | | | | | | | | |
5.00%, 02/01/2024 | | | 3,185 | | | | 3,332 | |
State of Minnesota | | | | | | | | |
5.00%, 08/01/2023 | | | 1,465 | | | | 1,517 | |
5.00%, 08/01/2029 | | | 2,000 | | | | 2,166 | |
| | | | | | | | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.05%, 11/15/2026(2)(3) | | | 2,025 | | | | 2,025 | |
1.16%, 12/01/2061(2)(3) | | | 2,175 | | | | 2,175 | |
| | | | | | | | |
Total Minnesota | | | | 56,195 | |
| | | | | | | | |
Mississippi – 0.17% | | | | | | | | |
Mississippi Development Bank | | | | | | | | |
4.00%, 10/01/2034(3) | | | 1,825 | | | | 1,703 | |
4.00%, 10/01/2041(3) | | | 1,640 | | | | 1,455 | |
Mississippi Hospital Equipment & Facilities Authority | | | | | | | | |
5.00%, 01/01/2029 | | | 910 | | | | 998 | |
5.00%, 01/01/2033 | | | 1,750 | | | | 1,885 | |
5.00%, 10/01/2035 | | | 700 | | | | 743 | |
5.00%, 10/01/2036 | | | 2,000 | | | | 2,120 | |
5.00%, 10/01/2040(2) | | | 4,215 | | | | 4,569 | |
5.00%, 09/01/2044(2) | | | 2,000 | | | | 2,109 | |
State of Mississippi | | | | | | | | |
4.00%, 10/01/2039 | | | 1,450 | | | | 1,457 | |
5.00%, 10/01/2030 | | | 1,000 | | | | 1,112 | |
| | | | | | | | |
Total Mississippi | | | | 18,151 | |
| | | | | | | | |
Missouri – 0.76% | | | | | | | | |
Belton School District No 124 | | | | | | | | |
5.00%, 03/01/2028 | | | 250 | | | | 282 | |
5.50%, 03/01/2033 | | | 500 | | | | 560 | |
5.50%, 03/01/2036 | | | 500 | | | | 557 | |
Cape Girardeau County Industrial Development Authority | | | | | | | | |
5.00%, 03/01/2032 | | | 500 | | | | 522 | |
City of Kansas City MO Sanitary Sewer System Revenue | | | | | | | | |
5.00%, 01/01/2026 | | | 285 | | | | 311 | |
5.00%, 01/01/2031 | | | 135 | | | | 151 | |
City of St Louis MO Airport Revenue | | | | | | | | |
5.00%, 07/01/2025 | | | 400 | | | | 427 | |
Hannibal Industrial Development Authority | | | | | | | | |
5.00%, 10/01/2047 | | | 1,580 | | | | 1,622 | |
Health & Educational Facilities Authority of the State of Missouri | | | | | | | | |
4.00%, 08/01/2031 | | | 310 | | | | 299 | |
4.00%, 02/15/2034 | | | 500 | | | | 476 | |
4.00%, 07/01/2035 | | | 1,500 | | | | 1,510 | |
4.00%, 02/15/2037 | | | 425 | | | | 396 | |
4.00%, 02/15/2039 | | | 990 | | | | 910 | |
4.00%, 02/01/2040 | | | 100 | | | | 95 | |
5.00%, 06/01/2025 | | | 7,000 | | | | 7,449 | |
5.00%, 04/01/2027 | | | 1,705 | | | | 1,800 | |
5.00%, 02/01/2029 | | | 1,000 | | | | 1,044 | |
5.00%, 06/01/2033 | | | 1,550 | | | | 1,746 | |
5.00%, 02/01/2035 | | | 1,000 | | | | 1,014 | |
5.00%, 02/01/2036 | | | 200 | | | | 205 | |
5.00%, 08/01/2040 | | | 1,145 | | | | 1,166 | |
5.00%, 10/01/2042 | | | 6,370 | | | | 6,787 | |
5.00%, 10/01/2046 | | | 6,000 | | | | 6,481 | |
Industrial Development Authority of the City of St Louis Missouri | | | | | | | | |
3.88%, 11/15/2029 | | | 90 | | | | 80 | |
4.38%, 11/15/2035 | | | 230 | | | | 195 | |
4.75%, 11/15/2047 | | | 1,250 | | | | 1,010 | |
Kansas City Industrial Development Authority | | | | | | | | |
4.00%, 03/01/2050 | | | 3,750 | | | | 3,463 | |
4.00%, 03/01/2057 | | | 6,250 | | | | 5,766 | |
5.00%, 03/01/2025 | | | 1,250 | | | | 1,333 | |
5.00%, 03/01/2025 | | | 2,000 | | | | 2,113 | |
5.00%, 03/01/2026 | | | 4,395 | | | | 4,706 | |
5.00%, 03/01/2027 | | | 2,955 | | | | 3,246 | |
5.00%, 03/01/2028 | | | 3,350 | | | | 3,665 | |
Missouri Housing Development Commission | | | | | | | | |
3.25%, 05/01/2051 | | | 3,310 | | | | 3,271 | |
4.00%, 05/01/2050 | | | 270 | | | | 274 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 06/01/2033(2)(3)(4) | | | 405 | | | | 405 | |
St Louis County Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2025 | | | 605 | | | | 614 | |
5.00%, 09/01/2038 | | | 500 | | | | 467 | |
5.00%, 09/01/2048 | | | 1,700 | | | | 1,518 | |
5.13%, 08/15/2045 | | | 200 | | | | 184 | |
5.13%, 09/01/2048 | | | 2,590 | | | | 2,356 | |
5.50%, 09/01/2033 | | | 1,000 | | | | 1,002 | |
St Louis Land Clearance for Redevelopment Authority | | | | | | | | |
5.00%, 06/01/2029 | | | 1,000 | | | | 1,052 | |
5.38%, 06/01/2043 | | | 2,000 | | | | 2,080 | |
St Louis School District | | | | | | | | |
4.00%, 04/01/2023 | | | 5,380 | | | | 5,465 | |
Washington Industrial Development Authority | | | | | | | | |
2.50%, 11/01/2029 | | | 235 | | | | 201 | |
Wright City R-II School District | | | | | | | | |
6.00%, 03/01/2037 | | | 575 | | | | 708 | |
6.00%, 03/01/2040 | | | 1,100 | | | | 1,345 | |
| | | | | | | | |
Total Missouri | | | | 82,329 | |
| | | | | | | | |
| | | | | | | | |
Montana – 0.09% | | | | | | | | |
City of Kalispell MT | | | | | | | | |
5.25%, 05/15/2037 | | | 765 | | | | 758 | |
5.25%, 05/15/2047 | | | 500 | | | | 473 | |
5.25%, 05/15/2052 | | | 50 | | | | 47 | |
County of Gallatin MT | | | | | | | | |
4.00%, 10/15/2032(3) | | | 1,770 | | | | 1,600 | |
4.00%, 10/15/2036(3) | | | 2,965 | | | | 2,560 | |
4.00%, 10/15/2041(3) | | | 1,800 | | | | 1,475 | |
4.00%, 10/15/2046(3) | | | 1,160 | | | | 904 | |
4.00%, 10/15/2051(3) | | | 950 | | | | 713 | |
Fergus County School District No 1 | | | | | | | | |
4.00%, 07/01/2036 | | | 240 | | | | 253 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 06/01/2034(2)(3)(4) | | | 1,000 | | | | 1,000 | |
Montana Board of Housing | | | | | | | | |
4.00%, 12/01/2047 | | | 180 | | | | 182 | |
4.00%, 06/01/2050 | | | 145 | | | | 147 | |
| | | | | | | | |
Total Montana | | | | 10,112 | |
| | | | | | | | |
Nebraska – 0.71% | | | | | | | | |
Ashland-Greenwood Public Schools | | | | | | | | |
4.00%, 12/15/2034 | | | 1,000 | | | | 1,054 | |
4.00%, 12/15/2037 | | | 1,340 | | | | 1,382 | |
4.00%, 12/15/2039 | | | 1,000 | | | | 1,019 | |
Central Plains Energy Project | | | | | | | | |
4.00%, 12/01/2049(2) | | | 32,420 | | | | 33,304 | |
5.00%, 09/01/2033 | | | 1,500 | | | | 1,603 | |
5.00%, 09/01/2035 | | | 930 | | | | 996 | |
5.00%, 03/01/2050(2) | | | 10,670 | | | | 10,990 | |
Douglas County Hospital Authority No 2 | | | | | | | | |
4.00%, 11/15/2036 | | | 425 | | | | 422 | |
Hershey Public Schools | | | | | | | | |
4.00%, 12/15/2026 | | | 400 | | | | 427 | |
4.00%, 12/15/2028 | | | 640 | | | | 675 | |
Nebraska Investment Finance Authority | | | | | | | | |
3.00%, 09/01/2045 | | | 1,955 | | | | 1,913 | |
3.50%, 09/01/2050 | | | 825 | | | | 824 | |
3.75%, 09/01/2049 | | | 810 | | | | 817 | |
4.00%, 09/01/2049 | | | 670 | | | | 678 | |
Nebraska Public Power District | | | | | | | | |
0.60%, 01/01/2051(2) | | | 16,920 | | | | 16,653 | |
5.00%, 01/01/2024 | | | 2,455 | | | | 2,565 | |
Omaha Airport Authority | | | | | | | | |
5.00%, 12/15/2031 | | | 515 | | | | 548 | |
Southeast Community College Area | | | | | | | | |
4.00%, 03/15/2036 | | | 250 | | | | 253 | |
4.00%, 03/15/2042 | | | 400 | | | | 400 | |
| | | | | | | | |
Total Nebraska | | | | 76,523 | |
| | | | | | | | |
Nevada – 1.03% | | | | | | | | |
Carson City NV | | | | | | | | |
5.00%, 09/01/2026 | | | 550 | | | | 591 | |
City of Henderson NV | | | | | | | | |
4.00%, 06/01/2035 | | | 900 | | | | 936 | |
4.00%, 06/01/2036 | | | 925 | | | | 960 | |
4.00%, 06/01/2038 | | | 3,540 | | | | 3,595 | |
5.00%, 06/01/2037 | | | 3,230 | | | | 3,648 | |
City of Las Vegas NV Special Improvement District No 814 | | | | | | | | |
4.00%, 06/01/2039 | | | 445 | | | | 406 | |
4.00%, 06/01/2049 | | | 1,085 | | | | 929 | |
City of Las Vegas NV Special Improvement District No 815 | | | | | | | | |
4.75%, 12/01/2040 | | | 900 | | | | 878 | |
City of Las Vegas NV Special Improvement District No 816 | | | | | | | | |
2.00%, 06/01/2023 | | | 150 | | | | 147 | |
2.75%, 06/01/2036 | | | 420 | | | | 311 | |
3.00%, 06/01/2041 | | | 630 | | | | 450 | |
3.13%, 06/01/2046 | | | 1,300 | | | | 889 | |
City of North Las Vegas NV | | | | | | | | |
4.00%, 06/01/2029 | | | 665 | | | | 713 | |
4.00%, 06/01/2030 | | | 695 | | | | 745 | |
4.00%, 06/01/2036 | | | 1,500 | | | | 1,532 | |
5.00%, 06/01/2027 | | | 605 | | | | 674 | |
City of Reno NV | | | | | | | | |
0.00%, 07/01/2058(3) | | | 2,000 | | | | 240 | |
5.00%, 06/01/2038 | | | 150 | | | | 161 | |
City of Sparks NV | | | | | | | | |
2.50%, 06/15/2024(3) | | | 875 | | | | 846 | |
Clark County School District | | | | | | | | |
4.00%, 06/15/2034 | | | 5,000 | | | | 5,136 | |
4.00%, 06/15/2038 | | | 775 | | | | 787 | |
5.00%, 06/15/2023 | | | 370 | | | | 381 | |
5.00%, 06/15/2023 | | | 1,665 | | | | 1,716 | |
5.00%, 06/15/2024 | | | 4,500 | | | | 4,751 | |
5.00%, 06/15/2025 | | | 25 | | | | 27 | |
5.00%, 06/15/2025 | | | 6,060 | | | | 6,528 | |
5.00%, 06/15/2026 | | | 3,670 | | | | 4,029 | |
5.00%, 06/15/2029 | | | 4,080 | | | | 4,570 | |
5.00%, 06/15/2035 | | | 500 | | | | 560 | |
| | | | | | | | |
County of Clark Department of Aviation | | | | | | | | |
5.00%, 07/01/2024 | | | 3,320 | | | | 3,480 | |
5.00%, 07/01/2028 | | | 630 | | | | 659 | |
5.00%, 07/01/2030 | | | 730 | | | | 762 | |
5.00%, 07/01/2035 | | | 7,000 | | | | 7,816 | |
5.00%, 07/01/2036 | | | 2,250 | | | | 2,499 | |
County of Clark NV | | | | | | | | |
1.65%, 01/01/2036(2) | | | 1,560 | | | | 1,553 | |
5.00%, 11/01/2028 | | | 3,000 | | | | 3,306 | |
5.00%, 06/01/2032 | | | 3,000 | | | | 3,330 | |
5.00%, 12/01/2032 | | | 5,385 | | | | 6,014 | |
5.00%, 06/01/2035 | | | 2,070 | | | | 2,272 | |
County of Clark NV Passenger Facility Charge Revenue | | | | | | | | |
5.00%, 07/01/2024 | | | 1,370 | | | | 1,436 | |
5.00%, 07/01/2025 | | | 2,220 | | | | 2,372 | |
Henderson Local Improvement Districts | | | | | | | | |
2.00%, 09/01/2024 | | | 120 | | | | 114 | |
3.00%, 09/01/2036 | | | 175 | | | | 133 | |
Las Vegas Convention & Visitors Authority | | | | | | | | |
5.00%, 07/01/2031 | | | 600 | | | | 660 | |
5.00%, 07/01/2043 | | | 2,500 | | | | 2,705 | |
Las Vegas Redevelopment Agency | | | | | | | | |
5.00%, 06/15/2030 | | | 1,000 | | | | 1,048 | |
5.00%, 06/15/2040 | | | 685 | | | | 707 | |
Las Vegas Valley Water District | | | | | | | | |
4.00%, 06/01/2028 | | | 1,000 | | | | 1,044 | |
4.00%, 06/01/2035 | | | 4,295 | | | | 4,439 | |
5.00%, 06/01/2039 | | | 2,815 | | | | 2,965 | |
Mizuho Floater/Residual Trust | | | | | | | | |
1.16%, 08/01/2050(2)(3)(4) | | | 12,700 | | | | 12,700 | |
Nevada Housing Division | | | | | | | | |
4.00%, 10/01/2049 | | | 430 | | | | 436 | |
Tahoe-Douglas Visitors Authority | | | | | | | | |
4.00%, 07/01/2025 | | | 500 | | | | 507 | |
4.00%, 07/01/2026 | | | 1,540 | | | | 1,562 | |
| | | | | | | | |
Total Nevada | | | | 111,655 | |
| | | | | | | | |
New Hampshire – 0.32% | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | |
1.29% (SIFMA Municipal Swap Index Yield + 0.38%), 10/01/2033(1) | | | 7,520 | | | | 7,246 | |
3.75%, 07/01/2045(2)(3) | | | 1,000 | | | | 814 | |
4.00%, 08/15/2039 | | | 1,100 | | | | 1,072 | |
4.00%, 01/01/2041 | | | 2,000 | | | | 1,765 | |
4.00%, 01/01/2051 | | | 3,000 | | | | 2,460 | |
4.13%, 01/20/2034 | | | 4,952 | | | | 4,872 | |
4.38%, 09/20/2036 | | | 2,750 | | | | 2,638 | |
5.00%, 01/01/2024 | | | 720 | | | | 750 | |
5.00%, 08/15/2029 | | | 750 | | | | 841 | |
5.25%, 07/01/2039(3) | | | 240 | | | | 220 | |
5.63%, 07/01/2046(3) | | | 125 | | | | 117 | |
5.75%, 07/01/2054(3) | | | 315 | | | | 294 | |
New Hampshire Health & Education Facilities Authority Act | | | | | | | | |
4.00%, 10/01/2038 | | | 115 | | | | 111 | |
5.00%, 07/01/2023 | | | 500 | | | | 516 | |
5.00%, 08/01/2027 | | | 1,575 | | | | 1,714 | |
5.00%, 10/01/2028 | | | 1,580 | | | | 1,685 | |
5.00%, 07/01/2030 | | | 390 | | | | 431 | |
5.00%, 08/01/2030 | | | 305 | | | | 328 | |
5.00%, 10/01/2032 | | | 2,825 | | | | 2,957 | |
5.00%, 10/01/2038 | | | 425 | | | | 440 | |
5.00%, 07/01/2044 | | | 3,040 | | | | 3,125 | |
5.25%, 07/01/2027(3)(5) | | | 550 | | | | 220 | |
6.13%, 07/01/2052(3)(5) | | | 245 | | | | 98 | |
6.25%, 07/01/2042(3)(5) | | | 700 | | | | 280 | |
| | | | | | | | |
Total New Hampshire | | | | 34,994 | |
| | | | | | | | |
New Jersey – 3.85% | | | | | | | | |
Atlantic County Improvement Authority | | | | | | | | |
4.00%, 07/01/2037 | | | 460 | | | | 454 | |
Borough of Roseland NJ | | | | | | | | |
1.50%, 07/20/2022 | | | 2,346 | | | | 2,346 | |
Camden County Improvement Authority | | | | | | | | |
5.00%, 01/15/2028 | | | 500 | | | | 551 | |
5.00%, 01/15/2029 | | | 1,000 | | | | 1,097 | |
5.00%, 01/15/2033 | | | 500 | | | | 542 | |
City of Newark NJ | | | | | | | | |
1.25%, 07/25/2022 | | | 1,400 | | | | 1,400 | |
1.25%, 10/03/2022 | | | 2,000 | | | | 2,000 | |
1.25%, 10/03/2022 | | | 2,000 | | | | 2,000 | |
5.00%, 10/01/2026 | | | 700 | | | | 762 | |
5.00%, 10/01/2027 | | | 750 | | | | 826 | |
Clifton Board Of Education | | | | | | | | |
2.13%, 08/15/2044 | | | 900 | | | | 599 | |
County of Hudson NJ | | | | | | | | |
3.00%, 11/15/2025 | | | 4,000 | | | | 4,071 | |
County of Union NJ | | | | | | | | |
3.00%, 03/01/2026 | | | 3,000 | | | | 3,060 | |
Essex County Improvement Authority | | | | | | | | |
4.00%, 08/01/2038 | | | 305 | | | | 301 | |
4.00%, 08/01/2039 | | | 320 | | | | 314 | |
4.00%, 08/01/2040 | | | 335 | | | | 326 | |
4.00%, 08/01/2041 | | | 350 | | | | 339 | |
| | | | | | | | |
Garden State Preservation Trust | | | | | | | | |
5.75%, 11/01/2028 | | | 2,000 | | | | 2,242 | |
Gloucester County Improvement Authority | | | | | | | | |
4.00%, 07/01/2039 | | | 750 | | | | 734 | |
4.00%, 07/01/2040 | | | 525 | | | | 509 | |
5.00%, 07/01/2037 | | | 1,130 | | | | 1,248 | |
Hudson County Improvement Authority | | | | | | | | |
4.00%, 01/01/2036 | | | 1,125 | | | | 1,148 | |
4.00%, 01/01/2037 | | | 855 | | | | 868 | |
5.00%, 10/01/2026 | | | 1,500 | | | | 1,658 | |
5.00%, 10/01/2027 | | | 1,000 | | | | 1,123 | |
New Brunswick Parking Authority | | | | | | | | |
5.00%, 09/01/2039 | | | 2,000 | | | | 2,127 | |
New Jersey Economic Development Authority | | | | | | | | |
1.20%, 11/01/2034(2) | | | 3,000 | | | | 2,969 | |
2.20%, 10/01/2039(2) | | | 1,400 | | | | 1,235 | |
3.13%, 07/01/2029 | | | 445 | | | | 422 | |
4.00%, 06/15/2023 | | | 1,200 | | | | 1,223 | |
4.00%, 06/15/2035 | | | 500 | | | | 499 | |
4.00%, 06/15/2037 | | | 600 | | | | 595 | |
4.00%, 06/15/2038 | | | 600 | | | | 591 | |
4.00%, 11/01/2038 | | | 825 | | | | 812 | |
4.00%, 11/01/2039 | | | 1,000 | | | | 978 | |
4.00%, 06/15/2040 | | | 1,000 | | | | 959 | |
4.00%, 11/01/2044 | | | 1,000 | | | | 931 | |
4.00%, 08/01/2059 | | | 355 | | | | 328 | |
5.00%, 01/01/2023 | | | 400 | | | | 404 | |
5.00%, 03/01/2023 | | | 4,160 | | | | 4,249 | |
5.00%, 03/01/2024 | | | 2,405 | | | | 2,419 | |
5.00%, 06/15/2024 | | | 2,000 | | | | 2,090 | |
5.00%, 06/15/2025 | | | 5,190 | | | | 5,469 | |
5.00%, 03/01/2026 | | | 2,000 | | | | 2,035 | |
5.00%, 06/01/2026 | | | 900 | | | | 986 | |
5.00%, 06/15/2026 | | | 470 | | | | 494 | |
5.00%, 06/15/2029 | | | 1,000 | | | | 1,093 | |
5.00%, 01/01/2030 | | | 500 | | | | 486 | |
5.00%, 06/15/2030 | | | 455 | | | | 481 | |
5.00%, 06/15/2030 | | | 4,000 | | | | 4,308 | |
5.00%, 11/01/2030 | | | 1,315 | | | | 1,429 | |
5.00%, 01/01/2031 | | | 500 | | | | 510 | |
5.00%, 11/01/2031 | | | 2,200 | | | | 2,376 | |
5.00%, 06/15/2032 | | | 370 | | | | 391 | |
5.00%, 06/15/2033 | | | 5,000 | | | | 5,352 | |
5.00%, 07/01/2033 | | | 2,875 | | | | 3,017 | |
5.00%, 06/15/2034 | | | 1,000 | | | | 1,065 | |
5.00%, 06/15/2035 | | | 1,595 | | | | 1,679 | |
5.00%, 10/01/2037 | | | 5,185 | | | | 5,361 | |
5.00%, 10/01/2039(3) | | | 355 | | | | 296 | |
5.00%, 01/01/2040(3) | | | 540 | | | | 432 | |
5.00%, 10/01/2047 | | | 8,450 | | | | 8,641 | |
5.00%, 01/01/2048 | | | 2,000 | | | | 1,791 | |
5.00%, 06/15/2054(3) | | | 3,250 | | | | 3,130 | |
5.00%, 08/01/2059 | | | 1,000 | | | | 1,066 | |
5.13%, 01/01/2034 | | | 705 | | | | 716 | |
5.13%, 06/15/2043 | | | 2,450 | | | | 2,452 | |
5.25%, 09/01/2024(3) | | | 35,925 | | | | 37,513 | |
5.25%, 09/01/2025(3) | | | 1,605 | | | | 1,700 | |
5.25%, 01/01/2044 | | | 190 | | | | 180 | |
5.50%, 01/01/2027 | | | 500 | | | | 515 | |
5.50%, 06/15/2030 | | | 2,000 | | | | 2,273 | |
5.63%, 11/15/2030 | | | 2,095 | | | | 2,127 | |
5.63%, 11/15/2030 | | | 2,230 | | | | 2,264 | |
5.63%, 01/01/2052 | | | 2,000 | | | | 2,034 | |
New Jersey Educational Facilities Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 930 | | | | 956 | |
5.00%, 07/01/2023 | | | 3,390 | | | | 3,488 | |
5.00%, 07/01/2029 | | | 1,500 | | | | 1,592 | |
5.00%, 07/01/2032 | | | 4,920 | | | | 5,158 | |
New Jersey Health Care Facilities Financing Authority | | | | | | | | |
4.00%, 07/01/2038 | | | 2,850 | | | | 2,820 | |
5.00%, 07/01/2022 | | | 540 | | | | 540 | |
5.00%, 07/01/2023 | | | 140 | | | | 144 | |
5.00%, 07/01/2023 | | | 530 | | | | 547 | |
5.00%, 07/01/2024 | | | 110 | | | | 116 | |
5.00%, 07/01/2024 | | | 1,470 | | | | 1,470 | |
5.00%, 07/01/2025 | | | 120 | | | | 129 | |
5.00%, 07/01/2026 | | | 40 | | | | 44 | |
5.00%, 07/01/2027 | | | 60 | | | | 66 | |
5.00%, 07/01/2028 | | | 155 | | | | 169 | |
5.00%, 07/01/2030 | | | 165 | | | | 180 | |
5.00%, 07/01/2033 | | | 500 | | | | 530 | |
5.00%, 07/01/2041 | | | 815 | | | | 827 | |
5.00%, 07/01/2042(2) | | | 2,755 | | | | 2,934 | |
5.00%, 07/01/2043(2) | | | 2,250 | | | | 2,366 | |
5.00%, 07/01/2045(2) | | | 3,705 | | | | 3,983 | |
5.00%, 07/01/2046 | | | 2,375 | | | | 2,426 | |
| | | | | | | | |
New Jersey Higher Education Student Assistance Authority | | | | | | | | |
5.00%, 12/01/2023 | | | 300 | | | | 311 | |
5.00%, 12/01/2023 | | | 460 | | | | 479 | |
5.00%, 12/01/2024 | | | 745 | | | | 791 | |
5.00%, 12/01/2024 | | | 1,000 | | | | 1,053 | |
5.00%, 12/01/2025 | | | 490 | | | | 529 | |
5.00%, 12/01/2025 | | | 535 | | | | 573 | |
5.00%, 12/01/2025 | | | 1,000 | | | | 1,071 | |
5.00%, 12/01/2025 | | | 2,600 | | | | 2,778 | |
5.00%, 12/01/2026 | | | 1,330 | | | | 1,438 | |
5.00%, 12/01/2026 | | | 1,550 | | | | 1,672 | |
5.00%, 12/01/2027 | | | 1,455 | | | | 1,588 | |
5.00%, 12/01/2027 | | | 1,470 | | | | 1,598 | |
5.00%, 12/01/2027 | | | 2,965 | | | | 3,216 | |
5.00%, 12/01/2030 | | | 4,805 | | | | 5,247 | |
5.00%, 12/01/2044 | | | 1,000 | | | | 1,013 | |
New Jersey Housing & Mortgage Finance Agency | | | | | | | | |
3.55%, 04/01/2027 | | | 1,735 | | | | 1,762 | |
3.65%, 04/01/2028 | | | 1,250 | | | | 1,270 | |
New Jersey Infrastructure Bank | | | | | | | | |
5.00%, 09/01/2025 | | | 1,665 | | | | 1,810 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
0.00%, 12/15/2026 | | | 2,600 | | | | 2,234 | |
0.00%, 12/15/2026 | | | 3,000 | | | | 2,593 | |
0.00%, 12/15/2027 | | | 3,260 | | | | 2,684 | |
0.00%, 12/15/2028 | | | 980 | | | | 770 | |
0.00%, 12/15/2028 | | | 1,020 | | | | 802 | |
0.00%, 12/15/2030 | | | 2,000 | | | | 1,427 | |
0.00%, 12/15/2030 | | | 2,000 | | | | 1,444 | |
0.00%, 12/15/2031 | | | 2,075 | | | | 1,426 | |
0.00%, 12/15/2031 | | | 3,275 | | | | 2,222 | |
4.00%, 06/15/2037 | | | 2,000 | | | | 1,982 | |
4.00%, 06/15/2039 | | | 2,250 | | | | 2,200 | |
4.00%, 06/15/2039 | | | 3,850 | | | | 3,765 | |
4.00%, 06/15/2040 | | | 1,820 | | | | 1,746 | |
4.00%, 06/15/2040 | | | 6,000 | | | | 5,755 | |
4.00%, 06/15/2040 | | | 6,550 | | | | 6,282 | |
4.00%, 06/15/2042 | | | 1,140 | | | | 1,075 | |
4.00%, 06/15/2046 | | | 1,585 | | | | 1,460 | |
4.00%, 06/15/2050 | | | 1,580 | | | | 1,439 | |
4.00%, 06/15/2050 | | | 4,030 | | | | 3,671 | |
5.00%, 06/15/2023 | | | 900 | | | | 925 | |
5.00%, 12/15/2023 | | | 2,720 | | | | 2,829 | |
5.00%, 06/15/2024 | | | 2,500 | | | | 2,566 | |
5.00%, 12/15/2024 | | | 1,335 | | | | 1,397 | |
5.00%, 06/15/2025 | | | 450 | | | | 461 | |
5.00%, 12/15/2025 | | | 1,255 | | | | 1,331 | |
5.00%, 12/15/2026 | | | 2,000 | | | | 2,147 | |
5.00%, 06/15/2027 | | | 505 | | | | 547 | |
5.00%, 12/15/2028 | | | 5,510 | | | | 6,003 | |
5.00%, 06/15/2029 | | | 1,200 | | | | 1,284 | |
5.00%, 12/15/2029 | | | 820 | | | | 899 | |
5.00%, 12/15/2030 | | | 2,000 | | | | 2,150 | |
5.00%, 06/15/2031 | | | 4,545 | | | | 4,826 | |
5.00%, 06/15/2032 | | | 235 | | | | 242 | |
5.00%, 06/15/2032 | | | 2,725 | | | | 2,910 | |
5.00%, 06/15/2032 | | | 7,440 | | | | 8,043 | |
5.00%, 12/15/2032 | | | 1,940 | | | | 2,069 | |
5.00%, 06/15/2033 | | | 4,210 | | | | 4,556 | |
5.00%, 12/15/2033 | | | 2,200 | | | | 2,335 | |
5.00%, 06/15/2034 | | | 4,040 | | | | 4,344 | |
5.00%, 06/15/2037 | | | 1,780 | | | | 1,895 | |
5.00%, 06/15/2037 | | | 2,980 | | | | 3,193 | |
5.00%, 06/15/2038 | | | 1,675 | | | | 1,790 | |
5.00%, 06/15/2040 | | | 2,040 | | | | 2,156 | |
5.00%, 06/15/2050 | | | 905 | | | | 939 | |
5.25%, 12/15/2022 | | | 1,760 | | | | 1,789 | |
5.25%, 12/15/2023 | | | 3,940 | | | | 4,111 | |
5.25%, 06/15/2043 | | | 3,000 | | | | 3,155 | |
5.50%, 12/15/2023 | | | 190 | | | | 199 | |
New Jersey Turnpike Authority | | | | | | | | |
4.00%, 01/01/2042 | | | 6,565 | | | | 6,558 | |
4.00%, 01/01/2051 | | | 725 | | | | 707 | |
5.00%, 01/01/2028 | | | 1,540 | | | | 1,678 | |
5.00%, 01/01/2033 | | | 5,000 | | | | 5,270 | |
5.00%, 01/01/2034 | | | 1,175 | | | | 1,237 | |
Newark Board of Education | | | | | | | | |
4.00%, 07/15/2037 | | | 2,075 | | | | 2,055 | |
5.00%, 07/15/2031 | | | 1,300 | | | | 1,496 | |
5.00%, 07/15/2033 | | | 1,600 | | | | 1,815 | |
Robbinsville Board of Education | | | | | | | | |
5.25%, 01/01/2023 | | | 1,594 | | | | 1,621 | |
Salem County Improvement Authority | | | | | | | | |
4.00%, 08/15/2042 | | | 400 | | | | 377 | |
State of New Jersey | | | | | | | | |
2.00%, 06/01/2023 | | | 5,595 | | | | 5,598 | |
4.00%, 06/01/2030 | | | 4,560 | | | | 4,820 | |
| | | | | | | | |
4.00%, 06/01/2031 | | | 700 | | | | 739 | |
4.00%, 06/01/2032 | | | 5,515 | | | | 5,803 | |
5.00%, 06/01/2025 | | | 2,635 | | | | 2,816 | |
5.00%, 06/01/2026 | | | 3,420 | | | | 3,715 | |
5.00%, 06/01/2027 | | | 5,000 | | | | 5,513 | |
5.00%, 06/01/2029 | | | 13,235 | | | | 14,875 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.08%, 12/15/2034(2)(3) | | | 1,600 | | | | 1,600 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
5.00%, 06/01/2023 | | | 570 | | | | 582 | |
5.00%, 06/01/2046 | | | 9,000 | | | | 9,000 | |
Township of Livingston NJ | | | | | | | | |
1.50%, 12/14/2022 | | | 5,565 | | | | 5,559 | |
Township of Montclair NJ | | | | | | | | |
4.00%, 03/01/2023 | | | 800 | | | | 813 | |
| | | | | | | | |
Total New Jersey | | | | 416,010 | |
| | | | | | | | |
New Mexico – 0.25% | | | | | | | | |
Albuquerque Bernalillo County Water Utility Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 2,400 | | | | 2,643 | |
5.00%, 07/01/2028 | | | 1,700 | | | | 1,863 | |
Albuquerque Municipal School District No 12 | | | | | | | | |
5.00%, 08/01/2025 | | | 800 | | | | 867 | |
Farmington Municipal School District No 5 | | | | | | | | |
5.00%, 09/01/2024 | | | 490 | | | | 520 | |
New Mexico Educational Assistance Foundation | | | | | | | | |
5.00%, 09/01/2024 | | | 4,750 | | | | 5,001 | |
5.00%, 09/01/2026 | | | 1,530 | | | | 1,661 | |
5.00%, 09/01/2027 | | | 2,130 | | | | 2,338 | |
5.00%, 09/01/2029 | | | 1,000 | | | | 1,109 | |
New Mexico Hospital Equipment Loan Council | | | | | | | | |
5.00%, 08/01/2049(2) | | | 2,360 | | | | 2,540 | |
New Mexico Mortgage Finance Authority | | | | | | | | |
3.75%, 01/01/2050 | | | 580 | | | | 584 | |
New Mexico Municipal Energy Acquisition Authority | | | | | | | | |
5.00%, 11/01/2039(2) | | | 7,140 | | | | 7,524 | |
| | | | | | | | |
Total New Mexico | | | | 26,650 | |
| | | | | | | | |
New York – 10.34% | | | | | | | | |
Broome County Local Development Corp. | | | | | | | | |
4.00%, 04/01/2034 | | | 1,000 | | | | 1,009 | |
Buffalo Sewer Authority | | | | | | | | |
4.00%, 06/15/2034 | | | 175 | | | | 178 | |
4.00%, 06/15/2036 | | | 265 | | | | 266 | |
5.00%, 06/15/2030 | | | 150 | | | | 170 | |
5.00%, 06/15/2032 | | | 150 | | | | 169 | |
Build NYC Resource Corp. | | | | | | | | |
4.88%, 05/01/2031(3) | | | 750 | | | | 773 | |
5.00%, 08/01/2022 | | | 200 | | | | 201 | |
5.00%, 08/01/2023 | | | 515 | | | | 532 | |
5.00%, 01/01/2035(3) | | | 3,900 | | | | 3,965 | |
5.00%, 12/01/2041(3) | | | 1,250 | | | | 1,245 | |
5.00%, 06/15/2051(3) | | | 3,000 | | | | 2,977 | |
5.00%, 12/01/2055(3) | | | 430 | | | | 413 | |
5.50%, 05/01/2048(3) | | | 1,350 | | | | 1,385 | |
City of Long Beach NY | | | | | | | | |
5.00%, 09/01/2028 | | | 2,000 | | | | 2,148 | |
5.00%, 09/01/2029 | | | 2,800 | | | | 3,042 | |
City of New York NY | | | | | | | | |
4.00%, 10/01/2035 | | | 905 | | | | 906 | |
4.00%, 08/01/2037 | | | 3,960 | | | | 3,944 | |
4.00%, 03/01/2040 | | | 2,650 | | | | 2,624 | |
4.00%, 08/01/2040 | | | 4,000 | | | | 3,960 | |
4.00%, 12/01/2041 | | | 500 | | | | 493 | |
5.00%, 03/01/2023 | | | 505 | | | | 516 | |
5.00%, 08/01/2025 | | | 1,600 | | | | 1,736 | |
5.00%, 08/01/2026 | | | 2,575 | | | | 2,850 | |
5.00%, 08/01/2027 | | | 400 | | | | 427 | |
5.00%, 08/01/2027 | | | 2,975 | | | | 3,205 | |
5.00%, 08/01/2028 | | | 400 | | | | 432 | |
5.00%, 08/01/2028 | | | 700 | | | | 762 | |
5.00%, 08/01/2028 | | | 3,975 | | | | 4,282 | |
5.00%, 08/01/2029 | | | 1,305 | | | | 1,459 | |
5.00%, 08/01/2029 | | | 1,500 | | | | 1,677 | |
5.00%, 08/01/2031 | | | 1,000 | | | | 1,102 | |
5.00%, 08/01/2032 | | | 1,745 | | | | 1,917 | |
5.00%, 11/01/2032 | | | 2,200 | | | | 2,489 | |
5.00%, 08/01/2034 | | | 1,690 | | | | 1,879 | |
5.00%, 05/01/2035 | | | 585 | | | | 656 | |
5.00%, 12/01/2037 | | | 5,000 | | | | 5,358 | |
5.00%, 03/01/2038 | | | 2,250 | | | | 2,459 | |
5.00%, 08/01/2047 | | | 6,100 | | | | 6,633 | |
5.00%, 03/01/2050 | | | 575 | | | | 622 | |
5.50%, 05/01/2044 | | | 900 | | | | 1,031 | |
City of Yonkers NY | | | | | | | | |
5.00%, 10/15/2022 | | | 200 | | | | 202 | |
5.00%, 09/01/2023 | | | 1,000 | | | | 1,035 | |
5.00%, 10/15/2024 | | | 500 | | | | 530 | |
5.00%, 09/01/2025 | | | 720 | | | | 775 | |
5.00%, 09/01/2025 | | | 1,015 | | | | 1,093 | |
| | | | | | | | |
County of Erie NY | | | | | | | | |
5.00%, 06/01/2025 | | | 1,000 | | | | 1,080 | |
County of Nassau NY | | | | | | | | |
5.00%, 10/01/2024 | | | 3,000 | | | | 3,181 | |
County of Suffolk NY | | | | | | | | |
4.00%, 02/01/2028 | | | 1,865 | | | | 1,968 | |
5.00%, 06/15/2024 | | | 665 | | | | 701 | |
5.00%, 06/15/2025 | | | 710 | | | | 763 | |
5.00%, 10/01/2025 | | | 810 | | | | 875 | |
5.00%, 10/01/2026 | | | 415 | | | | 456 | |
5.00%, 10/01/2028 | | | 680 | | | | 762 | |
5.00%, 06/15/2029 | | | 985 | | | | 1,109 | |
Erie County Fiscal Stability Authority | | | | | | | | |
5.00%, 09/01/2033 | | | 525 | | | | 580 | |
Genesee County Funding Corp. | | | | | | | | |
5.00%, 12/01/2031 | | | 375 | | | | 402 | |
5.00%, 12/01/2032 | | | 460 | | | | 491 | |
5.00%, 12/01/2033 | | | 750 | | | | 789 | |
5.00%, 12/01/2034 | | | 700 | | | | 735 | |
5.00%, 12/01/2035 | | | 540 | | | | 565 | |
Glen Cove Local Economic Assistance Corp. | | | | | | | | |
0.00%, 01/01/2045 | | | 3,550 | | | | 890 | |
0.00%, 01/01/2055 | | | 710 | | | | 601 | |
5.00%, 01/01/2056 | | | 1,485 | | | | 1,308 | |
Hempstead Town Local Development Corp. | | | | | | | | |
4.00%, 07/01/2039 | | | 575 | | | | 555 | |
4.00%, 07/01/2041 | | | 620 | | | | 593 | |
5.00%, 07/01/2023 | | | 1,160 | | | | 1,193 | |
5.53%, 02/01/2040 | | | 3,500 | | | | 3,523 | |
5.89%, 02/01/2032 | | | 1,250 | | | | 1,296 | |
6.24%, 02/01/2047 | | | 1,000 | | | | 1,041 | |
6.47%, 02/01/2033 | | | 1,000 | | | | 1,071 | |
Hempstead Union Free School District | | | | | | | | |
1.00%, 07/13/2022 | | | 2,875 | | | | 2,875 | |
Hudson Yards Infrastructure Corp. | | | | | | | | |
4.00%, 02/15/2038 | | | 8,720 | | | | 8,570 | |
4.00%, 02/15/2039 | | | 1,450 | | | | 1,421 | |
4.00%, 02/15/2044 | | | 2,320 | | | | 2,236 | |
4.00%, 02/15/2047 | | | 18,780 | | | | 17,905 | |
5.00%, 02/15/2032 | | | 12,325 | | | | 13,474 | |
5.00%, 02/15/2035 | | | 1,700 | | | | 1,843 | |
5.00%, 02/15/2037 | | | 1,335 | | | | 1,442 | |
Long Island Power Authority | | | | | | | | |
0.85%, 09/01/2050(2) | | | 16,125 | | | | 15,164 | |
1.00%, 09/01/2025 | | | 9,250 | | | | 8,674 | |
1.50%, 09/01/2051(2) | | | 4,310 | | | | 4,082 | |
1.65%, 09/01/2049(2) | | | 4,395 | | | | 4,315 | |
5.00%, 09/01/2023 | | | 550 | | | | 571 | |
5.00%, 09/01/2024 | | | 565 | | | | 599 | |
5.00%, 09/01/2025 | | | 1,000 | | | | 1,082 | |
5.00%, 09/01/2026 | | | 2,000 | | | | 2,200 | |
5.00%, 09/01/2027 | | | 6,500 | | | | 7,251 | |
5.00%, 09/01/2039 | | | 1,725 | | | | 1,889 | |
Metropolitan Transportation Authority | | | | | | | | |
0.00%, 11/15/2033 | | | 1,600 | | | | 1,018 | |
4.00%, 11/15/2039 | | | 540 | | | | 533 | |
4.00%, 11/15/2045 | | | 3,375 | | | | 3,029 | |
4.00%, 11/15/2046 | | | 2,545 | | | | 2,271 | |
4.00%, 11/15/2047 | | | 2,000 | | | | 1,777 | |
5.00%, 11/15/2022 | | | 200 | | | | 202 | |
5.00%, 11/15/2022 | | | 3,830 | | | | 3,874 | |
5.00%, 02/01/2023 | | | 4,915 | | | | 4,999 | |
5.00%, 11/15/2024 | | | 1,500 | | | | 1,596 | |
5.00%, 11/15/2024 | | | 1,885 | | | | 1,953 | |
5.00%, 11/15/2025 | | | 1,155 | | | | 1,226 | |
5.00%, 11/15/2026 | | | 1,600 | | | | 1,713 | |
5.00%, 11/15/2026 | | | 2,350 | | | | 2,517 | |
5.00%, 11/15/2028 | | | 2,970 | | | | 3,193 | |
5.00%, 11/15/2028 | | | 4,000 | | | | 4,320 | |
5.00%, 11/15/2029 | | | 745 | | | | 779 | |
5.00%, 11/15/2029 | | | 2,220 | | | | 2,332 | |
5.00%, 11/15/2030 | | | 730 | | | | 773 | |
5.00%, 11/15/2031 | | | 1,055 | | | | 1,110 | |
5.00%, 11/15/2033 | | | 1,025 | | | | 1,061 | |
5.00%, 11/15/2033 | | | 1,715 | | | | 1,799 | |
5.00%, 11/15/2033 | | | 3,645 | | | | 3,823 | |
5.00%, 11/15/2034 | | | 4,000 | | | | 4,186 | |
5.00%, 11/15/2035 | | | 1,750 | | | | 1,803 | |
5.00%, 11/15/2036 | | | 1,865 | | | | 1,965 | |
5.00%, 11/15/2039 | | | 2,000 | | | | 2,042 | |
5.25%, 11/15/2036 | | | 5,000 | | | | 5,341 | |
Monroe County Industrial Development Corp. | | | | | | | | |
5.00%, 07/01/2025 | | | 885 | | | | 949 | |
5.00%, 12/01/2032 | | | 1,000 | | | | 1,065 | |
5.00%, 12/01/2033 | | | 1,000 | | | | 1,062 | |
5.00%, 12/01/2034 | | | 1,100 | | | | 1,162 | |
5.00%, 01/01/2050 | | | 490 | | | | 415 | |
| | | | | | | | |
MTA Hudson Rail Yards Trust Obligations | | | | | | | | |
5.00%, 11/15/2051 | | | 1,500 | | | | 1,502 | |
5.00%, 11/15/2056 | | | 4,380 | | | | 4,501 | |
Nassau County Industrial Development Agency | | | | | | | | |
5.00%, 01/01/2058(2) | | | 1,334 | | | | 930 | |
9.00%, 01/01/2041(3) | | | 515 | | | | 451 | |
New York City Educational Construction Fund | | | | | | | | |
5.00%, 04/01/2052 | | | 3,070 | | | | 3,304 | |
New York City Health & Hospitals Corp. | | | | | | | | |
4.00%, 02/15/2025 | | | 1,060 | | | | 1,106 | |
New York City Housing Development Corp. | | | | | | | | |
0.60%, 05/01/2061(2) | | | 7,775 | | | | 7,176 | |
0.70%, 11/01/2060(2) | | | 7,205 | | | | 6,719 | |
0.70%, 11/01/2060(2) | | | 20,320 | | | | 18,982 | |
0.90%, 11/01/2060(2) | | | 24,505 | | | | 22,709 | |
1.13%, 05/01/2060(2) | | | 7,500 | | | | 7,213 | |
2.75%, 05/01/2050(2) | | | 6,500 | | | | 6,508 | |
5.00%, 05/01/2026 | | | 110 | | | | 119 | |
5.00%, 05/01/2027 | | | 600 | | | | 656 | |
5.00%, 11/01/2027 | | | 855 | | | | 936 | |
5.00%, 05/01/2028 | | | 875 | | | | 959 | |
5.00%, 11/01/2028 | | | 600 | | | | 656 | |
5.00%, 05/01/2029 | | | 300 | | | | 329 | |
5.00%, 11/01/2029 | | | 875 | | | | 963 | |
5.00%, 11/01/2030 | | | 500 | | | | 553 | |
New York City Industrial Development Agency | | | | | | | | |
4.00%, 03/01/2045 | | | 3,500 | | | | 3,301 | |
5.00%, 01/01/2024 | | | 2,250 | | | | 2,340 | |
5.00%, 01/01/2028 | | | 1,250 | | | | 1,372 | |
5.00%, 03/01/2028 | | | 850 | | | | 929 | |
5.00%, 01/01/2029 | | | 1,500 | | | | 1,655 | |
New York City Municipal Water Finance Authority | | | | | | | | |
4.00%, 06/15/2039 | | | 1,500 | | | | 1,497 | |
4.00%, 06/15/2039 | | | 5,000 | | | | 4,989 | |
4.00%, 06/15/2040 | | | 5,200 | | | | 5,174 | |
5.00%, 06/15/2031 | | | 6,075 | | | | 6,526 | |
5.00%, 06/15/2032 | | | 4,000 | | | | 4,648 | |
5.00%, 06/15/2034 | | | 6,000 | | | | 6,932 | |
5.00%, 06/15/2035 | | | 9,025 | | | | 9,664 | |
5.00%, 06/15/2036 | | | 5,000 | | | | 5,345 | |
5.00%, 06/15/2037 | | | 6,000 | | | | 6,359 | |
5.00%, 06/15/2039 | | | 8,320 | | | | 8,799 | |
5.00%, 06/15/2040 | | | 2,115 | | | | 2,298 | |
5.00%, 06/15/2046 | | | 9,785 | | | | 9,912 | |
5.00%, 06/15/2048 | | | 3,375 | | | | 3,690 | |
New York City Transitional Finance Authority Building Aid Revenue | | | | | | | | |
4.00%, 07/15/2040 | | | 1,060 | | | | 1,031 | |
5.00%, 07/15/2025 | | | 1,695 | | | | 1,833 | |
5.00%, 07/15/2026 | | | 1,995 | | | | 2,199 | |
5.00%, 07/15/2027 | | | 1,940 | | | | 2,175 | |
5.00%, 07/15/2032 | | | 2,000 | | | | 2,190 | |
5.00%, 07/15/2037 | | | 5,340 | | | | 5,666 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
4.00%, 05/01/2036 | | | 2,000 | | | | 2,013 | |
4.00%, 02/01/2038 | | | 9,675 | | | | 9,663 | |
4.00%, 08/01/2038 | | | 500 | | | | 499 | |
4.00%, 11/01/2038 | | | 4,000 | | | | 3,995 | |
4.00%, 05/01/2039 | | | 5,000 | | | | 4,989 | |
4.00%, 08/01/2039 | | | 3,215 | | | | 3,208 | |
4.00%, 02/01/2040 | | | 26,755 | | | | 26,591 | |
4.00%, 02/01/2043 | | | 1,600 | | | | 1,569 | |
5.00%, 11/01/2023 | | | 2,165 | | | | 2,258 | |
5.00%, 11/01/2024 | | | 4,215 | | | | 4,497 | |
5.00%, 11/01/2025 | | | 5,355 | | | | 5,823 | |
5.00%, 11/01/2028 | | | 1,500 | | | | 1,615 | |
5.00%, 11/01/2029 | | | 2,000 | | | | 2,128 | |
5.00%, 02/01/2030 | | | 4,480 | | | | 4,839 | |
5.00%, 02/01/2031 | | | 2,720 | | | | 2,764 | |
5.00%, 11/01/2032 | | | 6,750 | | | | 7,696 | |
5.00%, 05/01/2033 | | | 2,535 | | | | 2,776 | |
5.00%, 08/01/2034 | | | 700 | | | | 765 | |
5.00%, 11/01/2034 | | | 2,300 | | | | 2,607 | |
5.00%, 08/01/2035 | | | 1,600 | | | | 1,742 | |
5.00%, 11/01/2036 | | | 7,000 | | | | 7,798 | |
5.00%, 08/01/2038 | | | 1,975 | | | | 2,139 | |
5.00%, 02/01/2039 | | | 10,000 | | | | 11,066 | |
5.00%, 02/01/2041 | | | 200 | | | | 207 | |
5.00%, 02/01/2043 | | | 4,250 | | | | 4,504 | |
5.00%, 02/01/2047 | | | 3,375 | | | | 3,678 | |
New York Convention Center Development Corp. | | | | | | | | |
5.00%, 11/15/2033 | | | 3,000 | | | | 3,170 | |
5.00%, 11/15/2040 | | | 1,085 | | | | 1,134 | |
New York Liberty Development Corp. | | | | | | | | |
2.63%, 09/15/2069 | | | 400 | | | | 360 | |
2.75%, 11/15/2041 | | | 14,370 | | | | 11,186 | |
2.80%, 09/15/2069 | | | 1,025 | | | | 926 | |
| | | | | | | | |
4.00%, 02/15/2043 | | | 3,550 | | | | 3,414 | |
5.00%, 11/15/2044(3) | | | 1,300 | | | | 1,264 | |
5.25%, 10/01/2035 | | | 2,285 | | | | 2,565 | |
5.38%, 11/15/2040(3) | | | 6,200 | | | | 6,251 | |
New York Power Authority | | | | | | | | |
4.00%, 11/15/2038 | | | 3,500 | | | | 3,502 | |
New York State Bridge Authority | | | | | | | | |
5.00%, 01/01/2035 | | | 565 | | | | 638 | |
5.00%, 01/01/2036 | | | 475 | | | | 535 | |
5.00%, 01/01/2037 | | | 535 | | | | 599 | |
New York State Dormitory Authority | | | | | | | | |
3.00%, 03/15/2041 | | | 3,860 | | | | 3,247 | |
4.00%, 03/15/2032 | | | 17,500 | | | | 17,843 | |
4.00%, 02/15/2037 | | | 5,000 | | | | 4,969 | |
4.00%, 03/15/2037 | | | 3,785 | | | | 3,761 | |
4.00%, 03/15/2039 | | | 1,285 | | | | 1,265 | |
4.00%, 03/15/2039 | | | 3,825 | | | | 3,766 | |
4.00%, 03/15/2039 | | | 8,700 | | | | 8,566 | |
4.00%, 03/15/2040 | | | 8,000 | | | | 7,851 | |
5.00%, 12/01/2022(3) | | | 900 | | | | 911 | |
5.00%, 07/01/2023 | | | 5 | | | | 5 | |
5.00%, 07/01/2023 | | | 245 | | | | 253 | |
5.00%, 07/01/2023 | | | 1,000 | | | | 1,032 | |
5.00%, 03/15/2024 | | | 3,700 | | | | 3,891 | |
5.00%, 05/01/2024 | | | 4,870 | | | | 5,116 | |
5.00%, 07/01/2024 | | | 5 | | | | 5 | |
5.00%, 07/01/2024 | | | 345 | | | | 365 | |
5.00%, 03/15/2025 | | | 500 | | | | 538 | |
5.00%, 07/01/2025 | | | 5 | | | | 5 | |
5.00%, 07/01/2025 | | | 255 | | | | 276 | |
5.00%, 12/01/2026(3) | | | 300 | | | | 316 | |
5.00%, 12/01/2026(3) | | | 1,500 | | | | 1,623 | |
5.00%, 03/15/2027 | | | 2,500 | | | | 2,675 | |
5.00%, 07/01/2027 | | | 200 | | | | 214 | |
5.00%, 12/01/2027(3) | | | 500 | | | | 523 | |
5.00%, 07/01/2028 | | | 110 | | | | 118 | |
5.00%, 10/01/2028 | | | 1,735 | | | | 1,955 | |
5.00%, 12/01/2028(3) | | | 600 | | | | 624 | |
5.00%, 03/15/2029 | | | 3,700 | | | | 3,875 | |
5.00%, 10/01/2029 | | | 1,430 | | | | 1,605 | |
5.00%, 12/01/2029(3) | | | 450 | | | | 467 | |
5.00%, 07/01/2030 | | | 150 | | | | 162 | |
5.00%, 10/01/2030 | | | 1,910 | | | | 2,134 | |
5.00%, 12/01/2030(3) | | | 1,000 | | | | 1,034 | |
5.00%, 03/15/2031 | | | 6,090 | | | | 6,971 | |
5.00%, 12/01/2033(3) | | | 700 | | | | 729 | |
5.00%, 07/01/2034 | | | 410 | | | | 426 | |
5.00%, 03/15/2036 | | | 3,500 | | | | 3,963 | |
5.00%, 03/15/2036 | | | 10,000 | | | | 11,206 | |
5.00%, 07/01/2036 | | | 735 | | | | 759 | |
5.00%, 07/15/2037 | | | 700 | | | | 716 | |
5.00%, 03/15/2046 | | | 1,775 | | | | 1,953 | |
5.00%, 05/01/2048(2) | | | 1,040 | | | | 1,112 | |
5.00%, 05/01/2048(2) | | | 5,695 | | | | 5,886 | |
5.25%, 03/15/2033 | | | 6,000 | | | | 6,419 | |
5.25%, 03/15/2038 | | | 1,930 | | | | 2,154 | |
New York State Environmental Facilities Corp. | | | | | | | | |
5.00%, 05/15/2026 | | | 335 | | | | 344 | |
New York State Housing Finance Agency | | | | | | | | |
0.55%, 11/01/2024 | | | 4,015 | | | | 3,819 | |
0.65%, 11/01/2056(2) | | | 7,645 | | | | 7,066 | |
0.75%, 05/01/2025 | | | 10,450 | | | | 9,882 | |
0.75%, 11/01/2025 | | | 2,785 | | | | 2,604 | |
0.75%, 11/01/2025 | | | 4,870 | | | | 4,531 | |
1.00%, 11/01/2061(2) | | | 1,815 | | | | 1,657 | |
1.10%, 11/01/2061(2) | | | 13,130 | | | | 11,822 | |
2.50%, 11/01/2060(2) | | | 9,700 | | | | 9,355 | |
New York State Thruway Authority | | | | | | | | |
4.00%, 01/01/2039 | | | 4,470 | | | | 4,381 | |
4.00%, 01/01/2040 | | | 5,000 | | | | 4,896 | |
4.00%, 03/15/2043 | | | 9,000 | | | | 8,823 | |
5.00%, 01/01/2032 | | | 3,610 | | | | 3,816 | |
5.00%, 01/01/2034 | | | 2,500 | | | | 2,733 | |
New York State Urban Development Corp. | | | | | | | | |
3.00%, 03/15/2048 | | | 1,000 | | | | 803 | |
4.00%, 03/15/2038 | | | 8,675 | | | | 8,555 | |
4.00%, 03/15/2039 | | | 9,995 | | | | 9,817 | |
4.00%, 03/15/2039 | | | 10,000 | | | | 9,893 | |
4.00%, 03/15/2042 | | | 1,500 | | | | 1,464 | |
4.00%, 03/15/2045 | | | 790 | | | | 764 | |
5.00%, 03/15/2023 | | | 700 | | | | 717 | |
5.00%, 03/15/2024 | | | 400 | | | | 421 | |
5.00%, 03/15/2035 | | | 2,800 | | | | 2,927 | |
5.00%, 03/15/2035 | | | 3,000 | | | | 3,336 | |
5.00%, 03/15/2036 | | | 2,090 | | | | 2,312 | |
5.00%, 03/15/2037 | | | 6,690 | | | | 7,311 | |
5.00%, 03/15/2047 | | | 12,160 | | | | 13,118 | |
| | | | | | | | |
New York Transportation Development Corp. | | | | | | | | |
2.25%, 08/01/2026 | | | 1,175 | | | | 1,100 | |
4.00%, 10/01/2030 | | | 3,860 | | | | 3,746 | |
4.00%, 12/01/2039 | | | 450 | | | | 427 | |
4.00%, 12/01/2040 | | | 500 | | | | 471 | |
4.00%, 12/01/2041 | | | 450 | | | | 422 | |
4.00%, 12/01/2042 | | | 500 | | | | 454 | |
4.00%, 12/01/2042 | | | 500 | | | | 464 | |
5.00%, 01/01/2023 | | | 270 | | | | 273 | |
5.00%, 08/01/2026 | | | 1,000 | | | | 994 | |
5.00%, 12/01/2028 | | | 400 | | | | 424 | |
5.00%, 12/01/2028 | | | 1,300 | | | | 1,384 | |
5.00%, 12/01/2029 | | | 300 | | | | 322 | |
5.00%, 12/01/2030 | | | 250 | | | | 268 | |
5.00%, 01/01/2031 | | | 1,015 | | | | 1,036 | |
5.00%, 08/01/2031 | | | 5,105 | | | | 5,072 | |
5.00%, 12/01/2031 | | | 300 | | | | 323 | |
5.00%, 12/01/2032 | | | 1,775 | | | | 1,879 | |
5.00%, 12/01/2032 | | | 2,355 | | | | 2,481 | |
5.00%, 01/01/2033 | | | 5,500 | | | | 5,582 | |
5.00%, 12/01/2033 | | | 400 | | | | 421 | |
5.00%, 12/01/2033 | | | 700 | | | | 732 | |
5.00%, 12/01/2033 | | | 3,650 | | | | 3,841 | |
5.00%, 12/01/2034 | | | 400 | | | | 417 | |
5.00%, 12/01/2034 | | | 500 | | | | 528 | |
5.00%, 12/01/2034 | | | 3,990 | | | | 4,140 | |
5.00%, 10/01/2035 | | | 9,000 | | | | 9,102 | |
5.00%, 12/01/2035 | | | 500 | | | | 527 | |
5.00%, 12/01/2035 | | | 800 | | | | 833 | |
5.00%, 12/01/2035 | | | 1,995 | | | | 2,089 | |
5.00%, 01/01/2036 | | | 1,330 | | | | 1,343 | |
5.00%, 12/01/2036 | | | 550 | | | | 578 | |
5.00%, 12/01/2036 | | | 1,360 | | | | 1,414 | |
5.00%, 12/01/2037 | | | 500 | | | | 519 | |
5.00%, 12/01/2037 | | | 600 | | | | 629 | |
5.00%, 12/01/2037 | | | 3,965 | | | | 4,136 | |
5.00%, 12/01/2038 | | | 500 | | | | 524 | |
5.00%, 12/01/2038 | | | 2,420 | | | | 2,521 | |
5.00%, 12/01/2039 | | | 715 | | | | 743 | |
5.00%, 10/01/2040 | | | 2,200 | | | | 2,213 | |
5.00%, 12/01/2040 | | | 450 | | | | 466 | |
5.00%, 07/01/2041 | | | 2,300 | | | | 2,355 | |
5.00%, 12/01/2041 | | | 450 | | | | 465 | |
5.00%, 12/01/2042 | | | 450 | | | | 465 | |
5.25%, 08/01/2031 | | | 470 | | | | 489 | |
5.38%, 08/01/2036 | | | 800 | | | | 851 | |
Niagara Area Development Corp. | | | | | | | | |
5.00%, 07/01/2052 | | | 1,000 | | | | 933 | |
Oneida County Local Development Corp. | | | | | | | | |
5.00%, 12/01/2025 | | | 320 | | | | 331 | |
5.00%, 12/01/2027 | | | 1,425 | | | | 1,470 | |
5.00%, 12/01/2028 | | | 1,000 | | | | 1,030 | |
5.00%, 12/01/2035 | | | 1,160 | | | | 1,259 | |
Onondaga Civic Development Corp. | | | | | | | | |
5.00%, 12/01/2033 | | | 1,000 | | | | 1,113 | |
Port Authority of New York & New Jersey | | | | | | | | |
4.00%, 07/15/2034 | | | 2,000 | | | | 1,989 | |
4.00%, 07/15/2037 | | | 2,500 | | | | 2,424 | |
5.00%, 09/15/2024 | | | 5,115 | | | | 5,395 | |
5.00%, 09/15/2026 | | | 1,000 | | | | 1,090 | |
5.00%, 10/15/2028 | | | 4,000 | | | | 4,231 | |
5.00%, 09/15/2029 | | | 1,500 | | | | 1,628 | |
5.00%, 10/15/2029 | | | 1,000 | | | | 1,082 | |
5.00%, 09/15/2032 | | | 1,500 | | | | 1,609 | |
5.00%, 11/01/2032 | | | 4,000 | | | | 4,418 | |
5.00%, 07/15/2033 | | | 2,500 | | | | 2,758 | |
5.00%, 10/15/2033 | | | 3,500 | | | | 3,606 | |
5.00%, 10/15/2033 | | | 6,000 | | | | 6,394 | |
5.00%, 12/01/2033 | | | 5,070 | | | | 5,175 | |
5.00%, 08/01/2034 | | | 7,415 | | | | 8,232 | |
5.00%, 10/15/2037 | | | 4,665 | | | | 4,793 | |
5.50%, 08/01/2041 | | | 11,255 | | | | 12,628 | |
State of New York Mortgage Agency | | | | | | | | |
2.20%, 10/01/2029 | | | 1,000 | | | | 922 | |
3.25%, 10/01/2051 | | | 9,220 | | | | 9,001 | |
5.00%, 10/01/2023 | | | 920 | | | | 947 | |
Suffolk County Economic Development Corp. | | | | | | | | |
5.38%, 11/01/2054(3) | | | 2,210 | | | | 1,873 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 01/01/2044(2)(3) | | | 3,700 | | | | 3,700 | |
1.08%, 05/01/2030(2)(3) | | | 8,100 | | | | 8,100 | |
1.08%, 01/01/2053(2)(3) | | | 5,400 | | | | 5,400 | |
1.09%, 05/15/2028(2)(3) | | | 700 | | | | 700 | |
1.09%, 05/15/2028(2)(3) | | | 10,100 | | | | 10,100 | |
Tompkins County Development Corp. | | | | | | | | |
5.00%, 07/01/2044 | | | 115 | | | | 117 | |
Town of Hempstead NY | | | | | | | | |
4.00%, 06/15/2028 | | | 3,665 | | | | 3,873 | |
| | | | | | | | |
Town of Oyster Bay NY | | | | | | | | |
4.00%, 03/01/2023 | | | 875 | | | | 888 | |
Triborough Bridge & Tunnel Authority | | | | | | | | |
2.00%, 05/15/2045(2) | | | 2,425 | | | | 2,305 | |
2.00%, 05/15/2045(2) | | | 6,375 | | | | 6,209 | |
4.00%, 05/15/2040 | | | 1,250 | | | | 1,234 | |
4.00%, 05/15/2042 | | | 2,840 | | | | 2,787 | |
5.00%, 11/15/2030 | | | 4,000 | | | | 4,671 | |
5.00%, 11/15/2033 | | | 8,000 | | | | 9,076 | |
5.00%, 05/15/2037 | | | 2,200 | | | | 2,462 | |
5.00%, 05/15/2038 | | | 3,000 | | | | 3,344 | |
5.00%, 05/15/2039 | | | 11,650 | | | | 12,938 | |
5.00%, 11/15/2042 | | | 1,910 | | | | 2,079 | |
5.00%, 05/15/2051 | | | 3,100 | | | | 3,364 | |
TSASC, Inc. | | | | | | | | |
5.00%, 06/01/2028 | | | 2,025 | | | | 2,137 | |
Utility Debt Securitization Authority | | | | | | | | |
5.00%, 12/15/2032 | | | 640 | | | | 667 | |
5.00%, 12/15/2041 | | | 5,000 | | | | 5,487 | |
Westchester County Local Development Corp. | | | | | | | | |
2.88%, 07/01/2026(3) | | | 1,500 | | | | 1,401 | |
5.00%, 01/01/2037 | | | 525 | | | | 534 | |
5.00%, 01/01/2041 | | | 500 | | | | 505 | |
5.50%, 05/01/2042 | | | 150 | | | | 153 | |
| | | | | | | | |
Total New York | | | | 1,117,781 | |
| | | | | | | | |
North Carolina – 1.14% | | | | | | | | |
Charlotte-Mecklenburg Hospital Authority | | | | | | | | |
5.00%, 01/15/2050(2) | | | 8,500 | | | | 9,470 | |
City of Charlotte NC Airport Special Facilities Revenue | | | | | | | | |
4.00%, 07/01/2038 | | | 1,525 | | | | 1,500 | |
4.00%, 07/01/2039 | | | 1,670 | | | | 1,640 | |
4.00%, 07/01/2040 | | | 2,030 | | | | 1,984 | |
4.00%, 07/01/2041 | | | 1,500 | | | | 1,460 | |
County of New Hanover NC | | | | | | | | |
5.00%, 10/01/2027 | | | 100 | | | | 112 | |
5.00%, 10/01/2034 | | | 1,000 | | | | 1,125 | |
5.00%, 10/01/2047 | | | 840 | | | | 945 | |
Greater Asheville Regional Airport Authority | | | | | | | | |
5.00%, 07/01/2035 | | | 1,750 | | | | 1,896 | |
5.00%, 07/01/2036 | | | 1,505 | | | | 1,627 | |
5.00%, 07/01/2037 | | | 1,780 | | | | 1,920 | |
5.25%, 07/01/2038 | | | 1,200 | | | | 1,315 | |
5.25%, 07/01/2042 | | | 1,100 | | | | 1,195 | |
5.50%, 07/01/2047 | | | 3,135 | | | | 3,436 | |
Mecklenburg County Public Facilities Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 2,160 | | | | 2,204 | |
North Carolina Capital Facilities Finance Agency | | | | | | | | |
1.75%, 07/01/2034(2) | | | 9,500 | | | | 9,499 | |
4.00%, 05/01/2023 | | | 265 | | | | 270 | |
4.00%, 05/01/2024 | | | 190 | | | | 196 | |
5.00%, 05/01/2031 | | | 1,000 | | | | 1,121 | |
North Carolina Housing Finance Agency | | | | | | | | |
3.75%, 07/01/2052 | | | 3,600 | | | | 3,612 | |
North Carolina Medical Care Commission | | | | | | | | |
2.20%, 12/01/2048(2) | | | 2,285 | | | | 2,286 | |
2.55%, 06/01/2048(2) | | | 3,955 | | | | 3,904 | |
4.00%, 03/01/2024 | | | 110 | | | | 109 | |
4.00%, 03/01/2025 | | | 135 | | | | 133 | |
4.00%, 03/01/2029 | | | 140 | | | | 131 | |
4.00%, 03/01/2030 | | | 145 | | | | 134 | |
4.00%, 03/01/2031 | | | 145 | | | | 132 | |
4.00%, 09/01/2033 | | | 180 | | | | 177 | |
4.00%, 03/01/2041 | | | 2,225 | | | | 1,785 | |
4.00%, 03/01/2042 | | | 1,500 | | | | 1,183 | |
4.00%, 09/01/2047 | | | 1,000 | | | | 849 | |
4.88%, 07/01/2040 | | | 550 | | | | 528 | |
5.00%, 10/01/2024 | | | 300 | | | | 320 | |
5.00%, 10/01/2025 | | | 205 | | | | 208 | |
5.00%, 03/01/2026 | | | 125 | | | | 126 | |
5.00%, 03/01/2027 | | | 150 | | | | 150 | |
5.00%, 03/01/2028 | | | 155 | | | | 155 | |
5.00%, 10/01/2030 | | | 420 | | | | 421 | |
5.00%, 10/01/2030 | | | 2,100 | | | | 2,117 | |
5.00%, 01/01/2031 | | | 625 | | | | 614 | |
5.00%, 10/01/2031 | | | 2,950 | | | | 2,958 | |
5.00%, 02/01/2032 | | | 500 | | | | 562 | |
5.00%, 09/01/2037 | | | 3,000 | | | | 3,179 | |
5.00%, 10/01/2037 | | | 250 | | | | 245 | |
5.00%, 01/01/2039 | | | 1,225 | | | | 1,149 | |
5.00%, 07/01/2039 | | | 1,110 | | | | 1,083 | |
5.00%, 10/01/2040 | | | 900 | | | | 924 | |
5.00%, 09/01/2041 | | | 440 | | | | 469 | |
5.00%, 10/01/2043 | | | 2,000 | | | | 1,926 | |
5.00%, 07/01/2049 | | | 900 | | | | 841 | |
5.00%, 02/01/2051(2) | | | 1,000 | | | | 1,085 | |
6.25%, 07/01/2035 | | | 1,000 | | | | 1,043 | |
| | | | | | | | |
North Carolina Turnpike Authority | | | | | | | | |
4.00%, 01/01/2055 | | | 3,550 | | | | 3,028 | |
5.00%, 02/01/2024 | | | 11,390 | | | | 11,858 | |
5.00%, 01/01/2027 | | | 530 | | | | 586 | |
5.00%, 01/01/2032 | | | 1,000 | | | | 1,045 | |
5.00%, 07/01/2051 | | | 1,700 | | | | 1,716 | |
Raleigh Durham Airport Authority | | | | | | | | |
5.00%, 05/01/2024 | | | 2,000 | | | | 2,094 | |
5.00%, 05/01/2025 | | | 3,000 | | | | 3,197 | |
State of North Carolina | | | | | | | | |
5.00%, 03/01/2023 | | | 2,335 | | | | 2,385 | |
5.00%, 05/01/2026 | | | 4,750 | | | | 5,231 | |
5.00%, 05/01/2027 | | | 7,500 | | | | 8,418 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.16%, 01/01/2062(2)(3) | | | 6,600 | | | | 6,600 | |
| | | | | | | | |
Total North Carolina | | | | | | | 123,611 | |
| | | | | | | | |
North Dakota – 0.14% | | | | | | | | |
City of Grand Forks ND | | | | | | | | |
4.00%, 12/01/2037 | | | 675 | | | | 631 | |
4.00%, 12/01/2038 | | | 625 | | | | 583 | |
4.00%, 12/01/2040 | | | 1,025 | | | | 950 | |
4.00%, 12/01/2041 | | | 890 | | | | 819 | |
5.00%, 12/01/2027 | | | 1,110 | | | | 1,203 | |
5.00%, 12/01/2028 | | | 1,500 | | | | 1,631 | |
5.00%, 12/01/2031 | | | 1,300 | | | | 1,428 | |
North Dakota Housing Finance Agency | | | | | | | | |
3.00%, 07/01/2051 | | | 6,340 | | | | 6,225 | |
3.00%, 01/01/2052 | | | 1,500 | | | | 1,466 | |
| | | | | | | | |
Total North Dakota | | | | | | | 14,936 | |
| | | | | | | | |
Ohio – 2.24% | | | | | | | | |
Akron Bath Copley Joint Township Hospital District | | | | | | | | |
4.00%, 11/15/2033 | | | 425 | | | | 420 | |
4.00%, 11/15/2034 | | | 500 | | | | 492 | |
4.00%, 11/15/2036 | | | 2,875 | | | | 2,799 | |
4.00%, 11/15/2037 | | | 2,300 | | | | 2,229 | |
4.00%, 11/15/2038 | | | 450 | | | | 434 | |
5.00%, 11/15/2030 | | | 450 | | | | 497 | |
5.25%, 11/15/2031 | | | 530 | | | | 564 | |
5.25%, 11/15/2032 | | | 645 | | | | 682 | |
5.25%, 11/15/2033 | | | 1,770 | | | | 1,869 | |
5.25%, 11/15/2046 | | | 1,255 | | | | 1,301 | |
American Municipal Power, Inc. | | | | | | | | |
1.00%, 02/15/2048(2) | | | 2,015 | | | | 1,934 | |
4.00%, 02/15/2038 | | | 2,860 | | | | 2,853 | |
5.00%, 02/15/2035 | | | 3,285 | | | | 3,670 | |
Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
4.00%, 06/01/2038 | | | 1,000 | | | | 974 | |
4.00%, 06/01/2048 | | | 15,125 | | | | 13,759 | |
5.00%, 06/01/2055 | | | 48,735 | | | | 45,890 | |
City of Cleveland OH Airport System Revenue | | | | | | | | |
5.00%, 01/01/2024 | | | 2,450 | | | | 2,560 | |
5.00%, 01/01/2048 | | | 2,000 | | | | 2,071 | |
City of Columbus OH | | | | | | | | |
5.00%, 04/01/2033 | | | 1,345 | | | | 1,517 | |
City of Hamilton OH Electric System Revenue | | | | | | | | |
4.00%, 10/01/2037 | | | 1,000 | | | | 1,023 | |
Clermont County Port Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 750 | | | | 809 | |
5.00%, 12/01/2030 | | | 850 | | | | 916 | |
5.00%, 12/01/2031 | | | 650 | | | | 700 | |
Cleveland-Cuyahoga County Port Authority | | | | | | | | |
5.50%, 12/01/2043 | | | 125 | | | | 129 | |
5.50%, 12/01/2053 | | | 1,600 | | | | 1,641 | |
County of Allen OH Hospital Facilities Revenue | | | | | | | | |
5.00%, 12/01/2029 | | | 585 | | | | 650 | |
5.00%, 12/01/2030 | | | 585 | | | | 644 | |
County of Cuyahoga OH | | | | | | | | |
5.00%, 12/01/2026 | | | 2,500 | | | | 2,615 | |
5.00%, 02/15/2042 | | | 2,525 | | | | 2,569 | |
5.50%, 02/15/2052 | | | 1,790 | | | | 1,847 | |
5.50%, 02/15/2057 | | | 2,745 | | | | 2,833 | |
County of Fairfield OH | | | | | | | | |
4.25%, 06/15/2024 | | | 1,470 | | | | 1,481 | |
County of Franklin OH | | | | | | | | |
5.00%, 11/15/2033(2) | | | 12,645 | | | | 12,998 | |
County of Hamilton OH | | | | | | | | |
5.00%, 09/15/2034 | | | 1,050 | | | | 1,124 | |
County of Marion OH | | | | | | | | |
5.13%, 12/01/2049 | | | 575 | | | | 537 | |
County of Montgomery OH | | | | | | | | |
4.00%, 08/01/2038 | | | 2,055 | | | | 1,995 | |
4.00%, 08/01/2039 | | | 2,220 | | | | 2,146 | |
5.00%, 08/01/2025 | | | 515 | | | | 550 | |
County of Muskingum OH | | | | | | | | |
4.00%, 02/15/2023 | | | 1,700 | | | | 1,714 | |
5.00%, 02/15/2048 | | | 2,080 | | | | 2,015 | |
County of Scioto OH | | | | | | | | |
5.00%, 02/15/2029 | | | 1,200 | | | | 1,271 | |
| | | | | | | | |
County of Wood OH | | | | | | | | |
5.00%, 12/01/2032 | | | 40 | | | | 41 | |
5.00%, 12/01/2032 | | | 75 | | | | 76 | |
5.00%, 12/01/2042 | | | 50 | | | | 51 | |
Crestview Local School District/Columbiana County | | | | | | | | |
4.00%, 12/01/2043 | | | 385 | | | | 386 | |
Franklin County Convention Facilities Authority | | | | | | | | |
5.00%, 12/01/2044 | | | 2,770 | | | | 2,796 | |
5.00%, 12/01/2051 | | | 2,135 | | | | 2,139 | |
Miami University/Oxford OH | | | | | | | | |
5.00%, 09/01/2030 | | | 475 | | | | 545 | |
5.00%, 09/01/2032 | | | 1,000 | | | | 1,134 | |
5.00%, 09/01/2034 | | | 700 | | | | 757 | |
Ohio Air Quality Development Authority | | | | | | | | |
2.10%, 12/01/2027(2) | | | 5,000 | | | | 4,851 | |
2.10%, 07/01/2028(2) | | | 12,500 | | | | 12,126 | |
2.10%, 10/01/2028(2) | | | 15,000 | | | | 14,552 | |
2.88%, 02/01/2026 | | | 5,400 | | | | 5,171 | |
3.25%, 09/01/2029 | | | 2,995 | | | | 2,806 | |
4.00%, 09/01/2030(2) | | | 1,500 | | | | 1,515 | |
4.25%, 11/01/2039(2) | | | 7,575 | | | | 7,668 | |
4.50%, 01/15/2048(3) | | | 2,000 | | | | 1,862 | |
5.00%, 07/01/2049(3) | | | 2,800 | | | | 2,532 | |
Ohio Higher Educational Facility Commission | | | | | | | | |
4.00%, 07/01/2031 | | | 865 | | | | 886 | |
4.00%, 07/01/2032 | | | 900 | | | | 918 | |
4.00%, 07/01/2035 | | | 505 | | | | 507 | |
5.00%, 05/01/2028 | | | 1,535 | | | | 1,697 | |
5.00%, 01/01/2032 | | | 235 | | | | 250 | |
5.00%, 10/01/2032 | | | 1,000 | | | | 1,091 | |
5.00%, 01/01/2033 | | | 285 | | | | 301 | |
5.00%, 05/01/2033 | | | 995 | | | | 1,089 | |
5.00%, 01/01/2034 | | | 360 | | | | 379 | |
5.00%, 01/15/2034 | | | 600 | | | | 625 | |
5.00%, 01/15/2040 | | | 830 | | | | 854 | |
5.25%, 01/01/2035 | | | 375 | | | | 402 | |
5.25%, 01/01/2036 | | | 500 | | | | 534 | |
5.25%, 01/01/2037 | | | 420 | | | | 447 | |
Ohio Housing Finance Agency | | | | | | | | |
4.50%, 03/01/2050 | | | 195 | | | | 200 | |
Ohio State University | | | | | | | | |
4.00%, 12/01/2039 | | | 7,350 | | | | 7,397 | |
Ohio Turnpike & Infrastructure Commission | | | | | | | | |
5.00%, 02/15/2039 | | | 1,100 | | | | 1,226 | |
5.00%, 02/15/2051 | | | 795 | | | | 876 | |
Port of Greater Cincinnati Development Authority | | | | | | | | |
3.75%, 12/01/2031(3) | | | 485 | | | | 427 | |
Southeastern Ohio Port Authority | | | | | | | | |
5.50%, 12/01/2043 | | | 1,000 | | | | 1,019 | |
5.75%, 12/01/2032 | | | 445 | | | | 448 | |
6.00%, 12/01/2042 | | | 550 | | | | 553 | |
State of Ohio | | | | | | | | |
4.00%, 01/15/2038 | | | 2,500 | | | | 2,466 | |
4.00%, 01/15/2040 | | | 1,550 | | | | 1,516 | |
4.00%, 01/15/2041 | | | 655 | | | | 636 | |
4.00%, 01/15/2050 | | | 450 | | | | 420 | |
5.00%, 01/01/2023 | | | 430 | | | | 437 | |
5.00%, 08/01/2024 | | | 2,500 | | | | 2,653 | |
5.00%, 02/01/2028 | | | 1,295 | | | | 1,466 | |
5.00%, 03/01/2028 | | | 690 | | | | 782 | |
5.00%, 03/01/2028 | | | 860 | | | | 975 | |
5.00%, 03/15/2028 | | | 1,725 | | | | 1,956 | |
5.00%, 01/01/2030 | | | 1,170 | | | | 1,299 | |
5.00%, 01/15/2035 | | | 1,645 | | | | 1,767 | |
5.00%, 10/01/2035 | | | 1,410 | | | | 1,538 | |
5.00%, 01/15/2050 | | | 1,000 | | | | 1,057 | |
United Local School District | | | | | | | | |
4.00%, 12/01/2026 | | | 165 | | | | 174 | |
4.00%, 12/01/2029 | | | 120 | | | | 128 | |
4.00%, 12/01/2030 | | | 175 | | | | 186 | |
4.00%, 12/01/2032 | | | 320 | | | | 337 | |
University of Akron | | | | | | | | |
4.00%, 01/01/2027 | | | 2,780 | | | | 2,916 | |
5.00%, 01/01/2037 | | | 6,675 | | | | 7,153 | |
University of Cincinnati | | | | | | | | |
5.00%, 06/01/2028 | | | 250 | | | | 276 | |
5.00%, 06/01/2029 | | | 400 | | | | 439 | |
| | | | | | | | |
Total Ohio | | | | 242,433 | |
| | | | | | | | |
Oklahoma – 0.57% | | | | | | | | |
Cache Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2023 | | | 500 | | | | 517 | |
Canadian County Educational Facilities Authority | | | | | | | | |
4.00%, 09/01/2025 | | | 1,500 | | | | 1,575 | |
5.00%, 09/01/2026 | | | 1,725 | | | | 1,905 | |
5.00%, 09/01/2028 | | | 1,120 | | | | 1,234 | |
| | | | | | | | |
Cleveland County Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2024 | | | 440 | | | | 464 | |
5.00%, 09/01/2025 | | | 300 | | | | 322 | |
5.00%, 09/01/2026 | | | 375 | | | | 409 | |
Dewey County Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2030 | | | 2,470 | | | | 2,696 | |
Garvin County Educational Facilities Authority | | | | | | | | |
5.00%, 12/01/2024 | | | 515 | | | | 544 | |
5.00%, 12/01/2025 | | | 545 | | | | 586 | |
5.00%, 12/01/2026 | | | 820 | | | | 894 | |
Grady County School Finance Authority | | | | | | | | |
5.00%, 09/01/2028 | | | 375 | | | | 423 | |
5.00%, 09/01/2030 | | | 1,235 | | | | 1,386 | |
Grand River Dam Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000 | | | | 1,030 | |
Muskogee Industrial Trust | | | | | | | | |
4.00%, 09/01/2030 | | | 2,000 | | | | 2,057 | |
Norman Regional Hospital Authority | | | | | | | | |
4.00%, 09/01/2045 | | | 1,750 | | | | 1,547 | |
Oklahoma City Airport Trust | | | | | | | | |
5.00%, 07/01/2025 | | | 2,040 | | | | 2,178 | |
5.00%, 07/01/2026 | | | 2,195 | | | | 2,369 | |
5.00%, 07/01/2030 | | | 1,350 | | | | 1,460 | |
5.00%, 07/01/2032 | | | 2,960 | | | | 3,170 | |
5.00%, 07/01/2035 | | | 3,240 | | | | 3,424 | |
5.00%, 07/01/2043 | | | 1,065 | | | | 1,108 | |
Oklahoma County Finance Authority | | | | | | | | |
5.13%, 04/01/2042 | | | 1,900 | | | | 1,615 | |
5.70%, 04/01/2025(5) | | | 335 | | | | 285 | |
Oklahoma Department of Transportation | | | | | | | | |
5.00%, 09/01/2030 | | | 1,015 | | | | 1,147 | |
Oklahoma Development Finance Authority | | | | | | | | |
4.00%, 12/01/2022 | | | 530 | | | | 535 | |
4.00%, 06/01/2023 | | | 1,305 | | | | 1,330 | |
5.00%, 08/01/2023 | | | 515 | | | | 524 | |
5.00%, 08/01/2026 | | | 75 | | | | 78 | |
5.00%, 08/01/2030 | | | 1,010 | | | | 1,040 | |
5.25%, 08/15/2048 | | | 2,500 | | | | 2,250 | |
5.50%, 08/15/2052 | | | 830 | | | | 775 | |
5.50%, 08/15/2057 | | | 1,780 | | | | 1,615 | |
Oklahoma State University | | | | | | | | |
5.00%, 09/01/2031 | | | 1,500 | | | | 1,714 | |
Oklahoma Turnpike Authority | | | | | | | | |
5.00%, 01/01/2025 | | | 700 | | | | 747 | |
5.00%, 01/01/2026 | | | 2,500 | | | | 2,720 | |
5.00%, 01/01/2027 | | | 3,000 | | | | 3,318 | |
5.00%, 01/01/2028 | | | 2,905 | | | | 3,253 | |
Oklahoma Water Resources Board | | | | | | | | |
4.00%, 04/01/2035 | | | 1,750 | | | | 1,821 | |
Tulsa Airports Improvement Trust | | | | | | | | |
5.00%, 06/01/2031 | | | 1,120 | | | | 1,200 | |
5.00%, 06/01/2033 | | | 1,240 | | | | 1,314 | |
Tulsa County Industrial Authority | | | | | | | | |
5.00%, 11/15/2023 | | | 230 | | | | 234 | |
5.00%, 11/15/2029 | | | 400 | | | | 414 | |
5.25%, 11/15/2037 | | | 1,000 | | | | 1,032 | |
5.25%, 11/15/2045 | | | 1,500 | | | | 1,530 | |
| | | | | | | | |
Total Oklahoma | | | | 61,789 | |
| | | | | | | | |
Oregon – 0.58% | | | | | | | | |
City of Eugene OR Electric Utility System Revenue | | | | | | | | |
4.00%, 08/01/2036 | | | 300 | | | | 312 | |
County of Yamhill OR | | | | | | | | |
4.00%, 12/01/2030 | | | 950 | | | | 980 | |
Hillsboro School District No 1J | | | | | | | | |
5.00%, 06/15/2028 | | | 1,525 | | | | 1,703 | |
Klamath Falls Intercommunity Hospital Authority | | | | | | | | |
5.00%, 09/01/2031 | | | 200 | | | | 210 | |
5.00%, 09/01/2032 | | | 270 | | | | 282 | |
5.00%, 09/01/2046 | | | 1,000 | | | | 1,026 | |
Medford Hospital Facilities Authority | | | | | | | | |
5.00%, 08/15/2036 | | | 1,145 | | | | 1,218 | |
Oregon State Facilities Authority | | | | | | | | |
5.00%, 06/01/2030 | | | 7,775 | | | | 8,677 | |
Oregon State Lottery | | | | | | | | |
5.00%, 04/01/2036 | | | 2,500 | | | | 2,715 | |
Port of Portland OR Airport Revenue | | | | | | | | |
4.00%, 07/01/2040 | | | 5,800 | | | | 5,670 | |
5.00%, 07/01/2027 | | | 1,000 | | | | 1,089 | |
5.00%, 07/01/2027 | | | 2,000 | | | | 2,178 | |
5.00%, 07/01/2028 | | | 2,000 | | | | 2,188 | |
5.00%, 07/01/2028 | | | 2,190 | | | | 2,396 | |
5.00%, 07/01/2029 | | | 750 | | | | 840 | |
5.00%, 07/01/2031 | | | 1,000 | | | | 1,055 | |
5.00%, 07/01/2032 | | | 1,000 | | | | 1,029 | |
5.00%, 07/01/2033 | | | 3,485 | | | | 3,577 | |
5.00%, 07/01/2045 | | | 2,420 | | | | 2,564 | |
| | | | | | | | |
Salem Hospital Facility Authority | | | | | | | | |
4.00%, 05/15/2040 | | | 1,000 | | | | 890 | |
4.00%, 05/15/2041 | | | 1,875 | | | | 1,797 | |
4.00%, 05/15/2047 | | | 475 | | | | 404 | |
4.00%, 05/15/2057 | | | 1,500 | | | | 1,205 | |
Salem-Keizer School District No 24J | | | | | | | | |
4.00%, 06/15/2037 | | | 3,000 | | | | 3,085 | |
State of Oregon | | | | | | | | |
4.00%, 05/01/2039 | | | 2,000 | | | | 2,022 | |
4.00%, 05/01/2040 | | | 1,000 | | | | 1,007 | |
State of Oregon Housing & Community Services Department | | | | | | | | |
3.50%, 01/01/2051 | | | 1,165 | | | | 1,164 | |
4.00%, 07/01/2051 | | | 2,790 | | | | 2,830 | |
Yamhill County Hospital Authority | | | | | | | | |
1.75%, 11/15/2026 | | | 2,000 | | | | 1,853 | |
2.13%, 11/15/2027 | | | 1,000 | | | | 897 | |
2.50%, 11/15/2028 | | | 1,000 | | | | 895 | |
5.00%, 11/15/2046 | | | 1,540 | | | | 1,314 | |
5.00%, 11/15/2051 | | | 1,005 | | | | 865 | |
5.00%, 11/15/2051 | | | 1,100 | | | | 920 | |
5.00%, 11/15/2056 | | | 1,940 | | | | 1,594 | |
| | | | | | | | |
Total Oregon | | | | 62,451 | |
| | | | | | | | |
Other Territory – 0.03% | | | | | | | | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.16%, 12/01/2061(2)(3) | | | 3,300 | | | | 3,300 | |
| | | | | | | | |
Total Other Territory | | | | 3,300 | |
| | | | | | | | |
Pennsylvania – 4.13% | | | | | | | | |
Allegheny County Airport Authority | | | | | | | | |
4.00%, 01/01/2046 | | | 1,000 | | | | 942 | |
5.00%, 01/01/2056 | | | 13,570 | | | | 14,123 | |
Allegheny County Higher Education Building Authority | | | | | | | | |
4.00%, 03/01/2032 | | | 300 | | | | 302 | |
4.00%, 03/01/2033 | | | 300 | | | | 300 | |
4.00%, 03/01/2035 | | | 345 | | | | 341 | |
4.00%, 03/01/2041 | | | 2,615 | | | | 2,510 | |
Allegheny County Hospital Development Authority | | | | | | | | |
5.00%, 07/15/2025 | | | 2,370 | | | | 2,518 | |
5.00%, 07/15/2034 | | | 5,100 | | | | 5,553 | |
Allegheny County Industrial Development Authority | | | | | | | | |
3.50%, 12/01/2031 | | | 1,020 | | | | 842 | |
4.00%, 12/01/2041 | | | 1,720 | | | | 1,293 | |
4.25%, 12/01/2050 | | | 1,915 | | | | 1,377 | |
Allentown City School District | | | | | | | | |
5.00%, 02/01/2031 | | | 500 | | | | 567 | |
5.00%, 02/01/2033 | | | 470 | | | | 532 | |
Allentown Neighborhood Improvement Zone Development Authority | | | | | | | | |
5.00%, 05/01/2027(3) | | | 1,250 | | | | 1,288 | |
5.00%, 05/01/2032(3) | | | 2,025 | | | | 2,055 | |
5.00%, 05/01/2036 | | | 850 | | | | 909 | |
5.00%, 05/01/2042(3) | | | 1,750 | | | | 1,750 | |
5.00%, 05/01/2042 | | | 3,875 | | | | 4,053 | |
5.00%, 05/01/2042(3) | | | 4,345 | | | | 4,345 | |
6.00%, 05/01/2042(3) | | | 450 | | | | 469 | |
Bucks County Industrial Development Authority | | | | | | | | |
5.00%, 07/01/2025 | | | 375 | | | | 393 | |
5.00%, 07/01/2026 | | | 475 | | | | 502 | |
5.00%, 07/01/2027 | | | 475 | | | | 504 | |
5.00%, 07/01/2028 | | | 925 | | | | 982 | |
5.00%, 07/01/2029 | | | 500 | | | | 531 | |
5.00%, 07/01/2030 | | | 675 | | | | 716 | |
5.00%, 07/01/2033 | | | 640 | | | | 662 | |
5.00%, 07/01/2034 | | | 1,580 | | | | 1,624 | |
5.00%, 07/01/2035 | | | 435 | | | | 445 | |
5.00%, 07/01/2036 | | | 665 | | | | 676 | |
5.00%, 07/01/2037 | | | 1,410 | | | | 1,425 | |
5.00%, 07/01/2038 | | | 1,460 | | | | 1,466 | |
5.00%, 07/01/2039 | | | 1,510 | | | | 1,507 | |
Capital Region Water Revenue | | | | | | | | |
5.00%, 07/15/2023 | | | 1,750 | | | | 1,805 | |
5.00%, 07/15/2025 | | | 1,000 | | | | 1,077 | |
Capital Region Water Sewer Revenue | | | | | | | | |
5.00%, 07/15/2024 | | | 430 | | | | 453 | |
5.00%, 07/15/2028 | | | 350 | | | | 393 | |
Chester County Industrial Development Authority | | | | | | | | |
4.38%, 03/01/2028(3) | | | 175 | | | | 174 | |
5.00%, 03/01/2038(3) | | | 425 | | | | 420 | |
5.13%, 03/01/2048(3) | | | 1,045 | | | | 1,008 | |
Chichester School District | | | | | | | | |
4.00%, 09/15/2028 | | | 750 | | | | 796 | |
4.00%, 09/15/2029 | | | 900 | | | | 955 | |
4.00%, 09/15/2030 | | | 1,000 | | | | 1,057 | |
City of Oil City PA | | | | | | | | |
4.00%, 12/01/2030 | | | 225 | | | | 240 | |
4.00%, 12/01/2032 | | | 185 | | | | 193 | |
4.00%, 12/01/2038 | | | 325 | | | | 329 | |
City of Philadelphia PA | | | | | | | | |
5.00%, 08/01/2023 | | | 4,000 | | | | 4,138 | |
5.00%, 07/15/2026 | | | 2,475 | | | | 2,593 | |
5.00%, 08/01/2027 | | | 1,500 | | | | 1,673 | |
| | | | | | | | |
5.00%, 08/01/2028 | | | 6,000 | | | | 6,471 | |
5.00%, 02/01/2029 | | | 3,175 | | | | 3,563 | |
5.00%, 08/01/2031 | | | 500 | | | | 570 | |
5.00%, 08/01/2031 | | | 8,000 | | | | 8,728 | |
5.00%, 08/01/2033 | | | 2,000 | | | | 2,156 | |
City of Philadelphia PA Airport Revenue | | | | | | | | |
5.00%, 07/01/2026 | | | 1,155 | | | | 1,260 | |
5.00%, 07/01/2027 | | | 1,520 | | | | 1,678 | |
5.00%, 07/01/2029 | | | 230 | | | | 253 | |
5.00%, 07/01/2030 | | | 1,000 | | | | 1,068 | |
5.00%, 07/01/2031 | | | 2,000 | | | | 2,124 | |
5.00%, 07/01/2032 | | | 1,745 | | | | 1,845 | |
5.00%, 07/01/2033 | | | 1,000 | | | | 1,053 | |
5.00%, 07/01/2047 | | | 1,060 | | | | 1,090 | |
City of Philadelphia PA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2026 | | | 1,165 | | | | 1,275 | |
5.00%, 11/01/2027 | | | 1,540 | | | | 1,703 | |
5.00%, 11/01/2032 | | | 1,000 | | | | 1,099 | |
City of Reading PA | | | | | | | | |
5.00%, 11/01/2027 | | | 2,330 | | | | 2,580 | |
Coatesville School District | | | | | | | | |
5.00%, 08/01/2025 | | | 875 | | | | 944 | |
Commonwealth Financing Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 750 | | | | 770 | |
5.00%, 06/01/2027 | | | 750 | | | | 831 | |
5.00%, 06/01/2027 | | | 1,500 | | | | 1,637 | |
5.00%, 06/01/2027 | | | 2,165 | | | | 2,400 | |
5.00%, 06/01/2028 | | | 2,555 | | | | 2,811 | |
5.00%, 06/01/2030 | | | 1,750 | | | | 1,990 | |
5.00%, 06/01/2031 | | | 1,255 | | | | 1,412 | |
Commonwealth of Pennsylvania | | | | | | | | |
4.00%, 04/01/2033 | | | 20,000 | | | | 20,093 | |
5.00%, 02/01/2023 | | | 895 | | | | 913 | |
5.00%, 01/01/2024 | | | 5,800 | | | | 6,072 | |
5.00%, 01/01/2027 | | | 2,095 | | | | 2,330 | |
County of Lancaster PA | | | | | | | | |
4.00%, 11/01/2029 | | | 625 | | | | 667 | |
4.00%, 11/01/2030 | | | 560 | | | | 592 | |
County of Lehigh PA | | | | | | | | |
4.00%, 07/01/2039 | | | 1,955 | | | | 1,901 | |
County of Luzerne PA | | | | | | | | |
5.00%, 12/15/2029 | | | 750 | | | | 836 | |
Cumberland County Municipal Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 210 | | | | 219 | |
4.00%, 01/01/2033 | | | 545 | | | | 540 | |
4.00%, 01/01/2033 | | | 745 | | | | 778 | |
4.50%, 01/01/2040(3) | | | 3,500 | | | | 3,099 | |
Dauphin County General Authority | | | | | | | | |
5.00%, 06/01/2035 | | | 1,000 | | | | 1,036 | |
Deer Creek Drainage Basin Authority | | | | | | | | |
4.00%, 12/01/2033 | | | 575 | | | | 597 | |
4.00%, 12/01/2035 | | | 375 | | | | 387 | |
5.00%, 12/01/2028 | | | 275 | | | | 308 | |
Delaware County Authority | | | | | | | | |
5.00%, 08/01/2030 | | | 1,150 | | | | 1,231 | |
Delaware River Joint Toll Bridge Commission | | | | | | | | |
5.00%, 07/01/2042 | | | 1,100 | | | | 1,184 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
1.31%, 02/01/2043(2)(3)(4) | | | 8,600 | | | | 8,600 | |
Doylestown Hospital Authority | | | | | | | | |
4.00%, 07/01/2045 | | | 750 | | | | 587 | |
5.00%, 07/01/2046 | | | 3,700 | | | | 3,453 | |
5.00%, 07/01/2049 | | | 3,620 | | | | 3,348 | |
Easton Area School District | | | | | | | | |
5.00%, 04/01/2029 | | | 1,000 | | | | 1,091 | |
5.00%, 04/01/2030 | | | 2,805 | | | | 3,058 | |
Franklin County Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2053 | | | 500 | | | | 442 | |
Geisinger Authority | | | | | | | | |
5.00%, 04/01/2035 | | | 3,000 | | | | 3,247 | |
5.00%, 02/15/2039 | | | 1,500 | | | | 1,579 | |
General Authority of Southcentral Pennsylvania | | | | | | | | |
5.00%, 06/01/2038 | | | 1,970 | | | | 2,110 | |
5.00%, 06/01/2044 | | | 1,085 | | | | 1,144 | |
Hospitals & Higher Education Facilities Authority of Philadelphia | | | | | | | | |
5.00%, 07/01/2023 | | | 325 | | | | 333 | |
5.00%, 07/01/2030 | | | 780 | | | | 826 | |
5.00%, 07/01/2034 | | | 2,000 | | | | 2,083 | |
Indiana County Industrial Development Authority | | | | | | | | |
5.00%, 05/01/2029 | | | 740 | | | | 809 | |
Lancaster City Parking Authority | | | | | | | | |
4.00%, 09/01/2035 | | | 1,100 | | | | 1,126 | |
Lancaster County Hospital Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 775 | | | | 780 | |
5.00%, 07/01/2031 | | | 560 | | | | 553 | |
5.00%, 07/01/2032 | | | 560 | | | | 550 | |
5.00%, 12/01/2032 | | | 250 | | | | 239 | |
| | | | | | | | |
5.00%, 12/01/2037 | | | 820 | | | | 758 | |
5.00%, 11/01/2039 | | | 550 | | | | 586 | |
5.00%, 11/01/2040 | | | 500 | | | | 532 | |
5.00%, 11/01/2041 | | | 1,000 | | | | 1,063 | |
5.00%, 07/01/2045 | | | 1,970 | | | | 1,900 | |
5.00%, 12/01/2047 | | | 2,010 | | | | 1,735 | |
5.00%, 11/01/2051 | | | 2,600 | | | | 2,729 | |
Lancaster Industrial Development Authority | | | | | | | | |
4.00%, 07/01/2031 | | | 165 | | | | 154 | |
4.00%, 07/01/2037 | | | 130 | | | | 115 | |
Latrobe Industrial Development Authority | | | | | | | | |
4.00%, 03/01/2037 | | | 450 | | | | 402 | |
4.00%, 03/01/2039 | | | 320 | | | | 281 | |
4.00%, 03/01/2040 | | | 500 | | | | 435 | |
4.00%, 03/01/2046 | | | 750 | | | | 618 | |
4.00%, 03/01/2051 | | | 800 | | | | 639 | |
Lehigh County Industrial Development Authority | | | | | | | | |
1.80%, 02/15/2027(2) | | | 1,025 | | | | 1,024 | |
1.80%, 09/01/2029(2) | | | 1,925 | | | | 1,924 | |
Luzerne County Industrial Development Authority | | | | | | | | |
5.00%, 12/15/2027 | | | 1,000 | | | | 1,083 | |
Manheim Central School District | | | | | | | | |
4.00%, 05/01/2038 | | | 850 | | | | 855 | |
4.00%, 05/01/2039 | | | 550 | | | | 553 | |
4.00%, 05/01/2040 | | | 500 | | | | 503 | |
4.00%, 05/01/2041 | | | 200 | | | | 201 | |
Montgomery County Higher Education & Health Authority | | | | | | | | |
5.00%, 09/01/2023 | | | 460 | | | | 476 | |
5.00%, 10/01/2023 | | | 50 | | | | 51 | |
5.00%, 09/01/2024 | | | 410 | | | | 431 | |
5.00%, 10/01/2028 | | | 1,000 | | | | 1,024 | |
5.00%, 09/01/2032 | | | 1,000 | | | | 1,071 | |
5.00%, 09/01/2033 | | | 305 | | | | 326 | |
5.00%, 10/01/2036 | | | 1,320 | | | | 1,329 | |
5.00%, 10/01/2040 | | | 1,595 | | | | 1,599 | |
Montgomery County Industrial Development Authority | | | | | | | | |
5.25%, 01/15/2036 | | | 2,500 | | | | 2,677 | |
5.25%, 01/01/2040 | | | 1,510 | | | | 1,516 | |
5.38%, 01/01/2050 | | | 500 | | | | 501 | |
North Allegheny School District | | | | | | | | |
4.00%, 05/01/2035 | | | 1,000 | | | | 1,024 | |
4.00%, 05/01/2036 | | | 705 | | | | 715 | |
Northampton County General Purpose Authority | | | | | | | | |
1.78% (1 Month LIBOR USD + 1.04%), 08/15/2048(1) | | | 1,625 | | | | 1,632 | |
5.00%, 08/15/2036 | | | 455 | | | | 472 | |
Pennsylvania Economic Development Financing Authority | | | | | | | | |
0.40%, 10/01/2023 | | | 7,500 | | | | 7,286 | |
1.25%, 12/01/2030(2) | | | 13,260 | | | | 13,260 | |
1.31% (SIFMA Municipal Swap Index Yield + 0.40%), 06/01/2041(1) | | | 3,085 | | | | 2,979 | |
1.75%, 08/01/2038(2) | | | 10,000 | | | | 9,582 | |
3.25%, 08/01/2039(3) | | | 625 | | | | 489 | |
4.00%, 04/15/2037 | | | 1,000 | | | | 978 | |
4.00%, 11/15/2042 | | | 7,500 | | | | 7,130 | |
5.00%, 04/15/2026 | | | 2,500 | | | | 2,685 | |
5.00%, 04/15/2027 | | | 4,600 | | | | 5,006 | |
5.00%, 04/15/2031 | | | 2,095 | | | | 2,322 | |
5.00%, 12/31/2034 | | | 1,000 | | | | 1,022 | |
9.00%, 04/01/2051(2)(3) | | | 3,030 | | | | 3,471 | |
Pennsylvania Higher Educational Facilities Authority | | | | | | | | |
5.00%, 06/15/2024 | | | 3,005 | | | | 3,171 | |
5.00%, 06/15/2025 | | | 1,855 | | | | 1,995 | |
5.00%, 08/15/2029 | | | 1,600 | | | | 1,766 | |
Pennsylvania Housing Finance Agency | | | | | | | | |
3.00%, 10/01/2051 | | | 14,900 | | | | 14,350 | |
3.00%, 10/01/2052 | | | 8,600 | | | | 8,195 | |
3.50%, 04/01/2051 | | | 705 | | | | 708 | |
Pennsylvania Turnpike Commission | | | | | | | | |
4.00%, 12/01/2036 | | | 905 | | | | 894 | |
4.00%, 12/01/2037 | | | 1,000 | | | | 985 | |
4.00%, 12/01/2038 | | | 360 | | | | 360 | |
4.00%, 12/01/2038 | | | 625 | | | | 612 | |
4.00%, 12/01/2039 | | | 4,000 | | | | 3,986 | |
4.00%, 12/01/2045 | | | 2,000 | | | | 1,872 | |
4.00%, 12/01/2046 | | | 2,000 | | | | 1,867 | |
4.00%, 12/01/2051 | | | 3,995 | | | | 3,797 | |
5.00%, 06/01/2028 | | | 2,085 | | | | 2,250 | |
5.00%, 06/01/2032 | | | 2,000 | | | | 2,146 | |
5.00%, 06/01/2033 | | | 3,155 | | | | 3,377 | |
5.00%, 12/01/2034 | | | 1,240 | | | | 1,349 | |
5.00%, 12/01/2037 | | | 450 | | | | 503 | |
Philadelphia Authority for Industrial Development | | | | | | | | |
4.00%, 06/01/2031 | | | 675 | | | | 650 | |
4.00%, 06/01/2041 | | | 750 | | | | 635 | |
4.00%, 06/01/2051 | | | 800 | | | | 628 | |
4.00%, 06/01/2056 | | | 850 | | | | 645 | |
5.00%, 07/01/2031 | | | 205 | | | | 196 | |
5.00%, 07/01/2032 | | | 600 | | | | 570 | |
| | | | | | | | |
5.00%, 07/01/2037 | | | 150 | | | | 138 | |
5.00%, 06/15/2039 | | | 500 | | | | 501 | |
5.00%, 06/15/2040(3) | | | 900 | | | | 889 | |
5.00%, 08/01/2040 | | | 620 | | | | 630 | |
5.00%, 06/15/2050 | | | 1,375 | | | | 1,327 | |
5.00%, 06/15/2050(3) | | | 1,700 | | | | 1,617 | |
5.00%, 08/01/2050 | | | 1,050 | | | | 1,053 | |
Philadelphia Gas Works Co. | | | | | | | | |
4.00%, 08/01/2036 | | | 1,000 | | | | 1,013 | |
5.00%, 08/01/2022 | | | 750 | | | | 752 | |
5.00%, 08/01/2024 | | | 425 | | | | 448 | |
5.00%, 08/01/2024 | | | 500 | | | | 528 | |
5.00%, 08/01/2025 | | | 450 | | | | 483 | |
5.00%, 08/01/2027 | | | 750 | | | | 828 | |
5.00%, 08/01/2028 | | | 625 | | | | 695 | |
5.00%, 08/01/2029 | | | 1,000 | | | | 1,119 | |
5.00%, 08/01/2031 | | | 1,755 | | | | 2,004 | |
5.00%, 08/01/2032 | | | 1,000 | | | | 1,136 | |
5.00%, 08/01/2033 | | | 1,250 | | | | 1,411 | |
5.00%, 08/01/2034 | | | 1,410 | | | | 1,588 | |
5.00%, 08/01/2035 | | | 1,000 | | | | 1,124 | |
5.00%, 08/01/2036 | | | 1,690 | | | | 1,896 | |
Pittsburgh School District | | | | | | | | |
3.00%, 09/01/2039 | | | 3,290 | | | | 2,846 | |
Pittsburgh Water & Sewer Authority | | | | | | | | |
1.56% (SIFMA Municipal Swap Index Yield + 0.65%), 09/01/2040(1) | | | 15,000 | | | | 15,007 | |
5.00%, 09/01/2038 | | | 1,000 | | | | 1,114 | |
Reading School District | | | | | | | | |
5.00%, 03/01/2035 | | | 1,100 | | | | 1,197 | |
5.00%, 03/01/2036 | | | 1,250 | | | | 1,356 | |
Redevelopment Authority of the City of Philadelphia | | | | | | | | |
5.00%, 04/15/2023 | | | 1,335 | | | | 1,364 | |
School District of Philadelphia | | | | | | | | |
5.00%, 09/01/2026 | | | 1,625 | | | | 1,778 | |
5.00%, 09/01/2029 | | | 1,500 | | | | 1,688 | |
5.00%, 09/01/2030 | | | 15 | | | | 17 | |
5.00%, 09/01/2030 | | | 3,985 | | | | 4,356 | |
5.00%, 09/01/2031 | | | 1,000 | | | | 1,091 | |
5.00%, 09/01/2031 | | | 1,200 | | | | 1,321 | |
5.00%, 09/01/2032 | | | 1,200 | | | | 1,312 | |
5.00%, 09/01/2032 | | | 2,200 | | | | 2,425 | |
5.00%, 09/01/2033 | | | 960 | | | | 1,087 | |
5.00%, 09/01/2033 | | | 1,500 | | | | 1,646 | |
Scranton School District | | | | | | | | |
5.00%, 06/01/2033 | | | 530 | | | | 588 | |
5.00%, 06/01/2035 | | | 515 | | | | 570 | |
South Wayne County Water & Sewer Authority | | | | | | | | |
4.00%, 02/15/2036 | | | 600 | | | | 614 | |
St Mary Hospital Authority | | | | | | | | |
5.00%, 11/15/2022 | | | 1,900 | | | | 1,923 | |
State Public School Building Authority | | | | | | | | |
4.00%, 06/15/2033 | | | 685 | | | | 713 | |
4.00%, 06/15/2034 | | | 700 | | | | 727 | |
5.00%, 12/01/2024 | | | 625 | | | | 663 | |
5.00%, 12/01/2024 | | | 625 | | | | 667 | |
5.00%, 06/15/2025 | | | 3,000 | | | | 3,197 | |
5.00%, 12/01/2025 | | | 425 | | | | 453 | |
5.00%, 12/01/2025 | | | 1,145 | | | | 1,222 | |
5.00%, 06/01/2026 | | | 180 | | | | 193 | |
5.00%, 12/01/2026 | | | 605 | | | | 645 | |
5.00%, 12/01/2026 | | | 645 | | | | 686 | |
5.00%, 06/01/2029 | | | 665 | | | | 752 | |
5.00%, 12/01/2032 | | | 725 | | | | 805 | |
5.00%, 12/01/2032 | | | 2,335 | | | | 2,537 | |
5.25%, 09/15/2030 | | | 995 | | | | 1,110 | |
Susquehanna Area Regional Airport Authority | | | | | | | | |
5.00%, 01/01/2035 | | | 1,000 | | | | 1,030 | |
5.00%, 01/01/2038 | | | 4,125 | | | | 4,226 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.16%, 12/01/2060(2)(3) | | | 4,800 | | | | 4,800 | |
Trinity Area School District | | | | | | | | |
4.00%, 11/01/2043 | | | 2,375 | | | | 2,381 | |
Upper Darby School District | | | | | | | | |
4.00%, 04/01/2041 | | | 250 | | | | 252 | |
4.00%, 04/01/2042 | | | 330 | | | | 333 | |
Upper Merion Area School District | | | | | | | | |
3.00%, 01/15/2040 | | | 250 | | | | 222 | |
5.00%, 01/15/2030 | | | 600 | | | | 657 | |
Waverly Township Municipal Authority | | | | | | | | |
4.00%, 02/15/2029 | | | 1,030 | | | | 1,098 | |
York County School of Technology Authority | | | | | | | | |
5.00%, 02/15/2023 | | | 1,200 | | | | 1,224 | |
5.00%, 02/15/2028 | | | 400 | | | | 422 | |
| | | | | | | | |
Total Pennsylvania | | | | 447,004 | |
| | | | | | | | |
| | | | | | | | |
Puerto Rico – 2.72% | | | | | | | | |
Commonwealth of Puerto Rico | | | | | | | | |
0.00%, 07/01/2024 | | | 2,289 | | | | 2,094 | |
0.00%, 07/01/2033 | | | 2,886 | | | | 1,621 | |
0.00%, 11/01/2043(2) | | | 11,163 | | | | 5,554 | |
4.00%, 07/01/2033 | | | 3,948 | | | | 3,617 | |
4.00%, 07/01/2035 | | | 3,111 | | | | 2,786 | |
4.00%, 07/01/2037 | | | 2,880 | | | | 2,548 | |
4.00%, 07/01/2041 | | | 2,352 | | | | 2,035 | |
4.00%, 07/01/2046 | | | 2,446 | | | | 2,052 | |
5.25%, 07/01/2023 | | | 2,505 | | | | 2,550 | |
5.38%, 07/01/2025 | | | 15,673 | | | | 16,273 | |
5.63%, 07/01/2027 | | | 18,901 | | | | 20,106 | |
5.63%, 07/01/2029 | | | 7,041 | | | | 7,560 | |
5.75%, 07/01/2031 | | | 5,846 | | | | 6,384 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority | | | | | | | | |
4.00%, 07/01/2042(3) | | | 2,900 | | | | 2,549 | |
4.00%, 07/01/2042(3) | | | 3,460 | | | | 3,042 | |
4.00%, 07/01/2042(3) | | | 4,450 | | | | 3,912 | |
4.00%, 07/01/2047(3) | | | 1,025 | | | | 876 | |
4.00%, 07/01/2047(3) | | | 1,250 | | | | 1,068 | |
5.00%, 07/01/2022(3) | | | 305 | | | | 305 | |
5.00%, 07/01/2027(3) | | | 1,070 | | | | 1,111 | |
5.00%, 07/01/2029(3) | | | 1,360 | | | | 1,414 | |
5.00%, 07/01/2029(3) | | | 3,150 | | | | 3,276 | |
5.00%, 07/01/2030(3) | | | 7,420 | | | | 7,722 | |
5.00%, 07/01/2033(3) | | | 5,845 | | | | 5,976 | |
5.00%, 07/01/2035(3) | | | 3,000 | | | | 3,043 | |
5.00%, 07/01/2037(3) | | | 1,050 | | | | 1,065 | |
5.00%, 07/01/2037(3) | | | 5,655 | | | | 5,737 | |
5.00%, 07/01/2037(3) | | | 7,750 | | | | 7,872 | |
5.00%, 07/01/2047(3) | | | 8,000 | | | | 8,031 | |
6.13%, 07/01/2024 | | | 180 | | | | 184 | |
Puerto Rico Electric Power Authority | | | | | | | | |
3.70%, 07/01/2050(5) | | | 20 | | | | 16 | |
5.00%, 07/01/2024(5) | | | 415 | | | | 352 | |
5.00%, 07/01/2025(5) | | | 25 | | | | 21 | |
5.00%, 07/01/2026(5) | | | 60 | | | | 51 | |
5.00%, 07/01/2027(5) | | | 15 | | | | 13 | |
5.00%, 07/01/2027(5) | | | 25 | | | | 21 | |
5.00%, 07/01/2028(5) | | | 30 | | | | 25 | |
5.00%, 07/01/2028(5) | | | 50 | | | | 42 | |
5.00%, 07/01/2032(5) | | | 500 | | | | 424 | |
5.00%, 07/01/2037(5) | | | 2,300 | | | | 1,949 | |
5.05%, 07/01/2042(5) | | | 120 | | | | 102 | |
5.25%, 07/01/2023(5) | | | 3,495 | | | | 2,962 | |
5.25%, 07/01/2024(5) | | | 110 | | | | 93 | |
5.25%, 07/01/2026(5) | | | 635 | | | | 538 | |
5.25%, 07/01/2027(5) | | | 200 | | | | 169 | |
5.25%, 07/01/2027(5) | | | 210 | | | | 178 | |
5.25%, 07/01/2027(5) | | | 315 | | | | 267 | |
5.25%, 07/01/2028(5) | | | 60 | | | | 51 | |
5.25%, 07/01/2033(5) | | | 95 | | | | 81 | |
5.25%, 07/01/2040(5) | | | 3,075 | | | | 2,606 | |
5.25%, 07/01/2050(5) | | | 270 | | | | 229 | |
5.50%, 07/01/2038(5) | | | 4,000 | | | | 3,405 | |
5.75%, 07/01/2036(5) | | | 1,300 | | | | 1,111 | |
6.75%, 07/01/2036(5) | | | 1,560 | | | | 1,373 | |
7.25%, 07/01/2030(5) | | | 265 | | | | 235 | |
Puerto Rico Housing Finance Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 5,735 | | | | 5,809 | |
5.00%, 12/01/2023 | | | 4,300 | | | | 4,463 | |
5.00%, 12/01/2024 | | | 9,270 | | | | 9,796 | |
| | |
Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth | | | | | | | | |
4.00%, 07/01/2037 | | | 240 | | | | 220 | |
5.00%, 07/01/2030 | | | 285 | | | | 315 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | | | | | | | | |
0.00%, 07/01/2024 | | | 2,149 | | | | 1,998 | |
0.00%, 07/01/2024 | | | 5,955 | | | | 5,537 | |
0.00%, 07/01/2027 | | | 407 | | | | 337 | |
0.00%, 07/01/2027 | | | 2,061 | | | | 1,706 | |
0.00%, 07/01/2029 | | | 2,569 | | | | 1,936 | |
0.00%, 07/01/2031 | | | 5,167 | | | | 3,499 | |
0.00%, 07/01/2033 | | | 12,567 | | | | 7,558 | |
0.00%, 07/01/2046 | | | 32,706 | | | | 8,796 | |
0.00%, 07/01/2051 | | | 6,000 | | | | 1,193 | |
4.33%, 07/01/2040 | | | 6,839 | | | | 6,422 | |
4.33%, 07/01/2040 | | | 34,910 | | | | 32,783 | |
4.50%, 07/01/2034 | | | 2,582 | | | | 2,593 | |
4.55%, 07/01/2040 | | | 3,500 | | | | 3,371 | |
4.75%, 07/01/2053 | | | 8,294 | | | | 7,969 | |
4.78%, 07/01/2058 | | | 13,131 | | | | 12,542 | |
5.00%, 07/01/2058 | | | 27,485 | | | | 27,017 | |
| | | | | | | | |
Total Puerto Rico | | | | 294,537 | |
| | | | | | | | |
Rhode Island – 0.30% | | | | | | | | |
Providence Public Building Authority | | | | | | | | |
5.00%, 09/15/2038 | | | 2,570 | | | | 2,791 | |
Providence Redevelopment Agency | | | | | | | | |
5.00%, 04/01/2028 | | | 1,200 | | | | 1,233 | |
| | | | | | | | |
Rhode Island Health & Educational Building Corp. | | | | | | | | |
4.00%, 05/15/2034 | | | 1,750 | | | | 1,816 | |
4.00%, 09/15/2042 | | | 5,000 | | | | 4,872 | |
5.00%, 09/01/2031 | | | 710 | | | | 741 | |
5.00%, 09/01/2036 | | | 100 | | | | 103 | |
5.00%, 05/15/2039 | | | 700 | | | | 719 | |
Rhode Island Housing & Mortgage Finance Corp. | | | | | | | | |
3.00%, 10/01/2051 | | | 3,575 | | | | 3,476 | |
3.50%, 10/01/2050 | | | 1,015 | | | | 1,015 | |
4.00%, 10/01/2049 | | | 435 | | | | 441 | |
5.00%, 10/01/2026 | | | 395 | | | | 436 | |
5.00%, 04/01/2027 | | | 215 | | | | 239 | |
5.00%, 10/01/2027 | | | 250 | | | | 280 | |
5.00%, 10/01/2027 | | | 520 | | | | 569 | |
5.00%, 04/01/2028 | | | 480 | | | | 526 | |
5.00%, 10/01/2028 | | | 275 | | | | 311 | |
5.00%, 10/01/2029 | | | 285 | | | | 322 | |
Rhode Island Student Loan Authority | | | | | | | | |
3.50%, 12/01/2034 | | | 245 | | | | 244 | |
5.00%, 12/01/2024 | | | 600 | | | | 635 | |
5.00%, 12/01/2025 | | | 500 | | | | 539 | |
5.00%, 12/01/2025 | | | 1,000 | | | | 1,070 | |
5.00%, 12/01/2026 | | | 750 | | | | 820 | |
5.00%, 12/01/2026 | | | 1,000 | | | | 1,087 | |
5.00%, 12/01/2027 | | | 800 | | | | 878 | |
5.00%, 12/01/2027 | | | 1,000 | | | | 1,104 | |
5.00%, 12/01/2028 | | | 1,150 | | | | 1,275 | |
5.00%, 12/01/2029 | | | 675 | | | | 754 | |
5.00%, 12/01/2030 | | | 600 | | | | 674 | |
State of Rhode Island | | | | | | | | |
4.00%, 04/01/2034 | | | 2,000 | | | | 2,095 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
5.00%, 06/01/2024 | | | 1,455 | | | | 1,496 | |
| | | | | | | | |
Total Rhode Island | | | | 32,561 | |
| | | | | | | | |
South Carolina – 0.87% | | | | | | | | |
Aiken County Consolidated School District | | | | | | | | |
4.00%, 04/01/2034 | | | 2,415 | | | | 2,518 | |
Connector 2000 Association, Inc. | | | | | | | | |
0.00%, 01/01/2032(4) | | | 1,007 | | | | 311 | |
0.00%, 01/01/2032 | | | 4,761 | | | | 2,515 | |
0.00%, 01/01/2042 | | | 5,258 | | | | 1,315 | |
0.00%, 07/22/2051 | | | 22,772 | | | | 2,601 | |
County of Richland SC | | | | | | | | |
5.00%, 03/01/2025 | | | 2,900 | | | | 3,121 | |
Lancaster County School District | | | | | | | | |
5.00%, 03/01/2023 | | | 445 | | | | 455 | |
Lexington County Health Services District, Inc. | | | | | | | | |
5.00%, 11/01/2022 | | | 250 | | | | 253 | |
5.00%, 11/01/2023 | | | 300 | | | | 312 | |
5.00%, 11/01/2024 | | | 780 | | | | 827 | |
Patriots Energy Group Financing Agency | | | | | | | | |
4.00%, 10/01/2048(2) | | | 34,175 | | | | 34,800 | |
Piedmont Municipal Power Agency | | | | | | | | |
4.00%, 01/01/2034 | | | 4,000 | | | | 4,005 | |
Scago Educational Facilities Corp. for Union School District | | | | | | | | |
5.00%, 12/01/2023 | | | 1,060 | | | | 1,105 | |
South Carolina Jobs-Economic Development Authority | | | | | | | | |
5.00%, 04/01/2031 | | | 510 | | | | 559 | |
5.00%, 05/01/2037 | | | 500 | | | | 463 | |
5.00%, 05/01/2042 | | | 500 | | | | 445 | |
5.00%, 11/15/2042 | | | 585 | | | | 541 | |
5.00%, 05/01/2043 | | | 4,675 | | | | 4,856 | |
5.00%, 04/01/2047 | | | 2,000 | | | | 1,815 | |
5.00%, 04/01/2052 | | | 1,750 | | | | 1,564 | |
5.00%, 11/15/2054 | | | 1,000 | | | | 878 | |
6.00%, 02/01/2035(3)(5) | | | 525 | | | | 210 | |
6.25%, 02/01/2045(3)(5) | | | 995 | | | | 398 | |
South Carolina Ports Authority | | | | | | | | |
5.00%, 07/01/2026 | | | 1,940 | | | | 2,090 | |
5.00%, 07/01/2027 | | | 3,120 | | | | 3,390 | |
5.00%, 07/01/2028 | | | 1,100 | | | | 1,200 | |
South Carolina Public Service Authority | | | | | | | | |
4.00%, 12/01/2036 | | | 3,500 | | | | 3,459 | |
5.00%, 12/01/2032 | | | 1,500 | | | | 1,575 | |
5.00%, 12/01/2032 | | | 5,345 | | | | 5,830 | |
5.00%, 12/01/2035 | | | 1,500 | | | | 1,558 | |
5.00%, 12/01/2041 | | | 3,000 | | | | 3,095 | |
5.75%, 12/01/2043 | | | 2,000 | | | | 2,106 | |
South Carolina State Housing Finance & Development Authority | | | | | | | | |
4.00%, 01/01/2050 | | | 715 | | | | 726 | |
4.00%, 07/01/2050 | | | 700 | | | | 710 | |
South Carolina Transportation Infrastructure Bank | | | | | | | | |
5.00%, 10/01/2025 | | | 305 | | | | 331 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 06/01/2029(2)(3) | | | 935 | | | | 935 | |
1.06%, 12/01/2042(2)(3) | | | 1,400 | | | | 1,400 | |
| | | | | | | | |
Total South Carolina | | | | 94,272 | |
| | | | | | | | |
| | | | | | | | |
South Dakota – 0.17% | | | | | | | | |
City of Sioux Falls SD | | | | | | | | |
5.00%, 11/01/2042 | | | 750 | | | | 693 | |
County of Lawrence SD | | | | | | | | |
4.00%, 12/01/2036 | | | 730 | | | | 760 | |
4.00%, 12/01/2038 | | | 810 | | | | 822 | |
County of Lincoln SD | | | | | | | | |
4.00%, 08/01/2051 | | | 2,060 | | | | 1,719 | |
South Dakota Health & Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2024 | | | 355 | | | | 373 | |
5.00%, 09/01/2025 | | | 880 | | | | 938 | |
5.00%, 09/01/2026 | | | 2,000 | | | | 2,161 | |
5.00%, 11/01/2029 | | | 800 | | | | 840 | |
5.00%, 11/01/2030 | | | 1,000 | | | | 1,046 | |
5.00%, 07/01/2033(2) | | | 2,630 | | | | 2,753 | |
5.00%, 11/01/2045 | | | 1,500 | | | | 1,533 | |
South Dakota Housing Development Authority | | | | | | | | |
3.00%, 11/01/2051 | | | 1,150 | | | | 1,127 | |
4.00%, 11/01/2047 | | | 3,860 | | | | 3,914 | |
| | | | | | | | |
Total South Dakota | | | | 18,679 | |
| | | | | | | | |
Tennessee – 1.12% | | | | | | | | |
Blount County Health & Educational Facilities Board | | | | | | | | |
5.00%, 01/01/2037 | | | 1,240 | | | | 897 | |
Chattanooga Health Educational & Housing Facility Board | | | | | | | | |
5.00%, 10/01/2022 | | | 325 | | | | 326 | |
5.00%, 10/01/2030 | | | 500 | | | | 509 | |
5.00%, 10/01/2032 | | | 1,215 | | | | 1,233 | |
5.00%, 10/01/2035 | | | 2,260 | | | | 2,287 | |
Greeneville Health & Educational Facilities Board | | | | | | | | |
5.00%, 07/01/2025 | | | 1,850 | | | | 1,895 | |
5.00%, 07/01/2035 | | | 1,275 | | | | 1,342 | |
Johnson City Health & Educational Facilities Board | | | | | | | | |
5.00%, 08/15/2042 | | | 2,000 | | | | 2,007 | |
Knox County Health Educational & Housing Facility Board | | | | | | | | |
5.00%, 04/01/2023 | | | 1,825 | | | | 1,865 | |
5.00%, 04/01/2024 | | | 1,000 | | | | 1,042 | |
5.00%, 04/01/2027 | | | 1,740 | | | | 1,867 | |
Memphis-Shelby County Industrial Development Board | | | | | | | | |
4.75%, 07/01/2027 | | | 540 | | | | 465 | |
5.50%, 07/01/2037 | | | 1,600 | | | | 1,221 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd | | | | | | | | |
5.00%, 05/01/2024 | | | 495 | | | | 518 | |
Metropolitan Government of Nashville & Davidson County TN | | | | | | | | |
5.00%, 07/01/2031 | | | 1,100 | | | | 1,192 | |
Nashville Metropolitan Development & Housing Agency | | | | | | | | |
4.50%, 06/01/2028(3) | | | 945 | | | | 956 | |
5.13%, 06/01/2036(3) | | | 3,290 | | | | 3,354 | |
New Memphis Arena Public Building Authority | | | | | | | | |
0.00%, 04/01/2029 | | | 625 | | | | 566 | |
0.00%, 04/01/2030 | | | 750 | | | | 679 | |
0.00%, 04/01/2031 | | | 650 | | | | 588 | |
Shelby County Health Educational & Housing Facilities Board | | | | | | | | |
5.00%, 09/01/2037(3) | | | 1,590 | | | | 1,391 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.16%, 12/01/2060(2)(3) | | | 4,500 | | | | 4,500 | |
Tennergy Corp. | | | | | | | | |
4.00%, 12/01/2051(2) | | | 28,625 | | | | 28,784 | |
5.00%, 02/01/2050(2) | | | 9,320 | | | | 9,721 | |
Tennessee Energy Acquisition Corp. | | | | | | | | |
4.00%, 05/01/2048(2) | | | 7,135 | | | | 7,223 | |
4.00%, 11/01/2049(2) | | | 7,070 | | | | 7,179 | |
5.00%, 02/01/2027 | | | 2,725 | | | | 2,884 | |
Tennessee Housing Development Agency | | | | | | | | |
3.00%, 01/01/2052 | | | 1,735 | | | | 1,689 | |
3.75%, 07/01/2052 | | | 2,400 | | | | 2,408 | |
5.00%, 01/01/2053 | | | 3,215 | | | | 3,405 | |
Tennessee State School Bond Authority | | | | | | | | |
5.00%, 11/01/2040 | | | 25,000 | | | | 27,276 | |
| | | | | | | | |
Total Tennessee | | | | 121,269 | |
| | | | | | | | |
Texas – 8.24% | | | | | | | | |
Alamo Community College District | | | | | | | | |
4.00%, 02/15/2023 | | | 1,000 | | | | 1,015 | |
Arlington Higher Education Finance Corp. | | | | | | | | |
4.00%, 08/15/2031 | | | 435 | | | | 458 | |
4.00%, 08/15/2038 | | | 4,410 | | | | 4,421 | |
4.00%, 08/15/2039 | | | 4,925 | | | | 4,926 | |
4.00%, 08/15/2040 | | | 5,130 | | | | 5,111 | |
4.00%, 08/15/2041 | | | 5,400 | | | | 5,360 | |
4.00%, 08/15/2042 | | | 3,000 | | | | 2,964 | |
5.00%, 08/15/2022 | | | 55 | | | | 55 | |
5.00%, 08/15/2023 | | | 55 | | | | 56 | |
Arlington Independent School District | | | | | | | | |
4.00%, 02/15/2039 | | | 1,500 | | | | 1,536 | |
Austin Community College District Public Facility Corp. | | | | | | | | |
5.00%, 08/01/2024 | | | 430 | | | | 456 | |
5.00%, 08/01/2028 | | | 310 | | | | 345 | |
5.00%, 08/01/2031 | | | 300 | | | | 330 | |
5.00%, 08/01/2031 | | | 580 | | | | 639 | |
| | | | | | | | |
Austin Convention Enterprises, Inc. | | | | | | | | |
5.00%, 01/01/2023 | | | 250 | | | | 251 | |
5.00%, 01/01/2025 | | | 150 | | | | 152 | |
5.00%, 01/01/2027 | | | 400 | | | | 405 | |
5.00%, 01/01/2028 | | | 540 | | | | 545 | |
5.00%, 01/01/2028 | | | 1,570 | | | | 1,642 | |
5.00%, 01/01/2029 | | | 475 | | | | 476 | |
5.00%, 01/01/2029 | | | 1,045 | | | | 1,088 | |
5.00%, 01/01/2030 | | | 720 | | | | 719 | |
5.00%, 01/01/2032 | | | 1,700 | | | | 1,754 | |
5.00%, 01/01/2034 | | | 1,000 | | | | 973 | |
Austin Independent School District | | | | | | | | |
4.00%, 08/01/2032 | | | 2,835 | | | | 3,051 | |
4.00%, 08/01/2033 | | | 3,160 | | | | 3,369 | |
4.00%, 08/01/2034 | | | 3,620 | | | | 3,826 | |
4.00%, 08/01/2035 | | | 2,465 | | | | 2,581 | |
Austin-Bergstrom Landhost Enterprises, Inc. | | | | | | | | |
5.00%, 10/01/2023 | | | 1,425 | | | | 1,462 | |
5.00%, 10/01/2025 | | | 1,780 | | | | 1,873 | |
5.00%, 10/01/2026 | | | 1,400 | | | | 1,487 | |
5.00%, 10/01/2028 | | | 1,925 | | | | 2,045 | |
5.00%, 10/01/2030 | | | 2,175 | | | | 2,287 | |
5.00%, 10/01/2033 | | | 2,000 | | | | 2,081 | |
5.00%, 10/01/2034 | | | 2,000 | | | | 2,078 | |
5.00%, 10/01/2036 | | | 1,000 | | | | 1,036 | |
Barbers Hill Independent School District | | | | | | | | |
4.00%, 02/15/2041 | | | 1,625 | | | | 1,615 | |
Baytown Area Water Authority | | | | | | | | |
5.00%, 05/01/2023 | | | 1,000 | | | | 1,025 | |
5.00%, 05/01/2024 | | | 1,000 | | | | 1,050 | |
5.00%, 05/01/2025 | | | 1,000 | | | | 1,069 | |
Birdville Independent School District | | | | | | | | |
5.00%, 02/15/2026 | | | 725 | | | | 794 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital | | | | | | | | |
5.00%, 12/01/2045 | | | 290 | | | | 289 | |
5.25%, 12/01/2035 | | | 525 | | | | 537 | |
Board of Regents of the University of Texas System | | | | | | | | |
4.00%, 08/15/2036 | | | 10,785 | | | | 10,870 | |
Central Texas Regional Mobility Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 965 | | | | 964 | |
4.00%, 01/01/2033 | | | 1,000 | | | | 982 | |
4.00%, 01/01/2036 | | | 500 | | | | 492 | |
4.00%, 01/01/2037 | | | 620 | | | | 606 | |
5.00%, 01/01/2024 | | | 175 | | | | 180 | |
5.00%, 01/01/2025 | | | 225 | | | | 237 | |
5.00%, 01/01/2025 | | | 3,795 | | | | 3,958 | |
5.00%, 01/01/2028 | | | 300 | | | | 318 | |
5.00%, 01/01/2029 | | | 750 | | | | 818 | |
5.00%, 01/01/2031 | | | 500 | | | | 547 | |
5.00%, 01/01/2031 | | | 600 | | | | 656 | |
5.00%, 01/01/2032 | | | 500 | | | | 544 | |
5.00%, 01/01/2034 | | | 1,475 | | | | 1,596 | |
5.00%, 01/01/2035 | | | 600 | | | | 650 | |
5.00%, 01/01/2036 | | | 600 | | | | 648 | |
5.00%, 01/01/2037 | | | 605 | | | | 651 | |
5.00%, 01/01/2038 | | | 400 | | | | 429 | |
5.00%, 01/01/2039 | | | 500 | | | | 535 | |
Central Texas Turnpike System | | | | | | | | |
5.00%, 08/15/2037 | | | 2,500 | | | | 2,553 | |
5.00%, 08/15/2042 | | | 1,400 | | | | 1,424 | |
City of Arlington TX | | | | | | | | |
5.00%, 08/15/2031 | | | 265 | | | | 285 | |
5.00%, 08/15/2033 | | | 290 | | | | 308 | |
5.00%, 08/15/2035 | | | 320 | | | | 338 | |
City of Arlington TX Special Tax Revenue | | | | | | | | |
4.00%, 02/15/2044 | | | 1,250 | | | | 1,220 | |
City of Austin TX Airport System Revenue | | | | | | | | |
5.00%, 11/15/2026 | | | 1,140 | | | | 1,237 | |
5.00%, 11/15/2028 | | | 1,000 | | | | 1,045 | |
5.25%, 11/15/2047 | | | 1,825 | | | | 1,970 | |
City of Crandall TX | | | | | | | | |
3.38%, 09/15/2026(3) | | | 50 | | | | 46 | |
4.00%, 09/15/2031(3) | | | 100 | | | | 89 | |
City of Dallas TX | | | | | | | | |
5.00%, 02/15/2024 | | | 1,055 | | | | 1,106 | |
5.00%, 02/15/2027 | | | 8,125 | | | | 9,031 | |
City of Dallas TX Hotel Occupancy Tax Revenue | | | | | | | | |
4.00%, 08/15/2029 | | | 1,110 | | | | 1,158 | |
4.00%, 08/15/2030 | | | 1,040 | | | | 1,082 | |
4.00%, 08/15/2032 | | | 1,000 | | | | 1,033 | |
City of Dallas TX Waterworks & Sewer System Revenue | | | | | | | | |
5.00%, 10/01/2027 | | | 530 | | | | 575 | |
5.00%, 10/01/2031 | | | 800 | | | | 875 | |
City of El Paso TX | | | | | | | | |
5.00%, 08/15/2025 | | | 2,245 | | | | 2,428 | |
| | | | | | | | |
City of El Paso TX Water & Sewer Revenue | | | | | | | | |
5.00%, 03/01/2034 | | | 1,725 | | | | 1,974 | |
5.00%, 03/01/2035 | | | 1,035 | | | | 1,181 | |
City of Elgin TX | | | | | | | | |
4.00%, 07/15/2027 | | | 330 | | | | 349 | |
4.00%, 07/15/2029 | | | 350 | | | | 371 | |
4.00%, 07/15/2031 | | | 295 | | | | 312 | |
4.00%, 07/15/2031 | | | 385 | | | | 408 | |
4.00%, 07/15/2033 | | | 240 | | | | 250 | |
4.00%, 07/15/2033 | | | 415 | | | | 432 | |
4.00%, 07/15/2034 | | | 175 | | | | 180 | |
4.00%, 07/15/2037 | | | 280 | | | | 280 | |
4.00%, 07/15/2039 | | | 270 | | | | 262 | |
4.00%, 07/15/2040 | | | 315 | | | | 297 | |
City of Fort Worth TX | | | | | | | | |
5.00%, 03/01/2023 | | | 1,125 | | | | 1,149 | |
City of Garland TX Water & Sewer System Revenue | | | | | | | | |
5.00%, 03/01/2028 | | | 700 | | | | 775 | |
City of Georgetown TX Utility System Revenue | | | | | | | | |
5.00%, 08/15/2029 | | | 750 | | | | 845 | |
5.00%, 08/15/2032 | | | 1,250 | | | | 1,418 | |
5.00%, 08/15/2034 | | | 1,300 | | | | 1,464 | |
City of Houston TX | | | | | | | | |
5.00%, 03/01/2023 | | | 1,975 | | | | 2,019 | |
5.00%, 03/01/2025 | | | 750 | | | | 805 | |
5.00%, 03/01/2029 | | | 1,000 | | | | 1,104 | |
City of Houston TX Airport System Revenue | | | | | | | | |
4.00%, 07/01/2035 | | | 2,100 | | | | 2,073 | |
4.00%, 07/01/2036 | | | 2,500 | | | | 2,467 | |
4.00%, 07/01/2041 | | | 1,950 | | | | 1,661 | |
4.75%, 07/01/2024 | | | 1,400 | | | | 1,402 | |
5.00%, 07/01/2027 | | | 1,625 | | | | 1,648 | |
5.00%, 07/01/2027 | | | 3,000 | | | | 3,312 | |
5.00%, 07/15/2027 | | | 2,325 | | | | 2,358 | |
5.00%, 07/01/2029 | | | 1,000 | | | | 1,088 | |
5.00%, 07/01/2031 | | | 1,750 | | | | 1,884 | |
5.00%, 07/01/2032 | | | 1,750 | | | | 1,874 | |
5.00%, 07/01/2033 | | | 1,770 | | | | 1,935 | |
5.00%, 07/01/2034 | | | 1,750 | | | | 1,902 | |
5.00%, 07/15/2035 | | | 800 | | | | 786 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
0.00%, 12/01/2028 | | | 5,000 | | | | 4,156 | |
4.00%, 11/15/2035 | | | 300 | | | | 308 | |
4.00%, 11/15/2036 | | | 300 | | | | 307 | |
5.00%, 11/15/2022 | | | 200 | | | | 203 | |
5.00%, 11/15/2023 | | | 225 | | | | 235 | |
5.00%, 05/15/2028 | | | 410 | | | | 431 | |
5.00%, 11/15/2033 | | | 400 | | | | 431 | |
City of Houston TX Hotel Occupancy Tax & Special Revenue | | | | | | | | |
5.00%, 09/01/2036 | | | 2,100 | | | | 2,271 | |
City of Lubbock TX Electric Light & Power System Revenue | | | | | | | | |
4.00%, 04/15/2038 | | | 3,000 | | | | 3,020 | |
4.00%, 04/15/2039 | | | 2,500 | | | | 2,510 | |
City of Midland TX | | | | | | | | |
4.00%, 03/01/2044 | | | 1,250 | | | | 1,250 | |
City of Mission TX | | | | | | | | |
5.00%, 02/15/2027 | | | 230 | | | | 253 | |
5.00%, 02/15/2027 | | | 335 | | | | 369 | |
5.00%, 02/15/2029 | | | 125 | | | | 140 | |
City of Pearland TX | | | | | | | | |
5.00%, 03/01/2024 | | | 650 | | | | 682 | |
City of San Antonio TX Airport System | | | | | | | | |
5.00%, 07/01/2027 | | | 2,000 | | | | 2,182 | |
5.00%, 07/01/2028 | | | 1,750 | | | | 1,918 | |
5.00%, 07/01/2030 | | | 1,000 | | | | 1,092 | |
City of San Antonio TX Electric & Gas Systems Revenue | | | | | | | | |
1.13%, 12/01/2045(2) | | | 22,440 | | | | 20,741 | |
1.75%, 02/01/2049(2) | | | 4,000 | | | | 3,868 | |
2.00%, 02/01/2049(2) | | | 15,940 | | | | 15,099 | |
5.00%, 02/01/2030 | | | 1,000 | | | | 1,099 | |
5.00%, 02/01/2037 | | | 800 | | | | 893 | |
5.00%, 02/01/2038 | | | 1,530 | | | | 1,701 | |
5.00%, 02/01/2039 | | | 1,700 | | | | 1,884 | |
5.00%, 02/01/2040 | | | 1,465 | | | | 1,617 | |
5.00%, 02/01/2041 | | | 570 | | | | 628 | |
City of Temple TX | | | | | | | | |
4.00%, 08/01/2031 | | | 225 | | | | 236 | |
4.00%, 08/01/2033 | | | 200 | | | | 207 | |
4.00%, 08/01/2034 | | | 240 | | | | 248 | |
4.00%, 08/01/2035 | | | 215 | | | | 222 | |
4.00%, 08/01/2039 | | | 220 | | | | 224 | |
4.00%, 08/01/2041 | | | 170 | | | | 172 | |
City of Waco TX | | | | | | | | |
5.00%, 02/01/2025 | | | 1,710 | | | | 1,789 | |
Clifton Higher Education Finance Corp. | | | | | | | | |
3.00%, 08/15/2032 | | | 370 | | | | 354 | |
3.00%, 08/15/2033 | | | 260 | | | | 245 | |
| | | | | | | | |
3.00%, 08/15/2034 | | | 655 | | | | 612 | |
3.00%, 08/15/2035 | | | 680 | | | | 626 | |
3.00%, 08/15/2036 | | | 330 | | | | 301 | |
3.00%, 08/15/2037 | | | 730 | | | | 657 | |
3.00%, 08/15/2038 | | | 380 | | | | 337 | |
3.00%, 08/15/2039 | | | 780 | | | | 684 | |
3.00%, 08/15/2040 | | | 935 | | | | 806 | |
3.00%, 08/15/2041 | | | 965 | | | | 819 | |
4.00%, 08/15/2034 | | | 400 | | | | 425 | |
4.00%, 08/15/2036 | | | 350 | | | | 370 | |
4.00%, 08/15/2037 | | | 500 | | | | 527 | |
4.00%, 08/15/2038 | | | 600 | | | | 629 | |
5.00%, 08/15/2025 | | | 460 | | | | 495 | |
5.00%, 08/15/2030 | | | 170 | | | | 194 | |
5.00%, 08/15/2031 | | | 100 | | | | 115 | |
6.13%, 08/15/2048 | | | 4,750 | | | | 4,840 | |
Conroe Local Government Corp. | | | | | | | | |
5.00%, 10/01/2033 | | | 200 | | | | 225 | |
5.00%, 10/01/2034 | | | 200 | | | | 224 | |
5.00%, 10/01/2035 | | | 135 | | | | 151 | |
Coppell Independent School District | | | | | | | | |
4.00%, 08/15/2034 | | | 2,310 | | | | 2,431 | |
4.00%, 08/15/2036 | | | 2,580 | | | | 2,700 | |
5.00%, 08/15/2033 | | | 2,985 | | | | 3,339 | |
County of Comal TX | | | | | | | | |
4.00%, 02/01/2023 | | | 1,000 | | | | 1,014 | |
County of El Paso TX | | | | | | | | |
5.00%, 02/15/2029 | | | 1,500 | | | | 1,670 | |
5.00%, 02/15/2031 | | | 1,280 | | | | 1,371 | |
County of Harris TX | | | | | | | | |
5.00%, 10/01/2027 | | | 5,000 | | | | 5,643 | |
County of Tarrant TX | | | | | | | | |
5.00%, 07/15/2037 | | | 945 | | | | 1,071 | |
5.00%, 07/15/2038 | | | 2,500 | | | | 2,825 | |
Cypress-Fairbanks Independent School District | | | | | | | | |
1.25%, 02/15/2036(2) | | | 390 | | | | 390 | |
1.25%, 02/15/2036(2) | | | 1,190 | | | | 1,190 | |
5.00%, 02/15/2025 | | | 1,000 | | | | 1,047 | |
5.00%, 02/15/2025 | | | 1,205 | | | | 1,292 | |
5.00%, 02/15/2027 | | | 470 | | | | 513 | |
Dallas Area Rapid Transit | | | | | | | | |
5.00%, 12/01/2024 | | | 550 | | | | 588 | |
Dallas County Utility & Reclamation District | | | | | | | | |
5.00%, 02/15/2024 | | | 1,125 | | | | 1,177 | |
Dallas Fort Worth International Airport | | | | | | | | |
4.00%, 11/01/2034 | | | 1,930 | | | | 1,934 | |
4.00%, 11/01/2035 | | | 3,870 | | | | 3,871 | |
4.00%, 11/01/2045 | | | 4,215 | | | | 4,079 | |
4.00%, 11/01/2046 | | | 3,950 | | | | 3,821 | |
5.00%, 11/01/2031 | | | 2,310 | | | | 2,615 | |
5.00%, 11/01/2032 | | | 1,600 | | | | 1,632 | |
5.00%, 11/01/2044 | | | 300 | | | | 302 | |
5.25%, 11/01/2027 | | | 1,145 | | | | 1,180 | |
Dallas Independent School District | | | | | | | | |
4.00%, 02/15/2023 | | | 1,250 | | | | 1,269 | |
4.00%, 02/15/2025 | | | 1,655 | | | | 1,734 | |
4.00%, 02/15/2026 | | | 1,000 | | | | 1,059 | |
Decatur Hospital Authority | | | | | | | | |
5.00%, 09/01/2030 | | | 555 | | | | 607 | |
5.00%, 09/01/2032 | | | 1,110 | | | | 1,195 | |
Denton Independent School District | | | | | | | | |
0.00%, 08/15/2025 | | | 500 | | | | 464 | |
2.00%, 08/01/2044(2) | | | 175 | | | | 173 | |
2.00%, 08/01/2044(2) | | | 2,700 | | | | 2,667 | |
El Paso County Hospital District | | | | | | | | |
5.00%, 08/15/2027 | | | 1,260 | | | | 1,291 | |
5.00%, 08/15/2029 | | | 50 | | | | 51 | |
Fort Bend Independent School District | | | | | | | | |
0.72%, 08/01/2051(2) | | | 10,340 | | | | 9,497 | |
0.88%, 08/01/2050(2) | | | 2,820 | | | | 2,685 | |
Grand Parkway Transportation Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 1,580 | | | | 1,606 | |
5.00%, 10/01/2031 | | | 2,630 | | | | 2,910 | |
5.00%, 10/01/2033 | | | 1,205 | | | | 1,318 | |
5.00%, 10/01/2034 | | | 1,500 | | | | 1,638 | |
5.00%, 10/01/2052(2) | | | 9,910 | | | | 10,250 | |
Greater Texoma Utility Authority | | | | | | | | |
5.00%, 10/01/2022 | | | 140 | | | | 141 | |
5.00%, 10/01/2037 | | | 1,305 | | | | 1,453 | |
Gregg County Health Facilities Development Corp. | | | | | | | | |
4.50%, 07/01/2032 | | | 635 | | | | 635 | |
5.00%, 07/01/2042 | | | 25 | | | | 25 | |
Gulf Coast Industrial Development Authority | | | | | | | | |
4.88%, 05/01/2025 | | | 2,250 | | | | 2,222 | |
Harlandale Independent School District | | | | | | | | |
5.00%, 08/01/2030 | | | 1,305 | | | | 1,433 | |
| | | | | | | | |
Harris County Cultural Education Facilities Finance Corp. | | | | | | | | |
0.90%, 05/15/2050(2) | | | 1,630 | | | | 1,603 | |
1.39% (1 Month LIBOR USD + 0.65%), 11/15/2046(1) | | | 1,500 | | | | 1,504 | |
3.00%, 10/01/2040 | | | 1,000 | | | | 851 | |
4.00%, 10/01/2041 | | | 500 | | | | 495 | |
5.00%, 01/01/2043 | | | 180 | | | | 167 | |
5.00%, 07/01/2049(2) | | | 1,390 | | | | 1,398 | |
5.00%, 07/01/2049(2) | | | 1,480 | | | | 1,565 | |
5.00%, 07/01/2049(2) | | | 5,000 | | | | 5,455 | |
5.00%, 10/01/2051(2) | | | 14,500 | | | | 16,401 | |
Harris County Flood Control District | | | | | | | | |
4.00%, 10/01/2036 | | | 480 | | | | 502 | |
4.00%, 10/01/2037 | | | 4,400 | | | | 4,576 | |
5.00%, 10/01/2031 | | | 3,145 | | | | 3,636 | |
Harris County Municipal Utility District No 82 | | | | | | | | |
4.00%, 10/01/2023 | | | 750 | | | | 770 | |
Hays Consolidated Independent School District | | | | | | | | |
2.70%, 08/15/2042(2) | | | 240 | | | | 240 | |
2.70%, 08/15/2042(2) | | | 930 | | | | 931 | |
2.70%, 08/15/2042(2) | | | 1,730 | | | | 1,732 | |
Houston Higher Education Finance Corp. | | | | | | | | |
3.38%, 10/01/2037 | | | 1,000 | | | | 868 | |
Houston Independent School District | | | | | | | | |
4.00%, 06/01/2029(2) | | | 1,200 | | | | 1,222 | |
4.00%, 06/01/2039(2) | | | 4,415 | | | | 4,494 | |
5.00%, 02/15/2030 | | | 1,000 | | | | 1,089 | |
Irving Hospital Authority | | | | | | | | |
5.00%, 10/15/2035 | | | 625 | | | | 648 | |
Keller Independent School District | | | | | | | | |
4.00%, 08/15/2038 | | | 10,000 | | | | 10,169 | |
Lake Houston Redevelopment Authority | | | | | | | | |
3.00%, 09/01/2039 | | | 350 | | | | 275 | |
4.00%, 09/01/2035 | | | 250 | | | | 239 | |
5.00%, 09/01/2026 | | | 230 | | | | 243 | |
5.00%, 09/01/2030 | | | 250 | | | | 268 | |
Lewisville Independent School District | | | | | | | | |
4.00%, 08/15/2036 | | | 1,600 | | | | 1,669 | |
Love Field Airport Modernization Corp. | | | | | | | | |
4.00%, 11/01/2038 | | | 1,000 | | | | 965 | |
5.00%, 11/01/2028 | | | 1,250 | | | | 1,261 | |
5.00%, 11/01/2030 | | | 1,080 | | | | 1,130 | |
5.00%, 11/01/2035 | | | 1,000 | | | | 1,050 | |
Lower Colorado River Authority | | | | | | | | |
5.00%, 05/15/2025 | | | 1,190 | | | | 1,276 | |
5.00%, 05/15/2026 | | | 1,000 | | | | 1,092 | |
5.00%, 05/15/2036 | | | 1,425 | | | | 1,563 | |
5.00%, 05/15/2038 | | | 3,480 | | | | 3,816 | |
5.00%, 05/15/2040 | | | 5,250 | | | | 5,727 | |
5.00%, 05/15/2051 | | | 5,000 | | | | 5,313 | |
Mesquite Independent School District | | | | | | | | |
4.00%, 08/15/2039 | | | 1,000 | | | | 1,031 | |
Midlothian Independent School District | | | | | | | | |
2.00%, 08/01/2051(2) | | | 1,065 | | | | 1,051 | |
Mission Economic Development Corp. | | | | | | | | |
4.63%, 10/01/2031(3) | | | 3,955 | | | | 4,019 | |
Montgomery County Toll Road Authority | | | | | | | | |
5.00%, 09/15/2032 | | | 50 | | | | 51 | |
5.00%, 09/15/2033 | | | 270 | | | | 277 | |
5.00%, 09/15/2034 | | | 55 | | | | 56 | |
5.00%, 09/15/2035 | | | 1,145 | | | | 1,171 | |
5.00%, 09/15/2036 | | | 75 | | | | 77 | |
5.00%, 09/15/2037 | | | 1,245 | | | | 1,271 | |
5.00%, 09/15/2038 | | | 125 | | | | 127 | |
5.00%, 09/15/2043 | | | 380 | | | | 385 | |
5.00%, 09/15/2048 | | | 1,070 | | | | 1,081 | |
Needville Independent School District | | | | | | | | |
5.00%, 08/15/2025 | | | 1,175 | | | | 1,272 | |
New Hope Cultural Education Facilities Finance Corp. | | | | | | | | |
4.00%, 08/15/2026(3) | | | 665 | | | | 653 | |
4.00%, 08/15/2028(3) | | | 535 | | | | 518 | |
4.00%, 08/15/2031(3) | | | 725 | | | | 680 | |
4.25%, 10/01/2026 | | | 2,000 | | | | 2,000 | |
5.00%, 08/15/2024 | | | 730 | | | | 773 | |
5.00%, 08/15/2026 | | | 200 | | | | 220 | |
5.00%, 08/15/2027 | | | 375 | | | | 420 | |
5.00%, 04/01/2029 | | | 1,000 | | | | 1,004 | |
5.00%, 08/15/2030 | | | 3,500 | | | | 3,839 | |
5.00%, 04/01/2031 | | | 335 | | | | 367 | |
5.00%, 10/01/2031 | | | 160 | | | | 155 | |
5.00%, 11/01/2031 | | | 1,750 | | | | 1,812 | |
5.00%, 04/01/2034 | | | 475 | | | | 499 | |
5.00%, 10/01/2034 | | | 185 | | | | 176 | |
5.00%, 07/01/2035 | | | 2,100 | | | | 1,785 | |
5.00%, 04/01/2036 | | | 820 | | | | 898 | |
5.00%, 04/01/2037 | | | 1,310 | | | | 1,459 | |
5.00%, 10/01/2039 | | | 250 | | | | 230 | |
5.00%, 07/01/2040 | | | 4,000 | | | | 3,773 | |
5.00%, 11/01/2040 | | | 1,100 | | | | 1,126 | |
| | | | | | | | |
5.00%, 07/01/2047 | | | 1,075 | | | | 914 | |
5.00%, 04/01/2048 | | | 1,250 | | | | 1,368 | |
5.00%, 07/01/2058 | | | 275 | | | | 285 | |
5.25%, 10/01/2049 | | | 610 | | | | 557 | |
5.50%, 11/15/2052 | | | 250 | | | | 219 | |
Newark Higher Education Finance Corp. | | | | | | | | |
5.00%, 04/01/2029 | | | 505 | | | | 537 | |
North Texas Municipal Water District Upper East Fork Wastewater Interceptor System | | | | | | | | |
5.00%, 06/01/2028 | | | 1,050 | | | | 1,175 | |
5.00%, 06/01/2029 | | | 600 | | | | 668 | |
North Texas Tollway Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 1,000 | | | | 1,034 | |
4.00%, 01/01/2034 | | | 1,000 | | | | 1,030 | |
4.00%, 01/01/2035 | | | 1,000 | | | | 1,024 | |
4.00%, 01/01/2036 | | | 1,350 | | | | 1,369 | |
4.00%, 01/01/2037 | | | 1,650 | | | | 1,656 | |
4.00%, 01/01/2038 | | | 1,250 | | | | 1,246 | |
4.00%, 01/01/2040 | | | 1,250 | | | | 1,233 | |
5.00%, 01/01/2023 | | | 90 | | | | 92 | |
5.00%, 01/01/2023 | | | 145 | | | | 147 | |
5.00%, 01/01/2025 | | | 705 | | | | 752 | |
5.00%, 01/01/2025 | | | 860 | | | | 917 | |
5.00%, 01/01/2030 | | | 75 | | | | 80 | |
5.00%, 01/01/2030 | | | 6,250 | | | | 6,445 | |
5.00%, 01/01/2031 | | | 105 | | | | 112 | |
5.00%, 01/01/2031 | | | 500 | | | | 534 | |
5.00%, 01/01/2031 | | | 1,100 | | | | 1,207 | |
5.00%, 01/01/2031 | | | 1,900 | | | | 1,957 | |
5.00%, 01/01/2032 | | | 1,100 | | | | 1,202 | |
5.00%, 01/01/2033 | | | 500 | | | | 537 | |
5.00%, 01/01/2033 | | | 1,250 | | | | 1,362 | |
5.00%, 01/01/2033 | | | 3,150 | | | | 3,289 | |
5.00%, 01/01/2034 | | | 1,400 | | | | 1,522 | |
5.00%, 01/01/2035 | | | 1,500 | | | | 1,627 | |
5.00%, 01/01/2036 | | | 550 | | | | 582 | |
5.00%, 01/01/2039 | | | 170 | | | | 179 | |
5.00%, 01/01/2040 | | | 2,000 | | | | 2,022 | |
Northside Independent School District | | | | | | | | |
0.70%, 06/01/2050(2) | | | 24,595 | | | | 23,297 | |
1.60%, 08/01/2049(2) | | | 14,920 | | | | 14,702 | |
Old Spanish Trail-Alemda Corridors Redevelopment Authority | | | | | | | | |
4.00%, 09/01/2033 | | | 1,360 | | | | 1,423 | |
Pasadena Independent School District | | | | | | | | |
1.50%, 02/15/2044(2) | | | 4,295 | | | | 4,235 | |
Permanent University Fund - University of Texas System | | | | | | | | |
5.00%, 07/01/2029 | | | 235 | | | | 258 | |
Pflugerville Independent School District | | | | | | | | |
2.50%, 02/15/2039(2) | | | 1,340 | | | | 1,351 | |
Port Arthur Independent School District | | | | | | | | |
4.00%, 02/15/2034 | | | 550 | | | | 575 | |
Port Beaumont Navigation District | | | | | | | | |
1.88%, 01/01/2026(3) | | | 850 | | | | 783 | |
2.00%, 01/01/2027(3) | | | 550 | | | | 495 | |
2.13%, 01/01/2028(3) | | | 575 | | | | 506 | |
2.25%, 01/01/2029(3) | | | 820 | | | | 705 | |
2.50%, 01/01/2030(3) | | | 1,000 | | | | 851 | |
2.63%, 01/01/2031(3) | | | 800 | | | | 669 | |
2.88%, 01/01/2041(3) | | | 1,000 | | | | 697 | |
4.00%, 01/01/2050(3) | | | 1,035 | | | | 848 | |
Port of Port Arthur Navigation District | | | | | | | | |
0.95%, 04/01/2040(2) | | | 27,485 | | | | 27,485 | |
0.95%, 04/01/2040(2) | | | 33,090 | | | | 33,090 | |
0.97%, 04/01/2040(2) | | | 6,165 | | | | 6,165 | |
Rockwall Independent School District | | | | | | | | |
0.00%, 02/15/2024 | | | 1,005 | | | | 972 | |
San Antonio Water System | | | | | | | | |
2.00%, 05/01/2044(2) | | | 900 | | | | 900 | |
4.00%, 05/15/2039 | | | 4,500 | | | | 4,479 | |
5.00%, 05/15/2032 | | | 3,000 | | | | 3,061 | |
Southwest Houston Redevelopment Authority | | | | | | | | |
4.00%, 09/01/2031 | | | 400 | | | | 411 | |
4.00%, 09/01/2032 | | | 400 | | | | 409 | |
4.00%, 09/01/2033 | | | 425 | | | | 431 | |
4.00%, 09/01/2034 | | | 355 | | | | 360 | |
4.00%, 09/01/2035 | | | 225 | | | | 227 | |
4.00%, 09/01/2036 | | | 700 | | | | 707 | |
State of Texas | | | | | | | | |
4.00%, 10/01/2032 | | | 1,200 | | | | 1,219 | |
5.00%, 08/01/2025 | | | 2,035 | | | | 2,096 | |
5.00%, 08/01/2026 | | | 1,000 | | | | 1,053 | |
5.00%, 04/01/2027 | | | 5,000 | | | | 5,483 | |
5.00%, 04/01/2039 | | | 10,000 | | | | 10,528 | |
5.50%, 08/01/2032 | | | 1,000 | | | | 1,098 | |
Tarrant County College District | | | | | | | | |
5.00%, 08/15/2038 | | | 5,000 | | | | 5,609 | |
5.00%, 08/15/2039 | | | 7,000 | | | | 7,835 | |
| | | | | | | | |
Tarrant County Cultural Education Facilities Finance Corp. | | | | | | | | |
4.00%, 10/01/2041 | | | 1,950 | | | | 1,925 | |
4.00%, 10/01/2042 | | | 1,285 | | | | 1,269 | |
5.00%, 11/15/2022 | | | 300 | | | | 303 | |
5.00%, 07/01/2026 | | | 1,775 | | | | 1,914 | |
5.00%, 11/15/2035(5) | | | 1,015 | | | | 406 | |
5.00%, 11/15/2035 | | | 1,750 | | | | 1,776 | |
5.00%, 11/15/2037 | | | 4,400 | | | | 4,634 | |
5.00%, 10/01/2038 | | | 1,775 | | | | 1,944 | |
5.00%, 10/01/2039 | | | 1,650 | | | | 1,803 | |
5.00%, 11/15/2040 | | | 1,650 | | | | 1,715 | |
5.00%, 11/15/2040 | | | 1,800 | | | | 1,818 | |
5.00%, 11/15/2045(5) | | | 1,175 | | | | 470 | |
5.00%, 11/15/2046 | | | 1,615 | | | | 1,669 | |
5.75%, 12/01/2054 | | | 531 | | | | 419 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.03%, 01/01/2029(2)(3) | | | 400 | | | | 400 | |
1.16%, 04/01/2059(2)(3) | | | 3,100 | | | | 3,100 | |
1.16%, 11/01/2060(2)(3) | | | 3,400 | | | | 3,400 | |
1.16%, 01/01/2061(2)(3) | | | 1,000 | | | | 1,000 | |
1.16%, 01/01/2061(2)(3) | | | 2,550 | | | | 2,550 | |
1.16%, 08/01/2061(2)(3) | | | 1,900 | | | | 1,900 | |
1.16%, 12/01/2061(2)(3) | | | 3,500 | | | | 3,500 | |
Texas A&M University | | | | | | | | |
3.00%, 05/15/2028 | | | 2,300 | | | | 2,336 | |
Texas Department of Housing & Community Affairs | | | | | | | | |
2.95%, 07/01/2036 | | | 1,616 | | | | 1,485 | |
3.50%, 03/01/2051 | | | 6,300 | | | | 6,269 | |
3.50%, 07/01/2052 | | | 7,675 | | | | 7,601 | |
4.00%, 03/01/2050 | | | 1,505 | | | | 1,527 | |
Texas Municipal Gas Acquisition & Supply Corp. I | | | | | | | | |
5.25%, 12/15/2022 | | | 450 | | | | 456 | |
5.25%, 12/15/2025 | | | 3,000 | | | | 3,185 | |
6.25%, 12/15/2026 | | | 5,740 | | | | 6,139 | |
Texas Municipal Gas Acquisition & Supply Corp. II | | | | | | | | |
1.90% (3 Month LIBOR USD + 0.69%), 09/15/2027(1) | | | 36,000 | | | | 35,103 | |
Texas Municipal Gas Acquisition & Supply Corp. III | | | | | | | | |
5.00%, 12/15/2022 | | | 1,000 | | | | 1,011 | |
5.00%, 12/15/2023 | | | 1,250 | | | | 1,286 | |
5.00%, 12/15/2028 | | | 7,000 | | | | 7,435 | |
5.00%, 12/15/2029 | | | 1,445 | | | | 1,538 | |
5.00%, 12/15/2030 | | | 6,850 | | | | 7,297 | |
5.00%, 12/15/2031 | | | 630 | | | | 671 | |
5.00%, 12/15/2032 | | | 12,400 | | | | 13,215 | |
Texas Municipal Power Agency | | | | | | | | |
3.00%, 09/01/2034 | | | 785 | | | | 727 | |
3.00%, 09/01/2038 | | | 2,900 | | | | 2,568 | |
3.00%, 09/01/2040 | | | 1,800 | | | | 1,559 | |
Texas Private Activity Bond Surface Transportation Corp. | | | | | | | | |
4.00%, 12/31/2032 | | | 2,500 | | | | 2,415 | |
4.00%, 12/31/2033 | | | 2,040 | | | | 1,956 | |
4.00%, 06/30/2036 | | | 1,175 | | | | 1,106 | |
5.00%, 12/31/2034 | | | 3,000 | | | | 3,117 | |
5.00%, 12/31/2050 | | | 5,410 | | | | 5,438 | |
5.00%, 12/31/2055 | | | 2,755 | | | | 2,767 | |
5.00%, 06/30/2058 | | | 1,000 | | | | 990 | |
Texas Public Finance Authority | | | | | | | | |
5.00%, 02/01/2028 | | | 2,300 | | | | 2,597 | |
Texas State University System | | | | | | | | |
5.00%, 03/15/2029 | | | 610 | | | | 670 | |
5.00%, 03/15/2032 | | | 1,325 | | | | 1,447 | |
Texas Transportation Commission | | | | | | | | |
0.65%, 10/01/2041(2) | | | 15,145 | | | | 13,966 | |
Texas Transportation Commission State Highway 249 System | | | | | | | | |
0.00%, 08/01/2034 | | | 1,060 | | | | 619 | |
0.00%, 08/01/2037 | | | 725 | | | | 362 | |
0.00%, 08/01/2038 | | | 800 | | | | 376 | |
0.00%, 08/01/2039 | | | 710 | | | | 316 | |
0.00%, 08/01/2040 | | | 1,500 | | | | 632 | |
5.00%, 08/01/2057 | | | 2,930 | | | | 2,979 | |
Texas Transportation Commission State Highway Fund | | | | | | | | |
5.00%, 10/01/2023 | | | 5,020 | | | | 5,222 | |
Texas Water Development Board | | | | | | | | |
4.00%, 10/15/2044 | | | 5,000 | | | | 5,047 | |
5.00%, 04/15/2028 | | | 1,500 | | | | 1,701 | |
5.00%, 10/15/2028 | | | 2,370 | | | | 2,704 | |
5.00%, 04/15/2029 | | | 2,000 | | | | 2,294 | |
5.00%, 10/15/2029 | | | 4,100 | | | | 4,730 | |
5.00%, 04/15/2030 | | | 2,000 | | | | 2,318 | |
5.00%, 10/15/2030 | | | 3,060 | | | | 3,565 | |
5.00%, 08/01/2041 | | | 6,000 | | | | 6,788 | |
University of Houston | | | | | | | | |
5.00%, 02/15/2030 | | | 860 | | | | 926 | |
University of North Texas System | | | | | | | | |
5.00%, 04/15/2032 | | | 210 | | | | 244 | |
5.00%, 04/15/2033 | | | 205 | | | | 236 | |
5.00%, 04/15/2034 | | | 280 | | | | 320 | |
| | | | | | | | |
5.00%, 04/15/2035 | | | 295 | | | | 336 | |
5.00%, 04/15/2036 | | | 280 | | | | 318 | |
5.00%, 04/15/2037 | | | 370 | | | | 420 | |
5.00%, 04/15/2038 | | | 425 | | | | 481 | |
5.00%, 04/15/2039 | | | 465 | | | | 526 | |
Uptown Development Authority | | | | | | | | |
4.00%, 09/01/2032 | | | 425 | | | | 410 | |
5.00%, 09/01/2033 | | | 715 | | | | 735 | |
Viridian Municipal Management District | | | | | | | | |
4.00%, 12/01/2029 | | | 520 | | | | 530 | |
4.00%, 12/01/2031 | | | 560 | | | | 569 | |
4.00%, 12/01/2032 | | | 580 | | | | 588 | |
4.00%, 12/01/2033 | | | 605 | | | | 613 | |
Wylie Independent School District | | | | | | | | |
0.00%, 08/15/2037 | | | 600 | | | | 333 | |
| | | | | | | | |
Total Texas | | | | 890,403 | |
| | | | | | | | |
Utah – 0.53% | | | | | | | | |
Intermountain Power Agency | | | | | | | | |
5.00%, 07/01/2029 | | | 1,125 | | | | 1,289 | |
5.00%, 07/01/2030 | | | 1,250 | | | | 1,442 | |
5.00%, 07/01/2037 | | | 5,175 | | | | 5,882 | |
Military Installation Development Authority | | | | | | | | |
4.00%, 06/01/2041 | | | 200 | | | | 163 | |
4.00%, 06/01/2041 | | | 1,200 | | | | 951 | |
4.00%, 06/01/2052 | | | 3,500 | | | | 2,544 | |
Salt Lake City Corp. Airport Revenue | | | | | | | | |
5.00%, 07/01/2025 | | | 1,000 | | | | 1,066 | |
5.00%, 07/01/2026 | | | 1,700 | | | | 1,831 | |
5.00%, 07/01/2026 | | | 3,000 | | | | 3,231 | |
5.00%, 07/01/2030 | | | 1,000 | | | | 1,084 | |
5.00%, 07/01/2042 | | | 2,500 | | | | 2,594 | |
5.00%, 07/01/2047 | | | 5,000 | | | | 5,156 | |
5.25%, 07/01/2048 | | | 3,000 | | | | 3,149 | |
State of Utah | | | | | | | | |
5.00%, 07/01/2023 | | | 1,760 | | | | 1,818 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.16%, 04/01/2065(2)(3) | | | 6,600 | | | | 6,600 | |
UIPA Crossroads Public Infrastructure District | | | | | | | | |
4.38%, 06/01/2052(3) | | | 3,500 | | | | 2,829 | |
Utah Charter School Finance Authority | | | | | | | | |
4.00%, 04/15/2040 | | | 2,440 | | | | 2,371 | |
4.00%, 10/15/2040 | | | 2,130 | | | | 2,081 | |
Utah Infrastructure Agency | | | | | | | | |
3.00%, 10/15/2026 | | | 500 | | | | 484 | |
4.00%, 10/15/2028 | | | 350 | | | | 347 | |
4.00%, 10/15/2029 | | | 610 | | | | 597 | |
4.00%, 10/15/2031 | | | 250 | | | | 237 | |
4.00%, 10/15/2033 | | | 600 | | | | 553 | |
4.00%, 10/15/2034 | | | 1,410 | | | | 1,282 | |
4.00%, 10/15/2036 | | | 345 | | | | 356 | |
4.00%, 10/15/2036 | | | 500 | | | | 442 | |
4.00%, 10/15/2038 | | | 650 | | | | 658 | |
4.00%, 10/15/2041 | | | 800 | | | | 799 | |
4.00%, 10/15/2041 | | | 1,550 | | | | 1,291 | |
4.00%, 10/15/2044 | | | 960 | | | | 959 | |
5.00%, 10/15/2027 | | | 550 | | | | 576 | |
Utah Transit Authority | | | | | | | | |
4.00%, 12/15/2031 | | | 2,880 | | | | 2,989 | |
| | | | | | | | |
Total Utah | | | | 57,651 | |
| | | | | | | | |
Vermont – 0.07% | | | | | | | | |
Vermont Educational & Health Buildings Financing Agency | | | | | | | | |
5.00%, 10/15/2027 | | | 1,000 | | | | 1,061 | |
5.00%, 10/15/2029 | | | 890 | | | | 936 | |
Vermont Housing Finance Agency | | | | | | | | |
3.00%, 11/01/2051 | | | 1,935 | | | | 1,864 | |
Vermont Student Assistance Corp. | | | | | | | | |
5.00%, 06/15/2025 | | | 800 | | | | 846 | |
5.00%, 06/15/2026 | | | 100 | | | | 107 | |
5.00%, 06/15/2026 | | | 500 | | | | 536 | |
5.00%, 06/15/2027 | | | 700 | | | | 745 | |
5.00%, 06/15/2030 | | | 450 | | | | 476 | |
5.00%, 06/15/2031 | | | 500 | | | | 529 | |
| | | | | | | | |
Total Vermont | | | | 7,100 | |
| | | | | | | | |
Virgin Islands – 0.29% | | | | | | | | |
Matching Fund Special Purpose Securitization Corp. | | | | | | | | |
5.00%, 10/01/2026 | | | 5,995 | | | | 6,150 | |
5.00%, 10/01/2027 | | | 14,870 | | | | 15,283 | |
5.00%, 10/01/2028 | | | 4,145 | | | | 4,261 | |
5.00%, 10/01/2030 | | | 2,510 | | | | 2,580 | |
Virgin Islands Public Finance Authority | | | | | | | | |
5.00%, 10/01/2032 | | | 3,000 | | | | 3,014 | |
| | | | | | | | |
Total Virgin Islands | | | | 31,288 | |
| | | | | | | | |
Virginia – 1.89% | | | | | | | | |
Arlington County Industrial Development Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 905 | | | | 989 | |
Chesapeake Bay Bridge & Tunnel District | | | | | | | | |
5.00%, 11/01/2023 | | | 7,700 | | | | 7,957 | |
5.00%, 07/01/2046 | | | 4,535 | | | | 4,668 | |
5.00%, 07/01/2051 | | | 1,670 | | | | 1,713 | |
| | | | | | | | |
City of Norfolk VA Water Revenue | | | | | | | | |
5.00%, 11/01/2022 | | | 1,645 | | | | 1,666 | |
County of Botetourt VA | | | | | | | | |
4.75%, 07/01/2023 | | | 40 | | | | 40 | |
6.00%, 07/01/2034 | | | 1,500 | | | | 1,559 | |
County of Loudoun VA | | | | | | | | |
5.00%, 12/01/2023 | | | 825 | | | | 860 | |
Fairfax County Economic Development Authority | | | | | | | | |
5.00%, 12/01/2042 | | | 1,290 | | | | 1,345 | |
Fairfax County Industrial Development Authority | | | | | | | | |
4.00%, 05/15/2042 | | | 4,740 | | | | 4,683 | |
5.00%, 05/15/2044 | | | 975 | | | | 1,003 | |
Farmville Industrial Development Authority | | | | | | | | |
5.00%, 01/01/2032 | | | 1,255 | | | | 1,278 | |
5.00%, 01/01/2033 | | | 1,320 | | | | 1,343 | |
Fredericksburg Economic Development Authority | | | | | | | | |
5.00%, 06/15/2031 | | | 500 | | | | 513 | |
Hampton Roads Transportation Accountability Commission | | | | | | | | |
5.00%, 07/01/2026 | | | 9,300 | | | | 10,234 | |
5.00%, 07/01/2027 | | | 835 | | | | 934 | |
5.50%, 07/01/2057 | | | 1,275 | | | | 1,472 | |
Hanover County Economic Development Authority | | | | | | | | |
4.00%, 07/01/2040(3) | | | 2,000 | | | | 1,668 | |
4.00%, 07/01/2047(3) | | | 2,000 | | | | 1,561 | |
5.00%, 07/01/2042 | | | 1,120 | | | | 1,120 | |
5.00%, 07/01/2047 | | | 2,080 | | | | 2,080 | |
Henrico County Economic Development Authority | | | | | | | | |
5.00%, 10/01/2047 | | | 1,185 | | | | 1,215 | |
James City County Economic Development Authority | | | | | | | | |
4.00%, 12/01/2023 | | | 305 | | | | 305 | |
4.00%, 12/01/2025 | | | 420 | | | | 414 | |
4.00%, 12/01/2027 | | | 445 | | | | 430 | |
4.00%, 12/01/2029 | | | 235 | | | | 222 | |
4.00%, 12/01/2035 | | | 515 | | | | 447 | |
Norfolk Airport Authority | | | | | | | | |
4.00%, 07/01/2023 | | | 235 | | | | 239 | |
5.00%, 07/01/2024 | | | 325 | | | | 340 | |
5.00%, 07/01/2025 | | | 490 | | | | 522 | |
Norfolk Redevelopment & Housing Authority | | | | | | | | |
4.00%, 01/01/2025 | | | 3,870 | | | | 3,818 | |
5.00%, 01/01/2046 | | | 240 | | | | 226 | |
5.00%, 01/01/2049 | | | 500 | | | | 466 | |
Salem Economic Development Authority | | | | | | | | |
5.00%, 04/01/2030 | | | 710 | | | | 770 | |
5.00%, 04/01/2031 | | | 400 | | | | 432 | |
5.00%, 04/01/2032 | | | 700 | | | | 753 | |
5.00%, 04/01/2033 | | | 350 | | | | 375 | |
5.00%, 04/01/2034 | | | 925 | | | | 989 | |
Stafford County Economic Development Authority | | | | | | | | |
4.00%, 06/15/2037 | | | 50 | | | | 50 | |
5.00%, 06/15/2030 | | | 150 | | | | 158 | |
5.00%, 06/15/2033 | | | 150 | | | | 156 | |
5.00%, 06/15/2034 | | | 500 | | | | 520 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
0.00%, 06/01/2047 | | | 3,000 | | | | 766 | |
5.00%, 06/01/2047 | | | 9,405 | | | | 9,377 | |
Virginia College Building Authority | | | | | | | | |
4.00%, 02/01/2034 | | | 2,610 | | | | 2,669 | |
5.00%, 02/01/2023 | | | 700 | | | | 714 | |
5.00%, 06/01/2023 | | | 125 | | | | 128 | |
5.00%, 09/01/2023 | | | 1,000 | | | | 1,037 | |
5.00%, 02/01/2026 | | | 1,000 | | | | 1,096 | |
5.00%, 02/01/2030 | | | 1,500 | | | | 1,683 | |
5.00%, 07/01/2030(3) | | | 500 | | | | 503 | |
5.00%, 06/01/2031 | | | 175 | | | | 187 | |
5.00%, 02/01/2034 | | | 1,000 | | | | 1,117 | |
5.00%, 02/01/2039 | | | 18,215 | | | | 20,854 | |
5.00%, 07/01/2045(3) | | | 500 | | | | 487 | |
5.00%, 07/01/2045(3) | | | 3,500 | | | | 3,407 | |
5.25%, 07/01/2035(3) | | | 1,000 | | | | 1,008 | |
5.25%, 02/01/2041 | | | 6,400 | | | | 7,414 | |
Virginia Commonwealth Transportation Board | | | | | | | | |
5.00%, 09/15/2023 | | | 2,500 | | | | 2,597 | |
Virginia Port Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000 | | | | 1,030 | |
Virginia Public Building Authority | | | | | | | | |
5.00%, 08/01/2023 | | | 1,425 | | | | 1,475 | |
5.00%, 08/01/2024 | | | 2,245 | | | | 2,382 | |
Virginia Public School Authority | | | | | | | | |
5.00%, 08/01/2022 | | | 2,505 | | | | 2,512 | |
Virginia Small Business Financing Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 3,250 | | | | 3,166 | |
4.00%, 07/01/2033 | | | 1,160 | | | | 1,125 | |
4.00%, 01/01/2034 | | | 2,500 | | | | 2,419 | |
4.00%, 07/01/2034 | | | 1,785 | | | | 1,722 | |
| | | | | | | | |
4.00%, 12/01/2036 | | | 500 | | | | 463 | |
4.00%, 01/01/2037 | | | 1,250 | | | | 1,186 | |
4.00%, 01/01/2039 | | | 5,270 | | | | 4,931 | |
4.00%, 01/01/2040 | | | 2,650 | | | | 2,455 | |
4.00%, 01/01/2040 | | | 5,395 | | | | 5,010 | |
4.00%, 01/01/2048 | | | 11,130 | | | | 9,887 | |
5.00%, 01/01/2026 | | | 750 | | | | 799 | |
5.00%, 01/01/2027 | | | 1,000 | | | | 1,077 | |
5.00%, 01/01/2036 | | | 2,500 | | | | 2,657 | |
5.00%, 01/01/2038 | | | 2,000 | | | | 2,105 | |
5.00%, 07/01/2038 | | | 6,250 | | | | 6,578 | |
5.00%, 12/31/2038 | | | 830 | | | | 885 | |
5.00%, 12/31/2047 | | | 4,075 | | | | 4,227 | |
5.00%, 01/01/2048(2)(3) | | | 500 | | | | 488 | |
5.00%, 12/31/2049 | | | 3,105 | | | | 3,165 | |
5.00%, 12/31/2052 | | | 9,065 | | | | 9,213 | |
5.00%, 12/31/2056 | | | 5,965 | | | | 6,052 | |
5.50%, 01/01/2042 | | | 6,590 | | | | 6,590 | |
Wise County Industrial Development Authority | | | | | | | | |
1.20%, 11/01/2040(2) | | | 3,355 | | | | 3,239 | |
York County Economic Development Authority | | | | | | | | |
1.90%, 05/01/2033(2) | | | 600 | | | | 595 | |
| | | | | | | | |
Total Virginia | | | | 204,010 | |
| | | | | | | | |
Washington – 2.88% | | | | | | | | |
Adams County Public Hospital District No 2 | | | | | | | | |
5.13%, 12/01/2044 | | | 1,000 | | | | 1,024 | |
Auburn School District No 408 of King & Pierce Counties | | | | | | | | |
4.00%, 12/01/2034 | | | 1,225 | | | | 1,282 | |
4.00%, 12/01/2036 | | | 1,140 | | | | 1,190 | |
5.00%, 12/01/2033 | | | 2,000 | | | | 2,212 | |
Central Puget Sound Regional Transit Authority | | | | | | | | |
5.00%, 11/01/2035 | | | 960 | | | | 1,047 | |
City of Seattle WA Municipal Light & Power Revenue | | | | | | | | |
1.40% (SIFMA Municipal Swap Index Yield + 0.49%), 11/01/2046(1) | | | 5,000 | | | | 5,004 | |
4.00%, 01/01/2032 | | | 3,385 | | | | 3,558 | |
City of Tacoma WA Electric System Revenue | | | | | | | | |
5.00%, 01/01/2039 | | | 675 | | | | 730 | |
City of Tacoma WA Solid Waste Utility Revenue | | | | | | | | |
5.00%, 12/01/2031 | | | 460 | | | | 502 | |
Clark County Public Utility District No 1 | | | | | | | | |
5.00%, 01/01/2023 | | | 375 | | | | 381 | |
5.00%, 01/01/2023 | | | 750 | | | | 763 | |
5.00%, 01/01/2024 | | | 395 | | | | 413 | |
County of King WA Sewer Revenue | | | | | | | | |
1.14% (SIFMA Municipal Swap Index Yield + 0.23%), 01/01/2040(1) | | | 13,060 | | | | 12,791 | |
5.00%, 01/01/2047 | | | 28,000 | | | | 29,314 | |
East Pierce Fire & Rescue | | | | | | | | |
5.00%, 12/01/2029 | | | 635 | | | | 719 | |
5.00%, 12/01/2031 | | | 925 | | | | 1,039 | |
Energy Northwest | | | | | | | | |
5.00%, 07/01/2028 | | | 15,000 | | | | 17,021 | |
5.00%, 07/01/2034 | | | 6,890 | | | | 7,837 | |
King & Snohomish Counties School District No 417 Northshore | | | | | | | | |
4.00%, 12/01/2033 | | | 5,500 | | | | 5,608 | |
King County Housing Authority | | | | | | | | |
3.00%, 06/01/2024 | | | 785 | | | | 794 | |
3.00%, 12/01/2024 | | | 800 | | | | 810 | |
4.00%, 06/01/2026 | | | 450 | | | | 472 | |
4.00%, 12/01/2026 | | | 430 | | | | 453 | |
4.00%, 06/01/2027 | | | 585 | | | | 615 | |
4.00%, 06/01/2027 | | | 620 | | | | 654 | |
4.00%, 12/01/2027 | | | 400 | | | | 421 | |
4.00%, 06/01/2028 | | | 1,115 | | | | 1,175 | |
4.00%, 06/01/2029 | | | 840 | | | | 885 | |
4.00%, 06/01/2030 | | | 400 | | | | 419 | |
4.00%, 06/01/2031 | | | 650 | | | | 672 | |
4.00%, 11/01/2031 | | | 1,640 | | | | 1,722 | |
4.00%, 06/01/2032 | | | 625 | | | | 642 | |
4.00%, 11/01/2032 | | | 1,705 | | | | 1,785 | |
4.00%, 06/01/2033 | | | 500 | | | | 510 | |
4.00%, 06/01/2034 | | | 525 | | | | 532 | |
4.00%, 06/01/2035 | | | 735 | | | | 736 | |
5.00%, 11/01/2027 | | | 1,000 | | | | 1,110 | |
5.00%, 11/01/2028 | | | 1,430 | | | | 1,603 | |
5.00%, 11/01/2029 | | | 750 | | | | 849 | |
King County Public Hospital District No 1 | | | | | | | | |
5.00%, 12/01/2032 | | | 4,500 | | | | 4,842 | |
King County School District No 210 Federal Way | | | | | | | | |
4.00%, 12/01/2035 | | | 2,000 | | | | 2,090 | |
King County School District No 412 Shoreline | | | | | | | | |
4.00%, 12/01/2036 | | | 2,000 | | | | 2,084 | |
King County School District No 414 Lake Washington | | | | | | | | |
5.00%, 12/01/2035 | | | 1,600 | | | | 1,778 | |
5.00%, 12/01/2036 | | | 3,205 | | | | 3,555 | |
5.00%, 12/01/2037 | | | 1,425 | | | | 1,571 | |
5.00%, 12/01/2038 | | | 865 | | | | 952 | |
| | | | | | | | |
Pierce County School District No 10 Tacoma | | | | | | | | |
5.00%, 12/01/2034 | | | 2,800 | | | | 2,994 | |
Port of Seattle WA | | | | | | | | |
5.00%, 07/01/2024 | | | 595 | | | | 610 | |
5.00%, 03/01/2025 | | | 440 | | | | 466 | |
5.00%, 04/01/2029 | | | 5,050 | | | | 5,573 | |
5.00%, 04/01/2030 | | | 2,000 | | | | 2,088 | |
5.00%, 08/01/2032 | | | 11,940 | | | | 13,259 | |
5.00%, 04/01/2034 | | | 1,000 | | | | 1,043 | |
5.00%, 01/01/2037 | | | 3,500 | | | | 3,797 | |
5.00%, 05/01/2037 | | | 3,000 | | | | 3,221 | |
5.00%, 08/01/2038 | | | 5,000 | | | | 5,389 | |
5.00%, 08/01/2039 | | | 8,380 | | | | 9,013 | |
Seattle Housing Authority | | | | | | | | |
1.00%, 06/01/2026 | | | 1,470 | | | | 1,385 | |
1.10%, 06/01/2040(2) | | | 550 | | | | 550 | |
Snohomish County Housing Authority | | | | | | | | |
5.00%, 04/01/2031 | | | 1,135 | | | | 1,249 | |
State of Washington | | | | | | | | |
4.00%, 07/01/2035 | | | 1,600 | | | | 1,677 | |
4.00%, 07/01/2035 | | | 3,700 | | | | 3,878 | |
5.00%, 08/01/2027 | | | 235 | | | | 259 | |
5.00%, 08/01/2027 | | | 550 | | | | 595 | |
5.00%, 08/01/2028 | | | 235 | | | | 258 | |
5.00%, 08/01/2030 | | | 235 | | | | 257 | |
5.00%, 08/01/2030 | | | 1,830 | | | | 2,029 | |
5.00%, 06/01/2034 | | | 660 | | | | 731 | |
5.00%, 07/01/2036 | | | 1,505 | | | | 1,663 | |
5.00%, 08/01/2039 | | | 13,350 | | | | 13,922 | |
5.00%, 08/01/2040 | | | 1,410 | | | | 1,511 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.06%, 03/01/2028(2)(3) | | | 3,000 | | | | 3,000 | |
Thurston & Pierce Counties Community Schools | | | | | | | | |
5.00%, 12/01/2031 | | | 1,100 | | | | 1,249 | |
Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000 | | | | 1,023 | |
5.00%, 06/01/2024 | | | 1,000 | | | | 1,022 | |
University of Washington | | | | | | | | |
4.00%, 05/01/2048(2) | | | 10,000 | | | | 10,638 | |
Washington Health Care Facilities Authority | | | | | | | | |
1.96% (SIFMA Municipal Swap Index Yield + 1.05%), 01/01/2042(1) | | | 5,000 | | | | 5,012 | |
5.00%, 08/15/2023 | | | 650 | | | | 673 | |
5.00%, 10/01/2024 | | | 465 | | | | 469 | |
5.00%, 07/01/2025 | | | 360 | | | | 384 | |
5.00%, 08/01/2028 | | | 1,005 | | | | 1,080 | |
5.00%, 07/01/2029 | | | 115 | | | | 125 | |
5.00%, 07/01/2030 | | | 410 | | | | 443 | |
5.00%, 08/01/2030 | | | 3,500 | | | | 3,736 | |
5.00%, 08/15/2030 | | | 1,000 | | | | 1,059 | |
5.00%, 08/15/2031 | | | 845 | | | | 890 | |
5.00%, 09/01/2031 | | | 185 | | | | 203 | |
5.00%, 08/15/2032 | | | 480 | | | | 502 | |
5.00%, 09/01/2032 | | | 180 | | | | 195 | |
5.00%, 09/01/2033 | | | 225 | | | | 243 | |
5.00%, 07/01/2034 | | | 105 | | | | 112 | |
5.00%, 09/01/2034 | | | 450 | | | | 483 | |
5.00%, 09/01/2035 | | | 365 | | | | 391 | |
5.00%, 10/01/2038 | | | 11,320 | | | | 11,537 | |
5.00%, 07/01/2042 | | | 2,415 | | | | 2,510 | |
5.00%, 08/01/2049(2) | | | 10,000 | | | | 10,450 | |
5.00%, 09/01/2050 | | | 500 | | | | 522 | |
Washington Higher Education Facilities Authority | | | | | | | | |
4.00%, 10/01/2035 | | | 380 | | | | 367 | |
4.00%, 05/01/2045 | | | 1,000 | | | | 925 | |
4.00%, 05/01/2050 | | | 950 | | | | 861 | |
5.00%, 05/01/2025 | | | 100 | | | | 106 | |
5.00%, 05/01/2026 | | | 375 | | | | 404 | |
5.00%, 05/01/2028 | | | 420 | | | | 461 | |
5.00%, 05/01/2029 | | | 180 | | | | 199 | |
5.00%, 10/01/2029 | | | 565 | | | | 611 | |
5.00%, 10/01/2029 | | | 1,855 | | | | 1,973 | |
5.00%, 10/01/2033 | | | 690 | | | | 737 | |
5.00%, 10/01/2033 | | | 735 | | | | 773 | |
Washington State Convention Center Public Facilities District | | | | | | | | |
4.00%, 07/01/2031 | | | 15,125 | | | | 14,436 | |
Washington State Housing Finance Commission | | | | | | | | |
1.46% (SIFMA Municipal Swap Index Yield + 0.55%), 12/01/2048(1) | | | 10,000 | | | | 9,975 | |
2.13%, 07/01/2027(3) | | | 1,625 | | | | 1,453 | |
3.50%, 12/20/2035 | | | 2,117 | | | | 1,936 | |
3.70%, 07/01/2030 | | | 5,000 | | | | 5,015 | |
4.00%, 07/01/2026(3) | | | 900 | | | | 881 | |
5.00%, 01/01/2024(3) | | | 180 | | | | 181 | |
5.00%, 01/01/2025(3) | | | 375 | | | | 378 | |
5.00%, 01/01/2026(3) | | | 300 | | | | 302 | |
5.00%, 12/01/2026 | | | 350 | | | | 388 | |
5.00%, 06/01/2028 | | | 500 | | | | 562 | |
5.00%, 06/01/2029 | | | 500 | | | | 561 | |
5.00%, 06/01/2030 | | | 500 | | | | 563 | |
| | | | | | | | |
5.00%, 12/01/2030 | | | 500 | | | | 565 | |
5.00%, 07/01/2031(3) | | | 1,000 | | | | 986 | |
5.00%, 07/01/2053(3) | | | 400 | | | | 310 | |
5.00%, 01/01/2055(3) | | | 2,775 | | | | 2,448 | |
Washington State University | | | | | | | | |
5.00%, 04/01/2029 | | | 425 | | | | 443 | |
5.00%, 04/01/2029 | | | 860 | | | | 905 | |
| | | | | | | | |
Total Washington | | | | 311,239 | |
| | | | | | | | |
West Virginia – 0.20% | | | | | | | | |
Monongalia County Commission Excise Tax District | | | | | | | | |
4.13%, 06/01/2043(3) | | | 750 | | | | 667 | |
4.88%, 06/01/2043(3) | | | 250 | | | | 220 | |
5.50%, 06/01/2037(3) | | | 200 | | | | 203 | |
5.75%, 06/01/2043(3) | | | 200 | | | | 204 | |
Ohio County Board of Education | | | | | | | | |
3.00%, 06/01/2028 | | | 2,150 | | | | 2,180 | |
State of West Virginia | | | | | | | | |
5.00%, 12/01/2036 | | | 2,910 | | | | 3,218 | |
West Virginia Economic Development Authority | | | | | | | | |
5.00%, 07/01/2045(2) | | | 900 | | | | 915 | |
West Virginia Hospital Finance Authority | | | | | | | | |
1.30%, 06/01/2033(2) | | | 4,925 | | | | 4,925 | |
5.00%, 01/01/2031 | | | 620 | | | | 656 | |
5.00%, 09/01/2038 | | | 1,355 | | | | 1,424 | |
5.00%, 09/01/2039 | | | 920 | | | | 965 | |
West Virginia Parkways Authority | | | | | | | | |
5.00%, 06/01/2047 | | | 3,280 | | | | 3,622 | |
West Virginia State School Building Authority Lottery Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 695 | | | | 695 | |
5.00%, 07/01/2024 | | | 500 | | | | 527 | |
5.00%, 07/01/2032 | | | 940 | | | | 1,020 | |
| | | | | | | | |
Total West Virginia | | | | 21,441 | |
| | | | | | | | |
Wisconsin – 1.57% | | | | | | | | |
Milwaukee Redevelopment Authority | | | | | | | | |
5.00%, 11/15/2031 | | | 570 | | | | 625 | |
5.00%, 11/15/2032 | | | 500 | | | | 547 | |
Public Finance Authority | | | | | | | | |
3.00%, 04/01/2025(3) | | | 325 | | | | 319 | |
3.00%, 12/01/2026 | | | 125 | | | | 121 | |
4.00%, 03/01/2025 | | | 535 | | | | 533 | |
4.00%, 06/15/2031(3) | | | 450 | | | | 418 | |
4.00%, 12/01/2031 | | | 450 | | | | 444 | |
4.00%, 04/01/2032(3) | | | 1,060 | | | | 1,019 | |
4.00%, 08/01/2035(4) | | | 6,250 | | | | 5,432 | |
4.00%, 07/01/2041 | | | 1,000 | | | | 819 | |
4.00%, 12/01/2041 | | | 2,000 | | | | 1,875 | |
4.00%, 04/01/2042(3) | | | 850 | | | | 726 | |
4.00%, 06/15/2042(3) | | | 750 | | | | 630 | |
4.00%, 04/01/2052(3) | | | 1,350 | | | | 1,078 | |
4.00%, 06/01/2056 | | | 2,650 | | | | 1,784 | |
4.00%, 07/01/2061(3) | | | 1,175 | | | | 973 | |
4.13%, 05/01/2026(3) | | | 515 | | | | 499 | |
4.25%, 07/01/2054 | | | 3,575 | | | | 2,748 | |
5.00%, 12/01/2025 | | | 1,000 | | | | 1,052 | |
5.00%, 12/01/2027 | | | 4,725 | | | | 4,912 | |
5.00%, 05/15/2028(3) | | | 200 | | | | 197 | |
5.00%, 05/01/2029(3) | | | 2,330 | | | | 2,213 | |
5.00%, 06/15/2034 | | | 500 | | | | 516 | |
5.00%, 07/01/2035 | | | 5,000 | | | | 5,493 | |
5.00%, 07/01/2036 | | | 305 | | | | 323 | |
5.00%, 01/01/2037 | | | 500 | | | | 527 | |
5.00%, 06/15/2037(3) | | | 1,130 | | | | 1,098 | |
5.00%, 07/01/2037 | | | 825 | | | | 831 | |
5.00%, 01/01/2038 | | | 350 | | | | 368 | |
5.00%, 07/01/2038 | | | 375 | | | | 394 | |
5.00%, 06/15/2039(3) | | | 410 | | | | 402 | |
5.00%, 06/15/2039 | | | 500 | | | | 510 | |
5.00%, 04/01/2040(3) | | | 400 | | | | 404 | |
5.00%, 10/01/2043(3) | | | 170 | | | | 156 | |
5.00%, 10/01/2044 | | | 1,300 | | | | 1,355 | |
5.00%, 10/01/2048(3) | | | 1,865 | | | | 1,663 | |
5.00%, 06/15/2049(3) | | | 420 | | | | 396 | |
5.00%, 06/15/2049(3) | | | 750 | | | | 681 | |
5.00%, 06/15/2049 | | | 1,100 | | | | 1,108 | |
5.00%, 04/01/2050(3) | | | 550 | | | | 549 | |
5.00%, 02/01/2052 | | | 2,000 | | | | 2,021 | |
5.00%, 06/01/2052 | | | 800 | | | | 613 | |
5.00%, 10/01/2053(3) | | | 1,305 | | | | 1,145 | |
5.00%, 06/15/2054(3) | | | 455 | | | | 424 | |
5.00%, 05/01/2055(3) | | | 3,400 | | | | 3,230 | |
5.00%, 07/01/2055(3) | | | 550 | | | | 517 | |
5.25%, 05/15/2037(3) | | | 500 | | | | 477 | |
5.25%, 03/01/2042 | | | 1,605 | | | | 1,636 | |
5.25%, 05/15/2042(3) | | | 60 | | | | 56 | |
5.25%, 10/01/2043 | | | 2,105 | | | | 2,125 | |
5.25%, 05/15/2047(3) | | | 60 | | | | 55 | |
5.25%, 10/01/2048 | | | 2,105 | | | | 2,118 | |
| | | | | | | | |
5.25%, 05/15/2052(3) | | | 115 | | | | 103 | |
5.25%, 07/01/2061(3) | | | 400 | | | | 329 | |
5.51%, 06/01/2037(2) | | | 500 | | | | 536 | |
5.61%, 06/01/2047(2) | | | 500 | | | | 537 | |
State of Wisconsin | | | | | | | | |
4.00%, 05/01/2041 | | | 3,500 | | | | 3,522 | |
5.00%, 05/01/2023 | | | 2,000 | | | | 2,056 | |
5.00%, 05/01/2023 | | | 4,000 | | | | 4,111 | |
5.00%, 05/01/2024 | | | 7,470 | | | | 7,882 | |
5.00%, 05/01/2025 | | | 520 | | | | 554 | |
5.00%, 05/01/2025 | | | 1,730 | | | | 1,870 | |
5.00%, 05/01/2025 | | | 5,335 | | | | 5,740 | |
5.00%, 05/01/2030 | | | 1,000 | | | | 1,091 | |
5.00%, 05/01/2032 | | | 450 | | | | 502 | |
5.00%, 05/01/2033 | | | 9,790 | | | | 10,847 | |
5.00%, 05/01/2034 | | | 2,400 | | | | 2,583 | |
5.00%, 05/01/2036 | | | 2,000 | | | | 2,223 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
1.05%, 12/15/2050(2)(3) | | | 500 | | | | 500 | |
1.06%, 06/01/2028(2)(3) | | | 1,440 | | | | 1,440 | |
University of Wisconsin Hospitals & Clinics | | | | | | | | |
4.00%, 04/01/2037 | | | 1,375 | | | | 1,366 | |
4.00%, 04/01/2038 | | | 2,110 | | | | 2,088 | |
Village of Mount Pleasant WI | | | | | | | | |
3.00%, 03/01/2027 | | | 1,875 | | | | 1,889 | |
Wisconsin Center District | | | | | | | | |
0.00%, 12/15/2028 | | | 1,025 | | | | 821 | |
0.00%, 12/15/2030 | | | 550 | | | | 409 | |
0.00%, 12/15/2030 | | | 1,045 | | | | 764 | |
0.00%, 12/15/2032 | | | 1,400 | | | | 929 | |
0.00%, 12/15/2033 | | | 1,500 | | | | 947 | |
Wisconsin Health & Educational Facilities Authority | | | | | | | | |
1.56% (SIFMA Municipal Swap Index Yield + 0.65%), 08/15/2054(1) | | | 4,000 | | | | 3,984 | |
2.55%, 11/01/2027 | | | 390 | | | | 378 | |
2.83%, 11/01/2028 | | | 605 | | | | 542 | |
4.00%, 02/15/2025 | | | 270 | | | | 282 | |
4.00%, 02/15/2026 | | | 510 | | | | 536 | |
4.00%, 02/15/2031 | | | 460 | | | | 484 | |
4.00%, 02/15/2033 | | | 550 | | | | 578 | |
4.00%, 09/15/2041 | | | 1,010 | | | | 888 | |
4.00%, 09/15/2045 | | | 950 | | | | 805 | |
5.00%, 10/01/2022 | | | 330 | | | | 333 | |
5.00%, 12/01/2022 | | | 560 | | | | 568 | |
5.00%, 11/01/2024 | | | 155 | | | | 157 | |
5.00%, 04/01/2025 | | | 2,000 | | | | 2,145 | |
5.00%, 04/01/2026 | | | 1,000 | | | | 1,094 | |
5.00%, 02/15/2027 | | | 300 | | | | 324 | |
5.00%, 04/01/2027 | | | 1,700 | | | | 1,893 | |
5.00%, 10/01/2027 | | | 580 | | | | 639 | |
5.00%, 04/01/2028 | | | 900 | | | | 1,013 | |
5.00%, 10/01/2028 | | | 700 | | | | 778 | |
5.00%, 11/01/2029 | | | 760 | | | | 765 | |
5.00%, 04/01/2030 | | | 1,670 | | | | 1,867 | |
5.00%, 12/15/2033 | | | 1,450 | | | | 1,557 | |
5.00%, 09/01/2036 | | | 400 | | | | 446 | |
5.00%, 09/15/2037 | | | 650 | | | | 654 | |
5.00%, 08/15/2039 | | | 5,395 | | | | 5,851 | |
5.00%, 11/15/2039 | | | 2,755 | | | | 2,913 | |
5.00%, 09/15/2050 | | | 645 | | | | 668 | |
5.00%, 08/15/2054(2) | | | 830 | | | | 901 | |
Wisconsin Housing & Economic Development Authority | | | | | | | | |
0.40%, 05/01/2045(2) | | | 5,000 | | | | 4,849 | |
0.50%, 11/01/2050(2) | | | 2,350 | | | | 2,180 | |
0.61%, 11/01/2042(2) | | | 405 | | | | 389 | |
0.81%, 11/01/2052(2) | | | 1,350 | | | | 1,269 | |
1.60%, 11/01/2048(2) | | | 6,000 | | | | 5,997 | |
3.00%, 03/01/2052 | | | 1,480 | | | | 1,446 | |
3.00%, 09/01/2052 | | | 2,280 | | | | 2,220 | |
3.50%, 09/01/2050 | | | 2,110 | | | | 2,106 | |
| | | | | | | | |
Total Wisconsin | | | | 169,293 | |
| | | | | | | | |
Wyoming – 0.10% | | | | | | | | |
County of Laramie WY | | | | | | | | |
4.00%, 05/01/2026 | | | 200 | | | | 210 | |
4.00%, 05/01/2031 | | | 500 | | | | 518 | |
4.00%, 05/01/2033 | | | 500 | | | | 507 | |
4.00%, 05/01/2035 | | | 500 | | | | 500 | |
4.00%, 05/01/2038 | | | 1,365 | | | | 1,338 | |
University of Wyoming | | | | | | | | |
4.00%, 06/01/2042 | | | 750 | | | | 749 | |
Wyoming Community Development Authority | | | | | | | | |
3.00%, 06/01/2049 | | | 7,535 | | | | 7,398 | |
| | | | | | | | |
Total Wyoming | | | | 11,220 | |
| | | | | | | | |
Total Municipal Bonds (Cost: $11,172,954) | | | | 10,528,716 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
SHORT-TERM INVESTMENTS – 2.19% | | | | | | | | |
Money Market Funds – 2.02% | | | | | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 1.25%(6) | | | 218,301 | | | | 218,301 | |
| | | | | | | | |
Total Money Market Funds (Cost: $218,301) | | | | | | | 218,301 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Commercial Paper – 0.16% | | | | | | | | |
California Statewide Communities Development Authority, 0.20%, 07/12/2022 | | $ | 17,335 | | | | 17,331 | |
| | | | | | | | |
Total Commercial Paper (Cost: $17,335) | | | | | | | 17,331 | |
| | | | | | | | |
Time Deposits – 0.01% | | | | | | | | |
ANZ, London, 1.06% due 07/01/2022 | | | 1,184 | | | | 1,184 | |
| | | | | | | | |
Total Time Deposits (Cost: $1,184) | | | | | | | 1,184 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $236,820) | | | | 236,816 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.56%
(Cost: $11,409,774) | | | | | | | 10,765,532 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.44% | | | | | | | 47,591 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 10,813,123 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2022. |
| (2) | Adjustable rate security. The rate reported is the rate in effect as of June 30, 2022. |
| (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 $618,896, which represents 5.72% of total net assets. |
| (4) | Security that is restricted at June 30, 2022. The value of the restricted securities totals $54,738, which represents 0.51% of total net assets. |
| (5) | Security in default as of June 30, 2022. The value of these securities totals $18,681, which represents 0.17% of total net assets. |
| (6) | 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
Sold | | Reference Entity | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (654) | | U.S. 5 Year Note Future | | | Sep. 2022 | | | $ | (74,158 | ) | | $ | (73,411 | ) | | $ | 747 | |
| (905) | | U.S. 10 Year Note Future | | | Sep. 2022 | | | | (108,673 | ) | | | (107,270 | ) | | | 1,403 | |
| (79) | | U.S. Long Bond Future | | | Sep. 2022 | | | | (11,120 | ) | | | (10,951 | ) | | | 169 | |
| (700) | | U.S. Ultra 10 Year Note Future | | | Sep. 2022 | | | | (90,825 | ) | | | (89,163 | ) | | | 1,662 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 3,981 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| MUNICIPAL BONDS | | % of Net Assets | |
Education | | | 8.01 | % |
General Obligation | | | 17.48 | % |
General Revenue | | | 28.32 | % |
Healthcare | | | 12.72 | % |
Housing | | | 6.31 | % |
Transportation | | | 15.87 | % |
Utilities | | | 8.66 | % |
| | | | |
Total Municipal Bonds | | | 97.37 | % |
| | | | |
SHORT-TERM INVESTMENTS | | | 2.19 | % |
| | | | |
TOTAL INVESTMENTS | | | 99.56 | % |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.44 | % |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of this Schedule of Investments.
Bridge Builder Large Cap Growth Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.23% | | | | | | | | |
Communication Services – 8.81% | | | | | | | | |
Alphabet, Inc. - Class A(1) | | | 214 | | | $ | 465,568 | |
Alphabet, Inc. - Class C(1) | | | 157 | | | | 342,787 | |
Cable One, Inc.(2) | | | 0 | | | | 397 | |
Charter Communications, Inc. - Class A(1) | | | 10 | | | | 4,605 | |
Electronic Arts, Inc. | | | 1 | | | | 174 | |
Liberty Broadband Corp. - Class A(1) | | | 1 | | | | 93 | |
Liberty Broadband Corp. - Class C(1) | | | 5 | | | | 571 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 2 | | | | 118 | |
Liberty Media Corp.-Liberty SiriusXM - Class A | | | 2 | | | | 63 | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 4 | | | | 128 | |
Live Nation Entertainment, Inc.(1) | | | 6 | | | | 524 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 1 | | | | 122 | |
Match Group, Inc.(1) | | | 2,261 | | | | 157,551 | |
Meta Platforms, Inc. - Class A(1) | | | 230 | | | | 37,105 | |
Netflix, Inc.(1) | | | 817 | | | | 142,875 | |
Nexstar Media Group, Inc. - Class A(2) | | | 0 | | | | 38 | |
Pinterest, Inc. - Class A(1) | | | 10 | | | | 181 | |
Playtika Holding Corp.(1) | | | 9 | | | | 114 | |
ROBLOX Corp. - Class A(1) | | | 277 | | | | 9,114 | |
Roku, Inc. - Class A(1) | | | 3 | | | | 229 | |
Spotify Technology SA(1) | | | 225 | | | | 21,111 | |
Take-Two Interactive Software, Inc.(1) | | | 11 | | | | 1,361 | |
TripAdvisor, Inc.(1) | | | 5 | | | | 89 | |
Twitter, Inc.(1) | | | 58 | | | | 2,180 | |
Walt Disney Co.(1) | | | 1,744 | | | | 164,664 | |
Warner Bros Discovery, Inc.(1) | | | 146 | | | | 1,962 | |
World Wrestling Entertainment, Inc. - Class A | | | 3 | | | | 199 | |
ZoomInfo Technologies, Inc. - Class A(1) | | | 23 | | | | 753 | |
| | | | | | | | |
Total Communication Services | | | | | | | 1,354,676 | |
| | | | | | | �� | |
Consumer Discretionary – 13.82% | | | | | | | | |
Advance Auto Parts, Inc.(2) | | | 0 | | | | 70 | |
Airbnb, Inc. - Class A(1) | | | 495 | | | | 44,130 | |
Amazon.com, Inc.(1) | | | 7,111 | | | | 755,284 | |
Aptiv Plc(1) | | | 397 | | | | 35,395 | |
AutoZone, Inc.(1) | | | 2 | | | | 3,265 | |
Best Buy Co., Inc. | | | 5 | | | | 346 | |
Booking Holdings, Inc.(1) | | | 3 | | | | 6,020 | |
Bright Horizons Family Solutions, Inc.(1) | | | 1 | | | | 116 | |
Brunswick Corp. | | | 1 | | | | 54 | |
Burlington Stores, Inc.(1) | | | 5 | | | | 734 | |
Caesars Entertainment, Inc.(1) | | | 12 | | | | 455 | |
CarMax, Inc.(1) | | | 2 | | | | 142 | |
Carvana Co. - Class A(1) | | | 9 | | | | 199 | |
Chipotle Mexican Grill, Inc. - Class A(1) | | | 29 | | | | 38,471 | |
Choice Hotels International, Inc. | | | 3 | | | | 336 | |
Churchill Downs, Inc. | | | 3 | | | | 618 | |
Darden Restaurants, Inc. | | | 7 | | | | 843 | |
Deckers Outdoor Corp.(1) | | | 2 | | | | 502 | |
Dollar General Corp. | | | 294 | | | | 72,064 | |
Dollar Tree, Inc.(1) | | | 5 | | | | 846 | |
Domino’s Pizza, Inc. | | | 2 | | | | 864 | |
DoorDash, Inc. - Class A(1) | | | 19 | | | | 1,202 | |
DR Horton, Inc. | | | 14 | | | | 923 | |
DraftKings, Inc. - Class A(1) | | | 32 | | | | 373 | |
eBay, Inc. | | | 6 | | | | 250 | |
Etsy, Inc.(1) | | | 11 | | | | 797 | |
Expedia Group, Inc.(1) | | | 13 | | | | 1,187 | |
Five Below, Inc.(1) | | | 5 | | | | 541 | |
Floor & Decor Holdings, Inc. - Class A(1) | | | 9 | | | | 560 | |
Genuine Parts Co. | | | 1 | | | | 126 | |
H&R Block, Inc. | | | 12 | | | | 424 | |
Hilton Worldwide Holdings, Inc. | | | 17 | | | | 1,865 | |
Home Depot, Inc. | | | 471 | | | | 129,092 | |
Las Vegas Sands Corp.(1) | | | 10 | | | | 341 | |
Leslie’s, Inc.(1) | | | 12 | | | | 178 | |
Lowe’s Companies, Inc. | | | 405 | | | | 70,692 | |
Lucid Group, Inc.(1) | | | 41 | | | | 708 | |
Lululemon Athletica, Inc.(1) | | | 155 | | | | 42,144 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 136 | | | | 83,290 | |
Marriott International, Inc. - Class A | | | 309 | | | | 41,973 | |
Mattel, Inc.(1) | | | 14 | | | | 312 | |
McDonald’s Corp. | | | 561 | | | | 138,496 | |
MercadoLibre, Inc.(1) | | | 101 | | | | 64,630 | |
Mister Car Wash, Inc.(1) | | | 5 | | | | 55 | |
NIKE, Inc. - Class B | | | 908 | | | | 92,762 | |
Nordstrom, Inc. | | | 8 | | | | 163 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 3 | | | | 29 | |
NVR, Inc.(1)(2) | | | 0 | | | | 737 | |
O’Reilly Automotive, Inc.(1) | | | 2 | | | | 1,426 | |
| | | | | | | | |
Planet Fitness, Inc. - Class A(1) | | | 5 | | | | 339 | |
Polaris, Inc. | | | 3 | | | | 330 | |
Pool Corp. | | | 3 | | | | 1,178 | |
PulteGroup, Inc. | | | 8 | | | | 309 | |
RH(1) | | | 1 | | | | 114 | |
Ross Stores, Inc. | | | 12 | | | | 847 | |
Six Flags Entertainment Corp.(1) | | | 2 | | | | 53 | |
Skechers USA, Inc. - Class A(1) | | | 1 | | | | 44 | |
Starbucks Corp. | | | 563 | | | | 42,999 | |
Tapestry, Inc. | | | 2 | | | | 71 | |
Target Corp. | | | 22 | | | | 3,059 | |
Tesla, Inc.(1) | | | 353 | | | | 237,418 | |
TJX Companies, Inc. | | | 99 | | | | 5,540 | |
Toll Brothers, Inc. | | | 5 | | | | 214 | |
TopBuild Corp.(1) | | | 2 | | | | 392 | |
Tractor Supply Co. | | | 10 | | | | 1,895 | |
Travel + Leisure Co. | | | 5 | | | | 181 | |
Ulta Beauty, Inc.(1) | | | 5 | | | | 1,737 | |
Vail Resorts, Inc. | | | 3 | | | | 756 | |
Victoria’s Secret & Co.(1) | | | 5 | | | | 140 | |
Wayfair, Inc. - Class A(1) | | | 4 | | | | 164 | |
Wendy’s Co. | | | 15 | | | | 284 | |
Williams-Sonoma, Inc. | | | 5 | | | | 523 | |
Wyndham Hotels & Resorts, Inc. | | | 5 | | | | 329 | |
Wynn Resorts Ltd.(1) | | | 1 | | | | 63 | |
YETI Holdings, Inc.(1) | | | 7 | | | | 321 | |
Yum! Brands, Inc. | | | 1,683 | | | | 191,063 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 2,126,393 | |
| | | | | | | | |
Consumer Staples – 4.09% | | | | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 7 | | | | 434 | |
Boston Beer Co., Inc. - Class A(1) | | | 1 | | | | 236 | |
Brown-Forman Corp. - Class A | | | 2 | | | | 127 | |
Brown-Forman Corp. - Class B | | | 9 | | | | 639 | |
Church & Dwight Co., Inc. | | | 9 | | | | 840 | |
Clorox Co. | | | 9 | | | | 1,219 | |
Coca-Cola Co. | | | 2,306 | | | | 145,083 | |
Colgate-Palmolive Co. | | | 43 | | | | 3,463 | |
Costco Wholesale Corp. | | | 178 | | | | 85,387 | |
Darling Ingredients, Inc.(1) | | | 1 | | | | 43 | |
Estee Lauder Companies, Inc. - Class A | | | 381 | | | | 97,075 | |
Freshpet, Inc.(1) | | | 4 | | | | 200 | |
Hershey Co. | | | 11 | | | | 2,326 | |
Kellogg Co. | | | 12 | | | | 833 | |
Kimberly-Clark Corp. | | | 17 | | | | 2,278 | |
Lamb Weston Holdings, Inc. | | | 12 | | | | 849 | |
Mondelez International, Inc. - Class A | | | 551 | | | | 34,239 | |
Monster Beverage Corp.(1) | | | 29 | | | | 2,691 | |
Olaplex Holdings, Inc.(1) | | | 10 | | | | 144 | |
PepsiCo, Inc. | | | 99 | | | | 16,502 | |
Performance Food Group Co.(1) | | | 4 | | | | 178 | |
Pilgrim’s Pride Corp.(1) | | | 2 | | | | 64 | |
Procter & Gamble Co. | | | 964 | | | | 138,566 | |
Sysco Corp. | | | 1,125 | | | | 95,293 | |
| | | | | | | | |
Total Consumer Staples | | | | 628,709 | |
| | | | | | | | |
Energy – 1.42% | | | | |
Antero Resources Corp.(1) | | | 16 | | | | 483 | |
Cheniere Energy, Inc. | | | 12 | | | | 1,635 | |
ConocoPhillips | | | 1,786 | | | | 160,437 | |
Continental Resources, Inc. | | | 2 | | | | 150 | |
Coterra Energy, Inc. | | | 11 | | | | 286 | |
Devon Energy Corp. | | | 27 | | | | 1,497 | |
Diamondback Energy, Inc. | | | 9 | | | | 1,037 | |
Enviva, Inc. | | | 3 | | | | 144 | |
EOG Resources, Inc. | | | 36 | | | | 4,004 | |
Halliburton Co. | | | 34 | | | | 1,052 | |
Hess Corp. | | | 19 | | | | 1,972 | |
New Fortress Energy, Inc. - Class A | | | 4 | | | | 161 | |
Occidental Petroleum Corp. | | | 57 | | | | 3,376 | |
ONEOK, Inc. | | | 4 | | | | 230 | |
Ovintiv, Inc. | | | 15 | | | | 670 | |
PDC Energy, Inc. | | | 4 | | | | 257 | |
Pioneer Natural Resources Co. | | | 11 | | | | 2,497 | |
Range Resources Corp.(1) | | | 14 | | | | 354 | |
Schlumberger NV | | | 1,000 | | | | 35,753 | |
Southwestern Energy Co.(1) | | | 7 | | | | 42 | |
Targa Resources Corp. | | | 19 | | | | 1,141 | |
Texas Pacific Land Corp. | | | 1 | | | | 765 | |
| | | | | | | | |
Total Energy | | | | 217,943 | |
| | | | | | | | |
Financials – 9.28% | | | | |
Alleghany Corp.(1)(2) | | | 0 | | | | 127 | |
American Express Co. | | | 1,966 | | | | 272,575 | |
Ameriprise Financial, Inc. | | | 6 | | | | 1,405 | |
Aon Plc - Class A | | | 17 | | | | 4,530 | |
Apollo Global Management, Inc. | | | 30 | | | | 1,437 | |
Arch Capital Group Ltd.(1) | | | 10 | | | | 439 | |
Ares Management Corp. - Class A | | | 13 | | | | 728 | |
Arthur J. Gallagher & Co. | | | 2 | | | | 319 | |
| | | | | | | | |
Bank of America Corp. | | | 5,974 | | | | 185,965 | |
Blackstone, Inc. - Class A | | | 59 | | | | 5,412 | |
Blue Owl Capital, Inc. - Class A | | | 33 | | | | 333 | |
Brown & Brown, Inc. | | | 1 | | | | 85 | |
Charles Schwab Corp. | | | 72 | | | | 4,518 | |
Commerce Bancshares, Inc. | | | 742 | | | | 48,694 | |
Credit Acceptance Corp.(1)(2) | | | 0 | | | | 29 | |
Erie Indemnity Co. - Class A | | | 1 | | | | 278 | |
Everest Re Group Ltd. | | | 1 | | | | 284 | |
FactSet Research Systems, Inc. | | | 3 | | | | 1,236 | |
First Citizens BancShares, Inc. - Class A(2) | | | 0 | | | | 162 | |
Goldman Sachs Group, Inc. | | | 113 | | | | 33,632 | |
Intercontinental Exchange, Inc. | | | 1,824 | | | | 171,559 | |
Lincoln National Corp. | | | 3 | | | | 140 | |
LPL Financial Holdings, Inc. | | | 7 | | | | 1,266 | |
Markel Corp.(1)(2) | | | 0 | | | | 334 | |
MarketAxess Holdings, Inc. | | | 3 | | | | 817 | |
Marsh & McLennan Companies, Inc. | | | 751 | | | | 116,547 | |
Moody’s Corp. | | | 13 | | | | 3,477 | |
Morningstar, Inc. | | | 2 | | | | 457 | |
MSCI, Inc. - Class A | | | 512 | | | | 210,986 | |
PNC Financial Services Group, Inc. | | | 666 | | | | 104,999 | |
Progressive Corp. | | | 43 | | | | 5,005 | |
Raymond James Financial, Inc. | | | 1 | | | | 115 | |
RenaissanceRe Holdings Ltd. | | | 2 | | | | 314 | |
Rocket Companies, Inc. - Class A | | | 11 | | | | 83 | |
Ryan Specialty Holdings, Inc. - Class A(1) | | | 7 | | | | 266 | |
S&P Global, Inc. | | | 578 | | | | 194,734 | |
Signature Bank(2) | | | 0 | | | | 48 | |
SVB Financial Group(1) | | | 3 | | | | 1,252 | |
Tradeweb Markets, Inc. - Class A | | | 6 | | | | 383 | |
Upstart Holdings, Inc.(1) | | | 4 | | | | 128 | |
UWM Holdings Corp. | | | 6 | | | | 20 | |
Wells Fargo & Co. | | | 1,329 | | | | 52,038 | |
Western Alliance Bancorp | | | 5 | | | | 385 | |
| | | | | | | | |
Total Financials | | | | 1,427,541 | |
| | | | | | | | |
Healthcare – 19.64% | | | | |
10X Genomics, Inc. - Class A(1) | | | 7 | | | | 338 | |
Abbott Laboratories | | | 1,881 | | | | 204,416 | |
AbbVie, Inc. | | | 150 | | | | 22,944 | |
ABIOMED, Inc.(1) | | | 4 | | | | 947 | |
Agilent Technologies, Inc. | | | 23 | | | | 2,700 | |
agilon health, Inc.(1) | | | 14 | | | | 297 | |
Align Technology, Inc.(1) | | | 5 | | | | 1,179 | |
Alnylam Pharmaceuticals, Inc.(1) | | | 10 | | | | 1,498 | |
AmerisourceBergen Corp. - Class A | | | 13 | | | | 1,782 | |
Amgen, Inc. | | | 38 | | | | 9,250 | |
Avantor, Inc.(1) | | | 48 | | | | 1,492 | |
Baxter International, Inc. | | | 6 | | | | 416 | |
Bio-Techne Corp. | | | 3 | | | | 1,172 | |
Boston Scientific Corp.(1) | | | 2,128 | | | | 79,328 | |
Bruker Corp. | | | 9 | | | | 568 | |
Catalent, Inc.(1) | | | 5 | | | | 493 | |
Certara, Inc.(1) | | | 5 | | | | 114 | |
Change Healthcare, Inc.(1) | | | 2 | | | | 39 | |
Charles River Laboratories International, Inc.(1) | | | 4 | | | | 858 | |
Chemed Corp.(2) | | | 0 | | | | 206 | |
Cigna Corp. | | | 4 | | | | 1,109 | |
Danaher Corp. | | | 1,623 | | | | 411,347 | |
DaVita, Inc.(1) | | | 5 | | | | 394 | |
Definitive Healthcare Corp. - Class A(1) | | | 1 | | | | 34 | |
DexCom, Inc.(1) | | | 33 | | | | 2,477 | |
Doximity, Inc. - Class A(1) | | | 4 | | | | 128 | |
Edwards Lifesciences Corp.(1) | | | 52 | | | | 4,977 | |
Elevance Health, Inc. | | | 6 | | | | 2,988 | |
Eli Lilly & Co. | | | 322 | | | | 104,457 | |
Exact Sciences Corp.(1) | | | 3 | | | | 103 | |
Exelixis, Inc.(1) | | | 23 | | | | 473 | |
Globus Medical, Inc. - Class A(1)(2) | | | 0 | | | | 26 | |
Guardant Health, Inc.(1) | | | 8 | | | | 320 | |
HCA Healthcare, Inc. | | | 1 | | | | 191 | |
Horizon Therapeutics Plc(1) | | | 18 | | | | 1,410 | |
Humana, Inc. | | | 197 | | | | 92,188 | |
ICU Medical, Inc.(1)(2) | | | 0 | | | | 52 | |
IDEXX Laboratories, Inc.(1) | | | 7 | | | | 2,468 | |
Incyte Corp.(1) | | | 14 | | | | 1,032 | |
Insulet Corp.(1) | | | 6 | | | | 1,246 | |
Intuitive Surgical, Inc.(1) | | | 868 | | | | 174,246 | |
Ionis Pharmaceuticals, Inc.(1) | | | 11 | | | | 412 | |
IQVIA Holdings, Inc.(1) | | | 949 | | | | 205,885 | |
Johnson & Johnson | | | 1,526 | | | | 270,896 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 9 | | | | 267 | |
Masimo Corp.(1) | | | 3 | | | | 408 | |
McKesson Corp. | | | 2 | | | | 765 | |
Medtronic Plc | | | 1,645 | | | | 147,643 | |
Merck & Co., Inc. | | | 90 | | | | 8,191 | |
Mettler-Toledo International, Inc.(1) | | | 2 | | | | 2,170 | |
| | | | | | | | |
Moderna, Inc.(1) | | | 2 | | | | 243 | |
Molina Healthcare, Inc.(1) | | | 4 | | | | 1,035 | |
Natera, Inc.(1) | | | 6 | | | | 229 | |
Neurocrine Biosciences, Inc.(1) | | | 8 | | | | 788 | |
Novavax, Inc.(1) | | | 7 | | | | 343 | |
Novo Nordisk A/S - ADR | | | 357 | | | | 39,761 | |
Novocure Ltd.(1) | | | 9 | | | | 601 | |
Penumbra, Inc.(1) | | | 3 | | | | 369 | |
Regeneron Pharmaceuticals, Inc.(1) | | | 291 | | | | 171,872 | |
Repligen Corp.(1) | | | 3 | | | | 527 | |
ResMed, Inc. | | | 12 | | | | 2,557 | |
Sarepta Therapeutics, Inc.(1) | | | 7 | | | | 538 | |
Seagen, Inc.(1) | | | 11 | | | | 2,030 | |
Sotera Health Co.(1) | | | 8 | | | | 162 | |
Stryker Corp. | | | 16 | | | | 3,159 | |
Syneos Health, Inc. - Class A(1) | | | 2 | | | | 109 | |
Tandem Diabetes Care, Inc.(1) | | | 5 | | | | 291 | |
Teladoc Health, Inc.(1) | | | 1 | | | | 43 | |
Thermo Fisher Scientific, Inc. | | | 603 | | | | 327,339 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 4 | | | | 253 | |
UnitedHealth Group, Inc. | | | 968 | | | | 497,240 | |
Veeva Systems, Inc. - Class A(1) | | | 12 | | | | 2,356 | |
Vertex Pharmaceuticals, Inc.(1) | | | 232 | | | | 65,297 | |
Waters Corp.(1) | | | 5 | | | | 1,673 | |
West Pharmaceutical Services, Inc. | | | 6 | | | | 1,914 | |
Zoetis, Inc. - Class A | | | 764 | | | | 131,393 | |
| | | | | | | | |
Total Healthcare | | | | 3,020,462 | |
| | | | | | | | |
Industrials – 3.79% | | | | |
Advanced Drainage Systems, Inc. | | | 5 | | | | 478 | |
AECOM | | | 1 | | | | 45 | |
AGCO Corp. | | | 1 | | | | 50 | |
Allegion Plc | | | 6 | | | | 587 | |
Allison Transmission Holdings, Inc. | | | 7 | | | | 257 | |
AO Smith Corp. | | | 3 | | | | 139 | |
Armstrong World Industries, Inc. | | | 2 | | | | 147 | |
Axon Enterprise, Inc.(1) | | | 6 | | | | 528 | |
Boeing Co.(1) | | | 14 | | | | 1,969 | |
Booz Allen Hamilton Holding Corp. - Class A | | | 11 | | | | 1,017 | |
BWX Technologies, Inc. | | | 3 | | | | 162 | |
Carlisle Companies, Inc. | | | 4 | | | | 852 | |
Caterpillar, Inc. | | | 262 | | | | 46,847 | |
CH Robinson Worldwide, Inc. | | | 3 | | | | 289 | |
ChargePoint Holdings, Inc.(1) | | | 16 | | | | 224 | |
Cintas Corp. | | | 7 | | | | 2,601 | |
Copart, Inc.(1) | | | 18 | | | | 1,956 | |
Core & Main, Inc. - Class A(1) | | | 3 | | | | 66 | |
CoStar Group, Inc.(1) | | | 5 | | | | 280 | |
CSX Corp. | | | 46 | | | | 1,348 | |
Deere & Co. | | | 24 | | | | 7,115 | |
Delta Air Lines, Inc.(1) | | | 55 | | | | 1,592 | |
Donaldson Co., Inc. | | | 1 | | | | 58 | |
Emerson Electric Co. | | | 16 | | | | 1,270 | |
Equifax, Inc. | | | 5 | | | | 915 | |
Expeditors International of Washington, Inc. | | | 4 | | | | 414 | |
Fastenal Co. | | | 49 | | | | 2,426 | |
Fortune Brands Home & Security, Inc. | | | 4 | | | | 228 | |
FTI Consulting, Inc.(1) | | | 1 | | | | 211 | |
Generac Holdings, Inc.(1) | | | 5 | | | | 1,115 | |
General Electric Co. | | | 5 | | | | 322 | |
Graco, Inc. | | | 10 | | | | 577 | |
GXO Logistics, Inc.(1) | | | 1 | | | | 41 | |
HEICO Corp. | | | 283 | | | | 37,170 | |
HEICO Corp. - Class A | | | 6 | | | | 642 | |
Honeywell International, Inc. | | | 906 | | | | 157,441 | |
Howmet Aerospace, Inc. | | | 2 | | | | 76 | |
Huntington Ingalls Industries, Inc. | | | 1 | | | | 155 | |
IAA, Inc.(1) | | | 12 | | | | 380 | |
IDEX Corp. | | | 1 | | | | 202 | |
Illinois Tool Works, Inc. | | | 24 | | | | 4,304 | |
JB Hunt Transport Services, Inc. | | | 6 | | | | 1,009 | |
KBR, Inc. | | | 7 | | | | 358 | |
Landstar System, Inc. | | | 3 | | | | 422 | |
Lincoln Electric Holdings, Inc. | | | 5 | | | | 621 | |
Lockheed Martin Corp. | | | 20 | | | | 8,650 | |
Lyft, Inc. - Class A(1) | | | 25 | | | | 334 | |
Masco Corp. | | | 1 | | | | 52 | |
Middleby Corp.(1) | | | 1 | | | | 173 | |
MSA Safety, Inc. | | | 1 | | | | 118 | |
Nordson Corp. | | | 1 | | | | 232 | |
Norfolk Southern Corp. | | | 422 | | | | 95,890 | |
Northrop Grumman Corp. | | | 1 | | | | 676 | |
Old Dominion Freight Line, Inc. | | | 9 | | | | 2,205 | |
Otis Worldwide Corp. | | | 4 | | | | 301 | |
Parker-Hannifin Corp. | | | 2 | | | | 589 | |
Plug Power, Inc.(1) | | | 21 | | | | 352 | |
Quanta Services, Inc. | | | 6 | | | | 802 | |
Republic Services, Inc. - Class A | | | 1 | | | | 142 | |
| | | | | | | | |
Robert Half International, Inc. | | | 8 | | | | 617 | |
Rockwell Automation, Inc. | | | 7 | | | | 1,321 | |
Rollins, Inc. | | | 19 | | | | 649 | |
SiteOne Landscape Supply, Inc.(1) | | | 2 | | | | 271 | |
Southwest Airlines Co.(1) | | | 699 | | | | 25,265 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 8 | | | | 239 | |
Tetra Tech, Inc. | | | 2 | | | | 246 | |
Toro Co. | | | 9 | | | | 645 | |
Trane Technologies Plc | | | 11 | | | | 1,491 | |
TransDigm Group, Inc.(1) | | | 2 | | | | 899 | |
TransUnion | | | 12 | | | | 952 | |
Trex Co., Inc.(1) | | | 10 | | | | 534 | |
Uber Technologies, Inc.(1) | | | 2,252 | | | | 46,069 | |
Union Pacific Corp. | | | 53 | | | | 11,349 | |
United Parcel Service, Inc. - Class B | | | 56 | | | | 10,145 | |
United Rentals, Inc.(1) | | | 3 | | | | 657 | |
Valmont Industries, Inc.(2) | | | 0 | | | | 55 | |
Verisk Analytics, Inc. - Class A | | | 13 | | | | 2,270 | |
Vertiv Holdings Co. - Class A | | | 4 | | | | 32 | |
Waste Management, Inc. | | | 574 | | | | 87,774 | |
Watsco, Inc. | | | 1 | | | | 343 | |
WESCO International, Inc.(1) | | | 2 | | | | 208 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 9 | | | | 308 | |
WW Grainger, Inc. | | | 4 | | | | 1,748 | |
XPO Logistics, Inc.(1) | | | 1 | | | | 31 | |
Xylem, Inc. | | | 2 | | | | 162 | |
| | | | | | | | |
Total Industrials | | | | 583,702 | |
| | | | | | | | |
Information Technology – 29.98% | | | | |
Accenture Plc - Class A | | | 293 | | | | 81,254 | |
Adobe, Inc.(1) | | | 761 | | | | 278,493 | |
Advanced Micro Devices, Inc.(1) | | | 108 | | | | 8,250 | |
Adyen NV(1)(3) | | | 43 | | | | 61,609 | |
Affirm Holdings, Inc. - Class A(1) | | | 978 | | | | 17,670 | |
Allegro MicroSystems, Inc.(1) | | | 3 | | | | 66 | |
Alteryx, Inc. - Class A(1) | | | 5 | | | | 251 | |
Amphenol Corp. - Class A | | | 1,088 | | | | 70,037 | |
Analog Devices, Inc. | | | 746 | | | | 108,914 | |
ANSYS, Inc.(1) | | | 4 | | | | 904 | |
Apple, Inc. | | | 2,742 | | | | 374,909 | |
Applied Materials, Inc. | | | 631 | | | | 57,381 | |
AppLovin Corp. - Class A(1) | | | 19 | | | | 638 | |
Arista Networks, Inc.(1) | | | 21 | | | | 1,973 | |
Arrow Electronics, Inc.(1)(2) | | | 0 | | | | 31 | |
Aspen Technology, Inc.(1) | | | 2 | | | | 448 | |
Atlassian Corp. Plc - Class A(1) | | | 246 | | | | 46,186 | |
Autodesk, Inc.(1) | | | 1,060 | | | | 182,344 | |
Automatic Data Processing, Inc. | | | 32 | | | | 6,824 | |
Avalara, Inc.(1) | | | 7 | | | | 523 | |
Bentley Systems, Inc. - Class B | | | 14 | | | | 474 | |
Black Knight, Inc.(1) | | | 1 | | | | 79 | |
Broadcom, Inc. | | | 88 | | | | 42,837 | |
Broadridge Financial Solutions, Inc. | | | 9 | | | | 1,289 | |
Cadence Design Systems, Inc.(1) | | | 23 | | | | 3,455 | |
CCC Intelligent Solutions Holdings, Inc.(1) | | | 6 | | | | 51 | |
CDK Global, Inc. | | | 8 | | | | 437 | |
CDW Corp. | | | 12 | | | | 1,842 | |
Ceridian HCM Holding, Inc.(1) | | | 2 | | | | 101 | |
Cisco Systems, Inc. | | | 2,663 | | | | 113,548 | |
Citrix Systems, Inc. | | | 5 | | | | 486 | |
Cloudflare, Inc. - Class A(1) | | | 24 | | | | 1,032 | |
Cognex Corp. | | | 380 | | | | 16,160 | |
Coherent, Inc.(1) | | | 2 | | | | 503 | |
Confluent, Inc. - Class A(1) | | | 10 | | | | 238 | |
Corning, Inc. | | | 4 | | | | 116 | |
Coupa Software, Inc.(1) | | | 3 | | | | 197 | |
Crowdstrike Holdings, Inc. - Class A(1) | | | 346 | | | | 58,271 | |
Datadog, Inc. - Class A(1) | | | 22 | | | | 2,093 | |
Dell Technologies, Inc. - Class C | | | 3 | | | | 156 | |
DocuSign, Inc. - Class A(1) | | | 17 | | | | 951 | |
DoubleVerify Holdings, Inc.(1) | | | 6 | | | | 127 | |
Dropbox, Inc. - Class A(1) | | | 25 | | | | 530 | |
Dynatrace, Inc.(1) | | | 17 | | | | 664 | |
Elastic NV(1) | | | 6 | | | | 437 | |
Enphase Energy, Inc.(1) | | | 11 | | | | 2,181 | |
Entegris, Inc. | | | 12 | | | | 1,072 | |
EPAM Systems, Inc.(1) | | | 5 | | | | 1,360 | |
Euronet Worldwide, Inc.(1) | | | 3 | | | | 313 | |
Fair Isaac Corp.(1) | | | 2 | | | | 873 | |
Fiserv, Inc.(1) | | | 5 | | | | 407 | |
Five9, Inc.(1) | | | 6 | | | | 538 | |
FleetCor Technologies, Inc.(1) | | | 700 | | | | 147,066 | |
Fortinet, Inc.(1) | | | 55 | | | | 3,132 | |
Gartner, Inc.(1) | | | 7 | | | | 1,600 | |
Genpact Ltd. | | | 8 | | | | 333 | |
GLOBALFOUNDRIES, Inc.(1) | | | 2 | | | | 91 | |
Globant SA(1) | | | 3 | | | | 607 | |
GoDaddy, Inc. - Class A(1) | | | 2 | | | | 131 | |
| | | | | | | | |
HP, Inc. | | | 41 | | | | 1,343 | |
HubSpot, Inc.(1) | | | 75 | | | | 22,461 | |
Informatica, Inc. - Class A(1) | | | 2 | | | | 41 | |
International Business Machines Corp. | | | 51 | | | | 7,171 | |
Intuit, Inc. | | | 566 | | | | 218,038 | |
Jabil, Inc. | | | 10 | | | | 488 | |
Jack Henry & Associates, Inc. | | | 6 | | | | 1,106 | |
Jamf Holding Corp.(1) | | | 4 | | | | 92 | |
Keysight Technologies, Inc.(1) | | | 14 | | | | 1,953 | |
KLA Corp. | | | 13 | | | | 4,022 | |
Lam Research Corp. | | | 12 | | | | 5,004 | |
Lattice Semiconductor Corp.(1) | | | 11 | | | | 542 | |
Manhattan Associates, Inc.(1) | | | 3 | | | | 376 | |
Mastercard, Inc. - Class A | | | 333 | | | | 104,935 | |
Microchip Technology, Inc. | | | 40 | | | | 2,299 | |
Micron Technology, Inc. | | | 17 | | | | 961 | |
Microsoft Corp. | | | 3,998 | | | | 1,026,823 | |
MongoDB, Inc. - Class A(1) | | | 5 | | | | 1,419 | |
Monolithic Power Systems, Inc. | | | 4 | | | | 1,501 | |
National Instruments Corp. | | | 1 | | | | 45 | |
nCino, Inc.(1) | | | 5 | | | | 144 | |
NCR Corp.(1) | | | 4 | | | | 112 | |
NetApp, Inc. | | | 19 | | | | 1,229 | |
New Relic, Inc.(1) | | | 5 | | | | 234 | |
NortonLifeLock, Inc. | | | 17 | | | | 375 | |
Nutanix, Inc. - Class A(1) | | | 9 | | | | 132 | |
NVIDIA Corp. | | | 852 | | | | 129,189 | |
Okta, Inc. - Class A(1) | | | 1 | | | | 126 | |
ON Semiconductor Corp.(1) | | | 23 | | | | 1,153 | |
Oracle Corp. | | | 88 | | | | 6,135 | |
Palantir Technologies, Inc. - Class A(1) | | | 153 | | | | 1,385 | |
Palo Alto Networks, Inc.(1) | | | 68 | | | | 33,533 | |
Paychex, Inc. | | | 27 | | | | 3,115 | |
Paycom Software, Inc.(1) | | | 4 | | | | 1,214 | |
Paylocity Holding Corp.(1) | | | 3 | | | | 603 | |
PayPal Holdings, Inc.(1) | | | 312 | | | | 21,816 | |
Pegasystems, Inc. | | | 4 | | | | 169 | |
Procore Technologies, Inc.(1) | | | 4 | | | | 193 | |
PTC, Inc.(1) | | | 9 | | | | 971 | |
Pure Storage, Inc. - Class A(1) | | | 24 | | | | 610 | |
QUALCOMM, Inc. | | | 95 | | | | 12,132 | |
RingCentral, Inc. - Class A(1) | | | 7 | | | | 364 | |
Salesforce, Inc.(1) | | | 2,206 | | | | 364,156 | |
SentinelOne, Inc. - Class A(1) | | | 10 | | | | 232 | |
ServiceNow, Inc.(1) | | | 17 | | | | 8,070 | |
Shift4 Payments, Inc. - Class A(1) | | | 4 | | | | 148 | |
Shopify, Inc. - Class A(1) | | | 368 | | | | 11,482 | |
Smartsheet, Inc. - Class A(1) | | | 11 | | | | 335 | |
Snowflake, Inc. - Class A(1) | | | 244 | | | | 33,970 | |
Splunk, Inc.(1) | | | 14 | | | | 1,203 | |
Switch, Inc. - Class A | | | 10 | | | | 319 | |
Synopsys, Inc.(1) | | | 13 | | | | 3,909 | |
Teradata Corp.(1) | | | 8 | | | | 292 | |
Teradyne, Inc. | | | 12 | | | | 1,101 | |
Texas Instruments, Inc. | | | 574 | | | | 88,203 | |
Thoughtworks Holding, Inc.(1) | | | 7 | | | | 101 | |
Toast, Inc. - Class A(1) | | | 19 | | | | 241 | |
Trade Desk, Inc. - Class A(1) | | | 806 | | | | 33,756 | |
Twilio, Inc. - Class A(1) | | | 5 | | | | 448 | |
Tyler Technologies, Inc.(1) | | | 3 | | | | 991 | |
Ubiquiti, Inc.(2) | | | 0 | | | | 114 | |
UiPath, Inc. - Class A(1) | | | 3 | | | | 53 | |
Unity Software, Inc.(1) | | | 13 | | | | 480 | |
Universal Display Corp. | | | 4 | | | | 379 | |
VeriSign, Inc.(1) | | | 1 | | | | 141 | |
Visa, Inc. - Class A | | | 2,915 | | | | 573,941 | |
VMware, Inc. - Class A | | | 8 | | | | 956 | |
Vontier Corp. | | | 8 | | | | 174 | |
Western Union Co. | | | 11 | | | | 180 | |
WEX, Inc.(1) | | | 3 | | | | 427 | |
Wix.com Ltd.(1) | | | 5 | | | | 305 | |
Workday, Inc. - Class A(1) | | | 1,163 | | | | 162,331 | |
Zebra Technologies Corp. - Class A(1) | | | 2 | | | | 520 | |
Zendesk, Inc.(1) | | | 10 | | | | 774 | |
Zoom Video Communications, Inc. - Class A(1) | | | 11 | | | | 1,164 | |
Zscaler, Inc.(1) | | | 7 | | | | 1,054 | |
| | | | | | | | |
Total Information Technology | | | | 4,611,987 | |
| | | | | | | | |
Materials – 4.01% | | | | |
Albemarle Corp. | | | 5 | | | | 1,067 | |
Avery Dennison Corp. | | | 331 | | | | 53,625 | |
Axalta Coating Systems Ltd.(1) | | | 5 | | | | 100 | |
Ball Corp. | | | 2,876 | | | | 197,756 | |
Berry Global Group, Inc.(1) | | | 5 | | | | 284 | |
CF Industries Holdings, Inc. | | | 18 | | | | 1,511 | |
Chemours Co. | | | 7 | | | | 225 | |
Crown Holdings, Inc. | | | 9 | | | | 789 | |
Eagle Materials, Inc. | | | 3 | | | | 295 | |
| | | | | | | | |
Ecolab, Inc. | | | 1,233 | | | | 189,639 | |
FMC Corp. | | | 4 | | | | 389 | |
Ginkgo Bioworks Holdings, Inc.(1) | | | 14 | | | | 33 | |
Graphic Packaging Holding Co. | | | 19 | | | | 398 | |
Linde Plc | | | 9 | | | | 2,563 | |
Louisiana-Pacific Corp. | | | 1 | | | | 36 | |
Martin Marietta Materials, Inc.(2) | | | 0 | | | | 135 | |
Mosaic Co. | | | 4 | | | | 173 | |
MP Materials Corp.(1) | | | 7 | | | | 240 | |
PPG Industries, Inc. | | | 11 | | | | 1,212 | |
Royal Gold, Inc.(2) | | | 0 | | | | 38 | |
RPM International, Inc. | | | 1 | | | | 42 | |
Scotts Miracle-Gro Co. | | | 1 | | | | 90 | |
Sealed Air Corp. | | | 12 | | | | 693 | |
Sherwin-Williams Co. | | | 733 | | | | 164,038 | |
Southern Copper Corp. | | | 7 | | | | 330 | |
Valvoline, Inc. | | | 15 | | | | 425 | |
Vulcan Materials Co. | | | 5 | | | | 757 | |
| | | | | | | | |
Total Materials | | | | | | | 616,883 | |
| | | | | | | | |
Real Estate – 2.39% | | | | | | | | |
American Tower Corp. | | | 173 | | | | 44,158 | |
Apartment Income REIT Corp. | | | 1 | | | | 45 | |
Camden Property Trust | | | 1 | | | | 99 | |
CBRE Group, Inc. - Class A(1) | | | 13 | | | | 977 | |
Crown Castle International Corp. | | | 37 | | | | 6,157 | |
Equinix, Inc. | | | 267 | | | | 175,505 | |
Equity LifeStyle Properties, Inc. | | | 9 | | | | 647 | |
Extra Space Storage, Inc. | | | 1 | | | | 226 | |
Iron Mountain, Inc. | | | 18 | | | | 889 | |
Lamar Advertising Co. - Class A | | | 7 | | | | 577 | |
Opendoor Technologies, Inc.(1) | | | 8 | | | | 38 | |
Prologis, Inc. | | | 1,128 | | | | 132,751 | |
Public Storage | | | 10 | | | | 3,277 | |
SBA Communications Corp. - Class A | | | 2 | | | | 641 | |
Simon Property Group, Inc. | | | 13 | | | | 1,272 | |
Zillow Group, Inc. - Class A(1)(2) | | | 0 | | | | 9 | |
Zillow Group, Inc. - Class C(1) | | | 1 | | | | 26 | |
| | | | | | | | |
Total Real Estate | | | | | | | 367,294 | |
| | | | | | | | |
Utilities – 0.00%(4) | | | | | | | | |
AES Corp. | | | 10 | | | | 208 | |
National Fuel Gas Co. | | | 1 | | | | 40 | |
Vistra Corp. | | | 20 | | | | 463 | |
| | | | | | | | |
Total Utilities | | | | | | | 711 | |
| | | | | | | | |
Total Common Stocks (Cost: $12,315,245) | | | | | | | 14,956,301 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.66% | | | | | | | | |
Money Market Funds – 2.62% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(5) | | | 402,049 | | | | 402,049 | |
| | | | | | | | |
Total Money Market Funds (Cost: $402,049) | | | | | | | 402,049 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.04% | | | | | | | | |
Barclays Bank, London, 1.06% due 07/01/2022 | | $ | 2,434 | | | | 2,434 | |
BBVA, Madrid, 1.06% due 07/01/2022 | | | 306 | | | | 306 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 2 | | | | 2 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 281 | | | | 281 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 3,419 | | | | 3,419 | |
| | | | | | | | |
Total Time Deposits (Cost: $6,442) | | | | | | | 6,442 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $408,491) | | | | | | | 408,491 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.89%
(Cost: $12,723,736) | | | | | | | 15,364,792 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.11% | | | | | | | 16,159 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 15,380,951 | |
| | | | | | | | |
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) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (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 the security totals $61,609, which represents 0.40% of total net assets. |
| (4) | Amount calculated is less than 0.005%. |
| (5) | 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 | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 20 | | NASDAQ 100 E-mini Future | | Sep. 2022 | | $ | 4,803 | | | $ | 4,612 | | | $ | (191 | ) |
| 13 | | S&P 500 E-mini Future | | Sep. 2022 | | | 2,518 | | | | 2,463 | | | | (55 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (246 | ) |
| | | | | | | | | | | | | | | | |
Bridge Builder Large Cap Value Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.51% | | | | | | | | |
Communication Services – 7.15% | | | | | | | | |
Activision Blizzard, Inc. | | | 37 | | | $ | 2,882 | |
Alphabet, Inc. - Class A(1) | | | 2 | | | | 4,062 | |
Alphabet, Inc. - Class C(1) | | | 79 | | | | 173,292 | |
Altice USA, Inc. - Class A(1) | | | 2,473 | | | | 22,876 | |
AMC Entertainment Holdings, Inc. - Class A(1) | | | 25 | | | | 333 | |
AT&T, Inc. | | | 1,923 | | | | 40,296 | |
Cable One, Inc.(2) | | | 0 | | | | 146 | |
Comcast Corp. - Class A | | | 7,111 | | | | 279,042 | |
DISH Network Corp. - Class A(1) | | | 12 | | | | 208 | |
Electronic Arts, Inc. | | | 1,188 | | | | 144,509 | |
Fox Corp. - Class A | | | 313 | | | | 10,053 | |
Fox Corp. - Class B | | | 334 | | | | 9,929 | |
Frontier Communications Parent, Inc.(1) | | | 12 | | | | 274 | |
IAC/InterActiveCorp(1) | | | 4 | | | | 286 | |
Interpublic Group of Companies, Inc. | | | 19 | | | | 522 | |
Liberty Broadband Corp. - Class A(1) | | | 1 | | | | 60 | |
Liberty Broadband Corp. - Class C(1) | | | 3 | | | | 380 | |
Liberty Media Corp.-Liberty Formula One - Class A(1) | | | 1 | | | | 51 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 8 | | | | 539 | |
Liberty Media Corp.-Liberty SiriusXM - Class A | | | 3 | | | | 93 | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 5 | | | | 192 | |
Live Nation Entertainment, Inc.(1) | | | 4 | | | | 303 | |
Lumen Technologies, Inc. | | | 491 | | | | 5,362 | |
Madison Square Garden Sports Corp. - Class A(1)(2) | | | 0 | | | | 68 | |
Match Group, Inc.(1) | | | 1 | | | | 60 | |
Meta Platforms, Inc. - Class A(1) | | | 816 | | | | 131,529 | |
Netflix, Inc.(1) | | | 323 | | | | 56,529 | |
New York Times Co. - Class A | | | 8 | | | | 214 | |
News Corp. - Class A | | | 2,435 | | | | 37,940 | |
News Corp. - Class B | | | 6 | | | | 92 | |
Nexstar Media Group, Inc. - Class A | | | 44 | | | | 7,233 | |
Omnicom Group, Inc. | | | 10 | | | | 615 | |
Paramount Global - Class A(2) | | | 0 | | | | 11 | |
Paramount Global - Class B | | | 282 | | | | 6,971 | |
Pinterest, Inc. - Class A(1) | | | 22 | | | | 392 | |
Roku, Inc. - Class A(1) | | | 4 | | | | 336 | |
Sirius XM Holdings, Inc. | | | 34 | | | | 207 | |
Take-Two Interactive Software, Inc.(1) | | | 1 | | | | 159 | |
TEGNA, Inc. | | | 273 | | | | 5,721 | |
T-Mobile U.S., Inc.(1) | | | 634 | | | | 85,325 | |
TripAdvisor, Inc.(1) | | | 4 | | | | 80 | |
Twitter, Inc.(1) | | | 3 | | | | 98 | |
Verizon Communications, Inc. | | | 870 | | | | 44,131 | |
Walt Disney Co.(1) | | | 951 | | | | 89,790 | |
Warner Bros Discovery, Inc.(1) | | | 4,035 | | | | 54,153 | |
| | | | | | | | |
Total Communication Services | | | | 1,217,344 | |
| | | | | | | | |
Consumer Discretionary – 8.80% | | | | | | | | |
ADT, Inc. | | | 10 | | | | 61 | |
Advance Auto Parts, Inc. | | | 369 | | | | 63,954 | |
Aptiv Plc(1) | | | 10 | | | | 859 | |
Aramark | | | 2,017 | | | | 61,789 | |
AutoNation, Inc.(1) | | | 597 | | | | 66,739 | |
AutoZone, Inc.(1)(2) | | | 0 | | | | 187 | |
Bath & Body Works, Inc. | | | 11 | | | | 306 | |
Best Buy Co., Inc. | | | 172 | | | | 11,192 | |
Booking Holdings, Inc.(1) | | | 59 | | | | 103,379 | |
BorgWarner, Inc. | | | 161 | | | | 5,380 | |
Boyd Gaming Corp. | | | 4 | | | | 190 | |
Bright Horizons Family Solutions, Inc.(1) | | | 2 | | | | 171 | |
| | | | | | | | |
Brunswick Corp. | | | 3 | | | | 189 | |
Burlington Stores, Inc.(1)(2) | | | 0 | | | | 21 | |
Caesars Entertainment, Inc.(1) | | | 3 | | | | 118 | |
Capri Holdings Ltd.(1) | | | 7 | | | | 284 | |
CarMax, Inc.(1) | | | 7 | | | | 610 | |
Carnival Corp.(1) | | | 41 | | | | 357 | |
Carter’s, Inc. | | | 74 | | | | 5,248 | |
Columbia Sportswear Co. | | | 2 | | | | 121 | |
Compass Group Plc | | | 5,088 | | | | 104,467 | |
Darden Restaurants, Inc. | | | 2 | | | | 181 | |
Deckers Outdoor Corp.(1)(2) | | | 0 | | | | 39 | |
Dick’s Sporting Goods, Inc. | | | 95 | | | | 7,143 | |
Dollar General Corp. | | | 346 | | | | 84,846 | |
Dollar Tree, Inc.(1) | | | 7 | | | | 1,088 | |
Domino’s Pizza, Inc.(2) | | | 0 | | | | 179 | |
DoorDash, Inc. - Class A(1) | | | 1 | | | | 88 | |
DR Horton, Inc. | | | 7 | | | | 485 | |
eBay, Inc. | | | 271 | | | | 11,289 | |
Foot Locker, Inc. | | | 126 | | | | 3,172 | |
Ford Motor Co. | | | 804 | | | | 8,948 | |
GameStop Corp. - Class A(1) | | | 3 | | | | 391 | |
Gap, Inc. | | | 9 | | | | 72 | |
Garmin Ltd. | | | 7 | | | | 721 | |
General Motors Co.(1) | | | 371 | | | | 11,767 | |
Gentex Corp. | | | 11 | | | | 308 | |
Genuine Parts Co. | | | 6 | | | | 808 | |
Grand Canyon Education, Inc.(1) | | | 2 | | | | 143 | |
H&R Block, Inc. | | | 1 | | | | 49 | |
Hanesbrands, Inc. | | | 463 | | | | 4,766 | |
Harley-Davidson, Inc. | | | 181 | | | | 5,715 | |
Hasbro, Inc. | | | 6 | | | | 512 | |
Hilton Worldwide Holdings, Inc. | | | 4 | | | | 403 | |
Home Depot, Inc. | | | 262 | | | | 71,984 | |
Hyatt Hotels Corp. - Class A(1) | | | 3 | | | | 186 | |
Kohl’s Corp. | | | 581 | | | | 20,720 | |
Las Vegas Sands Corp.(1) | | | 2,581 | | | | 86,684 | |
La-Z-Boy, Inc. | | | 211 | | | | 4,996 | |
Lear Corp. | | | 43 | | | | 5,438 | |
Leggett & Platt, Inc. | | | 6 | | | | 215 | |
Lennar Corp. - Class A | | | 133 | | | | 9,402 | |
Lennar Corp. - Class B | | | 1 | | | | 45 | |
Leslie’s, Inc.(1) | | | 1 | | | | 8 | |
Lithia Motors, Inc. - Class A | | | 160 | | | | 44,010 | |
LKQ Corp. | | | 13 | | | | 626 | |
Lowe’s Companies, Inc. | | | 4 | | | | 755 | |
Lucid Group, Inc.(1) | | | 2 | | | | 27 | |
Macy’s, Inc. | | | 14 | | | | 248 | |
Marriott International, Inc. - Class A | | | 571 | | | | 77,625 | |
Marriott Vacations Worldwide Corp. | | | 348 | | | | 40,400 | |
Mattel, Inc.(1) | | | 1,037 | | | | 23,163 | |
McDonald’s Corp. | | | 486 | | | | 120,087 | |
MGM Resorts International | | | 1,241 | | | | 35,938 | |
Mister Car Wash, Inc.(1) | | | 1 | | | | 12 | |
Mohawk Industries, Inc.(1) | | | 2 | | | | 307 | |
Murphy USA, Inc. | | | 28 | | | | 6,520 | |
Newell Brands, Inc. | | | 360 | | | | 6,850 | |
NIKE, Inc. - Class B | | | 1,010 | | | | 103,181 | |
Nordstrom, Inc. | | | 90 | | | | 1,904 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 18 | | | | 205 | |
NVR, Inc.(1)(2) | | | 0 | | | | 160 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 3 | | | | 167 | |
O’Reilly Automotive, Inc.(1) | | | 2 | | | | 1,164 | |
Peloton Interactive, Inc. - Class A(1) | | | 14 | | | | 130 | |
Penn National Gaming, Inc.(1) | | | 8 | | | | 241 | |
Penske Automotive Group, Inc. | | | 92 | | | | 9,671 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 4 | | | | 57 | |
Planet Fitness, Inc. - Class A(1) | | | 1 | | | | 69 | |
| | | | | | | | |
Polaris, Inc. | | | 1 | | | | 69 | |
PulteGroup, Inc. | | | 165 | | | | 6,532 | |
PVH Corp. | | | 3 | | | | 175 | |
QuantumScape Corp. - Class A(1) | | | 12 | | | | 100 | |
Ralph Lauren Corp. - Class A | | | 2 | | | | 201 | |
RH(1) | | | 1 | | | | 110 | |
Rivian Automotive, Inc. - Class A(1) | | | 8 | | | | 218 | |
Ross Stores, Inc. | | | 9 | | | | 665 | |
Royal Caribbean Cruises Ltd.(1) | | | 10 | | | | 366 | |
SeaWorld Entertainment, Inc.(1) | | | 1,077 | | | | 47,595 | |
Service Corp. International | | | 7 | | | | 501 | |
Six Flags Entertainment Corp.(1) | | | 2 | | | | 34 | |
Skechers USA, Inc. - Class A(1) | | | 6 | | | | 199 | |
Sleep Number Corp.(1) | | | 63 | | | | 1,962 | |
Starbucks Corp. | | | 35 | | | | 2,672 | |
Tapestry, Inc. | | | 11 | | | | 337 | |
Target Corp. | | | 65 | | | | 9,149 | |
Tempur Sealy International, Inc. | | | 8 | | | | 174 | |
Terminix Global Holdings, Inc.(1) | | | 6 | | | | 233 | |
Thor Industries, Inc. | | | 81 | | | | 6,085 | |
TJX Companies, Inc. | | | 2,921 | | | | 163,136 | |
Toll Brothers, Inc. | | | 3 | | | | 113 | |
TopBuild Corp.(1)(2) | | | 0 | | | | 38 | |
Travel + Leisure Co. | | | 1 | | | | 45 | |
Under Armour, Inc. - Class A(1) | | | 8 | | | | 69 | |
Under Armour, Inc. - Class C(1) | | | 11 | | | | 84 | |
Vail Resorts, Inc.(2) | | | 0 | | | | 22 | |
VF Corp. | | | 17 | | | | 735 | |
Victoria’s Secret & Co.(1) | | | 1 | | | | 25 | |
Wayfair, Inc. - Class A(1) | | | 1 | | | | 65 | |
Whirlpool Corp. | | | 86 | | | | 13,373 | |
Williams-Sonoma, Inc. | | | 1 | | | | 76 | |
Wyndham Hotels & Resorts, Inc. | | | 1 | | | | 87 | |
Wynn Resorts Ltd.(1) | | | 4 | | | | 252 | |
Yum! Brands, Inc. | | | 12 | | | | 1,370 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,498,797 | |
| | | | | | | | |
Consumer Staples – 7.98% | | | | | | | | |
Albertsons Companies, Inc. - Class A | | | 7 | | | | 198 | |
Altria Group, Inc. | | | 2,233 | | | | 93,280 | |
Archer-Daniels-Midland Co. | | | 27 | | | | 2,071 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 2 | | | | 147 | |
Brown-Forman Corp. - Class A | | | 1 | | | | 63 | |
Brown-Forman Corp. - Class B | | | 4 | | | | 253 | |
Bunge Ltd. | | | 96 | | | | 8,742 | |
Campbell Soup Co. | | | 9 | | | | 441 | |
Casey’s General Stores, Inc. | | | 2 | | | | 334 | |
Church & Dwight Co., Inc. | | | 6 | | | | 586 | |
Clorox Co. | | | 1 | | | | 151 | |
Coca-Cola Co. | | | 1,792 | | | | 112,749 | |
Coca-Cola Europacific Partners Plc | | | 1,265 | | | | 65,306 | |
Colgate-Palmolive Co. | | | 1,807 | | | | 144,814 | |
Conagra Brands, Inc. | | | 1,782 | | | | 61,022 | |
Constellation Brands, Inc. - Class A | | | 7 | | | | 1,718 | |
Costco Wholesale Corp. | | | 168 | | | | 80,520 | |
Coty, Inc. - Class A(1) | | | 17 | | | | 133 | |
Darling Ingredients, Inc.(1) | | | 7 | | | | 429 | |
Diageo Plc - ADR | | | 417 | | | | 72,580 | |
Edgewell Personal Care Co. | | | 115 | | | | 3,981 | |
Flowers Foods, Inc. | | | 9 | | | | 237 | |
Freshpet, Inc.(1) | | | 1 | | | | 49 | |
General Mills, Inc. | | | 29 | | | | 2,165 | |
Grocery Outlet Holding Corp.(1) | | | 4 | | | | 159 | |
Hershey Co. | | | 1 | | | | 203 | |
Hormel Foods Corp. | | | 14 | | | | 647 | |
Ingredion, Inc. | | | 91 | | | | 8,061 | |
J.M. Smucker Co. | | | 99 | | | | 12,715 | |
Kellogg Co. | | | 5 | | | | 388 | |
| | | | | | | | |
Keurig Dr Pepper, Inc. | | | 41 | | | | 1,446 | |
Kimberly-Clark Corp. | | | 380 | | | | 51,318 | |
Kraft Heinz Co. | | | 431 | | | | 16,442 | |
Kroger Co. | | | 447 | | | | 21,148 | |
McCormick & Co., Inc. | | | 12 | | | | 994 | |
Molson Coors Beverage Co. - Class B | | | 278 | | | | 15,175 | |
Mondelez International, Inc. - Class A | | | 127 | | | | 7,880 | |
Monster Beverage Corp.(1) | �� | | 1 | | | | 122 | |
PepsiCo, Inc. | | | 665 | | | | 110,808 | |
Performance Food Group Co.(1) | | | 5 | | | | 230 | |
Philip Morris International, Inc. | | | 2,426 | | | | 239,496 | |
Pilgrim’s Pride Corp.(1) | | | 14 | | | | 444 | |
Post Holdings, Inc.(1) | | | 3 | | | | 227 | |
Procter & Gamble Co. | | | 843 | | | | 121,171 | |
Reynolds Consumer Products, Inc. | | | 2 | | | | 62 | |
Seaboard Corp.(2) | | | 0 | | | | 54 | |
Spectrum Brands Holdings, Inc. | | | 2 | | | | 155 | |
Sprouts Farmers Market, Inc.(1) | | | 295 | | | | 7,477 | |
Tyson Foods, Inc. - Class A | | | 583 | | | | 50,194 | |
US Foods Holding Corp.(1) | | | 10 | | | | 317 | |
Walgreens Boots Alliance, Inc. | | | 302 | | | | 11,439 | |
Walmart, Inc. | | | 240 | | | | 29,166 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,359,907 | |
| | | | | | | | |
Energy – 5.03% | | | | | | | | |
Antero Midstream Corp. | | | 15 | | | | 138 | |
Antero Resources Corp.(1) | | | 5 | | | | 150 | |
APA Corp. | | | 222 | | | | 7,760 | |
Baker Hughes Co. - Class A | | | 44 | | | | 1,273 | |
Cheniere Energy, Inc. | | | 5 | | | | 682 | |
Chesapeake Energy Corp. | | | 6 | | | | 492 | |
Chevron Corp. | | | 135 | | | | 19,613 | |
ConocoPhillips | | | 62 | | | | 5,539 | |
Continental Resources, Inc.(2) | | | 0 | | | | 28 | |
Coterra Energy, Inc. | | | 32 | | | | 817 | |
Devon Energy Corp. | | | 16 | | | | 882 | |
Diamondback Energy, Inc. | | | 4 | | | | 438 | |
DT Midstream, Inc. | | | 4 | | | | 219 | |
Enbridge, Inc. | | | 192 | | | | 8,126 | |
EOG Resources, Inc. | | | 1,383 | | | | 152,728 | |
EQT Corp. | | | 18 | | | | 604 | |
Exxon Mobil Corp. | | | 1,017 | | | | 87,106 | |
Halliburton Co. | | | 1,101 | | | | 34,530 | |
Hess Corp. | | | 1,027 | | | | 108,751 | |
HF Sinclair Corp. | | | 191 | | | | 8,612 | |
Kinder Morgan, Inc. | | | 453 | | | | 7,599 | |
Marathon Oil Corp. | | | 293 | | | | 6,589 | |
Marathon Petroleum Corp. | | | 159 | | | | 13,075 | |
NOV, Inc. | | | 19 | | | | 319 | |
Occidental Petroleum Corp. | | | 148 | | | | 8,700 | |
ONEOK, Inc. | | | 19 | | | | 1,042 | |
Ovintiv, Inc. | | | 4 | | | | 157 | |
PDC Energy, Inc. | | | 2 | | | | 129 | |
Phillips 66 | | | 897 | | | | 73,583 | |
Pioneer Natural Resources Co. | | | 395 | | | | 88,075 | |
Range Resources Corp.(1) | | | 4 | | | | 105 | |
Schlumberger NV | | | 2,474 | | | | 88,479 | |
Southwestern Energy Co.(1) | | | 49 | | | | 308 | |
Targa Resources Corp. | | | 29 | | | | 1,719 | |
TC Energy Corp. | | | 681 | | | | 35,261 | |
TotalEnergies SE - ADR | | | 369 | | | | 19,409 | |
TotalEnergies SE | | | 1,185 | | | | 62,366 | |
Valero Energy Corp. | | | 97 | | | | 10,350 | |
Williams Companies, Inc. | | | 58 | | | | 1,811 | |
| | | | | | | | |
Total Energy | | | | 857,564 | |
| | | | | | | | |
Financials – 15.63% | | | | | | | | |
Affiliated Managers Group, Inc. | | | 52 | | | | 6,037 | |
Aflac, Inc. | | | 239 | | | | 13,225 | |
| | | | | | | | |
AGNC Investment Corp. | | | 25 | | | | 273 | |
Alleghany Corp.(1) | | | 1 | | | | 442 | |
Allstate Corp. | | | 537 | | | | 68,017 | |
Ally Financial, Inc. | | | 15 | | | | 507 | |
American Express Co. | | | 828 | | | | 114,814 | |
American Financial Group, Inc. | | | 84 | | | | 11,666 | |
American International Group, Inc. | | | 2,771 | | | | 141,691 | |
Ameriprise Financial, Inc. | | | 81 | | | | 19,368 | |
Annaly Capital Management, Inc. | | | 584 | | | | 3,452 | |
Aon Plc - Class A | | | 1 | | | | 157 | |
Apollo Global Management, Inc. | | | 93 | | | | 4,528 | |
Arch Capital Group Ltd.(1) | | | 2,307 | | | | 104,951 | |
Ares Capital Corp. | | | 394 | | | | 7,063 | |
Arthur J. Gallagher & Co. | | | 9 | | | | 1,432 | |
Assurant, Inc. | | | 2 | | | | 422 | |
Assured Guaranty Ltd. | | | 3 | | | | 167 | |
Axis Capital Holdings Ltd. | | | 889 | | | | 50,766 | |
Bank of America Corp. | | | 3,188 | | | | 99,233 | |
Bank of Hawaii Corp. | | | 2 | | | | 138 | |
Bank of New York Mellon Corp. | | | 433 | | | | 18,077 | |
Bank OZK | | | 5 | | | | 202 | |
Berkshire Hathaway, Inc. - Class B(1) | | | 314 | | | | 85,697 | |
BlackRock, Inc. - Class A | | | 7 | | | | 4,356 | |
Blackstone, Inc. - Class A | | | 696 | | | | 63,472 | |
BOK Financial Corp. | | | 1 | | | | 113 | |
Brighthouse Financial, Inc.(1) | | | 4 | | | | 144 | |
Brown & Brown, Inc. | | | 10 | | | | 611 | |
Capital One Financial Corp. | | | 145 | | | | 15,091 | |
Carlyle Group, Inc. | | | 10 | | | | 312 | |
CBOE Global Markets, Inc. | | | 5 | | | | 578 | |
Charles Schwab Corp. | | | 257 | | | | 16,264 | |
Chubb Ltd. | | | 1,139 | | | | 223,916 | |
Cincinnati Financial Corp. | | | 7 | | | | 886 | |
Citigroup, Inc. | | | 812 | | | | 37,321 | |
Citizens Financial Group, Inc. | | | 398 | | | | 14,190 | |
CME Group, Inc. - Class A | | | 286 | | | | 58,641 | |
CNA Financial Corp. | | | 140 | | | | 6,273 | |
Coinbase Global, Inc. - Class A(1) | | | 7 | | | | 347 | |
Comerica, Inc. | | | 6 | | | | 451 | |
Commerce Bancshares, Inc. | | | 5 | | | | 336 | |
Credit Acceptance Corp.(1)(2) | | | 0 | | | | 141 | |
Cullen/Frost Bankers, Inc. | | | 3 | | | | 331 | |
Discover Financial Services | | | 129 | | | | 12,196 | |
East West Bancorp, Inc. | | | 7 | | | | 437 | |
Equitable Holdings, Inc. | | | 1,694 | | | | 44,171 | |
Erie Indemnity Co. - Class A(2) | | | 0 | | | | 60 | |
Essent Group Ltd. | | | 99 | | | | 3,862 | |
Evercore, Inc. - Class A | | | 2 | | | | 168 | |
Everest Re Group Ltd. | | | 33 | | | | 9,314 | |
Fidelity National Financial, Inc. | | | 13 | | | | 476 | |
Fifth Third Bancorp | | | 1,229 | | | | 41,291 | |
First American Financial Corp. | | | 5 | | | | 270 | |
First Citizens BancShares, Inc. - Class A(2) | | | 0 | | | | 286 | |
First Hawaiian, Inc. | | | 6 | | | | 131 | |
First Horizon Corp. | | | 556 | | | | 12,148 | |
First Republic Bank | | | 9 | | | | 1,228 | |
FNB Corp. | | | 518 | | | | 5,621 | |
Franklin Resources, Inc. | | | 111 | | | | 2,591 | |
Globe Life, Inc. | | | 4 | | | | 420 | |
Goldman Sachs Group, Inc. | | | 458 | | | | 135,953 | |
Hanover Insurance Group, Inc. | | | 2 | | | | 253 | |
Hartford Financial Services Group, Inc. | | | 455 | | | | 29,753 | |
Huntington Bancshares, Inc. | | | 2,926 | | | | 35,205 | |
Interactive Brokers Group, Inc. - Class A | | | 4 | | | | 243 | |
Intercontinental Exchange, Inc. | | | 26 | | | | 2,473 | |
Invesco Ltd. | | | 18 | | | | 287 | |
Janus Henderson Group Plc | | | 7 | | | | 154 | |
| | | | | | | | |
Jefferies Financial Group, Inc. | | | 1,990 | | | | 54,972 | |
JPMorgan Chase & Co. | | | 288 | | | | 32,447 | |
Kemper Corp. | | | 3 | | | | 148 | |
KeyCorp | | | 639 | | | | 11,016 | |
KKR & Co., Inc. - Class Miscella | | | 27 | | | | 1,261 | |
Lazard Ltd. - Class A | | | 4 | | | | 139 | |
Lincoln National Corp. | | | 148 | | | | 6,922 | |
Loews Corp. | | | 735 | | | | 43,548 | |
M&T Bank Corp. | | | 501 | | | | 79,911 | |
Markel Corp.(1)(2) | | | 0 | | | | 634 | |
Marsh & McLennan Companies, Inc. | | | 705 | | | | 109,481 | |
MetLife, Inc. | | | 997 | | | | 62,631 | |
MGIC Investment Corp. | | | 14 | | | | 183 | |
Moody’s Corp.(2) | | | 0 | | | | 123 | |
Morgan Stanley | | | 1,642 | | | | 124,897 | |
Morningstar, Inc.(2) | | | 0 | | | | 31 | |
MSCI, Inc. - Class A | | | 1 | | | | 382 | |
Nasdaq, Inc. | | | 5 | | | | 825 | |
Navient Corp. | | | 425 | | | | 5,942 | |
New Residential Investment Corp. | | | 554 | | | | 5,166 | |
New York Community Bancorp, Inc. | | | 21 | | | | 192 | |
Northern Trust Corp. | | | 602 | | | | 58,057 | |
Old Republic International Corp. | | | 13 | | | | 301 | |
OneMain Holdings, Inc. - Class A | | | 6 | | | | 209 | |
PacWest Bancorp | | | 6 | | | | 156 | |
Pinnacle Financial Partners, Inc. | | | 4 | | | | 261 | |
PNC Financial Services Group, Inc. | | | 385 | | | | 60,766 | |
Popular, Inc. | | | 4 | | | | 278 | |
Primerica, Inc. | | | 2 | | | | 221 | |
Principal Financial Group, Inc. | | | 12 | | | | 783 | |
PROG Holdings, Inc.(1) | | | 1,002 | | | | 16,534 | |
Progressive Corp. | | | 4 | | | | 421 | |
Prosperity Bancshares, Inc. | | | 4 | | | | 287 | |
Prudential Financial, Inc. | | | 97 | | | | 9,318 | |
Radian Group, Inc. | | | 253 | | | | 4,973 | |
Raymond James Financial, Inc. | | | 31 | | | | 2,807 | |
Regions Financial Corp. | | | 680 | | | | 12,755 | |
Reinsurance Group of America, Inc. - Class A | | | 3 | | | | 371 | |
RenaissanceRe Holdings Ltd. | | | 1 | | | | 147 | |
Robinhood Markets, Inc. - Class A(1) | | | 26 | | | | 217 | |
Rocket Companies, Inc. - Class A | | | 2 | �� | | | 18 | |
S&P Global, Inc. | | | 16 | | | | 5,457 | |
SEI Investments Co. | | | 5 | | | | 262 | |
Signature Bank | | | 3 | | | | 494 | |
SLM Corp. | | | 13 | | | | 208 | |
SoFi Technologies, Inc.(1) | | | 38 | | | | 200 | |
Starwood Property Trust, Inc. | | | 14 | | | | 298 | |
State Street Corp. | | | 647 | | | | 39,890 | |
Stifel Financial Corp. | | | 5 | | | | 277 | |
SVB Financial Group(1) | | | 1 | | | | 400 | |
Synchrony Financial | | | 2,545 | | | | 70,297 | |
Synovus Financial Corp. | | | 7 | | | | 247 | |
T Rowe Price Group, Inc. | | | 11 | | | | 1,211 | |
TFS Financial Corp. | | | 2 | | | | 29 | |
Tradeweb Markets, Inc. - Class A | | | 2 | | | | 129 | |
Travelers Companies, Inc. | | | 11 | | | | 1,930 | |
Truist Financial Corp. | | | 63 | | | | 3,005 | |
Umpqua Holdings Corp. | | | 11 | | | | 176 | |
Unum Group | | | 10 | | | | 328 | |
Upstart Holdings, Inc.(1) | | | 3 | | | | 89 | |
US Bancorp | | | 995 | | | | 45,803 | |
UWM Holdings Corp. | | | 2 | | | | 6 | |
Virtu Financial, Inc. - Class A | | | 5 | | | | 111 | |
Voya Financial, Inc. | | | 91 | | | | 5,425 | |
Webster Financial Corp. | | | 9 | | | | 361 | |
Wells Fargo & Co. | | | 4,179 | | | | 163,706 | |
Western Alliance Bancorp | | | 2 | | | | 138 | |
| | | | | | | | |
White Mountains Insurance Group Ltd.(2) | | | 0 | | | | 169 | |
Willis Towers Watson Plc | | | 329 | | | | 64,854 | |
Wintrust Financial Corp. | | | 3 | | | | 227 | |
WR Berkley Corp. | | | 10 | | | | 669 | |
Zions Bancorp N.A. | | | 202 | | | | 10,293 | |
| | | | | | | | |
Total Financials | | | | 2,661,510 | |
| | | | | | | | |
Healthcare – 16.92% | | | | | | | | |
10X Genomics, Inc. - Class A(1)(2) | | | 0 | | | | 20 | |
Abbott Laboratories | | | 71 | | | | 7,709 | |
AbbVie, Inc. | | | 566 | | | | 86,754 | |
Acadia Healthcare Co., Inc.(1) | | | 4 | | | | 291 | |
Agilent Technologies, Inc. | | | 1 | | | | 166 | |
agilon health, Inc.(1) | | | 1 | | | | 20 | |
Align Technology, Inc.(1) | | | 1 | | | | 221 | |
Amedisys, Inc.(1) | | | 2 | | | | 160 | |
Amgen, Inc. | | | 88 | | | | 21,379 | |
AstraZeneca Plc - ADR | | | 256 | | | | 16,897 | |
Avantor, Inc.(1) | | | 2 | | | | 64 | |
Azenta, Inc. | | | 4 | | | | 254 | |
Baxter International, Inc. | | | 1,293 | | | | 83,068 | |
Becton Dickinson & Co. | | | 225 | | | | 55,423 | |
Biogen, Inc.(1) | | | 54 | | | | 10,977 | |
BioMarin Pharmaceutical, Inc.(1) | | | 9 | | | | 728 | |
Bio-Rad Laboratories, Inc. - Class A(1) | | | 1 | | | | 504 | |
Boston Scientific Corp.(1) | | | 68 | | | | 2,535 | |
Bristol Myers Squibb Co. | | | 551 | | | | 42,429 | |
Cardinal Health, Inc. | | | 417 | | | | 21,778 | |
Catalent, Inc.(1) | | | 6 | | | | 594 | |
Centene Corp.(1) | | | 288 | | | | 24,355 | |
Certara, Inc.(1) | | | 2 | | | | 47 | |
Change Healthcare, Inc.(1) | | | 11 | | | | 253 | |
Charles River Laboratories International, Inc.(1)(2) | | | 0 | | | | 27 | |
Chemed Corp.(2) | | | 0 | | | | 210 | |
Cigna Corp. | | | 483 | | | | 127,261 | |
Cooper Companies, Inc. | | | 2 | | | | 724 | |
CVS Health Corp. | | | 1,403 | | | | 130,044 | |
Danaher Corp. | | | 331 | | | | 83,834 | |
DaVita, Inc.(1) | | | 71 | | | | 5,669 | |
Definitive Healthcare Corp. - Class A(1) | | | 1 | | | | 21 | |
Dentsply Sirona, Inc. | | | 10 | | | | 364 | |
Doximity, Inc. - Class A(1) | | | 2 | | | | 85 | |
Elanco Animal Health, Inc.(1) | | | 22 | | | | 424 | |
Elevance Health, Inc. | | | 343 | | | | 165,711 | |
Eli Lilly & Co. | | | 7 | | | | 2,422 | |
Encompass Health Corp. | | | 5 | | | | 261 | |
Enovis Corp.(1) | | | 2 | | | | 133 | |
Envista Holdings Corp.(1) | | | 1,309 | | | | 50,444 | |
Exact Sciences Corp.(1) | | | 7 | | | | 268 | |
Exelixis, Inc.(1) | | | 2 | | | | 38 | |
Fresenius Medical Care AG & Co. KGaA | | | 964 | | | | 48,305 | |
Gilead Sciences, Inc. | | | 407 | | | | 25,143 | |
Globus Medical, Inc. - Class A(1) | | | 3 | | | | 193 | |
GSK Plc | | | 180 | | | | 3,880 | |
HCA Healthcare, Inc. | | | 73 | | | | 12,284 | |
Henry Schein, Inc.(1) | | | 7 | | | | 510 | |
Hologic, Inc.(1) | | | 770 | | | | 53,372 | |
Horizon Therapeutics Plc(1) | | | 1 | | | | 60 | |
Humana, Inc. | | | 161 | | | | 75,316 | |
ICU Medical, Inc.(1) | | | 1 | | | | 128 | |
Illumina, Inc.(1) | | | 7 | | | | 1,380 | |
Incyte Corp.(1) | | | 1 | | | | 83 | |
Integra LifeSciences Holdings Corp.(1) | | | 4 | | | | 189 | |
Intuitive Surgical, Inc.(1) | | | 1 | | | | 271 | |
Ionis Pharmaceuticals, Inc.(1)(2) | | | 0 | | | | 17 | |
Jazz Pharmaceuticals Plc(1) | | | 77 | | | | 12,086 | |
Johnson & Johnson | | | 1,036 | | | | 183,882 | |
Koninklijke Philips NV | | | 3,245 | | | | 69,609 | |
| | | | | | | | |
Laboratory Corp. of America Holdings | | | 4 | | | | 1,038 | |
LivaNova Plc(1) | | | 726 | | | | 45,349 | |
Masimo Corp.(1) | | | 1 | | | | 81 | |
McKesson Corp. | | | 60 | | | | 19,527 | |
Medtronic Plc | | | 2,855 | | | | 256,218 | |
Merck & Co., Inc. | | | 3,810 | | | | 347,340 | |
Mirati Therapeutics, Inc.(1) | | | 2 | | | | 138 | |
Moderna, Inc.(1) | | | 15 | | | | 2,199 | |
Molina Healthcare, Inc.(1) | | | 1 | | | | 172 | |
Natera, Inc.(1)(2) | | | 0 | | | | 8 | |
Oak Street Health, Inc.(1) | | | 6 | | | | 91 | |
Organon & Co. | | | 105 | | | | 3,558 | |
PerkinElmer, Inc. | | | 6 | | | | 854 | |
Perrigo Co. Plc | | | 1,922 | | | | 77,993 | |
Pfizer, Inc. | | | 2,743 | | | | 143,791 | |
Premier, Inc. - Class A | | | 6 | | | | 208 | |
QIAGEN NV(1) | | | 11 | | | | 504 | |
Quest Diagnostics, Inc. | | | 56 | | | | 7,448 | |
QuidelOrtho Corp.(1) | | | 2 | | | | 229 | |
Regeneron Pharmaceuticals, Inc.(1) | | | 4 | | | | 2,502 | |
Repligen Corp.(1) | | | 1 | | | | 123 | |
Royalty Pharma Plc - Class A | | | 17 | | | | 735 | |
Sanofi - ADR | | | 249 | | | | 12,482 | |
Sanofi | | | 201 | | | | 20,285 | |
Select Medical Holdings Corp. | | | 170 | | | | 4,006 | |
Signify Health, Inc. - Class A(1) | | | 3 | | | | 37 | |
STERIS Plc | | | 4 | | | | 837 | |
Stryker Corp. | | | 494 | | | | 98,177 | |
Syneos Health, Inc. - Class A(1) | | | 4 | | | | 290 | |
Tandem Diabetes Care, Inc.(1)(2) | | | 0 | | | | 13 | |
Teladoc Health, Inc.(1) | | | 7 | | | | 229 | |
Teleflex, Inc. | | | 2 | | | | 549 | |
Tenet Healthcare Corp.(1) | | | 5 | | | | 266 | |
Thermo Fisher Scientific, Inc. | | | 16 | | | | 8,897 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 1 | | | | 36 | |
United Therapeutics Corp.(1) | | | 39 | | | | 9,267 | |
UnitedHealth Group, Inc. | | | 494 | | | | 253,819 | |
Universal Health Services, Inc. - Class B | | | 57 | | | | 5,697 | |
Vertex Pharmaceuticals, Inc.(1) | | | 352 | | | | 99,289 | |
Viatris, Inc. | | | 337 | | | | 3,533 | |
Zimmer Biomet Holdings, Inc. | | | 218 | | | | 22,917 | |
| | | | | | | | |
Total Healthcare | | | | 2,882,006 | |
| | | | | | | | |
Industrials – 14.45% | | | | | | | | |
3M Co. | | | 68 | | | | 8,813 | |
Acuity Brands, Inc. | | | 48 | | | | 7,321 | |
AECOM | | | 978 | | | | 63,794 | |
AerCap Holdings NV(1) | | | 996 | | | | 40,786 | |
AGCO Corp. | | | 85 | | | | 8,419 | |
Air Lease Corp. - Class A | | | 1,668 | | | | 55,750 | |
Airbus SE | | | 251 | | | | 24,571 | |
Airbus SE - ADR | | | 2,273 | | | | 55,211 | |
Alaska Air Group, Inc.(1) | | | 6 | | | | 240 | |
Allegion Plc | | | 1 | | | | 81 | |
Allison Transmission Holdings, Inc. | | | 130 | | | | 5,016 | |
AMERCO(2) | | | 0 | | | | 207 | |
American Airlines Group, Inc.(1) | | | 30 | | | | 382 | |
AMETEK, Inc. | | | 11 | | | | 1,206 | |
AO Smith Corp. | | | 5 | | | | 253 | |
Armstrong World Industries, Inc. | | | 1 | | | | 70 | |
Atkore, Inc.(1) | | | 118 | | | | 9,754 | |
Avis Budget Group, Inc.(1) | | | 1 | | | | 208 | |
Axon Enterprise, Inc.(1) | | | 1 | | | | 68 | |
AZEK Co., Inc. - Class A(1) | | | 5 | | | | 90 | |
Boeing Co.(1) | | | 172 | | | | 23,566 | |
Builders FirstSource, Inc.(1) | | | 8 | | | | 440 | |
BWX Technologies, Inc. | | | 1,263 | | | | 69,580 | |
CACI International, Inc. - Class A(1) | | | 1 | | | | 319 | |
| | | | | | | | |
Canadian National Railway Co. | | | 702 | | | | 78,900 | |
Carlisle Companies, Inc.(2) | | | 0 | | | | 92 | |
Carrier Global Corp. | | | 40 | | | | 1,440 | |
Caterpillar, Inc. | | | 3 | | | | 586 | |
CH Robinson Worldwide, Inc. | | | 4 | | | | 443 | |
Cintas Corp.(2) | | | 0 | | | | 102 | |
Clarivate Plc(1) | | | 23 | | | | 320 | |
Clean Harbors, Inc.(1) | | | 2 | | | | 205 | |
Copa Holdings SA - Class A(1) | | | 1 | | | | 94 | |
Core & Main, Inc. - Class A(1) | | | 2 | | | | 34 | |
CoStar Group, Inc.(1) | | | 16 | | | | 969 | |
Crane Holdings Co. | | | 90 | | | | 7,839 | |
CSX Corp. | | | 77 | | | | 2,251 | |
Cummins, Inc. | | | 78 | | | | 15,047 | |
Curtiss-Wright Corp. | | | 55 | | | | 7,203 | |
Deere & Co. | | | 327 | | | | 97,881 | |
Delta Air Lines, Inc.(1) | | | 195 | | | | 5,638 | |
Donaldson Co., Inc. | | | 5 | | | | 231 | |
Dover Corp. | | | 7 | | | | 831 | |
Driven Brands Holdings, Inc.(1) | | | 3 | | | | 73 | |
Dun & Bradstreet Holdings, Inc.(1) | | | 12 | | | | 180 | |
Eaton Corp. Plc | | | 19 | | | | 2,397 | |
Emerson Electric Co. | | | 19 | | | | 1,524 | |
Equifax, Inc. | | | 3 | | | | 529 | |
Esab Corp. | | | 2 | | | | 107 | |
Expeditors International of Washington, Inc. | | | 5 | | | | 535 | |
FedEx Corp. | | | 669 | | | | 151,628 | |
Flowserve Corp. | | | 102 | | | | 2,913 | |
Fortive Corp. | | | 17 | | | | 929 | |
Fortune Brands Home & Security, Inc. | | | 4 | | | | 244 | |
FTI Consulting, Inc.(1) | | | 1 | | | | 168 | |
Gates Industrial Corp. Plc(1) | | | 6 | | | | 61 | |
General Dynamics Corp. | | | 439 | | | | 97,089 | |
General Electric Co. | | | 1,103 | | | | 70,229 | |
Graco, Inc. | | | 3 | | | | 149 | |
GXO Logistics, Inc.(1) | | | 4 | | | | 194 | |
Hayward Holdings, Inc.(1) | | | 4 | | | | 50 | |
HEICO Corp.(2) | | | 0 | | | | 18 | |
HEICO Corp. - Class A(2) | | | 0 | | | | 25 | |
Hertz Global Holdings, Inc.(1) | | | 11 | | | | 176 | |
Hexcel Corp. | | | 4 | | | | 213 | |
Hillenbrand, Inc. | | | 158 | | | | 6,480 | |
Honeywell International, Inc. | | | 690 | | | | 119,882 | |
Howmet Aerospace, Inc. | | | 16 | | | | 514 | |
Hubbell, Inc. - Class B | | | 3 | | | | 463 | |
Huntington Ingalls Industries, Inc. | | | 39 | | | | 8,487 | |
IAA, Inc.(1) | | | 1 | | | | 36 | |
IDEX Corp. | | | 3 | | | | 540 | |
Illinois Tool Works, Inc. | | | 1 | | | | 269 | |
Ingersoll Rand, Inc. | | | 19 | | | | 814 | |
ITT, Inc. | | | 4 | | | | 262 | |
Jacobs Engineering Group, Inc. | | | 359 | | | | 45,665 | |
JB Hunt Transport Services, Inc. | | | 435 | | | | 68,437 | |
JetBlue Airways Corp.(1) | | | 387 | | | | 3,241 | |
Johnson Controls International Plc | | | 33 | | | | 1,587 | |
KBR, Inc. | | | 2 | | | | 112 | |
Kirby Corp.(1) | | | 3 | | | | 179 | |
Knight-Swift Transportation Holdings, Inc. - Class A | | | 8 | | | | 351 | |
L3Harris Technologies, Inc. | | | 273 | | | | 65,920 | |
Landstar System, Inc.(2) | | | 0 | | | | 22 | |
Leidos Holdings, Inc. | | | 6 | | | | 651 | |
Lennox International, Inc. | | | 2 | | | | 311 | |
Lockheed Martin Corp. | | | 167 | | | | 71,730 | |
Lyft, Inc. - Class A(1) | | | 3 | | | | 39 | |
ManpowerGroup, Inc. | | | 3 | | | | 195 | |
Masco Corp. | | | 11 | | | | 538 | |
MasTec, Inc.(1) | | | 3 | | | | 209 | |
| | | | | | | | |
MDU Resources Group, Inc. | | | 2,452 | | | | 66,176 | |
Mercury Systems, Inc.(1) | | | 3 | | | | 163 | |
Middleby Corp.(1) | | | 2 | | | | 302 | |
Moog, Inc. - Class A | | | 65 | | | | 5,144 | |
MSA Safety, Inc. | | | 1 | | | | 124 | |
MSC Industrial Direct Co., Inc. - Class A | | | 2 | | | | 163 | |
Nielsen Holdings Plc | | | 176 | | | | 4,084 | |
Nordson Corp. | | | 2 | | | | 428 | |
Norfolk Southern Corp. | | | 11 | | | | 2,576 | |
Northrop Grumman Corp. | | | 540 | | | | 258,365 | |
nVent Electric Plc | | | 8 | | | | 240 | |
Oshkosh Corp. | | | 61 | | | | 5,000 | |
Otis Worldwide Corp. | | | 18 | | | | 1,250 | |
Owens Corning | | | 82 | | | | 6,095 | |
PACCAR, Inc. | | | 162 | | | | 13,300 | |
Parker-Hannifin Corp. | | | 5 | | | | 1,159 | |
Pentair Plc | | | 8 | | | | 364 | |
Plug Power, Inc.(1) | | | 12 | | | | 206 | |
Quanta Services, Inc. | | | 3 | | | | 386 | |
Raytheon Technologies Corp. | | | 2,743 | | | | 263,599 | |
Regal Rexnord Corp. | | | 3 | | | | 362 | |
Republic Services, Inc. - Class A | | | 9 | | | | 1,203 | |
Robert Half International, Inc. | | | 1 | | | | 41 | |
Rockwell Automation, Inc. | | | 2 | | | | 359 | |
Rollins, Inc. | | | 1 | | | | 23 | |
Ryder System, Inc. | | | 102 | | | | 7,234 | |
Safran SA | | | 697 | | | | 69,367 | |
Schneider National, Inc. - Class B | | | 3 | | | | 60 | |
Science Applications International Corp. | | | 42 | | | | 3,892 | |
Sensata Technologies Holding Plc | | | 7 | | | | 307 | |
Siemens AG | | | 195 | | | | 20,040 | |
SiteOne Landscape Supply, Inc.(1) | | | 1 | | | | 94 | |
Snap-on, Inc. | | | 41 | | | | 8,039 | |
Southwest Airlines Co.(1) | | | 234 | | | | 8,445 | |
Spirit AeroSystems Holdings, Inc. - Class A(2) | | | 0 | | | | 7 | |
Stanley Black & Decker, Inc. | | | 380 | | | | 39,876 | |
Stericycle, Inc.(1) | | | 480 | | | | 21,048 | |
Sunrun, Inc.(1) | | | 10 | | | | 237 | |
Tetra Tech, Inc. | | | 1 | | | | 204 | |
Textron, Inc. | | | 107 | | | | 6,531 | |
Timken Co. | | | 3 | | | | 165 | |
Trane Technologies Plc | | | 5 | | | | 605 | |
TransDigm Group, Inc.(1) | | | 2 | | | | 823 | |
TransUnion | | | 2 | | | | 196 | |
Uber Technologies, Inc.(1) | | | 12 | | | | 247 | |
Union Pacific Corp. | | | 439 | | | | 93,557 | |
United Airlines Holdings, Inc.(1) | | | 16 | | | | 550 | |
United Parcel Service, Inc. - Class B | | | 864 | | | | 157,708 | |
United Rentals, Inc.(1) | | | 15 | | | | 3,556 | |
Univar Solutions, Inc.(1) | | | 246 | | | | 6,106 | |
Valmont Industries, Inc. | | | 1 | | | | 193 | |
Vertiv Holdings Co. - Class A | | | 6,173 | | | | 50,741 | |
Waste Management, Inc. | | | 1 | | | | 191 | |
Watsco, Inc. | | | 1 | | | | 176 | |
Werner Enterprises, Inc. | | | 137 | | | | 5,272 | |
WESCO International, Inc.(1) | | | 1 | | | | 107 | |
Westinghouse Air Brake Technologies Corp. | | | 9 | | | | 708 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 5 | | | | 157 | |
Woodward, Inc. | | | 3 | | | | 267 | |
XPO Logistics, Inc.(1) | | | 5 | | | | 217 | |
Xylem, Inc. | | | 7 | | | | 574 | |
| | | | | | | | |
Total Industrials | | | | 2,461,225 | |
| | | | | | | | |
Information Technology – 9.88% | | | | | | | | |
Accenture Plc - Class A | | | 324 | | | | 89,995 | |
Advanced Micro Devices, Inc.(1) | | | 16 | | | | 1,248 | |
Affirm Holdings, Inc. - Class A(1) | | | 8 | | | | 151 | |
Akamai Technologies, Inc.(1) | | | 8 | | | | 692 | |
| | | | | | | | |
Amdocs Ltd. | | | 75 | | | | 6,218 | |
Amkor Technology, Inc. | | | 293 | | | | 4,961 | |
Amphenol Corp. - Class A | | | 7 | | | | 442 | |
Analog Devices, Inc. | | | 20 | | | | 2,904 | |
ANSYS, Inc.(1) | | | 2 | | | | 469 | |
Applied Materials, Inc. | | | 381 | | | | 34,655 | |
Arrow Electronics, Inc.(1) | | | 110 | | | | 12,338 | |
Automatic Data Processing, Inc. | | | 319 | | | | 67,068 | |
Avnet, Inc. | | | 5 | | | | 204 | |
Bill.com Holdings, Inc.(1) | | | 5 | | | | 511 | |
Black Knight, Inc.(1) | | | 7 | | | | 436 | |
Block, Inc. - Class A(1) | | | 25 | | | | 1,515 | |
Broadcom, Inc. | | | 125 | | | | 60,717 | |
Broadridge Financial Solutions, Inc. | | | 1 | | | | 79 | |
CCC Intelligent Solutions Holdings, Inc.(1) | | | 5 | | | | 45 | |
CDK Global, Inc. | | | 1 | | | | 52 | |
Ceridian HCM Holding, Inc.(1) | | | 5 | | | | 249 | |
Ciena Corp.(1) | | | 7 | | | | 328 | |
Cirrus Logic, Inc.(1) | | | 3 | | | | 194 | |
Cisco Systems, Inc. | | | 1,996 | | | | 85,129 | |
Citrix Systems, Inc. | | | 183 | | | | 17,754 | |
Cognex Corp. | | | 1 | | | | 24 | |
Cognizant Technology Solutions Corp. - Class A | | | 857 | | | | 57,830 | |
Coherent, Inc.(1)(2) | | | 0 | | | | 23 | |
Concentrix Corp. | | | 2 | | | | 279 | |
Consensus Cloud Solutions, Inc.(1) | | | 19 | | | | 831 | |
Corning, Inc. | | | 34 | | | | 1,066 | |
Coupa Software, Inc.(1) | | | 2 | | | | 91 | |
Dell Technologies, Inc. - Class C | | | 216 | | | | 10,004 | |
Diodes, Inc.(1) | | | 77 | | | | 4,998 | |
Dolby Laboratories, Inc. - Class A | | | 3 | | | | 217 | |
DoubleVerify Holdings, Inc.(1) | | | 1 | | | | 18 | |
Dropbox, Inc. - Class A(1) | | | 1 | | | | 19 | |
DXC Technology Co.(1) | | | 179 | | | | 5,411 | |
Euronet Worldwide, Inc.(1) | | | 1 | | | | 57 | |
F5, Inc.(1) | | | 3 | | | | 441 | |
Fidelity National Information Services, Inc. | | | 745 | | | | 68,279 | |
First Solar, Inc.(1) | | | 5 | | | | 352 | |
Fiserv, Inc.(1) | | | 257 | | | | 22,856 | |
Genpact Ltd. | | | 4 | | | | 172 | |
Global Payments, Inc. | | | 13 | | | | 1,472 | |
GLOBALFOUNDRIES, Inc.(1) | | | 2 | | | | 91 | |
GoDaddy, Inc. - Class A(1) | | | 7 | | | | 462 | |
Guidewire Software, Inc.(1) | | | 4 | | | | 278 | |
Hewlett Packard Enterprise Co. | | | 534 | | | | 7,080 | |
HP, Inc. | | | 603 | | | | 19,771 | |
II-VI, Inc.(1) | | | 5 | | | | 255 | |
Informatica, Inc. - Class A(1) | | | 2 | | | | 35 | |
Intel Corp. | | | 962 | | | | 35,972 | |
International Business Machines Corp. | | | 154 | | | | 21,721 | |
IPG Photonics Corp.(1) | | | 2 | | | | 160 | |
Jabil, Inc. | | | 106 | | | | 5,445 | |
Jamf Holding Corp.(1)(2) | | | 0 | | | | 8 | |
Juniper Networks, Inc. | | | 15 | | | | 441 | |
Keysight Technologies, Inc.(1) | | | 1 | | | | 88 | |
Kyndryl Holdings, Inc.(1) | | | 8 | | | | 79 | |
Lam Research Corp. | | | 12 | | | | 5,284 | |
Littelfuse, Inc. | | | 1 | | | | 292 | |
Lumentum Holdings, Inc.(1) | | | 3 | | | | 262 | |
Mandiant, Inc.(1) | | | 11 | | | | 239 | |
Manhattan Associates, Inc.(1) | | | 1 | | | | 131 | |
Marvell Technology, Inc. | | | 40 | | | | 1,760 | |
Mastercard, Inc. - Class A | | | 286 | | | | 90,272 | |
Methode Electronics, Inc. | | | 117 | | | | 4,338 | |
Microchip Technology, Inc. | | | 739 | | | | 42,905 | |
Micron Technology, Inc. | | | 43 | | | | 2,383 | |
Microsoft Corp. | | | 557 | | | | 143,110 | |
| | | | | | | | |
MKS Instruments, Inc. | | | 3 | | | | 271 | |
Motorola Solutions, Inc. | | | 8 | | | | 1,644 | |
National Instruments Corp. | | | 5 | | | | 169 | |
nCino, Inc.(1) | | | 2 | | | | 67 | |
NCR Corp.(1) | | | 6 | | | | 179 | |
NortonLifeLock, Inc. | | | 17 | | | | 379 | |
Nutanix, Inc. - Class A(1) | | | 5 | | | | 70 | |
NXP Semiconductors NV | | | 436 | | | | 64,472 | |
Okta, Inc. - Class A(1) | | | 5 | | | | 462 | |
ON Semiconductor Corp.(1) | | | 8 | | | | 391 | |
Oracle Corp. | | | 1,202 | | | | 83,979 | |
Paycor HCM, Inc.(1) | | | 2 | | | | 59 | |
PayPal Holdings, Inc.(1) | | | 38 | | | | 2,667 | |
Procore Technologies, Inc.(1) | | | 1 | | | | 49 | |
Qorvo, Inc.(1) | | | 70 | | | | 6,620 | |
QUALCOMM, Inc. | | | 994 | | | | 127,019 | |
Roper Technologies, Inc. | | | 5 | | | | 1,986 | |
Salesforce, Inc.(1) | | | 36 | | | | 5,951 | |
Samsung Electronics Co. Ltd. | | | 1,924 | | | | 84,859 | |
Seagate Technology Holdings Plc | | | 160 | | | | 11,423 | |
SentinelOne, Inc. - Class A(1) | | | 2 | | | | 57 | |
Skyworks Solutions, Inc. | | | 8 | | | | 710 | |
Snowflake, Inc. - Class A(1) | | | 1 | | | | 81 | |
SS&C Technologies Holdings, Inc. | | | 11 | | | | 617 | |
Switch, Inc. - Class A | | | 3 | | | | 94 | |
TD SYNNEX Corp. | | | 68 | | | | 6,153 | |
TE Connectivity Ltd. | | | 77 | | | | 8,691 | |
Teledyne Technologies, Inc.(1) | | | 2 | | | | 827 | |
Teradata Corp.(1) | | | 2 | | | | 84 | |
Teradyne, Inc. | | | 1 | | | | 64 | |
Texas Instruments, Inc. | | | 743 | | | | 114,117 | |
Trimble, Inc.(1) | | | 12 | | | | 692 | |
Twilio, Inc. - Class A(1) | | | 5 | | | | 426 | |
Tyler Technologies, Inc.(1)(2) | | | 0 | | | | 84 | |
Ubiquiti, Inc.(2) | | | 0 | | | | 50 | |
UiPath, Inc. - Class A(1) | | | 16 | | | | 293 | |
Unity Software, Inc.(1) | | | 3 | | | | 119 | |
VeriSign, Inc.(1) | | | 4 | | | | 682 | |
Viasat, Inc.(1) | | | 3 | | | | 95 | |
Visa, Inc. - Class A | | | 1,013 | | | | 199,476 | |
VMware, Inc. - Class A | | | 39 | | | | 4,392 | |
Vontier Corp. | | | 3 | | | | 66 | |
Western Digital Corp.(1) | | | 15 | | | | 669 | |
Western Union Co. | | | 322 | | | | 5,309 | |
WEX, Inc.(1) | | | 1 | | | | 92 | |
Wix.com Ltd.(1) | | | 1 | | | | 37 | |
Wolfspeed, Inc.(1) | | | 6 | | | | 350 | |
Zebra Technologies Corp. - Class A(1) | | | 1 | | | | 432 | |
Zoom Video Communications, Inc. - Class A(1) | | | 6 | | | | 644 | |
| | | | | | | | |
Total Information Technology | | | | 1,683,775 | |
| | | | | | | | |
Materials – 4.62% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 306 | | | | 73,678 | |
Akzo Nobel NV | | | 120 | | | | 7,822 | |
Albemarle Corp. | | | 3 | | | | 565 | |
Alcoa Corp. | | | 9 | | | | 404 | |
Amcor Plc | | | 71 | | | | 888 | |
AptarGroup, Inc. | | | 3 | | | | 319 | |
Ardagh Group SA - Class A(4) | | | 1 | | | | 11 | |
Ardagh Metal Packaging SA | | | 4 | | | | 25 | |
Ashland Global Holdings, Inc. | | | 2 | | | | 253 | |
Avery Dennison Corp. | | | 1 | | | | 242 | |
Axalta Coating Systems Ltd.(1) | | | 2,358 | | | | 52,131 | |
Ball Corp. | | | 9 | | | | 619 | |
Berry Global Group, Inc.(1) | | | 109 | | | | 5,934 | |
Celanese Corp. - Class A | | | 73 | | | | 8,616 | |
CF Industries Holdings, Inc. | | | 685 | | | | 58,708 | |
Chemours Co. | | | 3 | | | | 93 | |
| | | | | | | | |
Cleveland-Cliffs, Inc.(1) | | | 25 | | | | 379 | |
Corteva, Inc. | | | 631 | | | | 34,188 | |
Crown Holdings, Inc. | | | 40 | | | | 3,721 | |
Dow, Inc. | | | 35 | | | | 1,791 | |
DuPont de Nemours, Inc. | | | 759 | | | | 42,196 | |
Eagle Materials, Inc.(2) | | | 0 | | | | 35 | |
Eastman Chemical Co. | | | 103 | | | | 9,282 | |
Ecolab, Inc. | | | 607 | | | | 93,405 | |
Element Solutions, Inc. | | | 3,242 | | | | 57,704 | |
FMC Corp. | | | 4 | | | | 422 | |
Freeport-McMoRan, Inc. | | | 69 | | | | 2,015 | |
Ginkgo Bioworks Holdings, Inc.(1) | | | 31 | | | | 74 | |
Graphic Packaging Holding Co. | | | 3 | | | | 68 | |
Huntsman Corp. | | | 267 | | | | 7,556 | |
Ingevity Corp.(1) | | | 71 | | | | 4,503 | |
International Flavors & Fragrances, Inc. | | | 822 | | | | 97,961 | |
International Paper Co. | | | 1,387 | | | | 58,020 | |
Linde Plc | | | 360 | | | | 103,379 | |
Louisiana-Pacific Corp. | | | 144 | | | | 7,572 | |
LyondellBasell Industries NV - Class A | | | 129 | | | | 11,287 | |
Martin Marietta Materials, Inc. | | | 3 | | | | 808 | |
Mosaic Co. | | | 15 | | | | 713 | |
NewMarket Corp.(2) | | | 0 | | | | 82 | |
Newmont Corp. | | | 38 | | | | 2,259 | |
Nucor Corp. | | | 13 | | | | 1,316 | |
Olin Corp. | | | 7 | | | | 308 | |
Packaging Corp. of America | | | 4 | | | | 597 | |
PPG Industries, Inc. | | | 5 | | | | 602 | |
Reliance Steel & Aluminum Co. | | | 48 | | | | 8,183 | |
Royal Gold, Inc. | | | 3 | | | | 311 | |
RPM International, Inc. | | | 99 | | | | 7,830 | |
Scotts Miracle-Gro Co. | | | 1 | | | | 100 | |
Silgan Holdings, Inc. | | | 4 | | | | 165 | |
Sonoco Products Co. | | | 5 | | | | 263 | |
Southern Copper Corp. | | | 1 | | | | 69 | |
SSR Mining, Inc. | | | 10 | | | | 169 | |
Steel Dynamics, Inc. | | | 9 | | | | 564 | |
United States Steel Corp. | | | 12 | | | | 215 | |
Valvoline, Inc. | | | 227 | | | | 6,553 | |
Vulcan Materials Co. | | | 3 | | | | 459 | |
Westlake Corp. | | | 2 | | | | 154 | |
Westrock Co. | | | 225 | | | | 8,970 | |
| | | | | | | | |
Total Materials | | | | 786,556 | |
| | | | | | | | |
Real Estate – 3.38% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 8 | | | | 1,114 | |
American Assets Trust, Inc. | | | 90 | | | | 2,661 | |
American Campus Communities, Inc. | | | 975 | | | | 62,859 | |
American Homes 4 Rent - Class A | | | 14 | | | | 512 | |
American Tower Corp. | | | 208 | | | | 53,161 | |
Americold Realty Trust, Inc. | | | 13 | | | | 392 | |
Apartment Income REIT Corp. | | | 7 | | | | 280 | |
AvalonBay Communities, Inc. | | | 7 | | | | 1,292 | |
Boston Properties, Inc. | | | 7 | | | | 664 | |
Brandywine Realty Trust | | | 330 | | | | 3,185 | |
Brixmor Property Group, Inc. | | | 14 | | | | 286 | |
Camden Property Trust | | | 5 | | | | 609 | |
CBRE Group, Inc. - Class A(1) | | | 8 | | | | 592 | |
Corporate Office Properties Trust | | | 2,610 | | | | 68,357 | |
Cousins Properties, Inc. | | | 92 | | | | 2,676 | |
CubeSmart | | | 11 | | | | 455 | |
Digital Realty Trust, Inc. | | | 14 | | | | 1,756 | |
Douglas Emmett, Inc. | | | 8 | | | | 185 | |
Duke Realty Corp. | | | 18 | | | | 1,004 | |
EastGroup Properties, Inc. | | | 2 | | | | 302 | |
EPR Properties | | | 3 | | | | 162 | |
Equinix, Inc. | | | 1 | | | | 700 | |
Equity LifeStyle Properties, Inc. | | | 3 | | | | 231 | |
| | | | | | | | |
Equity Residential | | | 669 | | | | 48,287 | |
Essex Property Trust, Inc. | | | 3 | | | | 810 | |
Extra Space Storage, Inc. | | | 6 | | | | 953 | |
Federal Realty OP LP | | | 4 | | | | 359 | |
First Industrial Realty Trust, Inc. | | | 6 | | | | 298 | |
Gaming & Leisure Properties, Inc. | | | 120 | | | | 5,525 | |
Healthcare Trust of America, Inc. - Class A | | | 11 | | | | 304 | |
Healthpeak Properties, Inc. | | | 26 | | | | 665 | |
Highwoods Properties, Inc. | | | 5 | | | | 173 | |
Host Hotels & Resorts, Inc. | | | 256 | | | | 4,012 | |
Howard Hughes Corp.(1) | | | 502 | | | | 34,148 | |
Hudson Pacific Properties, Inc. | | | 7 | | | | 97 | |
Invitation Homes, Inc. | | | 29 | | | | 1,034 | |
Iron Mountain, Inc. | | | 139 | | | | 6,763 | |
JBG SMITH Properties | | | 5 | | | | 127 | |
Jones Lang LaSalle, Inc.(1) | | | 2 | | | | 403 | |
Kilroy Realty Corp. | | | 5 | | | | 283 | |
Kimco Realty Corp. | | | 29 | | | | 569 | |
Lamar Advertising Co. - Class A(2) | | | 0 | | | | 39 | |
Life Storage, Inc. | | | 4 | | | | 447 | |
Medical Properties Trust, Inc. | | | 234 | | | | 3,576 | |
Mid-America Apartment Communities, Inc. | | | 6 | | | | 961 | |
National Retail Properties, Inc. | | | 8 | | | | 359 | |
National Storage Affiliates Trust | | | 4 | | | | 202 | |
Office Properties Income Trust | | | 132 | | | | 2,627 | |
Omega Healthcare Investors, Inc. | | | 11 | | | | 309 | |
Opendoor Technologies, Inc.(1) | | | 18 | | | | 83 | |
Park Hotels & Resorts, Inc. | | | 11 | | | | 147 | |
Prologis, Inc. | | | 35 | | | | 4,142 | |
Public Storage | | | 185 | | | | 57,775 | |
Rayonier, Inc. | | | 663 | | | | 24,769 | |
Realty Income Corp. | | | 29 | | | | 1,957 | |
Regency Centers Corp. | | | 8 | | | | 484 | |
Rexford Industrial Realty, Inc. | | | 8 | | | | 453 | |
SBA Communications Corp. - Class A | | | 4 | | | | 1,255 | |
Simon Property Group, Inc. | | | 8 | | | | 759 | |
SL Green Realty Corp. | | | 3 | | | | 132 | |
Spirit Realty Capital, Inc. | | | 6 | | | | 241 | |
STORE Capital Corp. | | | 12 | | | | 316 | |
Sun Communities, Inc. | | | 6 | | | | 910 | |
UDR, Inc. | | | 15 | | | | 696 | |
Ventas, Inc. | | | 19 | | | | 978 | |
VICI Properties, Inc. | | | 3,283 | | | | 97,788 | |
Vornado Realty Trust | | | 98 | | | | 2,801 | |
Welltower, Inc. | | | 144 | | | | 11,879 | |
WeWork, Inc. - Class A(1) | | | 6 | | | | 31 | |
Weyerhaeuser Co. | | | 1,504 | | | | 49,805 | |
WP Carey, Inc. | | | 9 | | | | 749 | |
Zillow Group, Inc. - Class A(1) | | | 3 | | | | 83 | |
Zillow Group, Inc. - Class C(1) | | | 7 | | | | 233 | |
| | | | | | | | |
Total Real Estate | | | | 575,231 | |
| | | | | | | | |
Utilities – 3.67% | | | | | | | | |
AES Corp. | | | 26 | | | | 547 | |
Alliant Energy Corp. | | | 12 | | | | 700 | |
Ameren Corp. | | | 254 | | | | 22,910 | |
American Electric Power Co., Inc. | | | 25 | | | | 2,351 | |
American Water Works Co., Inc. | | | 9 | | | | 1,289 | |
Atmos Energy Corp. | | | 7 | | | | 737 | |
Avangrid, Inc. | | | 3 | | | | 156 | |
Brookfield Renewable Corp. - Class A | | | 6 | | | | 216 | |
CenterPoint Energy, Inc. | | | 2,279 | | | | 67,409 | |
CMS Energy Corp. | | | 14 | | | | 931 | |
Consolidated Edison, Inc. | | | 17 | | | | 1,607 | |
Constellation Energy Corp. | | | 16 | | | | 891 | |
Dominion Energy, Inc. | | | 488 | | | | 38,942 | |
DTE Energy Co. | | | 9 | | | | 1,165 | |
Duke Energy Corp. | | | 37 | | | | 3,935 | |
| | | | | | | | |
Edison International | | | 18 | | | | 1,132 | |
Entergy Corp. | | | 605 | | | | 68,203 | |
Essential Utilities, Inc. | | | 11 | | | | 505 | |
Evergy, Inc. | | | 11 | | | | 696 | |
Eversource Energy | | | 16 | | | | 1,386 | |
Exelon Corp. | | | 1,499 | | | | 67,927 | |
FirstEnergy Corp. | | | 26 | | | | 993 | |
Hawaiian Electric Industries, Inc. | | | 5 | | | | 207 | |
IDACORP, Inc. | | | 2 | | | | 260 | |
National Fuel Gas Co. | | | 103 | | | | 6,793 | |
NextEra Energy, Inc. | | | 302 | | | | 23,415 | |
NiSource, Inc. | | | 1,110 | | | | 32,734 | |
NRG Energy, Inc. | | | 269 | | | | 10,277 | |
OGE Energy Corp. | | | 9 | | | | 365 | |
PG&E Corp.(1) | | | 265 | | | | 2,645 | |
Pinnacle West Capital Corp. | | | 1,096 | | | | 80,113 | |
PPL Corp. | | | 35 | | | | 961 | |
Public Service Enterprise Group, Inc. | | | 24 | | | | 1,501 | |
Sempra Energy | | | 437 | | | | 65,649 | |
Southern Co. | | | 1,242 | | | | 88,587 | |
UGI Corp. | | | 10 | | | | 385 | |
Vistra Corp. | | | 377 | | | | 8,607 | |
WEC Energy Group, Inc. | | | 15 | | | | 1,513 | |
Xcel Energy, Inc. | | | 242 | | | | 17,137 | |
| | | | | | | | |
Total Utilities | | | | 625,777 | |
| | | | | | | | |
Total Common Stocks (Cost: $13,377,273) | | | | 16,609,692 | |
| | | | | | | | |
| | |
CONVERTIBLE PREFERRED STOCKS – 0.26% | | | | | | | | |
Healthcare – 0.07% | | | | | | | | |
Becton Dickinson & Co., 6.00% | | | 225 | | | | 11,137 | |
| | | | | | | | |
Total Healthcare | | | | 11,137 | |
| | | | | | | | |
Utilities – 0.19% | | | | | | | | |
NextEra Energy, Inc., 5.28% | | | 173 | | | | 8,598 | |
NiSource, Inc., 7.75% | | | 89 | | | | 10,137 | |
Southern Co., 6.75% | | | 256 | | | | 13,567 | |
| | | | | | | | |
Total Utilities | | | | 32,302 | |
| | | | | | | | |
Total Convertible Preferred Stocks (Cost: $40,240) | | | | 43,439 | |
| | | | | | | | |
| | | | | | | | |
PREFERRED STOCKS – 0.15% | | | | | | | | |
Consumer Discretionary – 0.15% | | | | | | | | |
Volkswagen AG | | | 188 | | | | 25,298 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 25,298 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $33,121) | | | | 25,298 | |
| | | | | | | | |
| | |
SHORT-TERM INVESTMENTS – 1.76% | | | | | | | | |
Money Market Funds – 1.73% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(3) | | | 294,167 | | | | 294,167 | |
| | | | | | | | |
Total Money Market Funds (Cost: $294,167) | | | | | | | 294,167 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.03% | | | | | | | | |
BBVA, Madrid, 1.06% due 07/01/2022 | | $ | 310 | | | | 310 | |
BNP Paribas, Paris, 0.52% due 07/01/2022(2) | | | GBP 0 | | | | 0 | |
Brown Brothers Harriman, 0.01% due 07/01/2022(2) | | | SEK 0 | | | | 0 | |
Citibank, London, -0.78% due 07/01/2022 | | | EUR 1 | | | | 1 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 4,456 | | | | 4,456 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | | 665 | | | | 665 | |
| | | | | | | | |
Total Time Deposits (Cost: $5,432) | | | | | | | 5,432 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $299,599) | | | | 299,599 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.68%
(Cost: $13,750,233) | | | | | | | 16,978,028 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.32% | | | | | | | 55,229 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,033,257 | |
| | | | | | | | |
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
GBP British Pound
SEK Swedish Krona
| (1) | Non-income producing security. |
| (2) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $11, 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 | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 18 | | S&P 500 E-mini Future | | Sep. 2022 | | $ | 3,509 | | | $ | 3,411 | | | $ | (98 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (98 | ) |
| | | | | | | | | | | | | | | | |
Bridge Builder Tax Managed Large Cap Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 93.54% | | | | | | | | |
Communication Services – 9.56% | | | | | | | | |
Activision Blizzard, Inc. | | | 5 | | | $ | 427 | |
Alphabet, Inc. - Class A(1) | | | 2 | | | | 4,459 | |
Alphabet, Inc. - Class C(1) | | | 1 | | | | 2,319 | |
Altice USA, Inc. - Class A(1) | | | 28 | | | | 259 | |
AT&T, Inc. | | | 4 | | | | 78 | |
Comcast Corp. - Class A | | | 31 | | | | 1,226 | |
Electronic Arts, Inc. | | | 7 | | | | 795 | |
IAC/InterActiveCorp(1) | | | 1 | | | | 111 | |
Live Nation Entertainment, Inc.(1) | | | 3 | | | | 207 | |
Match Group, Inc.(1) | | | 3 | | | | 224 | |
Meta Platforms, Inc. - Class A(1) | | | 7 | | | | 1,197 | |
Netflix, Inc.(1) | | | 1 | | | | 223 | |
Snap, Inc. - Class A(1) | | | 15 | | | | 192 | |
Spotify Technology SA(1) | | | 3 | | | | 258 | |
T-Mobile U.S., Inc.(1) | | | 11 | | | | 1,522 | |
Verizon Communications, Inc. | | | 11 | | | | 550 | |
Walt Disney Co.(1) | | | 5 | | | | 468 | |
| | | | | | | | |
Total Communication Services | | | | 14,515 | |
| | | | | |
Consumer Discretionary – 10.65% | | | | | | | | |
Advance Auto Parts, Inc. | | | 4 | | | | 645 | |
Amazon.com, Inc.(1) | | | 45 | | | | 4,767 | |
Aramark | | | 21 | | | | 655 | |
Booking Holdings, Inc.(1)(2) | | | 0 | | | | 367 | |
BorgWarner, Inc. | | | 1 | | | | 35 | |
Carvana Co. - Class A(1) | | | 3 | | | | 66 | |
Chipotle Mexican Grill, Inc. - Class A(1)(2) | | | 0 | | | | 280 | |
Coupang, Inc. - Class A(1) | | | 9 | | | | 115 | |
Darden Restaurants, Inc.(2) | | | 0 | | | | 1 | |
Dollar General Corp. | | | 6 | | | | 1,425 | |
DoorDash, Inc. - Class A(1) | | | 1 | | | | 78 | |
DR Horton, Inc. | | | 1 | | | | 57 | |
eBay, Inc.(2) | | | 0 | | | | 0 | |
Etsy, Inc.(1)(2) | | | 0 | | | | 0 | |
Garmin Ltd.(2) | | | 0 | | | | 24 | |
General Motors Co.(1) | | | 8 | | | | 256 | |
Hilton Worldwide Holdings, Inc.(2) | | | 0 | | | | 50 | |
Home Depot, Inc. | | | 4 | | | | 1,076 | |
Las Vegas Sands Corp.(1) | | | 21 | | | | 697 | |
Lennar Corp. - Class A | | | 1 | | | | 49 | |
Lithia Motors, Inc. - Class A | | | 1 | | | | 411 | |
Lowe’s Companies, Inc.(2) | | | 0 | | | | 69 | |
Lululemon Athletica, Inc.(1) | | | 1 | | | | 203 | |
Marriott International, Inc. - Class A | | | 1 | | | | 74 | |
Marriott Vacations Worldwide Corp. | | | 4 | | | | 437 | |
McDonald’s Corp.(2) | | | 0 | | | | 84 | |
MGM Resorts International | | | 12 | | | | 343 | |
NIKE, Inc. - Class B | | | 2 | | | | 244 | |
O’Reilly Automotive, Inc.(1)(2) | | | 0 | | | | 23 | |
Peloton Interactive, Inc. - Class A(1) | | | 11 | | | | 104 | |
Rivian Automotive, Inc. - Class A(1) | | | 32 | | | | 827 | |
Ross Stores, Inc. | | | 7 | | | | 514 | |
SeaWorld Entertainment, Inc.(1) | | | 11 | | | | 491 | |
Starbucks Corp. | | | 1 | | | | 67 | |
| | | | | | | | |
Target Corp. | | | 1 | | | | 74 | |
Tesla, Inc.(1) | | | 1 | | | | 451 | |
TJX Companies, Inc. | | | 14 | | | | 773 | |
Toll Brothers, Inc. | | | 7 | | | | 298 | |
Ulta Beauty, Inc.(1)(2) | | | 0 | | | | 47 | |
Yum! Brands, Inc.(2) | | | 0 | | | | 1 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 16,178 | |
| | | | | |
Consumer Staples – 3.79% | | | | | | | | |
Altria Group, Inc. | | | 2 | | | | 68 | |
Archer-Daniels-Midland Co. | | | 1 | | | | 47 | |
Church & Dwight Co., Inc.(2) | | | 0 | | | | 1 | |
Coca-Cola Co. | | | 11 | | | | 695 | |
Coca-Cola Europacific Partners Plc | | | 14 | | | | 716 | |
Colgate-Palmolive Co. | | | 1 | | | | 48 | |
Conagra Brands, Inc. | | | 1 | | | | 23 | |
Costco Wholesale Corp.(2) | | | 0 | | | | 100 | |
Estee Lauder Companies, Inc. - Class A(2) | | | 0 | | | | 63 | |
General Mills, Inc. | | | 1 | | | | 68 | |
Hershey Co.(2) | | | 0 | | | | 55 | |
J.M. Smucker Co.(2) | | | 0 | | | | 31 | |
Kellogg Co.(2) | | | 0 | | | | 11 | |
McCormick & Co., Inc.(2) | | | 0 | | | | 20 | |
Mondelez International, Inc. - Class A | | | 8 | | | | 494 | |
Monster Beverage Corp.(1) | | | 1 | | | | 69 | |
PepsiCo, Inc. | | | 4 | | | | 684 | |
Philip Morris International, Inc. | | | 7 | | | | 666 | |
Procter & Gamble Co. | | | 6 | | | | 846 | |
Sysco Corp. | | | 1 | | | | 53 | |
Walmart, Inc. | | | 8 | | | | 996 | |
| | | | | | | | |
Total Consumer Staples | | | | 5,754 | |
| | | | | |
Energy – 4.22% | | | | | | | | |
Chevron Corp. | | | 7 | | | | 1,082 | |
ConocoPhillips | | | 1 | | | | 61 | |
Devon Energy Corp. | | | 1 | | | | 28 | |
EOG Resources, Inc.(2) | | | 0 | | | | 52 | |
EQT Corp. | | | 7 | | | | 258 | |
Exxon Mobil Corp. | | | 9 | | | | 784 | |
Halliburton Co. | | | 11 | | | | 345 | |
Hess Corp. | | | 9 | | | | 948 | |
Kinder Morgan, Inc. | | | 18 | | | | 303 | |
Marathon Oil Corp. | | | 2 | | | | 36 | |
Marathon Petroleum Corp. | | | 1 | | | | 52 | |
Occidental Petroleum Corp. | | | 1 | | | | 37 | |
Phillips 66 | | | 8 | | | | 625 | |
Pioneer Natural Resources Co. | | | 8 | | | | 1,732 | |
Schlumberger NV(2) | | | 0 | | | | 0 | |
Williams Companies, Inc. | | | 2 | | | | 71 | |
| | | | | | | | |
Total Energy | | | | 6,414 | |
| | | | | |
Financials – 9.65% | | | | | | | | |
Allstate Corp. | | | 5 | | | | 589 | |
American Express Co. | | | 3 | | | | 388 | |
American International Group, Inc. | | | 14 | | | | 712 | |
Ameriprise Financial, Inc.(2) | | | 0 | | | | 24 | |
Arthur J. Gallagher & Co.(2) | | | 0 | | | | 46 | |
Axis Capital Holdings Ltd. | | | 10 | | | | 555 | |
Bank of America Corp. | | | 29 | | | | 904 | |
Berkshire Hathaway, Inc. - Class B(1) | | | 7 | | | | 1,823 | |
BlackRock, Inc. - Class A(2) | | | 0 | | | | 74 | |
Capital One Financial Corp. | | | 1 | | | | 61 | |
Charles Schwab Corp. | | | 1 | | | | 64 | |
Chubb Ltd. | | | 4 | | | | 699 | |
| | | | | | | | |
Citigroup, Inc. | | | 1 | | | | 63 | |
Citizens Financial Group, Inc. | | | 1 | | | | 21 | |
CME Group, Inc. - Class A | | | 2 | | | | 420 | |
Fifth Third Bancorp(2) | | | 0 | | | | 0 | |
Globe Life, Inc.(2) | | | 0 | | | | 1 | |
Goldman Sachs Group, Inc.(2) | | | 0 | | | | 76 | |
Hartford Financial Services Group, Inc. | | | 1 | | | | 91 | |
Intercontinental Exchange, Inc. | | | 2 | | | | 167 | |
Jefferies Financial Group, Inc. | | | 18 | | | | 484 | |
JPMorgan Chase & Co. | | | 12 | | | | 1,296 | |
KeyCorp | | | 1 | | | | 22 | |
Loews Corp.(2) | | | 0 | | | | 22 | |
M&T Bank Corp. | | | 5 | | | | 781 | |
MarketAxess Holdings, Inc.(2) | | | 0 | | | | 51 | |
Marsh & McLennan Companies, Inc.(2) | | | 0 | | | | 75 | |
MetLife, Inc. | | | 1 | | | | 71 | |
MSCI, Inc. - Class A(2) | | | 0 | | | | 75 | |
Northern Trust Corp. | | | 6 | | | | 606 | |
PNC Financial Services Group, Inc.(2) | | | 0 | | | | 54 | |
PROG Holdings, Inc.(1) | | | 11 | | | | 183 | |
Progressive Corp. | | | 5 | | | | 583 | |
Prudential Financial, Inc. | | | 1 | | | | 66 | |
Raymond James Financial, Inc.(2) | | | 0 | | | | 1 | |
Regions Financial Corp. | | | 3 | | | | 50 | |
S&P Global, Inc.(2) | | | 0 | | | | 95 | |
SVB Financial Group(1)(2) | | | 0 | | | | 153 | |
Travelers Companies, Inc. | | | 7 | | | | 1,105 | |
Truist Financial Corp. | | | 4 | | | | 213 | |
US Bancorp | | | 16 | | | | 759 | |
Wells Fargo & Co. | | | 11 | | | | 433 | |
Willis Towers Watson Plc | | | 3 | | | | 665 | |
WR Berkley Corp.(2) | | | 0 | | | | 31 | |
Zions Bancorp N.A.(2) | | | 0 | | | | 0 | |
| | | | | | | | |
Total Financials | | | | 14,652 | |
| | | | | |
Healthcare – 14.99% | | | | | | | | |
Abbott Laboratories | | | 1 | | | | 82 | |
AbbVie, Inc. | | | 1 | | | | 131 | |
AmerisourceBergen Corp. - Class A(2) | | | 0 | | | | 53 | |
Amgen, Inc.(2) | | | 0 | | | | 84 | |
Avantor, Inc.(1) | | | 12 | | | | 363 | |
Becton Dickinson & Co. | | | 3 | | | | 794 | |
Boston Scientific Corp.(1)(2) | | | 0 | | | | 0 | |
Bristol Myers Squibb Co. | | | 1 | | | | 105 | |
Centene Corp.(1) | | | 1 | | | | 66 | |
Cigna Corp. | | | 5 | | | | 1,186 | |
CVS Health Corp. | | | 8 | | | | 726 | |
Daiichi Sankyo Co. Ltd. - ADR | | | 5 | | | | 115 | |
Danaher Corp.(2) | | | 0 | | | | 89 | |
Edwards Lifesciences Corp.(1) | | | 1 | | | | 62 | |
Elevance Health, Inc. | | | 2 | | | | 1,009 | |
Eli Lilly & Co. | | | 2 | | | | 668 | |
Envista Holdings Corp.(1) | | | 14 | | | | 553 | |
Gilead Sciences, Inc. | | | 1 | | | | 62 | |
HCA Healthcare, Inc.(2) | | | 0 | | | | 20 | |
Hologic, Inc.(1) | | | 8 | | | | 573 | |
Humana, Inc. | | | 3 | | | | 1,218 | |
Insulet Corp.(1) | | | 1 | | | | 233 | |
Intuitive Surgical, Inc.(1) | | | 3 | | | | 647 | |
IQVIA Holdings, Inc.(1)(2) | | | 0 | | | | 68 | |
Johnson & Johnson | | | 8 | | | | 1,387 | |
LivaNova Plc(1) | | | 8 | | | | 483 | |
| | | | | | | | |
McKesson Corp.(2) | | | 0 | | | | 72 | |
Medtronic Plc | | | 8 | | | | 737 | |
Merck & Co., Inc. | | | 23 | | | | 2,136 | |
Mettler-Toledo International, Inc.(1)(2) | | | 0 | | | | 56 | |
Moderna, Inc.(1)(2) | | | 0 | | | | 38 | |
Perrigo Co. Plc | | | 20 | | | | 796 | |
Pfizer, Inc. | | | 17 | | | | 868 | |
Stryker Corp. | | | 5 | | | | 956 | |
Thermo Fisher Scientific, Inc. | | | 3 | | | | 1,390 | |
UnitedHealth Group, Inc. | | | 9 | | | | 4,416 | |
Vertex Pharmaceuticals, Inc.(1) | | | 2 | | | | 451 | |
Zoetis, Inc. - Class A(2) | | | 0 | | | | 74 | |
| | | | | | | | |
Total Healthcare | | | | 22,767 | |
| | | | | |
Industrials – 8.01% | | | | | | | | |
3M Co. | | | 1 | | | | 68 | |
AECOM | | | 10 | | | | 660 | |
AerCap Holdings NV(1) | | | 10 | | | | 400 | |
Boeing Co.(1)(2) | | | 0 | | | | 47 | |
BWX Technologies, Inc. | | | 13 | | | | 719 | |
Canadian Pacific Railway Ltd. | | | 4 | | | | 256 | |
Caterpillar, Inc.(2) | | | 0 | | | | 65 | |
Copart, Inc.(1)(2) | | | 0 | | | | 26 | |
CSX Corp. | | | 1 | | | | 37 | |
Deere & Co. | | | 2 | | | | 704 | |
Delta Air Lines, Inc.(1) | | | 2 | | | | 50 | |
Eaton Corp. Plc | | | 2 | | | | 300 | |
Fastenal Co. | | | 1 | | | | 30 | |
FedEx Corp.(2) | | | 0 | | | | 32 | |
Fortune Brands Home & Security, Inc. | | | 1 | | | | 47 | |
General Dynamics Corp.(2) | | | 0 | | | | 62 | |
General Electric Co. | | | 1 | | | | 56 | |
Honeywell International, Inc. | | | 6 | | | | 982 | |
Ingersoll Rand, Inc. | | | 9 | | | | 381 | |
Jacobs Engineering Group, Inc. | | | 4 | | | | 481 | |
JB Hunt Transport Services, Inc. | | | 5 | | | | 746 | |
Johnson Controls International Plc(2) | | | 0 | | | | 19 | |
L3Harris Technologies, Inc.(2) | | | 0 | | | | 41 | |
Lockheed Martin Corp.(2) | | | 0 | | | | 70 | |
Masco Corp.(2) | | | 0 | | | | 5 | |
MDU Resources Group, Inc. | | | 22 | | | | 588 | |
Norfolk Southern Corp.(2) | | | 0 | | | | 59 | |
Northrop Grumman Corp.(2) | | | 0 | | | | 134 | |
Old Dominion Freight Line, Inc.(2) | | | 0 | | | | 91 | |
Otis Worldwide Corp. | | | 1 | | | | 61 | |
PACCAR, Inc.(2) | | | 0 | | | | 34 | |
Raytheon Technologies Corp. | | | 20 | | | | 1,954 | |
Republic Services, Inc. - Class A(2) | | | 0 | | | | 37 | |
Stanley Black & Decker, Inc. | | | 4 | | | | 424 | |
Textron, Inc.(2) | | | 0 | | | | 0 | |
Trane Technologies Plc(2) | | | 0 | | | | 23 | |
TransDigm Group, Inc.(1)(2) | | | 0 | | | | 35 | |
Union Pacific Corp. | | | 1 | | | | 237 | |
United Parcel Service, Inc. - Class B | | | 5 | | | | 851 | |
Vertiv Holdings Co. - Class A | | | 63 | | | | 520 | |
Waste Management, Inc. | | | 5 | | | | 829 | |
Westinghouse Air Brake Technologies Corp.(2) | | | 0 | | | | 0 | |
| | | | | | | | |
Total Industrials | | | | 12,161 | |
| | | | | |
Information Technology – 23.23% | | | | | | | | |
Accenture Plc - Class A | | | 1 | | | | 190 | |
Adobe, Inc.(1) | | | 2 | | | | 651 | |
Advanced Micro Devices, Inc.(1) | | | 4 | | | | 299 | |
| | | | | | | | |
Affirm Holdings, Inc. - Class A(1) | | | 3 | | | | 61 | |
Amphenol Corp. - Class A | | | 7 | | | | 458 | |
Analog Devices, Inc. | | | 1 | | | | 83 | |
Apple, Inc. | | | 46 | | | | 6,270 | |
Applied Materials, Inc. | | | 1 | | | | 91 | |
Arista Networks, Inc.(1) | | | 2 | | | | 196 | |
ASML Holding NV - Class REG | | | 2 | | | | 954 | |
Atlassian Corp. Plc - Class A(1) | | | 1 | | | | 279 | |
Automatic Data Processing, Inc. | | | 4 | | | | 821 | |
Block, Inc. - Class A(1) | | | 1 | | | | 46 | |
Broadcom, Inc. | | | 1 | | | | 703 | |
Broadridge Financial Solutions, Inc.(2) | | | 0 | | | | 56 | |
Cadence Design Systems, Inc.(1) | | | 1 | | | | 78 | |
CDW Corp.(2) | | | 0 | | | | 32 | |
Cisco Systems, Inc. | | | 8 | | | | 356 | |
Cognizant Technology Solutions Corp. - Class A | | | 9 | | | | 614 | |
Enphase Energy, Inc.(1) | | | 2 | | | | 315 | |
Fidelity National Information Services, Inc. | | | 12 | | | | 1,112 | |
Fiserv, Inc.(1) | | | 9 | | | | 842 | |
Fortinet, Inc.(1) | | | 10 | | | | 588 | |
Global Payments, Inc. | | | 6 | | | | 621 | |
HashiCorp, Inc. - Class A(1) | | | 1 | | | | 27 | |
Hewlett Packard Enterprise Co. | | | 1 | | | | 20 | |
Intel Corp. | | | 2 | | | | 70 | |
International Business Machines Corp. | | | 1 | | | | 75 | |
Intuit, Inc. | | | 3 | | | | 1,270 | |
Juniper Networks, Inc. | | | 2 | | | | 48 | |
Lam Research Corp.(2) | | | 0 | | | | 64 | |
Mastercard, Inc. - Class A | | | 2 | | | | 714 | |
Microchip Technology, Inc. | | | 8 | | | | 451 | |
Microsoft Corp. | | | 35 | | | | 9,101 | |
MongoDB, Inc. - Class A(1) | | | 1 | | | | 274 | |
Motorola Solutions, Inc.(2) | | | 0 | | | | 58 | |
NVIDIA Corp. | | | 5 | | | | 704 | |
Oracle Corp. | | | 16 | | | | 1,128 | |
PayPal Holdings, Inc.(1) | | | 2 | | | | 155 | |
QUALCOMM, Inc. | | | 4 | | | | 522 | |
Roper Technologies, Inc.(2) | | | 0 | | | | 21 | |
Salesforce, Inc.(1) | | | 5 | | | | 822 | |
SentinelOne, Inc. - Class A(1) | | | 6 | | | | 131 | |
ServiceNow, Inc.(1) | | | 1 | | | | 651 | |
Snowflake, Inc. - Class A(1) | | | 1 | | | | 125 | |
Synopsys, Inc.(1) | | | 1 | | | | 454 | |
TE Connectivity Ltd.(2) | | | 0 | | | | 53 | |
Teledyne Technologies, Inc.(1)(2) | | | 0 | | | | 153 | |
Texas Instruments, Inc.(2) | | | 0 | | | | 71 | |
Trade Desk, Inc. - Class A(1) | | | 3 | | | | 108 | |
Visa, Inc. - Class A | | | 12 | | | | 2,291 | |
| | | | | | | | |
Total Information Technology | | | | 35,277 | |
| | | | | |
Materials – 4.52% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 6 | | | | 1,400 | |
Amcor Plc | | | 5 | | | | 58 | |
ArcelorMittal SA | | | 18 | | | | 397 | |
Axalta Coating Systems Ltd.(1) | | | 23 | | | | 516 | |
Ball Corp. | | | 6 | | | | 388 | |
Corteva, Inc. | | | 8 | | | | 412 | |
Dow, Inc. | | | 1 | | | | 48 | |
DuPont de Nemours, Inc. | | | 7 | | | | 408 | |
Ecolab, Inc. | | | 2 | | | | 313 | |
Element Solutions, Inc. | | | 31 | | | | 552 | |
Freeport-McMoRan, Inc.(2) | | | 0 | | | | 8 | |
| | | | | | | | |
International Flavors & Fragrances, Inc. | | | 6 | | | | 743 | |
Linde Plc(2) | | | 0 | | | | 80 | |
LyondellBasell Industries NV - Class A | | | 1 | | | | 56 | |
Martin Marietta Materials, Inc.(2) | | | 0 | | | | 51 | |
Newmont Corp. | | | 1 | | | | 55 | |
Nucor Corp. | | | 1 | | | | 59 | |
PPG Industries, Inc. | | | 6 | | | | 727 | |
Sherwin-Williams Co. | | | 2 | | | | 366 | |
Vulcan Materials Co. | | | 2 | | | | 224 | |
| | | | | | | | |
Total Materials | | | | 6,861 | |
| | | | | | | | |
Real Estate – 2.53% | | | | | | | | |
American Campus Communities, Inc. | | | 11 | | | | 713 | |
American Tower Corp. | | | 3 | | | | 805 | |
AvalonBay Communities, Inc.(2) | | | 0 | | | | 21 | |
CBRE Group, Inc. - Class A(1)(2) | | | 0 | | | | 0 | |
Corporate Office Properties Trust | | | 28 | | | | 725 | |
Crown Castle International Corp.(2) | | | 0 | | | | 61 | |
Duke Realty Corp.(2) | | | 0 | | | | 8 | |
Equity Residential(2) | | | 0 | | | | 0 | |
Healthpeak Properties, Inc. | | | 2 | | | | 49 | |
Howard Hughes Corp.(1) | | | 5 | | | | 347 | |
Mid-America Apartment Communities, Inc.(2) | | | 0 | | | | 57 | |
Prologis, Inc. | | | 1 | | | | 78 | |
UDR, Inc.(2) | | | 0 | | | | 1 | |
VICI Properties, Inc. | | | 33 | | | | 985 | |
| | | | | | | | |
Total Real Estate | | | | 3,850 | |
| | | | | | | | |
Utilities – 2.39% | | | | | | | | |
Alliant Energy Corp. | | | 1 | | | | 54 | |
Ameren Corp. | | | 1 | | | | 57 | |
American Electric Power Co., Inc. | | | 1 | | | | 60 | |
American Water Works Co., Inc.(2) | | | 0 | | | | 57 | |
Atmos Energy Corp.(2) | | | 0 | | | | 1 | |
CenterPoint Energy, Inc. | | | 22 | | | | 658 | |
CMS Energy Corp.(2) | | | 0 | | | | 0 | |
Consolidated Edison, Inc. | | | 1 | | | | 76 | |
Duke Energy Corp. | | | 1 | | | | 66 | |
Entergy Corp. | | | 6 | | | | 674 | |
Exelon Corp. | | | 14 | | | | 634 | |
NextEra Energy, Inc. | | | 3 | | | | 225 | |
Pinnacle West Capital Corp. | | | 11 | | | | 782 | |
Sempra Energy | | | 1 | | | | 224 | |
Southern Co. | | | 1 | | | | 58 | |
Xcel Energy, Inc.(2) | | | 0 | | | | 0 | |
| | | | | | | | |
Total Utilities | | | | 3,626 | |
| | | | | | | | |
Total Common Stocks (Cost: $151,607) | | | | 142,055 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 4.04% | | | | | | | | |
Money Market Funds – 3.02% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(3) | | | 4,577 | | | | 4,577 | |
| | | | | | | | |
Total Money Market Funds (Cost: $4,577) | | | | | | | 4,577 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 1.02% | | | | | | | | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 1,552 | | | | 1,552 | |
| | | | | | | | |
Total Time Deposits (Cost: $1,552) | | | | | | | 1,552 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $6,129) | | | | 6,129 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 97.58%
(Cost: $157,736) | | | | | | | 148,184 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.42% | | | | | | | 3,682 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 151,866 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
| (1) | Non-income producing security. |
| (2) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (3) | 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.
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 96.30% | | | | | | | | |
Communication Services – 3.67% | | | | | | | | |
AdTheorent Holding Co., Inc.(1) | | | 2 | | | $ | 6 | |
Anterix, Inc.(1)(2) | | | 0 | | | | 19 | |
Arena Group Holdings, Inc.(1) | | | 1 | | | | 10 | |
Bandwidth, Inc. - Class A(1) | | | 1 | | | | 11 | |
Boston Omaha Corp. - Class A(1)(2) | | | 0 | | | | 5 | |
Bumble, Inc. - Class A(1) | | | 287 | | | | 8,079 | |
Cable One, Inc. | | | 5 | | | | 6,319 | |
Cargurus, Inc. - Class A(1) | | | 194 | | | | 4,166 | |
Cars.com, Inc.(1) | | | 2 | | | | 14 | |
Charge Enterprises, Inc.(1) | | | 14 | | | | 67 | |
Cinemark Holdings, Inc.(1) | | | 11 | | | | 168 | |
Cogent Communications Holdings, Inc. | | | 3 | | | | 189 | |
Consolidated Communications Holdings, Inc.(1) | | | 1 | | | | 8 | |
DHI Group, Inc.(1) | | | 5 | | | | 23 | |
Electronic Arts, Inc. | | | 53 | | | | 6,472 | |
Entravision Communications Corp. - Class A | | | 5 | | | | 24 | |
Eventbrite, Inc. - Class A(1) | | | 9 | | | | 91 | |
EverQuote, Inc. - Class A(1) | | | 2 | | | | 20 | |
Gambling.com Group Ltd.(1) | | | 1 | | | | 9 | |
Globalstar, Inc.(1) | | | 74 | | | | 92 | |
Gogo, Inc.(1)(2) | | | 0 | | | | 8 | |
Gray Television, Inc. | | | 5 | | | | 83 | |
IDT Corp. - Class B(1) | | | 1 | | | | 33 | |
IMAX Corp.(1) | | | 4 | | | | 66 | |
Innovid Corp.(1) | | | 3 | | | | 5 | |
Integral Ad Science Holding Corp.(1) | | | 2 | | | | 16 | |
Iridium Communications, Inc.(1) | | | 17 | | | | 634 | |
John Wiley & Sons, Inc. - Class A | | | 212 | | | | 10,113 | |
Liberty Broadband Corp. - Class A(1) | | | 1 | | | | 114 | |
Liberty Broadband Corp. - Class C(1) | | | 6 | | | | 655 | |
Liberty Media Corp.-Liberty Braves - Class A(1) | | | 1 | | | | 36 | |
Liberty Media Corp.-Liberty Braves - Class C(1) | | | 5 | | | | 119 | |
Liberty Media Corp.-Liberty Formula One - Class A(1)(2) | | | 0 | | | | 15 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 329 | | | | 20,867 | |
Liberty Media Corp.-Liberty SiriusXM - Class A | | | 2 | | | | 68 | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 4 | | | | 145 | |
Live Nation Entertainment, Inc.(1) | | | 208 | | | | 17,189 | |
Loyalty Ventures, Inc.(1) | | | 1 | | | | 4 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 1 | | | | 136 | |
Match Group, Inc.(1) | | | 383 | | | | 26,671 | |
MediaAlpha, Inc. - Class A(1) | | | 3 | | | | 34 | |
New York Times Co. - Class A | | | 219 | | | | 6,099 | |
Nexstar Media Group, Inc. - Class A | | | 92 | | | | 14,954 | |
Ooma, Inc.(1) | | | 3 | | | | 36 | |
Pinterest, Inc. - Class A(1) | | | 12 | | | | 209 | |
Playstudios, Inc.(1) | | | 5 | | | | 22 | |
Playtika Holding Corp.(1) | | | 9 | | | | 119 | |
PubMatic, Inc. - Class A(1) | | | 5 | | | | 82 | |
QuinStreet, Inc.(1)(2) | | | 0 | | | | 5 | |
Reservoir Media, Inc.(1) | | | 2 | | | | 16 | |
ROBLOX Corp. - Class A(1) | | | 42 | | | | 1,384 | |
Roku, Inc. - Class A(1) | | | 3 | | | | 264 | |
Sinclair Broadcast Group, Inc. - Class A | | | 5 | | | | 111 | |
Spotify Technology SA(1) | | | 13 | | | | 1,256 | |
Stagwell, Inc.(1) | | | 1 | | | | 4 | |
Starry Group Holdings, Inc. - Class A(1) | | | 3 | | | | 12 | |
Take-Two Interactive Software, Inc.(1) | | | 178 | | | | 21,842 | |
TechTarget, Inc.(1) | | | 4 | | | | 234 | |
Thryv Holdings, Inc.(1) | | | 1 | | | | 17 | |
| | | | | | | | |
TripAdvisor, Inc.(1) | | | 1 | | | | 14 | |
Twitter, Inc.(1) | | | 66 | | | | 2,471 | |
Vimeo, Inc.(1) | | | 19 | | | | 117 | |
Vinco Ventures, Inc.(1) | | | 13 | | | | 19 | |
Warner Bros Discovery, Inc.(1) | | | 166 | | | | 2,223 | |
Warner Music Group Corp. - Class A | | | 231 | | | | 5,634 | |
Wejo Group Ltd.(1) | | | 4 | | | | 4 | |
WideOpenWest, Inc.(1) | | | 4 | | | | 72 | |
World Wrestling Entertainment, Inc. - Class A | | | 204 | | | | 12,741 | |
Yelp, Inc. - Class A(1) | | | 9 | | | | 249 | |
Ziff Davis, Inc.(1) | | | 1 | | | | 86 | |
ZipRecruiter, Inc. - Class A(1) | | | 299 | | | | 4,436 | |
ZoomInfo Technologies, Inc. - Class A(1) | | | 540 | | | | 17,944 | |
| | | | | | | | |
Total Communication Services | | | | 195,479 | |
| | | | | | | | |
Consumer Discretionary – 10.05% | | | | | | | | |
Accel Entertainment, Inc. - Class A(1) | | | 8 | | | | 86 | |
Acushnet Holdings Corp. | | | 219 | | | | 9,123 | |
Advance Auto Parts, Inc. | | | 189 | | | | 32,793 | |
aka Brands Holding Corp.(1) | | | 1 | | | | 2 | |
Allbirds, Inc. - Class A(1) | | | 3 | | | | 13 | |
American Axle & Manufacturing Holdings, Inc.(1) | | | 1 | | | | 7 | |
Aptiv Plc(1) | | | 170 | | | | 15,113 | |
Arko Corp. | | | 11 | | | | 90 | |
Asbury Automotive Group, Inc.(1) | | | 1 | | | | 141 | |
Aterian, Inc.(1) | | | 1 | | | | 1 | |
AutoZone, Inc.(1) | | | 2 | | | | 3,699 | |
Bath & Body Works, Inc. | | | 347 | | | | 9,341 | |
Bed Bath & Beyond, Inc.(1) | | | 8 | | | | 38 | |
Best Buy Co., Inc. | | | 6 | | | | 392 | |
Bloomin’ Brands, Inc. | | | 8 | | | | 140 | |
Bluegreen Vacations Holding Corp. - Class A(2) | | | 0 | | | | 5 | |
Boot Barn Holdings, Inc.(1) | | | 74 | | | | 5,113 | |
Bright Horizons Family Solutions, Inc.(1) | | | 45 | | | | 3,841 | |
Brinker International, Inc.(1) | | | 5 | | | | 116 | |
Brunswick Corp. | | | 1 | | | | 82 | |
Buckle, Inc. | | | 4 | | | | 107 | |
Build-A-Bear Workshop, Inc. | | | 1 | | | | 21 | |
Burlington Stores, Inc.(1) | | | 173 | | | | 23,602 | |
Caesars Entertainment, Inc.(1) | | | 14 | | | | 518 | |
Caleres, Inc. | | | 5 | | | | 124 | |
Callaway Golf Co.(1) | | | 349 | | | | 7,124 | |
Camping World Holdings, Inc. - Class A | | | 5 | | | | 107 | |
Canoo, Inc.(1) | | | 15 | | | | 27 | |
CarMax, Inc.(1) | | | 2 | | | | 159 | |
CarParts.com, Inc.(1) | | | 7 | | | | 47 | |
Carriage Services, Inc. - Class A | | | 2 | | | | 72 | |
Carvana Co. - Class A(1) | | | 10 | | | | 223 | |
Cavco Industries, Inc.(1) | | | 1 | | | | 235 | |
Century Casinos, Inc.(1) | | | 3 | | | | 22 | |
Century Communities, Inc.(2) | | | 0 | | | | 11 | |
Cheesecake Factory, Inc. | | | 7 | | | | 172 | |
Chegg, Inc.(1) | | | 16 | | | | 309 | |
Chewy, Inc. - Class A(1) | | | 151 | | | | 5,228 | |
Chico’s FAS, Inc.(1) | | | 11 | | | | 57 | |
Children’s Place, Inc.(1) | | | 1 | | | | 43 | |
Chipotle Mexican Grill, Inc. - Class A(1) | | | 25 | | | | 32,093 | |
Choice Hotels International, Inc. | | | 3 | | | | 357 | |
Churchill Downs, Inc. | | | 3 | | | | 660 | |
Citi Trends, Inc.(1)(2) | | | 0 | | | | 1 | |
Clarus Corp. | | | 3 | | | | 60 | |
Coursera, Inc.(1) | | | 15 | | | | 216 | |
Cracker Barrel Old Country Store, Inc. | | | 3 | | | | 260 | |
Crocs, Inc.(1) | | | 8 | | | | 391 | |
Darden Restaurants, Inc. | | | 9 | | | | 986 | |
Dave & Buster’s Entertainment, Inc.(1) | | | 6 | | | | 189 | |
Deckers Outdoor Corp.(1) | | | 2 | | | | 584 | |
Denny’s Corp.(1) | | | 6 | | | | 50 | |
| | | | | | | | |
Designer Brands, Inc. - Class A | | | 5 | | | | 71 | |
Destination XL Group, Inc.(1) | | | 4 | | | | 13 | |
Dillard’s, Inc. - Class A | | | 1 | | | | 126 | |
Dine Brands Global, Inc. | | | 2 | | | | 124 | |
Dollar Tree, Inc.(1) | | | 83 | | | | 12,895 | |
Domino’s Pizza, Inc. | | | 19 | | | | 7,512 | |
DoorDash, Inc. - Class A(1) | | | 21 | | | | 1,358 | |
Dorman Products, Inc.(1) | | | 3 | | | | 376 | |
DR Horton, Inc. | | | 16 | | | | 1,074 | |
DraftKings, Inc. - Class A(1) | | | 37 | | | | 426 | |
Dream Finders Homes, Inc. - Class A(1) | | | 3 | | | | 30 | |
Duluth Holdings, Inc. - Class B(1) | | | 1 | | | | 9 | |
Duolingo, Inc. - Class A(1) | | | 87 | | | | 7,629 | |
eBay, Inc. | | | 7 | | | | 295 | |
Ermenegildo Zegna Holditalia SpA(1) | | | 1 | | | | 14 | |
Etsy, Inc.(1) | | | 88 | | | | 6,414 | |
European Wax Center, Inc. - Class A | | | 3 | | | | 44 | |
Everi Holdings, Inc.(1) | | | 6 | | | | 106 | |
EVgo, Inc.(1) | | | 2 | | | | 12 | |
Expedia Group, Inc.(1) | | | 14 | | | | 1,372 | |
F45 Training Holdings, Inc.(1) | | | 5 | | | | 19 | |
Faraday Future Intelligent Electric, Inc.(1) | | | 7 | | | | 17 | |
Farfetch Ltd. - Class A(1) | | | 202 | | | | 1,447 | |
First Watch Restaurant Group, Inc.(1)(2) | | | 0 | | | | 6 | |
Fisker, Inc.(1) | | | 21 | | | | 181 | |
Five Below, Inc.(1) | | | 85 | | | | 9,625 | |
Floor & Decor Holdings, Inc. - Class A(1) | | | 78 | | | | 4,920 | |
Fox Factory Holding Corp.(1) | | | 83 | | | | 6,703 | |
Franchise Group, Inc. | | | 3 | | | | 122 | |
Full House Resorts, Inc.(1) | | | 1 | | | | 7 | |
Funko, Inc. - Class A(1) | | | 136 | | | | 3,040 | |
Gentherm, Inc.(1) | | | 247 | | | | 15,400 | |
Genuine Parts Co. | | | 1 | | | | 142 | |
Global-e Online Ltd.(1) | | | 389 | | | | 7,846 | |
Golden Entertainment, Inc.(1) | | | 3 | | | | 106 | |
Green Brick Partners, Inc.(1) | | | 1 | | | | 21 | |
Groupon, Inc. - Class A(1)(2) | | | 0 | | | | 3 | |
Guess?, Inc. | | | 5 | | | | 79 | |
H&R Block, Inc. | | | 13 | | | | 455 | |
Harley-Davidson, Inc. | | | 226 | | | | 7,159 | |
Helen of Troy Ltd.(1) | | | 21 | | | | 3,465 | |
Hibbett, Inc. | | | 1 | | | | 57 | |
Hilton Grand Vacations, Inc.(1) | | | 12 | | | | 418 | |
Hilton Worldwide Holdings, Inc. | | | 19 | | | | 2,113 | |
Holley, Inc.(1) | | | 7 | | | | 71 | |
Hovnanian Enterprises, Inc. - Class A(1) | | | 1 | | | | 29 | |
Hyatt Hotels Corp. - Class A(1) | | | 111 | | | | 8,210 | |
Inspired Entertainment, Inc.(1) | | | 2 | | | | 17 | |
Installed Building Products, Inc. | | | 3 | | | | 268 | |
International Game Technology Plc | | | 3 | | | | 55 | |
iRobot Corp.(1) | | | 3 | | | | 113 | |
Jack in the Box, Inc.(2) | | | 0 | | | | 26 | |
KB Home | | | 2 | | | | 52 | |
Kontoor Brands, Inc. | | | 7 | | | | 245 | |
Krispy Kreme, Inc. | | | 2 | | | | 33 | |
Kura Sushi USA, Inc. - Class A(1) | | | 1 | | | | 30 | |
Las Vegas Sands Corp.(1) | | | 12 | | | | 401 | |
Latham Group, Inc.(1) | | | 5 | | | | 37 | |
LCI Industries | | | 3 | | | | 366 | |
Leslie’s, Inc.(1) | | | 1,874 | | | | 28,440 | |
LGI Homes, Inc.(1)(2) | | | 0 | | | | 17 | |
Lindblad Expeditions Holdings, Inc.(1)(2) | | | 0 | | | | 3 | |
Liquidity Services, Inc.(1) | | | 2 | | | | 22 | |
LKQ Corp. | | | 113 | | | | 5,535 | |
Lovesac Co.(1) | | | 2 | | | | 52 | |
Lucid Group, Inc.(1) | | | 48 | | | | 820 | |
Lululemon Athletica, Inc.(1) | | | 62 | | | | 17,038 | |
| | | | | | | | |
Lulu’s Fashion Lounge Holdings, Inc.(1) | | | 1 | | | | 12 | |
Luminar Technologies, Inc. - Class A(1) | | | 32 | | | | 189 | |
M/I Homes, Inc.(1) | | | 1 | | | | 26 | |
Malibu Boats, Inc. - Class A(1) | | | 3 | | | | 143 | |
Marine Products Corp. | | | 1 | | | | 9 | |
MarineMax, Inc.(1)(2) | | | 0 | | | | 7 | |
MasterCraft Boat Holdings, Inc.(1) | | | 2 | | | | 52 | |
Mattel, Inc.(1) | | | 916 | | | | 20,454 | |
MDC Holdings, Inc. | | | 2 | | | | 61 | |
Meritage Homes Corp.(1)(2) | | | 0 | | | | 22 | |
Mister Car Wash, Inc.(1) | | | 5 | | | | 60 | |
Monarch Casino & Resort, Inc.(1) | | | 2 | | | | 102 | |
Mullen Automotive, Inc.(1) | | | 3 | | | | 3 | |
Murphy USA, Inc. | | | 3 | | | | 689 | |
National Vision Holdings, Inc.(1) | | | 134 | | | | 3,680 | |
NEOGAMES SA(1) | | | 2 | | | | 22 | |
Nerdy, Inc.(1) | | | 7 | | | | 15 | |
Noodles & Co. - Class A(1) | | | 6 | | | | 27 | |
Nordstrom, Inc. | | | 9 | | | | 192 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 3 | | | | 31 | |
NVR, Inc.(1)(2) | | | 0 | | | | 825 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 56 | | | | 3,315 | |
ONE Group Hospitality, Inc.(1) | | | 3 | | | | 21 | |
OneSpaWorld Holdings Ltd.(1) | | | 9 | | | | 63 | |
OneWater Marine, Inc. - Class A(1)(2) | | | 0 | | | | 3 | |
O’Reilly Automotive, Inc.(1) | | | 3 | | | | 1,610 | |
Oxford Industries, Inc. | | | 1 | | | | 128 | |
Papa John’s International, Inc. | | | 124 | | | | 10,371 | |
Party City Holdco, Inc.(1) | | | 5 | | | | 7 | |
Patrick Industries, Inc.(2) | | | 0 | | | | 15 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 329 | | | | 4,853 | |
PetMed Express, Inc. | | | 2 | | | | 44 | |
Planet Fitness, Inc. - Class A(1) | | | 391 | | | | 26,580 | |
Polaris, Inc. | | | 4 | | | | 395 | |
Pool Corp. | | | 16 | | | | 5,794 | |
Portillo’s, Inc. - Class A(1) | | | 3 | | | | 43 | |
PowerSchool Holdings, Inc. - Class A(1) | | | 2 | | | | 25 | |
PulteGroup, Inc. | | | 9 | | | | 356 | |
Purple Innovation, Inc. - Class A(1)(2) | | | 0 | | | | 1 | |
Quotient Technology, Inc.(1) | | | 1 | | | | 4 | |
RCI Hospitality Holdings, Inc. | | | 1 | | | | 51 | |
RealReal, Inc.(1) | | | 2 | | | | 4 | |
Red Rock Resorts, Inc. - Class A | | | 3 | | | | 106 | |
Rent the Runway, Inc. - Class A(1) | | | 6 | | | | 19 | |
Rent-A-Center, Inc. | | | 7 | | | | 135 | |
Revolve Group, Inc. - Class A(1) | | | 176 | | | | 4,571 | |
RH(1) | | | 1 | | | | 131 | |
Rocky Brands, Inc.(2) | | | 0 | | | | 2 | |
Ross Stores, Inc. | | | 14 | | | | 984 | |
Rover Group, Inc. - Class A(1) | | | 11 | | | | 43 | |
Rush Street Interactive, Inc.(1) | | | 7 | | | | 35 | |
Ruth’s Hospitality Group, Inc. | | | 5 | | | | 74 | |
Sally Beauty Holdings, Inc.(1) | | | 13 | | | | 157 | |
SeaWorld Entertainment, Inc.(1) | | | 3 | | | | 129 | |
Shake Shack, Inc. - Class A(1) | | | 5 | | | | 200 | |
Shutterstock, Inc. | | | 3 | | | | 181 | |
Six Flags Entertainment Corp.(1) | | | 4 | | | | 78 | |
Skechers USA, Inc. - Class A(1) | | | 2 | | | | 68 | |
Skyline Champion Corp.(1) | | | 122 | | | | 5,778 | |
Sleep Number Corp.(1) | | | 1 | | | | 39 | |
Smith & Wesson Brands, Inc.(2) | | | 0 | | | | 5 | |
Solid Power, Inc.(1) | | | 3 | | | | 15 | |
Sonder Holdings, Inc.(1) | | | 6 | | | | 6 | |
Sonos, Inc.(1) | | | 17 | | | | 307 | |
Steven Madden Ltd. | | | 212 | | | | 6,823 | |
Stitch Fix, Inc. - Class A(1) | | | 4 | | | | 21 | |
Stoneridge, Inc.(1)(2) | | | 0 | | | | 7 | |
| | | | | | | | |
Stride, Inc.(1) | | | 5 | | | | 216 | |
Sturm Ruger & Co., Inc. | | | 2 | | | | 135 | |
Sweetgreen, Inc. - Class A(1) | | | 2 | | | | 20 | |
Tapestry, Inc. | | | 3 | | | | 103 | |
Target Hospitality Corp.(1) | | | 4 | | | | 23 | |
Taylor Morrison Home Corp. - Class A(1) | | | 2 | | | | 42 | |
Tenneco, Inc. - Class A(1) | | | 11 | | | | 190 | |
Terminix Global Holdings, Inc.(1) | | | 25 | | | | 1,001 | |
Texas Roadhouse, Inc. - Class A | | | 96 | | | | 7,011 | |
ThredUp, Inc. - Class A(1) | | | 1 | | | | 4 | |
Toll Brothers, Inc. | | | 5 | | | | 240 | |
TopBuild Corp.(1) | | | 3 | | | | 438 | |
Torrid Holdings, Inc.(1) | | | 1 | | | | 5 | |
Tractor Supply Co. | | | 153 | | | | 29,624 | |
Travel + Leisure Co. | | | 6 | | | | 222 | |
TRI Pointe Homes, Inc.(1) | | | 1 | | | | 19 | |
Udemy, Inc.(1) | | | 9 | | | | 95 | |
Ulta Beauty, Inc.(1) | | | 111 | | | | 42,613 | |
Universal Technical Institute, Inc.(1) | | | 4 | | | | 30 | |
Vail Resorts, Inc. | | | 4 | | | | 797 | |
Victoria’s Secret & Co.(1) | | | 6 | | | | 157 | |
Visteon Corp.(1) | | | 95 | | | | 9,848 | |
Vivid Seats, Inc. - Class A | | | 1 | | | | 6 | |
Vivint Smart Home, Inc.(1) | | | 4 | | | | 12 | |
Vizio Holding Corp. - Class A(1) | | | 9 | | | | 60 | |
Vuzix Corp.(1) | | | 7 | | | | 48 | |
Warby Parker, Inc. - Class A(1) | | | 11 | | | | 127 | |
Wayfair, Inc. - Class A(1) | | | 5 | | | | 205 | |
Wendy’s Co. | | | 16 | | | | 310 | |
Williams-Sonoma, Inc. | | | 5 | | | | 587 | |
Wingstop, Inc. | | | 140 | | | | 10,502 | |
Winmark Corp. | | | 13 | | | | 2,540 | |
Wolverine World Wide, Inc. | | | 10 | | | | 211 | |
Workhorse Group, Inc.(1) | | | 18 | | | | 46 | |
Wyndham Hotels & Resorts, Inc. | | | 6 | | | | 402 | |
Wynn Resorts Ltd.(1) | | | 1 | | | | 73 | |
Xometry, Inc. - Class A(1) | | | 4 | | | | 149 | |
XPEL, Inc.(1) | | | 3 | | | | 133 | |
Xponential Fitness, Inc. - Class A(1) | | | 1 | | | | 9 | |
YETI Holdings, Inc.(1) | | | 172 | | | | 7,428 | |
Yum! Brands, Inc. | | | 3 | | | | 362 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 535,583 | |
| | | | | | | | |
Consumer Staples – 4.29% | | | | | | | | |
22nd Century Group, Inc.(1) | | | 21 | | | | 45 | |
Beauty Health Co.(1) | | | 312 | | | | 4,013 | |
BellRing Brands, Inc.(1) | | | 457 | | | | 11,381 | |
Benson Hill, Inc.(1) | | | 11 | | | | 30 | |
Beyond Meat, Inc.(1) | | | 8 | | | | 196 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 8 | | | | 508 | |
Boston Beer Co., Inc. - Class A(1) | | | 33 | | | | 9,953 | |
BRC, Inc. - Class A(1) | | | 3 | | | | 27 | |
Brown-Forman Corp. - Class A | | | 3 | | | | 172 | |
Brown-Forman Corp. - Class B | | | 10 | | | | 727 | |
Calavo Growers, Inc. | | | 2 | | | | 95 | |
Cal-Maine Foods, Inc. | | | 5 | | | | 230 | |
Celsius Holdings, Inc.(1) | | | 251 | | | | 16,388 | |
Central Garden & Pet Co. - Class A(1) | | | 1 | | | | 21 | |
Central Garden & Pet Co. - Class A(1) | | | 2 | | | | 78 | |
Chefs’ Warehouse, Inc.(1) | | | 3 | | | | 128 | |
Church & Dwight Co., Inc. | | | 74 | | | | 6,812 | |
Clorox Co. | | | 144 | | | | 20,269 | |
Coca-Cola Consolidated, Inc. | | | 1 | | | | 349 | |
Darling Ingredients, Inc.(1) | | | 1 | | | | 65 | |
Duckhorn Portfolio, Inc.(1) | | | 5 | | | | 102 | |
elf Beauty, Inc.(1) | | | 207 | | | | 6,364 | |
Energizer Holdings, Inc. | | | 9 | | | | 250 | |
Freshpet, Inc.(1) | | | 441 | | | | 22,876 | |
| | | | | | | | |
Grocery Outlet Holding Corp.(1) | | | 134 | | | | 5,709 | |
Herbalife Nutrition Ltd.(1) | | | 9 | | | | 176 | |
Hershey Co. | | | 12 | | | | 2,603 | |
Hormel Foods Corp. | | | 308 | | | | 14,587 | |
Hostess Brands, Inc. - Class A(1) | | | 100 | | | | 2,124 | |
Inter Parfums, Inc. | | | 168 | | | | 12,251 | |
J&J Snack Foods Corp. | | | 2 | | | | 278 | |
J.M. Smucker Co. | | | 137 | | | | 17,537 | |
John B Sanfilippo & Son, Inc. | | | 1 | | | | 56 | |
Kellogg Co. | | | 13 | | | | 945 | |
Lamb Weston Holdings, Inc. | | | 224 | | | | 15,991 | |
Lancaster Colony Corp. | | | 2 | | | | 282 | |
Local Bounti Corp.(1) | | | 2 | | | | 7 | |
McCormick & Co., Inc. | | | 284 | | | | 23,643 | |
Medifast, Inc. | | | 2 | | | | 272 | |
MGP Ingredients, Inc. | | | 115 | | | | 11,484 | |
Mission Produce, Inc.(1) | | | 1 | | | | 12 | |
Molson Coors Beverage Co. - Class B | | | 93 | | | | 5,073 | |
National Beverage Corp. | | | 3 | | | | 151 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 1 | | | | 16 | |
Nu Skin Enterprises, Inc. - Class A | | | 3 | | | | 120 | |
Olaplex Holdings, Inc.(1) | | | 12 | | | | 165 | |
Performance Food Group Co.(1) | | | 4 | | | | 204 | |
Pilgrim’s Pride Corp.(1) | | | 2 | | | | 76 | |
PriceSmart, Inc. | | | 2 | | | | 147 | |
Rite Aid Corp.(1) | | | 3 | | | | 23 | |
Sanderson Farms, Inc. | | | 2 | | | | 521 | |
Simply Good Foods Co.(1) | | | 317 | | | | 11,962 | |
Sovos Brands, Inc.(1) | | | 3 | | | | 41 | |
Sprouts Farmers Market, Inc.(1) | | | 15 | | | | 368 | |
SunOpta, Inc.(1) | | | 12 | | | | 92 | |
Tattooed Chef, Inc.(1) | | | 7 | | | | 43 | |
Thorne HealthTech, Inc.(1) | | | 2 | | | | 10 | |
Tootsie Roll Industries, Inc. | | | 2 | | | | 61 | |
Turning Point Brands, Inc. | | | 2 | | | | 59 | |
United Natural Foods, Inc.(1)(2) | | | 0 | | | | 20 | |
USANA Health Sciences, Inc.(1) | | | 2 | | | | 109 | |
Utz Brands, Inc. | | | 8 | | | | 104 | |
Vector Group Ltd. | | | 3 | | | | 30 | |
Veru, Inc.(1) | | | 9 | | | | 100 | |
Vintage Wine Estates, Inc.(1) | | | 1 | | | | 5 | |
Vita Coco Co., Inc.(1) | | | 4 | | | | 36 | |
Vital Farms, Inc.(1) | | | 4 | | | | 39 | |
WD-40 Co. | | | 2 | | | | 361 | |
| | | | | | | | |
Total Consumer Staples | | | | 228,972 | |
| | | | | | | | |
Energy – 2.49% | | | | | | | | |
Amplify Energy Corp.(1) | | | 4 | | | | 24 | |
Antero Resources Corp.(1) | | | 18 | | | | 565 | |
Arch Resources, Inc. | | | 2 | | | | 289 | |
Archaea Energy, Inc. - Class A(1) | | | 3 | | | | 45 | |
Battalion Oil Corp.(1) | | | 1 | | | | 5 | |
Berry Corp. | | | 2 | | | | 16 | |
Borr Drilling Ltd.(1) | | | 9 | | | | 43 | |
Brigham Minerals, Inc. - Class A | | | 7 | | | | 168 | |
Cactus, Inc. - Class A | | | 124 | | | | 4,986 | |
Callon Petroleum Co.(1) | | | 89 | | | | 3,502 | |
Cameco Corp. | | | 789 | | | | 16,590 | |
Centennial Resource Development, Inc. - Class A(1) | | | 3 | | | | 20 | |
ChampionX Corp. | | | 538 | | | | 10,674 | |
Cheniere Energy, Inc. | | | 14 | | | | 1,853 | |
CNX Resources Corp.(1) | | | 2 | | | | 29 | |
Comstock Resources, Inc.(1) | | | 12 | | | | 144 | |
CONSOL Energy, Inc.(1) | | | 4 | | | | 213 | |
Continental Resources, Inc. | | | 3 | | | | 168 | |
Coterra Energy, Inc. | | | 205 | | | | 5,290 | |
Crescent Energy Co. - Class A | | | 4 | | | | 54 | |
CVR Energy, Inc. | | | 4 | | | | 130 | |
| | | | | | | | |
Delek US Holdings, Inc.(1) | | | 9 | | | | 240 | |
Denbury, Inc.(1) | | | 7 | | | | 403 | |
Devon Energy Corp. | | | 31 | | | | 1,696 | |
Diamondback Energy, Inc. | | | 141 | | | | 17,080 | |
DMC Global, Inc.(1)(2) | | | 0 | | | | 8 | |
Earthstone Energy, Inc. - Class A(1) | | | 6 | | | | 77 | |
Empire Petroleum Corp.(1) | | | 1 | | | | 11 | |
Energy Fuels, Inc.(1) | | | 17 | | | | 83 | |
Enviva, Inc. | | | 3 | | | | 164 | |
Equitrans Midstream Corp. | | | 13 | | | | 85 | |
Golar LNG Ltd.(1) | | | 1 | | | | 17 | |
Gulfport Energy Corp.(1) | | | 2 | | | | 127 | |
Halliburton Co. | | | 39 | | | | 1,222 | |
Helmerich & Payne, Inc. | | | 255 | | | | 11,000 | |
Hess Corp. | | | 21 | | | | 2,234 | |
HighPeak Energy, Inc. | | | 1 | | | | 28 | |
Kinetik Holdings, Inc. - Class A(2) | | | 0 | | | | 8 | |
Kosmos Energy Ltd.(1) | | | 59 | | | | 364 | |
Laredo Petroleum, Inc.(1) | | | 2 | | | | 154 | |
Liberty Energy, Inc. - Class A(1) | | | 19 | | | | 237 | |
Magnolia Oil & Gas Corp. - Class A | | | 334 | | | | 7,005 | |
Matador Resources Co. | | | 184 | | | | 8,596 | |
Murphy Oil Corp. | | | 8 | | | | 256 | |
Nabors Industries Ltd.(1) | | | 1 | | | | 146 | |
New Fortress Energy, Inc. - Class A | | | 140 | | | | 5,547 | |
NextDecade Corp.(1) | | | 4 | | | | 16 | |
NexTier Oilfield Solutions, Inc.(1) | | | 24 | | | | 225 | |
Noble Corp.(1) | | | 1 | | | | 29 | |
Northern Oil & Gas, Inc. | | | 7 | | | | 187 | |
Oasis Petroleum, Inc. | | | 3 | | | | 315 | |
Oceaneering International, Inc.(1) | | | 12 | | | | 126 | |
ONEOK, Inc. | | | 5 | | | | 273 | |
Ovintiv, Inc. | | | 18 | | | | 779 | |
Par Pacific Holdings, Inc.(1) | | | 7 | | | | 102 | |
Patterson-UTI Energy, Inc. | | | 19 | | | | 299 | |
PBF Energy, Inc. - Class A(1) | | | 3 | | | | 84 | |
PDC Energy, Inc. | | | 5 | | | | 296 | |
Pioneer Natural Resources Co. | | | 15 | | | | 3,261 | |
ProFrac Holding Corp. - Class A(1) | | | 338 | | | | 6,188 | |
Range Resources Corp.(1) | | | 16 | | | | 407 | |
Ranger Oil Corp. - Class A(1) | | | 158 | | | | 5,179 | |
Riley Exploration Permian, Inc. | | | 1 | | | | 21 | |
Ring Energy, Inc.(1) | | | 5 | | | | 13 | |
RPC, Inc.(1) | | | 11 | | | | 74 | |
SandRidge Energy, Inc.(1) | | | 2 | | | | 39 | |
SilverBow Resources, Inc.(1) | | | 2 | | | | 45 | |
Sitio Royalties Corp. | | | 2 | | | | 39 | |
SM Energy Co. | | | 16 | | | | 549 | |
Solaris Oilfield Infrastructure, Inc. - Class A | | | 5 | | | | 52 | |
Southwestern Energy Co.(1) | | | 1,445 | | | | 9,030 | |
Talos Energy, Inc.(1) | | | 9 | | | | 135 | |
Targa Resources Corp. | | | 22 | | | | 1,290 | |
Tellurian, Inc.(1) | | | 68 | | | | 203 | |
TETRA Technologies, Inc.(1) | | | 18 | | | | 73 | |
Texas Pacific Land Corp. | | | 1 | | | | 817 | |
Uranium Energy Corp.(1) | | | 37 | | | | 112 | |
Ur-Energy, Inc.(1) | | | 28 | | | | 30 | |
US Silica Holdings, Inc.(1) | | | 1 | | | | 16 | |
VAALCO Energy, Inc. | | | 8 | | | | 53 | |
Valaris Ltd.(1) | | | 8 | | | | 342 | |
Vertex Energy, Inc.(1) | | | 6 | | | | 66 | |
W&T Offshore, Inc.(1) | | | 10 | | | | 45 | |
Weatherford International Plc(1) | | | 9 | | | | 183 | |
Whiting Petroleum Corp. | | | 1 | | | | 86 | |
| | | | | | | | |
Total Energy | | | | 132,675 | |
| | | | | | | | |
Financials – 10.72% | | | | | | | | |
Alleghany Corp.(1)(2) | | | 0 | | | | 155 | |
| | | | | | | | |
Ameriprise Financial, Inc. | | | 7 | | | | 1,592 | |
AMERISAFE, Inc. | | | 64 | | | | 3,328 | |
Apollo Global Management, Inc. | | | 33 | | | | 1,623 | |
Arch Capital Group Ltd.(1) | | | 11 | | | | 520 | |
Ares Management Corp. - Class A | | | 15 | | | | 827 | |
Argo Group International Holdings Ltd. | | | 145 | | | | 5,342 | |
Arthur J. Gallagher & Co. | | | 213 | | | | 34,770 | |
Artisan Partners Asset Management, Inc. - Class A | | | 5 | | | | 181 | |
Atlanticus Holdings Corp.(1)(2) | | | 0 | | | | 12 | |
Axos Financial, Inc.(1) | | | 1 | | | | 27 | |
B. Riley Financial, Inc. | | | 3 | | | | 111 | |
BancFirst Corp. | | | 2 | | | | 152 | |
Bancorp, Inc.(1) | | | 4 | | | | 78 | |
Bank of NT Butterfield & Son Ltd.(2) | | | 0 | | | | 14 | |
BayCom Corp.(2) | | | 0 | | | | 6 | |
Blucora, Inc.(1) | | | 6 | | | | 116 | |
Blue Owl Capital, Inc. - Class A | | | 39 | | | | 391 | |
Bridgewater Bancshares, Inc.(1) | | | 1 | | | | 17 | |
Brightsphere Investment Group, Inc. | | | 4 | | | | 74 | |
Brown & Brown, Inc. | | | 2 | | | | 102 | |
BRP Group, Inc. - Class A(1) | | | 8 | | | | 183 | |
Cadence Bank | | | 1 | | | | 33 | |
Camden National Corp. | | | 69 | | | | 3,051 | |
Coastal Financial Corp.(1) | | | 1 | | | | 56 | |
Cohen & Steers, Inc. | | | 134 | | | | 8,501 | |
Columbia Banking System, Inc. | | | 271 | | | | 7,764 | |
Columbia Financial, Inc.(1) | | | 1 | | | | 32 | |
Credit Acceptance Corp.(1)(2) | | | 0 | | | | 31 | |
Cullen/Frost Bankers, Inc. | | | 77 | | | | 8,967 | |
Curo Group Holdings Corp. | | | 2 | | | | 13 | |
Customers Bancorp, Inc.(1) | | | 114 | | | | 3,860 | |
Diamond Hill Investment Group, Inc.(2) | | | 0 | | | | 68 | |
Donnelley Financial Solutions, Inc.(1)(2) | | | 0 | | | | 8 | |
Eastern Bankshares, Inc. | | | 4 | | | | 81 | |
eHealth, Inc.(1) | | | 1 | | | | 9 | |
Erie Indemnity Co. - Class A | | | 2 | | | | 340 | |
Esquire Financial Holdings, Inc. | | | 1 | | | | 30 | |
Everest Re Group Ltd. | | | 143 | | | | 40,123 | |
FactSet Research Systems, Inc. | | | 35 | | | | 13,318 | |
Farmers & Merchants Bancorp, Inc.(2) | | | 0 | | | | 15 | |
Federated Hermes, Inc. - Class B | | | 12 | | | | 367 | |
First Citizens BancShares, Inc. - Class A(2) | | | 0 | | | | 187 | |
First Financial Bankshares, Inc. | | | 17 | | | | 678 | |
First Interstate BancSystem, Inc. - Class A | | | 138 | | | | 5,277 | |
First Merchants Corp. | | | 189 | | | | 6,742 | |
First Republic Bank | | | 134 | | | | 19,352 | |
FirstCash Holdings, Inc. | | | 117 | | | | 8,143 | |
Five Star Bancorp | | | 1 | | | | 16 | |
Focus Financial Partners, Inc. - Class A(1) | | | 237 | | | | 8,058 | |
FVCBankcorp, Inc.(1)(2) | | | 0 | | | | 5 | |
GAMCO Investors, Inc. - Class A | | | 1 | | | | 12 | |
GCM Grosvenor, Inc. - Class A | | | 5 | | | | 34 | |
Glacier Bancorp, Inc. | | | 2 | | | | 90 | |
Goosehead Insurance, Inc. - Class A | | | 2 | | | | 99 | |
Green Dot Corp. - Class A(1)(2) | | | 0 | | | | 11 | |
Greene County Bancorp, Inc.(2) | | | 0 | | | | 20 | |
Hamilton Lane, Inc. - Class A | | | 5 | | | | 316 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 1 | | | | 25 | |
HCI Group, Inc. | | | 1 | | | | 65 | |
Hingham Institution for Savings(2) | | | 0 | | | | 9 | |
HomeTrust Bancshares, Inc.(2) | | | 0 | | | | 7 | |
Houlihan Lokey, Inc. - Class A | | | 122 | | | | 9,660 | |
Investors Title Co.(2) | | | 0 | | | | 6 | |
Kinsale Capital Group, Inc. | | | 103 | | | | 23,660 | |
Lakeland Financial Corp. | | | 3 | | | | 192 | |
LendingClub Corp.(1) | | | 1 | | | | 8 | |
LendingTree, Inc.(1) | | | 1 | | | | 60 | |
| | | | | | | | |
Lincoln National Corp. | | | 4 | | | | 165 | |
Live Oak Bancshares, Inc. | | | 3 | | | | 114 | |
LPL Financial Holdings, Inc. | | | 216 | | | | 39,886 | |
Manning & Napier, Inc. - Class A | | | 1 | | | | 10 | |
Markel Corp.(1)(2) | | | 0 | | | | 378 | |
MarketAxess Holdings, Inc. | | | 30 | | | | 7,723 | |
Meta Financial Group, Inc. | | | 1 | | | | 40 | |
Metrocity Bankshares, Inc. | | | 1 | | | | 12 | |
Metropolitan Bank Holding Corp.(1)(2) | | | 0 | | | | 12 | |
Moelis & Co. - Class A | | | 4 | | | | 170 | |
Morningstar, Inc. | | | 2 | | | | 518 | |
MSCI, Inc. - Class A | | | 63 | | | | 25,761 | |
Nasdaq, Inc. | | | 183 | | | | 27,938 | |
NerdWallet, Inc. - Class A(1) | | | 3 | | | | 26 | |
Nicolet Bankshares, Inc.(1)(2) | | | 0 | | | | 17 | |
NMI Holdings, Inc. - Class A(1) | | | 1 | | | | 15 | |
Northern Trust Corp. | | | 186 | | | | 17,945 | |
Open Lending Corp. - Class A(1) | | | 14 | | | | 146 | |
PacWest Bancorp | | | 152 | | | | 4,044 | |
Palomar Holdings, Inc. - Class A(1) | | | 97 | | | | 6,261 | |
PennyMac Mortgage Investment Trust | | | 3 | | | | 36 | |
Perella Weinberg Partners - Class A | | | 6 | | | | 34 | |
Piper Sandler Companies | | | 31 | | | | 3,546 | |
PJT Partners, Inc. - Class A | | | 3 | | | | 219 | |
PRA Group, Inc.(1) | | | 356 | | | | 12,961 | |
Professional Holding Corp. - Class A(1)(2) | | | 0 | | | | 5 | |
PROG Holdings, Inc.(1) | | | 1 | | | | 21 | |
Prosperity Bancshares, Inc. | | | 213 | | | | 14,542 | |
Pzena Investment Management, Inc. - Class A | | | 2 | | | | 13 | |
Raymond James Financial, Inc. | | | 1 | | | | 133 | |
RenaissanceRe Holdings Ltd. | | | 2 | | | | 355 | |
RLI Corp. | | | 5 | | | | 603 | |
Rocket Companies, Inc. - Class A | | | 6 | | | | 47 | |
Ryan Specialty Holdings, Inc. - Class A(1) | | | 787 | | | | 30,835 | |
Sculptor Capital Management, Inc. - Class A | | | 2 | | | | 13 | |
ServisFirst Bancshares, Inc. | | | 7 | | | | 526 | |
Signature Bank(2) | | | 0 | | | | 54 | |
Silvercrest Asset Management Group, Inc. - Class A | | | 1 | | | | 20 | |
Silvergate Capital Corp. - Class A(1) | | | 69 | | | | 3,667 | |
SiriusPoint Ltd.(1) | | | 2 | | | | 11 | |
StepStone Group, Inc. - Class A | | | 7 | | | | 183 | |
Stock Yards Bancorp, Inc. | | | 3 | | | | 190 | |
StoneX Group, Inc.(1)(2) | | | 0 | | | | 21 | |
SVB Financial Group(1) | | | 128 | | | | 50,572 | |
Tradeweb Markets, Inc. - Class A | | | 804 | | | | 54,858 | |
Triumph Bancorp, Inc.(1) | | | 1 | | | | 72 | |
Trupanion, Inc.(1) | | | 5 | | | | 312 | |
UMB Financial Corp. | | | 59 | | | | 5,079 | |
Universal Insurance Holdings, Inc. | | | 1 | | | | 8 | |
Upstart Holdings, Inc.(1) | | | 1 | | | | 42 | |
UWM Holdings Corp. | | | 8 | | | | 27 | |
Value Line, Inc.(2) | | | 0 | | | | 5 | |
Veritex Holdings, Inc. | | | 1 | | | | 27 | |
Victory Capital Holdings, Inc. - Class A | | | 1 | | | | 16 | |
Virtus Investment Partners, Inc.(2) | | | 0 | | | | 20 | |
Walker & Dunlop, Inc. | | | 44 | | | | 4,235 | |
West Bancorp, Inc. | | | 1 | | | | 16 | |
Westamerica Bancorporation | | | 1 | | | | 47 | |
Western Alliance Bancorp | | | 6 | | | | 443 | |
Wintrust Financial Corp. | | | 93 | | | | 7,436 | |
WisdomTree Investments, Inc. | | | 18 | | | | 90 | |
World Acceptance Corp.(1)(2) | | | 0 | | | | 41 | |
WR Berkley Corp. | | | 352 | | | | 24,039 | |
WSFS Financial Corp. | | | 152 | | | | 6,083 | |
| | | | | | | | |
Total Financials | | | | 571,704 | |
| | | | | | | | |
Healthcare – 22.82% | | | | | | | | |
10X Genomics, Inc. - Class A(1) | | | 8 | | | | 350 | |
| | | | | | | | |
23andMe Holding Co. - Class A(1) | | | 9 | | | | 23 | |
Aadi Bioscience, Inc.(1) | | | 2 | | | | 23 | |
Abcam Plc - ADR(1) | | | 365 | | | | 5,278 | |
AbCellera Biologics, Inc.(1) | | | 11 | | | | 122 | |
ABIOMED, Inc.(1) | | | 4 | | | | 1,059 | |
Acadia Healthcare Co., Inc.(1) | | | 280 | | | | 18,949 | |
ACADIA Pharmaceuticals, Inc.(1) | | | 16 | | | | 221 | |
Aclaris Therapeutics, Inc.(1) | | | 8 | | | | 109 | |
Adaptive Biotechnologies Corp.(1) | | | 1 | | | | 6 | |
Addus HomeCare Corp.(1) | | | 1 | | | | 69 | |
ADMA Biologics, Inc.(1) | | | 11 | | | | 21 | |
Aduro Bioteech, Inc.(1)(4) | | | 5 | | | | 16 | |
Aerie Pharmaceuticals, Inc.(1) | | | 5 | | | | 40 | |
Affimed NV(1) | | | 19 | | | | 52 | |
Agenus, Inc.(1) | | | 35 | | | | 69 | |
Agilent Technologies, Inc. | | | 184 | | | | 21,840 | |
Agiliti, Inc.(1) | | | 4 | | | | 74 | |
agilon health, Inc.(1) | | | 17 | | | | 369 | |
AirSculpt Technologies, Inc.(1) | | | 2 | | | | 10 | |
Akero Therapeutics, Inc.(1)(2) | | | 0 | | | | 3 | |
Akoya Biosciences, Inc.(1) | | | 2 | | | | 26 | |
Albireo Pharma, Inc.(1) | | | 2 | | | | 45 | |
Alector, Inc.(1) | | | 8 | | | | 82 | |
Align Technology, Inc.(1) | | | 71 | | | | 16,716 | |
Alignment Healthcare, Inc.(1) | | | 11 | | | | 125 | |
Alkermes Plc(1) | | | 198 | | | | 5,911 | |
Allscripts Healthcare Solutions, Inc.(1) | | | 283 | | | | 4,196 | |
Alnylam Pharmaceuticals, Inc.(1) | | | 66 | | | | 9,584 | |
Alphatec Holdings, Inc.(1) | | | 8 | | | | 54 | |
Alpine Immune Sciences, Inc.(1) | | | 1 | | | | 8 | |
AmerisourceBergen Corp. - Class A | | | 14 | | | | 2,020 | |
Amicus Therapeutics, Inc.(1) | | | 36 | | | | 391 | |
AMN Healthcare Services, Inc.(1) | | | 147 | | | | 16,132 | |
Amneal Pharmaceuticals, Inc.(1) | | | 14 | | | | 46 | |
Amphastar Pharmaceuticals, Inc.(1) | | | 5 | | | | 179 | |
Amylyx Pharmaceuticals, Inc.(1)(2) | | | 0 | | | | 6 | |
Anavex Life Sciences Corp.(1) | | | 9 | | | | 89 | |
Apellis Pharmaceuticals, Inc.(1) | | | 116 | | | | 5,226 | |
Apollo Medical Holdings, Inc.(1) | | | 5 | | | | 200 | |
Arbutus Biopharma Corp.(1) | | | 8 | | | | 21 | |
Arcturus Therapeutics Holdings, Inc.(1) | | | 3 | | | | 43 | |
Arcutis Biotherapeutics, Inc.(1) | | | 5 | | | | 97 | |
Argenx SE - ADR(1) | | | 145 | | | | 55,089 | |
Arrowhead Pharmaceuticals, Inc.(1) | | | 14 | | | | 484 | |
Artivion, Inc.(1) | | | 4 | | | | 83 | |
Arvinas, Inc.(1) | | | 7 | | | | 274 | |
Ascendis Pharma - ADR(1) | | | 404 | | | | 37,573 | |
Atara Biotherapeutics, Inc.(1) | | | 1 | | | | 11 | |
AtriCure, Inc.(1) | | | 4 | | | | 164 | |
Atrion Corp.(2) | | | 0 | | | | 116 | |
Aura Biosciences, Inc.(1) | | | 2 | | | | 33 | |
Aurinia Pharmaceuticals, Inc.(1) | | | 18 | | | | 180 | |
Avantor, Inc.(1) | | | 54 | | | | 1,685 | |
Avid Bioservices, Inc.(1) | | | 8 | | | | 120 | |
Axogen, Inc.(1) | | | 5 | | | | 43 | |
Axonics, Inc.(1) | | | 73 | | | | 4,164 | |
Axsome Therapeutics, Inc.(1) | | | 4 | | | | 143 | |
Azenta, Inc. | | | 277 | | | | 19,959 | |
Babylon Holdings Ltd./Jersey - Class A(1) | | | 14 | | | | 14 | |
Beam Therapeutics, Inc.(1) | | | 8 | | | | 327 | |
BioCryst Pharmaceuticals, Inc.(1) | | | 559 | | | | 5,918 | |
Biohaven Pharmaceutical Holding Co. Ltd.(1) | | | 5 | | | | 745 | |
BioLife Solutions, Inc.(1)(2) | | | 0 | | | | 4 | |
BioNTech SE - ADR | | | 63 | | | | 9,433 | |
Bio-Rad Laboratories, Inc. - Class A(1) | | | 27 | | | | 13,365 | |
Bio-Techne Corp. | | | 101 | | | | 35,135 | |
Blueprint Medicines Corp.(1) | | | 8 | | | | 401 | |
| | | | | | | | |
Bridgebio Pharma, Inc.(1) | | | 9 | | | | 77 | |
Bruker Corp. | | | 10 | | | | 649 | |
Cano Health, Inc.(1) | | | 22 | | | | 96 | |
Cardiovascular Systems, Inc.(1) | | | 3 | | | | 42 | |
CareDx, Inc.(1) | | | 7 | | | | 148 | |
Cassava Sciences, Inc.(1) | | | 5 | | | | 139 | |
Catalent, Inc.(1) | | | 652 | | | | 69,991 | |
Catalyst Pharmaceuticals, Inc.(1) | | | 12 | | | | 87 | |
Celldex Therapeutics, Inc.(1) | | | 1 | | | | 38 | |
Celularity, Inc.(1) | | | 2 | | | | 6 | |
Cerevel Therapeutics Holdings, Inc.(1) | | | 7 | | | | 192 | |
Certara, Inc.(1) | | | 7 | | | | 153 | |
Cerus Corp.(1) | | | 23 | | | | 119 | |
Change Healthcare, Inc.(1) | | | 2 | | | | 43 | |
Charles River Laboratories International, Inc.(1) | | | 5 | | | | 964 | |
Chemed Corp.(2) | | | 0 | | | | 230 | |
ChemoCentryx, Inc.(1) | | | 6 | | | | 150 | |
Chimerix, Inc.(1) | | | 7 | | | | 15 | |
Clover Health Investments Corp. - Class A(1) | | | 49 | | | | 106 | |
Codexis, Inc.(1) | | | 8 | | | | 83 | |
Coherus Biosciences, Inc.(1) | | | 10 | | | | 69 | |
Collegium Pharmaceutical, Inc.(1) | | | 4 | | | | 80 | |
CONMED Corp. | | | 93 | | | | 8,863 | |
Cooper Companies, Inc. | | | 78 | | | | 24,349 | |
Corcept Therapeutics, Inc.(1) | | | 11 | | | | 265 | |
CorVel Corp.(1) | | | 1 | | | | 173 | |
Crinetics Pharmaceuticals, Inc.(1) | | | 285 | | | | 5,318 | |
Cross Country Healthcare, Inc.(1) | | | 1 | | | | 13 | |
CryoPort, Inc.(1) | | | 181 | | | | 5,597 | |
CTI BioPharma Corp.(1) | | | 2 | | | | 13 | |
Cutera, Inc.(1) | | | 2 | | | | 81 | |
Cytek Biosciences, Inc.(1) | | | 15 | | | | 159 | |
Cytokinetics, Inc.(1) | | | 10 | | | | 386 | |
DaVita, Inc.(1) | | | 6 | | | | 453 | |
Deciphera Pharmaceuticals, Inc.(1) | | | 2 | | | | 22 | |
Definitive Healthcare Corp. - Class A(1) | | | 2 | | | | 35 | |
Denali Therapeutics, Inc.(1) | | | 13 | | | | 385 | |
Dentsply Sirona, Inc. | | | 470 | | | | 16,793 | |
DermTech, Inc.(1) | | | 165 | | | | 913 | |
DexCom, Inc.(1) | | | 455 | | | | 33,897 | |
DocGo, Inc.(1) | | | 10 | | | | 75 | |
Doximity, Inc. - Class A(1) | | | 4 | | | | 147 | |
Dynavax Technologies Corp. - Class A(1) | | | 16 | | | | 197 | |
Eagle Pharmaceuticals, Inc.(1) | | | 1 | | | | 64 | |
Edwards Lifesciences Corp.(1) | | | 355 | | | | 33,757 | |
Eiger BioPharmaceuticals, Inc.(1) | | | 5 | | | | 30 | |
Embecta Corp.(1) | | | 6 | | | | 164 | |
Enanta Pharmaceuticals, Inc.(1)(2) | | | 0 | | | | 15 | |
Ensign Group, Inc. | | | 7 | | | | 527 | |
Envista Holdings Corp.(1) | | | 309 | | | | 11,909 | |
Equillium, Inc.(1) | | | 375 | | | | 765 | |
Esperion Therapeutics, Inc.(1) | | | 8 | | | | 53 | |
Evolent Health, Inc. - Class A(1) | | | 84 | | | | 2,575 | |
Evolus, Inc.(1) | | | 5 | | | | 55 | |
Evotec SE - ADR(1) | | | 587 | | | | 7,030 | |
Exact Sciences Corp.(1) | | | 113 | | | | 4,450 | |
Exelixis, Inc.(1) | | | 453 | | | | 9,434 | |
EyePoint Pharmaceuticals, Inc.(1) | | | 2 | | | | 12 | |
Fate Therapeutics, Inc.(1) | | | 179 | | | | 4,445 | |
FibroGen, Inc.(1) | | | 10 | | | | 107 | |
Figs, Inc. - Class A(1) | | | 14 | | | | 128 | |
Foghorn Therapeutics, Inc.(1) | | | 3 | | | | 35 | |
Galapagos NV - ADR(1) | | | 170 | | | | 9,472 | |
Genmab - ADR(1) | | | 374 | | | | 12,147 | |
Geron Corp.(1) | | | 33 | | | | 51 | |
Glaukos Corp.(1) | | | 6 | | | | 275 | |
Global Blood Therapeutics, Inc.(1) | | | 8 | | | | 265 | |
| | | | | | | | |
Globus Medical, Inc. - Class A(1) | | | 153 | | | | 8,566 | |
Gossamer Bio, Inc.(1) | | | 8 | | | | 69 | |
GreenLight Biosciences Holdings PBC(1) | | | 2 | | | | 4 | |
GTX, Inc.(1)(2)(4) | | | 0 | | | | 0 | |
Guardant Health, Inc.(1) | | | 9 | | | | 373 | |
Haemonetics Corp.(1) | | | 7 | | | | 436 | |
Halozyme Therapeutics, Inc.(1) | | | 679 | | | | 29,892 | |
Hanger, Inc.(1) | | | 5 | | | | 76 | |
Harmony Biosciences Holdings, Inc.(1) | | | 3 | | | | 165 | |
Health Catalyst, Inc.(1) | | | 148 | | | | 2,139 | |
HealthEquity, Inc.(1) | | | 262 | | | | 16,100 | |
HealthStream, Inc.(1) | | | 1 | | | | 11 | |
Heron Therapeutics, Inc.(1) | | | 13 | | | | 38 | |
Heska Corp.(1) | | | 38 | | | | 3,583 | |
HilleVax, Inc.(1) | | | 1 | | | | 6 | |
Hims & Hers Health, Inc.(1) | | | 13 | | | | 61 | |
Hologic, Inc.(1) | | | 100 | | | | 6,963 | |
Horizon Therapeutics Plc(1) | | | 99 | | | | 7,900 | |
Humacyte, Inc.(1) | | | 2 | | | | 7 | |
ICON Plc(1) | | | 57 | | | | 12,376 | |
ICU Medical, Inc.(1)(2) | | | 0 | | | | 58 | |
IDEXX Laboratories, Inc.(1) | | | 42 | | | | 14,683 | |
IGM Biosciences, Inc.(1) | | | 1 | | | | 18 | |
Illumina, Inc.(1) | | | 10 | | | | 1,905 | |
Imago Biosciences, Inc.(1) | | | 2 | | | | 28 | |
ImmunityBio, Inc.(1) | | | 8 | | | | 30 | |
ImmunoGen, Inc.(1) | | | 14 | | | | 62 | |
Inari Medical, Inc.(1) | | | 135 | | | | 9,165 | |
Incyte Corp.(1) | | | 15 | | | | 1,147 | |
Inhibrx, Inc.(1) | | | 4 | | | | 41 | |
Innovage Holding Corp.(1)(2) | | | 0 | | | | 2 | |
Innoviva, Inc.(1) | | | 8 | | | | 123 | |
Inogen, Inc.(1)(2) | | | 0 | | | | 5 | |
Insmed, Inc.(1) | | | 16 | | | | 315 | |
Inspire Medical Systems, Inc.(1) | | | 139 | | | | 25,358 | |
Insulet Corp.(1) | | | 28 | | | | 6,206 | |
Integra LifeSciences Holdings Corp.(1) | | | 396 | | | | 21,395 | |
Intellia Therapeutics, Inc.(1) | | | 7 | | | | 339 | |
Intercept Pharmaceuticals, Inc.(1) | | | 3 | | | | 45 | |
Intra-Cellular Therapies, Inc.(1) | | | 306 | | | | 17,479 | |
Ionis Pharmaceuticals, Inc.(1) | | | 12 | | | | 456 | |
IQVIA Holdings, Inc.(1) | | | 18 | | | | 3,910 | |
iRadimed Corp. | | | 1 | | | | 33 | |
iRhythm Technologies, Inc.(1) | | | 38 | | | | 4,144 | |
Ironwood Pharmaceuticals, Inc. - Class A(1) | | | 18 | | | | 208 | |
IVERIC bio, Inc.(1) | | | 16 | | | | 151 | |
Joint Corp.(1) | | | 2 | | | | 29 | |
Karuna Therapeutics, Inc.(1) | | | 38 | | | | 4,862 | |
Karyopharm Therapeutics, Inc.(1) | | | 10 | | | | 47 | |
Keros Therapeutics, Inc.(1) | | | 2 | | | | 57 | |
Kezar Life Sciences, Inc.(1) | | | 423 | | | | 3,498 | |
Kiniksa Pharmaceuticals Ltd. - Class A(1) | | | 4 | | | | 38 | |
Krystal Biotech, Inc.(1) | | | 1 | | | | 60 | |
Kura Oncology, Inc.(1) | | | 120 | | | | 2,201 | |
Lantheus Holdings, Inc.(1) | | | 9 | | | | 597 | |
LeMaitre Vascular, Inc. | | | 3 | | | | 119 | |
Lexicon Pharmaceuticals, Inc.(1) | | | 3 | | | | 6 | |
LHC Group, Inc.(1) | | | 4 | | | | 615 | |
LifeStance Health Group, Inc.(1) | | | 1 | | | | 3 | |
Ligand Pharmaceuticals, Inc.(1) | | | 49 | | | | 4,337 | |
Liquidia Corp.(1) | | | 4 | | | | 16 | |
LivaNova Plc(1) | | | 78 | | | | 4,845 | |
Madrigal Pharmaceuticals, Inc.(1) | | | 2 | | | | 118 | |
MannKind Corp.(1) | | | 3 | | | | 12 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 297 | | | | 8,449 | |
Masimo Corp.(1) | | | 100 | | | | 13,019 | |
Medpace Holdings, Inc.(1) | | | 81 | | | | 12,053 | |
| | | | | | | | |
MeiraGTx Holdings Plc(1)(2) | | | 0 | | | | 2 | |
Meridian Bioscience, Inc.(1) | | | 6 | | | | 175 | |
Merit Medical Systems, Inc.(1) | | | 6 | | | | 349 | |
Mesa Laboratories, Inc. | | | 52 | | | | 10,521 | |
Mettler-Toledo International, Inc.(1) | | | 2 | | | | 2,460 | |
Mirum Pharmaceuticals, Inc.(1) | | | 2 | | | | 40 | |
ModivCare, Inc.(1) | | | 1 | | | | 44 | |
Molina Healthcare, Inc.(1) | | | 4 | | | | 1,201 | |
Morphic Holding, Inc.(1) | | | 3 | | | | 66 | |
NanoString Technologies, Inc.(1) | | | 6 | | | | 73 | |
Nano-X Imaging Ltd.(1)(2) | | | 0 | | | | 5 | |
Natera, Inc.(1) | | | 8 | | | | 269 | |
National Research Corp. | | | 2 | | | | 72 | |
Natus Medical, Inc.(1) | | | 3 | | | | 82 | |
Neogen Corp.(1) | | | 154 | | | | 3,711 | |
Neurocrine Biosciences, Inc.(1) | | | 97 | | | | 9,457 | |
Nevro Corp.(1) | | | 87 | | | | 3,811 | |
NextGen Healthcare, Inc.(1) | | | 4 | | | | 62 | |
NGM Biopharmaceuticals, Inc.(1) | | | 3 | | | | 40 | |
Novavax, Inc.(1) | | | 7 | | | | 380 | |
Novocure Ltd.(1) | | | 10 | | | | 690 | |
Nutex Health, Inc.(1) | | | 5 | | | | 15 | |
NuVasive, Inc.(1) | | | 98 | | | | 4,799 | |
Ocugen, Inc.(1) | | | 29 | | | | 66 | |
Ocular Therapeutix, Inc.(1) | | | 11 | | | | 43 | |
Omnicell, Inc.(1) | | | 110 | | | | 12,533 | |
Oncology Institute, Inc.(1) | | | 2 | | | | 11 | |
Opthea Ltd. - ADR(1) | | | 160 | | | | 1,008 | |
OptimizeRx Corp.(1) | | | 2 | | | | 62 | |
Option Care Health, Inc.(1) | | | 182 | | | | 5,045 | |
Organogenesis Holdings, Inc. - Class A(1) | | | 9 | | | | 45 | |
OrthoPediatrics Corp.(1) | | | 2 | | | | 86 | |
Outlook Therapeutics, Inc.(1) | | | 17 | | | | 17 | |
Outset Medical, Inc.(1) | | | 6 | | | | 92 | |
Owens & Minor, Inc. | | | 1 | | | | 35 | |
Owlet, Inc.(1) | | | 3 | | | | 4 | |
P3 Health Partners, Inc.(1) | | | 2 | | | | 8 | |
Pacira BioSciences, Inc.(1) | | | 128 | | | | 7,446 | |
Paragon 28, Inc.(1) | | | 6 | | | | 95 | |
Patterson Companies, Inc. | | | 9 | | | | 270 | |
Pennant Group, Inc.(1) | | | 3 | | | | 43 | |
Penumbra, Inc.(1) | | | 3 | | | | 421 | |
PetIQ, Inc. - Class A(1) | | | 3 | | | | 49 | |
Phathom Pharmaceuticals, Inc.(1) | | | 3 | | | | 25 | |
Phibro Animal Health Corp. - Class A | | | 3 | | | | 52 | |
Phreesia, Inc.(1) | | | 3 | | | | 76 | |
Point Biopharma Global, Inc. - Class A(1) | | | 9 | | | | 61 | |
Praxis Precision Medicines, Inc.(1)(2) | | | 0 | | | | 1 | |
Precigen, Inc.(1) | | | 13 | | | | 17 | |
Prestige Consumer Healthcare, Inc.(1) | | | 142 | | | | 8,376 | |
Privia Health Group, Inc.(1) | | | 6 | | | | 163 | |
PROCEPT BioRobotics Corp.(1) | | | 3 | | | | 114 | |
Progyny, Inc.(1) | | | 10 | | | | 289 | |
Prometheus Biosciences, Inc.(1) | | | 4 | | | | 106 | |
Prothena Corp. Plc(1) | | | 5 | | | | 125 | |
Provention Bio, Inc.(1) | | | 6 | | | | 25 | |
PTC Therapeutics, Inc.(1) | | | 7 | | | | 278 | |
Pulmonx Corp.(1) | | | 5 | | | | 70 | |
Quanterix Corp.(1) | | | 1 | | | | 9 | |
R1 RCM, Inc.(1) | | | 18 | | | | 369 | |
Radius Health, Inc.(1) | | | 6 | | | | 64 | |
RadNet, Inc.(1) | | | 6 | | | | 110 | |
Rallybio Corp.(1) | | | 2 | | | | 14 | |
RAPT Therapeutics, Inc.(1) | | | 2 | | | | 43 | |
Reata Pharmaceuticals, Inc. - Class A(1) | | | 3 | | | | 92 | |
Recursion Pharmaceuticals, Inc. - Class A(1) | | | 2 | | | | 13 | |
Relay Therapeutics, Inc.(1) | | | 403 | | | | 6,745 | |
| | | | | | | | |
Relmada Therapeutics, Inc.(1) | | | 3 | | | | 50 | |
Repligen Corp.(1) | | | 257 | | | | 41,744 | |
ResMed, Inc. | | | 51 | | | | 10,743 | |
Revance Therapeutics, Inc.(1) | | | 9 | | | | 127 | |
REVOLUTION Medicines, Inc.(1) | | | 1 | | | | 23 | |
Rigel Pharmaceuticals, Inc.(1) | | | 26 | | | | 30 | |
RxSight, Inc.(1) | | | 3 | | | | 37 | |
Sangamo Therapeutics, Inc.(1) | | | 1 | | | | 6 | |
Sarepta Therapeutics, Inc.(1) | | | 8 | | | | 608 | |
Schrodinger, Inc.(1) | | | 73 | | | | 1,920 | |
Science 37 Holdings, Inc.(1) | | | 7 | | | | 15 | |
Seagen, Inc.(1) | | | 13 | | | | 2,301 | |
Select Medical Holdings Corp. | | | 12 | | | | 283 | |
Senseonics Holdings, Inc.(1) | | | 60 | | | | 61 | |
Seres Therapeutics, Inc.(1) | | | 9 | | | | 30 | |
Shockwave Medical, Inc.(1) | | | 111 | | | | 21,162 | |
SI-BONE, Inc.(1) | | | 4 | | | | 56 | |
Sierra Oncology, Inc.(1) | | | 2 | | | | 105 | |
SIGA Technologies, Inc. | | | 6 | | | | 71 | |
Sight Sciences, Inc.(1)(2) | | | 0 | | | | 2 | |
Silk Road Medical, Inc.(1) | | | 4 | | | | 163 | |
Simulations Plus, Inc. | | | 2 | | | | 105 | |
SomaLogic, Inc.(1) | | | 2 | | | | 11 | |
Sorrento Therapeutics, Inc.(1) | | | 8 | | | | 15 | |
Sotera Health Co.(1) | | | 9 | | | | 184 | |
SpringWorks Therapeutics, Inc.(1) | | | 383 | | | | 9,420 | |
STAAR Surgical Co.(1) | | | 6 | | | | 450 | |
STERIS Plc | | | 124 | | | | 25,563 | |
Supernus Pharmaceuticals, Inc.(1) | | | 177 | | | | 5,113 | |
Surgery Partners, Inc.(1) | | | 184 | | | | 5,316 | |
Surmodics, Inc.(1) | | | 2 | | | | 67 | |
Syndax Pharmaceuticals, Inc.(1) | | | 2 | | | | 29 | |
Syneos Health, Inc. - Class A(1) | | | 2 | | | | 121 | |
Tactile Systems Technology, Inc.(1) | | | 1 | | | | 7 | |
Tandem Diabetes Care, Inc.(1) | | | 280 | | | | 16,555 | |
Teladoc Health, Inc.(1) | | | 1 | | | | 48 | |
TG Therapeutics, Inc.(1) | | | 17 | | | | 74 | |
Theravance Biopharma, Inc.(1) | | | 7 | | | | 68 | |
TransMedics Group, Inc.(1) | | | 3 | | | | 109 | |
Travere Therapeutics, Inc. - Class Preferre(1) | | | 7 | | | | 174 | |
Treace Medical Concepts, Inc.(1) | | | 4 | | | | 61 | |
Tricida, Inc.(1) | | | 1 | | | | 8 | |
Turning Point Therapeutics, Inc.(1) | | | 1 | | | | 52 | |
Twist Bioscience Corp.(1) | | | 5 | | | | 183 | |
UFP Technologies, Inc.(1) | | | 1 | | | | 72 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 5 | | | | 295 | |
United Therapeutics Corp.(1) | | | 36 | | | | 8,368 | |
US Physical Therapy, Inc. | | | 2 | | | | 185 | |
Utah Medical Products, Inc.(2) | | | 0 | | | | 38 | |
Vaxart, Inc.(1) | | | 3 | | | | 12 | |
Vaxcyte, Inc.(1) | | | 7 | | | | 154 | |
Veeva Systems, Inc. - Class A(1) | | | 399 | | | | 79,039 | |
Ventyx Biosciences, Inc.(1) | | | 3 | | | | 35 | |
Vera Therapeutics, Inc. - Class A(1) | | | 2 | | | | 22 | |
Vericel Corp.(1) | | | 136 | | | | 3,431 | |
Verve Therapeutics, Inc.(1) | | | 1 | | | | 11 | |
Vicarious Surgical, Inc.(1) | | | 7 | | | | 21 | |
ViewRay, Inc.(1) | | | 17 | | | | 45 | |
Viridian Therapeutics, Inc.(1) | | | 2 | | | | 29 | |
VistaGen Therapeutics, Inc.(1) | | | 18 | | | | 16 | |
Waters Corp.(1) | | | 119 | | | | 39,297 | |
West Pharmaceutical Services, Inc. | | | 96 | | | | 29,038 | |
Xenon Pharmaceuticals, Inc.(1) | | | 464 | | | | 14,106 | |
Xeris Biopharma Holdings, Inc.(1) | | | 17 | | | | 26 | |
Y-mAbs Therapeutics, Inc.(1) | | | 5 | | | | 72 | |
Zentalis Pharmaceuticals, Inc.(1) | | | 5 | | | | 133 | |
Zynex, Inc. | | | 3 | | | | 22 | |
| | | | | | | | |
Total Healthcare | | | | 1,216,468 | |
| | | | | | | | |
| | | | | | | | |
Industrials – 15.50% | | | | | | | | |
AAON, Inc. | | | 142 | | | | 7,795 | |
AAR Corp.(1) | | | 88 | | | | 3,669 | |
ACV Auctions, Inc. - Class A(1) | | | 7 | | | | 47 | |
Advanced Drainage Systems, Inc. | | | 172 | | | | 15,493 | |
AECOM | | | 1 | | | | 51 | |
Aerojet Rocketdyne Holdings, Inc.(1) | | | 8 | | | | 323 | |
Aerovironment, Inc.(1) | | | 42 | | | | 3,426 | |
AGCO Corp. | | | 1 | | | | 77 | |
Air Transport Services Group, Inc.(1) | | | 3 | | | | 83 | |
Alamo Group, Inc. | | | 1 | | | | 133 | |
Albany International Corp. - Class A | | | 109 | | | | 8,610 | |
Allegiant Travel Co. - Class A(1) | | | 1 | | | | 106 | |
Allegion Plc | | | 7 | | | | 654 | |
Allied Motion Technologies, Inc. | | | 2 | | | | 34 | |
Allison Transmission Holdings, Inc. | | | 7 | | | | 280 | |
Alta Equipment Group, Inc.(1)(2) | | | 0 | | | | 4 | |
Altra Industrial Motion Corp. | | | 230 | | | | 8,099 | |
Ameresco, Inc. - Class A(1) | | | 89 | | | | 4,035 | |
American Woodmark Corp.(1)(2) | | | 0 | | | | 6 | |
AMETEK, Inc. | | | 329 | | | | 36,154 | |
AO Smith Corp. | | | 3 | | | | 158 | |
Apogee Enterprises, Inc. | | | 3 | | | | 113 | |
Applied Industrial Technologies, Inc. | | | 48 | | | | 4,641 | |
ArcBest Corp. | | | 1 | | | | 71 | |
Aris Water Solution, Inc. - Class A | | | 3 | | | | 55 | |
Armstrong World Industries, Inc. | | | 3 | | | | 194 | |
Array Technologies, Inc.(1) | | | 20 | | | | 215 | |
ASGN, Inc.(1) | | | 7 | | | | 600 | |
Atkore, Inc.(1) | | | 6 | | | | 474 | |
Atlas Technical Consultants, Inc.(1) | | | 2 | | | | 9 | |
Axon Enterprise, Inc.(1) | | | 104 | | | | 9,735 | |
AZEK Co., Inc. - Class A(1) | | | 127 | | | | 2,118 | |
Babcock & Wilcox Enterprises, Inc.(1) | | | 8 | | | | 46 | |
Barrett Business Services, Inc. | | | 1 | | | | 63 | |
Beacon Roofing Supply, Inc.(1) | | | 117 | | | | 6,004 | |
Berkshire Grey, Inc.(1) | | | 6 | | | | 9 | |
Blink Charging Co.(1) | | | 5 | | | | 79 | |
Bloom Energy Corp. - Class A(1) | | | 22 | | | | 355 | |
Blue Bird Corp.(1) | | | 2 | | | | 21 | |
Boise Cascade Co. | | | 1 | | | | 62 | |
Booz Allen Hamilton Holding Corp. - Class A | | | 13 | | | | 1,135 | |
Brady Corp. - Class A | | | 5 | | | | 228 | |
Brink’s Co. | | | 6 | | | | 371 | |
Brookfield Business Corp. - Class A | | | 3 | | | | 70 | |
BWX Technologies, Inc. | | | 3 | | | | 189 | |
CACI International, Inc. - Class A(1) | | | 43 | | | | 12,064 | |
Cadre Holdings, Inc. | | | 2 | | | | 42 | |
Carlisle Companies, Inc. | | | 88 | | | | 21,103 | |
Casella Waste Systems, Inc. - Class A(1) | | | 7 | | | | 473 | |
CBIZ, Inc.(1) | | | 7 | | | | 265 | |
CH Robinson Worldwide, Inc. | | | 3 | | | | 324 | |
ChargePoint Holdings, Inc.(1) | | | 19 | | | | 257 | |
Chart Industries, Inc.(1) | | | 215 | | | | 36,067 | |
Cimpress Plc(1) | | | 2 | | | | 91 | |
Cintas Corp. | | | 8 | | | | 2,919 | |
CIRCOR International, Inc.(1) | | | 1 | | | | 13 | |
CNH Industrial NV | | | 1,034 | | | | 11,988 | |
Comfort Systems USA, Inc. | | | 5 | | | | 391 | |
Construction Partners, Inc. - Class A(1) | | | 5 | | | | 109 | |
Copart, Inc.(1) | | | 20 | | | | 2,214 | |
Core & Main, Inc. - Class A(1) | | | 686 | | | | 15,301 | |
Cornerstone Building Brands, Inc.(1) | | | 7 | | | | 178 | |
CoStar Group, Inc.(1) | | | 400 | | | | 24,144 | |
CRA International, Inc. | | | 1 | | | | 83 | |
CSW Industrials, Inc. | | | 2 | | | | 205 | |
| | | | | | | | |
Curtiss-Wright Corp. | | | 96 | | | | 12,619 | |
Custom Truck One Source, Inc.(1) | | | 2 | | | | 14 | |
Daseke, Inc.(1) | | | 5 | | | | 34 | |
Delta Air Lines, Inc.(1) | | | 61 | | | | 1,776 | |
Distribution Solutions Group, Inc.(1) | | | 1 | | | | 30 | |
Donaldson Co., Inc. | | | 2 | | | | 103 | |
Douglas Dynamics, Inc. | | | 3 | | | | 90 | |
Driven Brands Holdings, Inc.(1)(2) | | | 0 | | | | 9 | |
Dycom Industries, Inc.(1) | | | 4 | | | | 355 | |
EMCOR Group, Inc. | | | 7 | | | | 687 | |
Energy Recovery, Inc.(1) | | | 8 | | | | 147 | |
Energy Vault Holdings, Inc.(1) | | | 3 | | | | 32 | |
Enerpac Tool Group Corp. - Class A | | | 8 | | | | 154 | |
EnerSys | | | 1 | | | | 39 | |
Enovix Corp.(1) | | | 15 | | | | 130 | |
Equifax, Inc. | | | 6 | | | | 1,063 | |
ESCO Technologies, Inc.(2) | | | 0 | | | | 25 | |
ESS Tech, Inc.(1) | | | 9 | | | | 26 | |
Evoqua Water Technologies Corp.(1) | | | 366 | | | | 11,910 | |
Expeditors International of Washington, Inc. | | | 5 | | | | 478 | |
Exponent, Inc. | | | 70 | | | | 6,380 | |
Fastenal Co. | | | 55 | | | | 2,745 | |
Federal Signal Corp. | | | 8 | | | | 281 | |
First Advantage Corp.(1) | | | 1 | | | | 8 | |
Fluence Energy, Inc. - Class A(1) | | | 5 | | | | 44 | |
Fluor Corp.(1) | | | 17 | | | | 419 | |
Forrester Research, Inc.(1) | | | 2 | | | | 79 | |
Fortive Corp. | | | 932 | | | | 50,689 | |
Fortune Brands Home & Security, Inc. | | | 4 | | | | 264 | |
Forward Air Corp. | | | 4 | | | | 329 | |
Franklin Covey Co.(1) | | | 2 | | | | 75 | |
Franklin Electric Co., Inc. | | | 6 | | | | 441 | |
Frontier Group Holdings, Inc.(1) | | | 5 | | | | 43 | |
FTC Solar, Inc.(1) | | | 5 | | | | 18 | |
FTI Consulting, Inc.(1) | | | 115 | | | | 20,729 | |
FuelCell Energy, Inc.(1) | | | 35 | | | | 130 | |
GATX Corp.(2) | | | 0 | | | | 27 | |
Generac Holdings, Inc.(1) | | | 250 | | | | 52,743 | |
Global Industrial Co. | | | 1 | | | | 43 | |
GMS, Inc.(1) | | | 6 | | | | 258 | |
Gorman-Rupp Co. | | | 1 | | | | 16 | |
Graco, Inc. | | | 329 | | | | 19,543 | |
GrafTech International Ltd. | | | 26 | | | | 182 | |
Great Lakes Dredge & Dock Corp.(1) | | | 2 | | | | 32 | |
Griffon Corp. | | | 3 | | | | 85 | |
GXO Logistics, Inc.(1) | | | 1 | | | | 49 | |
H&E Equipment Services, Inc. | | | 4 | | | | 121 | |
Healthcare Services Group, Inc. | | | 5 | | | | 83 | |
HEICO Corp. | | | 4 | | | | 535 | |
HEICO Corp. - Class A | | | 67 | | | | 7,091 | |
Heliogen, Inc.(1) | | | 2 | | | | 5 | |
Helios Technologies, Inc. | | | 4 | | | | 288 | |
Herc Holdings, Inc. | | | 3 | | | | 308 | |
Hillenbrand, Inc. | | | 5 | | | | 193 | |
HireRight Holdings Corp.(1) | | | 3 | | | | 40 | |
HNI Corp. | | | 6 | | | | 193 | |
Howmet Aerospace, Inc. | | | 4 | | | | 111 | |
Hudson Technologies, Inc.(1) | | | 5 | | | | 41 | |
Huntington Ingalls Industries, Inc. | | | 1 | | | | 179 | |
Huron Consulting Group, Inc.(1) | | | 2 | | | | 108 | |
Hyzon Motors, Inc.(1) | | | 11 | | | | 33 | |
IAA, Inc.(1) | | | 11 | | | | 345 | |
ICF International, Inc. | | | 2 | | | | 165 | |
IDEX Corp. | | | 153 | | | | 27,847 | |
IES Holdings, Inc.(1) | | | 1 | | | | 25 | |
Infrastructure & Energy Alternatives, Inc.(1) | | | 4 | | | | 32 | |
Ingersoll Rand, Inc. | | | 685 | | | | 28,812 | |
| | | | | | | | |
Insperity, Inc. | | | 5 | | | | 479 | |
Insteel Industries, Inc. | | | 3 | | | | 87 | |
Interface, Inc. - Class A | | | 6 | | | | 78 | |
Janus International Group, Inc.(1) | | | 11 | | | | 97 | |
JB Hunt Transport Services, Inc. | | | 28 | | | | 4,451 | |
JELD-WEN Holding, Inc.(1) | | | 4 | | | | 61 | |
Joby Aviation, Inc.(1) | | | 30 | | | | 145 | |
John Bean Technologies Corp. | | | 4 | | | | 463 | |
Kadant, Inc. | | | 2 | | | | 282 | |
Karat Packaging, Inc.(1) | | | 1 | | | | 14 | |
KBR, Inc. | | | 371 | | | | 17,960 | |
Kforce, Inc. | | | 3 | | | | 165 | |
Kirby Corp.(1) | | | 138 | | | | 8,413 | |
Korn Ferry | | | 7 | | | | 411 | |
Kornit Digital Ltd.(1) | | | 100 | | | | 3,161 | |
Kratos Defense & Security Solutions, Inc.(1) | | | 272 | | | | 3,770 | |
Landstar System, Inc. | | | 33 | | | | 4,799 | |
Legalzoom.com, Inc.(1) | | | 13 | | | | 144 | |
Li-Cycle Holdings Corp.(1) | | | 7 | | | | 45 | |
Lightning eMotors, Inc.(1) | | | 5 | | | | 14 | |
Lincoln Electric Holdings, Inc. | | | 5 | | | | 659 | |
Lindsay Corp. | | | 1 | | | | 192 | |
Luxfer Holdings Plc | | | 2 | | | | 27 | |
Lyft, Inc. - Class A(1) | | | 23 | | | | 309 | |
ManTech International Corp. - Class A | | | 2 | | | | 144 | |
Markforged Holding Corp.(1) | | | 2 | | | | 4 | |
Marten Transport Ltd. | | | 6 | | | | 99 | |
Masco Corp. | | | 1 | | | | 59 | |
Masonite International Corp.(1) | | | 3 | | | | 233 | |
McGrath RentCorp | | | 3 | | | | 244 | |
Mercury Systems, Inc.(1) | | | 43 | | | | 2,753 | |
Meritor, Inc.(1) | | | 9 | | | | 337 | |
Microvast Holdings, Inc.(1) | | | 13 | | | | 29 | |
Middleby Corp.(1)(2) | | | 0 | | | | 46 | |
Miller Industries, Inc.(2) | | | 0 | | | | 6 | |
Momentus, Inc.(1) | | | 2 | | | | 5 | |
Montrose Environmental Group, Inc.(1) | | | 4 | | | | 126 | |
Moog, Inc. - Class A | | | 1 | | | | 49 | |
MRC Global, Inc.(1) | | | 11 | | | | 108 | |
MSA Safety, Inc. | | | 1 | | | | 162 | |
MSC Industrial Direct Co., Inc. - Class A | | | 97 | | | | 7,314 | |
Mueller Industries, Inc. | | | 3 | | | | 136 | |
Mueller Water Products, Inc. - Class A | | | 21 | | | | 241 | |
MYR Group, Inc.(1) | | | 2 | | | | 199 | |
Nikola Corp.(1) | | | 39 | | | | 186 | |
Nordson Corp. | | | 121 | | | | 24,552 | |
Northwest Pipe Co.(1)(2) | | | 0 | | | | 8 | |
NV5 Global, Inc.(1) | | | 2 | | | | 211 | |
Old Dominion Freight Line, Inc. | | | 10 | | | | 2,498 | |
Omega Flex, Inc.(2) | | | 0 | | | | 48 | |
Otis Worldwide Corp. | | | 5 | | | | 344 | |
PAM Transportation Services, Inc.(1) | | | 1 | | | | 21 | |
Parker-Hannifin Corp. | | | 3 | | | | 686 | |
PGT Innovations, Inc.(1) | | | 8 | | | | 129 | |
Pitney Bowes, Inc. | | | 8 | | | | 30 | |
Planet Labs PBC(1) | | | 18 | | | | 76 | |
Plug Power, Inc.(1) | | | 24 | | | | 406 | |
Primoris Services Corp. | | | 199 | | | | 4,338 | |
Proterra, Inc.(1) | | | 14 | | | | 65 | |
Proto Labs, Inc.(1) | | | 1 | | | | 26 | |
Quanta Services, Inc. | | | 204 | | | | 25,519 | |
Radiant Logistics, Inc.(1) | | | 1 | | | | 10 | |
RBC Bearings, Inc.(1) | | | 112 | | | | 20,804 | |
Red Violet, Inc.(1) | | | 1 | | | | 23 | |
Republic Services, Inc. - Class A | | | 1 | | | | 165 | |
Robert Half International, Inc. | | | 9 | | | | 684 | |
Rocket Lab USA, Inc.(1) | | | 28 | | | | 105 | |
| | | | | | | | |
Rockwell Automation, Inc. | | | 151 | | | | 30,018 | |
Rollins, Inc. | | | 21 | | | | 720 | |
Saia, Inc.(1) | | | 4 | | | | 661 | |
Sarcos Technology & Robotics Corp.(1) | | | 10 | | | | 26 | |
Shoals Technologies Group, Inc. - Class A(1) | | | 162 | | | | 2,671 | |
Shyft Group, Inc. | | | 4 | | | | 83 | |
Simpson Manufacturing Co., Inc. | | | 103 | | | | 10,399 | |
SiteOne Landscape Supply, Inc.(1) | | | 53 | | | | 6,318 | |
SP Plus Corp.(1) | | | 3 | | | | 96 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 9 | | | | 274 | |
Stem, Inc.(1) | | | 18 | | | | 127 | |
Stericycle, Inc.(1) | | | 75 | | | | 3,284 | |
Sterling Check Corp.(1) | | | 3 | | | | 47 | |
Sterling Infrastructure, Inc.(1) | | | 3 | | | | 70 | |
Sun Country Airlines Holdings, Inc.(1) | | | 4 | | | | 79 | |
Tennant Co. | | | 1 | | | | 68 | |
Terex Corp. | | | 4 | | | | 120 | |
Tetra Tech, Inc. | | | 70 | | | | 9,537 | |
Textainer Group Holdings Ltd. | | | 1 | | | | 25 | |
Titan International, Inc.(1) | | | 7 | | | | 99 | |
Toro Co. | | | 328 | | | | 24,862 | |
TPI Composites, Inc.(1) | | | 5 | | | | 60 | |
Trane Technologies Plc | | | 13 | | | | 1,685 | |
Transcat, Inc.(1) | | | 1 | | | | 53 | |
TransDigm Group, Inc.(1) | | | 2 | | | | 1,045 | |
TransUnion | | | 14 | | | | 1,080 | |
Trex Co., Inc.(1) | | | 284 | | | | 15,436 | |
TriNet Group, Inc.(1) | | | 5 | | | | 387 | |
Trinity Industries, Inc. | | | 2 | | | | 41 | |
UFP Industries, Inc. | | | 7 | | | | 477 | |
UniFirst Corp. | | | 34 | | | | 5,934 | |
United Rentals, Inc.(1) | | | 3 | | | | 764 | |
Univar Solutions, Inc.(1) | | | 204 | | | | 5,062 | |
Universal Logistics Holdings, Inc. | | | 1 | | | | 20 | |
Upwork, Inc.(1) | | | 16 | | | | 328 | |
Valmont Industries, Inc.(2) | | | 0 | | | | 62 | |
Velo3D, Inc.(1) | | | 7 | | | | 10 | |
Verisk Analytics, Inc. - Class A | | | 194 | | | | 33,558 | |
Veritiv Corp.(1) | | | 2 | | | | 210 | |
Vertiv Holdings Co. - Class A | | | 5 | | | | 38 | |
Vicor Corp.(1) | | | 3 | | | | 161 | |
Virgin Galactic Holdings, Inc.(1) | | | 14 | | | | 85 | |
Wabash National Corp. | | | 6 | | | | 77 | |
Watsco, Inc. | | | 2 | | | | 401 | |
Watts Water Technologies, Inc. - Class A | | | 4 | | | | 446 | |
Welbilt, Inc.(1) | | | 17 | | | | 413 | |
Werner Enterprises, Inc. | | | 1 | | | | 44 | |
WESCO International, Inc.(1) | | | 2 | | | | 238 | |
Westinghouse Air Brake Technologies Corp. | | | 64 | | | | 5,289 | |
Willdan Group, Inc.(1)(2) | | | 0 | | | | 5 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 616 | | | | 19,980 | |
WW Grainger, Inc. | | | 4 | | | | 1,979 | |
Xos, Inc.(1) | | | 7 | | | | 12 | |
XPO Logistics, Inc.(1) | | | 1 | | | | 37 | |
Xylem, Inc. | | | 2 | | | | 190 | |
Zurn Water Solutions Corp. | | | 200 | | | | 5,459 | |
| | | | | | | | |
Total Industrials | | | | 826,357 | |
| | | | | | | | |
Information Technology – 22.55% | | | | | | | | |
8x8, Inc.(1) | | | 15 | | | | 75 | |
908 Devices, Inc.(1) | | | 1 | | | | 13 | |
A10 Networks, Inc. | | | 7 | | | | 103 | |
ACI Worldwide, Inc.(1) | | | 247 | | | | 6,401 | |
ACM Research, Inc. - Class A(1) | | | 1 | | | | 13 | |
ADTRAN, Inc. | | | 6 | | | | 106 | |
Advanced Energy Industries, Inc. | | | 151 | | | | 11,030 | |
Aeva Technologies, Inc.(1) | | | 1 | | | | 5 | |
AEye, Inc.(1) | | | 3 | | | | 6 | |
| | | | | | | | |
Agilysys, Inc.(1) | | | 3 | | | | 122 | |
Akamai Technologies, Inc.(1) | | | 247 | | | | 22,559 | |
Akoustis Technologies, Inc.(1) | | | 6 | | | | 23 | |
Alarm.com Holdings, Inc.(1) | | | 6 | | | | 390 | |
Alkami Technology, Inc.(1) | | | 5 | | | | 65 | |
Allegro MicroSystems, Inc.(1) | | | 5 | | | | 96 | |
Alpha & Omega Semiconductor Ltd.(1) | | | 2 | | | | 73 | |
Altair Engineering, Inc. - Class A(1) | | | 116 | | | | 6,094 | |
Alteryx, Inc. - Class A(1) | | | 6 | | | | 273 | |
Ambarella, Inc.(1) | | | 110 | | | | 7,197 | |
American Software, Inc. - Class A | | | 203 | | | | 3,284 | |
Amkor Technology, Inc. | | | 3 | | | | 45 | |
Amphenol Corp. - Class A | | | 42 | | | | 2,721 | |
Amplitude, Inc. - Class A(1) | | | 7 | | | | 104 | |
ANSYS, Inc.(1) | | | 19 | | | | 4,666 | |
Appfolio, Inc. - Class A(1) | | | 3 | | | | 231 | |
Appian Corp. - Class A(1) | | | 5 | | | | 251 | |
AppLovin Corp. - Class A(1) | | | 22 | | | | 742 | |
Arista Networks, Inc.(1) | | | 251 | | | | 23,536 | |
Arlo Technologies, Inc.(1) | | | 11 | | | | 69 | |
Arrow Electronics, Inc.(1)(2) | | | 0 | | | | 35 | |
Arteris, Inc.(1) | | | 2 | | | | 15 | |
Asana, Inc. - Class A(1) | | | 410 | | | | 7,205 | |
Aspen Technology, Inc.(1) | | | 19 | | | | 3,494 | |
Atlassian Corp. Plc - Class A(1) | | | 212 | | | | 39,757 | |
Atomera, Inc.(1) | | | 3 | | | | 24 | |
Avalara, Inc.(1) | | | 104 | | | | 7,322 | |
Avaya Holdings Corp.(1) | | | 244 | | | | 547 | |
AvePoint, Inc.(1) | | | 17 | | | | 73 | |
Avid Technology, Inc.(1) | | | 3 | | | | 76 | |
AvidXchange Holdings, Inc.(1) | | | 17 | | | | 105 | |
Axcelis Technologies, Inc.(1) | | | 103 | | | | 5,635 | |
Badger Meter, Inc. | | | 4 | | | | 311 | |
Belden, Inc. | | | 3 | | | | 165 | |
Benefitfocus, Inc.(1) | | | 3 | | | | 20 | |
Bentley Systems, Inc. - Class B | | | 16 | | | | 540 | |
BigCommerce Holdings, Inc.(1) | | | 9 | | | | 140 | |
Bill.com Holdings, Inc.(1) | | | 199 | | | | 21,884 | |
Black Knight, Inc.(1) | | | 1 | | | | 89 | |
Blackbaud, Inc.(1) | | | 6 | | | | 340 | |
Blackline, Inc.(1) | | | 7 | | | | 488 | |
Box, Inc. - Class A(1) | | | 299 | | | | 7,510 | |
Braze, Inc. - Class A(1) | | | 141 | | | | 5,093 | |
Brightcove, Inc.(1) | | | 4 | | | | 24 | |
Broadridge Financial Solutions, Inc. | | | 10 | | | | 1,445 | |
BTRS Holdings, Inc. - Class 1(1) | | | 14 | | | | 69 | |
C3.ai, Inc. - Class A(1) | | | 2 | | | | 30 | |
Cadence Design Systems, Inc.(1) | | | 107 | | | | 16,066 | |
Calix, Inc.(1) | | | 150 | | | | 5,122 | |
Cambium Networks Corp.(1) | | | 2 | | | | 23 | |
Cantaloupe, Inc.(1) | | | 5 | | | | 27 | |
Casa Systems, Inc.(1) | | | 5 | | | | 19 | |
Cass Information Systems, Inc.(2) | | | 0 | | | | 11 | |
CCC Intelligent Solutions Holdings, Inc.(1) | | | 6 | | | | 56 | |
CDK Global, Inc. | | | 9 | | | | 502 | |
CDW Corp. | | | 13 | | | | 2,039 | |
Cerberus Cyber Sentinel Corp.(1) | | | 7 | | | | 24 | |
Ceridian HCM Holding, Inc.(1) | | | 64 | | | | 3,024 | |
CEVA, Inc.(1) | | | 3 | | | | 103 | |
Ciena Corp.(1) | | | 100 | | | | 4,579 | |
Citrix Systems, Inc. | | | 6 | | | | 555 | |
Clear Secure, Inc. - Class A(1) | | | 8 | | | | 166 | |
Clearfield, Inc.(1) | | | 2 | | | | 98 | |
Cloudflare, Inc. - Class A(1) | | | 27 | | | | 1,170 | |
CMC Materials, Inc. | | | 4 | | | | 658 | |
Cognex Corp. | | | 111 | | | | 4,735 | |
Coherent, Inc.(1) | | | 2 | | | | 568 | |
| | | | | | | | |
CommScope Holding Co., Inc.(1) | | | 27 | | | | 164 | |
CommVault Systems, Inc.(1) | | | 6 | | | | 368 | |
CompoSecure, Inc.(1) | | | 1 | | | | 6 | |
Confluent, Inc. - Class A(1) | | | 12 | | | | 273 | |
Consensus Cloud Solutions, Inc.(1) | | | 1 | | | | 45 | |
Core Scientific, Inc.(1) | | | 2 | | | | 3 | |
Corning, Inc. | | | 4 | | | | 135 | |
Corsair Gaming, Inc.(1) | | | 3 | | | | 39 | |
Couchbase, Inc.(1) | | | 3 | | | | 56 | |
Coupa Software, Inc.(1) | | | 31 | | | | 1,796 | |
Credo Technology Group Holding Ltd.(1) | | | 3 | | | | 35 | |
Crowdstrike Holdings, Inc. - Class A(1) | | | 20 | | | | 3,390 | |
CS Disco, Inc.(1) | | | 3 | | | | 52 | |
CSG Systems International, Inc. | | | 4 | | | | 249 | |
CTS Corp. | | | 4 | | | | 148 | |
CyberArk Software Ltd.(1) | | | 119 | | | | 15,245 | |
CyberOptics Corp.(1) | | | 1 | | | | 32 | |
Cyxtera Technologies, Inc.(1) | | | 6 | | | | 63 | |
Datadog, Inc. - Class A(1) | | | 202 | | | | 19,253 | |
Dell Technologies, Inc. - Class C | | | 4 | | | | 179 | |
Diebold Nixdorf, Inc.(1) | | | 8 | | | | 18 | |
Digi International, Inc.(1) | | | 2 | | | | 37 | |
Digimarc Corp.(1) | | | 2 | | | | 22 | |
Digital Turbine, Inc.(1) | | | 12 | | | | 215 | |
DigitalOcean Holdings, Inc.(1) | | | 417 | | | | 17,231 | |
Diodes, Inc.(1) | | | 4 | | | | 272 | |
Dlocal Ltd. - Class A(1) | | | 180 | | | | 4,725 | |
DocuSign, Inc. - Class A(1) | | | 19 | | | | 1,085 | |
Domo, Inc. - Class B(1) | | | 4 | | | | 115 | |
DoubleVerify Holdings, Inc.(1) | | | 5 | | | | 119 | |
Dropbox, Inc. - Class A(1) | | | 25 | | | | 521 | |
Duck Creek Technologies, Inc.(1) | | | 393 | | | | 5,842 | |
Dynatrace, Inc.(1) | | | 19 | | | | 752 | |
DZS, Inc.(1) | | | 2 | | | | 37 | |
E2open Parent Holdings, Inc.(1) | | | 331 | | | | 2,572 | |
Ebix, Inc. | | | 1 | | | | 12 | |
Edgio, Inc.(1) | | | 16 | | | | 38 | |
eGain Corp.(1) | | | 2 | | | | 15 | |
Elastic NV(1) | | | 7 | | | | 498 | |
Endava Plc - ADR(1) | | | 192 | | | | 16,976 | |
Enfusion, Inc. - Class A(1) | | | 3 | | | | 34 | |
EngageSmart, Inc.(1) | | | 5 | | | | 77 | |
Enphase Energy, Inc.(1) | | | 82 | | | | 15,994 | |
Entegris, Inc. | | | 197 | | | | 18,158 | |
Envestnet, Inc.(1) | | | 130 | | | | 6,837 | |
EPAM Systems, Inc.(1) | | | 5 | | | | 1,547 | |
ePlus, Inc.(1) | | | 3 | | | | 141 | |
Euronet Worldwide, Inc.(1) | | | 3 | | | | 346 | |
Everbridge, Inc.(1) | | | 5 | | | | 148 | |
EverCommerce, Inc.(1) | | | 1 | | | | 5 | |
EVERTEC, Inc. | | | 8 | | | | 291 | |
Evo Payments, Inc. - Class A(1) | | | 84 | | | | 1,978 | |
ExlService Holdings, Inc.(1) | | | 84 | | | | 12,357 | |
Extreme Networks, Inc.(1) | | | 17 | | | | 155 | |
Fabrinet(1) | | | 5 | | | | 397 | |
Fair Isaac Corp.(1) | | | 2 | | | | 967 | |
FARO Technologies, Inc.(1)(2) | | | 0 | | | | 7 | |
Five9, Inc.(1) | | | 284 | | | | 25,841 | |
FleetCor Technologies, Inc.(1) | | | 7 | | | | 1,514 | |
Flywire Corp.(1) | | | 152 | | | | 2,687 | |
Focus Universal, Inc.(1) | | | 2 | | | | 26 | |
ForgeRock, Inc. - Class A(1) | | | 3 | | | | 56 | |
FormFactor, Inc.(1) | | | 10 | | | | 402 | |
Fortinet, Inc.(1) | | | 196 | | | | 11,116 | |
Gartner, Inc.(1) | | | 7 | | | | 1,809 | |
Genpact Ltd. | | | 9 | | | | 391 | |
Gitlab, Inc. - Class A(1) | | | 178 | | | | 9,476 | |
| | | | | | | | |
Global Payments, Inc. | | | 369 | | | | 40,811 | |
GLOBALFOUNDRIES, Inc.(1) | | | 1 | | | | 58 | |
Globant SA(1) | | | 48 | | | | 8,328 | |
GoDaddy, Inc. - Class A(1) | | | 2 | | | | 147 | |
Grid Dynamics Holdings, Inc.(1) | | | 6 | | | | 106 | |
Guidewire Software, Inc.(1) | | | 54 | | | | 3,861 | |
Hackett Group, Inc. | | | 3 | | | | 60 | |
Harmonic, Inc.(1) | | | 12 | | | | 105 | |
HP, Inc. | | | 46 | | | | 1,516 | |
HubSpot, Inc.(1) | | | 141 | | | | 42,411 | |
I3 Verticals, Inc. - Class A(1) | | | 3 | | | | 73 | |
IBEX Holdings Ltd.(1) | | | 1 | | | | 12 | |
Identiv, Inc.(1) | | | 3 | | | | 34 | |
Impinj, Inc.(1) | | | 93 | | | | 5,483 | |
indie Semiconductor, Inc. - Class A(1) | | | 14 | | | | 78 | |
Infinera Corp.(1) | | | 25 | | | | 135 | |
Informatica, Inc. - Class A(1) | | | 1 | | | | 13 | |
Information Services Group, Inc. | | | 2 | | | | 15 | |
Inseego Corp.(1) | | | 2 | | | | 4 | |
Insight Enterprises, Inc.(1) | | | 4 | | | | 305 | |
Instructure Holdings, Inc.(1)(2) | | | 0 | | | | 7 | |
Intapp, Inc.(1) | | | 2 | | | | 28 | |
InterDigital, Inc. | | | 2 | | | | 93 | |
International Money Express, Inc.(1) | | | 4 | | | | 88 | |
IonQ, Inc.(1) | | | 2 | | | | 8 | |
IronNet, Inc.(1) | | | 8 | | | | 18 | |
Itron, Inc.(1) | | | 1 | | | | 26 | |
Jabil, Inc. | | | 11 | | | | 548 | |
Jack Henry & Associates, Inc. | | | 7 | | | | 1,251 | |
Jamf Holding Corp.(1) | | | 235 | | | | 5,831 | |
Keysight Technologies, Inc.(1) | | | 16 | | | | 2,213 | |
KnowBe4, Inc. - Class A(1) | | | 10 | | | | 152 | |
Kulicke & Soffa Industries, Inc. | | | 8 | | | | 329 | |
Lattice Semiconductor Corp.(1) | | | 720 | | | | 34,921 | |
Lightwave Logic, Inc.(1) | | | 14 | | | | 94 | |
Littelfuse, Inc. | | | 19 | | | | 4,903 | |
LivePerson, Inc.(1) | | | 10 | | | | 135 | |
MACOM Technology Solutions Holdings, Inc.(1) | | | 282 | | | | 13,012 | |
Manhattan Associates, Inc.(1) | | | 107 | | | | 12,282 | |
Marqeta, Inc. - Class A(1) | | | 322 | | | | 2,613 | |
Matterport, Inc.(1) | | | 20 | | | | 75 | |
MAXIMUS, Inc. | | | 8 | | | | 476 | |
MaxLinear, Inc. - Class A(1) | | | 10 | | | | 324 | |
MeridianLink, Inc.(1) | | | 3 | | | | 50 | |
Microchip Technology, Inc. | | | 137 | | | | 7,964 | |
MicroStrategy, Inc. - Class A(1) | | | 1 | | | | 119 | |
MicroVision, Inc.(1) | | | 21 | | | | 82 | |
Mitek Systems, Inc.(1) | | | 5 | | | | 49 | |
Model N, Inc.(1) | | | 5 | | | | 122 | |
Momentive Global, Inc.(1) | | | 18 | | | | 157 | |
Monday.com Ltd.(1) | | | 58 | | | | 5,971 | |
MongoDB, Inc. - Class A(1) | | | 57 | | | | 14,694 | |
Monolithic Power Systems, Inc. | | | 47 | | | | 18,198 | |
N-able, Inc.(1) | | | 8 | | | | 70 | |
Napco Security Technologies, Inc.(1) | | | 4 | | | | 78 | |
National Instruments Corp. | | | 281 | | | | 8,787 | |
nCino, Inc.(1) | | | 140 | | | | 4,341 | |
NCR Corp.(1) | | | 1 | | | | 20 | |
NeoPhotonics Corp.(1) | | | 7 | | | | 108 | |
NetApp, Inc. | | | 21 | | | | 1,389 | |
New Relic, Inc.(1) | | | 5 | | | | 245 | |
NextNav, Inc.(1) | | | 6 | | | | 14 | |
NortonLifeLock, Inc. | | | 19 | | | | 420 | |
Novanta, Inc.(1) | | | 5 | | | | 572 | |
Nutanix, Inc. - Class A(1) | | | 664 | | | | 9,721 | |
Okta, Inc. - Class A(1) | | | 168 | | | | 15,152 | |
ON Semiconductor Corp.(1) | | | 596 | | | | 30,000 | |
| | | | | | | | |
Ondas Holdings, Inc.(1) | | | 4 | | | | 23 | |
OneSpan, Inc.(1) | | | 2 | | | | 25 | |
Onto Innovation, Inc.(1) | | | 157 | | | | 10,935 | |
OSI Systems, Inc.(1)(2) | | | 0 | | | | 18 | |
PagerDuty, Inc.(1) | | | 11 | | | | 282 | |
Palantir Technologies, Inc. - Class A(1) | | | 1,037 | | | | 9,406 | |
Palo Alto Networks, Inc.(1) | | | 70 | | | | 34,494 | |
PAR Technology Corp.(1) | | | 1 | | | | 49 | |
Paya Holdings, Inc. - Class A(1) | | | 337 | | | | 2,211 | |
Paychex, Inc. | | | 31 | | | | 3,515 | |
Paycom Software, Inc.(1) | | | 5 | | | | 1,371 | |
Paylocity Holding Corp.(1) | | | 92 | | | | 16,034 | |
Paymentus Holdings, Inc. - Class A(1) | | | 136 | | | | 1,821 | |
Payoneer Global, Inc.(1) | | | 28 | | | | 110 | |
PDF Solutions, Inc.(1) | | | 4 | | | | 84 | |
Pegasystems, Inc. | | | 4 | | | | 186 | |
Perficient, Inc.(1) | | | 5 | | | | 417 | |
Photronics, Inc.(1) | | | 6 | | | | 111 | |
Plantronics, Inc.(1) | | | 6 | | | | 223 | |
Plexus Corp.(1) | | | 3 | | | | 244 | |
Power Integrations, Inc. | | | 81 | | | | 6,066 | |
Priority Technology Holdings, Inc.(1) | | | 2 | | | | 7 | |
Procore Technologies, Inc.(1) | | | 5 | | | | 217 | |
Progress Software Corp. | | | 6 | | | | 265 | |
PROS Holdings, Inc.(1) | | | 115 | | | | 3,012 | |
PTC, Inc.(1) | | | 67 | | | | 7,176 | |
Pure Storage, Inc. - Class A(1) | | | 958 | | | | 24,637 | |
Q2 Holdings, Inc.(1) | | | 103 | | | | 3,956 | |
Qualys, Inc.(1) | | | 90 | | | | 11,409 | |
Rambus, Inc.(1) | | | 12 | | | | 267 | |
Rapid7, Inc.(1) | | | 76 | | | | 5,085 | |
Remitly Global, Inc.(1) | | | 11 | | | | 84 | |
Rimini Street, Inc.(1) | | | 6 | | | | 38 | |
RingCentral, Inc. - Class A(1) | | | 33 | | | | 1,725 | |
Rockley Photonics Holdings Ltd.(1) | | | 13 | | | | 29 | |
Rogers Corp.(1) | | | 2 | | | | 650 | |
Sabre Corp.(1) | | | 9 | | | | 52 | |
Sailpoint Technologies Holdings, Inc.(1) | | | 12 | | | | 772 | |
Sapiens International Corp. NV | | | 3 | | | | 73 | |
Semtech Corp.(1) | | | 119 | | | | 6,528 | |
SentinelOne, Inc. - Class A(1) | | | 11 | | | | 266 | |
Shift4 Payments, Inc. - Class A(1) | | | 5 | | | | 165 | |
ShotSpotter, Inc.(1) | | | 1 | | | | 32 | |
Silicon Laboratories, Inc.(1) | | | 126 | | | | 17,734 | |
SiTime Corp.(1) | | | 15 | | | | 2,447 | |
SkyWater Technology, Inc.(1) | | | 1 | | | | 8 | |
SMART Global Holdings, Inc.(1) | | | 7 | | | | 110 | |
SmartRent, Inc. - Class A(1) | | | 16 | | | | 70 | |
Smartsheet, Inc. - Class A(1) | | | 119 | | | | 3,738 | |
Splunk, Inc.(1) | | | 15 | | | | 1,362 | |
Sprout Social, Inc. - Class A(1) | | | 176 | | | | 10,197 | |
SPS Commerce, Inc.(1) | | | 116 | | | | 13,137 | |
Squarespace, Inc. - Class A(1) | | | 1 | | | | 21 | |
StoneCo Ltd. - Class A(1) | | | 19 | | | | 144 | |
Sumo Logic, Inc.(1) | | | 7 | | | | 55 | |
SunPower Corp. - Class A(1) | | | 11 | | | | 172 | |
Super Micro Computer, Inc.(1) | | | 6 | | | | 244 | |
Switch, Inc. - Class A | | | 8 | | | | 272 | |
Synaptics, Inc.(1) | | | 5 | | | | 620 | |
Synopsys, Inc.(1) | | | 170 | | | | 51,572 | |
Teledyne Technologies, Inc.(1) | | | 54 | | | | 20,110 | |
Telos Corp.(1) | | | 309 | | | | 2,495 | |
Tenable Holdings, Inc.(1) | | | 335 | | | | 15,204 | |
Teradata Corp.(1) | | | 5 | | | | 199 | |
Teradyne, Inc. | | | 14 | | | | 1,243 | |
Thoughtworks Holding, Inc.(1) | | | 8 | | | | 112 | |
Toast, Inc. - Class A(1) | | | 175 | | | | 2,267 | |
| | | | | | | | |
Trade Desk, Inc. - Class A(1) | | | 42 | | | | 1,758 | |
Transphorm, Inc.(1) | | | 3 | | | | 10 | |
Trimble, Inc.(1) | | | 246 | | | | 14,330 | |
TTEC Holdings, Inc. | | | 2 | | | | 168 | |
Tucows, Inc. - Class A(1) | | | 1 | | | | 60 | |
Turtle Beach Corp.(1) | | | 2 | | | | 23 | |
Twilio, Inc. - Class A(1) | | | 6 | | | | 521 | |
Tyler Technologies, Inc.(1) | | | 62 | | | | 20,613 | |
Ubiquiti, Inc.(2) | | | 0 | | | | 41 | |
UiPath, Inc. - Class A(1) | | | 3 | | | | 59 | |
Ultra Clean Holdings, Inc.(1) | | | 2 | | | | 61 | |
Unisys Corp.(1) | | | 7 | | | | 78 | |
Unity Software, Inc.(1) | | | 57 | | | | 2,087 | |
Universal Display Corp. | | | 4 | | | | 416 | |
UserTesting, Inc.(1) | | | 6 | | | | 31 | |
Varonis Systems, Inc. - Class B(1) | | | 386 | | | | 11,323 | |
Veeco Instruments, Inc.(1) | | | 5 | | | | 103 | |
Verint Systems, Inc.(1) | | | 8 | | | | 327 | |
VeriSign, Inc.(1) | | | 1 | | | | 161 | |
Veritone, Inc.(1) | | | 4 | | | | 26 | |
Verra Mobility Corp. - Class A(1) | | | 19 | | | | 300 | |
Viant Technology, Inc. - Class A(1) | | | 2 | | | | 8 | |
Viavi Solutions, Inc.(1) | | | 30 | | | | 398 | |
Vonage Holdings Corp.(1) | | | 34 | | | | 641 | |
Vontier Corp. | | | 9 | | | | 217 | |
Weave Communications, Inc.(1)(2) | | | 0 | | | | 1 | |
Western Union Co. | | | 12 | | | | 201 | |
WEX, Inc.(1) | | | 45 | | | | 6,984 | |
Wix.com Ltd.(1) | | | 4 | | | | 260 | |
WM Technology, Inc.(1) | | | 9 | | | | 28 | |
WNS Holdings Ltd. - ADR(1) | | | 140 | | | | 10,415 | |
Wolfspeed, Inc.(1) | | | 81 | | | | 5,169 | |
Workday, Inc. - Class A(1) | | | 163 | | | | 22,752 | |
Workiva, Inc. - Class A(1) | | | 6 | | | | 419 | |
Yext, Inc.(1) | | | 16 | | | | 76 | |
Zebra Technologies Corp. - Class A(1) | | | 2 | | | | 599 | |
Zendesk, Inc.(1) | | | 157 | | | | 11,603 | |
Zeta Global Holdings Corp. - Class A(1) | | | 4 | | | | 18 | |
Zoom Video Communications, Inc. - Class A(1) | | | 12 | | | | 1,314 | |
Zscaler, Inc.(1) | | | 349 | | | | 52,248 | |
Zuora, Inc. - Class A(1) | | | 16 | | | | 140 | |
| | | | | | | | |
Total Information Technology | | | | 1,202,559 | |
| | | | | | | | |
Materials – 3.13% | | | | | | | | |
5E Advanced Materials, Inc.(1) | | | 4 | | | | 51 | |
AdvanSix, Inc. | | | 1 | | | | 44 | |
Albemarle Corp. | | | 95 | | | | 19,914 | |
Allegheny Technologies, Inc.(1) | | | 431 | | | | 9,795 | |
Alpha Metallurgical Resources, Inc. | | | 2 | | | | 305 | |
American Vanguard Corp. | | | 3 | | | | 74 | |
Amyris, Inc.(1) | | | 3 | | | | 6 | |
AptarGroup, Inc. | | | 212 | | | | 21,881 | |
Ardagh Metal Packaging SA | | | 4 | | | | 27 | |
Aspen Aerogels, Inc.(1) | | | 3 | | | | 33 | |
Avery Dennison Corp. | | | 5 | | | | 771 | |
Avient Corp. | | | 117 | | | | 4,681 | |
Axalta Coating Systems Ltd.(1) | | | 5 | | | | 112 | |
Balchem Corp. | | | 36 | | | | 4,664 | |
Ball Corp. | | | 107 | | | | 7,385 | |
Berry Global Group, Inc.(1) | | | 97 | | | | 5,277 | |
Cabot Corp. | | | 7 | | | | 470 | |
Century Aluminum Co.(1) | | | 7 | | | | 50 | |
CF Industries Holdings, Inc. | | | 106 | | | | 9,123 | |
Chase Corp. | | | 57 | | | | 4,450 | |
Chemours Co. | | | 9 | | | | 287 | |
Commercial Metals Co. | | | 3 | | | | 85 | |
Compass Minerals International, Inc. | | | 5 | | | | 160 | |
Constellium SE - Class A(1) | | | 9 | | | | 116 | |
| | | | | | | | |
Crown Holdings, Inc. | | | 10 | | | | 917 | |
Cryptyde, Inc.(1) | | | 1 | | | | 3 | |
Dakota Gold Corp.(1) | | | 7 | | | | 22 | |
Diversey Holdings Ltd.(1) | | | 10 | | | | 68 | |
Eagle Materials, Inc. | | | 3 | | | | 347 | |
FMC Corp. | | | 4 | | | | 437 | |
GCP Applied Technologies, Inc.(1) | | | 6 | | | | 191 | |
Ginkgo Bioworks Holdings, Inc.(1) | | | 16 | | | | 37 | |
Graphic Packaging Holding Co. | | | 472 | | | | 9,684 | |
Greif, Inc. - Class A(2) | | | 0 | | | | 25 | |
Greif, Inc. - Class B(2) | | | 0 | | | | 10 | |
Hawkins, Inc. | | | 2 | | | | 57 | |
HB Fuller Co. | | | 6 | | | | 361 | |
Hycroft Mining Holding Corp.(1) | | | 16 | | | | 18 | |
Ingevity Corp.(1) | | | 100 | | | | 6,313 | |
Innospec, Inc. | | | 93 | | | | 8,943 | |
Kaiser Aluminum Corp. | | | 2 | | | | 165 | |
Kronos Worldwide, Inc. | | | 3 | | | | 52 | |
Livent Corp.(1) | | | 21 | | | | 487 | |
Louisiana-Pacific Corp. | | | 1 | | | | 42 | |
LSB Industries, Inc.(1) | | | 4 | | | | 56 | |
Martin Marietta Materials, Inc. | | | 1 | | | | 156 | |
Materion Corp. | | | 3 | | | | 186 | |
Mosaic Co. | | | 4 | | | | 199 | |
MP Materials Corp.(1) | | | 448 | | | | 14,357 | |
Myers Industries, Inc. | | | 5 | | | | 112 | |
Neenah, Inc.(2) | | | 0 | | | | 15 | |
Novagold Resources, Inc.(1) | | | 31 | | | | 148 | |
O-I Glass, Inc.(1) | | | 16 | | | | 230 | |
Origin Materials, Inc.(1) | | | 8 | | | | 43 | |
Orion Engineered Carbons SA | | | 8 | | | | 124 | |
Packaging Corp. of America | | | 94 | | | | 12,895 | |
Piedmont Lithium, Inc.(1) | | | 1 | | | | 22 | |
PPG Industries, Inc. | | | 12 | | | | 1,369 | |
PureCycle Technologies, Inc.(1) | | | 11 | | | | 81 | |
Quaker Chemical Corp. | | | 1 | | | | 175 | |
Ramaco Resources, Inc. | | | 3 | | | | 39 | |
Royal Gold, Inc.(2) | | | 0 | | | | 43 | |
RPM International, Inc. | | | 1 | | | | 55 | |
Ryerson Holding Corp.(2) | | | 0 | | | | 1 | |
Schnitzer Steel Industries, Inc. - Class A(2) | | | 0 | | | | 12 | |
Scotts Miracle-Gro Co. | | | 1 | | | | 104 | |
Sealed Air Corp. | | | 160 | | | | 9,237 | |
Sensient Technologies Corp. | | | 5 | | | | 419 | |
Silgan Holdings, Inc. | | | 52 | | | | 2,147 | |
Stepan Co.(2) | | | 0 | | | | 28 | |
Summit Materials, Inc. - Class A(1) | | | 227 | | | | 5,291 | |
Sylvamo Corp. | | | 5 | | | | 148 | |
United States Lime & Minerals, Inc.(2) | | | 0 | | | | 27 | |
Valvoline, Inc. | | | 17 | | | | 495 | |
Vulcan Materials Co. | | | 6 | | | | 879 | |
Warrior Met Coal, Inc. | | | 1 | | | | 25 | |
| | | | | | | | |
Total Materials | | | | 167,058 | |
| | | | | | | | |
Real Estate – 1.02% | | | | | | | | |
Agree Realty Corp. | | | 82 | | | | 5,888 | |
Alexander’s, Inc.(2) | | | 0 | | | | 62 | |
Apartment Income REIT Corp. | | | 1 | | | | 49 | |
Bluerock Residential Growth REIT, Inc. - Class A | | | 1 | | | | 34 | |
Camden Property Trust | | | 1 | | | | 110 | |
CareTrust REIT, Inc. | | | 1 | | | | 18 | |
CatchMark Timber Trust, Inc. - Class A | | | 4 | | | | 43 | |
CBL & Associates Properties, Inc.(1) | | | 1 | | | | 17 | |
CBRE Group, Inc. - Class A(1) | | | 15 | | | | 1,135 | |
Clipper Realty, Inc. | | | 2 | | | | 16 | |
Community Healthcare Trust, Inc. | | | 2 | | | | 71 | |
Compass, Inc. - Class A(1) | | | 34 | | | | 122 | |
Corporate Office Properties Trust | | | 143 | | | | 3,752 | |
| | | | | | | | |
Cushman & Wakefield Plc(1) | | | 21 | | | | 316 | |
DigitalBridge Group, Inc.(1) | | | 69 | | | | 338 | |
Douglas Elliman, Inc. | | | 1 | | | | 7 | |
Easterly Government Properties, Inc. - Class A | | | 218 | | | | 4,153 | |
Equity LifeStyle Properties, Inc. | | | 10 | | | | 737 | |
Essential Properties Realty Trust, Inc. | | | 2 | | | | 38 | |
eXp World Holdings, Inc. | | | 9 | | | | 104 | |
Extra Space Storage, Inc. | | | 1 | | | | 254 | |
FirstService Corp. | | | 64 | | | | 7,721 | |
Forestar Group, Inc.(1) | | | 1 | | | | 11 | |
Four Corners Property Trust, Inc. | | | 1 | | | | 26 | |
Gladstone Commercial Corp. | | | 5 | | | | 93 | |
Gladstone Land Corp. | | | 2 | | | | 51 | |
Hersha Hospitality Trust - Class A(1) | | | 1 | | | | 5 | |
Industrial Logistics Properties Trust | | | 1 | | | | 8 | |
Innovative Industrial Properties, Inc. - Class A | | | 4 | | | | 407 | |
Iron Mountain, Inc. | | | 21 | | | | 1,009 | |
Lamar Advertising Co. - Class A | | | 7 | | | | 637 | |
Marcus & Millichap, Inc. | | | 3 | | | | 121 | |
National Storage Affiliates Trust | | | 97 | | | | 4,832 | |
Newmark Group, Inc. - Class A | | | 1 | | | | 12 | |
NexPoint Residential Trust, Inc. | | | 3 | | | | 181 | |
Offerpad Solutions, Inc.(1) | | | 9 | | | | 19 | |
Opendoor Technologies, Inc.(1) | | | 12 | | | | 56 | |
Outfront Media, Inc. | | | 19 | | | | 329 | |
Pebblebrook Hotel Trust | | | 247 | | | | 4,099 | |
Phillips Edison & Co., Inc. | | | 15 | | | | 507 | |
Postal Realty Trust, Inc. - Class A | | | 1 | | | | 22 | |
PS Business Parks, Inc. | | | 3 | | | | 498 | |
Redfin Corp.(1) | | | 14 | | | | 113 | |
RMR Group, Inc. - Class A | | | 1 | | | | 39 | |
Ryman Hospitality Properties, Inc.(1) | | | 106 | | | | 8,087 | |
Safehold, Inc. | | | 2 | | | | 63 | |
Saul Centers, Inc. | | | 1 | | | | 68 | |
SBA Communications Corp. - Class A | | | 2 | | | | 747 | |
Simon Property Group, Inc. | | | 15 | | | | 1,438 | |
St Joe Co. | | | 5 | | | | 182 | |
Tanger Factory Outlet Centers, Inc. | | | 13 | | | | 188 | |
Terreno Realty Corp. | | | 95 | | | | 5,304 | |
UMH Properties, Inc. | | | 6 | | | | 99 | |
Universal Health Realty Income Trust | | | 2 | | | | 89 | |
Zillow Group, Inc. - Class A(1) | | | 1 | | | | 18 | |
Zillow Group, Inc. - Class C(1) | | | 1 | | | | 23 | |
| | | | | | | | |
Total Real Estate | | | | 54,366 | |
| | | | | | | | |
Utilities – 0.06% | | | | | | | | |
AES Corp. | | | 11 | | | | 238 | |
Altus Power, Inc.(1) | | | 3 | | | | 17 | |
American States Water Co. | | | 3 | | | | 211 | |
Artesian Resources Corp. - Class A | | | 1 | | | | 35 | |
Brookfield Infrastructure Corp. - Class A | | | 13 | | | | 557 | |
California Water Service Group | | | 2 | | | | 116 | |
Clearway Energy, Inc. - Class A | | | 5 | | | | 155 | |
Clearway Energy, Inc. - Class C | | | 11 | | | | 385 | |
Global Water Resources, Inc. | | | 3 | | | | 35 | |
MGE Energy, Inc. | | | 2 | | | | 187 | |
Middlesex Water Co. | | | 1 | | | | 71 | |
Montauk Renewables, Inc.(1) | | | 9 | | | | 90 | |
National Fuel Gas Co. | | | 1 | | | | 45 | |
New Jersey Resources Corp. | | | 1 | | | | 66 | |
Ormat Technologies, Inc. | | | 3 | | | | 267 | |
Otter Tail Corp. | | | 3 | | | | 181 | |
Pure Cycle Corp.(1) | | | 3 | | | | 34 | |
Southwest Gas Holdings, Inc. | | | 1 | | | | 91 | |
Via Renewables, Inc. - Class A | | | 2 | | | | 16 | |
Vistra Corp. | | | 24 | | | | 542 | |
York Water Co. | | | 2 | | | | 91 | |
| | | | | | | | |
Total Utilities | | | | 3,430 | |
| | | | | | | | |
| | | | | | | | |
Total Common Stocks (Cost: $4,949,231) | | | | 5,134,651 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 3.53% | | | | | | | | |
Money Market Funds – 3.46% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(3) | | | 184,308 | | | | 184,308 | |
| | | | | | | | |
Total Money Market Funds (Cost: $184,308) | | | | | | | 184,308 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.07% | | | | | | | | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 1,445 | | | | 1,445 | |
Citibank, New York, 1.06% due 07/01/2022 | | | 2,293 | | | | 2,293 | |
Sumitomo Trust Bank, London, 1.06% due 07/01/2022 | | | 192 | | | | 192 | |
| | | | | | | | |
Total Time Deposits (Cost: $3,930) | | | | | | | 3,930 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $188,238) | | | | 188,238 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.83%
(Cost: $5,137,469) | | | | | | | 5,322,889 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.17% | | | | | | | 8,948 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 5,331,837 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
| (1) | Non-income producing security. |
| (2) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $16, 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 | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
9 | | E-mini Russell 2000 Future | | | Sep. 2022 | | | $ | 791 | | | $ | 769 | | | $ | (22 | ) |
7 | | S&P 500 E-mini Future | | | Sep. 2022 | | | | 1,349 | | | | 1,326 | | | | (23 | ) |
3 | | S&P MidCap 400 E-mini Future | | | Sep. 2022 | | | | 693 | | | | 680 | | | | (13 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (58 | ) |
| | | | | | | | | | | | | | | | | | |
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 96.61% | | | | | | | | |
Communication Services – 1.77% | | | | | | | | |
Advantage Solutions, Inc.(1) | | | 31 | | | $ | 117 | |
Altice USA, Inc. - Class A(1) | | | 6 | | | | 57 | |
AMC Entertainment Holdings, Inc. - Class A(1) | | | 16 | | | | 216 | |
AMC Networks, Inc. - Class A(1) | | | 77 | | | | 2,255 | |
Anterix, Inc.(1) | | | 3 | | | | 116 | |
Arena Group Holdings, Inc.(1) | | | 1 | | | | 11 | |
ATN International, Inc. | | | 4 | | | | 183 | |
Audacy, Inc. - Class A(1) | | | 39 | | | | 37 | |
Bandwidth, Inc. - Class A(1) | | | 7 | | | | 128 | |
Boston Omaha Corp. - Class A(1) | | | 7 | | | | 148 | |
Bumble, Inc. - Class A(1) | | | 32 | | | | 903 | |
Cable One, Inc.(2) | | | 0 | | | | 97 | |
Cardlytics, Inc.(1) | | | 12 | | | | 271 | |
Cars.com, Inc.(1) | | | 22 | | | | 210 | |
Cinemark Holdings, Inc.(1) | | | 9 | | | | 139 | |
Clear Channel Outdoor Holdings, Inc. - Class A(1) | | | 135 | | | | 144 | |
Cogent Communications Holdings, Inc. | | | 7 | | | | 438 | |
Consolidated Communications Holdings, Inc.(1) | | | 23 | | | | 164 | |
Cumulus Media, Inc. - Class A(1) | | | 7 | | | | 52 | |
Daily Journal Corp.(1)(2) | | | 0 | | | | 120 | |
DHI Group, Inc.(1) | | | 4 | | | | 19 | |
DISH Network Corp. - Class A(1) | | | 8 | | | | 137 | |
EchoStar Corp. - Class A(1) | | | 13 | | | | 257 | |
Electronic Arts, Inc. | | | 8 | | | | 968 | |
Entravision Communications Corp. - Class A | | | 279 | | | | 1,271 | |
Eventbrite, Inc. - Class A(1) | | | 4 | | | | 36 | |
EW Scripps Co. - Class A(1) | | | 22 | | | | 271 | |
Fox Corp. - Class A | | | 228 | | | | 7,331 | |
Fox Corp. - Class B | | | 4 | | | | 129 | |
Frontier Communications Parent, Inc.(1) | | | 7 | | | | 172 | |
fuboTV, Inc.(1) | | | 65 | | | | 160 | |
Gannett Co., Inc.(1) | | | 56 | | | | 162 | |
Globalstar, Inc.(1) | | | 44 | | | | 54 | |
Gogo, Inc.(1) | | | 17 | | | | 273 | |
Gray Television, Inc. | | | 18 | | | | 308 | |
IAC/InterActiveCorp(1) | | | 2 | | | | 179 | |
IDT Corp. - Class B(1) | | | 1 | | | | 34 | |
iHeartMedia, Inc. - Class A(1) | | | 46 | | | | 364 | |
IMAX Corp.(1) | | | 288 | | | | 4,867 | |
Integral Ad Science Holding Corp.(1) | | | 10 | | | | 95 | |
Interpublic Group of Companies, Inc. | | | 12 | | | | 326 | |
John Wiley & Sons, Inc. - Class A | | | 1 | | | | 66 | |
KORE Group Holdings, Inc.(1) | | | 11 | | | | 34 | |
Liberty Broadband Corp. - Class A(1)(2) | | | 0 | | | | 40 | |
Liberty Broadband Corp. - Class C(1) | | | 2 | | | | 243 | |
Liberty Latin America Ltd. - Class A(1) | | | 12 | | | | 97 | |
Liberty Latin America Ltd. - Class C(1) | | | 58 | | | | 450 | |
Liberty Media Corp.-Liberty Formula One - Class A(1) | | | 1 | | | | 38 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 127 | | | | 8,090 | |
Liberty Media Corp.-Liberty SiriusXM - Class A | | | 1 | | | | 53 | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 3 | | | | 120 | |
Lions Gate Entertainment Corp. - Class A(1) | | | 22 | | | | 203 | |
Lions Gate Entertainment Corp. - Class B(1) | | | 43 | | | | 377 | |
Live Nation Entertainment, Inc.(1) | | | 89 | | | | 7,382 | |
Loyalty Ventures, Inc.(1) | | | 5 | | | | 19 | |
Lumen Technologies, Inc. | | | 31 | | | | 338 | |
Madison Square Garden Entertainment Corp.(1) | | | 10 | | | | 510 | |
Madison Square Garden Sports Corp. - Class A(1)(2) | | | 0 | | | | 39 | |
Magnite, Inc.(1) | | | 49 | | | | 437 | |
Marcus Corp.(1) | | | 9 | | | | 140 | |
| | | | | | | | |
Match Group, Inc.(1) | | | 1 | | | | 39 | |
New York Times Co. - Class A | | | 5 | | | | 141 | |
News Corp. - Class A | | | 12 | | | | 181 | |
News Corp. - Class B | | | 4 | | | | 59 | |
Nexstar Media Group, Inc. - Class A | | | 306 | | | | 49,840 | |
Omnicom Group, Inc. | | | 6 | | | | 387 | |
Outbrain, Inc.(1) | | | 14 | | | | 72 | |
Paramount Global - Class A(2) | | | 0 | | | | 5 | |
Paramount Global - Class B | | | 113 | | | | 2,791 | |
Pinterest, Inc. - Class A(1) | | | 14 | | | | 248 | |
Playstudios, Inc.(1) | | | 14 | | | | 61 | |
Playtika Holding Corp.(1)(2) | | | 0 | | | | 5 | |
PubMatic, Inc. - Class A(1) | | | 2 | | | | 26 | |
QuinStreet, Inc.(1) | | | 17 | | | | 175 | |
Radius Global Infrastructure, Inc. - Class A(1) | | | 27 | | | | 418 | |
Redbox Entertainment, Inc.(1) | | | 2 | | | | 16 | |
Roku, Inc. - Class A(1) | | | 3 | | | | 216 | |
Scholastic Corp. | | | 11 | | | | 378 | |
Shenandoah Telecommunications Co. | | | 17 | | | | 386 | |
Sirius XM Holdings, Inc. | | | 21 | | | | 131 | |
Skillz, Inc. - Class A(1) | | | 111 | | | | 138 | |
Stagwell, Inc.(1) | | | 26 | | | | 142 | |
Take-Two Interactive Software, Inc.(1) | | | 1 | | | | 101 | |
TEGNA, Inc. | | | 295 | | | | 6,182 | |
Telephone & Data Systems, Inc. | | | 38 | | | | 595 | |
Thryv Holdings, Inc.(1) | | | 7 | | | | 164 | |
Townsquare Media, Inc. - Class A(1) | | | 26 | | | | 210 | |
TripAdvisor, Inc.(1) | | | 3 | | | | 50 | |
TrueCar, Inc.(1) | | | 31 | | | | 79 | |
Twitter, Inc.(1) | | | 2 | | | | 63 | |
United States Cellular Corp.(1) | | | 6 | | | | 165 | |
Urban One, Inc.(1) | | | 5 | | | | 20 | |
Urban One, Inc. - Class A(1) | | | 4 | | | | 20 | |
Vinco Ventures, Inc.(1) | | | 27 | | | | 37 | |
Warner Bros Discovery, Inc.(1) | | | 19 | | | | 254 | |
WideOpenWest, Inc.(1) | | | 9 | | | | 156 | |
Ziff Davis, Inc.(1) | | | 14 | | | | 1,040 | |
| | | | | | | | |
Total Communication Services | | | | 106,886 | |
| | | | | | | | |
Consumer Discretionary – 11.09% | | | | | | | | |
1-800-Flowers.com, Inc. - Class A(1) | | | 317 | | | | 3,019 | |
1stdibs.com, Inc.(1) | | | 8 | | | | 46 | |
2U, Inc.(1) | | | 29 | | | | 305 | |
Aaron’s Co., Inc. | | | 37 | | | | 542 | |
Abercrombie & Fitch Co. - Class A(1) | | | 18 | | | | 312 | |
Academy Sports & Outdoors, Inc. | | | 31 | | | | 1,108 | |
Accel Entertainment, Inc. - Class A(1) | | | 138 | | | | 1,468 | |
Acushnet Holdings Corp. | | | 10 | | | | 400 | |
Adient Plc(1) | | | 35 | | | | 1,052 | |
ADT, Inc. | | | 6 | | | | 39 | |
Adtalem Global Education, Inc.(1) | | | 17 | | | | 595 | |
Advance Auto Parts, Inc. | | | 35 | | | | 6,048 | |
aka Brands Holding Corp.(1) | | | 1 | | | | 3 | |
Allbirds, Inc. - Class A(1) | | | 27 | | | | 107 | |
American Axle & Manufacturing Holdings, Inc.(1) | | | 249 | | | | 1,875 | |
American Eagle Outfitters, Inc. | | | 58 | | | | 652 | |
American Public Education, Inc.(1) | | | 7 | | | | 114 | |
America’s Car-Mart, Inc.(1) | | | 2 | | | | 230 | |
AMMO, Inc.(1) | | | 31 | | | | 118 | |
Aptiv Plc(1) | | | 6 | | | | 543 | |
Aramark | | | 320 | | | | 9,793 | |
Asbury Automotive Group, Inc.(1) | | | 50 | | | | 8,543 | |
Aterian, Inc.(1) | | | 20 | | | | 43 | |
AutoNation, Inc.(1) | | | 1 | | | | 136 | |
AutoZone, Inc.(1) | | | 13 | | | | 28,383 | |
Bally’s Corp.(1) | | | 14 | | | | 285 | |
BARK, Inc.(1) | | | 18 | | | | 23 | |
Bath & Body Works, Inc. | | | 7 | | | | 193 | |
Beachbody Co., Inc.(1) | | | 31 | | | | 37 | |
Beazer Homes USA, Inc.(1) | | | 10 | | | | 126 | |
| | | | | | | | |
Bed Bath & Beyond, Inc.(1) | | | 8 | | | | 41 | |
Best Buy Co., Inc. | | | 67 | | | | 4,345 | |
Big 5 Sporting Goods Corp. | | | 7 | | | | 82 | |
Big Lots, Inc. | | | 55 | | | | 1,154 | |
Biglari Holdings, Inc. - Class B(1)(2) | | | 0 | | | | 35 | |
BJ’s Restaurants, Inc.(1) | | | 8 | | | | 180 | |
Bloomin’ Brands, Inc. | | | 9 | | | | 148 | |
Bluegreen Vacations Holding Corp. - Class A | | | 4 | | | | 102 | |
BorgWarner, Inc. | | | 241 | | | | 8,058 | |
Bowlero Corp.(1) | | | 14 | | | | 146 | |
Boyd Gaming Corp. | | | 18 | | | | 872 | |
Bright Horizons Family Solutions, Inc.(1) | | | 58 | | | | 4,929 | |
Brinker International, Inc.(1) | | | 250 | | | | 5,512 | |
Brunswick Corp. | | | 164 | | | | 10,731 | |
Buckle, Inc. | | | 1 | | | | 35 | |
Build-A-Bear Workshop, Inc. | | | 1 | | | | 24 | |
Burlington Stores, Inc.(1)(2) | | | 0 | | | | 16 | |
Caesars Entertainment, Inc.(1) | | | 2 | | | | 76 | |
Callaway Golf Co.(1) | | | 219 | | | | 4,462 | |
Capri Holdings Ltd.(1) | | | 4 | | | | 179 | |
CarMax, Inc.(1) | | | 4 | | | | 386 | |
Carnival Corp.(1) | | | 26 | | | | 225 | |
Carter’s, Inc. | | | 1 | | | | 88 | |
Cato Corp. - Class A | | | 6 | | | | 67 | |
Cenntro Electric Group Ltd.(1) | | | 66 | | | | 99 | |
Century Communities, Inc. | | | 10 | | | | 449 | |
Chico’s FAS, Inc.(1) | | | 13 | | | | 63 | |
Children’s Place, Inc.(1) | | | 2 | | | | 70 | |
Chuy’s Holdings, Inc.(1) | | | 7 | | | | 133 | |
Citi Trends, Inc.(1) | | | 3 | | | | 70 | |
Clarus Corp. | | | 1 | | | | 18 | |
Columbia Sportswear Co. | | | 1 | | | | 87 | |
Conn’s, Inc.(1) | | | 4 | | | | 35 | |
Container Store Group, Inc.(1) | | | 12 | | | | 74 | |
ContextLogic, Inc. - Class A(1) | | | 207 | | | | 331 | |
Dana, Inc. | | | 203 | | | | 2,852 | |
Darden Restaurants, Inc. | | | 53 | | | | 5,977 | |
Dave & Buster’s Entertainment, Inc.(1) | | | 53 | | | | 1,721 | |
Deckers Outdoor Corp.(1)(2) | | | 0 | | | | 25 | |
Denny’s Corp.(1) | | | 5 | | | | 46 | |
Designer Brands, Inc. - Class A | | | 177 | | | | 2,311 | |
Destination XL Group, Inc.(1) | | | 10 | | | | 35 | |
Dick’s Sporting Goods, Inc. | | | 85 | | | | 6,397 | |
Dine Brands Global, Inc. | | | 26 | | | | 1,687 | |
Dollar Tree, Inc.(1) | | | 4 | | | | 688 | |
Domino’s Pizza, Inc. | | | 13 | | | | 5,020 | |
DoorDash, Inc. - Class A(1) | | | 1 | | | | 56 | |
DR Horton, Inc. | | | 5 | | | | 308 | |
Duluth Holdings, Inc. - Class B(1) | | | 3 | | | | 30 | |
eBay, Inc. | | | 179 | | | | 7,442 | |
El Pollo Loco Holdings, Inc.(1) | | | 7 | | | | 68 | |
Ermenegildo Zegna Holditalia SpA(1) | | | 15 | | | | 158 | |
Ethan Allen Interiors, Inc. | | | 9 | | | | 176 | |
European Wax Center, Inc. - Class A | | | 1 | | | | 12 | |
Everi Holdings, Inc.(1) | | | 15 | | | | 240 | |
EVgo, Inc.(1) | | | 22 | | | | 132 | |
Expedia Group, Inc.(1) | | | 77 | | | | 7,260 | |
Express, Inc.(1) | | | 23 | | | | 45 | |
Faraday Future Intelligent Electric, Inc.(1) | | | 17 | | | | 43 | |
First Watch Restaurant Group, Inc.(1) | | | 3 | | | | 37 | |
Five Below, Inc.(1) | | | 45 | | | | 5,110 | |
Foot Locker, Inc. | | | 119 | | | | 3,006 | |
Fossil Group, Inc.(1) | | | 17 | | | | 90 | |
Franchise Group, Inc. | | | 210 | | | | 7,353 | |
Frontdoor, Inc.(1) | | | 31 | | | | 739 | |
Full House Resorts, Inc.(1) | | | 8 | | | | 51 | |
Funko, Inc. - Class A(1) | | | 195 | | | | 4,346 | |
GameStop Corp. - Class A(1) | | | 2 | | | | 246 | |
Gap, Inc. | | | 6 | | | | 51 | |
| | | | | | | | |
Garmin Ltd. | | | 101 | | | | 9,907 | |
Genesco, Inc.(1) | | | 5 | | | | 253 | |
Gentex Corp. | | | 241 | | | | 6,740 | |
Genuine Parts Co. | | | 4 | | | | 513 | |
G-III Apparel Group Ltd.(1) | | | 16 | | | | 333 | |
Goodyear Tire & Rubber Co.(1) | | | 250 | | | | 2,675 | |
GoPro, Inc. - Class A(1) | | | 50 | | | | 276 | |
Graham Holdings Co. - Class B | | | 1 | | | | 792 | |
Grand Canyon Education, Inc.(1) | | | 141 | | | | 13,286 | |
Green Brick Partners, Inc.(1) | | | 8 | | | | 147 | |
Group 1 Automotive, Inc. | | | 40 | | | | 6,775 | |
Groupon, Inc. - Class A(1) | | | 7 | | | | 82 | |
GrowGeneration Corp.(1) | | | 22 | | | | 78 | |
H&R Block, Inc. | | | 130 | | | | 4,608 | |
Hanesbrands, Inc. | | | 937 | | | | 9,647 | |
Harley-Davidson, Inc. | | | 543 | | | | 17,176 | |
Hasbro, Inc. | | | 171 | | | | 14,030 | |
Haverty Furniture Companies, Inc. | | | 5 | | | | 125 | |
Hibbett, Inc. | | | 32 | | | | 1,406 | |
Hilton Worldwide Holdings, Inc. | | | 2 | | | | 259 | |
Hyatt Hotels Corp. - Class A(1) | | | 2 | | | | 113 | |
Inspirato, Inc.(1) | | | 4 | | | | 18 | |
Inspired Entertainment, Inc.(1) | | | 3 | | | | 22 | |
Installed Building Products, Inc. | | | 88 | | | | 7,288 | |
International Game Technology Plc | | | 844 | | | | 15,668 | |
iRobot Corp.(1) | | | 1 | | | | 52 | |
Jack in the Box, Inc. | | | 107 | | | | 6,004 | |
JOANN, Inc. | | | 4 | | | | 30 | |
Johnson Outdoors, Inc. - Class A | | | 2 | | | | 140 | |
KB Home | | | 25 | | | | 711 | |
Kohl’s Corp. | | | 75 | | | | 2,664 | |
Krispy Kreme, Inc. | | | 20 | | | | 270 | |
Lands’ End, Inc.(1) | | | 6 | | | | 63 | |
Landsea Homes Corp.(1) | | | 4 | | | | 24 | |
Las Vegas Sands Corp.(1) | | | 179 | | | | 6,028 | |
Laureate Education, Inc. - Class A | | | 41 | | | | 478 | |
La-Z-Boy, Inc. | | | 441 | | | | 10,446 | |
Lear Corp. | | | 67 | | | | 8,437 | |
Legacy Housing Corp.(1) | | | 3 | | | | 39 | |
Leggett & Platt, Inc. | | | 4 | | | | 140 | |
Lennar Corp. - Class A | | | 8 | | | | 539 | |
Lennar Corp. - Class B(2) | | | 0 | | | | 29 | |
Leslie’s, Inc.(1) | | | 976 | | | | 14,810 | |
LGI Homes, Inc.(1) | | | 7 | | | | 631 | |
Life Time Group Holdings, Inc.(1) | | | 15 | | | | 196 | |
Lifetime Brands, Inc. | | | 5 | | | | 50 | |
Light & Wonder, Inc.(1) | | | 36 | | | | 1,705 | |
Lindblad Expeditions Holdings, Inc.(1) | | | 10 | | | | 83 | |
Liquidity Services, Inc.(1) | | | 4 | | | | 60 | |
Lithia Motors, Inc. - Class A | | | 1 | | | | 237 | |
LKQ Corp. | | | 471 | | | | 23,137 | |
LL Flooring Holdings, Inc.(1) | | | 11 | | | | 106 | |
Lordstown Motors Corp. - Class A(1) | | | 60 | | | | 94 | |
Lucid Group, Inc.(1) | | | 1 | | | | 17 | |
M/I Homes, Inc.(1) | | | 9 | | | | 346 | |
Macy’s, Inc. | | | 9 | | | | 157 | |
Malibu Boats, Inc. - Class A(1) | | | 36 | | | | 1,896 | |
MarineMax, Inc.(1) | | | 61 | | | | 2,205 | |
Marriott International, Inc. - Class A | | | 61 | | | | 8,288 | |
Marriott Vacations Worldwide Corp. | | | 1 | | | | 142 | |
Mattel, Inc.(1) | | | 5 | | | | 122 | |
MDC Holdings, Inc. | | | 118 | | | | 3,811 | |
Meritage Homes Corp.(1) | | | 13 | | | | 924 | |
MGM Resorts International | | | 11 | | | | 313 | |
Mister Car Wash, Inc.(1)(2) | | | 0 | | | | 4 | |
Modine Manufacturing Co.(1) | | | 18 | | | | 189 | |
Mohawk Industries, Inc.(1) | | | 102 | | | | 12,674 | |
Monro, Inc. | | | 122 | | | | 5,214 | |
Motorcar Parts of America, Inc.(1) | | | 6 | | | | 83 | |
| | | | | | | | |
Movado Group, Inc. | | | 6 | | | | 174 | |
National Vision Holdings, Inc.(1) | | | 29 | | | | 784 | |
Newell Brands, Inc. | | | 361 | | | | 6,865 | |
Nordstrom, Inc. | | | 76 | | | | 1,596 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 12 | | | | 128 | |
NVR, Inc.(1) | | | 4 | | | | 14,539 | |
ODP Corp.(1) | | | 84 | | | | 2,541 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 2 | | | | 109 | |
OneWater Marine, Inc. - Class A(1) | | | 53 | | | | 1,751 | |
O’Reilly Automotive, Inc.(1) | | | 1 | | | | 735 | |
Overstock.com, Inc.(1) | | | 16 | | | | 400 | |
Oxford Industries, Inc. | | | 148 | | | | 13,121 | |
Papa John’s International, Inc. | | | 3 | | | | 290 | |
Party City Holdco, Inc.(1) | | | 25 | | | | 33 | |
Patrick Industries, Inc. | | | 7 | | | | 385 | |
Peloton Interactive, Inc. - Class A(1) | | | 9 | | | | 82 | |
Penn National Gaming, Inc.(1) | | | 29 | | | | 886 | |
Penske Automotive Group, Inc. | | | 78 | | | | 8,149 | |
Perdoceo Education Corp.(1) | | | 25 | | | | 292 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 2 | | | | 35 | |
PetMed Express, Inc. | | | 2 | | | | 36 | |
Planet Fitness, Inc. - Class A(1) | | | 1 | | | | 46 | |
PLBY Group, Inc.(1) | | | 11 | | | | 71 | |
Polaris, Inc. | | | 186 | | | | 18,468 | |
Porch Group, Inc.(1) | | | 30 | | | | 76 | |
Poshmark, Inc. - Class A(1) | | | 17 | | | | 171 | |
PowerSchool Holdings, Inc. - Class A(1) | | | 11 | | | | 129 | |
PulteGroup, Inc. | | | 115 | | | | 4,558 | |
Purple Innovation, Inc. - Class A(1) | | | 18 | | | | 56 | |
PVH Corp. | | | 105 | | | | 5,990 | |
QuantumScape Corp. - Class A(1) | | | 7 | | | | 63 | |
Qurate Retail, Inc. | | | 133 | | | | 382 | |
Ralph Lauren Corp. - Class A | | | 1 | | | | 125 | |
RCI Hospitality Holdings, Inc.(2) | | | 0 | | | | 21 | |
RealReal, Inc.(1) | | | 26 | | | | 65 | |
Red Robin Gourmet Burgers, Inc.(1) | | | 59 | | | | 473 | |
Red Rock Resorts, Inc. - Class A | | | 608 | | | | 20,291 | |
RH(1)(2) | | | 0 | | | | 69 | |
Rivian Automotive, Inc. - Class A(1) | | | 5 | | | | 138 | |
Rocky Brands, Inc. | | | 2 | | | | 75 | |
Ross Stores, Inc. | | | 131 | | | | 9,210 | |
Rover Group, Inc. - Class A(1) | | | 3 | | | | 13 | |
Royal Caribbean Cruises Ltd.(1) | | | 7 | | | | 232 | |
RumbleON, Inc. - Class B(1) | | | 4 | | | | 56 | |
Sally Beauty Holdings, Inc.(1) | | | 3 | | | | 30 | |
SeaWorld Entertainment, Inc.(1) | | | 8 | | | | 374 | |
Service Corp. International | | | 5 | | | | 326 | |
Shoe Carnival, Inc. | | | 7 | | | | 141 | |
Signet Jewelers Ltd. | | | 17 | | | | 921 | |
Six Flags Entertainment Corp.(1) | | | 1 | | | | 23 | |
Skechers USA, Inc. - Class A(1) | | | 491 | | | | 17,463 | |
Skyline Champion Corp.(1) | | | 240 | | | | 11,398 | |
Sleep Number Corp.(1) | | | 50 | | | | 1,559 | |
Smith & Wesson Brands, Inc. | | | 16 | | | | 211 | |
Snap One Holdings Corp.(1) | | | 6 | | | | 58 | |
Solid Power, Inc.(1) | | | 12 | | | | 66 | |
Solo Brands, Inc. - Class A(1) | | | 99 | | | | 404 | |
Sonic Automotive, Inc. - Class A | | | 8 | | | | 279 | |
Sportsman’s Warehouse Holdings, Inc.(1) | | | 16 | | | | 158 | |
Standard Motor Products, Inc. | | | 7 | | | | 333 | |
Stitch Fix, Inc. - Class A(1) | | | 18 | | | | 91 | |
StoneMor, Inc.(1) | | | 10 | | | | 36 | |
Stoneridge, Inc.(1) | | | 146 | | | | 2,510 | |
Strategic Education, Inc. | | | 8 | | | | 592 | |
Sturm Ruger & Co., Inc. | | | 25 | | | | 1,618 | |
Superior Group of Companies, Inc. | | | 4 | | | | 79 | |
Tapestry, Inc. | | | 126 | | | | 3,858 | |
Taylor Morrison Home Corp. - Class A(1) | | | 37 | | | | 873 | |
Tempur Sealy International, Inc. | | | 344 | | | | 7,352 | |
| | | | | | | | |
Terminix Global Holdings, Inc.(1) | | | 4 | | | | 150 | |
Thor Industries, Inc. | | | 67 | | | | 4,976 | |
ThredUp, Inc. - Class A(1) | | | 19 | | | | 47 | |
Tile Shop Holdings, Inc. | | | 12 | | | | 36 | |
Tilly’s, Inc. - Class A | | | 9 | | | | 60 | |
Toll Brothers, Inc. | | | 249 | | | | 11,096 | |
TopBuild Corp.(1)(2) | | | 0 | | | | 28 | |
Torrid Holdings, Inc.(1)(2) | | | 0 | | | | 2 | |
Traeger, Inc.(1) | | | 12 | | | | 50 | |
Travel + Leisure Co. | | | 57 | | | | 2,205 | |
TravelCenters of America, Inc.(1) | | | 5 | | | | 171 | |
TRI Pointe Homes, Inc.(1) | | | 34 | | | | 581 | |
Tupperware Brands Corp.(1) | | | 17 | | | | 105 | |
Ulta Beauty, Inc.(1) | | | 13 | | | | 5,043 | |
Under Armour, Inc. - Class A(1) | | | 6 | | | | 47 | |
Under Armour, Inc. - Class C(1) | | | 6 | | | | 49 | |
Unifi, Inc.(1) | | | 6 | | | | 82 | |
Universal Electronics, Inc.(1) | | | 5 | | | | 128 | |
Urban Outfitters, Inc.(1) | | | 480 | | | | 8,951 | |
Vacasa, Inc. - Class A(1) | | | 15 | | | | 43 | |
Vail Resorts, Inc. | | | 36 | | | | 7,832 | |
VF Corp. | | | 163 | | | | 7,201 | |
Victoria’s Secret & Co.(1) | | | 1 | | | | 20 | |
Vista Outdoor, Inc.(1) | | | 21 | | | | 585 | |
Visteon Corp.(1) | | | 67 | | | | 6,951 | |
Vivid Seats, Inc. - Class A | | | 7 | | | | 49 | |
Vivint Smart Home, Inc.(1) | | | 28 | | | | 96 | |
Volta, Inc.(1) | | | 44 | | | | 57 | |
Vuzix Corp.(1) | | | 3 | | | | 21 | |
Wayfair, Inc. - Class A(1) | | | 1 | | | | 37 | |
Weber, Inc. - Class A | | | 10 | | | | 69 | |
Weyco Group, Inc. | | | 2 | | | | 43 | |
Whirlpool Corp. | | | 134 | | | | 20,790 | |
Williams-Sonoma, Inc. | | | 29 | | | | 3,222 | |
Winmark Corp. | | | 1 | | | | 194 | |
Winnebago Industries, Inc. | | | 12 | | | | 585 | |
Wolverine World Wide, Inc. | | | 390 | | | | 7,857 | |
Workhorse Group, Inc.(1) | | | 5 | | | | 12 | |
WW International, Inc.(1) | | | 20 | | | | 126 | |
Wyndham Hotels & Resorts, Inc. | | | 139 | | | | 9,118 | |
Wynn Resorts Ltd.(1) | | | 3 | | | | 157 | |
Xponential Fitness, Inc. - Class A(1) | | | 4 | | | | 52 | |
Yum! Brands, Inc. | | | 8 | | | | 866 | |
Zumiez, Inc.(1) | | | 277 | | | | 7,208 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 670,483 | |
| | | | | | | | |
Consumer Staples – 4.10% | | | | | | | | |
Albertsons Companies, Inc. - Class A | | | 5 | | | | 127 | |
Alico, Inc. | | | 2 | | | | 73 | |
Andersons, Inc. | | | 12 | | | | 387 | |
AppHarvest, Inc.(1) | | | 25 | | | | 89 | |
Archer-Daniels-Midland Co. | | | 172 | | | | 13,342 | |
B&G Foods, Inc. | | | 25 | | | | 599 | |
Beauty Health Co.(1) | | | 4 | | | | 54 | |
BellRing Brands, Inc.(1) | | | 285 | | | | 7,102 | |
Benson Hill, Inc.(1) | | | 31 | | | | 85 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 1 | | | | 91 | |
Boston Beer Co., Inc. - Class A(1)(2) | | | 0 | | | | 5 | |
Brown-Forman Corp. - Class A | | | 1 | | | | 38 | |
Brown-Forman Corp. - Class B | | | 2 | | | | 164 | |
Bunge Ltd. | | | 4 | | | | 387 | |
Cal-Maine Foods, Inc. | | | 1 | | | | 61 | |
Campbell Soup Co. | | | 6 | | | | 283 | |
Casey’s General Stores, Inc. | | | 1 | | | | 212 | |
Central Garden & Pet Co. - Class A(1) | | | 2 | | | | 79 | |
Central Garden & Pet Co. - Class A(1) | | | 248 | | | | 9,937 | |
Chefs’ Warehouse, Inc.(1) | | | 4 | | | | 152 | |
Church & Dwight Co., Inc. | | | 319 | | | | 29,590 | |
Clorox Co. | | | 1 | | | | 88 | |
Coca-Cola Europacific Partners Plc | | | 201 | | | | 10,362 | |
| | | | | | | | |
Conagra Brands, Inc. | | | 218 | | | | 7,459 | |
Coty, Inc. - Class A(1) | | | 11 | | | | 85 | |
Darling Ingredients, Inc.(1) | | | 4 | | | | 269 | |
Edgewell Personal Care Co. | | | 115 | | | | 3,975 | |
Energizer Holdings, Inc. | | | 145 | | | | 4,114 | |
Flowers Foods, Inc. | | | 6 | | | | 153 | |
Fresh Del Monte Produce, Inc. | | | 11 | | | | 339 | |
Freshpet, Inc.(1) | | | 1 | | | | 31 | |
Grocery Outlet Holding Corp.(1) | | | 2 | | | | 104 | |
Hain Celestial Group, Inc.(1) | | | 28 | | | | 676 | |
Herbalife Nutrition Ltd.(1) | | | 13 | | | | 264 | |
Hershey Co. | | | 1 | | | | 131 | |
HF Foods Group, Inc.(1) | | | 14 | | | | 70 | |
Honest Co., Inc.(1) | | | 22 | | | | 64 | |
Hormel Foods Corp. | | | 9 | | | | 411 | |
Hostess Brands, Inc. - Class A(1) | | | 376 | | | | 7,980 | |
Ingles Markets, Inc. - Class A | | | 5 | | | | 448 | |
Ingredion, Inc. | | | 60 | | | | 5,275 | |
J.M. Smucker Co. | | | 36 | | | | 4,657 | |
John B Sanfilippo & Son, Inc. | | | 1 | | | | 83 | |
Kellogg Co. | | | 4 | | | | 250 | |
Keurig Dr Pepper, Inc. | | | 228 | | | | 8,057 | |
Kroger Co. | | | 297 | | | | 14,074 | |
Lancaster Colony Corp. | | | 130 | | | | 16,732 | |
Landec Corp.(1) | | | 9 | | | | 86 | |
McCormick & Co., Inc. | | | 8 | | | | 630 | |
Mission Produce, Inc.(1) | | | 13 | | | | 180 | |
Molson Coors Beverage Co. - Class B | | | 163 | | | | 8,885 | |
Monster Beverage Corp.(1) | | | 63 | | | | 5,834 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 1 | | | | 11 | |
Nature’s Sunshine Products, Inc.(1) | | | 4 | | | | 45 | |
Nomad Foods Ltd.(1) | | | 518 | | | | 10,351 | |
Nu Skin Enterprises, Inc. - Class A | | | 11 | | | | 475 | |
Performance Food Group Co.(1) | | | 114 | | | | 5,246 | |
Pilgrim’s Pride Corp.(1) | | | 11 | | | | 345 | |
Post Holdings, Inc.(1) | | | 220 | | | | 18,148 | |
PriceSmart, Inc. | | | 3 | | | | 247 | |
Primo Water Corp. | | | 59 | | | | 784 | |
Reynolds Consumer Products, Inc. | | | 2 | | | | 46 | |
Rite Aid Corp.(1) | | | 11 | | | | 74 | |
Sanderson Farms, Inc. | | | 1 | | | | 254 | |
Seaboard Corp.(2) | | | 0 | | | | 27 | |
Seneca Foods Corp. - Class A(1) | | | 2 | | | | 119 | |
Simply Good Foods Co.(1) | | | 324 | | | | 12,250 | |
Sovos Brands, Inc.(1) | | | 3 | | | | 53 | |
SpartanNash Co. | | | 13 | | | | 398 | |
Spectrum Brands Holdings, Inc. | | | 64 | | | | 5,280 | |
SunOpta, Inc.(1) | | | 3 | | | | 21 | |
Tattooed Chef, Inc.(1) | | | 3 | | | | 20 | |
Tootsie Roll Industries, Inc. | | | 1 | | | | 30 | |
TreeHouse Foods, Inc.(1) | | | 19 | | | | 787 | |
Tyson Foods, Inc. - Class A | | | 118 | | | | 10,124 | |
United Natural Foods, Inc.(1) | | | 49 | | | | 1,912 | |
Universal Corp. | | | 53 | | | | 3,209 | |
US Foods Holding Corp.(1) | | | 379 | | | | 11,621 | |
Utz Brands, Inc. | | | 3 | | | | 39 | |
Vector Group Ltd. | | | 45 | | | | 468 | |
Village Super Market, Inc. - Class A | | | 3 | | | | 69 | |
Vintage Wine Estates, Inc.(1) | | | 11 | | | | 85 | |
Weis Markets, Inc. | | | 6 | | | | 445 | |
Whole Earth Brands, Inc.(1) | | | 15 | | | | 94 | |
| | | | | | | | |
Total Consumer Staples | | | | 247,700 | |
| | | | | | | | |
Energy – 5.75% | | | | | | | | |
Aemetis, Inc.(1) | | | 14 | | | | 67 | |
Alto Ingredients, Inc.(1) | | | 27 | | | | 100 | |
Amplify Energy Corp.(1) | | | 6 | | | | 39 | |
Antero Midstream Corp. | | | 11 | | | | 101 | |
Antero Resources Corp.(1) | | | 3 | | | | 98 | |
APA Corp. | | | 118 | | | | 4,129 | |
| | | | | | | | |
Archaea Energy, Inc. - Class A(1) | | | 14 | | | | 223 | |
Archrock, Inc. | | | 52 | | | | 427 | |
Ardmore Shipping Corp.(1) | | | 13 | | | | 89 | |
Baker Hughes Co. - Class A | | | 28 | | | | 808 | |
Berry Corp. | | | 27 | | | | 205 | |
Borr Drilling Ltd.(1) | | | 27 | | | | 126 | |
Bristow Group, Inc.(1) | | | 9 | | | | 210 | |
California Resources Corp. | | | 29 | | | | 1,113 | |
Callon Petroleum Co.(1) | | | 4 | | | | 138 | |
Centennial Resource Development, Inc. - Class A(1) | | | 66 | | | | 395 | |
Centrus Energy Corp. - Class A(1) | | | 3 | | | | 83 | |
ChampionX Corp. | | | 593 | | | | 11,762 | |
Cheniere Energy, Inc. | | | 3 | | | | 441 | |
Chesapeake Energy Corp. | | | 4 | | | | 315 | |
Civitas Resources, Inc. | | | 27 | | | | 1,417 | |
Clean Energy Fuels Corp.(1) | | | 63 | | | | 280 | |
CNX Resources Corp.(1) | | | 578 | | | | 9,519 | |
ConocoPhillips | | | 143 | | | | 12,813 | |
CONSOL Energy, Inc.(1) | | | 1 | | | | 57 | |
Continental Resources, Inc.(2) | | | 0 | | | | 21 | |
Coterra Energy, Inc. | | | 505 | | | | 13,016 | |
Devon Energy Corp. | | | 232 | | | | 12,760 | |
DHT Holdings, Inc. | | | 53 | | | | 322 | |
Diamond Offshore Drilling, Inc.(1) | | | 38 | | | | 223 | |
Diamondback Energy, Inc. | | | 275 | | | | 33,343 | |
DMC Global, Inc.(1) | | | 5 | | | | 94 | |
Dorian LPG Ltd. | | | 12 | | | | 178 | |
Dril-Quip, Inc.(1) | | | 13 | | | | 338 | |
DT Midstream, Inc. | | | 3 | | | | 152 | |
Earthstone Energy, Inc. - Class A(1) | | | 29 | | | | 399 | |
Energy Fuels, Inc.(1) | | | 14 | | | | 68 | |
Enviva, Inc. | | | 20 | | | | 1,130 | |
EOG Resources, Inc. | | | 78 | | | | 8,625 | |
EQT Corp. | | | 11 | | | | 383 | |
Equitrans Midstream Corp. | | | 115 | | | | 731 | |
Excelerate Energy, Inc. - Class A(1) | | | 6 | | | | 129 | |
Expro Group Holdings NV(1) | | | 483 | | | | 5,561 | |
FLEX LNG Ltd. | | | 11 | | | | 291 | |
Frontline Ltd.(1) | | | 46 | | | | 405 | |
Gevo, Inc.(1) | | | 72 | | | | 168 | |
Golar LNG Ltd.(1) | | | 35 | | | | 803 | |
Green Plains, Inc.(1) | | | 13 | | | | 362 | |
Halliburton Co. | | | 407 | | | | 12,752 | |
Helix Energy Solutions Group, Inc.(1) | | | 59 | | | | 181 | |
Helmerich & Payne, Inc. | | | 165 | | | | 7,103 | |
Hess Corp. | | | 2 | | | | 201 | |
HF Sinclair Corp. | | | 166 | | | | 7,519 | |
International Seaways, Inc. | | | 18 | | | | 387 | |
Kinder Morgan, Inc. | | | 167 | | | | 2,792 | |
Kinetik Holdings, Inc. - Class A | | | 6 | | | | 194 | |
Magnolia Oil & Gas Corp. - Class A | | | 1,041 | | | | 21,856 | |
Marathon Oil Corp. | | | 375 | | | | 8,438 | |
Marathon Petroleum Corp. | | | 197 | | | | 16,162 | |
Matador Resources Co. | | | 445 | | | | 20,711 | |
Murphy Oil Corp. | | | 31 | | | | 928 | |
Nabors Industries Ltd.(1) | | | 1 | | | | 75 | |
NACCO Industries, Inc. - Class A | | | 2 | | | | 77 | |
National Energy Services Reunited Corp.(1) | | | 14 | | | | 95 | |
NCS Multistage Holdings, Inc.(1) | | | 2 | | | | 61 | |
Newpark Resources, Inc.(1) | | | 33 | | | | 102 | |
NextDecade Corp.(1) | | | 4 | | | | 19 | |
Noble Corp.(1) | | | 12 | | | | 303 | |
Nordic American Tankers Ltd. | | | 73 | | | | 154 | |
Northern Oil & Gas, Inc. | | | 4 | | | | 111 | |
NOV, Inc. | | | 12 | | | | 204 | |
Oceaneering International, Inc.(1) | | | 6 | | | | 61 | |
Oil States International, Inc.(1) | | | 25 | | | | 137 | |
ONEOK, Inc. | | | 12 | | | | 669 | |
Ovintiv, Inc. | | | 2 | | | | 102 | |
| | | | | | | | |
Patterson-UTI Energy, Inc. | | | 27 | | | | 418 | |
PBF Energy, Inc. - Class A(1) | | | 27 | | | | 797 | |
PDC Energy, Inc. | | | 1 | | | | 85 | |
Peabody Energy Corp.(1) | | | 44 | | | | 931 | |
Phillips 66 | | | 72 | | | | 5,879 | |
Pioneer Natural Resources Co. | | | 168 | | | | 37,528 | |
Plains GP Holdings LP - Class A(1) | | | 664 | | | | 6,847 | |
ProPetro Holding Corp.(1) | | | 34 | | | | 338 | |
Range Resources Corp.(1) | | | 3 | | | | 69 | |
REX American Resources Corp.(1) | | | 2 | | | | 183 | |
Riley Exploration Permian, Inc. | | | 2 | | | | 53 | |
Ring Energy, Inc.(1) | | | 26 | | | | 68 | |
Schlumberger NV | | | 568 | | | | 20,299 | |
Scorpio Tankers, Inc. | | | 18 | | | | 628 | |
Select Energy Services, Inc. - Class A(1) | | | 29 | | | | 197 | |
SFL Corp. Ltd. | | | 43 | | | | 407 | |
Southwestern Energy Co.(1) | | | 3,304 | | | | 20,652 | |
Teekay Corp.(1) | | | 26 | | | | 73 | |
Teekay Tankers Ltd. - Class A(1) | | | 8 | | | | 143 | |
Tidewater, Inc.(1) | | | 14 | | | | 302 | |
Ur-Energy, Inc.(1) | | | 27 | | | | 28 | |
US Silica Holdings, Inc.(1) | | | 23 | | | | 266 | |
Valero Energy Corp. | | | 113 | | | | 11,992 | |
Vertex Energy, Inc.(1) | | | 3 | | | | 29 | |
Viper Energy Partners LP | | | 358 | | | | 9,558 | |
W&T Offshore, Inc.(1) | | | 10 | | | | 45 | |
Whiting Petroleum Corp. | | | 11 | | | | 741 | |
Williams Companies, Inc. | | | 37 | | | | 1,155 | |
World Fuel Services Corp. | | | 89 | | | | 1,815 | |
| | | | | | | | |
Total Energy | | | | 347,377 | |
| | | | | | | | |
Financials – 20.05% | | | | | | | | |
1st Source Corp. | | | 6 | | | | 292 | |
ACNB Corp. | | | 3 | | | | 91 | |
AFC Gamma, Inc. | | | 6 | | | | 86 | |
Affiliated Managers Group, Inc. | | | 1 | | | | 139 | |
Aflac, Inc. | | | 111 | | | | 6,135 | |
AGNC Investment Corp. | | | 16 | | | | 175 | |
Alerus Financial Corp. | | | 6 | | | | 154 | |
Alleghany Corp.(1) | | | 25 | | | | 21,219 | |
Allegiance Bancshares, Inc. | | | 6 | | | | 239 | |
Allstate Corp. | | | 248 | | | | 31,367 | |
Ally Financial, Inc. | | | 191 | | | | 6,400 | |
Amalgamated Financial Corp. | | | 5 | | | | 102 | |
A-Mark Precious Metals, Inc. | | | 46 | | | | 1,470 | |
Ambac Financial Group, Inc.(1) | | | 17 | | | | 190 | |
Amerant Bancorp, Inc. - Class A | | | 11 | | | | 297 | |
American Equity Investment Life Holding Co. | | | 29 | | | | 1,044 | |
American Financial Group, Inc. | | | 36 | | | | 5,058 | |
American International Group, Inc. | | | 584 | | | | 29,840 | |
American National Bankshares, Inc. | | | 4 | | | | 146 | |
Ameriprise Financial, Inc. | | | 161 | | | | 38,354 | |
Ameris Bancorp | | | 82 | | | | 3,300 | |
AMERISAFE, Inc. | | | 7 | | | | 372 | |
Angel Oak Mortgage, Inc. | | | 6 | | | | 77 | |
Annaly Capital Management, Inc. | | | 335 | | | | 1,980 | |
Aon Plc - Class A | | | 46 | | | | 12,367 | |
Apollo Commercial Real Estate Finance, Inc. | | | 52 | | | | 542 | |
Apollo Global Management, Inc. | | | 157 | | | | 7,612 | |
Arbor Realty Trust, Inc. | | | 57 | | | | 752 | |
Arch Capital Group Ltd.(1) | | | 7 | | | | 335 | |
Ares Commercial Real Estate Corp. | | | 17 | | | | 203 | |
Ares Management Corp. - Class A | | | 73 | | | | 4,137 | |
Argo Group International Holdings Ltd. | | | 12 | | | | 434 | |
ARMOUR Residential REIT, Inc. | | | 40 | | | | 282 | |
Arrow Financial Corp. | | | 6 | | | | 176 | |
Arthur J. Gallagher & Co. | | | 108 | | | | 17,543 | |
Artisan Partners Asset Management, Inc. - Class A | | | 8 | | | | 289 | |
Assetmark Financial Holdings, Inc.(1) | | | 9 | | | | 171 | |
Associated Banc-Corp. | | | 366 | | | | 6,675 | |
| | | | | | | | |
Associated Capital Group, Inc. - Class A(2) | | | 0 | | | | 17 | |
Assurant, Inc. | | | 2 | | | | 268 | |
Assured Guaranty Ltd. | | | 2 | | | | 105 | |
Atlantic Union Bankshares Corp. | | | 29 | | | | 978 | |
Atlanticus Holdings Corp.(1) | | | 1 | | | | 23 | |
Axis Capital Holdings Ltd. | | | 141 | | | | 8,043 | |
Axos Financial, Inc.(1) | | | 19 | | | | 682 | |
Bakkt Holdings, Inc.(1) | | | 24 | | | | 51 | |
Banc of California, Inc. | | | 21 | | | | 372 | |
BancFirst Corp. | | | 3 | | | | 292 | |
Banco Latinoamericano de Comercio Exterior SA - Class E | | | 10 | | | | 137 | |
Bancorp, Inc.(1) | | | 8 | | | | 164 | |
Bank First Corp. | | | 3 | | | | 202 | |
Bank of Hawaii Corp. | | | 133 | | | | 9,930 | |
Bank of Marin Bancorp | | | 6 | | | | 196 | |
Bank of New York Mellon Corp. | | | 130 | | | | 5,413 | |
Bank of NT Butterfield & Son Ltd. | | | 250 | | | | 7,793 | |
Bank OZK | | | 266 | | | | 9,987 | |
BankUnited, Inc. | | | 336 | | | | 11,967 | |
Bankwell Financial Group, Inc. | | | 3 | | | | 79 | |
Banner Corp. | | | 12 | | | | 661 | |
Bar Harbor Bankshares | | | 6 | | | | 155 | |
BayCom Corp. | | | 4 | | | | 86 | |
BCB Bancorp, Inc. | | | 5 | | | | 91 | |
Berkshire Hills Bancorp, Inc. | | | 16 | | | | 399 | |
BGC Partners, Inc. - Class A | | | 117 | | | | 394 | |
Blackstone Mortgage Trust, Inc. - Class A | | | 63 | | | | 1,742 | |
Blue Foundry Bancorp(1) | | | 9 | | | | 107 | |
Blue Ridge Bankshares, Inc. | | | 8 | | | | 117 | |
BOK Financial Corp. | | | 84 | | | | 6,355 | |
Bridgewater Bancshares, Inc.(1) | | | 7 | | | | 118 | |
Bright Health Group, Inc.(1) | | | 70 | | | | 128 | |
Brighthouse Financial, Inc.(1) | | | 147 | | | | 6,019 | |
Brightsphere Investment Group, Inc. | | | 419 | | | | 7,553 | |
BrightSpire Capital, Inc. - Class A | | | 34 | | | | 259 | |
Broadmark Realty Capital, Inc. | | | 49 | | | | 328 | |
Brookline Bancorp, Inc. | | | 580 | | | | 7,721 | |
Brown & Brown, Inc. | | | 7 | | | | 384 | |
Business First Bancshares, Inc. | | | 9 | | | | 188 | |
Byline Bancorp, Inc. | | | 10 | | | | 233 | |
Cadence Bank | | | 737 | | | | 17,315 | |
Cambridge Bancorp | | | 3 | | | | 222 | |
Camden National Corp. | | | 6 | | | | 249 | |
Cannae Holdings, Inc.(1) | | | 29 | | | | 560 | |
Capital Bancorp, Inc. | | | 3 | | | | 63 | |
Capital City Bank Group, Inc. | | | 6 | | | | 154 | |
Capitol Federal Financial, Inc. | | | 44 | | | | 401 | |
Capstar Financial Holdings, Inc. | | | 8 | | | | 158 | |
Carlyle Group, Inc. | | | 6 | | | | 197 | |
Carter Bankshares, Inc.(1) | | | 9 | | | | 125 | |
Cathay General Bancorp | | | 411 | | | | 16,108 | |
CBOE Global Markets, Inc. | | | 3 | | | | 364 | |
CBTX, Inc. | | | 7 | | | | 192 | |
Central Pacific Financial Corp. | | | 8 | | | | 182 | |
Chicago Atlantic Real Estate Finance, Inc. | | | 2 | | | | 28 | |
Chimera Investment Corp. | | | 239 | | | | 2,106 | |
Cincinnati Financial Corp. | | | 5 | | | | 559 | |
Citizens & Northern Corp. | | | 6 | | | | 150 | |
Citizens Financial Group, Inc. | | | 274 | | | | 9,771 | |
City Holding Co. | | | 5 | | | | 403 | |
Civista Bancshares, Inc. | | | 6 | | | | 135 | |
Claros Mortgage Trust, Inc. | | | 34 | | | | 575 | |
CNA Financial Corp. | | | 106 | | | | 4,759 | |
CNB Financial Corp. | | | 7 | | | | 158 | |
CNO Financial Group, Inc. | | | 385 | | | | 6,967 | |
Coinbase Global, Inc. - Class A(1) | | | 5 | | | | 219 | |
Colony Bankcorp, Inc. | | | 8 | | | | 113 | |
Columbia Banking System, Inc. | | | 27 | | | | 760 | |
Columbia Financial, Inc.(1) | | | 9 | | | | 206 | |
| | | | | | | | |
Comerica, Inc. | | | 4 | | | | 289 | |
Commerce Bancshares, Inc. | | | 3 | | | | 225 | |
Community Bank System, Inc. | | | 18 | | | | 1,147 | |
Community Trust Bancorp, Inc. | | | 6 | | | | 256 | |
Compass Diversified Holdings | | | 186 | | | | 3,979 | |
ConnectOne Bancorp, Inc. | | | 53 | | | | 1,290 | |
Consumer Portfolio Services, Inc.(1) | | | 5 | | | | 54 | |
Cowen, Inc. - Class A | | | 10 | | | | 240 | |
Crawford & Co. - Class A | | | 6 | | | | 48 | |
Credit Acceptance Corp.(1)(2) | | | 0 | | | | 89 | |
CrossFirst Bankshares, Inc.(1) | | | 18 | | | | 243 | |
Cullen/Frost Bankers, Inc. | | | 2 | | | | 204 | |
Curo Group Holdings Corp. | | | 4 | | | | 20 | |
Customers Bancorp, Inc.(1) | | | 11 | | | | 378 | |
CVB Financial Corp. | | | 871 | | | | 21,610 | |
Dime Community Bancshares, Inc. | | | 13 | | | | 375 | |
Discover Financial Services | | | 275 | | | | 25,975 | |
Donegal Group, Inc. - Class A | | | 5 | | | | 80 | |
Donnelley Financial Solutions, Inc.(1) | | | 75 | | | | 2,183 | |
Dynex Capital, Inc. | | | 13 | | | | 212 | |
Eagle Bancorp, Inc. | | | 11 | | | | 514 | |
East West Bancorp, Inc. | | | 406 | | | | 26,307 | |
Eastern Bankshares, Inc. | | | 48 | | | | 891 | |
eHealth, Inc.(1) | | | 6 | | | | 60 | |
Element Fleet Management Corp. | | | 920 | | | | 9,595 | |
Ellington Financial, Inc. | | | 20 | | | | 300 | |
Employers Holdings, Inc. | | | 9 | | | | 392 | |
Enact Holdings, Inc. | | | 28 | | | | 595 | |
Encore Capital Group, Inc.(1) | | | 25 | | | | 1,445 | |
Enova International, Inc.(1) | | | 12 | | | | 341 | |
Enstar Group Ltd.(1) | | | 23 | | | | 5,019 | |
Enterprise Bancorp, Inc. | | | 4 | | | | 132 | |
Enterprise Financial Services Corp. | | | 13 | | | | 551 | |
Equitable Holdings, Inc. | | | 12 | | | | 301 | |
Equity Bancshares, Inc. - Class A | | | 6 | | | | 172 | |
Erie Indemnity Co. - Class A(2) | | | 0 | | | | 40 | |
Esquire Financial Holdings, Inc. | | | 1 | | | | 21 | |
Essent Group Ltd. | | | 108 | | | | 4,206 | |
Evercore, Inc. - Class A | | | 1 | | | | 105 | |
Everest Re Group Ltd. | | | 97 | | | | 27,077 | |
EZCORP, Inc. - Class A(1) | | | 17 | | | | 128 | |
FactSet Research Systems, Inc. | | | 28 | | | | 10,928 | |
Farmers & Merchants Bancorp, Inc. | | | 3 | | | | 106 | |
Farmers National Banc Corp. | | | 13 | | | | 196 | |
FB Financial Corp. | | | 14 | | | | 536 | |
Federal Agricultural Mortgage Corp. - Class C | | | 3 | | | | 319 | |
Fidelity National Financial, Inc. | | | 8 | | | | 305 | |
Fifth Third Bancorp | | | 1,018 | | | | 34,210 | |
Finance Of America Companies, Inc. - Class A(1) | | | 19 | | | | 30 | |
Financial Institutions, Inc. | | | 6 | | | | 165 | |
First American Financial Corp. | | | 103 | | | | 5,473 | |
First Bancorp | | | 12 | | | | 406 | |
First Bancorp | | | 346 | | | | 4,467 | |
First Bancorp, Inc. | | | 4 | | | | 129 | |
First Bancshares, Inc. | | | 8 | | | | 229 | |
First Bank/Hamilton NJ | | | 7 | | | | 101 | |
First Busey Corp. | | | 20 | | | | 462 | |
First Business Financial Services, Inc. | | | 3 | | | | 98 | |
First Citizens BancShares, Inc. - Class A(2) | | | 0 | | | | 181 | |
First Commonwealth Financial Corp. | | | 32 | | | | 424 | |
First Community Bankshares, Inc. | | | 7 | | | | 199 | |
First Financial Bancorp | | | 32 | | | | 615 | |
First Financial Corp. | | | 5 | | | | 209 | |
First Foundation, Inc. | | | 20 | | | | 400 | |
First Guaranty Bancshares, Inc. | | | 2 | | | | 49 | |
First Hawaiian, Inc. | | | 345 | | | | 7,825 | |
First Horizon Corp. | | | 16 | | | | 349 | |
First Internet Bancorp | | | 4 | | | | 130 | |
First Interstate BancSystem, Inc. - Class A | | | 316 | | | | 12,045 | |
| | | | | | | | |
First Merchants Corp. | | | 38 | | | | 1,343 | |
First Mid Bancshares, Inc. | | | 19 | | | | 664 | |
First of Long Island Corp. | | | 9 | | | | 165 | |
First Republic Bank | | | 103 | | | | 14,895 | |
First Western Financial, Inc.(1) | | | 3 | | | | 71 | |
FirstCash Holdings, Inc. | | | 7 | | | | 504 | |
Five Star Bancorp | | | 4 | | | | 100 | |
Flagstar Bancorp, Inc. | | | 18 | | | | 637 | |
Flushing Financial Corp. | | | 11 | | | | 242 | |
FNB Corp. | | | 314 | | | | 3,415 | |
Focus Financial Partners, Inc. - Class A(1) | | | 178 | | | | 6,067 | |
Franklin BSP Realty Trust, Inc. | | | 29 | | | | 392 | |
Franklin Resources, Inc. | | | 8 | | | | 198 | |
FS KKR Capital Corp. | | | 122 | | | | 2,372 | |
Fulton Financial Corp. | | | 58 | | | | 831 | |
FVCBankcorp, Inc.(1) | | | 4 | | | | 69 | |
GAMCO Investors, Inc. - Class A(2) | | | 0 | | | | 5 | |
GCM Grosvenor, Inc. - Class A | | | 2 | | | | 11 | |
Genworth Financial, Inc. - Class A(1) | | | 173 | | | | 610 | |
German American Bancorp, Inc. | | | 11 | | | | 371 | |
Glacier Bancorp, Inc. | | | 429 | | | | 20,324 | |
Globe Life, Inc. | | | 94 | | | | 9,181 | |
Goosehead Insurance, Inc. - Class A | | | 1 | | | | 47 | |
Granite Point Mortgage Trust, Inc. | | | 19 | | | | 178 | |
Great Southern Bancorp, Inc. | | | 4 | | | | 221 | |
Green Dot Corp. - Class A(1) | | | 16 | | | | 400 | |
Greenlight Capital Re Ltd. - Class A(1) | | | 10 | | | | 77 | |
Guaranty Bancshares, Inc. | | | 4 | | | | 132 | |
Hancock Whitney Corp. | | | 33 | | | | 1,455 | |
Hanmi Financial Corp. | | | 287 | | | | 6,435 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 30 | | | | 1,128 | |
Hanover Insurance Group, Inc. | | | 68 | | | | 9,949 | |
HarborOne Bancorp, Inc. | | | 18 | | | | 241 | |
Hartford Financial Services Group, Inc. | | | 282 | | | | 18,426 | |
HBT Financial, Inc. | | | 4 | | | | 67 | |
Heartland Financial USA, Inc. | | | 16 | | | | 674 | |
Heritage Commerce Corp. | | | 24 | | | | 253 | |
Heritage Financial Corp. | | | 12 | | | | 292 | |
Hilltop Holdings, Inc. | | | 24 | | | | 629 | |
Hingham Institution for Savings | | | 1 | | | | 158 | |
Hippo Holdings, Inc.(1) | | | 91 | | | | 80 | |
Home Bancorp, Inc. | | | 3 | | | | 113 | |
Home Bancshares, Inc. | | | 192 | | | | 3,993 | |
Home Point Capital, Inc. | | | 3 | | | | 10 | |
HomeStreet, Inc. | | | 6 | | | | 224 | |
HomeTrust Bancshares, Inc. | | | 5 | | | | 131 | |
Hope Bancorp, Inc. | | | 39 | | | | 542 | |
Horace Mann Educators Corp. | | | 245 | | | | 9,412 | |
Horizon Bancorp, Inc. | | | 16 | | | | 281 | |
Huntington Bancshares, Inc. | | | 1,785 | | | | 21,469 | |
Independent Bank Corp. | | | 9 | | | | 165 | |
Independent Bank Corp. | | | 280 | | | | 22,253 | |
Independent Bank Group, Inc. | | | 48 | | | | 3,242 | |
Interactive Brokers Group, Inc. - Class A | | | 3 | | | | 153 | |
International Bancshares Corp. | | | 21 | | | | 854 | |
Invesco Ltd. | | | 11 | | | | 181 | |
Invesco Mortgage Capital, Inc. | | | 13 | | | | 188 | |
Investors Title Co.(2) | | | 0 | | | | 64 | |
Jackson Financial, Inc. - Class A | | | 28 | | | | 756 | |
James River Group Holdings Ltd. | | | 24 | | | | 590 | |
Janus Henderson Group Plc | | | 4 | | | | 98 | |
Jefferies Financial Group, Inc. | | | 6 | | | | 174 | |
John Marshall Bancorp, Inc. | | | 4 | | | | 89 | |
Kearny Financial Corp. | | | 24 | | | | 270 | |
Kemper Corp. | | | 2 | | | | 91 | |
KeyCorp | | | 1,536 | | | | 26,467 | |
KKR & Co., Inc. - Class Miscella | | | 17 | | | | 800 | |
KKR Real Estate Finance Trust, Inc. | | | 19 | | | | 334 | |
Ladder Capital Corp. - Class A | | | 42 | | | | 444 | |
| | | | | | | | |
Lakeland Bancorp, Inc. | | | 24 | | | | 350 | |
Lakeland Financial Corp. | | | 127 | | | | 8,466 | |
Lazard Ltd. - Class A | | | 110 | | | | 3,579 | |
Lemonade, Inc.(1) | | | 16 | | | | 287 | |
LendingClub Corp.(1) | | | 36 | | | | 416 | |
Lincoln National Corp. | | | 84 | | | | 3,907 | |
Live Oak Bancshares, Inc. | | | 3 | | | | 95 | |
Loews Corp. | | | 125 | | | | 7,423 | |
Luther Burbank Corp. | | | 7 | | | | 90 | |
M&T Bank Corp. | | | 5 | | | | 858 | |
Macatawa Bank Corp. | | | 12 | | | | 107 | |
Manning & Napier, Inc. - Class A | | | 4 | | | | 44 | |
Markel Corp.(1)(2) | | | 0 | | | | 402 | |
MarketWise, Inc.(1) | | | 6 | | | | 20 | |
MBIA, Inc.(1) | | | 18 | | | | 220 | |
Mercantile Bank Corp. | | | 6 | | | | 203 | |
Merchants Bancorp | | | 6 | | | | 144 | |
Mercury General Corp. | | | 11 | | | | 469 | |
Meta Financial Group, Inc. | | | 7 | | | | 276 | |
Metrocity Bankshares, Inc. | | | 5 | | | | 109 | |
Metropolitan Bank Holding Corp.(1) | | | 4 | | | | 258 | |
MFA Financial, Inc. | | | 38 | | | | 410 | |
MGIC Investment Corp. | | | 219 | | | | 2,763 | |
Mid Penn Bancorp, Inc. | | | 6 | | | | 155 | |
Midland States Bancorp, Inc. | | | 9 | | | | 205 | |
MidWestOne Financial Group, Inc. | | | 6 | | | | 173 | |
Moelis & Co. - Class A | | | 12 | | | | 481 | |
Moneylion, Inc.(1) | | | 60 | | | | 79 | |
Morningstar, Inc.(2) | | | 0 | | | | 18 | |
Mr Cooper Group, Inc.(1) | | | 237 | | | | 8,720 | |
MSCI, Inc. - Class A | | | 1 | | | | 239 | |
MVB Financial Corp. | | | 4 | | | | 138 | |
Nasdaq, Inc. | | | 134 | | | | 20,474 | |
National Bank Holdings Corp. - Class A | | | 10 | | | | 383 | |
National Western Life Group, Inc. - Class A | | | 1 | | | | 187 | |
Navient Corp. | | | 267 | | | | 3,737 | |
NBT Bancorp, Inc. | | | 14 | | | | 525 | |
Nelnet, Inc. - Class A | | | 6 | | | | 469 | |
New Residential Investment Corp. | | | 1,520 | | | | 14,164 | |
New York Community Bancorp, Inc. | | | 14 | | | | 127 | |
New York Mortgage Trust, Inc. | | | 140 | | | | 387 | |
Nexpoint Real Estate Finance, Inc. | | | 3 | | | | 53 | |
NI Holdings, Inc.(1) | | | 3 | | | | 53 | |
Nicolet Bankshares, Inc.(1) | | | 4 | | | | 313 | |
NMI Holdings, Inc. - Class A(1) | | | 30 | | | | 501 | |
Northeast Bank | | | 3 | | | | 95 | |
Northern Trust Corp. | | | 6 | | | | 596 | |
Northfield Bancorp, Inc. | | | 15 | | | | 200 | |
Northwest Bancshares, Inc. | | | 41 | | | | 526 | |
OceanFirst Financial Corp. | | | 23 | | | | 432 | |
OFG Bancorp | | | 17 | | | | 430 | |
Old National Bancorp | | | 341 | | | | 5,044 | |
Old Republic International Corp. | | | 142 | | | | 3,166 | |
Old Second Bancorp, Inc. | | | 16 | | | | 219 | |
OneMain Holdings, Inc. - Class A | | | 4 | | | | 135 | |
Oportun Financial Corp.(1) | | | 10 | | | | 83 | |
Oppenheimer Holdings, Inc. - Class A | | | 3 | | | | 112 | |
OppFi, Inc.(1) | | | 6 | | | | 21 | |
Orchid Island Capital, Inc. - Class A | | | 61 | | | | 175 | |
Origin Bancorp, Inc. | | | 33 | | | | 1,266 | |
Orrstown Financial Services, Inc. | | | 4 | | | | 99 | |
Oscar Health, Inc. - Class A(1) | | | 43 | | | | 184 | |
Pacific Premier Bancorp, Inc. | | | 106 | | | | 3,086 | |
PacWest Bancorp | | | 89 | | | | 2,367 | |
Park National Corp. | | | 5 | | | | 643 | |
Parke Bancorp, Inc. | | | 4 | | | | 81 | |
Patria Investments Ltd. - Class A | | | 39 | | | | 513 | |
PCB Bancorp | | | 5 | | | | 85 | |
PCSB Financial Corp. | | | 6 | | | | 110 | |
| | | | | | | | |
Peapack Gladstone Financial Corp. | | | 7 | | | | 208 | |
PennantPark Investment Corp. | | | 164 | | | | 1,010 | |
PennyMac Financial Services, Inc. | | | 11 | | | | 499 | |
PennyMac Mortgage Investment Trust | | | 27 | | | | 371 | |
Peoples Bancorp, Inc. | | | 11 | | | | 288 | |
Peoples Financial Services Corp. | | | 3 | | | | 159 | |
Pinnacle Financial Partners, Inc. | | | 2 | | | | 163 | |
Pioneer Bancorp, Inc.(1) | | | 4 | | | | 37 | |
Piper Sandler Companies | | | 6 | | | | 733 | |
Popular, Inc. | | | 43 | | | | 3,289 | |
PRA Group, Inc.(1) | | | 14 | | | | 524 | |
Preferred Bank | | | 4 | | | | 248 | |
Premier Financial Corp. | | | 39 | | | | 987 | |
Primerica, Inc. | | | 1 | | | | 138 | |
Primis Financial Corp. | | | 9 | | | | 121 | |
Principal Financial Group, Inc. | | | 80 | | | | 5,368 | |
ProAssurance Corp. | | | 67 | | | | 1,591 | |
Professional Holding Corp. - Class A(1) | | | 4 | | | | 79 | |
PROG Holdings, Inc.(1) | | | 183 | | | | 3,025 | |
Prospect Capital Corp. | | | 296 | | | | 2,066 | |
Prosperity Bancshares, Inc. | | | 185 | | | | 12,638 | |
Provident Bancorp, Inc. | | | 6 | | | | 86 | |
Provident Financial Services, Inc. | | | 69 | | | | 1,530 | |
Prudential Financial, Inc. | | | 54 | | | | 5,177 | |
QCR Holdings, Inc. | | | 21 | | | | 1,122 | |
Radian Group, Inc. | | | 66 | | | | 1,293 | |
Raymond James Financial, Inc. | | | 61 | | | | 5,454 | |
RBB Bancorp | | | 7 | | | | 136 | |
Ready Capital Corp. | | | 27 | | | | 326 | |
Red River Bancshares, Inc. | | | 2 | | | | 97 | |
Redwood Trust, Inc. | | | 45 | | | | 350 | |
Regional Management Corp. | | | 3 | | | | 108 | |
Regions Financial Corp. | | | 409 | | | | 7,662 | |
Reinsurance Group of America, Inc. - Class A | | | 111 | | | | 13,013 | |
RenaissanceRe Holdings Ltd. | | | 36 | | | | 5,570 | |
Renasant Corp. | | | 19 | | | | 533 | |
Republic Bancorp, Inc. - Class A | | | 4 | | | | 179 | |
Republic First Bancorp, Inc.(1) | | | 14 | | | | 53 | |
Robinhood Markets, Inc. - Class A(1) | | | 17 | | | | 137 | |
Rocket Companies, Inc. - Class A | | | 2 | | | | 16 | |
Root, Inc./OH - Class A(1) | | | 51 | | | | 60 | |
S&T Bancorp, Inc. | | | 13 | | | | 356 | |
Safety Insurance Group, Inc. | | | 5 | | | | 481 | |
Sandy Spring Bancorp, Inc. | | | 156 | | | | 6,100 | |
Sculptor Capital Management, Inc. - Class A | | | 5 | | | | 42 | |
Seacoast Banking Corp. of Florida | | | 19 | | | | 628 | |
SEI Investments Co. | | | 3 | | | | 174 | |
Selective Insurance Group, Inc. | | | 258 | | | | 22,468 | |
Selectquote, Inc.(1) | | | 48 | | | | 120 | |
Shore Bancshares, Inc. | | | 7 | | | | 121 | |
Sierra Bancorp | | | 5 | | | | 114 | |
Signature Bank | | | 2 | | | | 317 | |
Silvergate Capital Corp. - Class A(1) | | | 2 | | | | 133 | |
Simmons First National Corp. - Class A | | | 42 | | | | 893 | |
SiriusPoint Ltd.(1) | | | 35 | | | | 190 | |
SLM Corp. | | | 1,257 | | | | 20,032 | |
SmartFinancial, Inc. | | | 7 | | | | 161 | |
SoFi Technologies, Inc.(1) | | | 24 | | | | 127 | |
South Plains Financial, Inc. | | | 4 | | | | 100 | |
South State Corp. | | | 288 | | | | 22,234 | |
Southern First Bancshares, Inc.(1) | | | 3 | | | | 144 | |
Southern Missouri Bancorp, Inc. | | | 3 | | | | 147 | |
Southside Bancshares, Inc. | | | 11 | | | | 396 | |
Starwood Property Trust, Inc. | | | 9 | | | | 187 | |
State Street Corp. | | | 177 | | | | 10,922 | |
Sterling Bancorp, Inc.(1) | | | 7 | | | | 39 | |
Stewart Information Services Corp. | | | 9 | | | | 456 | |
Stifel Financial Corp. | | | 178 | | | | 9,964 | |
Stock Yards Bancorp, Inc. | | | 2 | | | | 119 | |
| | | | | | | | |
StoneX Group, Inc.(1) | | | 6 | | | | 453 | |
Summit Financial Group, Inc. | | | 4 | | | | 115 | |
Sunlight Financial Holdings, Inc.(1) | | | 9 | | | | 28 | |
SVB Financial Group(1) | | | 45 | | | | 17,687 | |
SWK Holdings Corp.(1) | | | 1 | | | | 19 | |
Synchrony Financial | | | 15 | | | | 415 | |
Synovus Financial Corp. | | | 4 | | | | 157 | |
T Rowe Price Group, Inc. | | | 7 | | | | 774 | |
Texas Capital Bancshares, Inc.(1) | | | 120 | | | | 6,294 | |
TFS Financial Corp. | | | 2 | | | | 25 | |
Third Coast Bancshares, Inc.(1) | | | 5 | | | | 101 | |
Tiptree, Inc. | | | 10 | | | | 103 | |
Tompkins Financial Corp. | | | 5 | | | | 376 | |
Towne Bank | | | 62 | | | | 1,688 | |
TPG RE Finance Trust, Inc. | | | 25 | | | | 222 | |
Tradeweb Markets, Inc. - Class A | | | 1 | | | | 80 | |
Travelers Companies, Inc. | | | 33 | | | | 5,530 | |
Trean Insurance Group, Inc.(1) | | | 9 | | | | 57 | |
TriCo Bancshares | | | 12 | | | | 557 | |
Triumph Bancorp, Inc.(1) | | | 5 | | | | 343 | |
Truist Financial Corp. | | | 277 | | | | 13,138 | |
TrustCo Bank Corp. NY | | | 6 | | | | 200 | |
Trustmark Corp. | | | 21 | | | | 609 | |
Two Harbors Investment Corp. | | | 1,986 | | | | 9,892 | |
UMB Financial Corp. | | | 174 | | | | 15,017 | |
Umpqua Holdings Corp. | | | 776 | | | | 13,011 | |
United Bankshares, Inc. | | | 436 | | | | 15,281 | |
United Community Banks, Inc. | | | 36 | | | | 1,072 | |
United Fire Group, Inc. | | | 8 | | | | 267 | |
Unity Bancorp, Inc. | | | 3 | | | | 72 | |
Universal Insurance Holdings, Inc. | | | 99 | | | | 1,284 | |
Univest Financial Corp. | | | 11 | | | | 290 | |
Unum Group | | | 104 | | | | 3,530 | |
Upstart Holdings, Inc.(1) | | | 2 | | | | 56 | |
USCB Financial Holdings, Inc.(1) | | | 4 | | | | 44 | |
UWM Holdings Corp.(2) | | | 0 | | | | 1 | |
Valley National Bancorp | | | 429 | | | | 4,468 | |
Value Line, Inc.(2) | | | 0 | | | | 5 | |
Velocity Financial, Inc.(1) | | | 3 | | | | 33 | |
Veritex Holdings, Inc. | | | 81 | | | | 2,365 | |
Victory Capital Holdings, Inc. - Class A | | | 4 | | | | 107 | |
Virtu Financial, Inc. - Class A | | | 3 | | | | 70 | |
Virtus Investment Partners, Inc. | | | 2 | | | | 398 | |
Voya Financial, Inc. | | | 56 | | | | 3,330 | |
Walker & Dunlop, Inc. | | | 4 | | | | 348 | |
Washington Federal, Inc. | | | 26 | | | | 790 | |
Washington Trust Bancorp, Inc. | | | 7 | | | | 349 | |
Waterstone Financial, Inc. | | | 9 | | | | 148 | |
Webster Financial Corp. | | | 350 | | | | 14,756 | |
WesBanco, Inc. | | | 22 | | | | 685 | |
West Bancorp, Inc. | | | 6 | | | | 137 | |
Westamerica Bancorp | | | 7 | | | | 399 | |
Western Alliance Bancorp | | | 1 | | | | 87 | |
White Mountains Insurance Group Ltd.(2) | | | 0 | | | | 106 | |
Willis Towers Watson Plc | | | 54 | | | | 10,617 | |
Wintrust Financial Corp. | | | 57 | | | | 4,533 | |
World Acceptance Corp.(1)(2) | | | 0 | | | | 54 | |
WR Berkley Corp. | | | 6 | | | | 424 | |
WSFS Financial Corp. | | | 21 | | | | 861 | |
Zions Bancorp N.A. | | | 304 | | | | 15,470 | |
| | | | | | | | |
Total Financials | | | | 1,212,435 | |
| | | | | | | | |
Healthcare – 9.52% | | | | | | | | |
10X Genomics, Inc. - Class A(1)(2) | | | 0 | | | | 17 | |
1Life Healthcare, Inc.(1) | | | 68 | | | | 530 | |
23andMe Holding Co. - Class A(1) | | | 35 | | | | 88 | |
2seventy bio, Inc.(1) | | | 13 | | | | 176 | |
4D Molecular Therapeutics, Inc.(1) | | | 11 | | | | 80 | |
AbCellera Biologics, Inc.(1) | | | 45 | | | | 476 | |
Absci Corp.(1) | | | 18 | | | | 60 | |
| | | | | | | | |
Acadia Healthcare Co., Inc.(1) | | | 3 | | | | 181 | |
Accolade, Inc.(1) | | | 22 | | | | 166 | |
Adagio Therapeutics, Inc.(1) | | | 18 | | | | 58 | |
AdaptHealth Corp. - Class A(1) | | | 454 | | | | 8,183 | |
Adaptive Biotechnologies Corp.(1) | | | 41 | | | | 330 | |
Addus HomeCare Corp.(1) | | | 133 | | | | 11,110 | |
Adicet Bio, Inc.(1) | | | 11 | | | | 155 | |
ADMA Biologics, Inc.(1) | | | 36 | | | | 70 | |
Aduro Bioteech, Inc.(1)(4) | | | 1 | | | | 3 | |
Aerie Pharmaceuticals, Inc.(1) | | | 3 | | | | 21 | |
Aerovate Therapeutics, Inc.(1) | | | 3 | | | | 53 | |
Affimed NV(1) | | | 5 | | | | 14 | |
Agilent Technologies, Inc. | | | 46 | | | | 5,415 | |
Agiliti, Inc.(1) | | | 306 | | | | 6,277 | |
agilon health, Inc.(1)(2) | | | 0 | | | | 9 | |
Agios Pharmaceuticals, Inc.(1) | | | 21 | | | | 468 | |
Akero Therapeutics, Inc.(1) | | | 9 | | | | 87 | |
Align Technology, Inc.(1) | | | 1 | | | | 144 | |
Allogene Therapeutics, Inc.(1) | | | 30 | | | | 341 | |
Allovir, Inc.(1) | | | 11 | | | | 42 | |
Allscripts Healthcare Solutions, Inc.(1) | | | 42 | | | | 623 | |
Alpha Teknova, Inc.(1) | | | 3 | | | | 22 | |
Alphatec Holdings, Inc.(1) | | | 2 | | | | 13 | |
Alpine Immune Sciences, Inc.(1) | | | 3 | | | | 23 | |
ALX Oncology Holdings, Inc.(1) | | | 8 | | | | 62 | |
Amedisys, Inc.(1) | | | 1 | | | | 105 | |
American Well Corp. - Class A(1) | | | 86 | | | | 370 | |
AmerisourceBergen Corp. - Class A | | | 110 | | | | 15,601 | |
AMN Healthcare Services, Inc.(1) | | | 116 | | | | 12,759 | |
Amylyx Pharmaceuticals, Inc.(1) | | | 3 | | | | 62 | |
AN2 Therapeutics, Inc.(1) | | | 2 | | | | 12 | |
AnaptysBio, Inc.(1) | | | 8 | | | | 154 | |
AngioDynamics, Inc.(1) | | | 13 | | | | 255 | |
ANI Pharmaceuticals, Inc.(1) | | | 5 | | | | 140 | |
Anika Therapeutics, Inc.(1) | | | 6 | | | | 130 | |
Arbutus Biopharma Corp.(1) | | | 18 | | | | 49 | |
Arcellx, Inc.(1) | | | 3 | | | | 62 | |
Arcturus Therapeutics Holdings, Inc.(1) | | | 1 | | | | 14 | |
Arcus Biosciences, Inc.(1) | | | 19 | | | | 472 | |
Artivion, Inc.(1) | | | 2 | | | | 29 | |
Atara Biotherapeutics, Inc.(1) | | | 31 | | | | 242 | |
Atea Pharmaceuticals, Inc.(1) | | | 30 | | | | 210 | |
Athira Pharma, Inc.(1) | | | 11 | | | | 34 | |
ATI Physical Therapy, Inc.(1) | | | 31 | | | | 44 | |
AtriCure, Inc.(1) | | | 6 | | | | 249 | |
Avanos Medical, Inc.(1) | | | 17 | | | | 475 | |
Avantor, Inc.(1) | | | 1,221 | | | | 37,978 | |
Aveanna Healthcare Holdings, Inc.(1) | | | 3,109 | | | | 7,027 | |
Avidity Biosciences, Inc.(1) | | | 19 | | | | 269 | |
Azenta, Inc. | | | 2 | | | | 159 | |
Berkeley Lights, Inc.(1) | | | 20 | | | | 100 | |
BioCryst Pharmaceuticals, Inc.(1) | | | 21 | | | | 221 | |
Biogen, Inc.(1) | | | 4 | | | | 902 | |
Biohaven Pharmaceutical Holding Co. Ltd.(1) | | | 9 | | | | 1,281 | |
BioLife Solutions, Inc.(1) | | | 11 | | | | 155 | |
BioMarin Pharmaceutical, Inc.(1) | | | 6 | | | | 464 | |
Bionano Genomics, Inc.(1) | | | 105 | | | | 145 | |
Bio-Rad Laboratories, Inc. - Class A(1) | | | 1 | | | | 318 | |
Bioventus, Inc. - Class A(1) | | | 11 | | | | 76 | |
Bioxcel Therapeutics, Inc.(1) | | | 7 | | | | 89 | |
Bluebird Bio, Inc.(1) | | | 28 | | | | 115 | |
Boston Scientific Corp.(1) | | | 259 | | | | 9,663 | |
Bridgebio Pharma, Inc.(1) | | | 14 | | | | 128 | |
Brookdale Senior Living, Inc.(1) | | | 68 | | | | 310 | |
Butterfly Network, Inc.(1) | | | 48 | | | | 147 | |
C4 Therapeutics, Inc.(1) | | | 15 | | | | 114 | |
Cara Therapeutics, Inc.(1) | | | 17 | | | | 153 | |
Cardinal Health, Inc. | | | 85 | | | | 4,464 | |
Cardiovascular Systems, Inc.(1) | | | 7 | | | | 107 | |
| | | | | | | | |
CareMax, Inc.(1) | | | 22 | | | | 78 | |
Caribou Biosciences, Inc.(1) | | | 19 | | | | 103 | |
Castle Biosciences, Inc.(1) | | | 9 | | | | 189 | |
Catalent, Inc.(1) | | | 4 | | | | 376 | |
Celldex Therapeutics, Inc.(1) | | | 13 | | | | 363 | |
Centene Corp.(1) | | | 163 | | | | 13,769 | |
Century Therapeutics, Inc.(1) | | | 7 | | | | 58 | |
Certara, Inc.(1) | | | 1 | | | | 25 | |
Change Healthcare, Inc.(1) | | | 7 | | | | 161 | |
Charles River Laboratories International, Inc.(1)(2) | | | 0 | | | | 20 | |
Chemed Corp.(2) | | | 0 | | | | 141 | |
ChemoCentryx, Inc.(1) | | | 6 | | | | 149 | |
Chimerix, Inc.(1) | | | 8 | | | | 17 | |
Chinook Therapeutics, Inc.(1) | | | 16 | | | | 273 | |
Cigna Corp. | | | 27 | | | | 7,191 | |
CinCor Pharma, Inc.(1) | | | 5 | | | | 89 | |
Cogent Biosciences, Inc.(1) | | | 16 | | | | 143 | |
Community Health Systems, Inc.(1) | | | 48 | | | | 180 | |
Computer Programs & Systems, Inc.(1) | | | 5 | | | | 150 | |
Convey Health Solutions Holdings, Inc.(1) | | | 6 | | | | 64 | |
Cooper Companies, Inc. | | | 44 | | | | 13,848 | |
Covetrus, Inc.(1) | | | 39 | | | | 812 | |
Crinetics Pharmaceuticals, Inc.(1) | | | 17 | | | | 313 | |
Cross Country Healthcare, Inc.(1) | | | 12 | | | | 245 | |
CryoPort, Inc.(1) | | | 3 | | | | 90 | |
CTI BioPharma Corp.(1) | | | 27 | | | | 160 | |
Cue Health, Inc.(1) | | | 39 | | | | 125 | |
Cullinan Oncology, Inc.(1) | | | 11 | | | | 137 | |
Cytokinetics, Inc.(1) | | | 3 | | | | 113 | |
DaVita, Inc.(1) | | | 65 | | | | 5,197 | |
Day One Biopharmaceuticals, Inc.(1) | | | 8 | | | | 150 | |
Deciphera Pharmaceuticals, Inc.(1) | | | 12 | | | | 152 | |
Definitive Healthcare Corp. - Class A(1)(2) | | | 0 | | | | 11 | |
Dentsply Sirona, Inc. | | | 7 | | | | 234 | |
Design Therapeutics, Inc.(1) | | | 12 | | | | 170 | |
DICE Therapeutics, Inc.(1) | | | 11 | | | | 169 | |
Doximity, Inc. - Class A(1) | | | 2 | | | | 54 | |
Dyne Therapeutics, Inc.(1) | | | 12 | | | | 85 | |
Edgewise Therapeutics, Inc.(1) | | | 10 | | | | 82 | |
Editas Medicine, Inc. - Class A(1) | | | 26 | | | | 308 | |
Eiger BioPharmaceuticals, Inc.(1) | | | 1 | | | | 9 | |
Elanco Animal Health, Inc.(1) | | | 1,432 | | | | 28,111 | |
Embecta Corp.(1) | | | 54 | | | | 1,355 | |
Emergent BioSolutions, Inc.(1) | | | 19 | | | | 583 | |
Enanta Pharmaceuticals, Inc.(1) | | | 6 | | | | 299 | |
Encompass Health Corp. | | | 3 | | | | 163 | |
Endo International Plc(1) | | | 79 | | | | 37 | |
Enochian Biosciences, Inc.(1) | | | 7 | | | | 13 | |
Enovis Corp.(1) | | | 253 | | | | 13,929 | |
Envista Holdings Corp.(1) | | | 309 | | | | 11,919 | |
EQRx, Inc.(1) | | | 52 | | | | 244 | |
Erasca, Inc.(1) | | | 23 | | | | 128 | |
Exact Sciences Corp.(1) | | | 4 | | | | 173 | |
Exelixis, Inc.(1) | | | 1 | | | | 28 | |
EyePoint Pharmaceuticals, Inc.(1) | | | 5 | | | | 39 | |
FibroGen, Inc.(1) | | | 4 | | | | 42 | |
Figs, Inc. - Class A(1) | | | 7 | | | | 64 | |
Forma Therapeutics Holdings, Inc.(1) | | | 14 | | | | 96 | |
Fulcrum Therapeutics, Inc.(1) | | | 14 | | | | 67 | |
Fulgent Genetics, Inc.(1) | | | 8 | | | | 441 | |
Generation Bio Co.(1) | | | 17 | | | | 109 | |
Geron Corp.(1) | | | 38 | | | | 58 | |
Globus Medical, Inc. - Class A(1) | | | 2 | | | | 123 | |
HCA Healthcare, Inc. | | | 61 | | | | 10,249 | |
Health Catalyst, Inc.(1) | | | 21 | | | | 302 | |
HealthStream, Inc.(1) | | | 8 | | | | 169 | |
Henry Schein, Inc.(1) | | | 4 | | | | 318 | |
HilleVax, Inc.(1) | | | 4 | | | | 39 | |
Hims & Hers Health, Inc.(1) | | | 7 | | | | 30 | |
| | | | | | | | |
Hologic, Inc.(1) | | | 190 | | | | 13,165 | |
Horizon Therapeutics Plc(1)(2) | | | 0 | | | | 39 | |
Humana, Inc. | | | 32 | | | | 15,036 | |
ICON Plc(1) | | | 118 | | | | 25,659 | |
Icosavax, Inc.(1) | | | 8 | | | | 44 | |
ICU Medical, Inc.(1) | | | 45 | | | | 7,385 | |
Ideaya Biosciences, Inc.(1) | | | 13 | | | | 176 | |
IGM Biosciences, Inc.(1) | | | 1 | | | | 20 | |
Imago Biosciences, Inc.(1) | | | 5 | | | | 61 | |
ImmunityBio, Inc.(1) | | | 7 | | | | 27 | |
ImmunoGen, Inc.(1) | | | 40 | | | | 178 | |
Immunovant, Inc.(1) | | | 14 | | | | 53 | |
Inari Medical, Inc.(1) | | | 2 | | | | 110 | |
Incyte Corp.(1) | | | 1 | | | | 56 | |
Innovage Holding Corp.(1) | | | 5 | | | | 24 | |
Innoviva, Inc.(1) | | | 147 | | | | 2,174 | |
Inogen, Inc.(1) | | | 8 | | | | 205 | |
Inotiv, Inc.(1) | | | 6 | | | | 59 | |
Inovio Pharmaceuticals, Inc.(1) | | | 83 | | | | 143 | |
Instil Bio, Inc.(1) | | | 25 | | | | 115 | |
Integer Holdings Corp.(1) | | | 179 | | | | 12,661 | |
Integra LifeSciences Holdings Corp.(1) | | | 2 | | | | 115 | |
Intellia Therapeutics, Inc.(1) | | | 10 | | | | 505 | |
Invitae Corp.(1) | | | 89 | | | | 217 | |
Ionis Pharmaceuticals, Inc.(1)(2) | | | 0 | | | | 13 | |
Iovance Biotherapeutics, Inc.(1) | | | 56 | | | | 619 | |
IQVIA Holdings, Inc.(1) | | | 93 | | | | 20,116 | |
Ironwood Pharmaceuticals, Inc. - Class A(1) | | | 370 | | | | 4,260 | |
iTeos Therapeutics, Inc.(1) | | | 9 | | | | 177 | |
Janux Therapeutics, Inc.(1) | | | 6 | | | | 71 | |
Jazz Pharmaceuticals Plc(1) | | | 78 | | | | 12,096 | |
Jounce Therapeutics, Inc.(1) | | | 17 | | | | 52 | |
KalVista Pharmaceuticals, Inc.(1) | | | 9 | | | | 86 | |
Keros Therapeutics, Inc.(1)(2) | | | 0 | | | | 14 | |
Kezar Life Sciences, Inc.(1) | | | 17 | | | | 138 | |
Kiniksa Pharmaceuticals Ltd. - Class A(1) | | | 1 | | | | 6 | |
Kinnate Biopharma, Inc.(1) | | | 10 | | | | 131 | |
Kodiak Sciences, Inc.(1) | | | 12 | | | | 92 | |
Kronos Bio, Inc.(1) | | | 17 | | | | 62 | |
Krystal Biotech, Inc.(1) | | | 5 | | | | 343 | |
Kura Oncology, Inc.(1) | | | 23 | | | | 431 | |
Kymera Therapeutics, Inc.(1) | | | 14 | | | | 282 | |
Laboratory Corp. of America Holdings | | | 44 | | | | 10,264 | |
Lannett Co., Inc.(1) | | | 58 | | | | 33 | |
Lantheus Holdings, Inc.(1) | | | 371 | | | | 24,472 | |
Lexicon Pharmaceuticals, Inc.(1) | | | 15 | | | | 28 | |
LifeStance Health Group, Inc.(1) | | | 26 | | | | 145 | |
Ligand Pharmaceuticals, Inc.(1) | | | 5 | | | | 443 | |
Liquidia Corp.(1) | | | 6 | | | | 27 | |
LivaNova Plc(1) | | | 5 | | | | 304 | |
Lyell Immunopharma, Inc.(1) | | | 65 | | | | 422 | |
MacroGenics, Inc.(1) | | | 22 | | | | 64 | |
MannKind Corp.(1) | | | 81 | | | | 310 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 96 | | | | 2,723 | |
Masimo Corp.(1)(2) | | | 0 | | | | 45 | |
MaxCyte, Inc.(1) | | | 31 | | | | 145 | |
McKesson Corp. | | | 45 | | | | 14,679 | |
MEDNAX, Inc.(1) | | | 32 | | | | 666 | |
MeiraGTx Holdings Plc(1) | | | 11 | | | | 85 | |
Merit Medical Systems, Inc.(1) | | | 3 | | | | 157 | |
Mersana Therapeutics, Inc.(1) | | | 31 | | | | 145 | |
MiMedx Group, Inc.(1) | | | 40 | | | | 139 | |
Mirati Therapeutics, Inc.(1) | | | 1 | | | | 91 | |
ModivCare, Inc.(1) | | | 98 | | | | 8,280 | |
Molina Healthcare, Inc.(1) | | | 33 | | | | 9,367 | |
Monte Rosa Therapeutics, Inc.(1) | | | 10 | | | | 99 | |
Morphic Holding, Inc.(1) | | | 1 | | | | 30 | |
Multiplan Corp.(1) | | | 141 | | | | 775 | |
Myriad Genetics, Inc.(1) | | | 30 | | | | 542 | |
| | | | | | | | |
NanoString Technologies, Inc.(1) | | | 2 | | | | 30 | |
Nano-X Imaging Ltd.(1) | | | 14 | | | | 155 | |
Natera, Inc.(1)(2) | | | 0 | | | | 6 | |
National HealthCare Corp. | | | 11 | | | | 754 | |
Natus Medical, Inc.(1) | | | 6 | | | | 180 | |
Nautilus Biotechnology, Inc. - Class A(1) | | | 16 | | | | 43 | |
Nektar Therapeutics - Class A(1) | | | 69 | | | | 260 | |
Neogen Corp.(1) | | | 4 | | | | 99 | |
NeoGenomics, Inc.(1) | | | 47 | | | | 386 | |
NextGen Healthcare, Inc.(1) | | | 12 | | | | 203 | |
NGM Biopharmaceuticals, Inc.(1) | | | 6 | | | | 74 | |
Nkarta, Inc.(1) | | | 12 | | | | 144 | |
Nurix Therapeutics, Inc.(1) | | | 17 | | | | 214 | |
Nuvalent, Inc. - Class A(1) | | | 6 | | | | 80 | |
Nuvation Bio, Inc.(1) | | | 44 | | | | 144 | |
Oak Street Health, Inc.(1) | | | 3 | | | | 57 | |
OPKO Health, Inc.(1) | | | 150 | | | | 380 | |
OraSure Technologies, Inc.(1) | | | 29 | | | | 79 | |
Organon & Co. | | | 157 | | | | 5,300 | |
Orthofix Medical, Inc.(1) | | | 7 | | | | 171 | |
Owens & Minor, Inc. | | | 24 | | | | 759 | |
P3 Health Partners, Inc.(1) | | | 5 | | | | 17 | |
Pacific Biosciences of California, Inc.(1) | | | 85 | | | | 375 | |
Pardes Biosciences, Inc. - Class A(1) | | | 10 | | | | 29 | |
Patterson Companies, Inc. | | | 90 | | | | 2,726 | |
PepGen, Inc.(1) | | | 2 | | | | 22 | |
PerkinElmer, Inc. | | | 4 | | | | 543 | |
Perrigo Co. Plc | | | 4 | | | | 164 | |
PetIQ, Inc. - Class A(1) | | | 2 | | | | 33 | |
Phreesia, Inc.(1) | | | 9 | | | | 236 | |
PMV Pharmaceuticals, Inc.(1) | | | 14 | | | | 203 | |
Point Biopharma Global, Inc. - Class A(1) | | | 3 | | | | 19 | |
Praxis Precision Medicines, Inc.(1) | | | 16 | | | | 39 | |
Precigen, Inc.(1) | | | 5 | | | | 6 | |
Premier, Inc. - Class A | | | 262 | | | | 9,353 | |
Prestige Consumer Healthcare, Inc.(1) | | | 277 | | | | 16,279 | |
Protagonist Therapeutics, Inc.(1) | | | 17 | | | | 132 | |
Provention Bio, Inc.(1) | | | 3 | | | | 12 | |
PTC Therapeutics, Inc.(1) | | | 6 | | | | 257 | |
QIAGEN NV(1) | | | 7 | | | | 326 | |
Quanterix Corp.(1) | | | 11 | | | | 173 | |
Quantum-Si, Inc.(1) | | | 32 | | | | 75 | |
Quest Diagnostics, Inc. | | | 4 | | | | 468 | |
QuidelOrtho Corp.(1) | | | 58 | | | | 5,650 | |
Rallybio Corp.(1) | | | 3 | | | | 19 | |
RAPT Therapeutics, Inc.(1) | | | 3 | | | | 52 | |
Reata Pharmaceuticals, Inc. - Class A(1) | | | 2 | | | | 53 | |
Recursion Pharmaceuticals, Inc. - Class A(1) | | | 46 | | | | 375 | |
REGENXBIO, Inc.(1) | | | 15 | | | | 371 | |
Relay Therapeutics, Inc.(1) | | | 26 | | | | 441 | |
Relmada Therapeutics, Inc.(1) | | | 2 | | | | 47 | |
Repligen Corp.(1)(2) | | | 0 | | | | 77 | |
Replimune Group, Inc.(1) | | | 11 | | | | 187 | |
REVOLUTION Medicines, Inc.(1) | | | 20 | | | | 397 | |
Rocket Pharmaceuticals, Inc.(1) | | | 17 | | | | 231 | |
Royalty Pharma Plc - Class A | | | 11 | | | | 464 | |
RxSight, Inc.(1) | | | 1 | | | | 15 | |
Sage Therapeutics, Inc.(1) | | | 19 | | | | 630 | |
Sana Biotechnology, Inc.(1) | | | 32 | | | | 207 | |
Sangamo Therapeutics, Inc.(1) | | | 46 | | | | 190 | |
SeaSpine Holdings Corp.(1) | | | 12 | | | | 66 | |
Seer, Inc. - Class A(1) | | | 19 | | | | 166 | |
Select Medical Holdings Corp. | | | 99 | | | | 2,328 | |
Sema4 Holdings Corp.(1) | | | 57 | | | | 72 | |
Sharecare, Inc.(1) | | | 24 | | | | 37 | |
Sight Sciences, Inc.(1) | | | 7 | | | | 62 | |
Signify Health, Inc. - Class A(1) | | | 2 | | | | 32 | |
Singular Genomics Systems, Inc.(1) | | | 19 | | | | 74 | |
SomaLogic, Inc.(1) | | | 51 | | | | 229 | |
| | | | | | | | |
Sorrento Therapeutics, Inc.(1) | | | 123 | | | | 246 | |
Sotera Health Co.(1) | | | 1,166 | | | | 22,851 | |
SpringWorks Therapeutics, Inc.(1) | | | 11 | | | | 261 | |
STERIS Plc | | | 3 | | | | 531 | |
Stoke Therapeutics, Inc.(1) | | | 8 | | | | 104 | |
Supernus Pharmaceuticals, Inc.(1) | | | 18 | | | | 520 | |
Surgery Partners, Inc.(1) | | | 2 | | | | 47 | |
Sutro Biopharma, Inc.(1) | | | 19 | | | | 99 | |
Syndax Pharmaceuticals, Inc.(1) | | | 14 | | | | 275 | |
Syneos Health, Inc. - Class A(1) | | | 300 | | | | 21,481 | |
Tactile Systems Technology, Inc.(1) | | | 5 | | | | 33 | |
Talaris Therapeutics, Inc.(1) | | | 8 | | | | 34 | |
Tandem Diabetes Care, Inc.(1)(2) | | | 0 | | | | 6 | |
Tango Therapeutics, Inc.(1) | | | 16 | | | | 73 | |
Tarsus Pharmaceuticals, Inc.(1) | | | 6 | | | | 92 | |
Teladoc Health, Inc.(1) | | | 4 | | | | 147 | |
Teleflex, Inc. | | | 1 | | | | 351 | |
Tenaya Therapeutics, Inc.(1) | | | 9 | | | | 53 | |
Tenet Healthcare Corp.(1) | | | 3 | | | | 169 | |
Theravance Biopharma, Inc.(1) | | | 2 | | | | 17 | |
Theseus Pharmaceuticals, Inc.(1) | | | 6 | | | | 31 | |
Travere Therapeutics, Inc. - Class Preferre(1) | | | 2 | | | | 51 | |
Tricida, Inc.(1) | | | 9 | | | | 91 | |
Turning Point Therapeutics, Inc.(1) | | | 15 | | | | 1,130 | |
Twist Bioscience Corp.(1) | | | 7 | | | | 230 | |
Tyra Biosciences, Inc.(1) | | | 5 | | | | 34 | |
Ultragenyx Pharmaceutical, Inc.(1)(2) | | | 0 | | | | 29 | |
United Therapeutics Corp.(1) | | | 33 | | | | 7,808 | |
Universal Health Services, Inc. - Class B | | | 84 | | | | 8,500 | |
Utah Medical Products, Inc.(2) | | | 0 | | | | 5 | |
Vanda Pharmaceuticals, Inc.(1) | | | 21 | | | | 227 | |
Varex Imaging Corp.(1) | | | 64 | | | | 1,369 | |
Vaxart, Inc.(1) | | | 35 | | | | 123 | |
VBI Vaccines, Inc.(1) | | | 66 | | | | 53 | |
Vera Therapeutics, Inc. - Class A(1)(2) | | | 0 | | | | 5 | |
Veracyte, Inc.(1) | | | 27 | | | | 537 | |
Verve Therapeutics, Inc.(1) | | | 11 | | | | 174 | |
Viatris, Inc. | | | 269 | | | | 2,821 | |
ViewRay, Inc.(1) | | | 7 | | | | 19 | |
Vir Biotechnology, Inc.(1) | | | 27 | | | | 689 | |
Viridian Therapeutics, Inc.(1) | | | 2 | | | | 26 | |
VistaGen Therapeutics, Inc.(1) | | | 11 | | | | 10 | |
Xencor, Inc.(1) | | | 21 | | | | 585 | |
Zentalis Pharmaceuticals, Inc.(1) | | | 1 | | | | 21 | |
Zimmer Biomet Holdings, Inc. | | | 109 | | | | 11,489 | |
Zimvie, Inc.(1) | | | 37 | | | | 600 | |
Zogenix, Inc.(1)(4) | | | 21 | | | | 13 | |
| | | | | | | | |
Total Healthcare | | | | 575,514 | |
| | | | | | | | |
Industrials – 15.87% | | | | | | | | |
AAR Corp.(1) | | | 13 | | | | 527 | |
ABM Industries, Inc. | | | 288 | | | | 12,513 | |
ACCO Brands Corp. | | | 35 | | | | 230 | |
Acuity Brands, Inc. | | | 1 | | | | 156 | |
ACV Auctions, Inc. - Class A(1) | | | 21 | | | | 138 | |
Advanced Drainage Systems, Inc. | | | 74 | | | | 6,653 | |
AECOM | | | 4 | | | | 246 | |
Aerojet Rocketdyne Holdings, Inc.(1) | | | 8 | | | | 311 | |
AerSale Corp.(1) | | | 5 | | | | 80 | |
AGCO Corp. | | | 89 | | | | 8,790 | |
Air Lease Corp. - Class A | | | 225 | | | | 7,536 | |
Air Transport Services Group, Inc.(1) | | | 13 | | | | 384 | |
Alamo Group, Inc. | | | 1 | | | | 61 | |
Alaska Air Group, Inc.(1) | | | 381 | | | | 15,263 | |
Albany International Corp. - Class A | | | 9 | | | | 744 | |
Alight, Inc. - Class A(1) | | | 127 | | | | 856 | |
Allegiant Travel Co. - Class A(1) | | | 37 | | | | 4,226 | |
Allegion Plc | | | 140 | | | | 13,701 | |
Allied Motion Technologies, Inc.(2) | | | 0 | | | | 8 | |
Allison Transmission Holdings, Inc. | | | 110 | | | | 4,235 | |
| | | | | | | | |
Alta Equipment Group, Inc.(1) | | | 6 | | | | 51 | |
Altra Industrial Motion Corp. | | | 354 | | | | 12,461 | |
AMERCO(2) | | | 0 | | | | 126 | |
American Airlines Group, Inc.(1) | | | 132 | | | | 1,674 | |
American Woodmark Corp.(1) | | | 6 | | | | 262 | |
AMETEK, Inc. | | | 298 | | | | 32,795 | |
AO Smith Corp. | | | 3 | | | | 159 | |
API Group Corp.(1) | | | 77 | | | | 1,152 | |
ArcBest Corp. | | | 50 | | | | 3,519 | |
Archer Aviation, Inc. - Class A(1) | | | 45 | | | | 138 | |
Arcosa, Inc. | | | 171 | | | | 7,958 | |
Argan, Inc. | | | 5 | | | | 203 | |
Armstrong World Industries, Inc. | | | 1 | | | | 42 | |
ASGN, Inc.(1) | | | 82 | | | | 7,442 | |
Astec Industries, Inc. | | | 8 | | | | 344 | |
Astra Space, Inc.(1) | | | 54 | | | | 70 | |
Astronics Corp.(1) | | | 9 | | | | 91 | |
Atkore, Inc.(1) | | | 69 | | | | 5,703 | |
Atlas Air Worldwide Holdings, Inc.(1) | | | 72 | | | | 4,471 | |
Atlas Technical Consultants, Inc.(1) | | | 3 | | | | 13 | |
Avis Budget Group, Inc.(1) | | | 1 | | | | 132 | |
Axon Enterprise, Inc.(1) | | | 55 | | | | 5,163 | |
AZEK Co., Inc. - Class A(1) | | | 225 | | | | 3,767 | |
AZZ, Inc. | | | 9 | | | | 349 | |
Barnes Group, Inc. | | | 19 | | | | 581 | |
Barrett Business Services, Inc. | | | 15 | | | | 1,058 | |
Beacon Roofing Supply, Inc.(1) | | | 55 | | | | 2,834 | |
Bird Global, Inc. - Class A(1) | | | 81 | | | | 35 | |
Blade Air Mobility, Inc.(1) | | | 20 | | | | 89 | |
BlueLinx Holdings, Inc.(1) | | | 3 | | | | 230 | |
Boise Cascade Co. | | | 102 | | | | 6,093 | |
Brady Corp. - Class A | | | 4 | | | | 202 | |
BrightView Holdings, Inc.(1) | | | 17 | | | | 200 | |
Brink’s Co. | | | 238 | | | | 14,463 | |
Brookfield Business Corp. - Class A | | | 1 | | | | 30 | |
Builders FirstSource, Inc.(1) | | | 5 | | | | 280 | |
BWX Technologies, Inc. | | | 175 | | | | 9,658 | |
CACI International, Inc. - Class A(1) | | | 110 | | | | 31,087 | |
Caesarstone Ltd. | | | 10 | | | | 87 | |
Carlisle Companies, Inc.(2) | | | 0 | | | | 62 | |
Carrier Global Corp. | | | 25 | | | | 908 | |
Casella Waste Systems, Inc. - Class A(1) | | | 154 | | | | 11,222 | |
CBIZ, Inc.(1) | | | 323 | | | | 12,919 | |
CECO Environmental Corp.(1) | | | 60 | | | | 358 | |
CH Robinson Worldwide, Inc. | | | 3 | | | | 281 | |
Charah Solutions, Inc.(1) | | | 59 | | | | 221 | |
Cintas Corp.(2) | | | 0 | | | | 69 | |
CIRCOR International, Inc.(1) | | | 4 | | | | 73 | |
Clarivate Plc(1) | | | 14 | | | | 199 | |
Clean Harbors, Inc.(1) | | | 2 | | | | 136 | |
Columbus McKinnon Corp. | | | 11 | | | | 300 | |
CompX International, Inc. | | | 1 | | | | 12 | |
Concrete Pumping Holdings, Inc.(1) | | | 9 | | | | 52 | |
Copa Holdings SA - Class A(1) | | | 1 | | | | 59 | |
Copart, Inc.(1) | | | 55 | | | | 6,018 | |
Core & Main, Inc. - Class A(1) | | | 1 | | | | 26 | |
CoreCivic, Inc.(1) | | | 202 | | | | 2,239 | |
Cornerstone Building Brands, Inc.(1) | | | 3 | | | | 79 | |
Costamare, Inc. | | | 20 | | | | 240 | |
CoStar Group, Inc.(1) | | | 10 | | | | 613 | |
Covenant Logistics Group, Inc. - Class A | | | 4 | | | | 110 | |
Crane Holdings Co. | | | 123 | | | | 10,777 | |
Cummins, Inc. | | | 47 | | | | 9,090 | |
Curtiss-Wright Corp. | | | 61 | | | | 8,043 | |
Custom Truck One Source, Inc.(1) | | | 14 | | | | 78 | |
Delta Air Lines, Inc.(1) | | | 123 | | | | 3,572 | |
Deluxe Corp. | | | 157 | | | | 3,399 | |
Desktop Metal, Inc. - Class A(1) | | | 100 | | | | 220 | |
DIRTT Environmental Solutions(1) | | | 126 | | | | 135 | |
| | | | | | | | |
Distribution Solutions Group, Inc.(1)(2) | | | 0 | | | | 12 | |
Donaldson Co., Inc. | | | 3 | | | | 151 | |
Dover Corp. | | | 165 | | | | 20,035 | |
Driven Brands Holdings, Inc.(1) | | | 2 | | | | 41 | |
Ducommun, Inc.(1) | | | 4 | | | | 178 | |
Dun & Bradstreet Holdings, Inc.(1) | | | 8 | | | | 117 | |
DXP Enterprises, Inc.(1) | | | 40 | | | | 1,219 | |
Dycom Industries, Inc.(1) | | | 25 | | | | 2,355 | |
Eagle Bulk Shipping, Inc. | | | 5 | | | | 254 | |
Eaton Corp. Plc | | | 135 | | | | 17,019 | |
EMCOR Group, Inc. | | | 30 | | | | 3,048 | |
Encore Wire Corp. | | | 7 | | | | 720 | |
EnerSys | | | 13 | | | | 790 | |
Eneti, Inc. | | | 8 | | | | 50 | |
Ennis, Inc. | | | 9 | | | | 178 | |
EnPro Industries, Inc. | | | 8 | | | | 629 | |
Equifax, Inc. | | | 26 | | | | 4,819 | |
Esab Corp. | | | 382 | | | | 16,725 | |
ESCO Technologies, Inc. | | | 123 | | | | 8,435 | |
ESS Tech, Inc.(1) | | | 5 | | | | 15 | |
Expeditors International of Washington, Inc. | | | 81 | | | | 7,846 | |
Fathom Digital Manufacturing C(1) | | | 4 | | | | 16 | |
Federal Signal Corp. | | | 269 | | | | 9,591 | |
FedEx Corp. | | | 41 | | | | 9,378 | |
First Advantage Corp.(1) | | | 21 | | | | 262 | |
Flowserve Corp. | | | 294 | | | | 8,420 | |
Fluor Corp.(1) | | | 5 | | | | 120 | |
Fortive Corp. | | | 11 | | | | 593 | |
Fortune Brands Home & Security, Inc. | | | 3 | | | | 154 | |
Forward Air Corp. | | | 171 | | | | 15,754 | |
FTI Consulting, Inc.(1) | | | 1 | | | | 106 | |
FuelCell Energy, Inc.(1) | | | 37 | | | | 139 | |
Gates Industrial Corp. Plc(1) | | | 195 | | | | 2,107 | |
GATX Corp. | | | 12 | | | | 1,155 | |
Genco Shipping & Trading Ltd. | | | 13 | | | | 259 | |
GEO Group, Inc.(1) | | | 38 | | | | 254 | |
Gibraltar Industries, Inc.(1) | | | 281 | | | | 10,870 | |
Global Industrial Co. | | | 1 | | | | 35 | |
GMS, Inc.(1) | | | 48 | | | | 2,156 | |
Golden Ocean Group Ltd. | | | 46 | | | | 533 | |
Gorman-Rupp Co. | | | 6 | | | | 183 | |
Graco, Inc. | | | 2 | | | | 102 | |
Graham Corp. | | | 22 | | | | 152 | |
Granite Construction, Inc. | | | 17 | | | | 484 | |
Great Lakes Dredge & Dock Corp.(1) | | | 18 | | | | 231 | |
Greenbrier Companies, Inc. | | | 12 | | | | 421 | |
Griffon Corp. | | | 8 | | | | 232 | |
GXO Logistics, Inc.(1) | | | 3 | | | | 122 | |
Harsco Corp.(1) | | | 469 | | | | 3,333 | |
Hawaiian Holdings, Inc.(1) | | | 20 | | | | 288 | |
Hayward Holdings, Inc.(1) | | | 75 | | | | 1,084 | |
Healthcare Services Group, Inc. | | | 63 | | | | 1,096 | |
Heartland Express, Inc. | | | 18 | | | | 252 | |
HEICO Corp.(2) | | | 0 | | | | 12 | |
HEICO Corp. - Class A(2) | | | 0 | | | | 16 | |
Heidrick & Struggles International, Inc. | | | 7 | | | | 228 | |
Heritage-Crystal Clean, Inc.(1) | | | 5 | | | | 142 | |
Hertz Global Holdings, Inc.(1) | | | 7 | | | | 111 | |
Hexcel Corp. | | | 183 | | | | 9,579 | |
Hillenbrand, Inc. | | | 115 | | | | 4,717 | |
Hillman Solutions Corp.(1) | | | 49 | | | | 426 | |
HireRight Holdings Corp.(1) | | | 423 | | | | 6,011 | |
Howmet Aerospace, Inc. | | | 493 | | | | 15,520 | |
Hub Group, Inc. - Class A(1) | | | 13 | | | | 890 | |
Hubbell, Inc. - Class B | | | 43 | | | | 7,593 | |
Huntington Ingalls Industries, Inc. | | | 23 | | | | 5,105 | |
Huron Consulting Group, Inc.(1) | | | 3 | | | | 202 | |
Hydrofarm Holdings Group, Inc.(1) | | | 16 | | | | 56 | |
Hyliion Holdings Corp.(1) | | | 51 | | | | 166 | |
| | | | | | | | |
Hyster-Yale Materials Handling, Inc. | | | 4 | | | | 128 | |
IAA, Inc.(1) | | | 1 | | | | 22 | |
ICF International, Inc. | | | 135 | | | | 12,778 | |
IDEX Corp. | | | 2 | | | | 348 | |
IES Holdings, Inc.(1) | | | 1 | | | | 26 | |
Ingersoll Rand, Inc. | | | 12 | | | | 514 | |
Interface, Inc. - Class A | | | 4 | | | | 49 | |
ITT, Inc. | | | 122 | | | | 8,179 | |
Jacobs Engineering Group, Inc. | | | 4 | | | | 489 | |
JB Hunt Transport Services, Inc.(2) | | | 0 | | | | 47 | |
JELD-WEN Holding, Inc.(1) | | | 21 | | | | 304 | |
JetBlue Airways Corp.(1) | | | 9 | | | | 77 | |
Joby Aviation, Inc.(1) | | | 9 | | | | 43 | |
Kaman Corp. | | | 10 | | | | 327 | |
KAR Auction Services, Inc.(1) | | | 176 | | | | 2,603 | |
Karat Packaging, Inc.(1) | | | 12 | | | | 201 | |
KBR, Inc. | | | 200 | | | | 9,681 | |
Kelly Services, Inc. - Class A | | | 13 | | | | 261 | |
Kennametal, Inc. | | | 31 | | | | 731 | |
Kimball International, Inc. - Class B | | | 13 | | | | 100 | |
Kirby Corp.(1) | | | 179 | | | | 10,920 | |
Knight-Swift Transportation Holdings, Inc. - Class A | | | 5 | | | | 219 | |
Korn Ferry | | | 57 | | | | 3,322 | |
Kratos Defense & Security Solutions, Inc.(1) | | | 46 | | | | 641 | |
L3Harris Technologies, Inc. | | | 39 | | | | 9,423 | |
Landstar System, Inc. | | | 39 | | | | 5,664 | |
Leidos Holdings, Inc. | | | 65 | | | | 6,523 | |
Lennox International, Inc. | | | 1 | | | | 206 | |
Li-Cycle Holdings Corp.(1) | | | 29 | | | | 202 | |
Loomis AB - Class B | | | 59 | | | | 1,433 | |
Luxfer Holdings Plc | | | 32 | | | | 483 | |
Lyft, Inc. - Class A(1) | | | 2 | | | | 25 | |
Manitowoc Co., Inc.(1) | | | 14 | | | | 145 | |
ManpowerGroup, Inc. | | | 60 | | | | 4,592 | |
ManTech International Corp. - Class A | | | 7 | | | | 669 | |
Markforged Holding Corp.(1) | | | 40 | | | | 74 | |
Marten Transport Ltd. | | | 5 | | | | 89 | |
Masco Corp. | | | 194 | | | | 9,803 | |
MasTec, Inc.(1) | | | 2 | | | | 128 | |
Matson, Inc. | | | 15 | | | | 1,084 | |
Matthews International Corp. - Class A | | | 11 | | | | 313 | |
Maxar Technologies, Inc. | | | 191 | | | | 4,996 | |
MDU Resources Group, Inc. | | | 155 | | | | 4,170 | |
Mercury Systems, Inc.(1) | | | 2 | | | | 106 | |
Microvast Holdings, Inc.(1) | | | 26 | | | | 57 | |
Middleby Corp.(1) | | | 2 | | | | 191 | |
Miller Industries, Inc. | | | 4 | | | | 88 | |
MillerKnoll, Inc. | | | 292 | | | | 7,668 | |
Momentus, Inc.(1) | | | 13 | | | | 27 | |
Moog, Inc. - Class A | | | 60 | | | | 4,772 | |
MSA Safety, Inc. | | | 1 | | | | 88 | |
MSC Industrial Direct Co., Inc. - Class A | | | 1 | | | | 106 | |
Mueller Industries, Inc. | | | 13 | | | | 706 | |
National Presto Industries, Inc. | | | 2 | | | | 119 | |
Nielsen Holdings Plc | | | 11 | | | | 250 | |
NL Industries, Inc. | | | 3 | | | | 27 | |
Nordson Corp. | | | 1 | | | | 268 | |
Norfolk Southern Corp. | | | 51 | | | | 11,696 | |
Northwest Pipe Co.(1) | | | 3 | | | | 80 | |
NOW, Inc.(1) | | | 39 | | | | 382 | |
NuScale Power Corp.(1) | | | 7 | | | | 70 | |
nVent Electric Plc | | | 532 | | | | 16,667 | |
Oshkosh Corp. | | | 99 | | | | 8,164 | |
Otis Worldwide Corp. | | | 267 | | | | 18,876 | |
Owens Corning | | | 67 | | | | 4,945 | |
PACCAR, Inc. | | | 10 | | | | 845 | |
Park Aerospace Corp. | | | 7 | | | | 87 | |
Parker-Hannifin Corp. | | | 114 | | | | 28,086 | |
Parsons Corp.(1) | | | 13 | | | | 528 | |
| | | | | | | | |
Pentair Plc | | | 5 | | | | 228 | |
Planet Labs PBC(1) | | | 7 | | | | 32 | |
Plug Power, Inc.(1) | | | 8 | | | | 130 | |
Powell Industries, Inc. | | | 3 | | | | 80 | |
Preformed Line Products Co. | | | 1 | | | | 45 | |
Primoris Services Corp. | | | 18 | | | | 402 | |
Proterra, Inc.(1) | | | 43 | | | | 201 | |
Proto Labs, Inc.(1) | | | 9 | | | | 417 | |
Quad/Graphics, Inc.(1) | | | 12 | | | | 34 | |
Quanex Building Products Corp. | | | 12 | | | | 281 | |
Quanta Services, Inc. | | | 2 | | | | 245 | |
Radiant Logistics, Inc.(1) | | | 10 | | | | 76 | |
RBC Bearings, Inc.(1) | | | 9 | | | | 1,671 | |
Redwire Corp.(1) | | | 6 | | | | 19 | |
Regal Rexnord Corp. | | | 67 | | | | 7,614 | |
Republic Services, Inc. - Class A | | | 227 | | | | 29,685 | |
Resideo Technologies, Inc.(1) | | | 336 | | | | 6,532 | |
Resources Connection, Inc. | | | 12 | | | | 244 | |
REV Group, Inc. | | | 13 | | | | 137 | |
Robert Half International, Inc. | | | 75 | | | | 5,595 | |
Rockwell Automation, Inc. | | | 1 | | | | 226 | |
Rollins, Inc. | | | 1 | | | | 18 | |
Rush Enterprises, Inc. - Class A | | | 15 | | | | 741 | |
Rush Enterprises, Inc. - Class B | | | 3 | | | | 140 | |
Ryder System, Inc. | | | 41 | | | | 2,880 | |
Safe Bulkers, Inc. | | | 27 | | | | 102 | |
Schneider National, Inc. - Class B | | | 248 | | | | 5,557 | |
Science Applications International Corp. | | | 86 | | | | 7,988 | |
Sensata Technologies Holding Plc | | | 362 | | | | 14,942 | |
SiteOne Landscape Supply, Inc.(1) | | | 1 | | | | 63 | |
Skillsoft Corp.(1) | | | 29 | | | | 101 | |
SkyWest, Inc.(1) | | | 19 | | | | 412 | |
Snap-on, Inc. | | | 25 | | | | 4,981 | |
Southwest Airlines Co.(1) | | | 18 | | | | 661 | |
Spire Global, Inc.(1) | | | 43 | | | | 50 | |
Spirit AeroSystems Holdings, Inc. - Class A(2) | | | 0 | | | | 5 | |
Spirit Airlines, Inc.(1) | | | 41 | | | | 970 | |
SPX Corp.(1) | | | 16 | | | | 863 | |
Standex International Corp. | | | 109 | | | | 9,247 | |
Stanley Black & Decker, Inc. | | | 5 | | | | 481 | |
Steelcase, Inc. - Class A | | | 33 | | | | 354 | |
Stem, Inc.(1) | | | 3 | | | | 21 | |
Stericycle, Inc.(1) | | | 148 | | | | 6,487 | |
Sterling Check Corp.(1) | | | 1 | | | | 11 | |
Sterling Infrastructure, Inc.(1) | | | 2 | | | | 47 | |
Sunrun, Inc.(1) | | | 6 | | | | 144 | |
Tecnoglass, Inc. | | | 86 | | | | 1,512 | |
Tennant Co. | | | 4 | | | | 229 | |
Terex Corp. | | | 13 | | | | 369 | |
Terran Orbital Corp.(1) | | | 9 | | | | 40 | |
Tetra Tech, Inc. | | | 1 | | | | 127 | |
Textainer Group Holdings Ltd. | | | 188 | | | | 5,151 | |
Textron, Inc. | | | 269 | | | | 16,401 | |
Thermon Group Holdings, Inc.(1) | | | 11 | | | | 161 | |
Timken Co. | | | 286 | | | | 15,190 | |
Titan Machinery, Inc.(1) | | | 8 | | | | 171 | |
Trane Technologies Plc | | | 3 | | | | 390 | |
TransDigm Group, Inc.(1) | | | 1 | | | | 521 | |
TransUnion | | | 108 | | | | 8,610 | |
Trinity Industries, Inc. | | | 26 | | | | 638 | |
Triton International Ltd. | | | 23 | | | | 1,228 | |
Triumph Group, Inc.(1) | | | 23 | | | | 307 | |
TrueBlue, Inc.(1) | | | 13 | | | | 225 | |
TuSimple Holdings, Inc. - Class A(1) | | | 53 | | | | 381 | |
Tutor Perini Corp.(1) | | | 16 | | | | 144 | |
UFP Industries, Inc. | | | 3 | | | | 208 | |
UniFirst Corp. | | | 10 | | | | 1,737 | |
United Airlines Holdings, Inc.(1) | | | 78 | | | | 2,750 | |
United Rentals, Inc.(1) | | | 11 | | | | 2,762 | |
| | | | | | | | |
Univar Solutions, Inc.(1) | | | 96 | | | | 2,397 | |
Universal Logistics Holdings, Inc. | | | 1 | | | | 15 | |
Valmont Industries, Inc. | | | 1 | | | | 124 | |
Vectrus, Inc.(1) | | | 4 | | | | 148 | |
Vertiv Holdings Co. - Class A | | | 532 | | | | 4,374 | |
Viad Corp.(1) | | | 7 | | | | 206 | |
View, Inc.(1) | | | 38 | | | | 62 | |
Virgin Galactic Holdings, Inc.(1) | | | 43 | | | | 261 | |
VSE Corp. | | | 4 | | | | 145 | |
Wabash National Corp. | | | 3 | | | | 35 | |
Watsco, Inc.(2) | | | 0 | | | | 114 | |
Werner Enterprises, Inc. | | | 22 | | | | 834 | |
WESCO International, Inc.(1) | | | 190 | | | | 20,320 | |
Westinghouse Air Brake Technologies Corp. | | | 5 | | | | 447 | |
Wheels Up Experience, Inc.(1) | | | 66 | | | | 128 | |
Willdan Group, Inc.(1) | | | 4 | | | | 99 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 1,120 | | | | 36,302 | |
Woodward, Inc. | | | 2 | | | | 162 | |
XPO Logistics, Inc.(1) | | | 143 | | | | 6,869 | |
Xylem, Inc. | | | 5 | | | | 368 | |
| | | | | | | | |
Total Industrials | | | | 959,225 | |
| | | | | | | | |
Information Technology – 9.15% | | | | | | | | |
3D Systems Corp.(1) | | | 48 | | | | 462 | |
908 Devices, Inc.(1) | | | 6 | | | | 124 | |
A10 Networks, Inc. | | | 5 | | | | 78 | |
ACI Worldwide, Inc.(1) | | | 241 | | | | 6,240 | |
ACM Research, Inc. - Class A(1) | | | 15 | | | | 254 | |
ADTRAN, Inc. | | | 2 | | | | 37 | |
Advanced Energy Industries, Inc. | | | 11 | | | | 793 | |
Aeva Technologies, Inc.(1) | | | 35 | | | | 108 | |
Affirm Holdings, Inc. - Class A(1) | | | 5 | | | | 95 | |
Akamai Technologies, Inc.(1) | | | 5 | | | | 437 | |
Alpha & Omega Semiconductor Ltd.(1) | | | 2 | | | | 68 | |
Amdocs Ltd. | | | 79 | | | | 6,572 | |
American Software, Inc. - Class A | | | 3 | | | | 56 | |
Amkor Technology, Inc. | | | 394 | | | | 6,681 | |
Amphenol Corp. - Class A | | | 4 | | | | 283 | |
Analog Devices, Inc. | | | 35 | | | | 5,053 | |
ANSYS, Inc.(1) | | | 1 | | | | 298 | |
Arrow Electronics, Inc.(1) | | | 89 | | | | 9,977 | |
Avaya Holdings Corp.(1) | | | 354 | | | | 792 | |
Aviat Networks, Inc.(1) | | | 2 | | | | 62 | |
Avid Technology, Inc.(1) | | | 5 | | | | 128 | |
AvidXchange Holdings, Inc.(1) | | | 6 | | | | 36 | |
Avnet, Inc. | | | 78 | | | | 3,350 | |
AXT, Inc.(1) | | | 13 | | | | 77 | |
Belden, Inc. | | | 256 | | | | 13,649 | |
Benchmark Electronics, Inc. | | | 12 | | | | 280 | |
Benefitfocus, Inc.(1) | | | 3 | | | | 20 | |
Bill.com Holdings, Inc.(1) | | | 3 | | | | 323 | |
Black Knight, Inc.(1) | | | 4 | | | | 276 | |
Blackbaud, Inc.(1) | | | 1 | | | | 59 | |
Blend Labs, Inc. - Class A(1) | | | 67 | | | | 157 | |
Bread Financial Holdings, Inc. | | | 3 | | | | 103 | |
Brightcove, Inc.(1) | | | 4 | | | | 25 | |
Broadridge Financial Solutions, Inc.(2) | | | 0 | | | | 47 | |
C3.ai, Inc. - Class A(1) | | | 21 | | | | 375 | |
Calix, Inc.(1) | | | 5 | | | | 155 | |
Cantaloupe, Inc.(1) | | | 10 | | | | 53 | |
Cass Information Systems, Inc. | | | 5 | | | | 161 | |
CCC Intelligent Solutions Holdings, Inc.(1) | | | 3 | | | | 27 | |
CDK Global, Inc. | | | 1 | | | | 34 | |
CDW Corp. | | | 29 | | | | 4,568 | |
Cerence, Inc.(1) | | | 15 | | | | 374 | |
Ceridian HCM Holding, Inc.(1) | | | 3 | | | | 158 | |
ChannelAdvisor Corp.(1) | | | 11 | | | | 160 | |
Check Point Software Technologies Ltd.(1) | | | 247 | | | | 30,021 | |
Ciena Corp.(1) | | | 5 | | | | 207 | |
Cipher Mining, Inc.(1) | | | 16 | | | | 22 | |
| | | | | | | | |
Cirrus Logic, Inc.(1) | | | 34 | | | | 2,451 | |
Citrix Systems, Inc. | | | 2 | | | | 196 | |
Cleanspark, Inc.(1) | | | 17 | | | | 68 | |
Cognex Corp.(2) | | | 0 | | | | 15 | |
Cognizant Technology Solutions Corp. - Class A | | | 314 | | | | 21,169 | |
Coherent, Inc.(1) | | | 3 | | | | 880 | |
Cohu, Inc.(1) | | | 360 | | | | 9,989 | |
CompoSecure, Inc.(1) | | | 2 | | | | 12 | |
Comtech Telecommunications Corp. | | | 11 | | | | 96 | |
Concentrix Corp. | | | 1 | | | | 176 | |
Conduent, Inc.(1) | | | 65 | | | | 279 | |
Consensus Cloud Solutions, Inc.(1) | | | 15 | | | | 644 | |
Core Scientific, Inc.(1) | | | 75 | | | | 112 | |
Corning, Inc. | | | 22 | | | | 679 | |
Corsair Gaming, Inc.(1) | | | 6 | | | | 83 | |
Coupa Software, Inc.(1) | | | 1 | | | | 57 | |
Cvent Holding Corp. - Class A(1) | | | 33 | | | | 150 | |
Dell Technologies, Inc. - Class C | | | 7 | | | | 314 | |
Diebold Nixdorf, Inc.(1) | | | 9 | | | | 19 | |
Digi International, Inc.(1) | | | 8 | | | | 202 | |
Diodes, Inc.(1) | | | 43 | | | | 2,803 | |
Dolby Laboratories, Inc. - Class A | | | 2 | | | | 141 | |
DoubleVerify Holdings, Inc.(1)(2) | | | 0 | | | | 6 | |
Dropbox, Inc. - Class A(1) | | | 1 | | | | 12 | |
DXC Technology Co.(1) | | | 122 | | | | 3,697 | |
E2open Parent Holdings, Inc.(1) | | | 72 | | | | 563 | |
Eastman Kodak Co.(1) | | | 21 | | | | 95 | |
Ebix, Inc. | | | 8 | | | | 131 | |
Edgio, Inc.(1) | | | 7 | | | | 15 | |
eGain Corp.(1) | | | 4 | | | | 40 | |
Entegris, Inc. | | | 25 | | | | 2,274 | |
ePlus, Inc.(1) | | | 3 | | | | 139 | |
Euronet Worldwide, Inc.(1) | | | 7 | | | | 724 | |
Everbridge, Inc.(1) | | | 97 | | | | 2,697 | |
EverCommerce, Inc.(1) | | | 8 | | | | 70 | |
EVERTEC, Inc. | | | 256 | | | | 9,430 | |
Evolv Technologies Holdings, Inc.(1) | | | 30 | | | | 79 | |
F5, Inc.(1) | | | 2 | | | | 286 | |
FARO Technologies, Inc.(1) | | | 7 | | | | 209 | |
Fastly, Inc. - Class A(1) | | | 42 | | | | 492 | |
Fidelity National Information Services, Inc. | | | 94 | | | | 8,659 | |
First Solar, Inc.(1) | | | 3 | | | | 217 | |
Flex Ltd.(1) | | | 484 | | | | 6,997 | |
ForgeRock, Inc. - Class A(1) | | | 3 | | | | 61 | |
FormFactor, Inc.(1) | | | 254 | | | | 9,849 | |
Genpact Ltd. | | | 3 | | | | 108 | |
Global Payments, Inc. | | | 84 | | | | 9,348 | |
GLOBALFOUNDRIES, Inc.(1) | | | 1 | | | | 58 | |
GoDaddy, Inc. - Class A(1) | | | 4 | | | | 292 | |
Greenidge Generation Holdings, Inc.(1) | | | 3 | | | | 9 | |
GTY Technology Holdings, Inc.(1) | | | 15 | | | | 96 | |
Guidewire Software, Inc.(1) | | | 3 | | | | 180 | |
Hackett Group, Inc.(2) | | | 0 | | | | 9 | |
Hewlett Packard Enterprise Co. | | | 472 | | | | 6,258 | |
HP, Inc. | | | 433 | | | | 14,208 | |
IBEX Holdings Ltd.(1) | | | 30 | | | | 513 | |
Ichor Holdings Ltd.(1) | | | 10 | | | | 265 | |
II-VI, Inc.(1) | | | 91 | | | | 4,633 | |
Impinj, Inc.(1) | | | 1 | | | | 42 | |
Informatica, Inc. - Class A(1) | | | 1 | | | | 18 | |
Information Services Group, Inc. | | | 9 | | | | 63 | |
Inseego Corp.(1) | | | 23 | | | | 43 | |
Insight Enterprises, Inc.(1) | | | 2 | | | | 175 | |
Instructure Holdings, Inc.(1) | | | 5 | | | | 124 | |
InterDigital, Inc. | | | 7 | | | | 452 | |
IonQ, Inc.(1) | | | 38 | | | | 166 | |
IPG Photonics Corp.(1) | | | 1 | | | | 102 | |
Itron, Inc.(1) | | | 16 | | | | 778 | |
Jabil, Inc. | | | 123 | | | | 6,285 | |
| | | | | | | | |
Jamf Holding Corp.(1)(2) | | | 0 | | | | 7 | |
Juniper Networks, Inc. | | | 10 | | | | 273 | |
Kaleyra, Inc.(1) | | | 10 | | | | 20 | |
Keysight Technologies, Inc.(1) | | | 39 | | | | 5,339 | |
Kimball Electronics, Inc.(1) | | | 9 | | | | 176 | |
KLA Corp. | | | 24 | | | | 7,603 | |
Knowles Corp.(1) | | | 33 | | | | 574 | |
Kulicke & Soffa Industries, Inc. | | | 72 | | | | 3,076 | |
Kyndryl Holdings, Inc.(1) | | | 5 | | | | 53 | |
Latch, Inc.(1) | | | 27 | | | | 31 | |
Littelfuse, Inc. | | | 1 | | | | 184 | |
LiveRamp Holdings, Inc.(1) | | | 25 | | | | 658 | |
LiveVox Holdings, Inc.(1) | | | 12 | | | | 20 | |
Lumentum Holdings, Inc.(1) | | | 2 | | | | 164 | |
Mandiant, Inc.(1) | | | 7 | | | | 151 | |
Manhattan Associates, Inc.(1) | | | 1 | | | | 82 | |
Marathon Digital Holdings, Inc.(1) | | | 48 | | | | 256 | |
Matterport, Inc.(1) | | | 23 | | | | 84 | |
MAXIMUS, Inc. | | | 350 | | | | 21,900 | |
Methode Electronics, Inc. | | | 533 | | | | 19,736 | |
Microchip Technology, Inc. | | | 165 | | | | 9,570 | |
MicroStrategy, Inc. - Class A(1) | | | 1 | | | | 232 | |
Mirion Technologies, Inc.(1) | | | 50 | | | | 291 | |
Mitek Systems, Inc.(1) | | | 2 | | | | 21 | |
MKS Instruments, Inc. | | | 2 | | | | 170 | |
MoneyGram International, Inc.(1) | | | 35 | | | | 346 | |
Motorola Solutions, Inc. | | | 223 | | | | 46,830 | |
N-able, Inc.(1) | | | 1,220 | | | | 10,980 | |
National Instruments Corp. | | | 3 | | | | 108 | |
nCino, Inc.(1) | | | 1 | | | | 41 | |
NCR Corp.(1) | | | 82 | | | | 2,555 | |
NetApp, Inc. | | | 147 | | | | 9,560 | |
NETGEAR, Inc.(1) | | | 10 | | | | 194 | |
NetScout Systems, Inc.(1) | | | 27 | | | | 904 | |
nLight, Inc.(1) | | | 17 | | | | 172 | |
NortonLifeLock, Inc. | | | 622 | | | | 13,655 | |
Nutanix, Inc. - Class A(1) | | | 3 | | | | 44 | |
NXP Semiconductors NV | | | 76 | | | | 11,234 | |
Okta, Inc. - Class A(1) | | | 3 | | | | 296 | |
Olo, Inc. - Class A(1) | | | 34 | | | | 339 | |
ON Semiconductor Corp.(1) | | | 5 | | | | 248 | |
ON24, Inc.(1) | | | 15 | | | | 142 | |
OneSpan, Inc.(1) | | | 9 | | | | 109 | |
OSI Systems, Inc.(1) | | | 5 | | | | 428 | |
Ouster, Inc.(1) | | | 49 | | | | 79 | |
PAR Technology Corp.(1) | | | 6 | | | | 222 | |
Paya Holdings, Inc. - Class A(1) | | | 1,353 | | | | 8,889 | |
Paycor HCM, Inc.(1) | | | 1 | | | | 36 | |
Paysafe Ltd.(1) | | | 128 | | | | 249 | |
PC Connection, Inc. | | | 4 | | | | 183 | |
Perficient, Inc.(1) | | | 95 | | | | 8,671 | |
PFSweb, Inc.(1) | | | 7 | | | | 77 | |
Photronics, Inc.(1) | | | 6 | | | | 117 | |
Ping Identity Holding Corp.(1) | | | 29 | | | | 531 | |
Plexus Corp.(1) | | | 234 | | | | 18,348 | |
Procore Technologies, Inc.(1) | | | 1 | | | | 31 | |
PROS Holdings, Inc.(1) | | | 5 | | | | 138 | |
Qorvo, Inc.(1) | | | 205 | | | | 19,334 | |
Rackspace Technology, Inc.(1) | | | 23 | | | | 166 | |
Rambus, Inc.(1) | | | 396 | | | | 8,503 | |
Repay Holdings Corp. - Class A(1) | | | 34 | | | | 436 | |
Ribbon Communications, Inc.(1) | | | 25 | | | | 76 | |
Rigetti Computing, Inc.(1) | | | 11 | | | | 41 | |
Riot Blockchain, Inc.(1) | | | 44 | | | | 185 | |
Sabre Corp.(1) | | | 528 | | | | 3,080 | |
Sanmina Corp.(1) | | | 78 | | | | 3,164 | |
Sapiens International Corp. NV | | | 3 | | | | 77 | |
ScanSource, Inc.(1) | | | 9 | | | | 289 | |
Seagate Technology Holdings Plc | | | 125 | | | | 8,944 | |
| | | | | | | | |
SecureWorks Corp. - Class A(1) | | | 5 | | | | 50 | |
Semtech Corp.(1) | | | 118 | | | | 6,487 | |
SentinelOne, Inc. - Class A(1) | | | 2 | | | | 36 | |
Skyworks Solutions, Inc. | | | 5 | | | | 452 | |
Softchoice Corp. | | | 408 | | | | 7,131 | |
SolarWinds Corp. | | | 18 | | | | 183 | |
Squarespace, Inc. - Class A(1) | | | 9 | | | | 191 | |
SS&C Technologies Holdings, Inc. | | | 7 | | | | 390 | |
StoneCo Ltd. - Class A(1) | | | 51 | | | | 394 | |
Sumo Logic, Inc.(1) | | | 11 | | | | 85 | |
Switch, Inc. - Class A | | | 2 | | | | 60 | |
TaskUS, Inc. - Class A(1) | | | 148 | | | | 2,488 | |
TD SYNNEX Corp. | | | 32 | | | | 2,888 | |
TE Connectivity Ltd. | | | 155 | | | | 17,503 | |
Teledyne Technologies, Inc.(1) | | | 1 | | | | 525 | |
Teradata Corp.(1) | | | 104 | | | | 3,863 | |
Teradyne, Inc.(2) | | | 0 | | | | 40 | |
Terawulf, Inc.(1) | | | 13 | | | | 16 | |
Trimble, Inc.(1) | | | 8 | | | | 442 | |
TTM Technologies, Inc.(1) | | | 213 | | | | 2,662 | |
Turtle Beach Corp.(1) | | | 2 | | | | 24 | |
Twilio, Inc. - Class A(1) | | | 3 | | | | 273 | |
Tyler Technologies, Inc.(1)(2) | | | 0 | | | | 54 | |
Ubiquiti, Inc.(2) | | | 0 | | | | 31 | |
UiPath, Inc. - Class A(1) | | | 10 | | | | 189 | |
Ultra Clean Holdings, Inc.(1) | | | 11 | | | | 323 | |
Unisys Corp.(1) | | | 7 | | | | 87 | |
Unity Software, Inc.(1) | | | 2 | | | | 75 | |
Upland Software, Inc.(1) | | | 10 | | | | 151 | |
Veeco Instruments, Inc.(1) | | | 4 | | | | 84 | |
Velodyne Lidar, Inc.(1) | | | 81 | | | | 77 | |
Verint Systems, Inc.(1) | | | 139 | | | | 5,878 | |
VeriSign, Inc.(1) | | | 3 | | | | 429 | |
Viasat, Inc.(1) | | | 2 | | | | 65 | |
Vishay Intertechnology, Inc. | | | 178 | | | | 3,164 | |
Vishay Precision Group, Inc.(1) | | | 4 | | | | 118 | |
Vontier Corp. | | | 65 | | | | 1,502 | |
Western Digital Corp.(1) | | | 192 | | | | 8,592 | |
Western Union Co. | | | 193 | | | | 3,172 | |
WEX, Inc.(1)(2) | | | 0 | | | | 58 | |
Wix.com Ltd.(1)(2) | | | 0 | | | | 24 | |
WM Technology, Inc.(1) | | | 5 | | | | 15 | |
WNS Holdings Ltd. - ADR(1) | | | 51 | | | | 3,830 | |
Wolfspeed, Inc.(1) | | | 3 | | | | 222 | |
Xerox Holdings Corp. | | | 133 | | | | 1,977 | |
Xperi Holding Corp. | | | 41 | | | | 587 | |
Zebra Technologies Corp. - Class A(1) | | | 1 | | | | 277 | |
Zoom Video Communications, Inc. - Class A(1) | | | 4 | | | | 412 | |
| | | | | | | | |
Total Information Technology | | | | 553,115 | |
| | | | | | | | |
Materials – 6.75% | | | | | | | | |
AdvanSix, Inc. | | | 7 | | | | 228 | |
Albemarle Corp. | | | 2 | | | | 358 | |
Alcoa Corp. | | | 6 | | | | 254 | |
Amcor Plc | | | 45 | | | | 562 | |
American Vanguard Corp. | | | 1 | | | | 31 | |
Amyris, Inc.(1) | | | 65 | | | | 120 | |
AptarGroup, Inc. | | | 2 | | | | 214 | |
Arconic Corp.(1) | | | 307 | | | | 8,615 | |
Ardagh Group SA - Class A(2)(4) | | | 0 | | | | 6 | |
Ardagh Metal Packaging SA | | | 1,003 | | | | 6,117 | |
Ashland Global Holdings, Inc. | | | 148 | | | | 15,206 | |
Avery Dennison Corp. | | | 63 | | | | 10,275 | |
Avient Corp. | | | 439 | | | | 17,614 | |
Axalta Coating Systems Ltd.(1) | | | 744 | | | | 16,455 | |
Ball Corp. | | | 6 | | | | 396 | |
Berry Global Group, Inc.(1) | | | 279 | | | | 15,238 | |
Cabot Corp. | | | 49 | | | | 3,113 | |
Carpenter Technology Corp. | | | 18 | | | | 491 | |
Celanese Corp. - Class A | | | 39 | | | | 4,621 | |
| | | | | | | | |
Chase Corp. | | | 2 | | | | 146 | |
Chemours Co. | | | 122 | | | | 3,910 | |
Clearwater Paper Corp.(1) | | | 6 | | | | 212 | |
Cleveland-Cliffs, Inc.(1) | | | 16 | | | | 240 | |
Coeur Mining, Inc.(1) | | | 102 | | | | 309 | |
Commercial Metals Co. | | | 37 | | | | 1,229 | |
Constellium SE - Class A(1) | | | 299 | | | | 3,952 | |
Corteva, Inc. | | | 286 | | | | 15,481 | |
Crown Holdings, Inc. | | | 376 | | | | 34,701 | |
Cryptyde, Inc.(1) | | | 3 | | | | 6 | |
Danimer Scientific, Inc.(1) | | | 33 | | | | 149 | |
Diversey Holdings Ltd.(1) | | | 1,385 | | | | 9,142 | |
Dow, Inc. | | | 68 | | | | 3,499 | |
DuPont de Nemours, Inc. | | | 198 | | | | 11,028 | |
Eagle Materials, Inc.(2) | | | 0 | | | | 22 | |
Eastman Chemical Co. | | | 65 | | | | 5,847 | |
Ecovyst, Inc. | | | 23 | | | | 230 | |
Element Solutions, Inc. | | | 967 | | | | 17,205 | |
FMC Corp. | | | 276 | | | | 29,487 | |
Freeport-McMoRan, Inc. | | | 442 | | | | 12,945 | |
FutureFuel Corp. | | | 9 | | | | 69 | |
GCP Applied Technologies, Inc.(1) | | | 1 | | | | 44 | |
Ginkgo Bioworks Holdings, Inc.(1) | | | 19 | | | | 46 | |
Glatfelter Corp. | | | 15 | | | | 105 | |
Graphic Packaging Holding Co. | | | 636 | | | | 13,040 | |
Greif, Inc. - Class A | | | 112 | | | | 6,993 | |
Greif, Inc. - Class B | | | 2 | | | | 110 | |
Hawkins, Inc. | | | 3 | | | | 100 | |
Haynes International, Inc. | | | 4 | | | | 140 | |
HB Fuller Co. | | | 191 | | | | 11,471 | |
Hecla Mining Co. | | | 194 | | | | 760 | |
Huntsman Corp. | | | 143 | | | | 4,051 | |
Ingevity Corp.(1) | | | 55 | | | | 3,467 | |
Innospec, Inc. | | | 2 | | | | 150 | |
International Flavors & Fragrances, Inc. | | | 8 | | | | 916 | |
International Paper Co. | | | 107 | | | | 4,479 | |
Intrepid Potash, Inc.(1) | | | 4 | | | | 187 | |
Kaiser Aluminum Corp. | | | 119 | | | | 9,419 | |
Koppers Holdings, Inc. | | | 91 | | | | 2,066 | |
Louisiana-Pacific Corp. | | | 2 | | | | 118 | |
LyondellBasell Industries NV - Class A | | | 109 | | | | 9,506 | |
Martin Marietta Materials, Inc. | | | 2 | | | | 517 | |
Materion Corp. | | | 1 | | | | 38 | |
Minerals Technologies, Inc. | | | 45 | | | | 2,774 | |
Mosaic Co. | | | 140 | | | | 6,620 | |
Neenah, Inc. | | | 5 | | | | 173 | |
NewMarket Corp.(2) | | | 0 | | | | 59 | |
Novagold Resources, Inc.(1) | | | 4 | | | | 18 | |
Nucor Corp. | | | 8 | | | | 834 | |
O-I Glass, Inc.(1) | | | 190 | | | | 2,655 | |
Olin Corp. | | | 4 | | | | 198 | |
Olympic Steel, Inc. | | | 3 | | | | 87 | |
Origin Materials, Inc.(1) | | | 15 | | | | 76 | |
Packaging Corp. of America | | | 3 | | | | 384 | |
Pactiv Evergreen, Inc. | | | 650 | | | | 6,470 | |
Perimeter Solutions SA(1) | | | 45 | | | | 483 | |
Piedmont Lithium, Inc.(1) | | | 5 | | | | 164 | |
PolyMet Mining Corp.(1) | | | 7 | | | | 19 | |
PPG Industries, Inc. | | | 85 | | | | 9,670 | |
PureCycle Technologies, Inc.(1) | | | 8 | | | | 61 | |
Quaker Chemical Corp. | | | 29 | | | | 4,284 | |
Ranpak Holdings Corp. - Class A(1) | | | 16 | | | | 111 | |
Rayonier Advanced Materials, Inc.(1) | | | 23 | | | | 60 | |
Reliance Steel & Aluminum Co. | | | 46 | | | | 7,803 | |
Resolute Forest Products, Inc.(1) | | | 17 | | | | 216 | |
Royal Gold, Inc. | | | 2 | | | | 196 | |
RPM International, Inc. | | | 4 | | | | 289 | |
Ryerson Holding Corp. | | | 6 | | | | 127 | |
Schnitzer Steel Industries, Inc. - Class A | | | 9 | | | | 286 | |
| | | | | | | | |
Schweitzer-Mauduit International, Inc. | | | 60 | | | | 1,515 | |
Scotts Miracle-Gro Co. | | | 1 | | | | 63 | |
Sealed Air Corp. | | | 86 | | | | 4,958 | |
Sensient Technologies Corp. | | | 1 | | | | 89 | |
Silgan Holdings, Inc. | | | 359 | | | | 14,863 | |
Sonoco Products Co. | | | 3 | | | | 164 | |
SSR Mining, Inc. | | | 6 | | | | 107 | |
Steel Dynamics, Inc. | | | 98 | | | | 6,458 | |
Stepan Co. | | | 7 | | | | 711 | |
Summit Materials, Inc. - Class A(1) | | | 45 | | | | 1,041 | |
SunCoke Energy, Inc. | | | 29 | | | | 199 | |
Sylvamo Corp. | | | 8 | | | | 265 | |
TimkenSteel Corp.(1) | | | 17 | | | | 325 | |
Tredegar Corp. | | | 9 | | | | 95 | |
TriMas Corp. | | | 307 | | | | 8,499 | |
Trinseo Plc | | | 53 | | | | 2,025 | |
Tronox Holdings Plc - Class A | | | 43 | | | | 724 | |
United States Lime & Minerals, Inc.(2) | | | 0 | | | | 21 | |
United States Steel Corp. | | | 8 | | | | 141 | |
Valhi, Inc. | | | 1 | | | | 33 | |
Vulcan Materials Co. | | | 2 | | | | 296 | |
Warrior Met Coal, Inc. | | | 17 | | | | 531 | |
Westlake Corp. | | | 1 | | | | 100 | |
Westrock Co. | | | 77 | | | | 3,069 | |
Worthington Industries, Inc. | | | 12 | | | | 526 | |
| | | | | | | | |
Total Materials | | | | 408,381 | |
| | | | | | | | |
Real Estate – 5.94% | | | | | | | | |
Acadia Realty Trust | | | 32 | | | | 504 | |
Agree Realty Corp. | | | 27 | | | | 1,980 | |
Alexander & Baldwin, Inc. | | | 27 | | | | 485 | |
Alexandria Real Estate Equities, Inc. | | | 5 | | | | 717 | |
American Assets Trust, Inc. | | | 18 | | | | 548 | |
American Campus Communities, Inc. | | | 4 | | | | 269 | |
American Homes 4 Rent - Class A | | | 252 | | | | 8,938 | |
Americold Realty Trust, Inc. | | | 59 | | | | 1,774 | |
Anywhere Real Estate, Inc.(1) | | | 44 | | | | 431 | |
Apartment Income REIT Corp. | | | 4 | | | | 181 | |
Apartment Investment & Management Co. - Class A(1) | | | 55 | | | | 349 | |
Apple Hospitality REIT, Inc. | | | 80 | | | | 1,180 | |
Armada Hoffler Properties, Inc. | | | 24 | | | | 310 | |
Ashford Hospitality Trust, Inc.(1) | | | 13 | | | | 77 | |
AvalonBay Communities, Inc. | | | 4 | | | | 832 | |
Bluerock Residential Growth REIT, Inc. - Class A | | | 7 | | | | 176 | |
Boston Properties, Inc. | | | 5 | | | | 420 | |
Braemar Hotels & Resorts, Inc. | | | 25 | | | | 106 | |
Brandywine Realty Trust | | | 429 | | | | 4,136 | |
Brixmor Property Group, Inc. | | | 455 | | | | 9,192 | |
Broadstone Net Lease, Inc. - Class A | | | 526 | | | | 10,793 | |
BRT Apartments Corp. | | | 4 | | | | 80 | |
Camden Property Trust | | | 3 | | | | 385 | |
CareTrust REIT, Inc. | | | 100 | | | | 1,836 | |
CatchMark Timber Trust, Inc. - Class A | | | 6 | | | | 63 | |
CBL & Associates Properties, Inc.(1) | | | 8 | | | | 183 | |
CBRE Group, Inc. - Class A(1) | | | 5 | | | | 375 | |
Cedar Realty Trust, Inc. | | | 4 | | | | 111 | |
Centerspace | | | 6 | | | | 461 | |
Chatham Lodging Trust(1) | | | 122 | | | | 1,273 | |
City Office REIT, Inc. | | | 132 | | | | 1,710 | |
Clipper Realty, Inc. | | | 1 | | | | 5 | |
Community Healthcare Trust, Inc. | | | 3 | | | | 124 | |
Corporate Office Properties Trust | | | 37 | | | | 981 | |
Cousins Properties, Inc. | | | 269 | | | | 7,875 | |
CTO Realty Growth, Inc. | | | 2 | | | | 134 | |
CubeSmart | | | 425 | | | | 18,160 | |
DiamondRock Hospitality Co.(1) | | | 77 | | | | 628 | |
DigitalBridge Group, Inc.(1) | | | 25 | | | | 120 | |
Diversified Healthcare Trust | | | 358 | | | | 652 | |
Doma Holdings, Inc.(1) | | | 47 | | | | 48 | |
Douglas Elliman, Inc. | | | 27 | | | | 128 | |
| | | | | | | | |
Douglas Emmett, Inc. | | | 343 | | | | 7,686 | |
Duke Realty Corp. | | | 162 | | | | 8,906 | |
Easterly Government Properties, Inc. - Class A | | | 72 | | | | 1,367 | |
EastGroup Properties, Inc. | | | 1 | | | | 194 | |
Empire State Realty Trust, Inc. - Class A | | | 843 | | | | 5,923 | |
EPR Properties | | | 2 | | | | 102 | |
Equity Commonwealth(1) | | | 41 | | | | 1,131 | |
Equity LifeStyle Properties, Inc. | | | 2 | | | | 149 | |
Equity Residential | | | 174 | | | | 12,585 | |
Essential Properties Realty Trust, Inc. | | | 44 | | | | 943 | |
Essex Property Trust, Inc. | | | 50 | | | | 13,062 | |
Extra Space Storage, Inc. | | | 4 | | | | 598 | |
Farmland Partners, Inc. | | | 16 | | | | 218 | |
Federal Realty OP LP | | | 2 | | | | 227 | |
First Industrial Realty Trust, Inc. | | | 4 | | | | 192 | |
Forestar Group, Inc.(1) | | | 4 | | | | 57 | |
Four Corners Property Trust, Inc. | | | 88 | | | | 2,349 | |
Franklin Street Properties Corp. | | | 156 | | | | 649 | |
FRP Holdings, Inc.(1) | | | 2 | | | | 149 | |
Gaming & Leisure Properties, Inc. | | | 119 | | | | 5,457 | |
Getty Realty Corp. | | | 44 | | | | 1,155 | |
Gladstone Commercial Corp. | | | 2 | | | | 36 | |
Gladstone Land Corp. | | | 5 | | | | 118 | |
Global Medical REIT, Inc. | | | 22 | | | | 246 | |
Global Net Lease, Inc. | | | 229 | | | | 3,243 | |
Healthcare Realty Trust, Inc. | | | 78 | | | | 2,126 | |
Healthcare Trust of America, Inc. - Class A | | | 7 | | | | 191 | |
Healthpeak Properties, Inc. | | | 266 | | | | 6,881 | |
Hersha Hospitality Trust - Class A(1) | | | 12 | | | | 113 | |
Highwoods Properties, Inc. | | | 23 | | | | 775 | |
Host Hotels & Resorts, Inc. | | | 21 | | | | 333 | |
Howard Hughes Corp.(1) | | | 1 | | | | 77 | |
Hudson Pacific Properties, Inc. | | | 4 | | | | 65 | |
Independence Realty Trust, Inc. | | | 82 | | | | 1,691 | |
Indus Realty Trust, Inc. | | | 2 | | | | 107 | |
Industrial Logistics Properties Trust | | | 507 | | | | 7,136 | |
InvenTrust Properties Corp. | | | 25 | | | | 645 | |
Invitation Homes, Inc. | | | 18 | | | | 657 | |
Iron Mountain, Inc. | | | 77 | | | | 3,730 | |
iStar, Inc. | | | 25 | | | | 343 | |
JBG SMITH Properties | | | 3 | | | | 80 | |
Jones Lang LaSalle, Inc.(1) | | | 27 | | | | 4,637 | |
Kennedy-Wilson Holdings, Inc. | | | 45 | | | | 853 | |
Kilroy Realty Corp. | | | 123 | | | | 6,454 | |
Kimco Realty Corp. | | | 18 | | | | 361 | |
Kite Realty Group Trust | | | 119 | | | | 2,053 | |
Lamar Advertising Co. - Class A | | | 68 | | | | 6,017 | |
Life Storage, Inc. | | | 32 | | | | 3,628 | |
LTC Properties, Inc. | | | 14 | | | | 554 | |
LXP Industrial Trust | | | 405 | | | | 4,347 | |
Macerich Co. | | | 81 | | | | 704 | |
Medical Properties Trust, Inc. | | | 336 | | | | 5,133 | |
Mid-America Apartment Communities, Inc. | | | 3 | | | | 609 | |
National Health Investors, Inc. | | | 37 | | | | 2,267 | |
National Retail Properties, Inc. | | | 5 | | | | 226 | |
National Storage Affiliates Trust | | | 121 | | | | 6,044 | |
Necessity Retail REIT, Inc. | | | 49 | | | | 354 | |
NETSTREIT Corp. | | | 17 | | | | 326 | |
Newmark Group, Inc. - Class A | | | 52 | | | | 499 | |
NexPoint Residential Trust, Inc. | | | 1 | | | | 32 | |
Office Properties Income Trust | | | 115 | | | | 2,295 | |
Omega Healthcare Investors, Inc. | | | 196 | | | | 5,512 | |
One Liberty Properties, Inc. | | | 6 | | | | 145 | |
Opendoor Technologies, Inc.(1) | | | 10 | | | | 47 | |
Orion Office REIT, Inc. | | | 20 | | | | 222 | |
Paramount Group, Inc. | | | 464 | | | | 3,357 | |
Park Hotels & Resorts, Inc. | | | 7 | | | | 94 | |
Pebblebrook Hotel Trust | | | 547 | | | | 9,060 | |
Phillips Edison & Co., Inc. | | | 307 | | | | 10,243 | |
| | | | | | | | |
Physicians Realty Trust | | | 120 | | | | 2,094 | |
Piedmont Office Realty Trust, Inc. - Class A | | | 241 | | | | 3,156 | |
Plymouth Industrial REIT, Inc. | | | 361 | | | | 6,339 | |
Postal Realty Trust, Inc. - Class A | | | 2 | | | | 33 | |
PotlatchDeltic Corp. | | | 244 | | | | 10,767 | |
Rayonier, Inc. | | | 179 | | | | 6,697 | |
Re/Max Holdings, Inc. - Class A | | | 7 | | | | 170 | |
Realty Income Corp. | | | 18 | | | | 1,239 | |
Regency Centers Corp. | | | 212 | | | | 12,564 | |
Retail Opportunity Investments Corp. | | | 44 | | | | 688 | |
Rexford Industrial Realty, Inc. | | | 5 | | | | 287 | |
RLJ Lodging Trust | | | 61 | | | | 673 | |
RMR Group, Inc. - Class A | | | 2 | | | | 68 | |
RPT Realty | | | 30 | | | | 295 | |
Ryman Hospitality Properties, Inc.(1) | | | 112 | | | | 8,517 | |
Sabra Health Care REIT, Inc. | | | 411 | | | | 5,746 | |
Safehold, Inc. | | | 4 | | | | 129 | |
Saul Centers, Inc.(2) | | | 0 | | | | 15 | |
SBA Communications Corp. - Class A | | | 2 | | | | 798 | |
Seritage Growth Properties(1) | | | 17 | | | | 87 | |
Service Properties Trust | | | 172 | | | | 901 | |
Simon Property Group, Inc. | | | 46 | | | | 4,381 | |
SITE Centers Corp. | | | 73 | | | | 985 | |
SL Green Realty Corp. | | | 2 | | | | 87 | |
Spirit Realty Capital, Inc. | | | 4 | | | | 153 | |
STAG Industrial, Inc. | | | 68 | | | | 2,098 | |
STORE Capital Corp. | | | 8 | | | | 198 | |
Stratus Properties, Inc.(1) | | | 2 | | | | 63 | |
Summit Hotel Properties, Inc.(1) | | | 122 | | | | 890 | |
Sun Communities, Inc. | | | 4 | | | | 586 | |
Sunstone Hotel Investors, Inc.(1) | | | 81 | | | | 799 | |
Tanger Factory Outlet Centers, Inc. | | | 188 | | | | 2,675 | |
Tejon Ranch Co.(1) | | | 7 | | | | 109 | |
Terreno Realty Corp. | | | 28 | | | | 1,556 | |
Transcontinental Realty Investors, Inc.(1)(2) | | | 0 | | | | 20 | |
UDR, Inc. | | | 71 | | | | 3,285 | |
UMH Properties, Inc. | | | 3 | | | | 58 | |
Uniti Group, Inc. | | | 388 | | | | 3,659 | |
Urban Edge Properties | | | 43 | | | | 648 | |
Urstadt Biddle Properties, Inc. - Class A | | | 10 | | | | 167 | |
Ventas, Inc. | | | 12 | | | | 618 | |
Veris Residential, Inc.(1) | | | 31 | | | | 412 | |
VICI Properties, Inc. | | | 29 | | | | 863 | |
Vornado Realty Trust | | | 5 | | | | 153 | |
Washington Real Estate Investment Trust | | | 33 | | | | 702 | |
Welltower, Inc. | | | 201 | | | | 16,557 | |
WeWork, Inc. - Class A(1) | | | 4 | | | | 20 | |
Weyerhaeuser Co. | | | 244 | | | | 8,098 | |
Whitestone REIT - Class B | | | 18 | | | | 193 | |
WP Carey, Inc. | | | 6 | | | | 472 | |
Xenia Hotels & Resorts, Inc.(1) | | | 42 | | | | 615 | |
Zillow Group, Inc. - Class A(1) | | | 2 | | | | 48 | |
Zillow Group, Inc. - Class C(1) | | | 5 | | | | 151 | |
| | | | | | | | |
Total Real Estate | | | | 359,077 | |
| | | | | | | | |
Utilities – 6.62% | | | | | | | | |
AES Corp. | | | 16 | | | | 346 | |
ALLETE, Inc. | | | 32 | | | | 1,853 | |
Alliant Energy Corp. | | | 583 | | | | 34,164 | |
Altus Power, Inc.(1) | | | 10 | | | | 62 | |
Ameren Corp. | | | 397 | | | | 35,854 | |
American Electric Power Co., Inc. | | | 124 | | | | 11,868 | |
American States Water Co. | | | 7 | | | | 584 | |
American Water Works Co., Inc. | | | 6 | | | | 827 | |
Artesian Resources Corp. - Class A | | | 1 | | | | 50 | |
Atmos Energy Corp. | | | 4 | | | | 465 | |
Avangrid, Inc. | | | 2 | | | | 97 | |
Avista Corp. | | | 24 | | | | 1,058 | |
Black Hills Corp. | | | 209 | | | | 15,179 | |
Brookfield Renewable Corp. - Class A | | | 4 | | | | 136 | |
| | | | | | | | |
California Water Service Group | | | 15 | | | | 815 | |
CenterPoint Energy, Inc. | | | 814 | | | | 24,085 | |
Chesapeake Utilities Corp. | | | 3 | | | | 364 | |
CMS Energy Corp. | | | 523 | | | | 35,305 | |
Consolidated Edison, Inc. | | | 11 | | | | 1,022 | |
Constellation Energy Corp. | | | 10 | | | | 560 | |
DTE Energy Co. | | | 109 | | | | 13,817 | |
Edison International | | | 101 | | | | 6,407 | |
Entergy Corp. | | | 145 | | | | 16,292 | |
Essential Utilities, Inc. | | | 7 | | | | 323 | |
Evergy, Inc. | | | 606 | | | | 39,531 | |
Eversource Energy | | | 10 | | | | 876 | |
FirstEnergy Corp. | | | 16 | | | | 630 | |
Hawaiian Electric Industries, Inc. | | | 3 | | | | 132 | |
IDACORP, Inc. | | | 2 | | | | 162 | |
MGE Energy, Inc. | | | 101 | | | | 7,873 | |
National Fuel Gas Co. | | | 95 | | | | 6,285 | |
New Jersey Resources Corp. | | | 260 | | | | 11,557 | |
NiSource, Inc. | | | 12 | | | | 363 | |
Northwest Natural Holding Co. | | | 19 | | | | 1,028 | |
NorthWestern Corp. | | | 20 | | | | 1,205 | |
NRG Energy, Inc. | | | 232 | | | | 8,841 | |
OGE Energy Corp. | | | 6 | | | | 235 | |
ONE Gas, Inc. | | | 253 | | | | 20,544 | |
Ormat Technologies, Inc. | | | 8 | | | | 590 | |
Otter Tail Corp. | | | 9 | | | | 576 | |
PG&E Corp.(1) | | | 47 | | | | 467 | |
Pinnacle West Capital Corp. | | | 3 | | | | 248 | |
PNM Resources, Inc. | | | 47 | | | | 2,250 | |
Portland General Electric Co. | | | 238 | | | | 11,526 | |
PPL Corp. | | | 22 | | | | 604 | |
Public Service Enterprise Group, Inc. | | | 15 | | | | 949 | |
SJW Group | | | 10 | | | | 608 | |
South Jersey Industries, Inc. | | | 380 | | | | 12,968 | |
Southwest Gas Holdings, Inc. | | | 31 | | | | 2,689 | |
Spire, Inc. | | | 19 | | | | 1,419 | |
Sunnova Energy International, Inc.(1) | | | 37 | | | | 677 | |
UGI Corp. | | | 441 | | | | 17,011 | |
Unitil Corp. | | | 6 | | | | 334 | |
Via Renewables, Inc. - Class A(2) | | | 0 | | | | 4 | |
Vistra Corp. | | | 1,937 | | | | 44,271 | |
WEC Energy Group, Inc. | | | 10 | | | | 961 | |
Xcel Energy, Inc. | | | 16 | | | | 1,167 | |
| | | | | | | | |
Total Utilities | | | | 400,114 | |
| | | | | | | | |
Total Common Stocks (Cost: $4,942,049) | | | | 5,840,307 | |
| | | | | | | | |
EXCHANGE TRADED FUNDS – 0.42% | | | | | | | | |
iShares Russell Mid-Capital Value ETF | | | 248 | | | | 25,142 | |
| | | | | | | | |
Total Exchange Traded Funds (Cost: $28,891) | | | | 25,142 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.66% | | | | | | | | |
Money Market Funds – 2.54% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(3) | | | 153,912 | | | | 153,912 | |
| | | | | | | | |
Total Money Market Funds (Cost: $153,912) | | | | | | | 153,912 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.12% | | | | | | | | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 1,432 | | | | 1,432 | |
Barclays Bank, London, 1.06% due 07/01/2022 | | | 467 | | | | 467 | |
Citibank, New York, 1.06% due 07/01/2022 | | | 3,897 | | | | 3,897 | |
JP Morgan, New York, 1.06% due 07/01/2022 | | | 215 | | | | 215 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022(2) | | CAD | 0 | | | | 0 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 357 | | | | 357 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | | 756 | | | | 756 | |
| | | | | | | | |
Total Time Deposits (Cost: $7,124) | | | | | | | 7,124 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $161,036) | | | | 161,036 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.69%
(Cost: $5,131,976) | | | | | | | 6,026,485 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.31% | | | | | | | 18,806 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 6,045,291 | |
| | | | | | | | |
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) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security that is categorized as Level 3 per the Trust's fair value hierarchy. The value of these securities totals $22, 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 | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 35 | | E-mini Russell 2000 Future | | Sep. 2022 | | $ | 3,058 | | | $ | 2,989 | | | $ | (69 | ) |
| 6 | | S&P 500 E-mini Future | | Sep. 2022 | | | 1,170 | | | | 1,137 | | | | (33 | ) |
| 1 | | S&P MidCap 400 E-mini Future | | Sep. 2022 | | | 247 | | | | 227 | | | | (20 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (122 | ) |
| | | | | | | | | | | | | | | | |
Bridge Builder Tax Managed Small/Mid Cap Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 94.79% | | | | | | | | |
Communication Services – 2.05% | | | | | | | | |
AMC Entertainment Holdings, Inc. - Class A(1) | | | 2 | | | $ | 32 | |
Bandwidth, Inc. - Class A(1) | | | 1 | | | | 12 | |
Bumble, Inc. - Class A(1) | | | 7 | | | | 202 | |
Cable One, Inc.(2) | | | 0 | | | | 320 | |
Cargurus, Inc. - Class A(1) | | | 1 | | | | 22 | |
Cogent Communications Holdings, Inc.(2) | | | 0 | | | | 17 | |
Criteo SA - ADR(1) | | | 8 | | | | 187 | |
iHeartMedia, Inc. - Class A(1) | | | 1 | | | | 12 | |
Iridium Communications, Inc.(1) | | | 1 | | | | 48 | |
Liberty Broadband Corp. - Class C(1)(2) | | | 0 | | | | 37 | |
Match Group, Inc.(1) | | | 1 | | | | 41 | |
Nexstar Media Group, Inc. - Class A | | | 3 | | | | 423 | |
ROBLOX Corp. - Class A(1) | | | 2 | | | | 65 | |
Roku, Inc. - Class A(1) | | | 1 | | | | 55 | |
Shenandoah Telecommunications Co. | | | 1 | | | | 17 | |
Spotify Technology SA(1)(2) | | | 0 | | | | 22 | |
Take-Two Interactive Software, Inc.(1) | | | 1 | | | | 145 | |
TEGNA, Inc. | | | 2 | | | | 45 | |
Twitter, Inc.(1) | | | 1 | | | | 24 | |
Warner Bros Discovery, Inc.(1) | | | 3 | | | | 36 | |
ZoomInfo Technologies, Inc. - Class A(1) | | | 2 | | | | 72 | |
| | | | | | | | |
Total Communication Services | | | | 1,834 | |
| | | | | |
Consumer Discretionary – 11.26% | | | | | | | | |
Abercrombie & Fitch Co. - Class A(1) | | | 1 | | | | 14 | |
Adient Plc(1) | | | 1 | | | | 37 | |
ADT, Inc. | | | 26 | | | | 162 | |
Aptiv Plc(1) | | | 2 | | | | 180 | |
Aramark | | | 3 | | | | 98 | |
Asbury Automotive Group, Inc.(1)(2) | | | 0 | | | | 27 | |
AutoZone, Inc.(1)(2) | | | 0 | | | | 129 | |
Best Buy Co., Inc. | | | 2 | | | | 121 | |
Booking Holdings, Inc.(1)(2) | | | 0 | | | | 32 | |
BorgWarner, Inc.(2) | | | 0 | �� | | | 14 | |
Bright Horizons Family Solutions, Inc.(1) | | | 4 | | | | 368 | |
Burlington Stores, Inc.(1) | | | 1 | | | | 113 | |
CarMax, Inc.(1) | | | 1 | | | | 86 | |
Carnival Corp.(1) | | | 2 | | | | 14 | |
Carter’s, Inc. | | | 3 | | | | 195 | |
Century Communities, Inc.(2) | | | 0 | | | | 0 | |
Chegg, Inc.(1) | | | 2 | | | | 29 | |
Chewy, Inc. - Class A(1) | | | 2 | | | | 60 | |
Chipotle Mexican Grill, Inc. - Class A(1)(2) | | | 0 | | | | 234 | |
Choice Hotels International, Inc. | | | 1 | | | | 156 | |
ContextLogic, Inc. - Class A(1) | | | 11 | | | | 17 | |
Crocs, Inc.(1) | | | 2 | | | | 93 | |
Dana, Inc. | | | 9 | | | | 123 | |
Deckers Outdoor Corp.(1) | | | 1 | | | | 206 | |
Dine Brands Global, Inc. | | | 3 | | | | 181 | |
DoorDash, Inc. - Class A(1)(2) | | | 0 | | | | 13 | |
DR Horton, Inc. | | | 5 | | | | 342 | |
Dutch Bros, Inc. - Class A(1) | | | 2 | | | | 61 | |
Etsy, Inc.(1)(2) | | | 0 | | | | 22 | |
Five Below, Inc.(1) | | | 2 | | | | 211 | |
| | | | | | | | |
Floor & Decor Holdings, Inc. - Class A(1) | | | 3 | | | | 211 | |
Fox Factory Holding Corp.(1) | | | 3 | | | | 281 | |
Garmin Ltd. | | | 1 | | | | 102 | |
Gentex Corp. | | | 2 | | | | 46 | |
Goodyear Tire & Rubber Co.(1) | | | 18 | | | | 189 | |
Helen of Troy Ltd.(1) | | | 1 | | | | 160 | |
Hilton Grand Vacations, Inc.(1) | | | 4 | | | | 140 | |
Hilton Worldwide Holdings, Inc. | | | 2 | | | | 232 | |
Hyatt Hotels Corp. - Class A(1)(2) | | | 0 | | | | 27 | |
Jack in the Box, Inc.(2) | | | 0 | | | | 23 | |
KB Home | | | 5 | | | | 155 | |
La-Z-Boy, Inc. | | | 1 | | | | 15 | |
Lear Corp. | | | 3 | | | | 329 | |
Levi Strauss & Co. - Class A | | | 4 | | | | 73 | |
Lithia Motors, Inc. - Class A(2) | | | 0 | | | | 104 | |
LKQ Corp. | | | 12 | | | | 600 | |
Lululemon Athletica, Inc.(1)(2) | | | 0 | | | | 106 | |
Luminar Technologies, Inc. - Class A(1) | | | 4 | | | | 21 | |
M/I Homes, Inc.(1) | | | 1 | | | | 33 | |
Macy’s, Inc. | | | 2 | | | | 28 | |
MDC Holdings, Inc. | | | 1 | | | | 17 | |
Meritage Homes Corp.(1) | | | 1 | | | | 37 | |
MGM Resorts International | | | 1 | | | | 28 | |
National Vision Holdings, Inc.(1) | | | 1 | | | | 26 | |
NVR, Inc.(1)(2) | | | 0 | | | | 48 | |
On Holding AG - Class A(1) | | | 4 | | | | 65 | |
O’Reilly Automotive, Inc.(1)(2) | | | 0 | | | | 72 | |
Papa John’s International, Inc. | | | 2 | | | | 174 | |
Penske Automotive Group, Inc.(2) | | | 0 | | | | 35 | |
Planet Fitness, Inc. - Class A(1) | | | 4 | | | | 242 | |
Pool Corp. | | | 1 | | | | 468 | |
PulteGroup, Inc. | | | 6 | | | | 231 | |
Ralph Lauren Corp. - Class A | | | 2 | | | | 153 | |
RealReal, Inc.(1) | | | 5 | | | | 12 | |
Royal Caribbean Cruises Ltd.(1) | | | 2 | | | | 62 | |
Sally Beauty Holdings, Inc.(1) | | | 13 | | | | 158 | |
Scientific Games Corp.(1) | | | 2 | | | | 115 | |
Signet Jewelers Ltd.(2) | | | 0 | | | | 24 | |
Sonos, Inc.(1) | | | 1 | | | | 22 | |
Steven Madden Ltd. | | | 1 | | | | 33 | |
Tapestry, Inc. | | | 6 | | | | 182 | |
Taylor Morrison Home Corp. - Class A(1) | | | 6 | | | | 137 | |
Tempur Sealy International, Inc. | | | 1 | | | | 24 | |
Texas Roadhouse, Inc. - Class A | | | 2 | | | | 166 | |
Tractor Supply Co. | | | 2 | | | | 327 | |
Travel + Leisure Co. | | | 1 | | | | 37 | |
TRI Pointe Homes, Inc.(1) | | | 2 | | | | 33 | |
Ulta Beauty, Inc.(1)(2) | | | 0 | | | | 39 | |
Urban Outfitters, Inc.(1) | | | 2 | | | | 38 | |
Vail Resorts, Inc. | | | 1 | | | | 157 | |
VF Corp.(2) | | | 0 | | | | 21 | |
Vista Outdoor, Inc.(1) | | | 1 | | | | 21 | |
Wendy’s Co. | | | 3 | | | | 59 | |
Williams-Sonoma, Inc. | | | 2 | | | | 214 | |
Wyndham Hotels & Resorts, Inc. | | | 2 | | | | 114 | |
YETI Holdings, Inc.(1)(2) | | | 0 | | | | 18 | |
Yum China Holdings, Inc. | | | 5 | | | | 239 | |
Zumiez, Inc.(1)(2) | | | 0 | | | | 11 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 10,072 | |
| | | | | |
| | | | | | | | |
Consumer Staples – 3.75% | | | | | | | | |
BellRing Brands, Inc.(1) | | | 1 | | | | 27 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 4 | | | | 257 | |
Casey’s General Stores, Inc. | | | 1 | | | | 166 | |
Celsius Holdings, Inc.(1)(2) | | | 0 | | | | 20 | |
Central Garden & Pet Co. - Class A(1) | | | 1 | | | | 39 | |
Church & Dwight Co., Inc. | | | 6 | | | | 575 | |
Constellation Brands, Inc. - Class A | | | 1 | | | | 145 | |
Energizer Holdings, Inc. | | | 1 | | | | 15 | |
Freshpet, Inc.(1) | | | 2 | | | | 88 | |
Hain Celestial Group, Inc.(1) | | | 9 | | | | 205 | |
Hershey Co.(2) | | | 0 | | | | 46 | |
Hostess Brands, Inc. - Class A(1) | | | 6 | | | | 120 | |
John B Sanfilippo & Son, Inc.(2) | | | 0 | | | | 11 | |
Keurig Dr Pepper, Inc. | | | 12 | | | | 416 | |
Nomad Foods Ltd.(1) | | | 11 | | | | 230 | |
Olaplex Holdings, Inc.(1) | | | 6 | | | | 90 | |
Performance Food Group Co.(1) | | | 1 | | | | 49 | |
Primo Water Corp. | | | 3 | | | | 45 | |
Reynolds Consumer Products, Inc. | | | 17 | | | | 451 | |
Simply Good Foods Co.(1) | | | 1 | | | | 23 | |
Sprouts Farmers Market, Inc.(1) | | | 2 | | | | 39 | |
TreeHouse Foods, Inc.(1) | | | 1 | | | | 29 | |
United Natural Foods, Inc.(1) | | | 1 | | | | 25 | |
Village Super Market, Inc. - Class A | | | 1 | | | | 15 | |
WD-40 Co. | | | 1 | | | | 228 | |
| | | | | | | | |
Total Consumer Staples | | | | 3,354 | |
| | | | | |
Energy – 3.93% | | | | | | | | |
Antero Resources Corp.(1) | | | 5 | | | | 155 | |
Arch Resources, Inc.(2) | | | 0 | | | | 25 | |
Baker Hughes Co. - Class A | | | 4 | | | | 124 | |
Cactus, Inc. - Class A | | | 4 | | | | 174 | |
California Resources Corp. | | | 1 | | | | 22 | |
Callon Petroleum Co.(1)(2) | | | 0 | | | | 14 | |
Cameco Corp. | | | 6 | | | | 133 | |
ChampionX Corp. | | | 2 | | | | 36 | |
Cheniere Energy, Inc. | | | 1 | | | | 168 | |
Chesapeake Energy Corp. | | | 1 | | | | 79 | |
CONSOL Energy, Inc.(1)(2) | | | 0 | | | | 18 | |
Coterra Energy, Inc. | | | 11 | | | | 293 | |
Delek US Holdings, Inc.(1)(2) | | | 0 | | | | 10 | |
Denbury, Inc.(1) | | | 1 | | | | 78 | |
Devon Energy Corp. | | | 3 | | | | 167 | |
EOG Resources, Inc. | | | 4 | | | | 412 | |
EQT Corp. | | | 3 | | | | 98 | |
Equitrans Midstream Corp. | | | 4 | | | | 23 | |
Halliburton Co. | | | 1 | | | | 17 | |
Helmerich & Payne, Inc. | | | 5 | | | | 200 | |
HF Sinclair Corp. | | | 5 | | | | 248 | |
Kosmos Energy Ltd.(1) | | | 2 | | | | 13 | |
Liberty Energy, Inc. - Class A(1) | | | 1 | | | | 17 | |
Magnolia Oil & Gas Corp. - Class A | | | 4 | | | | 78 | |
Matador Resources Co. | | | 3 | | | | 143 | |
Murphy Oil Corp. | | | 1 | | | | 35 | |
NOV, Inc. | | | 6 | | | | 105 | |
Ovintiv, Inc. | | | 2 | | | | 67 | |
PBF Energy, Inc. - Class A(1) | | | 1 | | | | 18 | |
PDC Energy, Inc.(2) | | | 0 | | | | 26 | |
Peabody Energy Corp.(1) | | | 1 | | | | 11 | |
Range Resources Corp.(1) | | | 1 | | | | 20 | |
SM Energy Co. | | | 1 | | | | 17 | |
Southwestern Energy Co.(1) | | | 3 | | | | 17 | |
Texas Pacific Land Corp.(2) | | | 0 | | | | 112 | |
| | | | | | | | |
Valero Energy Corp. | | | 3 | | | | 319 | |
Whiting Petroleum Corp.(2) | | | 0 | | | | 22 | |
| | | | | | | | |
Total Energy | | | | 3,514 | |
| | | | | |
Financials – 14.22% | | | | | | | | |
1st Source Corp. | | | 1 | | | | 33 | |
Affiliated Managers Group, Inc. | | | 1 | | | | 73 | |
Aflac, Inc. | | | 1 | | | | 36 | |
Allstate Corp. | | | 2 | | | | 297 | |
American Financial Group, Inc. | | | 1 | | | | 190 | |
Ameriprise Financial, Inc.(2) | | | 0 | | | | 37 | |
Ameris Bancorp(2) | | | 0 | | | | 1 | |
AMERISAFE, Inc. | | | 1 | | | | 40 | |
Annaly Capital Management, Inc. | | | 67 | | | | 395 | |
Apollo Commercial Real Estate Finance, Inc. | | | 3 | | | | 28 | |
Arbor Realty Trust, Inc. | | | 1 | | | | 17 | |
Arch Capital Group Ltd.(1) | | | 14 | | | | 630 | |
Ares Management Corp. - Class A | | | 2 | | | | 94 | |
Arrow Financial Corp. | | | 1 | | | | 36 | |
Associated Banc-Corp. | | | 1 | | | | 15 | |
Axis Capital Holdings Ltd. | | | 1 | | | | 65 | |
Bank of Hawaii Corp. | | | 2 | | | | 144 | |
BankUnited, Inc. | | | 5 | | | | 194 | |
Blackstone Mortgage Trust, Inc. - Class A | | | 1 | | | | 41 | |
Broadmark Realty Capital, Inc. | | | 6 | | | | 41 | |
Brookline Bancorp, Inc. | | | 3 | | | | 46 | |
Brown & Brown, Inc. | | | 8 | | | | 488 | |
Byline Bancorp, Inc. | | | 1 | | | | 25 | |
Cadence Bank | | | 2 | | | | 40 | |
Cannae Holdings, Inc.(1) | | | 2 | | | | 43 | |
Central Pacific Financial Corp. | | | 1 | | | | 25 | |
CNA Financial Corp.(2) | | | 0 | | | | 18 | |
CNO Financial Group, Inc. | | | 2 | | | | 37 | |
Cohen & Steers, Inc. | | | 1 | | | | 42 | |
Comerica, Inc. | | | 3 | | | | 246 | |
Community Bank System, Inc. | | | 4 | | | | 235 | |
Community Trust Bancorp, Inc.(2) | | | 0 | | | | 1 | |
Crawford & Co. - Class A(2) | | | 0 | | | | 1 | |
CrossFirst Bankshares, Inc.(1) | | | 3 | | | | 38 | |
Cullen/Frost Bankers, Inc. | | | 2 | | | | 259 | |
Diamond Hill Investment Group, Inc.(2) | | | 0 | | | | 24 | |
Discover Financial Services | | | 3 | | | | 247 | |
Donegal Group, Inc. - Class A | | | 1 | | | | 17 | |
Dynex Capital, Inc. | | | 2 | | | | 33 | |
East West Bancorp, Inc. | | | 2 | | | | 114 | |
Eastern Bankshares, Inc. | | | 1 | | | | 25 | |
Ellington Financial, Inc. | | | 1 | | | | 10 | |
Employers Holdings, Inc. | | | 1 | | | | 40 | |
Enstar Group Ltd.(1)(2) | | | 0 | | | | 32 | |
Essent Group Ltd. | | | 1 | | | | 45 | |
Evercore, Inc. - Class A | | | 1 | | | | 87 | |
FactSet Research Systems, Inc. | | | 1 | | | | 208 | |
Farmers National Banc Corp. | | | 3 | | | | 42 | |
Fifth Third Bancorp | | | 8 | | | | 285 | |
Financial Institutions, Inc. | | | 1 | | | | 34 | |
First BanCorp | | | 19 | | | | 241 | |
First Bancshares, Inc. | | | 1 | | | | 36 | |
First Busey Corp. | | | 2 | | | | 38 | |
First Citizens BancShares, Inc. - Class A(2) | | | 0 | | | | 271 | |
First Community Bankshares, Inc. | | | 1 | | | | 39 | |
First Financial Bancorp | | | 2 | | | | 38 | |
First Financial Bankshares, Inc. | | | 8 | | | | 297 | |
| | | | | | | | |
First Financial Corp. | | | 1 | | | | 38 | |
First Hawaiian, Inc. | | | 9 | | | | 211 | |
First Merchants Corp. | | | 1 | | | | 36 | |
First of Long Island Corp. | | | 2 | | | | 35 | |
First Republic Bank(2) | | | 0 | | | | 68 | |
Glacier Bancorp, Inc. | | | 8 | | | | 362 | |
Hamilton Lane, Inc. - Class A(2) | | | 0 | | | | 18 | |
Hanover Insurance Group, Inc. | | | 1 | | | | 209 | |
HarborOne Bancorp, Inc. | | | 3 | | | | 37 | |
Heritage Commerce Corp. | | | 1 | | | | 13 | |
HomeTrust Bancshares, Inc. | | | 1 | | | | 35 | |
Horace Mann Educators Corp. | | | 1 | | | | 47 | |
Horizon Bancorp, Inc. | | | 2 | | | | 37 | |
Houlihan Lokey, Inc. - Class A | | | 1 | | | | 76 | |
Independent Bank Corp. | | | 2 | | | | 37 | |
Kemper Corp. | | | 3 | | | | 149 | |
Ladder Capital Corp. - Class A | | | 3 | | | | 36 | |
Lakeland Bancorp, Inc. | | | 3 | | | | 37 | |
LendingClub Corp.(1) | | | 1 | | | | 15 | |
Lincoln National Corp.(2) | | | 0 | | | | 15 | |
Loews Corp. | | | 4 | | | | 238 | |
LPL Financial Holdings, Inc. | | | 3 | | | | 495 | |
Macatawa Bank Corp. | | | 4 | | | | 36 | |
MarketAxess Holdings, Inc. | | | 1 | | | | 267 | |
Moelis & Co. - Class A | | | 5 | | | | 195 | |
Morningstar, Inc.(2) | | | 0 | | | | 90 | |
Mr Cooper Group, Inc.(1)(2) | | | 0 | | | | 15 | |
MSCI, Inc. - Class A(2) | | | 0 | | | | 152 | |
NBT Bancorp, Inc. | | | 1 | | | | 40 | |
New York Mortgage Trust, Inc. | | | 13 | | | | 35 | |
NI Holdings, Inc.(1) | | | 2 | | | | 25 | |
Northfield Bancorp, Inc. | | | 3 | | | | 43 | |
Old National Bancorp | | | 2 | | | | 34 | |
Oportun Financial Corp.(1) | | | 3 | | | | 25 | |
PacWest Bancorp | | | 4 | | | | 94 | |
Peapack Gladstone Financial Corp. | | | 1 | | | | 34 | |
PROG Holdings, Inc.(1) | | | 1 | | | | 18 | |
Progressive Corp. | | | 1 | | | | 113 | |
Prudential Financial, Inc.(2) | | | 0 | | | | 32 | |
QCR Holdings, Inc.(2) | | | 0 | | | | 1 | |
Regions Financial Corp. | | | 11 | | | | 212 | |
RLI Corp. | | | 3 | | | | 342 | |
S&P Global, Inc.(2) | | | 0 | | | | 84 | |
Safety Insurance Group, Inc.(2) | | | 0 | | | | 42 | |
Sandy Spring Bancorp, Inc.(2) | | | 0 | | | | 1 | |
Seacoast Banking Corp. of Florida | | | 1 | | | | 39 | |
SEI Investments Co.(2) | | | 0 | | | | 18 | |
Selective Insurance Group, Inc. | | | 3 | | | | 225 | |
Simmons First National Corp. - Class A | | | 2 | | | | 33 | |
South State Corp.(2) | | | 0 | | | | 3 | |
Southern First Bancshares, Inc.(1) | | | 1 | | | | 41 | |
Stifel Financial Corp. | | | 6 | | | | 331 | |
SVB Financial Group(1)(2) | | | 0 | | | | 58 | |
Synovus Financial Corp. | | | 5 | | | | 187 | |
T Rowe Price Group, Inc.(2) | | | 0 | | | | 42 | |
Texas Capital Bancshares, Inc.(1) | | | 5 | | | | 250 | |
TPG INC - Class A | | | 3 | | | | 76 | |
TPG RE Finance Trust, Inc. | | | 2 | | | | 17 | |
Tradeweb Markets, Inc. - Class A | | | 2 | | | | 130 | |
TrustCo Bank Corp. NY | | | 1 | | | | 37 | |
Trustmark Corp. | | | 1 | | | | 40 | |
| | | | | | | | |
Two Harbors Investment Corp.(2) | | | 0 | | | | 1 | |
UMB Financial Corp.(2) | | | 0 | | | | 43 | |
Univest Financial Corp. | | | 1 | | | | 37 | |
Valley National Bancorp | | | 2 | | | | 18 | |
Veritex Holdings, Inc. | | | 1 | | | | 26 | |
Webster Financial Corp. | | | 4 | | | | 182 | |
West Bancorp, Inc. | | | 1 | | | | 36 | |
Wintrust Financial Corp. | | | 3 | | | | 218 | |
Zions Bancorp N.A. | | | 6 | | | | 301 | |
| | | | | | | | |
Total Financials | | | | 12,717 | |
| | | | | |
Healthcare – 13.21% | | | | | | | | |
10X Genomics, Inc. - Class A(1) | | | 2 | | | | 108 | |
1Life Healthcare, Inc.(1) | | | 2 | | | | 18 | |
AbCellera Biologics, Inc.(1) | | | 2 | | | | 23 | |
Acadia Healthcare Co., Inc.(1) | | | 6 | | | | 392 | |
ACADIA Pharmaceuticals, Inc.(1) | | | 2 | | | | 23 | |
Adaptive Biotechnologies Corp.(1) | | | 3 | | | | 26 | |
Agilent Technologies, Inc. | | | 2 | | | | 199 | |
Agios Pharmaceuticals, Inc.(1) | | | 6 | | | | 141 | |
Alcon, Inc. | | | 6 | | | | 386 | |
Alignment Healthcare, Inc.(1) | | | 7 | | | | 75 | |
Allogene Therapeutics, Inc.(1) | | | 4 | | | | 44 | |
Alnylam Pharmaceuticals, Inc.(1) | | | 2 | | | | 246 | |
Amedisys, Inc.(1) | | | 1 | | | | 71 | |
AmerisourceBergen Corp. - Class A(2) | | | 0 | | | | 19 | |
Amicus Therapeutics, Inc.(1) | | | 3 | | | | 32 | |
AMN Healthcare Services, Inc.(1)(2) | | | 0 | | | | 33 | |
Amphastar Pharmaceuticals, Inc.(1) | | | 1 | | | | 20 | |
Apellis Pharmaceuticals, Inc.(1)(2) | | | 0 | | | | 22 | |
Arrowhead Pharmaceuticals, Inc.(1) | | | 1 | | | | 29 | |
Axonics, Inc.(1) | | | 3 | | | | 164 | |
Beam Therapeutics, Inc.(1) | | | 3 | | | | 122 | |
BioCryst Pharmaceuticals, Inc.(1) | | | 2 | | | | 22 | |
Biohaven Pharmaceutical Holding Co. Ltd.(1)(2) | | | 0 | | | | 25 | |
Bio-Techne Corp. | | | 1 | | | | 405 | |
Blueprint Medicines Corp.(1)(2) | | | 0 | | | | 25 | |
Cardiovascular Systems, Inc.(1)(2) | | | 0 | | | | 1 | |
Catalent, Inc.(1) | | | 1 | | | | 139 | |
Celldex Therapeutics, Inc.(1) | | | 1 | | | | 18 | |
Centene Corp.(1) | | | 2 | | | | 210 | |
Certara, Inc.(1) | | | 6 | | | | 118 | |
Change Healthcare, Inc.(1) | | | 11 | | | | 255 | |
Charles River Laboratories International, Inc.(1) | | | 1 | | | | 176 | |
Chemed Corp. | | | 1 | | | | 287 | |
CONMED Corp.(2) | | | 0 | | | | 24 | |
Cooper Companies, Inc.(2) | | | 0 | | | | 117 | |
Covetrus, Inc.(1) | | | 1 | | | | 28 | |
Cymabay Therapeutics, Inc.(1) | | | 12 | | | | 36 | |
Cytokinetics, Inc.(1) | | | 1 | | | | 20 | |
Denali Therapeutics, Inc.(1) | | | 1 | | | | 25 | |
DexCom, Inc.(1) | | | 3 | | | | 194 | |
Enovis Corp.(1) | | | 1 | | | | 30 | |
Ensign Group, Inc.(2) | | | 0 | | | | 19 | |
Envista Holdings Corp.(1) | | | 6 | | | | 221 | |
Evolent Health, Inc. - Class A(1)(2) | | | 0 | | | | 15 | |
Exact Sciences Corp.(1) | | | 2 | | | | 59 | |
Exelixis, Inc.(1) | | | 15 | | | | 310 | |
Geron Corp.(1) | | | 8 | | | | 12 | |
Guardant Health, Inc.(1) | | | 3 | | | | 131 | |
Haemonetics Corp.(1)(2) | | | 0 | | | | 29 | |
Halozyme Therapeutics, Inc.(1) | | | 8 | | | | 343 | |
| | | | | | | | |
Hanger, Inc.(1) | | | 3 | | | | 39 | |
HealthEquity, Inc.(1)(2) | | | 0 | | | | 28 | |
Hologic, Inc.(1) | | | 2 | | | | 109 | |
Horizon Therapeutics Plc(1) | | | 2 | | | | 163 | |
Humana, Inc. | | | 1 | | | | 463 | |
ICON Plc(1) | | | 1 | | | | 251 | |
IDEXX Laboratories, Inc.(1)(2) | | | 0 | | | | 93 | |
Inari Medical, Inc.(1) | | | 2 | | | | 115 | |
Insmed, Inc.(1) | | | 1 | | | | 29 | |
Inspire Medical Systems, Inc.(1)(2) | | | 0 | | | | 29 | |
Insulet Corp.(1) | | | 1 | | | | 138 | |
Integra LifeSciences Holdings Corp.(1) | | | 4 | | | | 225 | |
Intellia Therapeutics, Inc.(1)(2) | | | 0 | | | | 24 | |
Intra-Cellular Therapies, Inc.(1) | | | 1 | | | | 30 | |
IQVIA Holdings, Inc.(1)(2) | | | 0 | | | | 26 | |
iRhythm Technologies, Inc.(1) | | | 1 | | | | 75 | |
IVERIC bio, Inc.(1) | | | 2 | | | | 20 | |
Jazz Pharmaceuticals Plc(1) | | | 1 | | | | 84 | |
Karuna Therapeutics, Inc.(1)(2) | | | 0 | | | | 32 | |
Krystal Biotech, Inc.(1)(2) | | | 0 | | | | 26 | |
Lantheus Holdings, Inc.(1)(2) | | | 0 | | | | 23 | |
LHC Group, Inc.(1)(2) | | | 0 | | | | 1 | |
Lyell Immunopharma, Inc.(1) | | | 3 | | | | 17 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 2 | | | | 58 | |
McKesson Corp.(2) | | | 0 | | | | 156 | |
MEDNAX, Inc.(1) | | | 12 | | | | 261 | |
Mettler-Toledo International, Inc.(1)(2) | | | 0 | | | | 153 | |
Molina Healthcare, Inc.(1) | | | 1 | | | | 153 | |
Multiplan Corp.(1) | | | 3 | | | | 18 | |
Myriad Genetics, Inc.(1) | | | 1 | | | | 16 | |
Natera, Inc.(1) | | | 2 | | | | 56 | |
National HealthCare Corp.(2) | | | 0 | | | | 19 | |
NeoGenomics, Inc.(1) | | | 3 | | | | 24 | |
Neurocrine Biosciences, Inc.(1) | | | 4 | | | | 368 | |
Nevro Corp.(1)(2) | | | 0 | | | | 16 | |
Omnicell, Inc.(1) | | | 1 | | | | 161 | |
Option Care Health, Inc.(1) | | | 1 | | | | 28 | |
Pacific Biosciences of California, Inc.(1) | | | 4 | | | | 20 | |
Prestige Consumer Healthcare, Inc.(1) | | | 1 | | | | 48 | |
PTC Therapeutics, Inc.(1) | | | 1 | | | | 36 | |
QIAGEN NV(1) | | | 4 | | | | 195 | |
Repligen Corp.(1) | | | 1 | | | | 143 | |
ResMed, Inc. | | | 1 | | | | 125 | |
Rigel Pharmaceuticals, Inc.(1) | | | 4 | | | | 5 | |
Royalty Pharma Plc - Class A | | | 3 | | | | 108 | |
Seagen, Inc.(1) | | | 1 | | | | 113 | |
Sema4 Holdings Corp.(1) | | | 16 | | | | 20 | |
Shockwave Medical, Inc.(1) | | | 1 | | | | 166 | |
STAAR Surgical Co.(1)(2) | | | 0 | | | | 31 | |
Stevanato Group SpA | | | 8 | | | | 127 | |
Surmodics, Inc.(1) | | | 1 | | | | 32 | |
Syneos Health, Inc. - Class A(1) | | | 4 | | | | 258 | |
Tandem Diabetes Care, Inc.(1) | | | 2 | | | | 119 | |
Teleflex, Inc.(2) | | | 0 | | | | 110 | |
Tenet Healthcare Corp.(1) | | | 1 | | | | 27 | |
Turning Point Therapeutics, Inc.(1) | | | 1 | | | | 44 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 3 | | | | 173 | |
Universal Health Services, Inc. - Class B | | | 2 | | | | 211 | |
Veeva Systems, Inc. - Class A(1)(2) | | | 0 | | | | 35 | |
Veracyte, Inc.(1) | | | 1 | | | | 21 | |
West Pharmaceutical Services, Inc. | | | 1 | | | | 373 | |
Zimmer Biomet Holdings, Inc. | | | 2 | | | | 261 | |
| | | | | | | | |
Total Healthcare | | | | 11,815 | |
| | | | | |
| | | | | | | | |
Industrials – 19.01% | | | | | | | | |
AAON, Inc. | | | 7 | | | | 382 | |
AAR Corp.(1) | | | 1 | | | | 22 | |
ABM Industries, Inc. | | | 1 | | | | 23 | |
Advanced Drainage Systems, Inc. | | | 1 | | | | 54 | |
AECOM | | | 3 | | | | 227 | |
AerCap Holdings NV(1) | | | 11 | | | | 438 | |
Aerojet Rocketdyne Holdings, Inc.(1)(2) | | | 0 | | | | 15 | |
Air Lease Corp. - Class A | | | 2 | | | | 78 | |
Alamo Group, Inc.(2) | | | 0 | | | | 24 | |
Alaska Air Group, Inc.(1)(2) | | | 0 | | | | 19 | |
Allegiant Travel Co. - Class A(1) | | | 1 | | | | 105 | |
Allegion Plc | | | 2 | | | | 245 | |
Ameresco, Inc. - Class A(1) | | | 3 | | | | 116 | |
American Airlines Group, Inc.(1) | | | 1 | | | | 12 | |
AMETEK, Inc. | | | 1 | | | | 155 | |
API Group Corp.(1) | | | 6 | | | | 91 | |
Applied Industrial Technologies, Inc. | | | 1 | | | | 54 | |
Arcosa, Inc. | | | 5 | | | | 221 | |
ASGN, Inc.(1)(2) | | | 0 | | | | 41 | |
Atkore, Inc.(1)(2) | | | 0 | | | | 22 | |
Avis Budget Group, Inc.(1)(2) | | | 0 | | | | 32 | |
AZEK Co., Inc. - Class A(1) | | | 7 | | | | 120 | |
Bloom Energy Corp. - Class A(1) | | | 1 | | | | 18 | |
Boise Cascade Co.(2) | | | 0 | | | | 23 | |
Builders FirstSource, Inc.(1) | | | 4 | | | | 192 | |
Carlisle Companies, Inc. | | | 3 | | | | 711 | |
CBIZ, Inc.(1) | | | 1 | | | | 37 | |
Chart Industries, Inc.(1) | | | 1 | | | | 187 | |
Cintas Corp.(2) | | | 0 | | | | 42 | |
Copart, Inc.(1) | | | 2 | | | | 247 | |
Core & Main, Inc. - Class A(1) | | | 9 | | | | 209 | |
CSW Industrials, Inc.(2) | | | 0 | | | | 18 | |
Delta Air Lines, Inc.(1) | | | 5 | | | | 146 | |
Desktop Metal, Inc. - Class A(1) | | | 8 | | | | 18 | |
Donaldson Co., Inc. | | | 5 | | | | 229 | |
Ducommun, Inc.(1) | | | 1 | | | | 36 | |
Dun & Bradstreet Holdings, Inc.(1) | | | 8 | | | | 125 | |
Dycom Industries, Inc.(1) | | | 3 | | | | 281 | |
EMCOR Group, Inc.(2) | | | 0 | | | | 39 | |
EnerSys(2) | | | 0 | | | | 16 | |
Ennis, Inc. | | | 1 | | | | 12 | |
Equifax, Inc. | | | 1 | | | | 94 | |
ESCO Technologies, Inc.(2) | | | 0 | | | | 19 | |
Expeditors International of Washington, Inc.(2) | | | 0 | | | | 12 | |
Exponent, Inc. | | | 3 | | | | 305 | |
Fastenal Co.(2) | | | 0 | | | | 24 | |
Federal Signal Corp. | | | 1 | | | | 39 | |
Fluor Corp.(1) | | | 1 | | | | 26 | |
Franklin Electric Co., Inc. | | | 1 | | | | 40 | |
Gates Industrial Corp. Plc(1) | | | 12 | | | | 126 | |
GATX Corp. | | | 1 | | | | 122 | |
Generac Holdings, Inc.(1)(2) | | | 0 | | | | 98 | |
GMS, Inc.(1)(2) | | | 0 | | | | 13 | |
Gorman-Rupp Co. | | | 1 | | | | 37 | |
Graco, Inc. | | | 6 | | | | 331 | |
GXO Logistics, Inc.(1) | | | 2 | | | | 88 | |
Hawaiian Holdings, Inc.(1) | | | 1 | | | | 18 | |
HEICO Corp. - Class A | | | 1 | | | | 64 | |
| | | | | | | | |
Herc Holdings, Inc. | | | 2 | | | | 170 | |
Hillenbrand, Inc.(2) | | | 0 | | | | 12 | |
Hub Group, Inc. - Class A(1)(2) | | | 0 | | | | 16 | |
IAA, Inc.(1) | | | 9 | | | | 292 | |
IDEX Corp. | | | 2 | | | | 306 | |
Ingersoll Rand, Inc. | | | 2 | | | | 95 | |
ITT, Inc. | | | 1 | | | | 86 | |
Jacobs Engineering Group, Inc. | | | 5 | | | | 633 | |
JB Hunt Transport Services, Inc.(2) | | | 0 | | | | 20 | |
JetBlue Airways Corp.(1) | | | 2 | | | | 21 | |
KAR Auction Services, Inc.(1) | | | 2 | | | | 23 | |
KBR, Inc. | | | 1 | | | | 46 | |
Kennametal, Inc. | | | 1 | | | | 34 | |
Kimball International, Inc. - Class B | | | 4 | | | | 34 | |
Kirby Corp.(1) | | | 6 | | | | 338 | |
Knight-Swift Transportation Holdings, Inc. - Class A | | | 6 | | | | 281 | |
Korn Ferry | | | 3 | | | | 163 | |
Lyft, Inc. - Class A(1) | | | 3 | | | | 43 | |
Masonite International Corp.(1) | | | 2 | | | | 159 | |
MasTec, Inc.(1) | | | 4 | | | | 282 | |
Matson, Inc.(2) | | | 0 | | | | 24 | |
Matthews International Corp. - Class A | | | 1 | | | | 24 | |
MillerKnoll, Inc. | | | 6 | | | | 158 | |
Moog, Inc. - Class A | | | 1 | | | | 43 | |
Mueller Water Products, Inc. - Class A | | | 3 | | | | 39 | |
Nordson Corp. | | | 3 | | | | 541 | |
Old Dominion Freight Line, Inc.(2) | | | 0 | | | | 112 | |
Oshkosh Corp. | | | 2 | | | | 162 | |
Plug Power, Inc.(1) | | | 4 | | | | 71 | |
Quanex Building Products Corp. | | | 1 | | | | 16 | |
Quanta Services, Inc. | | | 2 | | | | 302 | |
RBC Bearings, Inc.(1) | | | 4 | | | | 690 | |
Regal Rexnord Corp. | | | 1 | | | | 156 | |
Republic Services, Inc. - Class A | | | 4 | | | | 570 | |
Resideo Technologies, Inc.(1) | | | 1 | | | | 24 | |
Resources Connection, Inc. | | | 1 | | | | 17 | |
Robert Half International, Inc. | | | 2 | | | | 126 | |
Rollins, Inc. | | | 7 | | | | 261 | |
Sensata Technologies Holding Plc | | | 4 | | | | 173 | |
Shoals Technologies Group, Inc. - Class A(1) | | | 5 | | | | 89 | |
SiteOne Landscape Supply, Inc.(1) | | | 1 | | | | 156 | |
Skillsoft Corp.(1) | | | 6 | | | | 21 | |
SkyWest, Inc.(1) | | | 6 | | | | 118 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 7 | | | | 216 | |
Spirit Airlines, Inc.(1) | | | 1 | | | | 30 | |
Standex International Corp.(2) | | | 0 | | | | 35 | |
Stanley Black & Decker, Inc. | | | 3 | | | | 337 | |
Star Bulk Carriers Corp. | | | 7 | | | | 163 | |
Stericycle, Inc.(1) | | | 1 | | | | 44 | |
Tetra Tech, Inc. | | | 4 | | | | 489 | |
Timken Co. | | | 3 | | | | 182 | |
Toro Co. | | | 8 | | | | 591 | |
Trane Technologies Plc | | | 1 | | | | 180 | |
TransDigm Group, Inc.(1)(2) | | | 0 | | | | 12 | |
UFP Industries, Inc.(2) | | | 0 | | | | 33 | |
United Rentals, Inc.(1)(2) | | | 0 | | | | 36 | |
Valmont Industries, Inc. | | | 1 | | | | 260 | |
Veritiv Corp.(1)(2) | | | 0 | | | | 16 | |
Vertiv Holdings Co. - Class A | | | 19 | | | | 159 | |
Watsco, Inc. | | | 1 | | | | 138 | |
Watts Water Technologies, Inc. - Class A | | | 1 | | | | 99 | |
| | | | | | | | |
WESCO International, Inc.(1)(2) | | | 0 | | | | 38 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 6 | | | | 197 | |
XPO Logistics, Inc.(1) | | | 4 | | | | 203 | |
Xylem, Inc. | | | 1 | | | | 60 | |
| | | | | | | | |
Total Industrials | | | | 17,003 | |
| | | | | |
Information Technology – 16.65% | | | | | | | | |
ACI Worldwide, Inc.(1) | | | 9 | | | | 233 | |
Advanced Micro Devices, Inc.(1) | | | 1 | | | | 68 | |
Akoustis Technologies, Inc.(1)(2) | | | 0 | | | | 1 | |
Allegro MicroSystems, Inc.(1) | | | 10 | | | | 206 | |
Altair Engineering, Inc. - Class A(1) | | | 1 | | | | 34 | |
Ambarella, Inc.(1)(2) | | | 0 | | | | 19 | |
Amdocs Ltd. | | | 7 | | | | 553 | |
Amphenol Corp. - Class A | | | 1 | | | | 40 | |
Arista Networks, Inc.(1) | | | 2 | | | | 142 | |
Aspen Technology, Inc.(1) | | | 1 | | | | 152 | |
Avalara, Inc.(1) | | | 2 | | | | 131 | |
Avnet, Inc. | | | 5 | | | | 222 | |
Belden, Inc. | | | 3 | | | | 151 | |
Benchmark Electronics, Inc. | | | 1 | | | | 12 | |
Bill.com Holdings, Inc.(1)(2) | | | 0 | | | | 51 | |
Blend Labs, Inc. - Class A(1) | | | 6 | | | | 14 | |
Cadence Design Systems, Inc.(1) | | | 1 | | | | 216 | |
CDW Corp.(2) | | | 0 | | | | 31 | |
Ciena Corp.(1) | | | 2 | | | | 107 | |
CommVault Systems, Inc.(1) | | | 4 | | | | 235 | |
Comtech Telecommunications Corp. | | | 2 | | | | 17 | |
Confluent, Inc. - Class A(1) | | | 3 | | | | 72 | |
Crowdstrike Holdings, Inc. - Class A(1) | | | 1 | | | | 194 | |
CSG Systems International, Inc. | | | 1 | | | | 39 | |
CyberArk Software Ltd.(1) | | | 1 | | | | 161 | |
Datadog, Inc. - Class A(1) | | | 1 | | | | 67 | |
DigitalOcean Holdings, Inc.(1) | | | 3 | | | | 116 | |
DocuSign, Inc. - Class A(1)(2) | | | 0 | | | | 27 | |
Dynatrace, Inc.(1) | | | 6 | | | | 221 | |
Elastic NV(1) | | | 2 | | | | 107 | |
Enphase Energy, Inc.(1)(2) | | | 0 | | | | 28 | |
Entegris, Inc. | | | 6 | | | | 532 | |
Envestnet, Inc.(1)(2) | | | 0 | | | | 21 | |
EPAM Systems, Inc.(1)(2) | | | 0 | | | | 24 | |
Euronet Worldwide, Inc.(1) | | | 3 | | | | 282 | |
Everbridge, Inc.(1) | | | 1 | | | | 25 | |
EverCommerce, Inc.(1) | | | 9 | | | | 79 | |
ExlService Holdings, Inc.(1)(2) | | | 0 | | | | 32 | |
F5, Inc.(1) | | | 1 | | | | 85 | |
Fair Isaac Corp.(1) | | | 1 | | | | 376 | |
FARO Technologies, Inc.(1) | | | 1 | | | | 21 | |
Five9, Inc.(1) | | | 1 | | | | 65 | |
FormFactor, Inc.(1)(2) | | | 0 | | | | 15 | |
Fortinet, Inc.(1) | | | 1 | | | | 44 | |
Genpact Ltd. | | | 3 | | | | 112 | |
Gitlab, Inc. - Class A(1)(2) | | | 0 | | | | 20 | |
Global Payments, Inc. | | | 1 | | | | 91 | |
Globant SA(1) | | | 1 | | | | 114 | |
HP, Inc. | | | 1 | | | | 35 | |
HubSpot, Inc.(1)(2) | | | 0 | | | | 141 | |
II-VI, Inc.(1) | | | 1 | | | | 37 | |
Jack Henry & Associates, Inc. | | | 2 | | | | 336 | |
Juniper Networks, Inc. | | | 5 | | | | 145 | |
Keysight Technologies, Inc.(1) | | | 1 | | | | 111 | |
Kulicke & Soffa Industries, Inc. | | | 2 | | | | 106 | |
| | | | | | | | |
Lattice Semiconductor Corp.(1) | | | 12 | | | | 562 | |
Littelfuse, Inc.(2) | | | 0 | | | | 59 | |
LiveRamp Holdings, Inc.(1) | | | 1 | | | | 18 | |
LiveVox Holdings, Inc.(1) | | | 12 | | | | 20 | |
Lumentum Holdings, Inc.(1) | | | 3 | | | | 264 | |
MACOM Technology Solutions Holdings, Inc.(1) | | | 4 | | | | 171 | |
Manhattan Associates, Inc.(1) | | | 3 | | | | 382 | |
Marqeta, Inc. - Class A(1) | | | 2 | | | | 19 | |
Marvell Technology, Inc. | | | 2 | | | | 85 | |
MAXIMUS, Inc. | | | 1 | | | | 41 | |
Methode Electronics, Inc. | | | 1 | | | | 29 | |
Microchip Technology, Inc.(2) | | | 0 | | | | 28 | |
MicroStrategy, Inc. - Class A(1)(2) | | | 0 | | | | 5 | |
MKS Instruments, Inc. | | | 4 | | | | 454 | |
MongoDB, Inc. - Class A(1) | | | 1 | | | | 132 | |
Monolithic Power Systems, Inc.(2) | | | 0 | | | | 155 | |
nCino, Inc.(1) | | | 2 | | | | 73 | |
NCR Corp.(1) | | | 8 | | | | 234 | |
NetScout Systems, Inc.(1) | | | 1 | | | | 37 | |
Novanta, Inc.(1) | | | 5 | | | | 608 | |
Okta, Inc. - Class A(1) | | | 1 | | | | 56 | |
ON Semiconductor Corp.(1) | | | 4 | | | | 188 | |
Onto Innovation, Inc.(1)(2) | | | 0 | | | | 33 | |
OSI Systems, Inc.(1)(2) | | | 0 | | | | 40 | |
PagerDuty, Inc.(1) | | | 1 | | | | 26 | |
Palo Alto Networks, Inc.(1) | | | 1 | | | | 327 | |
Paychex, Inc.(2) | | | 0 | | | | 42 | |
Paylocity Holding Corp.(1) | | | 1 | | | | 192 | |
Paysafe Ltd.(1) | | | 14 | | | | 27 | |
Power Integrations, Inc. | | | 4 | | | | 283 | |
Procore Technologies, Inc.(1) | | | 3 | | | | 147 | |
Pure Storage, Inc. - Class A(1) | | | 7 | | | | 189 | |
Qualtrics International, Inc. - Class A(1) | | | 8 | | | | 106 | |
Qualys, Inc.(1) | | | 2 | | | | 312 | |
Rapid7, Inc.(1) | | | 3 | | | | 172 | |
Remitly Global, Inc.(1) | | | 4 | | | | 28 | |
Sailpoint Technologies Holdings, Inc.(1) | | | 1 | | | | 32 | |
Samsara, Inc. - Class A(1) | | | 7 | | | | 73 | |
Sanmina Corp.(1)(2) | | | 0 | | | | 1 | |
Silicon Laboratories, Inc.(1)(2) | | | 0 | | | | 47 | |
Smartsheet, Inc. - Class A(1) | | | 4 | | | | 139 | |
SolarEdge Technologies, Inc.(1) | | | 1 | | | | 191 | |
Sprout Social, Inc. - Class A(1)(2) | | | 0 | | | | 27 | |
SPS Commerce, Inc.(1) | | | 2 | | | | 238 | |
StoneCo Ltd. - Class A(1) | | | 4 | | | | 27 | |
Super Micro Computer, Inc.(1) | | | 1 | | | | 20 | |
Synaptics, Inc.(1)(2) | | | 0 | | | | 23 | |
Synopsys, Inc.(1) | | | 1 | | | | 220 | |
Teledyne Technologies, Inc.(1) | | | 1 | | | | 213 | |
Tenable Holdings, Inc.(1) | | | 1 | | | | 25 | |
Teradyne, Inc. | | | 2 | | | | 145 | |
Trade Desk, Inc. - Class A(1) | | | 3 | | | | 119 | |
Trimble, Inc.(1) | | | 1 | | | | 59 | |
TTM Technologies, Inc.(1) | | | 3 | | | | 35 | |
Twilio, Inc. - Class A(1)(2) | | | 0 | | | | 19 | |
Tyler Technologies, Inc.(1) | | | 1 | | | | 269 | |
Verint Systems, Inc.(1) | | | 1 | | | | 44 | |
Viavi Solutions, Inc.(1) | | | 2 | | | | 28 | |
Vishay Precision Group, Inc.(1)(2) | | | 0 | | | | 12 | |
Wolfspeed, Inc.(1) | | | 1 | | | | 52 | |
Workiva, Inc. - Class A(1) | | | 2 | | | | 150 | |
| | | | | | | | |
Zebra Technologies Corp. - Class A(1) | | | 1 | | | | 332 | |
Zendesk, Inc.(1)(2) | | | 0 | | | | 33 | |
Zoom Video Communications, Inc. - Class A(1) | | | 1 | | | | 161 | |
Zscaler, Inc.(1) | | | 1 | | | | 97 | |
| | | | | | | | |
Total Information Technology | | | | 14,891 | |
| | | | | |
Materials – 4.14% | | | | | | | | |
Allegheny Technologies, Inc.(1) | | | 9 | | | | 198 | |
AptarGroup, Inc. | | | 3 | | | | 302 | |
Arconic Corp.(1) | | | 1 | | | | 29 | |
Ashland Global Holdings, Inc. | | | 4 | | | | 388 | |
Avery Dennison Corp. | | | 1 | | | | 162 | |
Avient Corp. | | | 1 | | | | 36 | |
Berry Global Group, Inc.(1) | | | 6 | | | | 332 | |
Cabot Corp.(2) | | | 0 | | | | 17 | |
Carpenter Technology Corp. | | | 3 | | | | 87 | |
Commercial Metals Co. | | | 1 | | | | 41 | |
Crown Holdings, Inc.(2) | | | 0 | | | | 14 | |
Eagle Materials, Inc. | | | 2 | | | | 218 | |
FMC Corp. | | | 1 | | | | 55 | |
Freeport-McMoRan, Inc. | | | 8 | | | | 221 | |
HB Fuller Co.(2) | | | 0 | | | | 27 | |
Hecla Mining Co. | | | 5 | | | | 19 | |
Huntsman Corp. | | | 6 | | | | 168 | |
Innospec, Inc. | | | 1 | | | | 124 | |
Koppers Holdings, Inc. | | | 1 | | | | 31 | |
Livent Corp.(1) | | | 1 | | | | 23 | |
LyondellBasell Industries NV - Class A(2) | | | 0 | | | | 22 | |
Minerals Technologies, Inc.(2) | | | 0 | | | | 26 | |
MP Materials Corp.(1)(2) | | | 0 | | | | 9 | |
Nucor Corp.(2) | | | 0 | | | | 19 | |
PPG Industries, Inc.(2) | | | 0 | | | | 21 | |
Reliance Steel & Aluminum Co. | | | 1 | | | | 147 | |
RPM International, Inc. | | | 3 | | | | 222 | |
Schweitzer-Mauduit International, Inc. | | | 1 | | | | 13 | |
Sealed Air Corp. | | | 2 | | | | 126 | |
Silgan Holdings, Inc. | | | 1 | | | | 43 | |
Sonoco Products Co.(2) | | | 0 | | | | 14 | |
Steel Dynamics, Inc.(2) | | | 0 | | | | 4 | |
Stepan Co.(2) | | | 0 | | | | 38 | |
Summit Materials, Inc. - Class A(1) | | | 2 | | | | 36 | |
TriMas Corp.(2) | | | 0 | | | | 1 | |
Tronox Holdings Plc - Class A | | | 1 | | | | 21 | |
Vulcan Materials Co. | | | 3 | | | | 381 | |
Westlake Corp.(2) | | | 0 | | | | 29 | |
Westrock Co. | | | 1 | | | | 23 | |
Worthington Industries, Inc.(2) | | | 0 | | | | 20 | |
| | | | | | | | |
Total Materials | | | | 3,707 | |
| | | | | |
Real Estate – 3.94% | | | | | | | | |
Agree Realty Corp.(2) | | | 0 | | | | 26 | |
Alexander & Baldwin, Inc. | | | 2 | | | | 35 | |
Alexandria Real Estate Equities, Inc.(2) | | | 0 | | | | 18 | |
American Assets Trust, Inc. | | | 1 | | | | 36 | |
American Campus Communities, Inc. | | | 7 | | | | 442 | |
Apartment Investment & Management Co. - Class A(1) | | | 6 | | | | 40 | |
Armada Hoffler Properties, Inc. | | | 3 | | | | 36 | |
Boston Properties, Inc.(2) | | | 0 | | | | 43 | |
Brandywine Realty Trust | | | 4 | | | | 36 | |
Brixmor Property Group, Inc. | | | 2 | | | | 41 | |
Broadstone Net Lease, Inc. - Class A | | | 10 | | | | 198 | |
Camden Property Trust | | | 2 | | | | 238 | |
CBRE Group, Inc. - Class A(1) | | | 6 | | | | 441 | |
| | | | | | | | |
Corporate Office Properties Trust | | | 2 | | | | 42 | |
Cousins Properties, Inc. | | | 6 | | | | 176 | |
CubeSmart | | | 4 | | | | 156 | |
DiamondRock Hospitality Co.(1) | | | 3 | | | | 22 | |
DigitalBridge Group, Inc.(1) | | | 5 | | | | 24 | |
Diversified Healthcare Trust | | | 10 | | | | 19 | |
Douglas Emmett, Inc. | | | 2 | | | | 42 | |
Duke Realty Corp.(2) | | | 0 | | | | 24 | |
EastGroup Properties, Inc.(2) | | | 0 | | | | 43 | |
Equity Commonwealth(1) | | | 2 | | | | 46 | |
Four Corners Property Trust, Inc. | | | 1 | | | | 40 | |
Gaming & Leisure Properties, Inc. | | | 6 | | | | 258 | |
Getty Realty Corp. | | | 1 | | | | 38 | |
Gladstone Commercial Corp. | | | 2 | | | | 36 | |
Healthcare Realty Trust, Inc. | | | 2 | | | | 43 | |
Howard Hughes Corp.(1)(2) | | | 0 | | | | 24 | |
Hudson Pacific Properties, Inc. | | | 2 | | | | 30 | |
Independence Realty Trust, Inc. | | | 2 | | | | 41 | |
Kite Realty Group Trust | | | 1 | | | | 10 | |
LXP Industrial Trust | | | 4 | | | | 41 | |
Macerich Co. | | | 2 | | | | 21 | |
Marcus & Millichap, Inc. | | | 1 | | | | 23 | |
Office Properties Income Trust | | | 2 | | | | 37 | |
One Liberty Properties, Inc.(2) | | | 0 | | | | 1 | |
Physicians Realty Trust | | | 15 | | | | 269 | |
PotlatchDeltic Corp. | | | 1 | | | | 49 | |
Retail Opportunity Investments Corp. | | | 2 | | | | 36 | |
RLJ Lodging Trust | | | 3 | | | | 33 | |
RPT Realty | | | 3 | | | | 32 | |
Safehold, Inc. | | | 1 | | | | 23 | |
Simon Property Group, Inc.(2) | | | 0 | | | | 34 | |
STAG Industrial, Inc. | | | 4 | | | | 130 | |
Terreno Realty Corp.(2) | | | 0 | | | | 14 | |
Urban Edge Properties | | | 2 | | | | 34 | |
| | | | | | | | |
Total Real Estate | | | | 3,521 | |
| | | | | |
Utilities – 2.63% | | | | | | | | |
ALLETE, Inc.(2) | | | 0 | | | | 1 | |
American Electric Power Co., Inc. | | | 5 | | | | 460 | |
American States Water Co. | | | 1 | | | | 42 | |
American Water Works Co., Inc. | | | 2 | | | | 357 | |
Avista Corp. | | | 1 | | | | 44 | |
Black Hills Corp. | | | 1 | | | | 45 | |
Brookfield Infrastructure Corp. - Class A | | | 1 | | | | 26 | |
California Water Service Group | | | 1 | | | | 43 | |
FirstEnergy Corp. | | | 11 | | | | 441 | |
IDACORP, Inc. | | | 3 | | | | 293 | |
MGE Energy, Inc. | | | 1 | | | | 42 | |
New Jersey Resources Corp.(2) | | | 0 | | | | 3 | |
NorthWestern Corp. | | | 1 | | | | 42 | |
ONE Gas, Inc. | | | 1 | | | | 43 | |
Otter Tail Corp. | | | 1 | | | | 43 | |
PNM Resources, Inc. | | | 1 | | | | 45 | |
Portland General Electric Co. | | | 1 | | | | 45 | |
SJW Group(2) | | | 0 | | | | 13 | |
South Jersey Industries, Inc. | | | 1 | | | | 46 | |
Southwest Gas Holdings, Inc. | | | 2 | | | | 189 | |
Spire, Inc. | | | 1 | | | | 38 | |
WEC Energy Group, Inc.(2) | | | 0 | | | | 17 | |
York Water Co. | | | 1 | | | | 37 | |
| | | | | | | | |
Total Utilities | | | | 2,355 | |
| | | | | |
Total Common Stocks (Cost: $91,734) | | | | 84,783 | |
| | | | | |
| | | | | | | | |
EXCHANGE TRADED FUNDS – 0.24% | | | | | | | | |
SPDR S&P Oil & Gas Exploration & Production ETF | | | 2 | | | | 217 | |
| | | | | | | | |
Total Exchange Traded Funds (Cost: $293) | | | | 217 | |
| | | | | |
SHORT-TERM INVESTMENTS – 2.63% | | | | | | | | |
Money Market Funds – 2.31% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(3) | | | 2,067 | | | | 2,067 | |
| | | | | | | | |
Total Money Market Funds (Cost: $2,067) | | | | | | | 2,067 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.32% | | | | | | | | |
Barclays Bank, London, 1.06% due 07/01/2022 | | $ | 285 | | | | 285 | |
| | | | | | | | |
Total Time Deposits (Cost: $285) | | | | | | | 285 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $2,352) | | | | 2,352 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 97.66%
(Cost: $94,379) | | | | | | | 87,352 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.34% | | | | | | | 2,095 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 89,447 | |
| �� | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
| (1) | Non-income producing security. |
| (2) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (3) | 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.
Bridge Builder International Equity Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 97.55% | | | | | | | | |
Argentina – 0.22% | | | | | | | | |
MercadoLibre, Inc.(1) | | | 47 | | | $ | 30,127 | |
| | | | | | | | |
Total Argentina | | | | 30,127 | |
| | | | | |
Australia – 2.07% | | | | | | | | |
ALS Ltd. | | | 279 | | | | 2,061 | |
AMP Ltd.(1) | | | 2,031 | | | | 1,341 | |
Ampol Ltd. | | | 12 | | | | 275 | |
APA Group | | | 57 | | | | 446 | |
Aristocrat Leisure Ltd. | | | 137 | | | | 3,259 | |
ASX Ltd. | | | 9 | | | | 523 | |
Atlassian Corp. Plc - Class A(1) | | | 159 | | | | 29,797 | |
Aurizon Holdings Ltd. | | | 91 | | | | 239 | |
Australia & New Zealand Banking Group Ltd. | | | 821 | | | | 12,502 | |
Beach Energy Ltd. | | | 2,450 | | | | 2,918 | |
BHP Group Ltd. | | | 714 | | | | 20,440 | |
BlueScope Steel Ltd. | | | 253 | | | | 2,782 | |
Brambles Ltd. | | | 416 | | | | 3,078 | |
carsales.com Ltd. | | | 189 | | | | 2,403 | |
Challenger Ltd. | | | 364 | | | | 1,723 | |
Cleanaway Waste Management Ltd. | | | 2,422 | | | | 4,216 | |
Cochlear Ltd. | | | 350 | | | | 48,045 | |
Coles Group Ltd. | | | 65 | | | | 803 | |
Commonwealth Bank of Australia | | | 83 | | | | 5,207 | |
Computershare Ltd. | | | 26 | | | | 443 | |
CSL Ltd. | | | 390 | | | | 72,381 | |
Dexus | | | 53 | | | | 326 | |
Domain Holdings Australia Ltd. | | | 159 | | | | 331 | |
Domino’s Pizza Enterprises Ltd. | | | 3 | | | | 142 | |
Endeavour Group Ltd. | | | 64 | | | | 336 | |
Evolution Mining Ltd. | | | 1,205 | | | | 1,969 | |
Fortescue Metals Group Ltd. | | | 84 | | | | 1,004 | |
Goodman Group | | | 80 | | | | 992 | |
GPT Group | | | 94 | | | | 276 | |
GWA Group Ltd. | | | 585 | | | | 794 | |
IDP Education Ltd. | | | 10 | | | | 162 | |
Insurance Australia Group Ltd. | | | 122 | | | | 367 | |
IPH Ltd. | | | 250 | | | | 1,409 | |
Lendlease Corp. Ltd. | | | 33 | | | | 206 | |
Lottery Corp. Ltd.(1) | | | 110 | | | | 342 | |
Macquarie Group Ltd. | | | 75 | | | | 8,588 | |
Medibank Pvt Ltd. | | | 144 | | | | 324 | |
Metcash Ltd. | | | 787 | | | | 2,307 | |
Mineral Resources Ltd. | | | 8 | | | | 273 | |
Mirvac Group | | | 197 | | | | 269 | |
National Australia Bank Ltd. | | | 156 | | | | 2,964 | |
Newcrest Mining Ltd. | | | 275 | | | | 3,920 | |
Northern Star Resources Ltd. | | | 57 | | | | 266 | |
Orica Ltd. | | | 95 | | | | 1,036 | |
Origin Energy Ltd. | | | 87 | | | | 345 | |
OZ Minerals Ltd. | | | 78 | | | | 954 | |
Qantas Airways Ltd.(1) | | | 948 | | | | 2,933 | |
QBE Insurance Group Ltd. | | | 848 | | | | 7,125 | |
Ramsay Health Care Ltd. | | | 9 | | | | 448 | |
REA Group Ltd. | | | 3 | | | | 195 | |
Reece Ltd. | | | 11 | | | | 103 | |
Rio Tinto Ltd. | | | 19 | | | | 1,322 | |
Santos Ltd. | | | 1,499 | | | | 7,599 | |
Scentre Group | | | 256 | | | | 460 | |
Seek Ltd. | | | 16 | | | | 232 | |
Sonic Healthcare Ltd. | | | 22 | | | | 496 | |
South32 Ltd. | | | 229 | | | | 621 | |
Stockland | | | 118 | | | | 294 | |
Suncorp Group Ltd. | | | 62 | | | | 475 | |
Telstra Corp. Ltd. | | | 1,299 | | | | 3,455 | |
Transurban Group | | | 148 | | | | 1,477 | |
Treasury Wine Estates Ltd. | | | 34 | | | | 268 | |
Vicinity Centres | | | 191 | | | | 242 | |
Washington H Soul Pattinson & Co. Ltd. | | | 10 | | | | 165 | |
Wesfarmers Ltd. | | | 55 | | | | 1,583 | |
Westpac Banking Corp. | | | 174 | | | | 2,344 | |
WiseTech Global Ltd. | | | 7 | | | | 193 | |
Woodside Energy Group Ltd. | | | 177 | | | | 3,886 | |
Woolworths Group Ltd. | | | 59 | | | | 1,439 | |
| | | | | | | | |
Total Australia | | | | 282,139 | |
| | | | | |
Austria – 0.11% | | | | | | | | |
Andritz AG | | | 69 | | | | 2,795 | |
Erste Group Bank AG | | | 17 | | | | 431 | |
Oesterreichische Post AG | | | 114 | | | | 3,250 | |
OMV AG | | | 7 | | | | 342 | |
| | | | | | | | |
Verbund AG | | | 3 | | | | 329 | |
Voestalpine AG | | | 6 | | | | 122 | |
Wienerberger AG | | | 365 | | | | 7,878 | |
| | | | | | | | |
Total Austria | | | | 15,147 | |
| | | | | |
Belgium – 0.11% | | | | | | | | |
Ageas SA | | | 8 | | | | 357 | |
Anheuser-Busch InBev SA | | | 210 | | | | 11,306 | |
D’ieteren Group | | | 1 | | | | 175 | |
Elia Group SA | | | 2 | | | | 224 | |
Groupe Bruxelles Lambert SA | | | 5 | | | | 412 | |
KBC Group NV | | | 12 | | | | 694 | |
Proximus SADP | | | 8 | | | | 112 | |
Sofina SA | | | 1 | | | | 148 | |
Solvay SA | | | 4 | | | | 299 | |
UCB SA | | | 6 | | | | 534 | |
Umicore SA | | | 10 | | | | 360 | |
Warehouses de Pauw CVA | | | 7 | | | | 224 | |
| | | | | | | | |
Total Belgium | | | | 14,845 | |
| | | | | |
Bermuda – 0.03% | | | | | | | | |
Hiscox Ltd. | | | 341 | | | | 3,923 | |
| | | | | | | | |
Total Bermuda | | | | 3,923 | |
| | | | | |
Brazil – 0.50% | | | | | | | | |
Ambev SA | | | 14,158 | | | | 36,250 | |
B3 SA - Brasil Bolsa Balcao | | | 1,090 | | | | 2,284 | |
Porto Seguro SA | | | 536 | | | | 1,820 | |
Raia Drogasil SA | | | 7,616 | | | | 27,941 | |
| | | | | | | | |
Total Brazil | | | | 68,295 | |
| | | | | |
Canada – 1.46% | | | | | | | | |
Canadian Pacific Railway Ltd. | | | 1,345 | | | | 93,935 | |
First Quantum Minerals Ltd. | | | 101 | | | | 1,917 | |
Lululemon Athletica, Inc.(1) | | | 202 | | | | 55,067 | |
Shopify, Inc. - Class A(1) | | | 1,521 | | | | 47,518 | |
| | | | | | | | |
Total Canada | | | | 198,437 | |
| | | | | |
Chile – 0.00%(2) | | | | | | | | |
Antofagasta Plc | | | 19 | | | | 275 | |
| | | | | | | | |
Total Chile | | | | 275 | |
| | | | | |
China – 3.42% | | | | | | | | |
Alibaba Group Holding Ltd.(1) | | | 6,198 | | | | 88,422 | |
Baidu, Inc. - ADR(1) | | | 190 | | | | 28,191 | |
Contemporary Amperex Technology Co. Ltd. - Class A | | | 478 | | | | 38,269 | |
Li Ning Co. Ltd. | | | 8,878 | | | | 82,665 | |
LONGi Green Energy Technology Co. Ltd. - Class A | | | 4,638 | | | | 46,400 | |
Meituan - Class B(1)(3) | | | 1,813 | | | | 45,243 | |
Ping An Insurance Group Co. of China Ltd. - Class H | | | 5,927 | | | | 40,798 | |
Shenzhou International Group Holdings Ltd. | | | 2,671 | | | | 32,598 | |
Tingyi Cayman Islands Holding Corp. | | | 1,754 | | | | 3,014 | |
Trip.com Group Ltd.(1) | | | 302 | | | | 8,355 | |
Trip.com Group Ltd. - ADR(1) | | | 1,355 | | | | 37,204 | |
Vipshop Holdings Ltd. - ADR(1) | | | 199 | | | | 1,969 | |
Weichai Power Co. Ltd. - Class H | | | 2,101 | | | | 3,346 | |
Yum China Holdings, Inc. | | | 117 | | | | 5,697 | |
Zhongsheng Group Holdings Ltd. | | | 472 | | | | 3,335 | |
| | | | | | | | |
Total China | | | | 465,506 | |
| | | | | |
Denmark – 2.41% | | | | | | | | |
AP Moller - Maersk - Class A(4) | | | 0 | | | | 353 | |
AP Moller - Maersk - Class B | | | 14 | | | | 33,559 | |
Carlsberg AS - Class B | | | 80 | | | | 10,210 | |
Chr Hansen Holding | | | 5 | | | | 368 | |
Coloplast - Class B | | | 203 | | | | 23,236 | |
Danske Bank | | | 1,458 | | | | 20,757 | |
Demant(1) | | | 386 | | | | 14,515 | |
DSV | | | 199 | | | | 28,023 | |
Genmab(1) | | | 3 | | | | 1,019 | |
GN Store Nord AS | | | 283 | | | | 9,988 | |
Novo Nordisk - Class B | | | 1,293 | | | | 143,356 | |
Novozymes - Class B | | | 10 | | | | 607 | |
Orsted AS(3) | | | 128 | | | | 13,450 | |
Pandora | | | 5 | | | | 288 | |
ROCKWOOL - Class B(4) | | | 0 | | | | 96 | |
Tryg | | | 17 | | | | 394 | |
Vestas Wind Systems | | | 1,310 | | | | 27,855 | |
| | | | | | | | |
Total Denmark | | | | 328,074 | |
| | | | | |
Finland – 0.64% | | | | | | | | |
Elisa OYJ | | | 7 | | | | 398 | |
Fortum OYJ | | | 22 | | | | 331 | |
Kesko OYJ - Class B | | | 13 | | | | 309 | |
Kone OYJ - Class B | | | 17 | | | | 793 | |
Neste OYJ | | | 20 | | | | 899 | |
Nokia OYJ | | | 11,920 | | | | 55,248 | |
Nordea Bank Abp - Class A | | | 165 | | | | 1,458 | |
Orion OYJ - Class B | | | 5 | | | | 232 | |
Sampo OYJ - Class A | | | 516 | | | | 22,567 | |
Stora Enso OYJ - Class R | | | 26 | | | | 417 | |
UPM-Kymmene OYJ | | | 26 | | | | 807 | |
Wartsila OYJ Abp | | | 477 | | | | 3,738 | |
| | | | | | | | |
Total Finland | | | | 87,197 | |
| | | | | |
| | | | | | | | |
France – 7.99% | | | | | | | | |
Accor SA(1) | | | 712 | | | | 19,434 | |
Aeroports de Paris(1) | | | 1 | | | | 183 | |
Air Liquide SA | | | 25 | | | | 3,383 | |
Airbus SE | | | 117 | | | | 11,427 | |
Alstom SA | | | 16 | | | | 357 | |
Alten SA | | | 69 | | | | 7,606 | |
Amundi SA(3) | | | 1,032 | | | | 56,844 | |
Arkema SA | | | 3 | | | | 264 | |
AXA SA | | | 893 | | | | 20,389 | |
BioMerieux | | | 2 | | | | 198 | |
BNP Paribas SA | | | 595 | | | | 28,474 | |
Bollore SE | | | 44 | | | | 204 | |
Bouygues SA | | | 2,650 | | | | 81,783 | |
Bureau Veritas SA | | | 14 | | | | 361 | |
Capgemini SE | | | 8 | | | | 1,365 | |
Carrefour SA | | | 31 | | | | 543 | |
Cie de Saint-Gobain | | | 1,142 | | | | 49,324 | |
Cie Generale des Etablissements Michelin SCA | | | 1,677 | | | | 45,810 | |
Covivio | | | 2 | | | | 136 | |
Credit Agricole SA | | | 61 | | | | 566 | |
Danone SA | | | 32 | | | | 1,804 | |
Dassault Aviation SA | | | 1 | | | | 187 | |
Dassault Systemes SE | | | 32 | | | | 1,196 | |
Edenred | | | 329 | | | | 15,562 | |
Eiffage SA | | | 4 | | | | 370 | |
Electricite de France SA | | | 29 | | | | 235 | |
Elis SA | | | 124 | | | | 1,653 | |
Engie SA | | | 90 | | | | 1,043 | |
EssilorLuxottica SA | | | 159 | | | | 24,114 | |
Eurazeo SE | | | 2 | | | | 134 | |
Euroapi SA(1) | | | 9 | | | | 147 | |
Gecina SA | | | 2 | | | | 206 | |
Getlink SE | | | 468 | | | | 8,293 | |
Hermes International | | | 2 | | | | 1,720 | |
Imerys SA | | | 26 | | | | 803 | |
Ipsen SA | | | 2 | | | | 171 | |
JCDecaux SA(1) | | | 392 | | | | 6,598 | |
Kering SA | | | 57 | | | | 29,532 | |
Klepierre SA(1) | | | 11 | | | | 205 | |
La Francaise des Jeux SAEM(3) | | | 5 | | | | 181 | |
Legrand SA | | | 272 | | | | 20,192 | |
L’Oreal SA | | | 12 | | | | 4,037 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 191 | | | | 117,344 | |
Orange SA | | | 100 | | | | 1,177 | |
Pernod Ricard SA | | | 271 | | | | 50,128 | |
Publicis Groupe SA(1) | | | 538 | | | | 26,442 | |
Quadient SA | | | 92 | | | | 1,565 | |
Remy Cointreau SA | | | 282 | | | | 49,395 | |
Renault SA(1) | | | 10 | | | | 243 | |
Rexel SA | | | 3,313 | | | | 51,188 | |
Safran SA | | | 17 | | | | 1,643 | |
Sanofi | | | 1,647 | | | | 166,135 | |
Sartorius Stedim Biotech | | | 189 | | | | 59,517 | |
Schneider Electric SE | | | 457 | | | | 54,453 | |
SCOR SE | | | 571 | | | | 12,293 | |
SEB SA | | | 1 | | | | 117 | |
Societe Generale SA | | | 39 | | | | 867 | |
Sodexo SA | | | 4 | | | | 311 | |
Technip Energies NV | | | 101 | | | | 1,262 | |
Teleperformance | | | 27 | | | | 8,212 | |
Thales SA | | | 62 | | | | 7,646 | |
TotalEnergies SE | | | 123 | | | | 6,471 | |
Ubisoft Entertainment SA(1) | | | 414 | | | | 18,237 | |
Unibail-Rodamco-Westfield(1) | | | 6 | | | | 296 | |
Valeo | | | 10 | | | | 194 | |
Veolia Environnement SA(1) | | | 32 | | | | 779 | |
Vicat SA | | | 41 | | | | 1,129 | |
Vinci SA | | | 26 | | | | 2,305 | |
Vivendi SE | | | 34 | | | | 351 | |
Wendel SE | | | 1 | | | | 116 | |
Worldline SA(1)(3) | | | 12 | | | | 440 | |
| | | | | | | | |
Total France | | | | 1,087,290 | |
| | | | | |
Germany – 5.03% | | | | | | | | |
Adidas AG | | | 223 | | | | 39,542 | |
Allianz SE | | | 461 | | | | 88,318 | |
Auto1 Group SE(1)(3) | | | 847 | | | | 6,239 | |
BASF SE | | | 1,257 | | | | 55,001 | |
Bayer AG | | | 49 | | | | 2,910 | |
Bayerische Motoren Werke AG | | | 166 | | | | 12,904 | |
Bechtle AG | | | 1,088 | | | | 44,688 | |
Beiersdorf AG | | | 5 | | | | 494 | |
Brenntag SE | | | 238 | | | | 15,605 | |
Carl Zeiss Meditec AG | | | 2 | | | | 228 | |
Commerzbank AG(1) | | | 53 | | | | 373 | |
Continental AG | | | 934 | | | | 65,552 | |
Covestro AG(3) | | | 1,448 | | | | 50,316 | |
CTS Eventim AG & Co. KGaA(1) | | | 118 | | | | 6,231 | |
| | | | | | | | |
Daimler Truck Holding AG(1) | | | 22 | | | | 588 | |
Delivery Hero SE(1)(3) | | | 8 | | | | 297 | |
Deutsche Bank AG | | | 104 | | | | 912 | |
Deutsche Boerse AG | | | 9 | | | | 1,542 | |
Deutsche Lufthansa AG(1) | | | 32 | | | | 191 | |
Deutsche Post AG | | | 48 | | | | 1,826 | |
Deutsche Telekom AG | | | 542 | | | | 10,783 | |
E.ON SE | | | 110 | | | | 923 | |
Evonik Industries AG | | | 3,460 | | | | 74,201 | |
Fresenius Medical Care AG & Co. KGaA | | | 1,180 | | | | 59,119 | |
Fresenius SE & Co. KGaA | | | 21 | | | | 628 | |
GEA Group AG | | | 75 | | | | 2,586 | |
Gerresheimer AG | | | 34 | | | | 2,194 | |
Hannover Rueck SE | | | 29 | | | | 4,233 | |
HeidelbergCement AG | | | 7 | | | | 357 | |
HelloFresh SE(1) | | | 425 | | | | 13,862 | |
Henkel AG & Co. KGaA | | | 5 | | | | 322 | |
Infineon Technologies AG | | | 63 | | | | 1,537 | |
KION Group AG | | | 4 | | | | 149 | |
Knorr-Bremse AG | | | 4 | | | | 201 | |
LEG Immobilien SE | | | 4 | | | | 299 | |
Mercedes-Benz Group AG - Class REGISTERED | | | 40 | | | | 2,317 | |
Merck KGaA | | | 6 | | | | 1,063 | |
MTU Aero Engines AG | | | 3 | | | | 484 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 7 | | | | 1,609 | |
Nemetschek SE | | | 350 | | | | 21,288 | |
Puma SE | | | 5 | | | | 335 | |
Rational AG | | | 40 | | | | 23,177 | |
Rheinmetall AG | | | 2 | | | | 480 | |
RWE AG | | | 32 | | | | 1,172 | |
SAP SE | | | 51 | | | | 4,676 | |
Scout24 SE(3) | | | 4 | | | | 197 | |
Siemens AG | | | 215 | | | | 22,051 | |
Siemens Energy AG | | | 21 | | | | 310 | |
Siemens Healthineers AG(3) | | | 13 | | | | 687 | |
Symrise AG - Class A | | | 7 | | | | 709 | |
Telefonica Deutschland Holding AG | | | 49 | | | | 143 | |
TUI AG(1) | | | 3,469 | | | | 5,642 | |
Uniper SE | | | 5 | | | | 69 | |
United Internet AG - Class REG | | | 5 | | | | 138 | |
Volkswagen AG | | | 2 | | | | 281 | |
Vonovia SE | | | 35 | | | | 1,080 | |
Zalando SE(1)(3) | | | 1,217 | | | | 32,070 | |
| | | | | | | | |
Total Germany | | | | 685,129 | |
| | | | | |
Hong Kong – 3.75% | | | | | | | | |
AIA Group Ltd. | | | 14,716 | | | | 160,797 | |
Ajisen China Holdings Ltd. | | | 2,149 | | | | 246 | |
ASM Pacific Technology Ltd. | | | 173 | | | | 1,470 | |
BOC Hong Kong Holdings Ltd. | | | 183 | | | | 725 | |
Budweiser Brewing Co. APAC Ltd.(3) | | | 82 | | | | 247 | |
China Mengniu Dairy Co. Ltd.(1) | | | 774 | | | | 3,880 | |
Chow Tai Fook Jewellery Group Ltd. | | | 99 | | | | 186 | |
CK Asset Holdings Ltd. | | | 99 | | | | 703 | |
CK Hutchison Holdings Ltd. | | | 20,047 | | | | 135,995 | |
CK Infrastructure Holdings Ltd. | | | 32 | | | | 197 | |
CLP Holdings Ltd. | | | 81 | | | | 673 | |
Esprit Holdings Ltd.(1) | | | 4,848 | | | | 875 | |
ESR Group Ltd.(1)(3) | | | 96 | | | | 261 | |
First Pacific Co. Ltd. | | | 1,834 | | | | 713 | |
Futu Holdings Ltd. - ADR(1) | | | 3 | | | | 148 | |
Galaxy Entertainment Group Ltd. | | | 8,692 | | | | 52,070 | |
Hang Lung Properties Ltd. | | | 96 | | | | 183 | |
Hang Seng Bank Ltd. | | | 38 | | | | 668 | |
Henderson Land Development Co. Ltd. | | | 72 | | | | 270 | |
HK Electric Investments & HK Electric Investments Ltd. | | | 140 | | | | 128 | |
HKT Trust & HKT Ltd. - Class Miscella | | | 193 | | | | 259 | |
Hong Kong & China Gas Co. Ltd. | | | 569 | | | | 614 | |
Hong Kong Exchanges & Clearing Ltd. | | | 58 | | | | 2,868 | |
Hongkong Land Holdings Ltd. | | | 57 | | | | 288 | |
Jardine Matheson Holdings Ltd. | | | 123 | | | | 6,458 | |
Johnson Electric Holdings Ltd. | | | 490 | | | | 636 | |
Link Real Estate Investment Trust | | | 104 | | | | 851 | |
MTR Corp. Ltd. | | | 77 | | | | 401 | |
New World Development Co. Ltd. | | | 75 | | | | 270 | |
Power Assets Holdings Ltd. | | | 70 | | | | 438 | |
Sino Land Co. Ltd. | | | 174 | | | | 258 | |
SITC International Holdings Co. Ltd. | | | 65 | | | | 185 | |
Stella International Holdings Ltd. | | | 654 | | | | 625 | |
Sun Hung Kai Properties Ltd. | | | 72 | | | | 846 | |
Swire Pacific Ltd. - Class A | | | 545 | | | | 3,255 | |
Swire Properties Ltd. | | | 53 | | | | 132 | |
Techtronic Industries Co. Ltd. | | | 4,628 | | | | 48,330 | |
WH Group Ltd.(3) | | | 106,261 | | | | 82,245 | |
Wharf Real Estate Investment Co. Ltd. | | | 86 | | | | 411 | |
Xinyi Glass Holdings Ltd. | | | 88 | | | | 212 | |
| | | | | | | | |
Total Hong Kong | | | | 510,017 | |
| | | | | |
| | | | | | | | |
India – 1.31% | | | | | | | | |
Asian Paints Ltd. | | | 1,279 | | | | 43,805 | |
Axis Bank Ltd.(1) | | | 282 | | | | 2,279 | |
Dabur India Ltd. | | | 276 | | | | 1,739 | |
Havells India Ltd. | | | 129 | | | | 1,805 | |
HDFC Bank Ltd. - ADR | | | 93 | | | | 5,116 | |
Housing Development Finance Corp. Ltd. | | | 2,445 | | | | 67,136 | |
ICICI Lombard General Insurance Co. Ltd.(3) | | | 975 | | | | 13,889 | |
Infosys Ltd. - ADR | | | 166 | | | | 3,082 | |
MakeMyTrip Ltd.(1) | | | 498 | | | | 12,784 | |
Marico Ltd. | | | 321 | | | | 1,948 | |
Tata Consultancy Services Ltd. | | | 103 | | | | 4,285 | |
United Spirits Ltd.(1) | | | 2,099 | | | | 20,249 | |
| | | | | | | | |
Total India | | | | 178,117 | |
| | | | | |
Indonesia – 0.04% | | | | | | | | |
Bank Central Asia Tbk PT | | | 10,182 | | | | 4,958 | |
| | | | | | | | |
Total Indonesia | | | | 4,958 | |
| | | | | |
Ireland – 2.31% | | | | | | | | |
Accenture Plc - Class A | | | 258 | | | | 71,634 | |
AerCap Holdings NV(1) | | | 7 | | | | 277 | |
Bank of Ireland Group Plc | | | 6,206 | | | | 39,224 | |
CRH Plc | | | 112 | | | | 3,854 | |
DCC Plc | | | 153 | | | | 9,502 | |
Experian Plc | | | 3,289 | | | | 96,565 | |
Flutter Entertainment Plc(1) | | | 208 | | | | 21,058 | |
ICON Plc(1) | | | 300 | | | | 65,010 | |
Irish Continental Group Plc | | | 926 | | | | 3,449 | |
James Hardie Industries Plc | | | 121 | | | | 2,649 | |
Kerry Group Plc - Class A | | | 8 | | | | 727 | |
Kingspan Group Plc | | | 8 | | | | 459 | |
Smurfit Kappa Group Plc | | | 12 | | | | 409 | |
| | | | | | | | |
Total Ireland | | | | 314,817 | |
| | | | | |
Isle of Man – 0.02% | | | | | | | | |
Playtech Plc(1) | | | 331 | | | | 2,191 | |
| | | | | | | | |
Total Isle of Man | | | | 2,191 | |
| | | | | |
Israel – 0.04% | | | | | | | | |
Azrieli Group Ltd. | | | 2 | | | | 146 | |
Bank Hapoalim BM | | | 63 | | | | 526 | |
Bank Leumi Le-Israel BM | | | 76 | | | | 681 | |
Check Point Software Technologies Ltd.(1) | | | 5 | | | | 601 | |
CyberArk Software Ltd.(1) | | | 2 | | | | 251 | |
Elbit Systems Ltd. | | | 1 | | | | 292 | |
ICL Group Ltd. | | | 34 | | | | 309 | |
Israel Discount Bank Ltd. - Class A | | | 60 | | | | 316 | |
Kornit Digital Ltd.(1) | | | 3 | | | | 81 | |
Mizrahi Tefahot Bank Ltd. | | | 7 | | | | 249 | |
Nice Ltd.(1) | | | 3 | | | | 582 | |
Teva Pharmaceutical Industries Ltd. - ADR(1) | | | 57 | | | | 425 | |
Tower Semiconductor Ltd.(1) | | | 5 | | | | 243 | |
Wix.com Ltd.(1) | | | 3 | | | | 191 | |
ZIM Integrated Shipping Services Ltd. | | | 4 | | | | 195 | |
| | | | | | | | |
Total Israel | | | | 5,088 | |
| | | | | |
Italy – 3.10% | | | | | | | | |
Amplifon SpA | | | 125 | | | | 3,842 | |
Assicurazioni Generali SpA | | | 55 | | | | 872 | |
Atlantia SpA | | | 24 | | | | 567 | |
Davide Campari-Milano NV | | | 619 | | | | 6,530 | |
DiaSorin SpA | | | 1 | | | | 167 | |
Enel SpA | | | 26,395 | | | | 144,759 | |
ENI SpA | | | 5,106 | | | | 60,563 | |
Ferrari NV | | | 342 | | | | 62,945 | |
FinecoBank Banca Fineco SpA | | | 30 | | | | 357 | |
Infrastrutture Wireless Italiane SpA(3) | | | 17 | | | | 170 | |
Intesa Sanpaolo SpA | | | 2,029 | | | | 3,797 | |
Iveco Group NV(1) | | | 323 | | | | 1,709 | |
Mediobanca Banca di Credito Finanziario SpA | | | 30 | | | | 263 | |
Moncler SpA | | | 10 | | | | 423 | |
Nexi SpA(1)(3) | | | 25 | | | | 208 | |
Poste Italiane SpA(3) | | | 26 | | | | 243 | |
Prysmian SpA | | | 12 | | | | 334 | |
Recordati Industria Chimica e Farmaceutica SpA | | | 5 | | | | 215 | |
Reply SpA | | | 28 | | | | 3,465 | |
Saipem SpA(1) | | | 100 | | | | 268 | |
Snam SpA | | | 21,556 | | | | 113,092 | |
Telecom Italia SpA(1) | | | 481 | | | | 126 | |
Terna Rete Elettrica Nazionale | | | 69 | | | | 546 | |
UniCredit SpA | | | 1,694 | | | | 16,191 | |
| | | | | | | | |
Total Italy | | | | 421,652 | |
| | | | | |
Japan – 20.23% | | | | | | | | |
Advantest Corp. | | | 9 | | | | 489 | |
Aeon Co. Ltd. | | | 32 | | | | 551 | |
Aeon Delight Co. Ltd. | | | 73 | | | | 1,588 | |
AGC, Inc. | | | 10 | | | | 334 | |
Air Water, Inc. | | | 845 | | | | 10,643 | |
Aisin Corp. | | | 7 | | | | 226 | |
Ajinomoto Co., Inc. | | | 22 | | | | 543 | |
Alfresa Holdings Corp. | | | 130 | | | | 1,749 | |
ANA Holdings, Inc.(1) | | | 8 | | | | 150 | |
| | | | | | | | |
Asahi Group Holdings Ltd. | | | 115 | | | | 3,788 | |
Asahi Intecc Co. Ltd. | | | 11 | | | | 164 | |
Asahi Kasei Corp. | | | 62 | | | | 471 | |
Asics Corp. | | | 148 | | | | 2,677 | |
Astellas Pharma, Inc. | | | 91 | | | | 1,417 | |
Azbil Corp. | | | 6 | | | | 145 | |
Bandai Namco Holdings, Inc. | | | 36 | | | | 2,555 | |
Bridgestone Corp. | | | 710 | | | | 25,897 | |
Brother Industries Ltd. | | | 12 | | | | 208 | |
Canon, Inc. | | | 49 | | | | 1,117 | |
Capcom Co. Ltd. | | | 9 | | | | 207 | |
Central Japan Railway Co. | | | 7 | | | | 839 | |
Chiba Bank Ltd. | | | 25 | | | | 134 | |
Chubu Electric Power Co., Inc. | | | 32 | | | | 317 | |
Chugai Pharmaceutical Co. Ltd. | | | 32 | | | | 821 | |
Concordia Financial Group Ltd. | | | 53 | | | | 183 | |
CyberAgent, Inc. | | | 20 | | | | 203 | |
Dai Nippon Printing Co. Ltd. | | | 11 | | | | 237 | |
Daifuku Co. Ltd. | | | 84 | | | | 4,825 | |
Dai-ichi Life Holdings, Inc. | | | 1,365 | | | | 25,244 | |
Daiichi Sankyo Co. Ltd. | | | 84 | | | | 2,147 | |
Daikin Industries Ltd. | | | 12 | | | | 1,943 | |
Daito Trust Construction Co. Ltd. | | | 3 | | | | 268 | |
Daiwa House Industry Co. Ltd. | | | 315 | | | | 7,369 | |
Daiwa House REIT Investment Corp.(4) | | | 0 | | | | 248 | |
Daiwa Securities Group, Inc. | | | 642 | | | | 2,875 | |
Denso Corp. | | | 477 | | | | 25,199 | |
Dentsu Group, Inc. | | | 11 | | | | 323 | |
Disco Corp. | | | 1 | | | | 333 | |
Dowa Holdings Co. Ltd. | | | 131 | | | | 4,321 | |
East Japan Railway Co. | | | 121 | | | | 6,174 | |
Eisai Co. Ltd. | | | 13 | | | | 529 | |
ENEOS Holdings, Inc. | | | 151 | | | | 569 | |
FANUC Corp. | | | 9 | | | | 1,442 | |
Fast Retailing Co. Ltd. | | | 3 | | | | 1,471 | |
Fuji Electric Co. Ltd. | | | 6 | | | | 256 | |
Fuji Media Holdings, Inc. | | | 942 | | | | 7,981 | |
Fuji Oil Holdings, Inc. | | | 33 | | | | 517 | |
FUJIFILM Holdings Corp. | | | 1,353 | | | | 72,715 | |
Fujitsu Ltd. | | | 9 | | | | 1,176 | |
Fukuoka Financial Group, Inc. | | | 1,106 | | | | 19,924 | |
GLP J-REIT(4) | | | 0 | | | | 254 | |
GMO Payment Gateway, Inc. | | | 2 | | | | 150 | |
Hakuhodo DY Holdings, Inc. | | | 395 | | | | 3,626 | |
Hamamatsu Photonics KK | | | 7 | | | | 269 | |
Hankyu Hanshin Holdings, Inc. | | | 11 | | | | 298 | |
Hikari Tsushin, Inc. | | | 1 | | | | 103 | |
Hirose Electric Co. Ltd. | | | 2 | | | | 214 | |
Hitachi Construction Machinery Co. Ltd. | | | 5 | | | | 113 | |
Hitachi Ltd. | | | 1,929 | | | | 91,772 | |
Hitachi Metals Ltd.(1) | | | 10 | | | | 150 | |
Honda Motor Co. Ltd. | | | 6,704 | | | | 161,653 | |
Hoshizaki Corp. | | | 5 | | | | 161 | |
Hoya Corp. | | | 18 | | | | 1,515 | |
Hulic Co. Ltd. | | | 19 | | | | 147 | |
Ibiden Co. Ltd. | | | 6 | | | | 159 | |
Idemitsu Kosan Co. Ltd. | | | 11 | | | | 255 | |
Iida Group Holdings Co. Ltd. | | | 965 | | | | 14,818 | |
INFRONEER Holdings, Inc. | | | 877 | | | | 6,235 | |
Inpex Corp. | | | 913 | | | | 9,787 | |
Isuzu Motors Ltd. | | | 3,698 | | | | 40,899 | |
Ito En Ltd. | | | 3 | | | | 126 | |
ITOCHU Corp. | | | 346 | | | | 9,329 | |
Itochu Techno-Solutions Corp. | | | 5 | | | | 116 | |
JAFCO Group Co. ltd | | | 356 | | | | 4,298 | |
Japan Airlines Co. Ltd.(1) | | | 7 | | | | 119 | |
Japan Exchange Group, Inc. | | | 24 | | | | 348 | |
Japan Metropolitan Fund Invest(4) | | | 0 | | | | 269 | |
Japan Post Bank Co. Ltd. | | | 22 | | | | 168 | |
Japan Post Holdings Co. Ltd. | | | 1,964 | | | | 14,052 | |
Japan Post Insurance Co. Ltd. | | | 9 | | | | 149 | |
Japan Real Estate Investment Corp.(4) | | | 0 | | | | 281 | |
Japan Tobacco, Inc. | | | 59 | | | | 1,026 | |
JFE Holdings, Inc. | | | 24 | | | | 257 | |
JSR Corp. | | | 9 | | | | 226 | |
Kajima Corp. | | | 21 | | | | 240 | |
Kakaku.com, Inc. | | | 6 | | | | 105 | |
Kansai Electric Power Co., Inc. | | | 35 | | | | 347 | |
Kao Corp. | | | 768 | | | | 31,131 | |
Kawasaki Kisen Kaisha Ltd. | | | 29 | | | | 1,744 | |
KDDI Corp. | | | 206 | | | | 6,483 | |
Keio Corp. | | | 5 | | | | 176 | |
Keisei Electric Railway Co. Ltd. | | | 7 | | | | 182 | |
Keyence Corp. | | | 237 | | | | 81,332 | |
Kikkoman Corp. | | | 7 | | | | 367 | |
Kintetsu Group Holdings Co. Ltd. | | | 8 | | | | 261 | |
Kirin Holdings Co. Ltd. | | | 1,507 | | | | 23,812 | |
| | | | | | | | |
Kobayashi Pharmaceutical Co. Ltd. | | | 3 | | | | 167 | |
Kobe Bussan Co. Ltd. | | | 7 | | | | 175 | |
Koei Tecmo Holdings Co. Ltd. | | | 3 | | | | 88 | |
Koito Manufacturing Co. Ltd. | | | 5 | | | | 162 | |
Komatsu Ltd. | | | 2,805 | | | | 62,457 | |
Konami Holdings Corp. | | | 5 | | | | 249 | |
Kose Corp. | | | 2 | | | | 146 | |
Kubota Corp. | | | 50 | | | | 746 | |
Kurita Water Industries Ltd. | | | 5 | | | | 177 | |
Kyocera Corp. | | | 1,909 | | | | 102,048 | |
Kyowa Kirin Co. Ltd. | | | 13 | | | | 298 | |
Lasertec Corp. | | | 354 | | | | 42,115 | |
Lixil Corp. | | | 534 | | | | 10,035 | |
M3, Inc. | | | 21 | | | | 607 | |
Makita Corp. | | | 11 | | | | 270 | |
Marubeni Corp. | | | 77 | | | | 693 | |
Marui Group Co. Ltd. | | | 325 | | | | 5,693 | |
MatsukiyoCocokara & Co. | | | 103 | | | | 4,161 | |
Mazda Motor Corp. | | | 28 | | | | 231 | |
McDonald’s Holdings Co. Japan Ltd. | | | 4 | | | | 148 | |
Medipal Holdings Corp. | | | 457 | | | | 6,452 | |
Megmilk Snow Brand Co. Ltd. | | | 284 | | | | 3,802 | |
MEIJI Holdings Co. Ltd. | | | 6 | | | | 290 | |
Minebea Mitsumi, Inc. | | | 17 | | | | 295 | |
MISUMI Group, Inc. | | | 14 | | | | 302 | |
Mitsubishi Chemical Holdings Corp. | | | 63 | | | | 343 | |
Mitsubishi Corp. | | | 62 | | | | 1,855 | |
Mitsubishi Electric Corp. | | | 9,729 | | | | 104,574 | |
Mitsubishi Estate Co. Ltd. | | | 58 | | | | 845 | |
Mitsubishi HC Capital, Inc. | | | 31 | | | | 145 | |
Mitsubishi Heavy Industries Ltd. | | | 312 | | | | 10,919 | |
Mitsubishi Logistics Corp. | | | 253 | | | | 6,053 | |
Mitsubishi UFJ Financial Group, Inc. | | | 593 | | | | 3,173 | |
Mitsui & Co. Ltd. | | | 523 | | | | 11,499 | |
Mitsui Chemicals, Inc. | | | 9 | | | | 186 | |
Mitsui Fudosan Co. Ltd. | | | 44 | | | | 937 | |
Mitsui OSK Lines Ltd. | | | 17 | | | | 391 | |
Miura Co. Ltd. | | | 137 | | | | 2,704 | |
Mizuho Financial Group, Inc. | | | 119 | | | | 1,355 | |
Monotaro Co. Ltd. | | | 13 | | | | 191 | |
MS&AD Insurance Group Holdings, Inc. | | | 396 | | | | 12,153 | |
Murata Manufacturing Co. Ltd. | | | 792 | | | | 43,090 | |
NEC Corp. | | | 408 | | | | 15,927 | |
NET One Systems Co. Ltd. | | | 292 | | | | 6,492 | |
Nexon Co. Ltd. | | | 24 | | | | 485 | |
NGK Insulators Ltd. | | | 12 | | | | 166 | |
NH Foods Ltd. | | | 237 | | | | 7,421 | |
Nidec Corp. | | | 610 | | | | 37,815 | |
Nihon M&A Center Holdings, Inc. | | | 15 | | | | 158 | |
Nintendo Co. Ltd. | | | 13 | | | | 5,677 | |
Nippon Building Fund, Inc.(4) | | | 0 | | | | 379 | |
Nippon Express Holdings, Inc. | | | 4 | | | | 212 | |
Nippon Paint Holdings Co. Ltd. | | | 40 | | | | 296 | |
Nippon Prologis Real Estate Investment Trust, Inc.(4) | | | 0 | | | | 281 | |
Nippon Sanso Holdings Corp. | | | 8 | | | | 133 | |
Nippon Shinyaku Co. Ltd. | | | 3 | | | | 153 | |
Nippon Steel Corp. | | | 41 | | | | 574 | |
Nippon Telegraph & Telephone Corp. | | | 5,444 | | | | 156,429 | |
Nippon Television Holdings, Inc. | | | 649 | | | | 5,777 | |
Nippon Yusen KK | | | 8 | | | | 549 | |
Nissan Chemical Corp. | | | 133 | | | | 6,153 | |
Nissan Motor Co. Ltd. | | | 115 | | | | 448 | |
Nisshin Seifun Group, Inc. | | | 9 | | | | 110 | |
Nisshinbo Holdings, Inc. | | | 772 | | | | 5,814 | |
Nissin Foods Holdings Co. Ltd. | | | 3 | | | | 207 | |
Nitori Holdings Co. Ltd. | | | 4 | | | | 381 | |
Nitto Denko Corp. | | | 7 | | | | 440 | |
Nomura Co. Ltd. | | | 354 | | | | 2,428 | |
Nomura Holdings, Inc. | | | 3,332 | | | | 12,105 | |
Nomura Real Estate Holdings, Inc. | | | 6 | | | | 144 | |
Nomura Real Estate Master Fund, Inc.(4) | | | 0 | | | | 261 | |
Nomura Research Institute Ltd. | | | 16 | | | | 430 | |
NS Solutions Corp. | | | 172 | | | | 4,594 | |
NSK Ltd. | | | 476 | | | | 2,560 | |
NTT Data Corp. | | | 709 | | | | 9,836 | |
Obayashi Corp. | | | 1,769 | | | | 12,866 | |
Obic Co. Ltd. | | | 4 | | | | 498 | |
Odakyu Electric Railway Co. Ltd. | | | 14 | | | | 190 | |
Oji Holdings Corp. | | | 2,447 | | | | 10,600 | |
Olympus Corp. | | | 3,017 | | | | 61,137 | |
Omron Corp. | | | 62 | | | | 3,166 | |
Ono Pharmaceutical Co. Ltd. | | | 18 | | | | 455 | |
Open House Group Co. Ltd. | | | 4 | | | | 167 | |
Oracle Corp. | | | 2 | | | | 111 | |
Oriental Land Co. Ltd. | | | 10 | | | | 1,341 | |
ORIX Corp. | | | 59 | | | | 989 | |
Osaka Gas Co. Ltd. | | | 19 | | | | 366 | |
| | | | | | | | |
Otsuka Corp. | | | 6 | | | | 164 | |
Otsuka Holdings Co. Ltd. | | | 19 | | | | 668 | |
Pan Pacific International Holdings Corp. | | | 18 | | | | 290 | |
Panasonic Holdings Corp. | | | 4,728 | | | | 38,173 | |
Penta-Ocean Construction Co. Ltd. | | | 1,295 | | | | 6,983 | |
Persol Holdings Co. Ltd. | | | 197 | | | | 3,593 | |
Pigeon Corp. | | | 564 | | | | 7,754 | |
Rakuten Group, Inc. | | | 42 | | | | 191 | |
Recruit Holdings Co. Ltd. | | | 869 | | | | 25,589 | |
Renesas Electronics Corp.(1) | | | 1,035 | | | | 9,365 | |
Resona Holdings, Inc. | | | 13,063 | | | | 48,863 | |
Ricoh Co. Ltd. | | | 28 | | | | 221 | |
Rohm Co. Ltd. | | | 108 | | | | 7,592 | |
Sawai Group Holdings Co. Ltd. | | | 70 | | | | 2,126 | |
SBI Holdings, Inc. | | | 12 | | | | 239 | |
SCSK Corp. | | | 458 | | | | 7,771 | |
Secom Co. Ltd. | | | 717 | | | | 44,283 | |
Sega Sammy Holdings, Inc. | | | 620 | | | | 9,951 | |
Seiko Epson Corp. | | | 14 | | | | 202 | |
Sekisui Chemical Co. Ltd. | | | 289 | | | | 3,958 | |
Sekisui House Ltd. | | | 30 | | | | 534 | |
Senko Group Holdings Co. Ltd. | | | 468 | | | | 3,031 | |
Seven & i Holdings Co. Ltd. | | | 240 | | | | 9,312 | |
SG Holdings Co. Ltd. | | | 14 | | | | 233 | |
Sharp Corp. | | | 12 | | | | 94 | |
Shimadzu Corp. | | | 11 | | | | 358 | |
Shimano, Inc. | | | 205 | | | | 34,516 | |
Shimizu Corp. | | | 28 | | | | 152 | |
Shin-Etsu Chemical Co. Ltd. | | | 18 | | | | 2,034 | |
Shionogi & Co. Ltd. | | | 13 | | | | 653 | |
Shiseido Co. Ltd. | | | 1,317 | | | | 53,079 | |
Shizuoka Bank Ltd. | | | 23 | | | | 136 | |
SMC Corp. | | | 107 | | | | 47,440 | |
SoftBank Corp. | | | 142 | | | | 1,573 | |
SoftBank Group Corp. | | | 619 | | | | 23,978 | |
Sompo Holdings, Inc. | | | 174 | | | | 7,676 | |
Sony Group Corp. | | | 1,557 | | | | 126,951 | |
Square Enix Holdings Co. Ltd. | | | 4 | | | | 186 | |
Subaru Corp. | | | 30 | | | | 537 | |
Sugi Holdings Co. Ltd. | | | 280 | | | | 12,287 | |
Sumco Corp. | | | 16 | | | | 213 | |
Sumitomo Bakelite Co. Ltd. | | | 130 | | | | 3,892 | |
Sumitomo Chemical Co. Ltd. | | | 75 | | | | 292 | |
Sumitomo Corp. | | | 57 | | | | 772 | |
Sumitomo Electric Industries Ltd. | | | 35 | | | | 391 | |
Sumitomo Metal Mining Co. Ltd. | | | 137 | | | | 4,235 | |
Sumitomo Mitsui Financial Group, Inc. | | | 688 | | | | 20,454 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 540 | | | | 16,692 | |
Sumitomo Realty & Development Co. Ltd. | | | 15 | | | | 404 | |
Suntory Beverage & Food Ltd. | | | 7 | | | | 253 | |
Suzuki Motor Corp. | | | 793 | | | | 24,941 | |
Sysmex Corp. | | | 641 | | | | 38,657 | |
T&D Holdings, Inc. | | | 854 | | | | 10,224 | |
Taiheiyo Cement Corp. | | | 589 | | | | 8,778 | |
Taisei Corp. | | | 10 | | | | 299 | |
Takeda Pharmaceutical Co. Ltd. | | | 5,597 | | | | 157,208 | |
TBS Holdings, Inc. | | | 401 | | | | 5,033 | |
TDK Corp. | | | 266 | | | | 8,215 | |
TechnoPro Holdings, Inc. | | | 107 | | | | 2,148 | |
Terumo Corp. | | | 31 | | | | 950 | |
TIS, Inc. | | | 11 | | | | 284 | |
Tobu Railway Co. Ltd. | | | 9 | | | | 202 | |
Toho Co. Ltd. | | | 6 | | | | 203 | |
Tokio Marine Holdings, Inc. | | | 2,258 | | | | 131,686 | |
Tokyo Electric Power Co. Holdings, Inc.(1) | | | 74 | | | | 311 | |
Tokyo Electron Ltd. | | | 7 | | | | 2,350 | |
Tokyo Gas Co. Ltd. | | | 20 | | | | 406 | |
Tokyo Ohka Kogyo Co. Ltd. | | | 83 | | | | 4,052 | |
Tokyu Corp. | | | 25 | | | | 300 | |
TOPPAN, Inc. | | | 13 | | | | 212 | |
Toray Industries, Inc. | | | 3,448 | | | | 19,408 | |
Toshiba Corp. | | | 19 | | | | 756 | |
Tosoh Corp. | | | 13 | | | | 159 | |
TOTO Ltd. | | | 7 | | | | 228 | |
Toyo Seikan Group Holdings Ltd. | | | 756 | | | | 7,924 | |
Toyo Suisan Kaisha Ltd. | | | 250 | | | | 9,761 | |
Toyota Industries Corp. | | | 1,019 | | | | 63,161 | |
Toyota Motor Corp. | | | 1,607 | | | | 24,793 | |
Toyota Tsusho Corp. | | | 10 | | | | 340 | |
Trend Micro, Inc. | | | 6 | | | | 308 | |
Tsumura & Co. | | | 311 | | | | 6,986 | |
Unicharm Corp. | | | 974 | | | | 32,695 | |
USS Co. Ltd. | | | 11 | | | | 184 | |
Welcia Holdings Co. Ltd. | | | 4 | | | | 86 | |
West Japan Railway Co. | | | 11 | | | | 401 | |
Yakult Honsha Co. Ltd. | | | 78 | | | | 4,487 | |
Yamaha Corp. | | | 7 | | | | 276 | |
| | | | | | | | |
Yamaha Motor Co. Ltd. | | | 15 | | | | 266 | |
Yamato Holdings Co. Ltd. | | | 14 | | | | 222 | |
Yaskawa Electric Corp. | | | 12 | | | | 371 | |
Yokogawa Electric Corp. | | | 13 | | | | 213 | |
Z Holdings Corp. | | | 6,766 | | | | 19,676 | |
ZOZO, Inc. | | | 6 | | | | 103 | |
| | | | | | | | |
Total Japan | | | | 2,753,562 | |
| | | | | |
Jordan – 0.00%(2) | | | | | | | | |
Hikma Pharmaceuticals Plc | | | 9 | | | | 176 | |
| | | | | | | | |
Total Jordan | | | | 176 | |
| | | | | |
Luxembourg – 0.43% | | | | | | | | |
ArcelorMittal SA | | | 1,367 | | | | 30,663 | |
Aroundtown SA | | | 48 | | | | 153 | |
Befesa SA(3) | | | 54 | | | | 2,614 | |
Eurofins Scientific SE | | | 191 | | | | 15,118 | |
L’Occitane International SA | | | 805 | | | | 2,523 | |
Stabilus SE | | | 134 | | | | 6,566 | |
Tenaris SA | | | 23 | | | | 299 | |
| | | | | | | | |
Total Luxembourg | | | | 57,936 | |
| | | | | |
Macau – 0.00%(2) | | | | | | | | |
Sands China Ltd.(1) | | | 116 | | | | 279 | |
| | | | | | | | |
Total Macau | | | | 279 | |
| | | | | |
Malaysia – 0.01% | | | | | | | | |
Sime Darby Bhd | | | 2,131 | | | | 1,031 | |
| | | | | | | | |
Total Malaysia | | | | 1,031 | |
| | | | | |
Mexico – 0.17% | | | | | | | | |
Grupo Aeroportuario del Pacifico SAB de CV - Class B | | | 181 | | | | 2,530 | |
Grupo Financiero Banorte SAB de CV - Class O | | | 397 | | | | 2,218 | |
Wal-Mart de Mexico SAB de CV | | | 5,318 | | | | 18,300 | |
| | | | | | | | |
Total Mexico | | | | 23,048 | |
| | | | | |
Netherlands – 4.06% | | | | | | | | |
ABN AMRO Bank NV(3) | | | 21 | | | | 234 | |
Adyen NV(1)(3) | | | 59 | | | | 85,601 | |
Aegon NV | | | 88 | | | | 380 | |
Akzo Nobel NV | | | 9 | | | | 567 | |
Argenx SE(1) | | | 2 | | | | 881 | |
ASM International NV | | | 154 | | | | 38,376 | |
ASML Holding NV | | | 168 | | | | 79,493 | |
ASML Holding NV - Class REG | | | 139 | | | | 66,147 | |
Boskalis Westminster | | | 223 | | | | 7,460 | |
Euronext NV(3) | | | 4 | | | | 336 | |
EXOR NV | | | 5 | | | | 334 | |
Heineken Holding NV | | | 5 | | | | 357 | |
Heineken NV | | | 208 | | | | 18,924 | |
IMCD NV | | | 274 | | | | 37,449 | |
ING Groep NV | | | 4,485 | | | | 44,182 | |
JDE Peet’s NV | | | 5 | | | | 137 | |
Just Eat Takeaway.com NV(1)(3) | | | 122 | | | | 1,911 | |
Koninklijke Ahold Delhaize NV | | | 526 | | | | 13,688 | |
Koninklijke DSM NV | | | 8 | | | | 1,213 | |
Koninklijke KPN NV | | | 6,809 | | | | 24,226 | |
Koninklijke Philips NV | | | 446 | | | | 9,576 | |
NN Group NV | | | 14 | | | | 639 | |
OCI NV | | | 5 | | | | 166 | |
Prosus NV(1) | | | 1,067 | | | | 69,116 | |
QIAGEN NV(1) | | | 11 | | | | 519 | |
Randstad NV | | | 987 | | | | 47,713 | |
Stellantis NV | | | 108 | | | | 1,343 | |
Universal Music Group NV | | | 35 | | | | 710 | |
Wolters Kluwer NV | | | 13 | | | | 1,216 | |
| | | | | | | | |
Total Netherlands | | | | 552,894 | |
| | | | | |
New Zealand – 0.26% | | | | | | | | |
Auckland International Airport Ltd.(1) | | | 60 | | | | 268 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 28 | | | | 344 | |
Fletcher Building Ltd. | | | 844 | | | | 2,649 | |
Mercury NZ Ltd. | | | 35 | | | | 124 | |
Meridian Energy Ltd. | | | 64 | | | | 185 | |
Spark New Zealand Ltd. | | | 92 | | | | 276 | |
Xero Ltd.(1) | | | 585 | | | | 31,196 | |
| | | | | | | | |
Total New Zealand | | | | 35,042 | |
| | | | | |
Norway – 0.41% | | | | | | | | |
Adevinta ASA - Class B(1) | | | 14 | | | | 105 | |
Aker BP ASA | | | 15 | | | | 526 | |
DNB Bank ASA | | | 463 | | | | 8,375 | |
Equinor ASA | | | 1,182 | | | | 41,186 | |
Gjensidige Forsikring ASA | | | 10 | | | | 198 | |
Kongsberg Gruppen ASA | | | 4 | | | | 154 | |
Mowi ASA | | | 20 | | | | 452 | |
Norsk Hydro ASA | | | 66 | | | | 375 | |
Orkla ASA | | | 38 | | | | 302 | |
Salmar ASA | | | 3 | | | | 199 | |
Schibsted ASA - Class A | | | 115 | | | | 2,075 | |
Schibsted ASA - Class B | | | 49 | | | | 808 | |
Telenor ASA | | | 35 | | | | 461 | |
Yara International ASA | | | 8 | | | | 342 | |
| | | | | | | | |
Total Norway | | | | 55,558 | |
| | | | | |
| | | | | | | | |
Peru – 0.03% | | | | | | | | |
Southern Copper Corp. | | | 67 | | | | 3,333 | |
| | | | | | | | |
Total Peru | | | | 3,333 | |
| | | | | |
Portugal – 0.32% | | | | | | | | |
EDP - Energias de Portugal SA | | | 137 | | | | 638 | |
Galp Energia SGPS SA | | | 25 | | | | 289 | |
Jeronimo Martins SGPS SA | | | 1,952 | | | | 42,323 | |
| | | | | | | | |
Total Portugal | | | | 43,250 | |
| | | | | |
Russia – 0.00%(2) | | | | | | | | |
Severstal PAO - GDR(4)(6)(7) | | | 147 | | | | — | |
X5 Retail Group NV - GDR(4)(6)(7) | | | 65 | | | | — | |
| | | | | | | | |
Total Russia | | | | — | |
| | | | | |
Singapore – 2.26% | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 166 | | | | 341 | |
BOC Aviation Ltd.(3) | | | 245 | | | | 2,072 | |
CapitaLand Integrated Commercial Trust | | | 272 | | | | 425 | |
Capitaland Investment Ltd. | | | 124 | | | | 342 | |
City Developments Ltd. | | | 22 | | | | 130 | |
DBS Group Holdings Ltd. | | | 1,575 | | | | 33,707 | |
Genting Singapore Ltd. | | | 281 | | | | 145 | |
Grab Holdings Ltd. - Class A(1) | | | 52 | | | | 131 | |
Keppel Corp. Ltd. | | | 72 | | | | 335 | |
Mapletree Commercial Trust | | | 117 | | | | 154 | |
Mapletree Logistics Trust | | | 161 | | | | 195 | |
Oversea-Chinese Banking Corp. Ltd. | | | 167 | | | | 1,370 | |
Sea Ltd. - ADR(1) | | | 17 | | | | 1,160 | |
Singapore Airlines Ltd.(1) | | | 69 | | | | 252 | |
Singapore Exchange Ltd. | | | 33 | | | | 224 | |
Singapore Technologies Engineering Ltd. | | | 75 | | | | 220 | |
Singapore Telecommunications Ltd. | | | 32,484 | | | | 59,123 | |
United Overseas Bank Ltd. | | | 9,477 | | | | 179,047 | |
UOL Group Ltd. | | | 26 | | | | 140 | |
Venture Corp. Ltd. | | | 14 | | | | 167 | |
Wilmar International Ltd. | | | 9,468 | | | | 27,556 | |
| | | | | | | | |
Total Singapore | | | | 307,236 | |
| | | | | |
South Africa – 0.13% | | | | | | | | |
African Rainbow Minerals Ltd. | | | 136 | | | | 1,792 | |
Anglo American Platinum Ltd. | | | 17 | | | | 1,503 | |
Bid Corp. Ltd. | | | 164 | | | | 3,094 | |
Capitec Bank Holdings Ltd. | | | 21 | | | | 2,567 | |
Clicks Group Ltd. | | | 131 | | | | 2,208 | |
Naspers Ltd. - Class N | | | 35 | | | | 5,065 | |
Pepkor Holdings Ltd.(3) | | | 1,367 | | | | 1,606 | |
| | | | | | | | |
Total South Africa | | | | 17,835 | |
| | | | | |
South Korea – 0.69% | | | | | | | | |
Amorepacific Group | | | 19 | | | | 533 | |
Coupang, Inc. - Class A(1) | | | 1,022 | | | | 13,031 | |
Hana Financial Group, Inc. | | | 84 | | | | 2,546 | |
Hankook Tire & Technology Co. Ltd. | | | 32 | | | | 812 | |
Hyundai Motor Co. | | | 7 | | | | 1,047 | |
LG Corp. | | | 19 | | | | 1,129 | |
NAVER Corp. | | | 119 | | | | 22,109 | |
POSCO Holdings, Inc. | | | 152 | | | | 27,146 | |
Samsung Electronics Co. Ltd. | | | 155 | | | | 6,839 | |
Shinhan Financial Group Co. Ltd. | | | 554 | | | | 15,891 | |
SK Hynix, Inc. | | | 45 | | | | 3,199 | |
| | | | | | | | |
Total South Korea | | | | 94,282 | |
| | | | | |
Spain – 1.77% | | | | | | | | |
Acciona SA | | | 1 | | | | 217 | |
Acerinox SA(1) | | | 578 | | | | 5,611 | |
ACS Actividades de Construccion y Servicios SA | | | 11 | | | | 270 | |
Aena SME SA(1)(3) | | | 4 | | | | 457 | |
Amadeus IT Group SA(1) | | | 868 | | | | 48,607 | |
Banco Bilbao Vizcaya Argentaria SA | | | 332 | | | | 1,510 | |
Banco Santander SA | | | 35,372 | | | | 100,081 | |
CaixaBank SA | | | 14,542 | | | | 50,928 | |
Cellnex Telecom SA(3) | | | 26 | | | | 1,018 | |
EDP Renovaveis SA | | | 14 | | | | 321 | |
Enagas SA | | | 9 | | | | 196 | |
Endesa SA | | | 16 | | | | 298 | |
Ferrovial SA | | | 121 | | | | 3,089 | |
Fluidra SA | | | 427 | | | | 8,697 | |
Gestamp Automocion SA(3) | | | 1,157 | | | | 4,039 | |
Grifols SA(1) | | | 15 | | | | 290 | |
Iberdrola SA | | | 287 | | | | 2,992 | |
Industria de Diseno Textil SA | | | 53 | | | | 1,201 | |
Mediaset Espana Comunicacion SA(1) | | | 192 | | | | 793 | |
Naturgy Energy Group SA | | | 7 | | | | 207 | |
Red Electrica Corp. SA | | | 18 | | | | 337 | |
Repsol SA | | | 72 | | | | 1,060 | |
Siemens Gamesa Renewable Energy SA(1) | | | 12 | | | | 224 | |
Telefonica SA | | | 269 | | | | 1,371 | |
Viscofan SA | | | 135 | | | | 7,423 | |
| | | | | | | | |
Total Spain | | | | 241,237 | |
| | | | | |
Sweden – 3.13% | | | | | | | | |
Alfa Laval AB | | | 14 | | | | 340 | |
Assa Abloy AB - Class B | | | 1,025 | | | | 21,879 | |
Atlas Copco AB - Class A | | | 8,218 | | | | 76,923 | |
| | | | | | | | |
Atlas Copco AB - Class B | | | 75 | | | | 625 | |
Boliden AB | | | 13 | | | | 431 | |
Electrolux AB - Class B | | | 11 | | | | 143 | |
Embracer Group AB - Class B(1) | | | 31 | | | | 234 | |
Epiroc AB - Class A | | | 1,914 | | | | 29,679 | |
Epiroc AB - Class B | | | 19 | | | | 253 | |
EQT AB | | | 14 | | | | 291 | |
Essity AB - Class B | | | 31 | | | | 803 | |
Evolution AB(3) | | | 597 | | | | 54,603 | |
Fastighets AB Balder - Class B(1) | | | 30 | | | | 144 | |
Getinge AB - Class B | | | 240 | | | | 5,572 | |
H & M Hennes & Mauritz AB - Class B | | | 36 | | | | 432 | |
Hexagon AB - Class B | | | 95 | | | | 988 | |
Holmen AB - Class B | | | 5 | | | | 185 | |
Husqvarna AB - Class B | | | 21 | | | | 154 | |
Industrivarden AB - Class A | | | 6 | | | | 142 | |
Industrivarden AB - Class C | | | 7 | | | | 166 | |
Indutrade AB | | | 13 | | | | 239 | |
Investment AB Latour - Class B | | | 7 | | | | 141 | |
Investor AB - Class A | | | 24 | | | | 429 | |
Investor AB - Class B | | | 2,146 | | | | 35,386 | |
Kinnevik AB - Class B(1) | | | 12 | | | | 194 | |
L E Lundbergforetagen AB - Class B | | | 4 | | | | 150 | |
Lifco AB - Class B | | | 12 | | | | 186 | |
MIPS AB | | | 37 | | | | 1,643 | |
Modern Times Group MTG AB - Class B(1) | | | 258 | | | | 2,082 | |
Nibe Industrier AB - Class B | | | 5,411 | | | | 40,787 | |
Sagax AB - Class B | | | 9 | | | | 169 | |
Sandvik AB | | | 723 | | | | 11,787 | |
Securitas AB - Class B | | | 15 | | | | 129 | |
Sinch AB(1)(3) | | | 26 | | | | 86 | |
Skandinaviska Enskilda Banken AB - Class A | | | 80 | | | | 791 | |
Skanska AB - Class B | | | 17 | | | | 266 | |
SKF AB - Class B | | | 19 | | | | 286 | |
Spotify Technology SA(1) | | | 206 | | | | 19,317 | |
Svenska Cellulosa AB SCA - Class B | | | 29 | | | | 442 | |
Svenska Handelsbanken AB - Class A | | | 1,438 | | | | 12,346 | |
Swedbank AB | | | 45 | | | | 566 | |
Swedish Match AB | | | 1,189 | | | | 12,128 | |
Swedish Orphan Biovitrum AB(1) | | | 8 | | | | 175 | |
Tele2 AB - Class B | | | 28 | | | | 319 | |
Telefonaktiebolaget LM Ericsson - Class B | | | 142 | | | | 1,058 | |
Telia Co. AB | | | 22,330 | | | | 85,703 | |
Viaplay Group AB - Class B(1) | | | 189 | | | | 3,890 | |
Volvo AB - Class A | | | 10 | | | | 155 | |
Volvo AB - Class B | | | 74 | | | | 1,158 | |
Volvo Car AB - Class B(1) | | | 28 | | | | 189 | |
| | | | | | | | |
Total Sweden | | | | 426,184 | |
| | | | | |
Switzerland – 6.11% | | | | | | | | |
ABB Ltd. | | | 580 | | | | 15,550 | |
Adecco Group AG | | | 310 | | | | 10,571 | |
Alcon, Inc. | | | 958 | | | | 67,191 | |
Bachem Holding AG - Class B | | | 2 | | | | 109 | |
Baloise Holding AG | | | 2 | | | | 370 | |
Barry Callebaut AG(4) | | | 0 | | | | 380 | |
Chocoladefabriken Lindt & Spruengli AG(4) | | | 0 | | | | 519 | |
Chocoladefabriken Lindt & Spruengli AG - REG(4) | | | 0 | | | | 525 | |
Cie Financiere Richemont SA | | | 238 | | | | 2,531 | |
Cie Financiere Richemont SA | | | 767 | | | | 82,536 | |
Clariant AG(1) | | | 12 | | | | 233 | |
Coca-Cola HBC AG(1) | | | 10 | | | | 212 | |
Credit Suisse Group AG - Class A | | | 3,065 | | | | 17,494 | |
EMS-Chemie Holding AG(4) | | | 0 | | | | 250 | |
Geberit AG | | | 39 | | | | 18,816 | |
Givaudan SA(4) | | | 0 | | | | 1,554 | |
Glencore Plc | | | 6,132 | | | | 33,212 | |
Helvetia Holding AG | | | 23 | | | | 2,712 | |
Holcim AG(1) | | | 329 | | | | 14,126 | |
Julius Baer Group Ltd. | | | 207 | | | | 9,602 | |
Kuehne & Nagel International AG | | | 3 | | | | 617 | |
Logitech International SA | | | 118 | | | | 6,171 | |
Lonza Group AG | | | 118 | | | | 63,272 | |
Nestle SA | | | 676 | | | | 78,966 | |
Novartis AG | | | 1,770 | | | | 150,048 | |
Partners Group Holding AG | | | 1 | | | | 979 | |
Roche Holding AG | | | 1 | | | | 493 | |
Roche Holding AG | | | 373 | | | | 124,735 | |
Schindler Holding AG | | | 1 | | | | 204 | |
Schindler Holding AG | | | 2 | | | | 361 | |
SGS SA(4) | | | 0 | | | | 709 | |
Sika AG | | | 258 | | | | 59,565 | |
Sonova Holding AG | | | 39 | | | | 12,366 | |
STMicroelectronics NV | | | 33 | | | | 1,033 | |
Straumann Holding AG | | | 5 | | | | 647 | |
Swatch Group AG - BR | | | 1 | | | | 339 | |
Swatch Group AG - REG | | | 3 | | | | 119 | |
Swiss Life Holding AG | | | 2 | | | | 759 | |
| | | | | | | | |
Swiss Prime Site AG | | | 4 | | | | 332 | |
Swiss Re AG | | | 15 | | | | 1,137 | |
Swisscom AG | | | 1 | | | | 724 | |
Temenos AG | | | 3 | | | | 260 | |
UBS Group AG | | | 2,816 | | | | 45,531 | |
VAT Group AG(3) | | | 1 | | | | 308 | |
Vifor Pharma AG | | | 2 | | | | 377 | |
Zurich Insurance Group AG | | | 7 | | | | 3,254 | |
| | | | | | | | |
Total Switzerland | | | | 831,799 | |
| | | | | |
Taiwan – 1.94% | | | | | | | | |
Advantech Co. Ltd. | | | 317 | | | | 3,689 | |
Chailease Holding Co. Ltd. | | | 377 | | | | 2,645 | |
Delta Electronics, Inc. | | | 362 | | | | 2,699 | |
Giant Manufacturing Co. Ltd. | | | 162 | | | | 1,309 | |
Hon Hai Precision Industry Co. Ltd. | | | 14,960 | | | | 54,922 | |
MediaTek, Inc. | | | 49 | | | | 1,076 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 4,015 | | | | 64,344 | |
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | | | 1,633 | | | | 133,515 | |
| | | | | | | | |
Total Taiwan | | | | 264,199 | |
| | | | | |
Thailand – 0.11% | | | | | | | | |
Kasikornbank PCL | | | 320 | | | | 1,377 | |
Thai Beverage PCL | | | 30,323 | | | | 14,088 | |
| | | | | | | | |
Total Thailand | | | | 15,465 | |
| | | | | |
United Kingdom – 18.34% | | | | | | | | |
3i Group Plc | | | 1,469 | | | | 19,908 | |
Abrdn Plc | | | 103 | | | | 202 | |
Admiral Group Plc | | | 336 | | | | 9,198 | |
Anglo American Plc | | | 63 | | | | 2,241 | |
Ashtead Group Plc | | | 21 | | | | 894 | |
Associated British Foods Plc | | | 18 | | | | 341 | |
AstraZeneca Plc | | | 576 | | | | 75,950 | |
Auto Trader Group Plc(3) | | | 7,574 | | | | 51,295 | |
AVEVA Group Plc | | | 6 | | | | 167 | |
Aviva Plc | | | 3,308 | | | | 16,203 | |
BAE Systems Plc | | | 1,668 | | | | 16,888 | |
Barclays Plc | | | 28,704 | | | | 53,676 | |
Barratt Developments Plc | | | 454 | | | | 2,541 | |
Berkeley Group Holdings Plc(1) | | | 6 | | | | 251 | |
BP Plc | | | 34,930 | | | | 164,013 | |
British American Tobacco Plc | | | 173 | | | | 7,422 | |
British Land Co. Plc | | | 44 | | | | 240 | |
BT Group Plc - Class A | | | 343 | | | | 779 | |
Bunzl Plc | | | 545 | | | | 18,091 | |
Burberry Group Plc | | | 1,102 | | | | 22,109 | |
Capita Plc(1) | | | 10,386 | | | | 3,227 | |
Cazoo Group Ltd.(1) | | | 108 | | | | 77 | |
Close Brothers Group Plc | | | 172 | | | | 2,167 | |
CNH Industrial NV | | | 1,664 | | | | 19,243 | |
Coca-Cola Europacific Partners Plc | | | 150 | | | | 7,766 | |
Compass Group Plc | | | 1,379 | | | | 28,312 | |
ConvaTec Group Plc(3) | | | 5,120 | | | | 14,034 | |
Croda International Plc | | | 7 | | | | 527 | |
Devro Plc | | | 956 | | | | 2,147 | |
Diageo Plc | | | 596 | | | | 25,724 | |
DS Smith Plc | | | 2,478 | | | | 8,394 | |
easyJet Plc(1) | | | 1,046 | | | | 4,698 | |
Entain Plc(1) | | | 1,250 | | | | 19,019 | |
Euromoney Institutional Investor Plc | | | 192 | | | | 3,153 | |
Farfetch Ltd. - Class A(1) | | | 1,485 | | | | 10,633 | |
Ferguson Plc | | | 337 | | | | 37,707 | |
Future Plc | | | 228 | | | | 4,825 | |
Games Workshop Group Plc | | | 288 | | | | 23,425 | |
GSK Plc | | | 6,279 | | | | 135,321 | |
Halma Plc | | | 18 | | | | 445 | |
Hargreaves Lansdown Plc | | | 2,451 | | | | 23,644 | |
Hays Plc | | | 8,284 | | | | 11,328 | |
HomeServe Plc | | | 2,416 | | | | 34,469 | |
HSBC Holdings Plc | | | 336 | | | | 2,201 | |
HSBC Holdings Plc | | | 8,609 | | | | 56,240 | |
IG Group Holdings Plc | | | 674 | | | | 5,689 | |
Imperial Brands Plc | | | 4,577 | | | | 102,460 | |
Inchcape Plc | | | 1,163 | | | | 9,882 | |
Informa Plc(1) | | | 613 | | | | 3,961 | |
InterContinental Hotels Group Plc | | | 65 | | | | 3,462 | |
International Personal Finance Plc | | | 1,525 | | | | 1,419 | |
Intertek Group Plc | | | 919 | | | | 47,252 | |
ITV Plc | | | 10,354 | | | | 8,268 | |
J Sainsbury Plc | | | 17,897 | | | | 44,541 | |
JD Sports Fashion Plc(1) | | | 127 | | | | 179 | |
John Wood Group Plc(1) | | | 14,924 | | | | 28,334 | |
Johnson Matthey Plc | | | 9 | | | | 221 | |
Jupiter Fund Management Plc | | | 2,223 | | | | 3,998 | |
Kingfisher Plc | | | 31,827 | | | | 95,114 | |
Land Securities Group Plc | | | 36 | | | | 291 | |
Legal & General Group Plc | | | 294 | | | | 861 | |
Lloyds Banking Group Plc | | | 261,188 | | | | 134,383 | |
London Stock Exchange Group Plc | | | 16 | | | | 1,485 | |
| | | | | | | | |
M&G Plc | | | 128 | | | | 304 | |
Melrose Industries Plc | | | 209 | | | | 383 | |
Mondi Plc | | | 24 | | | | 425 | |
National Express Group Plc(1) | | | 1,003 | | | | 2,382 | |
National Grid Plc | | | 181 | | | | 2,327 | |
Natwest Group Plc | | | 7,965 | | | | 21,201 | |
Next Plc | | | 6 | | | | 451 | |
Non-Standard Finance Plc(1)(3) | | | 100 | | | | 2 | |
Ocado Group Plc(1) | | | 28 | | | | 270 | |
Pagegroup Plc | | | 568 | | | | 2,783 | |
Pearson Plc | | | 35 | | | | 322 | |
Persimmon Plc | | | 16 | | | | 358 | |
Petrofac Ltd.(1) | | | 517 | | | | 706 | |
Pets at Home Group Plc | | | 1,127 | | | | 4,242 | |
Phoenix Group Holdings Plc | | | 37 | | | | 266 | |
Provident Financial Plc | | | 1,108 | | | | 2,698 | |
Prudential Plc | | | 48 | | | | 588 | |
Prudential Plc | | | 520 | | | | 6,464 | |
Rathbones Group Plc | | | 92 | | | | 2,172 | |
Reckitt Benckiser Group Plc | | | 592 | | | | 44,531 | |
RELX Plc | | | 835 | | | | 22,661 | |
Rentokil Initial Plc | | | 89 | | | | 515 | |
Rightmove Plc | | | 10,747 | | | | 74,478 | |
Rio Tinto Plc | | | 385 | | | | 22,995 | |
Rolls-Royce Holdings Plc(1) | | | 6,990 | | | | 7,114 | |
Rotork Plc | | | 600 | | | | 1,762 | |
RWS Holdings Plc | | | 344 | | | | 1,453 | |
Sage Group Plc | | | 49 | | | | 381 | |
Schroders Plc | | | 6 | | | | 205 | |
Segro Plc | | | 59 | | | | 709 | |
Serco Group Plc | | | 5,440 | | | | 11,537 | |
Severn Trent Plc | | | 12 | | | | 401 | |
Shell Plc | | | 3,191 | | | | 82,787 | |
Shell Plc | | | 4,864 | | | | 126,680 | |
Smith & Nephew Plc | | | 202 | | | | 2,828 | |
Smiths Group Plc | | | 20 | | | | 339 | |
Softcat Plc | | | 101 | | | | 1,619 | |
Spirax-Sarco Engineering Plc | | | 4 | | | | 424 | |
SSE Plc | | | 5,484 | | | | 108,229 | |
SSP Group Plc(1) | | | 5,374 | | | | 15,256 | |
St James’s Place Plc | | | 654 | | | | 8,800 | |
Standard Chartered Plc | | | 5,759 | | | | 43,480 | |
Taylor Wimpey Plc | | | 3,626 | | | | 5,165 | |
TechnipFMC Plc(1) | | | 5,104 | | | | 34,352 | |
Tesco Plc | | | 48,605 | | | | 151,482 | |
Trainline Plc(1)(3) | | | 5,941 | | | | 21,024 | |
Travis Perkins Plc | | | 3,071 | | | | 36,397 | |
Unilever Plc | | | 577 | | | | 26,278 | |
United Utilities Group Plc | | | 34 | | | | 419 | |
Vodafone Group Plc | | | 20,160 | | | | 31,347 | |
Weir Group Plc | | | 884 | | | | 14,733 | |
WH Smith Plc(1) | | | 524 | | | | 9,002 | |
Whitbread Plc | | | 10 | | | | 295 | |
Wise Plc - Class A(1) | | | 2,020 | | | | 7,336 | |
WPP Plc | | | 9,676 | | | | 97,735 | |
| | | | | | | | |
Total United Kingdom | | | | 2,496,028 | |
| | | | | |
United States – 2.59% | | | | | | | | |
Aon Plc - Class A | | | 265 | | | | 71,465 | |
BeiGene Ltd.(1) | | | 1,205 | | | | 15,304 | |
Carnival Plc(1) | | | 195 | | | | 1,504 | |
EPAM Systems, Inc.(1) | | | 120 | | | | 35,373 | |
Mettler-Toledo International, Inc.(1) | | | 94 | | | | 107,426 | |
ResMed, Inc. | | | 295 | | | | 61,841 | |
Samsonite International SA(1)(3) | | | 807 | | | | 1,605 | |
STERIS Plc | | | 284 | | | | 58,547 | |
| | | | | | | | |
Total United States | | | | 353,065 | |
| | | | | |
Total Common Stocks (Cost: $13,977,931) | | | | 13,276,663 | |
| | | | | |
PREFERRED STOCKS – 0.36% | | | | | | | | |
Germany – 0.36% | | | | | | | | |
Bayerische Motoren Werke AG | | | 3 | | | | 204 | |
Henkel AG & Co. KGaA | | | 9 | | | | 544 | |
Porsche Automobil Holding SE | | | 8 | | | | 502 | |
Sartorius AG | | | 1 | | | | 408 | |
Volkswagen AG | | | 348 | | | | 46,845 | |
| | | | | | | | |
Total Germany | | | | 48,503 | |
| | | | | |
South Korea – 0.00%(2) | | | | | | | | |
Amorepacific Group | | | 7 | | | | 183 | |
| | | | | | | | |
Total South Korea | | | | 183 | |
| | | | | |
Total Preferred Stocks (Cost: $70,799) | | | | 48,686 | |
| | | | | |
RIGHTS – 0.01% | | | | | | | | |
Australia – 0.00%(2) | | | | | | | | |
carsales.com Ltd., expires 07/13/2022(1) | | | 45 | | | | 21 | |
| | | | | | | | |
Total Australia | | | | 21 | |
| | | | | |
| | | | | | | | |
Italy – 0.00%(2) | | | | | | | | |
Saipem SpA, expires 07/13/2022(1) | | | 100 | | | | 132 | |
| | | | | | | | |
Total Italy | | | | 132 | |
| | | | | |
Sweden – 0.01%(2) | | | | | | | | |
Moder Times Group, expires 12/31/2022(1) | | | 258 | | | | 631 | |
| | | | | | | | |
Total Sweden | | | | 631 | |
| | | | | |
Total Rights (Cost: $11,843) | | | | 784 | |
| | | | | |
SHORT-TERM INVESTMENTS – 1.91% | | | | | | | | |
Money Market Funds – 1.51% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(5) | | | 205,948 | | | | 205,948 | |
| | | | | | | | |
Total Money Market Funds (Cost: $205,948) | | | | | | | 205,948 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.40% | | | | | | | | |
ANZ, Hong Kong, 0.25% due 07/01/2022 | | AUD | 237 | | | | 163 | |
ANZ, London, 1.06% due 07/01/2022 | | $ | 296 | | | | 296 | |
BBVA, Madrid, 1.06% due 07/01/2022(4) | | | 0 | | | | 0 | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 75 | | | | 78 | |
BNP Paribas, Paris, 0.52% due 07/01/2022 | | GBP | 13,231 | | | | 16,107 | |
Brown Brothers Harriman, -0.73% due 07/01/2022 | | DKK | 329 | | | | 46 | |
Brown Brothers Harriman, 0.25% due 07/01/2022 | | NZD | 20 | | | | 12 | |
Brown Brothers Harriman, 0.37% due 07/04/2022 | | HKD | 929 | | | | 118 | |
Brown Brothers Harriman, 3.85% due 07/01/2022(4) | | ZAR | 1 | | | | 0 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 3,402 | | | | 3,566 | |
Citibank, New York, 1.06% due 07/01/2022 | | $ | 2,918 | | | | 2,918 | |
HSBC, Hong Kong, 0.37% due 07/04/2022 | | HKD | 5,189 | | | | 661 | |
HSBC, Singapore, 0.65% due 07/01/2022 | | SGD | 49 | | | | 35 | |
Nordea Bank ABP, Oslo, 0.07% due 07/01/2022 | | NOK | 400 | | | | 41 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 1,782 | | | | 1,782 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022 | | SEK | 12,631 | | | | 1,235 | |
Sumitomo, Tokyo, -0.36% due 07/01/2022 | | JPY | 3,688,876 | | | | 27,188 | |
| | | | | | | | |
Total Time Deposits (Cost: $54,246) | | | | | | | 54,246 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $260,194) | | | | 260,194 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.83%
(Cost: $14,320,767) | | | | | | | 13,586,327 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.17% | | | | | | | 23,003 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 13,609,330 | |
| | | | | | | | |
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
GDR Global 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
ZAR South African Rand
| (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 $546,072, which represents 4.01% of total net assets. |
| (4) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (5) | Represents annualized seven-day yield as of the close of the reporting period. |
| (6) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $0, which represents 0.00% of total net assets. |
| (7) | Security that is restricted at June 30, 2022. The value of the restricted securities totals $0, 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 | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 37 | | Euro Stoxx 50 Future | | | Sep. 2022 | | | EUR | 1,296 | | | $ | 1,334 | | | $ | (24 | ) |
| 13 | | FTSE 100 INDEX Future | | | Sep. 2022 | | | GBP | 934 | | | | 1,127 | | | | (10 | ) |
| 8 | | TOPIX INDEX Future | | | Sep. 2022 | | | JPY | 153,450 | | | | 1,103 | | | | (28 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (62 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| COMMON STOCKS | | Percentage of Net Assets | |
Communication Services | | | 6.23 | % |
Consumer Discretionary | | | 14.82 | |
Consumer Staples | | | 8.81 | |
Energy | | | 4.23 | |
Financials | | | 15.33 | |
Healthcare | | | 13.85 | |
Industrials | | | 16.04 | |
Information Technology | | | 10.78 | |
Materials | | | 4.32 | |
Real Estate | | | 0.21 | |
Utilities | | | 2.93 | |
| | | | |
Total Common Stocks | | | 97.55 | |
| | | | |
PREFERRED STOCKS | | | | |
Consumer Discretionary | | | 0.35 | |
Consumer Staples | | | 0.01 | |
Healthcare | | | 0.00 | (1) |
| | | | |
Total Preferred Stocks | | | 0.36 | |
| | | | |
RIGHTS | | | | |
Communication Services | | | 0.00 | (1) |
Energy | | | 0.00 | (1) |
Information Technology | | | 0.01 | |
| | | | |
Total Rights | | | 0.01 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 1.91 | |
| | | | |
TOTAL INVESTMENTS | | | 99.83 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.17 | |
| | | | |
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.
Bridge Builder Tax Managed International Equity Fund
Schedule of Investments
June 30, 2022
(Amounts in thousands, except number of contracts)
| | | | | | | | |
| | | Shares
(000s) | | | Value
(000s) | |
COMMON STOCKS – 95.08% | | | | | | | | |
Australia – 3.50% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. | | | 10 | | | $ | 150 | |
BHP Group Ltd. | | | 7 | | | | 187 | |
BHP Group Ltd. | | | 7 | | | | 187 | |
BlueScope Steel Ltd. | | | 4 | | | | 46 | |
Challenger Ltd. | | | 12 | | | | 57 | |
Cochlear Ltd. | | | 3 | | | | 437 | |
Commonwealth Bank of Australia | | | 1 | | | | 77 | |
CSL Ltd. | | | 5 | | | | 908 | |
Dexus Property Group | | | 2 | | | | 10 | |
Fortescue Metals Group Ltd. | | | 4 | | | | 49 | |
IGO Ltd. | | | 43 | | | | 291 | |
Macquarie Group Ltd. | | | 2 | | | | 233 | |
National Australia Bank Ltd. | | | 3 | | | | 65 | |
Newcrest Mining Ltd. | | | 3 | | | | 42 | |
Ramsay Health Care Ltd. | | | 1 | | | | 45 | |
Rio Tinto Ltd. | | | 1 | | | | 88 | |
Santos Ltd. | | | 5 | | | | 23 | |
Scentre Group | | | 61 | | | | 109 | |
South32 Ltd. | | | 51 | | | | 139 | |
Transurban Group | | | 4 | | | | 41 | |
Wesfarmers Ltd. | | | 2 | | | | 50 | |
Westpac Banking Corp. | | | 4 | | | | 57 | |
Woodside Energy Group Ltd. | | | 5 | | | | 117 | |
Woolworths Group Ltd. | | | 1 | | | | 22 | |
WorleyParsons Ltd. | | | 20 | | | | 199 | |
| | | | | | | | |
Total Australia | | | | 3,629 | |
| | | | | |
Austria – 0.10% | | | | | | | | |
Erste Group Bank AG | | | 2 | | | | 58 | |
Voestalpine AG | | | 2 | | | | 47 | |
| | | | | | | | |
Total Austria | | | | 105 | |
| | | | | |
Belgium – 0.27% | | | | | | | | |
Anheuser-Busch InBev SA | | | 1 | | | | 67 | |
Groupe Bruxelles Lambert SA | | | 1 | | | | 60 | |
KBC Group NV(1) | | | 0 | | | | 17 | |
Solvay SA(1) | | | 0 | | | | 39 | |
Umicore SA | | | 3 | | | | 92 | |
| | | | | | | | |
Total Belgium | | | | 275 | |
| | | | | |
Brazil – 0.61% | | | | | | | | |
Ambev SA - ADR | | | 185 | | | | 465 | |
XP, Inc. - Class A(2) | | | 9 | | | | 168 | |
| | | | | | | | |
Total Brazil | | | | 633 | |
| | | | | |
Canada – 2.87% | | | | | | | | |
Alimentation Couche-Tard, Inc. | | | 20 | | | | 777 | |
Canadian National Railway Co. | | | 8 | | | | 878 | |
Definity Financial Corp. | | | 5 | | | | 117 | |
Element Fleet Management Corp. | | | 20 | | | | 212 | |
Magna International, Inc. | | | 4 | | | | 213 | |
Manulife Financial Corp. | | | 10 | | | | 174 | |
National Bank of Canada | | | 4 | | | | 248 | |
Sun Life Financial, Inc. | | | 8 | | | | 354 | |
| | | | | | | | |
Total Canada | | | | 2,973 | |
| | | | | |
Chile – 0.16% | | | | | | | | |
Antofagasta Plc | | | 12 | | | | 164 | |
| | | | | | | | |
Total Chile | | | | 164 | |
| | | | | |
China – 1.41% | | | | | | | | |
Alibaba Group Holding Ltd. - ADR(2) | | | 1 | | | | 61 | |
Alibaba Group Holding Ltd.(2) | | | 45 | | | | 640 | |
PICC Property & Casualty Co. Ltd. - Class H | | | 136 | | | | 142 | |
Ping An Insurance Group Co. of China Ltd. - Class H | | | 13 | | | | 89 | |
Tencent Holdings Ltd. | | | 2 | | | | 100 | |
Trip.com Group Ltd. - ADR(2) | | | 16 | | | | 431 | |
| | | | | | | | |
Total China | | | | 1,463 | |
| | | | | |
Denmark – 3.99% | | | | | | | | |
AP Moller - Maersk - Class B(1) | | | 0 | | | | 406 | |
Carlsberg AS - Class B(1) | | | 0 | | | | 52 | |
CHR Hansen Holding | | | 9 | | | | 684 | |
Coloplast - Class B | | | 6 | | | | 692 | |
Danske Bank | | | 18 | | | | 260 | |
DSV(1) | | | 0 | | | | 12 | |
Genmab(1)(2) | | | 0 | | | | 123 | |
Novo Nordisk - Class B | | | 10 | | | | 1,104 | |
Novozymes - Class B | | | 12 | | | | 705 | |
Orsted AS(1)(3) | | | 0 | | | | 41 | |
Tryg | | | 1 | | | | 20 | |
Vestas Wind Systems | | | 1 | | | | 31 | |
| | | | | | | | |
Total Denmark | | | | 4,130 | |
| | | | | |
Finland – 2.00% | | | | | | | | |
Kone OYJ - Class B | | | 14 | | | | 682 | |
Nokia OYJ | | | 169 | | | | 782 | |
| | | | | | | | |
Nordea Bank Abp - Class A | | | 6 | | | | 50 | |
Sampo OYJ - Class A | | | 7 | | | | 295 | |
Stora Enso OYJ - Class R | | | 15 | | | | 239 | |
UPM-Kymmene OYJ | | | 1 | | | | 27 | |
| | | | | | | | |
Total Finland | | | | 2,075 | |
| | | | | |
France – 11.38% | | | | | | | | |
Accor SA(2) | | | 9 | | | | 248 | |
Air Liquide SA | | | 8 | | | | 1,046 | |
Airbus SE | | | 1 | | | | 73 | |
Amundi SA(3) | | | 14 | | | | 790 | |
AXA SA | | | 18 | | | | 420 | |
BNP Paribas SA | | | 4 | | | | 174 | |
Bouygues SA | | | 8 | | | | 257 | |
Capgemini SE(1) | | | 0 | | | | 57 | |
Cie Generale des Etablissements Michelin SCA | | | 25 | | | | 676 | |
Credit Agricole SA | | | 4 | | | | 39 | |
Danone SA | | | 1 | | | | 63 | |
Dassault Systemes SE | | | 18 | | | | 655 | |
Engie SA | | | 25 | | | | 285 | |
EssilorLuxottica SA | | | 1 | | | | 190 | |
Getlink SE | | | 2 | | | | 42 | |
Hermes International(1) | | | 0 | | | | 415 | |
Ipsen SA | | | 2 | | | | 171 | |
Kering SA(1) | | | 0 | | | | 162 | |
Legrand SA | | | 2 | | | | 137 | |
L’Oreal SA | | | 3 | | | | 1,028 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 2 | | | | 1,000 | |
Orange SA | | | 1 | | | | 12 | |
Pernod Ricard SA(1) | | | 0 | | | | 58 | |
Publicis Groupe SA(2) | | | 8 | | | | 405 | |
Rexel SA | | | 40 | | | | 614 | |
Safran SA | | | 2 | | | | 164 | |
Sanofi | | | 9 | | | | 893 | |
Schneider Electric SE | | | 1 | | | | 68 | |
SCOR SE | | | 9 | | | | 191 | |
Teleperformance | | | 1 | | | | 159 | |
TotalEnergies SE | | | 22 | | | | 1,138 | |
Veolia Environnement SA(2) | | | 2 | | | | 47 | |
Vinci SA | | | 1 | | | | 66 | |
Vivendi SE | | | 5 | | | | 48 | |
| | | | | | | | |
Total France | | | | 11,791 | |
| | | | | |
Germany – 7.09% | | | | | | | | |
Adidas AG | | | 4 | | | | 684 | |
Allianz SE(1) | | | 0 | | | | 78 | |
BASF SE | | | 17 | | | | 747 | |
Bayer AG | | | 6 | | | | 343 | |
Bayerische Motoren Werke AG | | | 1 | | | | 49 | |
Brenntag SE | | | 1 | | | | 45 | |
Commerzbank AG(2) | | | 2 | | | | 16 | |
Covestro AG(3) | | | 22 | | | | 751 | |
Deutsche Boerse AG(1) | | | 0 | | | | 54 | |
Deutsche Post AG | | | 1 | | | | 20 | |
Deutsche Telekom AG | | | 2 | | | | 46 | |
Evotec SE(2) | | | 2 | | | | 55 | |
Fresenius Medical Care AG & Co. KGaA | | | 14 | | | | 679 | |
Fresenius SE & Co. KGaA | | | 5 | | | | 166 | |
Henkel AG & Co. KGaA | | | 1 | | | | 49 | |
KION Group AG | | | 3 | | | | 133 | |
Knorr-Bremse AG | | | 1 | | | | 71 | |
LEG Immobilien SE | | | 1 | | | | 41 | |
Mercedes-Benz Group AG - Class REGISTERED | | | 1 | | | | 38 | |
Merck KGaA | | | 4 | | | | 642 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 2 | | | | 412 | |
Rheinmetall AG(1) | | | 0 | | | | 20 | |
RWE AG | | | 1 | | | | 30 | |
SAP SE | | | 10 | | | | 898 | |
Siemens AG | | | 8 | | | | 833 | |
Siemens Healthineers AG(3) | | | 5 | | | | 272 | |
Stroeer SE & Co. KGaA | | | 2 | | | | 71 | |
Vonovia SE | | | 2 | | | | 50 | |
Zalando SE(2)(3) | | | 2 | | | | 49 | |
| | | | | | | | |
Total Germany | | | | 7,342 | |
| | | | | |
Hong Kong – 2.90% | | | | | | | | |
AIA Group Ltd. | | | 103 | | | | 1,130 | |
Beijing Enterprises Holdings Ltd. | | | 14 | | | | 50 | |
CK Asset Holdings Ltd. | | | 6 | | | | 39 | |
CK Hutchison Holdings Ltd. | | | 6 | | | | 37 | |
CLP Holdings Ltd. | | | 71 | | | | 586 | |
Galaxy Entertainment Group Ltd. | | | 110 | | | | 659 | |
Hong Kong Exchanges & Clearing Ltd. | | | 1 | | | | 69 | |
Jardine Matheson Holdings Ltd. | | | 7 | | | | 357 | |
MTR Corp. Ltd. | | | 6 | | | | 32 | |
Sun Hung Kai Properties Ltd. | | | 4 | | | | 47 | |
| | | | | | | | |
Total Hong Kong | | | | 3,006 | |
| | | | | |
Ireland – 1.15% | | | | | | | | |
Bank of Ireland Group Plc | | | 47 | | | | 296 | |
DCC Plc | | | 2 | | | | 132 | |
| | | | | | | | |
Experian Plc | | | 23 | | | | 664 | |
Kerry Group Plc - Class A | | | 1 | | | | 55 | |
Paddy Power Betfair Plc(1)(2) | | | 0 | | | | 47 | |
| | | | | | | | |
Total Ireland | | | | 1,194 | |
| | | | | |
Israel – 0.15% | | | | | | | | |
Check Point Software Technologies Ltd.(2) | | | 1 | | | | 86 | |
Teva Pharmaceutical Industries Ltd. - ADR(2) | | | 5 | | | | 40 | |
Wix.com Ltd.(2) | | | 1 | | | | 34 | |
| | | | | | | | |
Total Israel | | | | 160 | |
| | | | | |
Italy – 1.07% | | | | | | | | |
Enel SpA | | | 94 | | | | 513 | |
ENI SpA | | | 4 | | | | 51 | |
Ferrari NV(1) | | | 0 | | | | 56 | |
Intesa Sanpaolo SpA | | | 50 | | | | 94 | |
Moncler SpA | | | 4 | | | | 163 | |
Prysmian SpA | | | 6 | | | | 163 | |
Snam SpA | | | 10 | | | | 51 | |
UniCredit SpA | | | 2 | | | | 17 | |
| | | | | | | | |
Total Italy | | | | 1,108 | |
| | | | | |
Japan – 20.68% | | | | | | | | |
ANA Holdings, Inc.(2) | | | 3 | | | | 46 | |
Asahi Kasei Corp. | | | 15 | | | | 115 | |
Astellas Pharma, Inc. | | | 28 | | | | 431 | |
Azbil Corp. | | | 2 | | | | 42 | |
Bridgestone Corp. | | | 5 | | | | 193 | |
Brother Industries Ltd. | | | 3 | | | | 51 | |
Canon, Inc. | | | 2 | | | | 54 | |
Central Japan Railway Co. | | | 1 | | | | 161 | |
Concordia Financial Group Ltd. | | | 10 | | | | 36 | |
CyberAgent, Inc. | | | 17 | | | | 166 | |
Daiichi Sankyo Co. Ltd. | | | 2 | | | | 41 | |
Daikin Industries Ltd. | | | 6 | | | | 931 | |
Denso Corp. | | | 4 | | | | 185 | |
Electric Power Development Co. Ltd. | | | 4 | | | | 69 | |
ENEOS Holdings, Inc. | | | 13 | | | | 47 | |
FANUC Corp. | | | 4 | | | | 674 | |
FUJIFILM Holdings Corp. | | | 1 | | | | 59 | |
Fukuoka Financial Group, Inc. | | | 13 | | | | 229 | |
Hamamatsu Photonics KK | | | 4 | | | | 136 | |
Hankyu Hanshin Holdings, Inc. | | | 1 | | | | 19 | |
Hirose Electric Co. Ltd.(1) | | | 0 | | | | 53 | |
Hitachi Ltd. | | | 1 | | | | 62 | |
Honda Motor Co. Ltd. | | | 30 | | | | 726 | |
Hoya Corp. | | | 7 | | | | 599 | |
Iida Group Holdings Co. Ltd. | | | 10 | | | | 152 | |
Isuzu Motors Ltd. | | | 51 | | | | 560 | |
ITOCHU Corp. | | | 1 | | | | 27 | |
Japan Post Holdings Co. Ltd. | | | 7 | | | | 51 | |
Japan Tobacco, Inc. | | | 3 | | | | 59 | |
JFE Holdings, Inc. | | | 4 | | | | 42 | |
Kakaku.com, Inc. | | | 2 | | | | 37 | |
KDDI Corp. | | | 2 | | | | 73 | |
Keyence Corp. | | | 3 | | | | 857 | |
Kirin Holdings Co. Ltd. | | | 7 | | | | 104 | |
Komatsu Ltd. | | | 34 | | | | 764 | |
Kyocera Corp. | | | 2 | | | | 96 | |
M3, Inc. | | | 1 | | | | 20 | |
Makita Corp. | | | 21 | | | | 508 | |
McDonald’s Holdings Co. Japan Ltd.(1) | | | 0 | | | | 11 | |
MEIJI Holdings Co. Ltd. | | | 1 | | | | 49 | |
MISUMI Group, Inc. | | | 18 | | | | 378 | |
Mitsubishi Corp. | | | 7 | | | | 197 | |
Mitsubishi Electric Corp. | | | 27 | | | | 286 | |
Mitsubishi HC Capital, Inc. | | | 18 | | | | 84 | |
Mitsubishi UFJ Financial Group, Inc. | | | 38 | | | | 204 | |
Mitsui & Co. Ltd. | | | 7 | | | | 158 | |
Mitsui Fudosan Co. Ltd. | | | 13 | | | | 288 | |
Mitsui OSK Lines Ltd. | | | 1 | | | | 16 | |
Mizuho Financial Group, Inc. | | | 5 | | | | 54 | |
MS&AD Insurance Group Holdings, Inc. | | | 6 | | | | 172 | |
Murata Manufacturing Co. Ltd. | | | 15 | | | | 800 | |
Nintendo Co. Ltd.(1) | | | 0 | | | | 86 | |
Nippon Steel Corp. | | | 3 | | | | 46 | |
Nippon Telegraph & Telephone Corp. | | | 23 | | | | 672 | |
Nippon Yusen KK(1) | | | 0 | | | | 21 | |
Nissan Chemical Corp.(1) | | | 0 | | | | 18 | |
NTT Data Corp. | | | 20 | | | | 273 | |
Olympus Corp. | | | 3 | | | | 55 | |
Omron Corp. | | | 2 | | | | 102 | |
Ono Pharmaceutical Co. Ltd. | | | 2 | | | | 54 | |
Otsuka Holdings Co. Ltd. | | | 5 | | | | 193 | |
Panasonic Corp. | | | 85 | | | | 683 | |
Recruit Holdings Co. Ltd. | | | 7 | | | | 197 | |
Renesas Electronics Corp.(2) | | | 12 | | | | 106 | |
Resona Holdings, Inc. | | | 104 | | | | 389 | |
Secom Co. Ltd. | | | 1 | | | | 49 | |
Seiko Epson Corp. | | | 1 | | | | 9 | |
| | | | | | | | |
Seven & i Holdings Co. Ltd. | | | 7 | | | | 283 | |
Shimadzu Corp. | | | 2 | | | | 48 | |
Shin-Etsu Chemical Co. Ltd. | | | 7 | | | | 753 | |
Shionogi & Co. Ltd. | | | 1 | | | | 26 | |
SMC Corp. - ADR | | | 3 | | | | 73 | |
SMC Corp. | | | 2 | | | | 801 | |
Softbank Corp. | | | 5 | | | | 56 | |
SoftBank Group Corp. | | | 3 | | | | 128 | |
Sony Group Corp. | | | 5 | | | | 367 | |
Stanley Electric Co. Ltd. | | | 5 | | | | 80 | |
Sumitomo Corp. | | | 12 | | | | 160 | |
Sumitomo Mitsui Financial Group, Inc. | | | 9 | | | | 253 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 4 | | | | 130 | |
Sumitomo Rubber Industries Ltd. | | | 3 | | | | 27 | |
Suzuki Motor Corp. | | | 4 | | | | 113 | |
Sysmex Corp. | | | 12 | | | | 700 | |
T&D Holdings, Inc. | | | 13 | | | | 151 | |
Takeda Pharmaceutical Co. Ltd. | | | 16 | | | | 449 | |
TechnoPro Holdings, Inc. | | | 7 | | | | 145 | |
Terumo Corp. | | | 22 | | | | 650 | |
THK Co. Ltd. | | | 3 | | | | 55 | |
Tokio Marine Holdings, Inc. | | | 6 | | | | 321 | |
Tokyo Electron Ltd. | | | 1 | | | | 261 | |
Toray Industries, Inc. | | | 95 | | | | 536 | |
Toyota Motor Corp. | | | 40 | | | | 614 | |
Welcia Holdings Co. Ltd. | | | 3 | | | | 68 | |
Z Holdings Corp. | | | 20 | | | | 58 | |
| | | | | | | | |
Total Japan | | | | 21,431 | |
| | | | | |
Luxembourg – 0.17% | | | | | | | | |
ArcelorMittal | | | 7 | | | | 147 | |
Tenaris SA | | | 2 | | | | 25 | |
| | | | | | | | |
Total Luxembourg | | | | 172 | |
| | | | | |
Netherlands – 4.04% | | | | | | | | |
Adyen NV(1)(2)(3) | | | 0 | | | | 100 | |
Akzo Nobel NV | | | 2 | | | | 153 | |
ASM International NV | | | 2 | | | | 423 | |
ASML Holding NV | | | 3 | | | | 1,288 | |
Heineken Holding NV(1) | | | 0 | | | | 23 | |
Heineken NV | | | 1 | | | | 57 | |
ING Groep NV | | | 91 | | | | 901 | |
JDE Peet’s NV | | | 2 | | | | 48 | |
Koninklijke Ahold Delhaize NV | | | 1 | | | | 27 | |
Koninklijke DSM NV(1) | | | 0 | | | | 12 | |
Koninklijke KPN NV | | | 3 | | | | 12 | |
Koninklijke Philips NV | | | 8 | | | | 168 | |
NXP Semiconductors NV | | | 2 | | | | 260 | |
QIAGEN NV(1)(2) | | | 0 | | | | 20 | |
Randstad NV | | | 13 | | | | 617 | |
Stellantis NV | | | 1 | | | | 17 | |
Universal Music Group NV | | | 1 | | | | 18 | |
Wolters Kluwer NV(1) | | | 0 | | | | 47 | |
| | | | | | | | |
Total Netherlands | | | | 4,191 | |
| | | | | |
New Zealand – 0.10% | | | | | | | | |
Auckland International Airport Ltd.(2) | | | 3 | | | | 13 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 4 | | | | 51 | |
Mercury NZ Ltd. | | | 11 | | | | 40 | |
| | | | | | | | |
Total New Zealand | | | | 104 | |
| | | | | |
Norway – 1.04% | | | | | | | | |
Aker BP ASA(1) | | | 0 | | | | 16 | |
DNB Bank ASA | | | 18 | | | | 322 | |
Equinor ASA | | | 14 | | | | 484 | |
Orkla ASA | | | 5 | | | | 38 | |
Storebrand ASA | | | 24 | | | | 172 | |
Telenor ASA | | | 4 | | | | 49 | |
| | | | | | | | |
Total Norway | | | | 1,081 | |
| | | | | |
Portugal – 0.06% | | | | | | | | |
EDP - Energias de Portugal SA | | | 13 | | | | 61 | |
| | | | | | | | |
Total Portugal | | | | 61 | |
| | | | | |
Singapore – 1.13% | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 35 | | | | 73 | |
CapitaLand Integrated Commercial Trust | | | 31 | | | | 48 | |
DBS Group Holdings Ltd. | | | 17 | | | | 364 | |
Oversea-Chinese Banking Corp. Ltd. | | | 7 | | | | 53 | |
Singapore Airlines Ltd.(2) | | | 3 | | | | 9 | |
United Overseas Bank Ltd. | | | 11 | | | | 206 | |
Venture Corp. Ltd. | | | 4 | | | | 50 | |
Wilmar International Ltd. | | | 126 | | | | 368 | |
| | | | | | | | |
Total Singapore | | | | 1,171 | |
| | | | | |
South Korea – 0.94% | | | | | | | | |
Coupang, Inc. - Class A(2) | | | 13 | | | | 163 | |
POSCO Holdings, Inc. - ADR | | | 6 | | | | 245 | |
Samsung Electronics Co. Ltd. - GDR(1)(3) | | | 0 | | | | 348 | |
Shinhan Financial Group Co. Ltd. - ADR | | | 8 | | | | 215 | |
| | | | | | | | |
Total South Korea | | | | 971 | |
| | | | | |
Spain – 1.45% | | | | | | | | |
Amadeus IT Group SA(2) | | | 2 | | | | 136 | |
Banco Bilbao Vizcaya Argentaria SA | | | 4 | | | | 20 | |
| | | | | | | | |
Banco Santander SA | | | 22 | | | | 63 | |
CaixaBank SA | | | 134 | | | | 470 | |
Cellnex Telecom SA(1)(3) | | | 0 | | | | 17 | |
Endesa SA | | | 1 | | | | 11 | |
Iberdrola SA | | | 6 | | | | 67 | |
Industria de Diseno Textil SA | | | 29 | | | | 652 | |
Repsol SA | | | 3 | | | | 50 | |
Telefonica SA | | | 4 | | | | 21 | |
| | | | | | | | |
Total Spain | | | | 1,507 | |
| | | | | |
Sweden – 0.92% | | | | | | | | |
Assa Abloy AB - Class B | | | 1 | | | | 11 | |
Atlas Copco AB - Class A | | | 6 | | | | 52 | |
Autoliv, Inc. | | | 2 | | | | 132 | |
Elekta AB - Class B | | | 11 | | | | 73 | |
Essity AB - Class B(1) | | | 0 | | | | 13 | |
Evolution AB(1)(3) | | | 0 | | | | 36 | |
Hexagon AB - Class B | | | 5 | | | | 54 | |
Indutrade AB | | | 1 | | | | 17 | |
Investor AB - Class B | | | 3 | | | | 53 | |
Svenska Cellulosa AB SCA - Class B | | | 3 | | | | 42 | |
Svenska Handelsbanken AB - Class A | | | 19 | | | | 163 | |
Telefonaktiebolaget LM Ericsson - Class B | | | 34 | | | | 253 | |
Volvo AB - Class B | | | 3 | | | | 51 | |
| | | | | | | | |
Total Sweden | | | | 950 | |
| | | | | |
Switzerland – 10.45% | | | | | | | | |
ABB Ltd. | | | 11 | | | | 289 | |
Alcon, Inc. | | | 1 | | | | 101 | |
Barry Callebaut AG(1) | | | 0 | | | | 152 | |
Cie Financiere Richemont SA | | | 1 | | | | 56 | |
Clariant AG(2) | | | 1 | | | | 27 | |
Credit Suisse Group AG - Class A | | | 42 | | | | 242 | |
Geberit AG(1) | | | 0 | | | | 47 | |
Givaudan SA(1) | | | 0 | | | | 740 | |
Glencore Plc | | | 11 | | | | 61 | |
Julius Baer Group Ltd. | | | 6 | | | | 288 | |
Kuehne & Nagel International AG | | | 2 | | | | 468 | |
Logitech International SA(1) | | | 0 | | | | 9 | |
Lonza Group AG | | | 1 | | | | 659 | |
Nestle SA | | | 18 | | | | 2,084 | |
Novartis AG | | | 17 | | | | 1,413 | |
Roche Holding AG | | | 7 | | | | 2,359 | |
Schindler Holding AG(1) | | | 0 | | | | 17 | |
Schindler Holding AG(1) | | | 0 | | | | 47 | |
SGS SA(1) | | | 0 | | | | 642 | |
Sika AG(1) | | | 0 | | | | 67 | |
Sonova Holding AG(1) | | | 0 | | | | 55 | |
Swiss Prime Site AG(1) | | | 0 | | | | 44 | |
Swiss Re AG | | | 1 | | | | 52 | |
Swisscom AG(1) | | | 0 | | | | 29 | |
UBS Group AG | | | 35 | | | | 559 | |
Zurich Insurance Group AG | | | 1 | | | | 324 | |
| | | | | | | | |
Total Switzerland | | | | 10,831 | |
| | | | | |
Taiwan – 2.10% | | | | | | | | |
Hon Hai Precision Industry Co. Ltd. - GDR | | | 86 | | | | 627 | |
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | | | 19 | | | | 1,546 | |
| | | | | | | | |
Total Taiwan | | | | 2,173 | |
| | | | | |
United Kingdom – 12.96% | | | | | | | | |
3i Group Plc | | | 3 | | | | 41 | |
Amcor Plc | | | 12 | | | | 153 | |
Anglo American Plc | | | 1 | | | | 38 | |
Ashtead Group Plc | | | 5 | | | | 193 | |
ASOS Plc(2) | | | 5 | | | | 50 | |
AstraZeneca Plc | | | 1 | | | | 131 | |
AstraZeneca Plc - ADR | | | 7 | | | | 445 | |
Auto Trader Group Plc(3) | | | 6 | | | | 42 | |
Aviva Plc | | | 62 | | | | 302 | |
BAE Systems Plc | | | 6 | | | | 59 | |
Barclays Plc | | | 167 | | | | 312 | |
Berkeley Group Holdings Plc(2) | | | 1 | | | | 28 | |
BP Plc | | | 16 | | | | 76 | |
Bridgepoint Group Plc(3) | | | 15 | | | | 44 | |
British American Tobacco Plc | | | 2 | | | | 82 | |
Bunzl Plc | | | 4 | | | | 119 | |
Close Brothers Group Plc | | | 5 | | | | 63 | |
Compass Group Plc | | | 55 | | | | 1,132 | |
Diageo Plc | | | 26 | | | | 1,120 | |
Direct Line Insurance Group Plc | | | 31 | | | | 95 | |
Dr Martens Plc | | | 18 | | | | 54 | |
Ferguson Plc(1) | | | 0 | | | | 35 | |
Great Portland Estates Plc | | | 14 | | | | 97 | |
GSK Plc | | | 4 | | | | 96 | |
GSK Plc - ADR | | | 6 | | | | 268 | |
Halma Plc | | | 2 | | | | 44 | |
HSBC Holdings Plc | | | 103 | | | | 674 | |
Imperial Brands Plc | | | 2 | | | | 45 | |
InterContinental Hotels Group Plc | | | 1 | | | | 42 | |
J Sainsbury Plc | | | 257 | | | | 640 | |
| | | | | | | | |
Johnson Matthey Plc | | | 6 | | | | 148 | |
Kingfisher Plc | | | 72 | | | | 215 | |
Legal & General Group Plc | | | 7 | | | | 19 | |
Lloyds Banking Group Plc | | | 375 | | | | 193 | |
London Stock Exchange Group Plc(1) | | | 0 | | | | 21 | |
Melrose Industries Plc | | | 103 | | | | 189 | |
National Grid Plc | | | 21 | | | | 273 | |
Natwest Group Plc | | | 122 | | | | 325 | |
Next Plc | | | 2 | | | | 143 | |
Persimmon Plc | | | 6 | | | | 139 | |
Prudential Plc | | | 58 | | | | 719 | |
Reckitt Benckiser Group Plc | | | 4 | | | | 307 | |
RELX Plc | | | 3 | | | | 70 | |
Rio Tinto Plc | | | 1 | | | | 66 | |
Shell Plc | | | 6 | | | | 161 | |
Shell Plc - ADR | | | 4 | | | | 186 | |
Shell Plc | | | 21 | | | | 555 | |
Smiths Group Plc | | | 1 | | | | 16 | |
SSE Plc | | | 1 | | | | 19 | |
St James’s Place Plc | | | 2 | | | | 29 | |
Standard Chartered Plc | | | 68 | | | | 510 | |
TechnipFMC Plc(2) | | | 47 | | | | 314 | |
Tesco Plc | | | 187 | | | | 582 | |
Travis Perkins Plc | | | 40 | | | | 470 | |
Unilever Plc | | | 11 | | | | 514 | |
Vodafone Group Plc - ADR | | | 14 | | | | 211 | |
Vodafone Group Plc | | | 208 | | | | 323 | |
WPP Plc | | | 19 | | | | 195 | |
| | | | | | | | |
Total United Kingdom | | | | 13,432 | |
| | | | | |
United States – 0.39% | | | | | | | | |
Broadcom, Inc. | | | 1 | | | | 341 | |
Samsonite International SA(2)(3) | | | 33 | | | | 66 | |
| | | | | | | | |
Total United States | | | | 407 | |
| | | | | |
Total Common Stocks (Cost: $107,845) | | | | 98,530 | |
| | | | | |
PREFERRED STOCKS – 0.61% | | | | | | | | |
Germany – 0.61% | | | | | | | | |
Henkel AG & Co. KGaA | | | 1 | | | | 49 | |
Volkswagen AG | | | 4 | | | | 587 | |
| | | | | | | | |
Total Germany | | | | 636 | |
| | | | | |
Total Preferred Stocks (Cost: $779) | | | | 636 | |
| | | | | |
SHORT-TERM INVESTMENTS – 0.38% | | | | | | | | |
Money Market Funds – 0.24% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.36%(4) | | | 245 | | | | 245 | |
| | | | | | | | |
Total Money Market Funds (Cost: $245) | | | | | | | 245 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000s) | | | Value
(000s) | |
Time Deposits – 0.14% | | | | | | | | |
BNP Paribas, Paris, -1.20% due 07/01/2022 | | CHF | 1 | | | | 1 | |
Citibank, London, -0.78% due 07/01/2022 | | EUR | 8 | | | | 8 | |
Royal Bank of Canada, Toronto, 0.56% due 07/04/2022 | | CAD | 4 | | | | 4 | |
Royal Bank of Canada, Toronto, 1.06% due 07/01/2022 | | $ | 89 | | | | 89 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2022(1) | | SEK | 0 | | | | 0 | |
Sumitomo, Tokyo, 1.06% due 07/01/2022 | | $ | 45 | | | | 45 | |
| | | | | | | | |
Total Time Deposits (Cost: $147) | | | | | | | 147 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $392) | | | | 392 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 96.07%
(Cost: $109,016) | | | | | | | 99,558 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.93% | | | | | | | 4,070 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 103,628 | |
| | | | | | | | |
| 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 |
| GDR | Global Depositary Receipt |
| (1) | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (2) | Non-income producing security. |
| (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 $2,556, which represents 2.47% 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.
| | | | |
| COMMON STOCKS | | Percentage of Net Assets | |
Communication Services | | | 2.77 | % |
Consumer Discretionary | | | 12.03 | |
Consumer Staples | | | 8.97 | |
Energy | | | 3.32 | |
Financials | | | 15.99 | |
Healthcare | | | 15.08 | |
Industrials | | | 14.80 | |
Information Technology | | | 10.56 | |
Materials | | | 8.67 | |
Real Estate | | | 0.82 | |
Utilities | | | 2.07 | |
| | | | |
Total Common Stocks | | | 95.08 | |
| | | | |
PREFERRED STOCKS | | | | |
Consumer Discretionary | | | 0.56 | |
Consumer Staples | | | 0.05 | |
| | | | |
Total Preferred Stocks | | | 0.61 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 0.38 | |
| | | | |
TOTAL INVESTMENTS | | | 96.07 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 3.93 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
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 Tax Managed Large Cap Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund, Bridge Builder Tax Managed Small/Mid Cap Fund, Bridge Builder International Equity Fund, and Bridge Builder Tax Managed 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 each of the funds listed in the table below (eleven of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2022, the related statements of operations, the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (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, 2022 (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, 2022, the results of each of their operations, the changes in each of their net assets and each of the financial highlights for each of the periods indicated in the table below in conformity with accounting principles generally accepted in the United States of America.
Bridge Builder Core Bond Fund (1)
Bridge Builder Core Plus Bond Fund (1)
Bridge Builder Municipal Bond Fund (1)
Bridge Builder Large Cap Growth Fund (1)
Bridge Builder Large Cap Value Fund (1)
Bridge Builder Tax Managed Large Cap Fund (2)
Bridge Builder Small/Mid Cap Growth Fund (1)
Bridge Builder Small/Mid Cap Value Fund (1)
Bridge Builder Tax Managed Small/Mid Cap Fund (2)
Bridge Builder International Equity Fund (1)
Bridge Builder Tax Managed International Equity Fund (2)
(1) Statement of operations for the year ended June 30, 2022, statement of changes in net assets for the years ended June 30, 2022 and 2021 and the financial highlights for the years ended June 30, 2022, 2021, 2020, 2019 and 2018
(2) Statement of operations, statement of changes in net assets and the financial highlights for the period June 1, 2022 (inception date) through June 30, 2022
PricewaterhouseCoopers LLP, One North Wacker, Chicago, IL 60606
T: (312) 298 2000, www.pwc.com/us
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, 2022 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 29, 2022
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
2
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/ Colleen R. Dean |
| Name: | | Colleen R. Dean |
| Title: | | Principal Executive Officer |
| |
| Date: | | August 29, 2022 |
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.
| | |
| Bridge Builder Trust |
| |
| By: | | /s/ Colleen R. Dean |
| Name: | | Colleen R. Dean |
| Title: | | Principal Executive Officer |
| |
| Date: | | August 29, 2022 |
| | |
| By: | | /s/ Aaron J. Masek |
| Name: | | Aaron J. Masek |
| Title: | | Principal Financial Officer |
| |
| Date: | | August 29, 2022 |
