Bridge Builder Core Bond Fund
Schedule of Investments
March 31, 2020 (Unaudited)
Principal | ||||||||
Amount | Value | |||||||
BONDS & NOTES 98.28% | ||||||||
Asset-Backed Obligations 11.77% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.67%, 01/25/2034(1) | $ | 166,669 | $ | 166,116 | ||||
ABFC 2006-OPT1 Trust | ||||||||
1.10% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 09/25/2036(2) | 2,840,365 | 2,679,595 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
1.75% (1 Month LIBOR USD + 0.80%), 12/26/2044(2)(3) | 760,255 | 715,266 | ||||||
Allegro CLO VII Ltd. | ||||||||
2.93% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031(2)(3) | 12,000,000 | 11,191,380 | ||||||
Ally Auto Receivables Trust 2019-4 | ||||||||
1.84%, 06/17/2024 | 6,027,000 | 6,049,613 | ||||||
1.92%, 01/15/2025 | 1,987,000 | 2,001,966 | ||||||
1.93%, 10/17/2022 | 7,553,000 | 7,551,634 | ||||||
American Credit Acceptance Receivables Trust 2017-2 | ||||||||
2.86%, 06/12/2023(3) | 100,015 | 99,959 | ||||||
3.69%, 06/12/2023(3) | 3,660,000 | 3,647,822 | ||||||
American Credit Acceptance Receivables Trust 2018-3 | ||||||||
3.49%, 06/13/2022(3) | 278,120 | 277,963 | ||||||
American Credit Acceptance Receivables Trust 2019-2 | ||||||||
2.85%, 07/12/2022(3) | 1,619,499 | 1,606,656 | ||||||
American Credit Acceptance Receivables Trust 2019-4 | ||||||||
2.18%, 02/13/2023(3) | 10,163,171 | 9,981,793 | ||||||
American Express Credit Account Master Trust | ||||||||
0.94% (1 Month LIBOR USD + 0.24%), 04/15/2024(2) | 8,760,000 | 8,662,073 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
3.79%, 10/17/2036(3) | 3,761,697 | 3,780,450 | ||||||
4.29%, 10/17/2036(3) | 300,000 | 300,344 | ||||||
6.23%, 10/17/2036(3) | 1,000,000 | 948,209 | ||||||
American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/17/2036(3) | 600,000 | 557,735 | ||||||
6.42%, 12/17/2036(3) | 1,000,000 | 830,591 | ||||||
American Homes 4 Rent 2015-SFR1 | ||||||||
3.47%, 04/17/2052(3) | 2,048,091 | 1,990,916 | ||||||
5.64%, 04/17/2052(3) | 3,900,000 | 3,570,647 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
3.73%, 10/17/2052(3) | 1,781,246 | 1,768,461 | ||||||
AmeriCredit Automobile Receivables Trust 2016-4 | ||||||||
1.83%, 12/08/2021 | 181,499 | 181,415 | ||||||
AmeriCredit Automobile Receivables Trust 2017-1 | ||||||||
2.30%, 02/18/2022 | 733,474 | 730,022 | ||||||
2.71%, 08/18/2022 | 618,000 | 613,671 | ||||||
3.13%, 01/18/2023 | 1,387,000 | 1,368,592 | ||||||
AmeriCredit Automobile Receivables Trust 2017-2 | ||||||||
3.42%, 04/18/2023 | 6,000,000 | 5,973,098 | ||||||
AmeriCredit Automobile Receivables Trust 2017-4 | ||||||||
2.36%, 12/19/2022 | 5,355,000 | 5,302,808 | ||||||
AmeriCredit Automobile Receivables Trust 2018-1 | ||||||||
3.50%, 01/18/2024 | 6,000,000 | 5,874,067 | ||||||
AmeriCredit Automobile Receivables Trust 2018-2 | ||||||||
3.45%, 06/18/2024 | 7,636,000 | 7,624,731 | ||||||
AmeriCredit Automobile Receivables Trust 2019-1 | ||||||||
3.13%, 02/18/2025 | 3,400,000 | 3,406,556 | ||||||
3.36%, 02/18/2025 | 3,500,000 | 3,520,934 | ||||||
AmeriCredit Automobile Receivables Trust 2019-2 | ||||||||
2.43%, 09/19/2022 | 1,990,153 | 1,983,264 |
AmeriCredit Automobile Receivables Trust 2019-3 | ||||||||
2.17%, 01/18/2023 | 1,659,664 | 1,665,132 | ||||||
AmeriCredit Automobile Receivables Trust 2020-1 | ||||||||
1.48%, 01/21/2025 | 6,100,000 | 5,755,130 | ||||||
Amortizing Residential Collateral Trust 2002-BC5 | ||||||||
2.66% (1 Month LIBOR USD + 1.04%), 07/25/2032(2) | 1,903,350 | 1,795,503 | ||||||
Anchorage Capital CLO 2013-1 Ltd. | ||||||||
3.10% (3 Month LIBOR USD + 1.25%), 10/13/2030(2)(3) | 2,500,000 | 2,360,748 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
1.29% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 11/25/2035(2) | 1,332,111 | 1,305,290 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6 | ||||||||
1.63% (1 Month LIBOR USD + 0.68%, 0.34% Floor), 11/25/2033(2) | 1,862,969 | 1,663,957 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust Series AEG 2006-HE1 | ||||||||
1.16% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(2) | 2,144,557 | 2,095,107 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
1.73% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 04/25/2034(2) | 199,579 | 195,378 | ||||||
Atlas Senior Loan Fund III Ltd. | ||||||||
2.52% (3 Month LIBOR USD + 0.83%), 11/17/2027(2)(3) | 6,434,386 | 6,216,878 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.33%, 08/20/2026(3) | 6,100,000 | 5,370,335 | ||||||
2.36%, 03/20/2026(3) | 12,000,000 | 10,509,191 | ||||||
3.70%, 09/20/2024(3) | 6,200,000 | 5,962,329 | ||||||
4.00%, 03/20/2025(3) | 5,800,000 | 5,722,954 | ||||||
B2R Mortgage Trust 2015-2 | ||||||||
3.34%, 11/15/2048(3) | 524,022 | 522,390 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047(1) | 161,445 | 146,807 | ||||||
Bayview Opportunity Master Fund IVa Trust 2019-RN2 | ||||||||
3.97%, 03/28/2034(1)(3) | 279,306 | 277,934 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
2.45% (1 Month LIBOR USD + 1.50%, 0.75% Floor, 11.00% Cap), 03/25/2043(2) | 3,681,554 | 3,349,551 | ||||||
BMW Floorplan Master Owner Trust | ||||||||
1.02% (1 Month LIBOR USD + 0.32%), 05/15/2023(2)(3) | 6,407,000 | 6,250,506 | ||||||
Business Jet Securities 2019-1 LLC | ||||||||
4.21%, 07/15/2034(3) | 9,579,043 | 7,088,418 | ||||||
Business Jet Securities LLC | ||||||||
4.34%, 02/15/2033(3) | 2,464,229 | 2,034,586 | ||||||
Business Jet Securities LLC 2018-2 | ||||||||
4.45%, 06/15/2033(3) | 5,554,589 | 4,488,739 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027(3) | 83,001 | 81,236 | ||||||
Camillo Issuer LLC 2016-SFR1 A | ||||||||
5.00%, 12/05/2023(3)(13) | 4,961,737 | 4,950,883 | ||||||
Capital Auto Receivables Asset Trust 2018-1 | ||||||||
2.79%, 01/20/2022(3) | 3,965,736 | 3,963,842 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.72%, 08/15/2024 | 2,808,000 | 2,834,790 | ||||||
Capital One Prime Auto Receivables Trust 2019-2 | ||||||||
1.92%, 05/15/2024 | 3,455,000 | 3,486,649 | ||||||
Carlyle US Clo 2017-1 Ltd. | ||||||||
3.05% (3 Month LIBOR USD + 1.23%), 04/20/2031(2)(3) | 5,500,000 | 5,170,732 | ||||||
Carlyle US Clo 2017-2 Ltd. | ||||||||
3.04% (3 Month LIBOR USD + 1.22%), 07/20/2031(2)(3) | 3,000,000 | 2,789,541 | ||||||
CarMax Auto Owner Trust | ||||||||
1.89%, 12/16/2024 | 3,601,000 | 3,611,709 | ||||||
2.03%, 06/16/2025 | 2,415,000 | 2,415,611 | ||||||
CarMax Auto Owner Trust 2018-2 | ||||||||
3.16%, 07/17/2023 | 2,635,000 | 2,663,190 | ||||||
CarMax Auto Owner Trust 2019-1 | ||||||||
3.26%, 08/15/2024 | 1,614,000 | 1,672,363 | ||||||
Carnow Auto Receivables Trust 2019-1 | ||||||||
3.36%, 06/17/2024(3) | 3,710,000 | 3,605,426 |
Carvana Auto Receivables Trust 2019-3 | ||||||||
3.04%, 04/15/2025(3) | 11,005,000 | 9,318,542 | ||||||
Catamaran CLO 2014-2 Ltd. | ||||||||
3.22% (3 Month LIBOR USD + 1.40%), 10/18/2026(2)(3) | 484,668 | 479,070 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.12%, 05/25/2033(1) | 122,364 | 118,602 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
5.01%, 11/25/2034(1) | 160,731 | 159,420 | ||||||
5.01%, 11/25/2034(1) | 273,666 | 270,365 | ||||||
CIFC Funding 2018-II Ltd. | ||||||||
2.86% (3 Month LIBOR USD + 1.04%), 04/20/2031(2)(3) | 10,000,000 | 9,327,840 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
3.96%, 10/13/2030 | 22,000,000 | 25,702,178 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
3.95%, 04/25/2032(1)(3) | 1,019 | 1,008 | ||||||
CLUB Credit Trust | ||||||||
3.82%, 01/15/2026(3) | 2,510,034 | 2,438,924 | ||||||
Colony American Finance 2016-2 Ltd. | ||||||||
2.55%, 11/15/2048(3) | 812,383 | 805,055 | ||||||
Commonbond Student Loan Trust 2017-B-GS | ||||||||
2.68%, 09/25/2042(3) | 6,876,575 | 6,967,388 | ||||||
Commonbond Student Loan Trust 2018-A-GS | ||||||||
3.21%, 02/25/2044(3) | 5,624,945 | 5,693,745 | ||||||
Commonbond Student Loan Trust 2018-C-GS | ||||||||
3.87%, 02/25/2046(3) | 2,122,163 | 2,186,548 | ||||||
Conseco Finance Corp. | ||||||||
6.18%, 04/01/2030 | 10,429 | 10,500 | ||||||
6.22%, 03/01/2030 | 29,384 | 29,648 | ||||||
Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-HP1 | ||||||||
2.59%, 12/15/2026(3) | 3,875,588 | 3,620,990 | ||||||
Consumer Loan Underlying Bond Credit Trust 2019-P1 | ||||||||
2.94%, 07/15/2026(3) | 2,317,460 | 2,238,472 | ||||||
COOF Securitization Trust 2014-1 Ltd. | ||||||||
2.79%, 06/25/2040(3)(4) | 721,987 | 66,820 | ||||||
Corevest American Finance 2019-1 Trust | ||||||||
3.88%, 03/15/2052(3) | 4,860,000 | 4,159,724 | ||||||
Corevest American Finance 2019-3 Trust | ||||||||
2.71%, 10/15/2052(3) | 5,577,771 | 5,294,375 | ||||||
3.16%, 10/15/2052(3) | 2,250,000 | 1,758,333 | ||||||
3.27%, 10/15/2052(3) | 5,862,000 | 4,354,508 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
4.36%, 02/25/2036(4) | 52,140 | 51,647 | ||||||
5.12%, 02/25/2035(1) | 17,291 | 17,234 | ||||||
5.43%, 02/25/2033(4) | 44,446 | 37,256 | ||||||
5.97%, 09/25/2046(4) | 55,484 | 50,802 | ||||||
CPS Auto Receivables Trust 2015-A | ||||||||
4.00%, 02/16/2021(3) | 45,644 | 45,628 | ||||||
CPS Auto Receivables Trust 2015-B | ||||||||
4.20%, 05/17/2021(3) | 756,244 | 755,775 | ||||||
CPS Auto Receivables Trust 2015-C | ||||||||
4.63%, 08/16/2021(3) | 793,365 | 793,795 | ||||||
CPS Auto Receivables Trust 2016-C | ||||||||
3.27%, 06/15/2022(3) | 44,810 | 44,799 | ||||||
CPS Auto Receivables Trust 2017-B | ||||||||
2.92%, 02/15/2022(3) | 666,165 | 664,614 | ||||||
3.95%, 03/15/2023(3) | 3,485,000 | 3,484,048 | ||||||
CPS Auto Receivables Trust 2017-C | ||||||||
2.86%, 06/15/2023(3) | 1,294,517 | 1,289,081 | ||||||
3.79%, 06/15/2023(3) | 791,000 | 780,556 | ||||||
CPS Auto Receivables Trust 2018-D | ||||||||
3.06%, 01/18/2022(3) | 852,403 | 851,280 | ||||||
CPS Auto Receivables Trust 2019-A | ||||||||
3.18%, 06/15/2022(3) | 2,844,149 | 2,851,170 |
CPS Auto Receivables Trust 2019-B | ||||||||
2.89%, 05/16/2022(3) | 791,821 | 788,360 | ||||||
CPS Auto Receivables Trust 2019-C | ||||||||
2.55%, 09/15/2022(3) | 4,076,750 | 4,046,515 | ||||||
CPS Auto Receivables Trust 2019-D | ||||||||
2.17%, 12/15/2022(3) | 2,872,653 | 2,842,867 | ||||||
CPS Auto Receivables Trust 2020-A | ||||||||
2.09%, 05/15/2023(3) | 9,038,576 | 8,982,400 | ||||||
Credit Acceptance Auto Loan Trust 2017-1 | ||||||||
3.04%, 12/15/2025(3) | 242,972 | 242,861 | ||||||
3.48%, 02/17/2026(3) | 730,000 | 728,347 | ||||||
Credit Acceptance Auto Loan Trust 2017-2 | ||||||||
3.35%, 06/15/2026(3) | 811,000 | 805,791 | ||||||
Credit Acceptance Auto Loan Trust 2018-1 | ||||||||
3.01%, 02/16/2027(3) | 5,931,402 | 5,932,225 | ||||||
Credit Acceptance Auto Loan Trust 2018-3 | ||||||||
3.55%, 08/15/2027(3) | 3,090,000 | 3,111,779 | ||||||
Credit Acceptance Auto Loan Trust 2019-1 | ||||||||
3.33%, 02/15/2028(3) | 7,351,000 | 7,295,768 | ||||||
Credit Acceptance Auto Loan Trust 2020-1 | ||||||||
2.39%, 04/16/2029(3) | 6,680,000 | 5,904,283 | ||||||
CSMC 2018-RPL8 Trust | ||||||||
4.13%, 07/25/2058(3)(4) | 6,216,044 | 5,711,622 | ||||||
CWABS Asset-Backed Certificates Trust 2004-15 | ||||||||
4.61%, 04/25/2035(4) | 1,647 | 1,639 | ||||||
CWABS Asset-Backed Certificates Trust 2005-1 | ||||||||
5.03%, 07/25/2035(4) | 4,210 | 4,209 | ||||||
CWABS Asset-Backed Certificates Trust 2005-17 | ||||||||
5.56%, 05/25/2036(4) | 18,284 | 17,412 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | ||||||||
1.51% (1 Month LIBOR USD + 0.56%), 04/25/2034(2) | 1,112 | 873 | ||||||
1.70% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 03/25/2034(2) | 23,141 | 22,444 | ||||||
1.77% (1 Month LIBOR USD + 0.83%), 03/25/2034(2) | 6,691 | 6,304 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | ||||||||
1.73% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 11/25/2034(2) | 639,595 | 542,728 | ||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 10/25/2034(2) | 10,345 | 8,615 | ||||||
Delta Air Lines 2015-1 Class AA Pass Through Trust | ||||||||
3.63%, 07/30/2027 | 1,046,329 | 950,824 | ||||||
Diamond Resorts Owner Trust | ||||||||
3.27%, 10/22/2029(3) | 1,257,656 | 1,243,012 | ||||||
Diamond Resorts Owner Trust 2018-1 | ||||||||
3.70%, 01/21/2031(3) | 2,938,466 | 2,908,994 | ||||||
Diamond Resorts Owner Trust 2019-1 | ||||||||
3.53%, 02/20/2032(3) | 7,266,910 | 6,989,562 | ||||||
Discover Card Execution Note Trust | ||||||||
0.97% (1 Month LIBOR USD + 0.27%), 12/15/2023(2) | 4,368,000 | 4,303,341 | ||||||
3.04%, 07/15/2024 | 3,302,000 | 3,402,194 | ||||||
Drive Auto Receivables Trust | ||||||||
3.36%, 10/17/2022 | 1,045,050 | 1,045,187 | ||||||
3.66%, 11/15/2024 | 7,634,000 | 7,638,697 | ||||||
Drive Auto Receivables Trust 2016-C | ||||||||
4.18%, 03/15/2024(3) | 2,380,242 | 2,354,249 | ||||||
Drive Auto Receivables Trust 2017-1 | ||||||||
3.84%, 03/15/2023 | 4,415,243 | 4,401,274 | ||||||
Drive Auto Receivables Trust 2017-3 | ||||||||
3.53%, 12/15/2023(3) | 11,711,350 | 11,711,650 | ||||||
Drive Auto Receivables Trust 2017-A | ||||||||
4.16%, 05/15/2024(3) | 1,542,843 | 1,539,105 | ||||||
Drive Auto Receivables Trust 2017-B | ||||||||
3.72%, 10/17/2022(3) | 1,297,642 | 1,296,118 | ||||||
Drive Auto Receivables Trust 2019-1 | ||||||||
4.09%, 06/15/2026 | 2,645,000 | 2,620,432 |
Drive Auto Receivables Trust 2019-2 | ||||||||
3.17%, 11/15/2023 | 4,747,000 | 4,726,844 | ||||||
Drive Auto Receivables Trust 2019-3 | ||||||||
2.65%, 02/15/2024 | 4,200,000 | 4,146,392 | ||||||
Drive Auto Receivables Trust 2019-4 | ||||||||
2.23%, 01/16/2024 | 6,016,000 | 5,912,720 | ||||||
Drive Auto Receivables Trust 2020-1 | ||||||||
1.99%, 12/15/2022 | 5,757,000 | 5,772,365 | ||||||
2.02%, 11/15/2023 | 7,361,000 | 7,308,627 | ||||||
DT Auto Owner Trust 2017-1 | ||||||||
3.55%, 11/15/2022(3) | 2,734,489 | 2,727,223 | ||||||
DT Auto Owner Trust 2017-3 | ||||||||
3.58%, 05/15/2023(3) | 1,614,933 | 1,607,922 | ||||||
DT Auto Owner Trust 2018-2 | ||||||||
3.43%, 05/16/2022(3) | 514,778 | 514,447 | ||||||
3.67%, 03/15/2024(3) | 8,250,000 | 8,219,722 | ||||||
DT Auto Owner Trust 2018-3 | ||||||||
3.02%, 02/15/2022(3) | 1,669,216 | 1,669,280 | ||||||
DT Auto Owner Trust 2019-1 | ||||||||
3.08%, 09/15/2022(3) | 3,261,397 | 3,256,377 | ||||||
DT Auto Owner Trust 2019-2 | ||||||||
2.85%, 09/15/2022(3) | 1,497,656 | 1,492,983 | ||||||
DT Auto Owner Trust 2019-3 | ||||||||
2.55%, 08/15/2022(3) | 1,916,982 | 1,907,952 | ||||||
DT Auto Owner Trust 2019-4 | ||||||||
2.17%, 05/15/2023(3) | 6,526,312 | 6,466,358 | ||||||
2.73%, 07/15/2025(3) | 7,080,000 | 6,915,990 | ||||||
DT Auto Owner Trust 2020-1 | ||||||||
1.94%, 09/15/2023(3) | 5,989,198 | 5,918,149 | ||||||
DTAT Asset Trust 2017-B | ||||||||
5.84%, 12/16/2020(3)(13) | 3,400,000 | 3,403,728 | ||||||
Engs Commercial Finance Trust 2016-1 | ||||||||
2.63%, 02/22/2022(3) | 55,101 | 55,010 | ||||||
Exeter Automobile Receivables Trust 2017-1 | ||||||||
3.95%, 12/15/2022(3) | 734,670 | 707,113 | ||||||
Exeter Automobile Receivables Trust 2017-2 | ||||||||
2.82%, 05/16/2022(3) | 1,337,976 | 1,335,188 | ||||||
Exeter Automobile Receivables Trust 2017-3 | ||||||||
3.68%, 07/17/2023(3) | 3,836,000 | 3,728,394 | ||||||
Exeter Automobile Receivables Trust 2018-4 | ||||||||
3.64%, 11/15/2022(3) | 2,240,527 | 2,225,525 | ||||||
Exeter Automobile Receivables Trust 2019-2 | ||||||||
2.93%, 07/15/2022(3) | 1,254,894 | 1,245,902 | ||||||
Exeter Automobile Receivables Trust 2019-4 | ||||||||
2.18%, 01/17/2023(3) | 4,104,838 | 4,070,595 | ||||||
Exeter Automobile Receivables Trust 2020-1 | ||||||||
2.05%, 06/15/2023(3) | 10,311,738 | 10,197,891 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
4.22%, 12/15/2021(3) | 236,563 | 236,525 | ||||||
First Investors Auto Owner Trust 2017-1 | ||||||||
2.67%, 04/17/2023(3) | 2,767,000 | 2,758,318 | ||||||
3.60%, 04/17/2023(3) | 2,847,000 | 2,836,695 | ||||||
First Investors Auto Owner Trust 2019-2 | ||||||||
2.21%, 09/16/2024(3) | 5,061,349 | 5,008,694 | ||||||
Flagship Credit Auto Trust 2015-3 | ||||||||
4.65%, 03/15/2022(3) | 413,821 | 413,776 | ||||||
Flagship Credit Auto Trust 2016-1 | ||||||||
6.22%, 06/15/2022(3) | 3,000,000 | 3,024,556 | ||||||
Flagship Credit Auto Trust 2016-4 | ||||||||
2.71%, 11/15/2022(3) | 1,439,885 | 1,430,761 | ||||||
Flagship Credit Auto Trust 2017-2 | ||||||||
2.96%, 07/15/2023(3) | 5,195,000 | 5,158,004 |
3.62%, 07/15/2023(3) | 2,995,000 | 2,963,032 | ||||||
Flagship Credit Auto Trust 2018-3 | ||||||||
3.79%, 12/16/2024(3) | 7,710,000 | 7,681,658 | ||||||
Flagship Credit Auto Trust 2019-1 | ||||||||
3.11%, 08/15/2023(3) | 5,647,311 | 5,622,980 | ||||||
Flagship Credit Auto Trust 2019-2 | ||||||||
2.83%, 10/16/2023(3) | 9,224,659 | 9,103,227 | ||||||
Flagship Credit Auto Trust 2019-4 | ||||||||
2.17%, 06/17/2024(3) | 11,995,423 | 11,797,117 | ||||||
3.12%, 01/15/2026(3) | 9,275,000 | 8,848,729 | ||||||
Flagship Credit Auto Trust 2020-1 | ||||||||
1.90%, 08/15/2024(3) | 11,536,997 | 11,293,431 | ||||||
Ford Credit Auto Owner Trust 2016-REV1 | ||||||||
2.31%, 08/15/2027(3) | 7,000,000 | 6,936,189 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027(3) | 10,000,000 | 9,999,006 | ||||||
Ford Credit Auto Owner Trust 2017-C | ||||||||
2.01%, 03/15/2022 | 2,082,781 | 2,083,160 | ||||||
Ford Credit Auto Owner Trust 2018-REV1 | ||||||||
3.19%, 07/15/2031(3) | 24,024,000 | 26,323,464 | ||||||
Ford Credit Auto Owner Trust 2019-REV1 | ||||||||
3.52%, 07/15/2030(3) | 2,150,000 | 2,215,897 | ||||||
Ford Credit Auto Owner Trust 2020-REV1 | ||||||||
2.04%, 08/15/2031(3) | 12,300,000 | 11,383,953 | ||||||
FORT CRE 2018-1 LLC | ||||||||
3.75% (1 Month LIBOR USD + 2.83%, 2.83% Floor), 11/16/2035(2)(3) | 11,800,000 | 10,352,624 | ||||||
Foundation Finance Trust 2017-1 | ||||||||
3.30%, 07/15/2033(3) | 1,708,591 | 1,704,933 | ||||||
Foundation Finance Trust 2019-1 | ||||||||
3.86%, 11/15/2034(3) | 3,244,649 | 3,102,392 | ||||||
Foursight Capital Automobile Receivables Trust 2017-1 | ||||||||
3.05%, 12/15/2022(3) | 4,000,000 | 3,977,080 | ||||||
FREED ABS TRUST 2018-1 | ||||||||
3.61%, 07/18/2024(3) | 911,327 | 892,880 | ||||||
FREED ABS TRUST 2018-2 | ||||||||
3.99%, 10/20/2025(3) | 2,116,667 | 2,068,771 | ||||||
FREED ABS TRUST 2019-2 | ||||||||
2.62%, 11/18/2026(3) | 3,544,199 | 3,396,706 | ||||||
FTF 2019-1 A FRN | ||||||||
5.50%, 8/15/2020(4)(13) | 8,790,809 | 8,795,885 | ||||||
Galaxy XXIX CLO Ltd. | ||||||||
2.48% (3 Month LIBOR USD + 0.79%), 11/15/2026(2)(3) | 4,712,328 | 4,572,254 | ||||||
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 14 | 13 | ||||||
6.71%, 04/25/2029(4) | 18,412 | 15,309 | ||||||
GM Financial Consumer Automobile 2017-1 | ||||||||
1.78%, 10/18/2021(3) | 1,506,748 | 1,499,445 | ||||||
GM Financial Consumer Automobile Receivables Trust 2018-1 | ||||||||
2.32%, 07/18/2022 | 3,876,108 | 3,886,629 | ||||||
GM Financial Consumer Automobile Receivables Trust 2018-4 | ||||||||
3.62%, 06/17/2024 | 1,400,000 | 1,428,264 | ||||||
GM Financial Consumer Automobile Receivables Trust 2020-1 | ||||||||
1.84%, 09/16/2024 | 8,369,000 | 8,374,383 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
2.90%, 04/15/2026(3) | 17,200,000 | 15,760,480 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031(3) | 262,180 | 261,975 | ||||||
Golden Bear 2016-R LLC | ||||||||
5.65%, 09/20/2047(3) | 1,121,408 | 1,107,923 | ||||||
Goodgreen 2017-1 Trust | ||||||||
3.74%, 10/15/2052(3) | 1,342,214 | 1,351,156 |
Goodgreen 2017-2 Trust | ||||||||
3.26%, 10/15/2053(3) | 3,662,492 | 3,633,745 | ||||||
Goodgreen 2017-R1 Trust | ||||||||
5.00%, 10/20/2051(3)(4) | 6,113,448 | 5,968,491 | ||||||
Goodgreen 2019-2 Trust | ||||||||
2.76%, 10/15/2054(3) | 5,337,221 | 5,059,041 | ||||||
Greenwood Park CLO Ltd. | ||||||||
2.84% (3 Month LIBOR USD + 1.01%), 04/15/2031(2)(3) | 23,000,000 | 21,859,476 | ||||||
GSAMP Trust 2005-WMC2 | ||||||||
1.57% (1 Month LIBOR USD + 0.62%, 0.31% Floor), 11/25/2035(2) | 962,939 | 947,916 | ||||||
GSAMP Trust 2006-HE7 | ||||||||
1.18% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2046(2) | 958,128 | 911,650 | ||||||
Headlands Residential 2018-RPL1 LLC | ||||||||
4.25%, 06/25/2023(1)(3) | 8,245,000 | 8,202,023 | ||||||
HERO Funding 2017-3 | ||||||||
3.95%, 09/20/2048(3) | 3,133,474 | 3,156,410 | ||||||
HERO Funding II 2016-3B | ||||||||
5.24%, 09/20/2042(3) | 577,108 | 575,728 | ||||||
HERO Funding Trust 2016-2 | ||||||||
3.75%, 09/20/2041(3) | 1,794,288 | 1,844,764 | ||||||
HERO Funding Trust 2016-3 | ||||||||
3.08%, 09/20/2042(3) | 782,149 | 793,446 | ||||||
HERO Funding Trust 2016-4A | ||||||||
3.57%, 09/20/2047(3) | 2,425,416 | 2,509,971 | ||||||
HERO Funding Trust 2017-1A | ||||||||
4.46%, 09/20/2047(3) | 4,264,875 | 4,544,775 | ||||||
HERO Funding Trust 2017-2 | ||||||||
3.28%, 09/20/2048(3) | 3,977,212 | 4,096,530 | ||||||
Hilton Grand Vacations Trust 2017-A | ||||||||
2.66%, 12/26/2028(3) | 1,168,633 | 1,147,273 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
1.15% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 03/25/2036(2) | 25,949 | 24,872 | ||||||
Honda Auto Receivables 2017-4 Owner Trust | ||||||||
2.05%, 11/22/2021 | 2,014,223 | 2,013,886 | ||||||
Hyundai Auto Receivables Trust 2019-A | ||||||||
2.66%, 06/15/2023 | 3,452,000 | 3,470,119 | ||||||
Hyundai Auto Receivables Trust 2019-B | ||||||||
2.00%, 04/15/2025 | 727,000 | 732,776 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 36 | 35 | ||||||
Kabbage Funding LLC | ||||||||
3.83%, 03/15/2024(3) | 13,684,000 | 13,307,754 | ||||||
4.07%, 03/15/2024(3) | 7,519,000 | 7,272,789 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.57%, 05/25/2039(3)(4) | 2,198,777 | 33,650 | ||||||
KGS-Alpha SBA COOF Trust 2012-2 | ||||||||
0.79%, 08/25/2038(3)(4) | 2,480,083 | 51,811 | ||||||
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
2.78%, 04/25/2040(3)(4) | 763,406 | 66,236 | ||||||
KKR CLO 11 Ltd. | ||||||||
3.01% (3 Month LIBOR USD + 1.18%), 01/15/2031(2)(3) | 6,250,000 | 5,863,006 | ||||||
KVK CLO 2018-1 Ltd. | ||||||||
2.62% (3 Month LIBOR USD + 0.93%), 05/20/2029(2)(3) | 25,000,000 | 23,981,175 | ||||||
Laurel Road Prime Student Loan Trust 2017-C | ||||||||
2.81%, 11/25/2042(3) | 4,413,388 | 4,420,068 | ||||||
Laurel Road Prime Student Loan Trust 2018-B | ||||||||
3.54%, 05/26/2043(3) | 8,722,254 | 8,529,070 | ||||||
Legacy Mortgage Asset Trust 2019-GS4 | ||||||||
3.44%, 05/25/2059(1)(3) | 4,183,426 | 4,220,764 | ||||||
Lendingpoint 2019-2 Asset Securitization Trust | ||||||||
3.07%, 11/10/2025(3) | 6,264,807 | 6,041,431 | ||||||
Lendmark Funding Trust 2018-1 | ||||||||
5.03%, 12/21/2026(3) | 1,900,000 | 1,645,984 |
LL ABS Trust 2019-1 | ||||||||
2.87%, 03/15/2027(3) | 4,229,365 | 4,068,551 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 02/25/2034(2) | 151,294 | 137,048 | ||||||
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.80% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034(2) | 36,816 | 31,211 | ||||||
LV Tower 52 Issuer 2013-1 | ||||||||
5.75%, 02/15/2023(3)(13) | 3,117,212 | 3,143,988 | ||||||
7.75%, 02/15/2023(3)(13) | 1,185,435 | 1,195,618 | ||||||
Man GLG US CLO 2018-2 Ltd. | ||||||||
3.07% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 10/15/2028(2)(3) | 8,000,000 | 7,696,096 | ||||||
Mariner Finance Issuance Trust 2019-A | ||||||||
3.51%, 07/20/2032(3) | 5,235,000 | 4,149,412 | ||||||
MASTR Asset Backed Securities Trust 2006-NC1 | ||||||||
1.55% (1 Month LIBOR USD + 0.60%, 0.30% Floor), 01/25/2036(2) | 739,731 | 731,726 | ||||||
MidOcean Credit CLO III | ||||||||
2.94% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031(2)(3) | 15,400,000 | 14,271,765 | ||||||
MidOcean Credit CLO IX | ||||||||
2.97% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/20/2031(2)(3) | 4,000,000 | 3,700,644 | ||||||
Mid-State Capital Corp. 2006-1 Trust | ||||||||
6.08%, 10/15/2040(3) | 670,819 | 703,190 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045(3) | 166,960 | 166,958 | ||||||
5.25%, 12/15/2045(3) | 300,438 | 305,088 | ||||||
MMAF Equipment Finance LLC 2019-B | ||||||||
2.29%, 11/12/2041(3) | 7,200,000 | 6,841,418 | ||||||
Mountain View CLO 2015-9 Ltd. | ||||||||
2.95% (3 Month LIBOR USD + 1.12%), 07/15/2031(2)(3) | 20,000,000 | 18,456,880 | ||||||
MRA ISSUANCE TR 2019-3 REGD | ||||||||
1.85% (1 Month LIBOR USD + 1.15%), 05/31/2020(2)(3)(13) | 3,900,000 | 3,822,000 | ||||||
Navient Private Education Refi Loan Trust 2018-A | ||||||||
3.19%, 02/18/2042(3) | 15,200,000 | 15,429,902 | ||||||
Navient Private Education Refi Loan Trust 2018-C | ||||||||
3.52%, 06/16/2042(3) | 5,700,000 | 5,773,854 | ||||||
Navient Private Education Refi Loan Trust 2019-C | ||||||||
3.13%, 02/15/2068(3) | 6,600,000 | 6,496,940 | ||||||
Navient Private Education Refi Loan Trust 2020-B | ||||||||
2.12%, 01/15/2069(3) | 5,400,000 | 5,418,107 | ||||||
Navient Student Loan Trust 2018-EA | ||||||||
4.00%, 12/15/2059(3) | 6,200,000 | 6,414,322 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.05%, 11/25/2033(1) | 156,252 | 148,765 | ||||||
New Residential Mortgage Loan Trust 2018-1 | ||||||||
4.00%, 12/25/2057(3)(4) | 7,968,027 | 8,237,158 | ||||||
Nissan Auto Receivables 2019-A Owner Trust | ||||||||
2.82%, 01/18/2022 | 4,908,434 | 4,920,601 | ||||||
Nissan Auto Receivables 2019-C Owner Trust | ||||||||
1.93%, 07/15/2024 | 5,270,000 | 5,321,620 | ||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-FM1 | ||||||||
1.18% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 11/25/2035(2) | 7,981,793 | 7,654,779 | ||||||
Oakwood Mortgage Investors, Inc. | ||||||||
6.45%, 12/15/2023 | 1,435 | 1,422 | ||||||
OL SP 2018-B LLC | ||||||||
4.16%, 02/09/2030 | 2,419,779 | 2,375,105 | ||||||
4.61%, 02/09/2030 | 526,039 | 509,816 | ||||||
OnDeck Asset Securitization Trust LLC | ||||||||
3.50%, 04/18/2022(3) | 5,796,000 | 5,773,611 | ||||||
OneMain Direct Auto Receivables Trust 2017-2 | ||||||||
2.55%, 11/14/2023(3) | 12,243,252 | 12,205,141 | ||||||
OneMain Direct Auto Receivables Trust 2018-1 | ||||||||
3.43%, 12/16/2024(3) | 19,400,000 | 19,308,325 |
OneMain Financial Issuance Trust 2016-1 | ||||||||
3.66%, 02/20/2029(3) | 28,336 | 28,241 | ||||||
6.00%, 02/20/2029(3) | 1,900,000 | 1,829,596 | ||||||
OneMain Financial Issuance Trust 2017-1 | ||||||||
1.50% (1 Month LIBOR USD + 0.80%), 09/14/2032(2)(3) | 6,718,125 | 6,555,273 | ||||||
Oportun Funding VII LLC | ||||||||
3.22%, 10/10/2023(3) | 1,691,000 | 1,623,260 | ||||||
Oportun Funding VIII LLC | ||||||||
3.61%, 03/08/2024(3) | 2,978,000 | 2,815,647 | ||||||
Oportun Funding X LLC | ||||||||
4.10%, 10/08/2024(3) | 5,900,000 | 5,439,178 | ||||||
Oportun Funding XII LLC | ||||||||
4.15%, 12/09/2024(3) | 4,200,000 | 3,878,672 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 11/25/2034(2) | 1,691,802 | 1,371,705 | ||||||
OZLM Funding IV Ltd. | ||||||||
3.05% (3 Month LIBOR USD + 1.25%), 10/22/2030(2)(3) | 10,000,000 | 9,421,170 | ||||||
OZLM XXII Ltd. | ||||||||
2.91% (3 Month LIBOR USD + 1.07%), 01/17/2031(2)(3) | 7,000,000 | 6,530,860 | ||||||
P4 SFR 2019-STL A 7.5 11 OCT 2026 | ||||||||
7.50%, 10/11/2022(13) | 5,700,000 | 5,700,000 | ||||||
Palmer Square CLO 2014-1 Ltd. | ||||||||
2.97% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031(2)(3) | 4,000,000 | 3,764,368 | ||||||
Palmer Square CLO 2018-2 Ltd. | ||||||||
2.94% (3 Month LIBOR USD + 1.10%), 07/16/2031(2)(3) | 20,000,000 | 18,683,540 | ||||||
Park Avenue Institutional Advisers CLO Ltd. 2018-1 | ||||||||
3.10% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/20/2031(2)(3) | 21,500,000 | 19,988,335 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
1.79% (1 Month LIBOR USD + 0.84%, 0.56% Floor), 01/25/2036(2) | 111,701 | 111,533 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
3.07%, 11/12/2032(3) | 5,188,367 | 5,152,366 | ||||||
4.67%, 11/12/2032(3) | 295,000 | 291,919 | ||||||
5.66%, 11/12/2032(3) | 1,000,000 | 982,986 | ||||||
Progress Residential 2017-SFR1 Trust | ||||||||
3.02%, 08/17/2034(3) | 2,000,000 | 1,950,824 | ||||||
Progress Residential 2018-SFR2 Trust | ||||||||
4.34%, 08/17/2035(3) | 2,390,000 | 2,291,721 | ||||||
4.66%, 08/17/2035(3) | 3,853,000 | 3,465,969 | ||||||
PRPM 2020-1 LLC | ||||||||
2.98%, 02/25/2025(1)(3) | 5,917,819 | 4,676,301 | ||||||
PRPM LLC | ||||||||
3.35%, 11/25/2024(1)(3) | 6,213,025 | 6,011,325 | ||||||
Purchasing Power Funding 2018-A LLC | ||||||||
3.34%, 08/15/2022(3) | 10,875,000 | 10,843,953 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 11/25/2034 | 504 | 501 | ||||||
Regional Management Issuance Trust 2018-1 | ||||||||
4.28%, 07/15/2027(3) | 3,100,000 | 2,881,951 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037(1) | 298,832 | 70,858 | ||||||
Renew 2017-1 | ||||||||
3.67%, 09/20/2052(3) | 1,720,879 | 1,802,711 | ||||||
Rice Park Financing Trust 2016-A | ||||||||
4.63%, 10/31/2041(3) | 2,710,623 | 2,811,662 | ||||||
Santander Drive Auto Receivables Trust 2017-1 | ||||||||
2.58%, 05/16/2022 | 848,831 | 848,092 | ||||||
3.17%, 04/17/2023 | 5,074,000 | 5,042,516 | ||||||
Santander Drive Auto Receivables Trust 2017-2 | ||||||||
2.79%, 08/15/2022 | 4,309,762 | 4,254,096 | ||||||
3.49%, 07/17/2023 | 1,633,000 | 1,626,957 | ||||||
Santander Drive Auto Receivables Trust 2019-1 | ||||||||
3.21%, 09/15/2023 | 5,212,000 | 5,201,581 |
Santander Drive Auto Receivables Trust 2019-3 | ||||||||
2.49%, 10/15/2025 | 5,800,000 | 5,596,812 | ||||||
Santander Retail Auto Lease Trust 2018-A | ||||||||
2.93%, 05/20/2021(3) | 2,771,942 | 2,773,217 | ||||||
SART 2017-1 | ||||||||
4.75%, 07/15/2024(13) | 7,573,789 | 7,735,111 | ||||||
SART 2018-1 | ||||||||
4.76%, 06/15/2025(13) | 8,783,368 | 8,989,777 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.30%, 01/25/2036(1) | 58,832 | 50,674 | ||||||
Sierra Timeshare 2019-3 Receivables Funding LLC | ||||||||
2.75%, 08/20/2036(3) | 4,255,350 | 3,846,598 | ||||||
SoFi Consumer Loan Program 2016-2 LLC | ||||||||
3.09%, 10/27/2025(3) | 112,057 | 109,987 | ||||||
SoFi Consumer Loan Program 2018-1 Trust | ||||||||
3.14%, 02/25/2027(3) | 6,192,818 | 6,052,176 | ||||||
SoFi Consumer Loan Program 2019-3 Trust | ||||||||
2.90%, 05/25/2028(3) | 3,743,546 | 3,626,881 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
2.02%, 01/25/2029(3) | 12,288,639 | 11,426,401 | ||||||
SoFi Professional Loan Program 2017-F LLC | ||||||||
2.84%, 01/25/2041(3) | 18,200,000 | 17,884,512 | ||||||
SoFi Professional Loan Program 2018-B Trust | ||||||||
3.34%, 08/25/2047(3) | 6,200,000 | 5,991,826 | ||||||
SoFi Professional Loan Program 2019-C LLC | ||||||||
2.37%, 11/16/2048(3) | 7,800,000 | 7,796,260 | ||||||
SoFi Professional Loan Program 2020-ATrust | ||||||||
2.54%, 05/15/2046(3) | 7,800,000 | 7,546,616 | ||||||
Sound Point CLO II Ltd. | ||||||||
2.86% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031(2)(3) | 9,000,000 | 8,425,431 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
1.62% (1 Month LIBOR USD + 0.67%, 0.34% Floor), 10/25/2035(2) | 142,999 | 139,495 | ||||||
Springleaf Funding Trust 2017-A | ||||||||
2.68%, 07/15/2030(3) | 9,900,000 | 9,485,232 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035(1) | 993 | 1,000 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2004-6XS | ||||||||
6.03%, 03/25/2034(1) | 76,433 | 75,569 | ||||||
6.05%, 03/25/2034(1) | 61,127 | 60,435 | ||||||
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1 | ||||||||
3.45%, 02/25/2032 | 21,944 | 20,585 | ||||||
3.45%, 02/25/2032 | 54,407 | 51,016 | ||||||
Synchrony Card Funding LLC | ||||||||
2.95%, 03/15/2025 | 12,384,000 | 12,536,966 | ||||||
Synchrony Card Issuance Trust | ||||||||
3.38%, 09/15/2024 | 5,500,000 | 5,514,670 | ||||||
Towd Point Mortgage Trust 2017-2 | ||||||||
2.75%, 04/25/2057(3)(4) | 5,352,098 | 5,242,911 | ||||||
Towd Point Mortgage Trust 2017-6 | ||||||||
2.75%, 10/25/2057(3)(4) | 4,831,163 | 4,834,530 | ||||||
Towd Point Mortgage Trust 2018-1 | ||||||||
3.00%, 01/25/2058(3)(4) | 6,910,199 | 6,941,440 | ||||||
Towd Point Mortgage Trust 2019-1 | ||||||||
3.75%, 03/25/2058(3)(4) | 8,075,786 | 8,290,552 | ||||||
Towd Point Mortgage Trust 2019-HY3 | ||||||||
1.95% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2059(2)(3) | 2,394,504 | 2,341,752 | ||||||
Toyota Auto Loan Extended Note Trust 2019-1 | ||||||||
2.56%, 11/25/2031(3) | 16,875,000 | 17,095,546 | ||||||
Toyota Auto Receivables 2019-D Owner Trust | ||||||||
1.92%, 01/16/2024 | 6,404,000 | 6,390,063 | ||||||
Toyota Auto Receivables 2020-A Owner Trust | ||||||||
1.68%, 05/15/2025 | 1,196,000 | 1,190,706 |
Trafigura Securitisation Finance Plc 2018-1 | ||||||||
3.73%, 03/15/2022(3) | 12,666,667 | 12,768,411 | ||||||
Tricolor Auto Securitization Trust 2018-1 | ||||||||
5.05%, 12/15/2020(3) | 1,155,156 | 1,142,406 | ||||||
Trinitas CLO IV Ltd. | ||||||||
3.00% (3 Month LIBOR USD + 1.18%), 10/18/2031(2)(3) | 7,500,000 | 7,018,425 | ||||||
Upgrade Receivables Trust 2018-1 | ||||||||
3.76%, 11/15/2024(3) | 260,019 | 257,511 | ||||||
US Auto Funding 2018-1 LLC | ||||||||
5.50%, 07/15/2023(3) | 3,081,938 | 3,065,135 | ||||||
USAA Auto Owner Trust 2019-1 | ||||||||
2.14%, 11/15/2024 | 4,004,000 | 3,967,635 | ||||||
USASF Receivables 2017-A LLC | ||||||||
5.75%, 09/15/2030(3) | 594,448 | 570,670 | ||||||
Venture 32 CLO Ltd. | ||||||||
2.92% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031(2)(3) | 6,000,000 | 5,596,632 | ||||||
Vericrest Opportunity Loan Trust 2019-NPL5 | ||||||||
3.35%, 09/25/2049(1)(3) | 5,362,241 | 4,518,650 | ||||||
Vericrest Opportunity Loan Trust 2019-NPL8 | ||||||||
3.28%, 11/25/2049(1)(3) | 14,750,444 | 13,124,654 | ||||||
Vericrest Opportunity Loan Trust 2020-NPL2 | ||||||||
2.98%, 02/25/2050(1)(3) | 7,300,505 | 5,997,890 | ||||||
Verizon Owner Trust 2017-2 | ||||||||
1.92%, 12/20/2021(3) | 1,408,023 | 1,403,203 | ||||||
Verizon Owner Trust 2017-3 | ||||||||
2.06%, 04/20/2022(3) | 2,860,847 | 2,860,831 | ||||||
Verizon Owner Trust 2019-A | ||||||||
2.93%, 09/20/2023 | 5,473,000 | 5,564,609 | ||||||
Verizon Owner Trust 2019-B | ||||||||
2.33%, 12/20/2023 | 10,525,000 | 10,588,573 | ||||||
Verizon Owner Trust 2020-A | ||||||||
1.85%, 07/22/2024 | 9,704,000 | 9,466,363 | ||||||
VM DEBT 2019-1 TR | ||||||||
7.50%, 6/15/2024(13) | 7,000,000 | 7,000,000 | ||||||
Volt LXIV LLC | ||||||||
3.38%, 10/25/2047(1)(3) | 2,614,012 | 2,380,536 | ||||||
VOLT LXXXIII LLC | ||||||||
3.33%, 11/26/2049(1)(3) | 11,487,920 | 10,162,609 | ||||||
VOLT LXXXV LLC | ||||||||
3.23%, 01/25/2050(1)(3) | 9,148,286 | 8,059,208 | ||||||
VOLT LXXXVII LLC | ||||||||
2.98%, 02/25/2050(1)(3) | 16,299,158 | 11,690,079 | ||||||
VOLT LXXXVIII LLC | ||||||||
2.98%, 03/25/2050(1)(3) | 8,577,602 | 7,487,199 | ||||||
Voya CLO 2015-1 Ltd. | ||||||||
2.72% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029(2)(3) | 6,000,000 | 5,804,754 | ||||||
VSE 2018-A Voi Mortgage LLC | ||||||||
3.56%, 02/20/2036(3) | 2,250,010 | 2,239,289 | ||||||
Westgate Resorts 2017-1 LLC | ||||||||
3.05%, 12/20/2030(3) | 741,144 | 702,357 | ||||||
4.05%, 12/20/2030(3) | 1,319,075 | 1,240,439 | ||||||
Westlake Automobile Receivables Trust 2017-1 | ||||||||
3.46%, 10/17/2022(3) | 1,128,692 | 1,126,501 | ||||||
Westlake Automobile Receivables Trust 2017-2 | ||||||||
2.59%, 12/15/2022(3) | 354,791 | 354,299 | ||||||
Westlake Automobile Receivables Trust 2019-1 | ||||||||
3.06%, 05/16/2022(3) | 6,352,908 | 6,327,215 | ||||||
Westlake Automobile Receivables Trust 2019-3 | ||||||||
2.15%, 02/15/2023(3) | 9,267,000 | 9,169,820 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
3.14%, 12/15/2025 | 5,660,000 | 5,704,224 | ||||||
World Omni Auto Receivables Trust 2018-D | ||||||||
3.33%, 04/15/2024 | 15,916,000 | 16,320,782 |
World Omni Auto Receivables Trust 2019-B | ||||||||
2.59%, 07/15/2024 | 6,018,000 | 6,050,371 | ||||||
World Omni Auto Receivables Trust 2019-C | ||||||||
1.96%, 12/16/2024 | 5,525,000 | 5,456,453 | ||||||
Zais CLO 7 Ltd. | ||||||||
3.12% (3 Month LIBOR USD + 1.29%), 04/15/2030(2)(3) | 9,600,000 | 9,039,734 | ||||||
Zais CLO 8 Ltd. | ||||||||
2.78% (3 Month LIBOR USD + 0.95%), 04/15/2029(2)(3) | 40,000,000 | 38,189,240 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost: $1,663,465,976) | 1,609,072,421 | |||||||
|
| |||||||
Corporate Bonds 30.38% | ||||||||
Basic Materials 0.94% | ||||||||
Air Liquide Finance SA | ||||||||
2.25%, 09/27/2023(3) | 550,000 | 544,135 | ||||||
Albemarle Corp. | ||||||||
5.45%, 12/01/2044 | 600,000 | 697,539 | ||||||
Anglo American Capital Plc | ||||||||
3.63%, 09/11/2024(3) | 630,000 | 592,874 | ||||||
4.00%, 09/11/2027(3) | 1,020,000 | 959,782 | ||||||
Barrick Gold Corp. | ||||||||
6.45%, 10/15/2035 | 203,000 | 232,602 | ||||||
Barrick North America Finance LLC | ||||||||
5.75%, 05/01/2043 | 4,480,000 | 5,744,397 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
6.25% (5 Year Swap Rate USD + 4.97%), 10/19/2075(2)(3) | 985,000 | 966,630 | ||||||
Braskem Netherlands Finance BV | ||||||||
5.88%, 01/31/2050(3) | 1,575,000 | 1,220,625 | ||||||
CF Industries, Inc. | ||||||||
5.38%, 03/15/2044 | 2,040,000 | 1,943,161 | ||||||
CNAC HK Finbridge Co. Ltd. | ||||||||
4.13%, 03/14/2021 | 4,255,000 | 4,278,020 | ||||||
Dow Chemical Co. | ||||||||
4.55%, 11/30/2025 | 6,660,000 | 7,066,775 | ||||||
5.55%, 11/30/2048 | 3,005,000 | 3,378,410 | ||||||
DuPont de Nemours, Inc. | ||||||||
5.32%, 11/15/2038 | 3,865,000 | 4,345,469 | ||||||
5.42%, 11/15/2048 | 1,200,000 | 1,321,939 | ||||||
Eastman Chemical Co. | ||||||||
4.50%, 01/15/2021 | 352,000 | 348,455 | ||||||
Ecolab, Inc. | ||||||||
3.25%, 01/14/2023 | 452,000 | 451,174 | ||||||
FMC Corp. | ||||||||
3.95%, 02/01/2022 | 1,725,000 | 1,801,803 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3.55%, 03/01/2022 | 4,971,000 | 4,768,780 | ||||||
Glencore Finance Canada Ltd. | ||||||||
4.25%, 10/25/2022(3) | 5,000,000 | 4,792,600 | ||||||
Glencore Funding LLC | ||||||||
3.88%, 10/27/2027(3) | 875,000 | 780,357 | ||||||
4.00%, 03/27/2027(3) | 6,300,000 | 5,735,470 | ||||||
4.13%, 05/30/2023(3) | 54,000 | 49,753 | ||||||
4.63%, 04/29/2024(3) | 1,500,000 | 1,371,750 | ||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
5.23%, 11/15/2021(3) | 3,561,000 | 3,561,000 | ||||||
5.71%, 11/15/2023(3) | 3,478,000 | 3,555,888 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
4.45%, 09/26/2028 | 720,000 | 843,967 | ||||||
International Paper Co. | ||||||||
6.00%, 11/15/2041 | 3,150,000 | 4,053,954 | ||||||
8.70%, 06/15/2038 | 350,000 | 503,417 | ||||||
LYB International Finance BV | ||||||||
4.88%, 03/15/2044 | 610,000 | 658,664 |
LyondellBasell Industries NV | ||||||||
5.75%, 04/15/2024 | 2,550,000 | 2,884,085 | ||||||
6.00%, 11/15/2021 | 2,628,000 | 2,721,763 | ||||||
Mosaic Co. | ||||||||
4.25%, 11/15/2023 | 8,533,000 | 8,082,819 | ||||||
5.63%, 11/15/2043 | 2,055,000 | 1,815,398 | ||||||
Newmont Goldcorp Corp. | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,832,322 | ||||||
Nucor Corp. | ||||||||
6.40%, 12/01/2037 | 800,000 | 1,005,771 | ||||||
Nutrien Ltd. | ||||||||
3.15%, 10/01/2022 | 875,000 | 875,376 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,896,215 | ||||||
4.20%, 04/01/2029 | 420,000 | 444,842 | ||||||
5.25%, 01/15/2045 | 1,900,000 | 2,091,295 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,515,716 | ||||||
Orbia Advance Corp. SAB de CV | ||||||||
4.88%, 09/19/2022(3) | 3,425,000 | 3,270,875 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
5.75%, 06/01/2035 | 54,000 | 68,198 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023(3)(5) | 537,000 | 206,745 | ||||||
SASOL Financing USA LLC | ||||||||
5.88%, 03/27/2024 | 3,249,000 | 1,364,117 | ||||||
6.50%, 09/27/2028 | 1,555,000 | 637,961 | ||||||
Sherwin-Williams Co. | ||||||||
3.13%, 06/01/2024 | 401,000 | 398,877 | ||||||
Solvay Finance America LLC | ||||||||
4.45%, 12/03/2025(3) | 7,000,000 | 7,371,482 | ||||||
Southern Copper Corp. | ||||||||
5.25%, 11/08/2042 | 1,000,000 | 1,026,591 | ||||||
Steel Dynamics, Inc. | ||||||||
3.45%, 04/15/2030 | 823,000 | 745,632 | ||||||
Syngenta Finance NV | ||||||||
4.89%, 04/24/2025(3) | 7,180,000 | 7,041,127 | ||||||
5.18%, 04/24/2028(3) | 1,721,000 | 1,469,702 | ||||||
5.68%, 04/24/2048(3) | 940,000 | 755,553 | ||||||
Union Carbide Corp. | ||||||||
7.50%, 06/01/2025 | 624,000 | 718,365 | ||||||
7.75%, 10/01/2096 | 681,000 | 794,869 | ||||||
Vale Overseas Ltd. | ||||||||
6.25%, 08/10/2026 | 5,000,000 | 5,400,100 | ||||||
6.88%, 11/21/2036 | 167,000 | 185,455 | ||||||
6.88%, 11/10/2039 | 2,107,000 | 2,322,989 | ||||||
8.25%, 01/17/2034 | 984,000 | 1,195,560 | ||||||
|
| |||||||
Total Basic Materials | 128,709,190 | |||||||
|
| |||||||
Communications 2.31% | ||||||||
Amazon.com, Inc. | ||||||||
3.88%, 08/22/2037 | 1,700,000 | 2,037,467 | ||||||
America Movil SAB de CV | ||||||||
3.13%, 07/16/2022 | 374,000 | 377,491 | ||||||
3.63%, 04/22/2029 | 1,935,000 | 1,968,698 | ||||||
4.38%, 04/22/2049 | 1,214,000 | 1,370,606 | ||||||
AT&T, Inc. | ||||||||
2.45%, 06/30/2020 | 4,649,000 | 4,646,237 | ||||||
2.95%, 07/15/2026 | 2,000,000 | 1,967,421 | ||||||
3.20%, 03/01/2022 | 11,089,000 | 11,249,005 | ||||||
3.40%, 05/15/2025 | 17,242,000 | 17,833,431 | ||||||
3.55%, 06/01/2024 | 2,300,000 | 2,375,111 | ||||||
3.60%, 07/15/2025 | 9,454,000 | 9,817,698 | ||||||
3.80%, 02/15/2027 | 2,850,000 | 2,961,151 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,931,913 |
3.95%, 01/15/2025 | 811,000 | 854,486 | ||||||
4.30%, 02/15/2030 | 1,702,000 | 1,831,898 | ||||||
4.30%, 12/15/2042 | 444,000 | 469,005 | ||||||
4.50%, 05/15/2035 | 6,175,000 | 6,732,223 | ||||||
4.55%, 03/09/2049 | 3,150,000 | 3,390,050 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 2,320,471 | ||||||
4.80%, 06/15/2044 | 915,000 | 1,019,459 | ||||||
4.85%, 03/01/2039 | 13,085,000 | 14,804,862 | ||||||
4.90%, 08/15/2037 | 975,000 | 1,094,250 | ||||||
5.15%, 03/15/2042 | 40,000 | 45,881 | ||||||
5.15%, 11/15/2046 | 5,722,000 | 6,728,994 | ||||||
5.25%, 03/01/2037 | 1,908,000 | 2,221,336 | ||||||
5.38%, 10/15/2041 | 181,000 | 206,461 | ||||||
6.00%, 08/15/2040 | 3,095,000 | 3,787,276 | ||||||
6.38%, 03/01/2041 | 7,828,000 | 9,850,390 | ||||||
Booking Holdings, Inc. | ||||||||
2.75%, 03/15/2023 | 857,000 | 840,378 | ||||||
CBS Corp. | ||||||||
3.70%, 08/15/2024 | 848,000 | 864,855 | ||||||
3.70%, 06/01/2028 | 870,000 | 824,724 | ||||||
4.00%, 01/15/2026 | 1,000,000 | 1,031,016 | ||||||
4.90%, 08/15/2044 | 315,000 | 298,790 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.91%, 07/23/2025 | 17,096,000 | 18,417,186 | ||||||
5.05%, 03/30/2029 | 560,000 | 607,911 | ||||||
5.38%, 04/01/2038 | 835,000 | 901,187 | ||||||
5.38%, 05/01/2047 | 4,610,000 | 4,981,509 | ||||||
6.38%, 10/23/2035 | 5,867,000 | 6,973,452 | ||||||
6.83%, 10/23/2055 | 1,745,000 | 2,066,895 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 214,206 | ||||||
Comcast Corp. | ||||||||
3.10%, 04/01/2025 | 772,000 | 816,265 | ||||||
3.15%, 03/01/2026 | 1,716,000 | 1,800,207 | ||||||
3.15%, 02/15/2028 | 1,500,000 | 1,569,443 | ||||||
3.25%, 11/01/2039 | 1,595,000 | 1,683,247 | ||||||
3.40%, 04/01/2030 | 2,426,000 | 2,628,268 | ||||||
3.45%, 02/01/2050 | 914,000 | 1,002,930 | ||||||
3.55%, 05/01/2028 | 886,000 | 961,270 | ||||||
3.60%, 03/01/2024 | 542,000 | 579,994 | ||||||
3.90%, 03/01/2038 | 455,000 | 511,484 | ||||||
3.95%, 10/15/2025 | 1,614,000 | 1,777,007 | ||||||
3.97%, 11/01/2047 | 154,000 | 177,987 | ||||||
4.00%, 11/01/2049 | 638,000 | 753,652 | ||||||
4.05%, 11/01/2052 | 300,000 | 357,548 | ||||||
4.20%, 08/15/2034 | 555,000 | 632,795 | ||||||
4.25%, 01/15/2033 | 3,107,000 | 3,660,101 | ||||||
4.60%, 10/15/2038 | 4,314,000 | 5,374,761 | ||||||
4.70%, 10/15/2048 | 5,303,000 | 6,856,052 | ||||||
4.95%, 10/15/2058 | 2,000,000 | 2,762,114 | ||||||
Cox Communications, Inc. | ||||||||
3.25%, 12/15/2022(3) | 348,000 | 352,538 | ||||||
3.35%, 09/15/2026(3) | 369,000 | 362,826 | ||||||
3.50%, 08/15/2027(3) | 8,245,000 | 8,055,890 | ||||||
3.85%, 02/01/2025(3) | 1,250,000 | 1,275,612 | ||||||
4.60%, 08/15/2047(3) | 588,000 | 607,968 | ||||||
4.80%, 02/01/2035(3) | 6,000,000 | 6,521,413 | ||||||
8.38%, 03/01/2039(3) | 1,500,000 | 2,084,786 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2022(3) | 589,000 | 589,174 | ||||||
3.66%, 05/15/2025(3) | 955,000 | 955,395 |
Deutsche Telekom AG | ||||||||
3.63%, 01/21/2050(3) | 1,926,000 | 1,899,595 | ||||||
Deutsche Telekom International Finance BV | ||||||||
3.60%, 01/19/2027(3) | 508,000 | 525,783 | ||||||
4.88%, 03/06/2042(3) | 240,000 | 278,235 | ||||||
8.75%, 06/15/2030 | 49,000 | 66,833 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 768,934 | ||||||
Grupo Televisa SAB | ||||||||
6.13%, 01/31/2046 | 382,000 | 432,857 | ||||||
Level 3 Financing, Inc. | ||||||||
3.40%, 03/01/2027(3) | 7,000,000 | 6,662,950 | ||||||
NBCUniversal Media LLC | ||||||||
4.45%, 01/15/2043 | 15,000 | 19,031 | ||||||
5.95%, 04/01/2041 | 527,000 | 728,192 | ||||||
Qwest Corp. | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 3,943,320 | ||||||
Rogers Communications, Inc. | ||||||||
4.35%, 05/01/2049 | 1,335,000 | 1,513,470 | ||||||
Sky Ltd. | ||||||||
3.75%, 09/16/2024(3) | 287,000 | 303,687 | ||||||
TCI Communications, Inc. | ||||||||
7.13%, 02/15/2028 | 138,000 | 190,823 | ||||||
Telecom Italia Capital SA | ||||||||
7.20%, 07/18/2036 | 1,644,000 | 1,701,540 | ||||||
Telefonica Emisiones SA | ||||||||
4.10%, 03/08/2027 | 4,775,000 | 4,952,243 | ||||||
4.67%, 03/06/2038 | 1,175,000 | 1,264,168 | ||||||
4.90%, 03/06/2048 | 1,075,000 | 1,189,726 | ||||||
5.13%, 04/27/2020 | 500,000 | 500,831 | ||||||
5.46%, 02/16/2021 | 233,000 | 237,961 | ||||||
Time Warner Cable LLC | ||||||||
5.50%, 09/01/2041 | 6,815,000 | 7,126,094 | ||||||
5.88%, 11/15/2040 | 1,275,000 | 1,343,532 | ||||||
6.55%, 05/01/2037 | 375,000 | 421,059 | ||||||
6.75%, 06/15/2039 | 539,000 | 610,920 | ||||||
7.30%, 07/01/2038 | 1,418,000 | 1,741,821 | ||||||
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/2033 | 529,000 | 728,290 | ||||||
TWDC Enterprises 18 Corp. | ||||||||
3.00%, 07/30/2046 | 160,000 | 161,430 | ||||||
Verizon Communications, Inc. | ||||||||
3.88%, 02/08/2029 | 765,000 | 856,297 | ||||||
4.02%, 12/03/2029 | 712,000 | 802,728 | ||||||
4.13%, 03/16/2027 | 2,800,000 | 3,115,773 | ||||||
4.27%, 01/15/2036 | 4,454,000 | 5,203,436 | ||||||
4.40%, 11/01/2034 | 4,843,000 | 5,669,921 | ||||||
4.50%, 08/10/2033 | 7,079,000 | 8,521,460 | ||||||
4.52%, 09/15/2048 | 1,065,000 | 1,344,382 | ||||||
4.81%, 03/15/2039 | 7,941,000 | 9,785,932 | ||||||
4.86%, 08/21/2046 | 10,285,000 | 13,410,692 | ||||||
5.25%, 03/16/2037 | 731,000 | 935,048 | ||||||
Viacom, Inc. | ||||||||
4.38%, 03/15/2043 | 718,000 | 637,021 | ||||||
ViacomCBS, Inc. | ||||||||
4.95%, 01/15/2031 | 2,415,000 | 2,390,556 | ||||||
Vodafone Group Plc | ||||||||
4.88%, 06/19/2049 | 4,584,000 | 5,064,134 | ||||||
5.25%, 05/30/2048 | 938,000 | 1,131,944 | ||||||
6.15%, 02/27/2037 | 4,600,000 | 5,339,906 | ||||||
Walt Disney Co. | ||||||||
3.70%, 10/15/2025 | 380,000 | 414,395 | ||||||
6.20%, 12/15/2034 | 150,000 | 208,646 |
6.40%, 12/15/2035 | 1,703,000 | 2,385,402 | ||||||
7.63%, 11/30/2028 | 310,000 | 408,082 | ||||||
8.88%, 04/26/2023 | 108,000 | 129,173 | ||||||
9.50%, 07/15/2024 | 175,000 | 223,466 | ||||||
|
| |||||||
Total Communications | 315,917,826 | |||||||
|
| |||||||
Consumer, Cyclical 1.62% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025(3) | 1,622,545 | 1,658,097 | ||||||
Air Canada 2015-1 Class A Pass Through Trust | ||||||||
3.60%, 03/15/2027(3) | 712,235 | 741,355 | ||||||
Air Canada 2015-2 Class AA Pass Through Trust | ||||||||
3.75%, 12/15/2027(3) | 1,184,494 | 1,321,773 | ||||||
Air Canada 2017-1 Class A Pass Through Trust | ||||||||
3.55%, 01/15/2030(3) | 2,726,210 | 2,946,959 | ||||||
Air Canada 2017-1 Class AA Pass Through Trust | ||||||||
3.30%, 01/15/2030(3) | 1,556,515 | 1,492,986 | ||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.95%, 01/25/2030(3) | 1,100,000 | 1,022,504 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 56,304 | 55,746 | ||||||
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 07/15/2025 | 845,110 | 842,887 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 | 2,427,020 | 2,466,339 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 10/01/2026 | 363,265 | 350,008 | ||||||
American Airlines 2015-1 Class A Pass Through Trust | ||||||||
3.38%, 05/01/2027 | 3,292,763 | 3,053,616 | ||||||
American Airlines 2015-2 Class AA Pass Through Trust | ||||||||
3.60%, 09/22/2027 | 575,488 | 541,265 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 06/15/2028 | 208,498 | 224,903 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
3.20%, 06/15/2028 | 1,298,840 | 1,411,845 | ||||||
American Airlines 2016-3 Class AA Pass Through Trust | ||||||||
3.00%, 10/15/2028 | 2,430,747 | 2,293,999 | ||||||
American Airlines 2017-1 Class AA Pass Through Trust | ||||||||
3.65%, 02/15/2029 | 1,983,768 | 1,888,090 | ||||||
American Honda Finance Corp. | ||||||||
2.30%, 09/09/2026 | 185,000 | 177,182 | ||||||
2.90%, 02/16/2024 | 300,000 | 301,679 | ||||||
BMW US Capital LLC | ||||||||
2.25%, 09/15/2023(3) | 894,000 | 864,504 | ||||||
2.26% (3 Month LIBOR USD + 0.41%), 04/12/2021(2)(3) | 1,675,000 | 1,623,642 | ||||||
British Airways 2018-1 Class A Pass Through Trust | ||||||||
4.13%, 09/20/2031(3) | 2,507,804 | 2,231,945 | ||||||
British Airways 2018-1 Class AA Pass Through Trust | ||||||||
3.80%, 09/20/2031(3) | 1,186,387 | 1,067,748 | ||||||
British Airways 2019-1 Class AA Pass Through Trust | ||||||||
3.30%, 12/15/2032(3) | 1,564,271 | 1,468,919 | ||||||
CK Hutchison International 19 Ltd. | ||||||||
3.63%, 04/11/2029(3) | 1,615,000 | 1,721,094 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 4,885,783 | 5,009,203 | ||||||
Continental Airlines 2012-1 Class A Pass Through Trust | ||||||||
4.15%, 04/11/2024 | 1,122,129 | 1,209,079 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 4,648,273 | 4,493,651 | ||||||
Daimler Finance North America LLC | ||||||||
2.88%, 03/10/2021(3) | 700,000 | 692,836 | ||||||
3.35%, 02/22/2023(3) | 1,000,000 | 969,018 | ||||||
8.50%, 01/18/2031 | 155,000 | 206,379 |
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 3,444,813 | 3,627,722 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 137,885 | 137,926 | ||||||
Dollar General Corp. | ||||||||
4.13%, 05/01/2028 | 835,000 | 882,610 | ||||||
Dollar Tree, Inc. | ||||||||
4.20%, 05/15/2028 | 3,695,000 | 3,689,850 | ||||||
Ford Motor Co. | ||||||||
5.29%, 12/08/2046 | 280,000 | 158,004 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.16%, 08/04/2020 | 1,000,000 | 975,150 | ||||||
3.34%, 03/18/2021 | 4,321,000 | 4,126,555 | ||||||
3.34%, 03/28/2022 | 3,000,000 | 2,790,900 | ||||||
3.35%, 11/01/2022 | 620,000 | 570,400 | ||||||
3.81%, 10/12/2021 | 6,200,000 | 5,921,000 | ||||||
4.25%, 09/20/2022 | 3,800,000 | 3,561,360 | ||||||
5.88%, 08/02/2021 | 4,100,000 | 4,018,000 | ||||||
General Motors Co. | ||||||||
4.00%, 04/01/2025 | 1,765,000 | 1,488,760 | ||||||
5.95%, 04/01/2049 | 2,078,000 | 1,536,672 | ||||||
6.60%, 04/01/2036 | 685,000 | 596,152 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.45%, 11/06/2020 | 9,004,000 | 8,737,358 | ||||||
2.65%, 04/13/2020 | 1,300,000 | 1,298,991 | ||||||
2.73% (3 Month LIBOR USD + 0.85%), 04/09/2021(2) | 3,590,000 | 3,231,954 | ||||||
3.45%, 01/14/2022 | 6,500,000 | 6,077,448 | ||||||
3.45%, 04/10/2022 | 4,820,000 | 4,451,772 | ||||||
3.55%, 04/09/2021 | 2,725,000 | 2,611,001 | ||||||
3.70%, 05/09/2023 | 4,733,000 | 4,256,957 | ||||||
3.95%, 04/13/2024 | 5,535,000 | 5,016,508 | ||||||
4.38%, 09/25/2021 | 5,000,000 | 4,603,007 | ||||||
Hasbro, Inc. | ||||||||
3.55%, 11/19/2026 | 12,661,000 | 12,081,116 | ||||||
Home Depot, Inc. | ||||||||
2.50%, 04/15/2027 | 1,194,000 | 1,205,911 | ||||||
3.35%, 04/15/2050 | 3,239,000 | 3,521,953 | ||||||
4.40%, 03/15/2045 | 268,000 | 314,757 | ||||||
Hyundai Capital America | ||||||||
2.75%, 09/18/2020(3) | 4,000,000 | 4,009,474 | ||||||
3.10%, 04/05/2022(3) | 2,500,000 | 2,446,221 | ||||||
3.40%, 06/20/2024(3) | 1,500,000 | 1,472,634 | ||||||
3.45%, 03/12/2021(3) | 4,170,000 | 4,166,890 | ||||||
Hyundai Capital Services, Inc. | ||||||||
3.00%, 03/06/2022(3) | 3,725,000 | 3,705,738 | ||||||
Lowes Cos, Inc. | ||||||||
3.65%, 04/05/2029 | 1,701,000 | 1,751,668 | ||||||
4.55%, 04/05/2049 | 1,450,000 | 1,604,608 | ||||||
4.65%, 04/15/2042 | 449,000 | 490,586 | ||||||
5.13%, 04/15/2050 | 6,461,000 | 7,782,511 | ||||||
Magna International, Inc. | ||||||||
3.63%, 06/15/2024 | 1,658,000 | 1,725,300 | ||||||
McDonalds Corp. | ||||||||
4.45%, 03/01/2047 | 360,000 | 389,883 | ||||||
4.70%, 12/09/2035 | 216,000 | 244,076 | ||||||
6.30%, 10/15/2037 | 679,000 | 865,275 | ||||||
NIKE, Inc. | ||||||||
2.40%, 03/27/2025 | 1,571,000 | 1,628,528 | ||||||
3.38%, 03/27/2050 | 812,000 | 889,881 | ||||||
OReilly Automotive, Inc. | ||||||||
3.55%, 03/15/2026 | 500,000 | 505,232 | ||||||
3.60%, 09/01/2027 | 802,000 | 770,604 |
Spirit Airlines Pass Through Trust 2017-1AA | ||||||||
3.38%, 02/15/2030 | 878,011 | 812,829 | ||||||
TJX Cos, Inc. | ||||||||
3.50%, 04/15/2025 | 7,784,000 | 7,961,570 | ||||||
4.50%, 04/15/2050 | 1,700,000 | 1,822,023 | ||||||
Toyota Motor Credit Corp. | ||||||||
3.00%, 04/01/2025 | 6,487,000 | 6,517,481 | ||||||
United Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.30%, 08/15/2025 | 582,182 | 582,156 | ||||||
United Airlines 2014-1 Class A Pass Through Trust | ||||||||
4.00%, 04/11/2026 | 843,366 | 833,851 | ||||||
United Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.10%, 07/07/2028 | 6,935,992 | 6,435,280 | ||||||
United Airlines 2016-1 Class B Pass Through Trust | ||||||||
3.65%, 01/07/2026 | 407,722 | 330,260 | ||||||
United Airlines 2016-2 Class AA Pass Through Trust | ||||||||
2.88%, 10/07/2028 | 1,609,697 | 1,493,639 | ||||||
United Airlines 2018-1 Class AA Pass Through Trust | ||||||||
3.50%, 03/01/2030 | 2,358,691 | 2,290,834 | ||||||
United Airlines 2018-1 Class B Pass Through Trust | ||||||||
4.60%, 03/01/2026 | 511,367 | 443,028 | ||||||
United Airlines 2019-1 Class A Pass Through Trust | ||||||||
4.55%, 08/25/2031 | 2,045,758 | 2,049,931 | ||||||
United Airlines 2019-1 Class AA Pass Through Trust | ||||||||
4.15%, 08/25/2031 | 2,342,070 | 2,428,270 | ||||||
United Airlines 2019-2 Class AA Pass Through Trust | ||||||||
2.70%, 05/01/2032 | 2,904,000 | 2,608,188 | ||||||
US Airways 2012-1 Class A Pass Through Trust | ||||||||
5.90%, 10/01/2024 | 380,264 | 383,144 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
3.88%, 11/13/2020(3) | 3,795,000 | 3,782,827 | ||||||
4.00%, 11/12/2021(3) | 5,045,000 | 4,989,806 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
4.50%, 11/18/2034 | 5,323,000 | 5,501,554 | ||||||
|
| |||||||
Total Consumer, Cyclical | 221,554,825 | |||||||
|
| |||||||
Consumer, Non-cyclical 4.41% | ||||||||
Abbott Laboratories | ||||||||
4.75%, 11/30/2036 | 5,000,000 | 6,330,983 | ||||||
4.90%, 11/30/2046 | 2,755,000 | 3,764,805 | ||||||
AbbVie, Inc. | ||||||||
2.60%, 11/21/2024(3) | 4,019,000 | 4,083,392 | ||||||
2.85%, 05/14/2023 | 4,900,000 | 4,966,970 | ||||||
2.95%, 11/21/2026(3) | 10,871,000 | 11,075,998 | ||||||
3.60%, 05/14/2025 | 12,060,000 | 12,706,078 | ||||||
4.05%, 11/21/2039(3) | 5,125,000 | 5,374,699 | ||||||
4.25%, 11/21/2049(3) | 11,691,000 | 12,610,720 | ||||||
4.40%, 11/06/2042 | 1,700,000 | 1,889,120 | ||||||
4.45%, 05/14/2046 | 425,000 | 451,637 | ||||||
4.70%, 05/14/2045 | 4,415,000 | 4,959,955 | ||||||
4.88%, 11/14/2048 | 2,641,000 | 3,080,743 | ||||||
Advocate Health & Hospitals Corp. | ||||||||
3.39%, 10/15/2049 | 792,000 | 822,647 | ||||||
Aetna, Inc. | ||||||||
4.50%, 05/15/2042 | 4,205,000 | 4,491,302 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,981,847 | ||||||
6.75%, 12/15/2037 | 341,000 | 454,476 | ||||||
Ahold Finance USA LLC | ||||||||
6.88%, 05/01/2029 | 3,280,000 | 4,549,794 | ||||||
Allergan Finance LLC | ||||||||
3.25%, 10/01/2022 | 4,000,000 | 4,010,196 | ||||||
Allergan Funding SCS | ||||||||
3.45%, 03/15/2022 | 1,238,000 | 1,285,200 |
3.80%, 03/15/2025 | 3,000,000 | 3,072,050 | ||||||
3.85%, 06/15/2024 | 1,198,000 | 1,254,720 | ||||||
4.55%, 03/15/2035 | 6,025,000 | 6,634,929 | ||||||
Allergan Sales LLC | ||||||||
5.00%, 12/15/2021(3) | 3,500,000 | 3,625,709 | ||||||
Allergan, Inc. | ||||||||
2.80%, 03/15/2023 | 971,000 | 965,314 | ||||||
AmerisourceBergen Corp. | ||||||||
4.30%, 12/15/2047 | 1,080,000 | 1,123,273 | ||||||
Amgen, Inc. | ||||||||
2.70%, 05/01/2022 | 5,600,000 | 5,733,988 | ||||||
3.15%, 02/21/2040 | 2,000,000 | 1,971,351 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
4.63%, 02/01/2044 | 455,000 | 477,675 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.38%, 04/15/2038 | 2,240,000 | 2,257,159 | ||||||
4.44%, 10/06/2048 | 590,000 | 602,678 | ||||||
4.60%, 04/15/2048 | 3,701,000 | 3,920,567 | ||||||
4.70%, 02/01/2036 | 8,132,000 | 8,494,805 | ||||||
4.75%, 01/23/2029 | 2,345,000 | 2,578,095 | ||||||
4.75%, 04/15/2058 | 93,000 | 95,522 | ||||||
4.90%, 02/01/2046 | 10,072,000 | 10,993,659 | ||||||
4.95%, 01/15/2042 | 2,735,000 | 2,950,783 | ||||||
5.45%, 01/23/2039 | 7,035,000 | 8,189,937 | ||||||
Anthem, Inc. | ||||||||
3.13%, 05/15/2022 | 484,000 | 492,291 | ||||||
3.30%, 01/15/2023 | 271,000 | 274,707 | ||||||
3.50%, 08/15/2024 | 694,000 | 712,179 | ||||||
4.10%, 03/01/2028 | 920,000 | 990,449 | ||||||
4.38%, 12/01/2047 | 4,500,000 | 4,843,963 | ||||||
4.63%, 05/15/2042 | 400,000 | 444,913 | ||||||
4.65%, 01/15/2043 | 391,000 | 441,015 | ||||||
4.65%, 08/15/2044 | 395,000 | 437,830 | ||||||
5.10%, 01/15/2044 | 1,690,000 | 2,004,169 | ||||||
Ascension Health | ||||||||
3.11%, 11/15/2039 | 2,670,000 | 2,715,999 | ||||||
AstraZeneca Plc | ||||||||
4.00%, 09/18/2042 | 540,000 | 607,983 | ||||||
6.45%, 09/15/2037 | 500,000 | 716,630 | ||||||
BAT Capital Corp. | ||||||||
3.22%, 09/06/2026 | 13,229,000 | 12,579,226 | ||||||
3.22%, 08/15/2024 | 7,145,000 | 7,176,471 | ||||||
4.54%, 08/15/2047 | 635,000 | 579,483 | ||||||
4.91%, 04/02/2030 | 947,000 | 971,417 | ||||||
Baxalta, Inc. | ||||||||
3.60%, 06/23/2022 | 110,000 | 112,264 | ||||||
5.25%, 06/23/2045 | 50,000 | 62,763 | ||||||
Bayer US Finance II LLC | ||||||||
1.85% (3 Month LIBOR USD + 0.63%), 06/25/2021(2)(3) | 4,135,000 | 4,002,916 | ||||||
3.50%, 06/25/2021(3) | 1,650,000 | 1,653,195 | ||||||
Becton Dickinson & Co. | ||||||||
3.73%, 12/15/2024 | 1,972,000 | 2,021,797 | ||||||
Boston Scientific Corp. | ||||||||
3.75%, 03/01/2026 | 765,000 | 802,423 | ||||||
4.00%, 03/01/2029 | 1,545,000 | 1,635,190 | ||||||
4.55%, 03/01/2039 | 725,000 | 797,024 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.20%, 06/15/2026(3) | 2,246,000 | 2,398,852 | ||||||
3.25%, 02/20/2023(3) | 2,000,000 | 2,099,685 | ||||||
4.13%, 06/15/2039(3) | 7,109,000 | 8,578,019 | ||||||
4.25%, 10/26/2049(3) | 2,526,000 | 3,165,600 | ||||||
4.35%, 11/15/2047(3) | 7,950,000 | 9,985,847 |
4.55%, 02/20/2048(3) | 1,770,000 | 2,243,690 | ||||||
4.63%, 05/15/2044(3) | 2,640,000 | 3,377,220 | ||||||
5.00%, 08/15/2045(3) | 860,000 | 1,153,699 | ||||||
5.70%, 10/15/2040(3) | 302,000 | 419,458 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.50%, 11/24/2020 | 283,000 | 285,346 | ||||||
Campbell Soup Co. | ||||||||
4.80%, 03/15/2048 | 525,000 | 632,202 | ||||||
Cargill, Inc. | ||||||||
3.25%, 03/01/2023(3) | 345,000 | 358,646 | ||||||
3.30%, 03/01/2022(3) | 800,000 | 818,583 | ||||||
Cigna Corp. | ||||||||
2.40%, 03/15/2030 | 7,665,000 | 7,250,554 | ||||||
3.05%, 11/30/2022(3) | 9,105,000 | 9,334,792 | ||||||
3.25%, 04/15/2025(3) | 970,000 | 990,101 | ||||||
3.40%, 09/17/2021 | 7,505,000 | 7,617,096 | ||||||
4.38%, 10/15/2028 | 30,325,000 | 32,618,772 | ||||||
4.50%, 02/25/2026(3) | 755,000 | 815,227 | ||||||
4.80%, 07/15/2046(3) | 218,000 | 258,965 | ||||||
4.90%, 12/15/2048 | 2,115,000 | 2,556,391 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.75%, 01/22/2030 | 1,370,000 | 1,340,028 | ||||||
Conagra Brands, Inc. | ||||||||
4.30%, 05/01/2024 | 9,846,000 | 10,222,936 | ||||||
4.95%, 08/15/2020 | 40,000 | 40,483 | ||||||
7.00%, 10/01/2028 | 3,250,000 | 3,911,018 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 1,833,677 | ||||||
Constellation Brands, Inc. | ||||||||
4.40%, 11/15/2025 | 760,000 | 766,706 | ||||||
4.65%, 11/15/2028 | 4,780,000 | 4,782,295 | ||||||
Cottage Health Obligated Group | ||||||||
3.30%, 11/01/2049 | 4,046,000 | 4,125,387 | ||||||
CVS Health Corp. | ||||||||
3.70%, 03/09/2023 | 3,918,000 | 4,078,591 | ||||||
4.00%, 12/05/2023 | 6,000,000 | 6,265,014 | ||||||
4.30%, 03/25/2028 | 3,575,000 | 3,796,663 | ||||||
4.78%, 03/25/2038 | 550,000 | 604,044 | ||||||
4.88%, 07/20/2035 | 2,515,000 | 2,860,623 | ||||||
5.05%, 03/25/2048 | 4,000,000 | 4,542,423 | ||||||
5.13%, 07/20/2045 | 4,430,000 | 5,079,614 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,847,206 | ||||||
CVS Pass-Through Trust | ||||||||
5.77%, 01/10/2033(3) | 769,736 | 941,968 | ||||||
5.93%, 01/10/2034(3) | 572,536 | 651,557 | ||||||
7.51%, 01/10/2032(3) | 854,202 | 1,110,773 | ||||||
CVS Pass-Through Trust Series 2009 | ||||||||
8.35%, 07/10/2031(3) | 862,500 | 1,035,881 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036(3) | 2,603,843 | 2,923,518 | ||||||
DH Europe Finance II Sarl | ||||||||
3.25%, 11/15/2039 | 431,000 | 420,297 | ||||||
Diageo Investment Corp. | ||||||||
8.00%, 09/15/2022 | 516,000 | 580,356 | ||||||
ERAC USA Finance LLC | ||||||||
4.50%, 08/16/2021(3) | 400,000 | 407,773 | ||||||
4.50%, 02/15/2045(3) | 300,000 | 274,664 | ||||||
5.63%, 03/15/2042(3) | 357,000 | 388,770 | ||||||
Experian Finance Plc | ||||||||
2.75%, 03/08/2030(3) | 9,240,000 | 8,829,093 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 557,583 |
General Mills, Inc. | ||||||||
4.00%, 04/17/2025 | 925,000 | 996,782 | ||||||
4.55%, 04/17/2038 | 3,250,000 | 3,450,422 | ||||||
Gilead Sciences, Inc. | ||||||||
4.60%, 09/01/2035 | 4,225,000 | 5,418,701 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024(3) | 5,000,000 | 4,929,348 | ||||||
4.70%, 11/10/2047(3) | 4,500,000 | 4,243,995 | ||||||
Hartford HealthCare Corp. | ||||||||
3.45%, 07/01/2054 | 3,370,000 | 3,199,891 | ||||||
HCA, Inc. | ||||||||
5.13%, 06/15/2039 | 1,715,000 | 1,771,328 | ||||||
5.25%, 06/15/2026 | 2,000,000 | 2,097,943 | ||||||
Highmark, Inc. | ||||||||
4.75%, 05/15/2021(3) | 3,322,000 | 3,422,545 | ||||||
JM Smucker Co. | ||||||||
3.00%, 03/15/2022 | 4,750,000 | 4,823,349 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,401,642 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
3.13%, 12/15/2023 | 925,000 | 938,994 | ||||||
3.43%, 06/15/2027 | 1,802,000 | 1,837,717 | ||||||
4.06%, 05/25/2023 | 4,575,000 | 4,764,548 | ||||||
4.42%, 05/25/2025 | 447,000 | 476,421 | ||||||
4.42%, 12/15/2046 | 4,032,000 | 4,515,844 | ||||||
4.99%, 05/25/2038 | 646,000 | 719,528 | ||||||
5.09%, 05/25/2048 | 500,000 | 623,365 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.80%, 07/02/2020 | 541,000 | 536,981 | ||||||
3.00%, 06/01/2026 | 3,625,000 | 3,522,601 | ||||||
4.38%, 06/01/2046 | 4,425,000 | 3,990,957 | ||||||
4.88%, 10/01/2049(3) | 3,375,000 | 3,072,494 | ||||||
Kroger Co. | ||||||||
3.95%, 01/15/2050 | 1,600,000 | 1,655,551 | ||||||
4.45%, 02/01/2047 | 1,010,000 | 1,110,567 | ||||||
5.40%, 07/15/2040 | 95,000 | 112,898 | ||||||
Laboratory Corp. of America Holdings | ||||||||
2.95%, 12/01/2029 | 7,795,000 | 7,520,741 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,136,135 | ||||||
Mars, Inc. | ||||||||
3.95%, 04/01/2049(3) | 5,320,000 | 5,772,331 | ||||||
Massachusetts Institute of Technology | ||||||||
3.89%, 07/01/2116 | 2,906,000 | 3,347,811 | ||||||
4.68%, 07/01/2114 | 1,645,000 | 2,259,045 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 891,000 | 972,365 | ||||||
Medtronic, Inc. | ||||||||
3.50%, 03/15/2025 | 5,546,000 | 5,973,659 | ||||||
Memorial Health Services | ||||||||
3.45%, 11/01/2049 | 3,040,000 | 3,113,059 | ||||||
Mount Sinai Hospitals Group, Inc. | ||||||||
3.98%, 07/01/2048 | 999,000 | 1,046,556 | ||||||
Mylan NV | ||||||||
3.95%, 06/15/2026 | 532,000 | 531,321 | ||||||
Mylan, Inc. | ||||||||
3.13%, 01/15/2023(3) | 5,000,000 | 4,848,806 | ||||||
4.55%, 04/15/2028 | 700,000 | 685,303 | ||||||
5.20%, 04/15/2048 | 5,965,000 | 5,354,395 | ||||||
New York & Presbyterian Hospital | ||||||||
4.02%, 08/01/2045 | 125,000 | 144,407 | ||||||
Novartis Capital Corp. | ||||||||
1.75%, 02/14/2025 | 1,677,000 | 1,693,815 | ||||||
2.20%, 08/14/2030 | 1,683,000 | 1,709,904 |
NYU Langone Hospitals | ||||||||
3.38%, 07/01/2055 | 1,270,000 | 1,180,655 | ||||||
Orlando Health Obligated Group | ||||||||
4.09%, 10/01/2048 | 2,605,000 | 2,770,126 | ||||||
Partners Healthcare System, Inc. | ||||||||
3.34%, 07/01/2060 | 5,470,000 | 5,348,866 | ||||||
Pepperdine University | ||||||||
3.30%, 12/01/2059 | 1,440,000 | 1,651,519 | ||||||
Pfizer, Inc. | ||||||||
4.40%, 05/15/2044 | 3,464,000 | 4,242,466 | ||||||
5.80%, 08/12/2023 | 4,000,000 | 4,494,518 | ||||||
Philip Morris International, Inc. | ||||||||
2.50%, 11/02/2022 | 1,300,000 | 1,304,967 | ||||||
President & Fellows of Harvard College | ||||||||
3.30%, 07/15/2056 | 5,599,000 | 6,023,507 | ||||||
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 35,838 | 37,379 | ||||||
Procter & Gamble Co. | ||||||||
2.45%, 03/25/2025 | 2,434,000 | 2,551,620 | ||||||
3.00%, 03/25/2030 | 49,000 | 54,392 | ||||||
3.60%, 03/25/2050 | 2,086,000 | 2,573,086 | ||||||
Providence St Joseph Health Obligated Group | ||||||||
2.75%, 10/01/2026 | 1,200,000 | 1,281,234 | ||||||
Quest Diagnostics, Inc. | ||||||||
3.45%, 06/01/2026 | 223,000 | 229,093 | ||||||
3.50%, 03/30/2025 | 4,820,000 | 4,931,959 | ||||||
Reckitt Benckiser Treasury Services Plc | ||||||||
2.38%, 06/24/2022(3) | 1,200,000 | 1,177,803 | ||||||
Reynolds American, Inc. | ||||||||
4.45%, 06/12/2025 | 5,000,000 | 5,091,747 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/2021 | 13,135,000 | 13,085,845 | ||||||
2.88%, 09/23/2023 | 668,000 | 681,515 | ||||||
3.20%, 09/23/2026 | 3,626,000 | 3,708,405 | ||||||
Smithfield Foods, Inc. | ||||||||
3.35%, 02/01/2022(3) | 14,000,000 | 13,615,926 | ||||||
Sysco Corp. | ||||||||
5.65%, 04/01/2025 | 1,130,000 | 1,176,596 | ||||||
6.60%, 04/01/2050 | 877,000 | 952,949 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 1,154,232 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
2.95%, 09/19/2026 | 476,000 | 481,776 | ||||||
3.00%, 04/15/2023 | 227,000 | 232,839 | ||||||
4.13%, 03/25/2025 | 2,267,000 | 2,429,107 | ||||||
4.50%, 03/25/2030 | 931,000 | 1,049,433 | ||||||
Tyson Foods, Inc. | ||||||||
4.50%, 06/15/2022 | 2,485,000 | 2,569,007 | ||||||
4.88%, 08/15/2034 | 400,000 | 488,069 | ||||||
5.15%, 08/15/2044 | 588,000 | 696,140 | ||||||
Unilever Capital Corp. | ||||||||
3.38%, 03/22/2025 | 800,000 | 852,706 | ||||||
UnitedHealth Group, Inc. | ||||||||
3.10%, 03/15/2026 | 550,000 | 581,170 | ||||||
3.50%, 08/15/2039 | 1,675,000 | 1,801,428 | ||||||
4.63%, 07/15/2035 | 427,000 | 508,983 | ||||||
University of Chicago | ||||||||
2.76%, 04/01/2045 | 1,575,000 | 1,488,192 | ||||||
University of Southern California | ||||||||
3.23%, 10/01/2120 | 3,677,000 | 3,796,469 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 06/15/2025 | 7,000,000 | 7,473,128 |
Zimmer Biomet Holdings, Inc. | ||||||||
3.38%, 11/30/2021 | 3,650,000 | 3,661,679 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 6,040,344 | ||||||
3.70%, 03/19/2023 | 407,000 | 417,052 | ||||||
Zoetis, Inc. | ||||||||
3.00%, 09/12/2027 | 4,685,000 | 4,723,327 | ||||||
|
| |||||||
Total Consumer, Non-cyclical | 602,442,078 | |||||||
|
| |||||||
Diversified 0.03% | ||||||||
CK Hutchison International 16 Ltd. | ||||||||
1.88%, 10/03/2021(3) | 402,000 | 400,720 | ||||||
2.75%, 10/03/2026(3) | 600,000 | 624,529 | ||||||
CK Hutchison International 17 II Ltd. | ||||||||
2.75%, 03/29/2023(3) | 500,000 | 510,726 | ||||||
CK Hutchison International 17 Ltd. | ||||||||
2.88%, 04/05/2022(3) | 800,000 | 800,008 | ||||||
CVS Pass-Through Trust | ||||||||
4.70%, 01/10/2036(3) | 895,833 | 1,055,303 | ||||||
Hutchison Whampoa International 12 II Ltd. | ||||||||
3.25%, 11/08/2022(3) | 450,000 | 462,569 | ||||||
|
| |||||||
Total Diversified | 3,853,855 | |||||||
|
| |||||||
Energy 2.78% | ||||||||
Abu Dhabi Crude Oil Pipeline LLC | ||||||||
4.60%, 11/02/2047(3) | 2,718,000 | 2,707,128 | ||||||
ANR Pipeline Co. | ||||||||
9.63%, 11/01/2021 | 337,000 | 355,774 | ||||||
Apache Corp. | ||||||||
3.25%, 04/15/2022 | 40,000 | 30,793 | ||||||
4.75%, 04/15/2043 | 416,000 | 184,220 | ||||||
5.10%, 09/01/2040 | 600,000 | 265,213 | ||||||
APT Pipelines Ltd. | ||||||||
4.20%, 03/23/2025(3) | 2,100,000 | 2,254,549 | ||||||
4.25%, 07/15/2027(3) | 1,098,000 | 1,143,301 | ||||||
Baker Hughes a GE Co. LLC | ||||||||
5.13%, 09/15/2040 | 600,000 | 538,260 | ||||||
Boardwalk Pipelines LP | ||||||||
4.80%, 05/03/2029 | 960,000 | 724,030 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.02%, 01/16/2027 | 1,052,000 | 1,068,230 | ||||||
3.25%, 05/06/2022 | 262,000 | 266,048 | ||||||
3.79%, 02/06/2024 | 9,145,000 | 9,476,320 | ||||||
BP Capital Markets Plc | ||||||||
3.28%, 09/19/2027 | 2,309,000 | 2,324,450 | ||||||
3.51%, 03/17/2025 | 45,000 | 46,839 | ||||||
3.54%, 11/04/2024 | 700,000 | 738,772 | ||||||
Buckeye Partners LP | ||||||||
5.60%, 10/15/2044 | 2,000,000 | 1,260,000 | ||||||
5.85%, 11/15/2043 | 591,000 | 395,793 | ||||||
Canadian Natural Resources Ltd. | ||||||||
6.50%, 02/15/2037 | 118,000 | 94,066 | ||||||
7.20%, 01/15/2032 | 41,000 | 36,193 | ||||||
Cenovus Energy, Inc. | ||||||||
5.25%, 06/15/2037 | 5,270,000 | 2,364,233 | ||||||
5.40%, 06/15/2047 | 322,000 | 146,573 | ||||||
CNOOC Finance 2013 Ltd. | ||||||||
2.88%, 09/30/2029 | 6,325,000 | 6,394,273 | ||||||
3.00%, 05/09/2023 | 2,000,000 | 2,039,206 | ||||||
CNOOC Finance 2015 Australia Pty Ltd. | ||||||||
2.63%, 05/05/2020 | 1,583,000 | 1,583,538 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
5.80%, 06/01/2045 | 2,700,000 | 2,844,072 | ||||||
ConocoPhillips Co. | ||||||||
4.95%, 03/15/2026 | 598,000 | 640,063 |
Ecopetrol SA | ||||||||
4.13%, 01/16/2025 | 383,000 | 356,768 | ||||||
5.38%, 06/26/2026 | 537,000 | 521,964 | ||||||
5.88%, 09/18/2023 | 395,000 | 386,116 | ||||||
Enable Midstream Partners LP | ||||||||
4.40%, 03/15/2027 | 900,000 | 436,403 | ||||||
4.95%, 05/15/2028 | 615,000 | 306,809 | ||||||
Enbridge Energy Partners LP | ||||||||
7.50%, 04/15/2038 | 1,000,000 | 1,214,888 | ||||||
Enbridge, Inc. | ||||||||
3.70%, 07/15/2027 | 538,000 | 533,580 | ||||||
4.50%, 06/10/2044 | 500,000 | 462,418 | ||||||
6.25% (3 Month LIBOR USD + 3.64%), 03/01/2078(2) | 950,000 | 712,500 | ||||||
Encana Corp. | ||||||||
6.50%, 08/15/2034 | 268,000 | 125,883 | ||||||
7.20%, 11/01/2031 | 500,000 | 219,635 | ||||||
7.38%, 11/01/2031 | 274,000 | 123,402 | ||||||
8.13%, 09/15/2030 | 400,000 | 184,816 | ||||||
Energy Transfer Operating LP | ||||||||
2.90%, 05/15/2025 | 2,022,000 | 1,707,353 | ||||||
4.75%, 01/15/2026 | 497,000 | 439,158 | ||||||
5.00%, 05/15/2050 | 5,545,000 | 4,280,310 | ||||||
6.05%, 06/01/2041 | 500,000 | 436,130 | ||||||
6.13%, 12/15/2045 | 810,000 | 672,582 | ||||||
6.25%, 04/15/2049 | 903,000 | 764,218 | ||||||
Energy Transfer Partners LP | ||||||||
5.00%, 10/01/2022 | 3,300,000 | 3,004,904 | ||||||
5.88%, 03/01/2022 | 5,000,000 | 4,696,641 | ||||||
ENI SpA | ||||||||
4.25%, 05/09/2029(3) | 2,825,000 | 2,737,042 | ||||||
5.70%, 10/01/2040(3) | 557,000 | 559,334 | ||||||
ENI USA, Inc. | ||||||||
7.30%, 11/15/2027 | 400,000 | 485,768 | ||||||
EnLink Midstream Partners LP | ||||||||
4.15%, 06/01/2025 | 1,000,000 | 484,700 | ||||||
Enterprise Products Operating LLC | ||||||||
3.70%, 02/15/2026 | 304,000 | 303,418 | ||||||
3.90%, 02/15/2024 | 3,400,000 | 3,460,225 | ||||||
3.95%, 01/31/2060 | 870,000 | 732,163 | ||||||
4.20%, 01/31/2050 | 1,335,000 | 1,250,032 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 3,877,483 | ||||||
4.95%, 10/15/2054 | 177,000 | 181,235 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 1,060,331 | ||||||
5.95%, 02/01/2041 | 201,000 | 218,222 | ||||||
EOG Resources, Inc. | ||||||||
2.63%, 03/15/2023 | 249,000 | 244,075 | ||||||
EQM Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 3,500,000 | 2,441,950 | ||||||
4.75%, 07/15/2023 | 5,000,000 | 3,618,500 | ||||||
EQT Corp. | ||||||||
3.90%, 10/01/2027 | 805,000 | 555,208 | ||||||
Equinor ASA | ||||||||
2.65%, 01/15/2024 | 663,000 | 673,806 | ||||||
3.25%, 11/10/2024 | 508,000 | 497,019 | ||||||
Exxon Mobil Corp. | ||||||||
3.00%, 08/16/2039 | 2,035,000 | 2,037,814 | ||||||
3.10%, 08/16/2049 | 2,040,000 | 2,069,019 | ||||||
3.29%, 03/19/2027 | 4,900,000 | 5,325,188 | ||||||
3.48%, 03/19/2030 | 4,500,000 | 4,986,528 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
4.95%, 07/19/2022(3) | 610,000 | 617,167 | ||||||
6.51%, 03/07/2022(3) | 1,140,000 | 1,178,477 |
Halliburton Co. | ||||||||
3.25%, 11/15/2021 | 12,079,000 | 11,518,359 | ||||||
4.75%, 08/01/2043 | 565,000 | 435,484 | ||||||
4.85%, 11/15/2035 | 200,000 | 155,241 | ||||||
7.60%, 08/15/2096(3) | 258,000 | 244,836 | ||||||
Helmerich & Payne, Inc. | ||||||||
4.65%, 03/15/2025 | 4,710,000 | 4,911,043 | ||||||
Hess Corp. | ||||||||
6.00%, 01/15/2040 | 513,000 | 369,726 | ||||||
7.88%, 10/01/2029 | 1,328,000 | 1,070,454 | ||||||
Husky Energy, Inc. | ||||||||
6.80%, 09/15/2037 | 2,100,000 | 1,727,939 | ||||||
KazMunayGas National Co. JSC | ||||||||
4.75%, 04/24/2025(3) | 1,590,000 | 1,583,033 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
4.30%, 05/01/2024 | 3,700,000 | 3,697,942 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 4,771,159 | ||||||
6.95%, 01/15/2038 | 2,242,000 | 2,333,857 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,891,738 | ||||||
7.50%, 11/15/2040 | 483,000 | 535,413 | ||||||
Kinder Morgan, Inc. | ||||||||
4.30%, 03/01/2028 | 2,000,000 | 1,962,937 | ||||||
5.20%, 03/01/2048 | 600,000 | 633,763 | ||||||
7.80%, 08/01/2031 | 4,600,000 | 5,282,052 | ||||||
Magellan Midstream Partners LP | ||||||||
3.20%, 03/15/2025 | 386,000 | 350,578 | ||||||
4.20%, 12/01/2042 | 417,000 | 363,108 | ||||||
4.20%, 03/15/2045 | 5,725,000 | 4,751,504 | ||||||
4.20%, 10/03/2047 | 1,050,000 | 925,342 | ||||||
4.25%, 02/01/2021 | 502,000 | 499,446 | ||||||
5.15%, 10/15/2043 | 441,000 | 429,705 | ||||||
Marathon Oil Corp. | ||||||||
2.80%, 11/01/2022 | 700,000 | 535,788 | ||||||
Marathon Petroleum Corp. | ||||||||
3.40%, 12/15/2020 | 2,544,000 | 2,520,285 | ||||||
3.63%, 09/15/2024 | 1,241,000 | 1,100,419 | ||||||
4.50%, 04/01/2048 | 3,000,000 | 2,300,176 | ||||||
4.75%, 12/15/2023 | 2,234,000 | 2,115,231 | ||||||
5.38%, 10/01/2022 | 4,640,000 | 4,379,377 | ||||||
MPLX LP | ||||||||
4.13%, 03/01/2027 | 622,000 | 530,427 | ||||||
4.50%, 04/15/2038 | 8,016,000 | 6,265,046 | ||||||
4.70%, 04/15/2048 | 210,000 | 162,567 | ||||||
4.80%, 02/15/2029 | 743,000 | 654,926 | ||||||
4.88%, 06/01/2025 | 3,000,000 | 2,470,534 | ||||||
5.20%, 03/01/2047 | 1,573,000 | 1,255,117 | ||||||
5.25%, 01/15/2025(3) | 5,103,000 | 4,491,688 | ||||||
5.50%, 02/15/2049 | 1,665,000 | 1,405,673 | ||||||
Newfield Exploration Co. | ||||||||
5.75%, 01/30/2022 | 1,320,000 | 898,772 | ||||||
Nexen, Inc. | ||||||||
6.40%, 05/15/2037 | 4,408,000 | 6,009,333 | ||||||
Noble Energy, Inc. | ||||||||
3.25%, 10/15/2029 | 1,155,000 | 675,375 | ||||||
5.05%, 11/15/2044 | 3,740,000 | 2,310,075 | ||||||
5.25%, 11/15/2043 | 3,975,000 | 2,337,161 | ||||||
6.00%, 03/01/2041 | 1,240,000 | 832,204 | ||||||
Occidental Petroleum Corp. | ||||||||
0.00%, 10/10/2036 | 4,000,000 | 1,535,155 | ||||||
2.70%, 02/15/2023 | 1,276,000 | 761,265 | ||||||
2.70%, 08/15/2022 | 116,000 | 82,653 | ||||||
3.20%, 08/15/2026 | 3,000,000 | 1,464,036 |
4.30%, 08/15/2039 | 1,540,000 | 654,804 | ||||||
4.63%, 06/15/2045 | 158,000 | 67,860 | ||||||
4.85%, 03/15/2021 | 4,327,000 | 3,624,737 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 1,284,135 | ||||||
6.95%, 07/01/2024 | 127,000 | 71,731 | ||||||
7.15%, 05/15/2028 | 170,000 | 84,173 | ||||||
7.50%, 05/01/2031 | 206,000 | 106,639 | ||||||
7.88%, 09/15/2031 | 900,000 | 478,665 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021(3) | 225,000 | 213,750 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/2022 | 151,000 | 140,404 | ||||||
5.00%, 09/15/2023 | 3,923,000 | 3,613,615 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,244,480 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 954,848 | ||||||
ONEOK, Inc. | ||||||||
2.20%, 09/15/2025 | 9,661,000 | 7,455,400 | ||||||
3.10%, 03/15/2030 | 13,970,000 | 10,502,998 | ||||||
3.40%, 09/01/2029 | 925,000 | 691,214 | ||||||
4.50%, 03/15/2050 | 915,000 | 688,931 | ||||||
4.95%, 07/13/2047 | 1,850,000 | 1,463,462 | ||||||
5.20%, 07/15/2048 | 1,400,000 | 1,099,003 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/2021 | 810,000 | 779,423 | ||||||
6.35%, 02/12/2048 | 6,057,000 | 3,785,625 | ||||||
6.49%, 01/23/2027(3) | 4,816,000 | 3,551,800 | ||||||
6.50%, 03/13/2027 | 1,090,000 | 806,709 | ||||||
6.50%, 01/23/2029 | 970,000 | 700,825 | ||||||
6.63%, 06/15/2035 | 107,000 | 71,952 | ||||||
6.75%, 09/21/2047 | 10,531,000 | 6,733,416 | ||||||
6.88%, 08/04/2026 | 2,390,000 | 1,816,400 | ||||||
7.69%, 01/23/2050(3) | 4,534,000 | 3,151,130 | ||||||
Phillips 66 | ||||||||
4.88%, 11/15/2044 | 70,000 | 71,111 | ||||||
5.88%, 05/01/2042 | 3,000,000 | 2,980,536 | ||||||
Phillips 66 Partners LP | ||||||||
3.15%, 12/15/2029 | 655,000 | 536,776 | ||||||
3.55%, 10/01/2026 | 190,000 | 171,491 | ||||||
3.61%, 02/15/2025 | 560,000 | 531,876 | ||||||
4.90%, 10/01/2046 | 412,000 | 347,512 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
3.55%, 12/15/2029 | 2,800,000 | 1,912,992 | ||||||
4.65%, 10/15/2025 | 18,423,000 | 14,911,351 | ||||||
4.70%, 06/15/2044 | 3,880,000 | 2,555,349 | ||||||
5.15%, 06/01/2042 | 1,540,000 | 1,019,247 | ||||||
Reliance Holding USA, Inc. | ||||||||
5.40%, 02/14/2022(3) | 1,115,000 | 1,134,121 | ||||||
Sabal Trail Transmission LLC | ||||||||
4.68%, 05/01/2038(3) | 10,000,000 | 9,117,877 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.88%, 06/30/2026 | 10,000,000 | 9,524,485 | ||||||
Schlumberger Holdings Corp. | ||||||||
3.75%, 05/01/2024(3) | 780,000 | 738,200 | ||||||
3.90%, 05/17/2028(3) | 852,000 | 792,310 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021(3) | 337,000 | 340,776 | ||||||
Sinopec Group Overseas Development 2015 Ltd. | ||||||||
2.50%, 04/28/2020(3) | 8,000,000 | 8,009,040 | ||||||
Sinopec Group Overseas Development 2016 Ltd. | ||||||||
3.50%, 05/03/2026(3) | 2,000,000 | 2,079,089 | ||||||
Sinopec Group Overseas Development 2018 Ltd. | ||||||||
3.68%, 08/08/2049(3) | 4,318,000 | 4,580,590 |
Southern Natural Gas Co. LLC | ||||||||
4.80%, 03/15/2047(3) | 428,000 | 419,296 | ||||||
8.00%, 03/01/2032 | 446,000 | 540,520 | ||||||
Spectra Energy Partners LP | ||||||||
3.50%, 03/15/2025 | 787,000 | 734,058 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 2,727,332 | ||||||
5.95%, 09/25/2043 | 207,000 | 229,088 | ||||||
Suncor Energy, Inc. | ||||||||
5.95%, 12/01/2034 | 1,048,000 | 1,002,637 | ||||||
5.95%, 05/15/2035 | 350,000 | 322,717 | ||||||
6.80%, 05/15/2038 | 423,000 | 447,186 | ||||||
7.88%, 06/15/2026 | 543,000 | 601,881 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.95%, 01/15/2043 | 1,482,000 | 1,164,861 | ||||||
5.30%, 04/01/2044 | 200,000 | 166,525 | ||||||
5.40%, 10/01/2047 | 1,500,000 | 1,190,972 | ||||||
TC PipeLines LP | ||||||||
3.90%, 05/25/2027 | 5,457,000 | 5,180,136 | ||||||
4.38%, 03/13/2025 | 8,465,000 | 8,572,489 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022(3) | 714,000 | 701,241 | ||||||
3.50%, 01/15/2028(3) | 450,000 | 412,858 | ||||||
Total Capital International SA | ||||||||
3.46%, 07/12/2049 | 1,905,000 | 1,944,797 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.75%, 05/15/2038 | 1,000,000 | 990,424 | ||||||
4.88%, 01/15/2026 | 792,000 | 847,970 | ||||||
6.20%, 10/15/2037 | 573,000 | 664,260 | ||||||
Valero Energy Corp. | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,160,865 | ||||||
7.50%, 04/15/2032 | 175,000 | 202,785 | ||||||
Western Midstream Operating LP | ||||||||
3.10%, 02/01/2025 | 4,418,000 | 2,311,259 | ||||||
4.05%, 02/01/2030 | 1,197,000 | 526,832 | ||||||
Williams Cos, Inc. | ||||||||
3.90%, 01/15/2025 | 700,000 | 627,665 | ||||||
4.30%, 03/04/2024 | 2,500,000 | 2,271,602 | ||||||
4.85%, 03/01/2048 | 3,000,000 | 2,800,339 | ||||||
4.90%, 01/15/2045 | 7,000,000 | 6,130,629 | ||||||
5.40%, 03/04/2044 | 2,750,000 | 2,429,065 | ||||||
5.75%, 06/24/2044 | 2,500,000 | 2,613,512 | ||||||
6.30%, 04/15/2040 | 333,000 | 336,119 | ||||||
8.75%, 03/15/2032 | 5,483,000 | 5,963,936 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025(3) | 3,300,000 | 3,085,870 | ||||||
|
| |||||||
Total Energy | 380,155,645 | |||||||
|
| |||||||
Financials 11.86% | ||||||||
ABN AMRO Bank NV | ||||||||
2.45%, 06/04/2020(3) | 1,594,000 | 1,586,393 | ||||||
2.65%, 01/19/2021(3) | 1,000,000 | 998,200 | ||||||
4.75%, 07/28/2025(3) | 6,031,000 | 6,038,765 | ||||||
AerCap Ireland Capital DAC | ||||||||
3.30%, 01/23/2023 | 701,000 | 581,827 | ||||||
3.50%, 01/15/2025 | 1,500,000 | 1,274,374 | ||||||
Aflac, Inc. | ||||||||
3.60%, 04/01/2030 | 5,534,000 | 5,602,111 | ||||||
AIA Group Ltd. | ||||||||
3.20%, 03/11/2025(3) | 5,545,000 | 5,680,353 | ||||||
3.60%, 04/09/2029(3) | 795,000 | 820,533 | ||||||
3.90%, 04/06/2028(3) | 1,000,000 | 1,052,720 | ||||||
AIB Group Plc | ||||||||
4.75%, 10/12/2023(3) | 3,500,000 | 3,465,117 |
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032(3) | 955,000 | 1,263,663 | ||||||
Air Lease Corp. | ||||||||
3.25%, 03/01/2025 | 710,000 | 557,873 | ||||||
3.25%, 10/01/2029 | 3,950,000 | 3,164,544 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.80%, 04/15/2026 | 338,000 | 339,135 | ||||||
4.00%, 02/01/2050 | 1,451,000 | 1,314,391 | ||||||
American Express Co. | ||||||||
4.20%, 11/06/2025 | 1,400,000 | 1,546,285 | ||||||
American Financial Group, Inc. | ||||||||
3.50%, 08/15/2026 | 1,435,000 | 1,365,952 | ||||||
American International Group, Inc. | ||||||||
3.38%, 08/15/2020 | 4,639,000 | 4,649,982 | ||||||
3.88%, 01/15/2035 | 376,000 | 368,585 | ||||||
3.90%, 04/01/2026 | 1,370,000 | 1,427,428 | ||||||
4.13%, 02/15/2024 | 107,000 | 112,288 | ||||||
6.40%, 12/15/2020 | 5,100,000 | 5,243,482 | ||||||
American Tower Corp. | ||||||||
2.25%, 01/15/2022 | 600,000 | 585,662 | ||||||
2.90%, 01/15/2030 | 120,000 | 116,774 | ||||||
3.38%, 10/15/2026 | 506,000 | 506,085 | ||||||
3.70%, 10/15/2049 | 2,065,000 | 1,974,548 | ||||||
American Tower Trust | ||||||||
3.07%, 03/15/2023(3) | 2,900,000 | 2,849,295 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 631,362 | ||||||
ANZ New Zealand Intl Ltd. | ||||||||
3.45%, 01/21/2028(3) | 500,000 | 507,038 | ||||||
Aon Plc | ||||||||
3.50%, 06/14/2024 | 815,000 | 851,119 | ||||||
4.00%, 11/27/2023 | 5,000,000 | 5,253,128 | ||||||
ASB Bank Ltd. | ||||||||
3.13%, 05/23/2024(3) | 2,050,000 | 2,107,249 | ||||||
Assurant, Inc. | ||||||||
4.20%, 09/27/2023 | 1,210,000 | 1,285,365 | ||||||
Athene Global Funding | ||||||||
2.75%, 04/20/2020(3) | 1,407,000 | 1,403,936 | ||||||
2.95%, 11/12/2026(3) | 8,370,000 | 8,030,288 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
4.40%, 05/19/2026(3) | 226,000 | 226,806 | ||||||
4.50%, 03/19/2024(3) | 9,000,000 | 9,292,500 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
4.38%, 05/01/2026(3) | 790,000 | 632,337 | ||||||
5.25%, 05/15/2024(3) | 1,220,000 | 1,039,015 | ||||||
Banco del Estado de Chile | ||||||||
2.67%, 01/08/2021(3) | 8,788,000 | 8,722,090 | ||||||
Banco Santander SA | ||||||||
2.97% (3 Month LIBOR USD + 1.12%), 04/12/2023(2) | 1,000,000 | 961,013 | ||||||
3.13%, 02/23/2023 | 2,200,000 | 2,181,005 | ||||||
3.50%, 04/11/2022 | 5,000,000 | 4,945,628 | ||||||
3.85%, 04/12/2023 | 2,400,000 | 2,457,414 | ||||||
5.18%, 11/19/2025 | 1,500,000 | 1,636,418 | ||||||
Bank of America Corp. | ||||||||
2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021(2) | 2,500,000 | 2,498,223 | ||||||
2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(2) | 2,000,000 | 2,016,921 | ||||||
2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(2) | 6,710,000 | 6,437,702 | ||||||
2.63%, 04/19/2021 | 2,500,000 | 2,516,308 | ||||||
2.88% (3 Month LIBOR USD + 1.02%), 04/24/2023(2) | 1,640,000 | 1,646,298 | ||||||
2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(2) | 5,130,000 | 5,122,770 | ||||||
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) | 6,882,000 | 7,010,615 | ||||||
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2) | 5,000,000 | 5,101,725 |
3.12% (3 Month LIBOR USD + 1.16%), 01/20/2023(2) | 951,000 | 967,534 | ||||||
3.25%, 10/21/2027 | 5,800,000 | 6,057,484 | ||||||
3.30%, 01/11/2023 | 3,800,000 | 3,935,853 | ||||||
3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(2) | 1,500,000 | 1,559,646 | ||||||
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(2) | 12,346,000 | 12,491,078 | ||||||
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2) | 1,985,000 | 2,057,646 | ||||||
3.56% (3 Month LIBOR USD + 1.06%), 04/23/2027(2) | 13,393,000 | 14,017,779 | ||||||
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2) | 7,800,000 | 7,983,147 | ||||||
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2) | 4,500,000 | 4,705,513 | ||||||
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(2) | 10,000,000 | 10,372,042 | ||||||
3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(2) | 8,174,000 | 8,575,704 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,469,407 | ||||||
3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(2) | 2,820,000 | 3,045,002 | ||||||
4.00%, 01/22/2025 | 5,349,000 | 5,648,505 | ||||||
4.20%, 08/26/2024 | 4,140,000 | 4,400,474 | ||||||
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) | 1,500,000 | 1,627,875 | ||||||
4.30% (3 Month LIBOR USD + 2.66%), 07/28/2168(2) | 3,075,000 | 2,644,500 | ||||||
4.45%, 03/03/2026 | 7,140,000 | 7,721,678 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,664,791 | ||||||
7.75%, 05/14/2038 | 137,000 | 204,046 | ||||||
Bank of Montreal | ||||||||
3.30%, 02/05/2024 | 1,200,000 | 1,253,061 | ||||||
3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(2) | 7,167,000 | 6,961,343 | ||||||
Bank of New York Mellon Corp. | ||||||||
2.95%, 01/29/2023 | 1,000,000 | 1,022,280 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,646,816 | ||||||
3.25%, 09/11/2024 | 650,000 | 676,407 | ||||||
Bank of New Zealand | ||||||||
3.50%, 02/20/2024(3) | 950,000 | 996,645 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
3.75%, 07/20/2023(3) | 1,650,000 | 1,680,579 | ||||||
Barclays Plc | ||||||||
3.65%, 03/16/2025 | 2,522,000 | 2,466,493 | ||||||
3.68%, 01/10/2023 | 10,650,000 | 10,677,184 | ||||||
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(2) | 4,500,000 | 4,318,553 | ||||||
4.34%, 01/10/2028 | 2,360,000 | 2,400,949 | ||||||
4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(2) | 2,300,000 | 2,340,106 | ||||||
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2) | 2,450,000 | 2,643,159 | ||||||
5.20%, 05/12/2026 | 500,000 | 513,700 | ||||||
BB&T Corp. | ||||||||
2.50%, 08/01/2024 | 14,412,000 | 14,251,855 | ||||||
2.85%, 10/26/2024 | 1,000,000 | 1,013,853 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
4.30%, 05/15/2043 | 322,000 | 383,526 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,849,369 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.13%, 03/15/2026 | 8,130,000 | 8,710,848 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
4.45%, 07/15/2045(3) | 170,000 | 183,444 | ||||||
BNP Paribas SA | ||||||||
2.82% (3 Month LIBOR USD + 1.11%), 11/19/2025(2)(3) | 16,669,000 | 16,467,889 | ||||||
3.38%, 01/09/2025(3) | 10,725,000 | 10,653,545 | ||||||
3.50%, 03/01/2023(3) | 430,000 | 431,312 | ||||||
3.80%, 01/10/2024(3) | 1,600,000 | 1,648,142 | ||||||
4.40%, 08/14/2028(3) | 725,000 | 779,503 | ||||||
BNZ International Funding Ltd. | ||||||||
2.10%, 09/14/2021(3) | 400,000 | 395,918 | ||||||
2.65%, 11/03/2022(3) | 10,091,000 | 10,105,250 | ||||||
3.38%, 03/01/2023(3) | 6,000,000 | 6,167,346 | ||||||
BOC Aviation Ltd. | ||||||||
2.38%, 09/15/2021(3) | 3,550,000 | 3,556,583 | ||||||
2.75%, 09/18/2022(3) | 780,000 | 802,195 |
Boston Properties LP | ||||||||
3.13%, 09/01/2023 | 300,000 | 305,599 | ||||||
3.20%, 01/15/2025 | 1,139,000 | 1,175,046 | ||||||
3.65%, 02/01/2026 | 557,000 | 592,585 | ||||||
BPCE SA | ||||||||
2.75%, 01/11/2023(3) | 1,000,000 | 986,001 | ||||||
3.25%, 01/11/2028(3) | 7,815,000 | 7,486,308 | ||||||
4.50%, 03/15/2025(3) | 2,000,000 | 1,984,969 | ||||||
4.63%, 07/11/2024(3) | 1,300,000 | 1,278,114 | ||||||
5.15%, 07/21/2024(3) | 2,800,000 | 2,952,159 | ||||||
5.70%, 10/22/2023(3) | 3,645,000 | 3,744,435 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.85%, 02/01/2025 | 1,100,000 | 1,085,520 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90%, 01/25/2028 | 770,000 | 790,656 | ||||||
4.70%, 09/20/2047 | 769,000 | 722,941 | ||||||
4.85%, 03/29/2029 | 875,000 | 929,223 | ||||||
Capital One Bank USA N.A. | ||||||||
3.38%, 02/15/2023 | 6,000,000 | 5,870,101 | ||||||
Capital One Financial Corp. | ||||||||
3.20%, 02/05/2025 | 726,000 | 711,966 | ||||||
3.75%, 04/24/2024 | 824,000 | 829,273 | ||||||
3.75%, 07/28/2026 | 960,000 | 906,366 | ||||||
3.90%, 01/29/2024 | 3,600,000 | 3,610,140 | ||||||
4.20%, 10/29/2025 | 400,000 | 398,594 | ||||||
Capital One N.A. | ||||||||
2.25%, 09/13/2021 | 7,005,000 | 6,867,630 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,131,514 | ||||||
Charles Schwab Corp. | ||||||||
3.20%, 03/02/2027 | 1,700,000 | 1,721,636 | ||||||
3.23%, 09/01/2022 | 165,000 | 166,664 | ||||||
Citigroup, Inc. | ||||||||
2.75%, 04/25/2022 | 13,420,000 | 13,489,697 | ||||||
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) | 12,352,000 | 12,448,844 | ||||||
2.98% (Secured Overnight Financing Rate + 1.42%), 11/05/2030(2) | 8,505,000 | 8,426,863 | ||||||
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2) | 3,387,000 | 3,429,259 | ||||||
3.20%, 10/21/2026 | 905,000 | 937,340 | ||||||
3.40%, 05/01/2026 | 1,000,000 | 1,071,198 | ||||||
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2) | 7,000,000 | 7,009,144 | ||||||
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) | 4,625,000 | 4,792,427 | ||||||
3.70%, 01/12/2026 | 9,150,000 | 9,729,052 | ||||||
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2) | 4,100,000 | 4,220,404 | ||||||
4.30%, 11/20/2026 | 5,442,000 | 5,754,315 | ||||||
4.40%, 06/10/2025 | 12,181,000 | 13,178,906 | ||||||
4.41% (Secured Overnight Financing Rate + 3.91%), 03/31/2031(2) | 3,600,000 | 3,960,995 | ||||||
4.45%, 09/29/2027 | 12,734,000 | 13,352,325 | ||||||
6.63%, 01/15/2028 | 387,000 | 472,364 | ||||||
Citizens Bank N.A./Providence RI | ||||||||
3.70%, 03/29/2023 | 1,370,000 | 1,403,338 | ||||||
Citizens Financial Group, Inc. | ||||||||
2.38%, 07/28/2021 | 188,000 | 189,447 | ||||||
4.30%, 12/03/2025 | 343,000 | 359,059 | ||||||
CNA Financial Corp. | ||||||||
3.45%, 08/15/2027 | 820,000 | 759,502 | ||||||
3.95%, 05/15/2024 | 303,000 | 314,767 | ||||||
7.25%, 11/15/2023 | 7,470,000 | 8,416,999 | ||||||
Comerica, Inc. | ||||||||
4.00%, 02/01/2029 | 1,900,000 | 1,915,538 | ||||||
Commonwealth Bank of Australia | ||||||||
2.00%, 09/06/2021(3) | 450,000 | 446,488 | ||||||
2.50%, 09/18/2022(3) | 800,000 | 793,148 | ||||||
2.85%, 05/18/2026(3) | 1,300,000 | 1,347,962 |
3.45%, 03/16/2023(3) | 1,300,000 | 1,318,494 | ||||||
3.74%, 09/12/2039(3) | 6,585,000 | 5,559,319 | ||||||
4.50%, 12/09/2025(3) | 778,000 | 794,255 | ||||||
Compass Bank | ||||||||
3.88%, 04/10/2025 | 7,840,000 | 7,422,179 | ||||||
Cooperatieve Rabobank UA | ||||||||
3.88%, 02/08/2022 | 5,323,000 | 5,491,684 | ||||||
4.38%, 08/04/2025 | 570,000 | 583,906 | ||||||
4.63%, 12/01/2023 | 5,927,000 | 6,129,147 | ||||||
5.80%, 09/30/2110(3) | 361,000 | 537,365 | ||||||
Credit Agricole SA | ||||||||
3.75%, 04/24/2023(3) | 575,000 | 585,967 | ||||||
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(2)(3) | 5,000,000 | 5,037,784 | ||||||
4.38%, 03/17/2025(3) | 305,000 | 304,525 | ||||||
Credit Suisse Group AG | ||||||||
2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(2)(3) | 1,450,000 | 1,377,784 | ||||||
3.57%, 01/09/2023(3) | 3,216,000 | 3,245,276 | ||||||
3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(2)(3) | 2,000,000 | 2,024,491 | ||||||
4.28%, 01/09/2028(3) | 3,973,000 | 4,068,610 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 06/09/2023 | 8,500,000 | 8,693,359 | ||||||
4.55%, 04/17/2026 | 1,500,000 | 1,584,014 | ||||||
Crown Castle International Corp. | ||||||||
4.00%, 03/01/2027 | 261,000 | 268,993 | ||||||
4.88%, 04/15/2022 | 1,112,000 | 1,167,410 | ||||||
5.25%, 01/15/2023 | 400,000 | 424,225 | ||||||
Dai-ichi Life Insurance Co. Ltd. | ||||||||
4.00% (3 Month LIBOR USD + 3.66%), 01/24/2168(2)(3) | 1,179,000 | 1,179,000 | ||||||
Daiwa Securities Group, Inc. | ||||||||
3.13%, 04/19/2022(3) | 854,000 | 862,274 | ||||||
Danske Bank | ||||||||
2.00%, 09/08/2021(3) | 558,000 | 546,851 | ||||||
2.70%, 03/02/2022(3) | 542,000 | 518,149 | ||||||
Deutsche Bank AG | ||||||||
3.15%, 01/22/2021 | 5,000,000 | 4,884,757 | ||||||
3.30%, 11/16/2022 | 3,000,000 | 2,810,032 | ||||||
3.70%, 05/30/2024 | 850,000 | 796,919 | ||||||
3.70%, 05/30/2024 | 2,063,000 | 1,862,051 | ||||||
4.25%, 10/14/2021 | 4,165,000 | 3,961,946 | ||||||
Deutsche Bank AG/New York NY | ||||||||
3.95%, 02/27/2023 | 5,000,000 | 4,966,311 | ||||||
Dexia Credit Local SA | ||||||||
3.25%, 09/26/2023(3) | 500,000 | 539,201 | ||||||
Digital Realty Trust LP | ||||||||
3.70%, 08/15/2027 | 462,000 | 446,466 | ||||||
Discover Bank | ||||||||
3.35%, 02/06/2023 | 2,000,000 | 2,008,301 | ||||||
3.45%, 07/27/2026 | 1,951,000 | 1,907,702 | ||||||
4.20%, 08/08/2023 | 7,156,000 | 7,598,032 | ||||||
4.65%, 09/13/2028 | 4,000,000 | 4,056,872 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,884,587 | ||||||
Duke Realty LP | ||||||||
3.25%, 06/30/2026 | 203,000 | 202,947 | ||||||
3.63%, 04/15/2023 | 7,744,000 | 7,817,533 | ||||||
Essex Portfolio LP | ||||||||
2.65%, 03/15/2032 | 1,740,000 | 1,545,957 | ||||||
Federation des Caisses Desjardins du Quebec | ||||||||
2.05%, 02/10/2025(3) | 5,000,000 | 4,839,154 | ||||||
Fifth Third Bancorp | ||||||||
3.65%, 01/25/2024 | 1,420,000 | 1,476,653 | ||||||
3.95%, 03/14/2028 | 1,000,000 | 1,051,676 |
FMR LLC | ||||||||
4.95%, 02/01/2033(3) | 250,000 | 284,312 | ||||||
6.45%, 11/15/2039(3) | 258,000 | 345,255 | ||||||
GAIF Bond Issuer Pty Ltd. | ||||||||
3.40%, 09/30/2026(3) | 1,000,000 | 1,066,514 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | 17,078,000 | 16,981,338 | ||||||
4.42%, 11/15/2035 | 18,811,000 | 20,322,848 | ||||||
Globe Life, Inc. | ||||||||
4.55%, 09/15/2028 | 3,000,000 | 3,107,420 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 152,717 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2) | 8,784,000 | 8,828,796 | ||||||
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(2) | 8,773,000 | 8,814,825 | ||||||
2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023(2) | 3,076,000 | 3,084,082 | ||||||
3.00%, 04/26/2022 | 1,653,000 | 1,664,919 | ||||||
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) | 5,590,000 | 5,700,539 | ||||||
3.50%, 01/23/2025 | 6,509,000 | 6,672,772 | ||||||
3.50%, 04/01/2025 | 2,806,000 | 2,845,401 | ||||||
3.50%, 11/16/2026 | 1,700,000 | 1,737,637 | ||||||
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2) | 3,488,000 | 3,584,442 | ||||||
3.75%, 05/22/2025 | 1,305,000 | 1,351,106 | ||||||
3.75%, 02/25/2026 | 9,005,000 | 9,379,681 | ||||||
3.85%, 01/26/2027 | 2,975,000 | 3,061,239 | ||||||
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2) | 5,000,000 | 5,338,670 | ||||||
4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(2) | 6,226,000 | 6,780,171 | ||||||
5.15%, 05/22/2045 | 4,000,000 | 4,729,790 | ||||||
6.75%, 10/01/2037 | 2,170,000 | 2,918,281 | ||||||
Goodman US Finance Four LLC | ||||||||
4.50%, 10/15/2037(3) | 200,000 | 242,269 | ||||||
Goodman US Finance Three LLC | ||||||||
3.70%, 03/15/2028(3) | 862,000 | 811,813 | ||||||
Great-West Lifeco Finance 2018 LP | ||||||||
4.58%, 05/17/2048(3) | 650,000 | 647,506 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2020(3) | 271,000 | 272,779 | ||||||
3.48%, 06/16/2025(3) | 1,824,000 | 1,834,446 | ||||||
Guardian Life Insurance Co. of America | ||||||||
4.85%, 01/24/2077(3) | 5,610,000 | 6,389,048 | ||||||
Harborwalk Funding Trust | ||||||||
5.08% (3 Month LIBOR USD + 3.19%), 02/15/2069(2)(3) | 2,400,000 | 2,828,560 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
3.60%, 08/19/2049 | 1,000,000 | 938,252 | ||||||
4.30%, 04/15/2043 | 1,080,000 | 1,120,977 | ||||||
HCP, Inc. | ||||||||
3.40%, 02/01/2025 | 662,000 | 662,798 | ||||||
3.50%, 07/15/2029 | 1,742,000 | 1,704,008 | ||||||
3.88%, 08/15/2024 | 1,981,000 | 2,019,139 | ||||||
4.20%, 03/01/2024 | 241,000 | 243,514 | ||||||
Healthcare Trust of America Holdings LP | ||||||||
3.75%, 07/01/2027 | 1,734,000 | 1,600,491 | ||||||
HSBC Holdings Plc | ||||||||
2.29% (3 Month LIBOR USD + 0.60%), 05/18/2021(2) | 7,250,000 | 7,101,618 | ||||||
2.65%, 01/05/2022 | 2,618,000 | 2,613,853 | ||||||
3.03% (3 Month LIBOR USD + 0.92%), 11/22/2023(2) | 1,784,000 | 1,770,843 | ||||||
3.60%, 05/25/2023 | 1,000,000 | 1,015,800 | ||||||
3.80% (3 Month LIBOR USD + 1.21%), 03/11/2025(2) | 3,768,000 | 3,922,831 | ||||||
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2) | 1,301,000 | 1,333,019 | ||||||
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(2) | 1,000,000 | 1,027,023 | ||||||
4.00%, 03/30/2022 | 780,000 | 801,292 | ||||||
4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(2) | 1,533,000 | 1,560,239 |
4.25%, 03/14/2024 | 1,000,000 | 1,028,655 | ||||||
4.25%, 08/18/2025 | 1,009,000 | 1,051,943 | ||||||
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) | 7,000,000 | 7,317,936 | ||||||
4.30%, 03/08/2026 | 1,000,000 | 1,067,506 | ||||||
4.95%, 03/31/2030 | 4,937,000 | 5,444,719 | ||||||
5.10%, 04/05/2021 | 4,650,000 | 4,757,754 | ||||||
HSBC USA, Inc. | ||||||||
5.00%, 09/27/2020 | 3,000,000 | 3,018,256 | ||||||
9.13%, 05/15/2021 | 75,000 | 79,489 | ||||||
Huntington Bancshares, Inc. | ||||||||
2.30%, 01/14/2022 | 3,000,000 | 2,972,876 | ||||||
Huntington National Bank | ||||||||
2.88%, 08/20/2020 | 4,000,000 | 3,992,727 | ||||||
Industrial & Commercial Bank of China Ltd. | ||||||||
2.45%, 10/20/2021 | 1,150,000 | 1,174,036 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/2023(3) | 503,000 | 545,495 | ||||||
ING Groep NV | ||||||||
3.15%, 03/29/2022 | 4,000,000 | 4,018,030 | ||||||
4.10%, 10/02/2023 | 3,175,000 | 3,258,216 | ||||||
International Lease Finance Corp. | ||||||||
5.88%, 08/15/2022 | 438,000 | 391,560 | ||||||
8.63%, 01/15/2022 | 1,200,000 | 1,163,925 | ||||||
Intesa Sanpaolo SpA | ||||||||
4.00%, 09/23/2029(3) | 10,590,000 | 9,657,057 | ||||||
Invesco Finance Plc | ||||||||
3.75%, 01/15/2026 | 4,249,000 | 4,568,406 | ||||||
4.00%, 01/30/2024 | 2,889,000 | 2,957,908 | ||||||
Jackson National Life Global Funding | ||||||||
2.50%, 06/27/2022(3) | 800,000 | 785,337 | ||||||
3.05%, 04/29/2026(3) | 473,000 | 507,664 | ||||||
3.25%, 01/30/2024(3) | 460,000 | 457,837 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/2023 | 2,600,000 | 2,646,950 | ||||||
6.25%, 01/15/2036 | 155,000 | 137,264 | ||||||
6.45%, 06/08/2027 | 428,000 | 437,438 | ||||||
John Hancock Life Insurance Co. | ||||||||
7.38%, 02/15/2024(3) | 731,000 | 853,427 | ||||||
JPMorgan Chase & Co. | ||||||||
2.30%, 08/15/2021 | 3,600,000 | 3,593,084 | ||||||
2.95%, 10/01/2026 | 5,000,000 | 5,167,026 | ||||||
3.13%, 01/23/2025 | 4,000,000 | 4,167,106 | ||||||
3.20%, 06/15/2026 | 11,090,000 | 11,517,137 | ||||||
3.30%, 04/01/2026 | 1,870,000 | 1,962,365 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,965,401 | ||||||
3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(2) | 8,000,000 | 8,309,664 | ||||||
3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(2) | 5,796,000 | 6,715,824 | ||||||
4.00% (Secured Overnight Financing Rate + 2.75%), 10/01/2168(2) | 4,275,000 | 3,650,850 | ||||||
4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(2) | 2,320,000 | 2,493,194 | ||||||
4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(2) | 5,140,000 | 6,175,574 | ||||||
4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(2) | 9,660,000 | 10,840,305 | ||||||
4.60% (Secured Overnight Financing Rate + 3.13%), 08/01/2168(2) | 1,985,000 | 1,737,272 | ||||||
5.00% (Secured Overnight Financing Rate + 3.38%), 02/01/2168(2) | 5,010,000 | 4,696,875 | ||||||
KeyBank N.A. | ||||||||
3.18%, 05/22/2022 | 567,000 | 568,737 | ||||||
KeyCorp | ||||||||
4.15%, 10/29/2025 | 950,000 | 998,049 | ||||||
Kilroy Realty LP | ||||||||
3.05%, 02/15/2030 | 6,285,000 | 5,760,409 | ||||||
Kimco Realty Corp. | ||||||||
4.45%, 09/01/2047 | 2,051,000 | 1,854,177 |
Liberty Mutual Group, Inc. | ||||||||
3.95%, 10/15/2050(3) | 6,769,000 | 6,283,781 | ||||||
4.25%, 06/15/2023(3) | 72,000 | 73,297 | ||||||
4.57%, 02/01/2029(3) | 2,301,000 | 2,545,056 | ||||||
Liberty Mutual Insurance Co. | ||||||||
7.70%, 10/15/2097(3) | 100,000 | 142,392 | ||||||
8.50%, 05/15/2025(3) | 700,000 | 837,170 | ||||||
Life Storage LP | ||||||||
4.00%, 06/15/2029 | 1,831,000 | 1,861,055 | ||||||
Lincoln National Corp. | ||||||||
3.05%, 01/15/2030 | 7,255,000 | 6,743,102 | ||||||
3.80%, 03/01/2028 | 900,000 | 896,127 | ||||||
4.20%, 03/15/2022 | 873,000 | 886,410 | ||||||
7.00%, 06/15/2040 | 1,715,000 | 1,891,565 | ||||||
Lloyds Bank Plc | ||||||||
3.30%, 05/07/2021 | 11,200,000 | 11,201,760 | ||||||
Lloyds Banking Group Plc | ||||||||
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) | 8,950,000 | 8,938,592 | ||||||
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) | 1,000,000 | 992,425 | ||||||
3.75%, 01/11/2027 | 2,000,000 | 2,020,710 | ||||||
4.05%, 08/16/2023 | 3,000,000 | 3,120,128 | ||||||
4.38%, 03/22/2028 | 949,000 | 1,021,056 | ||||||
4.45%, 05/08/2025 | 855,000 | 915,740 | ||||||
4.58%, 12/10/2025 | 550,000 | 565,835 | ||||||
Macquarie Bank Ltd. | ||||||||
4.00%, 07/29/2025(3) | 500,000 | 532,161 | ||||||
Macquarie Group Ltd. | ||||||||
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(2)(3) | 6,000,000 | 6,148,062 | ||||||
3.76% (3 Month LIBOR USD + 1.37%), 11/28/2028(2)(3) | 2,565,000 | 2,775,792 | ||||||
4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(2)(3) | 2,000,000 | 2,092,415 | ||||||
5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(2)(3) | 4,445,000 | 4,562,169 | ||||||
6.25%, 01/14/2021(3) | 1,111,000 | 1,133,576 | ||||||
Manulife Financial Corp. | ||||||||
4.06% (5 Year 1100 Run ICE Swap Rate USD + 1.65%), 02/24/2032(2) | 1,910,000 | 1,841,966 | ||||||
Markel Corp. | ||||||||
3.63%, 03/30/2023 | 400,000 | 388,301 | ||||||
4.15%, 09/17/2050 | 655,000 | 592,320 | ||||||
5.00%, 04/05/2046 | 1,265,000 | 1,406,584 | ||||||
Marsh & McLennan Cos, Inc. | ||||||||
4.80%, 07/15/2021 | 5,000,000 | 5,163,028 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
3.73%, 10/15/2070(3) | 3,109,000 | 2,882,232 | ||||||
4.90%, 04/01/2077(3) | 5,000,000 | 5,308,361 | ||||||
7.63%, 11/15/2023(3) | 550,000 | 622,899 | ||||||
MassMutual Global Funding II | ||||||||
2.35%, 01/14/2027(3) | 5,146,000 | 5,394,217 | ||||||
2.75%, 06/22/2024(3) | 700,000 | 690,587 | ||||||
Mastercard, Inc. | ||||||||
3.85%, 03/26/2050 | 3,650,000 | 4,455,133 | ||||||
MBIA Insurance Corp. | ||||||||
13.09% (3 Month LIBOR USD + 11.26%), 01/15/2033(3) | 86,000 | 45,580 | ||||||
MetLife, Inc. | ||||||||
4.88%, 11/13/2043 | 3,000,000 | 3,451,825 | ||||||
6.40%, 12/15/2036 | 3,265,000 | 3,407,367 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.00%, 01/10/2023(3) | 407,000 | 412,549 | ||||||
3.00%, 09/19/2027(3) | 1,180,000 | 1,158,174 | ||||||
3.88%, 04/11/2022(3) | 1,480,000 | 1,554,253 | ||||||
Mid-America Apartments LP | ||||||||
4.00%, 11/15/2025 | 1,500,000 | 1,561,642 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.19%, 02/25/2025 | 23,897,000 | 23,661,179 | ||||||
2.53%, 09/13/2023 | 481,000 | 476,815 |
2.67%, 07/25/2022 | 800,000 | 801,179 | ||||||
2.95%, 03/01/2021 | 330,000 | 329,755 | ||||||
3.00%, 02/22/2022 | 206,000 | 210,014 | ||||||
3.22%, 03/07/2022 | 2,034,000 | 2,062,002 | ||||||
3.41%, 03/07/2024 | 2,520,000 | 2,599,984 | ||||||
3.46%, 03/02/2023 | 4,000,000 | 4,095,002 | ||||||
3.75%, 07/18/2039 | 1,615,000 | 1,591,917 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | ||||||||
2.65%, 09/19/2022(3) | 764,000 | 742,851 | ||||||
3.96%, 09/19/2023(3) | 2,730,000 | 2,727,726 | ||||||
Mizuho Bank Ltd. | ||||||||
3.60%, 09/25/2024(3) | 1,250,000 | 1,276,883 | ||||||
Mizuho Financial Group, Inc. | ||||||||
2.23% (3 Month LIBOR USD + 0.83%), 05/25/2026(2) | 1,740,000 | 1,705,279 | ||||||
2.60%, 09/11/2022 | 3,500,000 | 3,499,807 | ||||||
2.87% (3 Month LIBOR USD + 1.31%), 09/13/2030(2) | 1,620,000 | 1,539,314 | ||||||
2.95%, 02/28/2022 | 2,000,000 | 2,019,700 | ||||||
Morgan Stanley | ||||||||
2.50%, 04/21/2021 | 2,000,000 | 1,998,591 | ||||||
2.63%, 11/17/2021 | 3,860,000 | 3,865,253 | ||||||
2.75%, 05/19/2022 | 8,390,000 | 8,478,900 | ||||||
3.13%, 01/23/2023 | 1,735,000 | 1,774,490 | ||||||
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(2) | 5,882,000 | 6,164,808 | ||||||
3.63%, 01/20/2027 | 9,804,000 | 10,363,328 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,232,952 | ||||||
3.74% (3 Month LIBOR USD + 0.85%), 04/24/2024(2) | 1,468,000 | 1,511,479 | ||||||
3.75%, 02/25/2023 | 1,882,000 | 1,961,079 | ||||||
3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(2) | 4,371,000 | 4,612,201 | ||||||
3.88%, 04/29/2024 | 2,050,000 | 2,150,974 | ||||||
3.88%, 01/27/2026 | 3,125,000 | 3,372,508 | ||||||
3.95%, 04/23/2027 | 14,190,000 | 14,783,892 | ||||||
4.10%, 05/22/2023 | 3,460,000 | 3,583,421 | ||||||
4.35%, 09/08/2026 | 930,000 | 1,002,184 | ||||||
5.00%, 11/24/2025 | 4,959,000 | 5,481,642 | ||||||
5.50%, 07/28/2021 | 1,437,000 | 1,491,807 | ||||||
MUFG Bank Ltd. | ||||||||
3.75%, 03/10/2024(3) | 3,215,000 | 3,317,372 | ||||||
4.10%, 09/09/2023(3) | 239,000 | 249,369 | ||||||
National Australia Bank Ltd. | ||||||||
3.93% (5 Year CMT Index + 1.88%), 08/02/2034(2)(3) | 2,330,000 | 2,292,778 | ||||||
National Retail Properties, Inc. | ||||||||
3.50%, 10/15/2027 | 400,000 | 395,261 | ||||||
3.60%, 12/15/2026 | 700,000 | 700,704 | ||||||
3.90%, 06/15/2024 | 1,310,000 | 1,371,062 | ||||||
Nationwide Building Society | ||||||||
4.00%, 09/14/2026(3) | 7,250,000 | 7,103,828 | ||||||
Nationwide Financial Services, Inc. | ||||||||
5.38%, 03/25/2021(3) | 2,000,000 | 2,047,836 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
9.38%, 08/15/2039(3) | 7,150,000 | 11,076,593 | ||||||
NatWest Markets Plc | ||||||||
3.63%, 09/29/2022(3) | 3,360,000 | 3,319,217 | ||||||
New York Life Global Funding | ||||||||
3.00%, 01/10/2028(3) | 2,022,000 | 2,071,802 | ||||||
New York Life Insurance Co. | ||||||||
4.45%, 05/15/2069(3) | 4,225,000 | 4,422,178 | ||||||
Nomura Holdings, Inc. | ||||||||
2.65%, 01/16/2025 | 2,597,000 | 2,542,034 | ||||||
Nordea Bank Abp | ||||||||
3.75%, 08/30/2023(3) | 4,000,000 | 4,026,977 | ||||||
4.25%, 09/21/2022(3) | 12,865,000 | 12,671,373 |
Northern Trust Corp. | ||||||||
3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(2) | 411,000 | 398,314 | ||||||
Office Properties Income Trust | ||||||||
4.00%, 07/15/2022 | 1,255,000 | 1,227,130 | ||||||
OneBeacon US Holdings, Inc. | ||||||||
4.60%, 11/09/2022 | 1,500,000 | 1,615,819 | ||||||
Ontario Teachers Cadillac Fairview Properties Trust | ||||||||
3.13%, 03/20/2022(3) | 1,003,000 | 972,387 | ||||||
3.88%, 03/20/2027(3) | 1,044,000 | 1,087,512 | ||||||
ORIX Corp. | ||||||||
3.25%, 12/04/2024 | 1,500,000 | 1,576,011 | ||||||
Pacific Life Insurance Co. | ||||||||
4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(2)(3) | 743,000 | 634,195 | ||||||
Peoples United Bank N.A. | ||||||||
4.00%, 07/15/2024 | 4,350,000 | 4,396,440 | ||||||
PNC Bank N.A. | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,675,662 | ||||||
4.20%, 11/01/2025 | 322,000 | 354,456 | ||||||
PNC Financial Services Group, Inc. | ||||||||
2.55%, 01/22/2030 | 7,510,000 | 7,273,940 | ||||||
Principal Life Global Funding II | ||||||||
3.00%, 04/18/2026(3) | 2,000,000 | 1,990,328 | ||||||
Private Export Funding Corp. | ||||||||
2.65%, 02/16/2021(3) | 6,750,000 | 6,893,232 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,252,524 | ||||||
3.25%, 06/15/2025 | 1,280,000 | 1,454,789 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,766,477 | ||||||
Progressive Corp. | ||||||||
5.38% (3 Month LIBOR USD + 2.54%), 09/15/2167(2) | 780,000 | 660,286 | ||||||
Prologis LP | ||||||||
3.25%, 10/01/2026 | 303,000 | 309,638 | ||||||
Protective Life Corp. | ||||||||
4.30%, 09/30/2028(3) | 4,500,000 | 4,269,759 | ||||||
Prudential Financial, Inc. | ||||||||
3.91%, 12/07/2047 | 1,231,000 | 1,190,392 | ||||||
6.63%, 06/21/2040 | 5,995,000 | 7,404,312 | ||||||
Prudential Insurance Co. of America | ||||||||
8.30%, 07/01/2025(3) | 1,691,000 | 2,056,271 | ||||||
Realty Income Corp. | ||||||||
3.25%, 10/15/2022 | 1,490,000 | 1,495,754 | ||||||
Regency Centers LP | ||||||||
2.95%, 09/15/2029 | 2,200,000 | 2,074,048 | ||||||
Regions Financial Corp. | ||||||||
2.75%, 08/14/2022 | 326,000 | 322,356 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.75%, 01/21/2027(3) | 1,310,000 | 1,218,655 | ||||||
3.85%, 09/19/2023(3) | 2,305,000 | 2,478,164 | ||||||
Royal Bank of Canada | ||||||||
2.25%, 11/01/2024 | 8,885,000 | 8,974,128 | ||||||
Royal Bank of Scotland Group Plc | ||||||||
3.75% (5 Year CMT Index + 2.10%), 11/01/2029(2) | 1,833,000 | 1,695,306 | ||||||
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(2) | 1,500,000 | 1,572,302 | ||||||
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) | 555,000 | 558,808 | ||||||
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2) | 2,490,000 | 2,637,721 | ||||||
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) | 7,000,000 | 7,608,528 | ||||||
Santander Holdings USA, Inc. | ||||||||
3.50%, 06/07/2024 | 5,783,000 | 5,645,304 | ||||||
Santander UK Group Holdings Plc | ||||||||
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) | 800,000 | 842,963 | ||||||
4.75%, 09/15/2025(3) | 1,810,000 | 1,784,030 | ||||||
Santander UK Plc | ||||||||
5.00%, 11/07/2023(3) | 4,150,000 | 4,181,291 |
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
3.50%, 02/12/2025(3) | 1,390,000 | 1,418,878 | ||||||
Senior Housing Properties Trust | ||||||||
6.75%, 04/15/2020 | 600,000 | 599,101 | ||||||
SITE Centers Corp. | ||||||||
4.70%, 06/01/2027 | 368,000 | 380,697 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
2.45%, 05/27/2020(3) | 3,000,000 | 3,001,200 | ||||||
Societe Generale SA | ||||||||
2.63%, 01/22/2025(3) | 9,573,000 | 9,217,370 | ||||||
3.00%, 01/22/2030(3) | 4,062,000 | 3,724,249 | ||||||
3.25%, 01/12/2022(3) | 7,000,000 | 6,958,630 | ||||||
3.88%, 03/28/2024(3) | 1,000,000 | 1,018,517 | ||||||
4.25%, 04/14/2025(3) | 800,000 | 781,678 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 307,822 | ||||||
Standard Chartered Plc | ||||||||
2.74% (3 Month LIBOR USD + 1.20%), 09/10/2022(2)(3) | 800,000 | 791,975 | ||||||
2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(2)(3) | 1,360,000 | 1,280,324 | ||||||
4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(2)(3) | 3,230,000 | 3,242,665 | ||||||
4.31% (3 Month LIBOR USD + 1.91%), 05/21/2030(2)(3) | 700,000 | 700,051 | ||||||
4.87% (5 Year 1100 Run ICE Swap Rate USD + 1.97%), 03/15/2033(2)(3) | 800,000 | 825,788 | ||||||
5.20%, 01/26/2024(3) | 609,000 | 596,177 | ||||||
State Bank of India | ||||||||
4.38%, 01/24/2024(3) | 6,475,000 | 6,383,104 | ||||||
State Street Corp. | ||||||||
2.83% (Secured Overnight Financing Rate + 2.69%), 03/30/2023(2)(3) | 1,461,000 | 1,474,335 | ||||||
2.90% (Secured Overnight Financing Rate + 2.60%), 03/30/2026(2)(3) | 2,274,000 | 2,328,142 | ||||||
3.78% (3 Month LIBOR USD + 0.77%), 12/03/2024(2) | 1,000,000 | 1,055,674 | ||||||
Stifel Financial Corp. | ||||||||
3.50%, 12/01/2020 | 5,000,000 | 4,900,516 | ||||||
Sumitomo Life Insurance Co. | ||||||||
4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(2)(3) | 1,000,000 | 1,000,000 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
3.95%, 07/19/2023 | 250,000 | 262,794 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.44%, 10/19/2021 | 531,000 | 531,971 | ||||||
2.63%, 07/14/2026 | 644,000 | 644,243 | ||||||
2.78%, 10/18/2022 | 6,718,000 | 6,823,741 | ||||||
2.78%, 07/12/2022 | 1,500,000 | 1,506,842 | ||||||
2.85%, 01/11/2022 | 1,100,000 | 1,109,936 | ||||||
3.04%, 07/16/2029 | 2,955,000 | 2,952,913 | ||||||
3.10%, 01/17/2023 | 1,033,000 | 1,034,258 | ||||||
SunTrust Bank | ||||||||
3.30%, 05/15/2026 | 1,000,000 | 1,025,893 | ||||||
SunTrust Banks, Inc. | ||||||||
2.70%, 01/27/2022 | 4,210,000 | 4,232,989 | ||||||
4.00%, 05/01/2025 | 424,000 | 446,644 | ||||||
Synchrony Financial | ||||||||
3.75%, 08/15/2021 | 6,000,000 | 6,026,317 | ||||||
3.95%, 12/01/2027 | 1,500,000 | 1,334,057 | ||||||
4.50%, 07/23/2025 | 4,000,000 | 3,913,821 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.27%, 05/15/2047(3) | 3,360,000 | 3,229,853 | ||||||
4.90%, 09/15/2044(3) | 200,000 | 227,574 | ||||||
6.85%, 12/16/2039(3) | 218,000 | 302,914 | ||||||
Trinity Acquisition Plc | ||||||||
4.40%, 03/15/2026 | 2,300,000 | 2,396,514 | ||||||
6.13%, 08/15/2043 | 5,000,000 | 6,374,201 | ||||||
Truist Bank | ||||||||
2.15%, 12/06/2024 | 4,180,000 | 4,140,543 | ||||||
Truist Financial Corp. | ||||||||
4.80% (5 Year CMT Index + 3.00%), 12/31/2099(2) | 5,630,000 | 4,841,800 |
UBS Group Funding Switzerland AG | ||||||||
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(2)(3) | 7,367,000 | 7,303,181 | ||||||
2.95%, 09/24/2020(3) | 1,250,000 | 1,252,100 | ||||||
3.49%, 05/23/2023(3) | 9,790,000 | 9,895,102 | ||||||
4.13%, 09/24/2025(3) | 800,000 | 831,141 | ||||||
4.25%, 03/23/2028(3) | 3,000,000 | 3,146,675 | ||||||
UDR, Inc. | ||||||||
2.95%, 09/01/2026 | 276,000 | 268,148 | ||||||
3.00%, 08/15/2031 | 415,000 | 397,067 | ||||||
3.20%, 01/15/2030 | 1,565,000 | 1,541,788 | ||||||
United Overseas Bank Ltd. | ||||||||
3.20%, 04/23/2021(3) | 765,000 | 770,971 | ||||||
Ventas Realty LP | ||||||||
3.10%, 01/15/2023 | 13,500,000 | 13,225,745 | ||||||
3.50%, 02/01/2025 | 251,000 | 246,553 | ||||||
3.75%, 05/01/2024 | 382,000 | 361,154 | ||||||
3.85%, 04/01/2027 | 677,000 | 656,510 | ||||||
4.13%, 01/15/2026 | 449,000 | 448,261 | ||||||
Visa, Inc. | ||||||||
1.90%, 04/15/2027 | 4,130,000 | 4,118,353 | ||||||
2.05%, 04/15/2030 | 1,752,000 | 1,749,460 | ||||||
2.70%, 04/15/2040 | 1,907,000 | 1,892,964 | ||||||
Vornado Realty LP | ||||||||
3.50%, 01/15/2025 | 800,000 | 786,298 | ||||||
WEA Finance LLC | ||||||||
2.88%, 01/15/2027(3) | 18,973,000 | 17,869,782 | ||||||
3.15%, 04/05/2022(3) | 1,243,000 | 1,209,382 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance Plc | ||||||||
3.25%, 10/05/2020(3) | 7,331,000 | 7,258,681 | ||||||
Wells Fargo & Co. | ||||||||
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(2) | 4,525,000 | 4,413,380 | ||||||
2.57% (3 Month LIBOR USD + 1.00%), 02/11/2031(2) | 12,110,000 | 11,649,963 | ||||||
2.63%, 07/22/2022 | 20,507,000 | 20,746,503 | ||||||
3.00%, 04/22/2026 | 5,000,000 | 5,146,418 | ||||||
3.07%, 01/24/2023 | 2,655,000 | 2,698,646 | ||||||
3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(2) | 3,145,000 | 3,238,453 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,977,632 | ||||||
3.50%, 03/08/2022 | 1,929,000 | 1,966,061 | ||||||
3.55%, 09/29/2025 | 700,000 | 738,296 | ||||||
3.75%, 01/24/2024 | 1,690,000 | 1,789,145 | ||||||
4.10%, 06/03/2026 | 3,749,000 | 4,003,690 | ||||||
4.30%, 07/22/2027 | 729,000 | 781,447 | ||||||
4.40%, 06/14/2046 | 626,000 | 704,461 | ||||||
4.65%, 11/04/2044 | 675,000 | 777,426 | ||||||
4.75%, 12/07/2046 | 1,343,000 | 1,551,219 | ||||||
4.90%, 11/17/2045 | 3,058,000 | 3,625,903 | ||||||
5.01% (3 Month LIBOR USD + 4.24%), 04/04/2051(2) | 2,357,000 | 2,988,395 | ||||||
5.38%, 11/02/2043 | 317,000 | 378,947 | ||||||
Welltower, Inc. | ||||||||
2.70%, 02/15/2027 | 497,000 | 472,593 | ||||||
3.10%, 01/15/2030 | 1,085,000 | 1,026,104 | ||||||
6.50%, 03/15/2041 | 700,000 | 829,756 | ||||||
Western Union Co. | ||||||||
3.60%, 03/15/2022 | 1,300,000 | 1,316,762 | ||||||
Westpac Banking Corp. | ||||||||
4.42%, 07/24/2039 | 1,010,000 | 986,316 | ||||||
Weyerhaeuser Co. | ||||||||
7.38%, 03/15/2032 | 500,000 | 590,064 | ||||||
Willis North America, Inc. | ||||||||
5.05%, 09/15/2048 | 7,500,000 | 9,241,166 | ||||||
WP Carey, Inc. | ||||||||
4.25%, 10/01/2026 | 800,000 | 822,924 |
WR Berkley Corp. | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 4,018,675 | ||||||
XLIT Ltd. | ||||||||
5.25%, 12/15/2043 | 2,700,000 | 3,054,775 | ||||||
|
| |||||||
Total Financials | 1,621,632,580 | |||||||
|
| |||||||
Industrials 1.70% | ||||||||
Airbus Finance BV | ||||||||
2.70%, 04/17/2023(3) | 376,000 | 367,974 | ||||||
Airbus SE | ||||||||
3.15%, 04/10/2027(3) | 736,000 | 739,077 | ||||||
3.95%, 04/10/2047(3) | 150,000 | 155,137 | ||||||
Allegion US Holding Co., Inc. | ||||||||
3.20%, 10/01/2024 | 2,000,000 | 1,899,471 | ||||||
Amphenol Corp. | ||||||||
3.20%, 04/01/2024 | 8,135,000 | 8,233,120 | ||||||
Arrow Electronics, Inc. | ||||||||
3.25%, 09/08/2024 | 219,000 | 207,047 | ||||||
3.50%, 04/01/2022 | 965,000 | 959,223 | ||||||
3.88%, 01/12/2028 | 221,000 | 211,889 | ||||||
4.50%, 03/01/2023 | 183,000 | 181,819 | ||||||
Aviation Capital Group LLC | ||||||||
3.50%, 11/01/2027(3) | 700,000 | 534,118 | ||||||
3.88%, 05/01/2023(3) | 780,000 | 728,838 | ||||||
BAE Systems Plc | ||||||||
5.80%, 10/11/2041(3) | 400,000 | 500,552 | ||||||
Boeing Co. | ||||||||
2.30%, 08/01/2021 | 13,577,000 | 13,123,309 | ||||||
3.10%, 05/01/2026 | 3,354,000 | 3,101,361 | ||||||
3.30%, 03/01/2035 | 1,410,000 | 1,233,552 | ||||||
3.95%, 08/01/2059 | 4,825,000 | 4,337,042 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.55%, 02/15/2050 | 725,000 | 793,808 | ||||||
4.38%, 09/01/2042 | 462,000 | 541,127 | ||||||
5.15%, 09/01/2043 | 389,000 | 505,668 | ||||||
5.40%, 06/01/2041 | 542,000 | 701,579 | ||||||
5.75%, 05/01/2040 | 373,000 | 505,444 | ||||||
6.15%, 05/01/2037 | 320,000 | 417,253 | ||||||
7.29%, 06/01/2036 | 134,000 | 189,708 | ||||||
Canadian Pacific Railway Co. | ||||||||
2.90%, 02/01/2025 | 644,000 | 648,594 | ||||||
Carlisle Cos, Inc. | ||||||||
3.50%, 12/01/2024 | 3,025,000 | 2,919,580 | ||||||
Carrier Global Corp. | ||||||||
2.24%, 02/15/2025(3) | 4,476,000 | 4,371,131 | ||||||
3.38%, 04/05/2040(3) | 3,781,000 | 3,318,788 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.75%, 08/20/2021 | 420,000 | 423,648 | ||||||
2.85%, 06/01/2022 | 446,000 | 453,970 | ||||||
3.25%, 12/01/2024 | 1,429,000 | 1,477,165 | ||||||
3.45%, 05/15/2023 | 650,000 | 679,890 | ||||||
3.75%, 11/24/2023 | 2,175,000 | 2,287,120 | ||||||
Caterpillar, Inc. | ||||||||
2.60%, 06/26/2022 | 220,000 | 222,340 | ||||||
CH Robinson Worldwide, Inc. | ||||||||
4.20%, 04/15/2028 | 6,000,000 | 6,359,163 | ||||||
CRH America Finance, Inc. | ||||||||
3.40%, 05/09/2027(3) | 200,000 | 198,980 | ||||||
CRH America, Inc. | ||||||||
3.88%, 05/18/2025(3) | 354,000 | 357,843 | ||||||
5.13%, 05/18/2045(3) | 230,000 | 222,950 | ||||||
CSX Corp. | ||||||||
3.35%, 09/15/2049 | 305,000 | 288,822 |
4.65%, 03/01/2068 | 2,000,000 | 2,182,088 | ||||||
4.75%, 05/30/2042 | 175,000 | 196,600 | ||||||
4.75%, 11/15/2048 | 1,280,000 | 1,476,233 | ||||||
5.50%, 04/15/2041 | 402,000 | 473,892 | ||||||
Deere & Co. | ||||||||
2.75%, 04/15/2025 | 2,526,000 | 2,615,391 | ||||||
2.88%, 09/07/2049 | 3,745,000 | 3,495,306 | ||||||
3.10%, 04/15/2030 | 444,000 | 470,773 | ||||||
3.75%, 04/15/2050 | 1,532,000 | 1,785,587 | ||||||
Eaton Corp. | ||||||||
4.00%, 11/02/2032 | 143,000 | 147,978 | ||||||
5.80%, 03/15/2037 | 500,000 | 659,143 | ||||||
7.63%, 04/01/2024 | 206,000 | 234,779 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.05%, 06/15/2025 | 2,202,000 | 1,943,265 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023(3) | 4,000,000 | 3,420,000 | ||||||
FedEx Corp. | ||||||||
4.95%, 10/17/2048 | 3,000,000 | 2,935,345 | ||||||
FLIR Systems, Inc. | ||||||||
3.13%, 06/15/2021 | 3,025,000 | 3,028,121 | ||||||
General Dynamics Corp. | ||||||||
3.25%, 04/01/2025 | 4,459,000 | 4,697,460 | ||||||
General Electric Co. | ||||||||
2.70%, 10/09/2022 | 1,917,000 | 1,885,538 | ||||||
3.15%, 09/07/2022 | 7,800,000 | 7,879,809 | ||||||
4.38%, 09/16/2020 | 5,743,000 | 5,746,342 | ||||||
4.65%, 10/17/2021 | 514,000 | 523,998 | ||||||
5.30%, 02/11/2021 | 184,000 | 186,759 | ||||||
5.55%, 05/04/2020 | 191,000 | 191,489 | ||||||
5.55%, 01/05/2026 | 1,384,000 | 1,495,218 | ||||||
5.88%, 01/14/2038 | 289,000 | 339,036 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 360,048 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.85%, 03/15/2024 | 650,000 | 669,897 | ||||||
3.88%, 03/01/2026 | 1,380,000 | 1,425,522 | ||||||
John Deere Capital Corp. | ||||||||
2.25%, 09/14/2026 | 970,000 | 988,069 | ||||||
2.80%, 09/08/2027 | 700,000 | 691,124 | ||||||
Johnson Controls International Plc | ||||||||
3.75%, 12/01/2021 | 12,000 | 11,848 | ||||||
4.95%, 07/02/2064(1) | 928,000 | 1,081,800 | ||||||
Keysight Technologies, Inc. | ||||||||
4.60%, 04/06/2027 | 8,000,000 | 8,207,233 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.83%, 04/27/2025 | 1,820,000 | 1,893,813 | ||||||
4.85%, 04/27/2035 | 1,000,000 | 1,083,637 | ||||||
Lockheed Martin Corp. | ||||||||
3.10%, 01/15/2023 | 346,000 | 350,911 | ||||||
Martin Marietta Materials, Inc. | ||||||||
3.45%, 06/01/2027 | 811,000 | 830,575 | ||||||
3.50%, 12/15/2027 | 6,165,000 | 6,091,936 | ||||||
4.25%, 07/02/2024 | 1,705,000 | 1,766,849 | ||||||
6.25%, 05/01/2037 | 107,000 | 116,125 | ||||||
Masco Corp. | ||||||||
6.50%, 08/15/2032 | 1,240,000 | 1,449,864 | ||||||
Mexico City Airport Trust | ||||||||
3.88%, 04/30/2028(3) | 3,950,000 | 3,319,639 | ||||||
5.50%, 07/31/2047(3) | 3,902,000 | 3,292,859 | ||||||
Norfolk Southern Corp. | ||||||||
2.90%, 02/15/2023 | 294,000 | 297,286 |
3.95%, 10/01/2042 | 332,000 | 338,481 | ||||||
4.05%, 08/15/2052 | 1,100,000 | 1,187,463 | ||||||
4.80%, 08/15/2043 | 1,273,000 | 1,402,111 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,662 | ||||||
7.80%, 05/15/2027 | 1,705,000 | 2,184,635 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 02/01/2027 | 849,000 | 889,021 | ||||||
3.25%, 01/15/2028 | 250,000 | 262,288 | ||||||
3.85%, 04/15/2045 | 195,000 | 206,004 | ||||||
5.25%, 05/01/2050 | 3,766,000 | 5,126,718 | ||||||
nVent Finance Sarl | ||||||||
4.55%, 04/15/2028 | 3,625,000 | 4,043,071 | ||||||
Otis Worldwide Corp. | ||||||||
2.06%, 04/05/2025(3) | 8,964,000 | 8,762,478 | ||||||
2.57%, 02/15/2030(3) | 5,935,000 | 5,748,242 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 35,360 | ||||||
Parker-Hannifin Corp. | ||||||||
4.10%, 03/01/2047 | 583,000 | 596,963 | ||||||
4.45%, 11/21/2044 | 333,000 | 350,467 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||||
2.70%, 03/14/2023(3) | 220,000 | 217,323 | ||||||
3.95%, 03/10/2025(3) | 7,000,000 | 7,242,473 | ||||||
Precision Castparts Corp. | ||||||||
4.20%, 06/15/2035 | 75,000 | 85,621 | ||||||
4.38%, 06/15/2045 | 415,000 | 463,054 | ||||||
Rockwell Collins, Inc. | ||||||||
3.20%, 03/15/2024 | 409,000 | 421,963 | ||||||
4.35%, 04/15/2047 | 259,000 | 288,284 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 208,000 | 208,067 | ||||||
Ryder System, Inc. | ||||||||
2.50%, 05/11/2020 | 1,020,000 | 1,019,732 | ||||||
2.88%, 09/01/2020 | 345,000 | 343,469 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
2.35%, 10/15/2026(3) | 700,000 | 705,435 | ||||||
2.90%, 05/27/2022(3) | 553,000 | 553,931 | ||||||
3.13%, 03/16/2024(3) | 800,000 | 820,355 | ||||||
3.30%, 09/15/2046(3) | 980,000 | 995,219 | ||||||
4.40%, 05/27/2045(3) | 513,000 | 625,305 | ||||||
Textron, Inc. | ||||||||
3.65%, 03/01/2021 | 11,600,000 | 11,566,365 | ||||||
3.65%, 03/15/2027 | 4,975,000 | 4,875,678 | ||||||
Timken Co. | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 1,036,911 | ||||||
TTX Co. | ||||||||
3.60%, 01/15/2025(3) | 2,000,000 | 2,109,361 | ||||||
Union Pacific Corp. | ||||||||
2.40%, 02/05/2030 | 3,305,000 | 3,216,381 | ||||||
4.10%, 09/15/2067 | 200,000 | 215,662 | ||||||
United Technologies Corp. | ||||||||
3.75%, 11/01/2046 | 1,130,000 | 1,185,270 | ||||||
4.15%, 05/15/2045 | 785,000 | 871,855 | ||||||
4.50%, 06/01/2042 | 1,823,000 | 2,117,020 | ||||||
4.63%, 11/16/2048 | 1,585,000 | 1,875,656 | ||||||
Vulcan Materials Co. | ||||||||
4.70%, 03/01/2048 | 2,054,000 | 2,141,544 | ||||||
Wabtec Corp. | ||||||||
3.45%, 11/15/2026 | 5,000,000 | 4,612,175 | ||||||
4.38%, 08/15/2023 | 322,000 | 317,250 | ||||||
Waste Management, Inc. | ||||||||
3.45%, 06/15/2029 | 940,000 | 1,005,914 |
WestRock MWV LLC | ||||||||
8.20%, 01/15/2030 | 537,000 | 762,455 | ||||||
9.75%, 06/15/2020 | 17,000 | 17,220 | ||||||
WRKCo, Inc. | ||||||||
3.75%, 03/15/2025 | 1,300,000 | 1,307,079 | ||||||
Xylem, Inc. | ||||||||
3.25%, 11/01/2026 | 1,192,000 | 1,261,801 | ||||||
|
| |||||||
Total Industrials | 231,963,077 | |||||||
|
| |||||||
Technology 1.10% | ||||||||
Analog Devices, Inc. | ||||||||
3.13%, 12/05/2023 | 476,000 | 483,465 | ||||||
4.50%, 12/05/2036 | 1,020,000 | 1,096,239 | ||||||
Apple, Inc. | ||||||||
2.45%, 08/04/2026 | 1,111,000 | 1,164,146 | ||||||
2.90%, 09/12/2027 | 1,643,000 | 1,754,618 | ||||||
3.00%, 06/20/2027 | 1,462,000 | 1,581,826 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 1,094,058 | ||||||
3.20%, 05/11/2027 | 743,000 | 805,191 | ||||||
3.35%, 02/09/2027 | 2,020,000 | 2,203,515 | ||||||
3.45%, 02/09/2045 | 1,357,000 | 1,531,662 | ||||||
3.85%, 08/04/2046 | 776,000 | 937,190 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
3.00%, 01/15/2022 | 3,000,000 | 2,972,469 | ||||||
3.13%, 01/15/2025 | 7,000,000 | 6,710,874 | ||||||
3.63%, 01/15/2024 | 1,988,000 | 1,967,187 | ||||||
Broadcom, Inc. | ||||||||
3.13%, 04/15/2021(3) | 5,120,000 | 5,057,244 | ||||||
3.13%, 10/15/2022(3) | 3,945,000 | 3,906,163 | ||||||
4.75%, 04/15/2029(3) | 3,340,000 | 3,392,398 | ||||||
Dell International LLC / EMC Corp. | ||||||||
5.45%, 06/15/2023(3) | 5,000,000 | 5,130,806 | ||||||
6.02%, 06/15/2026(3) | 5,936,000 | 6,316,151 | ||||||
DXC Technology Co. | ||||||||
4.25%, 04/15/2024 | 9,435,000 | 9,758,248 | ||||||
4.75%, 04/15/2027 | 1,500,000 | 1,505,588 | ||||||
Fidelity National Information Services, Inc. | ||||||||
3.00%, 08/15/2026 | 1,300,000 | 1,327,896 | ||||||
3.50%, 04/15/2023 | 1,281,000 | 1,319,574 | ||||||
3.88%, 06/05/2024 | 582,000 | 616,853 | ||||||
Fiserv, Inc. | ||||||||
3.20%, 07/01/2026 | 890,000 | 916,053 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 5,289,723 | ||||||
4.40%, 07/01/2049 | 2,850,000 | 3,036,508 | ||||||
4.75%, 06/15/2021 | 5,231,000 | 5,312,881 | ||||||
Genpact Luxembourg Sarl | ||||||||
3.38%, 12/01/2024 | 2,000,000 | 2,008,547 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
4.40%, 10/15/2022 | 7,500,000 | 7,641,612 | ||||||
International Business Machines Corp. | ||||||||
3.30%, 05/15/2026 | 3,690,000 | 3,957,579 | ||||||
6.50%, 01/15/2028 | 120,000 | 154,672 | ||||||
Microsoft Corp. | ||||||||
2.40%, 08/08/2026 | 600,000 | 634,529 | ||||||
3.50%, 02/12/2035 | 318,000 | 376,414 | ||||||
3.75%, 02/12/2045 | 7,945,000 | 9,589,192 | ||||||
3.95%, 08/08/2056 | 713,000 | 890,796 | ||||||
4.00%, 02/12/2055 | 1,513,000 | 1,928,285 | ||||||
4.20%, 11/03/2035 | 231,000 | 289,537 | ||||||
4.45%, 11/03/2045 | 1,385,000 | 1,821,068 | ||||||
NVIDIA Corp. | ||||||||
2.85%, 04/01/2030 | 3,078,000 | 3,199,089 | ||||||
3.50%, 04/01/2050 | 4,680,000 | 5,109,270 |
NXP BV | ||||||||
4.30%, 06/18/2029(3) | 3,536,000 | 3,620,253 | ||||||
5.35%, 03/01/2026(3) | 8,590,000 | 9,286,242 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/2023 | 757,000 | 772,647 | ||||||
2.50%, 04/01/2025 | 8,309,000 | 8,482,415 | ||||||
2.80%, 07/08/2021 | 766,000 | 777,127 | ||||||
2.95%, 11/15/2024 | 1,500,000 | 1,580,302 | ||||||
3.60%, 04/01/2050 | 3,151,000 | 3,138,297 | ||||||
3.80%, 11/15/2037 | 600,000 | 618,727 | ||||||
3.85%, 07/15/2036 | 1,065,000 | 1,112,040 | ||||||
3.90%, 05/15/2035 | 936,000 | 1,010,622 | ||||||
4.30%, 07/08/2034 | 221,000 | 258,774 | ||||||
4.38%, 05/15/2055 | 400,000 | 485,225 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 06/01/2023 | 1,500,000 | 1,502,094 | ||||||
VMware, Inc. | ||||||||
2.95%, 08/21/2022 | 2,321,000 | 2,326,815 | ||||||
Xerox Corp. | ||||||||
2.75%, 09/01/2020 | 1,268,000 | 1,255,320 | ||||||
|
| |||||||
Total Technology | 151,016,016 | |||||||
|
| |||||||
Utilities 3.63% | ||||||||
AEP Texas, Inc. | ||||||||
3.80%, 10/01/2047 | 3,715,000 | 3,588,652 | ||||||
AEP Transmission Co. LLC | ||||||||
3.15%, 09/15/2049 | 580,000 | 583,218 | ||||||
3.75%, 12/01/2047 | 2,600,000 | 2,684,437 | ||||||
4.00%, 12/01/2046 | 2,020,000 | 2,044,498 | ||||||
4.25%, 09/15/2048 | 4,790,000 | 4,945,131 | ||||||
Alabama Power Co. | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 2,000,068 | ||||||
3.75%, 03/01/2045 | 182,000 | 187,450 | ||||||
4.10%, 01/15/2042 | 233,000 | 234,753 | ||||||
4.15%, 08/15/2044 | 205,000 | 192,587 | ||||||
6.13%, 05/15/2038 | 219,000 | 278,212 | ||||||
Ameren Corp. | ||||||||
2.50%, 09/15/2024 | 5,710,000 | 5,552,582 | ||||||
3.50%, 01/15/2031 | 2,798,000 | 2,791,369 | ||||||
Ameren Illinois Co. | ||||||||
3.25%, 03/15/2050 | 2,007,000 | 2,011,027 | ||||||
American Electric Power Co., Inc. | ||||||||
3.25%, 03/01/2050 | 948,000 | 823,869 | ||||||
American Water Capital Corp. | ||||||||
3.45%, 06/01/2029 | 590,000 | 629,595 | ||||||
3.85%, 03/01/2024 | 500,000 | 518,567 | ||||||
4.00%, 12/01/2046 | 2,350,000 | 2,380,337 | ||||||
6.59%, 10/15/2037 | 386,000 | 550,657 | ||||||
Appalachian Power Co. | ||||||||
6.70%, 08/15/2037 | 430,000 | 522,739 | ||||||
Arizona Public Service Co. | ||||||||
3.35%, 06/15/2024 | 676,000 | 681,818 | ||||||
3.75%, 05/15/2046 | 2,290,000 | 2,408,102 | ||||||
5.05%, 09/01/2041 | 349,000 | 399,397 | ||||||
Atmos Energy Corp. | ||||||||
4.13%, 10/15/2044 | 1,860,000 | 2,020,832 | ||||||
4.15%, 01/15/2043 | 830,000 | 874,083 | ||||||
Ausgrid Finance Pty Ltd. | ||||||||
4.35%, 08/01/2028(3) | 10,275,000 | 11,574,191 | ||||||
Avangrid, Inc. | ||||||||
3.15%, 12/01/2024 | 610,000 | 606,786 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.80%, 08/15/2022 | 509,000 | 516,217 |
3.20%, 09/15/2049 | 1,105,000 | 1,053,136 | ||||||
3.50%, 08/15/2046 | 375,000 | 378,347 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.50%, 02/01/2025 | 625,000 | 655,609 | ||||||
6.13%, 04/01/2036 | 366,000 | 482,729 | ||||||
Boston Gas Co. | ||||||||
4.49%, 02/15/2042(3) | 253,000 | 262,505 | ||||||
Brooklyn Union Gas Co. | ||||||||
3.87%, 03/04/2029(3) | 1,125,000 | 1,189,992 | ||||||
4.27%, 03/15/2048(3) | 1,100,000 | 1,133,992 | ||||||
4.50%, 03/10/2046(3) | 2,000,000 | 2,092,772 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||
3.95%, 03/01/2048 | 151,000 | 168,790 | ||||||
CenterPoint Energy Resources Corp. | ||||||||
4.50%, 01/15/2021 | 158,000 | 159,343 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. | ||||||||
3.50%, 05/08/2027(3) | 1,910,000 | 2,071,189 | ||||||
Cleveland Electric Illuminating Co. | ||||||||
3.50%, 04/01/2028(3) | 1,333,000 | 1,259,844 | ||||||
CMS Energy Corp. | ||||||||
2.95%, 02/15/2027 | 348,000 | 343,109 | ||||||
3.00%, 05/15/2026 | 110,000 | 107,780 | ||||||
3.45%, 08/15/2027 | 350,000 | 354,834 | ||||||
3.88%, 03/01/2024 | 550,000 | 560,539 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021(3) | 551,000 | 531,715 | ||||||
4.88%, 01/15/2024(3) | 322,000 | 305,900 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 364,000 | 385,481 | ||||||
3.75%, 08/15/2047 | 1,000,000 | 1,081,943 | ||||||
4.00%, 03/01/2048 | 4,615,000 | 5,186,107 | ||||||
Connecticut Light & Power Co. | ||||||||
3.20%, 03/15/2027 | 600,000 | 635,663 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
3.85%, 06/15/2046 | 2,940,000 | 2,912,100 | ||||||
4.30%, 12/01/2056 | 3,050,000 | 3,221,535 | ||||||
4.50%, 05/15/2058 | 538,000 | 593,484 | ||||||
4.65%, 12/01/2048 | 5,900,000 | 6,748,640 | ||||||
5.70%, 06/15/2040 | 318,000 | 392,852 | ||||||
Consumers Energy Co. | ||||||||
3.25%, 08/15/2046 | 190,000 | 190,487 | ||||||
4.35%, 08/31/2064 | 191,000 | 213,041 | ||||||
Delmarva Power & Light Co. | ||||||||
4.00%, 06/01/2042 | 170,000 | 174,407 | ||||||
Dominion Energy Gas Holdings LLC | ||||||||
2.80%, 11/15/2020 | 264,000 | 262,646 | ||||||
4.60%, 12/15/2044 | 1,300,000 | 1,288,932 | ||||||
Dominion Energy Inc. | ||||||||
2.45%, 01/15/2023(3) | 7,054,000 | 6,943,954 | ||||||
2.75%, 09/15/2022 | 529,000 | 526,093 | ||||||
2.85%, 08/15/2026 | 304,000 | 291,005 | ||||||
4.90%, 08/01/2041 | 212,000 | 221,173 | ||||||
5.25%, 08/01/2033 | 1,161,000 | 1,241,136 | ||||||
5.95%, 06/15/2035 | 3,389,000 | 3,929,062 | ||||||
7.00%, 06/15/2038 | 124,000 | 157,079 | ||||||
DTE Electric Co. | ||||||||
2.65%, 06/15/2022 | 194,000 | 192,589 | ||||||
DTE Energy Co. | ||||||||
2.53%, 10/01/2024 | 6,316,000 | 6,139,484 | ||||||
Duke Energy Carolinas LLC | ||||||||
4.25%, 12/15/2041 | 141,000 | 159,956 | ||||||
6.00%, 12/01/2028 | 235,000 | 287,505 |
Duke Energy Corp. | ||||||||
3.55%, 09/15/2021 | 306,000 | 310,124 | ||||||
3.75%, 09/01/2046 | 10,300,000 | 9,873,744 | ||||||
3.95%, 08/15/2047 | 1,740,000 | 1,678,910 | ||||||
Duke Energy Florida LLC | ||||||||
4.20%, 07/15/2048 | 3,396,000 | 3,871,862 | ||||||
Duke Energy Indiana LLC | ||||||||
3.75%, 05/15/2046 | 600,000 | 651,961 | ||||||
Duke Energy Progress LLC | ||||||||
3.70%, 10/15/2046 | 506,000 | 545,480 | ||||||
4.10%, 05/15/2042 | 217,000 | 248,430 | ||||||
4.10%, 03/15/2043 | 181,000 | 197,885 | ||||||
4.15%, 12/01/2044 | 129,000 | 145,496 | ||||||
4.20%, 08/15/2045 | 325,000 | 371,691 | ||||||
4.38%, 03/30/2044 | 132,000 | 151,912 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
3.62%, 08/01/2027(3) | 1,675,000 | 1,649,799 | ||||||
Edison International | ||||||||
3.55%, 11/15/2024 | 3,606,000 | 3,581,886 | ||||||
4.13%, 03/15/2028 | 900,000 | 861,604 | ||||||
4.95%, 04/15/2025 | 645,000 | 643,510 | ||||||
5.75%, 06/15/2027 | 11,349,000 | 11,796,856 | ||||||
EDP Finance BV | ||||||||
3.63%, 07/15/2024(3) | 700,000 | 702,790 | ||||||
Electricite de France SA | ||||||||
4.75%, 10/13/2035(3) | 5,000,000 | 5,856,107 | ||||||
Emera US Finance LP | ||||||||
2.70%, 06/15/2021 | 3,799,000 | 3,842,426 | ||||||
3.55%, 06/15/2026 | 3,895,000 | 3,714,903 | ||||||
4.75%, 06/15/2046 | 900,000 | 829,639 | ||||||
Enel Finance International NV | ||||||||
2.65%, 09/10/2024(3) | 1,440,000 | 1,374,573 | ||||||
3.50%, 04/06/2028(3) | 5,845,000 | 5,869,659 | ||||||
3.63%, 05/25/2027(3) | 12,505,000 | 12,694,514 | ||||||
4.63%, 09/14/2025(3) | 1,787,000 | 1,888,556 | ||||||
4.75%, 05/25/2047(3) | 5,575,000 | 5,692,615 | ||||||
4.88%, 06/14/2029(3) | 215,000 | 234,032 | ||||||
6.00%, 10/07/2039(3) | 307,000 | 330,783 | ||||||
Engie Energia Chile SA | ||||||||
3.40%, 01/28/2030(3) | 1,600,000 | 1,368,000 | ||||||
Entergy Arkansas LLC | ||||||||
3.50%, 04/01/2026 | 307,000 | 325,202 | ||||||
Entergy Corp. | ||||||||
2.95%, 09/01/2026 | 310,000 | 307,271 | ||||||
Entergy Louisiana LLC | ||||||||
2.40%, 10/01/2026 | 650,000 | 638,210 | ||||||
3.05%, 06/01/2031 | 440,000 | 440,418 | ||||||
3.12%, 09/01/2027 | 370,000 | 384,330 | ||||||
4.00%, 03/15/2033 | 2,610,000 | 2,895,583 | ||||||
Entergy Texas, Inc. | ||||||||
4.50%, 03/30/2039 | 11,000,000 | 12,920,110 | ||||||
Evergy, Inc. | ||||||||
2.90%, 09/15/2029 | 2,190,000 | 2,074,601 | ||||||
Eversource Energy | ||||||||
2.75%, 03/15/2022 | 8,915,000 | 9,041,425 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/2022 | 10,180,000 | 9,854,343 | ||||||
4.95%, 06/15/2035 | 1,500,000 | 1,594,263 | ||||||
Exelon Generation Co. LLC | ||||||||
3.40%, 03/15/2022 | 1,180,000 | 1,193,226 | ||||||
4.25%, 06/15/2022 | 313,000 | 313,038 | ||||||
5.75%, 10/01/2041 | 192,000 | 174,073 |
6.25%, 10/01/2039 | 300,000 | 282,164 | ||||||
FirstEnergy Corp. | ||||||||
2.85%, 07/15/2022 | 1,124,000 | 1,096,067 | ||||||
3.40%, 03/01/2050 | 3,305,000 | 3,124,470 | ||||||
3.90%, 07/15/2027 | 1,362,000 | 1,376,642 | ||||||
4.25%, 03/15/2023 | 3,893,000 | 3,976,135 | ||||||
4.85%, 07/15/2047 | 263,000 | 294,106 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.55%, 04/01/2049(3) | 1,737,000 | 1,736,070 | ||||||
5.45%, 07/15/2044(3) | 4,430,000 | 4,994,579 | ||||||
Florida Power & Light Co. | ||||||||
5.40%, 09/01/2035 | 700,000 | 898,379 | ||||||
Fortis, Inc. | ||||||||
3.06%, 10/04/2026 | 2,291,000 | 2,194,712 | ||||||
Indiana Michigan Power Co. | ||||||||
3.20%, 03/15/2023 | 991,000 | 1,052,226 | ||||||
Israel Electric Corp. Ltd. | ||||||||
5.00%, 11/12/2024(3) | 3,288,000 | 3,423,663 | ||||||
6.88%, 06/21/2023(3) | 2,340,000 | 2,570,045 | ||||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 10,512,000 | 10,437,903 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.30%, 01/15/2026(3) | 740,000 | 791,103 | ||||||
6.15%, 06/01/2037 | 400,000 | 535,662 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 428,663 | 515,221 | ||||||
Kansas City Power & Light Co. | ||||||||
3.15%, 03/15/2023 | 375,000 | 389,857 | ||||||
4.20%, 03/15/2048 | 500,000 | 560,175 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,238,869 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026(3) | 538,000 | 544,359 | ||||||
Massachusetts Electric Co. | ||||||||
4.00%, 08/15/2046(3) | 624,000 | 605,721 | ||||||
Mega Advance Investments Ltd. | ||||||||
5.00%, 05/12/2021(3) | 591,000 | 609,451 | ||||||
MidAmerican Energy Co. | ||||||||
3.50%, 10/15/2024 | 317,000 | 333,658 | ||||||
Mid-Atlantic Interstate Transmission LLC | ||||||||
4.10%, 05/15/2028(3) | 9,900,000 | 10,417,567 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
2.95%, 02/07/2024 | 341,000 | 357,904 | ||||||
3.05%, 04/25/2027 | 462,000 | 487,227 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,200,650 | ||||||
Nevada Power Co. | ||||||||
2.40%, 05/01/2030 | 3,306,000 | 3,156,461 | ||||||
5.38%, 09/15/2040 | 261,000 | 297,870 | ||||||
5.45%, 05/15/2041 | 386,000 | 458,861 | ||||||
New England Power Co. | ||||||||
3.80%, 12/05/2047(3) | 6,995,000 | 7,175,774 | ||||||
New York State Electric & Gas Corp. | ||||||||
3.25%, 12/01/2026(3) | 804,000 | 844,078 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.80%, 01/15/2023 | 3,671,000 | 3,723,051 | ||||||
3.34%, 09/01/2020 | 15,940,000 | 15,956,488 | ||||||
Niagara Mohawk Power Corp. | ||||||||
3.51%, 10/01/2024(3) | 258,000 | 269,919 | ||||||
NiSource, Inc. | ||||||||
2.65%, 11/17/2022 | 11,730,000 | 11,832,703 | ||||||
2.95%, 09/01/2029 | 5,658,000 | 5,374,463 | ||||||
3.85%, 02/15/2023 | 283,000 | 284,748 | ||||||
3.95%, 03/30/2048 | 4,480,000 | 4,555,566 |
5.80%, 02/01/2042 | 3,455,000 | 3,845,367 | ||||||
6.25%, 12/15/2040 | 550,000 | 632,184 | ||||||
Northern States Power Co. | ||||||||
3.60%, 09/15/2047 | 2,395,000 | 2,556,876 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,732,914 | ||||||
NRG Energy, Inc. | ||||||||
4.45%, 06/15/2029(3) | 1,155,000 | 1,170,362 | ||||||
Ohio Power Co. | ||||||||
4.15%, 04/01/2048 | 1,190,000 | 1,250,313 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
3.10%, 09/15/2049 | 2,437,000 | 2,367,320 | ||||||
5.75%, 03/15/2029 | 124,000 | 151,248 | ||||||
PECO Energy Co. | ||||||||
2.38%, 09/15/2022 | 578,000 | 575,964 | ||||||
3.70%, 09/15/2047 | 2,120,000 | 2,276,373 | ||||||
3.90%, 03/01/2048 | 5,235,000 | 5,865,118 | ||||||
4.15%, 10/01/2044 | 353,000 | 393,970 | ||||||
Pennsylvania Electric Co. | ||||||||
3.25%, 03/15/2028(3) | 2,386,000 | 2,277,141 | ||||||
Pepco Holdings LLC | ||||||||
7.45%, 08/15/2032 | 222,000 | 317,732 | ||||||
Perusahaan Listrik Negara PT | ||||||||
4.88%, 07/17/2049(3) | 1,541,000 | 1,471,655 | ||||||
5.50%, 11/22/2021(3) | 1,959,000 | 1,968,795 | ||||||
Pinnacle West Capital Corp. | ||||||||
2.25%, 11/30/2020 | 3,954,000 | 3,959,137 | ||||||
PNM Resources, Inc. | ||||||||
3.25%, 03/09/2021 | 165,000 | 166,045 | ||||||
Potomac Electric Power Co. | ||||||||
6.50%, 11/15/2037 | 136,000 | 187,002 | ||||||
PPL Capital Funding, Inc. | ||||||||
3.10%, 05/15/2026 | 5,226,000 | 5,318,261 | ||||||
4.00%, 09/15/2047 | 4,972,000 | 4,615,470 | ||||||
4.20%, 06/15/2022 | 1,082,000 | 1,087,857 | ||||||
PPL Electric Utilities Corp. | ||||||||
2.50%, 09/01/2022 | 178,000 | 179,911 | ||||||
3.00%, 10/01/2049 | 2,105,000 | 2,023,000 | ||||||
4.13%, 06/15/2044 | 208,000 | 230,273 | ||||||
Progress Energy, Inc. | ||||||||
3.15%, 04/01/2022 | 389,000 | 393,436 | ||||||
4.40%, 01/15/2021 | 390,000 | 393,241 | ||||||
7.75%, 03/01/2031 | 3,031,000 | 4,110,119 | ||||||
PSEG Power LLC | ||||||||
3.00%, 06/15/2021 | 2,310,000 | 2,316,601 | ||||||
5.13%, 04/15/2020 | 430,000 | 430,167 | ||||||
Public Service Co. of Colorado | ||||||||
3.55%, 06/15/2046 | 353,000 | 346,585 | ||||||
4.10%, 06/15/2048 | 2,515,000 | 2,738,577 | ||||||
Public Service Co. of Oklahoma | ||||||||
4.40%, 02/01/2021 | 203,000 | 207,733 | ||||||
6.63%, 11/15/2037 | 649,000 | 875,738 | ||||||
Public Service Electric & Gas Co. | ||||||||
3.15%, 08/15/2024 | 1,000,000 | 1,029,584 | ||||||
3.60%, 12/01/2047 | 1,605,000 | 1,671,002 | ||||||
5.38%, 11/01/2039 | 117,000 | 149,873 | ||||||
Puget Energy, Inc. | ||||||||
3.65%, 05/15/2025 | 1,200,000 | 1,173,499 | ||||||
Puget Sound Energy, Inc. | ||||||||
3.25%, 09/15/2049 | 3,890,000 | 3,813,791 | ||||||
RGS I&M Funding Corp. | ||||||||
9.82%, 06/07/2022 | 82,076 | 82,445 |
San Diego Gas & Electric Co. | ||||||||
3.32%, 04/15/2050 | 292,000 | 291,612 | ||||||
3.75%, 06/01/2047 | 1,594,000 | 1,614,678 | ||||||
3.95%, 11/15/2041 | 310,000 | 303,291 | ||||||
4.15%, 05/15/2048 | 1,693,000 | 1,823,306 | ||||||
4.30%, 04/01/2042 | 2,045,000 | 2,170,465 | ||||||
5.35%, 05/15/2040 | 3,430,000 | 4,048,685 | ||||||
6.00%, 06/01/2026 | 213,000 | 257,234 | ||||||
Sempra Energy | ||||||||
4.05%, 12/01/2023 | 10,325,000 | 10,581,812 | ||||||
6.00%, 10/15/2039 | 4,463,000 | 4,916,209 | ||||||
Southern California Edison Co. | ||||||||
1.85%, 02/01/2022 | 96,000 | 94,670 | ||||||
3.50%, 10/01/2023 | 328,000 | 338,481 | ||||||
3.65%, 03/01/2028 | 1,200,000 | 1,224,068 | ||||||
3.65%, 02/01/2050 | 3,099,000 | 2,984,108 | ||||||
3.70%, 08/01/2025 | 5,547,000 | 5,709,944 | ||||||
3.90%, 12/01/2041 | 392,000 | 382,883 | ||||||
4.05%, 03/15/2042 | 800,000 | 833,503 | ||||||
4.13%, 03/01/2048 | 1,880,000 | 2,007,131 | ||||||
6.05%, 03/15/2039 | 253,000 | 310,728 | ||||||
Southern California Gas Co. | ||||||||
2.55%, 02/01/2030 | 2,621,000 | 2,557,910 | ||||||
Southern Co. | ||||||||
3.25%, 07/01/2026 | 218,000 | 219,867 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
2.45%, 10/01/2023 | 230,000 | 232,649 | ||||||
3.25%, 06/15/2026 | 225,000 | 221,504 | ||||||
3.50%, 09/15/2021 | 530,000 | 532,419 | ||||||
3.95%, 10/01/2046 | 282,000 | 252,299 | ||||||
4.40%, 06/01/2043 | 160,000 | 166,075 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,371,682 | ||||||
Southern Power Co. | ||||||||
5.15%, 09/15/2041 | 746,000 | 713,790 | ||||||
Southwest Gas Corp. | ||||||||
3.80%, 09/29/2046 | 508,000 | 556,164 | ||||||
Southwestern Public Service Co. | ||||||||
4.50%, 08/15/2041 | 350,000 | 384,485 | ||||||
Talent Yield Investments Ltd. | ||||||||
4.50%, 04/25/2022(3) | 715,000 | 749,015 | ||||||
Toledo Edison Co. | ||||||||
6.15%, 05/15/2037 | 680,000 | 993,121 | ||||||
Tri-State Generation & Transmission Association, Inc. | ||||||||
4.25%, 06/01/2046 | 371,000 | 419,518 | ||||||
Union Electric Co. | ||||||||
2.95%, 06/15/2027 | 715,000 | 734,144 | ||||||
3.65%, 04/15/2045 | 1,370,000 | 1,334,342 | ||||||
Virginia Electric & Power Co. | ||||||||
2.75%, 03/15/2023 | 159,000 | 160,133 | ||||||
3.45%, 02/15/2024 | 191,000 | 198,058 | ||||||
3.50%, 03/15/2027 | 4,955,000 | 5,188,321 | ||||||
4.45%, 02/15/2044 | 126,000 | 143,743 | ||||||
4.60%, 12/01/2048 | 1,705,000 | 1,937,873 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 4,080,100 | ||||||
Vistra Operations Co. LLC | ||||||||
3.55%, 07/15/2024(3) | 8,460,000 | 7,952,244 | ||||||
WEC Energy Group, Inc. | ||||||||
3.55%, 06/15/2025 | 865,000 | 880,214 | ||||||
Westar Energy, Inc. | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,678,305 | ||||||
Wisconsin Electric Power Co. | ||||||||
3.10%, 06/01/2025 | 285,000 | 287,957 |
Xcel Energy, Inc. | ||||||||
2.40%, 03/15/2021 | 7,410,000 | 7,404,765 | ||||||
3.35%, 12/01/2026 | 5,105,000 | 5,042,109 | ||||||
|
| |||||||
Total Utilities | 496,838,353 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $4,141,208,371) | 4,154,083,445 | |||||||
|
| |||||||
Government Related 16.11% | ||||||||
Other Government Related 2.14% | ||||||||
Alabama Economic Settlement Authority | ||||||||
4.26%, 09/15/2032 | 610,000 | 697,047 | ||||||
American Municipal Power, Inc. | ||||||||
7.50%, 02/15/2050 | 1,350,000 | 2,095,983 | ||||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 643,953 | ||||||
Bay Area Toll Authority | ||||||||
2.57%, 04/01/2031 | 6,700,000 | 6,811,220 | ||||||
6.26%, 04/01/2049 | 1,650,000 | 2,517,537 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 970,275 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 2,072,647 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,158,480 | ||||||
Clark County School District | ||||||||
5.51%, 06/15/2024 | 3,000,000 | 3,293,370 | ||||||
Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 1,831,000 | 1,852,807 | ||||||
4.38%, 07/12/2021 | 1,000,000 | 1,006,260 | ||||||
4.50%, 01/28/2026 | 1,192,000 | 1,205,422 | ||||||
5.00%, 06/15/2045 | 2,872,000 | 2,943,800 | ||||||
5.63%, 02/26/2044 | 200,000 | 219,500 | ||||||
7.38%, 09/18/2037 | 2,150,000 | 2,676,750 | ||||||
Corp. Andina de Fomento | ||||||||
2.13%, 09/27/2021 | 2,740,000 | 2,777,648 | ||||||
2.75%, 01/06/2023 | 1,125,000 | 1,169,494 | ||||||
3.25%, 02/11/2022 | 1,230,000 | 1,275,276 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,920,515 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 118,592 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
4.81%, 10/01/2114 | 875,000 | 1,133,037 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 276,075 | ||||||
Export-Import Bank of India | ||||||||
3.88%, 02/01/2028(3) | 3,480,000 | 3,195,549 | ||||||
Fannie Mae | ||||||||
1.63%, 01/07/2025 | 6,247,000 | 6,558,614 | ||||||
1.88%, 09/24/2026 | 725,000 | 771,466 | ||||||
2.25%, 04/12/2022 | 6,542,000 | 6,781,008 | ||||||
2.63%, 09/06/2024 | 5,221,000 | 5,695,234 | ||||||
6.25%, 05/15/2029 | 630,000 | 902,907 | ||||||
6.63%, 11/15/2030(6) | 2,300,000 | 3,497,884 | ||||||
7.13%, 01/15/2030(4)(6) | 1,500,000 | 2,318,988 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 | 929,000 | 792,315 | ||||||
Federal Home Loan Banks | ||||||||
4.00%, 10/24/2029(6) | 2,000,000 | 2,510,462 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
6.25%, 07/15/2032 | 3,709,000 | 5,748,756 | ||||||
6.75%, 09/15/2029 | 625,000 | 934,056 | ||||||
Finnvera OYJ | ||||||||
2.38%, 06/04/2025(3) | 600,000 | 647,930 |
Hydro-Quebec | ||||||||
8.05%, 07/07/2024 | 638,000 | 820,749 | ||||||
8.40%, 01/15/2022 | 826,000 | 934,747 | ||||||
9.40%, 02/01/2021 | 186,000 | 198,865 | ||||||
Indonesia Government International Bond | ||||||||
4.13%, 01/15/2025(3) | 1,325,000 | 1,360,654 | ||||||
4.45%, 02/11/2024 | 1,130,000 | 1,170,790 | ||||||
5.88%, 01/15/2024(3) | 1,300,000 | 1,410,756 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 675,000 | 675,088 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 09/15/2023 | 1,837,000 | 1,765,793 | ||||||
0.00%, 11/01/2023 | 413,000 | 396,411 | ||||||
0.00%, 11/01/2024 | 1,000,000 | 947,231 | ||||||
0.00%, 11/01/2024 | 17,739,000 | 16,820,661 | ||||||
0.00%, 11/15/2026 | 258,000 | 237,367 | ||||||
5.50%, 09/18/2033 | 619,000 | 909,542 | ||||||
Japan Finance Organization for Municipalities | ||||||||
1.75%, 09/05/2024(3) | 200,000 | 206,771 | ||||||
2.00%, 09/08/2020(3) | 1,600,000 | 1,607,654 | ||||||
2.13%, 04/13/2021(3) | 400,000 | 405,468 | ||||||
2.13%, 10/25/2023(3) | 3,400,000 | 3,538,807 | ||||||
2.63%, 04/20/2022(3) | 6,000,000 | 6,202,183 | ||||||
3.25%, 04/24/2023(3) | 1,000,000 | 1,071,797 | ||||||
Korea Gas Corp. | ||||||||
4.25%, 11/02/2020(3) | 279,000 | 283,707 | ||||||
Los Angeles Department of Water & Power Power System Revenue | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,858,528 | ||||||
Mexico Government International Bond | ||||||||
3.60%, 01/30/2025 | 868,000 | 879,935 | ||||||
3.75%, 01/11/2028 | 3,517,000 | 3,495,933 | ||||||
4.13%, 01/21/2026 | 1,014,000 | 1,039,360 | ||||||
4.35%, 01/15/2047 | 42,000 | 40,806 | ||||||
4.50%, 01/31/2050 | 1,275,000 | 1,260,350 | ||||||
4.60%, 01/23/2046 | 1,494,000 | 1,486,306 | ||||||
4.60%, 02/10/2048 | 1,482,000 | 1,487,202 | ||||||
4.75%, 03/08/2044 | 450,000 | 455,625 | ||||||
5.75%, 10/12/2110 | 588,000 | 609,321 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 95,000 | 95,780 | ||||||
3.75%, 07/01/2034 | 90,000 | 92,805 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
4.13%, 06/15/2042 | 4,060,000 | 3,931,054 | ||||||
5.75%, 12/15/2028 | 5,100,000 | 6,007,749 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,361,815 | ||||||
New York State Dormitory Authority | ||||||||
3.19%, 02/15/2043 | 8,125,000 | 8,040,256 | ||||||
5.60%, 03/15/2040 | 260,000 | 315,011 | ||||||
New York State Urban Development Corp. | ||||||||
5.84%, 03/15/2040 | 2,000,000 | 2,578,940 | ||||||
North American Development Bank | ||||||||
2.40%, 10/26/2022 | 2,595,000 | 2,633,875 | ||||||
North Carolina Housing Finance Agency | ||||||||
3.00%, 01/01/2033 | 1,745,000 | 1,780,092 | ||||||
North Carolina State Education Assistance Authority | ||||||||
0.00% (3 Month LIBOR USD + 0.80%), 07/25/2036(2)(7) | 8,600,000 | 8,456,122 | ||||||
Ohio State University | ||||||||
4.05%, 12/01/2056 | 406,000 | 425,366 | ||||||
4.80%, 06/01/2111 | 1,102,000 | 1,327,403 | ||||||
Panama Government International Bond | ||||||||
4.50%, 04/16/2050 | 1,610,000 | 1,769,004 |
Peruvian Government International Bond | ||||||||
5.63%, 11/18/2050 | 190,000 | 283,100 | ||||||
Port Authority of New York & New Jersey | ||||||||
4.46%, 10/01/2062 | 2,065,000 | 2,281,205 | ||||||
5.65%, 11/01/2040 | 435,000 | 584,936 | ||||||
5.65%, 11/01/2040 | 1,260,000 | 1,694,297 | ||||||
Province of Manitoba Canada | ||||||||
2.13%, 06/22/2026 | 400,000 | 421,244 | ||||||
2.60%, 04/16/2024 | 110,000 | 117,155 | ||||||
Qatar Government International Bond | ||||||||
2.38%, 06/02/2021(3) | 3,200,000 | 3,182,579 | ||||||
4.82%, 03/14/2049(3) | 1,200,000 | 1,413,379 | ||||||
5.10%, 04/23/2048(3) | 3,140,000 | 3,807,376 | ||||||
Regents of the University of California Medical Center Pooled Revenue | ||||||||
3.71%, 05/15/2120 | 3,270,000 | 3,367,577 | ||||||
Republic of South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 386,578 | ||||||
Resolution Funding Corp. Interest Strip | ||||||||
0.00%, 01/15/2026 | 979,000 | 911,014 | ||||||
0.00%, 10/15/2027 | 1,295,000 | 1,167,953 | ||||||
Rhode Island Housing & Mortgage Finance Corp. | ||||||||
4.00%, 10/01/2023 | 3,270,000 | 3,351,031 | ||||||
Romanian Government International Bond | ||||||||
5.13%, 06/15/2048(3) | 5,000,000 | 5,150,000 | ||||||
6.75%, 02/07/2022(8) | 250,000 | 261,848 | ||||||
Saudi Government International Bond | ||||||||
2.88%, 03/04/2023(3) | 5,560,000 | 5,546,322 | ||||||
4.00%, 04/17/2025(3) | 3,200,000 | 3,322,816 | ||||||
State of California | ||||||||
7.30%, 10/01/2039 | 275,000 | 422,551 | ||||||
7.50%, 04/01/2034 | 5,540,000 | 8,736,968 | ||||||
State of Illinois | ||||||||
5.00%, 10/01/2022 | 685,000 | 705,057 | ||||||
5.00%, 11/01/2022 | 10,340,000 | 10,638,309 | ||||||
5.10%, 06/01/2033 | 3,835,000 | 3,806,736 | ||||||
State of Israel | ||||||||
3.88%, 07/03/2050 | 4,618,000 | 4,618,000 | ||||||
Tennessee Valley Authority | ||||||||
2.88%, 02/01/2027 | 1,000,000 | 1,073,134 | ||||||
4.25%, 09/15/2065 | 1,720,000 | 2,687,109 | ||||||
4.63%, 09/15/2060 | 1,308,000 | 2,035,284 | ||||||
5.50%, 06/15/2038 | 57,000 | 83,803 | ||||||
5.88%, 04/01/2036 | 2,967,000 | 4,539,476 | ||||||
7.13%, 05/01/2030 | 1,615,000 | 2,429,627 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 07/15/2028 | 2,000,000 | 1,713,957 | ||||||
0.00%, 03/15/2032 | 1,514,000 | 1,181,125 | ||||||
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 11/01/2025 | 1,847,000 | 1,715,013 | ||||||
0.00%, 06/15/2035 | 258,000 | 181,569 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | ||||||||
3.92%, 12/31/2049 | 1,810,000 | 1,788,859 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 291,336 | ||||||
Tokyo Metropolitan Government | ||||||||
2.00%, 05/17/2021(3) | 2,400,000 | 2,433,624 | ||||||
2.50%, 06/08/2022(3) | 5,000,000 | 5,183,723 | ||||||
3.25%, 06/01/2023(3) | 1,200,000 | 1,291,706 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 3,910,000 | ||||||
University of Missouri | ||||||||
5.96%, 11/01/2039 | 3,445,000 | 4,592,357 |
University of Virginia | ||||||||
4.18%, 09/01/2117 | 1,540,000 | 1,830,644 | ||||||
Uruguay Government International Bond | ||||||||
4.98%, 04/20/2055 | 2,590,000 | 2,933,201 | ||||||
5.10%, 06/18/2050 | 1,150,000 | 1,309,574 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 289,657 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 438,002 | ||||||
|
| |||||||
Total Other Government Related | 292,695,347 | |||||||
|
| |||||||
U.S. Treasury Obligations 13.97% | ||||||||
U.S. Treasury Bond | ||||||||
3.00%, 11/15/2044 | 1,585,000 | 2,145,818 | ||||||
4.38%, 02/15/2038 | 1,481,000 | 2,310,534 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.13%, 01/15/2022(9) | 2,532,591 | 2,496,103 | ||||||
1.75%, 01/15/2028(9) | 738,834 | 840,891 | ||||||
2.50%, 01/15/2029(9) | 496,236 | 609,376 | ||||||
3.63%, 04/15/2028(9) | 1,663,554 | 2,142,391 | ||||||
U.S. Treasury Note | ||||||||
0.38%, 03/31/2022 | 4,612,000 | 4,624,251 | ||||||
0.50%, 03/15/2023 | 59,000 | 59,369 | ||||||
0.63%, 03/31/2027 | 537,000 | 539,958 | ||||||
1.50%, 02/15/2030 | 32,603,000 | 35,147,562 | ||||||
1.75%, 12/31/2024 | 56,523,800 | 60,191,223 | ||||||
1.75%, 12/31/2026 | 2,230,000 | 2,409,097 | ||||||
1.88%, 11/30/2021 | 11,500,000 | 11,818,047 | ||||||
U.S. Treasury Note/Bond | ||||||||
0.50%, 03/31/2025 | 26,002,000 | 26,166,544 | ||||||
1.13%, 02/28/2021 | 8,000,000 | 8,072,500 | ||||||
1.38%, 08/31/2020 | 10,000,000 | 10,052,344 | ||||||
1.38%, 10/31/2020 | 1,050,000 | 1,057,547 | ||||||
1.38%, 08/31/2023 | 12,000,000 | 12,433,125 | ||||||
1.50%, 05/31/2020 | 2,375,000 | 2,380,487 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,278,662 | ||||||
1.63%, 10/31/2023 | 25,000,000 | 26,152,344 | ||||||
1.63%, 08/15/2029 | 22,605,000 | 24,544,968 | ||||||
1.75%, 02/28/2022 | 37,900,000 | 38,999,988 | ||||||
1.75%, 03/31/2022 | 53,000,000 | 54,610,703 | ||||||
1.75%, 01/31/2023 | 12,000,000 | 12,498,281 | ||||||
1.75%, 05/15/2023 | 17,221,000 | 17,999,308 | ||||||
1.75%, 06/30/2024 | 10,081,000 | 10,676,409 | ||||||
1.75%, 07/31/2024 | 10,525,000 | 11,153,622 | ||||||
1.88%, 04/30/2022 | 2,000,000 | 2,067,891 | ||||||
2.00%, 11/30/2020 | 1,000,000 | 1,012,578 | ||||||
2.00%, 05/31/2024 | 5,272,000 | 5,632,803 | ||||||
2.00%, 06/30/2024 | 543,000 | 580,628 | ||||||
2.00%, 08/15/2025 | 150,100 | 162,448 | ||||||
2.00%, 02/15/2050 | 26,176,000 | 30,401,992 | ||||||
2.13%, 08/15/2021 | 2,805,000 | 2,879,289 | ||||||
2.13%, 12/31/2022 | 20,000,000 | 21,013,281 | ||||||
2.13%, 02/29/2024 | 10,842,000 | 11,603,905 | ||||||
2.13%, 03/31/2024 | 18,758,000 | 20,090,111 | ||||||
2.13%, 05/15/2025 | 37,000,000 | 40,188,360 | ||||||
2.25%, 04/30/2021 | 1,800,000 | 1,841,203 | ||||||
2.25%, 04/30/2024 | 12,723,000 | 13,707,045 | ||||||
2.25%, 11/15/2024 | 20,529,000 | 22,294,815 | ||||||
2.25%, 11/15/2025 | 34,096,000 | 37,452,325 | ||||||
2.25%, 08/15/2046 | 26,502,100 | 31,901,903 | ||||||
2.25%, 08/15/2049 | 14,964,000 | 18,205,810 | ||||||
2.38%, 02/29/2024 | 24,721,000 | 26,707,371 | ||||||
2.38%, 08/15/2024 | 20,000,000 | 21,750,000 | ||||||
2.38%, 11/15/2049 | 11,598,000 | 14,475,754 |
2.50%, 01/31/2024 | 19,914,000 | 21,562,350 | ||||||
2.50%, 05/15/2024 | 738,000 | 803,036 | ||||||
2.50%, 02/15/2045 | 81,950,000 | 102,344,666 | ||||||
2.63%, 08/15/2020 | 3,709,000 | 3,744,351 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,666,915 | ||||||
2.63%, 05/15/2021 | 5,277,800 | 5,425,001 | ||||||
2.63%, 12/31/2023 | 4,830,000 | 5,246,210 | ||||||
2.75%, 05/31/2023 | 1,737,000 | 1,871,482 | ||||||
2.75%, 08/31/2023 | 10,436,000 | 11,298,601 | ||||||
2.75%, 02/15/2024 | 1,000,000 | 1,093,398 | ||||||
2.75%, 11/15/2042 | 1,200,000 | 1,550,156 | ||||||
2.75%, 08/15/2047 | 16,887,000 | 22,321,844 | ||||||
2.75%, 11/15/2047 | 16,648,000 | 22,035,839 | ||||||
2.88%, 10/31/2023 | 6,040,000 | 6,587,611 | ||||||
2.88%, 04/30/2025 | 840,000 | 944,114 | ||||||
2.88%, 05/31/2025 | 5,392,000 | 6,068,738 | ||||||
2.88%, 05/15/2043 | 106,500,000 | 140,338,711 | ||||||
2.88%, 08/15/2045 | 7,800,000 | 10,429,148 | ||||||
2.88%, 05/15/2049 | 27,711,000 | 37,841,752 | ||||||
3.00%, 05/15/2047 | 13,861,000 | 19,161,750 | ||||||
3.00%, 02/15/2048 | 870,000 | 1,204,304 | ||||||
3.00%, 02/15/2049 | 10,240,000 | 14,279,600 | ||||||
3.13%, 05/15/2021 | 4,592,000 | 4,746,262 | ||||||
3.13%, 11/15/2028 | 44,050,000 | 53,197,258 | ||||||
3.13%, 02/15/2043 | 18,100,000 | 24,754,578 | ||||||
3.13%, 05/15/2048 | 26,063,000 | 36,954,483 | ||||||
3.38%, 11/15/2048 | 30,304,000 | 44,991,970 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,305,356 | ||||||
3.50%, 02/15/2039 | 38,794,100 | 55,228,554 | ||||||
3.63%, 08/15/2043 | 16,350,000 | 24,108,586 | ||||||
3.63%, 02/15/2044 | 32,750,000 | 48,457,207 | ||||||
3.75%, 11/15/2043 | 48,150,000 | 72,398,039 | ||||||
3.88%, 08/15/2040 | 4,850,000 | 7,277,273 | ||||||
4.25%, 11/15/2040 | 4,500,000 | 7,073,086 | ||||||
4.38%, 11/15/2039 | 11,454,000 | 18,122,823 | ||||||
4.38%, 05/15/2041 | 1,500,000 | 2,406,035 | ||||||
4.75%, 02/15/2037 | 37,619,000 | 60,086,066 | ||||||
4.75%, 02/15/2041 | 3,500,000 | 5,849,102 | ||||||
5.00%, 05/15/2037 | 8,604,000 | 14,133,414 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 4,971,785 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 1,873,023 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 6,506,418 | ||||||
U.S. Treasury Strip Coupon | ||||||||
0.00%, 05/15/2021 | 13,188,000 | 13,166,173 | ||||||
0.00%, 08/15/2021 | 9,469,000 | 9,441,826 | ||||||
0.00%, 11/15/2021 | 14,679,000 | 14,623,330 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 33,763,800 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 18,056,171 | ||||||
0.00%, 08/15/2022 | 4,975,000 | 4,942,731 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 17,266,162 | ||||||
0.00%, 05/15/2023 | 30,855,000 | 30,530,755 | ||||||
0.00%, 08/15/2023 | 22,550,000 | 22,270,809 | ||||||
0.00%, 11/15/2023 | 3,218,000 | 3,174,722 | ||||||
0.00%, 02/15/2024 | 12,206,000 | 12,022,828 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,297,591 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,797,858 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 5,977,238 | ||||||
0.00%, 02/15/2025 | 799,000 | 779,105 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 3,185,090 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 4,107,666 | ||||||
0.00%, 11/15/2027 | 4,607,000 | 4,371,722 | ||||||
0.00%, 02/15/2031(6) | 12,590,000 | 11,387,119 |
0.00%, 02/15/2033 | 10,000,000 | 8,786,906 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 3,671,870 | ||||||
0.00%, 11/15/2033 | 13,216,000 | 11,492,163 | ||||||
0.00%, 02/15/2034 | 17,759,000 | 15,366,668 | ||||||
0.00%, 08/15/2034 | 6,895,000 | 5,923,502 | ||||||
0.00%, 11/15/2034 | 2,487,000 | 2,128,402 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,554,865 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,632,041 | ||||||
0.00%, 08/15/2035 | 175,000 | 148,148 | ||||||
0.00%, 05/15/2036 | 121,000 | 101,011 | ||||||
0.00%, 05/15/2039(6) | 455,000 | 357,638 | ||||||
0.00%, 08/15/2041 | 1,225,000 | 923,446 | ||||||
0.00%, 11/15/2043(6) | 4,090,000 | 2,906,220 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,909,797,435 | |||||||
|
| |||||||
Total Government Related (Cost: $1,887,877,401) | 2,202,492,782 | |||||||
|
| |||||||
Mortgage-Backed Obligations 40.02% | ||||||||
20 Times Square Trust 2018-20TS | ||||||||
3.10%, 05/15/2035(3)(4) | 5,204,000 | 4,402,924 | ||||||
ACRC Holdings LLC | ||||||||
7.08% (1 Month LIBOR USD + 4.60%), 12/22/2021(2)(13) | 6,515,000 | 6,515,000 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
6.00%, 12/25/2033 | 1,958,790 | 1,986,813 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 522,039 | 534,906 | ||||||
Alternative Loan Trust 2004-8CB | ||||||||
1.22% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2034(2) | 504,570 | 490,392 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.15% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035(2)(7) | 151,526 | 23,913 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
3.80% (1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035(2)(7) | 509,758 | 71,417 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.12% (1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035(2)(7) | 596,862 | 96,893 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 212,041 | 194,593 | ||||||
6.00%, 08/25/2035 | 7,477 | 4,711 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.10% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035(2)(7) | 2,013,190 | 317,152 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 5,413 | 5,244 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
3.90% (1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035(2)(7) | 833,030 | 129,777 | ||||||
5.50%, 11/25/2035 | 2,898 | 2,691 | ||||||
5.50%, 11/25/2035 | 210,850 | 179,135 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 85,379 | 77,813 | ||||||
Alternative Loan Trust 2005-J1 | ||||||||
4.15% (1 Month LIBOR USD + 5.10%), 02/25/2035(2)(7) | 36,197 | 969 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 67,312 | 46,368 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 | 4,841 | 4,748 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 37,495 | 36,527 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
4.11%, 07/25/2021(4) | 14,469 | 14,019 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035(3)(4) | 3,148 | 3,179 | ||||||
Antler Mortgage Trust 2018-RTL1 | ||||||||
4.34%, 07/25/2022(3) | 13,580,000 | 13,509,433 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
6.00%, 09/28/2036(3) | 163,697 | 156,774 |
Assurant Commercial Mortgage Trust 2016-1 | ||||||||
3.17%, 05/15/2049(3) | 9,100,000 | 8,949,546 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030(3) | 809,000 | 816,942 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.21%, 08/15/2046(3)(4) | 1,200,000 | 1,025,503 | ||||||
BAMLL Re-REMIC Trust 2013-FRR2 | ||||||||
0.00%, 09/26/2022(3) | 4,000,000 | 3,581,406 | ||||||
BAMLL Re-REMIC Trust 2014-FRR5 | ||||||||
0.00%, 06/27/2045(3) | 6,300,000 | 5,644,527 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2049 | 988 | 741 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 9,235 | 8,243 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 34,075 | 31,381 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 15,231 | 13,791 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.13%, 04/25/2022(4) | 22,978 | 20,913 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.47%, 09/10/2047(3)(4) | 115,456 | 133 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 | 25,850 | 19,508 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 1,780,361 | 1,804,992 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
4.41%, 12/20/2034(4) | 34,708 | 30,474 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 24,681 | 21,935 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 | 24,299 | 19,635 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 | 8,913 | 6,367 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
1.01% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035(2) | 1,771,723 | 1,687,367 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
4.44%, 03/20/2035(4) | 8,426 | 8,408 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 | 14,463 | 9,557 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
4.33%, 04/25/2033(4) | 11,565 | 10,165 | ||||||
BANK 2017-BNK4 | ||||||||
3.63%, 05/15/2050 | 6,790,000 | 7,241,605 | ||||||
BANK 2017-BNK8 | ||||||||
3.49%, 11/15/2050 | 12,745,000 | 13,655,039 | ||||||
BANK 2017-BNK9 | ||||||||
3.54%, 11/15/2054 | 6,100,000 | 6,559,655 | ||||||
BANK 2018-BNK13 | ||||||||
4.22%, 08/15/2061(4) | 3,582,000 | 4,030,913 | ||||||
BANK 2019-BNK21 | ||||||||
2.85%, 10/17/2052 | 2,742,000 | 2,819,642 | ||||||
BANK 2020-BNK26 | ||||||||
2.40%, 03/15/2063 | 1,461,000 | 1,439,453 | ||||||
BBCMS Mortgage Trust 2018-C2 | ||||||||
4.05%, 12/15/2051 | 20,000,000 | 22,062,946 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030(3) | 568,000 | 566,841 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036(3) | 4,602,000 | 4,571,581 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034(3)(4) | 47,652 | 47,203 |
Bear Stearns ALT-A Trust 2005-7 | ||||||||
1.49% (1 Month LIBOR USD + 0.54%, 0.27% Floor, 11.50% Cap), 08/25/2035(2) | 471,973 | 462,100 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
4.09%, 01/25/2033(3)(4) | 103,572 | 92,236 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
4.31%, 10/25/2033(4) | 9,417 | 8,154 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
3.74%, 05/25/2034(4) | 47,215 | 39,141 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
3.84% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036(2) | 152,404 | 142,034 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 19,074 | 19,566 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.28%, 12/11/2038(3)(4) | 600,397 | 298 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.01%, 01/12/2045(3)(4) | 10,630,831 | 4,549 | ||||||
Bellemeade Re 2018-1 Ltd. | ||||||||
2.55% (1 Month LIBOR USD + 1.60%), 04/25/2028(2)(3) | 2,759,677 | 2,738,694 | ||||||
Bellemeade Re 2018-2 Ltd. | ||||||||
2.30% (1 Month LIBOR USD + 1.35%), 08/25/2028(2)(3) | 1,381,605 | 1,372,157 | ||||||
2.55% (1 Month LIBOR USD + 1.60%), 08/25/2028(2)(3) | 1,350,000 | 1,153,128 | ||||||
Bellemeade Re 2018-3 Ltd. | ||||||||
2.80% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028(2)(3) | 3,117,494 | 3,099,014 | ||||||
Bellemeade Re 2019-3 Ltd. | ||||||||
2.05% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 07/25/2029(2)(3) | 3,038,077 | 3,023,164 | ||||||
2.55% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 07/25/2029(2)(3) | 3,600,000 | 3,080,012 | ||||||
Benchmark 2018-B1 Mortgage Trust | ||||||||
2.67%, 12/15/2072 | 30,000,000 | 29,825,418 | ||||||
Benchmark 2020-B16 Mortgage Trust | ||||||||
2.73%, 02/15/2053 | 511,000 | 520,250 | ||||||
BX Commercial Mortgage Trust 2020-BXLP | ||||||||
1.50% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 12/15/2036(2)(3) | 13,500,000 | 12,519,970 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.60%, 10/15/2048(3)(4) | 2,070,033 | 12,538 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
1.30%, 12/11/2049(3)(4) | 16,295 | 627 | ||||||
CD 2019-CD8 Mortgage Trust | ||||||||
2.66%, 08/15/2057 | 20,000,000 | 20,200,992 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
4.30%, 09/25/2036(4) | 116,837 | 93,221 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
4.36%, 02/25/2037(4) | 30,276 | 27,706 | ||||||
4.36%, 02/25/2037(4) | 35,295 | 32,314 | ||||||
4.55%, 02/25/2037(4) | 10,235 | 9,190 | ||||||
4.68%, 02/25/2037(4) | 61,088 | 55,408 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
4.13%, 06/25/2035(4) | 49,557 | 44,803 | ||||||
4.78%, 06/25/2035(4) | 36,343 | 31,858 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 | 10,426 | 9,050 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 28,031 | 26,839 | ||||||
5.75%, 04/25/2034 | 19,098 | 18,350 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 114,199 | 110,005 | ||||||
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
4.52%, 06/25/2034(4) | 6,650 | 6,276 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2020 | 1,517 | 1,529 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
3.59%, 05/20/2034(4) | 9,560 | 8,383 |
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
3.85%, 06/20/2034(4) | 58,945 | 51,180 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
3.92%, 11/20/2034(4) | 35,705 | 30,734 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 21,351 | 17,217 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 10,464 | 8,746 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
3.56%, 11/25/2035(4) | 143,808 | 119,530 | ||||||
CIM Trust 2017-6 | ||||||||
3.02%, 06/25/2057(3)(4) | 4,222,186 | 3,918,318 | ||||||
CIM Trust 2017-8 | ||||||||
3.00%, 12/25/2065(3)(4) | 7,762,673 | 7,293,306 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 1,816 | 1,772 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 52,978 | 49,733 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/10/2047 | 3,953,470 | 4,153,617 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 3,225,515 | 3,337,695 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/10/2047 | 9,634,692 | 10,024,923 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 10,065,328 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.78%, 09/10/2058 | 717,000 | 757,143 | ||||||
Citigroup Commercial Mortgage Trust 2016-C1 | ||||||||
2.94%, 05/10/2049 | 10,100,000 | 10,456,925 | ||||||
Citigroup Commercial Mortgage Trust 2016-C3 | ||||||||
3.15%, 11/15/2049 | 2,764,000 | 2,806,091 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | ||||||||
3.05%, 04/10/2049 | 13,750,000 | 13,906,743 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/2049(4) | 2,783,000 | 2,946,289 | ||||||
Citigroup Commercial Mortgage Trust 2017-P7 | ||||||||
3.44%, 04/14/2050 | 16,000,000 | 16,642,902 | ||||||
Citigroup Commercial Mortgage Trust 2017-P8 | ||||||||
3.20%, 09/15/2050 | 21,000,000 | 21,601,054 | ||||||
Citigroup Commercial Mortgage Trust 2018-B2 | ||||||||
3.74%, 03/10/2051 | 22,000,000 | 23,940,745 | ||||||
4.01%, 03/10/2051 | 1,279,000 | 1,415,596 | ||||||
Citigroup Commercial Mortgage Trust 2019-C7 | ||||||||
2.86%, 12/15/2072 | 10,000,000 | 10,161,711 | ||||||
3.10%, 12/15/2072 | 5,196,000 | 5,378,054 | ||||||
Citigroup Commercial Mortgage Trust 2020-GC46 | ||||||||
2.72%, 02/15/2053 | 13,520,000 | 13,688,901 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
0.00%, 06/25/2033 | 146 | 130 | ||||||
4.24%, 09/25/2033(4) | 55,087 | 48,720 | ||||||
7.00%, 06/25/2033(1) | 14,352 | 14,673 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
4.31%, 09/25/2033(3)(4) | 183,365 | 168,763 | ||||||
Citigroup Mortgage Loan Trust 2015-A | ||||||||
4.50%, 06/25/2058(3)(4) | 437,752 | 413,143 | ||||||
Citigroup Mortgage Loan Trust 2018-A | ||||||||
4.00%, 01/25/2068(3)(4) | 2,284,871 | 2,104,796 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
0.00%, 09/25/2033 | 4,294 | 3,775 | ||||||
0.00%, 10/25/2033 | 3,432 | 2,891 | ||||||
2.49%, 02/25/2035(4) | 22,032 | 15,436 | ||||||
3.97%, 08/25/2035(4) | 64,019 | 46,341 |
4.29%, 08/25/2034(4) | 14,169 | 11,914 | ||||||
5.25%, 10/25/2033 | 20,762 | 21,022 | ||||||
5.50%, 05/25/2035 | 103,825 | 105,735 | ||||||
5.50%, 11/25/2035 | 1,854 | 1,837 | ||||||
6.00%, 11/25/2035 | 2,260,383 | 2,146,777 | ||||||
7.00%, 09/25/2033 | 3,094 | 3,017 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.87%, 08/15/2048(4) | 454,713 | 919 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 3,783,014 | 3,815,979 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.63%, 08/15/2045(4) | 2,676,192 | 81,517 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 9,772,935 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030(3) | 516,000 | 532,600 | ||||||
COMM 2013-CCRE7 Mortgage Trust | ||||||||
3.21%, 03/10/2046 | 1,225,913 | 1,255,733 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/10/2045 | 3,059,736 | 3,173,184 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,113,981 | 4,315,607 | ||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||
4.26%, 08/10/2050 | 8,100,000 | 8,605,065 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 9,308,032 | 9,737,694 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/12/2035(3)(4) | 708,000 | 701,788 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/10/2047 | 1,799,555 | 1,796,805 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/10/2047 | 17,769,300 | 18,706,982 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/10/2047 | 12,000,000 | 12,485,046 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/10/2047 | 417,521 | 417,732 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.43%, 08/10/2048 | 7,475,332 | 7,852,435 | ||||||
3.70%, 08/10/2048 | 770,833 | 822,830 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.51%, 08/10/2048 | 11,173,000 | 11,611,181 | ||||||
3.76%, 08/10/2048 | 2,437,000 | 2,572,245 | ||||||
COMM 2015-LC23 Mortgage Trust | ||||||||
3.77%, 10/10/2048 | 4,039,090 | 4,324,928 | ||||||
COMM 2018-HOME Mortgage Trust | ||||||||
3.82%, 04/10/2033(3)(4) | 10,975,000 | 11,887,850 | ||||||
COMM 2020-CBM Mortgage Trust | ||||||||
3.40%, 02/10/2037(3) | 6,090,000 | 4,981,830 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
5.51%, 07/10/2038(4) | 47,539 | 47,230 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.01%, 01/15/2049(3)(4) | 1,920,525 | 19 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
0.00%, 10/25/2033 | 40,095 | 32,274 | ||||||
3.87%, 03/25/2034(4) | 1,009,302 | 988,038 | ||||||
4.16%, 06/25/2033(4) | 23,374 | 20,924 | ||||||
5.25%, 07/25/2033 | 1,213,878 | 1,160,437 | ||||||
5.25%, 09/25/2033 | 47,044 | 47,880 | ||||||
5.25%, 09/25/2034 | 9,388 | 8,563 | ||||||
6.73%, 02/25/2033(4) | 67,734 | 70,008 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.54%, 11/15/2048 | 7,500,000 | 7,798,738 |
CSAIL 2016-C7 Commercial Mortgage Trust | ||||||||
3.50%, 11/15/2049 | 1,882,000 | 1,932,430 | ||||||
CSAIL 2017-C8 Commercial Mortgage Trust | ||||||||
3.13%, 06/15/2050 | 15,525,000 | 15,697,475 | ||||||
CSAIL 2019-C16 Commercial Mortgage Trust | ||||||||
3.33%, 06/15/2052 | 1,299,000 | 1,348,525 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | ||||||||
5.25%, 11/25/2033 | 33,203 | 33,795 | ||||||
5.25%, 11/25/2033 | 55,773 | 55,197 | ||||||
5.75%, 11/25/2033 | 244,966 | 251,807 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 | ||||||||
5.50%, 09/25/2034 | 38,852 | 38,045 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8 | ||||||||
5.50%, 12/25/2034 | 88,786 | 85,519 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 | ||||||||
0.00%, 10/25/2035 | 15,588 | 11,308 | ||||||
5.50%, 10/25/2035 | 181,175 | 2,064 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 | ||||||||
0.00%, 11/25/2035 | 8,025 | 5,334 | ||||||
CSMA SFR Holdings II A-1 | ||||||||
3.50%, 07/25/2023(13) | 6,427,889 | 6,421,461 | ||||||
CSMC 2014-USA OA LLC | ||||||||
4.37%, 09/15/2037(3) | 3,000,000 | 2,436,873 | ||||||
CSMC 2018-RPL7 Trust | ||||||||
4.00%, 08/26/2058(3) | 3,439,867 | 3,562,877 | ||||||
CSMC 2018-RPL9 Trust | ||||||||
3.85%, 09/25/2057(3)(4) | 12,305,818 | 12,399,936 | ||||||
CSMC 2020-WL1 TR VARIABLE REGD 144A | ||||||||
2.35% (1 Month LIBOR USD + 1.40%), 12/26/2059(2)(3)(13) | 16,322,757 | 16,322,757 | ||||||
CSMC Series 2010-17R | ||||||||
4.02%, 06/26/2036(3)(4) | 7,289 | 7,274 | ||||||
CSMC Series 2019-11R | ||||||||
2.71% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 09/25/2045(2)(3) | 6,996,211 | 6,499,963 | ||||||
CSMCM 2018-RPL4 Trust | ||||||||
3.75%, 05/25/2058(3) | 3,522,389 | 3,461,982 | ||||||
CSMCM 2018-RPL9 Trust | ||||||||
3.91%, 09/25/2057(3)(13) | 3,253,738 | 3,123,029 | ||||||
DBJPM 16-C1 Mortgage Trust | ||||||||
3.02%, 05/10/2049 | 15,000,000 | 15,557,928 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.02%, 07/10/2044(3)(4) | 2,238,335 | 15,945 | ||||||
Deephaven Residential Mortgage Trust 2017-1 | ||||||||
3.49%, 12/26/2046(3)(4) | 265,534 | 259,977 | ||||||
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-1 | ||||||||
5.06%, 02/25/2021(4) | 11,375 | 11,299 | ||||||
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-3 | ||||||||
4.28%, 06/25/2020(4) | 16,497 | 15,871 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | ||||||||
6.15%, 04/25/2034(1) | 125 | 123 | ||||||
Eagle RE 2018-1 Ltd. | ||||||||
2.65% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/25/2028(2)(3) | 2,263,699 | 2,253,054 | ||||||
Eagle RE 2019-1 Ltd. | ||||||||
2.75% (1 Month LIBOR USD + 1.80%), 04/25/2029(2)(3) | 1,383,560 | 1,377,324 | ||||||
Fannie Mae | ||||||||
2.50%, 04/01/2035(10) | 9,010,000 | 9,348,931 | ||||||
2.50%, 04/01/2050(10) | 30,650,000 | 31,761,063 | ||||||
3.00%, 04/01/2035(10) | 5,460,000 | 5,709,827 | ||||||
3.00%,04/01/2050(10) | 2,385,000 | 2,500,989 | ||||||
3.50%, 04/01/2050(10) | 25,000,000 | 26,446,289 | ||||||
3.69%, 09/01/2028 | 4,724,878 | 5,427,659 | ||||||
4.00%, 04/01/2050(10) | 24,680,000 | 26,351,154 | ||||||
4.50%, 04/01/2050(10) | 10,725,000 | 11,542,781 | ||||||
5.00%, 04/01/2050(10) | 4,395,000 | 4,745,742 |
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039(4) | 64,236 | 70,668 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 102,460 | 114,412 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 115,828 | 140,267 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 22,302 | 26,257 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
4.36%, 07/25/2043(4) | 102,165 | 108,777 | ||||||
7.50%, 11/25/2043 | 193,833 | 230,233 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
10.10%, 01/25/2044(4) | 23,011 | 28,022 | ||||||
6.50%, 02/25/2044 | 283,120 | 334,595 | ||||||
7.00%, 02/25/2044 | 118,913 | 142,596 | ||||||
Fannie Mae Grantor Trust 2017-T1 | ||||||||
2.90%, 06/25/2027 | 6,533,364 | 6,892,376 | ||||||
Fannie Mae Interest Strip | ||||||||
0.00%, 09/25/2024 | 39,697 | 38,759 | ||||||
0.00%, 01/25/2033 | 8,121 | 7,605 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042(2) | 629,712 | 634,998 | ||||||
1.50% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042(2) | 1,532,569 | 1,544,800 | ||||||
4.50%, 11/25/2020 | 23 | 0 | ||||||
5.00%, 12/25/2033(4) | 10,974 | 1,689 | ||||||
5.50%, 05/25/2036 | 42,044 | 8,990 | ||||||
5.50%, 08/25/2036 | 28,453 | 5,412 | ||||||
5.50%, 04/25/2037 | 11,900 | 1,962 | ||||||
6.00%, 01/25/2038 | 28,089 | 5,652 | ||||||
7.50%, 04/25/2023 | 452 | 40 | ||||||
9.00%, 03/25/2024 | 372 | 410 | ||||||
Fannie Mae Pool | ||||||||
1.87% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 97.76% Cap), 01/01/2023(2) | 1,430,735 | 1,428,174 | ||||||
2.00% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(2) | 3,460,315 | 3,450,810 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,555,219 | ||||||
2.00%, 08/01/2031 | 2,562,995 | 2,640,514 | ||||||
2.28%, 12/01/2022 | 954,067 | 984,871 | ||||||
2.29%, 10/01/2026 | 10,058,447 | 10,662,726 | ||||||
2.32% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 98.04% Cap), 03/01/2022(2) | 867,175 | 863,761 | ||||||
2.32%, 12/01/2022 | 349,651 | 361,181 | ||||||
2.34%, 12/01/2022 | 2,201,927 | 2,276,071 | ||||||
2.34%, 01/01/2023 | 1,271,544 | 1,315,920 | ||||||
2.37%, 11/01/2022 | 440,725 | 455,402 | ||||||
2.37%, 01/01/2023 | 1,015,066 | 1,050,078 | ||||||
2.38%, 11/01/2022 | 802,957 | 829,956 | ||||||
2.38%, 12/01/2022 | 462,648 | 478,792 | ||||||
2.39%, 10/01/2022 | 595,728 | 615,189 | ||||||
2.41%, 11/01/2022 | 144,830 | 149,617 | ||||||
2.42%, 12/01/2022 | 1,089,371 | 1,127,040 | ||||||
2.42%, 06/01/2023 | 834,484 | 868,273 | ||||||
2.44%, 11/01/2022 | 760,773 | 786,476 | ||||||
2.45%, 11/01/2022 | 1,391,911 | 1,441,105 | ||||||
2.45%, 01/01/2023 | 682,896 | 707,687 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,340,202 | ||||||
2.49%, 03/01/2023 | 748,714 | 778,470 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,506,502 | ||||||
2.50%, 09/01/2027 | 370,910 | 385,228 | ||||||
2.50%, 04/01/2028 | 3,505,737 | 3,641,238 | ||||||
2.50%, 04/01/2030 | 1,823,042 | 1,905,441 | ||||||
2.50%, 05/01/2030 | 2,275,551 | 2,367,267 | ||||||
2.50%, 11/01/2031 | 3,122,410 | 3,248,404 | ||||||
2.50%, 12/01/2034 | 21,996,027 | 22,867,553 | ||||||
2.50%, 12/01/2036 | 4,050,863 | 4,232,862 |
2.50%, 01/01/2043 | 2,462,980 | 2,564,640 | ||||||
2.50%, 02/01/2043 | 1,090,404 | 1,135,411 | ||||||
2.50%, 10/01/2043 | 2,261,256 | 2,354,595 | ||||||
2.50%, 05/01/2046 | 1,410,176 | 1,468,391 | ||||||
2.50%, 07/01/2046 | 2,924,985 | 3,045,765 | ||||||
2.50%, 10/01/2046 | 1,067,593 | 1,111,601 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,448,254 | ||||||
2.52%, 11/01/2029 | 14,750,000 | 15,906,648 | ||||||
2.55%, 11/01/2022 | 371,844 | 385,451 | ||||||
2.55%, 11/01/2022 | 1,164,072 | 1,206,670 | ||||||
2.55%, 10/01/2028 | 9,300,000 | 10,019,410 | ||||||
2.57%, 08/01/2028 | 5,400,000 | 5,841,973 | ||||||
2.58%, 09/01/2028 | 3,830,000 | 4,135,974 | ||||||
2.59%, 09/01/2028 | 7,552,000 | 8,164,980 | ||||||
2.60%, 06/01/2022 | 771,329 | 792,126 | ||||||
2.62%, 10/01/2028 | 9,347,776 | 10,133,004 | ||||||
2.64%, 10/01/2022 | 627,014 | 650,695 | ||||||
2.64%, 04/01/2023 | 332,175 | 347,132 | ||||||
2.64%, 07/01/2023 | 413,000 | 433,856 | ||||||
2.64%, 08/01/2028 | 3,398,841 | 3,697,910 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,064,841 | ||||||
2.67%, 07/01/2022 | 624,000 | 643,198 | ||||||
2.68%, 05/01/2025 | 1,828,061 | 1,958,859 | ||||||
2.69%, 12/01/2028 | 4,567,000 | 4,985,256 | ||||||
2.70%, 04/01/2023(4) | 499,997 | 523,347 | ||||||
2.70%, 04/01/2025 | 4,821,262 | 5,172,556 | ||||||
2.71%, 07/01/2022 | 952,106 | 981,491 | ||||||
2.72% (11th District Cost of Funds Index + 1.25%), 09/01/2027(2) | 3,028 | 3,043 | ||||||
2.75%, 03/01/2022 | 158,465 | 163,159 | ||||||
2.76%, 06/01/2022 | 1,583,040 | 1,643,926 | ||||||
2.77%, 06/01/2023 | 902,211 | 949,496 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 2,183,703 | ||||||
2.79%, 06/01/2023(4) | 1,447,227 | 1,519,184 | ||||||
2.81%, 04/01/2025 | 2,900,000 | 3,135,117 | ||||||
2.81%, 05/01/2027 | 1,934,363 | 2,116,820 | ||||||
2.82%, 07/01/2022 | 994,839 | 1,027,096 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 8,767,234 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 2,156,231 | ||||||
2.90%, 10/01/2029 | 3,439,525 | 3,802,050 | ||||||
2.91%, 03/01/2027 | 9,829,376 | 10,783,612 | ||||||
2.91%, 12/01/2027 | 9,361,623 | 10,310,519 | ||||||
2.92%, 12/01/2024 | 995,783 | 1,073,541 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 4,470,972 | ||||||
2.93%, 01/01/2025 | 1,865,912 | 2,010,521 | ||||||
2.94%, 05/01/2022 | 967,689 | 996,974 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,794,755 | ||||||
2.96%, 06/01/2030 | 1,878,655 | 2,084,013 | ||||||
2.97%, 01/01/2022 | 695,346 | 711,829 | ||||||
2.97%, 06/01/2028 | 3,077,284 | 3,387,475 | ||||||
2.99%, 07/01/2029 | 9,677,000 | 10,793,085 | ||||||
2.99%, 08/01/2029 | 7,240,000 | 8,073,958 | ||||||
3.00%, 04/01/2027 | 434,059 | 454,729 | ||||||
3.00%, 05/01/2027 | 2,505,577 | 2,625,289 | ||||||
3.00%, 06/01/2027 | 2,000,000 | 2,208,502 | ||||||
3.00%, 08/01/2028 | 1,134,419 | 1,188,451 | ||||||
3.00%, 09/01/2028 | 1,785,236 | 1,874,159 | ||||||
3.00%, 12/01/2028 | 671,937 | 703,745 | ||||||
3.00%, 05/01/2030 | 1,810,793 | 1,900,619 | ||||||
3.00%, 09/01/2030 | 7,333,522 | 7,701,272 | ||||||
3.00%, 03/01/2033 | 8,145,122 | 8,549,670 | ||||||
3.00%, 04/01/2033 | 6,190,331 | 6,496,788 | ||||||
3.00%, 11/01/2036 | 6,594,441 | 6,979,509 |
3.00%, 05/01/2042 | 537,356 | 568,064 | ||||||
3.00%, 10/01/2042 | 321,292 | 337,912 | ||||||
3.00%, 10/01/2042 | 5,007,587 | 5,294,839 | ||||||
3.00%, 11/01/2042 | 2,037,134 | 2,154,000 | ||||||
3.00%, 12/01/2042 | 106,518 | 112,617 | ||||||
3.00%, 12/01/2042 | 1,158,806 | 1,225,040 | ||||||
3.00%, 01/01/2043 | 1,004,648 | 1,062,282 | ||||||
3.00%, 01/01/2043 | 1,450,176 | 1,542,660 | ||||||
3.00%, 01/01/2043 | 1,575,361 | 1,665,732 | ||||||
3.00%, 01/01/2043 | 1,731,576 | 1,830,911 | ||||||
3.00%, 02/01/2043 | 798,302 | 849,087 | ||||||
3.00%, 04/01/2043 | 2,092,735 | 2,212,711 | ||||||
3.00%, 04/01/2043 | 2,161,721 | 2,292,841 | ||||||
3.00%, 04/01/2043 | 3,454,571 | 3,652,782 | ||||||
3.00%, 05/01/2043 | 120,462 | 127,375 | ||||||
3.00%, 05/01/2043 | 353,777 | 374,054 | ||||||
3.00%, 05/01/2043 | 796,566 | 842,974 | ||||||
3.00%, 05/01/2043 | 10,157,537 | 10,739,315 | ||||||
3.00%, 06/01/2043 | 98,168 | 103,801 | ||||||
3.00%, 06/01/2043 | 277,642 | 293,542 | ||||||
3.00%, 06/01/2043 | 626,987 | 662,689 | ||||||
3.00%, 06/01/2043 | 2,486,386 | 2,630,585 | ||||||
3.00%, 06/01/2043 | 7,190,111 | 7,602,669 | ||||||
3.00%, 07/01/2043 | 80,977 | 85,624 | ||||||
3.00%, 07/01/2043 | 372,852 | 394,246 | ||||||
3.00%, 07/01/2043 | 374,214 | 395,678 | ||||||
3.00%, 07/01/2043 | 1,464,477 | 1,548,077 | ||||||
3.00%, 07/01/2043 | 7,547,623 | 8,003,982 | ||||||
3.00%, 08/01/2043 | 967,583 | 1,023,100 | ||||||
3.00%, 08/01/2043 | 3,657,471 | 3,866,931 | ||||||
3.00%, 08/01/2043 | 6,469,578 | 6,840,086 | ||||||
3.00%, 10/01/2043 | 91,949 | 97,226 | ||||||
3.00%, 10/01/2043 | 12,809,763 | 13,620,586 | ||||||
3.00%, 02/01/2044 | 6,820,315 | 7,210,825 | ||||||
3.00%, 04/01/2045 | 7,480,596 | 7,909,195 | ||||||
3.00%, 05/01/2046 | 9,339,752 | 9,866,726 | ||||||
3.00%, 09/01/2046 | 1,025,627 | 1,082,851 | ||||||
3.00%, 11/01/2046 | 5,288,120 | 5,579,119 | ||||||
3.00%, 11/01/2046 | 6,737,218 | 7,122,595 | ||||||
3.00%, 12/01/2046 | 604,885 | 638,056 | ||||||
3.00%, 01/01/2047 | 4,638,013 | 4,899,302 | ||||||
3.00%, 01/01/2047 | 5,662,722 | 5,968,113 | ||||||
3.00%, 02/01/2047 | 1,853,852 | 1,959,881 | ||||||
3.00%, 03/01/2047 | 878,773 | 926,506 | ||||||
3.00%, 12/01/2048 | 1,244,067 | 1,311,037 | ||||||
3.00%, 02/01/2049 | 13,133,342 | 13,998,172 | ||||||
3.00%, 10/01/2049 | 1,138,256 | 1,197,111 | ||||||
3.00%, 10/01/2049 | 2,480,993 | 2,601,005 | ||||||
3.00%, 11/01/2049 | 4,351,200 | 4,600,318 | ||||||
3.00%, 11/01/2049 | 6,771,710 | 7,159,406 | ||||||
3.00%, 12/01/2049 | 1,288,211 | 1,354,818 | ||||||
3.00%, 12/01/2049 | 1,294,108 | 1,359,492 | ||||||
3.00%, 12/01/2049 | 1,779,411 | 1,868,070 | ||||||
3.00%, 12/01/2049 | 1,870,783 | 1,977,892 | ||||||
3.00%, 12/01/2049 | 31,963,947 | 33,502,841 | ||||||
3.00%, 01/01/2050 | 3,239,413 | 3,402,427 | ||||||
3.00%, 01/01/2050 | 7,653,222 | 8,067,784 | ||||||
3.00%, 02/01/2050 | 906,797 | 952,612 | ||||||
3.00%, 02/01/2050 | 1,443,061 | 1,512,848 | ||||||
3.00%, 02/01/2050 | 1,727,174 | 1,814,442 | ||||||
3.00%, 02/01/2050 | 2,741,063 | 2,898,848 | ||||||
3.00%, 03/01/2050 | 467,809 | 495,017 |
3.00%, 03/01/2050 | 1,203,439 | 1,272,716 | ||||||
3.02%, 05/01/2022 | 615,576 | 635,048 | ||||||
3.02%, 07/01/2029 | 8,200,000 | 9,167,328 | ||||||
3.03%, 12/01/2021 | 865,772 | 885,403 | ||||||
3.03%, 01/01/2022 | 766,596 | 785,148 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,655,347 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,945,559 | ||||||
3.06%, 02/01/2022 | 863,000 | 886,689 | ||||||
3.07%, 02/01/2025 | 4,995,000 | 5,411,608 | ||||||
3.07% (6 Month LIBOR USD + 1.20%, 1.20% Floor, 10.38% Cap), 08/01/2034(2) | 28,454 | 28,735 | ||||||
3.08%, 03/01/2022 | 381,603 | 392,595 | ||||||
3.08%, 04/01/2022 | 944,036 | 973,417 | ||||||
3.08%, 12/01/2024 | 1,853,573 | 2,005,968 | ||||||
3.08%, 01/01/2028 | 8,000,000 | 8,911,468 | ||||||
3.08%, 04/01/2030 | 1,933,267 | 2,170,616 | ||||||
3.09%, 01/01/2022 | 1,216,319 | 1,247,078 | ||||||
3.09%, 09/01/2029 | 7,484,000 | 8,437,961 | ||||||
3.10%, 09/01/2025 | 4,888,680 | 5,360,280 | ||||||
3.10%, 01/01/2028 | 6,750,000 | 7,539,569 | ||||||
3.11%, 12/01/2024 | 2,489,558 | 2,705,469 | ||||||
3.12%, 11/01/2026 | 961,283 | 1,062,329 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,845,469 | ||||||
3.13%, 03/01/2027 | 6,835,000 | 7,596,390 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 1,138,354 | ||||||
3.14%, 02/01/2022 | 436,581 | 448,752 | ||||||
3.14%, 03/01/2022 | 272,212 | 280,306 | ||||||
3.14%, 12/01/2026 | 1,804,418 | 1,993,537 | ||||||
3.18% (6 Month LIBOR USD + 1.29%, 1.29% Floor, 12.00% Cap), 07/01/2037(2) | 50,062 | 50,291 | ||||||
3.19%, 01/01/2033 | 4,551,215 | 5,026,734 | ||||||
3.19%, 03/01/2036 | 2,548,779 | 2,874,722 | ||||||
3.20%, 01/01/2022 | 782,735 | 803,865 | ||||||
3.20%, 06/01/2029 | 3,459,589 | 3,904,609 | ||||||
3.20%, 06/01/2030 | 987,902 | 1,123,537 | ||||||
3.21%, 03/01/2022 | 310,000 | 319,788 | ||||||
3.21%, 03/01/2029 | 10,000,000 | 11,295,033 | ||||||
3.22%, 02/01/2029 | 8,987,652 | 10,142,593 | ||||||
3.22%, 09/01/2032 | 6,000,000 | 6,726,965 | ||||||
3.23%, 01/01/2030 | 4,484,838 | 5,077,639 | ||||||
3.23%, 01/01/2030 | 7,590,000 | 8,678,581 | ||||||
3.24%, 10/01/2026 | 1,806,929 | 2,003,288 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,678,558 | ||||||
3.25%, 09/01/2026 | 1,461,518 | 1,625,312 | ||||||
3.25%, 02/01/2027 | 5,671,121 | 6,304,508 | ||||||
3.26%, 12/01/2026 | 944,557 | 1,052,364 | ||||||
3.26%, 04/01/2029 | 13,520,000 | 15,353,893 | ||||||
3.26%, 10/01/2030 | 4,837,936 | 5,504,386 | ||||||
3.28%, 02/01/2029 | 8,188,684 | 9,210,945 | ||||||
3.29%, 08/01/2026 | 1,485,197 | 1,655,461 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,347,399 | ||||||
3.30%, 03/01/2029 | 4,000,000 | 4,560,338 | ||||||
3.30%, 07/01/2030 | 1,005,000 | 1,148,949 | ||||||
3.31%, 12/01/2021 | 354,093 | 363,367 | ||||||
3.32% (6 Month LIBOR USD + 1.41%, 1.41% Floor, 9.28% Cap), 09/01/2033(2) | 29,313 | 29,503 | ||||||
3.32%, 03/01/2029 | 2,857,546 | 3,243,214 | ||||||
3.32%, 04/01/2032 | 6,018,887 | 6,879,937 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,677,747 | ||||||
3.34%, 04/01/2029 | 4,959,548 | 5,641,098 | ||||||
3.34%, 07/01/2030 | 1,500,000 | 1,712,547 | ||||||
3.36% (6 Month LIBOR USD + 1.48%, 1.48% Floor, 12.68% Cap), 02/01/2037(2) | 47,058 | 47,646 | ||||||
3.37% (6 Month LIBOR USD + 1.45%, 1.45% Floor, 12.56% Cap), 01/01/2037(2) | 40,494 | 40,929 | ||||||
3.38%, 12/01/2023 | 2,409,011 | 2,595,928 | ||||||
3.39%, 09/01/2030 | 1,844,827 | 2,110,225 |
3.40%, 10/01/2021 | 319,616 | 327,030 | ||||||
3.42% (6 Month LIBOR USD + 1.55%), 02/01/2035(2) | 4,897 | 4,964 | ||||||
3.43%, 11/01/2021 | 917,273 | 940,328 | ||||||
3.45% (6 Month LIBOR USD + 1.31%, 1.31% Floor, 12.81% Cap), 09/01/2036(2) | 114,346 | 115,034 | ||||||
3.45%, 01/01/2024 | 1,711,062 | 1,847,621 | ||||||
3.45%, 04/01/2035 | 1,841,755 | 2,155,922 | ||||||
3.47%, 12/01/2020(4) | 166,014 | 167,915 | ||||||
3.49% (6 Month LIBOR USD + 1.51%, 1.51% Floor, 10.83% Cap), 01/01/2035(2) | 156,114 | 158,066 | ||||||
3.49% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 10.29% Cap), 11/01/2033(2) | 30,313 | 30,612 | ||||||
3.50% (1 Year LIBOR USD + 1.50%, 1.50% Floor, 10.35% Cap), 01/01/2035(2) | 9,785 | 9,863 | ||||||
3.50%, 12/01/2023 | 2,193,577 | 2,371,835 | ||||||
3.50%, 03/01/2027 | 1,367,954 | 1,440,851 | ||||||
3.50%, 12/01/2029 | 2,970,821 | 3,153,764 | ||||||
3.50%, 05/01/2030 | 553,838 | 585,823 | ||||||
3.50%, 12/01/2030 | 1,770,774 | 1,867,220 | ||||||
3.50%, 07/01/2032 | 120,436 | 129,598 | ||||||
3.50%, 11/01/2032 | 865,992 | 919,834 | ||||||
3.50%, 12/01/2032 | 265,951 | 286,702 | ||||||
3.50%, 12/01/2032 | 12,355,101 | 13,160,772 | ||||||
3.50%, 02/01/2033 | 502,398 | 541,597 | ||||||
3.50%, 02/01/2033 | 589,089 | 620,205 | ||||||
3.50%, 03/01/2033 | 2,885,520 | 3,054,991 | ||||||
3.50%, 04/01/2033 | 3,006,804 | 3,167,523 | ||||||
3.50%, 06/01/2033 | 198,758 | 214,268 | ||||||
3.50%, 10/01/2033 | 9,184,432 | 9,882,081 | ||||||
3.50%, 07/01/2034 | 2,484,249 | 2,621,992 | ||||||
3.50%, 06/01/2040 | 3,256,545 | 3,496,140 | ||||||
3.50%, 12/01/2040 | 105,454 | 113,203 | ||||||
3.50%, 02/01/2041 | 8,775,492 | 9,420,939 | ||||||
3.50%, 11/01/2041 | 352,222 | 378,167 | ||||||
3.50%, 11/01/2041 | 3,584,250 | 3,846,585 | ||||||
3.50%, 12/01/2041 | 256,327 | 275,085 | ||||||
3.50%, 12/01/2041 | 692,886 | 743,897 | ||||||
3.50%, 12/01/2041 | 6,950,729 | 7,460,928 | ||||||
3.50%, 02/01/2042 | 250,464 | 268,999 | ||||||
3.50%, 02/01/2042 | 453,153 | 486,383 | ||||||
3.50%, 04/01/2042 | 270,203 | 290,014 | ||||||
3.50%, 05/01/2042 | 7,321,171 | 7,861,555 | ||||||
3.50%, 06/01/2042 | 1,644,818 | 1,765,743 | ||||||
3.50%, 07/01/2042 | 1,163,442 | 1,249,332 | ||||||
3.50%, 07/01/2042 | 3,755,775 | 4,033,755 | ||||||
3.50%, 07/01/2042 | 17,874,066 | 19,195,751 | ||||||
3.50%, 08/01/2042 | 673,384 | 723,172 | ||||||
3.50%, 09/01/2042 | 643,670 | 691,023 | ||||||
3.50%, 09/01/2042 | 852,509 | 910,243 | ||||||
3.50%, 09/01/2042 | 886,280 | 951,798 | ||||||
3.50%, 09/01/2042 | 5,080,771 | 5,454,684 | ||||||
3.50%, 10/01/2042 | 381,874 | 410,007 | ||||||
3.50%, 10/01/2042 | 443,934 | 476,503 | ||||||
3.50%, 10/01/2042 | 624,614 | 670,842 | ||||||
3.50%, 10/01/2042 | 1,249,012 | 1,341,343 | ||||||
3.50%, 11/01/2042 | 2,608,364 | 2,801,417 | ||||||
3.50%, 11/01/2042 | 7,050,762 | 7,572,594 | ||||||
3.50%, 01/01/2043 | 700,828 | 748,259 | ||||||
3.50%, 01/01/2043 | 1,009,214 | 1,083,665 | ||||||
3.50%, 02/01/2043 | 55,506 | 59,608 | ||||||
3.50%, 02/01/2043 | 66,788 | 71,729 | ||||||
3.50%, 03/01/2043 | 515,792 | 550,750 | ||||||
3.50%, 03/01/2043 | 1,471,698 | 1,580,577 | ||||||
3.50%, 03/01/2043 | 4,311,747 | 4,630,748 | ||||||
3.50%, 04/01/2043 | 1,793,672 | 1,926,382 | ||||||
3.50%, 04/01/2043 | 4,185,255 | 4,490,827 |
3.50%, 05/01/2043 | 80,185 | 86,117 | ||||||
3.50%, 05/01/2043 | 649,300 | 692,978 | ||||||
3.50%, 05/01/2043 | 1,340,940 | 1,432,265 | ||||||
3.50%, 05/01/2043 | 1,819,646 | 1,942,966 | ||||||
3.50%, 07/01/2043 | 8,543,210 | 9,171,900 | ||||||
3.50%, 06/01/2044 | 6,495,294 | 6,934,288 | ||||||
3.50%, 06/01/2044 | 8,531,576 | 9,155,183 | ||||||
3.50%, 02/01/2045 | 7,475,581 | 8,026,721 | ||||||
3.50%, 04/01/2045 | 12,427,764 | 13,252,301 | ||||||
3.50%, 06/01/2045 | 2,675,306 | 2,852,286 | ||||||
3.50%, 06/01/2045 | 9,756,607 | 10,402,144 | ||||||
3.50%, 08/01/2045 | 520,912 | 555,268 | ||||||
3.50%, 11/01/2045 | 3,186,289 | 3,407,082 | ||||||
3.50%, 12/01/2045 | 384,398 | 409,774 | ||||||
3.50%, 12/01/2045 | 707,214 | 755,826 | ||||||
3.50%, 01/01/2046 | 10,196,841 | 10,872,664 | ||||||
3.50%, 04/01/2046 | 1,204,473 | 1,296,484 | ||||||
3.50%, 05/01/2046 | 563,821 | 601,719 | ||||||
3.50%, 08/01/2046 | 6,633,574 | 7,058,670 | ||||||
3.50%, 09/01/2046 | 3,085,030 | 3,295,099 | ||||||
3.50%, 11/01/2046 | 943,218 | 1,005,046 | ||||||
3.50%, 11/01/2046 | 13,934,078 | 14,853,848 | ||||||
3.50%, 12/01/2046 | 3,872,043 | 4,113,732 | ||||||
3.50%, 12/01/2046 | 8,256,582 | 8,860,262 | ||||||
3.50%, 01/01/2047 | 4,869,865 | 5,167,002 | ||||||
3.50%, 02/01/2047 | 9,327,616 | 10,006,620 | ||||||
3.50%, 02/01/2047 | 11,770,405 | 12,527,136 | ||||||
3.50%, 06/01/2047 | 761,965 | 811,157 | ||||||
3.50%, 11/01/2047 | 15,143,736 | 16,061,800 | ||||||
3.50%, 02/01/2048 | 9,488,116 | 10,076,942 | ||||||
3.50%, 10/01/2048 | 7,714,759 | 8,205,233 | ||||||
3.50%, 06/01/2049 | 14,688,057 | 15,530,776 | ||||||
3.50%, 11/01/2049 | 3,725,403 | 3,978,776 | ||||||
3.50%, 12/01/2049 | 3,110,054 | 3,312,994 | ||||||
3.50%, 01/01/2050 | 14,878,930 | 15,890,878 | ||||||
3.51%, 01/01/2021(4) | 783,573 | 793,228 | ||||||
3.53%, 08/01/2028 | 4,700,000 | 5,401,348 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,719,819 | ||||||
3.56%, 07/01/2030 | 8,484,000 | 9,942,253 | ||||||
3.57%, 06/01/2028 | 8,361,000 | 9,634,227 | ||||||
3.57%, 07/01/2028 | 9,774,310 | 11,207,952 | ||||||
3.57%, 11/01/2034 | 1,308,845 | 1,529,729 | ||||||
3.59%, 10/01/2020 | 910,054 | 910,029 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,225,639 | ||||||
3.59%, 06/01/2028 | 8,000,000 | 9,230,657 | ||||||
3.61% (1 Year LIBOR USD + 1.73%), 11/01/2034(2) | 5,982 | 6,033 | ||||||
3.61%, 04/01/2028 | 2,971,122 | 3,409,722 | ||||||
3.61%, 11/01/2034 | 1,363,129 | 1,613,063 | ||||||
3.63%, 10/01/2029 | 1,377,391 | 1,602,801 | ||||||
3.64%, 01/01/2025 | 537,336 | 592,605 | ||||||
3.66%, 03/01/2027 | 2,299,082 | 2,582,160 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,230,375 | ||||||
3.68%, 07/01/2030 | 3,355,000 | 3,906,526 | ||||||
3.68%, 09/01/2026 | 3,427,754 | 3,842,035 | ||||||
3.69% (1 Year LIBOR USD + 1.48%, 1.48% Floor, 10.09% Cap), 10/01/2034(2) | 9,860 | 9,871 | ||||||
3.70%, 12/01/2020 | 341,252 | 342,392 | ||||||
3.71% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 8.85% Cap), 01/01/2034(2) | 9,737 | 9,940 | ||||||
3.71% (1 Year LIBOR USD + 1.46%, 1.46% Floor, 10.61% Cap), 09/01/2037(2) | 24,480 | 24,975 | ||||||
3.72%, 07/01/2033 | 11,178,000 | 12,653,210 | ||||||
3.72%, 12/01/2020(4) | 503,946 | 503,631 | ||||||
3.73% (1 Year LIBOR USD + 1.55%, 1.55% Floor, 10.40% Cap), 09/01/2035(2) | 20,394 | 20,838 | ||||||
3.74% (1 Year LIBOR USD + 1.49%), 09/01/2037(2) | 3,604 | 3,596 |
3.74% (1 Year LIBOR USD + 1.41%, 1.41% Floor, 11.31% Cap), 11/01/2037(2) | 99,245 | 98,828 | ||||||
3.74%, 07/01/2023 | 538,950 | 581,330 | ||||||
3.75% (1 Year LIBOR USD + 1.62%, 1.61% Floor, 9.97% Cap), 08/01/2034(2) | 14,400 | 14,690 | ||||||
3.75% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 12.47% Cap), 11/01/2036(2) | 6,749 | 6,807 | ||||||
3.76%, 03/01/2024 | 1,265,000 | 1,384,681 | ||||||
3.77%, 12/01/2025 | 3,431,693 | 3,853,279 | ||||||
3.79% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.19% Cap), 01/01/2038(2) | 17,685 | 17,833 | ||||||
3.80% (1 Year CMT Index + 2.05%), 07/01/2034(2) | 1,506 | 1,521 | ||||||
3.81%, 12/01/2028 | 7,000,000 | 8,160,724 | ||||||
3.81% (1 Year CMT Index + 2.00%), 11/01/2034(2) | 4,471 | 4,513 | ||||||
3.82%, 07/01/2030 | 8,317,000 | 9,769,020 | ||||||
3.84% (1 Year LIBOR USD + 1.59%), 09/01/2034(2) | 1,458 | 1,472 | ||||||
3.85%, 09/01/2021 | 793,145 | 813,136 | ||||||
3.85%, 07/01/2030 | 13,900,000 | 16,338,420 | ||||||
3.85% (6 Month LIBOR USD + 1.60%, 1.60% Floor, 10.27% Cap), 09/01/2036(2) | 28,032 | 28,525 | ||||||
3.86% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.98% Cap), 12/01/2036(2) | 52,018 | 53,167 | ||||||
3.86%, 07/01/2021 | 878,305 | 896,539 | ||||||
3.88% (1 Year LIBOR USD + 1.63%, 1.63% Floor, 11.27% Cap), 09/01/2036(2) | 37,352 | 37,538 | ||||||
3.88% (1 Year CMT Index + 1.90%, 1.90% Floor, 10.13% Cap), 07/01/2035(2) | 8,356 | 8,424 | ||||||
3.92%, 09/01/2021 | 606,247 | 621,960 | ||||||
3.93% (6 Month LIBOR USD + 2.03%, 2.03% Floor, 10.81% Cap), 02/01/2037(2) | 44,016 | 45,444 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,061,873 | ||||||
3.94% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.72% Cap), 12/01/2036(2) | 22,027 | 22,268 | ||||||
3.95% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.15% Cap), 09/01/2036(2) | 90,299 | 90,834 | ||||||
3.97%, 06/01/2021 | 586,520 | 597,783 | ||||||
3.97% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.62% Cap), 10/01/2036(2) | 28,585 | 28,852 | ||||||
3.99%, 07/01/2021 | 153,001 | 156,341 | ||||||
4.00%, 11/01/2031 | 4,133,968 | 4,514,019 | ||||||
4.00%, 06/01/2033 | 1,303,886 | 1,378,195 | ||||||
4.00%, 12/01/2033 | 47,280 | 50,892 | ||||||
4.00%, 05/01/2037 | 10,062,529 | 10,936,082 | ||||||
4.00%, 10/01/2037 | 1,955,925 | 2,125,113 | ||||||
4.00%, 08/01/2039 | 383,656 | 414,932 | ||||||
4.00%, 10/01/2039 | 562,868 | 608,804 | ||||||
4.00%, 07/01/2040 | 4,628,855 | 5,006,079 | ||||||
4.00%, 08/01/2040 | 159,854 | 172,982 | ||||||
4.00%, 09/01/2040 | 1,178,555 | 1,275,325 | ||||||
4.00%, 10/01/2040 | 1,353,591 | 1,464,599 | ||||||
4.00%, 12/01/2040 | 251,081 | 271,719 | ||||||
4.00%, 12/01/2040 | 318,031 | 344,084 | ||||||
4.00%, 12/01/2040 | 388,204 | 420,184 | ||||||
4.00%, 12/01/2040 | 885,167 | 957,944 | ||||||
4.00%, 12/01/2040 | 1,218,029 | 1,317,759 | ||||||
4.00%, 01/01/2041 | 237,438 | 256,908 | ||||||
4.00%, 01/01/2041 | 492,300 | 532,512 | ||||||
4.00%, 01/01/2041 | 684,223 | 740,396 | ||||||
4.00%, 01/01/2041 | 965,986 | 1,045,338 | ||||||
4.00%, 01/01/2041 | 1,487,489 | 1,610,124 | ||||||
4.00%, 01/01/2041 | 1,640,403 | 1,775,287 | ||||||
4.00%, 01/01/2041 | 1,649,355 | 1,785,086 | ||||||
4.00%, 02/01/2041 | 58,346 | 63,127 | ||||||
4.00%, 02/01/2041 | 1,345,146 | 1,455,551 | ||||||
4.00%, 02/01/2041 | 2,124,202 | 2,299,282 | ||||||
4.00%, 03/01/2041 | 7,271,955 | 7,864,482 | ||||||
4.00%, 09/01/2041 | 247,658 | 268,012 | ||||||
4.00%, 10/01/2041 | 475,459 | 514,578 | ||||||
4.00%, 10/01/2041 | 1,053,901 | 1,140,620 | ||||||
4.00%, 12/01/2041 | 1,371,311 | 1,483,851 | ||||||
4.00%, 12/01/2041 | 2,056,518 | 2,225,222 | ||||||
4.00%, 01/01/2042 | 2,772,033 | 3,000,463 | ||||||
4.00%, 03/01/2042 | 118,449 | 125,888 | ||||||
4.00%, 07/01/2042 | 397,984 | 436,911 |
4.00%, 07/01/2042 | 425,867 | 467,515 | ||||||
4.00%, 07/01/2042 | 427,965 | 469,326 | ||||||
4.00%, 07/01/2042 | 644,441 | 706,827 | ||||||
4.00%, 08/01/2042 | 6,202,777 | 6,714,924 | ||||||
4.00%, 11/01/2042 | 775,884 | 839,454 | ||||||
4.00%, 12/01/2042 | 478,233 | 517,725 | ||||||
4.00%, 04/01/2043 | 6,108,130 | 6,746,982 | ||||||
4.00%, 07/01/2043 | 952,534 | 1,045,070 | ||||||
4.00%, 11/01/2043 | 3,433,667 | 3,715,972 | ||||||
4.00%, 12/01/2043 | 147,397 | 159,432 | ||||||
4.00%, 12/01/2043 | 1,499,910 | 1,632,820 | ||||||
4.00%, 02/01/2044 | 879,910 | 952,388 | ||||||
4.00%, 06/01/2044 | 4,492,352 | 4,857,880 | ||||||
4.00%, 07/01/2044 | 2,347,611 | 2,543,447 | ||||||
4.00%, 08/01/2044 | 5,264,803 | 5,697,430 | ||||||
4.00%, 09/01/2044 | 1,329,070 | 1,437,902 | ||||||
4.00%, 01/01/2045 | 9,053,275 | 9,789,591 | ||||||
4.00%, 07/01/2045 | 7,077,444 | 7,660,219 | ||||||
4.00%, 10/01/2045 | 922,554 | 998,438 | ||||||
4.00%, 12/01/2045 | 1,363,451 | 1,474,593 | ||||||
4.00%, 12/01/2045 | 6,067,071 | 6,559,991 | ||||||
4.00%, 01/01/2046 | 3,762,009 | 4,067,626 | ||||||
4.00%, 03/01/2046 | 2,322,010 | 2,514,569 | ||||||
4.00%, 08/01/2046 | 5,838,388 | 6,268,670 | ||||||
4.00%, 09/01/2046 | 2,593,896 | 2,805,806 | ||||||
4.00%, 03/01/2047 | 370,822 | 399,251 | ||||||
4.00%, 03/01/2047 | 8,090,191 | 8,762,436 | ||||||
4.00%, 03/01/2047 | 8,381,636 | 9,053,375 | ||||||
4.00%, 05/01/2047 | 3,246,168 | 3,500,170 | ||||||
4.00%, 06/01/2047 | 3,112,100 | 3,371,847 | ||||||
4.00%, 08/01/2047 | 10,285,172 | 11,101,690 | ||||||
4.00%, 10/01/2047 | 1,434,649 | 1,538,594 | ||||||
4.00%, 10/01/2047 | 7,146,478 | 7,696,233 | ||||||
4.00%, 01/01/2048 | 7,840,642 | 8,413,564 | ||||||
4.00%, 01/01/2048 | 8,224,720 | 8,938,652 | ||||||
4.00%, 02/01/2048 | 490,467 | 529,369 | ||||||
4.00%, 03/01/2048 | 3,856,210 | 4,138,007 | ||||||
4.00%, 03/01/2048 | 9,886,136 | 10,827,223 | ||||||
4.00%, 07/01/2048 | 1,043,842 | 1,116,110 | ||||||
4.00%, 10/01/2048 | 3,002,312 | 3,251,425 | ||||||
4.00%, 07/01/2049 | 4,519,759 | 4,874,757 | ||||||
4.00%, 10/01/2049 | 7,725,951 | 8,369,737 | ||||||
4.00% (1 Year LIBOR USD + 1.96%, 1.96% Floor, 10.95% Cap), 01/01/2037(2) | 25,266 | 25,824 | ||||||
4.02%, 06/01/2021 | 691,000 | 704,686 | ||||||
4.03%, 09/01/2022 | 1,148,489 | 1,212,888 | ||||||
4.03% (12 Month U.S. Treasury Average + 1.98%, 1.98% Floor, 8.60% Cap), 01/01/2036(2) | 92,024 | 92,858 | ||||||
4.05% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 9.70% Cap), 03/01/2035(2) | 15,517 | 15,649 | ||||||
4.05%, 08/01/2021 | 155,392 | 159,224 | ||||||
4.06%, 07/01/2021 | 940,765 | 961,985 | ||||||
4.06%, 09/01/2021(4) | 607,840 | 630,691 | ||||||
4.06% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 9.13% Cap), 09/01/2033(2) | 9,582 | 9,696 | ||||||
4.07% (11th District Cost of Funds Index + 1.25%), 03/01/2029(2) | 2,035 | 2,048 | ||||||
4.07% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 10.97% Cap), 09/01/2036(2) | 36,298 | 36,648 | ||||||
4.09% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 10.72% Cap), 07/01/2037(2) | 7,951 | 8,022 | ||||||
4.09% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 11.04% Cap), 07/01/2037(2) | 131,057 | 131,591 | ||||||
4.10%, 06/01/2021 | 626,764 | 639,404 | ||||||
4.11% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 10.76% Cap), 08/01/2036(2) | 55,304 | 56,027 | ||||||
4.13% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.66% Cap), 01/01/2036(2) | 27,282 | 27,655 | ||||||
4.13% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 12.03% Cap), 09/01/2037(2) | 20,928 | 21,112 | ||||||
4.14% (1 Year LIBOR USD + 1.26%, 1.26% Floor, 9.86% Cap), 05/01/2035(2) | 11,396 | 11,473 | ||||||
4.14% (1 Year LIBOR USD + 1.75%), 08/01/2034(2) | 6,217 | 6,279 | ||||||
4.17% (1 Year CMT Index + 2.26%, 2.26% Floor, 10.75% Cap), 12/01/2037(2) | 80,862 | 81,955 |
4.19%, 06/01/2021 | 507,324 | 517,931 | ||||||
4.21% (1 Year CMT Index + 2.06%, 2.06% Floor, 10.61% Cap), 11/01/2037(2) | 58,947 | 59,162 | ||||||
4.22% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.53% Cap), 08/01/2036(2) | 16,748 | 16,902 | ||||||
4.23%, 07/01/2021(4) | 541,239 | 558,838 | ||||||
4.23% (1 Year LIBOR USD + 2.28%, 2.28% Floor, 10.60% Cap), 11/01/2036(2) | 15,609 | 15,790 | ||||||
4.25%, 04/01/2021 | 784,000 | 796,495 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,048,447 | ||||||
4.26%, 07/01/2021 | 2,130,305 | 2,181,963 | ||||||
4.26%, 06/01/2021(4) | 452,787 | 468,642 | ||||||
4.27% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.64% Cap), 10/01/2036(2) | 63,394 | 64,785 | ||||||
4.30%, 06/01/2021 | 1,165,502 | 1,200,046 | ||||||
4.30% (1 Year LIBOR USD + 1.61%, 1.61% Floor, 9.29% Cap), 08/01/2033(2) | 24,561 | 24,658 | ||||||
4.30%, 04/01/2020(4) | 211,599 | 211,296 | ||||||
4.33% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 11.40% Cap), 10/01/2036(2) | 64,411 | 66,143 | ||||||
4.33%, 01/01/2021(4) | 402,521 | 411,245 | ||||||
4.33%, 02/01/2021 | 460,926 | 465,504 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 1,899,327 | ||||||
4.34% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 10.21% Cap), 07/01/2037(2) | 33,883 | 34,301 | ||||||
4.38% (1 Year LIBOR USD + 1.63%, 1.63% Floor, 11.04% Cap), 04/01/2037(2) | 38,911 | 39,562 | ||||||
4.40% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.03% Cap), 07/01/2036(2) | 37,910 | 38,291 | ||||||
4.42% (1 Year LIBOR USD + 1.55%, 1.55% Floor, 11.17% Cap), 06/01/2036(2) | 7,484 | 7,536 | ||||||
4.48% (1 Year CMT Index + 2.32%, 2.32% Floor, 11.02% Cap), 09/01/2037(2) | 14,740 | 14,917 | ||||||
4.49% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 11.26% Cap), 03/01/2036(2) | 244,514 | 254,431 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 2,920,826 | ||||||
4.50%, 08/01/2029 | 133,975 | 145,854 | ||||||
4.50%, 09/01/2029 | 153,564 | 167,593 | ||||||
4.50%, 01/01/2030 | 233,878 | 254,771 | ||||||
4.50%, 10/01/2033 | 4,031,072 | 4,417,184 | ||||||
4.50%, 11/01/2033 | 12,852 | 14,072 | ||||||
4.50%, 09/01/2034 | 24,749 | 27,070 | ||||||
4.50% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 10.93% Cap), 02/01/2036(2) | 8,011 | 8,080 | ||||||
4.50%, 04/01/2039 | 6,103,008 | 6,801,097 | ||||||
4.50%, 11/01/2039 | 21,595 | 23,642 | ||||||
4.50%, 08/01/2040 | 3,278,451 | 3,591,952 | ||||||
4.50%, 08/01/2040 | 3,307,734 | 3,623,986 | ||||||
4.50%, 12/01/2040 | 1,486,496 | 1,629,254 | ||||||
4.50%, 12/01/2040 | 4,952,888 | 5,426,967 | ||||||
4.50%, 02/01/2041 | 526,286 | 576,641 | ||||||
4.50%, 02/01/2041 | 4,017,576 | 4,402,384 | ||||||
4.50%, 03/01/2041 | 1,162,418 | 1,273,979 | ||||||
4.50%, 04/01/2041 | 900,320 | 986,610 | ||||||
4.50%, 05/01/2041 | 1,606,398 | 1,759,922 | ||||||
4.50%, 05/01/2041 | 6,082,628 | 6,666,568 | ||||||
4.50%, 07/01/2041 | 375,651 | 411,713 | ||||||
4.50%, 08/01/2041 | 2,322,198 | 2,545,139 | ||||||
4.50%, 01/01/2042 | 2,311,727 | 2,533,134 | ||||||
4.50%, 11/01/2042 | 7,538,801 | 8,259,820 | ||||||
4.50%, 02/01/2046 | 8,043,505 | 8,805,405 | ||||||
4.50%, 08/01/2047 | 1,309,700 | 1,416,239 | ||||||
4.50%, 05/01/2048 | 4,920,995 | 5,372,466 | ||||||
4.50%, 07/01/2048 | 78,541 | 84,733 | ||||||
4.50%, 07/01/2048 | 668,938 | 722,429 | ||||||
4.50%, 08/01/2048 | 7,201,619 | 7,741,475 | ||||||
4.50%, 10/01/2048 | 1,021,050 | 1,098,207 | ||||||
4.50%, 10/01/2048 | 6,055,206 | 6,601,341 | ||||||
4.50%, 03/01/2049 | 7,782,407 | 8,484,202 | ||||||
4.50%, 07/01/2049 | 11,366,355 | 12,466,887 | ||||||
4.50%, 02/01/2050 | 842,430 | 922,514 | ||||||
4.52% (1 Year LIBOR USD + 1.60%), 05/01/2035(2) | 5,756 | 5,816 | ||||||
4.53% (1 Year CMT Index + 2.12%, 2.12% Floor, 10.49% Cap), 08/01/2036(2) | 10,601 | 10,700 | ||||||
4.55%, 08/01/2026 | 869,541 | 993,727 | ||||||
4.56% (1 Year CMT Index + 2.22%, 2.22% Floor, 9.61% Cap), 04/01/2035(2) | 28,174 | 28,743 |
4.57% (1 Year CMT Index + 2.38%, 2.38% Floor, 10.17% Cap), 10/01/2034(2) | 31,143 | 31,506 | ||||||
4.61% (1 Year LIBOR USD + 1.83%, 1.83% Floor, 11.19% Cap), 06/01/2036(2) | 116,143 | 117,545 | ||||||
4.66%, 12/01/2026(4) | 1,067,796 | 1,242,037 | ||||||
4.67% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 11.11% Cap), 05/01/2036(2) | 10,753 | 10,860 | ||||||
4.75% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 10.50% Cap), 06/01/2036(2) | 25,574 | 26,134 | ||||||
4.76%, 08/01/2026 | 980,638 | 1,141,740 | ||||||
4.77%, 08/01/2026 | 623,863 | 726,415 | ||||||
4.80% (1 Year CMT Index + 2.30%, 2.30% Floor, 9.20% Cap), 06/01/2034(2) | 32,875 | 33,134 | ||||||
4.95% (1 Year CMT Index + 2.47%, 2.47% Floor, 10.46% Cap), 10/01/2035(2) | 44,279 | 44,759 | ||||||
4.99% (1 Year LIBOR USD + 2.37%, 2.37% Floor, 11.21% Cap), 08/01/2037(2) | 58,050 | 59,705 | ||||||
5.00%, 11/01/2021 | 270 | 284 | ||||||
5.00%, 05/01/2023 | 4,977 | 5,232 | ||||||
5.00%, 08/01/2024 | 22,127 | 23,264 | ||||||
5.00%, 05/01/2028 | 16,576 | 17,869 | ||||||
5.00%, 04/01/2031 | 112,093 | 121,670 | ||||||
5.00%, 12/01/2032 | 594 | 615 | ||||||
5.00%, 06/01/2033 | 12,680 | 14,053 | ||||||
5.00%, 07/01/2033 | 13,991 | 15,507 | ||||||
5.00%, 07/01/2033 | 16,225 | 17,984 | ||||||
5.00%, 11/01/2033 | 4,431 | 4,911 | ||||||
5.00%, 11/01/2033 | 37,379 | 41,427 | ||||||
5.00%, 11/01/2033 | 2,927,846 | 3,244,974 | ||||||
5.00%, 04/01/2034 | 94,607 | 105,664 | ||||||
5.00%, 05/01/2034 | 30,415 | 33,795 | ||||||
5.00%, 12/01/2034 | 24,443 | 27,088 | ||||||
5.00%, 01/01/2035 | 19,840 | 21,587 | ||||||
5.00%, 02/01/2035 | 535,238 | 593,013 | ||||||
5.00%, 02/01/2035 | 2,609,730 | 2,891,718 | ||||||
5.00%, 06/01/2035 | 457,920 | 507,430 | ||||||
5.00%, 07/01/2035 | 12,290 | 13,496 | ||||||
5.00%, 07/01/2035 | 2,177,150 | 2,412,604 | ||||||
5.00%, 07/01/2035 | 2,480,960 | 2,749,232 | ||||||
5.00%, 09/01/2035 | 53,747 | 60,277 | ||||||
5.00%, 10/01/2035 | 222,487 | 247,710 | ||||||
5.00%, 11/01/2035 | 496,804 | 552,808 | ||||||
5.00%, 01/01/2036 | 42,783 | 47,635 | ||||||
5.00%, 02/01/2036 | 33,902 | 37,749 | ||||||
5.00%, 07/01/2037 | 642,589 | 712,134 | ||||||
5.00%, 01/01/2039 | 2,011,309 | 2,232,986 | ||||||
5.00%, 09/01/2039 | 108,145 | 119,927 | ||||||
5.00%, 04/01/2040 | 252,479 | 280,010 | ||||||
5.00%, 08/01/2040 | 285,358 | 316,597 | ||||||
5.00%, 05/01/2041 | 121,030 | 134,174 | ||||||
5.00%, 05/01/2042 | 2,006,646 | 2,223,893 | ||||||
5.00%, 09/01/2043 | 1,146,181 | 1,261,185 | ||||||
5.00%, 01/01/2048 | 1,234,280 | 1,335,075 | ||||||
5.00%, 04/01/2048 | 733,415 | 793,540 | ||||||
5.00%, 05/01/2048 | 4,125,863 | 4,463,285 | ||||||
5.00%, 01/01/2049 | 9,142,775 | 10,133,861 | ||||||
5.50%, 06/01/2020 | 28 | 28 | ||||||
5.50%, 07/01/2025 | 33,243 | 36,329 | ||||||
5.50%, 11/01/2032 | 49,064 | 55,245 | ||||||
5.50%, 02/01/2033 | 1,586 | 1,774 | ||||||
5.50%, 03/01/2033 | 67,565 | 76,365 | ||||||
5.50%, 04/01/2033 | 45,948 | 51,675 | ||||||
5.50%, 07/01/2033 | 9,187 | 10,216 | ||||||
5.50%, 09/01/2033 | 172,703 | 192,018 | ||||||
5.50%, 11/01/2033 | 3,440 | 3,836 | ||||||
5.50%, 12/01/2033 | 75,904 | 86,642 | ||||||
5.50%, 01/01/2034 | 7,211 | 8,228 | ||||||
5.50%, 03/01/2034 | 6,579 | 7,294 | ||||||
5.50%, 09/01/2034 | 15,818 | 17,875 |
5.50%, 10/01/2034 | 13,468 | 13,961 | ||||||
5.50%, 02/01/2035 | 53,639 | 60,672 | ||||||
5.50%, 12/01/2035 | 22,890 | 26,162 | ||||||
5.50%, 04/01/2036 | 60,124 | 68,158 | ||||||
5.50%, 05/01/2036 | 50,573 | 57,337 | ||||||
5.50%, 05/01/2036 | 80,043 | 90,748 | ||||||
5.50%, 11/01/2036 | 19,819 | 22,465 | ||||||
5.50%, 03/01/2037 | 386,469 | 437,499 | ||||||
5.50%, 04/01/2037 | 131,004 | 147,342 | ||||||
5.50%, 05/01/2037 | 167,313 | 189,393 | ||||||
5.50%, 01/01/2038 | 115,269 | 130,288 | ||||||
5.50%, 05/01/2038 | 16,420 | 18,893 | ||||||
5.50%, 06/01/2038 | 1,550 | 1,757 | ||||||
5.50%, 06/01/2038 | 115,760 | 131,134 | ||||||
5.50%, 06/01/2038 | 798,223 | 904,401 | ||||||
5.50%, 09/01/2038 | 702,558 | 796,400 | ||||||
5.50%, 06/01/2039 | 17,753 | 19,102 | ||||||
5.50%, 09/01/2039 | 93,362 | 104,978 | ||||||
5.50%, 12/01/2039 | 74,325 | 83,441 | ||||||
5.50%, 01/01/2040 | 523,976 | 586,759 | ||||||
6.00%, 03/01/2021 | 2,201 | 2,233 | ||||||
6.00%, 04/01/2021 | 776 | 786 | ||||||
6.00%, 04/01/2021 | 804 | 809 | ||||||
6.00%, 07/01/2021 | 134 | 135 | ||||||
6.00%, 08/01/2021 | 6,320 | 6,440 | ||||||
6.00%, 12/01/2021 | 2,658 | 2,708 | ||||||
6.00%, 02/01/2023 | 63,037 | 65,579 | ||||||
6.00%, 01/01/2024 | 20,568 | 21,640 | ||||||
6.00%, 01/01/2024 | 59,907 | 62,990 | ||||||
6.00%, 07/01/2024 | 15,136 | 16,014 | ||||||
6.00%, 07/01/2026 | 23,866 | 26,383 | ||||||
6.00%, 07/01/2027 | 33,402 | 36,953 | ||||||
6.00%, 11/01/2027 | 14,692 | 16,241 | ||||||
6.00%, 12/01/2027 | 47,036 | 52,052 | ||||||
6.00%, 01/01/2028 | 80,407 | 88,980 | ||||||
6.00%, 10/01/2028 | 58,198 | 64,398 | ||||||
6.00%, 12/01/2028 | 2,344 | 2,593 | ||||||
6.00%, 01/01/2029 | 2,944 | 3,313 | ||||||
6.00%, 09/01/2029 | 40,097 | 44,368 | ||||||
6.00%, 12/01/2032 | 22,962 | 25,843 | ||||||
6.00%, 12/01/2032 | 125,465 | 143,691 | ||||||
6.00%, 03/01/2033 | 1,024 | 1,134 | ||||||
6.00%, 03/01/2033 | 3,261 | 3,651 | ||||||
6.00%, 03/01/2033 | 3,701 | 4,140 | ||||||
6.00%, 03/01/2033 | 4,389 | 5,030 | ||||||
6.00%, 03/01/2033 | 7,032 | 7,875 | ||||||
6.00%, 05/01/2033 | 17,833 | 20,500 | ||||||
6.00%, 08/01/2033 | 4,231 | 4,699 | ||||||
6.00%, 09/01/2033 | 8,365 | 9,433 | ||||||
6.00%, 09/01/2033 | 13,697 | 15,222 | ||||||
6.00%, 11/01/2034 | 4,326 | 4,979 | ||||||
6.00%, 04/01/2035 | 80,826 | 93,033 | ||||||
6.00%, 02/01/2036 | 4,624 | 5,269 | ||||||
6.00%, 09/01/2036 | 286,378 | 329,543 | ||||||
6.00%, 11/01/2036 | 53,679 | 61,748 | ||||||
6.00%, 03/01/2037 | 80,904 | 94,311 | ||||||
6.00%, 09/01/2037 | 73,286 | 84,311 | ||||||
6.00%, 04/01/2038 | 25,448 | 28,283 | ||||||
6.00%, 05/01/2038 | 199,876 | 230,089 | ||||||
6.00%, 11/01/2038 | 53,660 | 61,736 | ||||||
6.00%, 12/01/2039 | 981,916 | 1,130,659 | ||||||
6.00%, 10/01/2040 | 1,310,935 | 1,509,407 |
6.00%, 07/01/2041 | 3,458,735 | 3,982,502 | ||||||
6.00%, 11/01/2048 | 32,311 | 34,654 | ||||||
6.50%, 08/01/2020 | 88 | 88 | ||||||
6.50%, 04/01/2022 | 4,084 | 4,159 | ||||||
6.50%, 05/01/2022 | 1,382 | 1,531 | ||||||
6.50%, 12/01/2022 | 4,470 | 4,953 | ||||||
6.50%, 02/01/2024 | 30,360 | 32,202 | ||||||
6.50%, 07/01/2024 | 11,571 | 12,821 | ||||||
6.50%, 04/01/2025 | 1,555 | 1,723 | ||||||
6.50%, 08/01/2026 | 43,603 | 48,530 | ||||||
6.50%, 03/01/2029 | 12,045 | 13,490 | ||||||
6.50%, 11/01/2029 | 405,400 | 456,688 | ||||||
6.50%, 08/01/2031 | 9,678 | 11,582 | ||||||
6.50%, 02/01/2032 | 52,940 | 59,056 | ||||||
6.50%, 01/01/2036 | 243,089 | 277,712 | ||||||
6.50%, 04/01/2036 | 971 | 982 | ||||||
6.50%, 07/01/2036 | 4,234 | 4,960 | ||||||
6.50%, 08/01/2036 | 153,184 | 176,599 | ||||||
6.50%, 10/01/2036 | 32,998 | 39,057 | ||||||
6.50%, 01/01/2037 | 87,917 | 106,050 | ||||||
6.50%, 08/01/2037 | 25,945 | 30,388 | ||||||
6.50%, 08/01/2037 | 28,371 | 32,715 | ||||||
6.50%, 10/01/2037 | 58,560 | 69,715 | ||||||
6.50%, 10/01/2038 | 73,599 | 85,263 | ||||||
6.50%, 10/01/2038 | 280,544 | 328,038 | ||||||
7.00%, 01/01/2024 | 200 | 217 | ||||||
7.00%, 04/01/2026 | 4,134 | 4,298 | ||||||
7.00%, 09/01/2027 | 562 | 633 | ||||||
7.00%, 01/01/2029 | 3,062 | 3,357 | ||||||
7.00%, 06/01/2032 | 4,799 | 5,189 | ||||||
7.00%, 02/01/2033 | 1,335 | 1,421 | ||||||
7.00%, 06/01/2033 | 76,811 | 91,805 | ||||||
7.00%, 02/01/2036 | 42,260 | 51,204 | ||||||
7.00%, 03/01/2036 | 2,052 | 2,424 | ||||||
7.00%, 12/01/2036 | 7,477 | 8,553 | ||||||
7.00%, 03/01/2037 | 5,288 | 5,838 | ||||||
7.00%, 04/01/2037 | 8,999 | 10,349 | ||||||
7.00%, 09/01/2037 | 44,041 | 53,193 | ||||||
7.00%, 09/01/2038 | 45,992 | 55,585 | ||||||
7.00%, 10/01/2038 | 75,032 | 93,792 | ||||||
7.00%, 11/01/2038 | 48,808 | 58,416 | ||||||
7.00%, 12/01/2038 | 145,406 | 179,395 | ||||||
7.00%, 01/01/2039 | 230,672 | 275,997 | ||||||
7.50%, 11/01/2022 | 456 | 461 | ||||||
7.50%, 10/01/2024 | 287 | 309 | ||||||
7.50%, 01/01/2035 | 34,937 | 41,566 | ||||||
7.50%, 03/01/2035 | 40,630 | 49,314 | ||||||
7.50%, 05/01/2037 | 28,023 | 35,558 | ||||||
7.50%, 10/01/2037 | 140,136 | 170,925 | ||||||
7.50%, 11/01/2037 | 47,553 | 57,136 | ||||||
7.50%, 11/01/2038 | 40,758 | 50,431 | ||||||
7.50%, 04/01/2039 | 148,000 | 197,606 | ||||||
8.00%, 03/01/2021 | 12 | 12 | ||||||
8.00%, 05/01/2024 | 171 | 185 | ||||||
8.00%, 03/01/2027 | 5,485 | 6,107 | ||||||
8.00%, 06/01/2027 | 4,598 | 5,146 | ||||||
8.00%, 06/01/2028 | 2,788 | 3,078 | ||||||
8.00%, 09/01/2028 | 9,029 | 10,357 | ||||||
8.00%, 11/01/2028 | 19,513 | 22,808 | ||||||
8.00%, 11/01/2037 | 9,355 | 10,295 | ||||||
8.00%, 01/01/2038 | 4,126 | 4,982 | ||||||
8.50%, 07/01/2024 | 716 | 785 |
8.50%, 05/01/2025 | 54 | 54 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.26%, 12/25/2042(4) | 97,099 | 106,767 | ||||||
5.78%, 12/25/2042(4) | 25,638 | 28,612 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
5.78%, 10/25/2042(4) | 12,862 | 14,753 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 544,535 | 623,631 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 73,937 | 89,260 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 137,612 | 165,101 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 110,591 | 125,329 | ||||||
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.32%, 08/25/2047(4) | 12,839 | 14,752 | ||||||
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 26,927 | 30,334 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 | 21,561 | 20,190 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
29.42% (1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037(2)(7) | 18,172 | 35,074 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 485,636 | 560,331 | ||||||
Fannie Mae REMICS | ||||||||
0.00%, 03/25/2022 | 7,045 | 6,973 | ||||||
0.00%, 10/25/2022 | 590 | 582 | ||||||
0.00%, 04/25/2023 | 690 | 678 | ||||||
0.00%, 09/25/2023 | 444 | 438 | ||||||
0.00%, 09/25/2023 | 1,420 | 1,393 | ||||||
0.00%, 11/25/2023 | 152 | 149 | ||||||
0.00%, 01/25/2032 | 1,804 | 1,746 | ||||||
0.00%, 04/25/2032 | 1,551 | 1,480 | ||||||
0.00%, 12/25/2032 | 9,951 | 9,365 | ||||||
0.00%, 05/25/2033 | 5,224 | 4,890 | ||||||
0.00%, 08/25/2033 | 3,842 | 3,709 | ||||||
0.00%, 12/25/2033 | 79,144 | 74,520 | ||||||
0.00%, 03/25/2034 | 86,612 | 84,216 | ||||||
0.00%, 04/25/2035 | 11,667 | 11,610 | ||||||
0.00%, 09/25/2035 | 10,376 | 10,125 | ||||||
0.00%, 10/25/2035 | 21,189 | 20,303 | ||||||
0.00%, 01/25/2036 | 1,446 | 1,438 | ||||||
0.00%, 03/25/2036 | 17,594 | 16,518 | ||||||
0.00%, 03/25/2036 | 165,358 | 149,984 | ||||||
0.00%, 04/25/2036 | 20,729 | 19,819 | ||||||
0.00%, 04/25/2036 | 41,265 | 38,995 | ||||||
0.00%, 04/25/2036 | 56,759 | 53,505 | ||||||
0.00%, 06/25/2036 | 15,139 | 14,559 | ||||||
0.00%, 06/25/2036 | 29,884 | 27,922 | ||||||
0.00%, 06/25/2036 | 47,024 | 43,541 | ||||||
0.00%, 06/25/2036 | 104,956 | 97,740 | ||||||
0.00%, 06/25/2036 | 127,699 | 122,654 | ||||||
0.00%, 07/25/2036 | 8,111 | 8,049 | ||||||
0.00%, 07/25/2036 | 9,886 | 9,179 | ||||||
0.00%, 07/25/2036 | 17,800 | 16,739 | ||||||
0.00%, 07/25/2036 | 34,789 | 32,727 | ||||||
0.00%, 08/25/2036 | 12,226 | 11,263 | ||||||
0.00%, 08/25/2036 | 25,201 | 24,205 | ||||||
0.00%, 08/25/2036 | 35,962 | 34,162 | ||||||
0.00%, 08/25/2036 | 61,911 | 59,654 | ||||||
0.00%, 09/25/2036 | 13,421 | 12,444 | ||||||
0.00%, 09/25/2036 | 28,577 | 27,123 |
0.00%, 09/25/2036 | 34,876 | 32,947 | ||||||
0.00%, 11/25/2036 | 8,629 | 8,040 | ||||||
0.00%, 11/25/2036 | 23,953 | 22,439 | ||||||
0.00%, 11/25/2036 | 54,303 | 50,739 | ||||||
0.00%, 12/25/2036 | 12,601 | 11,995 | ||||||
0.00%, 12/25/2036 | 29,774 | 27,518 | ||||||
0.00%, 01/25/2037 | 31,049 | 28,983 | ||||||
0.00%, 01/25/2037 | 80,627 | 74,741 | ||||||
0.00%, 03/25/2037 | 24,923 | 23,730 | ||||||
0.00%, 04/25/2037 | 77,706 | 73,960 | ||||||
0.00%, 05/25/2037 | 8,715 | 8,103 | ||||||
0.00%, 07/25/2037 | 57,095 | 53,051 | ||||||
0.00%, 10/25/2037 | 508,138 | 483,096 | ||||||
0.00%, 05/25/2038 | 1,728 | 1,553 | ||||||
0.00%, 01/25/2040 | 43,869 | 39,690 | ||||||
0.00%, 06/25/2040 | 72,384 | 67,304 | ||||||
0.00%, 09/25/2043 | 1,232,091 | 1,129,118 | ||||||
0.00%, 10/25/2043 | 893,170 | 772,758 | ||||||
0.00%, 12/25/2043 | 2,359,280 | 2,061,307 | ||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034(2) | 45,576 | 45,510 | ||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036(2) | 81,483 | 80,231 | ||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037(2) | 76,850 | 76,542 | ||||||
1.24% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036(2) | 282,696 | 279,014 | ||||||
1.25% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037(2) | 41,050 | 40,659 | ||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035(2) | 96,991 | 95,660 | ||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036(2) | 106,319 | 104,993 | ||||||
1.32% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037(2) | 53,756 | 53,482 | ||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034(2) | 79,439 | 78,938 | ||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034(2) | 213,934 | 212,071 | ||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036(2) | 34,003 | 33,472 | ||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037(2) | 216,171 | 213,731 | ||||||
1.40% (1 Month LIBOR USD + 0.45%, 6.50% Cap), 06/25/2037(2) | 21,166 | 22,099 | ||||||
1.40% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/25/2037(2) | 55,540 | 55,576 | ||||||
1.40% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2037(2) | 510,104 | 509,797 | ||||||
1.40% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039(2) | 183,776 | 183,264 | ||||||
1.40% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042(2) | 385,420 | 379,625 | ||||||
1.41% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036(2) | 28,735 | 28,472 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037(2) | 59,774 | 59,379 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037(2) | 32,189 | 32,004 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041(2) | 59,278 | 59,019 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041(2) | 229,563 | 228,512 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) | 180,833 | 182,186 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) | 1,366,415 | 1,354,096 | ||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042(2) | 531,485 | 524,851 | ||||||
1.50% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041(2) | 106,329 | 106,494 | ||||||
1.50% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041(2) | 146,978 | 147,602 | ||||||
1.55% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040(2) | 49,745 | 49,846 | ||||||
1.55% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040(2) | 78,368 | 78,145 | ||||||
1.60% (1 Month LIBOR USD + 0.65%), 09/25/2023(2) | 29 | 29 | ||||||
1.60% (1 Month LIBOR USD + 8.10%), 03/25/2032(2)(7) | 46,427 | 1,632 | ||||||
1.65% (1 Month LIBOR USD + 0.02%), 09/25/2022(2) | 340 | 340 | ||||||
1.69% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) | 56,122 | 55,775 | ||||||
1.69% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) | 248,730 | 246,238 | ||||||
1.70% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034(2) | 120,946 | 121,507 | ||||||
1.70% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037(2) | 38,460 | 40,035 | ||||||
1.74% (11th District Cost of Funds Index + 0.70%), 10/25/2022(2) | 298 | 299 | ||||||
1.75% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032(2) | 242,721 | 243,501 | ||||||
1.80%, 01/25/2038(4) | 317,545 | 13,656 | ||||||
1.83% (1 Month LIBOR USD + 0.88%), 08/25/2023(2) | 1,890 | 1,907 | ||||||
1.84%, 03/25/2027(4) | 2,260 | 51 | ||||||
1.84%, 03/25/2027(4) | 6,277 | 140 | ||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038(2) | 38,472 | 39,076 |
1.92%, 06/25/2038(4) | 123,752 | 7,596 | ||||||
1.94% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036(2) | 340,016 | 334,438 | ||||||
1.95% (1 Month LIBOR USD + 1.00%), 12/25/2023(2) | 2,021 | 2,033 | ||||||
10.00% (1 Month LIBOR USD + 54.00%), 03/25/2032(2)(7) | 646 | 816 | ||||||
10.10% (1 Month LIBOR USD + 11.52%), 01/25/2034(2)(7) | 3,116 | 3,614 | ||||||
10.50% (11th District Cost of Funds Index + 63.39%), 10/25/2023(2)(7) | 523 | 594 | ||||||
10.77% (1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040(2)(7) | 279,860 | 370,076 | ||||||
10.92% (1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033(2)(7) | 13,658 | 17,351 | ||||||
11.91% (11th District Cost of Funds Index + 12.95%), 12/25/2023(2)(7) | 940 | 1,060 | ||||||
12.11% (1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038(2)(7) | 20,482 | 26,175 | ||||||
12.21% (1 Month LIBOR USD + 14.10%), 12/25/2033(2)(7) | 2,066 | 2,140 | ||||||
12.31% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033(2)(7) | 31,406 | 34,992 | ||||||
12.35% (1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034(2)(7) | 13,182 | 16,931 | ||||||
12.66% (11th District Cost of Funds Index + 14.86%), 09/25/2023(2)(7) | 934 | 1,023 | ||||||
12.75% (1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032(2)(7) | 8,169 | 10,964 | ||||||
13.78% (1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037(2)(7) | 12,080 | 16,871 | ||||||
13.90% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034(2)(7) | 11,665 | 16,102 | ||||||
14.13% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037(2)(7) | 31,870 | 42,491 | ||||||
14.15% (1 Month LIBOR USD + 15.10%), 09/25/2021(2)(7) | 2 | 2 | ||||||
14.28% (1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031(2)(7) | 14,749 | 20,853 | ||||||
14.31% (1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034(2)(7) | 9,640 | 11,498 | ||||||
14.33% (1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035(2)(7) | 34,561 | 47,580 | ||||||
14.51% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035(2)(7) | 30,703 | 42,280 | ||||||
14.51% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035(2)(7) | 36,197 | 51,292 | ||||||
14.51% (1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040(2)(7) | 129,336 | 180,838 | ||||||
14.63% (1 Month LIBOR USD + 17.00%), 05/25/2035(2)(7) | 5,199 | 6,657 | ||||||
15.01% (1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035(2)(7) | 26,957 | 40,349 | ||||||
15.26% (1 Month LIBOR USD + 17.47%), 12/25/2031(2)(7) | 1,418 | 2,006 | ||||||
15.31% (1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033(2)(7) | 26,077 | 32,246 | ||||||
15.50% (1 Month LIBOR USD + 58.37%), 02/25/2023(2)(7) | 546 | 653 | ||||||
16.02% (1 Month LIBOR USD + 17.68%), 05/25/2021(2)(7) | 28 | 30 | ||||||
16.92% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034(2)(7) | 43,664 | 64,725 | ||||||
16.92% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034(2)(7) | 91,467 | 141,468 | ||||||
17.20% (1 Month LIBOR USD + 19.80%, 19.80% Cap), 11/25/2034(2)(7) | 7,411 | 7,839 | ||||||
17.42% (1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035(2)(7) | 89,306 | 116,257 | ||||||
17.53% (1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035(2)(7) | 61,395 | 80,366 | ||||||
17.86% (1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038(2)(7) | 24,664 | 37,423 | ||||||
18.12% (11th District Cost of Funds Index + 20.53%), 04/25/2023(2)(7) | 1,545 | 1,752 | ||||||
18.89% (7 Year CMT Index + 22.30%), 04/25/2023(2)(7) | 2,971 | 615 | ||||||
19.51% (1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037(2)(7) | 40,132 | 67,251 | ||||||
2.17%, 04/25/2041(4) | 579,429 | 35,800 | ||||||
2.23% (1 Month LIBOR USD + 0.60%), 12/25/2023(2) | 802 | 796 | ||||||
2.50%, 11/25/2045 | 6,180,475 | 6,434,463 | ||||||
20.11% (1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031(2)(7) | 12,159 | 19,960 | ||||||
20.18% (1 Month LIBOR USD + 21.60%), 11/25/2020(2)(7) | 8 | 8 | ||||||
20.21% (1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034(2)(7) | 17,782 | 28,075 | ||||||
20.41% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035(2)(7) | 8,256 | 12,354 | ||||||
20.55% (1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037(2)(7) | 52,452 | 91,940 | ||||||
20.73% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036(2)(7) | 5,430 | 8,816 | ||||||
20.73% (1 Month LIBOR USD + 23.38%), 10/25/2023(2)(7) | 1,458 | 1,871 | ||||||
20.77% (1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035(2)(7) | 28,107 | 47,856 | ||||||
21.10% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035(2)(7) | 166,236 | 252,914 | ||||||
21.10% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036(2)(7) | 15,893 | 26,416 | ||||||
21.19% (1 Month LIBOR USD + 24.50%), 12/25/2023(2)(7) | 2,021 | 2,619 | ||||||
21.19% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031(2)(7) | 18,818 | 28,767 | ||||||
21.28% (1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035(2)(7) | 20,501 | 27,287 | ||||||
22.11% (1 Month LIBOR USD + 25.19%), 02/25/2032(2)(7) | 3,827 | 5,674 | ||||||
22.41% (1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036(2)(7) | 19,711 | 32,822 | ||||||
22.77% (1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036(2)(7) | 4,489 | 7,145 | ||||||
25.01% (1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036(2)(7) | 17,403 | 27,398 | ||||||
25.22% (11th District Cost of Funds Index + 29.75%), 10/25/2023(2)(7) | 785 | 943 | ||||||
25.89% (1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036(2)(7) | 18,142 | 31,860 |
26.42% (11th District Cost of Funds Index + 31.01%), 12/25/2023(2)(7) | 2,484 | 3,020 | ||||||
26.60% (7 Year CMT Index + 30.01%), 12/25/2021(2)(7) | 15 | 17 | ||||||
28.52% (1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026(2)(7) | 12,657 | 18,794 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,323,361 | ||||||
3.00%, 10/25/2033 | 908,000 | 996,080 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 1,059,655 | ||||||
3.00%, 06/25/2045 | 1,973,976 | 2,075,979 | ||||||
3.00%, 01/25/2046 | 1,858,899 | 1,960,422 | ||||||
3.00%, 04/25/2046 | 5,531,536 | 5,825,799 | ||||||
3.00%, 06/25/2046 | 5,131,508 | 5,431,105 | ||||||
3.00%, 02/25/2047 | 2,280,939 | 2,446,088 | ||||||
3.49% (1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040(2)(7) | 597,365 | 67,866 | ||||||
3.50%, 04/25/2031 | 913,461 | 983,195 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,741,097 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,108,700 | ||||||
3.50%, 02/25/2043 | 373,873 | 413,155 | ||||||
3.50%, 06/25/2044 | 3,792,412 | 3,888,508 | ||||||
33.32% (1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037(2)(7) | 8,374 | 27,810 | ||||||
34.22% (1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036(2)(7) | 13,127 | 28,939 | ||||||
4.00%, 04/25/2033 | 185,307 | 205,419 | ||||||
4.00%, 05/25/2033 | 10,140 | 11,265 | ||||||
4.00%, 02/25/2039 | 46,440 | 47,134 | ||||||
4.36%, 12/25/2039(4) | 177,853 | 184,172 | ||||||
4.50%, 07/25/2023 | 42,638 | 44,774 | ||||||
4.50%, 10/25/2036 | 156,215 | 175,680 | ||||||
4.50%, 02/25/2039 | 5,573 | 6,136 | ||||||
4.50%, 12/25/2040 | 5,359,402 | 6,377,324 | ||||||
4.50%, 01/25/2042 | 2,455,274 | 2,798,270 | ||||||
4.50%, 04/25/2042 | 1,500,000 | 1,788,590 | ||||||
4.83% (1 Month LIBOR USD + 5.78%), 06/25/2037(2)(7) | 41,584 | 6,049 | ||||||
4.90% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(7) | 131,159 | 12,062 | ||||||
4.90% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(7) | 174,081 | 29,098 | ||||||
4.95% (1 Month LIBOR USD + 5.90%), 10/25/2039(2)(7) | 45,596 | 6,031 | ||||||
4.96% (1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038(2)(7) | 159,350 | 28,731 | ||||||
5.00%, 03/25/2021 | 46 | 46 | ||||||
5.00%, 02/25/2024 | 1,028 | 7 | ||||||
5.00%, 03/25/2024 | 30 | 0 | ||||||
5.00%, 03/25/2024 | 314 | 2 | ||||||
5.00%, 11/25/2024 | 132,723 | 140,232 | ||||||
5.00%, 03/25/2029 | 160,460 | 171,760 | ||||||
5.00%, 11/25/2032 | 11,802 | 12,994 | ||||||
5.00%, 03/25/2033 | 19,671 | 1,594 | ||||||
5.00%, 06/25/2035 | 413 | 413 | ||||||
5.00%, 03/25/2037 | 4,899 | 5,510 | ||||||
5.00%, 07/25/2038 | 44,929 | 51,180 | ||||||
5.00%, 07/25/2038 | 45,635 | 51,198 | ||||||
5.00%, 07/25/2039 | 79,859 | 13,589 | ||||||
5.00%, 08/25/2039 | 287,593 | 326,586 | ||||||
5.00%, 09/25/2039 | 174,642 | 183,869 | ||||||
5.00%, 06/25/2040 | 528,821 | 594,760 | ||||||
5.00%, 09/25/2040 | 206,000 | 239,293 | ||||||
5.05% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038(2)(7) | 379,155 | 64,562 | ||||||
5.13% (1 Month LIBOR USD + 6.08%), 03/25/2037(2)(7) | 3,747 | 153 | ||||||
5.15% (1 Month LIBOR USD + 6.10%), 04/25/2037(2)(7) | 54,297 | 5,398 | ||||||
5.15% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(7) | 47,171 | 9,307 | ||||||
5.15% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(7) | 120,617 | 19,038 | ||||||
5.15% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049(2)(7) | 83,449 | 7,309 | ||||||
5.23% (1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039(2)(7) | 56,792 | 7,742 | ||||||
5.25% (1 Month LIBOR USD + 6.20%), 03/25/2038(2)(7) | 43,297 | 5,370 | ||||||
5.28% (1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038(2)(7) | 55,365 | 10,180 | ||||||
5.30% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040(2)(7) | 131,132 | 27,776 | ||||||
5.36% (1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033(2)(7) | 83,941 | 99,233 |
5.41% (1 Month LIBOR USD + 6.36%), 12/25/2037(2)(7) | 6,773 | 881 | ||||||
5.43%, 07/25/2051(4) | 30,369 | 35,032 | ||||||
5.45% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037(2)(7) | 358,284 | 70,899 | ||||||
5.45% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037(2)(7) | 177,302 | 25,203 | ||||||
5.45% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040(2)(7) | 57,952 | 11,160 | ||||||
5.47% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040(2)(7) | 88,767 | 14,136 | ||||||
5.49% (1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037(2)(7) | 214,376 | 38,328 | ||||||
5.50%, 06/25/2020 | 2 | 2 | ||||||
5.50%, 08/25/2020 | 3 | 3 | ||||||
5.50%, 09/25/2022 | 516 | 534 | ||||||
5.50%, 03/25/2023 | 62,903 | 66,017 | ||||||
5.50%, 04/25/2023 | 3,983 | 4,171 | ||||||
5.50%, 04/25/2023 | 121,046 | 126,746 | ||||||
5.50%, 05/25/2023 | 28,447 | 29,718 | ||||||
5.50%, 07/25/2024 | 7,854 | 8,295 | ||||||
5.50%, 08/25/2024 | 84,122 | 88,839 | ||||||
5.50%, 08/25/2025 | 94,049 | 101,872 | ||||||
5.50%, 01/25/2026 | 58,063 | 62,521 | ||||||
5.50%, 04/18/2029 | 10,709 | 11,621 | ||||||
5.50%, 12/25/2032 | 112,248 | 129,956 | ||||||
5.50%, 08/25/2033 | 199,495 | 37,297 | ||||||
5.50%, 08/25/2033 | 92,009 | 106,745 | ||||||
5.50%, 10/25/2033 | 676,692 | 784,814 | ||||||
5.50%, 04/25/2034 | 203,825 | 239,662 | ||||||
5.50%, 07/25/2034 | 352,764 | 401,918 | ||||||
5.50%, 08/25/2035 | 88,592 | 100,822 | ||||||
5.50%, 08/25/2035 | 583,904 | 676,212 | ||||||
5.50%, 12/25/2035 | 41,746 | 45,192 | ||||||
5.50%, 12/25/2035 | 452,396 | 525,755 | ||||||
5.50%, 01/25/2036 | 26,605 | 28,993 | ||||||
5.50%, 03/25/2036 | 63,900 | 73,571 | ||||||
5.50%, 03/25/2036 | 206,962 | 235,472 | ||||||
5.50%, 03/25/2036 | 231,941 | 272,984 | ||||||
5.50%, 01/25/2037 | 20,522 | 22,472 | ||||||
5.50%, 07/25/2037 | 147,270 | 167,557 | ||||||
5.50%, 08/25/2037 | 36,789 | 42,131 | ||||||
5.50%, 07/25/2038 | 174,148 | 200,783 | ||||||
5.50%, 10/25/2039 | 180,469 | 32,697 | ||||||
5.50%, 06/25/2040 | 845,130 | 956,852 | ||||||
5.50%, 07/25/2040 | 338,994 | 395,219 | ||||||
5.50%, 10/25/2040 | 1,269,484 | 1,508,895 | ||||||
5.50% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037(2)(7) | 149,799 | 28,700 | ||||||
5.50% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037(2)(7) | 190,793 | 34,997 | ||||||
5.51% (1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037(2)(7) | 206,409 | 40,819 | ||||||
5.55% (1 Month LIBOR USD + 6.50%), 06/25/2023(2)(7) | 9,110 | 291 | ||||||
5.55% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036(2)(7) | 93,197 | 29,920 | ||||||
5.57% (1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036(2)(7) | 51,947 | 8,582 | ||||||
5.58% (1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041(2)(7) | 634,245 | 136,034 | ||||||
5.59% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037(2)(7) | 185,384 | 38,769 | ||||||
5.60% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039(2)(7) | 126,505 | 25,177 | ||||||
5.63% (1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036(2)(7) | 128,608 | 23,662 | ||||||
5.67% (1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037(2)(7) | 140,171 | 21,226 | ||||||
5.70% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036(2)(7) | 106,417 | 19,187 | ||||||
5.70% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039(2)(7) | 48,346 | 8,014 | ||||||
5.75%, 06/25/2033 | 52,131 | 61,486 | ||||||
5.75%, 07/25/2035 | 1,524,198 | 1,836,694 | ||||||
5.75%, 10/25/2035 | 76,754 | 86,743 | ||||||
5.75% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036(2)(7) | 606,312 | 131,333 | ||||||
5.76% (1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035(2)(7) | 65,448 | 14,802 | ||||||
5.86%, 02/25/2051(4) | 95,708 | 109,497 | ||||||
5.90% (1 Month LIBOR USD + 6.85%), 04/25/2038(2)(7) | 40,784 | 4,976 | ||||||
5.95% (1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038(2)(7) | 65,637 | 12,022 |
6.00%, 02/25/2022 | 19,696 | 20,283 | ||||||
6.00%, 08/25/2022 | 918 | 960 | ||||||
6.00%, 09/25/2022 | 33,142 | 34,413 | ||||||
6.00% (1 Month LIBOR USD + 28.70%), 04/25/2023(2)(7) | 2,396 | 2,557 | ||||||
6.00%, 07/25/2023(4) | 15,989 | 17,063 | ||||||
6.00%, 07/18/2028 | 6,918 | 7,783 | ||||||
6.00%, 12/25/2028 | 3,206 | 3,422 | ||||||
6.00%, 07/25/2031 | 26,185 | 4,630 | ||||||
6.00%, 11/25/2031 | 48,312 | 56,020 | ||||||
6.00%, 04/25/2032 | 117,042 | 130,883 | ||||||
6.00%, 11/25/2032 | 350,223 | 406,181 | ||||||
6.00%, 05/25/2033(4) | 8,537 | 1,614 | ||||||
6.00%, 05/25/2033 | 33,210 | 39,021 | ||||||
6.00%, 05/25/2033 | 70,898 | 81,082 | ||||||
6.00%, 05/25/2033 | 150,909 | 176,516 | ||||||
6.00%, 12/25/2035 | 13,550 | 15,206 | ||||||
6.00%, 12/25/2035 | 325,311 | 337,209 | ||||||
6.00%, 07/25/2036 | 392,801 | 461,273 | ||||||
6.00%, 03/25/2037 | 281,842 | 317,685 | ||||||
6.00%, 05/25/2037 | 128,703 | 149,595 | ||||||
6.00%, 08/25/2037 | 13,359 | 15,639 | ||||||
6.00%, 08/25/2037 | 51,741 | 60,156 | ||||||
6.00%, 08/25/2037 | 62,358 | 70,931 | ||||||
6.00%, 08/25/2037 | 69,537 | 80,301 | ||||||
6.00%, 08/25/2039 | 365,717 | 431,660 | ||||||
6.02%, 09/25/2039(4) | 141,751 | 162,035 | ||||||
6.04% (1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038(2)(7) | 90,367 | 18,393 | ||||||
6.15% (1 Month LIBOR USD + 7.10%), 06/25/2033(2)(7) | 42,220 | 2,467 | ||||||
6.18%, 10/25/2037(4) | 53,401 | 61,072 | ||||||
6.20%, 03/25/2040(4) | 204,486 | 236,395 | ||||||
6.20% (1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037(2)(7) | 587,357 | 147,501 | ||||||
6.21%, 02/25/2040(4) | 58,947 | 67,136 | ||||||
6.25% (1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038(2)(7) | 48,389 | 7,738 | ||||||
6.30%, 12/25/2039(4) | 288,844 | 333,210 | ||||||
6.35%, 04/25/2029 | 4,242 | 4,757 | ||||||
6.44%, 03/25/2040(4) | 219,727 | 251,591 | ||||||
6.50%, 08/25/2020 | 91 | 92 | ||||||
6.50%, 09/25/2020 | 32 | 32 | ||||||
6.50%, 07/25/2021 | 205 | 211 | ||||||
6.50%, 09/25/2021 | 17,870 | 18,290 | ||||||
6.50%, 02/25/2022 | 3,341 | 3,436 | ||||||
6.50%, 08/25/2022 | 1,082 | 1,135 | ||||||
6.50%, 02/25/2023 | 1,526 | 1,608 | ||||||
6.50%, 03/25/2023 | 1,093 | 1,154 | ||||||
6.50%, 07/25/2023 | 784 | 833 | ||||||
6.50%, 09/25/2023 | 1,680 | 1,804 | ||||||
6.50%, 10/25/2023 | 9,344 | 10,011 | ||||||
6.50%, 10/25/2023 | 24,826 | 26,810 | ||||||
6.50%, 11/25/2023 | 9,506 | 10,095 | ||||||
6.50%, 12/25/2023 | 2,642 | 2,861 | ||||||
6.50%, 03/25/2024 | 7,704 | 8,273 | ||||||
6.50%, 03/25/2024 | 49,615 | 53,647 | ||||||
6.50%, 04/25/2027 | 13,187 | 14,641 | ||||||
6.50%, 07/18/2027 | 1,151 | 1,290 | ||||||
6.50%, 09/25/2031 | 6,586 | 7,690 | ||||||
6.50%, 10/25/2031 | 5,210 | 5,921 | ||||||
6.50%, 04/25/2032 | 20,974 | 24,591 | ||||||
6.50%, 05/25/2032 | 42,811 | 50,111 | ||||||
6.50%, 06/25/2032 | 18,948 | 21,536 | ||||||
6.50%, 07/25/2032 | 80,057 | 14,417 | ||||||
6.50%, 08/25/2032 | 53,422 | 63,605 | ||||||
6.50%, 02/25/2033 | 18,931 | 21,897 |
6.50%, 05/25/2033 | 78,107 | 18,003 | ||||||
6.50%, 07/25/2036 | 167,981 | 199,791 | ||||||
6.50%, 07/25/2036 | 222,644 | 268,531 | ||||||
6.50%, 08/25/2036 | 27,958 | 32,632 | ||||||
6.50%, 08/25/2036 | 110,328 | 126,489 | ||||||
6.50%, 09/25/2036 | 11,432 | 13,301 | ||||||
6.50%, 06/25/2037 | 24,942 | 28,924 | ||||||
6.50%, 12/25/2037 | 153,603 | 185,265 | ||||||
6.50%, 04/25/2038 | 21,178 | 21,700 | ||||||
6.50%, 06/25/2042 | 55,099 | 64,951 | ||||||
6.65% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028(2)(7) | 203,100 | 25,351 | ||||||
6.65% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033(2)(7) | 101,082 | 20,049 | ||||||
6.88%, 08/25/2023 | 17,736 | 18,835 | ||||||
7.00%, 05/25/2020 | 1 | 1 | ||||||
7.00%, 07/25/2020 | 1 | 1 | ||||||
7.00%, 09/25/2020 | 7 | 7 | ||||||
7.00%, 01/25/2021 | 31 | 31 | ||||||
7.00%, 03/25/2021 | 1,274 | 1,289 | ||||||
7.00%, 07/25/2022 | 241 | 248 | ||||||
7.00%, 10/25/2022 | 747 | 783 | ||||||
7.00%, 02/25/2023 | 15,022 | 15,913 | ||||||
7.00%, 03/25/2023 | 10,634 | 11,214 | ||||||
7.00%, 04/25/2023 | 3,220 | 3,391 | ||||||
7.00%, 05/25/2023 | 36,990 | 39,491 | ||||||
7.00%, 07/25/2023 | 12,140 | 12,894 | ||||||
7.00%, 07/25/2023 | 18,715 | 19,951 | ||||||
7.00%, 08/25/2023 | 30,230 | 32,184 | ||||||
7.00%, 04/25/2024 | 31,415 | 34,182 | ||||||
7.00%, 04/25/2024 | 72,588 | 77,895 | ||||||
7.00%, 11/25/2026 | 18,407 | 20,183 | ||||||
7.00%, 12/18/2027 | 6,085 | 587 | ||||||
7.00%, 03/25/2031 | 4,616 | 5,505 | ||||||
7.00%, 07/25/2031 | 15,263 | 18,324 | ||||||
7.00%, 08/25/2031 | 28,106 | 33,186 | ||||||
7.00%, 09/25/2031 | 4,271 | 5,113 | ||||||
7.00%, 09/25/2031 | 8,285 | 9,839 | ||||||
7.00%, 09/25/2031 | 37,237 | 44,562 | ||||||
7.00%, 11/25/2031 | 50,333 | 60,381 | ||||||
7.00%, 05/25/2033 | 140,723 | 16,870 | ||||||
7.00%, 07/25/2039 | 2,564 | 3,024 | ||||||
7.00%, 11/25/2041 | 979,868 | 1,202,955 | ||||||
7.00%, 11/25/2041 | 1,018,164 | 1,214,117 | ||||||
7.00%, 11/25/2041 | 1,176,242 | 1,436,792 | ||||||
7.10% (1 Month LIBOR USD + 8.05%), 08/25/2023(2)(7) | 590 | 47 | ||||||
7.20% (1 Month LIBOR USD + 8.15%), 12/25/2028(2)(7) | 4,765 | 298 | ||||||
7.50%, 06/25/2022 | 45 | 47 | ||||||
7.50%, 07/25/2022 | 3,373 | 3,529 | ||||||
7.50%, 09/25/2022 | 2,014 | 2,095 | ||||||
7.50%, 10/25/2022 | 3,412 | 3,608 | ||||||
7.50%, 03/25/2023 | 3,461 | 3,690 | ||||||
7.50%, 04/18/2027 | 3,998 | 4,638 | ||||||
7.50%, 04/20/2027 | 5,896 | 6,838 | ||||||
7.50%, 05/20/2027 | 24,368 | 28,169 | ||||||
7.50%, 12/18/2029 | 6,750 | 7,818 | ||||||
7.50%, 02/25/2030 | 37,377 | 43,951 | ||||||
7.70%, 03/25/2023 | 1,524 | 1,625 | ||||||
7.75%, 09/25/2022 | 1,519 | 1,611 | ||||||
7.90%, 01/25/2023 | 2,946 | 3,141 | ||||||
8.00%, 07/25/2022 | 205 | 213 | ||||||
8.00%, 07/25/2022 | 5,328 | 5,652 | ||||||
8.00%, 09/25/2022 | 5,668 | 6,012 | ||||||
8.15% (1 Month LIBOR USD + 9.10%), 07/25/2030(2)(7) | 11,627 | 1,603 |
8.47% (1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033(2)(7) | 9,385 | 11,883 | ||||||
8.50%, 06/25/2021 | 22 | 22 | ||||||
8.50%, 01/25/2025 | 1,787 | 2,004 | ||||||
8.50%, 01/25/2031 | 1,864 | 396 | ||||||
8.50% (1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032(2)(7) | 15,847 | 19,130 | ||||||
8.75%, 06/25/2021 | 76 | 78 | ||||||
8.75%, 10/25/2021 | 58 | 58 | ||||||
8.80%, 01/25/2025 | 2,757 | 3,148 | ||||||
9.23% (10 Year CMT Index + 10.75%), 08/25/2023(2)(7) | 16,106 | 1,910 | ||||||
9.50%, 06/25/2020 | 10 | 10 | ||||||
9.80% (1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033(2)(7) | 21,084 | 27,045 | ||||||
Fannie Mae REMICS SER 1990-140 CL K | ||||||||
652.15%, 12/25/2020 | 3 | 8 | ||||||
Fannie Mae REMICS SER 1993-165 CL SK V/R | ||||||||
12.50% (1 Month LIBOR USD + 77.31%), 09/25/2023(2)(7) | 1,160 | 1,260 | ||||||
Fannie Mae REMICS SER 2019 CL BA | ||||||||
1.99%, 12/25/2029 | 25,697,064 | 26,384,350 | ||||||
Fannie Mae REMICS SER G92-35 CL G | ||||||||
1184.78%, 07/25/2022 | 2 | 19 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 52,025 | 60,499 | ||||||
6.50%, 07/25/2042 | 87,470 | 102,966 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 329,682 | 372,845 | ||||||
6.50%, 09/25/2042 | 122,997 | 144,472 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042(2) | 28,519 | 28,326 | ||||||
7.00%, 10/25/2042 | 133,703 | 159,903 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 205,734 | 243,223 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044(2) | 128,034 | 127,301 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 43,101 | 50,678 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 43,639 | 52,273 | ||||||
Fannie Mae Trust 2005-W3 | ||||||||
1.17% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045(2) | 1,022,159 | 1,018,232 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2045 | 56,173 | 64,967 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
1.17% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046(2) | 463,230 | 463,194 | ||||||
4.08%, 11/25/2045(4) | 138,264 | 148,095 | ||||||
Fannie Mae Whole Loan | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046(2) | 1,088,613 | 1,072,543 | ||||||
Fannie Mae-Aces | ||||||||
2.10%, 08/25/2029 | 20,447,452 | 20,891,628 | ||||||
2.28%, 12/27/2022 | 805,997 | 823,836 | ||||||
2.38%, 09/25/2026 | 1,870,190 | 1,917,273 | ||||||
2.39%, 01/25/2023(4) | 764,030 | 784,963 | ||||||
2.42%, 10/25/2026(4) | 5,335,000 | 5,527,370 | ||||||
2.48%, 12/25/2026(4) | 1,512,023 | 1,574,167 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,463,999 | ||||||
2.58% (1 Month LIBOR USD + 0.93%), 11/25/2022(2) | 594,912 | 593,329 | ||||||
2.58%, 12/25/2026(4) | 9,307,000 | 9,822,520 | ||||||
2.59%, 12/25/2024 | 1,588,308 | 1,653,872 | ||||||
2.83%, 01/25/2025(4) | 1,006,873 | 1,067,098 | ||||||
2.90%, 01/25/2025(4) | 2,000,000 | 2,109,878 | ||||||
2.92%, 08/25/2021 | 485,373 | 492,217 | ||||||
2.93%, 11/25/2025(4) | 8,800,000 | 9,342,801 | ||||||
2.96%, 02/25/2027(4) | 3,535,000 | 3,887,712 | ||||||
2.98%, 08/25/2029 | 2,200,000 | 2,400,184 |
3.02%, 08/25/2024(4) | 1,273,000 | 1,351,728 | ||||||
3.05%, 03/25/2028(4) | 3,891,000 | 4,241,156 | ||||||
3.06%, 05/25/2027(4) | 29,130,000 | 31,638,378 | ||||||
3.08%, 06/25/2027(4) | 5,513,000 | 5,972,508 | ||||||
3.09%, 02/25/2030(4) | 2,791,000 | 3,074,727 | ||||||
3.09%, 04/25/2027(4) | 23,211,000 | 25,008,711 | ||||||
3.10%, 07/25/2024(4) | 1,043,270 | 1,113,751 | ||||||
3.18%, 04/25/2029(4) | 4,540,000 | 5,030,888 | ||||||
3.33%, 06/25/2028(4) | 5,160,000 | 5,925,469 | ||||||
3.38%, 07/25/2028(4) | 7,496,649 | 8,211,215 | ||||||
3.38%, 07/25/2028(4) | 35,477,000 | 39,428,052 | ||||||
3.48%, 01/25/2024(4) | 12,038,807 | 12,963,354 | ||||||
3.51%, 12/25/2023(4) | 2,084,991 | 2,243,371 | ||||||
3.55%, 09/25/2028(4) | 7,310,000 | 8,336,546 | ||||||
3.63%, 11/25/2028(4) | 12,600,000 | 14,297,081 | ||||||
3.64%, 08/25/2030(4) | 7,611,341 | 8,689,162 | ||||||
3.66%, 11/25/2020 | 33,906 | 34,113 | ||||||
3.76%, 06/25/2021 | 487,109 | 494,882 | ||||||
FHLMC-Ginnie Mae | ||||||||
6.25%, 11/25/2023 | 3,901 | 4,169 | ||||||
7.00%, 03/25/2023 | 4,582 | 4,805 | ||||||
7.50%, 04/25/2024 | 27,034 | 29,299 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 89,075 | 63,632 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 4,961 | 4,746 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037 | 18,335 | 13,536 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
4.70% (1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037(2)(7) | 776,534 | 192,297 | ||||||
Freddie Mac Gold Pool | ||||||||
10.00%, 03/17/2026 | 451 | 454 | ||||||
10.00%, 10/01/2030 | 10,732 | 11,548 | ||||||
2.00%, 01/01/2032 | 5,571,334 | 5,740,543 | ||||||
2.50%, 04/01/2028 | 1,827,885 | 1,898,875 | ||||||
2.50%, 06/01/2028 | 694,580 | 726,104 | ||||||
2.50%, 03/01/2030 | 1,435,006 | 1,498,231 | ||||||
2.50%, 07/01/2030 | 3,140,455 | 3,278,854 | ||||||
2.50%, 07/01/2031 | 2,817,428 | 2,934,694 | ||||||
2.50%, 08/01/2031 | 1,741,193 | 1,813,662 | ||||||
3.00%, 07/01/2028 | 1,412,281 | 1,480,671 | ||||||
3.00%, 08/01/2028 | 809,942 | 852,148 | ||||||
3.00%, 09/01/2028 | 2,963,274 | 3,112,041 | ||||||
3.00%, 10/01/2028 | 1,186,661 | 1,250,669 | ||||||
3.00%, 05/01/2029 | 1,142,257 | 1,203,779 | ||||||
3.00%, 04/01/2031 | 5,412,988 | 5,686,104 | ||||||
3.00%, 09/01/2031 | 1,180,549 | 1,242,872 | ||||||
3.00%, 02/01/2032 | 5,959,265 | 6,260,057 | ||||||
3.00%, 02/01/2032 | 8,639,601 | 9,097,458 | ||||||
3.00%, 01/01/2037 | 2,753,273 | 2,914,583 | ||||||
3.00%, 12/01/2037 | 772,753 | 815,787 | ||||||
3.00%, 01/01/2038 | 1,170,687 | 1,238,642 | ||||||
3.00%, 08/01/2042 | 1,826,313 | 1,931,083 | ||||||
3.00%, 10/01/2042 | 4,638,770 | 4,905,573 | ||||||
3.00%, 11/01/2042 | 642,497 | 679,463 | ||||||
3.00%, 11/01/2042 | 5,719,154 | 6,048,473 | ||||||
3.00%, 02/01/2043 | 394,647 | 417,348 | ||||||
3.00%, 03/01/2043 | 2,507,355 | 2,651,740 | ||||||
3.00%, 03/01/2043 | 5,069,300 | 5,360,980 | ||||||
3.00%, 04/01/2043 | 91,352 | 96,601 | ||||||
3.00%, 04/01/2043 | 11,602,275 | 12,269,461 | ||||||
3.00%, 06/01/2043 | 35,806 | 37,868 |
3.00%, 07/01/2043 | 26,123 | 27,628 | ||||||
3.00%, 07/01/2043 | 351,254 | 371,423 | ||||||
3.00%, 08/01/2043 | 493,308 | 522,333 | ||||||
3.00%, 08/01/2043 | 6,706,999 | 7,092,408 | ||||||
3.00%, 05/01/2045 | 1,144,200 | 1,210,731 | ||||||
3.00%, 05/01/2045 | 2,406,898 | 2,545,360 | ||||||
3.00%, 06/01/2045 | 579,335 | 612,660 | ||||||
3.00%, 10/01/2045 | 4,783,404 | 5,058,661 | ||||||
3.00%, 10/01/2046 | 8,429,846 | 8,898,990 | ||||||
3.00%, 10/01/2046 | 20,456,216 | 21,633,927 | ||||||
3.00%, 05/01/2047 | 15,636,305 | 16,515,707 | ||||||
3.50%, 01/01/2027 | 149,999 | 158,569 | ||||||
3.50%, 01/01/2032 | 496,150 | 533,762 | ||||||
3.50%, 03/01/2032 | 202,184 | 217,465 | ||||||
3.50%, 02/01/2033 | 153,820 | 165,910 | ||||||
3.50%, 05/01/2033 | 203,057 | 218,992 | ||||||
3.50%, 05/01/2033 | 709,451 | 765,234 | ||||||
3.50%, 01/01/2034 | 7,533,509 | 8,105,970 | ||||||
3.50%, 11/01/2037 | 2,755,650 | 2,940,405 | ||||||
3.50%, 05/01/2042 | 876,866 | 941,630 | ||||||
3.50%, 06/01/2042 | 431,130 | 462,894 | ||||||
3.50%, 06/01/2042 | 2,593,063 | 2,769,148 | ||||||
3.50%, 08/01/2042 | 771,260 | 828,267 | ||||||
3.50%, 09/01/2042 | 2,968,822 | 3,189,376 | ||||||
3.50%, 09/01/2042 | 5,521,544 | 5,930,101 | ||||||
3.50%, 10/01/2042 | 2,510,924 | 2,696,579 | ||||||
3.50%, 10/01/2042 | 10,464,710 | 11,242,099 | ||||||
3.50%, 11/01/2042 | 93,606 | 99,997 | ||||||
3.50%, 11/01/2042 | 1,077,738 | 1,157,625 | ||||||
3.50%, 11/01/2042 | 2,880,892 | 3,094,783 | ||||||
3.50%, 12/01/2042 | 3,296,145 | 3,538,989 | ||||||
3.50%, 01/01/2043 | 7,441,881 | 7,993,587 | ||||||
3.50%, 03/01/2043 | 781,523 | 839,564 | ||||||
3.50%, 05/01/2043 | 283,181 | 302,488 | ||||||
3.50%, 05/01/2043 | 4,266,448 | 4,582,288 | ||||||
3.50%, 06/01/2043 | 900,512 | 961,353 | ||||||
3.50%, 06/01/2043 | 1,562,643 | 1,678,563 | ||||||
3.50%, 07/01/2043 | 542,036 | 582,293 | ||||||
3.50%, 10/01/2043 | 212,957 | 228,528 | ||||||
3.50%, 05/01/2044 | 14,234,354 | 15,289,211 | ||||||
3.50%, 01/01/2045 | 12,151,098 | 13,051,364 | ||||||
3.50%, 06/01/2045 | 1,446,630 | 1,545,505 | ||||||
3.50%, 08/01/2045 | 5,579,197 | 5,949,369 | ||||||
3.50%, 12/01/2045 | 5,230,652 | 5,578,950 | ||||||
3.50%, 01/01/2046 | 802,963 | 856,206 | ||||||
3.50%, 01/01/2046 | 9,066,296 | 9,685,981 | ||||||
3.50%, 05/01/2046 | 3,363,297 | 3,584,039 | ||||||
3.50%, 07/01/2046 | 2,089,985 | 2,224,942 | ||||||
3.50%, 07/01/2046 | 3,760,573 | 3,997,401 | ||||||
3.50%, 08/01/2046 | 7,168,456 | 7,691,547 | ||||||
3.50%, 08/01/2046 | 10,645,518 | 11,430,637 | ||||||
3.50%, 12/01/2046 | 386,836 | 410,859 | ||||||
3.50%, 12/01/2046 | 7,940,478 | 8,463,631 | ||||||
3.50%, 01/01/2047 | 3,749,995 | 3,989,177 | ||||||
3.50%, 10/01/2047 | 9,852,411 | 10,457,215 | ||||||
3.50%, 10/01/2047 | 24,215,438 | 25,693,213 | ||||||
3.50%, 01/01/2048 | 9,708,815 | 10,308,960 | ||||||
3.50%, 03/01/2048 | 612,644 | 651,332 | ||||||
3.50%, 03/01/2048 | 6,592,100 | 6,999,465 | ||||||
4.00%, 08/01/2040 | 552,832 | 597,369 | ||||||
4.00%, 09/01/2040 | 683,497 | 738,538 | ||||||
4.00%, 11/01/2040 | 35,817 | 38,722 |
4.00%, 11/01/2040 | 2,038,398 | 2,202,779 | ||||||
4.00%, 12/01/2040 | 392,315 | 424,209 | ||||||
4.00%, 12/01/2040 | 906,854 | 980,640 | ||||||
4.00%, 12/01/2040 | 1,040,937 | 1,125,658 | ||||||
4.00%, 12/01/2040 | 1,255,379 | 1,357,054 | ||||||
4.00%, 12/01/2040 | 1,347,464 | 1,456,050 | ||||||
4.00%, 01/01/2041 | 732,251 | 788,070 | ||||||
4.00%, 01/01/2041 | 1,393,691 | 1,506,580 | ||||||
4.00%, 10/01/2041 | 4,098,909 | 4,429,077 | ||||||
4.00%, 11/01/2041 | 11,888 | 12,854 | ||||||
4.00%, 01/01/2042 | 220,700 | 238,755 | ||||||
4.00%, 05/01/2042 | 13,966 | 15,107 | ||||||
4.00%, 06/01/2042 | 1,916,442 | 2,101,923 | ||||||
4.00%, 10/01/2042 | 100,815 | 107,393 | ||||||
4.00%, 01/01/2043 | 242,914 | 266,670 | ||||||
4.00%, 06/01/2043 | 21,296 | 23,084 | ||||||
4.00%, 09/01/2043 | 148,409 | 159,671 | ||||||
4.00%, 09/01/2043 | 6,510,469 | 7,040,260 | ||||||
4.00%, 11/01/2043 | 81,459 | 88,208 | ||||||
4.00%, 11/01/2043 | 167,919 | 181,779 | ||||||
4.00%, 12/01/2043 | 222,591 | 241,031 | ||||||
4.00%, 12/01/2043 | 903,162 | 977,993 | ||||||
4.00%, 12/01/2043 | 1,587,659 | 1,718,693 | ||||||
4.00%, 01/01/2044 | 141,957 | 153,718 | ||||||
4.00%, 01/01/2044 | 492,606 | 533,405 | ||||||
4.00%, 03/01/2044 | 2,692,168 | 2,914,015 | ||||||
4.00%, 05/01/2044 | 113,434 | 122,773 | ||||||
4.00%, 10/01/2044 | 7,340,646 | 7,950,480 | ||||||
4.00%, 01/01/2045 | 430,566 | 465,897 | ||||||
4.00%, 10/01/2045 | 626,334 | 677,744 | ||||||
4.00%, 10/01/2045 | 8,103,343 | 8,771,127 | ||||||
4.00%, 11/01/2045 | 12,041,548 | 13,030,234 | ||||||
4.00%, 12/01/2045 | 1,320,860 | 1,429,776 | ||||||
4.00%, 01/01/2046 | 3,447,823 | 3,784,103 | ||||||
4.00%, 02/01/2046 | 2,604,281 | 2,822,452 | ||||||
4.00%, 05/01/2046 | 314,394 | 339,422 | ||||||
4.00%, 06/01/2046 | 10,331,055 | 11,181,605 | ||||||
4.00%, 08/01/2046 | 2,534,420 | 2,741,485 | ||||||
4.00%, 01/01/2047 | 12,984,518 | 14,136,787 | ||||||
4.00%, 09/01/2047 | 7,989,685 | 8,659,266 | ||||||
4.00%, 06/01/2048 | 1,316,992 | 1,409,882 | ||||||
4.00%, 06/01/2048 | 4,469,257 | 4,774,279 | ||||||
4.00%, 10/01/2048 | 7,278,725 | 7,880,458 | ||||||
4.50%, 11/01/2035 | 10,518 | 11,476 | ||||||
4.50%, 07/01/2039 | 191,331 | 209,432 | ||||||
4.50%, 10/01/2039 | 1,508,107 | 1,651,603 | ||||||
4.50%, 11/01/2039 | 1,726,687 | 1,890,689 | ||||||
4.50%, 11/01/2039 | 2,331,137 | 2,552,414 | ||||||
4.50%, 05/01/2040 | 806,599 | 883,891 | ||||||
4.50%, 08/01/2040 | 374,446 | 409,828 | ||||||
4.50%, 09/01/2040 | 292,305 | 320,029 | ||||||
4.50%, 09/01/2040 | 1,214,582 | 1,328,690 | ||||||
4.50%, 03/01/2041 | 235,840 | 258,115 | ||||||
4.50%, 05/01/2041 | 1,710,743 | 1,873,585 | ||||||
4.50%, 08/01/2041 | 613,090 | 671,739 | ||||||
4.50%, 12/01/2043 | 6,561,863 | 7,186,449 | ||||||
4.50%, 03/01/2044 | 586,896 | 640,296 | ||||||
4.50%, 05/01/2044 | 886,166 | 967,106 | ||||||
4.50%, 07/01/2044 | 35,440 | 38,357 | ||||||
4.50%, 07/01/2044 | 265,392 | 289,262 | ||||||
4.50%, 09/01/2044 | 1,706,882 | 1,861,658 | ||||||
4.50%, 09/01/2046 | 3,892,254 | 4,242,510 |
4.50%, 10/01/2046 | 3,092,267 | 3,355,113 | ||||||
4.50%, 11/01/2046 | 11,955,719 | 13,089,519 | ||||||
4.50%, 03/01/2047 | 1,077,676 | 1,175,371 | ||||||
4.50%, 07/01/2047 | 1,714,385 | 1,861,667 | ||||||
4.50%, 07/01/2047 | 4,401,001 | 4,793,560 | ||||||
4.50%, 11/01/2047 | 1,291,451 | 1,400,524 | ||||||
4.50%, 09/01/2048 | 389,133 | 419,807 | ||||||
5.00%, 01/01/2034 | 25,778 | 28,564 | ||||||
5.00%, 06/01/2034 | 70,944 | 78,547 | ||||||
5.00%, 09/01/2034 | 78,120 | 88,230 | ||||||
5.00%, 03/01/2035 | 27,426 | 29,814 | ||||||
5.00%, 08/01/2035 | 1,129,676 | 1,252,227 | ||||||
5.00%, 03/01/2036 | 2,394,838 | 2,663,586 | ||||||
5.00%, 07/01/2036 | 2,252 | 2,505 | ||||||
5.00%, 11/01/2036 | 66,687 | 74,236 | ||||||
5.00%, 03/01/2037 | 180,645 | 200,859 | ||||||
5.00%, 06/01/2037 | 200,738 | 223,036 | ||||||
5.00%, 08/01/2037 | 189,486 | 210,995 | ||||||
5.00%, 02/01/2038 | 227,073 | 252,184 | ||||||
5.00%, 03/01/2038 | 59,480 | 66,194 | ||||||
5.00%, 03/01/2038 | 208,955 | 232,649 | ||||||
5.00%, 03/01/2038 | 227,951 | 253,517 | ||||||
5.00%, 03/01/2038 | 256,565 | 285,348 | ||||||
5.00%, 04/01/2038 | 145,984 | 162,051 | ||||||
5.00%, 09/01/2038 | 28,824 | 32,059 | ||||||
5.00%, 09/01/2038 | 166,513 | 185,202 | ||||||
5.00%, 11/01/2038 | 1,220 | 1,357 | ||||||
5.00%, 11/01/2038 | 63,210 | 70,184 | ||||||
5.00%, 12/01/2038 | 656 | 728 | ||||||
5.00%, 12/01/2038 | 196,016 | 217,960 | ||||||
5.00%, 02/01/2039 | 408,016 | 453,901 | ||||||
5.00%, 05/01/2039 | 7,509 | 8,469 | ||||||
5.00%, 10/01/2039 | 450,204 | 500,683 | ||||||
5.00%, 01/01/2040 | 111,472 | 123,593 | ||||||
5.00%, 03/01/2040 | 184,123 | 203,435 | ||||||
5.00%, 03/01/2040 | 2,119,016 | 2,349,438 | ||||||
5.00%, 08/01/2040 | 293,376 | 325,570 | ||||||
5.00%, 04/01/2041 | 857,626 | 941,126 | ||||||
5.00%, 06/01/2041 | 344,834 | 382,137 | ||||||
5.00%, 12/01/2047 | 5,453,238 | 5,904,138 | ||||||
5.00%, 02/01/2048 | 1,982,827 | 2,147,153 | ||||||
5.50%, 02/01/2024 | 3,956 | 4,109 | ||||||
5.50%, 01/01/2033 | 55,914 | 62,742 | ||||||
5.50%, 10/01/2033 | 35,706 | 40,756 | ||||||
5.50%, 07/01/2035 | 75,241 | 84,460 | ||||||
5.50%, 01/01/2036 | 17,397 | 19,711 | ||||||
5.50%, 12/01/2036 | 32,366 | 36,695 | ||||||
5.50%, 05/01/2038 | 53,625 | 60,798 | ||||||
5.50%, 08/01/2038 | 66,724 | 75,653 | ||||||
5.50%, 01/01/2039 | 2,495,481 | 2,821,030 | ||||||
5.50%, 03/01/2040 | 23,807 | 26,915 | ||||||
5.50%, 05/01/2040 | 1,671,488 | 1,894,532 | ||||||
5.50%, 08/01/2040 | 678,837 | 768,769 | ||||||
6.00%, 06/01/2020 | 35 | 35 | ||||||
6.00%, 08/01/2020 | 70 | 71 | ||||||
6.00%, 07/01/2021 | 26 | 26 | ||||||
6.00%, 07/01/2021 | 555 | 559 | ||||||
6.00%, 03/01/2022 | 25 | 25 | ||||||
6.00%, 10/01/2029 | 10,325 | 11,500 | ||||||
6.00%, 12/01/2033 | 11,458 | 12,714 | ||||||
6.00%, 01/01/2034 | 6,319 | 6,631 | ||||||
6.00%, 01/01/2034 | 25,352 | 29,198 |
6.00%, 11/01/2036 | 8,910 | 9,934 | ||||||
6.00%, 12/01/2036 | 6,135 | 6,936 | ||||||
6.00%, 12/01/2036 | 15,541 | 17,896 | ||||||
6.50%, 03/01/2022 | 632 | 637 | ||||||
6.50%, 01/01/2028 | 35,283 | 39,755 | ||||||
6.50%, 06/01/2029 | 11,021 | 12,425 | ||||||
6.50%, 08/01/2029 | 80,094 | 92,988 | ||||||
6.50%, 11/01/2034 | 6,196 | 7,329 | ||||||
6.50%, 01/01/2035 | 87,127 | 99,024 | ||||||
6.50%, 12/01/2035 | 17,643 | 19,721 | ||||||
6.50%, 12/01/2035 | 54,567 | 63,328 | ||||||
6.50%, 11/01/2036 | 19,248 | 22,487 | ||||||
6.50%, 11/01/2036 | 107,328 | 122,312 | ||||||
6.50%, 11/01/2036 | 187,072 | 218,786 | ||||||
6.50%, 12/01/2036 | 98,698 | 118,168 | ||||||
6.50%, 12/01/2036 | 221,169 | 257,284 | ||||||
6.50%, 01/01/2037 | 6,133 | 6,351 | ||||||
6.50%, 01/01/2037 | 16,956 | 19,260 | ||||||
6.50%, 02/01/2037 | 8,432 | 9,061 | ||||||
6.50%, 06/01/2037 | 8,039 | 8,897 | ||||||
6.50%, 11/01/2037 | 40,971 | 50,024 | ||||||
6.50%, 03/01/2038 | 50,419 | 59,853 | ||||||
7.00%, 04/01/2026 | 973 | 1,087 | ||||||
7.00%, 12/01/2028 | 36,258 | 41,816 | ||||||
7.00%, 07/01/2029 | 880 | 990 | ||||||
7.00%, 01/01/2031 | 29,721 | 33,863 | ||||||
7.00%, 07/01/2032 | 3,101 | 3,551 | ||||||
7.00%, 08/01/2032 | 4,463 | 5,279 | ||||||
7.00%, 02/01/2037 | 6,987 | 8,296 | ||||||
7.50%, 08/01/2025 | 781 | 859 | ||||||
7.50%, 01/01/2032 | 84,209 | 97,082 | ||||||
7.50%, 12/01/2036 | 258,849 | 296,021 | ||||||
7.50%, 01/01/2038 | 34,766 | 43,113 | ||||||
7.50%, 01/01/2038 | 60,219 | 70,732 | ||||||
7.50%, 09/01/2038 | 26,856 | 31,693 | ||||||
8.00%, 08/01/2024 | 408 | 450 | ||||||
8.00%, 11/01/2024 | 276 | 301 | ||||||
8.50%, 07/01/2028 | 2,156 | 2,481 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
0.82%, 10/25/2022(4) | 20,924,343 | 368,432 | ||||||
1.36%, 03/25/2026(4) | 27,403,572 | 1,886,166 | ||||||
1.37%, 05/25/2022(4) | 49,471,407 | 1,195,482 | ||||||
1.46%, 06/25/2020(4) | 27,879,012 | 279 | ||||||
2.22% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 09/25/2022(2) | 570,197 | 562,279 | ||||||
2.31%, 12/25/2022 | 4,907,077 | 5,078,892 | ||||||
2.36%, 08/25/2022 | 2,078,016 | 2,134,897 | ||||||
2.52%, 01/25/2023 | 1,919,715 | 1,979,951 | ||||||
2.57%, 07/25/2026 | 10,075,000 | 10,738,790 | ||||||
2.60%, 09/25/2020 | 19,756 | 19,775 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,861,499 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,560,102 | ||||||
2.81%, 09/25/2024 | 6,287,000 | 6,746,177 | ||||||
2.84%, 09/25/2022 | 1,917,323 | 1,995,672 | ||||||
2.86%, 08/25/2022 | 5,129,121 | 5,320,715 | ||||||
2.91%, 04/25/2024 | 9,500,000 | 9,981,174 | ||||||
3.04%, 07/25/2024 | 10,000,000 | 10,493,922 | ||||||
3.07%, 08/25/2022 | 2,438,000 | 2,540,341 | ||||||
3.08%, 01/25/2031 | 4,126,000 | 4,685,780 | ||||||
3.09%, 04/25/2028(4) | 3,315,000 | 3,689,888 | ||||||
3.10%, 02/25/2024(4) | 11,250,000 | 11,926,971 | ||||||
3.11%, 02/25/2023 | 13,450,000 | 14,085,584 | ||||||
3.12%, 06/25/2027 | 4,263,000 | 4,760,332 |
3.17%, 09/25/2026(4) | 9,915,000 | 10,882,832 | ||||||
3.19%, 09/25/2027(4) | 25,150,000 | 28,265,685 | ||||||
3.22%, 03/25/2027 | 8,625,000 | 9,560,631 | ||||||
3.24%, 04/25/2027 | 7,030,000 | 7,903,186 | ||||||
3.24%, 08/25/2027 | 2,846,000 | 3,211,641 | ||||||
3.25%, 09/25/2027(4) | 4,900,000 | 5,479,125 | ||||||
3.30%, 11/25/2027(4) | 4,589,000 | 5,203,243 | ||||||
3.32%, 02/25/2023 | 5,550,000 | 5,848,539 | ||||||
3.33%, 05/25/2027 | 1,779,000 | 2,004,586 | ||||||
3.33%, 08/25/2025(4) | 10,000,000 | 11,078,796 | ||||||
3.35%, 01/25/2028 | 5,167,000 | 5,877,695 | ||||||
3.36%, 11/25/2027(4) | 18,922,000 | 21,427,735 | ||||||
3.36%, 12/25/2026(4) | 27,000,000 | 30,573,626 | ||||||
3.36%, 12/25/2027 | 3,332,000 | 3,783,690 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,620,762 | ||||||
3.41%, 12/25/2026 | 15,125,000 | 16,923,048 | ||||||
3.49%, 01/25/2024 | 18,300,000 | 19,725,475 | ||||||
3.51%, 03/25/2029 | 2,527,000 | 2,932,605 | ||||||
3.51%, 01/25/2027(4) | 23,250,000 | 26,064,064 | ||||||
3.76%, 01/25/2029(4) | 11,600,000 | 13,624,173 | ||||||
3.85%, 05/25/2028(4) | 3,550,000 | 4,141,533 | ||||||
3.85%, 05/25/2028(4) | 6,340,000 | 7,422,829 | ||||||
3.85%, 06/25/2028 | 7,875,000 | 9,259,493 | ||||||
3.90%, 04/25/2028 | 8,575,000 | 10,024,094 | ||||||
3.90%, 10/25/2033(4) | 6,500,000 | 8,084,145 | ||||||
3.92%, 12/25/2028(4) | 4,100,000 | 4,860,355 | ||||||
3.92%, 09/25/2028(4) | 10,000,000 | 11,863,934 | ||||||
3.99%, 05/25/2033(4) | 16,700,000 | 19,717,216 | ||||||
4.03%, 10/25/2028(4) | 5,600,000 | 6,674,329 | ||||||
Freddie Mac Non Gold Pool | ||||||||
3.50% (6 Month LIBOR USD + 1.63%), 08/01/2036(2) | 1,884 | 1,899 | ||||||
3.54% (6 Month LIBOR USD + 1.67%, 1.68% Floor, 13.13% Cap), 08/01/2036(2) | 143,491 | 146,193 | ||||||
3.57% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.80% Cap), 08/01/2036(2) | 43,377 | 44,252 | ||||||
3.61% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 11.08% Cap), 12/01/2036(2) | 169,227 | 169,578 | ||||||
3.65% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.06% Cap), 11/01/2036(2) | 16,178 | 16,506 | ||||||
3.65% (6 Month LIBOR USD + 1.75%, 1.75% Floor, 12.56% Cap), 07/01/2036(2) | 34,544 | 35,266 | ||||||
3.67% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 10.68% Cap), 01/01/2037(2) | 14,472 | 14,588 | ||||||
3.67% (6 Month LIBOR USD + 1.54%, 1.54% Floor, 11.81% Cap), 05/01/2037(2) | 62,110 | 62,854 | ||||||
3.70% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.06% Cap), 02/01/2037(2) | 9,217 | 9,282 | ||||||
3.76% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.34% Cap), 10/01/2036(2) | 40,658 | 41,351 | ||||||
3.77% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.92% Cap), 11/01/2036(2) | 52,342 | 52,614 | ||||||
3.81% (1 Year LIBOR USD + 1.69%), 12/01/2036(2) | 4,531 | 4,574 | ||||||
3.81% (6 Month LIBOR USD + 1.89%, 1.90% Floor, 12.42% Cap), 03/01/2037(2) | 107,349 | 110,195 | ||||||
3.82% (6 Month LIBOR USD + 1.73%, 1.73% Floor, 13.09% Cap), 10/01/2036(2) | 77,561 | 79,000 | ||||||
3.85% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 11.32% Cap), 10/01/2036(2) | 13,852 | 13,985 | ||||||
3.85% (6 Month LIBOR USD + 1.81%, 1.81% Floor, 12.46% Cap), 10/01/2036(2) | 35,813 | 36,588 | ||||||
3.88% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.06% Cap), 01/01/2035(2) | 43,900 | 44,471 | ||||||
3.88% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.09% Cap), 01/01/2035(2) | 113,766 | 115,289 | ||||||
3.88% (1 Year LIBOR USD + 1.88%), 02/01/2037(2) | 4,507 | 4,552 | ||||||
3.89% (1 Year LIBOR USD + 1.89%, 1.89% Floor, 10.97% Cap), 02/01/2037(2) | 31,929 | 32,219 | ||||||
3.91% (1 Year LIBOR USD + 1.91%), 04/01/2037(2) | 1,737 | 1,752 | ||||||
3.92% (1 Year LIBOR USD + 1.67%), 08/01/2035(2) | 5,941 | 5,991 | ||||||
3.92% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 10.89% Cap), 01/01/2037(2) | 32,278 | 33,070 | ||||||
3.93% (1 Year LIBOR USD + 1.72%, 1.72% Floor, 10.09% Cap), 02/01/2036(2) | 12,080 | 12,200 | ||||||
3.93% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 11.09% Cap), 12/01/2036(2) | 51,396 | 52,162 | ||||||
3.98% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.36% Cap), 12/01/2033(2) | 21,015 | 21,555 | ||||||
3.99% (6 Month LIBOR USD + 2.11%, 2.11% Floor, 12.44% Cap), 02/01/2037(2) | 53,763 | 54,979 | ||||||
4.00% (1 Year LIBOR USD + 1.75%), 11/01/2037(2) | 5,349 | 5,392 | ||||||
4.01% (6 Month LIBOR USD + 2.13%, 2.13% Floor, 11.64% Cap), 12/01/2035(2) | 28,258 | 28,883 | ||||||
4.04% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.71% Cap), 03/01/2036(2) | 56,637 | 57,948 | ||||||
4.04% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.82% Cap), 11/01/2036(2) | 34,653 | 35,037 | ||||||
4.05% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.46% Cap), 05/01/2037(2) | 49,282 | 49,751 |
4.07% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.42% Cap), 11/01/2036(2) | 37,236 | 37,976 | ||||||
4.08% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.18% Cap), 05/01/2037(2) | 23,791 | 24,457 | ||||||
4.09% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 12.03% Cap), 12/01/2036(2) | 163,295 | 164,431 | ||||||
4.10% (1 Year LIBOR USD + 2.13%), 12/01/2036(2) | 1,943 | 1,968 | ||||||
4.14% (6 Month LIBOR USD + 2.12%), 05/01/2037(2) | 4,313 | 4,356 | ||||||
4.16% (1 Year CMT Index + 2.26%), 04/01/2030(2) | 1,118 | 1,129 | ||||||
4.16% (1 Year CMT Index + 2.11%), 01/01/2027(2) | 3,248 | 3,275 | ||||||
4.21% (1 Year LIBOR USD + 2.20%, 2.20% Floor, 10.78% Cap), 10/01/2036(2) | 24,469 | 24,784 | ||||||
4.24% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.98% Cap), 02/01/2036(2) | 55,156 | 55,851 | ||||||
4.24% (1 Year LIBOR USD + 2.03%, 2.03% Floor, 10.98% Cap), 05/01/2037(2) | 76,776 | 78,252 | ||||||
4.26% (1 Year LIBOR USD + 1.85%, 1.85% Floor, 9.07% Cap), 07/01/2040(2) | 43,046 | 43,919 | ||||||
4.30% (1 Year CMT Index + 2.24%, 2.24% Floor, 10.24% Cap), 05/01/2033(2) | 106,633 | 107,913 | ||||||
4.30% (1 Year LIBOR USD + 1.90%, 1.90% Floor, 10.67% Cap), 05/01/2038(2) | 22,398 | 22,511 | ||||||
4.33% (1 Year LIBOR USD + 2.29%, 2.29% Floor, 11.32% Cap), 03/01/2037(2) | 12,840 | 12,989 | ||||||
4.34% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.39% Cap), 09/01/2036(2) | 58,762 | 59,302 | ||||||
4.35% (1 Year CMT Index + 2.25%, 2.25% Floor, 11.17% Cap), 11/01/2036(2) | 107,603 | 108,366 | ||||||
4.35% (1 Year LIBOR USD + 2.35%, 2.35% Floor, 10.85% Cap), 03/01/2037(2) | 12,271 | 12,358 | ||||||
4.36% (1 Year CMT Index + 2.36%, 2.36% Floor, 11.18% Cap), 10/01/2036(2) | 40,912 | 41,850 | ||||||
4.36% (1 Year LIBOR USD + 2.36%), 02/01/2037(2) | 5,602 | 5,643 | ||||||
4.37% (1 Year CMT Index + 2.37%), 09/01/2032(2) | 3,634 | 3,678 | ||||||
4.41% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.60% Cap), 09/01/2034(2) | 80,183 | 81,386 | ||||||
4.43% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.18% Cap), 07/01/2036(2) | 33,414 | 33,699 | ||||||
4.43% (1 Year LIBOR USD + 2.06%, 2.06% Floor, 10.98% Cap), 04/01/2038(2) | 43,740 | 44,627 | ||||||
4.50% (1 Year CMT Index + 2.13%), 07/01/2026(2) | 3,118 | 3,155 | ||||||
4.51% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.04% Cap), 09/01/2036(2) | 104,101 | 105,616 | ||||||
4.64% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.84% Cap), 07/01/2036(2) | 21,286 | 21,425 | ||||||
4.68% (1 Year LIBOR USD + 1.99%, 1.99% Floor, 10.91% Cap), 06/01/2036(2) | 73,800 | 74,645 | ||||||
4.68% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 11.71% Cap), 07/01/2037(2) | 12,125 | 12,226 | ||||||
4.69% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 9.14% Cap), 04/01/2034(2) | 16,777 | 17,135 | ||||||
4.73% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.93% Cap), 06/01/2036(2) | 170,331 | 172,829 | ||||||
4.75% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.57% Cap), 05/01/2036(2) | 41,889 | 42,048 | ||||||
4.76% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.66% Cap), 05/01/2036(2) | 47,525 | 47,702 | ||||||
4.76% (1 Year LIBOR USD + 1.98%, 1.98% Floor, 10.62% Cap), 04/01/2037(2) | 27,878 | 28,169 | ||||||
4.77% (1 Year LIBOR USD + 2.47%, 2.47% Floor, 11.84% Cap), 03/01/2036(2) | 41,560 | 42,647 | ||||||
5.06% (1 Year LIBOR USD + 2.18%, 2.18% Floor, 11.07% Cap), 05/01/2037(2) | 39,012 | 39,667 | ||||||
5.23% (1 Year LIBOR USD + 2.33%, 2.33% Floor, 10.88% Cap), 05/01/2036(2) | 11,434 | 11,682 | ||||||
Freddie Mac Pool | ||||||||
3.00%, 02/01/2046 | 1,199,477 | 1,267,923 | ||||||
3.00%, 08/01/2048 | 4,368,310 | 4,595,692 | ||||||
3.00%, 10/01/2049 | 3,668,328 | 3,855,738 | ||||||
3.00%, 01/01/2050 | 2,259,489 | 2,376,948 | ||||||
3.00%, 01/01/2050 | 3,076,258 | 3,243,798 | ||||||
3.00%, 01/01/2050 | 4,039,189 | 4,246,659 | ||||||
3.00%, 02/01/2050 | 3,123,117 | 3,280,299 | ||||||
3.00%, 03/01/2050 | 6,475,357 | 6,848,098 | ||||||
3.50%, 04/01/2032 | 769,303 | 810,383 | ||||||
3.50%, 05/01/2034 | 3,246,382 | 3,456,295 | ||||||
3.50%, 02/01/2042 | 2,492,789 | 2,674,871 | ||||||
3.50%, 07/01/2045 | 10,397,860 | 11,161,023 | ||||||
3.50%, 10/01/2046 | 13,705,361 | 14,602,777 | ||||||
3.50%, 06/01/2047 | 496,481 | 528,897 | ||||||
3.50%, 01/01/2048 | 1,693,630 | 1,797,844 | ||||||
3.50%, 03/01/2048 | 475,620 | 504,957 | ||||||
3.50%, 03/01/2048 | 4,030,186 | 4,278,102 | ||||||
3.50%, 08/01/2049 | 7,035,430 | 7,467,134 | ||||||
3.50%, 10/01/2049 | 3,727,034 | 3,941,643 | ||||||
4.00%, 12/01/2044 | 4,916,780 | 5,307,532 | ||||||
4.00%, 12/01/2045 | 446,756 | 483,421 | ||||||
4.00%, 02/01/2046 | 10,404,856 | 11,245,087 | ||||||
4.00%, 01/01/2048 | 337,469 | 365,069 | ||||||
4.00%, 06/01/2048 | 228,985 | 247,987 | ||||||
4.00%, 01/01/2049 | 7,236,662 | 7,831,290 |
4.00%, 03/01/2049 | 12,809,072 | 13,784,985 | ||||||
4.50%, 12/01/2045 | 1,193,644 | 1,301,757 | ||||||
4.50%, 06/01/2048 | 7,961,632 | 8,679,657 | ||||||
4.50%, 08/01/2048 | 3,521,126 | 3,833,551 | ||||||
4.50%, 09/01/2048 | 423,029 | 456,197 | ||||||
4.50%, 11/01/2048 | 6,267,008 | 6,744,807 | ||||||
4.50%, 04/01/2049 | 3,508,336 | 3,787,842 | ||||||
5.00%, 08/01/2049 | 6,160,391 | 6,653,955 | ||||||
5.00%, 12/01/2049 | 5,664,809 | 6,278,905 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 291,389 | 347,854 | ||||||
6.00%, 05/15/2036 | 383,823 | 456,472 | ||||||
Freddie Mac REMICS | ||||||||
0.00%, 02/15/2024 | 2,107 | 2,061 | ||||||
0.00%, 02/15/2024 | 5,959 | 5,828 | ||||||
0.00%, 05/15/2024 | 2,964 | 2,905 | ||||||
0.00%, 09/15/2032 | 982,795 | 940,049 | ||||||
0.00%, 12/15/2032 | 19,018 | 17,892 | ||||||
0.00%, 07/15/2034 | 102,629 | 97,191 | ||||||
0.00%, 02/15/2035 | 31,864 | 29,454 | ||||||
0.00%, 04/15/2035 | 45,098 | 43,554 | ||||||
0.00%, 08/15/2035 | 7,039 | 6,251 | ||||||
0.00%, 09/15/2035 | 19,199 | 18,420 | ||||||
0.00%, 02/15/2036 | 23,164 | 21,770 | ||||||
0.00%, 02/15/2036 | 23,099 | 21,854 | ||||||
0.00%, 02/15/2036 | 26,556 | 24,837 | ||||||
0.00%, 02/15/2036 | 71,172 | 68,319 | ||||||
0.00%, 03/15/2036 | 6,419 | 6,106 | ||||||
0.00%, 03/15/2036 | 40,810 | 39,176 | ||||||
0.00%, 03/15/2036 | 43,906 | 41,119 | ||||||
0.00%, 04/15/2036 | 31,867 | 29,992 | ||||||
0.00%, 04/15/2036 | 63,057 | 57,794 | ||||||
0.00%, 04/15/2036 | 86,024 | 82,672 | ||||||
0.00%, 04/15/2036 | 115,693 | 109,302 | ||||||
0.00%, 05/15/2036 | 9,298 | 8,689 | ||||||
0.00%, 05/15/2036 | 13,840 | 11,690 | ||||||
0.00%, 05/15/2036 | 34,700 | 32,607 | ||||||
0.00%, 05/15/2036 | 48,728 | 44,649 | ||||||
0.00%, 06/15/2036 | 86,434 | 82,537 | ||||||
0.00%, 07/15/2036 | 23,098 | 21,849 | ||||||
0.00%, 08/15/2036 | 32,549 | 30,912 | ||||||
0.00%, 09/15/2036 | 15,353 | 13,230 | ||||||
0.00%, 09/15/2036 | 18,465 | 16,909 | ||||||
0.00%, 10/15/2036 | 38,646 | 36,458 | ||||||
0.00%, 12/15/2036 | 19,215 | 17,919 | ||||||
0.00%, 01/15/2037 | 20,822 | 19,355 | ||||||
0.00%, 02/15/2037 | 5,971 | 5,720 | ||||||
0.00%, 02/15/2037 | 55,014 | 52,089 | ||||||
0.00%, 03/15/2037 | 7,576 | 7,252 | ||||||
0.00%, 04/15/2037 | 22,558 | 20,897 | ||||||
0.00%, 05/15/2037 | 1,369 | 1,290 | ||||||
0.00%, 05/15/2037 | 37,533 | 35,613 | ||||||
0.00%, 05/15/2037 | 213,751 | 198,812 | ||||||
0.00%, 06/15/2037 | 3,984 | 3,669 | ||||||
0.00%, 06/15/2037 | 20,897 | 19,815 | ||||||
0.00%, 07/15/2037 | 290,552 | 264,251 | ||||||
0.00%, 09/15/2037 | 29,619 | 27,152 | ||||||
0.00%, 10/15/2039 | 102,207 | 94,589 | ||||||
0.00%, 01/15/2040 | 93,609 | 88,262 | ||||||
0.00%, 10/15/2049 | 321,698 | 306,015 | ||||||
0.67% (10 Year CMT Index + -0.85%), 03/15/2024(2) | 283 | 282 | ||||||
0.91% (10 Year CMT Index + -0.70%), 07/15/2023(2) | 3,910 | 3,862 |
1.00% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035(2) | 67,987 | 67,129 | ||||||
1.10% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035(2) | 51,920 | 51,420 | ||||||
1.10% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039(2) | 286,249 | 286,461 | ||||||
1.10% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041(2) | 629,658 | 626,615 | ||||||
1.10% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042(2) | 695,775 | 680,250 | ||||||
1.14% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037(2) | 37,910 | 37,659 | ||||||
1.15% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036(2) | 356,427 | 356,231 | ||||||
1.15% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 05/15/2039(2) | 243,054 | 242,896 | ||||||
1.15% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 08/15/2039(2) | 66,098 | 66,170 | ||||||
1.15% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042(2) | 1,930,763 | 1,894,069 | ||||||
1.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 05/15/2036(2) | 32,386 | 32,395 | ||||||
1.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040(2) | 116,835 | 116,508 | ||||||
1.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042(2) | 756,877 | 748,401 | ||||||
1.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042(2) | 365,153 | 363,203 | ||||||
1.25% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040(2) | 1,187,689 | 1,185,275 | ||||||
1.25% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041(2) | 951,036 | 948,274 | ||||||
1.30% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029(2) | 11,661 | 11,671 | ||||||
1.30% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033(2) | 163,471 | 162,596 | ||||||
1.30% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037(2) | 15,184 | 15,142 | ||||||
1.38% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037(2) | 594,082 | 594,324 | ||||||
1.40% (1 Month LIBOR USD + 0.70%), 02/15/2027(2) | 414 | 418 | ||||||
1.45% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032(2) | 37,347 | 37,618 | ||||||
1.50% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035(2) | 52,008 | 52,300 | ||||||
1.60% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032(2) | 59,456 | 59,948 | ||||||
1.65% (1 Month LIBOR USD + 0.95%), 05/15/2021(2) | 13 | 13 | ||||||
1.85% (1 Month LIBOR USD + 1.15%), 09/15/2022(2) | 905 | 913 | ||||||
1.85% (1 Month LIBOR USD + 1.15%), 04/15/2023(2) | 5,577 | 5,640 | ||||||
1.90% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039(2) | 26,462 | 27,120 | ||||||
10.00% (11th District Cost of Funds Index + 44.15%), 02/15/2024(2)(7) | 2,165 | 2,499 | ||||||
11.88% (1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033(2)(7) | 23,882 | 31,902 | ||||||
12.75% (1 Month LIBOR USD + 17.03%), 06/15/2035(2)(7) | 1,568 | 2,136 | ||||||
13.47% (1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033(2)(7) | 18,359 | 25,959 | ||||||
13.56% (1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033(2)(7) | 69,091 | 92,627 | ||||||
14.69% (1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032(2)(7) | 35,714 | 48,007 | ||||||
14.95% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033(2)(7) | 9,571 | 13,324 | ||||||
15.11% (1 Month LIBOR USD + 16.88%), 08/15/2025(2)(7) | 4,724 | 5,808 | ||||||
15.15% (1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040(2)(7) | 304,312 | 443,294 | ||||||
15.51% (1 Month LIBOR USD + 10.13%), 02/15/2024(2) | 428 | 519 | ||||||
15.69% (1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038(2)(7) | 11,019 | 14,315 | ||||||
16.91% (1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032(2)(7) | 22,018 | 32,554 | ||||||
17.36% (1 Month LIBOR USD + 22.75%), 10/15/2023(2)(7) | 3,419 | 4,173 | ||||||
17.65% (1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035(2)(7) | 31,680 | 48,887 | ||||||
17.67% (1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032(2)(7) | 31,243 | 49,762 | ||||||
17.72% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036(2)(7) | 19,121 | 27,048 | ||||||
2.04% (11th District Cost of Funds Index + 1.00%), 02/15/2023(2) | 162 | 163 | ||||||
2.06% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9999.00% Cap), 07/15/2037(2) | 706,927 | 705,914 | ||||||
2.26% (1 Month LIBOR USD + 0.60%), 03/15/2024(2) | 670 | 665 | ||||||
2.33%, 01/15/2040(4) | 627,109 | 33,461 | ||||||
2.48% (11th District Cost of Funds Index + 1.50%), 08/15/2023(2) | 220 | 223 | ||||||
2.92% (1 Month LIBOR USD + 2.22%, 8.32% Cap), 07/15/2034(2) | 40,017 | 43,406 | ||||||
21.91% (1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034(2)(7) | 39,416 | 50,544 | ||||||
21.98% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036(2)(7) | 7,605 | 11,692 | ||||||
23.41% (11th District Cost of Funds Index + 27.47%), 07/15/2023(2)(7) | 821 | 975 | ||||||
24.68% (1 Month LIBOR USD + 30.55%), 03/15/2029(2)(7) | 1,811 | 2,995 | ||||||
24.93% (1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025(2)(7) | 13,911 | 19,768 | ||||||
25.06% (1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035(2)(7) | 40,398 | 61,105 | ||||||
27.01% (11th District Cost of Funds Index + 31.43%), 03/15/2024(2)(7) | 2,172 | 412 | ||||||
29.95% (1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025(2)(7) | 11,154 | 14,624 | ||||||
3.00%, 08/15/2033 | 495,000 | 537,877 | ||||||
3.00%, 12/15/2040 | 1,095,605 | 1,140,767 | ||||||
3.00%, 06/15/2043 | 206,000 | 228,445 | ||||||
3.00%, 04/15/2045 | 2,338,242 | 2,500,771 |
3.00%, 12/15/2047 | 2,914,187 | 3,104,129 | ||||||
3.50%, 01/15/2026 | 1,453,700 | 1,536,316 | ||||||
3.50%, 08/15/2039 | 342,344 | 356,450 | ||||||
3.50%, 01/15/2042 | 1,700,000 | 1,899,369 | ||||||
3.50%, 06/15/2048 | 3,178,048 | 3,316,478 | ||||||
3.50%, 10/15/2053 | 8,092,776 | 8,595,096 | ||||||
3.64%, 02/15/2039(4) | 56,455 | 58,065 | ||||||
3.75%, 02/15/2046(1) | 322,257 | 325,771 | ||||||
3.85% (1 Month LIBOR USD + 4.68%), 12/15/2022(2)(7) | 984 | 1,021 | ||||||
31.46% (1 Month LIBOR USD + 34.50%), 09/15/2023(2)(7) | 2,942 | 4,088 | ||||||
31.60% (1 Month LIBOR USD + 34.00%), 05/15/2021(2)(7) | 4 | 4 | ||||||
4.00%, 12/15/2024 | 151,825 | 159,458 | ||||||
4.00%, 11/15/2029 | 68,809 | 1,407 | ||||||
4.00%, 12/15/2030 | 3,026,942 | 3,303,864 | ||||||
4.00%, 11/15/2041 | 496,650 | 548,670 | ||||||
4.00%, 12/15/2041 | 305,475 | 339,590 | ||||||
4.00%, 12/15/2043 | 1,500,000 | 1,584,482 | ||||||
4.50%, 06/15/2025 | 520,982 | 553,746 | ||||||
4.50%, 07/15/2039 | 436,655 | 470,045 | ||||||
4.50%, 12/15/2039 | 2,991,691 | 3,322,555 | ||||||
4.50%, 05/15/2041 | 1,000,000 | 1,120,861 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,256,696 | ||||||
42.05% (1 Month LIBOR USD + 45.23%), 05/15/2021(2)(7) | 9 | 10 | ||||||
5.00%, 03/15/2022 | 5,282 | 5,297 | ||||||
5.00%, 05/15/2023 | 8,612 | 8,985 | ||||||
5.00%, 11/15/2023 | 118,683 | 125,292 | ||||||
5.00%, 12/15/2023 | 12,347 | 13,013 | ||||||
5.00%, 12/15/2024 | 36,239 | 38,341 | ||||||
5.00%, 03/15/2026 | 28,403 | 28,421 | ||||||
5.00%, 04/15/2030 | 702,000 | 819,680 | ||||||
5.00%, 07/15/2033 | 429,679 | 476,211 | ||||||
5.00%, 01/15/2034 | 249,757 | 287,594 | ||||||
5.00%, 10/15/2039 | 220,286 | 18,195 | ||||||
5.00%, 12/15/2040 | 1,145,500 | 1,262,617 | ||||||
5.00%, 05/15/2041 | 1,319,236 | 1,596,485 | ||||||
5.15% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038(2)(7) | 210,893 | 38,275 | ||||||
5.30% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038(2)(7) | 289,519 | 56,749 | ||||||
5.30% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039(2)(7) | 84,061 | 15,590 | ||||||
5.30% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(7) | 312,370 | 52,053 | ||||||
5.30% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(7) | 414,574 | 69,980 | ||||||
5.40% (1 Month LIBOR USD + 6.10%), 05/15/2039(2)(7) | 17,189 | 2,423 | ||||||
5.44% (1 Month LIBOR USD + 6.14%), 01/15/2037(2)(7) | 32,751 | 5,951 | ||||||
5.50% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038(2)(7) | 117,927 | 19,890 | ||||||
5.50%, 10/15/2022 | 24,064 | 25,166 | ||||||
5.50%, 12/15/2022 | 7,562 | 7,809 | ||||||
5.50%, 03/15/2023 | 88,331 | 92,857 | ||||||
5.50%, 04/15/2023 | 110,013 | 115,617 | ||||||
5.50%, 11/15/2023 | 25,636 | 26,720 | ||||||
5.50%, 02/15/2034 | 3,136 | 3,323 | ||||||
5.50%, 08/15/2036 | 52,623 | 61,054 | ||||||
5.50%, 08/15/2036 | 147,587 | 171,800 | ||||||
5.50%, 03/15/2038 | 395,148 | 457,826 | ||||||
5.50%, 05/15/2038 | 29,328 | 33,214 | ||||||
5.50%, 01/15/2039 | 167,446 | 194,067 | ||||||
5.50% (1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041(2)(7) | 229,978 | 256,246 | ||||||
5.50% (1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041(2)(7) | 664,003 | 733,314 | ||||||
5.55% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039(2)(7) | 86,012 | 16,536 | ||||||
5.60% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039(2)(7) | 105,490 | 9,029 | ||||||
5.60%, 06/15/2023 | 19,197 | 20,189 | ||||||
5.70%, 10/15/2038(4) | 106,992 | 120,519 | ||||||
5.72% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037(2)(7) | 225,565 | 43,015 | ||||||
5.75% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037(2)(7) | 53,502 | 9,951 |
5.75% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037(2)(7) | 150,655 | 29,961 | ||||||
5.90% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037(2)(7) | 41,413 | 7,208 | ||||||
5.95% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036(2)(7) | 493,396 | 88,786 | ||||||
6.00% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036(2)(7) | 50,715 | 8,185 | ||||||
6.00%, 07/15/2021(4) | 11 | 11 | ||||||
6.00%, 11/15/2023 | 10,443 | 11,108 | ||||||
6.00%, 06/15/2024 | 12,692 | 13,668 | ||||||
6.00%, 05/15/2027 | 12,652 | 13,853 | ||||||
6.00%, 07/15/2028 | 7,921 | 8,904 | ||||||
6.00%, 09/15/2028 | 5,771 | 6,502 | ||||||
6.00%, 11/15/2028 | 25,630 | 28,936 | ||||||
6.00%, 12/15/2028 | 50,338 | 56,875 | ||||||
6.00%, 01/15/2029 | 67,554 | 76,678 | ||||||
6.00%, 02/15/2029 | 15,114 | 16,475 | ||||||
6.00%, 07/15/2031 | 9,317 | 10,828 | ||||||
6.00%, 09/15/2032 | 39,024 | 45,577 | ||||||
6.00%, 12/15/2032 | 36,445 | 41,178 | ||||||
6.00%, 12/15/2032 | 76,321 | 87,860 | ||||||
6.00%, 01/15/2033 | 47,164 | 55,427 | ||||||
6.00%, 02/15/2033 | 39,733 | 46,855 | ||||||
6.00%, 02/15/2033 | 175,482 | 203,884 | ||||||
6.00%, 03/15/2033 | 30,796 | 34,447 | ||||||
6.00%, 05/15/2034 | 126,089 | 141,420 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,232,838 | ||||||
6.00%, 01/15/2036 | 119,249 | 145,146 | ||||||
6.00%, 03/15/2036 | 2,585 | 3,966 | ||||||
6.00%, 04/15/2036 | 62,939 | 13,408 | ||||||
6.00%, 04/15/2036 | 74,929 | 88,793 | ||||||
6.00%, 04/15/2036 | 632,328 | 749,902 | ||||||
6.00%, 06/15/2036 | 17,432 | 19,885 | ||||||
6.00%, 02/15/2037 | 43,162 | 48,522 | ||||||
6.00%, 04/15/2037 | 57,178 | 67,199 | ||||||
6.00%, 05/15/2037 | 62,966 | 71,531 | ||||||
6.00%, 06/15/2038 | 13,272 | 15,409 | ||||||
6.00%, 06/15/2038 | 338,166 | 389,393 | ||||||
6.10% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038(2)(7) | 125,520 | 19,131 | ||||||
6.12% (1 Month LIBOR USD + 6.80%), 07/15/2033(2)(7) | 462 | 553 | ||||||
6.25%, 10/15/2023 | 3,886 | 4,144 | ||||||
6.25%, 08/15/2028 | 31,283 | 34,907 | ||||||
6.25%, 02/15/2029 | 75,485 | 84,460 | ||||||
6.38%, 02/15/2032 | 14,666 | 16,109 | ||||||
6.40% (1 Month LIBOR USD + 7.10%), 07/15/2036(2)(7) | 7,340 | 1,205 | ||||||
6.50%, 09/15/2023 | 26,339 | 28,331 | ||||||
6.50%, 12/15/2023 | 6,520 | 7,015 | ||||||
6.50%, 12/15/2023 | 8,309 | 8,902 | ||||||
6.50%, 03/15/2026 | 1,660 | 1,785 | ||||||
6.50%, 07/15/2026 | 13,049 | 14,031 | ||||||
6.50%, 01/15/2027 | 9,806 | 10,882 | ||||||
6.50%, 12/15/2027 | 7,320 | 8,248 | ||||||
6.50%, 06/15/2028 | 14,633 | 16,524 | ||||||
6.50%, 08/15/2028 | 29,222 | 33,365 | ||||||
6.50%, 05/15/2031 | 4,718 | 5,435 | ||||||
6.50%, 08/15/2031 | 10,716 | 12,579 | ||||||
6.50%, 08/15/2031 | 14,047 | 15,989 | ||||||
6.50%, 08/15/2031 | 17,050 | 20,211 | ||||||
6.50%, 08/15/2031 | 154,231 | 179,000 | ||||||
6.50%, 10/15/2031 | 13,940 | 15,651 | ||||||
6.50%, 01/15/2032 | 18,625 | 21,852 | ||||||
6.50%, 01/15/2032 | 21,297 | 25,028 | ||||||
6.50%, 02/15/2032 | 25,145 | 29,550 | ||||||
6.50%, 02/15/2032 | 30,138 | 35,397 | ||||||
6.50%, 03/15/2032 | 39,673 | 44,943 |
6.50%, 03/15/2032 | 39,998 | 47,482 | ||||||
6.50%, 04/15/2032 | 9,595 | 11,278 | ||||||
6.50%, 04/15/2032 | 65,742 | 77,111 | ||||||
6.50%, 04/15/2032 | 88,630 | 99,890 | ||||||
6.50%, 05/15/2032 | 29,049 | 34,351 | ||||||
6.50%, 06/15/2032 | 17,011 | 19,154 | ||||||
6.50%, 06/15/2032 | 26,643 | 30,256 | ||||||
6.50%, 06/15/2032 | 31,969 | 37,514 | ||||||
6.50%, 07/15/2032 | 31,691 | 36,042 | ||||||
6.50%, 07/15/2032 | 39,849 | 47,903 | ||||||
6.50%, 03/15/2033 | 19,535 | 3,917 | ||||||
6.50%, 07/15/2036 | 69,300 | 80,287 | ||||||
6.50%, 07/15/2036 | 92,140 | 107,494 | ||||||
6.98%, 11/15/2021(4) | 8,363 | 8,509 | ||||||
7.00%, 05/15/2021 | 708 | 722 | ||||||
7.00%, 03/15/2022 | 238 | 246 | ||||||
7.00%, 05/15/2022 | 362 | 378 | ||||||
7.00%, 04/15/2023 | 8,743 | 9,277 | ||||||
7.00%, 05/15/2023 | 986 | 1,054 | ||||||
7.00%, 09/15/2023 | 6,540 | 7,028 | ||||||
7.00%, 01/15/2024 | 3,811 | 4,110 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,788 | ||||||
7.00%, 03/15/2024 | 3,314 | 3,571 | ||||||
7.00%, 03/15/2024 | 19,617 | 21,104 | ||||||
7.00%, 03/15/2028 | 9,023 | 1,413 | ||||||
7.00%, 06/15/2028 | 1,731 | 2,009 | ||||||
7.00%, 10/15/2028 | 11,520 | 1,194 | ||||||
7.00%, 04/15/2029 | 1,005 | 102 | ||||||
7.00%, 06/15/2029 | 58,589 | 67,829 | ||||||
7.00%, 07/15/2029 | 32,550 | 38,249 | ||||||
7.00%, 08/15/2029 | 14,978 | 17,549 | ||||||
7.00%, 01/15/2030 | 31,494 | 37,266 | ||||||
7.00%, 10/15/2030 | 20,551 | 24,344 | ||||||
7.00%, 03/15/2031 | 12,212 | 14,449 | ||||||
7.00%, 06/15/2031 | 10,657 | 12,705 | ||||||
7.00%, 07/15/2031 | 24,415 | 29,008 | ||||||
7.00%, 03/15/2032 | 22,864 | 27,198 | ||||||
7.00%, 03/15/2032 | 28,005 | 33,477 | ||||||
7.00%, 04/15/2032 | 16,235 | 18,744 | ||||||
7.00%, 04/15/2032 | 48,357 | 57,413 | ||||||
7.00%, 05/15/2032 | 26,215 | 31,597 | ||||||
7.00%, 12/15/2036 | 1,181,984 | 1,435,541 | ||||||
7.25% (1 Month LIBOR USD + 7.95%), 03/15/2032(2)(7) | 26,121 | 5,025 | ||||||
7.25%, 07/15/2027 | 680 | 782 | ||||||
7.25%, 09/15/2030 | 15,754 | 18,917 | ||||||
7.25%, 12/15/2030 | 22,603 | 26,925 | ||||||
7.30% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032(2)(7) | 61,095 | 11,307 | ||||||
7.30% (1 Month LIBOR USD + 8.00%), 03/15/2032(2)(7) | 17,040 | 3,181 | ||||||
7.36%, 11/15/2046(4) | 573,967 | 700,595 | ||||||
7.38% (1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033(2)(7) | 538,140 | 633,573 | ||||||
7.50%, 08/15/2022 | 587 | 620 | ||||||
7.50%, 02/15/2023 | 8,222 | 8,754 | ||||||
7.50%, 04/15/2023 | 1,712 | 1,829 | ||||||
7.50%, 04/15/2024 | 11,502 | 12,390 | ||||||
7.50%, 08/15/2024 | 4,252 | 4,695 | ||||||
7.50%, 09/15/2026 | 2,270 | 2,572 | ||||||
7.50%, 01/15/2027 | 5,806 | 6,703 | ||||||
7.50%, 01/15/2027 | 16,009 | 18,367 | ||||||
7.50%, 09/15/2027 | 5,179 | 6,083 | ||||||
7.50%, 03/15/2028 | 28,108 | 32,812 | ||||||
7.50%, 05/15/2028 | 9,828 | 11,399 | ||||||
7.50%, 06/15/2029 | 4,853 | 532 |
7.50%, 11/15/2029 | 81 | 96 | ||||||
7.50%, 05/15/2030 | 6,810 | 8,164 | ||||||
7.50%, 08/15/2030 | 6,871 | 8,122 | ||||||
7.50%, 10/15/2030 | 2,096 | 2,534 | ||||||
7.50%, 11/15/2036 | 498,781 | 610,802 | ||||||
7.50%, 12/15/2036 | 422,181 | 523,858 | ||||||
7.90% (1 Month LIBOR USD + 8.60%), 07/15/2023(2)(7) | 6,177 | 6,545 | ||||||
7.95% (1 Month LIBOR USD + 8.65%), 02/15/2032(2)(7) | 12,884 | 2,759 | ||||||
8.00%, 08/15/2022 | 1,470 | 1,559 | ||||||
8.00%, 09/15/2026 | 5,837 | 6,778 | ||||||
8.00%, 11/15/2029 | 12,385 | 14,295 | ||||||
8.00%, 01/15/2030 | 7,977 | 9,546 | ||||||
8.00%, 01/15/2030 | 29,467 | 35,713 | ||||||
8.00%, 03/15/2030 | 6,814 | 8,238 | ||||||
8.00%, 04/15/2030 | 9,146 | 10,944 | ||||||
8.50%, 09/15/2021 | 598 | 625 | ||||||
8.50%, 06/15/2031 | 25,023 | 30,641 | ||||||
8.50% (3 Months CMT Index+ 8.90%), 05/15/2023(2)(7) | 3,814 | 4,142 | ||||||
9.00%, 10/15/2020 | 8 | 8 | ||||||
9.00%, 04/15/2021 | 41 | 42 | ||||||
9.08% (10 Year CMT Index + 10.60%), 05/15/2024(2)(7) | 7,095 | 976 | ||||||
Freddie Mac REMICS SER 3443 CL SY V/R | ||||||||
9.00% (1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037(2)(7) | 18,786 | 23,472 | ||||||
Freddie Mac STACR Trust 2019-HRP1 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 02/25/2049(2)(3) | 1,467,793 | 1,439,036 | ||||||
Freddie Mac Strips | ||||||||
0.00%, 04/01/2028 | 52,494 | 50,598 | ||||||
0.00%, 09/15/2043 | 838,308 | 784,956 | ||||||
1.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042(2) | 1,321,395 | 1,337,575 | ||||||
1.25% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042(2) | 2,090,481 | 2,100,522 | ||||||
1.25% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042(2) | 1,156,967 | 1,173,921 | ||||||
3.00%, 08/15/2042 | 1,630,352 | 1,768,330 | ||||||
3.00%, 01/15/2043 | 405,499 | 436,150 | ||||||
3.50%, 07/15/2042 | 5,210,730 | 5,792,816 | ||||||
4.50%, 11/15/2020 | 299 | 1 | ||||||
4.50%, 12/15/2020 | 133 | 1 | ||||||
5.00%, 09/15/2035 | 96,636 | 18,567 | ||||||
5.00%, 09/15/2035 | 114,785 | 19,714 | ||||||
5.00%, 09/15/2035 | 182,434 | 32,007 | ||||||
7.00% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036(2)(7) | 330,555 | 81,222 | ||||||
Freddie Mac Structured Pass-Through Certificates | ||||||||
0.00%, 07/25/2043 | 19,096 | 16,666 | ||||||
0.00%, 09/25/2043 | 21,408 | 18,647 | ||||||
0.00%, 10/25/2043 | 24,811 | 19,902 | ||||||
2.25%, 10/25/2037(4) | 1,112,845 | 1,233,962 | ||||||
3.17% (12 Month U.S. Treasury Average + 1.20%, 1.20% Floor), 10/25/2044(2) | 452,588 | 445,272 | ||||||
4.88%, 07/25/2033(4) | 157,946 | 175,962 | ||||||
5.23%, 05/25/2043 | 511,445 | 583,812 | ||||||
5.37%, 07/25/2032(4) | 53,270 | 59,943 | ||||||
6.50%, 02/25/2043 | 223,596 | 272,238 | ||||||
7.00%, 02/25/2043 | 72,806 | 89,589 | ||||||
7.00%, 10/25/2043 | 286,209 | 356,555 | ||||||
7.50%, 02/25/2042 | 218,985 | 268,661 | ||||||
7.50%, 08/25/2042(4) | 37,026 | 48,554 | ||||||
7.50%, 07/25/2043 | 50,270 | 64,136 | ||||||
7.50%, 09/25/2043 | 281,794 | 335,443 | ||||||
FREMF 2013-K25 Mortgage Trust | ||||||||
3.62%, 11/25/2045(3)(4) | 2,000,000 | 1,947,485 | ||||||
FREMF 2013-K35 Mortgage Trust | ||||||||
3.94%, 12/25/2046(3)(4) | 2,951,000 | 2,849,512 | ||||||
FREMF 2014-K40 Mortgage Trust | ||||||||
4.07%, 11/25/2047(3)(4) | 2,273,000 | 2,158,502 |
FREMF 2014-K41 Mortgage Trust | ||||||||
3.83%, 11/25/2047(3)(4) | 6,000,000 | 5,645,763 | ||||||
FREMF 2015-K44 Mortgage Trust | ||||||||
3.68%, 01/25/2048(3)(4) | 3,510,000 | 3,399,343 | ||||||
FREMF 2015-K45 Mortgage Trust | ||||||||
3.59%, 04/25/2048(3)(4) | 2,135,000 | 2,059,738 | ||||||
FREMF 2015-K49 Mortgage Trust | ||||||||
3.72%, 10/25/2048(3)(4) | 4,000,000 | 3,696,279 | ||||||
FREMF 2015-K51 Mortgage Trust | ||||||||
3.95%, 10/25/2048(3)(4) | 1,500,000 | 1,392,609 | ||||||
FREMF 2015-K720 Mortgage Trust | ||||||||
3.39%, 07/25/2022(3)(4) | 4,000,000 | 3,894,169 | ||||||
FREMF 2016-K52 Mortgage Trust | ||||||||
3.92%, 01/25/2049(3)(4) | 4,750,000 | 4,616,972 | ||||||
FREMF 2016-K59 Mortgage Trust | ||||||||
3.58%, 11/25/2049(3)(4) | 2,450,000 | 2,313,824 | ||||||
FREMF 2016-K722 Mortgage Trust | ||||||||
3.84%, 07/25/2049(3)(4) | 1,845,000 | 1,825,148 | ||||||
GCAT 2020-1 LLC | ||||||||
2.98%, 01/26/2060(1)(3) | 3,096,641 | 3,079,265 | ||||||
Ginnie Mae | ||||||||
0.00%, 12/20/2032 | 19,585 | 19,484 | ||||||
0.00%, 02/17/2033 | 12,416 | 12,365 | ||||||
0.00%, 03/16/2033 | 6,689 | 6,543 | ||||||
0.00%, 06/16/2033 | 36,268 | 34,161 | ||||||
0.00%, 10/20/2033 | 5,402 | 5,187 | ||||||
0.00%, 06/20/2034 | 62,002 | 60,062 | ||||||
0.00%, 08/20/2035 | 148,671 | 139,468 | ||||||
0.00%, 10/20/2035 | 32,654 | 29,208 | ||||||
0.00%, 11/20/2035 | 45,904 | 43,210 | ||||||
0.00%, 03/20/2036 | 40,354 | 37,444 | ||||||
0.00%, 05/20/2036 | 56,802 | 55,382 | ||||||
0.00%, 07/20/2036 | 7,920 | 7,619 | ||||||
0.00%, 03/20/2037 | 132,570 | 126,619 | ||||||
0.00%, 04/16/2037 | 75,954 | 68,847 | ||||||
0.00%, 05/20/2037 | 11,721 | 10,956 | ||||||
0.00%, 06/16/2037 | 20,731 | 19,090 | ||||||
0.00%, 06/16/2037 | 211,376 | 200,700 | ||||||
0.00%, 09/20/2037 | 16,408 | 16,220 | ||||||
0.00%, 11/16/2037 | 222,262 | 211,043 | ||||||
0.00%, 01/20/2038 | 8,172 | 7,643 | ||||||
0.00%, 12/20/2040 | 560,670 | 530,404 | ||||||
1.00% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037(2) | 54,805 | 54,220 | ||||||
1.59% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038(2) | 346,562 | 349,634 | ||||||
1.65%, 01/20/2063 | 675,108 | 674,053 | ||||||
1.65%, 02/20/2063 | 872,946 | 871,094 | ||||||
1.65%, 04/20/2063 | 414,490 | 414,367 | ||||||
1.66% (1 Year LIBOR USD + 0.00%), 06/20/2067(4) | 13,576,549 | 1,170,300 | ||||||
1.96% (1 Month LIBOR USD + 0.30%), 08/20/2060(2) | 1,541 | 1,517 | ||||||
1.96% (1 Month LIBOR USD + 0.30%), 11/20/2062(2) | 5,680 | 5,589 | ||||||
1.98% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063(2) | 1,014,873 | 1,000,358 | ||||||
4.76%, 03/20/2048(4) | 12,500,000 | 14,065,430 | ||||||
10.65% (1 Month LIBOR USD + 12.20%), 10/20/2034(2)(7) | 822 | 832 | ||||||
11.85% (1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037(2)(7) | 20,346 | 23,995 | ||||||
12.73% (1 Month LIBOR USD + 14.26%), 10/16/2034(2)(7) | 2,352 | 2,657 | ||||||
13.40% (1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034(2)(7) | 18,972 | 20,584 | ||||||
13.41% (1 Month LIBOR USD + 14.70%, 14.70% Cap), 11/17/2032(2)(7) | 11,505 | 13,037 | ||||||
14.74% (1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035(2)(7) | 81,714 | 105,713 | ||||||
15.17% (1 Month LIBOR USD + 16.72%), 05/18/2034(2)(7) | 2,635 | 3,273 | ||||||
17.63% (1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037(2)(7) | 14,391 | 19,247 | ||||||
17.72% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034(2)(7) | 35,777 | 54,710 | ||||||
17.89% (1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037(2)(7) | 28,945 | 39,189 |
18.48% (1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035(2)(7) | 14,200 | 22,953 | ||||||
19.80% (1 Month LIBOR USD + 22.73%), 08/20/2035(2)(7) | 3,093 | 5,637 | ||||||
2.00% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062(2) | 1,918,133 | 1,886,189 | ||||||
2.07% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063(2) | 838,983 | 827,905 | ||||||
2.08% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063(2) | 218,145 | 213,819 | ||||||
2.09% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060(2) | 21,632 | 21,434 | ||||||
2.10% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065(2) | 3,279,572 | 3,212,049 | ||||||
2.11% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060(2) | 19,024 | 18,629 | ||||||
2.11% (1 Month LIBOR USD + 0.45%), 05/20/2062(2) | 1,898 | 1,891 | ||||||
2.11% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065(2) | 1,467,758 | 1,446,327 | ||||||
2.11% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067(2) | 3,003,226 | 2,973,455 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061(2) | 481,079 | 475,525 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063(2) | 265,435 | 262,564 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063(2) | 2,157,284 | 2,134,636 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064(2) | 3,146,152 | 3,109,303 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064(2) | 3,632,830 | 3,568,793 | ||||||
2.13% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065(2) | 530,899 | 520,528 | ||||||
2.14% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065(2) | 3,468,504 | 3,465,662 | ||||||
2.14% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065(2) | 6,907,299 | 6,781,935 | ||||||
2.14% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065(2) | 5,045,431 | 4,948,859 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061(2) | 1,605,739 | 1,586,875 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063(2) | 19,173 | 19,044 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064(2) | 2,154,667 | 2,114,179 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) | 1,683,857 | 1,652,906 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) | 2,181,598 | 2,141,121 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064(2) | 2,738,570 | 2,709,451 | ||||||
2.16% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067(2) | 5,783,568 | 5,682,237 | ||||||
2.18% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062(2) | 1,974,214 | 1,956,758 | ||||||
2.20% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065(2) | 1,731,031 | 1,716,745 | ||||||
2.21% (1 Month LIBOR USD + 0.55%), 10/20/2061(2) | 5,876 | 5,845 | ||||||
2.21% (1 Month LIBOR USD + 0.55%), 04/20/2062(2) | 1,336 | 1,326 | ||||||
2.21% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062(2) | 40,327 | 40,158 | ||||||
2.22% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067(2) | 5,785,053 | 5,688,472 | ||||||
2.24% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062(2) | 96,374 | 96,173 | ||||||
2.26% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062(2) | 26,066 | 25,953 | ||||||
2.26% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064(2) | 2,749,827 | 2,710,347 | ||||||
2.26% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064(2) | 3,182,517 | 3,153,960 | ||||||
2.26% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064(2) | 5,015,915 | 4,941,736 | ||||||
2.26% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064(2) | 1,258,593 | 1,234,682 | ||||||
2.30% (1 Year LIBOR USD + 0.00%), 05/20/2067(4) | 13,760,573 | 2,001,526 | ||||||
2.31% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061(2) | 40,484 | 40,243 | ||||||
2.31% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064(2) | 2,532,317 | 2,512,763 | ||||||
2.31% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064(2) | 5,057,205 | 5,016,151 | ||||||
2.31% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064(2) | 2,250,147 | 2,233,568 | ||||||
2.35% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064(2) | 2,559,752 | 2,531,557 | ||||||
2.36% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061(2) | 39,700 | 39,501 | ||||||
2.36% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062(2) | 847,839 | 840,246 | ||||||
2.50%, 04/01/2050(10) | 3,850,000 | 4,023,852 | ||||||
2.50%, 07/20/2047 | 4,287,276 | 4,492,243 | ||||||
21.80% (1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034(2)(7) | 23,706 | 34,513 | ||||||
25.67% (1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034(2)(7) | 27,378 | 44,438 | ||||||
3.00%, 04/01/2050(10) | 10,055,000 | 10,635,869 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 1,104,334 | ||||||
3.00%, 10/20/2045 | 1,291,303 | 1,371,652 | ||||||
3.00%, 02/20/2047 | 3,846,276 | 4,037,295 | ||||||
3.00%, 09/20/2047 | 2,179,451 | 2,368,571 | ||||||
3.00%, 11/20/2047 | 7,591,877 | 8,072,813 | ||||||
3.50%, 03/01/2050(10) | 6,910,000 | 7,280,248 | ||||||
3.50%, 07/20/2046 | 4,272,220 | 4,497,111 | ||||||
3.50%, 09/20/2046 | 1,266,381 | 1,405,480 | ||||||
3.69%, 01/20/2042(4) | 337,093 | 373,844 | ||||||
3.97%, 09/16/2042(4) | 218,600 | 244,852 |
4.47%, 04/20/2043(4) | 209,632 | 231,271 | ||||||
4.53%, 11/16/2041(4) | 355,935 | 411,923 | ||||||
4.59%, 10/20/2041(4) | 599,101 | 674,832 | ||||||
4.66%, 10/20/2042(4) | 1,144,346 | 1,282,861 | ||||||
4.67%, 09/20/2041(4) | 331,312 | 377,220 | ||||||
4.78%, 11/20/2042(4) | 188,192 | 213,991 | ||||||
4.93% (1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038(2)(7) | 192,460 | 24,985 | ||||||
5.00%, 04/16/2023 | 73 | 73 | ||||||
5.13% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038(2)(7) | 185,113 | 35,490 | ||||||
5.15%, 06/20/2040(4) | 145,762 | 167,269 | ||||||
5.18% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039(2)(7) | 152,889 | 18,156 | ||||||
5.18% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039(2)(7) | 146,578 | 20,066 | ||||||
5.23% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037(2)(7) | 133,083 | 17,096 | ||||||
5.23% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038(2)(7) | 1,149,693 | 179,289 | ||||||
5.23% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038(2)(7) | 54,285 | 7,447 | ||||||
5.23% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038(2)(7) | 108,374 | 10,379 | ||||||
5.27% (1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039(2)(7) | 93,075 | 10,423 | ||||||
5.30%, 07/20/2060(4) | 43,272 | 45,527 | ||||||
5.31% (1 Month LIBOR USD + 6.08%), 11/20/2034(2)(7) | 189,466 | 3,644 | ||||||
5.31% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039(2)(7) | 209,067 | 28,435 | ||||||
5.32% (1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039(2)(7) | 373,122 | 75,848 | ||||||
5.33% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034(2)(7) | 366,036 | 53,146 | ||||||
5.38% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038(2)(7) | 152,266 | 19,251 | ||||||
5.40% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039(2)(7) | 89,128 | 11,856 | ||||||
5.40% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039(2)(7) | 238,603 | 34,426 | ||||||
5.41%, 01/20/2039(4) | 698,114 | 801,479 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037(2)(7) | 132,407 | 22,145 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037(2)(7) | 75,788 | 7,571 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(7) | 142,310 | 18,836 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(7) | 153,232 | 24,870 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038(2)(7) | 43,378 | 7,710 | ||||||
5.43% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038(2)(7) | 380,670 | 36,333 | ||||||
5.45% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039(2)(7) | 135,253 | 13,400 | ||||||
5.48% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037(2)(7) | 117,779 | 11,882 | ||||||
5.49%, 01/20/2038(4) | 624,352 | 736,073 | ||||||
5.50% (1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039(2)(7) | 269,424 | 34,495 | ||||||
5.50%, 01/16/2033 | 344,207 | 383,144 | ||||||
5.50%, 04/20/2033 | 192,732 | 215,237 | ||||||
5.50%, 03/16/2034 | 2,875,772 | 3,262,721 | ||||||
5.50%, 07/20/2035 | 25,443 | 4,376 | ||||||
5.50%, 09/20/2035 | 142,970 | 161,527 | ||||||
5.50%, 10/16/2037 | 147,198 | 10,865 | ||||||
5.50%, 02/20/2038 | 28,635 | 2,844 | ||||||
5.50%, 05/20/2039 | 32,432 | 4,521 | ||||||
5.50%, 09/20/2039 | 317,000 | 396,263 | ||||||
5.50%, 10/20/2039 | 820,438 | 953,437 | ||||||
5.53% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035(2)(7) | 511,668 | 114,460 | ||||||
5.53% (1 Month LIBOR USD + 6.30%), 04/20/2038(2)(7) | 180,911 | 526 | ||||||
5.53% (1 Month LIBOR USD + 6.30%), 03/20/2039(2)(7) | 4,127 | 26 | ||||||
5.53% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039(2)(7) | 140,431 | 10,749 | ||||||
5.55% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039(2)(7) | 229,924 | 46,417 | ||||||
5.56%, 08/20/2038(4) | 219,163 | 255,355 | ||||||
5.56%, 10/20/2036 | 142,595 | 158,937 | ||||||
5.57%, 07/20/2040(4) | 223,824 | 263,687 | ||||||
5.70% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038(2)(7) | 594,349 | 104,321 | ||||||
5.70% (1 Month LIBOR USD + 6.40%), 06/16/2039(2)(7) | 49,057 | 881 | ||||||
5.70% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039(2)(7) | 290,640 | 38,678 | ||||||
5.71%, 08/20/2034(4) | 70,605 | 81,721 | ||||||
5.73% (1 Month LIBOR USD + 6.50%), 06/20/2036(2)(7) | 6,475 | 487 | ||||||
5.73% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037(2)(7) | 256,991 | 27,638 | ||||||
5.74% (1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037(2)(7) | 145,786 | 19,012 | ||||||
5.75%, 02/20/2036 | 24,284 | 25,998 |
5.75%, 07/20/2038 | 138,131 | 150,086 | ||||||
5.77% (1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037(2)(7) | 88,896 | 12,695 | ||||||
5.78% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037(2)(7) | 118,048 | 14,966 | ||||||
5.78% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037(2)(7) | 117,053 | 16,901 | ||||||
5.78% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037(2)(7) | 180,015 | 25,475 | ||||||
5.82%, 10/20/2033(4) | 132,620 | 152,462 | ||||||
5.83% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041(2)(7) | 293,477 | 53,444 | ||||||
5.84% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037(2)(7) | 125,051 | 17,690 | ||||||
5.85% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033(2)(7) | 71,446 | 7,988 | ||||||
5.85% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033(2)(7) | 69,580 | 8,706 | ||||||
5.85% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034(2)(7) | 247,756 | 43,560 | ||||||
5.87%, 12/20/2038(4) | 502,976 | 587,517 | ||||||
5.87% (1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037(2)(7) | 170,432 | 24,695 | ||||||
5.88%, 02/20/2037(4) | 46,296 | 53,923 | ||||||
5.91% (1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037(2)(7) | 168,323 | 32,816 | ||||||
5.93% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036(2)(7) | 77,427 | 14,665 | ||||||
5.96%, 04/20/2037(4) | 89,270 | 103,201 | ||||||
5.98% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035(2)(7) | 245,291 | 62,031 | ||||||
5.98% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037(2)(7) | 115,419 | 20,411 | ||||||
6.00%, 02/20/2029 | 78,777 | 78,755 | ||||||
6.00%, 11/20/2032 | 124,786 | 132,471 | ||||||
6.00%, 09/16/2033 | 104,787 | 120,719 | ||||||
6.00%, 06/20/2034 | 235,055 | 270,601 | ||||||
6.00%, 12/20/2035 | 49,634 | 7,779 | ||||||
6.00%, 06/20/2038 | 90,399 | 106,407 | ||||||
6.00%, 12/20/2038 | 33,671 | 2,007 | ||||||
6.00%, 05/20/2039 | 44,670 | 8,758 | ||||||
6.00% (1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037(2)(7) | 41,133 | 7,338 | ||||||
6.03% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035(2)(7) | 128,276 | 141,974 | ||||||
6.03% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036(2)(7) | 123,991 | 17,793 | ||||||
6.11% (1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037(2)(7) | 195,747 | 33,988 | ||||||
6.13%, 11/20/2038(4) | 151,993 | 178,509 | ||||||
6.50%, 07/20/2032 | 63,332 | 63,314 | ||||||
6.50%, 01/20/2033 | 90,516 | 103,327 | ||||||
6.50%, 03/20/2033 | 51,021 | 57,490 | ||||||
6.50%, 03/20/2033 | 173,873 | 199,082 | ||||||
6.50%, 05/20/2033 | 68,053 | 78,487 | ||||||
6.50%, 07/20/2036 | 239,407 | 282,139 | ||||||
6.50%, 08/20/2036 | 321,512 | 372,000 | ||||||
6.50%, 03/20/2039 | 49,553 | 8,554 | ||||||
6.50%, 03/20/2039 | 111,205 | 24,870 | ||||||
6.53% (1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038(2)(7) | 340,782 | 73,714 | ||||||
6.83% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038(2)(7) | 79,999 | 12,626 | ||||||
6.93% (1 Month LIBOR USD + 7.70%), 02/20/2033(2)(7) | 20,302 | 2,870 | ||||||
7.00% (1 Month LIBOR USD + 7.70%), 02/16/2033(2)(7) | 31,773 | 479 | ||||||
7.00% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038(2)(7) | 69,129 | 12,513 | ||||||
7.00% (1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034(2)(7) | 27,378 | 29,948 | ||||||
7.00%, 08/16/2039 | 117,571 | 132,868 | ||||||
7.00%, 10/16/2040 | 417,966 | 506,777 | ||||||
7.55% (1 Month LIBOR USD + 8.25%), 08/16/2031(2)(7) | 13,528 | 42 | ||||||
Ginnie Mae I Pool | ||||||||
3.00%, 05/15/2043 | 496,797 | 528,877 | ||||||
3.00%, 07/15/2045 | 1,593,289 | 1,686,968 | ||||||
3.50%, 01/15/2042 | 4,474,328 | 4,823,277 | ||||||
3.50%, 03/15/2043 | 1,165,466 | 1,297,841 | ||||||
3.50%, 04/15/2043 | 3,898,350 | 4,200,945 | ||||||
3.50%, 06/15/2043 | 1,538,825 | 1,659,606 | ||||||
3.50%, 07/15/2043 | 591,546 | 658,662 | ||||||
4.00%, 06/15/2039 | 406,826 | 440,099 | ||||||
4.00%, 10/15/2040 | 227,081 | 246,025 | ||||||
4.50%, 04/15/2040 | 2,048,190 | 2,267,161 | ||||||
5.50%, 04/15/2033 | 246,349 | 279,979 |
5.50%, 06/15/2033 | 2,684 | 3,030 | ||||||
5.50%, 12/15/2033 | 9,993 | 11,361 | ||||||
5.50%, 07/15/2034 | 4,287 | 4,696 | ||||||
5.50%, 09/15/2034 | 14,721 | 16,216 | ||||||
6.00%, 11/15/2028 | 8,813 | 9,727 | ||||||
6.50%, 01/15/2024 | 2,357 | 2,586 | ||||||
6.50%, 03/15/2028 | 6,669 | 7,366 | ||||||
6.50%, 09/15/2028 | 14,154 | 15,696 | ||||||
6.50%, 10/15/2028 | 756 | 843 | ||||||
6.50%, 01/15/2032 | 55,693 | 65,319 | ||||||
6.50%, 07/15/2032 | 2,247 | 2,465 | ||||||
6.50%, 02/15/2033 | 9,120 | 10,372 | ||||||
6.50%, 04/15/2033 | 5,836 | 6,677 | ||||||
6.50%, 12/15/2035 | 61,242 | 72,938 | ||||||
7.00%, 08/15/2023 | 164 | 167 | ||||||
7.00%, 09/15/2023 | 6,816 | 7,210 | ||||||
7.00%, 11/15/2023 | 352 | 373 | ||||||
7.00%, 02/15/2024 | 1,935 | 1,959 | ||||||
7.00%, 09/15/2031 | 69,373 | 83,974 | ||||||
7.00%, 02/15/2033 | 5,478 | 6,327 | ||||||
7.00%, 06/15/2033 | 17,300 | 21,348 | ||||||
7.00%, 06/15/2035 | 178,366 | 213,487 | ||||||
7.00%, 04/15/2037 | 31,285 | 37,559 | ||||||
7.50%, 11/15/2022 | 19 | 19 | ||||||
7.50%, 03/15/2023 | 150 | 152 | ||||||
7.50%, 11/15/2026 | 813 | 829 | ||||||
7.50%, 07/15/2027 | 815 | 819 | ||||||
7.50%, 07/15/2028 | 602 | 614 | ||||||
7.50%, 09/15/2028 | 2,578 | 2,843 | ||||||
7.50%, 10/15/2037 | 34,622 | 43,899 | ||||||
8.00%, 08/15/2028 | 1,039 | 1,043 | ||||||
9.00%, 11/15/2024 | 93 | 93 | ||||||
9.50%, 10/15/2024 | 1,781 | 1,833 | ||||||
9.50%, 12/15/2025 | 394 | 396 | ||||||
Ginnie Mae II Pool | ||||||||
2.50%, 12/20/2046 | 2,861,648 | 3,005,554 | ||||||
3.00%, 06/20/2042 | 316,414 | 339,517 | ||||||
3.00%, 08/20/2042 | 4,232,010 | 4,543,014 | ||||||
3.00%, 11/20/2042 | 2,345,299 | 2,518,058 | ||||||
3.00%, 12/20/2042 | 1,199,028 | 1,287,586 | ||||||
3.00%, 01/20/2043 | 1,209,648 | 1,298,976 | ||||||
3.00%, 04/20/2043 | 3,047,352 | 3,273,542 | ||||||
3.00%, 09/20/2043 | 933,645 | 1,002,972 | ||||||
3.00%, 10/20/2043 | 139,557 | 149,925 | ||||||
3.00%, 01/20/2044 | 801,723 | 861,429 | ||||||
3.00%, 07/20/2044 | 360,620 | 387,390 | ||||||
3.00%, 12/20/2044 | 703,650 | 755,626 | ||||||
3.00%, 03/20/2045 | 7,138,075 | 7,665,227 | ||||||
3.00%, 04/20/2045 | 6,540,553 | 7,024,159 | ||||||
3.00%, 05/20/2045 | 8,575,722 | 9,210,441 | ||||||
3.00%, 07/20/2045 | 2,610,046 | 2,803,243 | ||||||
3.00%, 10/20/2045 | 2,931,111 | 3,148,261 | ||||||
3.00%, 11/20/2045 | 696,010 | 747,621 | ||||||
3.00%, 01/20/2046 | 3,239,874 | 3,479,812 | ||||||
3.00%, 02/20/2046 | 1,018,386 | 1,094,258 | ||||||
3.00%, 04/20/2046 | 7,040,285 | 7,529,821 | ||||||
3.00%, 05/20/2046 | 292,266 | 313,822 | ||||||
3.00%, 07/20/2046 | 5,611,762 | 6,016,688 | ||||||
3.00%, 08/20/2046 | 6,511,899 | 6,975,640 | ||||||
3.00%, 09/20/2046 | 1,919,715 | 2,056,769 | ||||||
3.00%, 01/20/2047 | 4,335,604 | 4,634,148 | ||||||
3.00%, 02/20/2047 | 5,996,807 | 6,401,293 |
3.00%, 03/20/2047 | 652,388 | 697,259 | ||||||
3.00%, 07/20/2047 | 2,724,583 | 2,912,350 | ||||||
3.00%, 08/20/2047 | 953,623 | 1,019,316 | ||||||
3.00%, 11/20/2047 | 9,901,849 | 10,562,355 | ||||||
3.50%, 10/20/2042 | 4,756,264 | 5,085,101 | ||||||
3.50%, 11/20/2042 | 1,639,949 | 1,753,331 | ||||||
3.50%, 05/20/2043 | 1,109,000 | 1,185,619 | ||||||
3.50%, 03/20/2045 | 1,534,493 | 1,630,840 | ||||||
3.50%, 04/20/2045 | 12,140,992 | 12,902,445 | ||||||
3.50%, 10/20/2045 | 10,039,335 | 10,719,534 | ||||||
3.50%, 04/20/2046 | 21,118,157 | 22,489,020 | ||||||
3.50%, 05/20/2046 | 9,638,242 | 10,242,735 | ||||||
3.50%, 06/20/2046 | 4,079,553 | 4,358,963 | ||||||
3.50%, 07/20/2046(6) | 11,728,664 | 12,530,077 | ||||||
3.50%, 09/20/2046 | 1,304,667 | 1,395,045 | ||||||
3.50%, 12/20/2046 | 8,306,440 | 8,827,558 | ||||||
3.50%, 01/20/2047 | 655,184 | 690,458 | ||||||
3.50%, 02/20/2047 | 7,549,402 | 8,017,674 | ||||||
3.50%, 03/20/2047 | 9,691,026 | 10,294,416 | ||||||
3.50%, 05/20/2047 | 189,293 | 201,080 | ||||||
3.50%, 06/20/2047 | 5,770,850 | 6,080,918 | ||||||
3.50%, 11/20/2047 | 13,605,010 | 14,449,778 | ||||||
3.50%, 12/20/2047 | 2,964,201 | 3,130,383 | ||||||
3.50%, 11/20/2048 | 13,603,051 | 14,363,465 | ||||||
3.50%, 09/20/2049 | 26,244,951 | 27,662,462 | ||||||
3.50%, 11/20/2049 | 6,284,811 | 6,692,763 | ||||||
4.00%, 10/20/2040 | 2,133,072 | 2,325,524 | ||||||
4.00%, 06/20/2042 | 2,703,810 | 2,946,262 | ||||||
4.00%, 10/20/2042 | 5,752,149 | 6,270,201 | ||||||
4.00%, 12/20/2042 | 2,795,911 | 3,047,849 | ||||||
4.00%, 02/20/2043 | 1,223,508 | 1,333,728 | ||||||
4.00%, 10/20/2043 | 4,079,669 | 4,446,886 | ||||||
4.00%, 11/20/2044 | 2,246,674 | 2,448,720 | ||||||
4.00%, 12/20/2044 | 1,588,965 | 1,731,931 | ||||||
4.00%, 03/20/2045 | 411,613 | 448,651 | ||||||
4.00%, 05/20/2045 | 5,261,047 | 5,734,985 | ||||||
4.00%, 06/20/2045 | 1,060,664 | 1,156,081 | ||||||
4.00%, 08/20/2045 | 17,397,340 | 18,959,267 | ||||||
4.00%, 11/20/2045 | 5,186,575 | 5,652,727 | ||||||
4.00%, 01/20/2046 | 1,693,742 | 1,845,888 | ||||||
4.00%, 03/20/2046 | 1,106,198 | 1,205,516 | ||||||
4.00%, 04/20/2046 | 2,917,278 | 3,160,162 | ||||||
4.00%, 05/20/2046 | 4,945,579 | 5,351,686 | ||||||
4.00%, 06/20/2046 | 2,318,572 | 2,503,666 | ||||||
4.00%, 11/20/2046 | 2,142,994 | 2,315,411 | ||||||
4.00%, 02/20/2047 | 3,738,453 | 3,993,492 | ||||||
4.00%, 03/20/2047 | 7,947,939 | 8,529,023 | ||||||
4.00%, 05/20/2047 | 678,435 | 727,086 | ||||||
4.00%, 06/20/2047 | 2,377,568 | 2,558,099 | ||||||
4.00%, 07/20/2047 | 9,773,947 | 10,578,168 | ||||||
4.00%, 09/20/2047 | 6,538,986 | 7,047,312 | ||||||
4.00%, 01/20/2048 | 2,017,919 | 2,173,828 | ||||||
4.00%, 04/20/2048 | 6,372,781 | 6,851,931 | ||||||
4.25%, 12/20/2047 | 1,680,659 | 1,856,014 | ||||||
4.34%, 05/20/2063(4) | 167,084 | 167,777 | ||||||
4.50%, 06/20/2040 | 720,791 | 794,025 | ||||||
4.50%, 01/20/2041 | 584,339 | 643,826 | ||||||
4.50%, 03/20/2041 | 546,463 | 602,056 | ||||||
4.50%, 05/20/2041 | 273,124 | 300,945 | ||||||
4.50%, 06/20/2041 | 1,916,503 | 2,111,520 | ||||||
4.50%, 09/20/2041 | 607,247 | 669,033 | ||||||
4.50%, 09/20/2043 | 1,548,215 | 1,696,230 |
4.50%, 10/20/2043 | 2,949,899 | 3,229,299 | ||||||
4.50%, 12/20/2043 | 1,570,725 | 1,719,744 | ||||||
4.50%, 01/20/2046 | 2,463,218 | 2,688,770 | ||||||
4.50%, 07/20/2046 | 1,296,916 | 1,415,628 | ||||||
4.50%, 09/20/2046 | 2,250,861 | 2,453,177 | ||||||
4.50%, 11/20/2046 | 3,909,594 | 4,276,530 | ||||||
4.50%, 03/20/2047 | 830,949 | 900,452 | ||||||
4.50%, 07/20/2047 | 8,515,426 | 9,204,831 | ||||||
4.50%, 08/20/2047 | 2,265,331 | 2,448,789 | ||||||
4.50%, 09/20/2047 | 11,614,182 | 12,490,124 | ||||||
4.50%, 01/20/2048 | 1,777,860 | 1,896,636 | ||||||
4.50%, 02/20/2048 | 8,408,254 | 9,048,900 | ||||||
4.50%, 03/20/2048 | 942,404 | 1,003,123 | ||||||
4.50%, 04/20/2048 | 875,237 | 937,335 | ||||||
4.50%, 04/20/2048 | 1,988,675 | 2,151,865 | ||||||
4.50%, 04/20/2048 | 2,843,165 | 3,049,676 | ||||||
4.50%, 04/20/2048 | 4,028,335 | 4,416,927 | ||||||
4.50%, 05/20/2048 | 2,426,823 | 2,587,047 | ||||||
4.50%, 05/20/2048 | 5,889,862 | 6,461,506 | ||||||
4.50%, 05/20/2048 | 8,954,333 | 9,611,068 | ||||||
4.50%, 09/20/2048 | 2,233,880 | 2,385,137 | ||||||
4.50%, 11/20/2049 | 10,891,075 | 12,040,383 | ||||||
5.00%, 10/20/2037 | 276,959 | 306,867 | ||||||
5.00%, 07/20/2040 | 182,976 | 202,355 | ||||||
5.00%, 06/20/2044 | 735,363 | 812,962 | ||||||
5.00%, 07/20/2044 | 646,915 | 712,529 | ||||||
5.00%, 08/20/2045 | 867,509 | 947,125 | ||||||
5.00%, 09/20/2046 | 2,062,076 | 2,278,982 | ||||||
5.00%, 10/20/2047 | 417,824 | 449,757 | ||||||
5.00%, 11/20/2047 | 1,923,239 | 2,083,344 | ||||||
5.00%, 06/20/2048 | 3,645,424 | 3,930,390 | ||||||
5.00%, 07/20/2048 | 1,370,043 | 1,496,688 | ||||||
5.00%, 07/20/2048 | 4,989,053 | 5,320,554 | ||||||
5.00%, 07/20/2049 | 1,683,645 | 1,851,879 | ||||||
5.00%, 08/20/2049 | 8,901,105 | 9,713,293 | ||||||
5.50%, 09/20/2039 | 111,106 | 125,485 | ||||||
6.00%, 03/20/2028 | 5,163 | 5,759 | ||||||
6.00%, 11/20/2033 | 4,189 | 4,774 | ||||||
6.00%, 09/20/2038 | 418,759 | 477,451 | ||||||
6.00%, 11/20/2038 | 4,058 | 4,523 | ||||||
6.00%, 08/20/2039 | 207,425 | 234,531 | ||||||
6.50%, 07/20/2029 | 60,890 | 70,547 | ||||||
7.00%, 08/20/2038 | 20,470 | 23,855 | ||||||
7.50%, 02/20/2028 | 1,070 | 1,208 | ||||||
7.50%, 09/20/2028 | 3,279 | 3,743 | ||||||
8.00%, 12/20/2025 | 442 | 488 | ||||||
8.00%, 06/20/2026 | 1,025 | 1,144 | ||||||
8.00%, 08/20/2026 | 796 | 920 | ||||||
8.00%, 09/20/2026 | 934 | 1,087 | ||||||
8.00%, 11/20/2026 | 778 | 896 | ||||||
8.00%, 10/20/2027 | 1,928 | 2,194 | ||||||
8.00%, 11/20/2027 | 1,859 | 2,107 | ||||||
8.00%, 12/20/2027 | 873 | 993 | ||||||
8.00%, 06/20/2028 | 487 | 494 | ||||||
8.00%, 08/20/2028 | 112 | 117 | ||||||
8.00%, 09/20/2028 | 280 | 287 | ||||||
8.50%, 03/20/2025 | 194 | 200 | ||||||
8.50%, 04/20/2025 | 1,095 | 1,207 | ||||||
8.50%, 05/20/2025 | 2,522 | 2,766 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
3.88%, 06/19/2035(4) | 70,623 | 59,250 |
GS Mortgage Securities Corp. II | ||||||||
4.26%, 07/10/2051(4) | 28,521,000 | 30,338,130 | ||||||
GS Mortgage Securities Corp. Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034(3) | 4,200,000 | 4,163,848 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.98%, 11/10/2039(3)(4) | 1,200,464 | 5,075 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | ||||||||
2.77%, 11/10/2045 | 12,926,936 | 13,096,838 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/10/2046(4) | 5,880,000 | 6,121,161 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.03%, 11/10/2046(4) | 16,592,060 | 513,926 | ||||||
GS Mortgage Securities Trust 2013-GCJ12 | ||||||||
3.14%, 06/10/2046 | 1,260,000 | 1,289,524 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
3.80%, 01/10/2047 | 4,458,693 | 4,610,083 | ||||||
4.07%, 01/10/2047 | 4,338,000 | 4,578,173 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/10/2047 | 8,000,000 | 8,313,502 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/10/2048 | 9,000,000 | 9,191,543 | ||||||
GS Mortgage Securities Trust 2016-GS4 | ||||||||
3.18%, 11/10/2049 | 12,000,000 | 12,417,986 | ||||||
3.44%, 11/10/2049(4) | 1,317,000 | 1,382,267 | ||||||
GS Mortgage Securities Trust 2020-GC45 | ||||||||
2.91%, 02/13/2053 | 2,550,000 | 2,624,610 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034(2)(3) | 51,874 | 41,099 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035(2)(3) | 91,357 | 76,329 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035(2)(3) | 590,436 | 466,447 | ||||||
2.83%, 09/25/2035(3)(4) | 435,308 | 59,908 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 19,984 | 20,538 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
1.35% (1 Month LIBOR USD + 0.40%), 09/25/2032(2) | 4,509 | 4,339 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 58,171 | 59,938 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 69,423 | 67,870 | ||||||
6.50%, 05/25/2034 | 45,264 | 45,988 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035(2) | 20,328 | 18,220 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 103,233 | 103,833 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
4.05%, 09/25/2035(4) | 5,709 | 5,185 | ||||||
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 48,841 | 56,603 | ||||||
6.00%, 02/25/2036 | 289,698 | 198,733 | ||||||
Headlands Residential LLC | ||||||||
3.88%, 08/25/2022(1)(3) | 6,170,000 | 5,877,161 | ||||||
3.97%, 06/25/2024(1)(3) | 9,000,000 | 7,795,585 | ||||||
Home Re 2018-1 Ltd. | ||||||||
2.55% (1 Month LIBOR USD + 1.60%), 10/25/2028(2)(3) | 912,317 | 908,841 | ||||||
Home RE 2019-1 Ltd. | ||||||||
2.60% (1 Month LIBOR USD + 1.65%), 05/25/2029(2)(3) | 1,002,956 | 998,001 | ||||||
HomeBanc Mortgage Trust 2005-3 | ||||||||
1.19% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap), 07/25/2035(2) | 273,772 | 267,066 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.87%, 09/25/2034(1) | 8,284 | 8,558 |
Impac CMB Trust Series 2004-7 | ||||||||
1.69% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034(2) | 750,023 | 705,284 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
1.55% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 10.25% Cap), 05/25/2035(2) | 92,588 | 73,759 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 63,456 | 59,652 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 05/25/2036(2) | 221,154 | 178,642 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 08/25/2036(2) | 123,247 | 119,220 | ||||||
Independence Plaza Trust 2018-INDP | ||||||||
3.76%, 07/10/2035(3) | 5,445,000 | 5,264,620 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
3.82%, 03/25/2036(4) | 27,517 | 23,102 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||
1.70% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 09/15/2029(2)(3) | 9,200,000 | 8,550,237 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.13%, 08/12/2037(3)(4) | 1,029,644 | 110 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.04%, 06/12/2043(4) | 1,978,601 | 2,488 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.00%, 02/15/2051(4) | 937,669 | 9 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,287,928 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
4.91%, 07/25/2034(4) | 8,632 | 8,642 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
4.79%, 09/25/2034(4) | 26,432 | 23,227 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 4,197 | 4,216 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
4.30%, 02/25/2035(4) | 72,392 | 63,631 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
4.07%, 07/25/2035(4) | 75,693 | 73,112 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
4.11%, 11/25/2033(4) | 222,315 | 205,894 | ||||||
4.67%, 08/25/2034(4) | 413,120 | 396,188 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
4.12%, 08/25/2034(4) | 56,295 | 48,140 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
3.80%, 01/25/2037(4) | 56,642 | 46,062 | ||||||
3.80%, 01/25/2037(4) | 99,358 | 80,799 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
3.98%, 07/25/2035(4) | 51,690 | 46,949 | ||||||
3.98%, 07/25/2035(4) | 788,489 | 716,844 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
4.02%, 04/25/2037(4) | 207,350 | 169,177 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17 | ||||||||
3.93%, 01/15/2047 | 2,288,937 | 2,405,070 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/15/2047 | 2,010,000 | 2,033,024 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/15/2047 | 8,240,000 | 8,595,006 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
2.77%, 10/15/2048 | 1,144,415 | 1,142,864 | ||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | ||||||||
3.46%, 03/15/2050 | 12,460,000 | 13,222,966 | ||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP7 | ||||||||
3.19%, 09/15/2050 | 20,000,000 | 20,889,472 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036(3) | 1,027,000 | 1,000,564 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.14%, 02/15/2040(4) | 307,700 | 31 |
LCCM 2017-LC26 | ||||||||
3.29%, 07/12/2050(3) | 20,300,000 | 20,800,927 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2.88%, 10/25/2059(1)(3) | 5,834,683 | 5,802,222 | ||||||
Legacy Mortgage Asset Trust 2019-GS6 | ||||||||
3.00%, 06/25/2059(1)(3) | 951,199 | 838,252 | ||||||
Legacy Mortgage Asset Trust 2019-PR1 | ||||||||
3.86%, 09/25/2059(1)(3) | 9,195,076 | 9,081,728 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
5.83%, 04/25/2036(4) | 51,635 | 42,166 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 30,126 | 25,501 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 298,970 | 178,588 | ||||||
LHOME Mortgage Trust 2019-RTL3 | ||||||||
3.87%, 07/25/2024(3) | 9,210,000 | 8,357,825 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap), 11/25/2035(2) | 1,328,818 | 1,117,139 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
4.56%, 04/21/2034(4) | 105,393 | 98,027 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
4.19%, 12/25/2034(4) | 27,004 | 22,512 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
3.44%, 04/25/2034(4) | 25,107 | 19,811 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 25,531 | 26,234 | ||||||
6.00%, 01/25/2034 | 19,198 | 19,709 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2020 | 1,055 | 1,030 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2025 | 25,787 | 26,106 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 176,892 | 182,328 | ||||||
6.25%, 04/25/2034 | 38,751 | 39,794 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 | 24,546 | 20,007 | ||||||
6.00%, 07/25/2034 | 16,703 | 17,376 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 | 18,233 | 14,506 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2020 | 322 | 320 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 14,907 | 14,008 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 | 3,039 | 2,604 | ||||||
5.00%, 12/25/2033 | 9,976 | 9,356 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 | 2,092 | 1,632 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
5.25%, 12/26/2033 | 49,922 | 49,689 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2020 | 37 | 37 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2020 | 170 | 110 | ||||||
4.75%, 08/25/2020 | 163 | | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035(2)(3) | 819,765 | 366,224 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.36%, 05/25/2036(3)(4) | 97,637 | 84,824 | ||||||
MASTR Resecuritization Trust 2005-PO | ||||||||
0.00%, 05/28/2035(3) | 20,580 | 14,982 |
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
2.88%, 06/25/2037(4) | 66,060 | 54,395 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
3.95%, 08/25/2033(4) | 34,742 | 31,053 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
1.57% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.75% Cap), 10/25/2028(2) | 70,953 | 65,118 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
1.59% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.75% Cap), 10/25/2028(2) | 89,812 | 81,747 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
3.64%, 12/25/2034(4) | 65,619 | 59,785 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
1.41% (1 Month LIBOR USD + 0.46%, 0.23% Floor, 11.75% Cap), 04/25/2029(2) | 27,312 | 23,986 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
2.52% (6 Month LIBOR USD + 0.60%, 0.30% Floor, 11.75% Cap), 07/25/2029(2) | 52,411 | 46,634 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
4.32%, 08/25/2034(4) | 59,733 | 56,218 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
3.73%, 02/25/2035(4) | 105,823 | 92,326 | ||||||
Metlife Securitization Trust 2018-1 | ||||||||
3.75%, 03/25/2057(3)(4) | 1,874,710 | 1,890,303 | ||||||
Mill City Mortgage Loan Trust 2019-1 | ||||||||
3.25%, 10/25/2069(3)(4) | 3,161,499 | 3,189,126 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.38%, 12/12/2049(3)(4) | 572,447 | 6 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 7,561,118 | 7,568,372 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
3.67%, 02/15/2047 | 1,860,212 | 1,867,739 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||
3.25%, 02/15/2048 | 3,652,000 | 3,720,875 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||
3.45%, 07/15/2050 | 18,100,000 | 18,937,073 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.48%, 05/15/2048 | 5,000,000 | 5,242,020 | ||||||
3.73%, 05/15/2048 | 6,507,000 | 6,905,978 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.59%, 12/15/2043(3)(4) | 257,292 | 3 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.22%, 02/12/2044(3)(4) | 217,645 | 30 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.00%, 12/15/2044(3)(4) | 171,660 | 2 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.41%, 03/15/2044(3)(4) | 464,667 | 1,324 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 184,313 | 184,426 | ||||||
Morgan Stanley Capital I Trust 2014-CPT | ||||||||
3.35%, 07/13/2029(3) | 4,241,000 | 4,177,079 | ||||||
Morgan Stanley Capital I Trust 2016-UB11 | ||||||||
2.53%, 08/15/2049 | 20,000,000 | 19,617,934 | ||||||
Morgan Stanley Capital I Trust 2018-H4 | ||||||||
4.31%, 12/15/2051 | 2,552,000 | 2,902,525 | ||||||
Morgan Stanley Capital I Trust 2019-H7 | ||||||||
3.01%, 07/15/2052 | 1,372,854 | 1,424,948 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.62%, 04/25/2034(4) | 166,519 | 169,548 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
3.07%, 10/25/2020(4) | 13,684 | 12,495 | ||||||
Mortgage Insurance-Linked Notes Series 2020-1 | ||||||||
1.90% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 02/25/2030(2)(3) | 1,100,000 | 1,054,606 | ||||||
MortgageIT Trust 2005-2 | ||||||||
1.47% (1 Month LIBOR USD + 0.52%, 0.26% Floor, 11.50% Cap), 05/25/2035(2) | 570,495 | 539,945 | ||||||
MRA Issuance Trust 2020-1 | ||||||||
2.98% (1 Month LIBOR USD + 1.40%), 12/08/2020(2)(3) | 33,900,000 | 33,792,408 |
MRCD 2019-MARK Mortgage Trust | ||||||||
2.72%, 12/15/2036(3) | 6,108,000 | 5,693,115 | ||||||
2.72%, 12/15/2036(3) | 9,990,000 | 9,753,965 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
1.18% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030(2) | 193,418 | 178,877 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
1.14% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030(2) | 43,648 | 40,025 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034(3)(4) | 52,617 | 48,329 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
1.58% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 8.00% Cap), 12/08/2020(2) | 1,066,936 | 1,064,648 | ||||||
2.40%, 12/08/2020 | 29,850 | 29,931 | ||||||
New Residential Mortgage Loan Trust 2017-2 | ||||||||
4.00%, 03/25/2057(3)(4) | 3,227,090 | 3,351,234 | ||||||
New Residential Mortgage Loan Trust 2017-3 | ||||||||
4.00%, 04/25/2057(3)(4) | 5,352,692 | 5,543,059 | ||||||
New Residential Mortgage Loan Trust 2017-4 | ||||||||
4.00%, 05/25/2057(3)(4) | 3,569,819 | 3,701,476 | ||||||
New Residential Mortgage Loan Trust 2018-RPL1 | ||||||||
3.50%, 12/25/2057(3)(4) | 20,603,964 | 20,589,302 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A1 | ||||||||
5.50%, 05/25/2033 | 8,938 | 8,459 | ||||||
6.00%, 05/25/2033 | 19,651 | 19,077 | ||||||
7.00%, 04/25/2033 | 7,954 | 8,319 | ||||||
Oaktown Re II Ltd. | ||||||||
2.50% (1 Month LIBOR USD + 1.55%), 07/25/2028(2)(3) | 1,095,597 | 1,089,838 | ||||||
Oaktown Re III Ltd. | ||||||||
2.35% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/25/2029(2)(3) | 1,461,209 | 1,454,355 | ||||||
Park Avenue Funding Trust 2019-4 | ||||||||
2.46% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 05/27/2021(2)(3) | 29,257,023 | 29,055,559 | ||||||
Park Avenue Funding Trust 2020-1 | ||||||||
2.46% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 08/27/2021(2)(3)(13) | 6,295,122 | 6,295,122 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 64,501 | 65,546 | ||||||
Radnor Re 2018-1 Ltd. | ||||||||
2.35% (1 Month LIBOR USD + 1.40%), 03/25/2028(2)(3) | 1,172,789 | 1,170,175 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
14.64% (1 Month LIBOR USD + 16.62%), 10/25/2049(2)(7) | 118 | 73 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2020 | 1,087 | 1,060 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
6.60% (1 Month LIBOR USD + 7.55%), 05/25/2049(2)(7) | 1,019 | 0 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2023 | 956 | 922 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
5.24%, 05/25/2035(4) | 102,585 | 66,044 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 14,895 | 12,774 | ||||||
RBS Commercial Funding, Inc. 2013-SMV Trust | ||||||||
3.26%, 03/11/2031(3) | 512,000 | 503,585 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036(3)(4) | 139,734 | 140,758 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.34%, 11/25/2033(3)(4) | 131,194 | 130,648 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035(3) | 6,082 | 4,315 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2021 | 1,399 | 1,406 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 1,791,702 | 1,706,202 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.10% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035(2)(7) | 652,654 | 60,557 |
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 54,796 | 50,236 | ||||||
RFMSI Series 2005-SA4 Trust | ||||||||
4.02%, 09/25/2035(4) | 33,171 | 27,657 | ||||||
Seasoned Credit Risk Transfer Trust 2017-4 | ||||||||
3.50%, 06/25/2057 | 4,399,460 | 4,699,499 | ||||||
Seasoned Credit Risk Transfer Trust Series 2018-4 | ||||||||
3.50%, 03/25/2058 | 8,406,059 | 9,342,726 | ||||||
Seasoned Credit Risk Transfer Trust Series 2019-1 | ||||||||
3.50%, 07/25/2058 | 10,887,910 | 11,668,667 | ||||||
Seasoned Credit Risk Transfer Trust Series 2019-3 | ||||||||
3.50%, 10/25/2058 | 3,880,000 | 4,278,500 | ||||||
Seasoned Credit Risk Transfer Trust Series 2019-4 | ||||||||
4.00%, 02/25/2059 | 8,219,404 | 8,892,752 | ||||||
Seasoned Credit Risk Transfer Trust Series 2020-1 | ||||||||
3.00%, 08/25/2059 | 9,500,000 | 9,958,301 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
1.39% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.50% Cap), 11/20/2034(2) | 37,843 | 32,050 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
1.37% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 12/20/2034(2) | 110,836 | 96,613 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
2.22% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035(2) | 94,952 | 78,986 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
1.47% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 11.50% Cap), 09/20/2034(2) | 704,904 | 633,404 | ||||||
2.45% (6 Month LIBOR USD + 0.74%, 0.37% Floor, 11.50% Cap), 09/20/2034(2) | 101,715 | 91,312 | ||||||
Series RR 2014-1 Trust | ||||||||
0.00%, 05/25/2047(3) | 1,603,000 | 1,423,962 | ||||||
Station Place Securitization Trust Series 2019-WL1 | ||||||||
1.60% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 08/25/2052(2)(3) | 4,683,333 | 4,663,853 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
1.41% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.00% Cap), 10/19/2034(2) | 107,048 | 95,919 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
1.00% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 11.00% Cap), 07/19/2035(2) | 386,571 | 341,132 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032(2) | 232,724 | 219,844 | ||||||
Structured Asset Securities Corp. | ||||||||
1.30% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035(2)(3) | 67,677 | 54,688 | ||||||
4.05%, 12/25/2033(4) | 1,113,457 | 977,105 | ||||||
4.08%, 12/25/2033(4) | 116,941 | 100,486 | ||||||
5.15%, 02/25/2034(1) | 175,940 | 181,232 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2003-34A | ||||||||
3.83%, 11/25/2033(4) | 26,878 | 24,600 | ||||||
Tharaldson Hotel Portfolio Trust 2018-THPT | ||||||||
1.76% (1 Month LIBOR USD + 0.75%, 0.85% Floor), 11/11/2034(2)(3) | 1,117,101 | 1,055,520 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
1.59% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.50% Cap), 09/25/2043(2) | 454,635 | 411,030 | ||||||
Thornburg Mortgage Securities Trust 2003-5 | ||||||||
3.90%, 10/25/2043(4) | 2,382,324 | 2,125,388 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
3.51%, 12/25/2044(4) | 242,293 | 220,914 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
3.71%, 04/25/2045(4) | 626,032 | 546,909 | ||||||
Toorak Mortgage Corp. 2019-2 Ltd. | ||||||||
3.72%, 09/25/2022(1) | 6,665,000 | 5,953,090 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.07%, 05/10/2045(3)(4) | 1,463,939 | 44,799 | ||||||
UBS Commercial Mortgage Trust 2017-C2 | ||||||||
3.26%, 08/15/2050 | 10,114,000 | 10,531,381 | ||||||
UBS Commercial Mortgage Trust 2017-C5 | ||||||||
3.21%, 11/15/2050 | 21,500,000 | 22,564,820 | ||||||
UBS Commercial Mortgage Trust 2018-C9 | ||||||||
3.85%, 03/15/2051 | 9,650,000 | 10,560,524 |
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030(3) | 1,787,000 | 1,821,844 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.30%, 05/10/2063(3)(4) | 5,202,281 | 124,852 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,082,341 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 275,617 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 129,139 | 138,103 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.26%, 02/15/2024(4) | 42,741 | 45,585 | ||||||
6.50%, 02/15/2024 | 118,026 | 127,467 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 80,614 | 92,157 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 36,231 | 41,228 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 122,408 | 140,712 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 81,501 | 91,840 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030(3) | 2,283,000 | 2,271,774 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029(3) | 2,500,000 | 2,494,538 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.00%, 03/15/2045(3)(4) | 364,155 | 4 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
4.11%, 10/25/2033(4) | 193,053 | 169,172 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
4.43%, 08/25/2033(4) | 54,289 | 49,336 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
4.31%, 09/25/2033(4) | 347,680 | 306,727 | ||||||
4.39%, 09/25/2033(4) | 56,063 | 48,299 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 68,089 | 69,473 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
14.86% (1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033(2)(7) | 20,513 | 25,949 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 | 3,079 | 2,607 | ||||||
5.25%, 10/25/2033 | 242,376 | 246,228 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust | ||||||||
3.87%, 01/25/2035(4) | 1,856,106 | 1,720,706 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
4.37%, 06/25/2034(4) | 105,865 | 94,840 | ||||||
4.37%, 06/25/2034(4) | 1,878,743 | 1,686,918 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
6.00%, 08/25/2034 | 643,575 | 652,688 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
6.50%, 10/25/2034 | 1,948,945 | 1,928,289 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 41,271 | 42,030 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 263,262 | 268,706 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 37,719 | 36,583 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
3.81%, 09/25/2036(4) | 6,464 | 5,454 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
3.89%, 08/25/2046(4) | 49,120 | 43,362 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 | 10,107 | 7,568 | ||||||
5.50%, 03/25/2035 | 82,598 | 77,075 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.05% (1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035(2)(7) | 218,380 | 34,751 | ||||||
4.10% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035(2)(7) | 622,366 | 87,358 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 221,449 | 39,097 | ||||||
5.50%, 06/25/2035 | 222,109 | 183,617 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 36,846 | 33,581 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 17,005 | 14,509 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 | 100 | 84 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 | 4,575 | 3,737 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 18,198 | 15,626 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||||||||
2.82%, 08/15/2050 | 64,430 | 64,346 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
2.99%, 02/15/2048 | 9,140,346 | 9,287,916 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 | ||||||||
3.37%, 06/15/2048 | 10,000,000 | 10,255,013 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 729,000 | 758,395 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C31 | ||||||||
3.70%, 11/15/2048 | 3,280,000 | 3,420,743 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.50%, 07/15/2058 | 15,000,000 | 15,468,216 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 | ||||||||
3.81%, 12/15/2048 | 7,272,631 | 7,631,957 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 | ||||||||
3.10%, 06/15/2049 | 3,698,000 | 3,815,167 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS6 | ||||||||
2.64%, 11/15/2049 | 20,000,000 | 19,783,154 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-C38 | ||||||||
3.19%, 07/15/2050 | 13,800,000 | 14,180,151 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RC1 | ||||||||
3.63%, 01/15/2060 | 10,000,000 | 10,599,367 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C49 | ||||||||
3.76%, 03/15/2052 | 1,085,000 | 1,150,864 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C54 | ||||||||
3.15%, 12/15/2052 | 3,079,000 | 3,203,362 | ||||||
Wells Fargo Commercial Mortgage Trust 2020-C55 | ||||||||
2.73%, 02/15/2053 | 3,380,000 | 3,381,275 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 15,750 | 14,179 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044(3) | 1,021,164 | 1,032,672 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
3.44%, 04/15/2045 | 9,333,801 | 9,401,542 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.26%, 03/15/2045(3)(4) | 300,000 | 262,906 | ||||||
WFRBS Commercial Mortgage Trust 2013-C14 | ||||||||
3.34%, 06/15/2046 | 229,750 | 233,423 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/15/2047 | 7,000,000 | 7,360,324 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/15/2057 | 3,214,954 | 3,306,635 | ||||||
WFRBS Commercial Mortgage Trust 2014-C25 | ||||||||
3.63%, 11/15/2047 | 3,846,000 | 3,980,865 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,531,276 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost: $5,235,786,992) | 5,471,925,564 | |||||||
|
| |||||||
Total Bonds & Notes (Cost: $12,928,338,740) | 13,437,574,212 | |||||||
|
|
Shares | Value | |||||||
PREFERRED STOCKS 0.02% | ||||||||
Financials 0.02% | ||||||||
State Street Corp., 5.35%(2) | 95,000 | 2,332,250 | ||||||
|
| |||||||
Total Financials | 2,332,250 | |||||||
|
| |||||||
Total Preferred Stocks (Cost: $2,375,000) | 2,332,250 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS 3.29% | ||||||||
Money Market Funds 3.10% | ||||||||
Fidelity Institutional Money Market Government Fund - Class I, 0.34%(11)(12) | 423,312,033 | 423,312,033 | ||||||
|
| |||||||
Total Money Market Funds (Cost: $423,312,033) | 423,312,033 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
U.S. Treasury Bills 0.01% | ||||||||
U.S. Treasury Bill, 0.00%, 01/28/2021 | $ | 2,000,000 | 1,997,920 | |||||
|
| |||||||
Total U.S. Treasury Bills (Cost: $1,976,008) | 1,997,920 | |||||||
|
| |||||||
Time Deposits 0.18% | ||||||||
ANZ, London, 0.15% due 04/01/2020 | 14,290,120 | 14,290,120 | ||||||
ING Bank, Amsterdam, 0.15% due 04/01/2020 | 10,239,091 | 10,239,091 | ||||||
|
| |||||||
Total Time Deposits (Cost: $24,529,211) | 24,529,211 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $449,817,252) | 449,839,164 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES 101.59% | 13,889,745,626 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (1.59)% | (217,166,815 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS 100.00% | $ | 13,672,578,811 | ||||||
|
|
Percentages are stated as a percent of net assets.
(1) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of March 31, 2020. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of March 31, 2020. |
(3) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,653,466,674, which represents 19.41% of total net assets. |
(4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of March 31, 2020. |
(5) | Security in default as of March 31, 2020. The value of these securities total $206,745, which represents 0.00% of total net assets. |
(6) | Assigned as collateral for certain future and swap contracts. The value of these pledged issues totals $26,928,000, which represents 0.20% of total net assets. |
(7) | 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. |
(8) | Security that is restricted at March 31, 2020. The value of the restricted security totals $261,848, which represents $0.00 of total net assets. |
(9) | Inflation protected security. The value of these securities total $6,088,761, which represents 0.04% of total net assets. |
(10) | Delayed delivery purchase commitment security. The value of these securities total $140,346,745, which represents 1.03% of total net assets. |
(11) | Represents annualized seven-day yield as of the close of the reporting period. |
(12) | Partially assigned as collateral for certain delayed delivery securities. |
(13) | Security that is categorized as Level 3 per the Trusts fair value hierarchy. These securities represent $93,414,359 or 0.68% of the Funds net assets. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
Number of Contracts Purchased | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
452 | U.S. 2 Year Note Future | J.P. Morgan | Jun. 2020 | $ | 99,600,432 | $ | 99,613,031 | $ | 12,599 | |||||||||||||
3,278 | U.S. 5 Year Note Future | J.P. Morgan | Jun. 2020 | 403,424,002 | 410,928,032 | 7,504,030 | ||||||||||||||||
2 | U.S. 10 Year Ultra Future | J.P. Morgan | Jun. 2020 | 293,181 | 312,063 | 18,882 | ||||||||||||||||
1,000 | U.S. Ultra Bond Future | J.P. Morgan | Jun. 2020 | 205,074,211 | 221,875,000 | 16,800,789 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 24,336,300 | |||||||||||||||||||||
|
| |||||||||||||||||||||
Number of Contracts Sold | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
(959) | U.S. 10 Year Note Future | J.P. Morgan | Jun. 2020 | $ | (132,070,798 | ) | $ | (133,001,312 | ) | $ | (930,514 | ) | ||||||||||
(24) | U.S. Long Bond Future | J.P. Morgan | Jun. 2020 | (4,284,552 | ) | (4,297,500 | ) | (12,948 | ) | |||||||||||||
|
| |||||||||||||||||||||
$ | (943,462 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
$ | 23,392,838 | |||||||||||||||||||||
|
|
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 | ||||||||||||||||||
1.25% | U.S. Federal Funds Effective Rate Index | Received | Annually | 11/15/2045 | $ | 518,000 | $ | (114 | ) | $ | (77,321 | ) | $ | (77,435 | ) | |||||||||||
1.38% | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 14,385,000 | (1,884 | ) | 205,478 | 203,594 | |||||||||||||||||
1.48% | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 7,490,000 | 6,362 | 110,615 | 116,977 | ||||||||||||||||||
1.60% | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 5,370,000 | 22,137 | 71,707 | 93,844 | ||||||||||||||||||
1.61% | U.S. Federal Funds Effective Rate Index | Received | Annually | 8/15/2029 | 281,000 | 286 | (31,064 | ) | (30,778 | ) | ||||||||||||||||
2.49% | U.S. Federal Funds Effective Rate Index | Received | Annually | 10/31/2025 | 250,315,000 | (1,070,883 | ) | (31,494,755 | ) | (32,565,638 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (1,044,096 | ) | $ | (31,215,340 | ) | $ | (32,259,436 | ) | ||||||||||||||||||
|
|
|
|
|
|
1. 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 Trusts 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 Advisers 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 Funds 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 Funds own assumptions). |
c) Valuation Techniques Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that days 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 services internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
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 days net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Bridge Builder Core Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | | $ | 1,554,335,431 | $ | 54,736,990 | $ | 1,609,072,421 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 128,709,190 | | 128,709,190 | ||||||||||||
Communications | | 315,917,826 | | 315,917,826 | ||||||||||||
Consumer, Cyclical | | 221,554,825 | | 221,554,825 | ||||||||||||
Consumer, Non-cyclical | | 602,442,078 | | 602,442,078 | ||||||||||||
Diversified | | 3,853,855 | | 3,853,855 | ||||||||||||
Energy | | 380,155,645 | | 380,155,645 | ||||||||||||
Financials | | 1,621,632,580 | | 1,621,632,580 | ||||||||||||
Industrials | | 231,963,077 | | 231,963,077 | ||||||||||||
Technology | | 151,016,016 | | 151,016,016 | ||||||||||||
Utilities | | 496,838,353 | | 496,838,353 | ||||||||||||
Government Related | ||||||||||||||||
Other Government Related | | 292,695,347 | | 292,695,347 | ||||||||||||
U.S. Treasury | | 1,909,797,435 | | 1,909,797,435 | ||||||||||||
Mortgage-Backed Obligations | | 5,433,248,195 | 38,677,369 | 5,471,925,564 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Financials | 2,332,250 | | | 2,332,250 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 423,312,033 | | | 423,312,033 | ||||||||||||
U.S. Treasury Bills | | 1,997,920 | | 1,997,920 | ||||||||||||
Time Deposits | | 24,529,211 | | 24,529,211 | ||||||||||||
Futures Contracts (1) | 24,336,300 | | | 24,336,300 | ||||||||||||
Swap Contracts (1) | | 414,415 | | 414,415 | ||||||||||||
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Total Assets | $ | 449,980,583 | $ | 13,371,101,399 | $ | 93,414,359 | $ | 13,914,496,341 | ||||||||
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Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | (943,462 | ) | $ | | $ | | $ | (943,462 | ) | ||||||
Swap Contracts (1) | | (32,673,851 | ) | | (32,673,851 | ) | ||||||||||
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Total Liabilities | $ | (943,462 | ) | $ | (32,673,851 | ) | $ | | $ | (33,617,313 | ) | |||||
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(1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current days variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).
Significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default and loss severity in the event of default. Significant increases/(decreases) in any of those inputs in isolation could result in a significantly higher/lower fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.
Additionally, third-party pricing vendors and broker-dealers could use market activity related to comparable securities to supplement the inputs noted above. Usually, an increase/(decrease) in the price of a comparable bond would result in a higher/lower fair value measurement.
The following table presents information about unobservable inputs related to the Funds categories of Level 3 investments as of March 31, 2020:
Quantitative Information about Level 3 Fair Value Measurements*
Investment Type | Fair Value at 3/31/20 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||||
Asset-Backed Obligations | $ | 5,700,000 | Cost Basis | Purchase Price | $ | 100.00 | $ | 100.00 | ||||||||
Mortgage-Backed Obligations | $ | 6,421,461 | Cost Basis | Purchase Price | $ | 99.90 | $ | 99.90 |
* | The table above does not include Level 3 securities that are valued by brokers. At March 31, 2020, the value of these securities was $81,292,898 for the Core Bond Fund. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 1. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |