Bridge Builder Core Plus Bond Fund
Schedule of Investments
March 31, 2020 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES – 96.19% | ||||||||
Asset-Backed Obligations – 11.97% | ||||||||
ABFC 2005-WMC1 Trust | ||||||||
1.68% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 06/25/2035(1) | $ | 7,005,761 | $ | 6,228,013 | ||||
ABFC 2007-NC1 Trust | ||||||||
1.25% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037(1)(2) | 6,719,477 | 5,842,119 | ||||||
Accredited Mortgage Loan Trust 2003-2 | ||||||||
1.65% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 13.00% Cap), 10/25/2033(1) | 1,432,066 | 1,363,759 | ||||||
Accredited Mortgage Loan Trust 2006-2 | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 09/25/2036(1) | 567,253 | 521,608 | ||||||
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE3 | ||||||||
1.88% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 11/25/2034(1) | 3,040,300 | 2,797,928 | ||||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3 | ||||||||
1.65% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 05/25/2035(1) | 7,185,000 | 6,772,591 | ||||||
Adams Outdoor Advertising LP | ||||||||
5.65%, 11/15/2048(2) | 1,475,000 | 1,422,244 | ||||||
Aegis Asset Backed Securities Trust 2005-5 | ||||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 12/25/2035(1) | 2,225,794 | 2,185,966 | ||||||
Ajax Mortgage Loan Trust 2019-F | ||||||||
2.86%, 07/25/2059(2)(3) | 27,237,064 | 26,637,953 | ||||||
Ally Auto Receivables Trust 2018-2 | ||||||||
2.92%, 11/15/2022 | 4,497,952 | 4,520,383 | ||||||
Ally Auto Receivables Trust 2019-2 | ||||||||
2.23%, 01/16/2024 | 10,000,000 | 9,959,382 | ||||||
Ally Auto Receivables Trust 2019-4 | ||||||||
1.84%, 06/17/2024 | 6,540,000 | 6,564,537 | ||||||
ALME Loan Funding II DAC | ||||||||
0.75% (3 Month EURIBOR + 0.75%), 01/15/2031(1)(2) | EUR | 23,900,000 | 24,850,765 | |||||
Ambac LSNI LLC | ||||||||
6.45% (3 Month LIBOR USD + 5.00%), 02/12/2023(1)(2) | $ | 4,512,047 | 4,286,444 | |||||
American Credit Acceptance Receivables Trust 2019-3 | ||||||||
2.89%, 09/12/2025(2) | 3,810,000 | 3,581,826 | ||||||
American Express Credit Account Master Trust | ||||||||
1.77%, 11/15/2022 | 8,415,000 | 8,411,454 | ||||||
2.04%, 05/15/2023 | 100,000 | 100,130 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
6.23%, 10/17/2036(2) | 515,000 | 488,328 |
American Homes 4 Rent 2015-SFR1 | ||||||||
5.64%, 04/17/2052(2) | 6,400,000 | 5,859,523 | ||||||
5.89%, 04/17/2052(2) | 2,378,000 | 1,904,920 | ||||||
AmeriCredit Automobile Receivables 2016-1 | ||||||||
3.59%, 02/08/2022 | 916,000 | 915,552 | ||||||
AmeriCredit Automobile Receivables Trust 2016-2 | ||||||||
3.65%, 05/09/2022 | 605,000 | 606,366 | ||||||
AmeriCredit Automobile Receivables Trust 2016-3 | ||||||||
2.24%, 04/08/2022 | 1,816,081 | 1,798,898 | ||||||
Americredit Automobile Receivables Trust 2016-4 | ||||||||
2.74%, 12/08/2022 | 1,795,000 | 1,769,038 | ||||||
Americredit Automobile Receivables Trust 2018-2 | ||||||||
3.59%, 06/18/2024 | 5,970,000 | 6,080,355 | ||||||
4.01%, 07/18/2024 | 2,940,000 | 2,384,743 | ||||||
Americredit Automobile Receivables Trust 2018-3 | ||||||||
4.04%, 11/18/2024 | 4,310,000 | 4,348,968 | ||||||
AmeriCredit Automobile Receivables Trust 2019-3 | ||||||||
2.58%, 09/18/2025 | 1,330,000 | 1,252,730 | ||||||
AmeriCredit Automobile Receivables Trust 2020-1 | ||||||||
1.59%, 10/20/2025 | 5,410,000 | 5,048,159 | ||||||
1.80%, 12/18/2025 | 5,410,000 | 5,036,013 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2004-R8 | ||||||||
1.91% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 09/25/2034(1) | 41,950 | 41,900 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2005-R5 | ||||||||
1.68% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 07/25/2035(1) | 3,991,650 | 3,875,535 | ||||||
Ammc Clo 19 Ltd. | ||||||||
2.97% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 10/16/2028(1)(2) | 7,275,000 | 6,997,939 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
4.19%, 06/07/2049(2) | 6,740,000 | 6,130,030 | ||||||
Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. | ||||||||
1.85% (1 Month LIBOR USD + 1.15%), 05/15/2037(1)(2) | 5,000,000 | 4,441,662 | ||||||
Arbour CLO IV DAC | ||||||||
0.87% (3 Month EURIBOR + 0.87%), 01/15/2030(1)(2) | EUR | 2,400,000 | 2,530,099 | |||||
Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
1.12% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036(1) | $ | 1,598,085 | 1,568,814 | |||||
Atrium XII | ||||||||
2.63% (3 Month LIBOR USD + 0.83%), 04/22/2027(1)(2) | 2,895,000 | 2,828,841 | ||||||
Aurium CLO CLO III DAC | ||||||||
0.67% (3 Month EURIBOR + 0.67%), 04/16/2030(1)(2) | EUR | 900,000 | 945,080 | |||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.33%, 08/20/2026(2) | $ | 2,585,000 | 2,275,790 | |||||
2.72%, 11/20/2022(2) | 1,545,000 | 1,513,908 | ||||||
2.97%, 03/20/2024(2) | 19,773,000 | 18,535,873 |
Ayresome CDO I Ltd. | ||||||||
1.27% (3 Month LIBOR USD + 0.27%), 12/08/2045(1)(2) | 584,691 | 571,535 | ||||||
Barings BDC Static CLO Ltd. 2019-1 | ||||||||
2.85% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/15/2027(1)(2) | 9,831,794 | 9,625,572 | ||||||
Barings CLO Ltd. 2013-I | ||||||||
2.62% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028(1)(2) | 5,130,000 | 5,023,840 | ||||||
Barings CLO Ltd. 2016-II | ||||||||
2.90% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 07/20/2028(1)(2) | 3,710,000 | 3,599,331 | ||||||
Bayview Koitere Fund Trust 2019-RN3 | ||||||||
3.97%, 07/28/2033(2)(3) | 290,268 | 257,343 | ||||||
Bayview Opportunity Master Fund IVa Trust 2017-RT1 | ||||||||
3.00%, 03/28/2057(2)(4) | 143,041 | 140,725 | ||||||
Bayview Opportunity Master Fund IVa Trust 2019-RN2 | ||||||||
3.97%, 03/28/2034(2)(3) | 228,834 | 227,710 | ||||||
Bayview Opportunity Master Fund IVb Trust 2017-RT2 | ||||||||
3.50%, 08/28/2057(2)(4) | 918,842 | 914,997 | ||||||
Bayview Opportunity Master Fund IVb Trust 2019-RN4 | ||||||||
3.28%, 10/28/2034(2)(3) | 1,521,546 | 1,325,547 | ||||||
BCMSC Trust 1999-B | ||||||||
6.61%, 12/15/2029(4) | 3,594,315 | 926,666 | ||||||
Bear Stearns Asset Backed Securities I Trust 2005-EC1 | ||||||||
1.73% (1 Month LIBOR USD + 0.78%), 11/25/2035(1) | 12,157,000 | 11,857,483 | ||||||
Bear Stearns Asset Backed Securities I Trust 2007-HE2 | ||||||||
1.11% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037(1) | 16,555,718 | 16,080,776 | ||||||
Benefit Street Partners CLO IV Ltd. | ||||||||
3.57% (3 Month LIBOR USD + 1.75%, 1.75% Floor), 01/20/2029(1)(2) | 4,280,000 | 3,951,347 | ||||||
Betony CLO 2 Ltd. | ||||||||
2.85% (3 Month LIBOR USD + 1.08%), 04/30/2031(1)(2) | 1,000,000 | 931,710 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 | ||||||||
4.21%, 12/16/2041(2)(3) | 1,195,104 | 874,462 | ||||||
BlueMountain CLO 2013-1 Ltd. | ||||||||
3.05% (3 Month LIBOR USD + 1.23%, 1.23% Floor), 01/20/2029(1)(2) | 3,520,000 | 3,437,266 | ||||||
BlueMountain CLO 2015-2 Ltd. | ||||||||
2.75% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/18/2027(1)(2) | 3,395,000 | 3,273,836 | ||||||
3.32% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/18/2027(1)(2) | 1,915,000 | 1,752,215 | ||||||
BMW Canada Auto Trust | ||||||||
2.15%, 10/20/2021(2) | CAD | 1,203,169 | 851,710 | |||||
BRE Grand Islander Timeshare Issuer 2019-A LLC | ||||||||
3.28%, 09/26/2033(2) | $ | 2,761,547 | 2,726,863 | |||||
California Republic Auto Receivables Trust 2017-1 | ||||||||
3.76%, 12/15/2023 | 1,300,000 | 1,305,371 | ||||||
California Republic Auto Receivables Trust 2018-1 | ||||||||
4.33%, 04/15/2025 | 2,050,000 | 2,093,213 |
Capital One Multi-Asset Execution Trust | ||||||||
1.99%, 07/17/2023 | 3,135,000 | 3,136,880 | ||||||
2.43%, 01/15/2025 | 8,440,000 | 8,518,312 | ||||||
Capitalsource Real Estate Loan Trust | ||||||||
2.24% (3 Month LIBOR USD + 0.39%), 01/20/2037(1)(2) | 267,100 | 264,488 | ||||||
2.50% (3 Month LIBOR USD + 0.65%), 01/20/2037(1)(2) | 3,400,000 | 3,070,108 | ||||||
2.60% (3 Month LIBOR USD + 0.75%), 01/20/2037(1)(2) | 1,200,000 | 1,052,426 | ||||||
2.70% (3 Month LIBOR USD + 0.85%), 01/20/2037(1)(2) | 700,000 | 546,000 | ||||||
Carlyle Global Market Strategies CLO 2015-3 Ltd. | ||||||||
2.80% (3 Month LIBOR USD + 1.00%), 07/28/2028(1)(2) | 11,615,000 | 11,196,384 | ||||||
Carlyle Global Market Strategies Euro CLO 2016-2 DAC | ||||||||
0.87% (3 Month EURIBOR + 0.87%), 01/18/2030(1)(2) | EUR | 3,900,000 | 4,101,406 | |||||
Carmax Auto Owner Trust 2019-2 | ||||||||
3.41%, 10/15/2025 | $ | 2,055,000 | 2,058,533 | |||||
Carmax Auto Owner Trust 2019-3 | ||||||||
2.85%, 01/15/2026 | 1,120,000 | 1,113,086 | ||||||
Carmax Auto Owner Trust 2020-1 | ||||||||
2.64%, 07/15/2026 | 2,380,000 | 2,364,882 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
3.97%, 07/15/2042 | 845,033 | 640,277 | ||||||
Castlelake Aircraft Securitization Trust 2018-1 | ||||||||
4.13%, 06/15/2043(2) | 5,984,534 | 4,348,771 | ||||||
CBAM 2019-9 Ltd. | ||||||||
3.11% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 02/12/2030(1)(2) | 9,410,000 | 9,103,761 | ||||||
CCG Receivables Trust 2017-1 | ||||||||
1.84%, 11/14/2023(2) | 59,051 | 59,009 | ||||||
Cent CLO 24 Ltd. | ||||||||
2.90% (3 Month LIBOR USD + 1.07%), 10/15/2026(1)(2) | 19,150,000 | 18,603,976 | ||||||
Centex Home Equity Loan Trust 2005-B | ||||||||
1.59% (1 Month LIBOR USD + 0.65%, 0.43% Floor), 03/25/2035(1) | 5,182,714 | 4,749,107 | ||||||
Chase Issuance Trust | ||||||||
1.84%, 04/15/2022 | 4,085,000 | 4,081,730 | ||||||
CHEC Loan Trust 2004-2 | ||||||||
1.59% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 06/25/2034(1) | 1,197,361 | 1,017,103 | ||||||
CIFC Funding 2015-IV Ltd. | ||||||||
2.97% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2027(1)(2) | 3,920,000 | 3,775,838 | ||||||
CIFC Funding 2015-V Ltd. | ||||||||
2.65% (3 Month LIBOR USD + 0.86%), 10/25/2027(1)(2) | 2,990,000 | 2,886,474 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
1.86%, 08/08/2022 | 2,060,000 | 2,058,141 | ||||||
Citigroup Mortgage Loan Trust 2007-AHL1 | ||||||||
1.09% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036(1) | 2,845,089 | 2,738,962 | ||||||
Citigroup Mortgage Loan Trust, Inc. |
1.55% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 10/25/2035(1) | 14,327,000 | 9,137,170 | ||||||
1.58% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 02/25/2035(1) | 2,580,518 | 2,294,106 | ||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2035(1) | 7,900,000 | 6,326,528 | ||||||
CNH Equipment Trust 2017-C | ||||||||
2.54%, 05/15/2025 | 60,000 | 59,734 | ||||||
Coinstar Funding LLC Series 2017-1 | ||||||||
5.22%, 04/25/2047(2) | 11,305,313 | 10,646,775 | ||||||
Cole Park CLO Ltd. 2015-1 | ||||||||
2.87% (3 Month LIBOR USD + 1.05%), 10/20/2028(1)(2) | 6,820,000 | 6,616,096 | ||||||
College Avenue Student Loans 2018-A LLC | ||||||||
2.15% (1 Month LIBOR USD + 1.20%), 12/26/2047(1)(2) | 2,246,995 | 2,129,163 | ||||||
4.13%, 12/26/2047(2) | 3,064,085 | 3,238,936 | ||||||
College Avenue Student Loans LLC | ||||||||
2.60% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046(1)(2) | 4,659,369 | 4,533,167 | ||||||
Colony American Finance 2015-1 Ltd. | ||||||||
4.83%, 10/15/2047(2) | 725,000 | 710,298 | ||||||
Conseco Finance Securitizations Corp. | ||||||||
7.97%, 05/01/2032 | 733,953 | 264,117 | ||||||
8.06%, 09/01/2029(4) | 13,034,752 | 4,763,107 | ||||||
8.31%, 05/01/2032(4) | 8,504,715 | 3,191,031 | ||||||
Conseco Financial Corp. | ||||||||
7.70%, 05/15/2027(4) | 7,016,997 | 6,510,579 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.05%, 11/01/2020 | 159,127 | 159,357 | ||||||
CoreVest American Finance 2018-1 Trust | ||||||||
3.80%, 06/15/2051(2) | 1,558,936 | 1,573,148 | ||||||
Corevest American Finance 2019-3 Trust | ||||||||
2.71%, 10/15/2052(2) | 2,756,543 | 2,616,489 | ||||||
3.16%, 10/15/2052(2) | 1,470,000 | 1,148,778 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
1.09% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2037(1) | 292,930 | 228,616 | ||||||
1.12% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2037(1) | 4,338,355 | 3,940,670 | ||||||
1.13% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 06/25/2047(1) | 41,372,404 | 34,917,746 | ||||||
1.17% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 05/25/2047(1) | 10,884,730 | 8,817,129 | ||||||
1.19% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 03/25/2036(1) | 2,742,066 | 2,270,230 | ||||||
1.20% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/25/2036(1) | 990,000 | 801,646 | ||||||
1.24% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 06/25/2037(1) | 8,448,500 | 7,167,038 | ||||||
1.34% (1 Month LIBOR USD + 0.39%, 0.39% Floor), 04/25/2036(1) | 1,000,000 | 627,315 | ||||||
1.37% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 06/25/2036(1) | 2,000,000 | 1,556,304 | ||||||
1.44% (1 Month LIBOR USD + 0.49%, 0.49% Floor), 02/25/2036(1) | 5,476,562 | 5,309,836 | ||||||
2.37% (1 Month LIBOR USD + 1.43%, 0.95% Floor), 06/25/2035(1) | 6,951,931 | 6,409,221 | ||||||
CPS Auto Receivables Trust 2016-C | ||||||||
5.92%, 06/15/2022(2) | 1,985,000 | 2,004,378 |
CPS Auto Receivables Trust 2017-C | ||||||||
3.79%, 06/15/2023(2) | 1,530,000 | 1,509,799 | ||||||
CPS Auto Receivables Trust 2017-D | ||||||||
3.73%, 09/15/2023(2) | 645,000 | 635,959 | ||||||
CPS Auto Receivables Trust 2018-B | ||||||||
4.26%, 03/15/2024(2) | 1,715,000 | 1,725,308 | ||||||
CPS Auto Trust | ||||||||
4.53%, 01/17/2023(2) | 1,465,000 | 1,472,946 | ||||||
Credit Acceptance Auto Loan Trust 2017-3 | ||||||||
3.48%, 10/15/2026(2) | 1,980,000 | 1,967,142 | ||||||
Credit Acceptance Auto Loan Trust 2018-1 | ||||||||
3.77%, 06/15/2027(2) | 2,255,000 | 2,252,056 | ||||||
Credit Acceptance Auto Loan Trust 2018-2 | ||||||||
4.16%, 09/15/2027(2) | 3,045,000 | 2,983,530 | ||||||
Credit Acceptance Auto Loan Trust 2018-3 | ||||||||
4.04%, 12/15/2027(2) | 3,110,000 | 3,090,218 | ||||||
Credit Acceptance Auto Loan Trust 2019-1 | ||||||||
3.94%, 06/15/2028(2) | 9,810,000 | 9,592,466 | ||||||
CVS Pass-Through Trust | ||||||||
6.94%, 01/10/2030 | 1,003,852 | 1,250,744 | ||||||
CWABS Asset-Backed Certificates Trust 2005-7 | ||||||||
1.65% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 11/25/2035(1) | 726,289 | 700,468 | ||||||
CWABS Asset-Backed Certificates Trust 2007-12 | ||||||||
1.69% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 08/25/2047(1) | 5,939,329 | 5,225,264 | ||||||
CWABS Revolving Home Equity Loan Trust Series 2004-T | ||||||||
0.94% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 16.00% Cap), 02/15/2030(1) | 7,834,943 | 7,408,778 | ||||||
DB Master Finance LLC | ||||||||
4.03%, 11/20/2047(2) | 1,578,663 | 1,481,717 | ||||||
4.35%, 05/20/2049(2) | 3,295,100 | 3,131,762 | ||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | ||||||||
6.72%, 01/02/2023 | 1,400,259 | 1,398,990 | ||||||
Denali Capital CLO X LLC | ||||||||
2.84% (3 Month LIBOR USD + 1.05%), 10/26/2027(1)(2) | 6,500,000 | 6,302,901 | ||||||
Discover Card Execution Note Trust | ||||||||
1.90%, 10/17/2022 | 11,715,000 | 11,712,654 | ||||||
3.11%, 01/16/2024 | 8,520,000 | 8,681,601 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
3.67%, 10/25/2049(2) | 2,019,938 | 1,801,421 | ||||||
4.12%, 07/25/2047(2) | 3,274,625 | 3,170,230 | ||||||
4.12%, 07/25/2048(2) | 1,635,100 | 1,578,722 | ||||||
4.33%, 07/25/2048(2) | 2,452,650 | 2,321,262 | ||||||
Drive Auto Receivables Trust | ||||||||
4.30%, 09/16/2024 | 3,195,000 | 3,170,957 |
Drive Auto Receivables Trust 2018-2 | ||||||||
4.14%, 08/15/2024 | 1,715,000 | 1,728,927 | ||||||
Drive Auto Receivables Trust 2018-5 | ||||||||
4.30%, 04/15/2026 | 2,685,000 | 2,653,750 | ||||||
Drive Auto Receivables Trust 2019-1 | ||||||||
4.09%, 06/15/2026 | 3,590,000 | 3,556,655 | ||||||
Driven Brands Funding LLC | ||||||||
4.64%, 04/20/2049(2) | 3,737,250 | 3,575,278 | ||||||
4.74%, 04/20/2048(2) | 741,788 | 717,613 | ||||||
Dryden 30 Senior Loan Fund | ||||||||
2.51% (3 Month LIBOR USD + 0.82%), 11/15/2028(1)(2) | 1,200,000 | 1,161,590 | ||||||
Dryden 46 Euro CLO 2016 BV | ||||||||
0.88% (3 Month EURIBOR + 0.88%), 01/15/2030(1)(2) | EUR | 3,700,000 | 3,888,837 | |||||
Dryden XXVI Senior Loan Fund | ||||||||
2.73% (3 Month LIBOR USD + 0.90%), 04/15/2029(1)(2) | $ | 4,500,000 | 4,345,542 | |||||
DT Auto Owner Trust 2017-2 | ||||||||
3.89%, 01/15/2023(2) | 3,298,062 | 3,294,456 | ||||||
DT Auto Owner Trust 2018-2 | ||||||||
4.15%, 03/15/2024(2) | 1,435,000 | 1,426,779 | ||||||
DT Auto Owner Trust 2019-3 | ||||||||
2.96%, 04/15/2025(2) | 1,635,000 | 1,574,342 | ||||||
Earnest Student Loan Program 2017-A LLC | ||||||||
2.65%, 01/25/2041(2) | 3,173,677 | 3,162,236 | ||||||
Eaton Vance CLO 2013-1 Ltd. | ||||||||
3.68% (3 Month LIBOR USD + 1.85%), 01/15/2028(1)(2) | 6,855,000 | 6,399,643 | ||||||
ECAF I Ltd. | ||||||||
3.47%, 06/15/2040(2) | 515,068 | 453,970 | ||||||
ECMC Group Student Loan Trust | ||||||||
1.95% (1 Month LIBOR USD + 1.00%), 07/25/2069(1)(2) | 1,144,721 | 1,110,629 | ||||||
ECMC Group Student Loan Trust 2017-2 | ||||||||
2.00% (1 Month LIBOR USD + 1.05%), 05/25/2067(1)(2) | 8,401,948 | 8,122,260 | ||||||
ELFI Graduate Loan Program 2019-A LLC | ||||||||
2.54%, 03/25/2044(2) | 5,306,692 | 5,354,859 | ||||||
Ellington Loan Acquisition Trust 2007-1 | ||||||||
2.05% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 05/25/2037(1)(2) | 994,262 | 889,385 | ||||||
Euro Galaxy III CLO BV | ||||||||
0.75% (3 Month EURIBOR + 0.75%), 01/17/2031(1)(2) | EUR | 600,000 | 634,609 | |||||
Exeter Automobile Receivables Trust 2018-1 | ||||||||
3.53%, 11/15/2023(2) | $ | 3,640,000 | 3,604,170 | |||||
Fairstone Financial Issuance Trust I | ||||||||
3.95%, 03/21/2033(2) | CAD | 9,840,000 | 6,988,477 | |||||
Fieldstone Mortgage Investment Trust Series 2005-1 | ||||||||
2.07% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 12.25% Cap), 03/25/2035(1) | $ | 3,611,346 | 3,442,779 |
Fieldstone Mortgage Investment Trust Series 2006-3 | ||||||||
1.77% (1 Month LIBOR USD + 0.14%, 0.14% Floor, 12.25% Cap), 11/25/2036(1) | 7,673,634 | 6,402,152 | ||||||
First Franklin Mortgage Loan Trust 2004-FF7 | ||||||||
3.12% (1 Month LIBOR USD + 2.18%, 1.45% Floor), 09/25/2034(1) | 854,074 | 717,908 | ||||||
First Franklin Mortgage Loan Trust 2006-FF16 | ||||||||
1.16% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036(1) | 6,693,125 | 3,557,449 | ||||||
First Franklin Mortgage Loan Trust 2006-FF17 | ||||||||
1.10% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036(1) | 5,160,506 | 4,172,803 | ||||||
First Investors Auto Owner Trust 2016-2 | ||||||||
3.35%, 11/15/2022(2) | 850,000 | 844,014 | ||||||
First Investors Auto Owner Trust 2017-2 | ||||||||
3.56%, 09/15/2023(2) | 975,000 | 967,950 | ||||||
First Investors Auto Owner Trust 2018-1 | ||||||||
4.11%, 06/17/2024(2) | 605,000 | 597,213 | ||||||
Five Guys Funding LLC | ||||||||
4.60%, 07/25/2047(2) | 4,198,275 | 4,384,064 | ||||||
Flagship Credit Auto Trust 2016-3 | ||||||||
3.89%, 11/15/2022(2) | 810,000 | 809,800 | ||||||
Flagship Credit Auto Trust 2017-1 | ||||||||
4.23%, 05/15/2023(2) | 260,000 | 261,443 | ||||||
Flagship Credit Auto Trust 2018-1 | ||||||||
3.86%, 04/15/2024(2) | 1,285,000 | 1,271,927 | ||||||
Flagship Credit Auto Trust 2018-2 | ||||||||
4.23%, 09/16/2024(2) | 1,580,000 | 1,576,081 | ||||||
Flagship Credit Auto Trust 2019-3 | ||||||||
2.86%, 12/15/2025(2) | 2,235,000 | 1,988,409 | ||||||
Flatiron CLO 2015-1 Ltd. | ||||||||
2.72% (3 Month LIBOR USD + 0.89%), 04/15/2027(1)(2) | 3,834,647 | 3,770,490 | ||||||
Ford Auto Securitization Trust | ||||||||
2.20%, 03/15/2021(2) | CAD | 2,050,029 | 1,456,434 | |||||
2.47%, 02/15/2025(2) | 4,925,000 | 3,469,268 | ||||||
2.55%, 09/15/2024(2) | 5,725,000 | 4,043,014 | ||||||
Ford Credit Auto Owner Trust 2017-B | ||||||||
1.69%, 11/15/2021 | $ | 1,354,658 | 1,347,757 | |||||
Ford Credit Auto Owner Trust 2017-C | ||||||||
2.01%, 03/15/2022 | 750,440 | 750,576 | ||||||
Ford Credit Auto Owner Trust 2018-A | ||||||||
3.16%, 10/15/2023 | 8,225,000 | 8,468,409 | ||||||
Ford Credit Auto Owner Trust 2019-REV1 | ||||||||
3.52%, 07/15/2030(2) | 9,385,000 | 9,672,649 | ||||||
Fremont Home Loan Trust 2004-C | ||||||||
1.92% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 08/25/2034(1) | 5,059,538 | 4,111,524 | ||||||
Fremont Home Loan Trust 2005-2 |
1.70% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 06/25/2035(1) | 5,068,697 | 4,737,236 | ||||||
Fremont Home Loan Trust 2005-C | ||||||||
1.88% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035(1) | 6,220,773 | 3,655,771 | ||||||
Gallatin CLO IX 2018-1 Ltd. | ||||||||
2.87% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028(1)(2) | 11,900,000 | 11,553,103 | ||||||
GCAT 2019-3 LLC | ||||||||
3.35%, 10/25/2049(2)(3) | 2,999,614 | 2,974,504 | ||||||
GLS Auto Receivables Issuer Trust 2019-3 | ||||||||
2.58%, 07/17/2023(2) | 13,207,543 | 13,074,633 | ||||||
GLS Auto Receivables Issuer Trust 2020-1 | ||||||||
2.17%, 02/15/2024(2) | 12,495,230 | 12,298,799 | ||||||
GM Financial Automobile Leasing Trust 2018-1 | ||||||||
3.11%, 12/20/2021 | 3,500,000 | 3,495,493 | ||||||
GM Financial Automobile Leasing Trust 2019-4 | ||||||||
1.75%, 07/16/2024 | 5,540,000 | 5,580,292 | ||||||
2.04%, 02/18/2025 | 2,645,000 | 2,575,045 | ||||||
GM Financial Consumer Automobile 2017-1 | ||||||||
2.45%, 07/17/2023(2) | 100,000 | 99,728 | ||||||
GM Financial Consumer Automobile Receivables Trust 2017-3 | ||||||||
1.97%, 05/16/2022(2) | 3,862,261 | 3,861,273 | ||||||
2.33%, 03/16/2023(2) | 155,000 | 154,296 | ||||||
GM Financial Consumer Automobile Receivables Trust 2018-2 | ||||||||
3.31%, 12/18/2023 | 1,615,000 | 1,629,320 | ||||||
GM Financial Consumer Automobile Receivables Trust 2018-3 | ||||||||
3.02%, 05/16/2023 | 4,420,000 | 4,472,610 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
3.06%, 04/15/2024(2) | 3,180,000 | 3,096,452 | ||||||
3.30%, 04/15/2026(2) | 6,875,000 | 6,501,879 | ||||||
GoldenTree Loan Opportunities IX Ltd. | ||||||||
2.88% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029(1)(2) | 11,000,000 | 10,649,496 | ||||||
GoldentTree Loan Management US CLO 1 Ltd. | ||||||||
2.60% (3 Month LIBOR USD + 0.95%, 0.95% Floor), 04/20/2029(1)(2) | 9,600,000 | 9,133,882 | ||||||
Golub Capital Partners CLO 39B Ltd. | ||||||||
2.97% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2028(1)(2) | 5,295,000 | 5,104,957 | ||||||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | ||||||||
2.99%, 06/17/2024(2) | 1,685,000 | 1,676,312 | ||||||
Greystone Commercial Real Estate Notes | ||||||||
1.88% (1 Month LIBOR USD + 1.18%, 1.18% Floor), 09/15/2037(1)(2) | 1,900,000 | 1,735,238 | ||||||
GSAMP Trust 2005-AHL | ||||||||
1.92% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 04/25/2035(1) | 6,140,057 | 5,383,548 | ||||||
GSAMP Trust 2007-FM2 | ||||||||
1.01% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2037(1) | 2,023,393 | 1,131,049 | ||||||
Halcyon Loan Advisors Funding 2014-3 Ltd. |
2.90% (3 Month LIBOR USD + 1.10%), 10/22/2025(1)(2) | 529,090 | 522,760 | ||||||
Hardee’s Funding LLC | ||||||||
4.25%, 06/20/2048(2) | 8,259,225 | 7,927,122 | ||||||
4.96%, 06/20/2048(2) | 4,245,350 | 3,778,192 | ||||||
Harley Marine Financing LLC | ||||||||
5.68%, 05/15/2043(2) | 939,473 | 831,757 | ||||||
Harvest SBA Loan Trust 2018-1 | ||||||||
3.20% (1 Month LIBOR USD + 2.25%), 08/25/2044(1)(2) | 8,371,474 | 7,615,356 | ||||||
Hilton Grand Vacations Trust 2017-A | ||||||||
2.66%, 12/26/2028(2) | 171,399 | 168,267 | ||||||
2.96%, 12/26/2028(2) | 77,909 | 76,467 | ||||||
Home Equity Asset Trust 2006-3 | ||||||||
1.15% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 07/25/2036(1) | 1,413,788 | 1,399,603 | ||||||
Home Equity Asset Trust 2007-1 | ||||||||
1.06% (1 Month LIBOR USD + 0.11%, 0.11% Floor), 05/25/2037(1) | 4,031,977 | 3,963,119 | ||||||
Home Partners of America 2019-1 Trust | ||||||||
3.41%, 09/17/2039(2) | 1,399,547 | 1,294,468 | ||||||
Home Partners of America 2019-2 Trust | ||||||||
3.12%, 10/19/2039(2) | 1,285,520 | 1,137,629 | ||||||
Honda Auto Receivables 2017-4 Owner Trust | ||||||||
2.05%, 11/22/2021 | 3,983,731 | 3,983,064 | ||||||
Honda Auto Receivables 2018-1 Owner Trust | ||||||||
2.64%, 02/15/2022 | 3,292,627 | 3,304,805 | ||||||
Honda Auto Receivables 2018-3 Owner Trust | ||||||||
2.95%, 08/22/2022 | 9,963,391 | 10,055,052 | ||||||
Honda Auto Receivables 2020-1 Owner Trust | ||||||||
1.61%, 04/22/2024 | 9,675,000 | 9,687,338 | ||||||
Horizon Aircraft Finance I Ltd. | ||||||||
4.46%, 12/15/2038(2) | 4,974,169 | 3,641,768 | ||||||
Horizon Aircraft Finance II Ltd. | ||||||||
3.72%, 07/15/2039(2) | 1,361,410 | 952,492 | ||||||
HPEFS Equipment Trust 2019-1 | ||||||||
2.49%, 09/20/2029(2) | 970,000 | 950,402 | ||||||
HPEFS Equipment Trust 2020-1 | ||||||||
2.26%, 02/20/2030(2) | 1,550,000 | 1,511,483 | ||||||
Invitation Homes 2018-SFR1 Trust | ||||||||
2.80% (1 Month LIBOR USD + 2.00%), 03/17/2037(1)(2) | 2,811,616 | 2,189,896 | ||||||
Invitation Homes 2018-SFR2 Trust | ||||||||
2.70% (1 Month LIBOR USD + 2.00%, 2.10% Floor), 06/17/2037(1)(2) | 5,355,000 | 4,223,925 | ||||||
Invitation Homes 2018-SFR3 Trust | ||||||||
1.80% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/17/2037(1)(2) | 6,981,531 | 6,475,067 | ||||||
2.80% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 07/17/2037(1)(2) | 2,645,000 | 2,137,740 | ||||||
Invitation Homes 2018-SFR4 Trust |
2.45% (1 Month LIBOR USD + 1.65%, 1.60% Floor), 01/17/2038(1)(2) | 615,000 | 506,464 | ||||||
Jack In The Box Funding LLC | ||||||||
3.98%, 08/25/2049(2) | 5,017,425 | 4,634,646 | ||||||
Jamestown CLO IV Ltd. | ||||||||
2.52% (3 Month LIBOR USD + 0.69%), 07/15/2026(1)(2) | 3,867,510 | 3,819,267 | ||||||
Jimmy Johns Funding LLC | ||||||||
3.61%, 07/30/2047(2) | 394,875 | 390,022 | ||||||
JP Morgan Mortgage Acquisition Corp. 2005-FRE1 | ||||||||
1.38% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 10/25/2035(1) | 7,044,106 | 4,392,912 | ||||||
JP Morgan Mortgage Acquisition Corp. 2006-FRE2 | ||||||||
1.31% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 02/25/2036(1) | 8,467,499 | 5,640,381 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CW1 | ||||||||
1.24% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 05/25/2036(1) | 11,322,000 | 7,016,082 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-WMC4 | ||||||||
1.07% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036(1) | 24,202,437 | 12,297,125 | ||||||
1.10% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036(1) | 22,042,292 | 11,276,361 | ||||||
JP Morgan Mortgage Acquisition Trust 2007-CH3 | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037(1) | 29,750,000 | 26,651,939 | ||||||
Kestrel Aircraft Funding Ltd. | ||||||||
4.25%, 12/15/2038(2) | 3,267,874 | 2,387,723 | ||||||
KKR CLO 13 Ltd. | ||||||||
2.64% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028(1)(2) | 2,745,000 | 2,651,766 | ||||||
Legacy Mortgage Asset Trust 2019-GS3 | ||||||||
3.75%, 04/25/2059(2)(3) | 2,681,692 | 2,619,418 | ||||||
Legacy Mortgage Asset Trust 2019-GS4 | ||||||||
3.44%, 05/25/2059(2)(3) | 227,360 | 229,389 | ||||||
Lehman XS Trust 2007-6 | ||||||||
1.16% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 05/25/2037(1) | 12,496,977 | 9,237,130 | ||||||
Lendmark Funding Trust 2018-1 | ||||||||
3.81%, 12/21/2026(2) | 1,655,000 | 1,556,308 | ||||||
LoanCore 2019-CRE2 Issuer Ltd. | ||||||||
1.83% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 05/15/2036(1)(2) | 3,600,000 | 3,383,759 | ||||||
Long Beach Mortgage Loan Trust 2005-WL2 | ||||||||
1.73% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 08/25/2035(1) | 10,000,000 | 8,542,912 | ||||||
Long Beach Mortgage Loan Trust 2006-WL1 | ||||||||
1.58% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 01/25/2046(1) | 15,000,000 | 12,130,895 | ||||||
LP Credit Card ABS Master Trust | ||||||||
3.19% (1 Month LIBOR USD + 1.55%), 08/20/2024(1)(2) | 5,032,117 | 4,830,492 | ||||||
Madison Park Funding XVIII Ltd. | ||||||||
3.01% (3 Month LIBOR USD + 1.19%), 10/21/2030(1)(2) | 4,815,000 | 4,626,247 | ||||||
Madison Park Funding XXXIII Ltd. | ||||||||
3.17% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 10/15/2032(1)(2) | 4,180,000 | 3,998,856 | ||||||
Madison Park Funding XXXVII Ltd. |
3.13% (3 Month LIBOR USD + 1.30%), 07/15/2032(1)(2) | 2,965,000 | 2,841,635 | ||||||
Magnetite XVI Ltd. | ||||||||
3.02% (3 Month LIBOR USD + 1.20%), 01/18/2028(1)(2) | 2,760,000 | 2,558,385 | ||||||
Magnetite XXI Ltd. | ||||||||
3.10% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 04/20/2030(1)(2) | 6,500,000 | 6,270,492 | ||||||
Magnetite XXIII Ltd. | ||||||||
3.17% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 10/25/2032(1)(2) | 1,255,000 | 1,194,765 | ||||||
MAPS 2018-1 Ltd. | ||||||||
4.21%, 05/15/2043(2) | 6,603,387 | 4,963,680 | ||||||
MAPS 2019-1 Ltd. | ||||||||
4.46%, 03/15/2044(2) | 1,696,352 | 1,238,058 | ||||||
Mariner Finance Issuance Trust 2018-A | ||||||||
4.20%, 11/20/2030(2) | 5,575,000 | 5,211,290 | ||||||
Marlette Funding Trust 2019-4 | ||||||||
2.39%, 12/17/2029(2) | 2,776,275 | 2,676,871 | ||||||
MASTR Asset Backed Securities Trust 2004-WMC1 | ||||||||
1.73% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 02/25/2034(1) | 1,622,842 | 1,524,490 | ||||||
MASTR Specialized Loan Trust | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2036(1)(2) | 905,951 | 841,887 | ||||||
Merlin Aviation Holdings DAC | ||||||||
4.50%, 12/15/2032(2)(3) | 241,470 | 198,213 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | ||||||||
1.19% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037(1) | 2,749,871 | 1,751,946 | ||||||
METAL 2017-1 LLC | ||||||||
4.58%, 10/15/2042(2) | 3,212,691 | 2,608,863 | ||||||
Mill City Mortgage Loan Trust 2016-1 | ||||||||
2.50%, 04/25/2057(2)(4) | 201,685 | 199,978 | ||||||
Mill City Mortgage Loan Trust 2017-2 | ||||||||
2.75%, 07/25/2059(2)(4) | 438,530 | 436,934 | ||||||
Mill City Mortgage Loan Trust 2018-1 | ||||||||
3.25%, 05/25/2062(2)(4) | 4,821,441 | 4,863,259 | ||||||
Mill City Mortgage Loan Trust 2018-3 | ||||||||
3.50%, 08/25/2058(2)(4) | 2,528,818 | 2,573,642 | ||||||
MMAF Equipment Finance LLC 2018-A | ||||||||
3.39%, 01/10/2025(2) | 1,180,000 | 1,195,847 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC2 | ||||||||
1.88% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 02/25/2035(1) | 1,568,504 | 1,169,124 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust 2006-HE8 | ||||||||
1.08% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036(1) | 674,905 | 532,043 | ||||||
Morgan Stanley Capital I, Inc. Trust 2006-HE1 | ||||||||
1.24% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 01/25/2036(1) | 2,201,233 | 2,007,970 | ||||||
Morgan Stanley Mortgage Loan Trust 2006-15XS | ||||||||
6.20%, 11/25/2036(3) | 14,097,465 | 4,938,465 |
Morgan Stanley Mortgage Loan Trust 2007-8XS | ||||||||
1.48% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037(1) | 23,922,032 | 9,826,439 | ||||||
1.49% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037(1) | 2,310,013 | 949,411 | ||||||
Mountain View CLO 2014-1 Ltd. | ||||||||
2.63% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026(1)(2) | 7,049,184 | 6,901,214 | ||||||
Mountain View CLO 2017-1 LLC | ||||||||
1.79% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 10/16/2029(1)(2) | 11,100,000 | 10,378,500 | ||||||
Mountain View CLO X Ltd. | ||||||||
2.67% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 10/13/2027(1)(2) | 1,235,729 | 1,195,885 | ||||||
MVW Owner Trust 2015-1 | ||||||||
2.52%, 12/20/2032(2) | 373,703 | 367,927 | ||||||
MVW Owner Trust 2017-1 | ||||||||
2.75%, 12/20/2034(2) | 96,440 | 93,642 | ||||||
Nassau 2017-I Ltd. | ||||||||
2.96% (3 Month LIBOR USD + 1.15%), 10/15/2029(1)(2) | 15,200,000 | 14,614,131 | ||||||
National Collegiate Student Loan Trust 2004-2 | ||||||||
1.43% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 12/26/2033(1) | 7,564,531 | 6,730,497 | ||||||
National Collegiate Student Loan Trust 2005-3 | ||||||||
2.01% (1 Month LIBOR USD + 0.29%), 10/25/2033(1)(2) | 11,926,472 | 9,344,457 | ||||||
National Collegiate Student Loan Trust 2007-1 | ||||||||
1.19% (1 Month LIBOR USD + 0.24%), 07/25/2030(1) | 913,230 | 903,562 | ||||||
Navient Private Education Loan Trust 2017-A | ||||||||
2.88%, 12/16/2058(2) | 607,106 | 611,372 | ||||||
3.91%, 12/16/2058(2) | 440,000 | 460,895 | ||||||
Navient Private Education Loan Trust 2018-B | ||||||||
3.61%, 12/15/2059(2) | 2,115,000 | 2,199,641 | ||||||
Navient Private Education Refi Loan Trust 2018-A | ||||||||
3.19%, 02/18/2042(2) | 4,300,000 | 4,365,038 | ||||||
Navient Private Education Refi Loan Trust 2018-C | ||||||||
3.52%, 06/16/2042(2) | 2,515,000 | 2,547,587 | ||||||
Navient Private Education Refi Loan Trust 2019-C | ||||||||
3.13%, 02/15/2068(2) | 5,100,000 | 5,020,362 | ||||||
Navient Private Education Refi Loan Trust 2019-F | ||||||||
2.60%, 08/15/2068(2) | 6,965,000 | 7,039,834 | ||||||
Navient Private Education Refi Loan Trust 2019-G | ||||||||
2.40%, 10/15/2068(2) | 2,258,055 | 2,274,721 | ||||||
Navient Private Education Refi Loan Trust 2020-B | ||||||||
2.12%, 01/15/2069(2) | 7,480,000 | 7,505,082 | ||||||
Navient Private Education Refi Loan Trust 2020-C | ||||||||
2.15%, 11/15/2068(2) | 4,795,000 | 4,699,100 | ||||||
2.83%, 11/15/2068(2) | 4,665,000 | 4,583,363 | ||||||
Navient Student Loan Trust 2014-2 | ||||||||
1.59% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 03/25/2083(1) | 742,312 | 698,145 |
Navient Student Loan Trust 2014-3 | ||||||||
1.57% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 03/25/2083(1) | 290,031 | 272,468 | ||||||
Navient Student Loan Trust 2016-1 | ||||||||
1.65% (1 Month LIBOR USD + 0.70%), 02/25/2070(1)(2) | 2,981,287 | 2,853,391 | ||||||
Navient Student Loan Trust 2016-2 | ||||||||
2.45% (1 Month LIBOR USD + 1.50%), 06/25/2065(1)(2) | 6,200,000 | 6,183,279 | ||||||
Navient Student Loan Trust 2017-1 | ||||||||
2.10% (1 Month LIBOR USD + 1.15%), 07/26/2066(1)(2) | 4,730,000 | 4,321,165 | ||||||
Navient Student Loan Trust 2017-3 | ||||||||
2.00% (1 Month LIBOR USD + 1.05%), 07/26/2066(1)(2) | 5,000,000 | 4,675,062 | ||||||
Navient Student Loan Trust 2018-2 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 03/25/2067(1)(2) | 15,000,000 | 14,267,175 | ||||||
Navient Student Loan Trust 2018-4 | ||||||||
1.20% (1 Month LIBOR USD + 0.25%), 06/27/2067(1)(2) | 1,190,772 | 1,189,531 | ||||||
Navient Student Loan Trust 2018-EA | ||||||||
4.00%, 12/15/2059(2) | 2,790,000 | 2,886,445 | ||||||
Nelnet Student Loan Trust 2014-2 | ||||||||
1.80% (1 Month LIBOR USD + 0.85%), 07/27/2037(1)(2) | 4,250,000 | 3,974,554 | ||||||
Nelnet Student Loan Trust 2020-1 | ||||||||
2.39% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 03/26/2068(1)(2) | 2,595,000 | 2,508,005 | ||||||
Neuberger Berman CLO XIX Ltd. | ||||||||
2.98% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2027(1)(2) | 3,010,000 | 2,728,917 | ||||||
New Century Home Equity Loan Trust 2005-1 | ||||||||
1.62% (1 Month LIBOR USD + 0.68%, 0.45% Floor, 12.50% Cap), 03/25/2035(1) | 13,004,201 | 11,398,083 | ||||||
New Century Home Equity Loan Trust 2005-3 | ||||||||
1.71% (1 Month LIBOR USD + 0.77%, 0.51% Floor, 12.50% Cap), 07/25/2035(1) | 4,218,675 | 4,151,830 | ||||||
Nissan Auto Receivables 2017-B Owner Trust | ||||||||
1.75%, 10/15/2021 | 1,075,657 | 1,076,355 | ||||||
Nissan Auto Receivables 2017-C Owner Trust | ||||||||
2.12%, 04/18/2022 | 4,690,035 | 4,692,181 | ||||||
Nissan Auto Receivables 2018-A Owner Trust | ||||||||
2.65%, 05/16/2022 | 2,505,592 | 2,514,047 | ||||||
Nissan Auto Receivables 2018-B Owner Trust | ||||||||
3.06%, 03/15/2023 | 5,415,000 | 5,500,154 | ||||||
Nissan Auto Receivables 2019-C Owner Trust | ||||||||
1.93%, 07/15/2024 | 3,320,000 | 3,352,519 | ||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 | ||||||||
1.36% (1 Month LIBOR USD + 0.41%, 0.41% Floor), 02/25/2036(1) | 3,889,012 | 3,733,544 | ||||||
OAK Hill European Credit Partners V Designated Activity Co | ||||||||
0.72% (3 Month EURIBOR + 0.72%), 02/21/2030(1)(2) | EUR | 34,900,000 | 36,327,155 | |||||
Ocean Trails CLO VI | ||||||||
2.98% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2028(1)(2) | $ | 500,000 | 483,041 | |||||
OCP CLO 2014-7 Ltd. |
2.94% (3 Month LIBOR USD + 1.12%), 07/20/2029(1)(2) | 14,635,000 | 13,952,468 | ||||||
Octagon Investment Partners 29 Ltd. | ||||||||
2.98% (3 Month LIBOR USD + 1.18%), 01/24/2033(1)(2) | 7,880,000 | 7,551,325 | ||||||
Octagon Investment Partners XXIII Ltd. | ||||||||
2.68% (3 Month LIBOR USD + 0.85%), 07/15/2027(1)(2) | 3,235,000 | 3,154,183 | ||||||
3.03% (3 Month LIBOR USD + 1.20%), 07/15/2027(1)(2) | 1,685,000 | 1,561,835 | ||||||
OFSI Fund VII Ltd. | ||||||||
2.72% (3 Month LIBOR USD + 0.90%), 10/18/2026(1)(2) | 1,400,283 | 1,387,823 | ||||||
OneMain Financial Issuance Trust 2015-3 | ||||||||
4.16%, 11/20/2028(2) | 710,000 | 718,987 | ||||||
OneMain Financial Issuance Trust 2016-1 | ||||||||
4.57%, 02/20/2029(2) | 1,125,000 | 1,109,147 | ||||||
OneMain Financial Issuance Trust 2017-1 | ||||||||
3.35%, 09/14/2032(2) | 1,645,000 | 1,391,029 | ||||||
Onemain Financial Issuance Trust 2018-1 | ||||||||
4.08%, 03/14/2029(2) | 1,220,000 | 1,018,591 | ||||||
OneMain Financial Issuance Trust 2019-1 | ||||||||
4.22%, 02/14/2031(2) | 3,360,000 | 2,842,362 | ||||||
Option One Mortgage Loan Trust 2005-2 | ||||||||
1.61% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 05/25/2035(1) | 548,929 | 531,782 | ||||||
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4 | ||||||||
1.39% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 11/25/2035(1) | 2,772,716 | 2,728,426 | ||||||
Option One Mortgage Loan Trust 2006-1 | ||||||||
1.17% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(1) | 5,883,982 | 5,667,587 | ||||||
1.25% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 01/25/2036(1) | 17,082,568 | 15,993,416 | ||||||
Option One Mortgage Loan Trust 2006-3 | ||||||||
1.09% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037(1) | 21,169,979 | 13,700,789 | ||||||
OSAT 2020-RPL1 Trust | ||||||||
3.07%, 12/26/2059(2)(3) | 2,991,097 | 3,000,282 | ||||||
OSCAR US Funding Trust V | ||||||||
2.99%, 12/15/2023(2) | 379,604 | 382,182 | ||||||
Oscar US Funding XI LLC | ||||||||
2.49%, 08/10/2022(2) | 658,616 | 655,450 | ||||||
OZLM VII Ltd. | ||||||||
2.85% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029(1)(2) | 7,365,000 | 7,013,041 | ||||||
OZLM VIII Ltd. | ||||||||
3.01% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/17/2029(1)(2) | 2,915,000 | 2,783,000 | ||||||
3.64% (3 Month LIBOR USD + 1.80%, 1.80% Floor), 10/17/2029(1)(2) | 2,955,000 | 2,593,725 | ||||||
Ozlme BV | ||||||||
0.82% (3 Month EURIBOR + 0.82%), 01/18/2030(1)(2) | EUR | 1,200,000 | 909,854 | |||||
Palmer Square CLO 2015-1 Ltd. | ||||||||
3.95% (3 Month LIBOR USD + 2.25%), 05/21/2029(1)(2) | $ | 4,975,000 | 4,399,397 | |||||
Palmer Square Loan Funding 2019-4 Ltd. |
2.70% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 10/24/2027(1)(2) | 1,712,874 | 1,657,685 | ||||||
Penarth Master Issuer Plc | ||||||||
1.06% (1 Month LIBOR USD + 0.45%), 09/18/2022(1)(2) | 4,725,000 | 4,559,899 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
3.86%, 12/05/2049(2) | 389,025 | 304,988 | ||||||
4.26%, 09/05/2048(2) | 10,165,200 | 9,579,989 | ||||||
4.67%, 09/05/2048(2) | 1,388,850 | 1,235,354 | ||||||
Prestige Auto Receivables Trust 2018-1 | ||||||||
3.75%, 10/15/2024(2) | 2,765,000 | 2,757,818 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
4.67%, 11/12/2032(2) | 635,000 | 628,368 | ||||||
Progress Residential 2018-SFR3 Trust | ||||||||
4.43%, 10/17/2035(2) | 2,430,000 | 2,332,505 | ||||||
Progress Residential 2019-SFR1 Trust | ||||||||
4.17%, 08/17/2035(2) | 1,190,000 | 1,126,482 | ||||||
Progress Residential 2019-SFR2 Trust | ||||||||
3.79%, 05/17/2036(2) | 2,165,000 | 2,015,551 | ||||||
Progress Residential 2019-SFR4 Trust | ||||||||
3.14%, 10/17/2036(2) | 1,915,000 | 1,720,675 | ||||||
Prosper Marketplace Issuance Trust Series 2018-2 | ||||||||
3.35%, 10/15/2024(2) | 430,819 | 428,193 | ||||||
PRPM 2019-3 LLC | ||||||||
3.35%, 07/25/2024(2)(3) | 1,525,173 | 1,505,068 | ||||||
PRPM 2020-1 LLC | ||||||||
2.98%, 02/25/2025(2)(3) | 1,972,606 | 1,558,767 | ||||||
PRPM LLC | ||||||||
3.35%, 11/25/2024(2)(3) | 2,718,138 | 2,629,896 | ||||||
RASC Series 2005-KS10 Trust | ||||||||
1.39% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 14.00% Cap), 11/25/2035(1) | 10,335,535 | 9,923,232 | ||||||
RASC Series 2006-KS9 Trust | ||||||||
1.11% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036(1) | 4,392,142 | 4,155,523 | ||||||
RASC Series 2007-KS3 Trust | ||||||||
1.29% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037(1) | 31,155,046 | 26,366,201 | ||||||
RMF Buyout Issuance Trust 2018-1 | ||||||||
3.44%, 11/25/2028(2)(4) | 3,478,861 | 3,478,210 | ||||||
Santander Drive Auto Receivables Trust 2017-1 | ||||||||
2.58%, 05/16/2022 | 65,427 | 65,370 | ||||||
Santander Drive Auto Receivables Trust 2018-2 | ||||||||
3.88%, 02/15/2024 | 1,160,000 | 1,154,969 | ||||||
Santander Drive Auto Receivables Trust 2018-3 | ||||||||
4.07%, 08/15/2024 | 3,770,000 | 3,681,705 | ||||||
Santander Drive Auto Receivables Trust 2018-4 | ||||||||
3.98%, 12/15/2025 | 3,390,000 | 3,389,790 |
Santander Drive Auto Receivables Trust 2018-5 | ||||||||
4.19%, 12/16/2024 | 3,070,000 | 3,081,558 | ||||||
Santander Drive Auto Receivables Trust 2019-1 | ||||||||
3.65%, 04/15/2025 | 11,435,000 | 10,788,813 | ||||||
Santander Drive Auto Receivables Trust 2019-3 | ||||||||
2.68%, 10/15/2025 | 4,095,000 | 3,891,418 | ||||||
Santander Retail Auto Lease Trust 2017-A | ||||||||
2.96%, 11/21/2022(2) | 1,000,000 | 997,773 | ||||||
Santander Retail Auto Lease Trust 2019-B | ||||||||
3.31%, 06/20/2024(2) | 6,610,000 | 5,622,937 | ||||||
Santander Retail Auto Lease Trust 2019-C | ||||||||
2.88%, 06/20/2024(2) | 10,280,000 | 10,150,521 | ||||||
Saxon Asset Securities Trust 2006-1 | ||||||||
1.41% (1 Month LIBOR USD + 0.47%, 0.31% Floor, 12.25% Cap), 03/25/2036(1) | 2,106,561 | 1,902,646 | ||||||
Saxon Asset Securities Trust 2007-2 | ||||||||
1.15% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2047(1) | 26,641,859 | 21,569,636 | ||||||
Saxon Asset Securities Trust 2007-3 | ||||||||
1.26% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2037(1) | 28,337,444 | 25,084,300 | ||||||
Securitized Asset Backed Receivables LLC Trust 2004-OP1 | ||||||||
1.71% (1 Month LIBOR USD + 0.77%, 0.51% Floor), 02/25/2034(1) | 5,799,776 | 5,259,512 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB5 | ||||||||
1.09% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 06/25/2036(1) | 5,339,115 | 3,717,477 | ||||||
Shackleton 2016-IX CLO Ltd. | ||||||||
2.95% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 10/20/2028(1)(2) | 1,500,000 | 1,440,357 | ||||||
Sierra Timeshare 2016-2 Receivables Funding LLC | ||||||||
2.33%, 07/20/2033(2) | 148,578 | 146,535 | ||||||
Sierra Timeshare 2019-1 Receivables Funding LLC | ||||||||
3.20%, 01/20/2036(2) | 1,885,230 | 1,870,601 | ||||||
Sierra Timeshare Conduit Receivables Funding LLC | ||||||||
2.91%, 03/20/2034(2) | 103,556 | 102,167 | ||||||
S-Jets 2017-1 Ltd. | ||||||||
3.97%, 08/15/2042(2) | 14,292,764 | 10,067,804 | ||||||
SLC Student Loan Trust 2005-2 | ||||||||
0.90% (3 Month LIBOR USD + 0.16%), 12/15/2039(1) | 4,900,000 | 4,479,285 | ||||||
SLC Student Loan Trust 2005-3 | ||||||||
0.89% (3 Month LIBOR USD + 0.15%), 12/15/2039(1) | 5,000,000 | 4,525,192 | ||||||
SLM Private Credit Student Loan Trust 2003-B | ||||||||
0.00%, 03/15/2033(4) | 2,954,000 | 2,824,976 | ||||||
SLM Student Loan Trust 2003-7 | ||||||||
1.94% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033(1)(2) | 9,274,744 | 8,971,450 | ||||||
SLM Student Loan Trust 2004-3 | ||||||||
2.34% (3 Month LIBOR USD + 0.55%, 0.55% Floor), 10/25/2064(1)(2) | 17,210,114 | 15,919,345 | ||||||
SLM Student Loan Trust 2005-4 |
1.96% (3 Month LIBOR USD + 0.17%), 07/25/2040(1) | 11,000,000 | 9,808,410 | ||||||
SLM Student Loan Trust 2006-2 | ||||||||
1.96% (3 Month LIBOR USD + 0.17%), 01/25/2041(1) | 3,701,277 | 3,424,448 | ||||||
SLM Student Loan Trust 2006-10 | ||||||||
2.01% (3 Month LIBOR USD + 0.22%), 03/25/2044(1) | 2,102,538 | 1,840,298 | ||||||
SLM Student Loan Trust 2007-2 | ||||||||
1.96% (3 Month LIBOR USD + 0.17%), 07/25/2025(1) | 6,950,000 | 5,534,326 | ||||||
SLM Student Loan Trust 2007-3 | ||||||||
1.85% (3 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2022(1) | 3,553,774 | 3,392,957 | ||||||
SLM Student Loan Trust 2007-7 | ||||||||
2.12% (3 Month LIBOR USD + 0.33%), 01/25/2022(1) | 2,589,148 | 2,475,644 | ||||||
SLM Student Loan Trust 2008-2 | ||||||||
2.54% (3 Month LIBOR USD + 0.75%), 04/25/2023(1) | 8,479,681 | 8,019,408 | ||||||
SLM Student Loan Trust 2008-5 | ||||||||
3.49% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023(1) | 4,474,111 | 4,210,442 | ||||||
3.64% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073(1) | 7,350,000 | 6,412,790 | ||||||
SLM Student Loan Trust 2008-6 | ||||||||
2.89% (3 Month LIBOR USD + 1.10%), 07/25/2023(1) | 13,046,689 | 12,647,595 | ||||||
SLM Student Loan Trust 2008-7 | ||||||||
2.69% (3 Month LIBOR USD + 0.90%), 07/25/2023(1) | 10,234,804 | 9,888,730 | ||||||
SLM Student Loan Trust 2012-1 | ||||||||
1.90% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028(1) | 12,366,383 | 11,805,943 | ||||||
SLM Student Loan Trust 2012-2 | ||||||||
1.65% (1 Month LIBOR USD + 0.70%), 01/25/2029(1) | 14,392,398 | 13,693,169 | ||||||
SLM Student Loan Trust 2012-7 | ||||||||
1.60% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026(1) | 4,852,353 | 4,539,843 | ||||||
2.75% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043(1) | 2,220,000 | 1,962,127 | ||||||
SLM Student Loan Trust 2014-1 | ||||||||
1.55% (1 Month LIBOR USD + 0.60%), 02/26/2029(1) | 3,034,477 | 2,825,887 | ||||||
SMART ABS Series 2016-2US Trust | ||||||||
2.05%, 12/14/2022 | 2,293,260 | 2,292,792 | ||||||
SMB Private Education Loan Trust 2014-A | ||||||||
3.05%, 05/15/2026(2) | 176,004 | 176,727 | ||||||
SMB Private Education Loan Trust 2015-B | ||||||||
2.45% (1 Month LIBOR USD + 1.75%), 05/17/2032(1)(2) | 1,685,000 | 1,666,209 | ||||||
2.98%, 07/15/2027(2) | 133,586 | 134,588 | ||||||
SMB Private Education Loan Trust 2015-C | ||||||||
3.50%, 09/15/2043(2) | 1,295,000 | 1,342,416 | ||||||
SMB Private Education Loan Trust 2016-A | ||||||||
2.70%, 05/15/2031(2) | 293,093 | 294,077 | ||||||
SMB Private Education Loan Trust 2016-B | ||||||||
2.43%, 02/17/2032(2) | 1,647,962 | 1,658,699 | ||||||
SMB Private Education Loan Trust 2016-C |
2.34%, 09/15/2034(2) | 512,219 | 510,931 | ||||||
SMB Private Education Loan Trust 2017-A | ||||||||
2.88%, 09/15/2034(2) | 1,432,777 | 1,455,500 | ||||||
SMB Private Education Loan Trust 2017-B | ||||||||
2.82%, 10/15/2035(2) | 2,800,690 | 2,772,702 | ||||||
SMB Private Education Loan Trust 2018-B | ||||||||
1.42% (1 Month LIBOR USD + 0.72%), 01/15/2037(1)(2) | 1,986,735 | 1,807,225 | ||||||
3.60%, 01/15/2037(2) | 6,023,819 | 5,965,735 | ||||||
4.00%, 07/15/2042(2) | 285,000 | 264,384 | ||||||
SMB Private Education Loan Trust 2018-C | ||||||||
3.63%, 11/15/2035(2) | 6,835,000 | 7,248,375 | ||||||
4.00%, 11/17/2042(2) | 770,000 | 817,949 | ||||||
SMB Private Education Loan Trust 2019-A | ||||||||
3.44%, 07/15/2036(2) | 2,190,000 | 2,076,663 | ||||||
SMB Private Education Loan Trust 2019-B | ||||||||
2.84%, 06/15/2037(2) | 7,675,000 | 7,254,752 | ||||||
SMB Private Education Loan Trust 2020-A | ||||||||
2.23%, 09/15/2037(2) | 3,090,000 | 3,053,007 | ||||||
SoFi Consumer Loan Program 2017-3 LLC | ||||||||
2.77%, 05/25/2026(2) | 2,566,407 | 2,544,106 | ||||||
SoFi Consumer Loan Program 2017-4 LLC | ||||||||
2.50%, 05/26/2026(2) | 3,086,481 | 2,940,527 | ||||||
SoFi Consumer Loan Program 2017-6 LLC | ||||||||
3.52%, 11/25/2026(2) | 1,765,000 | 1,647,279 | ||||||
SoFi Consumer Loan Program 2018-2 Trust | ||||||||
3.79%, 04/26/2027(2) | 2,210,000 | 2,105,398 | ||||||
SoFi Consumer Loan Program 2018-3 Trust | ||||||||
4.02%, 08/25/2027(2) | 1,375,000 | 1,266,177 | ||||||
SoFi Consumer Loan Program 2018-4 Trust | ||||||||
4.17%, 11/26/2027(2) | 2,745,000 | 2,473,265 | ||||||
SoFi Consumer Loan Program 2019-1 Trust | ||||||||
3.73%, 02/25/2028(2) | 5,690,000 | 5,001,336 | ||||||
SoFi Consumer Loan Program 2019-2 Trust | ||||||||
3.01%, 04/25/2028(2) | 6,670,507 | 6,470,570 | ||||||
3.46%, 04/25/2028(2) | 3,145,000 | 2,424,969 | ||||||
SoFi Consumer Loan Program 2019-3 Trust | ||||||||
2.90%, 05/25/2028(2) | 1,613,181 | 1,562,907 | ||||||
3.35%, 05/25/2028(2) | 5,965,000 | 5,001,593 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
2.02%, 01/25/2029(2) | 7,811,383 | 7,263,294 | ||||||
SoFi Professional Loan Program 2015-B LLC | ||||||||
3.52%, 03/25/2036(2) | 260,259 | 261,757 | ||||||
SoFi Professional Loan Program 2015-C LLC |
2.51%, 08/25/2033(2) | 348,437 | 350,919 | ||||||
3.58%, 08/25/2036(2) | 280,870 | 284,722 | ||||||
SoFi Professional Loan Program 2015-D LLC | ||||||||
3.59%, 10/26/2037(2) | 627,902 | 629,959 | ||||||
SoFi Professional Loan Program 2016-B LLC | ||||||||
3.80%, 04/25/2037(2) | 195,000 | 197,579 | ||||||
SoFi Professional Loan Program 2016-C LLC | ||||||||
3.35%, 05/25/2037(2)(4) | 310,000 | 315,210 | ||||||
SoFi Professional Loan Program 2016-D LLC | ||||||||
3.23%, 01/25/2039(2)(4) | 490,000 | 498,495 | ||||||
SoFi Professional Loan Program 2016-E LLC | ||||||||
3.44%, 07/25/2040(2)(4) | 1,600,000 | 1,653,539 | ||||||
SoFi Professional Loan Program 2017-A LLC | ||||||||
4.43%, 03/26/2040(2)(4) | 165,000 | 174,011 | ||||||
SoFi Professional Loan Program 2017-C LLC | ||||||||
1.55% (1 Month LIBOR USD + 0.60%), 07/25/2040(1)(2) | 2,446,074 | 2,369,909 | ||||||
SoFi Professional Loan Program 2017-D LLC | ||||||||
2.65%, 09/25/2040(2) | 3,799,398 | 3,767,037 | ||||||
SoFi Professional Loan Program 2017-E LLC | ||||||||
4.16%, 11/26/2040(2) | 695,000 | 723,713 | ||||||
SoFi Professional Loan Program 2017-F LLC | ||||||||
3.62%, 01/25/2041(2) | 1,405,000 | 1,387,710 | ||||||
SoFi Professional Loan Program 2018-C Trust | ||||||||
3.08%, 01/25/2048(2) | 463,070 | 461,057 | ||||||
4.13%, 01/25/2048(2) | 1,875,000 | 1,883,453 | ||||||
SoFi Professional Loan Program 2018-D Trust | ||||||||
3.12%, 02/25/2048(2) | 4,457,025 | 4,476,911 | ||||||
3.60%, 02/25/2048(2) | 5,525,000 | 5,537,586 | ||||||
SoFi Professional Loan Program 2019-B LLC | ||||||||
2.78%, 08/17/2048(2) | 721,237 | 722,546 | ||||||
SoFi Professional Loan Program 2019-C LLC | ||||||||
2.37%, 11/16/2048(2) | 3,980,000 | 3,978,092 | ||||||
Sound Point Clo XIV Ltd. | ||||||||
2.96% (3 Month LIBOR USD + 1.15%), 01/23/2029(1)(2) | 3,400,000 | 3,288,116 | ||||||
Southwick Park CLO LLC | ||||||||
3.12% (3 Month LIBOR USD + 1.30%), 07/20/2032(1)(2) | 11,400,000 | 10,910,541 | ||||||
SpringCastle Funding Asset-Backed Notes 2019-A | ||||||||
3.20%, 05/27/2036(2) | 10,922,214 | 10,232,582 | ||||||
Springleaf Funding Trust 2017-A | ||||||||
2.68%, 07/15/2030(2) | 7,900,000 | 7,569,023 | ||||||
3.86%, 07/15/2030(2) | 1,270,000 | 1,110,185 | ||||||
Sprite 2017-1 Ltd. | ||||||||
4.25%, 12/15/2037(2) | 945,472 | 710,670 |
St Paul’s CLO VI DAC | ||||||||
0.85% (3 Month EURIBOR + 0.85%), 08/20/2030(1)(2) | EUR | 38,000,000 | 40,092,803 | |||||
Stack Infrastructure Issuer LLC Series 2019-1 | ||||||||
4.54%, 02/25/2044(2) | $ | 7,364,346 | 7,214,211 | |||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
3.74%, 02/25/2035(4) | 6,783,796 | 5,997,157 | ||||||
Structured Asset Investment Loan Trust 2004-8 | ||||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2034(1) | 893,006 | 789,961 | ||||||
Structured Asset Mortgage Investments II Trust 2007-AR3 | ||||||||
1.14% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047(1) | 27,141,146 | 22,583,765 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2 | ||||||||
1.95% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037(1) | 570,837 | 544,618 | ||||||
STWD 2019-FL1 Ltd. | ||||||||
1.78% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038(1)(2) | 3,600,000 | 3,291,307 | ||||||
Symphony CLO XVII Ltd. | ||||||||
2.71% (3 Month LIBOR USD + 0.88%), 04/15/2028(1)(2) | 4,030,000 | 3,932,837 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
2.56%, 06/15/2023 | 1,205,000 | 1,201,758 | ||||||
2.62%, 09/15/2023 | 650,000 | 647,833 | ||||||
3.36%, 03/15/2024 | 2,835,000 | 2,832,626 | ||||||
Taco Bell Funding LLC | ||||||||
4.32%, 11/25/2048(2) | 11,341,438 | 11,058,015 | ||||||
THL Credit Wind River 2016-1 CLO Ltd. | ||||||||
3.48% (3 Month LIBOR USD + 1.65%), 07/15/2028(1)(2) | 1,320,000 | 1,217,631 | ||||||
3.93% (3 Month LIBOR USD + 2.10%), 07/15/2028(1)(2) | 1,395,000 | 1,246,197 | ||||||
Tikehau CLO II BV | ||||||||
0.88% (3 Month EURIBOR + 0.88%), 12/07/2029(1)(2) | EUR | 2,300,000 | 2,416,000 | |||||
Towd Point Mortgage Trust 2015-2 | ||||||||
2.50%, 11/25/2060(2)(4) | $ | 1,622,264 | 1,610,213 | |||||
Towd Point Mortgage Trust 2015-3 | ||||||||
3.00%, 03/25/2054(2)(4) | 110,196 | 109,831 | ||||||
Towd Point Mortgage Trust 2015-4 | ||||||||
2.75%, 04/25/2055(2)(4) | 145,346 | 144,635 | ||||||
3.75%, 04/25/2055(2)(4) | 960,000 | 927,987 | ||||||
Towd Point Mortgage Trust 2015-5 | ||||||||
2.75%, 05/25/2055(2)(4) | 153,735 | 152,473 | ||||||
Towd Point Mortgage Trust 2016-1 | ||||||||
2.75%, 02/25/2055(2)(4) | 694,231 | 691,424 | ||||||
3.00%, 02/25/2055(2)(4) | 214,065 | 212,811 | ||||||
Towd Point Mortgage Trust 2016-2 | ||||||||
2.75%, 08/25/2055(2)(4) | 148,406 | 146,392 | ||||||
Towd Point Mortgage Trust 2016-3 | ||||||||
2.25%, 04/25/2056(2)(4) | 213,270 | 210,994 |
Towd Point Mortgage Trust 2016-4 | ||||||||
2.25%, 07/25/2056(2)(4) | 466,080 | 452,350 | ||||||
Towd Point Mortgage Trust 2017-1 | ||||||||
2.75%, 10/25/2056(2)(4) | 399,457 | 399,618 | ||||||
3.75%, 10/25/2056(2)(4) | 6,315,000 | 5,919,838 | ||||||
Towd Point Mortgage Trust 2017-2 | ||||||||
2.75%, 04/25/2057(2)(4) | 185,312 | 181,531 | ||||||
Towd Point Mortgage Trust 2017-4 | ||||||||
2.75%, 06/25/2057(2)(4) | 1,186,174 | 1,148,595 | ||||||
3.25%, 06/25/2057(2)(4) | 2,465,000 | 2,166,065 | ||||||
Towd Point Mortgage Trust 2017-5 | ||||||||
1.55% (1 Month LIBOR USD + 0.60%), 02/25/2057(1)(2) | 546,858 | 527,644 | ||||||
Towd Point Mortgage Trust 2018-3 | ||||||||
3.75%, 05/25/2058(2)(4) | 6,480,879 | 6,473,598 | ||||||
Towd Point Mortgage Trust 2018-4 | ||||||||
3.00%, 06/25/2058(2)(4) | 1,015,000 | 870,444 | ||||||
Towd Point Mortgage Trust 2018-SJ1 | ||||||||
4.00%, 10/25/2058(2)(4) | 2,793,480 | 2,800,046 | ||||||
Towd Point Mortgage Trust 2019-1 | ||||||||
3.75%, 03/25/2058(2)(4) | 11,628,295 | 11,937,535 | ||||||
Towd Point Mortgage Trust 2019-2 | ||||||||
3.75%, 12/25/2058(2)(4) | 6,860,000 | 5,816,952 | ||||||
Towd Point Mortgage Trust 2019-MH1 | ||||||||
3.00%, 11/25/2058(2)(4) | 603,405 | 606,860 | ||||||
Towd Point Mortgage Trust 2019-SJ1 | ||||||||
4.17%, 11/25/2058(2)(4) | 6,100,000 | 5,139,966 | ||||||
Towd Point Mortgage Trust 2019-SJ2 | ||||||||
4.50%, 11/25/2058(2)(4) | 12,971,000 | 12,952,520 | ||||||
Towd Point Mortgage Trust 2019-SJ3 | ||||||||
3.00%, 11/25/2059(2)(4) | 6,540,074 | 6,487,341 | ||||||
Toyota Auto Receivables 2017-B Owner Trust | ||||||||
1.76%, 07/15/2021 | 3,739,898 | 3,735,818 | ||||||
Toyota Auto Receivables 2017-C Owner Trust | ||||||||
1.78%, 11/15/2021 | 2,302,755 | 2,293,808 | ||||||
Toyota Auto Receivables 2018-A Owner Trust | ||||||||
2.35%, 05/16/2022 | 2,181,769 | 2,185,461 | ||||||
Tralee CLO V Ltd. | ||||||||
2.93% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/20/2028(1)(2) | 2,000,000 | 1,929,516 | ||||||
Tricon American Homes 2017-SFR2 Trust | ||||||||
2.93%, 01/17/2036(2) | 4,252,935 | 4,174,568 | ||||||
Tricon American Homes 2019-SFR1 Trust | ||||||||
3.20%, 03/17/2038(2) | 1,270,000 | 1,051,694 | ||||||
Upstart Securitization Trust 2019-2 |
2.90%, 09/20/2029(2) | 419,275 | 388,398 | ||||||
Upstart Securitization Trust 2019-3 | ||||||||
2.68%, 01/21/2030(2) | 6,151,502 | 5,816,079 | ||||||
Upstart Securitization Trust 2020-1 | ||||||||
2.32%, 04/22/2030(2) | 3,250,000 | 3,066,238 | ||||||
Venture XIV CLO Ltd. | ||||||||
0.00% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 08/28/2029(1)(2)(5) | 15,300,000 | 14,672,731 | ||||||
Venture Xxv Clo Ltd. | ||||||||
3.05% (3 Month LIBOR USD + 1.23%), 04/20/2029(1)(2) | 25,570,000 | 24,523,701 | ||||||
Vericrest Opportunity Loan Trust 2019-NPL5 | ||||||||
3.35%, 09/25/2049(2)(3) | 6,006,575 | 5,061,616 | ||||||
Vericrest Opportunity Loan Trust 2019-NPL8 | ||||||||
3.28%, 11/25/2049(2)(3) | 5,892,574 | 5,243,096 | ||||||
Vericrest Opportunity Loan Trust 2020-NPL2 | ||||||||
2.98%, 02/25/2050(2)(3) | 2,913,569 | 2,393,707 | ||||||
Verizon Owner Trust 2017-3 | ||||||||
2.53%, 04/20/2022(2) | 1,360,000 | 1,314,818 | ||||||
Verizon Owner Trust 2018-1 | ||||||||
3.20%, 09/20/2022(2) | 1,105,000 | 1,087,379 | ||||||
VOLT LXXXIII LLC | ||||||||
3.33%, 11/26/2049(2)(3) | 2,218,386 | 1,962,461 | ||||||
VOLT LXXXV LLC | ||||||||
3.23%, 01/25/2050(2)(3) | 5,138,852 | 4,527,086 | ||||||
VOLT LXXXVII LLC | ||||||||
2.98%, 02/25/2050(2)(3) | 5,553,787 | 3,983,286 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust | ||||||||
3.72%, 02/25/2037(4) | 9,665,221 | 8,273,145 | ||||||
WAVE 2017-1 Trust | ||||||||
3.84%, 11/15/2042(2) | 2,226,380 | 1,686,380 | ||||||
Westlake Automobile Receivables Trust 2018-2 | ||||||||
4.00%, 01/16/2024(2) | 1,540,000 | 1,544,920 | ||||||
Westlake Automobile Receivables Trust 2018-3 | ||||||||
4.00%, 10/16/2023(2) | 1,215,000 | 1,213,813 | ||||||
Westlake Automobile Receivables Trust 2019-1 | ||||||||
3.67%, 03/15/2024(2) | 6,545,000 | 5,796,250 | ||||||
Wingstop Funding 2018-1 LLC | ||||||||
4.97%, 12/05/2048(2) | 945,450 | 909,079 | ||||||
World Omni Auto Receivables Trust | ||||||||
1.64%, 08/17/2026 | 3,190,000 | 3,092,134 | ||||||
World Omni Select Auto Trust 2019-A | ||||||||
2.17%, 12/15/2025 | 4,785,000 | 4,570,914 | ||||||
Zais CLO 1 Ltd. | ||||||||
2.98% (3 Month LIBOR USD + 1.15%), 04/15/2028(1)(2) | 14,900,000 | 14,474,694 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost: $2,372,277,788) | 2,200,461,271 | |||||||
|
|
Corporate Bonds – 32.87% | ||||||||
Basic Materials – 0.91% | ||||||||
ABJA Investment Co. Pte Ltd. | ||||||||
5.45%, 01/24/2028 | 4,800,000 | 3,531,474 | ||||||
Anglo American Capital Plc | ||||||||
4.00%, 09/11/2027(2) | 1,000,000 | 940,963 | ||||||
4.13%, 09/27/2022(2) | 3,883,000 | 3,827,644 | ||||||
4.50%, 03/15/2028(2) | 19,220,000 | 19,055,205 | ||||||
5.38%, 04/01/2025(2) | 450,000 | 454,804 | ||||||
ArcelorMittal | ||||||||
4.55%, 03/11/2026 | 5,950,000 | 5,340,339 | ||||||
6.13%, 06/01/2025 | 565,000 | 559,394 | ||||||
Arconic Corp. | ||||||||
6.13%, 02/15/2028(2) | 1,275,000 | 1,303,687 | ||||||
Ashland Services BV | ||||||||
2.00%, 01/30/2028(2) | EUR | 625,000 | 597,979 | |||||
Celulosa Arauco y Constitucion SA | ||||||||
3.88%, 11/02/2027 | $ | 860,000 | 743,040 | |||||
CF Industries, Inc. | ||||||||
4.50%, 12/01/2026(2) | 5,145,000 | 5,409,971 | ||||||
CNAC HK Finbridge Co. Ltd. | ||||||||
4.63%, 03/14/2023 | 4,890,000 | 5,007,270 | ||||||
Corp. Nacional del Cobre de Chile | ||||||||
3.15%, 01/14/2030 | 2,456,000 | 2,273,224 | ||||||
3.63%, 08/01/2027 | 300,000 | 293,225 | ||||||
DuPont de Nemours, Inc. | ||||||||
3.77%, 11/15/2020 | 6,165,000 | 6,184,389 | ||||||
Equate Petrochemical BV | ||||||||
3.00%, 03/03/2022 | 690,000 | 662,276 | ||||||
4.25%, 11/03/2026 | 6,910,000 | 6,565,053 | ||||||
First Quantum Minerals Ltd. | ||||||||
6.50%, 03/01/2024(2) | 200,000 | 166,000 | ||||||
6.88%, 03/01/2026(2) | 200,000 | 160,500 | ||||||
FMC Corp. | ||||||||
3.45%, 10/01/2029 | 1,850,000 | 1,851,290 | ||||||
4.50%, 10/01/2049 | 1,025,000 | 990,811 | ||||||
Glencore Finance Canada Ltd. | ||||||||
4.95%, 11/15/2021(2) | 1,170,000 | 1,158,710 | ||||||
Glencore Funding LLC | ||||||||
3.88%, 10/27/2027(2) | 11,555,000 | 10,305,178 | ||||||
4.00%, 04/16/2025(2) | 4,450,000 | 4,311,929 |
4.00%, 03/27/2027(2) | 1,000,000 | 910,392 | ||||||
4.13%, 03/12/2024(2) | 4,920,000 | 4,523,424 | ||||||
4.88%, 03/12/2029(2) | 8,160,000 | 7,869,472 | ||||||
Huntsman International LLC | ||||||||
5.13%, 11/15/2022 | 1,797,000 | 1,841,925 | ||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
5.23%, 11/15/2021(2) | 800,000 | 800,000 | ||||||
5.23%, 11/15/2021 | 1,800,000 | 1,800,000 | ||||||
5.71%, 11/15/2023(2) | 600,000 | 613,437 | ||||||
6.53%, 11/15/2028 | 200,000 | 212,016 | ||||||
6.53%, 11/15/2028(2) | 1,200,000 | 1,272,098 | ||||||
6.76%, 11/15/2048 | 834,000 | 887,619 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
5.00%, 09/26/2048 | 7,265,000 | 7,419,950 | ||||||
Israel Chemicals Ltd. | ||||||||
6.38%, 05/31/2038(2) | 10,200,000 | 12,655,344 | ||||||
LYB International Finance III LLC | ||||||||
4.20%, 10/15/2049 | 4,050,000 | 3,973,943 | ||||||
Minera Mexico SA de CV | ||||||||
4.50%, 01/26/2050(2) | 3,650,000 | 3,066,000 | ||||||
Minmetals Bounteous Finance BVI Ltd. | ||||||||
3.50%, 07/30/2020 | 3,400,000 | 3,416,457 | ||||||
Newcrest Finance Pty Ltd. | ||||||||
4.45%, 11/15/2021(2) | 1,800,000 | 1,845,427 | ||||||
Newmont Goldcorp Corp. | ||||||||
3.70%, 03/15/2023 | 430,000 | 432,004 | ||||||
Orbia Advance Corp. SAB de CV | ||||||||
4.00%, 10/04/2027(2) | 1,255,000 | 1,091,850 | ||||||
SASOL Financing USA LLC | ||||||||
5.88%, 03/27/2024 | 4,300,000 | 1,805,387 | ||||||
Solvay Finance America LLC | ||||||||
4.45%, 12/03/2025(2) | 2,400,000 | 2,527,365 | ||||||
Suzano Austria GmbH | ||||||||
5.00%, 01/15/2030 | 3,465,000 | 3,049,200 | ||||||
6.00%, 01/15/2029 | 5,035,000 | 4,695,137 | ||||||
Syngenta Finance NV | ||||||||
3.70%, 04/24/2020(2) | 2,350,000 | 2,345,480 | ||||||
3.93%, 04/23/2021(2) | 7,942,000 | 7,483,977 | ||||||
4.44%, 04/24/2023(2) | 200,000 | 188,394 | ||||||
4.89%, 04/24/2025(2) | 550,000 | 539,362 | ||||||
5.18%, 04/24/2028(2) | 500,000 | 426,991 | ||||||
Vale Overseas Ltd. | ||||||||
6.25%, 08/10/2026 | 1,299,000 | 1,402,946 |
6.88%, 11/21/2036 | 1,132,000 | 1,257,097 | ||||||
6.88%, 11/10/2039 | 316,000 | 348,393 | ||||||
Vale SA | ||||||||
3.75%, 01/10/2023 | EUR | 400,000 | 429,051 | |||||
Westlake Chemical Corp. | ||||||||
1.63%, 07/17/2029 | 2,025,000 | 1,983,302 | ||||||
3.60%, 08/15/2026 | $ | 1,925,000 | 1,753,875 | |||||
|
| |||||||
Total Basic Materials | 166,561,670 | |||||||
|
| |||||||
Communications – 3.96% | ||||||||
Altice Financing SA | ||||||||
2.25%, 01/15/2025(2) | EUR | 2,700,000 | 2,638,655 | |||||
3.00%, 01/15/2028 | 4,700,000 | 4,557,447 | ||||||
5.00%, 01/15/2028(2) | $ | 2,700,000 | 2,389,500 | |||||
Altice France SA | ||||||||
5.50%, 01/15/2028(2) | 4,815,000 | 4,508,284 | ||||||
7.38%, 05/01/2026(2) | 1,400,000 | 1,414,000 | ||||||
8.13%, 02/01/2027(2) | 700,000 | 729,750 | ||||||
AT&T, Inc. | ||||||||
3.80%, 02/15/2027 | 2,235,000 | 2,322,165 | ||||||
4.30%, 02/15/2030 | 6,690,000 | 7,200,588 | ||||||
4.35%, 03/01/2029 | 14,507,000 | 15,598,338 | ||||||
4.35%, 06/15/2045 | 10,531,000 | 11,135,126 | ||||||
4.50%, 05/15/2035 | 1,637,000 | 1,784,721 | ||||||
4.50%, 03/09/2048 | 27,499,000 | 29,843,552 | ||||||
4.55%, 03/09/2049 | 4,090,000 | 4,401,684 | ||||||
4.75%, 05/15/2046 | 9,050,000 | 10,050,616 | ||||||
4.80%, 06/15/2044 | 9,060,000 | 10,094,315 | ||||||
4.85%, 03/01/2039 | 10,680,000 | 12,083,754 | ||||||
4.90%, 08/15/2037 | 650,000 | 729,500 | ||||||
5.15%, 11/15/2046 | 3,055,000 | 3,592,639 | ||||||
5.25%, 03/01/2037 | 11,282,000 | 13,134,758 | ||||||
Axtel SAB de CV | ||||||||
6.38%, 11/14/2024 | 4,700,000 | 3,879,944 | ||||||
Baidu, Inc. | ||||||||
2.88%, 07/06/2022 | 5,105,000 | 5,103,402 | ||||||
3.88%, 09/29/2023 | 11,655,000 | 12,046,342 | ||||||
4.38%, 03/29/2028 | 1,850,000 | 2,022,526 | ||||||
4.88%, 11/14/2028 | 770,000 | 864,387 | ||||||
Bharti Airtel Ltd. | ||||||||
4.38%, 06/10/2025 | 225,000 | 207,275 | ||||||
British Telecommunications Plc | ||||||||
3.25%, 11/08/2029(2) | 4,870,000 | 4,747,985 | ||||||
C&W Senior Financing DAC |
6.88%, 09/15/2027(2) | 200,000 | 172,500 | ||||||
6.88%, 09/15/2027 | 1,093,000 | 942,713 | ||||||
CBS Corp. | ||||||||
2.50%, 02/15/2023 | 1,500,000 | 1,473,869 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50%, 08/15/2030(2) | 12,407,000 | 12,158,860 | ||||||
4.50%, 05/01/2032(2) | 185,000 | 180,412 | ||||||
5.38%, 06/01/2029(2) | 2,466,000 | 2,534,062 | ||||||
CenturyLink, Inc. | ||||||||
4.00%, 02/15/2027(2) | 1,158,000 | 1,105,890 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.41% (3 Month LIBOR USD + 1.65%), 02/01/2024(1) | 402,000 | 390,464 | ||||||
3.58%, 07/23/2020 | 10,507,000 | 10,474,340 | ||||||
4.46%, 07/23/2022 | 9,852,000 | 10,176,168 | ||||||
4.50%, 02/01/2024 | 3,510,000 | 3,617,073 | ||||||
4.80%, 03/01/2050 | 6,945,000 | 7,236,196 | ||||||
4.91%, 07/23/2025 | 11,097,000 | 11,954,581 | ||||||
5.38%, 04/01/2038 | 980,000 | 1,057,681 | ||||||
5.75%, 04/01/2048 | 4,240,000 | 4,813,384 | ||||||
6.48%, 10/23/2045 | 1,515,000 | 1,852,248 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.25%, 02/15/2024(2) | 5,378,000 | 4,625,080 | ||||||
Comcast Corp. | ||||||||
3.15%, 03/01/2026 | 4,440,000 | 4,657,878 | ||||||
3.25%, 11/01/2039 | 4,650,000 | 4,907,272 | ||||||
3.30%, 02/01/2027 | 12,230,000 | 12,966,614 | ||||||
3.38%, 08/15/2025 | 4,345,000 | 4,614,390 | ||||||
4.70%, 10/15/2048 | 9,000,000 | 11,635,767 | ||||||
CommScope, Inc. | ||||||||
6.00%, 03/01/2026(2) | 1,460,000 | 1,457,810 | ||||||
Connect Finco SARL / Connect US Finco LLC | ||||||||
6.75%, 10/01/2026(2) | 646,000 | 533,758 | ||||||
Cox Communications, Inc. | ||||||||
3.15%, 08/15/2024(2) | 3,400,000 | 3,476,867 | ||||||
4.50%, 06/30/2043(2) | 950,000 | 922,837 | ||||||
4.70%, 12/15/2042(2) | 810,000 | 797,575 | ||||||
4.80%, 02/01/2035(2) | 8,725,000 | 9,483,221 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2022(2) | 700,000 | 700,207 | ||||||
3.66%, 05/15/2025(2) | 1,300,000 | 1,300,537 | ||||||
CSC Holdings LLC | ||||||||
5.38%, 02/01/2028(2) | 530,000 | 540,600 | ||||||
5.50%, 04/15/2027(2) | 2,300,000 | 2,380,270 |
6.50%, 02/01/2029(2) | 1,316,000 | 1,419,293 | ||||||
Deutsche Telekom International Finance BV | ||||||||
1.95%, 09/19/2021(2) | 800,000 | 789,963 | ||||||
2.82%, 01/19/2022(2) | 2,045,000 | 2,030,548 | ||||||
Discovery Communications LLC | ||||||||
2.80%, 06/15/2020 | 7,200,000 | 7,183,152 | ||||||
3.95%, 03/20/2028 | 8,250,000 | 8,023,853 | ||||||
4.38%, 06/15/2021 | 380,000 | 388,557 | ||||||
5.00%, 09/20/2037 | 5,630,000 | 5,574,783 | ||||||
DISH DBS Corp. | ||||||||
5.13%, 05/01/2020 | 15,493,000 | 15,372,697 | ||||||
6.75%, 06/01/2021 | 4,250,000 | 4,309,500 | ||||||
eBay, Inc. | ||||||||
2.60%, 07/15/2022 | 2,279,000 | 2,284,806 | ||||||
4.00%, 07/15/2042 | 720,000 | 676,277 | ||||||
Expedia Group, Inc. | ||||||||
5.00%, 02/15/2026 | 7,385,000 | 6,672,786 | ||||||
Fox Corp. | ||||||||
3.05%, 04/07/2025 | 2,085,000 | 2,081,747 | ||||||
3.50%, 04/08/2030 | 2,805,000 | 2,799,362 | ||||||
4.71%, 01/25/2029(2) | 2,585,000 | 2,835,724 | ||||||
Frontier Communications Corp. | ||||||||
8.00%, 04/01/2027(2) | 864,000 | 852,146 | ||||||
Globo Comunicacao e Participacoes SA | ||||||||
4.88%, 01/22/2030(2) | 5,800,000 | 4,956,100 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 05/01/2026 | 4,451,000 | 4,211,785 | ||||||
8.38%, 05/01/2027 | 4,818,000 | 4,102,045 | ||||||
Intelsat Connect Finance SA | ||||||||
9.50%, 02/15/2023(2) | 710,000 | 260,925 | ||||||
Intelsat Jackson Holdings SA | ||||||||
5.50%, 08/01/2023 | 960,000 | 590,400 | ||||||
8.00%, 02/15/2024(2) | 10,156,000 | 9,813,133 | ||||||
8.50%, 10/15/2024(2) | 10,697,000 | 6,735,901 | ||||||
9.75%, 07/15/2025(2) | 15,687,000 | 9,804,375 | ||||||
Intelsat Luxembourg SA | ||||||||
7.75%, 06/01/2021 | 8,455,000 | 4,227,500 | ||||||
Interpublic Group of Cos, Inc. | ||||||||
3.50%, 10/01/2020 | 1,130,000 | 1,112,844 | ||||||
3.75%, 10/01/2021 | 200,000 | 201,894 | ||||||
4.00%, 03/15/2022 | 216,000 | 223,723 | ||||||
Koninklijke KPN NV | ||||||||
8.38%, 10/01/2030 | 2,750,000 | 3,776,814 |
Level 3 Financing, Inc. | ||||||||
4.63%, 09/15/2027(2) | 2,216,000 | 2,202,482 | ||||||
5.38%, 08/15/2022 | 820,000 | 824,100 | ||||||
5.38%, 01/15/2024 | 600,000 | 600,000 | ||||||
5.38%, 05/01/2025 | 1,474,000 | 1,466,630 | ||||||
MTN Mauritius Investments Ltd. | ||||||||
6.50%, 10/13/2026 | 3,500,000 | 3,339,833 | ||||||
Netflix, Inc. | ||||||||
4.63%, 05/15/2029 | EUR | 4,100,000 | 4,612,870 | |||||
4.88%, 04/15/2028 | $ | 145,000 | 147,900 | |||||
4.88%, 06/15/2030(2) | 1,005,000 | 1,020,226 | ||||||
5.38%, 11/15/2029(2) | 481,000 | 502,645 | ||||||
5.50%, 02/15/2022 | 300,000 | 305,250 | ||||||
Nokia OYJ | ||||||||
3.38%, 06/12/2022 | 280,000 | 278,785 | ||||||
4.38%, 06/12/2027 | 4,255,000 | 4,127,350 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
6.88%, 02/15/2023(2) | 20,000 | 18,200 | ||||||
Sable International Finance Ltd. | ||||||||
5.75%, 09/07/2027(2) | 6,295,000 | 5,665,500 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.63%, 07/15/2024(2) | 275,000 | 279,106 | ||||||
5.00%, 08/01/2027(2) | 1,385,000 | 1,405,637 | ||||||
5.38%, 04/15/2025(2) | 265,000 | 267,647 | ||||||
5.38%, 07/15/2026(2) | 510,000 | 516,222 | ||||||
5.50%, 07/01/2029(2) | 115,000 | 117,300 | ||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 | 150,000 | 171,330 | ||||||
Sprint Communications, Inc. | ||||||||
6.00%, 11/15/2022 | 4,570,000 | 4,755,542 | ||||||
7.00%, 08/15/2020 | 12,097,000 | 12,173,211 | ||||||
11.50%, 11/15/2021 | 700,000 | 771,750 | ||||||
Sprint Corp. | ||||||||
7.13%, 06/15/2024 | 200,000 | 219,746 | ||||||
7.25%, 09/15/2021 | 19,338,000 | 19,931,677 | ||||||
7.63%, 03/01/2026 | 137,000 | 155,057 | ||||||
7.88%, 09/15/2023 | 701,000 | 772,768 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | ||||||||
3.36%, 09/20/2021(2) | 6,677,625 | 6,644,237 | ||||||
4.74%, 03/20/2025(2) | 27,610,000 | 28,162,200 | ||||||
5.15%, 03/20/2028(2) | 7,936,000 | 8,451,840 | ||||||
Telecom Italia Capital SA | ||||||||
6.00%, 09/30/2034 | 595,000 | 589,050 |
Telefonica Emisiones SA | ||||||||
5.46%, 02/16/2021 | 168,000 | 171,577 | ||||||
5.52%, 03/01/2049 | 12,055,000 | 14,145,953 | ||||||
Tencent Holdings Ltd. | ||||||||
3.58%, 04/11/2026(2) | 1,439,000 | 1,525,210 | ||||||
3.80%, 02/11/2025 | 7,290,000 | 7,763,788 | ||||||
Time Warner Cable LLC | ||||||||
4.00%, 09/01/2021 | 370,000 | 370,683 | ||||||
4.50%, 09/15/2042 | 13,975,000 | 13,136,763 | ||||||
5.50%, 09/01/2041 | 11,204,000 | 11,715,444 | ||||||
5.88%, 11/15/2040 | 6,491,000 | 6,839,896 | ||||||
T-Mobile USA, Inc. | ||||||||
4.50%, 02/01/2026(16) | 658,000 | 2,031 | ||||||
4.50%, 02/01/2026 | 1,238,000 | 1,259,665 | ||||||
4.75%, 02/01/2028(16) | 1,053,000 | 3,023 | ||||||
4.75%, 02/01/2028 | 3,143,000 | 3,245,148 | ||||||
6.00%, 03/01/2023 | 876,000 | 880,827 | ||||||
6.00%, 04/15/2024 | 329,000 | 333,935 | ||||||
6.50%, 01/15/2024(16) | 1,200,000 | 9,327 | ||||||
6.50%, 01/15/2024 | 1,045,000 | 1,060,675 | ||||||
Tower Bersama Infrastructure Tbk PT | ||||||||
4.25%, 01/21/2025 | 2,900,000 | 2,566,513 | ||||||
Turk Telekomunikasyon AS | ||||||||
6.88%, 02/28/2025(2) | 8,000,000 | 7,447,200 | ||||||
United Group BV | ||||||||
4.88%, 07/01/2024(2) | EUR | 200,000 | 199,073 | |||||
4.88%, 07/01/2024 | 8,300,000 | 8,261,548 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 05/15/2023(2) | $ | 6,215,000 | 5,500,275 | |||||
5.13%, 02/15/2025(2) | 7,686,000 | 6,552,315 | ||||||
Verizon Communications, Inc. | ||||||||
3.15%, 03/22/2030 | 4,330,000 | 4,656,378 | ||||||
4.00%, 03/22/2050 | 2,305,000 | 2,735,589 | ||||||
4.13%, 03/16/2027 | 4,330,000 | 4,818,320 | ||||||
4.67%, 03/15/2055 | 1,494,000 | 1,902,965 | ||||||
4.75%, 11/01/2041 | 685,000 | 797,571 | ||||||
5.01%, 04/15/2049 | 1,625,000 | 2,192,307 | ||||||
Viacom, Inc. | ||||||||
4.38%, 03/15/2043 | 1,650,000 | 1,463,906 | ||||||
ViacomCBS, Inc. | ||||||||
4.75%, 05/15/2025 | 13,790,000 | 13,740,163 | ||||||
4.95%, 01/15/2031 | 10,430,000 | 10,324,430 | ||||||
ViaSat, Inc. |
5.63%, 09/15/2025(2) | 175,000 | 163,608 | ||||||
5.63%, 04/15/2027(2) | 105,000 | 103,688 | ||||||
Virgin Media Secured Finance Plc | ||||||||
5.50%, 08/15/2026(2) | 1,285,000 | 1,304,275 | ||||||
5.50%, 05/15/2029(2) | 6,899,000 | 6,899,000 | ||||||
Vodafone Group Plc | ||||||||
4.25%, 09/17/2050 | 6,885,000 | 7,011,478 | ||||||
4.38%, 05/30/2028 | 8,820,000 | 9,273,066 | ||||||
4.88%, 06/19/2049 | 6,963,000 | 7,692,313 | ||||||
5.00%, 05/30/2038 | 5,045,000 | 5,613,336 | ||||||
5.25%, 05/30/2048 | 9,235,000 | 11,144,463 | ||||||
VTR Finance BV | ||||||||
6.88%, 01/15/2024 | 4,476,000 | 4,061,925 | ||||||
Walt Disney Co. | ||||||||
4.70%, 03/23/2050 | 5,625,000 | 7,285,199 | ||||||
Ziggo BV | ||||||||
5.50%, 01/15/2027(2) | 6,005,000 | 6,005,000 | ||||||
|
| |||||||
Total Communications | 728,210,950 | |||||||
|
| |||||||
Consumer, Cyclical – 3.08% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.25%, 05/15/2024(2) | 132,000 | 131,669 | ||||||
Air Canada 2013-1 Class B Pass Through Trust | ||||||||
5.38%, 05/15/2021(2) | 229,096 | 232,239 | ||||||
Air Canada 2015-2 Class B Pass Through Trust | ||||||||
5.00%, 12/15/2023(2) | 1,653,034 | 1,566,755 | ||||||
Air Canada 2017-1 Class B Pass Through Trust | ||||||||
3.70%, 01/15/2026(2) | 12,618,452 | 11,128,241 | ||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.70%, 07/26/2022(2) | 995,000 | 983,359 | ||||||
3.55%, 07/26/2027(2) | 3,000,000 | 2,936,954 | ||||||
3.80%, 01/25/2050(2) | 1,195,000 | 1,049,315 | ||||||
America West Airlines 2001-1 Pass Through Trust | ||||||||
7.10%, 04/02/2021 | 822,751 | 823,010 | ||||||
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 07/15/2025 | 1,352,176 | 1,348,619 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 10/01/2026 | 1,598,365 | 1,540,034 | ||||||
American Airlines 2015-1 Class B Pass Through Trust | ||||||||
3.70%, 05/01/2023 | 1,913,039 | 1,713,583 | ||||||
American Airlines 2015-2 Class B Pass Through Trust | ||||||||
4.40%, 09/22/2023 | 8,224,355 | 6,961,340 | ||||||
American Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.58%, 01/15/2028 | 508,203 | 482,123 |
American Airlines 2016-1 Class B Pass Through Trust | ||||||||
5.25%, 01/15/2024 | 2,363,019 | 2,375,364 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 06/15/2028 | 1,239,879 | 1,337,436 | ||||||
American Airlines 2016-2 Class B Pass Through Trust | ||||||||
4.38%, 06/15/2024(2) | 3,547,800 | 3,141,577 | ||||||
American Airlines 2016-3 Class B Pass Through Trust | ||||||||
3.75%, 10/15/2025 | 6,919,273 | 5,529,156 | ||||||
American Airlines 2017-1 Class B Pass Through Trust | ||||||||
4.95%, 02/15/2025 | 878,974 | 760,169 | ||||||
American Airlines 2017-2 Class AA Pass Through Trust | ||||||||
3.35%, 10/15/2029 | 753,430 | 748,315 | ||||||
American Airlines 2017-2 Class B Pass Through Trust | ||||||||
3.70%, 10/15/2025 | 7,507,815 | 6,402,738 | ||||||
American Airlines 2019-1 Class B Pass Through Trust | ||||||||
3.85%, 02/15/2028 | 13,263,578 | 10,198,057 | ||||||
AutoNation, Inc. | ||||||||
3.35%, 01/15/2021 | 770,000 | 766,134 | ||||||
AutoZone, Inc. | ||||||||
3.63%, 04/15/2025 | 5,645,000 | 5,723,334 | ||||||
4.00%, 04/15/2030 | 8,465,000 | 8,639,013 | ||||||
Banijay Entertainment SASU | ||||||||
5.38%, 03/01/2025(2) | 300,000 | 274,500 | ||||||
BMW Finance NV | ||||||||
2.25%, 08/12/2022(2) | 7,300,000 | 6,984,661 | ||||||
BMW US Capital LLC | ||||||||
3.10%, 04/12/2021(2) | 5,495,000 | 5,468,846 | ||||||
3.25%, 08/14/2020(2) | 14,250,000 | 14,211,702 | ||||||
British Airways 2019-1 Class A Pass Through Trust | ||||||||
3.35%, 06/15/2029(2) | 3,295,000 | 3,103,506 | ||||||
Choice Hotels International, Inc. | ||||||||
5.75%, 07/01/2022 | 3,000,000 | 2,743,320 | ||||||
Churchill Downs, Inc. | ||||||||
4.75%, 01/15/2028(2) | 2,652,000 | 2,307,240 | ||||||
5.50%, 04/01/2027(2) | 4,997,000 | 4,709,672 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 4,008,167 | 4,109,418 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 1,605,144 | 1,551,750 | ||||||
Daimler Finance North America LLC | ||||||||
2.55%, 08/15/2022(2) | 4,700,000 | 4,506,121 | ||||||
2.59% (3 Month LIBOR USD + 0.90%), 02/15/2022(1)(2) | 8,420,000 | 7,804,272 | ||||||
2.70%, 06/14/2024(2) | 500,000 | 482,882 |
3.00%, 02/22/2021(2) | 2,210,000 | 2,148,942 | ||||||
3.88%, 09/15/2021(2) | 850,000 | 836,127 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 23,787 | 25,050 | ||||||
Delta Air Lines, Inc. | ||||||||
3.40%, 04/19/2021 | 350,000 | 318,685 | ||||||
3.63%, 03/15/2022 | 3,757,000 | 3,514,254 | ||||||
Diamond Resorts International, Inc. | ||||||||
7.75%, 09/01/2023(2) | 4,234,000 | 3,048,480 | ||||||
Dillard’s, Inc. | ||||||||
7.00%, 12/01/2028 | 380,000 | 354,692 | ||||||
7.75%, 07/15/2026 | 135,000 | 134,170 | ||||||
7.75%, 05/15/2027 | 85,000 | 82,633 | ||||||
DR Horton, Inc. | ||||||||
4.38%, 09/15/2022 | 10,658,000 | 10,855,475 | ||||||
Emirates Airline | ||||||||
4.50%, 02/06/2025 | 2,857,080 | 2,711,375 | ||||||
FCE Bank Plc | ||||||||
1.88%, 06/24/2021 | EUR | 300,000 | 304,400 | |||||
Ford Motor Credit Co. LLC | ||||||||
0.00% (3 Month EURIBOR + 0.37%), 12/01/2021(1)(5) | 610,000 | 588,673 | ||||||
0.02% (3 Month EURIBOR + 0.43%), 05/14/2021(1)(5) | 220,000 | 228,080 | ||||||
1.57% (3 Month LIBOR USD + 0.79%), 06/12/2020(1) | $ | 400,000 | 388,134 | |||||
1.74%, 07/19/2024 | EUR | 1,200,000 | 1,035,536 | |||||
2.19% (3 Month LIBOR USD + 0.43%), 11/02/2020(1) | $ | 3,110,000 | 2,908,690 | |||||
2.34%, 11/02/2020 | 7,795,000 | 7,483,200 | ||||||
2.43%, 06/12/2020 | 4,525,000 | 4,400,562 | ||||||
2.64% (3 Month LIBOR USD + 1.27%), 03/28/2022(1) | 350,000 | 284,476 | ||||||
2.71% (3 Month LIBOR USD + 0.81%), 04/05/2021(1) | 400,000 | 370,000 | ||||||
2.73% (3 Month LIBOR USD + 0.88%), 10/12/2021(1) | 3,390,000 | 3,117,092 | ||||||
2.93% (3 Month LIBOR USD + 1.24%), 02/15/2023(1) | 500,000 | 394,640 | ||||||
3.16%, 08/04/2020 | 2,420,000 | 2,359,863 | ||||||
3.20%, 01/15/2021 | 3,750,000 | 3,623,437 | ||||||
3.22%, 01/09/2022 | 3,950,000 | 3,683,375 | ||||||
3.34%, 03/18/2021 | 12,400,000 | 11,842,000 | ||||||
3.34%, 03/28/2022 | 4,740,000 | 4,409,622 | ||||||
3.35%, 11/01/2022 | 3,625,000 | 3,335,000 | ||||||
3.47%, 04/05/2021 | 2,915,000 | 2,797,526 | ||||||
3.55%, 10/07/2022 | 4,200,000 | 3,916,500 | ||||||
3.81%, 10/12/2021 | 4,810,000 | 4,593,550 | ||||||
5.09%, 01/07/2021 | 1,405,000 | 1,349,671 | ||||||
5.60%, 01/07/2022 | 15,024,000 | 14,535,720 | ||||||
5.75%, 02/01/2021 | 4,155,000 | 4,030,350 |
5.88%, 08/02/2021 | 9,650,000 | 9,457,000 | ||||||
General Motors Co. | ||||||||
1.80% (3 Month LIBOR USD + 0.90%), 09/10/2021(1) | 3,000,000 | 2,707,393 | ||||||
5.20%, 04/01/2045 | 3,485,000 | 2,762,219 | ||||||
6.25%, 10/02/2043 | 2,080,000 | 1,651,833 | ||||||
6.60%, 04/01/2036 | 975,000 | 848,538 | ||||||
General Motors Financial Co., Inc. | ||||||||
0.18% (3 Month EURIBOR + 0.55%), 03/26/2022(1)(5) | EUR | 450,000 | 465,415 | |||||
2.65%, 04/13/2020 | $ | 1,500,000 | 1,498,835 | |||||
2.73% (3 Month LIBOR USD + 0.85%), 04/09/2021(1) | 10,375,000 | 9,340,256 | ||||||
3.15%, 06/30/2022 | 3,715,000 | 3,353,632 | ||||||
3.20%, 07/13/2020 | 6,992,000 | 6,971,605 | ||||||
3.20%, 07/06/2021 | 2,840,000 | 2,711,944 | ||||||
3.45%, 04/10/2022 | 1,470,000 | 1,357,698 | ||||||
3.55%, 04/09/2021 | 32,590,000 | 31,226,608 | ||||||
4.00%, 10/06/2026 | 1,900,000 | 1,614,789 | ||||||
4.20%, 03/01/2021 | 675,000 | 649,620 | ||||||
4.20%, 11/06/2021 | 2,110,000 | 2,006,104 | ||||||
4.30%, 07/13/2025 | 540,000 | 495,945 | ||||||
4.35%, 04/09/2025 | 1,530,000 | 1,370,710 | ||||||
4.35%, 01/17/2027 | 3,000,000 | 2,478,198 | ||||||
4.38%, 09/25/2021 | 8,020,000 | 7,383,223 | ||||||
5.10%, 01/17/2024 | 13,185,000 | 12,142,630 | ||||||
5.25%, 03/01/2026 | 345,000 | 304,514 | ||||||
Harley-Davidson Financial Services, Inc. | ||||||||
2.85%, 01/15/2021(2) | 3,287,000 | 3,238,458 | ||||||
Hasbro, Inc. | ||||||||
3.00%, 11/19/2024 | 4,910,000 | 5,025,924 | ||||||
3.55%, 11/19/2026 | 2,270,000 | 2,166,032 | ||||||
Hyundai Capital America | ||||||||
1.69% (3 Month LIBOR USD + 0.80%), 09/18/2020(1)(2) | 1,170,000 | 1,163,878 | ||||||
2.38%, 02/10/2023(2) | 4,575,000 | 4,312,960 | ||||||
InterContinental Hotels Group Plc | ||||||||
2.13%, 08/24/2026 | GBP | 400,000 | 390,624 | |||||
2.13%, 05/15/2027 | EUR | 200,000 | 200,718 | |||||
Las Vegas Sands Corp. | ||||||||
3.20%, 08/08/2024 | $ | 1,200,000 | 1,080,490 | |||||
3.50%, 08/18/2026 | 1,965,000 | 1,797,737 | ||||||
Latam Airlines 2015-1 Pass Through Trust A | ||||||||
4.20%, 11/15/2027 | 2,647,488 | 2,382,740 | ||||||
Latam Airlines 2015-1 Pass Through Trust B | ||||||||
4.50%, 11/15/2023 | 384,001 | 326,401 | ||||||
Lennar Corp. |
4.75%, 11/29/2027 | 4,275,000 | 4,264,313 | ||||||
4.88%, 12/15/2023 | 510,000 | 499,800 | ||||||
Live Nation Entertainment, Inc. | ||||||||
4.75%, 10/15/2027(2) | 1,819,000 | 1,628,005 | ||||||
Lowe’s Cos, Inc. | ||||||||
4.50%, 04/15/2030 | 4,900,000 | 5,406,418 | ||||||
5.13%, 04/15/2050 | 1,290,000 | 1,553,852 | ||||||
Magna International, Inc. | ||||||||
4.15%, 10/01/2025 | 665,000 | 728,692 | ||||||
McDonald’s Corp. | ||||||||
3.60%, 07/01/2030 | 3,430,000 | 3,592,242 | ||||||
3.63%, 09/01/2049 | 7,795,000 | 7,897,240 | ||||||
Melco Resorts Finance Ltd. | ||||||||
5.38%, 12/04/2029(2) | 2,900,000 | 2,494,920 | ||||||
5.63%, 07/17/2027(2) | 400,000 | 348,263 | ||||||
MGM China Holdings Ltd. | ||||||||
5.88%, 05/15/2026(2) | 700,000 | 616,000 | ||||||
Mitchells & Butlers Finance Plc | ||||||||
1.19% (3 Month LIBOR USD + 0.45%), 12/15/2030(1) | 9,326,408 | 8,574,626 | ||||||
6.01%, 12/15/2028 | GBP | 312,729 | 446,188 | |||||
Mitsubishi Corp. | ||||||||
2.63%, 07/14/2022 | $ | 200,000 | 196,897 | |||||
Nissan Motor Acceptance Corp. | ||||||||
1.90%, 09/14/2021(2) | 481,000 | 454,430 | ||||||
2.74% (3 Month LIBOR USD + 0.89%), 01/13/2022(1)(2) | 700,000 | 680,796 | ||||||
3.15%, 03/15/2021(2) | 400,000 | 394,144 | ||||||
3.65%, 09/21/2021(2) | 300,000 | 293,849 | ||||||
Panasonic Corp. | ||||||||
2.54%, 07/19/2022(2) | 985,000 | 969,769 | ||||||
PetSmart, Inc. | ||||||||
5.88%, 06/01/2025(2) | 172,000 | 169,420 | ||||||
QVC, Inc. | ||||||||
4.38%, 03/15/2023 | 4,322,000 | 4,087,089 | ||||||
4.45%, 02/15/2025 | 482,000 | 396,603 | ||||||
4.85%, 04/01/2024 | 3,107,000 | 2,687,597 | ||||||
5.13%, 07/02/2022 | 4,255,000 | 3,569,279 | ||||||
Rite Aid Corp. | ||||||||
6.13%, 04/01/2023(2) | 1,911,000 | 1,643,460 | ||||||
Sands China Ltd. | ||||||||
4.60%, 08/08/2023 | 4,200,000 | 4,294,458 | ||||||
5.13%, 08/08/2025 | 1,600,000 | 1,504,000 | ||||||
5.40%, 08/08/2028 | 2,000,000 | 1,874,020 | ||||||
Southwest Airlines Co. 2007-1 Pass Through Trust |
6.65%, 08/01/2022 | 68,160 | 67,807 | ||||||
Staples, Inc. | ||||||||
7.50%, 04/15/2026(2) | 111,000 | 97,126 | ||||||
Starbucks Corp. | ||||||||
2.25%, 03/12/2030 | 310,000 | 289,258 | ||||||
3.80%, 08/15/2025 | 5,465,000 | 5,808,736 | ||||||
Toyota Motor Credit Corp. | ||||||||
2.65%, 04/12/2022 | 17,580,000 | 17,740,887 | ||||||
2.95%, 04/13/2021 | 14,545,000 | 14,600,145 | ||||||
Toyota Motor Finance Netherlands BV | ||||||||
2.76%, 04/26/2021 | 1,500,000 | 1,500,265 | ||||||
United Airlines 2016-1 Class B Pass Through Trust | ||||||||
3.65%, 01/07/2026 | 1,396,366 | 1,131,073 | ||||||
United Airlines 2016-2 Class B Pass Through Trust | ||||||||
3.65%, 10/07/2025 | 1,785,856 | 1,663,813 | ||||||
United Airlines 2018-1 Class A Pass Through Trust | ||||||||
3.70%, 03/01/2030 | 597,137 | 570,985 | ||||||
United Airlines 2018-1 Class B Pass Through Trust | ||||||||
4.60%, 03/01/2026 | 5,932,557 | 5,139,724 | ||||||
United Airlines 2019-2 Class A Pass Through Trust | ||||||||
2.90%, 05/01/2028 | 1,495,000 | 1,345,500 | ||||||
United Airlines 2019-2 Class AA Pass Through Trust | ||||||||
2.70%, 05/01/2032 | 930,000 | 835,267 | ||||||
United Airlines 2019-2 Class B Pass Through Trust | ||||||||
3.50%, 05/01/2028 | 1,540,000 | 1,202,233 | ||||||
US Airways 2011-1 Class A Pass Through Trust | ||||||||
7.13%, 10/22/2023 | 1,502,464 | 1,623,334 | ||||||
US Airways 2013-1 Class A Pass Through Trust | ||||||||
3.95%, 11/15/2025 | 1,477,595 | 1,476,717 | ||||||
Volkswagen Bank GmbH | ||||||||
0.00% (3 Month EURIBOR + 0.42%), 06/15/2021(1)(5) | EUR | 1,400,000 | 1,522,088 | |||||
0.63%, 09/08/2021 | 7,500,000 | 8,148,004 | ||||||
1.88%, 01/31/2024 | 300,000 | 324,349 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
2.06% (3 Month LIBOR USD + 0.86%), 09/24/2021(1)(2) | $ | 4,300,000 | 3,938,148 | |||||
2.48% (3 Month LIBOR USD + 0.77%), 11/13/2020(1)(2) | 8,300,000 | 8,195,262 | ||||||
2.50%, 09/24/2021(2) | 2,350,000 | 2,290,243 | ||||||
2.65% (3 Month LIBOR USD + 0.94%), 11/12/2021(1)(2) | 8,300,000 | 8,122,372 | ||||||
2.70%, 09/26/2022(2) | 6,040,000 | 5,840,264 | ||||||
2.85%, 09/26/2024(2) | 2,640,000 | 2,488,774 | ||||||
3.20%, 09/26/2026(2) | 2,970,000 | 2,856,765 | ||||||
4.00%, 11/12/2021(2) | 8,800,000 | 8,703,725 | ||||||
4.63%, 11/13/2025(2) | 6,525,000 | 6,732,780 |
Volkswagen Leasing GmbH | ||||||||
0.07% (3 Month EURIBOR + 0.45%), 07/06/2021(1)(5) | EUR | 400,000 | 434,181 | |||||
1.63%, 08/15/2025 | 3,095,000 | 3,220,389 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
3.80%, 11/18/2024 | $ | 2,550,000 | 2,620,170 | |||||
4.80%, 11/18/2044 | 926,000 | 909,656 | ||||||
Wyndham Destinations, Inc. | ||||||||
3.90%, 03/01/2023 | 1,170,000 | 982,800 | ||||||
4.25%, 03/01/2022 | 40,000 | 35,288 | ||||||
5.40%, 04/01/2024 | 72,000 | 60,840 | ||||||
5.75%, 04/01/2027 | 6,035,000 | 5,039,225 | ||||||
6.35%, 10/01/2025 | 1,120,000 | 940,800 | ||||||
Wynn Macau Ltd. | ||||||||
5.13%, 12/15/2029(2) | 600,000 | 504,000 | ||||||
5.50%, 10/01/2027(2) | 2,000,000 | 1,774,030 | ||||||
Yum! Brands, Inc. | ||||||||
4.75%, 01/15/2030(2) | 520,000 | 484,328 | ||||||
7.75%, 04/01/2025(2) | 1,870,000 | 1,963,500 | ||||||
ZF North America Capital, Inc. | ||||||||
4.00%, 04/29/2020(2) | 1,910,000 | 1,900,450 | ||||||
4.50%, 04/29/2022(2) | 1,050,000 | 980,211 | ||||||
4.75%, 04/29/2025(2) | 3,190,000 | 2,676,020 | ||||||
|
| |||||||
Total Consumer, Cyclical | 565,718,977 | |||||||
|
| |||||||
Consumer, Non-cyclical – 5.71% | ||||||||
AA Bond Co. Ltd. | ||||||||
2.88%, 01/31/2022 | GBP | 5,547,000 | 6,490,519 | |||||
4.25%, 07/31/2020 | 10,080,000 | 12,273,916 | ||||||
AbbVie, Inc. | ||||||||
2.85%, 05/14/2023 | $ | 1,000,000 | 1,013,667 | |||||
2.95%, 11/21/2026(2) | 7,020,000 | 7,152,378 | ||||||
3.20%, 11/21/2029(2) | 715,000 | 729,424 | ||||||
3.60%, 05/14/2025 | 7,845,000 | 8,265,272 | ||||||
4.05%, 11/21/2039(2) | 6,934,000 | 7,271,836 | ||||||
4.25%, 11/14/2028 | 4,500,000 | 4,866,713 | ||||||
4.25%, 11/21/2049(2) | 11,625,000 | 12,539,528 | ||||||
4.40%, 11/06/2042 | 1,994,000 | 2,215,826 | ||||||
4.45%, 05/14/2046 | 5,880,000 | 6,248,535 | ||||||
4.70%, 05/14/2045 | 5,020,000 | 5,639,632 | ||||||
4.88%, 11/14/2048 | 5,355,000 | 6,246,641 | ||||||
Aetna, Inc. | ||||||||
2.80%, 06/15/2023 | 3,388,000 | 3,408,896 | ||||||
3.50%, 11/15/2024 | 3,370,000 | 3,427,584 | ||||||
Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC |
5.75%, 03/15/2025 | 2,320,000 | 2,317,123 | ||||||
7.50%, 03/15/2026(2) | 1,640,000 | 1,767,592 | ||||||
Allergan Finance LLC | ||||||||
3.25%, 10/01/2022 | 9,250,000 | 9,273,578 | ||||||
Allergan Funding SCS | ||||||||
2.63%, 11/15/2028 | EUR | 1,510,000 | 1,719,380 | |||||
3.45%, 03/15/2022 | $ | 380,000 | 394,488 | |||||
3.80%, 03/15/2025 | 3,618,000 | 3,704,893 | ||||||
Allergan Sales LLC | ||||||||
5.00%, 12/15/2021(2) | 3,000,000 | 3,107,750 | ||||||
Altria Group, Inc. | ||||||||
4.80%, 02/14/2029 | 1,390,000 | 1,454,395 | ||||||
5.80%, 02/14/2039 | 11,870,000 | 13,006,620 | ||||||
5.95%, 02/14/2049 | 400,000 | 465,390 | ||||||
Amgen, Inc. | ||||||||
2.60%, 08/19/2026 | 3,200,000 | 3,285,976 | ||||||
4.40%, 05/01/2045 | 5,601,000 | 6,540,271 | ||||||
4.66%, 06/15/2051 | 1,770,000 | 2,228,968 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.60%, 04/15/2048 | 5,200,000 | 5,508,498 | ||||||
4.90%, 02/01/2046 | 2,455,000 | 2,679,650 | ||||||
Anthem, Inc. | ||||||||
2.50%, 11/21/2020 | 15,420,000 | 15,364,497 | ||||||
3.65%, 12/01/2027 | 2,580,000 | 2,664,285 | ||||||
4.38%, 12/01/2047 | 1,000,000 | 1,076,436 | ||||||
4.63%, 05/15/2042 | 1,838,000 | 2,044,377 | ||||||
4.65%, 01/15/2043 | 2,562,000 | 2,889,719 | ||||||
Ascension Health | ||||||||
3.95%, 11/15/2046 | 825,000 | 958,112 | ||||||
Ashtead Capital, Inc. | ||||||||
5.25%, 08/01/2026(2) | 4,585,000 | 4,367,212 | ||||||
Avon International Capital Plc | ||||||||
6.50%, 08/15/2022(2) | 184,000 | 162,840 | ||||||
B&G Foods, Inc. | ||||||||
5.25%, 09/15/2027 | 1,390,000 | 1,355,250 | ||||||
Bacardi Ltd. | ||||||||
4.70%, 05/15/2028(2) | 2,047,000 | 2,188,973 | ||||||
5.30%, 05/15/2048(2) | 2,730,000 | 2,965,470 | ||||||
BAT Capital Corp. | ||||||||
2.76%, 08/15/2022 | 3,124,000 | 3,076,788 | ||||||
3.56%, 08/15/2027 | 7,240,000 | 6,818,877 | ||||||
4.54%, 08/15/2047 | 10,555,000 | 9,632,193 | ||||||
BAT International Finance Plc |
3.25%, 06/07/2022(2) | 2,978,000 | 2,964,258 | ||||||
3.50%, 06/15/2022(2) | 326,000 | 324,649 | ||||||
Bausch Health Americas, Inc. | ||||||||
8.50%, 01/31/2027(2) | 1,395,000 | 1,457,775 | ||||||
Bausch Health Cos, Inc. | ||||||||
5.50%, 11/01/2025(2) | 4,400,000 | 4,445,320 | ||||||
5.75%, 08/15/2027(2) | 1,080,000 | 1,111,968 | ||||||
Bayer US Finance II LLC | ||||||||
1.85% (3 Month LIBOR USD + 0.63%), 06/25/2021(1)(2) | 1,500,000 | 1,452,085 | ||||||
2.75%, 07/15/2021(2) | 5,312,000 | 5,255,244 | ||||||
3.38%, 07/15/2024(2) | 915,000 | 918,830 | ||||||
3.50%, 06/25/2021(2) | 800,000 | 801,549 | ||||||
3.88%, 12/15/2023(2) | 10,865,000 | 11,117,359 | ||||||
4.25%, 12/15/2025(2) | 5,060,000 | 5,256,658 | ||||||
4.38%, 12/15/2028(2) | 12,685,000 | 13,557,941 | ||||||
4.40%, 07/15/2044(2) | 4,200,000 | 4,158,712 | ||||||
4.88%, 06/25/2048(2) | 11,025,000 | 12,707,867 | ||||||
Bayer US Finance LLC | ||||||||
3.00%, 10/08/2021(2) | 900,000 | 890,880 | ||||||
3.38%, 10/08/2024(2) | 5,000,000 | 5,131,839 | ||||||
Becton Dickinson & Co. | ||||||||
2.89%, 06/06/2022 | 6,000,000 | 6,004,940 | ||||||
3.25%, 11/12/2020 | 2,100,000 | 2,098,351 | ||||||
3.36%, 06/06/2024 | 5,185,000 | 5,196,216 | ||||||
3.70%, 06/06/2027 | 13,027,000 | 13,238,449 | ||||||
3.73%, 12/15/2024 | 2,152,000 | 2,206,342 | ||||||
4.67%, 06/06/2047 | 3,490,000 | 3,765,522 | ||||||
7.00%, 08/01/2027 | 361,000 | 430,613 | ||||||
Biogen, Inc. | ||||||||
2.90%, 09/15/2020 | 4,000,000 | 4,011,608 | ||||||
Boston Scientific Corp. | ||||||||
3.38%, 05/15/2022 | 600,000 | 619,005 | ||||||
BRF GmbH | ||||||||
4.35%, 09/29/2026 | 4,643,000 | 3,964,658 | ||||||
BRF SA | ||||||||
4.88%, 01/24/2030 | 6,857,000 | 5,759,880 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.55%, 08/15/2022(2) | 975,000 | 1,027,537 | ||||||
5.25%, 08/15/2043(2) | 1,940,000 | 2,647,776 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.75%, 09/25/2027 | 4,565,000 | 4,170,411 | ||||||
Campbell Soup Co. | ||||||||
1.37% (3 Month LIBOR USD + 0.63%), 03/15/2021(1) | 1,324,000 | 1,281,893 |
3.30%, 03/15/2021 | 100,000 | 99,750 | ||||||
Cardinal Health, Inc. | ||||||||
3.75%, 09/15/2025 | 3,935,000 | 4,049,155 | ||||||
4.50%, 11/15/2044 | 905,000 | 898,977 | ||||||
4.90%, 09/15/2045 | 960,000 | 1,009,116 | ||||||
Centene Corp. | ||||||||
3.38%, 02/15/2030(2) | 14,295,000 | 13,294,350 | ||||||
4.63%, 12/15/2029(2) | 8,275,000 | 8,316,375 | ||||||
4.75%, 05/15/2022 | 383,000 | 384,915 | ||||||
5.38%, 06/01/2026(2) | 3,100,000 | 3,193,341 | ||||||
5.38%, 08/15/2026(2) | 5,000,000 | 5,100,000 | ||||||
China Merchants Finance Co. Ltd. | ||||||||
3.50%, 08/03/2020 | 700,000 | 703,227 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
6.25%, 03/31/2023 | 28,091,000 | 26,668,893 | ||||||
6.63%, 02/15/2025(2) | 3,869,000 | 3,578,825 | ||||||
8.00%, 03/15/2026(2) | 4,312,000 | 4,096,400 | ||||||
8.63%, 01/15/2024(2) | 8,172,000 | 8,067,317 | ||||||
Cigna Corp. | ||||||||
2.40%, 03/15/2030 | 6,755,000 | 6,389,758 | ||||||
3.05%, 11/30/2022(2) | 800,000 | 820,190 | ||||||
3.05%, 10/15/2027(2) | 4,115,000 | 4,093,487 | ||||||
3.20%, 09/17/2020 | 11,060,000 | 11,075,936 | ||||||
3.40%, 03/01/2027(2) | 11,228,000 | 11,388,130 | ||||||
3.40%, 03/15/2050 | 3,000,000 | 2,857,429 | ||||||
4.13%, 11/15/2025 | 2,105,000 | 2,253,960 | ||||||
4.38%, 10/15/2028 | 15,030,000 | 16,166,863 | ||||||
4.50%, 02/25/2026(2) | 16,415,000 | 17,724,435 | ||||||
4.80%, 08/15/2038 | 3,350,000 | 3,764,956 | ||||||
4.90%, 12/15/2048 | 13,800,000 | 16,680,000 | ||||||
Cintas Corp. No 2 | ||||||||
4.30%, 06/01/2021 | 165,000 | 170,350 | ||||||
Coca-Cola Co. | ||||||||
3.15%, 11/15/2020 | 2,949,000 | 2,967,391 | ||||||
CVS Health Corp. | ||||||||
3.25%, 08/15/2029 | 8,640,000 | 8,415,095 | ||||||
3.70%, 03/09/2023 | 900,000 | 936,889 | ||||||
3.75%, 04/01/2030 | 5,050,000 | 5,225,179 | ||||||
4.10%, 03/25/2025 | 8,335,000 | 8,771,895 | ||||||
4.75%, 12/01/2022(2) | 56,000 | 59,283 | ||||||
5.05%, 03/25/2048 | 36,010,000 | 40,893,167 | ||||||
5.13%, 07/20/2045 | 3,735,000 | 4,282,700 | ||||||
CVS Pass-Through Trust |
5.77%, 01/10/2033(2) | 65,355 | 79,978 | ||||||
5.77%, 01/10/2033 | 2,399,977 | 2,936,985 | ||||||
6.04%, 12/10/2028 | 1,348,705 | 1,463,826 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036(2) | 10,568,056 | 11,865,499 | ||||||
Danone SA | ||||||||
2.08%, 11/02/2021(2) | 1,949,000 | 1,950,908 | ||||||
3.00%, 06/15/2022(2) | 11,845,000 | 12,031,220 | ||||||
DP World Crescent Ltd. | ||||||||
4.85%, 09/26/2028 | 1,050,000 | 957,522 | ||||||
DP World Plc | ||||||||
2.38%, 09/25/2026(2) | EUR | 400,000 | 407,949 | |||||
4.25%, 09/25/2030(2) | GBP | 200,000 | 223,844 | |||||
Elanco Animal Health, Inc. | ||||||||
5.02%, 08/28/2023 | $ | 2,840,000 | 2,872,662 | |||||
5.65%, 08/28/2028 | 4,195,000 | 4,426,990 | ||||||
Encompass Health Corp. | ||||||||
4.75%, 02/01/2030 | 2,977,000 | 2,932,345 | ||||||
Equifax, Inc. | ||||||||
3.60%, 08/15/2021 | 4,485,000 | 4,473,069 | ||||||
ERAC USA Finance LLC | ||||||||
2.60%, 12/01/2021(2) | 1,180,000 | 1,181,209 | ||||||
3.80%, 11/01/2025(2) | 4,605,000 | 4,779,892 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
4.13%, 10/15/2020(2) | 114,000 | 113,263 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
5.75%, 02/15/2021(2) | 570,000 | 584,536 | ||||||
G4S International Finance Plc | ||||||||
1.50%, 01/09/2023 | EUR | 100,000 | 108,320 | |||||
General Mills, Inc. | ||||||||
3.20%, 04/16/2021 | $ | 1,645,000 | 1,660,495 | |||||
George Washington University | ||||||||
3.55%, 09/15/2046 | 740,000 | 774,032 | ||||||
Gilead Sciences, Inc. | ||||||||
4.60%, 09/01/2035 | 3,961,000 | 5,080,113 | ||||||
4.75%, 03/01/2046 | 375,000 | 479,550 | ||||||
GlaxoSmithKline Capital Plc | ||||||||
3.13%, 05/14/2021 | 8,775,000 | 8,894,175 | ||||||
Global Payments, Inc. | ||||||||
2.65%, 02/15/2025 | 319,000 | 316,198 | ||||||
Greene King Finance Plc | ||||||||
4.06%, 03/15/2035 | GBP | 3,756,015 | 5,204,454 | |||||
5.11%, 03/15/2034 | 450,000 | 656,811 |
HCA, Inc. | ||||||||
3.50%, 09/01/2030 | $ | 1,684,000 | 1,528,872 | |||||
4.50%, 02/15/2027 | 12,510,000 | 12,877,124 | ||||||
5.00%, 03/15/2024 | 7,416,000 | 7,679,523 | ||||||
5.13%, 06/15/2039 | 3,000,000 | 3,098,532 | ||||||
5.25%, 04/15/2025 | 10,979,000 | 11,516,462 | ||||||
5.25%, 06/15/2026 | 3,755,000 | 3,938,888 | ||||||
5.25%, 06/15/2049 | 24,180,000 | 25,811,324 | ||||||
5.38%, 02/01/2025 | 810,000 | 824,167 | ||||||
5.88%, 05/01/2023 | 844,000 | 881,026 | ||||||
5.88%, 02/01/2029 | 980,000 | 1,036,350 | ||||||
7.50%, 11/06/2033 | 1,035,000 | 1,055,700 | ||||||
Hill-Rom Holdings, Inc. | ||||||||
4.38%, 09/15/2027(2) | 835,000 | 822,475 | ||||||
Hologic, Inc. | ||||||||
4.63%, 02/01/2028(2) | 3,215,000 | 3,182,850 | ||||||
Humana, Inc. | ||||||||
3.15%, 12/01/2022 | 3,503,000 | 3,494,776 | ||||||
3.85%, 10/01/2024 | 4,014,000 | 4,082,689 | ||||||
3.95%, 08/15/2049 | 520,000 | 513,516 | ||||||
4.95%, 10/01/2044 | 670,000 | 761,428 | ||||||
IHS Markit Ltd. | ||||||||
4.00%, 03/01/2026(2) | 500,000 | 496,800 | ||||||
4.25%, 05/01/2029 | 60,000 | 63,451 | ||||||
4.75%, 02/15/2025(2) | 3,900,000 | 4,099,095 | ||||||
4.75%, 08/01/2028 | 3,425,000 | 3,584,468 | ||||||
5.00%, 11/01/2022(2) | 5,186,000 | 5,447,413 | ||||||
Imperial Brands Finance Plc | ||||||||
3.75%, 07/21/2022(2) | 3,710,000 | 3,708,424 | ||||||
IQVIA, Inc. | ||||||||
2.88%, 09/15/2025(2) | EUR | 100,000 | 107,566 | |||||
Japan Tobacco, Inc. | ||||||||
2.00%, 04/13/2021 | $ | 5,230,000 | 5,218,530 | |||||
JBS USA LUX SA / JBS USA Finance, Inc. | ||||||||
5.75%, 06/15/2025(2) | 3,530,000 | 3,565,300 | ||||||
6.75%, 02/15/2028(2) | 2,130,000 | 2,273,775 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. | ||||||||
5.50%, 01/15/2030(2) | 5,675,000 | 5,859,438 | ||||||
6.50%, 04/15/2029(2) | 735,000 | 788,435 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
3.20%, 11/15/2021 | 500,000 | 499,669 | ||||||
3.55%, 05/25/2021 | 9,364,000 | 9,472,592 | ||||||
Kraft Heinz Foods Co. |
2.30% (3 Month LIBOR USD + 0.57%), 02/10/2021(1) | 450,000 | 425,646 | ||||||
2.80%, 07/02/2020 | 132,000 | 131,020 | ||||||
3.00%, 06/01/2026 | 2,108,000 | 2,048,453 | ||||||
3.38%, 06/15/2021 | 10,130,000 | 10,148,637 | ||||||
3.95%, 07/15/2025 | 102,000 | 100,283 | ||||||
4.38%, 06/01/2046 | 20,816,000 | 18,774,182 | ||||||
4.88%, 02/15/2025(2) | 1,503,000 | 1,506,380 | ||||||
4.88%, 10/01/2049(2) | 15,875,000 | 14,452,100 | ||||||
5.00%, 07/15/2035 | 1,000,000 | 997,196 | ||||||
5.00%, 06/04/2042 | 8,171,000 | 7,745,017 | ||||||
5.20%, 07/15/2045 | 5,605,000 | 5,394,654 | ||||||
Kroger Co. | ||||||||
5.40%, 01/15/2049 | 3,561,000 | 4,290,682 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022 | 1,913,000 | 1,893,870 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
2.00%, 10/28/2021(2) | 3,420,000 | 3,404,952 | ||||||
Mylan NV | ||||||||
5.25%, 06/15/2046 | 5,065,000 | 4,838,908 | ||||||
Mylan, Inc. | ||||||||
5.20%, 04/15/2048 | 1,145,000 | 1,027,792 | ||||||
5.40%, 11/29/2043 | 1,290,000 | 1,286,324 | ||||||
NBM US Holdings, Inc. | ||||||||
7.00%, 05/14/2026(2) | 4,955,000 | 4,496,663 | ||||||
New York & Presbyterian Hospital | ||||||||
3.56%, 08/01/2036 | 2,630,000 | 2,785,932 | ||||||
NYU Langone Hospitals | ||||||||
4.43%, 07/01/2042 | 2,000,000 | 2,175,264 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA | ||||||||
6.63%, 05/15/2022(2) | 804,000 | 759,780 | ||||||
7.25%, 02/01/2028(2) | 944,000 | 811,746 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.50%, 04/01/2027(2) | 879,000 | 874,605 | ||||||
Partners Healthcare System, Inc. | ||||||||
3.34%, 07/01/2060 | 3,375,000 | 3,300,260 | ||||||
Pernod Ricard SA | ||||||||
4.25%, 07/15/2022(2) | 1,600,000 | 1,612,751 | ||||||
4.45%, 01/15/2022(2) | 2,700,000 | 2,773,517 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.90%, 12/15/2024 | 1,980,000 | 1,944,200 | ||||||
4.38%, 03/15/2026 | 5,490,000 | 5,672,250 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.88%, 09/30/2027(2) | 530,000 | 528,092 |
Post Holdings, Inc. | ||||||||
4.63%, 04/15/2030(2) | 505,000 | 483,538 | ||||||
5.00%, 08/15/2026(2) | 1,570,000 | 1,615,766 | ||||||
5.75%, 03/01/2027(2) | 4,806,000 | 4,924,756 | ||||||
Reckitt Benckiser Treasury Services Plc | ||||||||
2.38%, 06/24/2022(2) | 6,030,000 | 5,918,460 | ||||||
Rede D’or Finance Sarl | ||||||||
4.50%, 01/22/2030(2) | 6,900,000 | 5,985,750 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
4.50%, 05/15/2026 | EUR | 1,200,000 | 1,310,245 | |||||
RELX Capital, Inc. | ||||||||
3.50%, 03/16/2023 | $ | 1,153,000 | 1,200,417 | |||||
Reynolds American, Inc. | ||||||||
3.25%, 06/12/2020 | 750,000 | 747,750 | ||||||
3.25%, 11/01/2022 | 1,215,000 | 1,177,775 | ||||||
4.00%, 06/12/2022 | 900,000 | 911,452 | ||||||
4.45%, 06/12/2025 | 10,905,000 | 11,105,099 | ||||||
5.70%, 08/15/2035 | 3,650,000 | 4,018,828 | ||||||
5.85%, 08/15/2045 | 9,235,000 | 9,930,666 | ||||||
6.88%, 05/01/2020 | 1,000,000 | 1,002,613 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/2021 | 773,000 | 770,107 | ||||||
Sigma Alimentos SA de CV | ||||||||
4.13%, 05/02/2026 | 3,300,000 | 3,057,483 | ||||||
Sigma Finance Netherlands BV | ||||||||
4.88%, 03/27/2028 | 2,500,000 | 2,388,538 | ||||||
Smithfield Foods, Inc. | ||||||||
4.25%, 02/01/2027(2) | 1,290,000 | 1,197,504 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75%, 07/15/2025 | 2,142,000 | 2,002,770 | ||||||
6.13%, 12/15/2024 | 500,000 | 477,500 | ||||||
Suntory Holdings Ltd. | ||||||||
2.55%, 06/28/2022(2) | 810,000 | 809,755 | ||||||
Takeda Pharmaceutical Co. Ltd. | ||||||||
4.00%, 11/26/2021 | 9,350,000 | 9,469,970 | ||||||
Teleflex, Inc. | ||||||||
4.63%, 11/15/2027 | 2,272,000 | 2,269,501 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63%, 07/15/2024 | 820,000 | 781,050 | ||||||
4.63%, 09/01/2024(2) | 4,500,000 | 4,310,100 | ||||||
4.88%, 01/01/2026(2) | 4,987,000 | 4,750,118 | ||||||
Teva Pharmaceutical Finance Co. BV | ||||||||
2.95%, 12/18/2022 | 1,350,000 | 1,237,707 |
Teva Pharmaceutical Finance Netherlands II BV | ||||||||
0.38%, 07/25/2020 | EUR | 5,215,197 | 5,640,680 | |||||
1.25%, 03/31/2023 | 300,000 | 289,878 | ||||||
3.25%, 04/15/2022 | 1,300,000 | 1,363,773 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
2.20%, 07/21/2021 | $ | 11,174,000 | 10,673,181 | |||||
2.80%, 07/21/2023 | 4,490,000 | 4,097,080 | ||||||
3.15%, 10/01/2026 | 5,355,000 | 4,510,784 | ||||||
4.10%, 10/01/2046 | 590,000 | 430,700 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
0.13%, 03/01/2025 | EUR | 1,290,000 | 1,336,086 | |||||
Transurban Finance Co. Pty Ltd. | ||||||||
3.38%, 03/22/2027(2) | $ | 2,635,000 | 2,799,565 | |||||
Unilever Capital Corp. | ||||||||
3.00%, 03/07/2022 | 5,625,000 | 5,812,471 | ||||||
UnitedHealth Group, Inc. | ||||||||
3.50%, 08/15/2039 | 1,430,000 | 1,537,936 | ||||||
3.70%, 08/15/2049 | 475,000 | 528,578 | ||||||
3.88%, 12/15/2028 | 1,070,000 | 1,205,379 | ||||||
3.88%, 08/15/2059 | 1,367,000 | 1,489,050 | ||||||
4.20%, 01/15/2047 | 1,288,000 | 1,526,721 | ||||||
4.25%, 06/15/2048 | 5,000,000 | 5,921,576 | ||||||
4.75%, 07/15/2045 | 1,712,000 | 2,182,865 | ||||||
Universal Health Services, Inc. | ||||||||
4.75%, 08/01/2022(2) | 7,595,000 | 7,552,316 | ||||||
5.00%, 06/01/2026(2) | 7,497,000 | 7,478,258 | ||||||
University of Chicago | ||||||||
2.76%, 04/01/2045 | 3,170,000 | 2,995,281 | ||||||
US Renal Care, Inc. | ||||||||
10.63%, 07/15/2027(2) | 558,000 | 468,720 | ||||||
Verisk Analytics, Inc. | ||||||||
4.13%, 03/15/2029 | 3,835,000 | 4,048,296 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
1.80% (3 Month LIBOR USD + 0.75%), 03/19/2021(1) | 970,000 | 958,308 | ||||||
2.70%, 04/01/2020 | 2,125,000 | 2,125,000 | ||||||
3.15%, 04/01/2022 | 640,000 | 639,930 | ||||||
3.55%, 03/20/2030 | 790,000 | 789,616 | ||||||
3.70%, 03/19/2023 | 3,145,000 | 3,222,677 | ||||||
Zoetis, Inc. | ||||||||
3.45%, 11/13/2020 | 600,000 | 594,113 | ||||||
|
| |||||||
Total Consumer, Non-cyclical | 1,050,205,532 | |||||||
|
|
Diversified – 0.05% | ||||||||
CVS Pass-Through Trust | ||||||||
4.70%, 01/10/2036(2) | 4,308,142 | 5,075,050 | ||||||
Hutchison Whampoa International 14 Ltd. | ||||||||
3.63%, 10/31/2024 | 4,700,000 | 4,826,816 | ||||||
|
| |||||||
Total Diversified | 9,901,866 | |||||||
|
| |||||||
Energy – 3.06% | ||||||||
Aker BP ASA | ||||||||
3.00%, 01/15/2025(2) | 1,645,000 | 1,306,018 | ||||||
3.75%, 01/15/2030(2) | 5,720,000 | 4,281,308 | ||||||
5.88%, 03/31/2025(2) | 4,870,000 | 4,309,908 | ||||||
Antero Resources Corp. | ||||||||
5.00%, 03/01/2025 | 5,461,000 | 2,020,570 | ||||||
5.13%, 12/01/2022 | 1,893,000 | 984,360 | ||||||
5.63%, 06/01/2023 | 1,250,000 | 500,000 | ||||||
APT Pipelines Ltd. | ||||||||
3.88%, 10/11/2022(2) | 1,360,000 | 1,397,349 | ||||||
4.25%, 07/15/2027(2) | 11,420,000 | 11,891,166 | ||||||
BG Energy Capital Plc | ||||||||
4.00%, 10/15/2021(2) | 1,100,000 | 1,104,191 | ||||||
Boardwalk Pipelines LP | ||||||||
3.38%, 02/01/2023 | 330,000 | 283,468 | ||||||
4.95%, 12/15/2024 | 2,655,000 | 2,150,330 | ||||||
5.95%, 06/01/2026 | 8,415,000 | 6,832,335 | ||||||
BP Capital Markets America, Inc. | ||||||||
2.11%, 09/16/2021 | 5,210,000 | 5,146,442 | ||||||
3.00%, 02/24/2050 | 3,555,000 | 3,305,086 | ||||||
4.74%, 03/11/2021 | 3,025,000 | 3,068,667 | ||||||
Cameron LNG LLC | ||||||||
2.90%, 07/15/2031(2) | 1,630,000 | 1,430,320 | ||||||
3.30%, 01/15/2035(2) | 1,785,000 | 1,547,233 | ||||||
3.70%, 01/15/2039(2) | 1,330,000 | 1,179,765 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.45%, 11/15/2021 | 1,320,000 | 1,232,001 | ||||||
3.85%, 06/01/2027 | 890,000 | 704,711 | ||||||
6.25%, 03/15/2038 | 1,345,000 | 1,043,046 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.70%, 11/15/2029(2) | 16,815,000 | 12,574,833 | ||||||
5.13%, 06/30/2027 | 1,300,000 | 1,163,661 | ||||||
Cheniere Energy Partners LP | ||||||||
4.50%, 10/01/2029(2) | 1,905,000 | 1,695,450 | ||||||
5.25%, 10/01/2025 | 510,000 | 474,300 | ||||||
Chevron Corp. | ||||||||
2.42%, 11/17/2020 | 1,550,000 | 1,544,249 | ||||||
2.43%, 06/24/2020 | 1,545,000 | 1,543,098 |
Continental Resources, Inc. | ||||||||
3.80%, 06/01/2024 | 14,050,000 | 7,095,062 | ||||||
4.38%, 01/15/2028 | 4,800,000 | 2,230,034 | ||||||
DCP Midstream Operating LP | ||||||||
6.75%, 09/15/2037(2) | 1,830,000 | 988,200 | ||||||
8.13%, 08/16/2030 | 205,000 | 123,021 | ||||||
Diamondback Energy, Inc. | ||||||||
2.88%, 12/01/2024 | 4,750,000 | 3,318,389 | ||||||
3.25%, 12/01/2026 | 4,940,000 | 3,486,249 | ||||||
3.50%, 12/01/2029 | 17,645,000 | 12,443,469 | ||||||
5.38%, 05/31/2025 | 7,025,000 | 5,180,379 | ||||||
Energy Transfer Operating LP | ||||||||
2.90%, 05/15/2025 | 6,950,000 | 5,868,498 | ||||||
4.05%, 03/15/2025 | 4,555,000 | 3,982,911 | ||||||
4.50%, 04/15/2024 | 985,000 | 878,651 | ||||||
4.65%, 06/01/2021 | 860,000 | 837,807 | ||||||
4.75%, 01/15/2026 | 4,720,000 | 4,170,677 | ||||||
4.95%, 06/15/2028 | 2,235,000 | 1,850,338 | ||||||
5.00%, 05/15/2050 | 10,120,000 | 7,811,855 | ||||||
5.15%, 03/15/2045 | 700,000 | 541,784 | ||||||
5.25%, 04/15/2029 | 2,155,000 | 1,824,824 | ||||||
5.50%, 06/01/2027 | 5,105,000 | 4,463,187 | ||||||
5.88%, 01/15/2024 | 4,196,000 | 3,962,638 | ||||||
6.00%, 06/15/2048 | 3,990,000 | 3,350,200 | ||||||
6.25%, 04/15/2049 | 3,160,000 | 2,674,340 | ||||||
6.50%, 02/01/2042 | 1,000,000 | 901,516 | ||||||
Energy Transfer Partners LP | ||||||||
5.00%, 10/01/2022 | 1,600,000 | 1,456,923 | ||||||
5.88%, 03/01/2022 | 1,521,000 | 1,428,718 | ||||||
ENI SpA | ||||||||
4.75%, 09/12/2028(2) | 4,075,000 | 4,054,930 | ||||||
EnLink Midstream Partners LP | ||||||||
4.15%, 06/01/2025 | 5,600,000 | 2,714,320 | ||||||
5.05%, 04/01/2045 | 3,141,000 | 1,145,523 | ||||||
5.45%, 06/01/2047 | 6,940,000 | 2,288,812 | ||||||
5.60%, 04/01/2044 | 7,983,000 | 2,694,263 | ||||||
EQM Midstream Partners LP | ||||||||
5.50%, 07/15/2028 | 14,782,000 | 8,214,357 | ||||||
EQT Corp. | ||||||||
3.90%, 10/01/2027 | 2,023,000 | 1,395,263 | ||||||
6.13%, 02/01/2025 | 2,525,000 | 1,944,503 | ||||||
7.00%, 02/01/2030 | 1,175,000 | 875,399 | ||||||
Exxon Mobil Corp. |
3.10%, 08/16/2049 | 4,030,000 | 4,087,328 | ||||||
3.48%, 03/19/2030 | 5,685,000 | 6,299,648 | ||||||
4.23%, 03/19/2040 | 2,505,000 | 2,901,152 | ||||||
4.33%, 03/19/2050 | 31,355,000 | 38,368,773 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
4.38%, 09/19/2022 | 3,400,000 | 3,388,984 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
4.95%, 07/19/2022 | 3,000,000 | 3,035,250 | ||||||
6.51%, 03/07/2022 | 4,045,000 | 4,181,527 | ||||||
Gulfport Energy Corp. | ||||||||
6.38%, 05/15/2025 | 215,000 | 52,138 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/2027 | 4,305,000 | 3,184,277 | ||||||
5.60%, 02/15/2041 | 4,660,000 | 3,185,026 | ||||||
KazMunayGas National Co. JSC | ||||||||
4.75%, 04/19/2027 | 4,600,000 | 4,394,987 | ||||||
5.38%, 04/24/2030 | 1,767,000 | 1,731,660 | ||||||
5.75%, 04/19/2047 | 1,187,000 | 1,177,286 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
4.25%, 09/01/2024 | 150,000 | 146,005 | ||||||
5.00%, 08/15/2042 | 30,000 | 27,715 | ||||||
Kinder Morgan, Inc. | ||||||||
4.30%, 06/01/2025 | 14,500,000 | 14,799,099 | ||||||
5.05%, 02/15/2046 | 150,000 | 152,018 | ||||||
5.30%, 12/01/2034 | 2,450,000 | 2,361,677 | ||||||
5.63%, 11/15/2023(2) | 1,195,000 | 1,248,423 | ||||||
Marathon Petroleum Corp. | ||||||||
3.80%, 04/01/2028 | 2,245,000 | 2,023,003 | ||||||
4.75%, 12/15/2023 | 1,580,000 | 1,496,001 | ||||||
5.13%, 12/15/2026 | 14,440,000 | 14,299,168 | ||||||
MPLX LP | ||||||||
4.25%, 12/01/2027(2) | 5,655,000 | 4,892,243 | ||||||
5.25%, 01/15/2025(2) | 390,000 | 343,280 | ||||||
Newfield Exploration Co. | ||||||||
5.63%, 07/01/2024 | 6,745,000 | 3,620,116 | ||||||
NGL Energy Partners LP / NGL Energy Finance Corp. | ||||||||
7.50%, 04/15/2026 | 1,850,000 | 647,500 | ||||||
Noble Holding International Ltd. | ||||||||
7.88%, 02/01/2026(2) | 306,000 | 73,440 | ||||||
Occidental Petroleum Corp. | ||||||||
2.90%, 08/15/2024 | 8,795,000 | 4,793,275 | ||||||
5.55%, 03/15/2026 | 2,820,000 | 1,503,941 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd. |
6.35%, 12/01/2021 | 132,308 | 111,139 | ||||||
Odebrecht Offshore Drilling Finance Ltd. | ||||||||
6.72%, 12/01/2022 | 46,213 | 36,970 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/2022 | 1,100,000 | 1,022,813 | ||||||
ONEOK, Inc. | ||||||||
4.25%, 02/01/2022 | 470,000 | 456,201 | ||||||
Pan American Energy LLC/Argentina | ||||||||
27.68% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 11/20/2020(1)(16) | ARS | 94,653,000 | 1,470,150 | |||||
Parsley Energy LLC / Parsley Finance Corp. | ||||||||
4.13%, 02/15/2028(2) | $ | 112,000 | 76,160 | |||||
Pertamina Persero PT | ||||||||
3.10%, 08/25/2030(2) | 3,063,000 | 2,699,217 | ||||||
6.00%, 05/03/2042 | 480,000 | 506,343 | ||||||
Peru LNG Srl | ||||||||
5.38%, 03/22/2030 | 7,615,000 | 4,492,850 | ||||||
Petrobras Global Finance BV | ||||||||
5.09%, 01/15/2030(2) | 7,528,000 | 6,869,300 | ||||||
6.13%, 01/17/2022 | 7,341,000 | 7,322,648 | ||||||
6.25%, 12/14/2026 | GBP | 4,359,000 | 5,066,065 | |||||
6.90%, 03/19/2049 | $ | 1,445,000 | 1,408,731 | |||||
7.38%, 01/17/2027 | 13,450,000 | 13,752,625 | ||||||
Petroleos de Venezuela SA | ||||||||
5.38%, 04/12/2027(6) | 2,052,000 | 123,120 | ||||||
5.50%, 04/12/2037(6) | 2,500,000 | 150,000 | ||||||
6.00%, 05/16/2024(6) | 2,312,000 | 138,720 | ||||||
6.00%, 11/15/2026(6) | 4,600,000 | 276,000 | ||||||
9.00%, 11/17/2021(6) | 200,000 | 12,000 | ||||||
9.75%, 05/17/2035(6) | 830,000 | 49,800 | ||||||
Petroleos del Peru SA | ||||||||
4.75%, 06/19/2032 | 2,378,000 | 2,164,004 | ||||||
Petroleos Mexicanos | ||||||||
5.35%, 02/12/2028 | 274,000 | 189,060 | ||||||
5.95%, 01/28/2031(2) | 8,650,000 | 5,947,740 | ||||||
6.49%, 01/23/2027(2) | 1,540,000 | 1,135,750 | ||||||
6.50%, 03/13/2027 | 1,566,000 | 1,158,997 | ||||||
6.50%, 01/23/2029 | 21,083,000 | 15,232,468 | ||||||
6.63%, 06/15/2035 | 940,000 | 632,103 | ||||||
6.75%, 09/21/2047 | 13,741,000 | 8,785,858 | ||||||
6.84%, 01/23/2030(2) | 7,010,000 | 5,071,875 | ||||||
6.95%, 01/28/2060(2) | 3,895,000 | 2,598,744 | ||||||
7.69%, 01/23/2050(2) | 11,277,000 | 7,837,515 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. |
2.85%, 01/31/2023 | 1,265,000 | 1,101,231 | ||||||
3.55%, 12/15/2029 | 800,000 | 546,569 | ||||||
4.50%, 12/15/2026 | 1,168,000 | 943,815 | ||||||
4.65%, 10/15/2025 | 1,500,000 | 1,214,082 | ||||||
QEP Resources, Inc. | ||||||||
5.25%, 05/01/2023 | 570,000 | 210,900 | ||||||
Raizen Fuels Finance SA | ||||||||
5.30%, 01/20/2027(2) | 560,000 | 532,196 | ||||||
Range Resources Corp. | ||||||||
4.88%, 05/15/2025 | 1,008,000 | 599,760 | ||||||
Rio Oil Finance Trust Series 2014-1 | ||||||||
9.25%, 07/06/2024 | 278,719 | 272,451 | ||||||
Rio Oil Finance Trust Series 2014-3 | ||||||||
9.75%, 01/06/2027 | 236,683 | 222,188 | ||||||
Rio Oil Finance Trust Series 2018-1 | ||||||||
8.20%, 04/06/2028(2) | 500,000 | 450,000 | ||||||
Rockies Express Pipeline LLC | ||||||||
4.95%, 07/15/2029(2) | 2,700,000 | 1,593,206 | ||||||
6.88%, 04/15/2040(2) | 2,535,000 | 1,524,429 | ||||||
Ruby Pipeline LLC | ||||||||
6.50%, 04/01/2022(2) | 3,674,242 | 3,242,772 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.00%, 03/15/2027 | 6,865,000 | 5,837,681 | ||||||
5.63%, 02/01/2021 | 5,222,000 | 5,137,468 | ||||||
5.63%, 03/01/2025 | 4,599,000 | 4,222,079 | ||||||
5.75%, 05/15/2024 | 1,000,000 | 938,542 | ||||||
5.88%, 06/30/2026 | 2,130,000 | 2,028,715 | ||||||
6.25%, 03/15/2022 | 2,600,000 | 2,521,868 | ||||||
Saudi Arabian Oil Co. | ||||||||
3.50%, 04/16/2029(2) | 6,300,000 | 6,227,411 | ||||||
4.25%, 04/16/2039 | 200,000 | 198,227 | ||||||
4.38%, 04/16/2049(2) | 4,200,000 | 4,173,181 | ||||||
Seven Generations Energy Ltd. | ||||||||
5.38%, 09/30/2025(2) | 10,895,000 | 5,992,250 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 1,620,000 | 1,618,310 | ||||||
4.38%, 05/11/2045 | 1,000,000 | 1,156,626 | ||||||
Southern Gas Corridor CJSC | ||||||||
6.88%, 03/24/2026 | 1,684,000 | 1,713,470 | ||||||
Southern Natural Gas Co. LLC | ||||||||
4.80%, 03/15/2047(2) | 1,000,000 | 979,663 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.00%, 10/01/2027 | 16,730,000 | 13,241,468 |
5.40%, 10/01/2047 | 9,919,000 | 7,875,504 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.88%, 01/15/2029 | 3,163,000 | 2,546,215 | ||||||
TC PipeLines LP | ||||||||
3.90%, 05/25/2027 | 3,325,000 | 3,156,304 | ||||||
4.38%, 03/13/2025 | 6,000,000 | 6,076,188 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022(2) | 6,320,000 | 6,207,064 | ||||||
Topaz Solar Farms LLC | ||||||||
4.88%, 09/30/2039(2) | 494,548 | 509,353 | ||||||
5.75%, 09/30/2039(2) | 3,764,640 | 4,144,242 | ||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||
4.00%, 03/15/2028 | 5,410,000 | 4,864,733 | ||||||
4.60%, 03/15/2048 | 3,995,000 | 3,967,674 | ||||||
TransMontaigne Partners LP / TLP Finance Corp. | ||||||||
6.13%, 02/15/2026 | 540,000 | 432,000 | ||||||
Transocean Phoenix 2 Ltd. | ||||||||
7.75%, 10/15/2024(2) | 1,465,800 | 1,264,267 | ||||||
Transocean Pontus Ltd. | ||||||||
6.13%, 08/01/2025(2) | 2,075,810 | 1,681,406 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.88%, 02/01/2027(2) | 2,280,000 | 1,846,800 | ||||||
Transocean Proteus Ltd. | ||||||||
6.25%, 12/01/2024(2) | 541,800 | 433,440 | ||||||
Transocean Sentry Ltd. | ||||||||
5.38%, 05/15/2023(2) | 500,000 | 420,000 | ||||||
Transocean, Inc. | ||||||||
7.25%, 11/01/2025(2) | 100,000 | 50,280 | ||||||
8.00%, 02/01/2027(2) | 70,000 | 33,250 | ||||||
USA Compression Partners LP / USA Compression Finance Corp. | ||||||||
6.88%, 04/01/2026 | 495,000 | 309,375 | ||||||
6.88%, 09/01/2027 | 1,310,000 | 812,200 | ||||||
Valero Energy Partners LP | ||||||||
4.50%, 03/15/2028 | 5,370,000 | 4,841,722 | ||||||
Viper Energy Partners LP | ||||||||
5.38%, 11/01/2027(2) | 940,000 | 789,600 | ||||||
Williams Cos, Inc. | ||||||||
3.35%, 08/15/2022 | 1,000,000 | 956,885 | ||||||
3.70%, 01/15/2023 | 1,728,000 | 1,597,531 | ||||||
3.90%, 01/15/2025 | 3,071,000 | 2,753,654 | ||||||
4.00%, 09/15/2025 | 420,000 | 368,746 | ||||||
4.30%, 03/04/2024 | 175,000 | 159,012 | ||||||
4.50%, 11/15/2023 | 2,595,000 | 2,433,175 |
4.55%, 06/24/2024 | 3,490,000 | 3,180,245 | ||||||
4.85%, 03/01/2048 | 5,975,000 | 5,577,341 | ||||||
5.10%, 09/15/2045 | 960,000 | 911,933 | ||||||
6.30%, 04/15/2040 | 1,323,000 | 1,335,390 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025(2) | 5,610,000 | 5,245,980 | ||||||
3.70%, 09/15/2026(2) | 2,885,000 | 2,814,941 | ||||||
3.70%, 03/15/2028(2) | 2,659,000 | 2,555,699 | ||||||
4.50%, 03/04/2029(2) | 3,845,000 | 3,498,471 | ||||||
YPF Sociedad Anonima | ||||||||
26.24% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 4.00%), 09/24/2020(1)(16) | ARS | 80,240,000 | 1,197,005 | |||||
32.81% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 6.00%), 03/04/2021(1) | 62,240,000 | 970,195 | ||||||
|
| |||||||
Total Energy | 562,379,189 | |||||||
|
| |||||||
Financials – 11.04% | ||||||||
ABN AMRO Bank NV | ||||||||
5.75% (5 Year Swap Rate EUR + 5.45%), 03/22/2169(1) | EUR | 500,000 | 502,736 | |||||
AerCap Ireland Capital DAC | ||||||||
3.50%, 01/15/2025 | $ | 2,837,000 | 2,410,265 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
3.50%, 05/26/2022 | 2,440,000 | 2,034,520 | ||||||
3.65%, 07/21/2027 | 4,920,000 | 3,812,959 | ||||||
3.88%, 01/23/2028 | 925,000 | 705,316 | ||||||
3.95%, 02/01/2022 | 15,362,000 | 13,382,127 | ||||||
4.13%, 07/03/2023 | 8,300,000 | 7,050,249 | ||||||
4.50%, 05/15/2021 | 8,325,000 | 7,636,478 | ||||||
4.63%, 10/30/2020 | 1,880,000 | 1,823,709 | ||||||
4.63%, 07/01/2022 | 1,050,000 | 850,284 | ||||||
4.88%, 01/16/2024 | 3,800,000 | 3,256,279 | ||||||
5.00%, 10/01/2021 | 2,200,000 | 1,973,492 | ||||||
Aflac, Inc. | ||||||||
3.60%, 04/01/2030 | 1,615,000 | 1,634,877 | ||||||
AIA Group Ltd. | ||||||||
3.38%, 04/07/2030(2) | 3,520,000 | 3,548,297 | ||||||
3.90%, 04/06/2028(2) | 2,945,000 | 3,100,262 | ||||||
AIB Group Plc | ||||||||
4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(2) | 8,720,000 | 8,768,867 | ||||||
4.75%, 10/12/2023(2) | 2,219,000 | 2,196,884 | ||||||
Air Lease Corp. | ||||||||
2.50%, 03/01/2021 | 648,000 | 595,989 | ||||||
3.00%, 02/01/2030 | 845,000 | 610,942 | ||||||
3.25%, 10/01/2029 | 465,000 | 372,535 | ||||||
3.50%, 01/15/2022 | 7,120,000 | 6,488,673 | ||||||
3.88%, 04/01/2021 | 2,540,000 | 2,323,888 |
3.88%, 07/03/2023 | 4,000,000 | 3,617,282 | ||||||
Aircastle Ltd. | ||||||||
4.13%, 05/01/2024 | 5,440,000 | 4,818,754 | ||||||
5.00%, 04/01/2023 | 5,090,000 | 4,969,019 | ||||||
5.13%, 03/15/2021 | 1,060,000 | 1,052,173 | ||||||
7.63%, 04/15/2020 | 580,000 | 579,859 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.45%, 04/30/2025 | 2,115,000 | 2,193,250 | ||||||
3.95%, 01/15/2027 | 3,440,000 | 3,444,994 | ||||||
4.30%, 01/15/2026 | 5,995,000 | 6,184,654 | ||||||
Allied World Assurance Co. Holdings Ltd. | ||||||||
4.35%, 10/29/2025 | 2,490,000 | 2,542,621 | ||||||
Allstate Corp. | ||||||||
4.20%, 12/15/2046 | 1,430,000 | 1,586,293 | ||||||
Ally Financial, Inc. | ||||||||
4.13%, 02/13/2022 | 105,000 | 103,108 | ||||||
4.25%, 04/15/2021 | 568,000 | 554,697 | ||||||
4.63%, 05/19/2022 | 100,000 | 96,500 | ||||||
4.63%, 03/30/2025 | 16,640,000 | 15,903,347 | ||||||
5.13%, 09/30/2024 | 400,000 | 389,796 | ||||||
5.75%, 11/20/2025 | 355,000 | 347,261 | ||||||
7.50%, 09/15/2020 | 100,000 | 100,750 | ||||||
8.00%, 11/01/2031 | 5,000 | 5,663 | ||||||
8.00%, 11/01/2031 | 2,663,000 | 3,061,119 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
2.85%, 02/01/2030 | 7,225,000 | 6,765,813 | ||||||
3.30%, 07/15/2026 | 2,950,000 | 2,909,889 | ||||||
3.63%, 11/15/2027 | 3,733,000 | 3,724,325 | ||||||
3.75%, 04/15/2023 | 2,000,000 | 2,016,669 | ||||||
American Homes 4 Rent LP | ||||||||
4.25%, 02/15/2028 | 73,000 | 72,406 | ||||||
American International Group, Inc. | ||||||||
3.90%, 04/01/2026 | 5,715,000 | 5,954,562 | ||||||
4.20%, 04/01/2028 | 2,522,000 | 2,646,598 | ||||||
American Tower Corp. | ||||||||
2.80%, 06/01/2020 | 1,500,000 | 1,488,215 | ||||||
3.00%, 06/15/2023 | 4,000,000 | 4,004,935 | ||||||
3.45%, 09/15/2021 | 1,847,000 | 1,856,385 | ||||||
3.50%, 01/31/2023 | 717,000 | 722,089 | ||||||
Ardonagh Midco 3 Plc | ||||||||
8.38%, 07/15/2023(2) | GBP | 1,200,000 | 1,269,798 | |||||
8.38%, 07/15/2023 | 1,490,000 | 1,576,666 | ||||||
Athene Holding Ltd. |
4.13%, 01/12/2028 | $ | 11,630,000 | 10,510,035 | |||||
Avolon Holdings Funding Ltd. | ||||||||
2.88%, 02/15/2025(2) | 8,154,000 | 6,321,036 | ||||||
3.95%, 07/01/2024(2) | 3,119,000 | 2,607,929 | ||||||
4.38%, 05/01/2026(2) | 3,202,000 | 2,562,964 | ||||||
5.13%, 10/01/2023(2) | 19,938,000 | 17,218,624 | ||||||
5.25%, 05/15/2024(2) | 3,067,000 | 2,612,016 | ||||||
5.50%, 01/15/2023(2) | 6,425,000 | 5,764,355 | ||||||
AXA Equitable Holdings, Inc. | ||||||||
3.90%, 04/20/2023 | 6,474,000 | 6,450,832 | ||||||
4.35%, 04/20/2028 | 1,820,000 | 1,771,055 | ||||||
5.00%, 04/20/2048 | 30,000 | 28,344 | ||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
8.88% (5 Year Swap Rate EUR + 9.18%), 07/14/2168(1)(5) | EUR | 4,000,000 | 4,289,910 | |||||
Banco Bradesco SA | ||||||||
3.20%, 01/27/2025(2) | $ | 1,600,000 | 1,461,216 | |||||
Banco de Bogota SA | ||||||||
4.38%, 08/03/2027 | 4,700,000 | 4,196,701 | ||||||
Banco Nacional de Comercio Exterior SNC | ||||||||
3.80% (5 Year CMT Index + 3.00%), 08/11/2026(1)(2) | 500,000 | 451,630 | ||||||
Banco Santander SA | ||||||||
3.85%, 04/12/2023 | 200,000 | 204,785 | ||||||
5.18%, 11/19/2025 | 2,400,000 | 2,618,268 | ||||||
6.75% (5 Year Swap Rate EUR + 6.80%), 07/25/2168(1)(5) | EUR | 500,000 | 494,858 | |||||
Bank of America Corp. | ||||||||
1.87% (3 Month LIBOR USD + 0.65%), 06/25/2022(1) | $ | 240,000 | 234,392 | |||||
2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(1) | 10,200,000 | 9,786,075 | ||||||
2.74% (3 Month LIBOR USD + 0.37%), 01/23/2022(1) | 8,835,000 | 8,824,330 | ||||||
2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(1) | 2,600,000 | 2,596,336 | ||||||
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(1) | 18,670,000 | 19,018,917 | ||||||
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(1) | 7,500,000 | 7,588,132 | ||||||
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(1) | 3,800,000 | 3,939,070 | ||||||
4.08% (3 Month LIBOR USD + 3.15%), 03/20/2051(1) | 9,540,000 | 10,829,548 | ||||||
4.18%, 11/25/2027 | 3,509,000 | 3,627,949 | ||||||
4.25%, 10/22/2026 | 17,295,000 | 18,454,735 | ||||||
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(1) | 7,470,000 | 8,106,816 | ||||||
4.45%, 03/03/2026 | 855,000 | 924,655 | ||||||
Bank of Ireland | ||||||||
7.38% (5 Year Swap Rate EUR + 6.96%), 06/18/2168(1) | EUR | 1,700,000 | 1,798,703 | |||||
Bank of Ireland Group Plc | ||||||||
4.50%, 11/25/2023(2) | $ | 19,613,000 | 19,113,199 | |||||
Bank of New York Mellon Corp. | ||||||||
2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023(1) | 6,000,000 | 6,022,367 |
3.45%, 08/11/2023 | 5,345,000 | 5,557,065 | ||||||
Barclays Bank Plc | ||||||||
5.14%, 10/14/2020 | 665,000 | 671,431 | ||||||
7.63%, 11/21/2022 | 13,576,000 | 13,888,248 | ||||||
Barclays Plc | ||||||||
3.07% (3 Month LIBOR USD + 1.38%), 05/16/2024(1) | 200,000 | 176,121 | ||||||
3.12% (3 Month LIBOR USD + 1.43%), 02/15/2023(1) | 1,000,000 | 941,424 | ||||||
3.20%, 08/10/2021 | 1,500,000 | 1,484,640 | ||||||
3.25%, 02/12/2027 | GBP | 6,200,000 | 7,286,689 | |||||
3.25%, 01/17/2033 | 600,000 | 652,235 | ||||||
3.65%, 03/16/2025 | $ | 700,000 | 684,594 | |||||
3.68%, 01/10/2023 | 4,200,000 | 4,210,721 | ||||||
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(1) | 3,815,000 | 3,661,173 | ||||||
4.38%, 01/12/2026 | 3,170,000 | 3,185,850 | ||||||
4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(1) | 7,045,000 | 7,167,845 | ||||||
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(1) | 3,700,000 | 3,991,709 | ||||||
5.09% (3 Month LIBOR USD + 3.05%), 06/20/2030(1) | 1,570,000 | 1,626,609 | ||||||
5.88% (5 Year Swap Rate GBP + 4.91%), 12/15/2168(1) | GBP | 2,400,000 | 2,092,499 | |||||
7.13% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 09/15/2168(1) | 900,000 | 948,619 | ||||||
7.25% (5 Year Swap Rate GBP + 6.46%), 06/15/2168(1) | 14,283,000 | 15,833,765 | ||||||
7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2168(1) | $ | 4,850,000 | 4,253,450 | |||||
7.88% (5 Year Swap Rate USD + 6.77%), 12/15/2168(1) | 600,000 | 549,000 | ||||||
7.88% (5 Year Swap Rate GBP + 6.10%), 12/15/2168(1) | GBP | 1,200,000 | 1,289,300 | |||||
8.00% (5 Year Swap Rate EUR + 6.75%), 03/15/2169(1) | EUR | 12,100,000 | 12,644,472 | |||||
BBVA Bancomer SA | ||||||||
4.38%, 04/10/2024(2) | $ | 2,800,000 | 2,768,640 | |||||
Berkshire Hathaway Finance Corp. | ||||||||
4.20%, 08/15/2048 | 2,000,000 | 2,351,463 | ||||||
4.25%, 01/15/2049 | 2,595,000 | 3,195,772 | ||||||
4.40%, 05/15/2042 | 1,000,000 | 1,213,497 | ||||||
Berkshire Hathaway, Inc. | ||||||||
2.20%, 03/15/2021 | 10,840,000 | 10,915,257 | ||||||
BGC Partners, Inc. | ||||||||
5.38%, 07/24/2023 | 380,000 | 379,627 | ||||||
BNP Paribas SA | ||||||||
4.40%, 08/14/2028(2) | 400,000 | 430,070 | ||||||
7.63% (5 Year Swap Rate USD + 6.31%), 09/30/2168(1)(2) | 200,000 | 195,250 | ||||||
BOC Aviation Ltd. | ||||||||
2.36% (3 Month LIBOR USD + 1.13%), 09/26/2023(1)(2) | 700,000 | 696,801 | ||||||
2.75%, 09/18/2022(2) | 300,000 | 308,537 | ||||||
2.81% (3 Month LIBOR USD + 1.05%), 05/02/2021(1)(2) | 600,000 | 600,636 | ||||||
3.50%, 10/10/2024(2) | 1,900,000 | 2,032,114 | ||||||
4.00%, 01/25/2024 | 400,000 | 429,383 |
Boston Properties LP | ||||||||
2.75%, 10/01/2026 | 2,660,000 | 2,546,151 | ||||||
3.20%, 01/15/2025 | 5,555,000 | 5,730,798 | ||||||
3.85%, 02/01/2023 | 3,245,000 | 3,278,949 | ||||||
Brixmor Operating Partnership LP | ||||||||
2.81% (3 Month LIBOR USD + 1.05%), 02/01/2022(1) | 4,860,000 | 4,778,411 | ||||||
3.65%, 06/15/2024 | 3,624,000 | 3,370,708 | ||||||
3.85%, 02/01/2025 | 1,680,000 | 1,657,885 | ||||||
3.90%, 03/15/2027 | 2,553,000 | 2,541,548 | ||||||
4.13%, 06/15/2026 | 2,980,000 | 3,109,856 | ||||||
4.13%, 05/15/2029 | 10,235,000 | 10,493,125 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90%, 01/25/2028 | 38,000 | 39,019 | ||||||
4.70%, 09/20/2047 | 408,000 | 383,563 | ||||||
Capital One Bank USA N.A. | ||||||||
3.38%, 02/15/2023 | 7,443,000 | 7,281,860 | ||||||
Capital One Financial Corp. | ||||||||
0.80%, 06/12/2024 | EUR | 2,940,000 | 2,879,830 | |||||
3.20%, 01/30/2023 | $ | 820,000 | 810,458 | |||||
3.80%, 01/31/2028 | 8,795,000 | 8,692,379 | ||||||
4.20%, 10/29/2025 | 195,000 | 194,315 | ||||||
4.25%, 04/30/2025 | 2,880,000 | 2,951,146 | ||||||
Carlyle Holdings Finance LLC | ||||||||
3.88%, 02/01/2023(2) | 428,000 | 440,573 | ||||||
CBL & Associates LP | ||||||||
5.95%, 12/15/2026 | 708,000 | 130,980 | ||||||
CBRE Services, Inc. | ||||||||
4.88%, 03/01/2026 | 445,000 | 473,616 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. | ||||||||
3.85%, 04/15/2023 | 3,705,000 | 3,721,260 | ||||||
CDBL Funding 2 | ||||||||
3.00%, 08/01/2022 | 1,700,000 | 1,719,482 | ||||||
China Construction Bank New Zealand Ltd | ||||||||
1.87% (3 Month LIBOR USD + 0.75%), 12/20/2021(1) | 7,100,000 | 7,113,270 | ||||||
CIT Bank N.A. | ||||||||
2.97% (Secured Overnight Financing Rate + 1.72%), 09/27/2025(1) | 6,240,000 | 5,261,755 | ||||||
CIT Group, Inc. | ||||||||
4.13%, 03/09/2021 | 148,000 | 145,780 | ||||||
5.00%, 08/15/2022 | 250,000 | 243,761 | ||||||
5.00%, 08/01/2023 | 330,000 | 317,496 | ||||||
5.25%, 03/07/2025 | 60,000 | 58,500 | ||||||
Citigroup, Inc. | ||||||||
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(1) | 1,290,000 | 1,300,114 |
2.90%, 12/08/2021 | 4,720,000 | 4,762,886 | ||||||
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(1) | 4,000,000 | 4,049,908 | ||||||
3.70%, 01/12/2026 | 9,210,000 | 9,792,849 | ||||||
4.13%, 07/25/2028 | 1,675,000 | 1,718,952 | ||||||
CNO Financial Group, Inc. | ||||||||
5.25%, 05/30/2025 | 6,110,000 | 6,359,294 | ||||||
5.25%, 05/30/2029 | 3,840,000 | 3,729,552 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.38%, 08/04/2025 | 1,225,000 | 1,254,886 | ||||||
5.50% (5 Year Swap Rate EUR + 5.25%), 06/29/2168(1) | EUR | 4,800,000 | 5,055,693 | |||||
6.63% (5 Year Swap Rate EUR + 6.70%), 06/29/2168(1)(5) | 6,000,000 | 6,303,073 | ||||||
CPI Property Group SA | ||||||||
1.63%, 04/23/2027 | 100,000 | 99,611 | ||||||
Credit Agricole SA | �� | |||||||
2.82% (3 Month LIBOR USD + 1.02%), 04/24/2023(1)(2) | $ | 250,000 | 237,253 | |||||
3.75%, 04/24/2023(2) | 250,000 | 254,768 | ||||||
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2) | 21,168,000 | 21,327,962 | ||||||
4.38%, 03/17/2025(2) | 1,717,000 | 1,714,328 | ||||||
Credit Suisse AG | ||||||||
5.75% (5 Year Swap Rate EUR + 4.00%), 09/18/2025(1) | EUR | 922,000 | 997,891 | |||||
6.50%, 08/08/2023(2) | $ | 1,400,000 | 1,420,412 | |||||
Credit Suisse Group AG | ||||||||
2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(1)(2) | 8,255,000 | 7,843,866 | ||||||
6.25% (5 Year Swap Rate USD + 3.46%), 12/18/2168(1)(2) | 700,000 | 644,875 | ||||||
7.13% (5 Year Swap Rate USD + 5.11%), 07/29/2168(1) | 900,000 | 832,500 | ||||||
7.25% (5 Year CMT Index + 4.33%), 03/12/2169(1)(2) | 400,000 | 363,000 | ||||||
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2168(1)(2) | 800,000 | 770,000 | ||||||
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2168(1) | 1,400,000 | 1,347,500 | ||||||
7.50% (5 Year Swap Rate USD + 4.60%), 01/17/2169(1)(2) | 1,400,000 | 1,290,240 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.75%, 03/26/2025 | 5,500,000 | 5,557,410 | ||||||
Crown Castle International Corp. | ||||||||
2.25%, 09/01/2021 | 1,510,000 | 1,488,852 | ||||||
3.30%, 07/01/2030 | 2,940,000 | 2,915,863 | ||||||
3.40%, 02/15/2021 | 100,000 | 100,673 | ||||||
3.65%, 09/01/2027 | 7,580,000 | 7,552,041 | ||||||
3.80%, 02/15/2028 | 3,220,000 | 3,225,467 | ||||||
4.15%, 07/01/2050 | 1,095,000 | 1,082,955 | ||||||
4.30%, 02/15/2029 | 11,875,000 | 12,313,718 | ||||||
4.45%, 02/15/2026 | 7,275,000 | 7,597,153 | ||||||
4.88%, 04/15/2022 | 1,815,000 | 1,905,439 | ||||||
5.25%, 01/15/2023 | 200,000 | 212,112 | ||||||
CTR Partnership LP / CareTrust Capital Corp. |
5.25%, 06/01/2025 | 194,000 | 191,090 | ||||||
CubeSmart LP | ||||||||
4.80%, 07/15/2022 | 1,783,000 | 1,799,202 | ||||||
Danske Bank | ||||||||
2.00%, 09/08/2021(2) | 5,705,000 | 5,591,013 | ||||||
2.70%, 03/02/2022(2) | 2,224,000 | 2,126,130 | ||||||
3.00% (3 Month LIBOR USD + 1.25%), 09/20/2022(1)(2) | 8,535,000 | 8,449,745 | ||||||
3.24% (3 Month LIBOR USD + 1.59%), 12/20/2025(1)(2) | 4,210,000 | 3,913,424 | ||||||
3.88%, 09/12/2023(2) | 2,003,000 | 1,976,327 | ||||||
5.00%, 01/12/2022(2) | 7,540,000 | 7,719,968 | ||||||
5.38%, 01/12/2024(2) | 9,455,000 | 9,952,976 | ||||||
Deutsche Bank AG | ||||||||
0.03% (3 Month EURIBOR + 0.50%), 12/07/2020(1)(5) | EUR | 4,600,000 | 5,019,359 | |||||
0.18% (3 Month EURIBOR + 0.65%), 09/10/2021(1)(5) | 2,800,000 | 3,003,474 | ||||||
0.39% (3 Month EURIBOR + 0.80%), 05/16/2022(1)(5) | 700,000 | 734,918 | ||||||
4.25%, 10/14/2021 | $ | 3,000,000 | 2,853,743 | |||||
Deutsche Bank AG/New York NY | ||||||||
2.62% (3 Month LIBOR USD + 0.82%), 01/22/2021(1) | 21,400,000 | 20,617,329 | ||||||
2.82% (3 Month LIBOR USD + 0.97%), 07/13/2020(1) | 46,000 | 45,330 | ||||||
2.88% (3 Month LIBOR USD + 1.19%), 11/16/2022(1) | 100,000 | 90,700 | ||||||
3.04% (3 Month LIBOR USD + 1.29%), 02/04/2021(1) | 31,460,000 | 30,265,301 | ||||||
3.95%, 02/27/2023 | 200,000 | 198,652 | ||||||
3.96% (Secured Overnight Financing Rate + 2.58%), 11/26/2025(1) | 15,420,000 | 14,262,898 | ||||||
Digital Realty Trust LP | ||||||||
2.75%, 02/01/2023 | 1,445,000 | 1,436,695 | ||||||
3.63%, 10/01/2022 | 4,000,000 | 4,080,800 | ||||||
4.75%, 10/01/2025 | 1,640,000 | 1,710,930 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 8,845,000 | 8,737,729 | ||||||
4.10%, 02/09/2027 | 2,625,000 | 2,525,096 | ||||||
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust | ||||||||
5.13%, 11/30/2022(2) | 2,926,187 | 2,969,388 | ||||||
EPR Properties | ||||||||
4.75%, 12/15/2026 | 140,000 | 127,258 | ||||||
4.95%, 04/15/2028 | 414,000 | 407,762 | ||||||
Equinix, Inc. | ||||||||
2.88%, 02/01/2026 | EUR | 200,000 | 212,382 | |||||
2.90%, 11/18/2026 | $ | 3,500,000 | 3,205,356 | |||||
3.20%, 11/18/2029 | 8,645,000 | 8,005,356 | ||||||
Erste Group Bank AG | ||||||||
8.88% (5 Year Swap Rate EUR + 9.02%), 10/15/2168(1)(5) | EUR | 1,000,000 | 1,091,871 | |||||
ESH Hospitality, Inc. | ||||||||
4.63%, 10/01/2027(2) | $ | 223,000 | 173,940 |
Essex Portfolio LP | ||||||||
3.63%, 05/01/2027 | 2,785,000 | 2,829,519 | ||||||
3.88%, 05/01/2024 | 4,200,000 | 4,209,995 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
4.85%, 04/17/2028 | 138,000 | 148,883 | ||||||
Farmers Exchange Capital II | ||||||||
6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2) | 280,000 | 373,679 | ||||||
Farmers Exchange Capital III | ||||||||
5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2) | 4,000,000 | 4,983,000 | ||||||
Farmers Insurance Exchange | ||||||||
4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2) | 3,000,000 | 3,186,586 | ||||||
Fidelity National Financial, Inc. | ||||||||
4.50%, 08/15/2028 | 15,455,000 | 17,741,855 | ||||||
First Abu Dhabi Bank PJSC | ||||||||
5.25% (5 Year Swap Rate USD + 3.35%), 12/17/2168(1) | 5,500,000 | 5,060,440 | ||||||
FirstRand Bank Ltd. | ||||||||
6.25% (5 Year Swap Rate USD + 3.56%), 04/23/2028(1) | 5,000,000 | 4,459,330 | ||||||
GE Capital European Funding Unlimited Co. | ||||||||
0.00% (3 Month EURIBOR + 0.23%), 05/17/2021(1)(5) | EUR | 250,000 | 272,418 | |||||
0.80%, 01/21/2022 | 400,000 | 430,799 | ||||||
2.63%, 03/15/2023 | 100,000 | 110,841 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | $ | 29,315,000 | 29,149,077 | |||||
3.37%, 11/15/2025 | 3,985,000 | 4,005,646 | ||||||
4.42%, 11/15/2035 | 54,905,000 | 59,317,738 | ||||||
GE Capital UK Funding Unlimited Co. | ||||||||
4.13%, 09/13/2023 | GBP | 200,000 | 253,182 | |||||
5.13%, 05/24/2023 | 130,000 | 170,242 | ||||||
5.88%, 11/04/2020 | 128,000 | 161,526 | ||||||
Genworth Holdings, Inc. | ||||||||
7.20%, 02/15/2021 | $ | 2,535,000 | 2,376,563 | |||||
Global Bank Corp. | ||||||||
5.25% (3 Month LIBOR USD + 3.30%), 04/16/2029(1) | 550,000 | 534,188 | ||||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
3.35%, 09/01/2024 | 3,795,000 | 3,358,575 | ||||||
4.00%, 01/15/2030 | 2,100,000 | 1,765,680 | ||||||
5.25%, 06/01/2025 | 3,404,000 | 3,148,700 | ||||||
5.30%, 01/15/2029 | 5,325,000 | 4,553,940 | ||||||
5.38%, 04/15/2026 | 3,545,000 | 3,142,288 | ||||||
5.75%, 06/01/2028 | 4,034,000 | 3,564,846 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2.60%, 02/07/2030 | 5,525,000 | 5,191,064 | ||||||
2.63%, 04/25/2021 | 3,964,000 | 3,966,942 |
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(1) | 11,078,000 | 11,134,495 | ||||||
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(1) | 1,235,000 | 1,240,888 | ||||||
3.50%, 01/23/2025 | 2,622,000 | 2,687,972 | ||||||
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(1) | 2,940,000 | 3,021,290 | ||||||
Goodman US Finance Three LLC | ||||||||
3.70%, 03/15/2028(2) | 463,000 | 436,043 | ||||||
Growthpoint Properties International Pty Ltd. | ||||||||
5.87%, 05/02/2023(2) | 200,000 | 184,000 | ||||||
HCP, Inc. | ||||||||
3.25%, 07/15/2026 | 705,000 | 704,642 | ||||||
3.40%, 02/01/2025 | 2,625,000 | 2,628,162 | ||||||
3.50%, 07/15/2029 | 685,000 | 670,060 | ||||||
4.00%, 06/01/2025 | 4,375,000 | 4,471,082 | ||||||
4.20%, 03/01/2024 | 1,175,000 | 1,187,255 | ||||||
4.25%, 11/15/2023 | 318,000 | 300,503 | ||||||
Healthcare Realty Trust, Inc. | ||||||||
3.63%, 01/15/2028 | 4,375,000 | 4,387,496 | ||||||
3.75%, 04/15/2023 | 3,356,000 | 3,351,442 | ||||||
Healthcare Trust of America Holdings LP | ||||||||
3.70%, 04/15/2023 | 3,425,000 | 3,312,959 | ||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/2028 | 4,875,000 | 5,241,875 | ||||||
Host Hotels & Resorts LP | ||||||||
3.75%, 10/15/2023 | 2,175,000 | 1,909,066 | ||||||
4.50%, 02/01/2026 | 1,600,000 | 1,495,792 | ||||||
Howard Hughes Corp. | ||||||||
5.38%, 03/15/2025(2) | 1,777,000 | 1,719,248 | ||||||
HSBC Holdings Plc | ||||||||
2.29% (3 Month LIBOR USD + 0.60%), 05/18/2021(1) | 1,200,000 | 1,175,440 | ||||||
2.69% (3 Month LIBOR USD + 1.00%), 05/18/2024(1) | 400,000 | 373,027 | ||||||
3.00% (1 Year Swap Rate GBP + 1.77%), 05/29/2030(1) | GBP | 2,400,000 | 2,874,617 | |||||
3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023(1) | $ | 1,585,000 | 1,587,308 | |||||
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(1) | 7,615,000 | 7,802,414 | ||||||
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(1) | 2,600,000 | 2,670,260 | ||||||
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(1) | 10,000,000 | 10,454,195 | ||||||
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(1) | 3,200,000 | 3,406,052 | ||||||
4.95%, 03/31/2030 | 2,845,000 | 3,137,579 | ||||||
5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2169(1) | GBP | 6,400,000 | 7,035,413 | |||||
6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2169(1) | EUR | 600,000 | 615,140 | |||||
6.50% (5 Year 1100 Run ICE Swap Rate USD + 3.61%), 09/23/2168(1) | $ | 1,820,000 | 1,701,700 | |||||
6.88% (5 Year 1100 Run ICE Swap Rate USD + 5.51%), 12/01/2168(1) | 200,000 | 196,500 | ||||||
Hudson Pacific Properties LP | ||||||||
3.95%, 11/01/2027 | 2,399,000 | 2,285,774 |
Hunt Companies, Inc. | ||||||||
6.25%, 02/15/2026(2) | 82,000 | 61,295 | ||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | ||||||||
5.25%, 05/15/2027 | 1,870,000 | 1,727,413 | ||||||
ICICI Bank Ltd./Hong Kong | ||||||||
5.75%, 11/16/2020(2) | 200,000 | 202,907 | ||||||
5.75%, 11/16/2020 | 200,000 | 202,907 | ||||||
Industrial & Commercial Bank of China Ltd. | ||||||||
1.95% (3 Month LIBOR USD + 0.75%), 12/21/2021(1) | 3,500,000 | 3,508,391 | ||||||
2.48% (3 Month LIBOR USD + 0.75%), 11/08/2020(1) | 25,826,000 | 25,875,623 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/2023(2) | 1,026,000 | 1,112,680 | ||||||
ING Groep NV | ||||||||
2.45% (3 Month LIBOR USD + 1.00%), 10/02/2023(1) | 1,300,000 | 1,225,262 | ||||||
4.10%, 10/02/2023 | 2,200,000 | 2,257,662 | ||||||
6.88% (5 Year Swap Rate USD + 5.12%), 04/16/2168(1) | 300,000 | 261,000 | ||||||
International Lease Finance Corp. | ||||||||
5.88%, 08/15/2022 | 170,000 | 151,975 | ||||||
8.25%, 12/15/2020 | 2,500,000 | 2,484,881 | ||||||
8.63%, 01/15/2022 | 2,150,000 | 2,085,366 | ||||||
Intesa Sanpaolo SpA | ||||||||
7.00% (5 Year Swap Rate EUR + 6.88%), 07/19/2168(1) | EUR | 5,570,000 | 5,398,295 | |||||
Itau Unibanco Holding SA | ||||||||
2.90%, 01/24/2023(2) | $ | 5,500,000 | 5,225,000 | |||||
3.25%, 01/24/2025(2) | 3,800,000 | 3,544,260 | ||||||
Jefferies Group LLC | ||||||||
6.25%, 01/15/2036 | 1,430,000 | 1,266,373 | ||||||
6.45%, 06/08/2027 | 3,660,000 | 3,740,708 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | ||||||||
4.15%, 01/23/2030 | 7,180,000 | 6,874,012 | ||||||
4.85%, 01/15/2027 | 1,500,000 | 1,486,041 | ||||||
Jones Lang LaSalle, Inc. | ||||||||
4.40%, 11/15/2022 | 1,270,000 | 1,261,680 | ||||||
JPMorgan Chase & Co. | ||||||||
2.01% (Secured Overnight Financing Rate + 1.59%), 03/13/2026(1) | 16,180,000 | 15,979,694 | ||||||
2.95%, 10/01/2026 | 2,340,000 | 2,418,168 | ||||||
3.20%, 06/15/2026 | 6,585,000 | 6,838,624 | ||||||
3.51% (3 Month LIBOR USD + 0.61%), 06/18/2022(1) | 6,380,000 | 6,478,156 | ||||||
4.49% (Secured Overnight Financing Rate + 3.79%), 03/24/2031(1) | 13,825,000 | 16,038,736 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.88%, 04/01/2024 | 224,000 | 200,413 | ||||||
Kilroy Realty LP | ||||||||
3.45%, 12/15/2024 | 1,845,000 | 1,810,624 |
4.38%, 10/01/2025 | 2,345,000 | 2,614,766 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
4.25%, 02/01/2027(2) | 6,245,000 | 4,933,550 | ||||||
5.25%, 10/01/2025(2) | 4,265,000 | 3,509,242 | ||||||
5.88%, 08/01/2021(2) | 1,025,000 | 861,000 | ||||||
LeasePlan Corp. NV | ||||||||
2.88%, 10/24/2024(2) | 300,000 | 293,922 | ||||||
Lloyds Bank Plc | ||||||||
3.30%, 05/07/2021 | 1,200,000 | 1,200,189 | ||||||
Lloyds Banking Group Plc | ||||||||
2.86% (3 Month LIBOR USD + 1.25%), 03/17/2023(1) | 15,365,000 | 15,147,553 | ||||||
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(1) | 14,065,000 | 14,047,073 | ||||||
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(1) | 420,000 | 416,818 | ||||||
4.05%, 08/16/2023 | 2,000,000 | 2,080,086 | ||||||
4.38%, 03/22/2028 | 400,000 | 430,371 | ||||||
4.45%, 05/08/2025 | 4,265,000 | 4,567,989 | ||||||
4.55%, 08/16/2028 | 1,600,000 | 1,697,965 | ||||||
6.38% (5 Year Swap Rate EUR + 5.29%), 06/27/2168(1) | EUR | 5,281,000 | 5,331,494 | |||||
7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2168(1) | $ | 3,100,000 | 2,786,280 | |||||
7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2168(1) | GBP | 1,900,000 | 1,982,391 | |||||
7.88% (5 Year Swap Rate GBP + 4.83%), 06/27/2168(1) | 900,000 | 1,013,931 | ||||||
LoanCore Capital Markets LLC / JLC Finance Corp. | ||||||||
6.88%, 06/01/2020(2) | $ | 500,000 | 473,750 | |||||
Logicor Financing Sarl | ||||||||
3.25%, 11/13/2028 | EUR | 265,000 | 291,382 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. | ||||||||
5.63%, 05/01/2024 | $ | 1,079,000 | 1,035,840 | |||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | ||||||||
2.65%, 09/19/2022(2) | 600,000 | 583,391 | ||||||
3.41%, 02/28/2022(2) | 200,000 | 199,152 | ||||||
3.96%, 09/19/2023(2) | 300,000 | 299,750 | ||||||
Morgan Stanley | ||||||||
3.13%, 07/27/2026 | 2,030,000 | 2,098,396 | ||||||
3.88%, 04/29/2024 | 14,850,000 | 15,581,446 | ||||||
3.95%, 04/23/2027 | 10,130,000 | 10,553,969 | ||||||
4.00%, 07/23/2025 | 8,000,000 | 8,561,935 | ||||||
4.35%, 09/08/2026 | 8,350,000 | 8,998,108 | ||||||
5.00%, 11/24/2025 | 10,320,000 | 11,407,651 | ||||||
5.60% (Secured Overnight Financing Rate + 4.84%), 03/24/2051(1) | 22,200,000 | 31,356,851 | ||||||
7.50%, 04/02/2032(3)(7) | 14,800,000 | 12,867,115 | ||||||
Nationwide Building Society | ||||||||
3.62% (3 Month LIBOR USD + 1.18%), 04/26/2023(1)(2) | 4,250,000 | 4,225,123 | ||||||
3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2) | 6,600,000 | 6,405,623 |
3.96% (3 Month LIBOR USD + 1.86%), 07/18/2030(1)(2) | 5,650,000 | 5,712,806 | ||||||
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2) | 8,600,000 | 9,085,447 | ||||||
4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2) | 4,600,000 | 4,621,310 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
3.03% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2) | 1,790,000 | 1,787,607 | ||||||
NatWest Markets Plc | ||||||||
0.63%, 03/02/2022 | EUR | 4,750,000 | 5,123,909 | |||||
3.63%, 09/29/2022(2) | $ | 12,800,000 | 12,644,635 | |||||
Navient Corp. | ||||||||
5.00%, 10/26/2020 | 300,000 | 295,500 | ||||||
5.00%, 03/15/2027 | 94,000 | 80,812 | ||||||
5.50%, 01/25/2023 | 3,000,000 | 2,820,000 | ||||||
5.88%, 03/25/2021 | 9,693,000 | 9,463,276 | ||||||
6.50%, 06/15/2022 | 3,941,000 | 3,823,637 | ||||||
6.63%, 07/26/2021 | 2,969,000 | 3,043,225 | ||||||
7.25%, 01/25/2022 | 15,500,000 | 15,142,725 | ||||||
7.25%, 09/25/2023 | 221,000 | 216,580 | ||||||
New York Life Global Funding | ||||||||
1.70%, 09/14/2021(2) | 6,775,000 | 6,896,911 | ||||||
2.35%, 07/14/2026(2) | 1,000,000 | 995,609 | ||||||
Newmark Group, Inc. | ||||||||
6.13%, 11/15/2023 | 602,000 | 612,320 | ||||||
Old Republic International Corp. | ||||||||
3.88%, 08/26/2026 | 5,155,000 | 5,291,762 | ||||||
4.88%, 10/01/2024 | 335,000 | 353,834 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
4.50%, 01/15/2025 | 5,050,000 | 4,893,334 | ||||||
Oppenheimer Holdings, Inc. | ||||||||
6.75%, 07/01/2022 | 84,000 | 78,960 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
3.63%, 03/15/2021(2) | 451,000 | 427,385 | ||||||
4.50%, 03/15/2023(2) | 9,484,000 | 8,225,557 | ||||||
5.25%, 08/15/2022(2) | 25,957,000 | 23,449,245 | ||||||
5.50%, 02/15/2024(2) | 6,320,000 | 5,439,075 | ||||||
Physicians Realty LP | ||||||||
3.95%, 01/15/2028 | 177,000 | 167,942 | ||||||
Pricoa Global Funding I | ||||||||
3.45%, 09/01/2023(2) | 11,595,000 | 11,833,613 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/2025 | 1,325,000 | 1,406,251 | ||||||
QNB Finance Ltd. | ||||||||
3.18% (3 Month LIBOR USD + 1.45%), 08/11/2021(1) | 3,400,000 | 3,408,436 | ||||||
3.39% (3 Month LIBOR USD + 1.57%), 07/18/2021(1) | 2,400,000 | 2,350,008 |
Quicken Loans, Inc. | ||||||||
5.25%, 01/15/2028(2) | 3,595,000 | 3,515,191 | ||||||
5.75%, 05/01/2025(2) | 3,985,000 | 3,965,075 | ||||||
Raymond James Financial, Inc. | ||||||||
4.95%, 07/15/2046 | 4,420,000 | 5,091,123 | ||||||
5.63%, 04/01/2024 | 1,617,000 | 1,765,474 | ||||||
Regency Centers LP | ||||||||
3.60%, 02/01/2027 | 4,271,000 | 4,301,368 | ||||||
4.13%, 03/15/2028 | 970,000 | 978,803 | ||||||
Retail Opportunity Investments Partnership LP | ||||||||
4.00%, 12/15/2024 | 895,000 | 913,602 | ||||||
Royal Bank of Scotland Group Plc | ||||||||
2.00% (3 Month EURIBOR + 2.04%), 03/08/2023(1)(5) | EUR | 1,100,000 | 1,194,446 | |||||
2.00% (3 Month EURIBOR + 1.74%), 03/04/2025(1) | 400,000 | 425,887 | ||||||
2.50%, 03/22/2023 | 3,600,000 | 3,935,833 | ||||||
2.77% (3 Month LIBOR USD + 1.55%), 06/25/2024(1) | $ | 5,845,000 | 5,293,951 | |||||
3.16% (3 Month LIBOR USD + 1.47%), 05/15/2023(1) | 3,217,000 | 3,055,235 | ||||||
3.50% (3 Month LIBOR USD + 1.48%), 05/15/2023(1) | 855,000 | 844,136 | ||||||
3.88%, 09/12/2023 | 10,543,000 | 10,649,874 | ||||||
4.27% (3 Month LIBOR USD + 1.76%), 03/22/2025(1) | 16,200,000 | 16,644,866 | ||||||
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(1) | 4,390,000 | 4,601,603 | ||||||
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(1) | 1,600,000 | 1,610,978 | ||||||
4.80%, 04/05/2026 | 200,000 | 198,791 | ||||||
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(1) | 2,900,000 | 3,072,045 | ||||||
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(1) | 6,600,000 | 7,173,755 | ||||||
5.13%, 05/28/2024 | 3,650,000 | 3,685,964 | ||||||
6.10%, 06/10/2023 | 500,000 | 514,096 | ||||||
6.13%, 12/15/2022 | 120,000 | 123,779 | ||||||
7.50% (5 Year Swap Rate USD + 5.80%), 09/30/2168(1) | 3,860,000 | 3,539,157 | ||||||
8.00% (5 Year Swap Rate USD + 5.72%), 09/30/2168(1) | 6,951,000 | 6,494,875 | ||||||
8.63% (5 Year Swap Rate USD + 7.60%), 09/30/2168(1) | 3,500,000 | 3,412,500 | ||||||
Sabra Health Care LP / Sabra Capital Corp. | ||||||||
3.90%, 10/15/2029 | 200,000 | 178,922 | ||||||
Santander Holdings USA, Inc. | ||||||||
3.24%, 10/05/2026 | 6,342,000 | 5,662,672 | ||||||
3.40%, 01/18/2023 | 184,000 | 181,776 | ||||||
3.50%, 06/07/2024 | 50,000 | 48,809 | ||||||
4.40%, 07/13/2027 | 153,000 | 150,490 | ||||||
Santander UK Group Holdings Plc | ||||||||
0.37% (3 Month EURIBOR + 0.78%), 05/18/2023(1)(5) | EUR | 200,000 | 208,984 | |||||
0.48% (3 Month EURIBOR + 0.85%), 03/27/2024(1)(5) | 1,200,000 | 1,230,783 | ||||||
1.13%, 09/08/2023 | 400,000 | 424,668 | ||||||
2.88%, 10/16/2020 | $ | 2,800,000 | 2,798,918 |
2.88%, 08/05/2021 | 11,450,000 | 11,268,802 | ||||||
2.92% (1 Year Swap Rate GBP + 1.38%), 05/08/2026(1) | GBP | 520,000 | 638,248 | |||||
3.37% (3 Month LIBOR USD + 1.08%), 01/05/2024(1) | $ | 1,000,000 | 1,006,891 | |||||
3.57%, 01/10/2023 | 6,395,000 | 6,360,104 | ||||||
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(1) | 4,990,000 | 5,257,983 | ||||||
4.75%, 09/15/2025(2) | 1,025,000 | 1,010,293 | ||||||
4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(1) | 18,285,000 | 19,161,526 | ||||||
6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2168(1) | GBP | 5,800,000 | 5,799,365 | |||||
7.38% (5 Year Swap Rate GBP + 5.54%), 09/24/2168(1) | 5,647,000 | 5,734,058 | ||||||
Santander UK Plc | ||||||||
2.13%, 11/03/2020 | $ | 370,000 | 367,877 | |||||
3.40%, 06/01/2021 | 600,000 | 601,016 | ||||||
SBA Tower Trust | ||||||||
2.84%, 01/15/2025(2) | 3,250,000 | 3,139,175 | ||||||
2.88%, 07/09/2021(2) | 3,000,000 | 2,989,662 | ||||||
3.17%, 04/11/2022(2) | 2,825,000 | 2,809,055 | ||||||
3.45%, 03/15/2023(2) | 600,000 | 606,676 | ||||||
3.72%, 04/11/2023(2) | 3,515,000 | 3,517,650 | ||||||
3.87%, 10/08/2024(2) | 10,376,000 | 10,503,250 | ||||||
Sberbank of Russia Via SB Capital SA | ||||||||
5.13%, 10/29/2022 | 1,300,000 | 1,286,870 | ||||||
5.72%, 06/16/2021 | 3,720,000 | 3,788,597 | ||||||
Service Properties Trust | ||||||||
3.95%, 01/15/2028 | 5,605,000 | 4,166,923 | ||||||
Sirius International Group Ltd. | ||||||||
4.60%, 11/01/2026(2) | 2,520,000 | 2,343,600 | ||||||
SITE Centers Corp. | ||||||||
3.63%, 02/01/2025 | 1,914,000 | 1,938,428 | ||||||
4.25%, 02/01/2026 | 2,500,000 | 2,546,833 | ||||||
4.70%, 06/01/2027 | 8,000,000 | 8,276,017 | ||||||
SL Green Operating Partnership LP | ||||||||
3.25%, 10/15/2022 | 6,000,000 | 5,969,911 | ||||||
SL Green Realty Corp. | ||||||||
4.50%, 12/01/2022 | 850,000 | 872,890 | ||||||
Societe Generale SA | ||||||||
4.25%, 04/14/2025(2) | 2,340,000 | 2,286,407 | ||||||
4.75%, 11/24/2025(2) | 9,285,000 | 9,300,622 | ||||||
6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2168(1)(2) | 400,000 | 333,500 | ||||||
6.75% (5 Year Swap Rate EUR + 5.54%), 10/07/2168(1) | EUR | 300,000 | 315,981 | |||||
7.38% (5 Year Swap Rate USD + 6.24%), 03/13/2169(1)(2) | $ | 2,100,000 | 1,931,265 | |||||
7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2169(1)(2) | 3,700,000 | 3,200,500 | ||||||
Springleaf Finance Corp. | ||||||||
5.63%, 03/15/2023 | 3,658,000 | 3,584,840 |
6.13%, 05/15/2022 | 3,548,000 | 3,600,156 | ||||||
6.13%, 03/15/2024 | 2,400,000 | 2,370,264 | ||||||
6.88%, 03/15/2025 | 363,000 | 365,585 | ||||||
7.75%, 10/01/2021 | 5,960,000 | 5,960,000 | ||||||
8.25%, 12/15/2020 | 8,210,000 | 8,210,000 | ||||||
Standard Chartered Plc | ||||||||
2.10% (3 Month LIBOR USD + 1.20%), 09/10/2022(1)(2) | 3,900,000 | 3,742,870 | ||||||
2.97% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) | 6,475,000 | 6,251,159 | ||||||
4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) | 7,295,000 | 7,323,604 | ||||||
4.64% (5 Year CMT Index + 3.85%), 04/01/2031(1)(2) | 8,910,000 | 9,135,798 | ||||||
Starwood Property Trust, Inc. | ||||||||
4.75%, 03/15/2025 | 133,000 | 117,040 | ||||||
Stichting AK Rabobank Certificaten | ||||||||
6.50%, 03/29/2169 | EUR | 3,690,000 | 3,672,905 | |||||
STORE Capital Corp. | ||||||||
4.50%, 03/15/2028 | $ | 128,000 | 127,769 | |||||
Synchrony Financial | ||||||||
2.85%, 07/25/2022 | 3,720,000 | 3,543,772 | ||||||
4.25%, 08/15/2024 | 955,000 | 919,495 | ||||||
4.38%, 03/19/2024 | 2,923,000 | 2,894,763 | ||||||
4.50%, 07/23/2025 | 2,778,000 | 2,718,149 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2) | 4,500,000 | 4,589,359 | ||||||
TP ICAP Plc | ||||||||
5.25%, 01/26/2024 | GBP | 100,000 | 121,375 | |||||
UBS AG | ||||||||
4.75% (5 Year Swap Rate EUR + 3.40%), 02/12/2026(1) | EUR | 5,400,000 | 5,836,546 | |||||
5.13%, 05/15/2024 | $ | 200,000 | 200,000 | |||||
UBS Group AG | ||||||||
5.75% (5 Year Swap Rate EUR + 5.29%), 02/19/2169(1) | EUR | 600,000 | 641,888 | |||||
6.88% (5 Year 1100 Run ICE Swap Rate USD + 5.50%), 03/22/2169(1) | $ | 300,000 | 292,500 | |||||
7.00% (5 Year Swap Rate USD + 4.87%), 02/19/2169(1) | 200,000 | 192,700 | ||||||
7.13% (5 Year Swap Rate USD + 5.88%), 08/10/2168(1) | 300,000 | 292,500 | ||||||
UniCredit SpA | ||||||||
6.75% (5 Year Swap Rate EUR + 6.10%), 03/10/2169(1) | EUR | 4,200,000 | 3,986,287 | |||||
7.83%, 12/04/2023(2) | $ | 13,400,000 | 14,301,687 | |||||
Unique Pub Finance Co. Plc | ||||||||
5.66%, 06/30/2027 | GBP | 3,336,840 | 4,558,192 | |||||
7.40%, 03/28/2024 | 3,107,000 | 4,287,642 | ||||||
Unum Group | ||||||||
3.88%, 11/05/2025 | $ | 4,925,000 | 4,460,179 | |||||
Ventas Realty LP | ||||||||
3.00%, 01/15/2030 | 1,765,000 | 1,577,138 |
3.25%, 10/15/2026 | 7,052,000 | 6,663,915 | ||||||
3.85%, 04/01/2027 | 1,485,000 | 1,440,054 | ||||||
4.40%, 01/15/2029 | 3,000,000 | 2,985,637 | ||||||
VEREIT Operating Partnership LP | ||||||||
3.95%, 08/15/2027 | 4,155,000 | 3,948,517 | ||||||
4.60%, 02/06/2024 | 6,215,000 | 6,134,288 | ||||||
4.63%, 11/01/2025 | 10,265,000 | 10,044,388 | ||||||
4.88%, 06/01/2026 | 4,800,000 | 4,624,050 | ||||||
VIVAT NV | ||||||||
2.38%, 05/17/2024 | EUR | 500,000 | 554,440 | |||||
Voyager Aviation Holdings LLC / Voyager Finance Co. | ||||||||
8.50%, 08/15/2021(2) | $ | 186,000 | 174,821 | |||||
WEA Finance LLC | ||||||||
3.15%, 04/05/2022(2) | 3,000,000 | 2,918,862 | ||||||
Weingarten Realty Investors | ||||||||
3.25%, 08/15/2026 | 1,665,000 | 1,565,147 | ||||||
Wells Fargo & Co. | ||||||||
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(1) | 3,700,000 | 3,608,731 | ||||||
2.57% (3 Month LIBOR USD + 1.00%), 02/11/2031(1) | 11,200,000 | 10,774,533 | ||||||
2.60%, 07/22/2020 | 310,000 | 310,059 | ||||||
2.63%, 07/22/2022 | 102,000 | 103,191 | ||||||
2.88% (3 Month LIBOR USD + 1.17%), 10/30/2030(1) | 9,520,000 | 9,440,310 | ||||||
3.00%, 04/22/2026 | 8,685,000 | 8,939,329 | ||||||
3.00%, 10/23/2026 | 770,000 | 788,799 | ||||||
3.07%, 01/24/2023 | 19,585,000 | 19,906,958 | ||||||
5.01% (3 Month LIBOR USD + 4.24%), 04/04/2051(1) | 645,000 | 817,783 | ||||||
Wells Fargo Bank N.A. | ||||||||
2.31% (3 Month LIBOR USD + 0.50%), 07/23/2021(1) | 1,200,000 | 1,169,795 | ||||||
Welltower, Inc. | ||||||||
3.95%, 09/01/2023 | 13,500,000 | 13,370,014 | ||||||
4.00%, 06/01/2025 | 4,690,000 | 4,746,074 | ||||||
4.25%, 04/15/2028 | 111,000 | 111,940 | ||||||
4.50%, 01/15/2024 | 650,000 | 669,956 | ||||||
Weyerhaeuser Co. | ||||||||
4.00%, 04/15/2030 | 9,630,000 | 9,669,164 | ||||||
Willis North America, Inc. | ||||||||
3.60%, 05/15/2024 | 9,380,000 | 9,681,099 | ||||||
WPC Eurobond BV | ||||||||
1.35%, 04/15/2028 | EUR | 3,425,000 | 3,300,632 | |||||
2.13%, 04/15/2027 | 400,000 | 424,649 | ||||||
2.25%, 04/09/2026 | 1,300,000 | 1,400,191 | ||||||
|
| |||||||
Total Financials | 2,030,182,200 | |||||||
|
|
Industrials – 1.76% | ||||||||
3M Co. | ||||||||
3.00%, 09/14/2021 | $ | 4,260,000 | 4,358,804 | |||||
Amcor Finance USA, Inc. | ||||||||
3.63%, 04/28/2026(2) | 2,990,000 | 3,107,757 | ||||||
4.50%, 05/15/2028(2) | 4,100,000 | 4,835,889 | ||||||
Arrow Electronics, Inc. | ||||||||
3.50%, 04/01/2022 | 480,000 | 477,127 | ||||||
4.00%, 04/01/2025 | 3,622,000 | 3,497,675 | ||||||
4.50%, 03/01/2023 | 380,000 | 377,548 | ||||||
Associated Materials LLC / AMH New Finance, Inc. | ||||||||
9.00%, 01/01/2024(2) | 1,400,000 | 1,120,000 | ||||||
Aviation Capital Group LLC | ||||||||
2.88%, 01/20/2022(2) | 8,869,000 | 8,015,853 | ||||||
3.88%, 05/01/2023(2) | 100,000 | 93,441 | ||||||
4.13%, 08/01/2025(2) | 168,000 | 144,561 | ||||||
4.88%, 10/01/2025(2) | 3,007,000 | 2,680,101 | ||||||
Avnet, Inc. | ||||||||
3.75%, 12/01/2021 | 2,210,000 | 2,252,276 | ||||||
4.63%, 04/15/2026 | 10,485,000 | 10,445,745 | ||||||
4.88%, 12/01/2022 | 5,855,000 | 6,096,792 | ||||||
Ball Corp. | ||||||||
4.00%, 11/15/2023 | 750,000 | 755,625 | ||||||
Boeing Co. | ||||||||
2.25%, 06/15/2026 | 2,170,000 | 1,921,791 | ||||||
2.95%, 02/01/2030 | 2,790,000 | 2,583,739 | ||||||
3.10%, 05/01/2026 | 370,000 | 342,130 | ||||||
3.20%, 03/01/2029 | 1,855,000 | 1,713,098 | ||||||
3.75%, 02/01/2050 | 1,095,000 | 1,000,091 | ||||||
3.85%, 11/01/2048 | 1,695,000 | 1,540,175 | ||||||
3.95%, 08/01/2059 | 2,715,000 | 2,440,429 | ||||||
Bombardier, Inc. | ||||||||
6.00%, 10/15/2022(2) | 248,000 | 186,000 | ||||||
6.13%, 01/15/2023(2) | 100,000 | 70,500 | ||||||
7.88%, 04/15/2027(2) | 1,492,000 | 1,029,480 | ||||||
Boral Finance Pty Ltd. | ||||||||
3.00%, 11/01/2022(2) | 4,439,000 | 4,478,975 | ||||||
3.75%, 05/01/2028(2) | 3,520,000 | 3,024,914 | ||||||
Canadian Pacific Railway Co. | ||||||||
4.50%, 01/15/2022 | 110,000 | 113,081 | ||||||
Caterpillar Financial Services Corp. | ||||||||
3.15%, 09/07/2021 | 3,615,000 | 3,678,713 | ||||||
Caterpillar, Inc. | ||||||||
3.90%, 05/27/2021 | 3,110,000 | 3,183,123 |
CCCI Treasure Ltd. | ||||||||
3.50% (5 Year CMT Index + 7.19%), 10/21/2168(1)(5) | 200,000 | 199,100 | ||||||
Cemex SAB de CV | ||||||||
5.45%, 11/19/2029(2) | 2,450,000 | 1,988,175 | ||||||
Clean Harbors, Inc. | ||||||||
4.88%, 07/15/2027(2) | 1,639,000 | 1,604,417 | ||||||
5.13%, 07/15/2029(2) | 680,000 | 632,400 | ||||||
DAE Funding LLC | ||||||||
4.00%, 08/01/2020(2) | 3,924,000 | 3,845,520 | ||||||
4.50%, 08/01/2022(2) | 183,000 | 169,732 | ||||||
5.00%, 08/01/2024(2) | 8,307,000 | 7,517,835 | ||||||
5.25%, 11/15/2021(2) | 6,844,000 | 6,245,150 | ||||||
5.75%, 11/15/2023(2) | 2,501,000 | 2,313,425 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.05%, 06/15/2025 | 2,195,000 | 1,937,087 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023(2) | 3,575,000 | 3,056,625 | ||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||
6.50%, 10/01/2025(2) | 1,561,000 | 1,143,432 | ||||||
6.75%, 03/15/2022(2) | 4,576,000 | 4,235,408 | ||||||
Fortune Brands Home & Security, Inc. | ||||||||
3.00%, 06/15/2020 | 2,766,000 | 2,760,191 | ||||||
General Dynamics Corp. | ||||||||
3.00%, 05/11/2021 | 5,585,000 | 5,643,471 | ||||||
General Electric Co. | ||||||||
0.00% (3 Month EURIBOR + 0.30%), 05/28/2020(1)(5) | EUR | 150,000 | 164,940 | |||||
0.38%, 05/17/2022 | 400,000 | 422,240 | ||||||
2.70%, 10/09/2022 | $ | 200,000 | 196,718 | |||||
3.38%, 03/11/2024 | 3,115,000 | 3,175,663 | ||||||
3.45%, 05/15/2024 | 915,000 | 903,968 | ||||||
4.63%, 01/07/2021 | 5,410,000 | 5,460,125 | ||||||
4.65%, 10/17/2021 | 2,750,000 | 2,803,492 | ||||||
5.00% (3 Month LIBOR USD + 3.33%), 06/15/2168(1) | 7,944,000 | 6,553,800 | ||||||
5.50%, 06/07/2021 | GBP | 100,000 | 127,776 | |||||
5.55%, 05/04/2020 | $ | 154,000 | 154,395 | |||||
5.55%, 01/05/2026 | 4,748,000 | 5,129,550 | ||||||
6.15%, 08/07/2037 | 36,000 | 41,500 | ||||||
6.25%, 09/29/2020 | GBP | 160,000 | 201,751 | |||||
6.75%, 03/15/2032 | $ | 5,231,000 | 6,340,560 | |||||
6.88%, 01/10/2039 | 27,000 | 33,685 | ||||||
GFL Environmental, Inc. | ||||||||
5.13%, 12/15/2026(2) | 2,703,000 | 2,635,425 |
Graphic Packaging International LLC | ||||||||
4.13%, 08/15/2024 | 50,000 | 47,250 | ||||||
4.75%, 07/15/2027(2) | 1,500,000 | 1,467,000 | ||||||
Heathrow Funding Ltd. | ||||||||
4.88%, 07/15/2021(2) | 7,220,000 | 7,574,331 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
3.84%, 05/01/2025(2) | 3,995,000 | 4,113,439 | ||||||
4.20%, 05/01/2030(2) | 2,465,000 | 2,552,080 | ||||||
ICTSI Treasury BV | ||||||||
5.88%, 09/17/2025 | 5,000,000 | 5,349,186 | ||||||
Jabil, Inc. | ||||||||
4.70%, 09/15/2022 | 3,685,000 | 3,673,535 | ||||||
John Deere Capital Corp. | ||||||||
1.48% (3 Month LIBOR USD + 0.48%), 09/08/2022(1) | 10,000,000 | 9,569,806 | ||||||
2.95%, 04/01/2022 | 7,475,000 | 7,633,469 | ||||||
Keysight Technologies, Inc. | ||||||||
3.00%, 10/30/2029 | 5,800,000 | 5,479,577 | ||||||
4.55%, 10/30/2024 | 1,374,000 | 1,435,000 | ||||||
4.60%, 04/06/2027 | 1,695,000 | 1,738,907 | ||||||
Komatsu Finance America, Inc. | ||||||||
2.12%, 09/11/2020 | 200,000 | 199,751 | ||||||
2.44%, 09/11/2022 | 860,000 | 860,942 | ||||||
L3Harris Technologies, Inc. | ||||||||
2.25% (3 Month LIBOR USD + 0.48%), 04/30/2020(1) | 100,000 | 99,861 | ||||||
Masco Corp. | ||||||||
3.50%, 04/01/2021 | 7,044,000 | 7,053,305 | ||||||
Matthews International Corp. | ||||||||
5.25%, 12/01/2025(2) | 1,064,000 | 941,661 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50%, 04/15/2024(2) | 510,000 | 469,200 | ||||||
NTT Finance Corp. | ||||||||
1.90%, 07/21/2021 | 5,400,000 | 5,357,593 | ||||||
OI European Group BV | ||||||||
4.00%, 03/15/2023(2) | 216,000 | 205,200 | ||||||
Pelabuhan Indonesia III Persero PT | ||||||||
4.50%, 05/02/2023 | 200,000 | 199,000 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||||
3.20%, 07/15/2020(2) | 200,000 | 198,998 | ||||||
3.38%, 02/01/2022(2) | 2,781,000 | 2,810,994 | ||||||
4.88%, 07/11/2022(2) | 5,762,000 | 5,990,707 | ||||||
PerkinElmer, Inc. | ||||||||
3.30%, 09/15/2029 | 4,910,000 | 4,641,272 | ||||||
Republic Services, Inc. | ||||||||
2.90%, 07/01/2026 | 3,000,000 | 3,032,341 |
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | ||||||||
5.33% (3 Month LIBOR USD + 3.50%), 07/15/2021(1)(2) | 1,200,000 | 1,170,000 | ||||||
Roper Technologies, Inc. | ||||||||
2.35%, 09/15/2024 | 1,215,000 | 1,181,250 | ||||||
2.95%, 09/15/2029 | 1,930,000 | 1,917,729 | ||||||
Sealed Air Corp. | ||||||||
4.00%, 12/01/2027(2) | 505,000 | 469,700 | ||||||
5.25%, 04/01/2023(2) | 1,000,000 | 1,026,610 | ||||||
5.50%, 09/15/2025(2) | 1,545,000 | 1,564,328 | ||||||
Sensata Technologies, Inc. | ||||||||
4.38%, 02/15/2030(2) | 208,000 | 187,200 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
1.35% (3 Month LIBOR USD + 0.61%), 03/16/2022(1)(2) | 13,690,000 | 13,342,942 | ||||||
SMBC Aviation Capital Finance DAC | ||||||||
2.65%, 07/15/2021(2) | 200,000 | 198,241 | ||||||
4.13%, 07/15/2023(2) | 13,215,000 | 14,255,083 | ||||||
Spirit AeroSystems, Inc. | ||||||||
1.54% (3 Month LIBOR USD + 0.80%), 06/15/2021(1) | 3,080,000 | 2,932,504 | ||||||
4.60%, 06/15/2028 | 695,000 | 597,623 | ||||||
Textron, Inc. | ||||||||
2.28% (3 Month LIBOR USD + 0.55%), 11/10/2020(1) | 830,000 | 830,040 | ||||||
3.00%, 06/01/2030 | 16,485,000 | 15,428,527 | ||||||
TransDigm, Inc. | ||||||||
5.50%, 11/15/2027(2) | 25,000 | 22,437 | ||||||
6.25%, 03/15/2026(2) | 2,490,000 | 2,477,550 | ||||||
7.50%, 03/15/2027 | 860,000 | 828,782 | ||||||
Trident TPI Holdings, Inc. | ||||||||
9.25%, 08/01/2024(2) | 207,000 | 171,810 | ||||||
Triumph Group, Inc. | ||||||||
5.25%, 06/01/2022 | 482,000 | 397,650 | ||||||
6.25%, 09/15/2024(2) | 751,000 | 669,374 | ||||||
Trivium Packaging Finance BV | ||||||||
3.75%, 08/15/2026(2) | EUR | 340,000 | 341,050 | |||||
5.50%, 08/15/2026(2) | $ | 7,454,000 | 7,416,730 | |||||
Union Pacific Corp. | ||||||||
3.95%, 09/10/2028 | 4,640,000 | 4,981,410 | ||||||
United Parcel Service, Inc. | ||||||||
5.30%, 04/01/2050 | 4,135,000 | 5,445,829 | ||||||
United Technologies Corp. | ||||||||
4.50%, 06/01/2042 | 2,250,000 | 2,612,888 | ||||||
Waste Pro USA, Inc. | ||||||||
5.50%, 02/15/2026(2) | 2,121,000 | 1,967,864 | ||||||
WRKCo, Inc. |
3.00%, 09/15/2024 | 4,000,000 | 3,997,161 | ||||||
3.75%, 03/15/2025 | 815,000 | 819,438 | ||||||
|
| |||||||
Total Industrials | 323,149,144 | |||||||
|
| |||||||
Technology – 1.52% | ||||||||
Activision Blizzard, Inc. | ||||||||
2.60%, 06/15/2022 | 100,000 | 100,703 | ||||||
Apple, Inc. | ||||||||
3.85%, 05/04/2043 | 2,805,000 | 3,317,560 | ||||||
4.65%, 02/23/2046 | 1,250,000 | 1,730,579 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
2.20%, 01/15/2021 | 115,000 | 113,477 | ||||||
2.65%, 01/15/2023 | 200,000 | 195,314 | ||||||
3.00%, 01/15/2022 | 30,477,000 | 30,197,308 | ||||||
3.63%, 01/15/2024 | 11,731,000 | 11,608,187 | ||||||
3.88%, 01/15/2027 | 12,035,000 | 11,472,561 | ||||||
Broadcom, Inc. | ||||||||
3.13%, 04/15/2021(2) | 23,700,000 | 23,409,508 | ||||||
3.13%, 10/15/2022(2) | 23,350,000 | 23,120,127 | ||||||
3.63%, 10/15/2024(2) | 4,875,000 | 4,785,299 | ||||||
4.25%, 04/15/2026(2) | 1,830,000 | 1,859,587 | ||||||
4.75%, 04/15/2029(2) | 15,687,000 | 15,933,098 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | ||||||||
5.75%, 03/01/2025(2) | 510,000 | 471,750 | ||||||
Dell International LLC / EMC Corp. | ||||||||
4.42%, 06/15/2021(2) | 7,590,000 | 7,671,476 | ||||||
5.30%, 10/01/2029(2) | 1,395,000 | 1,356,890 | ||||||
EMC Corp. | ||||||||
2.65%, 06/01/2020 | 1,986,000 | 1,974,680 | ||||||
Exela Intermediate LLC / Exela Finance, Inc. | ||||||||
10.00%, 07/15/2023(2) | 300,000 | 78,750 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.75%, 05/21/2023 | EUR | 1,870,000 | 2,028,475 | |||||
Fiserv, Inc. | ||||||||
1.13%, 07/01/2027 | 1,465,000 | 1,546,863 | ||||||
3.20%, 07/01/2026 | $ | 2,995,000 | 3,082,673 | |||||
Hewlett Packard Enterprise Co. | ||||||||
2.62% (3 Month LIBOR USD + 0.72%), 10/05/2021(1) | 2,500,000 | 2,354,125 | ||||||
Intel Corp. | ||||||||
2.70%, 12/15/2022 | 8,055,000 | 8,380,371 | ||||||
Microchip Technology, Inc. | ||||||||
3.92%, 06/01/2021 | 1,670,000 | 1,627,010 | ||||||
4.33%, 06/01/2023 | 15,130,000 | 15,082,590 | ||||||
Micron Technology, Inc. |
4.19%, 02/15/2027 | 3,800,000 | 3,845,662 | ||||||
4.64%, 02/06/2024 | 6,512,000 | 6,615,463 | ||||||
4.66%, 02/15/2030 | 8,675,000 | 9,067,746 | ||||||
5.33%, 02/06/2029 | 7,324,000 | 8,028,201 | ||||||
NCR Corp. | ||||||||
5.75%, 09/01/2027(2) | 27,000 | 24,570 | ||||||
NXP BV | ||||||||
5.35%, 03/01/2026(2) | 1,945,000 | 2,102,647 | ||||||
NXP BV / NXP Funding LLC | ||||||||
3.88%, 09/01/2022(2) | 13,999,000 | 14,049,584 | ||||||
4.13%, 06/01/2021(2) | 19,112,000 | 19,281,211 | ||||||
4.63%, 06/15/2022(2) | 3,150,000 | 3,258,336 | ||||||
4.63%, 06/01/2023(2) | 460,000 | 473,427 | ||||||
4.88%, 03/01/2024(2) | 5,935,000 | 6,336,683 | ||||||
Oracle Corp. | ||||||||
2.80%, 07/08/2021 | 10,685,000 | 10,840,215 | ||||||
2.80%, 04/01/2027 | 3,500,000 | 3,567,630 | ||||||
2.95%, 04/01/2030 | 4,475,000 | 4,501,860 | ||||||
3.60%, 04/01/2050 | 5,475,000 | 5,452,927 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 01/01/2025 | 3,297,000 | 3,279,013 | ||||||
4.88%, 06/01/2027 | 855,000 | 847,473 | ||||||
5.75%, 12/01/2034 | 1,022,000 | 946,248 | ||||||
VMware, Inc. | ||||||||
2.30%, 08/21/2020 | 904,000 | 894,369 | ||||||
2.95%, 08/21/2022 | 2,540,000 | 2,546,364 | ||||||
3.90%, 08/21/2027 | 160,000 | 157,792 | ||||||
Western Digital Corp. | ||||||||
4.75%, 02/15/2026 | 872,000 | 886,388 | ||||||
|
| |||||||
Total Technology | 280,502,770 | |||||||
|
| |||||||
Utilities – 1.78% | ||||||||
AEP Texas, Inc. | ||||||||
3.85%, 10/01/2025(2) | 1,500,000 | 1,508,336 | ||||||
AEP Transmission Co. LLC | ||||||||
3.10%, 12/01/2026 | 1,575,000 | 1,637,103 | ||||||
AES Corp. | ||||||||
4.88%, 05/15/2023 | 45,000 | 43,312 | ||||||
5.13%, 09/01/2027 | 60,000 | 60,149 | ||||||
5.50%, 04/15/2025 | 345,000 | 338,100 | ||||||
6.00%, 05/15/2026 | 120,000 | 118,200 | ||||||
American Electric Power Co., Inc. | ||||||||
2.15%, 11/13/2020 | 330,000 | 327,562 | ||||||
2.95%, 12/15/2022 | 400,000 | 388,018 |
American Transmission Systems, Inc. | ||||||||
5.25%, 01/15/2022(2) | 100,000 | 106,357 | ||||||
American Water Capital Corp. | ||||||||
4.15%, 06/01/2049 | 1,425,000 | 1,572,769 | ||||||
Ausgrid Finance Pty Ltd. | ||||||||
3.85%, 05/01/2023(2) | 9,410,000 | 9,861,500 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.80%, 08/15/2022 | 570,000 | 578,082 | ||||||
Black Hills Corp. | ||||||||
4.35%, 05/01/2033 | 6,250,000 | 7,648,720 | ||||||
British Transco International Finance BV | ||||||||
0.00%, 11/04/2021 | 400,000 | 387,760 | ||||||
Cleco Power LLC | ||||||||
6.00%, 12/01/2040 | 1,000,000 | 1,279,992 | ||||||
Dominion Energy Inc. | ||||||||
2.45%, 01/15/2023(2) | 13,500,000 | 13,289,393 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.70%, 12/01/2047 | 2,500,000 | 2,750,349 | ||||||
3.88%, 03/15/2046 | 2,750,000 | 3,107,215 | ||||||
4.25%, 12/15/2041 | 1,650,000 | 1,871,827 | ||||||
Duke Energy Corp. | ||||||||
2.20% (3 Month LIBOR USD + 0.50%), 05/14/2021(1)(2) | 156,000 | 154,367 | ||||||
Duke Energy Progress LLC | ||||||||
3.25%, 08/15/2025 | 2,613,000 | 2,784,958 | ||||||
3.70%, 09/01/2028 | 4,050,000 | 4,333,511 | ||||||
4.10%, 03/15/2043 | 900,000 | 983,957 | ||||||
4.20%, 08/15/2045 | 1,000,000 | 1,143,666 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
5.90%, 12/01/2021(2) | 1,500,000 | 1,597,317 | ||||||
6.40%, 09/15/2020(2) | 400,000 | 408,573 | ||||||
Edison International | ||||||||
4.95%, 04/15/2025 | 315,000 | 314,272 | ||||||
Emera US Finance LP | ||||||||
2.70%, 06/15/2021 | 338,000 | 341,864 | ||||||
Enel Americas SA | ||||||||
4.00%, 10/25/2026 | 9,422,000 | 8,802,598 | ||||||
Enel Finance International NV | ||||||||
2.75%, 04/06/2023(2) | 8,060,000 | 7,602,583 | ||||||
3.63%, 05/25/2027(2) | 3,175,000 | 3,223,117 | ||||||
Entergy Corp. | ||||||||
4.00%, 07/15/2022 | 925,000 | 949,083 | ||||||
5.13%, 09/15/2020 | 3,022,000 | 3,021,315 |
Exelon Corp. | ||||||||
2.85%, 06/15/2020 | 2,975,000 | 2,974,673 | ||||||
FirstEnergy Corp. | ||||||||
2.85%, 07/15/2022 | 2,075,000 | 2,023,433 | ||||||
3.40%, 03/01/2050 | 10,950,000 | 10,351,876 | ||||||
3.90%, 07/15/2027 | 5,035,000 | 5,089,128 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025(2) | 7,535,000 | 7,841,426 | ||||||
IPALCO Enterprises, Inc. | ||||||||
3.45%, 07/15/2020 | 280,000 | 279,959 | ||||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 610,000 | 605,700 | ||||||
3.25%, 06/30/2026 | 2,000,000 | 2,032,708 | ||||||
4.05%, 07/01/2023 | 3,812,000 | 3,903,495 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.30%, 01/15/2026(2) | 1,000,000 | 1,069,058 | ||||||
4.70%, 04/01/2024(2) | 150,000 | 160,009 | ||||||
Kansas City Power & Light Co. | ||||||||
3.65%, 08/15/2025 | 3,550,000 | 3,692,894 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026(2) | 4,500,000 | 4,553,192 | ||||||
LG&E & KU Energy LLC | ||||||||
4.38%, 10/01/2021 | 700,000 | 703,762 | ||||||
Metropolitan Edison Co. | ||||||||
4.00%, 04/15/2025(2) | 4,000,000 | 4,324,223 | ||||||
4.30%, 01/15/2029(2) | 5,000,000 | 5,245,259 | ||||||
Mong Duong Finance Holdings BV | ||||||||
5.13%, 05/07/2029 | 1,150,000 | 969,470 | ||||||
NextEra Energy Capital Holdings Inc. | ||||||||
2.40%, 09/01/2021 | 500,000 | 499,140 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.16% (3 Month LIBOR USD + 0.55%), 08/28/2021(1) | 9,000,000 | 8,817,587 | ||||||
3.34%, 09/01/2020 | 3,400,000 | 3,403,517 | ||||||
NiSource, Inc. | ||||||||
2.65%, 11/17/2022 | 750,000 | 756,567 | ||||||
Northern States Power Co. | ||||||||
3.60%, 09/15/2047 | 1,800,000 | 1,921,660 | ||||||
4.00%, 08/15/2045 | 1,000,000 | 1,024,615 | ||||||
NRG Energy, Inc. | ||||||||
3.75%, 06/15/2024(2) | 700,000 | 692,905 | ||||||
4.45%, 06/15/2029(2) | 6,860,000 | 6,951,241 | ||||||
5.25%, 06/15/2029(2) | 850,000 | 875,500 | ||||||
5.75%, 01/15/2028 | 1,990,000 | 2,029,800 | ||||||
Pacific Gas & Electric Co. |
2.45%, 08/15/2022(6) | 1,944,000 | 1,905,120 | ||||||
2.95%, 03/01/2026(6) | 3,053,000 | 2,885,085 | ||||||
3.25%, 09/15/2021(6) | 959,000 | 939,820 | ||||||
3.25%, 06/15/2023(6) | 2,644,000 | 2,538,240 | ||||||
3.30%, 03/15/2027(6) | 1,252,000 | 1,195,660 | ||||||
3.30%, 12/01/2027(6) | 3,700,000 | 3,533,500 | ||||||
3.40%, 08/15/2024(6) | 2,476,000 | 2,401,720 | ||||||
3.50%, 10/01/2020(6) | 5,979,000 | 5,859,420 | ||||||
3.50%, 06/15/2025(6) | 3,850,000 | 3,715,250 | ||||||
3.75%, 02/15/2024(6) | 2,384,000 | 2,336,320 | ||||||
3.75%, 08/15/2042(6) | 166,000 | 146,910 | ||||||
3.85%, 11/15/2023(6) | 318,000 | 311,640 | ||||||
4.00%, 12/01/2046(6) | 16,000 | 14,560 | ||||||
4.25%, 05/15/2021(6) | 6,273,000 | 6,147,540 | ||||||
4.25%, 08/01/2023(2)(6) | 800,000 | 804,000 | ||||||
4.30%, 03/15/2045(6) | 475,000 | 456,000 | ||||||
4.45%, 04/15/2042(6) | 941,000 | 917,475 | ||||||
4.50%, 12/15/2041(6) | 203,000 | 194,880 | ||||||
4.60%, 06/15/2043(6) | 488,000 | 483,120 | ||||||
4.65%, 08/01/2028(2)(6) | 100,000 | 104,000 | ||||||
4.75%, 02/15/2044(6) | 423,000 | 414,540 | ||||||
5.13%, 11/15/2043(6) | 1,132,000 | 1,132,000 | ||||||
5.40%, 01/15/2040(6) | 4,186,000 | 4,248,790 | ||||||
5.80%, 03/01/2037(6) | 795,000 | 806,925 | ||||||
6.05%, 03/01/2034(6) | 1,003,000 | 1,013,030 | ||||||
6.25%, 03/01/2039(6) | 615,000 | 624,225 | ||||||
6.35%, 02/15/2038(6) | 444,000 | 450,660 | ||||||
Pennsylvania Electric Co. | ||||||||
5.20%, 04/01/2020 | 780,000 | 780,000 | ||||||
Perusahaan Listrik Negara PT | ||||||||
5.45%, 05/21/2028(2) | 11,800,000 | 12,316,132 | ||||||
PPL WEM Ltd. / Western Power Distribution Ltd. | ||||||||
5.38%, 05/01/2021(2) | 2,615,000 | 2,668,924 | ||||||
Public Service Co. of New Mexico | ||||||||
3.85%, 08/01/2025 | 7,000,000 | 7,740,009 | ||||||
Puget Energy, Inc. | ||||||||
6.50%, 12/15/2020 | 2,903,000 | 2,964,158 | ||||||
San Diego Gas & Electric Co. | ||||||||
3.75%, 06/01/2047 | 24,000 | 24,311 | ||||||
Sempra Energy | ||||||||
3.25%, 06/15/2027 | 8,634,000 | 8,391,873 | ||||||
3.40%, 02/01/2028 | 3,037,000 | 3,045,932 | ||||||
4.05%, 12/01/2023 | 1,250,000 | 1,281,091 |
Southern California Edison Co. | ||||||||
3.65%, 03/01/2028 | 40,000 | 40,802 | ||||||
5.75%, 04/01/2035 | 70,000 | 87,219 | ||||||
6.00%, 01/15/2034 | 20,000 | 24,111 | ||||||
6.65%, 04/01/2029 | 192,000 | 226,732 | ||||||
Southern California Gas Co. | ||||||||
5.13%, 11/15/2040 | 12,000 | 14,172 | ||||||
Southern Co. | ||||||||
3.25%, 07/01/2026 | 8,000,000 | 8,068,531 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
3.50%, 09/15/2021 | 3,250,000 | 3,264,836 | ||||||
4.40%, 05/30/2047 | 1,915,000 | 1,897,989 | ||||||
5.88%, 03/15/2041 | 1,920,000 | 2,176,553 | ||||||
Southern Power Co. | ||||||||
1.67% (3 Month LIBOR USD + 0.55%), 12/20/2020(1)(2) | 600,000 | 590,503 | ||||||
Southwestern Electric Power Co. | ||||||||
4.10%, 09/15/2028 | 10,000,000 | 10,725,948 | ||||||
Spire, Inc. | ||||||||
3.54%, 02/27/2024 | 5,000,000 | 5,035,883 | ||||||
State Grid Overseas Investment 2016 Ltd. | ||||||||
2.75%, 05/04/2022(2) | 404,000 | 408,896 | ||||||
3.75%, 05/02/2023(2) | 4,235,000 | 4,391,291 | ||||||
Talen Energy Supply LLC | ||||||||
6.63%, 01/15/2028(2) | 250,000 | 209,479 | ||||||
Tucson Electric Power Co. | ||||||||
3.05%, 03/15/2025 | 3,000,000 | 3,170,792 | ||||||
5.15%, 11/15/2021 | 2,515,000 | 2,626,222 | ||||||
Vistra Operations Co. LLC | ||||||||
3.55%, 07/15/2024(2) | 8,385,000 | 7,881,745 | ||||||
3.70%, 01/30/2027(2) | 26,340,000 | 23,466,786 | ||||||
4.30%, 07/15/2029(2) | 3,095,000 | 2,746,866 | ||||||
|
| |||||||
Total Utilities | 327,176,938 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $6,231,042,819) | 6,043,989,236 | |||||||
|
| |||||||
Convertible Securities – 0.13% | ||||||||
Communications – 0.05% | ||||||||
DISH Network Corp. | ||||||||
2.38%, 03/15/2024 | 7,520,000 | 5,959,600 | ||||||
3.38%, 08/15/2026 | 1,670,000 | 1,355,792 | ||||||
Palo Alto Networks, Inc. | ||||||||
0.75%, 07/01/2023 | 2,285,000 | 2,205,466 | ||||||
Proofpoint, Inc. | ||||||||
0.25%, 08/15/2024(2) | 425,000 | 398,969 | ||||||
|
| |||||||
Total Communications | 9,919,827 | |||||||
|
|
Consumer, Cyclical – 0.01% | ||||||||
Caesars Entertainment Corp. | ||||||||
5.00%, 10/01/2024 | 1,634,430 | 1,742,771 | ||||||
|
| |||||||
Total Consumer, Cyclical | 1,742,771 | |||||||
|
| |||||||
Consumer, Non-cyclical – 0.05% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
0.60%, 08/01/2024 | 6,980,000 | 7,314,569 | ||||||
Illumina, Inc. | ||||||||
0.00%, 08/15/2023 | 1,935,000 | 1,851,912 | ||||||
|
| |||||||
Total Consumer, Non-cyclical | 9,166,481 | |||||||
|
| |||||||
Energy – 0.00%(8) | ||||||||
Chesapeake Energy Corp. | ||||||||
5.50%, 09/15/2026 | 3,940,000 | 177,300 | ||||||
|
| |||||||
Total Energy | 177,300 | |||||||
|
| |||||||
Industrials – 0.01% | ||||||||
Greenbrier Cos, Inc. | ||||||||
2.88%, 02/01/2024 | 1,993,000 | 1,519,663 | ||||||
|
| |||||||
Total Industrials | 1,519,663 | |||||||
|
| |||||||
Technology – 0.01% | ||||||||
Akamai Technologies, Inc. | ||||||||
0.38%, 09/01/2027(2) | 705,000 | 702,147 | ||||||
Microchip Technology, Inc. | ||||||||
1.63%, 02/15/2027 | 1,000,000 | 1,026,343 | ||||||
|
| |||||||
Total Technology | 1,728,490 | |||||||
|
| |||||||
Total Convertible Securities (Cost: $29,839,852) | 24,254,532 | |||||||
|
| |||||||
Government Related – 13.47% | ||||||||
Other Government Related – 1.73% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.50%, 10/11/2022(2) | 500,000 | 501,500 | ||||||
2.50%, 09/30/2029 | 1,891,000 | 1,836,728 | ||||||
3.13%, 10/11/2027(2) | 1,200,000 | 1,221,048 | ||||||
Africa Finance Corp. | ||||||||
3.88%, 04/13/2024(2) | 1,085,000 | 1,085,000 | ||||||
Argentina Bocon | ||||||||
42.78% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(1) | ARS | 3,900,000 | 75,165 | |||||
Argentina Bonar Bonds | ||||||||
36.57% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022(1) | 187,669,000 | 2,057,249 | ||||||
Argentina POM Politica Monetaria | ||||||||
38.04% (Argentina Blended Historical Policy Rate + 0.00%), 06/21/2020(1) | 2,076,079,000 | 21,047,318 | ||||||
Argentina Treasury Bond BONCER | ||||||||
2.25%, 04/28/2020 | 43,747,000 | 1,618,939 |
Argentine Bonos del Tesoro | ||||||||
15.50%, 10/17/2026 | 6,610,000 | 40,598 | ||||||
Argentine Republic Government International Bond | ||||||||
3.38%, 01/15/2023 | EUR | 1,100,000 | 303,297 | |||||
3.38%, 12/31/2038(3) | 179,000 | 51,246 | ||||||
3.75%, 12/31/2038(3) | $ | 8,696,000 | 2,548,015 | |||||
3.88%, 01/15/2022 | EUR | 16,200,000 | 4,556,080 | |||||
4.63%, 01/11/2023 | $ | 8,716,000 | 2,484,147 | |||||
5.00%, 01/15/2027 | EUR | 2,000,000 | 541,480 | |||||
5.25%, 01/15/2028 | 500,000 | 127,936 | ||||||
5.63%, 01/26/2022 | $ | 445,000 | 129,050 | |||||
6.25%, 11/09/2047 | EUR | 100,000 | 26,456 | |||||
6.88%, 01/26/2027 | $ | 300,000 | 82,503 | |||||
6.88%, 01/11/2048 | 1,200,000 | 312,012 | ||||||
7.13%, 07/06/2036 | 200,000 | 51,302 | ||||||
7.50%, 04/22/2026 | 150,000 | 41,626 | ||||||
7.82%, 12/31/2033 | EUR | 220,177 | 75,434 | |||||
Autonomous Community of Catalonia | ||||||||
4.90%, 09/15/2021 | 50,000 | 58,329 | ||||||
Bahrain Government International Bond | ||||||||
6.75%, 09/20/2029 | $ | 359,000 | 321,319 | |||||
7.00%, 10/12/2028 | 2,508,000 | 2,283,133 | ||||||
Brazilian Government International Bond | ||||||||
4.50%, 05/30/2029 | 1,700,000 | 1,745,560 | ||||||
4.63%, 01/13/2028 | 1,350,000 | 1,436,062 | ||||||
Chile Government International Bond | ||||||||
2.55%, 01/27/2032 | 1,572,000 | 1,570,428 | ||||||
3.24%, 02/06/2028 | 13,736,000 | 14,508,787 | ||||||
City of New York NY | ||||||||
3.55%, 12/01/2028 | 3,645,000 | 3,924,098 | ||||||
Ciudad Autonoma de Buenos Aires/Government Bonds | ||||||||
32.41% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/29/2024(1) | ARS | 225,929,000 | 2,423,965 | |||||
37.25% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 5.00%), 01/23/2022(1) | 387,990,000 | 5,327,047 | ||||||
Colombia Government International Bond | ||||||||
3.00%, 01/30/2030 | $ | 1,400,000 | 1,276,100 | |||||
3.88%, 04/25/2027 | 364,000 | 359,632 | ||||||
4.50%, 01/28/2026 | 525,000 | 530,911 | ||||||
5.00%, 06/15/2045 | 874,000 | 895,850 | ||||||
5.20%, 05/15/2049 | 700,000 | 734,979 | ||||||
Commonwealth of Massachusetts | ||||||||
3.00%, 03/01/2049 | 10,015,000 | 10,264,974 | ||||||
Commonwealth of Puerto Rico | ||||||||
4.13%, 07/01/2022(6) | 100,000 | 61,250 |
5.00%, 07/01/2021(6) | 240,000 | 150,300 | ||||||
5.00%, 07/01/2028(6) | 20,000 | 13,600 | ||||||
5.00%, 07/01/2041(6) | 395,000 | 239,962 | ||||||
5.13%, 07/01/2028(6) | 30,000 | 20,212 | ||||||
5.13%, 07/01/2031(6) | 2,590,000 | 1,761,200 | ||||||
5.13%, 07/01/2037(6) | 190,000 | 117,800 | ||||||
5.25%, 07/01/2026(6) | 200,000 | 136,250 | ||||||
5.25%, 07/01/2037(6) | 100,000 | 68,125 | ||||||
5.38%, 07/01/2030(6) | 165,000 | 110,138 | ||||||
5.50%, 07/01/2032(6) | 1,610,000 | 1,086,750 | ||||||
5.50%, 07/01/2039(6) | 520,000 | 327,600 | ||||||
5.70%, 07/01/2023(6) | 170,000 | 108,162 | ||||||
5.75%, 07/01/2038(6) | 80,000 | 53,400 | ||||||
5.75%, 07/01/2041(6) | 100,000 | 66,750 | ||||||
6.00%, 07/01/2038(6) | 610,000 | 417,850 | ||||||
6.00%, 07/01/2039(6) | 55,000 | 37,263 | ||||||
6.50%, 07/01/2040(6) | 30,000 | 20,625 | ||||||
8.00%, 07/01/2035(6) | 800,000 | 480,000 | ||||||
Croatia Government International Bond | ||||||||
6.00%, 01/26/2024 | 1,253,000 | 1,353,240 | ||||||
Dominican Republic International Bond | ||||||||
4.50%, 01/30/2030(2) | 300,000 | 261,000 | ||||||
5.50%, 01/27/2025 | 1,250,000 | 1,200,000 | ||||||
6.00%, 07/19/2028 | 1,665,000 | 1,565,117 | ||||||
Egypt Government International Bond | ||||||||
5.58%, 02/21/2023(2) | 400,000 | 369,920 | ||||||
7.60%, 03/01/2029(2) | 250,000 | 223,652 | ||||||
Export Credit Bank of Turkey | ||||||||
8.25%, 01/24/2024(2) | 1,000,000 | 942,568 | ||||||
Export-Import Bank of India | ||||||||
2.39% (3 Month LIBOR USD + 1.02%), 03/28/2022(1)(7) | 9,600,000 | 9,596,256 | ||||||
Hazine Mustesarligi Varlik Kiralama AS | ||||||||
5.80%, 02/21/2022(2) | 7,960,000 | 7,718,430 | ||||||
Health & Educational Facilities Authority of the State of Missouri | ||||||||
3.65%, 08/15/2057 | 2,735,000 | 3,195,082 | ||||||
Hungary Government International Bond | ||||||||
5.38%, 03/25/2024 | 1,596,000 | 1,755,600 | ||||||
Indonesia Government International Bond | ||||||||
2.85%, 02/14/2030 | 1,200,000 | 1,163,960 | ||||||
4.75%, 01/08/2026 | 2,000,000 | 2,116,646 | ||||||
Los Angeles Department of Water | ||||||||
6.01%, 07/01/2039 | 675,000 | 890,318 | ||||||
Massachusetts Educational Financing Authority |
3.85%, 05/25/2033 | 3,908,160 | 4,076,719 | ||||||
Mexico Government International Bond | ||||||||
3.25%, 04/16/2030 | 6,231,000 | 5,841,563 | ||||||
3.75%, 01/11/2028 | 726,000 | 721,651 | ||||||
4.50%, 04/22/2029 | 773,000 | 792,333 | ||||||
4.60%, 01/23/2046 | 713,000 | 709,328 | ||||||
4.75%, 03/08/2044 | 1,000,000 | 1,012,500 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
2.80%, 02/01/2026 | 1,850,000 | 1,935,969 | ||||||
3.95%, 08/01/2032 | 1,900,000 | 2,132,959 | ||||||
5.27%, 05/01/2027 | 3,500,000 | 4,229,575 | ||||||
New York City Water & Sewer System | ||||||||
5.75%, 06/15/2041 | 240,000 | 344,407 | ||||||
New York State Dormitory Authority | ||||||||
4.00%, 07/01/2050 | 1,855,000 | 1,999,746 | ||||||
5.05%, 09/15/2027 | 1,800,000 | 2,167,182 | ||||||
Oman Government International Bond | ||||||||
5.63%, 01/17/2028(2) | 1,250,000 | 893,900 | ||||||
6.00%, 08/01/2029(2) | 2,540,000 | 1,820,342 | ||||||
Panama Government International Bond | ||||||||
3.16%, 01/23/2030 | 5,109,000 | 5,109,051 | ||||||
3.88%, 03/17/2028 | 600,000 | 646,506 | ||||||
Paraguay Government International Bond | ||||||||
4.70%, 03/27/2027 | 1,380,000 | 1,380,014 | ||||||
Peru Government Bond | ||||||||
5.94%, 02/12/2029(2) | PEN | 21,282,000 | 6,659,595 | |||||
6.15%, 08/12/2032(2) | 17,826,000 | 5,541,587 | ||||||
6.95%, 08/12/2031 | 5,192,000 | 1,723,677 | ||||||
Peruvian Government International Bond | ||||||||
2.84%, 06/20/2030 | $ | 1,270,000 | 1,341,120 | |||||
4.13%, 08/25/2027 | 2,141,000 | 2,413,999 | ||||||
5.94%, 02/12/2029 | PEN | 11,140,000 | 3,485,945 | |||||
5.94%, 02/12/2029(2) | 11,637,000 | 3,641,467 | ||||||
6.15%, 08/12/2032(2) | 2,151,000 | 689,517 | ||||||
6.35%, 08/12/2028(2) | 12,544,000 | 4,041,087 | ||||||
6.90%, 08/12/2037(2) | 879,000 | 292,755 | ||||||
6.95%, 08/12/2031 | 1,183,000 | 392,741 | ||||||
6.95%, 08/12/2031(2) | 11,230,000 | 3,728,215 | ||||||
8.20%, 08/12/2026(2) | 15,908,000 | 5,762,814 | ||||||
Philippine Government International Bond | ||||||||
3.00%, 02/01/2028 | $ | 4,215,000 | 4,393,858 | |||||
3.70%, 03/01/2041 | 364,000 | 396,526 | ||||||
3.75%, 01/14/2029 | 558,000 | 617,358 |
Provincia de Buenos Aires/Government Bonds | ||||||||
33.93% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.83%), 05/31/2022(1) | ARS | 15,450,000 | 130,927 | |||||
37.46% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 04/12/2025(1)(2) | 254,135,000 | 2,331,427 | ||||||
Puerto Rico Electric Power Authority | ||||||||
6.05%, 07/01/2032(6) | $ | 100,000 | 71,125 | |||||
Qatar Government International Bond | ||||||||
3.88%, 04/23/2023 | 1,300,000 | 1,336,010 | ||||||
4.50%, 04/23/2028 | 2,059,000 | 2,253,452 | ||||||
4.63%, 06/02/2046 | 1,257,000 | 1,451,835 | ||||||
5.10%, 04/23/2048 | 600,000 | 727,524 | ||||||
Regents of the University of California Medical Center Pooled Revenue | ||||||||
3.26%, 05/15/2060 | 15,185,000 | 14,216,804 | ||||||
Republic of Azerbaijan International Bond | ||||||||
4.75%, 03/18/2024 | 2,256,000 | 2,195,296 | ||||||
Republic of South Africa Government International Bond | ||||||||
4.30%, 10/12/2028 | 3,234,000 | 2,648,685 | ||||||
4.85%, 09/30/2029 | 7,600,000 | 6,221,056 | ||||||
4.88%, 04/14/2026 | 700,000 | 623,700 | ||||||
5.75%, 09/30/2049 | 5,200,000 | 3,770,000 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
4.25%, 06/23/2027 | 400,000 | 418,744 | ||||||
4.38%, 03/21/2029 | 1,200,000 | 1,281,619 | ||||||
4.75%, 05/27/2026 | 600,000 | 636,600 | ||||||
Saudi Government International Bond | ||||||||
2.75%, 02/03/2032(2) | 300,000 | 276,000 | ||||||
2.88%, 03/04/2023(2) | 2,000,000 | 1,995,080 | ||||||
3.63%, 03/04/2028 | 2,500,000 | 2,537,900 | ||||||
3.75%, 01/21/2055(2) | 200,000 | 184,112 | ||||||
4.00%, 04/17/2025 | 16,200,000 | 16,821,756 | ||||||
4.50%, 10/26/2046 | 1,450,000 | 1,469,070 | ||||||
4.63%, 10/04/2047(2) | 800,000 | 818,301 | ||||||
5.00%, 04/17/2049(2) | 1,400,000 | 1,511,286 | ||||||
State of California | ||||||||
7.95%, 03/01/2036 | 4,085,000 | 4,101,177 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 225,000 | 223,342 | ||||||
6.73%, 04/01/2035 | 70,000 | 75,666 | ||||||
7.35%, 07/01/2035 | 55,000 | 61,711 | ||||||
Texas Public Finance Authority | ||||||||
8.25%, 07/01/2024 | 4,660,000 | 4,578,450 | ||||||
Turkey Government International Bond | ||||||||
4.63%, 03/31/2025 | EUR | 6,300,000 | 6,378,511 | |||||
5.63%, 03/30/2021 | $ | 800,000 | 794,000 |
5.75%, 03/22/2024 | 600,000 | 558,630 | ||||||
6.35%, 08/10/2024 | 1,782,000 | 1,688,231 | ||||||
7.25%, 12/23/2023 | 10,800,000 | 10,557,000 | ||||||
7.63%, 04/26/2029 | 11,900,000 | 11,334,750 | ||||||
Uruguay Government International Bond | ||||||||
4.38%, 10/27/2027 | 2,000,000 | 2,160,020 | ||||||
4.38%, 01/23/2031 | 1,100,000 | 1,196,261 | ||||||
Venezuela Government International Bond | ||||||||
6.00%, 12/09/2020(6) | 30,000 | 2,700 | ||||||
7.00%, 03/31/2038(6) | 187,000 | 16,830 | ||||||
7.65%, 04/21/2025(6) | 534,000 | 48,060 | ||||||
7.75%, 04/13/2022(6) | 100,000 | 9,000 | ||||||
8.25%, 10/13/2024(6) | 7,294,000 | 656,460 | ||||||
9.00%, 05/07/2023(6) | 110,000 | 9,900 | ||||||
9.00%, 05/07/2023(6) | 7,405,000 | 666,450 | ||||||
9.25%, 09/15/2027(6) | 1,049,000 | 94,410 | ||||||
9.25%, 05/07/2028(6) | 420,000 | 37,800 | ||||||
11.75%, 10/21/2026(6) | 120,000 | 10,800 | ||||||
11.95%, 08/05/2031(6) | 3,200,000 | 288,000 | ||||||
|
| |||||||
Total Other Government Related | 318,516,803 | |||||||
|
| |||||||
U.S. Treasury Obligations – 11.74% | ||||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.13%, 07/15/2024(9) | 8,751,274 | 8,771,117 | ||||||
0.25%, 07/15/2029(9)(10) | 115,959,488 | 120,521,894 | ||||||
0.25%, 02/15/2050(9) | 81,174,866 | 83,726,191 | ||||||
U.S. Treasury Inflation Indexed Note | ||||||||
0.13%, 10/15/2024(9) | 50,460,014 | 51,078,983 | ||||||
U.S. Treasury Note/Bond | ||||||||
0.50%, 03/31/2025 | 22,060,000 | 22,199,598 | ||||||
1.38%, 10/15/2022 | 21,075,000 | 21,668,558 | ||||||
1.50%, 11/30/2021 | 43,085,000 | 44,000,556 | ||||||
1.50%, 08/15/2022 | 12,730,000 | 13,117,370 | ||||||
1.50%, 09/15/2022(10) | 220,645,000 | 227,350,538 | ||||||
1.50%, 01/15/2023 | 229,835,000 | 237,708,644 | ||||||
1.63%, 11/15/2022 | 251,170,000 | 260,059,062 | ||||||
1.63%, 12/15/2022 | 59,000,000 | 61,168,711 | ||||||
2.00%, 02/15/2050 | 70,105,000 | 81,423,123 | ||||||
2.25%, 08/15/2049(11) | 232,090,000 | 282,370,122 | ||||||
2.38%, 11/15/2049 | 174,542,000 | 217,850,234 | ||||||
2.50%, 02/15/2045(11) | 62,700,000 | 78,303,973 | ||||||
2.75%, 11/15/2047(10) | 250,000 | 330,908 | ||||||
2.88%, 08/15/2028(10) | 7,800,000 | 9,226,547 | ||||||
2.88%, 05/15/2049 | 25,705,000 | 35,102,387 |
3.00%, 05/15/2045(11) | 30,000,000 | 40,807,031 | ||||||
3.00%, 02/15/2048(10) | 15,800,000 | 21,871,273 | ||||||
3.00%, 08/15/2048(10) | 41,640,000 | 57,895,865 | ||||||
3.00%, 02/15/2049(11) | 82,878,400 | 115,573,282 | ||||||
3.13%, 11/15/2028(10) | 7,500,000 | 9,057,422 | ||||||
3.13%, 05/15/2048(10) | 12,780,000 | 18,120,642 | ||||||
3.38%, 05/15/2044(10) | 3,210,000 | 4,589,046 | ||||||
3.63%, 02/15/2044(10) | 2,790,000 | 4,128,110 | ||||||
4.63%, 02/15/2040 | 18,930,000 | 30,918,014 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,158,939,201 | |||||||
|
| |||||||
Total Government Related (Cost: $2,306,688,491) | 2,477,456,004 | |||||||
|
| |||||||
Mortgage-Backed Obligations – 37.75% | ||||||||
280 Park Avenue 2017-280P Mortgage Trust | ||||||||
1.58% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034(1)(2) | 1,315,631 | 1,233,312 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
5.75%, 12/25/2033 | 608,037 | 622,900 | ||||||
6.00%, 12/25/2033 | 177,292 | 179,830 | ||||||
Alternative Loan Trust 2004-16CB | ||||||||
5.50%, 07/25/2034 | 400,177 | 408,394 | ||||||
5.50%, 08/25/2034 | 445,309 | 454,767 | ||||||
Alternative Loan Trust 2005-56 | ||||||||
1.68% (1 Month LIBOR USD + 0.73%, 0.73% Floor), 11/25/2035(1) | 5,038,028 | 4,424,830 | ||||||
Alternative Loan Trust 2005-74T1 | ||||||||
6.00%, 01/25/2036 | 11,761,844 | 8,732,703 | ||||||
Alternative Loan Trust 2006-HY12 | ||||||||
3.92%, 08/25/2036(4) | 284,976 | 260,260 | ||||||
Alternative Loan Trust 2006-OA17 | ||||||||
0.97% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046(1) | 16,728,262 | 12,192,835 | ||||||
Alternative Loan Trust 2006-OA22 | ||||||||
1.16% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/25/2047(1) | 15,271,597 | 12,084,566 | ||||||
Alternative Loan Trust 2006-OA3 | ||||||||
1.15% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2036(1) | 6,338,530 | 4,647,612 | ||||||
Alternative Loan Trust 2006-OA7 | ||||||||
2.91% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046(1) | 12,638,769 | 9,577,801 | ||||||
Alternative Loan Trust 2006-OC5 | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 06/25/2046(1) | 8,079,733 | 6,027,562 | ||||||
Alternative Loan Trust 2007-HY7C | ||||||||
1.09% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2037(1) | 3,085,434 | 2,290,192 | ||||||
Alternative Loan Trust 2007-OA2 | ||||||||
1.08% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047(1) | 12,725,750 | 8,256,604 | ||||||
2.81% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047(1) | 28,497,992 | 20,372,886 | ||||||
Alternative Loan Trust 2007-OA4 |
1.12% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 05/25/2047(1) | 2,075,666 | 1,689,842 | ||||||
Angel Oak Mortgage Trust 2019-3 | ||||||||
3.24%, 05/25/2059(2)(4) | 4,241,293 | 4,078,879 | ||||||
Angel Oak Mortgage Trust I LLC 2019-1 | ||||||||
3.92%, 11/25/2048(2)(4) | 6,726,282 | 6,498,333 | ||||||
4.02%, 11/25/2048(2)(4) | 1,511,871 | 1,460,691 | ||||||
Angel Oak Mortgage Trust I LLC 2019-2 | ||||||||
3.63%, 03/25/2049(2)(4) | 2,557,592 | 2,575,443 | ||||||
3.78%, 03/25/2049(2)(4) | 2,781,884 | 2,777,187 | ||||||
4.07%, 03/25/2049(2)(4) | 3,460,000 | 3,255,706 | ||||||
Ashford Hospitality Trust 2018-ASHF | ||||||||
1.60% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/15/2035(1)(2) | 1,061,043 | 855,577 | ||||||
1.95% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/15/2035(1)(2) | 1,530,000 | 1,245,203 | ||||||
2.10% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 04/15/2035(1)(2) | 715,000 | 578,219 | ||||||
Atrium Hotel Portfolio Trust 2017-ATRM | ||||||||
1.63% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 12/15/2036(1)(2) | 3,120,000 | 2,889,510 | ||||||
2.20% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 12/15/2036(1)(2) | 1,095,000 | 970,807 | ||||||
Austin Fairmont Hotel Trust 2019-FAIR | ||||||||
1.95% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 09/15/2032(1)(2) | 2,155,000 | 1,738,990 | ||||||
2.15% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 09/15/2032(1)(2) | 5,500,000 | 4,363,249 | ||||||
Aventura Mall Trust | ||||||||
4.11%, 07/05/2040(2)(4) | 5,325,000 | 5,503,299 | ||||||
BAMLL Commercial Mortgage Securities Trust 2016-ISQ | ||||||||
2.85%, 08/14/2034(2) | 6,895,000 | 6,507,482 | ||||||
BAMLL Commercial Mortgage Securities Trust 2018-PARK | ||||||||
4.09%, 08/10/2038(2)(4) | 6,575,000 | 6,829,436 | ||||||
BAMLL Re-REMIC Trust 2016-RRLD11 | ||||||||
5.83%, 06/17/2050(2)(4) | 100,000 | 48,000 | ||||||
5.83%, 06/17/2050(2)(4) | 231,753 | 233,676 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.82%, 02/10/2051(4) | 5,959,278 | 6,372,064 | ||||||
Banc of America Funding 2015-R7 Trust | ||||||||
2.62% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046(1)(2) | 1,176,728 | 1,119,561 | ||||||
Banc of America Funding 2015-R8 Trust | ||||||||
2.89%, 11/26/2046(2)(4) | 1,664,804 | 1,611,327 | ||||||
Banc of America Funding 2015-R9 Trust | ||||||||
1.15% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/26/2037(1)(2) | 14,421,703 | 13,661,452 | ||||||
Bank 2017-BNK4 | ||||||||
4.00%, 05/15/2050 | 960,000 | 919,592 | ||||||
Bank 2017-BNK5 | ||||||||
3.90%, 06/15/2060(4) | 1,167,000 | 1,095,573 | ||||||
Bank 2019-BNK18 | ||||||||
3.98%, 05/15/2062 | 4,550,000 | 4,274,271 |
BANK 2019-BNK21 | ||||||||
3.52%, 10/17/2052 | 1,960,000 | 1,363,699 | ||||||
BANK 2019-BNK22 | ||||||||
2.50%, 11/15/2062(2) | 3,945,000 | 2,198,629 | ||||||
BANK 2020-BNK25 | ||||||||
3.35%, 01/15/2063(4) | 1,925,000 | 1,474,638 | ||||||
BANK 2020-BNK26 | ||||||||
2.91%, 03/15/2063(4) | 10,120,000 | 8,487,856 | ||||||
BBCCRE Trust 2015-GTP | ||||||||
4.55%, 08/10/2033(2)(4) | 2,715,000 | 2,464,715 | ||||||
BBCMS 2019-BWAY Mortgage Trust | ||||||||
2.86% (1 Month LIBOR USD + 2.16%, 2.16% Floor), 11/25/2034(1)(2) | 2,025,000 | 1,855,883 | ||||||
BBCMS Mortgage Trust 2020-C6 | ||||||||
2.84%, 02/15/2053 | 1,880,000 | 1,702,674 | ||||||
BBCMS Trust 2018-CBM | ||||||||
1.70% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/15/2037(1)(2) | 2,945,000 | 2,557,563 | ||||||
BCAP LLC 2014-RR2 | ||||||||
1.87% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/26/2036(1)(2) | 16,435,696 | 14,275,774 | ||||||
Bear Stearns ALT-A Trust 2005-1 | ||||||||
2.07% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 11.50% Cap), 01/25/2035(1) | 6,346,643 | 5,206,743 | ||||||
Bear Stearns ARM Trust 2003-3 | ||||||||
4.29%, 05/25/2033(4) | 513,788 | 463,942 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.66%, 10/12/2041(2)(4) | 8,979,135 | 9,171,289 | ||||||
Benchmark 2019-B13 Mortgage Trust | ||||||||
2.70%, 08/15/2057 | 7,750,000 | 7,882,496 | ||||||
3.18%, 08/15/2057 | 2,902,000 | 2,848,765 | ||||||
Benchmark 2020-B16 Mortgage Trust | ||||||||
3.54%, 02/15/2053(4) | 3,051,000 | 2,118,434 | ||||||
BFLD 2019-DPLO | ||||||||
2.24% (1 Month LIBOR USD + 1.54%, 1.54% Floor), 10/15/2034(1)(2) | 4,650,000 | 3,588,116 | ||||||
Brass NO 8 Plc | ||||||||
2.39% (3 Month LIBOR USD + 0.70%), 11/16/2066(1)(2) | 2,737,880 | 2,637,230 | ||||||
Brunel Residential Mortgage Securitisation No 1 Plc | ||||||||
0.97% (3 Month LIBOR GBP + 0.22%), 01/13/2039(1) | GBP | 1,043,948 | 1,224,421 | |||||
BX Commercial Mortgage Trust 2019-IMC | ||||||||
2.00% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 04/15/2034(1)(2) | $ | 4,870,000 | 4,362,945 | |||||
2.85% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 04/15/2034(1)(2) | 4,215,000 | 3,589,146 | ||||||
BX Trust 2019-OC11 | ||||||||
3.20%, 12/09/2041(2) | 2,755,000 | 2,414,556 | ||||||
BXP Trust 2017-GM | ||||||||
3.38%, 06/13/2039(2) | 3,800,000 | 4,050,070 | ||||||
CALI Mortgage Trust 2019-101C |
3.96%, 03/10/2039(2) | 5,010,000 | 5,348,822 | ||||||
Cantor Commercial Real Estate Lending 2019-CF1 | ||||||||
4.18%, 05/15/2052(4) | 3,445,000 | 3,229,232 | ||||||
4.35%, 05/15/2052(4) | 3,220,000 | 2,448,762 | ||||||
Cantor Commercial Real Estate Lending 2019-CF2 | ||||||||
2.50%, 11/15/2052(2) | 7,935,000 | 4,441,284 | ||||||
3.27%, 11/15/2052(4) | 2,780,000 | 2,416,284 | ||||||
CD 2018-CD7 Mortgage Trust | ||||||||
4.85%, 08/15/2051(4) | 8,190,000 | 6,617,172 | ||||||
Century Plaza Towers 2019-CPT | ||||||||
2.87%, 11/13/2039(2) | 5,185,000 | 5,079,048 | ||||||
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R | ||||||||
6.00%, 08/25/2037(2) | 6,636,083 | 5,055,988 | ||||||
CIM Trust 2018-R4 | ||||||||
4.07%, 12/26/2057(2)(4) | 17,769,457 | 18,224,598 | ||||||
CIM Trust 2018-R5 | ||||||||
3.75%, 07/25/2058(2)(4) | 13,452,300 | 13,410,693 | ||||||
CIM Trust 2018-R6 | ||||||||
2.66% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058(1)(2) | 16,476,892 | 15,814,247 | ||||||
CIM Trust 2019-R3 | ||||||||
2.63%, 06/25/2058(2)(4) | 23,338,837 | 21,276,321 | ||||||
CIM Trust 2019-R4 | ||||||||
3.00%, 10/25/2059(2)(4) | 26,590,479 | 24,518,161 | ||||||
CIM Trust 2020-R1 | ||||||||
2.85%, 10/27/2059(2)(4) | 31,000,000 | 26,707,334 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
2.69%, 02/10/2048 | 398,300 | 397,947 | ||||||
3.57%, 02/10/2048 | 430,000 | 430,361 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
4.11%, 09/10/2058 | 1,350,000 | 1,385,471 | ||||||
Citigroup Commercial Mortgage Trust 2016-P3 | ||||||||
3.06%, 04/15/2049 | 1,225,000 | 1,238,706 | ||||||
Citigroup Commercial Mortgage Trust 2017-P7 | ||||||||
3.92%, 04/14/2050 | 2,140,000 | 2,173,008 | ||||||
Citigroup Commercial Mortgage Trust 2018-B2 | ||||||||
4.67%, 03/10/2051(4) | 1,195,000 | 962,598 | ||||||
Citigroup Commercial Mortgage Trust 2020-555 | ||||||||
2.83%, 12/10/2041(2) | 2,150,000 | 2,095,183 | ||||||
3.03%, 12/10/2041(2) | 1,530,000 | 1,445,485 | ||||||
Citigroup Mortgage Loan Trust 2018-A | ||||||||
4.00%, 01/25/2068(2)(4) | 1,208,861 | 1,113,588 | ||||||
Citigroup Mortgage Loan Trust 2018-C | ||||||||
4.13%, 03/25/2059(2)(3) | 4,443,744 | 4,063,676 |
Citigroup Mortgage Loan Trust 2019-B | ||||||||
3.26%, 04/25/2066(2)(4) | 3,330,151 | 3,282,800 | ||||||
Citigroup Mortgage Loan Trust 2019-RP1 | ||||||||
3.50%, 01/25/2066(2)(4) | 3,519,731 | 3,565,916 | ||||||
Civic Mortgage LLC 2018-2 | ||||||||
4.35%, 11/25/2022(2)(3) | 132,495 | 132,029 | ||||||
Clavis Securities Plc | ||||||||
0.66% (3 Month LIBOR GBP + 0.17%), 12/15/2032(1) | GBP | 1,043,840 | 1,169,213 | |||||
COLT 2018-2 Mortgage Loan Trust | ||||||||
3.47%, 07/27/2048(2)(4) | $ | 1,593,408 | 1,570,855 | |||||
4.19%, 07/27/2048(2)(4) | 1,095,000 | 1,046,223 | ||||||
COLT 2018-3 Mortgage Loan Trust | ||||||||
3.87%, 10/26/2048(2)(4) | 1,369,600 | 1,356,074 | ||||||
COLT 2018-4 Mortgage Loan Trust | ||||||||
4.01%, 12/28/2048(2)(4) | 2,248,090 | 2,224,392 | ||||||
4.11%, 12/28/2048(2)(4) | 1,864,764 | 1,847,531 | ||||||
COLT 2019-1 Mortgage Loan Trust | ||||||||
3.71%, 03/25/2049(2)(4) | 5,511,036 | 5,462,343 | ||||||
COLT 2019-2 Mortgage Loan Trust | ||||||||
3.34%, 05/25/2049(2)(4) | 4,678,449 | 4,577,532 | ||||||
3.54%, 05/25/2049(2)(4) | 3,210,924 | 3,135,633 | ||||||
COLT 2019-3 Mortgage Loan Trust | ||||||||
2.76%, 08/25/2049(2)(4) | 2,871,528 | 2,777,522 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030(2) | 720,000 | 743,163 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/12/2035(2)(4) | 1,445,000 | 1,432,321 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.94%, 11/10/2047 | 1,115,000 | 1,133,081 | ||||||
COMM 2014-CR14 Mortgage Trust | ||||||||
4.63%, 02/10/2047(4) | 5,465,000 | 4,945,020 | ||||||
Comm 2014-UBS2 Mortgage Trust | ||||||||
4.97%, 03/10/2047(4) | 800,000 | 724,218 | ||||||
COMM 2014-UBS6 Mortgage Trust | ||||||||
4.45%, 12/10/2047(4) | 1,013,000 | 879,355 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.70%, 08/10/2048 | 1,990,000 | 2,124,236 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
4.54%, 08/10/2048(4) | 964,000 | 823,918 | ||||||
COMM 2015-DC1 Mortgage Trust | ||||||||
3.72%, 02/10/2048 | 2,495,000 | 2,513,557 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.90%, 07/10/2050 | 515,000 | 541,188 |
4.43%, 07/10/2050(4) | 440,000 | 432,019 | ||||||
COMM 2017-COR2 Mortgage Trust | ||||||||
3.51%, 09/10/2050 | 3,110,000 | 3,310,834 | ||||||
COMM 2017-PANW Mortgage Trust | ||||||||
3.41%, 10/10/2029(2)(4) | 1,285,000 | 1,239,056 | ||||||
COMM 2020-CBM Mortgage Trust | ||||||||
3.40%, 02/10/2037(2) | 5,150,000 | 4,212,878 | ||||||
Connecticut Avenue Securities Trust 2019-R06 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 09/25/2039(1)(2) | 3,779,154 | 3,683,136 | ||||||
Connecticut Avenue Securities Trust 2020-R02 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 01/25/2040(1)(2) | 2,547,123 | 2,444,966 | ||||||
Credit Suisse Mortgage Capital Certificates 19-RPL4 | ||||||||
3.55%, 08/26/2058(2) | 710,523 | 738,329 | ||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 | ||||||||
2.30% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 05/15/2036(1)(2) | 5,465,000 | 4,862,954 | ||||||
2.85% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 05/15/2036(1)(2) | 2,375,000 | 1,994,457 | ||||||
Csail 2015-C2 Commercial Mortgage Trust | ||||||||
3.85%, 06/15/2057(4) | 8,560,000 | 8,668,437 | ||||||
CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||
3.09%, 01/15/2049 | 840,000 | 843,531 | ||||||
CSAIL 2016-C7 Commercial Mortgage Trust | ||||||||
3.96%, 11/15/2049(4) | 6,160,000 | 6,272,286 | ||||||
CSAIL 2019-C16 Commercial Mortgage Trust | ||||||||
3.33%, 06/15/2052 | 10,970,000 | 11,388,240 | ||||||
CSAIL 2019-C17 Commercial Mortgage Trust | ||||||||
2.76%, 09/15/2052 | 6,050,000 | 6,089,974 | ||||||
3.28%, 09/15/2052 | 2,625,000 | 2,476,371 | ||||||
3.48%, 09/15/2052 | 3,015,000 | 2,659,423 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | ||||||||
5.75%, 11/25/2033 | 107,563 | 110,567 | ||||||
CSMC 2014-USA OA LLC | ||||||||
4.37%, 09/15/2037(2) | 6,175,000 | 5,015,897 | ||||||
CSMC 2018-RPL2 Trust | ||||||||
4.03%, 08/25/2062(2)(3) | 2,487,755 | 2,276,271 | ||||||
CSMC 2018-RPL7 Trust | ||||||||
4.00%, 08/26/2058(2) | 1,626,784 | 1,684,957 | ||||||
CSMC Trust 2013-5R | ||||||||
2.13% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036(1)(2) | 6,138,028 | 6,071,716 | ||||||
DBCG 2017-BBG Mortgage Trust | ||||||||
1.40% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034(1)(2) | 2,645,000 | 2,386,638 | ||||||
DBJPM 17-C6 Mortgage Trust | ||||||||
3.79%, 06/10/2050(4) | 2,750,000 | 2,561,575 | ||||||
DBUBS 2017-BRBK Mortgage Trust |
3.53%, 10/10/2034(2)(4) | 2,540,000 | 2,078,594 | ||||||
DC Office Trust 2019-MTC | ||||||||
2.97%, 09/15/2045(2) | 5,545,000 | 5,216,249 | ||||||
3.17%, 09/15/2045(2)(4) | 4,450,000 | 4,007,790 | ||||||
Deephaven Residential Mortgage Trust 2018-1 | ||||||||
2.98%, 12/25/2057(2)(4) | 268,067 | 264,941 | ||||||
Deephaven Residential Mortgage Trust 2018-2 | ||||||||
3.48%, 04/25/2058(2)(4) | 1,726,464 | 1,685,735 | ||||||
Deephaven Residential Mortgage Trust 2019-1 | ||||||||
3.74%, 01/25/2059(2)(4) | 2,562,143 | 2,496,022 | ||||||
Deephaven Residential Mortgage Trust 2019-2 | ||||||||
3.56%, 04/25/2059(2)(4) | 3,080,204 | 2,996,513 | ||||||
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-2 | ||||||||
1.35% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035(1) | 4,903,610 | 4,262,501 | ||||||
Durham Mortgages Plc | ||||||||
1.30% (3 Month LIBOR GBP + 0.55%), 03/31/2053(1) | GBP | 25,773,034 | 30,961,451 | |||||
1.35% (3 Month LIBOR GBP + 0.60%), 03/31/2054(1) | 21,661,003 | 26,445,375 | ||||||
Eleven Madison Trust 2015-11MD Mortgage Trust | ||||||||
3.55%, 09/10/2035(2)(4) | $ | 3,110,000 | 3,075,151 | |||||
Ellington Financial Mortgage Trust 2019-2 | ||||||||
2.74%, 11/25/2059(2)(4) | 5,719,818 | 5,494,330 | ||||||
EOS European Loan Conduit No 35 DAC | ||||||||
1.00% (3 Month EURIBOR + 1.00%), 04/22/2022(1)(2) | EUR | 1,119,946 | 1,197,380 | |||||
Eurosail-UK 2007-5np Plc | ||||||||
1.28% (3 Month LIBOR GBP + 0.77%), 09/13/2045(1) | GBP | 10,019,818 | 10,262,953 | |||||
Eurosail-UK 2007-6nc Plc | ||||||||
1.21% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045(1) | 252,397 | 278,677 | ||||||
Fannie Mae | ||||||||
2.50%, 03/01/2035 | $ | 118,173,729 | 122,673,575 | |||||
2.50%, 04/01/2035 | 45,666,957 | 47,405,971 | ||||||
2.50%, 05/01/2035(12) | 294,525,000 | 305,385,609 | ||||||
2.50%, 03/01/2050 | 232,217,772 | 240,662,966 | ||||||
2.50%, 04/01/2050 | 210,650,000 | 218,310,860 | ||||||
2.50%, 05/01/2050(12) | 90,300,000 | 93,429,416 | ||||||
3.00%, 12/01/2034 | 5,402,200 | 5,706,163 | ||||||
3.00%, 01/01/2035 | 1,707,074 | 1,797,838 | ||||||
3.00%, 01/01/2035 | 3,848,641 | 4,053,262 | ||||||
3.00%, 02/01/2035 | 2,878,652 | 3,040,623 | ||||||
3.00%, 11/01/2046 | 528,628 | 558,539 | ||||||
3.00%, 10/01/2049 | 4,297,397 | 4,504,758 | ||||||
3.00%, 11/01/2049 | 2,697,425 | 2,828,559 | ||||||
3.00%, 01/01/2050 | 4,552,862 | 4,773,401 | ||||||
3.00%, 01/01/2050 | 51,888,559 | 54,394,641 |
3.00%, 04/01/2050(12) | 5,169,000 | 5,420,383 | ||||||
3.00%, 05/01/2050(12) | 282,725,000 | 296,054,291 | ||||||
3.50%, 06/01/2049 | 12,925,873 | 13,860,440 | ||||||
3.50%, 09/01/2049 | 5,701,823 | 6,089,853 | ||||||
3.50%, 02/01/2050 | 942,132 | 996,877 | ||||||
3.50%, 05/01/2050(12) | 80,125,000 | 84,743,160 | ||||||
4.00%, 06/01/2049 | 6,047,637 | 6,453,623 | ||||||
4.00%, 12/01/2049 | 488,014 | 521,815 | ||||||
4.00%, 04/01/2050(12) | 3,280,000 | 3,502,098 | ||||||
4.50%, 08/01/2048 | 1,345,597 | 1,450,945 | ||||||
4.50%, 08/01/2048 | 1,769,992 | 1,904,402 | ||||||
4.50%, 01/01/2050 | 1,014,144 | 1,090,378 | ||||||
4.50%, 04/01/2050(12) | 9,890,000 | 10,644,112 | ||||||
5.00%, 05/01/2050(12) | 4,825,000 | 5,204,913 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
1.67% (1 Month LIBOR USD + 0.72%, 0.72% Floor), 01/25/2031(1) | 1,203,322 | 1,195,752 | ||||||
1.80% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 07/25/2030(1) | 9,940,000 | 8,261,090 | ||||||
1.85% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 08/25/2030(1) | 3,070,000 | 2,472,673 | ||||||
1.95% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 02/25/2030(1) | 7,846,534 | 6,822,758 | ||||||
2.05% (1 Month LIBOR USD + 1.10%), 11/25/2029(1) | 8,655,000 | 7,319,812 | ||||||
2.10% (1 Month LIBOR USD + 1.15%), 09/25/2029(1) | 17,558 | 17,475 | ||||||
2.30% (1 Month LIBOR USD + 1.35%), 09/25/2029(1) | 9,545,000 | 7,767,887 | ||||||
4.50% (1 Month LIBOR USD + 3.55%), 07/25/2029(1) | 3,259,888 | 2,982,174 | ||||||
5.50% (1 Month LIBOR USD + 4.55%), 02/25/2025(1) | 769,459 | 742,345 | ||||||
Fannie Mae Pool | ||||||||
2.50%, 07/01/2030 | 553,000 | 576,653 | ||||||
2.50%, 07/01/2030 | 744,831 | 776,695 | ||||||
2.50%, 08/01/2030 | 1,330,789 | 1,387,729 | ||||||
2.50%, 11/01/2031 | 1,809,176 | 1,884,383 | ||||||
2.50%, 01/01/2032 | 2,147,093 | 2,229,906 | ||||||
2.50%, 02/01/2032 | 5,901,411 | 6,129,726 | ||||||
2.50%, 11/01/2034 | 328,450 | 340,912 | ||||||
2.50%, 12/01/2034 | 52,719,115 | 54,723,023 | ||||||
2.50%, 01/01/2035 | 57,290,236 | 59,468,836 | ||||||
3.00%, 10/01/2028 | 330,331 | 346,059 | ||||||
3.00%, 02/01/2030 | 10,114,587 | 10,573,815 | ||||||
3.00%, 03/01/2030 | 10,314,775 | 10,799,216 | ||||||
3.00%, 05/01/2030 | 178,324 | 187,271 | ||||||
3.00%, 09/01/2030 | 1,979,129 | 2,080,610 | ||||||
3.00%, 12/01/2030 | 827,463 | 868,873 | ||||||
3.00%, 09/01/2031 | 704,587 | 739,836 | ||||||
3.00%, 06/01/2032 | 1,657,100 | 1,739,516 | ||||||
3.00%, 07/01/2032 | 16,247,840 | 17,012,713 |
3.00%, 08/01/2032 | 4,770,469 | 5,014,208 | ||||||
3.00%, 09/01/2032 | 5,171,823 | 5,431,161 | ||||||
3.00%, 06/01/2033 | 12,312 | 12,970 | ||||||
3.00%, 10/01/2033 | 2,010,986 | 2,140,938 | ||||||
3.00%, 11/01/2033 | 1,311,138 | 1,380,236 | ||||||
3.00%, 11/01/2036 | 228,754 | 243,825 | ||||||
3.00%, 11/01/2036 | 1,540,556 | 1,630,648 | ||||||
3.00%, 11/01/2036 | 1,799,120 | 1,915,514 | ||||||
3.00%, 12/01/2036 | 276,945 | 295,191 | ||||||
3.00%, 12/01/2036 | 2,030,101 | 2,148,823 | ||||||
3.00%, 10/01/2037 | 43,284 | 45,777 | ||||||
3.00%, 03/01/2038 | 3,265,360 | 3,455,405 | ||||||
3.00%, 01/01/2043 | 2,572,461 | 2,719,669 | ||||||
3.00%, 02/01/2043 | 3,821,617 | 4,040,203 | ||||||
3.00%, 05/01/2043 | 1,368,954 | 1,447,258 | ||||||
3.00%, 06/01/2043 | 3,166,096 | 3,347,771 | ||||||
3.00%, 07/01/2043 | 319,053 | 338,344 | ||||||
3.00%, 08/01/2043 | 156,678 | 165,087 | ||||||
3.00%, 08/01/2043 | 7,972,122 | 8,429,552 | ||||||
3.00%, 09/01/2043 | 1,229,850 | 1,302,702 | ||||||
3.00%, 02/01/2044 | 37,751 | 39,778 | ||||||
3.00%, 05/01/2045 | 613,574 | 648,733 | ||||||
3.00%, 05/01/2045 | 1,256,280 | 1,328,272 | ||||||
3.00%, 07/01/2045 | 5,776,110 | 6,110,686 | ||||||
3.00%, 05/01/2046 | 12,714,211 | 13,432,614 | ||||||
3.00%, 06/01/2046 | 373,298 | 394,704 | ||||||
3.00%, 07/01/2046 | 2,667,655 | 2,803,009 | ||||||
3.00%, 08/01/2046 | 119,253 | 125,644 | ||||||
3.00%, 11/01/2046 | 620,378 | 654,517 | ||||||
3.00%, 11/01/2046 | 850,929 | 898,420 | ||||||
3.00%, 11/01/2046 | 1,733,768 | 1,828,755 | ||||||
3.00%, 11/01/2046 | 1,909,349 | 2,014,930 | ||||||
3.00%, 11/01/2046 | 1,971,936 | 2,074,706 | ||||||
3.00%, 11/01/2046 | 2,169,109 | 2,288,496 | ||||||
3.00%, 11/01/2046 | 5,101,504 | 5,383,598 | ||||||
3.00%, 12/01/2046 | 49,952 | 52,688 | ||||||
3.00%, 01/01/2047 | 3,764,496 | 3,968,790 | ||||||
3.00%, 01/01/2047 | 20,799,555 | 21,921,276 | ||||||
3.00%, 06/01/2047 | 2,335,653 | 2,473,666 | ||||||
3.00%, 08/01/2047 | 11,886,918 | 12,556,342 | ||||||
3.00%, 10/01/2047 | 4,165,482 | 4,388,781 | ||||||
3.00%, 09/01/2048 | 1,162,452 | 1,225,256 | ||||||
3.00%, 09/01/2048 | 2,120,825 | 2,233,831 |
3.00%, 08/01/2049 | 1,882,214 | 1,993,461 | ||||||
3.00%, 11/01/2049 | 902,164 | 945,776 | ||||||
3.21%, 11/01/2037 | 11,103,107 | 12,653,733 | ||||||
3.22%, 01/01/2027 | 3,565,000 | 3,976,620 | ||||||
3.25%, 07/01/2032 | 4,092,948 | 4,711,499 | ||||||
3.45%, 05/01/2034 | 10,464,000 | 12,021,191 | ||||||
3.48%, 07/01/2042 | 4,082,732 | 4,749,561 | ||||||
3.50%, 11/01/2031 | 2,375,082 | 2,503,516 | ||||||
3.50%, 11/01/2032 | 1,669,159 | 1,775,243 | ||||||
3.50%, 02/01/2035 | 148,303 | 159,546 | ||||||
3.50%, 01/01/2036 | 1,322,217 | 1,421,332 | ||||||
3.50%, 01/01/2038 | 7,026,623 | 7,495,897 | ||||||
3.50%, 12/01/2041 | 68,577 | 73,820 | ||||||
3.50%, 06/01/2042 | 59,136 | 63,137 | ||||||
3.50%, 06/01/2042 | 96,447 | 102,960 | ||||||
3.50%, 07/01/2042 | 78,552 | 83,805 | ||||||
3.50%, 07/01/2042 | 580,714 | 620,066 | ||||||
3.50%, 08/01/2042 | 158,717 | 169,452 | ||||||
3.50%, 09/01/2042 | 179,027 | 191,151 | ||||||
3.50%, 09/01/2042 | 235,494 | 251,429 | ||||||
3.50%, 12/01/2042 | 1,135,911 | 1,212,885 | ||||||
3.50%, 12/01/2042 | 1,907,121 | 2,036,749 | ||||||
3.50%, 01/01/2043 | 103,025 | 110,003 | ||||||
3.50%, 01/01/2043 | 265,524 | 283,514 | ||||||
3.50%, 03/01/2043 | 1,095,558 | 1,169,810 | ||||||
3.50%, 04/01/2043 | 93,655 | 100,579 | ||||||
3.50%, 06/01/2043 | 139,931 | 150,295 | ||||||
3.50%, 06/01/2043 | 892,123 | 958,131 | ||||||
3.50%, 06/01/2043 | 1,700,658 | 1,826,306 | ||||||
3.50%, 06/01/2043 | 2,273,746 | 2,427,847 | ||||||
3.50%, 07/01/2043 | 105,344 | 112,460 | ||||||
3.50%, 07/01/2043 | 170,959 | 183,659 | ||||||
3.50%, 08/01/2043 | 105,102 | 112,225 | ||||||
3.50%, 08/01/2043 | 113,826 | 122,214 | ||||||
3.50%, 09/01/2043 | 483,010 | 518,698 | ||||||
3.50%, 01/01/2044 | 539,401 | 575,950 | ||||||
3.50%, 01/01/2044 | 724,282 | 773,318 | ||||||
3.50%, 01/01/2044 | 1,050,635 | 1,128,182 | ||||||
3.50%, 01/01/2044 | 5,410,732 | 5,777,337 | ||||||
3.50%, 03/01/2044 | 222,620 | 239,618 | ||||||
3.50%, 07/01/2044 | 749,044 | 804,281 | ||||||
3.50%, 12/01/2044 | 378,676 | 404,333 | ||||||
3.50%, 02/01/2045 | 467,869 | 499,579 |
3.50%, 04/01/2045 | 61,162 | 65,337 | ||||||
3.50%, 04/01/2045 | 1,505,324 | 1,604,956 | ||||||
3.50%, 05/01/2045 | 1,946,502 | 2,075,179 | ||||||
3.50%, 06/01/2045 | 2,201,116 | 2,351,445 | ||||||
3.50%, 06/01/2045 | 2,631,798 | 2,805,809 | ||||||
3.50%, 07/01/2045 | 2,668,485 | 2,845,258 | ||||||
3.50%, 08/01/2045 | 57,672 | 61,485 | ||||||
3.50%, 09/01/2045 | 4,705,092 | 5,050,634 | ||||||
3.50%, 10/01/2045 | 364,565 | 389,221 | ||||||
3.50%, 11/01/2045 | 384,806 | 410,268 | ||||||
3.50%, 11/01/2045 | 7,008,126 | 7,470,019 | ||||||
3.50%, 12/01/2045 | 1,350,715 | 1,439,777 | ||||||
3.50%, 01/01/2046 | 32,011 | 34,192 | ||||||
3.50%, 01/01/2046 | 93,533 | 99,706 | ||||||
3.50%, 04/01/2046 | 595,672 | 632,358 | ||||||
3.50%, 05/01/2046 | 622,254 | 664,349 | ||||||
3.50%, 06/01/2046 | 737,077 | 784,048 | ||||||
3.50%, 06/01/2046 | 1,562,648 | 1,661,647 | ||||||
3.50%, 06/01/2046 | 2,566,189 | 2,756,670 | ||||||
3.50%, 06/01/2046 | 3,311,310 | 3,537,034 | ||||||
3.50%, 06/01/2046 | 4,978,907 | 5,303,939 | ||||||
3.50%, 07/01/2046 | 1,504,117 | 1,598,814 | ||||||
3.50%, 09/01/2046 | 6,546,708 | 6,963,428 | ||||||
3.50%, 12/01/2046 | 2,018,510 | 2,143,084 | ||||||
3.50%, 01/01/2047 | 981,645 | 1,041,658 | ||||||
3.50%, 01/01/2047 | 1,564,702 | 1,660,173 | ||||||
3.50%, 01/01/2047 | 4,448,167 | 4,752,319 | ||||||
3.50%, 01/01/2047 | 23,127,103 | 24,568,512 | ||||||
3.50%, 02/01/2047 | 1,110,914 | 1,178,318 | ||||||
3.50%, 02/01/2047 | 1,488,872 | 1,581,204 | ||||||
3.50%, 03/01/2047 | 210,992 | 223,721 | ||||||
3.50%, 08/01/2047 | 14,774,034 | 15,780,940 | ||||||
3.50%, 11/01/2047 | 11,930,964 | 12,654,259 | ||||||
3.50%, 12/01/2047 | 4,221,282 | 4,509,579 | ||||||
3.50%, 12/01/2047 | 4,761,852 | 5,083,805 | ||||||
3.50%, 01/01/2048 | 3,650,042 | 3,914,741 | ||||||
3.50%, 01/01/2048 | 8,830,165 | 9,441,437 | ||||||
3.50%, 02/01/2048 | 2,378,453 | 2,532,361 | ||||||
3.50%, 08/01/2049 | 695,641 | 734,660 | ||||||
3.50%, 09/01/2049 | 5,496,470 | 5,813,003 | ||||||
3.50%, 10/01/2049 | 3,020,242 | 3,194,174 | ||||||
3.50%, 10/01/2049 | 4,787,245 | 5,062,937 | ||||||
4.00%, 11/01/2040 | 90,957 | 98,413 |
4.00%, 11/01/2040 | 334,897 | 362,416 | ||||||
4.00%, 11/01/2040 | 2,614,156 | 2,855,391 | ||||||
4.00%, 12/01/2040 | 227,902 | 246,639 | ||||||
4.00%, 01/01/2041 | 167,762 | 181,543 | ||||||
4.00%, 02/01/2041 | 167,782 | 181,587 | ||||||
4.00%, 02/01/2041 | 537,476 | 581,796 | ||||||
4.00%, 02/01/2041 | 736,431 | 796,875 | ||||||
4.00%, 09/01/2041 | 324,441 | 351,101 | ||||||
4.00%, 01/01/2042 | 48,300 | 52,259 | ||||||
4.00%, 01/01/2042 | 3,037,643 | 3,287,929 | ||||||
4.00%, 02/01/2042 | 78,834 | 85,289 | ||||||
4.00%, 03/01/2042 | 3,026,297 | 3,302,476 | ||||||
4.00%, 08/01/2042 | 2,924,667 | 3,208,105 | ||||||
4.00%, 09/01/2043 | 1,697,552 | 1,836,693 | ||||||
4.00%, 12/01/2043 | 3,309,845 | 3,580,938 | ||||||
4.00%, 06/01/2045 | 6,749,378 | 7,297,544 | ||||||
4.00%, 07/01/2045 | 967,826 | 1,047,326 | ||||||
4.00%, 09/01/2045 | 112,775 | 121,939 | ||||||
4.00%, 09/01/2045 | 150,052 | 162,756 | ||||||
4.00%, 10/01/2045 | 3,052,140 | 3,302,714 | ||||||
4.00%, 12/01/2045 | 550,310 | 594,782 | ||||||
4.00%, 12/01/2045 | 5,191,089 | 5,620,294 | ||||||
4.00%, 03/01/2046 | 1,496,641 | 1,619,259 | ||||||
4.00%, 09/01/2046 | 84,525 | 91,396 | ||||||
4.00%, 09/01/2046 | 2,037,184 | 2,195,345 | ||||||
4.00%, 12/01/2046 | 5,234,018 | 5,634,331 | ||||||
4.00%, 02/01/2047 | 2,391,170 | 2,571,394 | ||||||
4.00%, 02/01/2047 | 4,752,736 | 5,152,509 | ||||||
4.00%, 03/01/2047 | 2,570,186 | 2,760,881 | ||||||
4.00%, 04/01/2047 | 2,734,234 | 2,930,788 | ||||||
4.00%, 05/01/2047 | 3,874,970 | 4,153,298 | ||||||
4.00%, 06/01/2047 | 1,575,719 | 1,682,579 | ||||||
4.00%, 06/01/2047 | 4,449,799 | 4,768,288 | ||||||
4.00%, 07/01/2047 | 3,773,271 | 4,044,329 | ||||||
4.00%, 08/01/2047 | 2,720,613 | 2,900,932 | ||||||
4.00%, 08/01/2047 | 3,577,214 | 3,861,201 | ||||||
4.00%, 06/01/2048 | 3,008,707 | 3,209,860 | ||||||
4.00%, 06/01/2048 | 11,666,011 | 12,438,394 | ||||||
4.00%, 07/01/2048 | 34,951,696 | 37,325,038 | ||||||
4.00%, 09/01/2048 | 4,591,189 | 4,903,163 | ||||||
4.00%, 09/01/2048 | 25,812,267 | 28,174,951 | ||||||
4.00%, 12/01/2048 | 5,924,537 | 6,315,650 | ||||||
4.00%, 01/01/2049 | 9,422,588 | 10,255,288 |
4.00%, 02/01/2049 | 1,601,423 | 1,707,178 | ||||||
4.00%, 02/01/2049 | 10,978,671 | 11,854,397 | ||||||
4.00%, 11/01/2049 | 2,768,093 | 2,957,282 | ||||||
4.50%, 11/01/2035 | 322,334 | 352,592 | ||||||
4.50%, 08/01/2040 | 93,638 | 102,597 | ||||||
4.50%, 09/01/2040 | 35,979 | 39,415 | ||||||
4.50%, 11/01/2040 | 2,416,993 | 2,647,588 | ||||||
4.50%, 01/01/2041 | 24,797 | 27,175 | ||||||
4.50%, 02/01/2041 | 323,386 | 354,377 | ||||||
4.50%, 08/01/2041 | 40,785 | 44,681 | ||||||
4.50%, 11/01/2041 | 647,003 | 708,338 | ||||||
4.50%, 02/01/2045 | 539,374 | 589,104 | ||||||
4.50%, 06/01/2045 | 351,249 | 390,146 | ||||||
4.50%, 02/01/2046 | 2,503,154 | 2,730,308 | ||||||
4.50%, 03/01/2046 | 1,870,201 | 2,041,887 | ||||||
4.50%, 09/01/2046 | 2,237,235 | 2,441,025 | ||||||
4.50%, 11/01/2047 | 3,179,329 | 3,482,977 | ||||||
4.50%, 04/01/2048 | 4,542,938 | 4,911,458 | ||||||
4.50%, 05/01/2048 | 7,824,925 | 8,440,764 | ||||||
4.50%, 05/01/2048 | 18,766,170 | 20,224,079 | ||||||
4.50%, 08/01/2048 | 2,832,629 | 3,049,084 | ||||||
4.50%, 08/01/2048 | 14,369,984 | 15,463,869 | ||||||
4.50%, 09/01/2048 | 5,707,299 | 6,135,815 | ||||||
4.50%, 10/01/2048 | 4,937,379 | 5,310,481 | ||||||
4.50%, 11/01/2048 | 3,067,538 | 3,303,099 | ||||||
4.50%, 12/01/2048 | 7,744,443 | 8,327,767 | ||||||
4.50%, 05/01/2049 | 8,978,215 | 9,656,779 | ||||||
5.00%, 07/01/2035 | 764,884 | 847,609 | ||||||
5.00%, 02/01/2036 | 1,230,939 | 1,370,619 | ||||||
5.00%, 05/01/2040 | 29,117 | 32,342 | ||||||
5.00%, 06/01/2040 | 9,744 | 10,811 | ||||||
5.00%, 02/01/2041 | 712,478 | 790,455 | ||||||
5.00%, 07/01/2041 | 897,823 | 995,536 | ||||||
5.00%, 08/01/2041 | 298,959 | 331,412 | ||||||
5.00%, 03/01/2042 | 506,915 | 561,500 | ||||||
5.00%, 11/01/2044 | 2,982,434 | 3,304,728 | ||||||
5.00%, 02/01/2045 | 1,152,226 | 1,261,952 | ||||||
5.00%, 07/01/2045 | 614,353 | 680,875 | ||||||
5.00%, 12/01/2048 | 2,118,065 | 2,285,677 | ||||||
5.50%, 05/01/2034 | 1,559,609 | 1,762,302 | ||||||
5.50%, 07/01/2034 | 379,625 | 428,976 | ||||||
5.50%, 07/01/2036 | 147,033 | 166,332 | ||||||
5.50%, 12/01/2039 | 325,397 | 368,538 |
5.50%, 03/01/2040 | 1,784,089 | 2,016,067 | ||||||
5.50%, 06/01/2041 | 333,183 | 376,678 | ||||||
5.50%, 02/01/2042 | 795,985 | 899,309 | ||||||
5.50%, 02/01/2042 | 1,257,883 | 1,415,405 | ||||||
5.50%, 10/01/2043 | 600,526 | 684,087 | ||||||
5.50%, 05/01/2044 | 414,755 | 469,523 | ||||||
5.50%, 05/01/2044 | 6,371,763 | 7,213,526 | ||||||
6.00%, 03/01/2034 | 1,844,451 | 2,104,740 | ||||||
6.00%, 06/01/2036 | 12,175 | 14,018 | ||||||
6.00%, 07/01/2038 | 1,256,693 | 1,446,895 | ||||||
6.00%, 10/01/2038 | 70,506 | 81,108 | ||||||
6.00%, 07/01/2041 | 5,871,799 | 6,760,784 | ||||||
6.50%, 05/01/2040 | 418,158 | 483,677 | ||||||
Fannie Mae REMICS | ||||||||
1.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 01/25/2050(1) | 5,278,101 | 5,225,071 | ||||||
3.00%, 09/25/2049 | 2,554,730 | 2,652,103 | ||||||
3.50%, 03/25/2042 | 4,297,692 | 4,757,709 | ||||||
3.50%, 01/25/2047 | 17,797,066 | 18,807,161 | ||||||
3.50%, 06/25/2047 | 16,396,143 | 17,577,416 | ||||||
4.00%, 06/25/2044 | 1,344,772 | 1,390,419 | ||||||
4.00%, 05/25/2047 | 7,845,556 | 8,357,642 | ||||||
Fannie Mae-Aces | ||||||||
3.38%, 07/25/2028(4) | 5,305,000 | 5,895,815 | ||||||
Feldspar 2016-1 Plc | ||||||||
1.19% (3 Month LIBOR GBP + 0.70%), 09/15/2045(1) | GBP | 866,617 | 1,063,351 | |||||
Finsbury Square 2017-2 Plc | ||||||||
1.14% (3 Month LIBOR GBP + 0.68%), 09/12/2065(1) | 2,286,622 | 2,827,401 | ||||||
Finsbury Square 2018-2 Plc | ||||||||
1.41% (3 Month LIBOR GBP + 0.95%), 09/12/2068(1) | 2,419,791 | 2,957,328 | ||||||
Finsbury Square 2019-1 Plc | ||||||||
1.46% (3 Month LIBOR GBP + 0.97%), 06/16/2069(1) | 4,409,979 | 5,322,574 | ||||||
Flagstar Mortgage Trust 2017-2 | ||||||||
4.11%, 10/25/2047(2)(4) | $ | 1,296,691 | 1,225,471 | |||||
Flagstar Mortgage Trust 2018-6RR | ||||||||
4.00%, 09/25/2048(2)(4) | 1,640,670 | 1,676,062 | ||||||
Flagstar Mortgage Trust 2020-1NV | ||||||||
1.80% (1 Month LIBOR USD + 0.85%), 03/25/2050(1)(2) | 2,503,291 | 2,323,490 | ||||||
Freddie Mac Gold Pool | ||||||||
2.50%, 07/01/2030 | 1,163,091 | 1,208,197 | ||||||
2.50%, 09/01/2031 | 4,090,953 | 4,271,370 | ||||||
2.50%, 12/01/2031 | 5,805,373 | 6,047,198 | ||||||
2.50%, 12/01/2031 | 11,587,794 | 12,037,795 | ||||||
2.50%, 02/01/2032 | 7,991,605 | 8,354,006 |
3.00%, 03/01/2031 | 707,633 | 743,277 | ||||||
3.00%, 12/01/2032 | 2,646,063 | 2,778,867 | ||||||
3.00%, 06/01/2033 | 1,303,400 | 1,368,380 | ||||||
3.00%, 02/01/2038 | 4,746,641 | 4,999,095 | ||||||
3.00%, 02/01/2043 | 736,576 | 778,830 | ||||||
3.00%, 04/01/2046 | 208,202 | 220,058 | ||||||
3.00%, 06/01/2046 | 7,183,451 | 7,591,923 | ||||||
3.00%, 08/01/2046 | 8,609,766 | 9,086,763 | ||||||
3.00%, 09/01/2046 | 26,096,489 | 27,518,696 | ||||||
3.00%, 10/01/2046 | 8,402,780 | 8,868,222 | ||||||
3.00%, 11/01/2046 | 9,093,890 | 9,595,460 | ||||||
3.00%, 12/01/2046 | 5,352,924 | 5,639,707 | ||||||
3.00%, 12/01/2046 | 5,453,700 | 5,752,011 | ||||||
3.00%, 01/01/2047 | 10,437,920 | 11,016,154 | ||||||
3.00%, 02/01/2047 | 9,614,334 | 10,140,890 | ||||||
3.00%, 03/01/2047 | 5,746,844 | 6,053,042 | ||||||
3.00%, 08/01/2047 | 24,579,008 | 25,900,187 | ||||||
3.00%, 12/01/2047 | 6,390,204 | 6,734,967 | ||||||
3.00%, 01/01/2048 | 317,955 | 335,641 | ||||||
3.50%, 05/01/2033 | 592,798 | 625,169 | ||||||
3.50%, 08/01/2033 | 6,388,241 | 6,718,206 | ||||||
3.50%, 08/01/2033 | 16,672,452 | 17,572,317 | ||||||
3.50%, 11/01/2033 | 11,905,644 | 12,543,568 | ||||||
3.50%, 09/01/2042 | 401,078 | 428,338 | ||||||
3.50%, 11/01/2042 | 42,245 | 45,133 | ||||||
3.50%, 07/01/2043 | 364,437 | 389,252 | ||||||
3.50%, 10/01/2043 | 799,061 | 857,792 | ||||||
3.50%, 01/01/2044 | 974,939 | 1,046,810 | ||||||
3.50%, 10/01/2045 | 10,987,291 | 11,788,927 | ||||||
3.50%, 03/01/2046 | 997,696 | 1,070,495 | ||||||
3.50%, 06/01/2046 | 6,880,324 | 7,340,273 | ||||||
3.50%, 08/01/2046 | 10,735,819 | 11,452,047 | ||||||
3.50%, 08/01/2046 | 19,142,852 | 20,539,730 | ||||||
3.50%, 11/01/2046 | 2,356,426 | 2,507,968 | ||||||
3.50%, 02/01/2047 | 1,252,624 | 1,331,718 | ||||||
3.50%, 04/01/2047 | 5,997,688 | 6,360,227 | ||||||
3.50%, 04/01/2047 | 14,815,529 | 15,895,617 | ||||||
3.50%, 09/01/2047 | 21,193,193 | 22,485,219 | ||||||
3.50%, 10/01/2047 | 4,590,673 | 4,877,980 | ||||||
3.50%, 11/01/2047 | 3,197,280 | 3,392,801 | ||||||
3.50%, 11/01/2047 | 4,393,672 | 4,671,587 | ||||||
3.50%, 12/01/2047 | 36,790,287 | 39,472,533 | ||||||
3.50%, 01/01/2048 | 3,699,700 | 3,925,085 |
3.50%, 01/01/2048 | 21,690,735 | 23,350,633 | ||||||
3.50%, 02/01/2048 | 3,443,192 | 3,652,612 | ||||||
3.50%, 03/01/2048 | 35,243,763 | 37,652,542 | ||||||
3.50%, 03/01/2048 | 36,340,993 | 38,592,858 | ||||||
3.50%, 03/01/2048 | 37,411,863 | 40,135,537 | ||||||
3.98%, 04/01/2034 | 9,261,234 | 11,021,596 | ||||||
4.00%, 01/01/2045 | 1,848,406 | 2,019,602 | ||||||
4.00%, 07/01/2045 | 560,383 | 606,395 | ||||||
4.00%, 12/01/2045 | 3,886,687 | 4,239,539 | ||||||
4.00%, 03/01/2048 | 9,641,574 | 10,492,431 | ||||||
4.00%, 06/01/2048 | 22,930,299 | 24,841,947 | ||||||
4.00%, 07/01/2048 | 11,809,994 | 12,852,271 | ||||||
4.00%, 09/01/2048 | 195,253,483 | 208,259,656 | ||||||
4.00%, 10/01/2048 | 28,285,337 | 30,170,439 | ||||||
4.00%, 11/01/2048 | 47,312,128 | 51,462,914 | ||||||
4.50%, 07/01/2042 | 618,669 | 676,786 | ||||||
4.50%, 05/01/2044 | 368,587 | 409,489 | ||||||
4.50%, 06/01/2045 | 683,852 | 763,211 | ||||||
4.50%, 02/01/2046 | 713,623 | 796,262 | ||||||
4.50%, 05/01/2046 | 752,003 | 839,090 | ||||||
4.50%, 06/01/2046 | 890,462 | 987,026 | ||||||
4.50%, 02/01/2047 | 666,923 | 743,991 | ||||||
4.50%, 12/01/2047 | 4,089,901 | 4,421,298 | ||||||
4.50%, 10/01/2048 | 12,353,765 | 13,301,285 | ||||||
5.00%, 11/01/2041 | 955,264 | 1,062,415 | ||||||
5.00%, 07/01/2048 | 2,310,366 | 2,498,108 | ||||||
5.00%, 08/01/2048 | 1,236,748 | 1,335,872 | ||||||
5.00%, 09/01/2048 | 649,610 | 702,170 | ||||||
5.00%, 10/01/2048 | 3,354,903 | 3,626,057 | ||||||
5.00%, 11/01/2048 | 5,272,724 | 5,688,335 | ||||||
5.50%, 08/01/2041 | 6,152,767 | 7,012,260 | ||||||
8.00%, 04/01/2032 | 187,829 | 233,124 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
0.73%, 01/25/2031(4) | 294,612,164 | 10,649,523 | ||||||
0.91%, 04/25/2034(4) | 18,979,090 | 1,620,099 | ||||||
2.73%, 05/25/2029 | 15,705,000 | 17,252,440 | ||||||
2.74%, 12/25/2047(4) | 571,741 | 597,284 | ||||||
2.77%, 10/25/2046(4) | 516,244 | 555,271 | ||||||
2.86%, 10/25/2034 | 22,150,000 | 25,112,153 | ||||||
3.11%, 06/25/2025 | 67,943 | 72,985 | ||||||
3.75%, 04/25/2033 | 5,505,000 | 6,862,221 | ||||||
Freddie Mac Pool | ||||||||
2.50%, 04/01/2035 | 96,544,801 | 100,221,184 |
2.50%, 11/01/2049 | 43,352,993 | 44,929,570 | ||||||
2.50%, 03/01/2050 | 299,176,602 | 310,056,823 | ||||||
3.00%, 11/01/2034 | 1,951,716 | 2,061,474 | ||||||
3.00%, 09/01/2049 | 2,115,715 | 2,240,759 | ||||||
3.00%, 02/01/2050 | 22,123,203 | 22,986,771 | ||||||
3.00%, 02/01/2050 | 85,933,486 | 90,091,576 | ||||||
3.00%, 03/01/2050 | 2,665,000 | 2,795,284 | ||||||
3.00%, 04/01/2050 | 11,657,783 | 12,227,899 | ||||||
3.50%, 06/01/2046 | 838,551 | 893,369 | ||||||
3.50%, 01/01/2050 | 26,258,764 | 28,050,751 | ||||||
4.00%, 12/01/2048 | 143,545,724 | 153,052,977 | ||||||
4.00%, 02/01/2050 | 4,405,365 | 4,738,729 | ||||||
5.00%, 03/01/2042 | 356,207 | 399,604 | ||||||
Freddie Mac REMICS | ||||||||
3.00%, 01/15/2049 | 3,740,201 | 3,915,685 | ||||||
3.00%, 04/15/2049 | 17,962,756 | 18,898,737 | ||||||
Freddie Mac STACR 2019-HQA3 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 09/25/2049(1)(2) | 923,332 | 904,528 | ||||||
Freddie Mac Stacr Remic Trust 2019-Hqa4 | ||||||||
1.72% (1 Month LIBOR USD + 0.77%), 11/25/2049(1)(2) | 2,450,420 | 2,368,947 | ||||||
Freddie Mac Stacr Remic Trust 2020-HQA2 | ||||||||
1.91% (1 Month LIBOR USD + 1.10%), 03/25/2050(1)(2) | 13,255,000 | 12,795,358 | ||||||
Freddie Mac Stacr Trust 2018-HQA2 | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 10/25/2048(1)(2) | 1,660,795 | 1,613,995 | ||||||
Freddie Mac STACR Trust 2019-DNA1 | ||||||||
1.85% (1 Month LIBOR USD + 0.90%), 01/25/2049(1)(2) | 1,438,243 | 1,411,701 | ||||||
Freddie Mac STACR Trust 2019-HQA2 | ||||||||
1.65% (1 Month LIBOR USD + 0.70%), 04/25/2049(1)(2) | 106,003 | 105,087 | ||||||
Freddie Mac STACR Trust 2019-HRP1 | ||||||||
2.35% (1 Month LIBOR USD + 1.40%), 02/25/2049(1)(2) | 3,740,000 | 3,145,867 | ||||||
Freddie Mac Strips | ||||||||
3.00%, 09/15/2044 | 82,833,461 | 89,561,050 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
1.40% (1 Month LIBOR USD + 0.45%), 07/25/2030(1) | 273,056 | 269,328 | ||||||
1.70% (1 Month LIBOR USD + 0.75%), 03/25/2030(1) | 619,223 | 609,104 | ||||||
1.75% (1 Month LIBOR USD + 0.80%), 12/25/2029(1) | 46,655 | 46,080 | ||||||
2.00% (1 Month LIBOR USD + 1.05%), 07/25/2030(1) | 5,965,000 | 4,926,198 | ||||||
2.15% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 07/25/2029(1) | 102,134 | 101,552 | ||||||
2.15% (1 Month LIBOR USD + 1.20%), 10/25/2029(1) | 2,755,438 | 2,682,918 | ||||||
2.60% (1 Month LIBOR USD + 1.65%), 04/25/2024(1) | 309,000 | 303,413 | ||||||
2.80% (1 Month LIBOR USD + 1.85%), 10/25/2027(1) | 348,523 | 339,459 | ||||||
3.15% (1 Month LIBOR USD + 2.20%), 02/25/2024(1) | 207,938 | 206,501 | ||||||
3.55% (1 Month LIBOR USD + 2.60%), 12/25/2027(1) | 162,822 | 162,347 |
3.80% (1 Month LIBOR USD + 2.85%), 04/25/2028(1) | 1,122,911 | 1,098,737 | ||||||
3.81%, 05/25/2048(2)(4) | 445,000 | 366,609 | ||||||
3.85% (1 Month LIBOR USD + 2.90%), 07/25/2028(1) | 30,041 | 29,856 | ||||||
4.15%, 08/25/2048(2)(4) | 4,290,000 | 3,582,162 | ||||||
Freddie Mac Whole Loan Securities Trust | ||||||||
3.59%, 12/25/2046(2)(4) | 3,248,847 | 3,156,821 | ||||||
FREMF 2018-K731 Mortgage Trust | ||||||||
3.93%, 02/25/2025(2)(4) | 4,525,000 | 4,424,910 | ||||||
FREMF 2019-K736 Mortgage Trust | ||||||||
3.76%, 07/25/2026(2)(4) | 5,440,000 | 5,201,296 | ||||||
FREMF 2019-K94 Mortgage Trust | ||||||||
3.97%, 07/25/2052(2)(4) | 2,800,000 | 2,590,067 | ||||||
FREMF 2019-K98 Mortgage Trust | ||||||||
3.86%, 10/25/2052(2)(4) | 2,895,000 | 2,626,915 | ||||||
FREMF K-100 Mortgage Trust | ||||||||
3.49%, 11/25/2052(2)(4) | 6,980,000 | 6,208,848 | ||||||
Galton Funding Mortgage Trust 2017-1 | ||||||||
3.50%, 11/25/2057(2)(4) | 1,730,023 | 1,715,354 | ||||||
Galton Funding Mortgage Trust 2018-2 | ||||||||
4.00%, 10/25/2058(2)(4) | 4,043,231 | 4,021,313 | ||||||
Galton Funding Mortgage Trust 2019-1 | ||||||||
4.00%, 02/25/2059(2)(4) | 871,819 | 865,229 | ||||||
4.00%, 02/25/2059(2)(4) | 1,065,829 | 1,059,080 | ||||||
Galton Funding Mortgage Trust 2019-2 | ||||||||
3.50%, 06/25/2059(2)(4) | 2,470,073 | 2,388,242 | ||||||
Galton Funding Mortgage Trust 2019-H1 | ||||||||
2.66%, 10/25/2059(2)(4) | 5,464,352 | 5,408,630 | ||||||
2.96%, 10/25/2059(2)(4) | 4,849,160 | 4,800,049 | ||||||
Galton Funding Mortgage Trust 2020-H1 | ||||||||
2.31%, 01/25/2060(2)(4) | 6,596,519 | 6,359,433 | ||||||
GCAT 2019-RPL1 Trust | ||||||||
2.65%, 10/25/2068(2)(4) | 4,165,771 | 4,106,300 | ||||||
GCAT 2020-1 LLC | ||||||||
2.98%, 01/26/2060(2)(3) | 2,995,349 | 2,978,541 | ||||||
Ginnie Mae | ||||||||
1.07% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 09/20/2048(1) | 2,293,780 | 2,268,704 | ||||||
3.00%, 11/20/2047 | 837,513 | 879,504 | ||||||
3.00%, 12/20/2047 | 633,160 | 663,124 | ||||||
3.00%, 07/20/2049 | 1,246,846 | 1,299,593 | ||||||
3.00%, 09/20/2049 | 15,757,443 | 16,398,555 | ||||||
3.00%, 05/01/2050(12) | 52,025,000 | 54,961,347 | ||||||
3.50%, 03/20/2039 | 436,676 | 6,550 | ||||||
3.50%, 05/20/2043 | 246,989 | 34,513 |
3.50%, 08/20/2048 | 7,883,011 | 8,429,224 | ||||||
3.50%, 09/20/2048 | 4,881,794 | 5,254,685 | ||||||
3.50%, 12/20/2048 | 1,109,148 | 1,165,465 | ||||||
3.50%, 03/01/2050(12) | 11,155,000 | 11,752,702 | ||||||
4.50%, 04/01/2050(12) | 5,005,000 | 5,312,534 | ||||||
Ginnie Mae I Pool | ||||||||
3.00%, 10/15/2042 | 164,206 | 174,453 | ||||||
3.00%, 12/15/2042 | 30,004 | 32,053 | ||||||
3.00%, 05/15/2043 | 96,247 | 102,819 | ||||||
3.00%, 06/15/2043 | 8,465 | 8,987 | ||||||
3.00%, 06/15/2043 | 8,518 | 9,044 | ||||||
3.50%, 12/15/2042 | 9,410 | 10,208 | ||||||
3.50%, 01/15/2043 | 13,189 | 14,303 | ||||||
3.50%, 10/15/2043 | 65,039 | 70,363 | ||||||
4.50%, 05/15/2041 | 490,856 | 543,741 | ||||||
4.50%, 09/15/2045 | 181,477 | 200,810 | ||||||
5.00%, 09/15/2039 | 36,720 | 40,911 | ||||||
5.00%, 10/15/2039 | 294,515 | 328,114 | ||||||
5.00%, 12/15/2039 | 465,944 | 519,240 | ||||||
5.00%, 02/15/2040 | 64,577 | 71,945 | ||||||
5.00%, 02/15/2040 | 64,577 | 71,945 | ||||||
5.00%, 06/15/2040 | 184,487 | 205,544 | ||||||
5.00%, 09/15/2041 | 151,245 | 168,588 | ||||||
5.00%, 07/15/2044 | 155,722 | 171,228 | ||||||
7.50%, 08/15/2033 | 245,560 | 286,193 | ||||||
Ginnie Mae II Pool | ||||||||
3.00%, 12/20/2044 | 581,684 | 624,651 | ||||||
3.00%, 06/20/2045 | 25,875,535 | 27,789,551 | ||||||
3.00%, 05/20/2046 | 31,560 | 33,918 | ||||||
3.00%, 05/20/2046 | 85,309 | 92,003 | ||||||
3.00%, 06/20/2046 | 182,751 | 194,671 | ||||||
3.00%, 07/20/2046 | 53,435 | 57,416 | ||||||
3.00%, 07/20/2046 | 86,182 | 92,923 | ||||||
3.00%, 07/20/2046 | 126,087 | 135,013 | ||||||
3.00%, 07/20/2046 | 153,875 | 165,352 | ||||||
3.00%, 07/20/2046 | 220,399 | 235,590 | ||||||
3.00%, 07/20/2046 | 285,208 | 306,526 | ||||||
3.00%, 08/20/2046 | 72,219 | 77,324 | ||||||
3.00%, 08/20/2046 | 110,054 | 118,119 | ||||||
3.00%, 08/20/2046 | 119,388 | 128,757 | ||||||
3.00%, 09/20/2046 | 61,745 | 66,109 | ||||||
3.00%, 09/20/2046 | 70,121 | 75,264 | ||||||
3.00%, 10/20/2046 | 2,587,196 | 2,769,349 |
3.00%, 12/20/2046 | 6,159,885 | 6,583,211 | ||||||
3.00%, 03/20/2047 | 1,560,765 | 1,668,115 | ||||||
3.00%, 09/20/2047 | 17,754,958 | 18,811,656 | ||||||
3.00%, 11/20/2047 | 6,745,364 | 7,195,315 | ||||||
3.00%, 01/20/2048 | 8,369,535 | 8,924,464 | ||||||
3.00%, 09/20/2049 | 1,255,478 | 1,317,630 | ||||||
3.00%, 10/20/2049 | 36,686,225 | 38,518,547 | ||||||
3.00%, 03/20/2050 | 13,876,983 | 14,574,157 | ||||||
3.50%, 07/20/2042 | 4,887,190 | 5,225,064 | ||||||
3.50%, 08/20/2042 | 17,611 | 18,828 | ||||||
3.50%, 12/20/2042 | 7,385 | 7,896 | ||||||
3.50%, 02/20/2043 | 20,359 | 21,767 | ||||||
3.50%, 05/20/2043 | 9,536 | 10,194 | ||||||
3.50%, 06/20/2043 | 2,716,132 | 2,903,873 | ||||||
3.50%, 07/20/2043 | 1,836,385 | 1,963,362 | ||||||
3.50%, 09/20/2043 | 131,393 | 140,186 | ||||||
3.50%, 10/20/2044 | 61,831 | 68,228 | ||||||
3.50%, 10/20/2044 | 430,103 | 458,736 | ||||||
3.50%, 12/20/2044 | 9,961 | 10,586 | ||||||
3.50%, 01/20/2045 | 2,369,929 | 2,547,544 | ||||||
3.50%, 03/20/2045 | 401,193 | 426,383 | ||||||
3.50%, 05/20/2045 | 13,570 | 14,594 | ||||||
3.50%, 07/20/2045 | 537,637 | 571,451 | ||||||
3.50%, 10/20/2045 | 82,325 | 88,293 | ||||||
3.50%, 10/20/2045 | 110,125 | 118,107 | ||||||
3.50%, 12/20/2045 | 2,840,313 | 3,019,042 | ||||||
3.50%, 01/20/2046 | 2,027,117 | 2,154,402 | ||||||
3.50%, 02/20/2046 | 647,774 | 692,228 | ||||||
3.50%, 03/20/2046 | 7,623,445 | 8,102,695 | ||||||
3.50%, 04/20/2046 | 5,130,925 | 5,463,993 | ||||||
3.50%, 05/20/2046 | 7,408 | 7,839 | ||||||
3.50%, 05/20/2046 | 22,216 | 23,892 | ||||||
3.50%, 05/20/2046 | 82,823 | 89,052 | ||||||
3.50%, 05/20/2046 | 3,519,418 | 3,740,150 | ||||||
3.50%, 06/20/2046 | 88,787 | 95,448 | ||||||
3.50%, 06/20/2046 | 2,182,527 | 2,319,488 | ||||||
3.50%, 07/20/2046 | 718,770 | 767,883 | ||||||
3.50%, 09/20/2046 | 1,295,621 | 1,385,372 | ||||||
3.50%, 12/20/2046 | 4,826,758 | 5,129,573 | ||||||
3.50%, 01/20/2047 | 6,472,050 | 6,820,500 | ||||||
3.50%, 04/20/2047 | 3,246,784 | 3,421,228 | ||||||
3.50%, 05/20/2047 | 433,385 | 460,372 | ||||||
3.50%, 06/20/2047 | 14,932,033 | 15,734,333 |
3.50%, 08/20/2047 | 6,810,822 | 7,234,211 | ||||||
3.50%, 09/20/2047 | 18,145,138 | 19,361,561 | ||||||
3.50%, 10/20/2047 | 1,424,123 | 1,512,358 | ||||||
3.50%, 11/20/2047 | 23,984,473 | 25,473,727 | ||||||
3.50%, 01/20/2048 | 24,535,614 | 26,025,325 | ||||||
3.50%, 02/20/2048 | 3,280,290 | 3,521,300 | ||||||
3.50%, 02/20/2048 | 7,987,334 | 8,571,768 | ||||||
3.50%, 04/20/2048 | 444,968 | 479,032 | ||||||
3.50%, 06/20/2049 | 4,844,634 | 5,035,477 | ||||||
3.50%, 07/20/2049 | 25,473,048 | 26,468,189 | ||||||
3.50%, 09/20/2049 | 6,553,491 | 6,907,450 | ||||||
4.00%, 09/20/2045 | 2,160,274 | 2,354,415 | ||||||
4.00%, 05/20/2046 | 1,106,046 | 1,196,869 | ||||||
4.00%, 03/20/2047 | 2,985,208 | 3,203,461 | ||||||
4.00%, 04/20/2047 | 6,389,956 | 6,883,643 | ||||||
4.00%, 05/20/2047 | 5,025,895 | 5,386,308 | ||||||
4.00%, 06/20/2047 | 2,434,168 | 2,618,996 | ||||||
4.00%, 07/20/2047 | 1,220,569 | 1,321,000 | ||||||
4.00%, 08/20/2047 | 1,022,440 | 1,102,551 | ||||||
4.00%, 09/20/2047 | 5,242,342 | 5,649,870 | ||||||
4.00%, 11/20/2047 | 3,687,609 | 3,958,212 | ||||||
4.00%, 12/20/2047 | 3,565,071 | 3,797,919 | ||||||
4.00%, 01/20/2048 | 877,676 | 950,007 | ||||||
4.00%, 01/20/2048 | 5,121,953 | 5,517,686 | ||||||
4.00%, 06/20/2048 | 3,293,216 | 3,521,136 | ||||||
4.00%, 08/20/2048 | 8,509,362 | 9,124,764 | ||||||
4.00%, 09/20/2048 | 4,724,766 | 5,030,584 | ||||||
4.00%, 10/20/2048 | 2,312,139 | 2,472,143 | ||||||
4.00%, 05/20/2049 | 6,472,109 | 6,867,850 | ||||||
4.00%, 09/20/2049 | 15,479,401 | 16,438,067 | ||||||
4.50%, 07/20/2045 | 3,976,501 | 4,341,046 | ||||||
4.50%, 12/20/2045 | 75,856 | 82,802 | ||||||
4.50%, 01/20/2046 | 633,507 | 691,516 | ||||||
4.50%, 01/20/2047 | 3,326,134 | 3,634,894 | ||||||
4.50%, 05/20/2047 | 7,399,298 | 8,004,942 | ||||||
4.50%, 06/20/2047 | 10,167,098 | 10,991,821 | ||||||
4.50%, 07/20/2047 | 1,186,930 | 1,283,023 | ||||||
4.50%, 09/20/2047 | 3,020,227 | 3,248,013 | ||||||
4.50%, 11/20/2047 | 1,133,531 | 1,225,782 | ||||||
4.50%, 01/20/2048 | 374,561 | 399,585 | ||||||
4.50%, 08/20/2048 | 16,280,802 | 17,275,786 | ||||||
4.50%, 09/20/2048 | 1,726,243 | 1,864,289 | ||||||
4.50%, 09/20/2048 | 1,826,759 | 1,950,450 |
5.00%, 05/20/2040 | 174,705 | 193,248 | ||||||
5.00%, 06/20/2040 | 94,149 | 104,149 | ||||||
5.00%, 08/20/2040 | 72,597 | 80,277 | ||||||
5.00%, 09/20/2040 | 62,920 | 69,588 | ||||||
5.00%, 12/20/2044 | 279,980 | 305,804 | ||||||
5.00%, 06/20/2047 | 4,995,170 | 5,411,748 | ||||||
5.00%, 07/20/2047 | 718,420 | 778,156 | ||||||
5.00%, 08/20/2047 | 496,160 | 537,547 | ||||||
5.00%, 09/20/2047 | 4,866,889 | 5,237,911 | ||||||
5.00%, 10/20/2047 | 457,760 | 492,745 | ||||||
5.00%, 11/20/2047 | 953,660 | 1,033,050 | ||||||
5.00%, 12/20/2047 | 1,904,868 | 2,062,995 | ||||||
5.00%, 01/20/2048 | 2,402,418 | 2,593,472 | ||||||
5.00%, 02/20/2048 | 2,258,404 | 2,440,146 | ||||||
5.00%, 06/20/2048 | 2,586,008 | 2,790,724 | ||||||
5.00%, 08/20/2048 | 6,176,725 | 6,648,222 | ||||||
5.00%, 10/20/2048 | 5,683,576 | 6,049,562 | ||||||
5.00%, 11/20/2048 | 6,939,252 | 7,441,252 | ||||||
5.50%, 07/20/2036 | 90,984 | 102,493 | ||||||
5.50%, 01/20/2040 | 190,703 | 212,773 | ||||||
5.50%, 06/20/2045 | 236,912 | 265,139 | ||||||
5.50%, 10/20/2047 | 823,306 | 906,784 | ||||||
5.50%, 05/20/2048 | 3,060,038 | 3,313,501 | ||||||
5.50%, 12/20/2048 | 2,009,840 | 2,162,482 | ||||||
5.50%, 01/20/2049 | 573,910 | 618,793 | ||||||
5.50%, 03/20/2049 | 3,813,525 | 4,102,866 | ||||||
Gosforth Funding 2018-1 Plc | ||||||||
2.13% (3 Month LIBOR USD + 0.45%), 08/25/2060(1)(2) | 1,613,864 | 1,479,819 | ||||||
Grand Avenue Mortgage Loan Trust 2017-RPL1 | ||||||||
3.25%, 08/25/2064(2) | 2,430,192 | 2,284,220 | ||||||
Great Wolf Trust | ||||||||
2.64% (1 Month LIBOR USD + 1.93%, 1.93% Floor), 12/15/2036(1)(2) | 3,400,000 | 2,822,000 | ||||||
GS Mortgage Securities Corp. Trust 2013-PEMB | ||||||||
3.55%, 03/05/2033(2)(4) | 4,860,000 | 3,671,214 | ||||||
GS Mortgage Securities Corp. Trust 2019-SOHO | ||||||||
2.00% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 06/15/2036(1)(2) | 7,090,000 | 6,666,848 | ||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||
5.64%, 03/10/2044(2)(4) | 340,000 | 332,685 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.39%, 08/10/2044(2)(4) | 220,000 | 209,176 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
5.16%, 11/10/2046(4) | 7,561,000 | 7,858,824 | ||||||
GS Mortgage Securities Trust 2014-GC18 |
4.38%, 01/10/2047 | 905,000 | 931,960 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
3.51%, 10/10/2048 | 540,000 | 570,664 | ||||||
GS Mortgage Securities Trust 2017-GS8 | ||||||||
2.70%, 11/10/2050(2) | 8,124,700 | 5,147,833 | ||||||
4.34%, 11/10/2050(4) | 5,365,000 | 4,253,426 | ||||||
GS Mortgage Securities Trust 2019-GC40 | ||||||||
3.16%, 07/10/2052 | 9,560,000 | 10,034,698 | ||||||
GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 | ||||||||
4.00%, 08/25/2049(2)(4) | 3,855,000 | 3,686,727 | ||||||
HarborView Mortgage Loan Trust 2005-9 | ||||||||
1.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2035(1) | 7,626,385 | 7,058,690 | ||||||
HarborView Mortgage Loan Trust 2006-7 | ||||||||
0.95% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 09/19/2046(1) | 4,697,636 | 3,675,077 | ||||||
HarborView Mortgage Loan Trust 2006-10 | ||||||||
0.95% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036(1) | 10,239,884 | 7,662,161 | ||||||
HarborView Mortgage Loan Trust 2006-12 | ||||||||
0.96% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/19/2036(1) | 33,552,229 | 23,889,425 | ||||||
HarborView Mortgage Loan Trust 2007-6 | ||||||||
0.95% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037(1) | 9,385,141 | 6,954,392 | ||||||
Harvest Commercial Capital Loan Trust 2019-1 | ||||||||
3.29%, 09/25/2046(2)(4) | 10,007,973 | 9,247,083 | ||||||
Hawksmoor Mortgages | ||||||||
1.76% (3 Month Sterling Overnight Interbank Average Rate + 1.05%), 05/25/2053(1)(2) | GBP | 21,535,723 | 25,513,023 | |||||
Hilton Orlando Trust 2018-ORL | ||||||||
1.47% (1 Month LIBOR USD + 0.77%, 0.77% Floor), 12/15/2034(1)(2) | $ | 2,085,000 | 1,787,614 | |||||
1.75% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 12/15/2034(1)(2) | 350,000 | 287,832 | ||||||
Homeward Opportunities Fund I Trust 2018-1 | ||||||||
3.77%, 06/25/2048(2)(4) | 4,772,215 | 4,608,724 | ||||||
4.00%, 06/25/2048(2)(4) | 4,165,374 | 4,024,144 | ||||||
Homeward Opportunities Fund I Trust 2019-1 | ||||||||
3.45%, 01/25/2059(2)(4) | 2,805,802 | 2,699,193 | ||||||
3.61%, 01/25/2059(2)(4) | 3,918,162 | 3,769,674 | ||||||
3.95%, 01/25/2059(2)(4) | 4,495,000 | 4,130,578 | ||||||
Homeward Opportunities Fund I Trust 2019-2 | ||||||||
2.70%, 09/25/2059(2)(4) | 6,870,966 | 6,585,810 | ||||||
Homeward Opportunities Fund I Trust 2019-3 | ||||||||
2.68%, 11/25/2059(2)(4) | 3,442,220 | 3,275,199 | ||||||
3.03%, 11/25/2059(2)(4) | 3,663,111 | 3,486,749 | ||||||
HSI Asset Securitization Corp. Trust 2005-NC1 | ||||||||
1.91% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 07/25/2035(1) | 6,336,000 | 4,815,345 | ||||||
Hudson Yards 2019-30HY Mortgage Trust | ||||||||
3.23%, 07/10/2039(2) | 6,570,000 | 6,935,036 |
3.38%, 07/10/2039(2)(4) | 3,905,000 | 3,977,587 | ||||||
3.44%, 07/10/2039(2)(4) | 4,500,000 | 4,195,721 | ||||||
Hudson Yards 2019-55HY Mortgage Trust | ||||||||
2.94%, 12/10/2041(2)(4) | 5,545,000 | 5,744,272 | ||||||
Hudsons Bay Simon JV Trust 2015-HBS | ||||||||
4.15%, 08/05/2034(2) | 3,540,000 | 3,481,799 | ||||||
ILPT Trust 2019-SURF | ||||||||
4.15%, 02/11/2041(2) | 7,575,000 | 8,447,107 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
1.59% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034(1) | 5,720,629 | 5,213,043 | ||||||
Independence Plaza Trust 2018-INDP | ||||||||
3.76%, 07/10/2035(2) | 3,265,000 | 3,156,838 | ||||||
3.91%, 07/10/2035(2) | 2,780,000 | 2,597,299 | ||||||
IndyMac INDX Mortgage Loan Trust 2006-AR19 | ||||||||
3.80%, 08/25/2036(4) | 10,910,994 | 8,521,235 | ||||||
IndyMac INDX Mortgage Loan Trust 2007-AR15 | ||||||||
3.71%, 08/25/2037(4) | 4,862,123 | 3,552,142 | ||||||
InTown Hotel Portfolio Trust 2018-STAY | ||||||||
1.75% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 01/15/2033(1)(2) | 430,000 | 384,489 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES | ||||||||
3.62%, 09/05/2032(2)(4) | 590,000 | 571,953 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 | ||||||||
3.06%, 08/15/2049 | 1,993,000 | 1,951,025 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | ||||||||
3.40%, 08/15/2049(4) | 565,000 | 513,232 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | ||||||||
2.85%, 09/06/2038(2)(4) | 910,000 | 913,578 | ||||||
2.85%, 09/06/2038(2)(4) | 3,597,500 | 3,681,528 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI | ||||||||
3.55%, 10/05/2031(2) | 394,000 | 328,858 | ||||||
4.01%, 10/05/2031(2)(4) | 602,000 | 499,235 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | ||||||||
4.25%, 07/05/2033(2) | 965,000 | 982,857 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB | ||||||||
3.40%, 06/05/2039(2) | 8,012,500 | 7,608,128 | ||||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||||
3.50%, 05/25/2050(2)(4) | 4,118,474 | 4,165,842 | ||||||
3.50%, 05/25/2050(2)(4) | 4,820,606 | 4,777,424 | ||||||
JP Morgan Mortgage Trust 2020-INV1 | ||||||||
2.46% (1 Month LIBOR USD + 0.83%, 0.83% Floor, 6.00% Cap), 08/25/2050(1)(2) | 2,317,945 | 2,237,261 | ||||||
3.50%, 08/25/2050(2)(4) | 3,848,496 | 3,978,582 | ||||||
JP Morgan Resecuritization Trust Series 2014-6 | ||||||||
1.84% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 07/27/2046(1)(2) | 590,182 | 581,357 |
JP Morgan Seasoned Mortgage Trust 2010-1 | ||||||||
0.00%, 03/25/2050(2)(4) | 13,605,809 | 11,525,632 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
2.94%, 11/15/2047 | 682,283 | 681,353 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | ||||||||
3.82%, 07/15/2048 | 2,780,000 | 2,968,685 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 | ||||||||
3.80%, 08/15/2048 | 5,065,000 | 5,406,721 | ||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | ||||||||
3.88%, 03/15/2050(4) | 4,990,000 | 5,115,660 | ||||||
JPMDB Commercial Mortgage Securities Trust 2016-C4 | ||||||||
3.38%, 12/15/2049 | 4,040,000 | 4,026,112 | ||||||
JPMDB Commercial Mortgage Securities Trust 2018-C8 | ||||||||
4.74%, 06/15/2051(4) | 3,474,000 | 2,802,447 | ||||||
Lanark Master Issuer Plc | ||||||||
2.28%, 12/22/2069(2)(4) | 695,000 | 686,721 | ||||||
2.45% (3 Month LIBOR USD + 0.77%), 12/22/2069(1)(2) | 10,688,700 | 10,314,122 | ||||||
2.71%, 12/22/2069(2)(3) | 3,285,000 | 3,178,907 | ||||||
Legacy Mortgage Asset Trust | ||||||||
2.88%, 10/25/2059(2)(3) | 4,361,179 | 4,336,915 | ||||||
Legacy Mortgage Asset Trust 2019-GS7 | ||||||||
3.25%, 11/25/2059(2)(3) | 4,676,574 | 4,719,669 | ||||||
Mansard Mortgages 2007-1 Plc | ||||||||
1.03% (3 Month LIBOR GBP + 0.30%), 04/15/2049(1) | GBP | 6,112,395 | 6,444,469 | |||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | ||||||||
3.52%, 04/25/2029(4) | $ | 770,477 | 688,699 | |||||
Metlife Securitization Trust 2018-1 | ||||||||
3.75%, 03/25/2057(2)(4) | 16,001,100 | 16,134,187 | ||||||
Mill City Mortgage Loan Trust 2019-1 | ||||||||
3.25%, 10/25/2069(2)(4) | 2,265,019 | 2,284,812 | ||||||
Mill City Mortgage Loan Trust 2019-GS1 | ||||||||
2.75%, 07/25/2059(2)(4) | 5,849,375 | 5,687,130 | ||||||
Mill City Mortgage Loan Trust 2019-GS2 | ||||||||
2.75%, 08/25/2059(2)(4) | 14,616,000 | 14,444,488 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 | ||||||||
3.46%, 05/15/2046 | 3,750,000 | 3,740,376 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | ||||||||
4.26%, 04/15/2047 | 1,940,000 | 1,989,079 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | ||||||||
3.74%, 08/15/2047 | 974,000 | 1,009,610 | ||||||
4.46%, 08/15/2047(4) | 1,655,000 | 1,636,980 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | ||||||||
4.00%, 08/15/2031 | 310,000 | 261,629 |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
4.04%, 05/15/2048(4) | 190,000 | 196,412 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 | ||||||||
2.86%, 09/15/2049 | 3,220,000 | 3,214,824 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | ||||||||
4.18%, 11/15/2052(4) | 845,000 | 663,826 | ||||||
Morgan Stanley Capital I Trust 2011-C2 | ||||||||
5.49%, 06/15/2044(2)(4) | 1,415,000 | 1,148,026 | ||||||
Morgan Stanley Capital I Trust 2017-H1 | ||||||||
4.28%, 06/15/2050(4) | 1,490,089 | 1,244,428 | ||||||
Morgan Stanley Resecuritization Trust 2013-R7 | ||||||||
2.17% (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap), 12/26/2046(1)(2) | 9,060,560 | 8,558,260 | ||||||
Motel 6 Trust 2017-MTL6 | ||||||||
1.62% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 08/15/2034(1)(2) | 3,081,579 | 2,833,574 | ||||||
1.89% (1 Month LIBOR USD + 1.19%, 1.19% Floor), 08/15/2034(1)(2) | 6,178,848 | 5,346,530 | ||||||
2.85% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034(1)(2) | 641,958 | 555,573 | ||||||
MSCG Trust 2018-SELF | ||||||||
1.60% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037(1)(2) | 4,110,000 | 3,780,029 | ||||||
Natixis Commercial Mortgage Securities Trust 2020-2PAC | ||||||||
2.97%, 12/15/2038(2) | 6,668,500 | 6,420,547 | ||||||
New Orleans Hotel Trust 2019-HNLA | ||||||||
1.99% (1 Month LIBOR USD + 1.29%, 1.29% Floor), 04/15/2032(1)(2) | 6,425,000 | 5,425,528 | ||||||
New Residential Mortgage Loan Trust 2019-NQM1 | ||||||||
3.67%, 01/25/2049(2)(4) | 3,818,294 | 3,765,668 | ||||||
3.93%, 01/25/2049(2)(4) | 3,602,048 | 3,564,415 | ||||||
New Residential Mortgage Loan Trust 2019-NQM2 | ||||||||
3.60%, 04/25/2049(2)(4) | 4,963,260 | 4,917,670 | ||||||
3.70%, 04/25/2049(2)(4) | 1,660,454 | 1,645,233 | ||||||
New Residential Mortgage Loan Trust 2019-NQM3 | ||||||||
2.80%, 07/25/2049(2)(4) | 6,593,647 | 6,472,459 | ||||||
3.09%, 07/25/2049(2)(4) | 2,674,119 | 2,625,280 | ||||||
New Residential Mortgage Loan Trust 2019-NQM5 | ||||||||
2.71%, 11/25/2059(2)(4) | 3,766,756 | 3,721,798 | ||||||
New Residential Mortgage Loan Trust 2019-RPL3 | ||||||||
2.75%, 07/25/2059(2)(4) | 36,350,335 | 36,198,198 | ||||||
New Residential Mortgage Loan Trust 2020-NQM1 | ||||||||
2.46%, 01/26/2060(2)(4) | 4,742,186 | 4,680,703 | ||||||
Nomura Resecuritization Trust 2015-7R | ||||||||
3.90%, 08/26/2036(2)(4) | 397,689 | 391,592 | ||||||
OBX 2018-EXP1 Trust | ||||||||
1.80% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/25/2048(1)(2) | 2,582,151 | 2,478,076 | ||||||
4.00%, 04/25/2048(2)(4) | 1,441,547 | 1,448,674 | ||||||
OBX 2019-EXP2 Trust |
4.00%, 06/25/2059(2)(4) | 3,757,276 | 3,764,207 | ||||||
OBX 2019-EXP3 Trust | ||||||||
3.50%, 10/25/2059(2)(4) | 5,789,385 | 5,718,477 | ||||||
OBX 2020-EXP1 Trust | ||||||||
1.70% (1 Month LIBOR USD + 0.75%), 02/25/2060(1)(2) | 1,263,298 | 1,180,747 | ||||||
3.50%, 02/25/2060(2)(4) | 3,566,094 | 3,474,093 | ||||||
OBX 2020-INV1 Trust | ||||||||
3.50%, 12/25/2049(2)(4) | 6,444,013 | 6,547,447 | ||||||
One Bryant Park Trust 2019-OBP | ||||||||
2.52%, 09/15/2054(2) | 7,390,000 | 7,361,501 | ||||||
Palisades Center Trust 2016-PLSD | ||||||||
2.71%, 04/13/2033(2) | 640,000 | 615,527 | ||||||
Precise Mortgage Funding 2018-2B Plc | ||||||||
1.14% (3 Month LIBOR GBP + 0.68%), 03/12/2055(1) | GBP | 4,031,695 | 4,856,929 | |||||
Queens Center Mortgage Trust 2013-QC | ||||||||
3.28%, 01/11/2037(2) | $ | 3,915,000 | 3,875,469 | |||||
RALI Series 2006-QS9 Trust | ||||||||
6.00%, 07/25/2036 | 4,791,564 | 4,164,802 | ||||||
RALI Series 2007-QH8 Trust | ||||||||
2.91%, 10/25/2037(4) | 1,379,581 | 1,090,243 | ||||||
RBS Commercial Funding, Inc. 2013-GSP Trust | ||||||||
3.83%, 01/15/2032(2)(4) | 1,565,000 | 1,566,300 | ||||||
RCO V Mortgage LLC 2019-1 | ||||||||
3.72%, 05/24/2024(2)(3) | 2,511,911 | 2,388,184 | ||||||
Real Estate Asset Liquidity Trust | ||||||||
2.42%, 06/12/2054(2)(4) | CAD | 11,963,097 | 8,331,494 | |||||
RESIMAC Bastille Trust Series 2018-1NC | ||||||||
2.23% (1 Month LIBOR USD + 0.85%), 12/05/2059(1)(2) | $ | 1,944,001 | 1,917,040 | |||||
RETL 2019-RVP | ||||||||
1.85% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 03/15/2036(1)(2) | 603,048 | 551,062 | ||||||
Rosslyn Portfolio Trust 2017-ROSS | ||||||||
1.94% (1 Month LIBOR USD + 0.95%, 1.94% Floor), 06/15/2033(1)(2) | 15,800,000 | 13,866,412 | ||||||
Seasoned Credit Risk Transfer Trust Series 2016-1 | ||||||||
3.00%, 09/25/2055(2)(4) | 375,000 | 348,051 | ||||||
Seasoned Credit Risk Transfer Trust Series 2017-2 | ||||||||
4.00%, 08/25/2056(2)(4) | 910,000 | 835,670 | ||||||
Sequoia Mortgage Trust 2003-2 | ||||||||
1.43% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.50% Cap), 06/20/2033(1) | 536,052 | 478,341 | ||||||
Sequoia Mortgage Trust 2004-9 | ||||||||
1.67% (6 Month LIBOR USD + 0.72%, 0.36% Floor, 11.50% Cap), 10/20/2034(1) | 1,098,095 | 978,616 | ||||||
Sequoia Mortgage Trust 2013-4 | ||||||||
3.49%, 04/25/2043(4) | 2,572,356 | 2,440,917 | ||||||
Sequoia Mortgage Trust 2017-CH2 |
4.00%, 12/25/2047(2)(4) | 1,478,492 | 1,479,778 | ||||||
4.00%, 12/25/2047(2)(4) | 1,532,202 | 1,532,716 | ||||||
Sequoia Mortgage Trust 2018-CH1 | ||||||||
3.50%, 02/25/2048(2)(4) | 465,548 | 461,459 | ||||||
Sequoia Mortgage Trust 2018-CH2 | ||||||||
4.00%, 06/25/2048(2)(4) | 1,426,521 | 1,435,997 | ||||||
Sequoia Mortgage Trust 2018-CH3 | ||||||||
4.00%, 08/25/2048(2)(4) | 4,610,376 | 4,623,809 | ||||||
4.50%, 08/25/2048(2)(4) | 1,932,054 | 1,945,272 | ||||||
4.50%, 08/25/2048(2)(4) | 5,000,000 | 4,914,350 | ||||||
Sequoia Mortgage Trust 2018-CH4 | ||||||||
4.00%, 10/25/2048(2)(4) | 1,515,989 | 1,509,091 | ||||||
Sequoia Mortgage Trust 2019-CH2 | ||||||||
4.50%, 08/25/2049(2)(4) | 2,761,045 | 2,748,542 | ||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | ||||||||
4.14%, 01/05/2043(2)(4) | 780,000 | 682,956 | ||||||
SG Residential Mortgage Trust 2019-3 | ||||||||
2.70%, 09/25/2059(2)(4) | 4,044,701 | 3,903,635 | ||||||
SLIDE 2018-FUN | ||||||||
3.00% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 06/15/2031(1)(2) | 5,105,772 | 4,389,373 | ||||||
SLM Student Loan Trust 2008-9 | ||||||||
3.29% (3 Month LIBOR USD + 1.50%), 04/25/2023(1) | 8,249,615 | 8,144,405 | ||||||
Southern Pacific Securities 06-1 Plc | ||||||||
0.83% (3 Month LIBOR GBP + 0.30%), 03/10/2044(1) | GBP | 1,791,980 | 2,190,002 | |||||
STACR Trust 2018-DNA2 | ||||||||
1.75% (1 Month LIBOR USD + 0.80%), 12/25/2030(1)(2) | $ | 1,798,529 | 1,770,470 | |||||
1.90% (1 Month LIBOR USD + 0.95%), 12/25/2030(1)(2) | 6,800,000 | 5,978,183 | ||||||
STACR Trust 2018-DNA3 | ||||||||
1.85% (1 Month LIBOR USD + 0.90%), 09/25/2048(1)(2) | 4,965,000 | 4,411,879 | ||||||
STACR Trust 2018-HRP2 | ||||||||
2.20% (1 Month LIBOR USD + 1.25%), 02/25/2047(1)(2) | 3,699,527 | 3,507,662 | ||||||
Starwood Mortgage Residential Trust 2018-IMC2 | ||||||||
4.12%, 10/25/2048(2)(4) | 4,800,688 | 4,715,591 | ||||||
Starwood Mortgage Residential Trust 2019-1 | ||||||||
2.94%, 06/25/2049(2)(4) | 6,844,203 | 6,797,976 | ||||||
Starwood Mortgage Residential Trust 2019-IMC1 | ||||||||
3.47%, 02/25/2049(2)(4) | 2,687,967 | 2,674,693 | ||||||
3.75%, 02/25/2049(2)(4) | 1,471,898 | 1,418,999 | ||||||
4.09%, 02/25/2049(2)(4) | 2,160,000 | 1,680,110 | ||||||
Starwood Mortgage Residential Trust 2019-INV1 | ||||||||
2.61%, 09/27/2049(2)(4) | 5,421,261 | 5,166,388 | ||||||
3.66%, 09/27/2049(2)(4) | 2,995,000 | 2,479,693 | ||||||
STRU JPM-2598 COLL |
2.46%, 04/25/2040(4) | 8,775,000 | 8,753,063 | ||||||
Sutherland Commercial Mortgage Loans 2017-SBC6 | ||||||||
3.19%, 05/25/2037(2)(4) | 3,852,299 | 3,573,604 | ||||||
Towd Point Mortgage Funding | ||||||||
1.39% (3 Month Sterling Overnight Interbank Average Rate + 0.90%), 07/20/2045(1)(2) | GBP | 96,267,245 | 115,973,418 | |||||
Towd Point Mortgage Funding 2018 - Auburn 12 Plc | ||||||||
1.55% (3 Month LIBOR GBP + 0.80%), 02/20/2045(1) | 2,665,858 | 3,130,576 | ||||||
Towd Point Mortgage Funding 2019 - Granite4 Plc | ||||||||
1.72% (3 Month LIBOR GBP + 1.03%), 10/20/2051(1)(2) | 30,030,231 | 36,466,780 | ||||||
Towd Point Mortgage Trust 2019-4 | ||||||||
2.90%, 10/25/2059(2)(4) | $ | 108,825,122 | 106,468,558 | |||||
UBS Commercial Mortgage Trust 2018-C9 | ||||||||
4.32%, 03/15/2051(4) | 1,718,000 | 1,790,246 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
4.89%, 05/10/2063(2)(4) | 1,135,000 | 1,032,530 | ||||||
4.89%, 05/10/2063(2)(4) | 2,750,000 | 2,306,522 | ||||||
Verus Securitization Trust 2018-1 | ||||||||
2.93%, 02/25/2048(2) | 399,740 | 379,603 | ||||||
Verus Securitization Trust 2018-2 | ||||||||
3.68%, 06/01/2058(2)(4) | 1,430,638 | 1,391,064 | ||||||
3.78%, 06/01/2058(2)(4) | 762,523 | 740,981 | ||||||
Verus Securitization Trust 2018-3 | ||||||||
4.11%, 10/25/2058(2)(4) | 3,955,017 | 3,878,004 | ||||||
4.18%, 10/25/2058(2)(4) | 2,932,504 | 2,874,984 | ||||||
Verus Securitization Trust 2018-INV1 | ||||||||
3.63%, 03/25/2058(2)(4) | 694,376 | 659,386 | ||||||
Verus Securitization Trust 2018-INV2 | ||||||||
4.15%, 10/25/2058(2)(4) | 3,568,578 | 3,458,855 | ||||||
Verus Securitization Trust 2019-1 | ||||||||
3.84%, 02/25/2059(2)(4) | 5,186,700 | 5,033,133 | ||||||
Verus Securitization Trust 2019-2 | ||||||||
3.78%, 05/25/2059(2)(4) | 12,360,000 | 11,404,587 | ||||||
Verus Securitization Trust 2019-3 | ||||||||
3.04%, 07/25/2059(2)(3) | 2,439,827 | 2,348,244 | ||||||
Verus Securitization Trust 2019-4 | ||||||||
2.64%, 11/25/2059(2)(3) | 4,385,326 | 4,439,636 | ||||||
Verus Securitization Trust 2019-INV1 | ||||||||
3.40%, 12/25/2059(2)(4) | 4,903,642 | 4,697,340 | ||||||
3.66%, 12/25/2059(2)(4) | 1,359,291 | 1,302,424 | ||||||
4.99%, 12/25/2059(2) | 1,340,000 | 1,209,331 | ||||||
Verus Securitization Trust 2019-INV2 | ||||||||
3.12%, 07/25/2059(2)(4) | 5,314,462 | 5,231,035 | ||||||
Verus Securitization Trust 2019-INV3 |
2.69%, 11/25/2059(2)(4) | 8,483,766 | 8,213,020 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C29 | ||||||||
5.44%, 11/15/2048(4) | 2,250,376 | 2,236,424 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 | ||||||||
5.65%, 02/15/2051(4) | 3,250,194 | 2,541,652 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | ||||||||
1.28% (1 Month LIBOR USD + 0.33%, 0.33% Floor, 10.50% Cap), 01/25/2045(1) | 5,268,960 | 4,441,633 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | ||||||||
1.27% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 08/25/2045(1) | 2,833,894 | 2,601,195 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | ||||||||
1.24% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 10.50% Cap), 10/25/2045(1) | 4,321,210 | 3,921,330 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | ||||||||
1.21% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap), 11/25/2045(1) | 5,590,596 | 5,111,513 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust | ||||||||
2.72% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047(1) | 13,098,810 | 10,621,913 | ||||||
Warwick Finance Residential Mortgages No One Plc | ||||||||
1.52% (3 Month LIBOR GBP + 1.00%), 09/21/2049(1) | GBP | 14,745,003 | 18,161,931 | |||||
Warwick Finance Residential Mortgages No Two Plc | ||||||||
2.04% (3 Month LIBOR GBP + 1.50%), 09/21/2049(1) | 6,042,470 | 7,450,937 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust | ||||||||
5.50%, 04/25/2037 | $ | 10,376,243 | 9,769,745 | |||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 1,280,000 | 1,331,612 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C33 | ||||||||
3.16%, 03/15/2059 | 1,225,000 | 1,246,461 | ||||||
4.51%, 03/15/2059(4) | 4,317,000 | 4,198,359 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 | ||||||||
3.18%, 07/15/2048 | 3,155,000 | 3,077,879 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 | ||||||||
3.37%, 10/15/2049 | 6,000,000 | 5,909,395 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-C38 | ||||||||
3.45%, 07/15/2050 | 1,695,000 | 1,769,019 | ||||||
3.67%, 07/15/2050(4) | 1,315,000 | 1,314,238 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-HSDB | ||||||||
1.65% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031(1)(2) | 8,100,000 | 7,579,416 | ||||||
1.90% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031(1)(2) | 6,700,000 | 6,287,261 | ||||||
2.64% (1 Month LIBOR USD + 1.84%, 1.85% Floor), 12/13/2031(1)(2) | 100,000 | 79,262 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C50 | ||||||||
4.19%, 05/15/2052 | 2,085,000 | 1,937,968 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C51 | ||||||||
3.31%, 06/15/2052 | 10,905,000 | 11,485,991 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C53 | ||||||||
3.51%, 10/15/2052(4) | 3,290,000 | 2,877,740 |
Wells Fargo Commercial Mortgage Trust 2019-C54 | ||||||||
3.67%, 12/15/2052 | 4,420,000 | 3,963,215 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-JWDR | ||||||||
2.58%, 09/15/2031(2)(4) | 6,560,000 | 5,381,240 | ||||||
2.79%, 09/15/2031(2)(4) | 1,880,000 | 1,475,859 | ||||||
Wells Fargo Commercial Mortgage Trust 2020-C55 | ||||||||
2.73%, 02/15/2053 | 5,875,000 | 5,877,215 | ||||||
3.14%, 02/15/2053 | 2,375,000 | 2,084,986 | ||||||
WFRBS Commercial Mortgage Trust 2011-C2 | ||||||||
5.66%, 02/15/2044(2)(4) | 3,500,000 | 3,383,730 | ||||||
WFRBS Commercial Mortgage Trust 2011-C5 | ||||||||
5.66%, 11/15/2044(2)(4) | 115,000 | 108,812 | ||||||
WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||
4.81%, 06/15/2045(2)(4) | 690,000 | 579,963 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19 | ||||||||
4.72%, 03/15/2047(4) | 329,000 | 329,587 | ||||||
WFRBS Commercial Mortgage Trust 2014-C22 | ||||||||
4.07%, 09/15/2057(4) | 4,250,000 | 4,338,615 | ||||||
Worldwide Plaza Trust 2017-WWP | ||||||||
3.53%, 11/10/2036(2) | 1,740,000 | 1,688,530 | ||||||
3.60%, 11/10/2036(2)(4) | 320,000 | 275,187 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost: $6,919,878,550) | 6,942,340,299 | |||||||
|
| |||||||
Total Bonds & Notes (Cost: $17,859,727,500) | 17,688,501,342 | |||||||
|
| |||||||
BANK LOANS – 2.85% | ||||||||
1011778 BC ULC | ||||||||
2.74% (LIBOR + 1.75%), 11/19/2026(1) | 1,587,336 | 1,460,350 | ||||||
ABG Intermediate Holdings 2 LLC | ||||||||
4.95% (LIBOR + 3.50%), 09/27/2024(1) | 2,348,840 | 1,852,647 | ||||||
Acrisure LLC | ||||||||
5.21% (LIBOR + 3.50%), 02/15/2027(1) | 2,500,000 | 2,200,000 | ||||||
Advanced Drainage Systems, Inc. | ||||||||
3.81% (LIBOR + 2.25%), 07/31/2026(1) | 481,556 | 443,033 | ||||||
Advanz Pharma Corp. | ||||||||
6.57% (LIBOR + 5.50%), 09/06/2024(1) | 1,769,141 | 1,508,194 | ||||||
AI Alpine U.S. Bidco, Inc. | ||||||||
4.62% (LIBOR + 2.75%), 10/31/2025(1)(7) | 2,024,660 | 1,670,345 | ||||||
AI Convoy SARL | ||||||||
3.75% (EURIBOR + 3.75%), 01/18/2027(1) | EUR | 1,000,000 | 1,047,755 | |||||
Aldevron LLC | ||||||||
5.70% (LIBOR + 4.25%), 10/12/2026(1) | $ | 3,725,000 | 3,464,250 | |||||
Alliant Holdings Intermediate LLC | ||||||||
3.99% (LIBOR + 3.00%), 05/09/2025(1) | 5,462,700 | 4,949,206 |
Alphabet Holding Company, Inc. | ||||||||
4.49% (LIBOR + 3.50%), 09/26/2024(1) | 97,500 | 77,080 | ||||||
Altice France SA | ||||||||
4.70% (LIBOR + 4.00%), 08/14/2026(1) | 1,382,500 | 1,309,919 | ||||||
American Airlines, Inc. | ||||||||
0.00%, 01/29/2027 | 500,000 | 405,000 | ||||||
Applied Systems, Inc. | ||||||||
4.70% (LIBOR + 3.25%), 09/19/2024(1) | 4,548,293 | 4,176,835 | ||||||
Aramark Intermediate HoldCo Corp. | ||||||||
2.74% (LIBOR + 1.75%), 03/28/2024(1) | 1,631,808 | 1,550,217 | ||||||
2.74% (LIBOR + 1.75%), 03/11/2025(1) | 186,533 | 173,475 | ||||||
Ascend Learning LLC | ||||||||
4.00% (LIBOR + 3.00%), 07/12/2024(1) | 4,600,606 | 4,077,287 | ||||||
Asurion LLC | ||||||||
3.99% (LIBOR + 3.00%), 11/03/2023(1) | 438,795 | 416,855 | ||||||
3.99% (LIBOR + 3.00%), 11/03/2024(1) | 7,822,763 | 7,392,511 | ||||||
7.49% (LIBOR + 6.50%), 08/04/2025(1) | 860,000 | 783,675 | ||||||
Avantor Funding, Inc. | ||||||||
3.25% (LIBOR + 2.25%), 11/21/2024(1) | 2,473,621 | 2,325,204 | ||||||
Avis Budget Car Rental LLC | ||||||||
2.74% (LIBOR + 1.75%), 08/06/2027(1) | 4,788,000 | 3,838,396 | ||||||
Avolon TLB Borrower 1 U.S. LLC | ||||||||
2.27% (LIBOR + 1.50%), 02/12/2027(1) | 7,711,000 | 6,583,266 | ||||||
2.52% (LIBOR + 1.75%), 01/15/2025(1) | 1,753,043 | 1,554,371 | ||||||
Axalta Coating Systems U.S. Holdings, Inc. | ||||||||
3.20% (LIBOR + 1.75%), 06/01/2024(1) | 68,523 | 64,069 | ||||||
Azalea TopCo, Inc. | ||||||||
4.49% (LIBOR + 3.50%), 07/24/2026(1) | 5,783,935 | 5,263,381 | ||||||
B&G Foods, Inc. | ||||||||
3.49% (LIBOR + 2.50%), 10/10/2026(1) | 761,175 | 704,323 | ||||||
Bausch Health Companies, Inc. | ||||||||
3.36% (LIBOR + 2.75%), 11/27/2025(1) | 1,444,553 | 1,365,102 | ||||||
3.61% (LIBOR + 3.00%), 06/02/2025(1) | 8,436,016 | 7,982,580 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
3.24% (LIBOR + 2.25%), 01/02/2025(1) | 117,600 | 105,987 | ||||||
Berry Global, Inc. | ||||||||
2.86% (LIBOR + 2.00%), 07/01/2026(1) | 3,595,325 | 3,397,582 | ||||||
Brookfield WEC Holdings, Inc. | ||||||||
3.99% (LIBOR + 3.00%), 08/01/2025(1) | 5,516,726 | 5,185,722 | ||||||
Buckeye Partners, LP | ||||||||
4.27% (LIBOR + 2.75%), 11/01/2026(1) | 3,615,000 | 3,296,880 | ||||||
Caesars Resort Collection LLC | ||||||||
3.74% (LIBOR + 2.75%), 12/23/2024(1) | 6,011,323 | 4,833,103 |
Calpine Corp. | ||||||||
3.24% (LIBOR + 2.25%), 04/05/2026(1) | 4,565,500 | 4,325,811 | ||||||
Camelot U.S. Acquisition 1 Co. | ||||||||
4.24% (LIBOR + 3.25%), 10/30/2026(1) | 3,940,125 | 3,703,718 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.24% (LIBOR + 2.25%), 05/18/2026(1) | 3,870,900 | 3,735,418 | ||||||
CCC Information Services, Inc. | ||||||||
3.75% (LIBOR + 2.75%), 04/29/2024(1) | 5,441,432 | 4,936,141 | ||||||
CenturyLink, Inc. | ||||||||
2.99% (LIBOR + 2.00%), 01/31/2025(1) | 1,481,250 | 1,357,817 | ||||||
3.24% (LIBOR + 2.25%), 03/15/2027(1) | 2,087,668 | 1,937,627 | ||||||
CEOC LLC | ||||||||
2.99% (LIBOR + 2.00%), 10/07/2024(1) | 504,835 | 408,074 | ||||||
Ceridian HCM Holding, Inc. | ||||||||
3.49% (LIBOR + 2.50%), 04/30/2025(1) | 4,424,751 | 4,203,514 | ||||||
Change Healthcare Holdings, Inc. | ||||||||
3.50% (LIBOR + 2.50%), 03/01/2024(1) | 1,967,248 | 1,849,213 | ||||||
Charter Communications Operating LLC | ||||||||
2.74% (LIBOR + 1.75%), 02/01/2027(1) | 7,477,839 | 7,147,543 | ||||||
Charter NEX US, Inc. | ||||||||
4.49% (LIBOR + 3.50%), 05/16/2024(1) | 7,096,164 | 6,138,182 | ||||||
Churchill Downs, Inc. | ||||||||
2.99% (LIBOR + 2.00%), 12/27/2024(1) | 491,206 | 429,805 | ||||||
Claros Mortgage Trust, Inc. | ||||||||
4.26% (LIBOR + 3.25%), 08/09/2026(1) | 1,840,750 | 1,417,377 | ||||||
Clean Harbors, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 06/28/2024(1) | 491,162 | 445,881 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
4.49% (LIBOR + 3.50%), 08/21/2026(1) | 3,900,342 | 3,276,287 | ||||||
CommScope, Inc. | ||||||||
4.24% (LIBOR + 3.25%), 04/06/2026(1) | 2,885,500 | 2,712,370 | ||||||
Core & Main, LP | ||||||||
4.33% (LIBOR + 2.75%), 08/01/2024(1) | 97,750 | 85,776 | ||||||
CPI Holdco LLC | ||||||||
5.70% (LIBOR + 4.25%), 11/04/2026(1) | 5,222,992 | 4,491,773 | ||||||
CSC Holdings LLC | ||||||||
2.86% (LIBOR + 2.25%), 07/17/2025(1) | 3,940,346 | 3,749,910 | ||||||
2.86% (LIBOR + 2.25%), 01/15/2026(1) | 7,350,750 | 7,019,966 | ||||||
3.11% (LIBOR + 2.50%), 04/15/2027(1) | 4,946,250 | 4,715,408 | ||||||
Dell International LLC | ||||||||
2.68% (LIBOR + 1.75%), 03/13/2024(1) | 1,293,750 | 1,209,656 | ||||||
2.99% (LIBOR + 2.00%), 09/19/2025(1) | 94,763 | 90,084 | ||||||
Delos Finance SARL |
3.20% (LIBOR + 1.75%), 10/06/2023(1) | 2,190,000 | 1,965,525 | ||||||
Diamond Resorts International, Inc. | ||||||||
4.75% (LIBOR + 3.75%), 09/02/2023(1) | 6,335,056 | 4,276,163 | ||||||
Dubai World Corp. | ||||||||
2.50% (LIBOR + 1.73%), 09/30/2022(1) | 7,248,847 | 6,886,404 | ||||||
Dun & Bradstreet Corp. | ||||||||
4.96% (LIBOR + 4.00%), 02/06/2026(1) | 2,700,000 | 2,419,875 | ||||||
Dynasty Acquisition Co., Inc. | ||||||||
4.95% (LIBOR + 3.50%), 04/06/2026(1) | 2,586,622 | 2,046,664 | ||||||
4.95% (LIBOR + 3.50%), 04/06/2026(1) | 4,811,116 | 3,806,796 | ||||||
Eastern Power LLC | ||||||||
4.75% (LIBOR + 3.75%), 10/02/2025(1) | 4,821,331 | 4,150,347 | ||||||
Elanco Animal Health, Inc. | ||||||||
0.00%, 02/04/2027 | 18,185,000 | 17,184,825 | ||||||
Energizer Holdings, Inc. | ||||||||
3.88% (LIBOR + 2.25%), 12/17/2025(1) | 1,049,647 | 976,171 | ||||||
Envision Healthcare Corp. | ||||||||
4.74% (LIBOR + 3.75%), 10/10/2025(1) | 4,731,019 | 2,389,165 | ||||||
ExamWorks Group, Inc. | ||||||||
4.32% (LIBOR + 3.25%), 07/27/2023(1) | 2,410,162 | 2,157,095 | ||||||
Filtration Group Corp. | ||||||||
3.99% (LIBOR + 3.00%), 03/31/2025(1) | 10,937,139 | 9,446,954 | ||||||
Forest City Enterprises, LP | ||||||||
4.49% (LIBOR + 3.50%), 12/08/2025(1) | 790,000 | 671,500 | ||||||
Four Seasons Holdings, Inc. | ||||||||
2.99% (LIBOR + 2.00%), 11/30/2023(1) | 628,376 | 565,539 | ||||||
Froneri International Ltd. | ||||||||
3.24% (LIBOR + 2.25%), 01/29/2027(1) | 1,365,000 | 1,293,337 | ||||||
Frontier Communications Corp. | ||||||||
5.35% (LIBOR + 3.75%), 06/15/2024(1) | 3,233,376 | 3,059,065 | ||||||
Gentiva Health Services, Inc. | ||||||||
4.25% (LIBOR + 3.25%), 07/02/2025(1) | 316,000 | 295,460 | ||||||
GFL Environmental Inc. | ||||||||
0.00%, 05/30/2025 | 5,617,559 | 5,420,945 | ||||||
Go Daddy Operating Co. LLC | ||||||||
2.74% (LIBOR + 1.75%), 02/15/2024(1) | 2,501,299 | 2,379,361 | ||||||
Gray Television, Inc. | ||||||||
4.02% (LIBOR + 2.50%), 01/02/2026(1) | 509,786 | 472,062 | ||||||
Grifols Worldwide Operations Ltd. | ||||||||
0.00%, 11/15/2027 | 498,750 | 470,072 | ||||||
HCA, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 03/13/2025(1) | 3,195,677 | 3,017,262 | ||||||
Hertz Corp. |
3.74% (LIBOR + 2.75%), 06/30/2023(1) | 505,449 | 355,078 | ||||||
Hilton Worldwide Finance LLC | ||||||||
2.70% (LIBOR + 1.75%), 06/22/2026(1) | 7,631,741 | 7,211,995 | ||||||
Hostess Brands LLC | ||||||||
0.00%, 08/03/2025 | 1,695,742 | 1,568,562 | ||||||
HUB International Ltd. | ||||||||
4.54% (LIBOR + 2.75%), 04/25/2025(1) | 5,994,286 | 5,568,691 | ||||||
5.69% (LIBOR + 4.00%), 04/25/2025(1) | 2,379,038 | 2,230,348 | ||||||
Hyland Software, Inc. | ||||||||
4.24% (LIBOR + 3.25%), 07/01/2024(1) | 1,255,705 | 1,161,527 | ||||||
Ineos Finance Plc | ||||||||
2.50% (EURIBOR + 2.00%), 04/01/2024(1) | EUR | 5,969,466 | 5,918,767 | |||||
Intelsat Jackson Holdings SA | ||||||||
5.68% (LIBOR + 3.75%), 11/27/2023(1) | $ | 13,900,000 | 12,666,375 | |||||
IPS Acquisition LLC | ||||||||
4.25% (LIBOR + 3.25%), 11/07/2024(1) | 543,425 | 423,871 | ||||||
IQVIA, Inc. | ||||||||
0.00%, 06/11/2025 | 1,246,827 | 1,184,486 | ||||||
2.74% (LIBOR + 1.75%), 01/17/2025(1) | 736,776 | 664,329 | ||||||
IRB Holding Corp. | ||||||||
3.75% (LIBOR + 2.75%), 02/05/2025(1) | 98,000 | 75,277 | ||||||
Iridium Satellite LLC | ||||||||
4.75% (LIBOR + 3.75%), 11/04/2026(1) | 5,725,000 | 5,381,500 | ||||||
Jaguar Holding Co. I LLC | ||||||||
3.50% (LIBOR + 2.50%), 08/18/2022(1) | 9,282,630 | 8,835,114 | ||||||
KAR Auction Services, Inc. | ||||||||
3.19% (LIBOR + 2.25%), 09/19/2026(1) | 547,250 | 503,470 | ||||||
KFC Holding Co. | ||||||||
2.36% (LIBOR + 1.75%), 04/03/2025(1) | 13,850,782 | 13,054,362 | ||||||
Kronos, Inc. | ||||||||
4.76% (LIBOR + 3.00%), 11/01/2023(1) | 9,211,647 | 8,361,504 | ||||||
10.01% (LIBOR + 8.25%), 11/01/2024(1) | 450,000 | 412,200 | ||||||
Lake Road Generating Company, LP | ||||||||
0.00%, 02/22/2049 | 4,550,000 | 4,823,000 | ||||||
Lamar Media Corp. | ||||||||
2.52% (LIBOR + 1.50%), 02/05/2027(1) | 3,160,000 | 2,994,100 | ||||||
Level 3 Financing, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 03/01/2027(1) | 11,790,353 | 10,965,028 | ||||||
LifePoint Health, Inc. | ||||||||
4.74% (LIBOR + 3.75%), 11/16/2025(1) | 8,151,741 | 7,525,117 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 08/29/2025(1) | 2,641,131 | 2,297,784 | ||||||
McDermott International, Inc. |
7.25% (LIBOR + 4.00%), 05/09/2025(1) | 3,621,017 | 1,025,943 | ||||||
McDermott Technology, Inc. | ||||||||
10.65% (LIBOR + 9.00%), 10/23/2020(1) | 2,908,458 | 2,626,338 | ||||||
10.72% (LIBOR + 9.00%), 10/21/2020(1) | 3,578,236 | 3,231,147 | ||||||
Meredith Corp. | ||||||||
3.49% (LIBOR + 2.50%), 01/31/2025(1) | 57,874 | 50,857 | ||||||
Messer Industries GmbH | ||||||||
3.95% (LIBOR + 2.50%), 03/02/2026(1) | 4,178,453 | 3,693,752 | ||||||
Micro Holdings Corp. | ||||||||
4.82% (LIBOR + 3.75%), 09/13/2024(1) | 302,250 | 254,192 | ||||||
Microchip Technology, Inc. | ||||||||
2.99% (LIBOR + 2.00%), 05/29/2025(1) | 1,573,961 | 1,511,002 | ||||||
Mission Broadcasting, Inc. | ||||||||
3.83% (LIBOR + 2.25%), 01/17/2024(1) | 298,324 | 277,441 | ||||||
MPH Acquisition Holdings LLC | ||||||||
4.20% (LIBOR + 2.75%), 06/07/2023(1) | 1,642,681 | 1,446,923 | ||||||
Nascar Holdings, Inc. | ||||||||
3.67% (LIBOR + 2.75%), 10/19/2026(1) | 730,360 | 636,874 | ||||||
Neiman Marcus Group LLC Ltd. | ||||||||
6.52% (LIBOR + 5.50%), 10/25/2023(1) | 12,912,790 | 4,519,476 | ||||||
7.50% (LIBOR + 6.00%), 10/25/2023(1) | 3,384,213 | 1,331,113 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
3.19% (LIBOR + 2.25%), 01/17/2024(1) | 1,156,689 | 1,075,721 | ||||||
Nouryon Finance BV | ||||||||
3.86% (LIBOR + 3.00%), 10/01/2025(1) | 1,552,876 | 1,382,060 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.12% (LIBOR + 2.25%), 12/31/2020(1) | 20,028,922 | 19,394,606 | ||||||
Panther BF Aggregator 2, LP | ||||||||
4.44% (LIBOR + 3.50%), 04/30/2026(1) | 5,213,800 | 4,744,558 | ||||||
PAREXEL International Corp. | ||||||||
3.74% (LIBOR + 2.75%), 09/27/2024(1) | 4,088,065 | 3,469,745 | ||||||
Penn National Gaming, Inc. | ||||||||
3.24% (LIBOR + 2.25%), 10/15/2025(1) | 493,750 | 369,429 | ||||||
PetSmart, Inc. | ||||||||
5.00% (LIBOR + 4.00%), 03/11/2022(1) | 32,522,970 | 31,104,318 | ||||||
Pike Corp. | ||||||||
4.24% (LIBOR + 3.25%), 07/24/2026(1) | 2,750,000 | 2,543,750 | ||||||
Ply Gem Midco, Inc. | ||||||||
4.56% (LIBOR + 3.75%), 04/12/2025(1) | 1,150,481 | 972,156 | ||||||
PODS LLC | ||||||||
3.75% (LIBOR + 2.75%), 12/06/2024(1) | 751,516 | 665,092 | ||||||
PQ Corp. | ||||||||
4.03% (LIBOR + 2.25%), 02/07/2027(1) | 3,314,926 | 3,041,445 |
Prime Security Services Borrower LLC | ||||||||
4.61% (LIBOR + 3.25%), 09/23/2026(1) | 1,925,069 | 1,719,087 | ||||||
Qatar National Bank SAQ | ||||||||
2.80% (LIBOR + 0.90%), 12/22/2020(1) | 2,650,000 | 2,643,375 | ||||||
Refinitiv U.S. Holdings, Inc. | ||||||||
4.24% (LIBOR + 3.25%), 10/01/2025(1) | 9,102,328 | 8,700,279 | ||||||
Reynolds Consumer Products LLC | ||||||||
3.50% (LIBOR + 1.75%), 02/04/2027(1) | 4,900,000 | 4,591,300 | ||||||
Reynolds Group Holdings, Inc. | ||||||||
3.74% (LIBOR + 2.75%), 02/05/2023(1) | 3,758,261 | 3,542,161 | ||||||
SBA Senior Finance II LLC | ||||||||
2.74% (LIBOR + 1.75%), 04/11/2025(1) | 1,572,000 | 1,482,396 | ||||||
Scientific Games International, Inc. | ||||||||
4.25% (LIBOR + 2.75%), 08/14/2024(1) | 4,110,362 | 3,301,977 | ||||||
Sequa Mezzanine Holdings LLC | ||||||||
6.74% (LIBOR + 5.00%), 11/28/2021(1) | 8,652,085 | 6,900,038 | ||||||
10.77% (LIBOR + 9.00%), 04/28/2022(1) | 660,000 | 462,000 | ||||||
Servicemaster Company LLC | ||||||||
2.74% (LIBOR + 1.75%), 11/05/2026(1) | 1,291,763 | 1,223,299 | ||||||
Sigma Holdco BV | ||||||||
3.50% (EURIBOR + 3.50%), 07/02/2025(1) | EUR | 690,000 | 689,467 | |||||
Simply Good Foods USA, Inc. | ||||||||
4.55% (LIBOR + 3.75%), 07/07/2024(1) | $ | 1,153,692 | 1,058,512 | |||||
Sinclair Television Group, Inc. | ||||||||
3.21% (LIBOR + 2.50%), 09/30/2026(1) | 633,815 | 595,786 | ||||||
Solera LLC | ||||||||
4.36% (LIBOR + 2.75%), 03/03/2023(1) | 4,564,341 | 4,256,248 | ||||||
Sprint Communications, Inc. | ||||||||
3.50% (LIBOR + 2.50%), 02/02/2024(1) | 7,732,071 | 7,674,080 | ||||||
4.00% (LIBOR + 3.00%), 02/02/2024(1) | 370,313 | 367,535 | ||||||
SS&C Technologies Holdings, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 04/16/2025(1) | 432,654 | 403,449 | ||||||
2.74% (LIBOR + 1.75%), 04/16/2025(1) | 595,760 | 555,546 | ||||||
Stars Group Holdings BV | ||||||||
4.95% (LIBOR + 3.50%), 07/10/2025(1) | 2,043,541 | 1,943,060 | ||||||
Station Casinos LLC | ||||||||
3.24% (LIBOR + 2.25%), 02/08/2027(1) | 2,200,553 | 1,864,969 | ||||||
Summit Materials LLC | ||||||||
2.99% (LIBOR + 2.00%), 11/21/2024(1) | 3,249,294 | 2,813,889 | ||||||
Sunshine Luxembourg VII SARL | ||||||||
3.75% (EURIBOR + 3.75%), 10/01/2026(1) | EUR | 1,000,000 | 981,581 | |||||
Syniverse Holdings, Inc. | ||||||||
6.87% (LIBOR + 5.00%), 03/09/2023(1) | $ | 462,178 | 295,794 |
Telenet Financing USD LLC | ||||||||
2.70% (LIBOR + 2.00%), 04/30/2028(1) | 1,250,000 | 1,138,750 | ||||||
Trans Union LLC | ||||||||
2.74% (LIBOR + 1.75%), 11/16/2026(1) | 2,362,668 | 2,255,166 | ||||||
TransDigm, Inc. | ||||||||
3.24% (LIBOR + 2.25%), 05/30/2025(1) | 1,239,337 | 1,124,698 | ||||||
Tronox Finance LLC | ||||||||
3.93% (LIBOR + 2.75%), 09/23/2024(1) | 126,482 | 110,129 | ||||||
Uber Technologies, Inc. | ||||||||
4.49% (LIBOR + 3.50%), 07/13/2023(1) | 422,544 | 392,121 | ||||||
5.00% (LIBOR + 4.00%), 04/04/2025(1) | 2,803,251 | 2,588,326 | ||||||
UFC Holdings LLC | ||||||||
4.25% (LIBOR + 3.25%), 04/29/2026(1) | 10,546,739 | 9,175,663 | ||||||
Univision Communications, Inc. | ||||||||
3.75% (LIBOR + 2.75%), 03/15/2024(1) | 4,280,701 | 3,606,490 | ||||||
USI, Inc. | ||||||||
4.99% (LIBOR + 4.00%), 12/02/2026(1) | 608,475 | 543,569 | ||||||
Vertiv Group Corp. | ||||||||
4.58% (LIBOR + 3.00%), 03/02/2027(1) | 2,225,000 | 1,913,500 | ||||||
VICI Properties 1 LLC | ||||||||
0.00%, 12/20/2024 | 500,000 | 458,125 | ||||||
Wand Newco 3, Inc. | ||||||||
4.07% (LIBOR + 3.00%), 02/05/2026(1) | 1,861,335 | 1,656,588 | ||||||
Weight Watchers International, Inc. | ||||||||
6.72% (LIBOR + 4.75%), 11/29/2024(1) | 888,011 | 825,850 | ||||||
Welbilt, Inc. | ||||||||
3.49% (LIBOR + 2.50%), 10/23/2025(1) | 3,445,000 | 2,645,484 | ||||||
West Corp. | ||||||||
5.45% (LIBOR + 4.00%), 10/10/2024(1) | 76,096 | 56,749 | ||||||
Western Digital Corp. | ||||||||
3.10% (LIBOR + 1.50%), 02/27/2023(1) | 4,182,692 | 3,868,990 | ||||||
3.35% (LIBOR + 1.75%), 04/29/2023(1) | 3,272,535 | 3,141,634 | ||||||
Whatabrands LLC | ||||||||
3.77% (LIBOR + 2.75%), 07/31/2026(1) | 231,836 | 190,203 | ||||||
Windstream Services LLC | ||||||||
0.00%, 03/29/2021 | 405,000 | 249,075 | ||||||
7.50% (LIBOR + 4.25%), 02/17/2024(1) | 48,000 | 28,560 | ||||||
Wink Holdco, Inc. | ||||||||
4.45% (LIBOR + 3.00%), 12/02/2024(1) | 1,970,629 | 1,653,358 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
2.74% (LIBOR + 1.75%), 05/30/2025(1) | 197,000 | 172,129 | ||||||
Zayo Group Holdings, Inc. | ||||||||
0.00%, 03/09/2027 | 5,120,000 | 4,812,800 | ||||||
|
| |||||||
Total Bank Loans (Cost: $584,079,351) | 524,420,746 | |||||||
|
|
Shares | Value | |||||||
COMMON STOCKS – 0.03% | ||||||||
Communications – 0.02% | ||||||||
Clear Channel Outdoor Holdings, Inc. - Class A(13) | 2,064,946 | 1,321,565 | ||||||
iHeartMedia, Inc. - Class A(13) | 139,553 | 1,020,132 | ||||||
iHeartMedia, Inc. - Class B(13)(16) | 1,787 | 11,759 | ||||||
|
| |||||||
Total Communications | 2,353,456 | |||||||
|
| |||||||
Consumer, Cyclical – 0.01% | ||||||||
Caesars Entertainment Corp.(13) | 338,983 | 2,291,525 | ||||||
|
| |||||||
Total Consumer, Cyclical | 2,291,525 | |||||||
|
| |||||||
Total Common Stocks (Cost: $15,794,687) | 4,644,981 | |||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS – 0.05% | ||||||||
Consumer, Non-cyclical – 0.04% | ||||||||
Bunge Ltd., 4.88% | 82,720 | 7,692,960 | ||||||
|
| |||||||
Total Consumer, Non-cyclical | 7,692,960 | |||||||
|
| |||||||
Utilities – 0.01% | ||||||||
NextEra Energy, Inc., 5.28%(13) | 29,038 | 1,280,285 | ||||||
|
| |||||||
Total Utilities | 1,280,285 | |||||||
|
| |||||||
Total Convertible Preferred Stocks (Cost: $9,670,675) | 8,973,245 | |||||||
|
| |||||||
WARRANTS – 0.03% | ||||||||
Communications – 0.03% | ||||||||
iHeartMedia, Inc., expires 05/01/2039(13)(16) | 723,037 | 5,285,401 | ||||||
|
| |||||||
Total Communications | 5,285,401 | |||||||
|
| |||||||
Total Warrants (Cost: $14,531,679) | 5,285,401 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 9.46% | ||||||||
Money Market Funds – 4.65% | ||||||||
Fidelity Institutional Money Market Government Fund - Class I, 0.34%(14)(15) | 855,579,267 | 855,579,267 | ||||||
|
| |||||||
Total Money Market Funds (Cost: $855,579,267) | 855,579,267 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
Commercial Paper – 0.09% | ||||||||
Ford Motor Credit Co. LLC, 3.20%, 10/14/2020(7) | $ | 17,380,000 | 16,633,503 | |||||
|
| |||||||
Total Commercial Paper (Cost: $17,086,664) | 16,633,503 | |||||||
|
| |||||||
Repurchase Agreements – 2.84% | ||||||||
Bank of America Securities, Inc., 0.00% dated 03/31/2020, due 04/02/2020, repurchase price $200,100,000 (collateralized by U.S. Treasury Bond, value $206,958,050, 4.50%, 08/15/2039) | 200,100,000 | 200,100,000 |
J.P. Morgan Securities, 0.00% dated 03/31/2020, due 04/01/2020, repurchase price $126,800,000 (collateralized by U.S. Treasury Note, value | ||||||||
$129,442,077, 2.63%, 11/15/2020) | 126,800,000 | 126,800,000 | ||||||
J.P. Morgan Securities, 0.01% dated 03/30/2020, due 04/01/2020, repurchase price $195,200,108 (collateralized by U.S. Treasury Bond, value | ||||||||
$199,579,987, 3.00%, 11/15/2044) | 195,200,000 | 195,200,000 | ||||||
|
| |||||||
Total Repurchase Agreements (Cost: $522,100,000) | 522,100,000 | |||||||
|
| |||||||
U.S. Treasury Bills – 1.72% | ||||||||
U.S. Treasury Bill, 0.00%, 04/14/2020 | 24,045,000 | 24,044,465 | ||||||
U.S. Treasury Bill, 0.00%, 04/16/2020 | 15,735,000 | 15,734,521 | ||||||
U.S. Treasury Bill, 0.00%, 04/23/2020 | 20,000,000 | 19,999,526 | ||||||
U.S. Treasury Bill, 0.00%, 04/30/2020 | 25,580,000 | 25,578,712 | ||||||
U.S. Treasury Bill, 0.00%, 05/07/2020 | 46,000,000 | 45,996,711 | ||||||
U.S. Treasury Bill, 0.00%, 06/11/2020(10) | 12,026,000 | 12,023,267 | ||||||
U.S. Treasury Bill, 0.00%, 06/18/2020(10) | 814,000 | 813,799 | ||||||
U.S. Treasury Bill, 0.00%, 07/16/2020 | 80,250,000 | 80,226,371 | ||||||
U.S. Treasury Bill, 0.00%, 07/23/2020 | 76,730,000 | 76,704,410 | ||||||
U.S. Treasury Bill, 0.00%, 09/10/2020 | 12,229,000 | 12,221,488 | ||||||
U.S. Treasury Bill, 0.00%, 01/28/2021 | 3,000,000 | 2,996,879 | ||||||
|
| |||||||
Total U.S. Treasury Bills (Cost: $315,507,842) | 316,340,149 | |||||||
|
| |||||||
Time Deposits – 0.16% | ||||||||
ANZ, London, 0.15% due 04/01/2020 | 10,329,917 | 10,329,917 | ||||||
BBVA, Madrid, 0.15% due 04/01/2020 | 3,557,380 | 3,557,380 | ||||||
Brown Brothers Harriman, -0.65% due 04/01/2020 | EUR | 9,276 | 10,232 | |||||
Brown Brothers Harriman, -0.27% due 04/01/2020 | JPY | 84,940 | 790 | |||||
Brown Brothers Harriman, -0.11% due 04/01/2020 | SEK | 387 | 39 | |||||
Brown Brothers Harriman, 0.02% due 04/01/2020 | AUD | 1,253,878 | 771,261 | |||||
Brown Brothers Harriman, 0.04% due 04/01/2020 | CAD | 1,167,014 | 829,257 | |||||
Brown Brothers Harriman, 0.35% due 04/01/2020 | NZD | 295 | 176 | |||||
Citibank, London, -0.65% due 04/01/2020 | EUR | 659,398 | 727,250 | |||||
Citibank, London, 0.03% due 04/01/2020 | GBP | 527,729 | 655,492 | |||||
Citibank, New York, 0.15% due 04/01/2020 | $ | 11,824,167 | 11,824,167 | |||||
ING Bank, Amsterdam, -1.86% due 04/01/2020 | CHF | 120,417 | 125,108 | |||||
ING Bank, Amsterdam, 0.15% due 04/01/2020 | $ | 983,354 | 983,354 | |||||
|
| |||||||
Total Time Deposits (Cost: $29,814,423) | 29,814,423 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $1,740,088,196) | 1,740,467,342 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 108.61% (Cost: $20,223,892,088) | 19,972,293,057 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.61)% | (1,583,126,611 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 18,389,166,446 | ||||||
|
|
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NZD New Zealand Dollar
PEN Peruvian Sol
SEK Swedish Krona
(1) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of March 31, 2020. |
(2) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $4,348,578,112, which represents 23.65% of total net assets. |
(3) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of March 31, 2020. |
(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) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
(6) | Security in default as of March 31, 2020. The value of these securities total $53,518,842, which represents 0.29% of total net assets. |
(7) | Security that is restricted at March 31, 2020. The value of the restricted security totals $40,767,219, which represents 0.22% of total net assets. |
(8) | Amount calculated is less than 0.005%. |
(9) | Inflation protected security. The value of these securities total $264,098,185, which represents 1.44% of total net assets. |
(10) | Assigned as collateral for certain future and swap contracts. The value of these pledged issues totals $158,669,137, which represents 0.86% of total net assets. |
(11) | All or a portion of U.S. Treasuries purchased in a sale-buyback transaction. The value of these securities total $177,736,203, which represents 0.97% of total net assets. |
(12) | Delayed delivery purchase commitment security. The value of these securities total $876,410,565, which represents 4.77% of total net assets. |
(13) | Non-income producing security. |
(14) | Represents annualized seven-day yield as of the close of the reporting period. |
(15) | Partially assigned as collateral for certain delayed delivery securities. |
(16) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $7,978,696 or 0.04% of the Fund’s net assets. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
Number of Contracts Purchased | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
275 | Australian 10 Year Bond Future | Goldman Sachs | Jun. 2020 | AUD | 41,350,719 | $ | 25,476,186 | $ | 41,362 | |||||||||||
211 | Euro-Btp Future | Goldman Sachs | Jun. 2020 | EUR | 30,210,790 | 32,907,787 | (411,690 | ) | ||||||||||||
9,516 | U.S. 10 Year Note Future | Goldman Sachs | Jun. 2020 | $ | 1,268,598,810 | 1,319,750,250 | 51,151,440 | |||||||||||||
213 | U.S. 10 Year Note Future | Citigroup Global Markets | Jun. 2020 | 32,352,355 | 33,234,656 | 882,301 | ||||||||||||||
4,853 | U.S. 5 Year Note Future | Citigroup Global Markets | Jun. 2020 | 596,730,486 | 608,369,047 | 11,638,561 | ||||||||||||||
1,689 | U.S. 5 Year Note Future | Goldman Sachs | Jun. 2020 | 336,238,015 | 374,746,875 | 38,508,860 | ||||||||||||||
1,464 | U.S. Long Bond June Futures | Goldman Sachs | Jun. 2020 | 265,945,327 | 262,147,500 | (3,797,827 | ) | |||||||||||||
63 | U.S. Treasury2-Year Notes June Futures | Citigroup Global Markets | Jun. 2020 | 13,866,771 | 13,884,117 | 17,346 | ||||||||||||||
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| |||||||||||||||||||
$ | 98,030,353 | |||||||||||||||||||
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Number of Contracts Sold | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
(1,255) | U.S. 10 Year Note Future | Goldman Sachs | Jun. 2020 | $ | (184,735,120 | ) | $ | (195,819,219 | ) | $ | (11,084,099 | ) | ||||||||
(783) | U.S. 5 Year Note Future | Goldman Sachs | Jun. 2020 | (98,318,315 | ) | (98,156,391 | ) | 161,924 | ||||||||||||
(28) | U.S. Treasury2-Year Notes June Futures | Goldman Sachs | Jun. 2020 | (6,165,325 | ) | (6,170,719 | ) | (5,394 | ) | |||||||||||
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$ | (10,927,569 | ) | ||||||||||||||||||
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$ | 87,102,784 | |||||||||||||||||||
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Over-the-Counter Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
AUD | 4,580,000 | USD | 2,683,800 | 04/02/20 | Goldman Sachs | $ | 133,357 | |||||||||||||
BRL | 255,683,600 | USD | 49,182,219 | 04/02/20 | Deutsche Bank | 24,610 | ||||||||||||||
EUR | 10,297,000 | USD | 11,204,912 | 04/02/20 | Bank Of America | 151,643 | ||||||||||||||
EUR | 17,256,000 | USD | 18,679,364 | 04/02/20 | BNP Paribas | 352,269 | ||||||||||||||
EUR | 3,058,000 | USD | 3,273,510 | 04/02/20 | J.P. Morgan | 99,156 | ||||||||||||||
EUR | 2,347,000 | USD | 2,539,129 | 04/02/20 | Morgan Stanley | 49,376 | ||||||||||||||
GBP | 343,092,000 | USD | 424,210,036 | 04/02/20 | BNP Paribas | 1,944,620 | ||||||||||||||
GBP | 1,231,000 | USD | 1,492,552 | 04/02/20 | J.P. Morgan | 36,473 | ||||||||||||||
GBP | 1,684,000 | USD | 2,063,003 | 04/02/20 | Morgan Stanley | 28,694 | ||||||||||||||
GBP | 1,117,000 | USD | 1,381,856 | 05/04/20 | BNP Paribas | 6,583 | ||||||||||||||
RUB* | 657,695,751 | USD | 8,295,127 | 04/30/20 | J.P. Morgan | 94,407 | ||||||||||||||
RUB* | 2,659,197,498 | USD | 32,972,051 | 05/20/20 | Goldman Sachs | 840,706 | ||||||||||||||
USD | 450,035,100 | GBP | 349,027,000 | 04/02/20 | Bank Of America | 16,508,578 | ||||||||||||||
USD | 1,967,822 | AUD | 3,193,000 | 04/02/20 | BNP Paribas | 3,807 | ||||||||||||||
USD | 18,812,573 | EUR | 16,866,000 | 04/02/20 | BNP Paribas | 211,072 | ||||||||||||||
USD | 49,840,858 | BRL | 255,683,600 | 04/02/20 | Deutsche Bank | 634,030 | ||||||||||||||
USD | 4,343,637 | EUR | 3,888,000 | 04/02/20 | Goldman Sachs | 55,564 | ||||||||||||||
USD | 1,680,999 | EUR | 1,478,000 | 04/02/20 | J.P. Morgan | 50,913 | ||||||||||||||
USD | 2,339,165 | AUD | 3,556,000 | 04/02/20 | Morgan Stanley | 151,870 | ||||||||||||||
USD | 1,193,919 | GBP | 912,000 | 04/02/20 | Morgan Stanley | 61,123 | ||||||||||||||
USD | 449,915 | MXN | 10,234,000 | 04/13/20 | J.P. Morgan | 19,414 | ||||||||||||||
USD | 3,984,582 | TRY | 25,234,876 | 04/14/20 | BNP Paribas | 181,659 | ||||||||||||||
USD | 3,984,582 | TRY | 25,218,419 | 04/14/20 | Goldman Sachs | 184,139 | ||||||||||||||
USD | 498,268 | TRY | 3,155,731 | 04/15/20 | BNP Paribas | 22,851 | ||||||||||||||
USD | 251,676 | TRY | 1,596,884 | 04/15/20 | Morgan Stanley | 11,102 | ||||||||||||||
USD | 9,746,743 | ILS | 33,630,161 | 04/23/20 | Bank Of America | 244,080 | ||||||||||||||
USD | 6,500,843 | ILS | 22,420,108 | 04/23/20 | Citigroup Global Markets | 165,735 | ||||||||||||||
USD | 9,756,498 | ILS | 33,630,161 | 04/23/20 | Morgan Stanley | 253,835 | ||||||||||||||
USD | 8,556,283 | PEN* | 28,785,047 | 04/30/20 | BNP Paribas | 179,300 | ||||||||||||||
USD | 13,414,302 | CAD | 17,787,000 | 05/15/20 | Morgan Stanley | 769,393 | ||||||||||||||
USD | 21,549,197 | NZD | 33,217,000 | 05/15/20 | Morgan Stanley | 1,735,446 | ||||||||||||||
USD | 13,110,984 | CAD | 17,615,000 | 06/17/20 | BNP Paribas | 584,949 | ||||||||||||||
USD | 7,907,790 | BRL | 33,000,000 | 07/02/20 | J.P. Morgan | 1,592,112 | ||||||||||||||
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| |||||||||||||||||||
Total Unrealized Appreciation | 27,382,866 | |||||||||||||||||||
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| |||||||||||||||||||
AUD | 2,598,000 | USD | 1,720,731 | 04/02/20 | BNP Paribas | (122,701 | ) | |||||||||||||
BRL | 255,683,600 | USD | 58,280,778 | 04/02/20 | Goldman Sachs | (9,073,950 | ) | |||||||||||||
BRL* | 255,683,600 | USD | 49,777,689 | 05/05/20 | Deutsche Bank | (682,542 | ) | |||||||||||||
BRL | 33,000,000 | USD | 6,343,104 | 07/02/20 | BNP Paribas | (27,426 | ) | |||||||||||||
CAD | 1,358,000 | USD | 1,021,000 | 05/15/20 | Bank Of America | (55,587 | ) | |||||||||||||
EUR | 8,172,000 | USD | 9,134,893 | 04/02/20 | BNP Paribas | (121,999 | ) | |||||||||||||
GBP | 6,410,000 | USD | 8,092,095 | 04/02/20 | BNP Paribas | (130,232 | ) | |||||||||||||
IDR* | 402,636,139,000 | USD | 28,997,921 | 06/17/20 | Morgan Stanley | (4,620,749 | ) | |||||||||||||
ILS | 10,452,776 | USD | 3,037,697 | 04/23/20 | Bank Of America | (84,122 | ) | |||||||||||||
ILS | 34,831,491 | USD | 10,131,192 | 04/23/20 | Citigroup Global Markets | (289,077 | ) |
ILS | 12,916,242 | USD | 3,748,772 | 04/23/20 | Goldman Sachs | (99,111 | ) | |||||||||||||
ILS | 15,872,424 | USD | 4,608,049 | 04/23/20 | HSBC Bank | (123,078 | ) | |||||||||||||
ILS | 2,424,855 | USD | 704,824 | 04/23/20 | J.P. Morgan | (19,648 | ) | |||||||||||||
ILS | 13,182,643 | USD | 3,832,567 | 04/23/20 | Morgan Stanley | (107,631 | ) | |||||||||||||
INR* | 2,063,547,450 | USD | 28,515,822 | 06/17/20 | BNP Paribas | (1,687,981 | ) | |||||||||||||
MXN | 844,845,000 | USD | 44,081,323 | 04/13/20 | BNP Paribas | (8,542,226 | ) | |||||||||||||
MXN | 142,098,000 | USD | 7,434,898 | 06/17/20 | J.P. Morgan | (1,512,707 | ) | |||||||||||||
MXN | 130,520,000 | USD | 6,803,526 | 06/22/20 | Deutsche Bank | (1,367,845 | ) | |||||||||||||
TRY | 11,643,000 | USD | 1,771,014 | 04/13/20 | BNP Paribas | (15,828 | ) | |||||||||||||
TRY | 40,367,095 | USD | 6,534,371 | 04/14/20 | J.P. Morgan | (451,006 | ) | |||||||||||||
TRY | 9,838,641 | USD | 1,594,335 | 04/14/20 | Morgan Stanley | (111,641 | ) | |||||||||||||
TRY | 4,724,647 | USD | 755,260 | 04/15/20 | BNP Paribas | (43,484 | ) | |||||||||||||
USD | 49,182,219 | BRL | 255,683,600 | 04/02/20 | Goldman Sachs | (24,610 | ) | |||||||||||||
USD | 934,294 | GBP | 794,000 | 04/02/20 | Goldman Sachs | (51,933 | ) | |||||||||||||
USD | 1,600,799 | AUD | 2,710,000 | 04/02/20 | J.P. Morgan | (66,122 | ) | |||||||||||||
USD | 288,775,484 | EUR | 263,962,000 | 04/02/20 | Morgan Stanley | (2,348,051 | ) | |||||||||||||
USD | 133,599 | JPY | 14,700,000 | 04/02/20 | Morgan Stanley | (3,113 | ) | |||||||||||||
USD | 410,761,160 | GBP | 331,259,000 | 05/04/20 | BNP Paribas | (995,942 | ) | |||||||||||||
USD | 269,804,436 | EUR | 245,064,000 | 05/05/20 | J.P. Morgan | (840,370 | ) | |||||||||||||
USD | 21,330,886 | EUR | 19,550,235 | 05/22/20 | State Street | (273,804 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Unrealized Depreciation | (33,894,516 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Depreciation | $ | (6,511,650 | ) | |||||||||||||||||
|
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* | Non-deliverable forward |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
ILS | Israeli New Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
PEN | Peruvian Sol | |
RUB | Russian Ruble | |
TRY | Turkish Lira | |
USD | United States Dollar |
Centrally Cleared Credit Default Swaps – Sell Protection
Reference Entity | Fixed Annual Rate Received by Fund | Maturity Date | Implied Credit Spread at March 31, 2020 | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | |||||||||||||||||||||
AT&T Inc. | 1.00 | % | 12/20/2020 | 1.33 | % | $ | 34,600,000 | $ | 220,683 | $ | (292,770 | ) | $ | (72,087 | ) | |||||||||||||
CDX.EM.28 | 1.00 | 12/20/2022 | 0.00 | 9,894,000 | (248,638 | ) | (243,871 | ) | (492,509 | ) | ||||||||||||||||||
CDX.EM.29 | 1.00 | 6/20/2023 | 0.00 | 2,000,000 | (29,549 | ) | (131,247 | ) | (160,796 | ) | ||||||||||||||||||
CDX.EM.30 | 1.00 | 12/20/2023 | 0.00 | 8,400,000 | (360,443 | ) | (398,386 | ) | (758,829 | ) | ||||||||||||||||||
CDX.EM.31 | 1.00 | 6/20/2024 | 0.00 | 9,200,000 | (336,360 | ) | (539,602 | ) | (875,962 | ) | ||||||||||||||||||
CDX.NA.IG.33 | 1.00 | 12/20/2024 | 0.00 | 26,768,000 | 539,106 | (431,271 | ) | 107,835 | ||||||||||||||||||||
AT&T Inc. | 1.00 | 12/20/2024 | 1.98 | 12,100,000 | 113,269 | (579,457 | ) | (466,188 | ) | |||||||||||||||||||
CDX.EM.32 | 1.00 | 12/20/2024 | 0.00 | 17,900,000 | (853,750 | ) | (1,185,302 | ) | (2,039,052 | ) | ||||||||||||||||||
CDX.NA.IG.33 | 1.00 | 12/20/2024 | 0.00 | 163,185,000 | 3,601,366 | (3,663,253 | ) | (61,887 | ) | |||||||||||||||||||
CDX.NA.HY.33 | 5.00 | 12/20/2024 | 0.00 | 11,760,000 | 766,164 | (825,298 | ) | (59,134 | ) | |||||||||||||||||||
CDX.NA.HY.33 | 5.00 | 12/20/2024 | 0.00 | 48,020,000 | 3,259,562 | (6,107,239 | ) | (2,847,677 | ) | |||||||||||||||||||
CDX.EM.33 | 1.00 | 6/20/2025 | 0.00 | 2,900,000 | (322,450 | ) | (4,471 | ) | (326,921 | ) | ||||||||||||||||||
CDX.NA.HY.34 | 5.00 | 6/20/2025 | 0.00 | 68,300,000 | (4,029,700 | ) | (111,423 | ) | (4,141,123 | ) | ||||||||||||||||||
General Electric Co. | 1.00 | 12/20/2023 | 1.95 | 700,000 | (26,525 | ) | 3,309 | (23,216 | ) | |||||||||||||||||||
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$ | 2,292,735 | $ | (14,510,281 | ) | $ | (12,217,546 | ) | |||||||||||||||||||||
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Over-the-Counter Credit Default Swaps – Sell Protection
Counterparty | Reference Entity | Fixed Annual Rate Received by Fund | Maturity Date | Implied Credit Spread at March 31, 2020 | Notional Amount | Upfront Premium Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Value | ||||||||||||||||||||||
Deutsche Bank | CMBX.NA.AAA.10 | 0.50 | % | 11/17/2059 | 0.00 | % | $ | 16,450,000 | $ | (271,054 | ) | $ | 90,644 | $ | (180,410 | ) | ||||||||||||||
J.P. Morgan | Argentine Republic | 5.00 | 6/20/2023 | 304.44 | 200,000 | 1,048 | (147,843 | ) | (146,795 | ) | ||||||||||||||||||||
J.P. Morgan | Barclays Bank Plc | 1.00 | 6/20/2024 | 1.12 | EUR | 1,000,000 | 11,368 | (16,374 | ) | (5,006 | ) | |||||||||||||||||||
Bank of America | Boeing Co. | 1.00 | 12/20/2021 | 4.58 | $ | 12,300,000 | 126,824 | (837,784 | ) | (710,960 | ) | |||||||||||||||||||
Goldman Sachs | Brazilian Government International | 1.00 | 12/20/2024 | 2.50 | 3,200,000 | (47,305 | ) | (161,147 | ) | (208,452 | ) | |||||||||||||||||||
Barclays Bank | Colombia Government International | 1.00 | 6/20/2025 | 2.25 | 21,495,000 | (1,397,750 | ) | 107,218 | (1,290,532 | ) | ||||||||||||||||||||
Bank of America | Colombia Government International | 1.00 | 6/20/2025 | 2.25 | 10,335,000 | (440,402 | ) | (180,097 | ) | (620,499 | ) | |||||||||||||||||||
Goldman Sachs | Colombia Government International | 1.00 | 6/20/2025 | 2.25 | 21,350,000 | (1,289,887 | ) | 8,061 | (1,281,826 | ) | ||||||||||||||||||||
Morgan Stanley | Colombia Government International | 1.00 | 6/20/2025 | 2.25 | 6,940,000 | (467,200 | ) | 50,532 | (416,668 | ) | ||||||||||||||||||||
Morgan Stanley | Colombia Government International | 1.00 | 6/20/2025 | 2.25 | 11,000,000 | (1,159,391 | ) | 498,965 | (660,426 | ) | ||||||||||||||||||||
Barclays Bank | Devon Energy Corp. | 1.00 | 12/20/2024 | 4.28 | 455,000 | 206 | (58,711 | ) | (58,505 | ) | ||||||||||||||||||||
Morgan Stanley | Devon Energy Corp. | 1.00 | 12/20/2024 | 4.28 | 525,000 | — | (67,506 | ) | (67,506 | ) | ||||||||||||||||||||
Morgan Stanley | Devon Energy Corp. | 1.00 | 12/20/2024 | 4.28 | 1,170,000 | (7,254 | ) | (143,189 | ) | (150,443 | ) | |||||||||||||||||||
Goldman Sachs | Federative Republic of Brazil | 1.00 | 6/20/2024 | 2.32 | 300,000 | (8,382 | ) | (7,178 | ) | (15,560 | ) | |||||||||||||||||||
Barclays Bank | General Electric Co. | 1.00 | 12/20/2020 | 1.36 | 1,860,000 | 10,098 | (9,645 | ) | 453 | |||||||||||||||||||||
Barclays Bank | General Electric Co. | 1.00 | 12/20/2020 | 1.36 | 3,415,000 | 19,448 | (18,617 | ) | 831 | |||||||||||||||||||||
Goldman Sachs | General Electric Co. | 1.00 | 12/20/2020 | 1.36 | 2,640,000 | 14,581 | (13,938 | ) | 643 | |||||||||||||||||||||
Goldman Sachs | General Electric Co. | 1.00 | 12/20/2020 | 1.36 | 1,685,000 | 9,280 | (8,870 | ) | 410 | |||||||||||||||||||||
Barclays Bank | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 6,802,000 | (418,466 | ) | 62,019 | (356,447 | ) | ||||||||||||||||||||
Barclays Bank | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 9,796,000 | (424,420 | ) | (88,922 | ) | (513,342 | ) | |||||||||||||||||||
Barclays Bank | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 7,721,000 | (361,236 | ) | (43,370 | ) | (404,606 | ) | |||||||||||||||||||
Goldman Sachs | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 6,801,000 | (278,932 | ) | (77,463 | ) | (356,395 | ) | |||||||||||||||||||
Goldman Sachs | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 18,365,000 | (1,005,647 | ) | 43,261 | (962,386 | ) | ||||||||||||||||||||
Goldman Sachs | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 19,243,000 | (1,140,741 | ) | 132,345 | (1,008,396 | ) | ||||||||||||||||||||
Morgan Stanley | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 17,615,000 | (738,817 | ) | (184,267 | ) | (923,084 | ) | |||||||||||||||||||
Morgan Stanley | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 23,036,000 | (1,400,452 | ) | 193,290 | (1,207,162 | ) | ||||||||||||||||||||
Morgan Stanley | Indonesia Government International | 1.00 | 6/20/2025 | 2.11 | 7,771,000 | (325,880 | ) | (81,345 | ) | (407,225 | ) | |||||||||||||||||||
Morgan Stanley | Mexico Government International | 1.00 | 12/20/2024 | 2.19 | 2,800,000 | (20,902 | ) | (125,507 | ) | (146,409 | ) | |||||||||||||||||||
Goldman Sachs | Republic of South Africa | 1.00 | 6/20/2024 | 3.90 | 4,700,000 | (172,169 | ) | (344,311 | ) | (516,480 | ) | |||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 6/20/2023 | 3.64 | 9,400,000 | (466,797 | ) | (273,277 | ) | (740,074 | ) | |||||||||||||||||||
Goldman Sachs | Russia Emerging Markets SPMYC | 1.00 | 12/20/2022 | 1.44 | 1,500,000 | (19,879 | ) | 2,633 | (17,246 | ) | ||||||||||||||||||||
J.P. Morgan | Russia Emerging Markets SPMYC | 1.00 | 6/20/2023 | 1.52 | 18,200,000 | (380,142 | ) | 92,515 | (287,627 | ) | ||||||||||||||||||||
Goldman Sachs | Russian Foreign Bond - Eurobon | 1.00 | 12/20/2024 | 1.83 | 16,400,000 | 98,062 | (702,866 | ) | (604,804 | ) | ||||||||||||||||||||
Goldman Sachs | Teva Pharmaceutical Finance Ne | 1.00 | 6/20/2022 | 2.58 | 210,000 | (10,649 | ) | 3,639 | (7,010 | ) | ||||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 6/20/2023 | 1.76 | 29,900,000 | (168,764 | ) | (528,209 | ) | (696,973 | ) | |||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 12/20/2023 | 1.90 | 9,100,000 | (147,545 | ) | (142,023 | ) | (289,568 | ) | |||||||||||||||||||
J.P. Morgan | United Mexican States | 1.00 | 12/20/2023 | 1.90 | 5,400,000 | (91,383 | ) | (80,448 | ) | (171,831 | ) | |||||||||||||||||||
J.P. Morgan | United Mexican States | 1.00 | 6/20/2024 | 2.01 | 300,000 | (4,170 | ) | (7,874 | ) | (12,044 | ) | |||||||||||||||||||
Morgan Stanley | United Mexican States | 1.00 | 12/20/2022 | 1.62 | 3,800,000 | 2,805 | (64,425 | ) | (61,620 | ) | ||||||||||||||||||||
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| |||||||||||||||||||||||||
$ | (12,371,896 | ) | $ | (3,130,084 | ) | $ | (15,501,980 | ) | ||||||||||||||||||||||
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Centrally Cleared Interest Rate Swaps
Fixed Annual Rate | Floating Rate Index | Floating Rate Paid | Payment | Maturity Date | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | ||||||||||||||||||||
(0.15 | )% | 6 Month EURIBOR | Received | Semi-Annual | 3/18/2030 | EUR | 16,100,000 | $ | 287,088 | $ | (61,026 | ) | $ | 226,062 | ||||||||||||||
0.50 | 6 Month EURIBOR | Received | Semi-Annual | 6/17/2050 | 9,000,000 | (291,182 | ) | (702,174 | ) | (993,356 | ) | |||||||||||||||||
0.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2030 | GBP | 18,700,000 | 189,056 | (567,720 | ) | (378,664 | ) | |||||||||||||||||
0.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2050 | 6,000,000 | 144,774 | (469,439 | ) | (324,665 | ) | ||||||||||||||||||
1.25 | 3 Month USD LIBOR | Paid | Quarterly | 6/17/2027 | USD | 444,300,000 | (5,997,588 | ) | 26,231,930 | 20,234,342 | ||||||||||||||||||
1.25 | 3 Month USD LIBOR | Received | Quarterly | 6/17/2030 | 112,100,000 | 5,263,884 | (11,258,269 | ) | (5,994,385 | ) | ||||||||||||||||||
2.25 | 3 Month USD LIBOR | Received | Quarterly | 3/12/2050 | 3,200,000 | (10,093 | ) | (1,147,578 | ) | (1,157,671 | ) | |||||||||||||||||
2.50 | 3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 94,300,000 | 1,829,963 | 12,179,743 | 14,009,706 | ||||||||||||||||||||
2.50 | 3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 107,900,000 | (1,161,988 | ) | 17,192,182 | 16,030,194 | |||||||||||||||||||
3.00 | 6 Month Australian Bank Bill | Paid | Semi-Annual | 3/21/2027 | AUD | 109,400,000 | 658,499 | 9,892,966 | 10,551,465 | |||||||||||||||||||
3.00 | 3 Month USD LIBOR | Paid | Quarterly | 6/19/2029 | USD | 47,200,000 | 3,512,285 | 6,704,833 | 10,217,118 | |||||||||||||||||||
7.15 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 6/11/2027 | MXN | 25,800,000 | (18,432 | ) | 44,472 | 26,040 | ||||||||||||||||||
7.36 | Mexico Interbank TIIE 28 Day | Received | Lunar | 8/21/2037 | 900,000 | 3,317 | (3,497 | ) | (180 | ) | ||||||||||||||||||
7.37 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 10/11/2027 | 40,300,000 | (2,007 | ) | 63,049 | 61,042 | |||||||||||||||||||
7.38 | Mexico Interbank TIIE 28 Day | Received | Lunar | 8/14/2037 | 1,300,000 | 4,676 | (5,045 | ) | (369 | ) | ||||||||||||||||||
7.61 | Mexico Interbank TIIE 28 Day | Received | Lunar | 1/23/2023 | 222,400,000 | 142,249 | (581,611 | ) | (439,362 | ) | ||||||||||||||||||
7.75 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 1/5/2023 | 1,400,000 | — | 2,970 | 2,970 | ||||||||||||||||||||
7.81 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | — | 6,251 | 6,251 | ||||||||||||||||||||
7.82 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | (385 | ) | 6,685 | 6,300 | |||||||||||||||||||
7.87 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 3,400,000 | — | 7,593 | 7,593 | ||||||||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/16/2022 | 2,000,000 | — | 4,453 | 4,453 | ||||||||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 36,000,000 | 10,363 | 70,625 | 80,988 | ||||||||||||||||||||
7.91 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/30/2027 | 800,000 | — | (2,356 | ) | (2,356 | ) | ||||||||||||||||||
7.98 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/10/2027 | 3,300,000 | (22 | ) | (10,317 | ) | (10,339 | ) | |||||||||||||||||
7.99 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 100,000 | — | (315 | ) | (315 | ) | ||||||||||||||||||
8.01 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 20,200,000 | (9,336 | ) | (55,073 | ) | (64,409 | ) | |||||||||||||||||
8.03 | Mexico Interbank TIIE 28 Day | Received | Lunar | 1/31/2028 | 1,600,000 | 12 | (5,240 | ) | (5,228 | ) | ||||||||||||||||||
8.05 | Mexico Interbank TIIE 28 Day | Received | Lunar | 1/31/2028 | 2,400,000 | 615 | (8,588 | ) | (7,973 | ) | ||||||||||||||||||
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$ | 4,555,748 | $ | 57,529,504 | $ | 62,085,252 | |||||||||||||||||||||||
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Lunar - payment frequency equal periods of 28 days (a lunar month).
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 Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing theday-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
• | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
• | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
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 andnon-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Core Plus Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | — | $ | 2,200,461,271 | $ | — | $ | 2,200,461,271 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 166,561,670 | — | 166,561,670 | ||||||||||||
Communications | — | 728,196,569 | 14,381 | 728,210,950 | ||||||||||||
Consumer, Cyclical | — | 565,718,977 | — | 565,718,977 | ||||||||||||
Consumer, Non-cyclical | — | 1,050,205,532 | — | 1,050,205,532 | ||||||||||||
Diversified | — | 9,901,866 | — | 9,901,866 | ||||||||||||
Energy | — | 559,712,034 | 2,667,155 | 562,379,189 | ||||||||||||
Financials | — | 2,030,182,200 | — | 2,030,182,200 | ||||||||||||
Industrials | — | 323,149,144 | — | 323,149,144 | ||||||||||||
Technology | — | 280,502,770 | — | 280,502,770 | ||||||||||||
Utilities | — | 327,176,938 | — | 327,176,938 | ||||||||||||
Convertible Securities | ||||||||||||||||
Communications | — | 9,919,827 | — | 9,919,827 | ||||||||||||
Consumer, Cyclical | — | 1,742,771 | — | 1,742,771 | ||||||||||||
Consumer, Non-cyclical | — | 9,166,481 | — | 9,166,481 | ||||||||||||
Energy | — | 177,300 | — | 177,300 | ||||||||||||
Industrials | — | 1,519,663 | — | 1,519,663 | ||||||||||||
Technology | — | 1,728,490 | — | 1,728,490 | ||||||||||||
Government Related | ||||||||||||||||
Other Government Related | — | 318,516,803 | — | 318,516,803 | ||||||||||||
U.S. Treasury Obligations | — | 2,158,939,201 | — | 2,158,939,201 | ||||||||||||
Mortgage-Backed Obligations | — | 6,942,340,299 | — | 6,942,340,299 | ||||||||||||
Bank Loans | — | 524,420,746 | — | 524,420,746 | ||||||||||||
Common Stocks | ||||||||||||||||
Communications | 2,341,697 | — | 11,759 | 2,353,456 | ||||||||||||
Consumer, Cyclical | 2,291,525 | — | — | 2,291,525 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Consumer, Non-cyclical | 7,692,960 | — | — | 7,692,960 | ||||||||||||
Utilities | 1,280,285 | — | — | 1,280,285 | ||||||||||||
Warrants | — | — | 5,285,401 | 5,285,401 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 855,579,267 | — | — | 855,579,267 | ||||||||||||
Commercial Paper | — | 16,633,503 | — | 16,633,503 | ||||||||||||
Repurchase Agreements | — | 522,100,000 | — | 522,100,000 | ||||||||||||
U.S. Treasury Bills | — | 316,340,149 | — | 316,340,149 | ||||||||||||
Time Deposits | — | 29,814,423 | — | 29,814,423 | ||||||||||||
Futures Contracts(1) | 102,401,794 | — | — | 102,401,794 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | — | 27,382,866 | — | 27,382,866 | ||||||||||||
Swap Contracts (1) | — | 71,574,696 | — | 71,574,696 | ||||||||||||
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Total Assets | $ | 971,587,528 | $ | 19,194,086,189 | $ | 7,978,696 | $ | 20,173,652,413 | ||||||||
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Liabilities | ||||||||||||||||
Futures Contracts(1) | $ | (15,299,010 | ) | $ | — | $ | — | $ | (15,299,010 | ) | ||||||
Forward Foreign Currency Exchange Contracts(1) | — | (33,894,516 | ) | — | (33,894,516 | ) | ||||||||||
Swap Contracts(1) | — | (37,208,970 | ) | — | (37,208,970 | ) | ||||||||||
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Total Liabilities | $ | (15,299,010 | ) | $ | (71,103,486 | ) | $ | — | $ | (86,402,496 | ) | |||||
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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 day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |