Principal Amount† | | | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: 24.3% | | | |
| | | | | | Basic Materials: 0.6% | | | | | | | |
| 2,486,000 | | | (1) | | Anglo American Capital PLC, 4.125%, 04/15/2021 | | $ | 2,536,839 | | | 0.1 | |
| 1,562,000 | | | (2) | | ArcelorMittal, 4.250%, 07/16/2029 | | | 1,589,376 | | | 0.1 | |
| 3,000,000 | | | | | ArcelorMittal, 5.500%, 03/01/2021 | | | 3,124,758 | | | 0.1 | |
| 958,000 | | | (2) | | Dow Chemical Co/The, 3.500%, 10/01/2024 | | | 1,000,275 | | | 0.0 | |
| 2,500,000 | | | (2) | | Dow Chemical Co/The, 4.625%, 10/01/2044 | | | 2,688,138 | | | 0.1 | |
| 942,000 | | | (1),(2) | | Dow Chemical Co/The, 4.800%, 11/30/2028 | | | 1,065,255 | | | 0.0 | |
| 1,026,000 | | | | | FMC Corp., 3.200%, 10/01/2026 | | | 1,037,040 | | | 0.0 | |
| 342,000 | | | | | FMC Corp., 3.450%, 10/01/2029 | | | 346,924 | | | 0.0 | |
| 1,225,000 | | | | | International Flavors & Fragrances, Inc., 3.400%, 09/25/2020 | | | 1,239,202 | | | 0.0 | |
| 875,000 | | | | | Mosaic Co/The, 5.450%, 11/15/2033 | | | 992,401 | | | 0.0 | |
| 3,250,000 | | | (1) | | Newcrest Finance Pty Ltd., 4.450%, 11/15/2021 | | | 3,373,857 | | | 0.1 | |
| 1,419,000 | | | | | Newmont Goldcorp Corp., 3.700%, 03/15/2023 | | | 1,478,216 | | | 0.0 | |
| 2,063,000 | | | | | Teck Resources Ltd., 6.125%, 10/01/2035 | | | 2,354,098 | | | 0.1 | |
| | | | | | | | | 22,826,379 | | | 0.6 | |
| | | | | | | | | | | | | |
| | | | | | Communications: 2.4% | | | | | | | |
| 6,026,000 | | | | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | | | 6,345,080 | | | 0.2 | |
| 3,500,000 | | | | | Amazon.com, Inc., 4.050%, 08/22/2047 | | | 4,219,014 | | | 0.1 | |
| 725,000 | | | | | AT&T, Inc., 2.950%, 07/15/2026 | | | 736,464 | | | 0.0 | |
| 5,876,000 | | | | | AT&T, Inc., 4.300%, 02/15/2030 | | | 6,472,479 | | | 0.2 | |
| 2,364,000 | | | | | AT&T, Inc., 5.150%, 03/15/2042 | | | 2,724,270 | | | 0.1 | |
| 3,000,000 | | | | | AT&T, Inc., 5.150%, 11/15/2046 | | | 3,485,364 | | | 0.1 | |
| 5,810,000 | | | | | AT&T, Inc., 5.150%, 02/15/2050 | | | 6,812,100 | | | 0.2 | |
| 1,510,000 | | | | | CBS Corp., 5.500%, 05/15/2033 | | | 1,764,057 | | | 0.1 | |
| 1,500,000 | | | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | | | 1,579,661 | | | 0.1 | |
| 2,500,000 | | | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | | | 2,749,530 | | | 0.1 | |
| 1,500,000 | | | | | Comcast Corp., 3.300%, 10/01/2020 | | | 1,520,659 | | | 0.0 | |
| 500,000 | | | | | Comcast Corp., 3.450%, 10/01/2021 | | | 515,052 | | | 0.0 | |
| 2,279,000 | | | | | Comcast Corp., 3.999%, 11/01/2049 | | | 2,537,018 | | | 0.1 | |
| 3,980,000 | | | | | Comcast Corp., 4.000%, 03/01/2048 | | | 4,417,031 | | | 0.1 | |
| 1,225,000 | | | | | Comcast Corp., 4.600%, 10/15/2038 | | | 1,470,363 | | | 0.0 | |
| 3,500,000 | | | | | Discovery Communications LLC, 5.200%, 09/20/2047 | | | 3,826,527 | | | 0.1 | |
| 1,220,000 | | | | | Interpublic Group of Cos, Inc./The, 3.500%, 10/01/2020 | | | 1,234,523 | | | 0.0 | |
| 1,710,000 | | | | | Interpublic Group of Cos, Inc./The, 3.750%, 10/01/2021 | | | 1,753,482 | | | 0.1 | |
| 4,885,000 | | | (1) | | NBCUniversal Enterprise, Inc., 5.250%, 12/31/2199 | | | 5,033,260 | | | 0.1 | |
| 2,630,000 | | | (1) | | Tencent Holdings Ltd., 2.985%, 01/19/2023 | | | 2,672,449 | | | 0.1 | |
| 3,754,000 | | | | | Time Warner Cable LLC, 5.875%, 11/15/2040 | | | 4,208,332 | | | 0.1 | |
| 2,000,000 | | | | | Verizon Communications, Inc., 3.850%, 11/01/2042 | | | 2,149,621 | | | 0.1 | |
| 221,000 | | | | | Verizon Communications, Inc., 4.016%, 12/03/2029 | | | 245,911 | | | 0.0 | |
| 2,750,000 | | | | | Verizon Communications, Inc., 4.812%, 03/15/2039 | | | 3,303,475 | | | 0.1 | |
| 3,000,000 | | | | | Verizon Communications, Inc., 4.862%, 08/21/2046 | | | 3,673,477 | | | 0.1 | |
| 2,210,000 | | | | | Viacom, Inc., 4.375%, 03/15/2043 | | | 2,282,062 | | | 0.1 | |
| 1,000,000 | | | | | Viacom, Inc., 5.850%, 09/01/2043 | | | 1,231,637 | | | 0.0 | |
| 1,077,000 | | | | | Walt Disney Co/The, 2.000%, 09/01/2029 | | | 1,050,209 | | | 0.0 | |
| 1,127,000 | | | (1) | | Walt Disney Co/The, 3.000%, 09/15/2022 | | | 1,163,056 | | | 0.0 | |
| 3,000,000 | | | (1) | | Walt Disney Co/The, 4.750%, 11/15/2046 | | | 3,957,697 | | | 0.1 | |
| | | | | | | | | 85,133,860 | | | 2.4 | |
| | | | | | | | | | | | | |
| | | | | | Consumer, Cyclical: 1.6% | | | | | | | |
| 821,625 | | | | | American Airlines 2015-2 Class B Pass Through Trust, 4.400%, 03/22/2025 | | | 850,792 | | | 0.0 | |
| 1,114,458 | | | | | American Airlines 2016-1 Class B Pass Through Trust, 5.250%, 07/15/2025 | | | 1,187,216 | | | 0.0 | |
| 2,683,620 | | | | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | | | 2,761,982 | | | 0.1 | |
| 588,840 | | | | | American Airlines 2017-1 Class AA Pass Through Trust, 3.650%, 08/15/2030 | | | 627,643 | | | 0.0 | |
| 1,160,000 | | | | | American Airlines 2019-1 Class B Pass Through Trust, 3.850%, 08/15/2029 | | | 1,172,876 | | | 0.0 | |
| 2,000,000 | | | (1) | | BMW US Capital LLC, 3.400%, 08/13/2021 | | | 2,049,666 | | | 0.1 | |
| 3,500,000 | | | (1) | | BMW US Capital LLC, 3.450%, 04/12/2023 | | | 3,642,365 | | | 0.1 | |
| 1,034,482 | | | | | Continental Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | | | 1,091,275 | | | 0.0 | |
| 2,205,272 | | | | | Delta Air Lines 2002-1 Class G-1 Pass Through Trust, 6.718%, 07/02/2024 | | | 2,342,440 | | | 0.1 | |
| 2,532,000 | | | (2) | | Delta Air Lines, Inc., 4.375%, 04/19/2028 | | | 2,705,990 | | | 0.1 | |
| 3,230,000 | | | | | DR Horton, Inc., 4.750%, 02/15/2023 | | | 3,440,549 | | | 0.1 | |
| 1,448,000 | | | | | Ford Motor Co., 5.291%, 12/08/2046 | | | 1,342,997 | | | 0.0 | |
| 1,144,000 | | | | | Ford Motor Credit Co. LLC, 3.664%, 09/08/2024 | | | 1,127,778 | | | 0.0 | |
| 2,000,000 | | | | | Ford Motor Credit Co. LLC, 4.134%, 08/04/2025 | | | 1,980,649 | | | 0.1 | |
| 1,400,000 | | | | | General Motors Co., 5.400%, 04/01/2048 | | | 1,406,262 | | | 0.1 | |
| 1,000,000 | | | | | General Motors Financial Co., Inc., 3.950%, 04/13/2024 | | | 1,029,729 | | | 0.0 | |
| 1,893,000 | | | | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | | | 1,948,774 | | | 0.1 | |
| 1,575,000 | | | | | McDonald's Corp., 4.450%, 09/01/2048 | | | 1,824,675 | | | 0.1 | |
| 1,286,000 | | | | | Southwest Airlines Co., 3.450%, 11/16/2027 | | | 1,343,742 | | | 0.1 | |
| 1,488,209 | | | | | Spirit Airlines Pass Through Trust 2017-1AA, 3.375%, 08/15/2031 | | | 1,554,088 | | | 0.1 | |
| 1,187,199 | | | | | United Airlines 2013-1 Class B Pass Through Trust, 5.375%, 02/15/2023 | | | 1,243,046 | | | 0.0 | |
| 3,416,864 | | | | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | | | 3,510,087 | | | 0.1 | |
| 854,097 | | | | | United Airlines 2016-1 Class B Pass Through Trust, 3.650%, 07/07/2027 | | | 868,807 | | | 0.0 | |
| 4,325,482 | | | | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | | | 4,375,441 | | | 0.1 | |
| 1,141,701 | | | | | United Airlines 2016-2 Class B Pass Through Trust, 3.650%, 04/07/2027 | | | 1,148,095 | | | 0.0 | |
| 1,209,537 | | | | | US Airways 2012-2 Class B Pass Through Trust, 6.750%, 12/03/2022 | | | 1,274,703 | | | 0.0 | |
| 4,085,237 | | | | | US Airways 2013-1 Class B Pass Through Trust, 5.375%, 05/15/2023 | | | 4,265,226 | | | 0.1 | |
| 3,400,000 | | | (2) | | Walmart, Inc., 2.350%, 12/15/2022 | | | 3,451,269 | | | 0.1 | |
| 1,172,000 | | | (2) | | Walmart, Inc., 3.300%, 04/22/2024 | | | 1,238,872 | | | 0.0 | |
| | | | | | | | | 56,807,034 | | | 1.6 | |
| | | | | | | | | | | | | |
| | | | | | Consumer, Non-cyclical: 4.1% | | | | | | | |
| 1,809,000 | | | | | Abbott Laboratories, 4.750%, 11/30/2036 | | | 2,226,344 | | | 0.1 | |
| 430,000 | | | | | Abbott Laboratories, 4.900%, 11/30/2046 | | | 555,559 | | | 0.0 | |
| 1,970,000 | | | | | AbbVie, Inc., 2.900%, 11/06/2022 | | | 2,009,151 | | | 0.1 | |
| 2,833,000 | | | (2) | | AbbVie, Inc., 4.450%, 05/14/2046 | | | 2,941,350 | | | 0.1 | |
| 1,037,000 | | | | | AbbVie, Inc., 4.500%, 05/14/2035 | | | 1,119,675 | | | 0.0 | |
| 1,000,000 | | | | | Aetna, Inc., 2.800%, 06/15/2023 | | | 1,013,371 | | | 0.0 | |
| 750,000 | | | | | Aetna, Inc., 4.500%, 05/15/2042 | | | 795,918 | | | 0.0 | |
| 1,700,000 | | | | | Allergan Finance LLC, 4.625%, 10/01/2042 | | | 1,768,218 | | | 0.1 | |
| 1,635,000 | | | | | Altria Group, Inc., 4.800%, 02/14/2029 | | | 1,794,456 | | | 0.1 | |
| 730,000 | | | | | Altria Group, Inc., 5.800%, 02/14/2039 | | | 847,979 | | | 0.0 | |
| 732,000 | | | | | Altria Group, Inc., 5.950%, 02/14/2049 | | | 862,346 | | | 0.0 | |
| 4,247,000 | | | | | AmerisourceBergen Corp., 3.450%, 12/15/2027 | | | 4,393,401 | | | 0.1 | |
| 1,297,000 | | | | | Amgen, Inc., 4.563%, 06/15/2048 | | | 1,487,306 | | | 0.0 | |
| 2,000,000 | | | | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | | | 2,316,678 | | | 0.1 | |
| 4,049,000 | | | | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | | | 4,824,192 | | | 0.1 | |
| 1,500,000 | | | | | Anheuser-Busch InBev Worldwide, Inc., 4.439%, 10/06/2048 | | | 1,696,555 | | | 0.1 | |
| 1,260,000 | | | | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | | | 1,596,848 | | | 0.0 | |
| 1,000,000 | | | | | Anthem, Inc., 3.500%, 08/15/2024 | | | 1,048,864 | | | 0.0 | |
| 1,504,000 | | | | | Anthem, Inc., 4.101%, 03/01/2028 | | | 1,626,117 | | | 0.0 | |
| 3,571,000 | | | | | Anthem, Inc., 5.100%, 01/15/2044 | | | 4,168,870 | | | 0.1 | |
| 971,000 | | | | | BAT Capital Corp., 3.462%, 09/06/2029 | | | 952,144 | | | 0.0 | |
| 3,020,000 | | | (2) | | Becton Dickinson and Co., 2.894%, 06/06/2022 | | | 3,067,133 | | | 0.1 | |
| 1,265,000 | | | (1) | | Bristol-Myers Squibb Co., 3.400%, 07/26/2029 | | | 1,353,723 | | | 0.0 | |
| 1,757,000 | | | (1) | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | | | 1,995,923 | | | 0.1 | |
| 2,000,000 | | | | | Bunge Ltd. Finance Corp., 4.350%, 03/15/2024 | | | 2,108,247 | | | 0.1 | |
| 2,000,000 | | | (1) | | Cargill, Inc., 3.875%, 05/23/2049 | | | 2,302,683 | | | 0.1 | |
| 3,105,000 | | | | | Celgene Corp., 3.875%, 08/15/2025 | | | 3,354,416 | | | 0.1 | |
| 7,000,000 | | | (2) | | Cigna Corp., 3.400%, 09/17/2021 | | | 7,162,155 | | | 0.2 | |
| 2,195,000 | | | | | Cigna Corp., 4.125%, 11/15/2025 | | | 2,366,677 | | | 0.1 | |
| 1,750,000 | | | | | Cigna Corp., 4.800%, 08/15/2038 | | | 1,972,498 | | | 0.1 | |
| 1,516,000 | | | | | CVS Health Corp., 3.700%, 03/09/2023 | | | 1,578,887 | | | 0.0 | |
| 1,073,000 | | | | | CVS Health Corp., 4.100%, 03/25/2025 | | | 1,146,485 | | | 0.0 | |
| 2,584,000 | | | | | CVS Health Corp., 4.300%, 03/25/2028 | | | 2,797,223 | | | 0.1 | |
| 3,500,000 | | | (2) | | CVS Health Corp., 5.050%, 03/25/2048 | | | 3,986,588 | | | 0.1 | |
| 65,341 | | | | | CVS Pass-Through Trust, 6.943%, 01/10/2030 | | | 77,227 | | | 0.0 | |
| 1,690,000 | | | | | Eli Lilly & Co., 3.950%, 03/15/2049 | | | 1,960,294 | | | 0.1 | |
| 690,000 | | | (1) | | Fresenius Medical Care US Finance III, Inc., 3.750%, 06/15/2029 | | | 694,547 | | | 0.0 | |
| 2,000,000 | | | | | General Mills, Inc., 3.700%, 10/17/2023 | | | 2,106,694 | | | 0.1 | |
| 4,000,000 | | | | | Gilead Sciences, Inc., 4.400%, 12/01/2021 | | | 4,173,863 | | | 0.1 | |
| 1,000,000 | | | | | GlaxoSmithKline Capital PLC, 2.875%, 06/01/2022 | | | 1,022,045 | | | 0.0 | |
| 1,535,000 | | | | | Global Payments, Inc., 2.650%, 02/15/2025 | | | 1,543,418 | | | 0.0 | |
| 1,785,000 | | | | | Global Payments, Inc., 3.200%, 08/15/2029 | | | 1,811,714 | | | 0.1 | |
| 1,604,000 | | | | | HCA, Inc., 4.500%, 02/15/2027 | | | 1,722,639 | | | 0.1 | |
| 879,000 | | | | | HCA, Inc., 5.125%, 06/15/2039 | | | 964,309 | | | 0.0 | |
| 772,000 | | | | | HCA, Inc., 5.250%, 04/15/2025 | | | 859,789 | | | 0.0 | |
| 293,000 | | | (2) | | HCA, Inc., 5.250%, 06/15/2049 | | | 322,957 | | | 0.0 | |
| 586,000 | | | | | HCA, Inc., 5.500%, 06/15/2047 | | | 663,493 | | | 0.0 | |
| 835,000 | | | | | IHS Markit Ltd., 4.250%, 05/01/2029 | | | 900,072 | | | 0.0 | |
| 2,113,000 | | | (1) | | Imperial Brands Finance PLC, 3.750%, 07/21/2022 | | | 2,176,052 | | | 0.1 | |
| 940,000 | | | | | Johnson & Johnson, 4.375%, 12/05/2033 | | | 1,123,605 | | | 0.0 | |
| 2,905,000 | | | | | Keurig Dr Pepper, Inc., 4.057%, 05/25/2023 | | | 3,075,772 | | | 0.1 | |
| 1,750,000 | | | (2) | | Kraft Heinz Foods Co., 4.375%, 06/01/2046 | | | 1,664,334 | | | 0.0 | |
| 2,671,000 | | | (1) | | Kraft Heinz Foods Co., 4.875%, 02/15/2025 | | | 2,749,899 | | | 0.1 | |
| 751,000 | | | (2) | | Kroger Co/The, 4.650%, 01/15/2048 | | | 805,563 | | | 0.0 | |
| 750,000 | | | | | Kroger Co/The, 5.150%, 08/01/2043 | | | 829,500 | | | 0.0 | |
| 1,000,000 | | | (1) | | Mars, Inc., 3.200%, 04/01/2030 | | | 1,059,114 | | | 0.0 | |
| 1,615,000 | | | (1) | | Mars, Inc., 3.875%, 04/01/2039 | | | 1,807,940 | | | 0.1 | |
| 2,036,000 | | | | | Medtronic, Inc., 4.375%, 03/15/2035 | | | 2,454,929 | | | 0.1 | |
| 1,570,000 | | | (2) | | Merck & Co., Inc., 4.000%, 03/07/2049 | | | 1,870,446 | | | 0.1 | |
| 2,000,000 | | | (2) | | Mylan NV, 3.750%, 12/15/2020 | | | 2,029,953 | | | 0.1 | |
| 2,425,000 | | | | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | | | 2,437,952 | | | 0.1 | |
| 1,533,000 | | | | | PepsiCo, Inc., 4.450%, 04/14/2046 | | | 1,913,757 | | | 0.1 | |
| 2,365,000 | | | | | Pfizer, Inc., 3.200%, 09/15/2023 | | | 2,479,239 | | | 0.1 | |
| 1,310,000 | | | | | Pfizer, Inc., 4.000%, 03/15/2049 | | | 1,513,928 | | | 0.0 | |
| 1,500,000 | | | | | Philip Morris International, Inc., 3.875%, 08/21/2042 | | | 1,541,589 | | | 0.0 | |
| 1,250,000 | | | | | Reynolds American, Inc., 5.850%, 08/15/2045 | | | 1,386,086 | | | 0.0 | |
| 624,000 | | | | | Reynolds American, Inc., 6.150%, 09/15/2043 | | | 708,183 | | | 0.0 | |
| 2,990,000 | | | (1) | | Seven & i Holdings Co. Ltd., 3.350%, 09/17/2021 | | | 3,052,720 | | | 0.1 | |
| 500,000 | | | (2) | | Stryker Corp., 2.625%, 03/15/2021 | | | 503,826 | | | 0.0 | |
| 3,500,000 | | | (1) | | Takeda Pharmaceutical Co. Ltd., 4.000%, 11/26/2021 | | | 3,624,883 | | | 0.1 | |
| 4,000,000 | | | (2) | | Unilever Capital Corp., 3.000%, 03/07/2022 | | | 4,102,359 | | | 0.1 | |
| 4,500,000 | | | | | Unilever Capital Corp., 3.250%, 03/07/2024 | | | 4,743,667 | | | 0.1 | |
| 445,000 | | | | | UnitedHealth Group, Inc., 2.875%, 08/15/2029 | | | 454,516 | | | 0.0 | |
| 1,111,000 | | | | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | | | 1,159,654 | | | 0.0 | |
| 777,000 | | | | | UnitedHealth Group, Inc., 3.875%, 08/15/2059 | | | 823,704 | | | 0.0 | |
| 2,500,000 | | | | | UnitedHealth Group, Inc., 4.200%, 01/15/2047 | | | 2,843,930 | | | 0.1 | |
| | | | | | | | | 148,998,141 | | | 4.1 | |
| | | | | Energy: 2.5% |
| 4,000,000 | | | | | BP Capital Markets America, Inc., 3.224%, 04/14/2024 | | | 4,168,681 | | | 0.1 | |
| 1,910,000 | | | | | BP Capital Markets PLC, 4.742%, 03/11/2021 | | | 1,980,053 | | | 0.1 | |
| 1,596,000 | | | (2) | | Canadian Natural Resources Ltd., 4.950%, 06/01/2047 | | | 1,889,395 | | | 0.1 | |
| 1,000,000 | | | | | Cenovus Energy, Inc., 3.800%, 09/15/2023 | | | 1,032,087 | | | 0.0 | |
| 500,000 | | | | | Cenovus Energy, Inc., 5.400%, 06/15/2047 | | | 564,139 | | | 0.0 | |
| 2,000,000 | | | (2) | | Cimarex Energy Co., 3.900%, 05/15/2027 | | | 2,038,409 | | | 0.1 | |
| 1,479,000 | | | | | Cimarex Energy Co., 4.375%, 06/01/2024 | | | 1,555,203 | | | 0.0 | |
| 856,000 | | | (2) | | Cimarex Energy Co., 4.375%, 03/15/2029 | | | 901,816 | | | 0.0 | |
| 2,500,000 | | | (1) | | Colonial Pipeline Co., 3.500%, 10/15/2020 | | | 2,519,323 | | | 0.1 | |
| 1,616,000 | | | (2) | | Enable Midstream Partners L.P., 4.150%, 09/15/2029 | | | 1,558,442 | | | 0.0 | |
| 730,000 | | | | | Energy Transfer Operating L.P., 4.650%, 06/01/2021 | | | 752,119 | | | 0.0 | |
| 2,000,000 | | | | | Energy Transfer Operating L.P., 5.300%, 04/15/2047 | | | 2,154,990 | | | 0.1 | |
| 1,067,000 | | | | | Energy Transfer Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | | | 1,131,484 | | | 0.0 | |
| 1,500,000 | | | | | Enterprise Products Operating LLC, 3.500%, 02/01/2022 | | | 1,549,423 | | | 0.0 | |
| 1,385,000 | | | | | Enterprise Products Operating LLC, 3.750%, 02/15/2025 | | | 1,474,486 | | | 0.0 | |
| 469,000 | | | | | Enterprise Products Operating LLC, 4.200%, 01/31/2050 | | | 503,684 | | | 0.0 | |
| 2,400,000 | | | (3) | | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | | | 2,322,648 | | | 0.1 | |
| 2,000,000 | | | | | Enterprise Products Operating LLC, 4.900%, 05/15/2046 | | | 2,323,762 | | | 0.1 | |
| 4,000,000 | | | (2) | | EOG Resources, Inc., 2.625%, 03/15/2023 | | | 4,079,914 | | | 0.1 | |
| 3,156,000 | | | (2) | | Exxon Mobil Corp., 2.726%, 03/01/2023 | | | 3,244,796 | | | 0.1 | |
| 1,000,000 | | | | | Exxon Mobil Corp., 2.995%, 08/16/2039 | | | 1,005,814 | | | 0.0 | |
| 999,000 | | | | | Exxon Mobil Corp., 3.095%, 08/16/2049 | | | 1,008,316 | | | 0.0 | |
| 3,500,000 | | | | | Halliburton Co., 3.500%, 08/01/2023 | | | 3,637,534 | | | 0.1 | |
| 2,032,000 | | | (2) | | Husky Energy, Inc., 4.400%, 04/15/2029 | | | 2,141,765 | | | 0.1 | |
| 1,000,000 | | | | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | | | 1,073,437 | | | 0.0 | |
| 1,722,000 | | | | | Kinder Morgan Energy Partners L.P., 5.400%, 09/01/2044 | | | 1,976,949 | | | 0.1 | |
| 1,787,000 | | | | | Kinder Morgan, Inc./DE, 5.550%, 06/01/2045 | | | 2,111,852 | | | 0.1 | |
| 2,041,000 | | | | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | | | 2,186,439 | | | 0.1 | |
| 1,345,000 | | | (1) | | MPLX L.P., 5.250%, 01/15/2025 | | | 1,420,088 | | | 0.0 | |
| 1,982,000 | | | | | Occidental Petroleum Corp., 2.900%, 08/15/2024 | | | 1,999,270 | | | 0.1 | |
| 3,680,000 | | | | | ONEOK Partners L.P., 3.375%, 10/01/2022 | | | 3,771,017 | | | 0.1 | |
| 899,000 | | | | | ONEOK, Inc., 3.400%, 09/01/2029 | | | 891,577 | | | 0.0 | |
| 1,779,000 | | | | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | | | 1,904,753 | | | 0.1 | |
| 1,500,000 | | | (1) | | Schlumberger Investment SA, 2.400%, 08/01/2022 | | | 1,510,862 | | | 0.0 | |
| 1,250,000 | | | (1) | | Schlumberger Norge AS, 4.200%, 01/15/2021 | | | 1,276,883 | | | 0.0 | |
| 1,052,000 | | | (1) | | Schlumberger Oilfield UK PLC, 4.200%, 01/15/2021 | | | 1,073,445 | | | 0.0 | |
| 4,500,000 | | | | | Shell International Finance BV, 3.250%, 05/11/2025 | | | 4,771,450 | | | 0.1 | |
| 1,750,000 | | | (2) | | Shell International Finance BV, 4.000%, 05/10/2046 | | | 2,027,728 | | | 0.1 | |
| 582,000 | | | (2) | | Sunoco Logistics Partners Operations L.P., 4.250%, 04/01/2024 | | | 613,372 | | | 0.0 | |
| 845,000 | | | | | Sunoco Logistics Partners Operations L.P., 5.350%, 05/15/2045 | | | 907,413 | | | 0.0 | |
| 2,000,000 | | | | | Total Capital Canada Ltd., 2.750%, 07/15/2023 | | | 2,056,854 | | | 0.1 | |
| 1,640,000 | | | | | Total Capital International SA, 3.461%, 07/12/2049 | | | 1,740,606 | | | 0.1 | |
| 1,014,000 | | | (3) | | Transcanada Trust, 5.500%, 09/15/2079 | | | 1,047,999 | | | 0.0 | |
| 1,000,000 | | | | | Western Midstream Operating L.P., 4.000%, 07/01/2022 | | | 1,012,438 | | | 0.0 | |
| 2,000,000 | | | | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | | | 2,116,154 | | | 0.1 | |
| 2,000,000 | | | | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | | | 2,245,587 | | | 0.1 | |
| 1,128,000 | | | | | Williams Partners L.P., 3.600%, 03/15/2022 | | | 1,159,062 | | | 0.0 | |
| 2,378,000 | | | (2) | | Williams Partners L.P., 3.750%, 06/15/2027 | | | 2,461,994 | | | 0.1 | |
| | | | | | | | | 88,895,512 | | | 2.5 | |
| | | | | Financial: 7.5% |
| 750,000 | | | | | American International Group, Inc., 4.500%, 07/16/2044 | | | 836,222 | | | 0.0 | |
| 1,065,000 | | | (3) | | American International Group, Inc., 5.750%, 04/01/2048 | | | 1,140,594 | | | 0.0 | |
| 2,460,000 | | | | | Air Lease Corp., 3.500%, 01/15/2022 | | | 2,523,989 | | | 0.1 | |
| 2,430,000 | | | | | American Express Co., 3.700%, 08/03/2023 | | | 2,561,997 | | | 0.1 | |
| 1,000,000 | | | | | American International Group, Inc., 4.750%, 04/01/2048 | | | 1,170,357 | | | 0.0 | |
| 940,000 | | | | | American Tower Corp., 2.750%, 01/15/2027 | | | 938,477 | | | 0.0 | |
| 1,490,000 | | | | | American Tower Corp., 3.700%, 10/15/2049 | | | 1,485,694 | | | 0.0 | |
| 1,840,000 | | | (1) | | ANZ New Zealand Int'l Ltd./London, 3.400%, 03/19/2024 | | | 1,922,920 | | | 0.1 | |
| 2,250,000 | | | (1) | | Apollo Management Holdings L.P., 4.000%, 05/30/2024 | | | 2,375,455 | | | 0.1 | |
| 400,000 | | | (2) | | Assurant, Inc., 3.700%, 02/22/2030 | | | 401,418 | | | 0.0 | |
| 2,114,000 | | | | | Assurant, Inc., 4.900%, 03/27/2028 | | | 2,306,756 | | | 0.1 | |
| 2,000,000 | | | | | Banco Santander SA, 3.125%, 02/23/2023 | | | 2,038,830 | | | 0.1 | |
| 1,910,000 | | | (2),(3) | | Bank of America Corp., 3.194%, 07/23/2030 | | | 1,973,458 | | | 0.1 | |
| 6,966,000 | | | (3) | | Bank of America Corp., 3.499%, 05/17/2022 | | | 7,105,543 | | | 0.2 | |
| 1,000,000 | | | (3) | | Bank of America Corp., 3.593%, 07/21/2028 | | | 1,058,036 | | | 0.0 | |
| 1,645,000 | | | | | Bank of America Corp., 3.950%, 04/21/2025 | | | 1,746,558 | | | 0.0 | |
| 2,030,000 | | | (3) | | Bank of America Corp., 3.974%, 02/07/2030 | | | 2,224,100 | | | 0.1 | |
| 1,355,000 | | | (3) | | Bank of America Corp., 4.078%, 04/23/2040 | | | 1,514,557 | | | 0.0 | |
| 3,641,000 | | | | | Bank of America Corp., 4.183%, 11/25/2027 | | | 3,920,568 | | | 0.1 | |
| 4,336,000 | | | | | Bank of America Corp., 4.250%, 10/22/2026 | | | 4,702,352 | | | 0.1 | |
| 2,044,000 | | | (3) | | Bank of America Corp., 4.271%, 07/23/2029 | | | 2,279,796 | | | 0.1 | |
| 5,000,000 | | | (3) | | Bank of America Corp., 4.330%, 03/15/2050 | | | 5,916,206 | | | 0.2 | |
| 750,000 | | | (3) | | Bank of America Corp., 5.125%, 12/31/2199 | | | 778,125 | | | 0.0 | |
| 2,455,000 | | | | | Bank of Nova Scotia/The, 2.700%, 08/03/2026 | | | 2,492,739 | | | 0.1 | |
| 1,000,000 | | | (1),(2) | | Barclays Bank PLC, 10.179%, 06/12/2021 | | | 1,118,633 | | | 0.0 | |
| 3,763,000 | | | (3) | | Barclays PLC, 3.932%, 05/07/2025 | | | 3,890,318 | | | 0.1 | |
| 3,465,000 | | | (3) | | BB&T Corp., 4.800%, 12/31/2199 | | | 3,469,297 | | | 0.1 | |
| 3,395,000 | | | | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | | | 4,030,464 | | | 0.1 | |
| 4,000,000 | | | (1) | | BNP Paribas SA, 3.500%, 03/01/2023 | | | 4,131,547 | | | 0.1 | |
| 3,960,000 | | | (1) | | BPCE SA, 2.700%, 10/01/2029 | | | 3,941,029 | | | 0.1 | |
| 955,000 | | | (1) | | BPCE SA, 5.700%, 10/22/2023 | | | 1,053,620 | | | 0.0 | |
| 3,000,000 | | | (2) | | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | | | 3,094,059 | | | 0.1 | |
| 1,095,000 | | | | | Charles Schwab Corp./The, 3.250%, 05/22/2029 | | | 1,154,912 | | | 0.0 | |
| 4,500,000 | | | (2) | | Charles Schwab Corp./The, 3.550%, 02/01/2024 | | | 4,761,167 | | | 0.1 | |
| 5,000,000 | | | (3) | | Citigroup, Inc., 2.876%, 07/24/2023 | | | 5,070,542 | | | 0.1 | |
| 4,000,000 | | | | | Citigroup, Inc., 5.500%, 09/13/2025 | | | 4,534,986 | | | 0.1 | |
| 2,000,000 | | | (1) | | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | | | 2,076,165 | | | 0.1 | |
| 745,000 | | | (1),(2) | | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | | | 741,310 | | | 0.0 | |
| 5,500,000 | | | | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | | | 5,941,754 | | | 0.2 | |
| 3,150,000 | | | (1) | | Credit Agricole SA/London, 2.375%, 07/01/2021 | | | 3,160,891 | | | 0.1 | |
| 6,000,000 | | | (1) | | Credit Suisse AG, 6.500%, 08/08/2023 | | | 6,696,384 | | | 0.2 | |
| 3,000,000 | | | (1),(3) | | Credit Suisse Group AG, 2.997%, 12/14/2023 | | | 3,029,953 | | | 0.1 | |
| 2,303,000 | | | | | Credit Suisse Group Funding Guernsey Ltd., 3.450%, 04/16/2021 | | | 2,341,535 | | | 0.1 | |
| 4,500,000 | | | (1),(2) | | Danske Bank A/S, 2.800%, 03/10/2021 | | | 4,525,185 | | | 0.1 | |
| 1,770,000 | | | (3) | | Discover Bank, 4.682%, 08/09/2028 | | | 1,852,119 | | | 0.0 | |
| 2,008,000 | | | | | Enstar Group Ltd., 4.950%, 06/01/2029 | | | 2,124,737 | | | 0.1 | |
| 1,020,000 | | | | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | | | 1,071,689 | | | 0.0 | |
| 2,500,000 | | | | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | | | 2,682,130 | | | 0.1 | |
| 1,000,000 | | | | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | | | 1,191,114 | | | 0.0 | |
| 449,000 | | | | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | | | 606,408 | | | 0.0 | |
| 735,000 | | | (3) | | HSBC Holdings PLC, 3.803%, 03/11/2025 | | | 766,117 | | | 0.0 | |
| 1,497,000 | | | (3) | | HSBC Holdings PLC, 3.973%, 05/22/2030 | | | 1,600,008 | | | 0.0 | |
| 3,307,000 | | | (3) | | HSBC Holdings PLC, 4.041%, 03/13/2028 | | | 3,512,889 | | | 0.1 | |
| 1,250,000 | | | | | HSBC Holdings PLC, 4.300%, 03/08/2026 | | | 1,354,670 | | | 0.0 | |
| 3,439,000 | | | | | ING Groep NV, 3.550%, 04/09/2024 | | | 3,595,485 | | | 0.1 | |
| 2,500,000 | | | | | JPMorgan Chase & Co., 2.550%, 10/29/2020 | | | 2,513,277 | | | 0.1 | |
| 4,499,000 | | | (2),(3) | | JPMorgan Chase & Co., 3.207%, 04/01/2023 | | | 4,608,164 | | | 0.1 | |
| 6,000,000 | | | (3) | | JPMorgan Chase & Co., 3.514%, 06/18/2022 | | | 6,142,056 | | | 0.2 | |
| 2,201,000 | | | (3) | | JPMorgan Chase & Co., 3.702%, 05/06/2030 | | | 2,362,922 | | | 0.1 | |
| 3,320,000 | | | | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | | | 3,539,443 | | | 0.1 | |
| 2,500,000 | | | (3) | | JPMorgan Chase & Co., 3.882%, 07/24/2038 | | | 2,749,627 | | | 0.1 | |
| 250,000 | | | (3) | | JPMorgan Chase & Co., 4.032%, 07/24/2048 | | | 281,286 | | | 0.0 | |
| 2,551,000 | | | (3) | | JPMorgan Chase & Co., 4.452%, 12/05/2029 | | | 2,887,784 | | | 0.1 | |
| 2,219,000 | | | (3) | | JPMorgan Chase & Co., 5.000%, 12/31/2199 | | | 2,282,796 | | | 0.1 | |
| 679,000 | | | (1) | | Liberty Mutual Group, Inc., 4.500%, 06/15/2049 | | | 757,564 | | | 0.0 | |
| 2,177,000 | | | (3) | | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | | | 2,182,440 | | | 0.1 | |
| 1,250,000 | | | | | Mitsubishi UFJ Financial Group, Inc., 3.751%, 07/18/2039 | | | 1,349,528 | | | 0.0 | |
| 5,870,000 | | | | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | | | 6,087,731 | | | 0.2 | |
| 3,810,000 | | | (1) | | Mizuho Financial Group, Inc., 2.632%, 04/12/2021 | | | 3,827,246 | | | 0.1 | |
| 4,500,000 | | | | | Morgan Stanley, 2.750%, 05/19/2022 | | | 4,566,355 | | | 0.1 | |
| 1,080,000 | | | | | Morgan Stanley, 3.950%, 04/23/2027 | | | 1,142,257 | | | 0.0 | |
| 4,000,000 | | | | | Morgan Stanley, 4.000%, 07/23/2025 | | | 4,317,347 | | | 0.1 | |
| 2,000,000 | | | | | Morgan Stanley, 5.500%, 07/28/2021 | | | 2,122,127 | | | 0.1 | |
| 2,500,000 | | | | | MUFG Union Bank NA, 3.150%, 04/01/2022 | | | 2,562,479 | | | 0.1 | |
| 1,575,000 | | | (1),(3) | | National Australia Bank Ltd., 3.933%, 08/02/2034 | | | 1,618,801 | | | 0.0 | |
| 1,004,000 | | | (1),(3) | | Nationwide Building Society, 3.960%, 07/18/2030 | | | 1,049,882 | | | 0.0 | |
| 2,000,000 | | | (1) | | New York Life Global Funding, 2.875%, 04/10/2024 | | | 2,062,198 | | | 0.1 | |
| 2,661,000 | | | (1),(2),(3) | | Nordea Bank ABP, 6.125%, 12/31/2199 | | | 2,772,669 | | | 0.1 | |
| 5,000,000 | | | | | ORIX Corp., 3.250%, 12/04/2024 | | | 5,197,264 | | | 0.1 | |
| 1,130,000 | | | | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | | | 1,191,525 | | | 0.0 | |
| 2,000,000 | | | | | Royal Bank of Canada, 2.949%, (US0003M + 0.660%), 10/05/2023 | | | 2,007,315 | | | 0.1 | |
| 3,380,000 | | | | | Royal Bank of Canada, 3.700%, 10/05/2023 | | | 3,578,158 | | | 0.1 | |
| 5,500,000 | | | | | Royal Bank of Scotland Group PLC, 3.875%, 09/12/2023 | | | 5,679,730 | | | 0.2 | |
| 1,813,000 | | | (3) | | Royal Bank of Scotland Group PLC, 4.269%, 03/22/2025 | | | 1,897,205 | | | 0.0 | |
| 2,000,000 | | | (2) | | Sumitomo Mitsui Financial Group, Inc., 2.442%, 10/19/2021 | | | 2,010,793 | | | 0.1 | |
| 1,430,000 | | | | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | | | 1,430,060 | | | 0.0 | |
| 1,062,000 | | | | | Toronto-Dominion Bank/The, 2.650%, 06/12/2024 | | | 1,083,863 | | | 0.0 | |
| 4,500,000 | | | | | Toronto-Dominion Bank/The, 3.250%, 03/11/2024 | | | 4,709,796 | | | 0.1 | |
| 2,000,000 | | | (2) | | Toronto-Dominion Bank/The, 3.500%, 07/19/2023 | | | 2,110,583 | | | 0.1 | |
| 2,007,000 | | | (3) | | Toronto-Dominion Bank, 3.625%, 09/15/2031 | | | 2,074,421 | | | 0.1 | |
| 3,500,000 | | | | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | | | 3,951,833 | | | 0.1 | |
| 2,470,000 | | | | | UBS AG, 5.125%, 05/15/2024 | | | 2,664,947 | | | 0.1 | |
| 4,000,000 | | | (2) | | Wells Fargo & Co., 3.750%, 01/24/2024 | | | 4,238,850 | | | 0.1 | |
| 3,000,000 | | | | | Wells Fargo & Co., 4.125%, 08/15/2023 | | | 3,185,215 | | | 0.1 | |
| 1,250,000 | | | | | Wells Fargo & Co., 4.750%, 12/07/2046 | | | 1,481,988 | | | 0.0 | |
| 7,600,000 | | | | | Wells Fargo Bank NA, 3.625%, 10/22/2021 | | | 7,821,867 | | | 0.2 | |
| 2,195,000 | | | (3) | | Wells Fargo Bank NA, 2.082%, 09/09/2022 | | | 2,190,387 | | | 0.1 | |
| 1,825,000 | | | (2) | | XLIT Ltd., 5.500%, 03/31/2045 | | | 2,310,077 | | | 0.1 | |
| 2,500,000 | | | | | Zions Bancorp NA, 3.500%, 08/27/2021 | | | 2,555,254 | | | 0.1 | |
| | | | | | | | | 271,692,974 | | | 7.5 | |
| | | | | | | | | | | | | |
| | | | | | Industrial: 1.5% | | | | | | | |
| 2,680,000 | | | | | Amphenol Corp., 2.800%, 02/15/2030 | | | 2,612,649 | | | 0.1 | |
| 1,500,000 | | | | | Amphenol Corp., 3.200%, 04/01/2024 | | | 1,553,127 | | | 0.0 | |
| 3,106,000 | | | (3) | | BNSF Funding Trust I, 6.613%, 12/15/2055 | | | 3,436,851 | | | 0.1 | |
| 2,470,000 | | | | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | | | 2,770,970 | | | 0.1 | |
| 3,000,000 | | | | | Caterpillar Financial Services Corp., 3.150%, 09/07/2021 | | | 3,062,980 | | | 0.1 | |
| 1,750,000 | | | | | CSX Corp., 4.650%, 03/01/2068 | | | 2,016,010 | | | 0.1 | |
| 1,250,000 | | | | | FedEx Corp., 4.400%, 01/15/2047 | | | 1,283,485 | | | 0.0 | |
| 3,500,000 | | | | | General Electric Co., 4.500%, 03/11/2044 | | | 3,755,505 | | | 0.1 | |
| 2,000,000 | | | | | John Deere Capital Corp., 3.125%, 09/10/2021 | | | 2,046,074 | | | 0.1 | |
| 2,840,000 | | | | | Norfolk Southern Corp., 3.650%, 08/01/2025 | | | 3,038,211 | | | 0.1 | |
| 278,000 | | | | | Northrop Grumman Corp., 2.930%, 01/15/2025 | | | 286,798 | | | 0.0 | |
| 1,077,000 | | | | | PerkinElmer, Inc., 3.300%, 09/15/2029 | | | 1,078,185 | | | 0.0 | |
| 2,365,000 | | | | | Rockwell Collins, Inc., 3.200%, 03/15/2024 | | | 2,458,182 | | | 0.1 | |
| 2,000,000 | | | (1) | | SMBC Aviation Capital Finance DAC, 2.650%, 07/15/2021 | | | 2,001,336 | | | 0.1 | |
| 1,330,000 | | | (1),(2) | | SMBC Aviation Capital Finance DAC, 3.550%, 04/15/2024 | | | 1,383,257 | | | 0.0 | |
| 4,600,000 | | | | | Stanley Black & Decker, Inc., 2.900%, 11/01/2022 | | | 4,715,681 | | | 0.1 | |
| 2,250,000 | | | (1) | | TTX Co., 3.600%, 01/15/2025 | | | 2,381,565 | | | 0.1 | |
| 3,000,000 | | | | | United Parcel Service, Inc., 2.050%, 04/01/2021 | | | 3,003,094 | | | 0.1 | |
| 2,230,000 | | | | | United Parcel Service, Inc., 2.500%, 04/01/2023 | | | 2,261,604 | | | 0.1 | |
| 1,000,000 | | | | | United Parcel Service, Inc., 2.800%, 11/15/2024 | | | 1,034,458 | | | 0.0 | |
| 3,500,000 | | | | | United Technologies Corp., 3.650%, 08/16/2023 | | | 3,704,558 | | | 0.1 | |
| 272,000 | | | | | United Technologies Corp., 5.400%, 05/01/2035 | | | 348,049 | | | 0.0 | |
| 402,000 | | | | | United Technologies Corp., 6.125%, 07/15/2038 | | | 553,909 | | | 0.0 | |
| 1,155,000 | | | (1) | | Vinci SA, 3.750%, 04/10/2029 | | | 1,265,523 | | | 0.0 | |
| 500,000 | | | (2) | | WRKCo, Inc., 4.200%, 06/01/2032 | | | 549,524 | | | 0.0 | |
| | | | | | | | | 52,601,585 | | | 1.5 | |
| | | | | | | | | | | | | |
| | | | | | Technology: 1.3% | | | | | | | |
| 1,000,000 | | | | | Analog Devices, Inc., 3.500%, 12/05/2026 | | | 1,048,129 | | | 0.0 | |
| 3,500,000 | | | | | Apple, Inc., 2.400%, 01/13/2023 | | | 3,559,453 | | | 0.1 | |
| 3,600,000 | | | | | Apple, Inc., 3.750%, 09/12/2047 | | | 4,015,894 | | | 0.1 | |
| 2,000,000 | | | | | Apple, Inc., 3.850%, 05/04/2043 | | | 2,248,214 | | | 0.1 | |
| 1,000,000 | | | (1) | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | | | 1,128,542 | | | 0.0 | |
| 2,194,000 | | | | | Fiserv, Inc., 3.200%, 07/01/2026 | | | 2,276,339 | | | 0.1 | |
| 1,840,000 | | | (2) | | HP, Inc., 4.050%, 09/15/2022 | | | 1,941,296 | | | 0.1 | |
| 3,500,000 | | | | | HP, Inc., 4.300%, 06/01/2021 | | | 3,617,423 | | | 0.1 | |
| 3,030,000 | | | | | IBM Credit LLC, 3.000%, 02/06/2023 | | | 3,119,577 | | | 0.1 | |
| 2,000,000 | | | | | International Business Machines Corp., 2.875%, 11/09/2022 | | | 2,052,819 | | | 0.1 | |
| 5,000,000 | | | | | International Business Machines Corp., 3.300%, 05/15/2026 | | | 5,280,818 | | | 0.1 | |
| 2,000,000 | | | | | KLA Corp., 4.125%, 11/01/2021 | | | 2,067,602 | | | 0.1 | |
| 6,000,000 | | | | | Microsoft Corp., 3.700%, 08/08/2046 | | | 6,886,879 | | | 0.2 | |
| 4,000,000 | | | | | Microsoft Corp., 4.450%, 11/03/2045 | | | 5,058,518 | | | 0.1 | |
| 209,000 | | | | | Oracle Corp., 3.850%, 07/15/2036 | | | 231,053 | | | 0.0 | |
| 1,500,000 | | | | | Oracle Corp., 4.000%, 11/15/2047 | | | 1,688,147 | | | 0.0 | |
| | | | | | | | | 46,220,703 | | | 1.3 | |
| | | | | | | | | | | | | |
| | | | | | Utilities: 2.8% | | | | | | | |
| 2,660,000 | | | | | Alabama Power Co., 3.375%, 10/01/2020 | | | 2,693,627 | | | 0.1 | |
| 1,375,000 | | | | | Ameren Corp., 2.700%, 11/15/2020 | | | 1,382,508 | | | 0.0 | |
| 2,500,000 | | | (1) | | American Transmission Systems, Inc., 5.000%, 09/01/2044 | | | 3,199,733 | | | 0.1 | |
| 3,219,000 | | | (1) | | American Transmission Systems, Inc., 5.250%, 01/15/2022 | | | 3,430,888 | | | 0.1 | |
| 2,709,000 | | | | | Avangrid, Inc., 3.800%, 06/01/2029 | | | 2,913,512 | | | 0.1 | |
| 1,470,000 | | | (2) | | Baltimore Gas & Electric Co., 3.350%, 07/01/2023 | | | 1,535,181 | | | 0.0 | |
| 1,045,000 | | | | | Black Hills Corp., 3.050%, 10/15/2029 | | | 1,042,751 | | | 0.0 | |
| 1,800,000 | | | | | Black Hills Corp., 4.250%, 11/30/2023 | | | 1,916,350 | | | 0.1 | |
| 750,000 | | | | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | | | 805,269 | | | 0.0 | |
| 1,250,000 | | | | | Commonwealth Edison Co., 3.750%, 08/15/2047 | | | 1,373,625 | | | 0.0 | |
| 500,000 | | | | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | | | 543,247 | | | 0.0 | |
| 491,000 | | | | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | | | 606,639 | | | 0.0 | |
| 1,292,000 | | | | | Consumers Energy Co., 3.100%, 08/15/2050 | | | 1,297,467 | | | 0.0 | |
| 3,765,000 | | | (1),(2) | | DPL, Inc., 4.350%, 04/15/2029 | | | 3,724,087 | | | 0.1 | |
| 2,235,000 | | | (2) | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | | | 2,251,515 | | | 0.1 | |
| 1,940,000 | | | | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | | | 2,110,969 | | | 0.1 | |
| 2,000,000 | | | | | Duke Energy Carolinas LLC, 3.875%, 03/15/2046 | | | 2,225,327 | | | 0.1 | |
| 1,055,000 | | | (3) | | Duke Energy Corp., 4.875%, 12/31/2199 | | | 1,080,979 | | | 0.0 | |
| 1,485,000 | | | | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | | | 1,484,763 | | | 0.0 | |
| 1,286,000 | | | | | Entergy Corp., 2.950%, 09/01/2026 | | | 1,307,191 | | | 0.0 | |
| 3,125,000 | | | | | Entergy Gulf States Louisiana LLC, 3.950%, 10/01/2020 | | | 3,168,193 | | | 0.1 | |
| 3,470,000 | | | | | Entergy Louisiana LLC, 4.050%, 09/01/2023 | | | 3,713,254 | | | 0.1 | |
| 2,750,000 | | | | | Eversource Energy, 2.900%, 10/01/2024 | | | 2,819,546 | | | 0.1 | |
| 3,528,000 | | | | | Exelon Corp., 3.497%, 06/01/2022 | | | 3,621,491 | | | 0.1 | |
| 3,565,000 | | | | | FirstEnergy Corp., 2.850%, 07/15/2022 | | | 3,620,492 | | | 0.1 | |
| 2,203,000 | | | | | FirstEnergy Corp., 4.250%, 03/15/2023 | | | 2,331,653 | | | 0.1 | |
| 1,505,000 | | | | | Georgia Power Co., 2.200%, 09/15/2024 | | | 1,489,263 | | | 0.0 | |
| 1,310,000 | | | | | Georgia Power Co., 5.750%, 04/15/2023 | | | 1,437,477 | | | 0.0 | |
| 3,640,000 | | | | | Interstate Power & Light Co., 3.250%, 12/01/2024 | | | 3,799,507 | | | 0.1 | |
| 2,802,000 | | | (1) | | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | | | 3,070,127 | | | 0.1 | |
| 1,745,000 | | | | | LG&E & KU Energy LLC, 3.750%, 11/15/2020 | | | 1,767,891 | | | 0.1 | |
| 411,000 | | | (1) | | Metropolitan Edison Co., 4.000%, 04/15/2025 | | | 437,017 | | | 0.0 | |
| 3,035,000 | | | | | Mississippi Power Co., 4.250%, 03/15/2042 | | | 3,294,266 | | | 0.1 | |
| 368,000 | | | | | Mississippi Power Co., 4.750%, 10/15/2041 | | | 387,134 | | | 0.0 | |
| 1,507,000 | | | (3) | | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | | | 1,537,796 | | | 0.0 | |
| 2,650,000 | | | | | NextEra Energy Capital Holdings, Inc., 3.150%, 04/01/2024 | | | 2,739,354 | | | 0.1 | |
| 1,000,000 | | | | | NiSource, Inc., 5.950%, 06/15/2041 | | | 1,287,946 | | | 0.0 | |
| 4,320,000 | | | | | Public Service Electric & Gas Co., 3.250%, 09/01/2023 | | | 4,519,310 | | | 0.1 | |
| 1,740,000 | | | (2) | | San Diego Gas & Electric Co., 3.000%, 08/15/2021 | | | 1,761,922 | | | 0.1 | |
| 2,643,000 | | | | | Sierra Pacific Power Co., 2.600%, 05/01/2026 | | | 2,687,774 | | | 0.1 | |
| 280,000 | | | (2) | | Southern California Edison Co., 2.400%, 02/01/2022 | | | 280,954 | | | 0.0 | |
| 620,000 | | | (2) | | Southern California Edison Co., 3.875%, 06/01/2021 | | | 634,205 | | | 0.0 | |
| 2,000,000 | | | | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | | | 2,262,166 | | | 0.1 | |
| 1,775,000 | | | | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | | | 2,292,282 | | | 0.1 | |
| 1,750,000 | | | | | Tampa Electric Co., 5.400%, 05/15/2021 | | | 1,840,835 | | | 0.1 | |
| 2,000,000 | | | | | Union Electric Co., 3.500%, 03/15/2029 | | | 2,175,866 | | | 0.1 | |
| 781,000 | | | (2) | | Virginia Electric & Power Co., 2.875%, 07/15/2029 | | | 804,643 | | | 0.0 | |
| 996,000 | | | (2) | | Virginia Electric & Power Co., 3.450%, 09/01/2022 | | | 1,029,679 | | | 0.0 | |
| 1,710,000 | | | | | Washington Gas Light Co., 3.650%, 09/15/2049 | | | 1,758,557 | | | 0.0 | |
| 1,944,000 | | | | | Westar Energy, Inc., 3.250%, 09/01/2049 | | | 1,958,775 | | | 0.1 | |
| | | | | | | | | 101,455,003 | | | 2.8 | |
| | | | | | Total Corporate Bonds/Notes (Cost $830,054,550) | | | 874,631,191 | | | 24.3 | |
| | | | | | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 19.4% | | | |
| 4,934,472 | | | | | Alternative Loan Trust 2005-10CB 1A1, 2.518%, (US0001M + 0.500%), 05/25/2035 | | | 4,238,646 | | | 0.1 | |
| 4,085,030 | | | | | Alternative Loan Trust 2005-51 3A2A, 3.736%, (12MTA + 1.290%), 11/20/2035 | | | 3,993,181 | | | 0.1 | |
| 1,816,514 | | | | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | | | 1,704,100 | | | 0.1 | |
| 2,240,438 | | | | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | | | 2,222,182 | | | 0.1 | |
| 487,271 | | | (4) | | Alternative Loan Trust 2005-J3 2A2, 2.982%, (-1.000*US0001M + 5.000%), 05/25/2035 | | | 47,850 | | | 0.0 | |
| 1,511,168 | | | | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | | | 1,148,852 | | | 0.0 | |
| 3,266,107 | | | | | Alternative Loan Trust 2006-HY11 A1, 2.138%, (US0001M + 0.120%), 06/25/2036 | | | 3,127,956 | | | 0.1 | |
| 2,189,583 | | | | | Alternative Loan Trust 2007-23CB A3, 2.518%, (US0001M + 0.500%), 09/25/2037 | | | 1,242,719 | | | 0.0 | |
| 191,355 | | | | | Banc of America Funding 2007 8 Trust 4A1, 6.000%, 08/25/2037 | | | 181,336 | | | 0.0 | |
| 907,163 | | | (3) | | Bear Stearns ALT-A Trust 2005-10 22A1, 4.268%, 01/25/2036 | | | 919,048 | | | 0.0 | |
| 448,913 | | | (3) | | Bear Stearns ALT-A Trust 2005-4 23A1, 4.496%, 05/25/2035 | | | 457,183 | | | 0.0 | |
| 1,373,143 | | | (3) | | Bear Stearns ALT-A Trust 2006-6 31A1, 4.053%, 11/25/2036 | | | 1,281,796 | | | 0.0 | |
| 1,225,633 | | | (3) | | Bear Stearns ALT-A Trust 2006-6 32A1, 3.825%, 11/25/2036 | | | 1,025,465 | | | 0.0 | |
| 9,656 | | | (3) | | Bear Stearns ARM Trust 2005-12 13A1, 4.528%, 02/25/2036 | | | 9,280 | | | 0.0 | |
| 3,755,117 | | | | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 2.208%, (US0001M + 0.190%), 01/25/2037 | | | 3,721,644 | | | 0.1 | |
| 156,483 | | | (3) | | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 4.082%, 01/26/2036 | | | 138,902 | | | 0.0 | |
| 1,044,427 | | | (1),(3) | | Chase Home Lending Mortgage Trust 2019-ATR1 A3, 4.000%, 04/25/2049 | | | 1,067,947 | | | 0.0 | |
| 607,597 | | | (3) | | Chase Mortgage Finance Trust Series 2005-A1 1A1, 4.208%, 12/25/2035 | | | 580,494 | | | 0.0 | |
| 2,806,529 | | | (3) | | CHL Mortgage Pass-Through Trust 2004-22 A3, 4.241%, 11/25/2034 | | | 2,841,458 | | | 0.1 | |
| 69,054 | | | (3) | | CHL Mortgage Pass-Through Trust 2004-HYB9 1A1, 4.244%, 02/20/2035 | | | 69,922 | | | 0.0 | |
| 21,448 | | | | | CHL Mortgage Pass-Through Trust 2005-2 2A3, 2.698%, (US0001M + 0.680%), 03/25/2035 | | | 20,150 | | | 0.0 | |
| 166,323 | | | | | Citicorp Mortgage Securities Trust Series 2006-4 2A1, 5.500%, 08/25/2036 | | | 175,234 | | | 0.0 | |
| 968,979 | | | | | Citicorp Mortgage Securities Trust Series 2007-1 1A1, 6.000%, 01/25/2037 | | | 962,963 | | | 0.0 | |
| 1,552,421 | | | (3) | | Citigroup Mortgage Loan Trust 2007-10 22AA, 4.218%, 09/25/2037 | | | 1,518,816 | | | 0.0 | |
| 1,248,930 | | | (1),(3) | | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | | | 1,337,155 | | | 0.0 | |
| 67,374 | | | (3) | | Citigroup Mortgage Loan Trust, Inc. 2005-3 2A2A, 4.566%, 08/25/2035 | | | 68,762 | | | 0.0 | |
| 2,520,319 | | | | | Citigroup Mortgage Loan Trust, Inc. 2005-8 3A1, 5.500%, 09/25/2035 | | | 2,616,016 | | | 0.1 | |
| 342,262 | | | | | CitiMortgage Alternative Loan Trust Series 2007-A2 1A5, 6.000%, 02/25/2037 | | | 341,419 | | | 0.0 | |
| 989,592 | | | | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 2.518%, (US0001M + 0.500%), 11/25/2035 | | | 626,295 | | | 0.0 | |
| 5,485,223 | | | | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 2.738%, (US0001M + 0.720%), 11/25/2035 | | | 5,501,951 | | | 0.2 | |
| 200,298 | | | (3) | | DSLA Mortgage Loan Trust 2004-AR3 2A1, 4.489%, 07/19/2044 | | | 207,490 | | | 0.0 | |
| 704,559 | | | | | DSLA Mortgage Loan Trust 2005-AR4 2A1B, 2.337%, (US0001M + 0.280%), 08/19/2045 | | | 617,274 | | | 0.0 | |
| 1,000,000 | | | | | Fannie Mae 2011-128 KB, 4.500%, 12/25/2041 | | | 1,168,417 | | | 0.0 | |
| 11,955,948 | | | | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | | | 13,922,476 | | | 0.4 | |
| 2,320,635 | | | | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | | | 2,404,397 | | | 0.1 | |
| 29,387,797 | | | (4) | | Fannie Mae 2016-82 SD, 4.032%, (-1.000*US0001M + 6.050%), 11/25/2046 | | | 5,835,132 | | | 0.2 | |
| 6,439,345 | | | | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | | | 6,729,530 | | | 0.2 | |
| 8,400,000 | | | | | Fannie Mae Connecticut Avenue Securities 16-C06 1M2, 6.268%, (US0001M + 4.250%), 04/25/2029 | | | 8,990,344 | | | 0.3 | |
| 3,797,169 | | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 6.018%, (US0001M + 4.000%), 05/25/2025 | | | 4,013,635 | | | 0.1 | |
| 250,275 | | | | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 6.018%, (US0001M + 4.000%), 05/25/2025 | | | 259,242 | | | 0.0 | |
| 6,775,359 | | | | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 7.568%, (US0001M + 5.550%), 04/25/2028 | | | 7,246,038 | | | 0.2 | |
| 7,100,000 | | | | | Fannie Mae Connecticut Avenue Securities 2016-C04 1M2, 6.268%, (US0001M + 4.250%), 01/25/2029 | | | 7,508,506 | | | 0.2 | |
| 11,260,083 | | | | | Fannie Mae Connecticut Avenue Securities 2016-C05 2M2, 6.468%, (US0001M + 4.450%), 01/25/2029 | | | 11,869,296 | | | 0.3 | |
| 4,800,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 5.568%, (US0001M + 3.550%), 07/25/2029 | | | 5,049,598 | | | 0.1 | |
| 4,900,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 5.668%, (US0001M + 3.650%), 09/25/2029 | | | 5,156,784 | | | 0.1 | |
| 1,500,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 5.018%, (US0001M + 3.000%), 10/25/2029 | | | 1,560,868 | | | 0.0 | |
| 5,889,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 4.868%, (US0001M + 2.850%), 11/25/2029 | | | 6,074,216 | | | 0.2 | |
| 9,050,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C05 1M2, 4.218%, (US0001M + 2.200%), 01/25/2030 | | | 9,175,433 | | | 0.3 | |
| 900,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 4.668%, (US0001M + 2.650%), 02/25/2030 | | | 921,112 | | | 0.0 | |
| 8,050,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C07 1M2, 4.418%, (US0001M + 2.400%), 05/28/2030 | | | 8,154,672 | | | 0.2 | |
| 8,700,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 4.518%, (US0001M + 2.500%), 05/25/2030 | | | 8,843,795 | | | 0.3 | |
| 4,800,000 | | | | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 4.818%, (US0001M + 2.800%), 02/25/2030 | | | 4,899,252 | | | 0.1 | |
| 7,100,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-C02 2M2, 4.218%, (US0001M + 2.200%), 08/25/2030 | | | 7,157,636 | | | 0.2 | |
| 1,700,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 4.168%, (US0001M + 2.150%), 10/25/2030 | | | 1,714,820 | | | 0.1 | |
| 1,200,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-C04 2M2, 4.568%, (US0001M + 2.550%), 12/25/2030 | | | 1,221,966 | | | 0.0 | |
| 2,500,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-C05 1M2, 4.368%, (US0001M + 2.350%), 01/25/2031 | | | 2,531,208 | | | 0.1 | |
| 8,900,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 4.018%, (US0001M + 2.000%), 03/25/2031 | | | 8,940,526 | | | 0.3 | |
| 14,000,000 | | | | | Fannie Mae Connecticut Avenue Securities 2018-CO1 1M2, 4.268%, (US0001M + 2.250%), 07/25/2030 | | | 14,145,225 | | | 0.4 | |
| 3,500,000 | | | (1) | | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 4.318%, (US0001M + 2.300%), 08/25/2031 | | | 3,522,360 | | | 0.1 | |
| 7,100,000 | | | (1) | | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 4.418%, (US0001M + 2.400%), 04/25/2031 | | | 7,174,212 | | | 0.2 | |
| 2,424,715 | | | | | Fannie Mae Connecticut Avenue Securities, 7.718%, (US0001M + 5.700%), 04/25/2028 | | | 2,666,032 | | | 0.1 | |
| 551,868 | | | (4) | | Fannie Mae Interest Strip Series 418 10, 4.000%, 08/25/2043 | | | 102,720 | | | 0.0 | |
| 457,464 | | | (4) | | Fannie Mae Interest Strip Series 418 15, 3.500%, 08/25/2043 | | | 72,274 | | | 0.0 | |
| 10,346 | | | | | Fannie Mae REMIC Trust 1994-77 FB, 3.518%, (US0001M + 1.500%), 04/25/2024 | | | 10,427 | | | 0.0 | |
| 383,393 | | | | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | | | 421,206 | | | 0.0 | |
| 305,143 | | | | | Fannie Mae REMIC Trust 2001-15 Z, 6.000%, 04/25/2031 | | | 336,936 | | | 0.0 | |
| 31,175 | | | | | Fannie Mae REMIC Trust 2002-21 FC, 2.918%, (US0001M + 0.900%), 04/25/2032 | | | 31,671 | | | 0.0 | |
| 941,762 | | | (4) | | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | | | 214,105 | | | 0.0 | |
| 83,244 | | | | | Fannie Mae REMIC Trust 2004-11 A, 2.138%, (US0001M + 0.120%), 03/25/2034 | | | 82,933 | | | 0.0 | |
| 502,220 | | | | | Fannie Mae REMIC Trust 2005-120 ZU, 5.500%, 01/25/2036 | | | 561,700 | | | | 0.0 | |
| 200,855 | | | | | Fannie Mae REMIC Trust 2005-74 DK, 15.927%, (-4.000*US0001M + 24.000%), 07/25/2035 | | | 320,943 | | | | 0.0 | |
| 5,349,255 | | | (4) | | Fannie Mae REMIC Trust 2005-92 SC, 4.662%, (-1.000*US0001M + 6.680%), 10/25/2035 | | | 1,030,103 | | | | 0.0 | |
| 356,108 | | | | | Fannie Mae REMIC Trust 2006-103 EZ, 6.250%, 10/25/2036 | | | 397,126 | | | | 0.0 | |
| 1,009,165 | | | | | Fannie Mae REMIC Trust 2006-104 ES, 23.358%, (-5.000*US0001M + 33.450%), 11/25/2036 | | | 1,857,232 | | | | 0.1 | |
| 6,221,806 | | | (4) | | Fannie Mae REMIC Trust 2006-12 SD, 4.732%, (-1.000*US0001M + 6.750%), 10/25/2035 | | | 1,112,479 | | | | 0.0 | |
| 2,793,478 | | | (4) | | Fannie Mae REMIC Trust 2006-123 UI, 4.722%, (-1.000*US0001M + 6.740%), 01/25/2037 | | | 623,500 | | | | 0.0 | |
| 714,183 | | | (4) | | Fannie Mae REMIC Trust 2006-72 HS, 4.682%, (-1.000*US0001M + 6.700%), 08/25/2026 | | | 90,236 | | | | 0.0 | |
| 226,697 | | | | | Fannie Mae REMIC Trust 2007-73 A1, 2.279%, (US0001M + 0.060%), 07/25/2037 | | | 222,934 | | | | 0.0 | |
| 565,025 | | | | | Fannie Mae REMIC Trust 2008-20 SP, 10.454%, (-2.500*US0001M + 15.500%), 03/25/2038 | | | 751,434 | | | | 0.0 | |
| 2,422,367 | | | | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | | | 2,644,912 | | | | 0.1 | |
| 8,526,751 | | | (4) | | Fannie Mae REMIC Trust 2010-102 SB, 4.582%, (-1.000*US0001M + 6.600%), 09/25/2040 | | | 1,860,842 | | | | 0.1 | |
| 2,845,884 | | | (4) | | Fannie Mae REMIC Trust 2010-116 SE, 4.582%, (-1.000*US0001M + 6.600%), 10/25/2040 | | | 557,293 | | | | 0.0 | |
| 8,424,710 | | | (4) | | Fannie Mae REMIC Trust 2010-123 SL, 4.052%, (-1.000*US0001M + 6.070%), 11/25/2040 | | | 1,325,650 | | | | 0.0 | |
| 5,050,000 | | | | | Fannie Mae REMIC Trust 2010-130 CX, 4.500%, 09/25/2039 | | | 5,279,276 | | | | 0.2 | |
| 4,325,033 | | | (4) | | Fannie Mae REMIC Trust 2010-55 AS, 4.402%, (-1.000*US0001M + 6.420%), 06/25/2040 | | | 829,390 | | | | 0.0 | |
| 8,159,907 | | | | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | | | 9,166,873 | | | | 0.3 | |
| 1,357,501 | | | | | Fannie Mae REMIC Trust 2010-60 HJ, 5.500%, 05/25/2040 | | | 1,491,850 | | | | 0.0 | |
| 7,766,646 | | | (4) | | Fannie Mae REMIC Trust 2011-3 AI, 5.000%, 01/25/2041 | | | 642,172 | | | | 0.0 | |
| 2,013,043 | | | (4) | | Fannie Mae REMIC Trust 2012-10 US, 4.432%, (-1.000*US0001M + 6.450%), 02/25/2042 | | | 258,075 | | | | 0.0 | |
| 1,537,711 | | | | | Fannie Mae REMIC Trust 2012-103 DA, 3.500%, 10/25/2041 | | | 1,591,670 | | | | 0.1 | |
| 11,665,030 | | | (4) | | Fannie Mae REMIC Trust 2012-113 SG, 4.082%, (-1.000*US0001M + 6.100%), 10/25/2042 | | | 2,158,060 | | | | 0.1 | |
| 8,533,814 | | | (4) | | Fannie Mae REMIC Trust 2012-122 SB, 4.132%, (-1.000*US0001M + 6.150%), 11/25/2042 | | | 1,666,028 | | | | 0.1 | |
| 3,559,035 | | | (4) | | Fannie Mae REMIC Trust 2012-128 DI, 3.000%, 10/25/2032 | | | 319,700 | | | | 0.0 | |
| 3,922,600 | | | | | Fannie Mae REMIC Trust 2012-131 BS, 2.880%, (-1.200*US0001M + 5.400%), 12/25/2042 | | | 3,850,423 | | | | 0.1 | |
| 13,475,620 | | | (4) | | Fannie Mae REMIC Trust 2012-137 SN, 4.082%, (-1.000*US0001M + 6.100%), 12/25/2042 | | | 2,367,457 | | | | 0.1 | |
| 5,385,990 | | | (4) | | Fannie Mae REMIC Trust 2012-15 SP, 4.602%, (-1.000*US0001M + 6.620%), 06/25/2040 | | | 569,063 | | | | 0.0 | |
| 3,276,817 | | | (4) | | Fannie Mae REMIC Trust 2012-58 PI, 5.000%, 04/25/2042 | | | 519,720 | | | | 0.0 | |
| 691,363 | | | | | Fannie Mae REMIC Trust 2013-44 ZG, 3.500%, 03/25/2042 | | | 729,980 | | | | 0.0 | |
| 10,712,508 | | | (4) | | Fannie Mae REMIC Trust 2013-60 DS, 4.182%, (-1.000*US0001M + 6.200%), 06/25/2033 | | | 1,804,527 | | | | 0.1 | |
| 8,625,800 | | | (4) | | Fannie Mae REMIC Trust 2013-9 DS, 4.132%, (-1.000*US0001M + 6.150%), 02/25/2043 | | | 2,056,638 | | | | 0.1 | |
| 284,242 | | | (4) | | Fannie Mae REMIC Trust 2013-9 SA, 4.132%, (-1.000*US0001M + 6.150%), 03/25/2042 | | | 45,661 | | | | 0.0 | |
| 3,345,047 | | | (4) | | Fannie Mae REMIC Trust 2014-81 JI, 4.000%, 09/25/2041 | | | 207,264 | | | | 0.0 | |
| 24,940,182 | | | (4) | | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | | | 5,564,793 | | | | 0.2 | |
| 3,974,593 | | | (4) | | Fannie Mae REMICS 2005-66 SY, 4.682%, (-1.000*US0001M + 6.700%), 07/25/2035 | | | 824,075 | | | | 0.0 | |
| 7,045,440 | | | (4) | | Fannie Mae REMICS 2006-120 QD, 2.682%, (-1.000*US0001M + 4.700%), 10/25/2036 | | | 766,268 | | | | 0.0 | |
| 3,328,909 | | | (4) | | Fannie Mae REMICS 2006-59 XS, 5.182%, (-1.000*US0001M + 7.200%), 07/25/2036 | | | 648,316 | | | | 0.0 | |
| 3,543,250 | | | (4) | | Fannie Mae REMICS 2007-53 SX, 4.082%, (-1.000*US0001M + 6.100%), 06/25/2037 | | | 697,346 | | | | 0.0 | |
| 1,438,234 | | | | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | | | 1,613,237 | | | | 0.1 | |
| 103,000 | | | | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | | | 110,540 | | | | 0.0 | |
| 5,461,038 | | | (4) | | Fannie Mae REMICS 2011-149 ES, 3.982%, (-1.000*US0001M + 6.000%), 07/25/2041 | | | 706,252 | | | | 0.0 | |
| 1,180,640 | | | | | Fannie Mae REMICS 2012-150 CS, 2.972%, (-1.500*US0001M + 6.000%), 01/25/2043 | | | 1,125,262 | | | | 0.0 | |
| 14,221,131 | | | (4) | | Fannie Mae REMICS 2016-93 SL, 4.632%, (-1.000*US0001M + 6.650%), 12/25/2046 | | | 2,598,098 | | | | 0.1 | |
| 2,153,825 | | | | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | | | 2,212,268 | | | | 0.1 | |
| 463,751 | | | | | Fannie Mae REMICS 2018-27 EA, 3.000%, 05/25/2048 | | | 477,162 | | | | 0.0 | |
| 2,487,393 | | | | | Fannie Mae REMICS 2018-64 ET, 3.000%, 09/25/2048 | | | 2,539,638 | | | | 0.1 | |
| 14,574,192 | | | (4) | | Fannie Mae REMICS 2019-18 SA, 4.032%, (-1.000*US0001M + 6.050%), 05/25/2049 | | | 2,655,406 | | | | 0.1 | |
| 230,633 | | | (3) | | First Horizon Alternative Mortgage Securities Trust 2005-AA1 1A1, 3.896%, 03/25/2035 | | | 189,243 | | | | 0.0 | |
| 512,326 | | | (3) | | First Horizon Asset Securities, Inc. 2005-AR6 4A1, 4.550%, 02/25/2036 | | | 501,636 | | | | 0.0 | |
| 40,459 | | | (3) | | First Horizon Mortgage Pass-Through Trust 2005-AR3 2A1, 4.603%, 08/25/2035 | | | 33,996 | | | | 0.0 | |
| 1,449,205 | | | (1),(3) | | Flagstar Mortgage Trust 2018-1 B1, 4.038%, 03/25/2048 | | | 1,576,721 | | | | 0.1 | |
| 1,545,818 | | | (1),(3) | | Flagstar Mortgage Trust 2018-1 B2, 4.038%, 03/25/2048 | | | 1,656,796 | | | | 0.1 | |
| 2,028,886 | | | (1),(3) | | Flagstar Mortgage Trust 2018-1 B3, 4.038%, 03/25/2048 | | | 2,103,161 | | | | 0.1 | |
| 1,749,559 | | | (1),(3) | | Flagstar Mortgage Trust 2018-2 B2, 4.063%, 04/25/2048 | | | 1,863,547 | | | | 0.1 | |
| 2,533,111 | | | (1),(3) | | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | | | 2,611,291 | | | | 0.1 | |
| 5,601,736 | | | (4) | | Freddie Mac 2815 GS, 3.973%, (-1.000*US0001M + 6.000%), 03/15/2034 | | | 980,552 | | | | 0.0 | |
| 17,738,677 | | | | | Freddie Mac 326 350, 3.500%, 03/15/2044 | | | 18,746,028 | | | | 0.5 | |
| 5,100 | | | | | Freddie Mac REMIC Trust 1125 Z, 8.250%, 08/15/2021 | | | 5,298 | | | | 0.0 | |
| 247,218 | | | | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | | | 274,229 | | | | 0.0 | |
| 249,585 | | | | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | | | 275,579 | | | | 0.0 | |
| 104,521 | | | | | Freddie Mac REMIC Trust 2411 FJ, 2.378%, (US0001M + 0.350%), 12/15/2029 | | | 102,799 | | | | 0.0 | |
| 156,963 | | | | | Freddie Mac REMIC Trust 2460 ZM, 6.000%, 06/15/2032 | | | 175,158 | | | | 0.0 | |
| 390,651 | | | | | Freddie Mac REMIC Trust 2472 ZC, 6.000%, 07/15/2032 | | | 440,895 | | | | 0.0 | |
| 336,920 | | | | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | | | 347,344 | | | | 0.0 | |
| 322,215 | | | | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | | | 362,085 | | | | 0.0 | |
| 41 | | | | | Freddie Mac REMIC Trust 2559 PB, 5.500%, 08/15/2030 | | | 41 | | | | 0.0 | |
| 282,044 | | | | | Freddie Mac REMIC Trust 2576 KZ, 5.500%, 02/15/2033 | | | 318,287 | | | | 0.0 | |
| 376,539 | | | (4) | | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | | | 84,407 | | | | 0.0 | |
| 462,486 | | | | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | | | 529,654 | | | | 0.0 | |
| 1,039,580 | | | | | Freddie Mac REMIC Trust 2867 MZ, 5.000%, 10/15/2034 | | | 1,176,177 | | | | 0.0 | |
| 901,145 | | | | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | | | 997,377 | | | | 0.0 | |
| 1,052,465 | | | | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | | | 1,166,398 | | | | 0.0 | |
| 6,134,072 | | | (4) | | Freddie Mac REMIC Trust 3045 DI, 4.703%, (-1.000*US0001M + 6.730%), 10/15/2035 | | | 1,215,449 | | | | 0.0 | |
| 3,552 | | | | | Freddie Mac REMIC Trust 3049 NA, 5.000%, 02/15/2035 | | | 3,548 | | | | 0.0 | |
| 2,771,805 | | | (4) | | Freddie Mac REMIC Trust 3064 SP, 4.573%, (-1.000*US0001M + 6.600%), 03/15/2035 | | | 201,002 | | | | 0.0 | |
| 416,360 | | | | | Freddie Mac REMIC Trust 3065 DC, 13.778%, (-3.000*US0001M + 19.860%), 03/15/2035 | | | 580,052 | | | | 0.0 | |
| 908,754 | | | (4) | | Freddie Mac REMIC Trust 3102 IS, 17.133%, (-3.667*US0001M + 24.567%), 01/15/2036 | | | 475,048 | | | | 0.0 | |
| 3,383,366 | | | | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | | | 3,749,901 | | | | 0.1 | |
| 1,881,627 | | | (4) | | Freddie Mac REMIC Trust 3170 SA, 4.573%, (-1.000*US0001M + 6.600%), 09/15/2033 | | | 361,723 | | | | 0.0 | |
| 1,180,281 | | | (4) | | Freddie Mac REMIC Trust 3171 PS, 4.458%, (-1.000*US0001M + 6.485%), 06/15/2036 | | | 197,133 | | | | 0.0 | |
| 1,646,819 | | | | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | | | 1,866,264 | | | | 0.1 | |
| 405,861 | | | (3),(4) | | Freddie Mac REMIC Trust 3524 LA, 5.276%, 03/15/2033 | | | 450,532 | | | | 0.0 | |
| 114,928 | | | | | Freddie Mac REMIC Trust 3556 NT, 5.128%, (US0001M + 3.100%), 03/15/2038 | | | 117,621 | | | | 0.0 | |
| 7,140,138 | | | (4) | | Freddie Mac REMIC Trust 3589 SB, 4.173%, (-1.000*US0001M + 6.200%), 10/15/2039 | | | 1,331,871 | | | | 0.0 | |
| 1,243,033 | | | (4) | | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | | | 172,587 | | | | 0.0 | |
| 7,391,360 | | | | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | | | 8,352,048 | | | | 0.2 | |
| 2,614,506 | | | | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | | | 2,975,169 | | | | 0.1 | |
| 469,420 | | | (4) | | Freddie Mac REMIC Trust 3710 SL, 3.973%, (-1.000*US0001M + 6.000%), 05/15/2036 | | | 8,184 | | | | 0.0 | |
| 1,363,892 | | | | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | | | 1,549,250 | | | | 0.0 | |
| 1,143,269 | | | (4) | | Freddie Mac REMIC Trust 3752 WS, 4.573%, (-1.000*US0001M + 6.600%), 12/15/2039 | | | 53,218 | | | | 0.0 | |
| 1,107,529 | | | | | Freddie Mac REMIC Trust 3819 ZY, 6.000%, 10/15/2037 | | | 1,218,479 | | | | 0.0 | |
| 5,000,000 | | | (4) | | Freddie Mac REMIC Trust 3820 BI, 4.000%, 11/15/2038 | | | 299,121 | | | | 0.0 | |
| 1,967,834 | | | | | Freddie Mac REMIC Trust 3829 VZ, 4.000%, 03/15/2041 | | | 2,144,331 | | | | 0.1 | |
| 6,259,748 | | | (4) | | Freddie Mac REMIC Trust 3856 KS, 4.523%, (-1.000*US0001M + 6.550%), 05/15/2041 | | | 1,078,534 | | | | 0.0 | |
| 1,523,000 | | | | | Freddie Mac REMIC Trust 3898 KD, 4.500%, 07/15/2041 | | | 1,743,545 | | | | 0.1 | |
| 2,423,031 | | | (4) | | Freddie Mac REMIC Trust 3925 SD, 4.023%, (-1.000*US0001M + 6.050%), 07/15/2040 | | | 246,720 | | | | 0.0 | |
| 11,491,166 | | | (4) | | Freddie Mac REMIC Trust 3925 SL, 4.023%, (-1.000*US0001M + 6.050%), 01/15/2041 | | | 1,228,219 | | | | 0.0 | |
| 3,050,305 | | | (4) | | Freddie Mac REMIC Trust 3936 GS, 4.673%, (-1.000*US0001M + 6.700%), 11/15/2025 | | | 134,358 | | | | 0.0 | |
| 14,431,029 | | | (4) | | Freddie Mac REMIC Trust 3951 SN, 4.523%, (-1.000*US0001M + 6.550%), 11/15/2041 | | | 2,976,713 | | | | 0.1 | |
| 5,170,240 | | | (4) | | Freddie Mac REMIC Trust 3984 NS, 4.573%, (-1.000*US0001M + 6.600%), 01/15/2040 | | | 316,228 | | | | 0.0 | |
| 1,140,380 | | | | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | | | 1,251,627 | | | | 0.0 | |
| 2,250,013 | | | | | Freddie Mac REMIC Trust 4020 BY, 6.500%, 03/15/2042 | | | 2,701,562 | | | | 0.1 | |
| 2,136,039 | | | (4) | | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | | | 169,338 | | | | 0.0 | |
| 4,698,967 | | | (4) | | Freddie Mac REMIC Trust 4094 YS, 4.673%, (-1.000*US0001M + 6.700%), 04/15/2040 | | | 457,115 | | | | 0.0 | |
| 11,129,070 | | | (4) | | Freddie Mac REMIC Trust 4102 MS, 4.573%, (-1.000*US0001M + 6.600%), 09/15/2042 | | | 2,187,890 | | | | 0.1 | |
| 997,592 | | | (4) | | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | | | 145,439 | | | | 0.0 | |
| 5,271,274 | | | | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | | | 5,449,539 | | | | 0.2 | |
| 26,764,783 | | | | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | | | 31,410,560 | | | | 0.9 | |
| 10,001,408 | | | (4) | | Freddie Mac REMIC Trust 4313 SD, 4.123%, (-1.000*US0001M + 6.150%), 03/15/2044 | | | 1,810,325 | | | | 0.1 | |
| 15,417,210 | | | (4) | | Freddie Mac REMIC Trust 4313 SE, 4.123%, (-1.000*US0001M + 6.150%), 03/15/2044 | | | 2,873,190 | | | | 0.1 | |
| 3,033,136 | | | (4) | | Freddie Mac REMIC Trust 4323 IP, 4.500%, 08/15/2042 | | | 273,657 | | | | 0.0 | |
| 1,670,597 | | | (4) | | Freddie Mac REMIC Trust 4332 PI, 5.000%, 12/15/2043 | | | 278,278 | | | | 0.0 | |
| 7,233,865 | | | | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | | | 8,487,637 | | | | 0.2 | |
| 6,254,159 | | | (4) | | Freddie Mac REMIC Trust 4346 ST, 4.173%, (-1.000*US0001M + 6.200%), 07/15/2039 | | | 778,283 | | | | 0.0 | |
| 11,177,781 | | | | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | | | 13,122,521 | | | | 0.4 | |
| 5,881,406 | | | (4) | | Freddie Mac REMIC Trust 4386 LS, 4.073%, (-1.000*US0001M + 6.100%), 09/15/2044 | | | 1,004,597 | | | | 0.0 | |
| 9,814,980 | | | (4) | | Freddie Mac REMICS 3284 CI, 4.093%, (-1.000*US0001M + 6.120%), 03/15/2037 | | | 1,907,372 | | | | 0.1 | |
| 16,695,715 | | | (4) | | Freddie Mac REMICS 4675 KS, 3.973%, (-1.000*US0001M + 6.000%), 04/15/2047 | | | 3,226,828 | | | | 0.1 | |
| 569,763 | | | | | Freddie Mac REMICS 4678 AB, 4.000%, 06/15/2044 | | | 584,920 | | | | 0.0 | |
| 14,128,312 | | | | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | | | 14,961,487 | | | | 0.4 | |
| 8,246,595 | | | | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | | | 9,442,413 | | | | 0.3 | |
| 11,490,314 | | | (4) | | Freddie Mac Strips Series 311 S1, 3.923%, (-1.000*US0001M + 5.950%), 08/15/2043 | | | 2,129,441 | | | | 0.1 | |
| 941,715 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN3 M3, 6.018%, (US0001M + 4.000%), 08/25/2024 | | | 995,932 | | | | 0.0 | |
| 2,000,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 5.918%, (US0001M + 3.900%), 12/25/2027 | | | 2,080,412 | | | | 0.1 | |
| 3,100,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3 M3, 6.718%, (US0001M + 4.700%), 04/25/2028 | | | 3,424,236 | | | | 0.1 | |
| 1,510,936 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 5.818%, (US0001M + 3.800%), 03/25/2025 | | | 1,555,627 | | | | 0.0 | |
| 1,900,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, 7.695%, (US0001M + 5.550%), 07/25/2028 | | | 2,107,897 | | | | 0.1 | |
| 500,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 5.868%, (US0001M + 3.850%), 03/25/2029 | | | 530,725 | | | | 0.0 | |
| 9,900,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2, 4.518%, (US0001M + 2.500%), 03/25/2030 | | | 10,122,457 | | | | 0.3 | |
| 1,000,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2, 5.568%, (US0001M + 3.550%), 08/25/2029 | | | 1,051,323 | | | | 0.0 | |
| 6,200,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 4.668%, (US0001M + 2.650%), 12/25/2029 | | | 6,364,563 | | | | 0.2 | |
| 7,000,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 4.368%, (US0001M + 2.350%), 04/25/2030 | | | 7,088,036 | | | | 0.2 | |
| 6,000,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 3.818%, (US0001M + 1.800%), 07/25/2030 | | | 6,006,642 | | | | 0.2 | |
| 1,300,000 | | | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 4.318%, (US0001M + 2.300%), 09/25/2030 | | | 1,314,072 | | | | 0.0 | |
| 305,067 | | | | | Freddie Mac Structured Pass Through Certificates T-54 2A, 6.500%, 02/25/2043 | | | 366,885 | | | | 0.0 | |
| 461,217 | | | | | Freddie Mac Structured Pass Through Certificates T-62 1A1, 3.646%, (12MTA + 1.200%), 10/25/2044 | | | 466,514 | | | | 0.0 | |
| 53,270 | | | | | Freddie Mac-Ginnie Mae Series 27 FC, 3.875%, (PRIME + (1.375)%), 03/25/2024 | | | 54,016 | | | | 0.0 | |
| 1,408,420 | | | (1),(3) | | Galton Funding Mortgage Trust 2017-2 A21, 4.000%, 06/25/2059 | | | 1,426,834 | | | | 0.0 | |
| 12,515,634 | | | (4) | | Ginnie Mae 2007-35 KY, 4.423%, (-1.000*US0001M + 6.450%), 06/16/2037 | | | 2,362,265 | | | | 0.1 | |
| 995,492 | | | | | Ginnie Mae 2013-26 GU, 1.500%, 04/20/2042 | | | 972,589 | | | | 0.0 | |
| 1,057,403 | | | | | Ginnie Mae 2013-26 JC, 2.000%, 01/20/2043 | | | 1,054,108 | | | | 0.0 | |
| 429,783 | | | | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | | | 406,369 | | | | 0.0 | |
| 458,316 | | | | | Ginnie Mae 2013-8 BE, 1.750%, 11/20/2042 | | | 453,582 | | | | 0.0 | |
| 954,376 | | | (4) | | Ginnie Mae Series 2005-7 AH, 4.743%, (-1.000*US0001M + 6.770%), 02/16/2035 | | | 169,859 | | | | 0.0 | |
| 90,616 | | | | | Ginnie Mae Series 2007-37 S, 17.866%, (-3.667*US0001M + 25.300%), 04/16/2037 | | | 98,937 | | | | 0.0 | |
| 447,367 | | | | | Ginnie Mae Series 2007-8 SP, 15.420%, (-3.242*US0001M + 22.049%), 03/20/2037 | | | 713,475 | | | | 0.0 | |
| 2,690,750 | | | (4) | | Ginnie Mae Series 2008-35 SN, 4.356%, (-1.000*US0001M + 6.400%), 04/20/2038 | | | 407,510 | | | | 0.0 | |
| 1,450,429 | | | (4) | | Ginnie Mae Series 2008-40 PS, 4.473%, (-1.000*US0001M + 6.500%), 05/16/2038 | | | 270,021 | | | | 0.0 | |
| 10,802,243 | | | (4) | | Ginnie Mae Series 2009-106 SU, 4.156%, (-1.000*US0001M + 6.200%), 05/20/2037 | | | 2,089,447 | | | | 0.1 | |
| 3,562,709 | | | (4) | | Ginnie Mae Series 2009-25 KS, 4.156%, (-1.000*US0001M + 6.200%), 04/20/2039 | | | 665,395 | | | | 0.0 | |
| 1,802,915 | | | | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | | | 1,989,451 | | | | 0.1 | |
| 2,318,485 | | | | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | | | 2,588,464 | | | | 0.1 | |
| 960,386 | | | (4) | | Ginnie Mae Series 2009-33 SN, 4.256%, (-1.000*US0001M + 6.300%), 05/20/2039 | | | 37,761 | | | | 0.0 | |
| 11,726,912 | | | | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | | | 13,231,426 | | | | 0.4 | |
| 816,639 | | | (4) | | Ginnie Mae Series 2009-43 HS, 4.156%, (-1.000*US0001M + 6.200%), 06/20/2038 | | | 28,213 | | | | 0.0 | |
| 2,643,580 | | | (4) | | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | | | 331,359 | | | | 0.0 | |
| 2,345,664 | | | (4) | | Ginnie Mae Series 2010-116 NS, 4.623%, (-1.000*US0001M + 6.650%), 09/16/2040 | | | 414,375 | | | | 0.0 | |
| 6,530,252 | | | (4) | | Ginnie Mae Series 2010-116 SK, 4.576%, (-1.000*US0001M + 6.620%), 08/20/2040 | | | 1,258,920 | | | | 0.0 | |
| 10,611,460 | | | (4) | | Ginnie Mae Series 2010-149 HS, 4.073%, (-1.000*US0001M + 6.100%), 05/16/2040 | | | 1,132,097 | | | | 0.0 | |
| 3,789,137 | | | (4) | | Ginnie Mae Series 2010-4 SP, 4.473%, (-1.000*US0001M + 6.500%), 01/16/2039 | | | 440,644 | | | | 0.0 | |
| 4,231,036 | | | | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | | | 4,639,793 | | | | 0.1 | |
| 2,363,651 | | | (4) | | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | | | 245,711 | | | | 0.0 | |
| 2,718,330 | | | (4) | | Ginnie Mae Series 2010-68 MS, 3.806%, (-1.000*US0001M + 5.850%), 06/20/2040 | | | 473,269 | | | | 0.0 | |
| 5,224,450 | | | (4) | | Ginnie Mae Series 2010-9 JI, 5.000%, 01/20/2040 | | | 1,189,646 | | | | 0.0 | |
| 3,612,082 | | | (4) | | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | | | 287,028 | | | | 0.0 | |
| 1,038,367 | | | (4) | | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | | | 95,074 | | | | 0.0 | |
| 66,542 | | | | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | | | 73,562 | | | | 0.0 | |
| 5,452,524 | | | (4) | | Ginnie Mae Series 2011-80 KS, 4.626%, (-1.000*US0001M + 6.670%), 06/20/2041 | | | 1,223,588 | | | | 0.0 | |
| 1,086,948 | | | (4) | | Ginnie Mae Series 2012-40 NI, 4.500%, 05/20/2040 | | | 79,021 | | | | 0.0 | |
| 112,972 | | | | | Ginnie Mae Series 2012-43 MA, 4.000%, 10/20/2041 | | | 114,877 | | | | 0.0 | |
| 14,284,890 | | | (4) | | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | | | 2,783,279 | | | | 0.1 | |
| 11,175,774 | | | (4) | | Ginnie Mae Series 2013-184 JI, 5.500%, 12/16/2043 | | | 2,508,309 | | | | 0.1 | |
| 12,222,884 | | | | | Ginnie Mae Series 2014-3 EP, 2.750%, 02/16/2043 | | | 12,421,238 | | | | 0.4 | |
| 9,870,678 | | | (4) | | Ginnie Mae Series 2014-3 SU, 4.006%, (-1.000*US0001M + 6.050%), 07/20/2039 | | | 1,830,395 | | | | 0.1 | |
| 1,345,113 | | | | | Ginnie Mae Series 2014-43 Z, 4.000%, 03/20/2044 | | | 1,613,628 | | | | 0.1 | |
| 12,158,705 | | | (4) | | Ginnie Mae Series 2014-55 MS, 4.173%, (-1.000*US0001M + 6.200%), 04/16/2044 | | | 2,372,853 | | | | 0.1 | |
| 13,987,083 | | | (4) | | Ginnie Mae Series 2014-56 SP, 4.173%, (-1.000*US0001M + 6.200%), 12/16/2039 | | | 2,030,547 | | | | 0.1 | |
| 10,841,776 | | | (4) | | Ginnie Mae Series 2014-58 CS, 3.573%, (-1.000*US0001M + 5.600%), 04/16/2044 | | | 1,839,254 | | | | 0.1 | |
| 13,871,197 | | | (4) | | Ginnie Mae Series 2014-79 BI, 6.000%, 05/16/2044 | | | 3,372,987 | | | | 0.1 | |
| 5,413,794 | | | (4) | | Ginnie Mae Series 2014-99 S, 3.556%, (-1.000*US0001M + 5.600%), 06/20/2044 | | | 1,045,519 | | | | 0.0 | |
| 3,901,753 | | | | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | | | 4,009,484 | | | | 0.1 | |
| 4,756,414 | | | | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | | | 4,918,322 | | | | 0.1 | |
| 4,359,602 | | | (1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | | | 4,431,468 | | | | 0.1 | |
| 2,647 | | | | | GSR Mortgage Loan Trust 2003-2F 3A1, 6.000%, 03/25/2032 | | | 2,829 | | | | 0.0 | |
| 68,452 | | | | | HarborView Mortgage Loan Trust 2005-2 2A1A, 2.497%, (US0001M + 0.440%), 05/19/2035 | | | 66,704 | | | | 0.0 | |
| 275,987 | | | | | HomeBanc Mortgage Trust 2004-1 2A, 2.878%, (US0001M + 0.860%), 08/25/2029 | | | 268,139 | | | | 0.0 | |
| 3,000,000 | | | | | HomeBanc Mortgage Trust 2005-4 M1, 2.488%, (US0001M + 0.470%), 10/25/2035 | | | 3,034,696 | | | | 0.1 | |
| 3,321,799 | | | | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 2.228%, (US0001M + 0.210%), 04/25/2046 | | | 3,160,629 | | | | 0.1 | |
| 2,762,320 | | | | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 2.228%, (US0001M + 0.210%), 02/25/2046 | | | 2,386,732 | | | | 0.1 | |
| 14,447 | | | (3) | | JP Morgan Mortgage Trust 2005-A1 6T1, 4.683%, 02/25/2035 | | | 14,641 | | | | 0.0 | |
| 121,364 | | | (3) | | JP Morgan Mortgage Trust 2007-A1 5A5, 4.627%, 07/25/2035 | | | 124,856 | | | | 0.0 | |
| 3,581,591 | | | (1),(3) | | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | | | 3,626,680 | | | | 0.1 | |
| 4,459,775 | | | (1),(3) | | JP Morgan Mortgage Trust 2017-4 B1, 3.958%, 11/25/2048 | | | 4,770,886 | | | | 0.1 | |
| 1,636,615 | | | (1),(3) | | JP Morgan Mortgage Trust 2017-4 B2, 3.958%, 11/25/2048 | | | 1,683,716 | | | | 0.1 | |
| 1,061,774 | | | (1),(3) | | JP Morgan Mortgage Trust 2017-6 B3, 3.837%, 12/25/2048 | | | 1,092,018 | | | | 0.0 | |
| 1,641,205 | | | (1),(3) | | JP Morgan Mortgage Trust 2018-1 B1, 3.757%, 06/25/2048 | | | 1,729,279 | | | | 0.1 | |
| 1,641,205 | | | (1),(3) | | JP Morgan Mortgage Trust 2018-1 B2, 3.757%, 06/25/2048 | | | 1,701,958 | | | | 0.1 | |
| 2,027,371 | | | (1),(3) | | JP Morgan Mortgage Trust 2018-1 B3, 3.757%, 06/25/2048 | | | 2,053,243 | | | | 0.1 | |
| 1,453,774 | | | (1),(3) | | JP Morgan Mortgage Trust 2018-3 B1, 3.771%, 09/25/2048 | | | 1,523,992 | | | | 0.0 | |
| 1,308,710 | | | (1),(3) | | JP Morgan Mortgage Trust 2018-4 B1, 3.788%, 10/25/2048 | | | 1,373,900 | | | | 0.0 | |
| 725,259 | | | (1),(3) | | JP Morgan Mortgage Trust 2019-3 A3, 4.000%, 09/25/2049 | | | 737,639 | | | | 0.0 | |
| 1,375,955 | | | (1),(3) | | JP Morgan Mortgage Trust 2019-6 A3, 3.500%, 12/25/2049 | | | 1,400,471 | | | | 0.0 | |
| 1,618,852 | | | (1),(3) | | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | | | 1,658,627 | | | | 0.1 | |
| 5,198,589,974 | | | (1),(4) | | L Street Securities 2017-PM1 XIO, 4.277%, 10/25/2048 | | | 5,973,180 | | | | 0.2 | |
| 9,206,571 | | | (4) | | Lehman Mortgage Trust 2006-9 2A5, 4.602%, (-1.000*US0001M + 6.620%), 01/25/2037 | | | 2,506,249 | | | | 0.1 | |
| 2,679,376 | | | | | Lehman XS Trust Series 2005-5N 1A2, 2.378%, (US0001M + 0.360%), 11/25/2035 | | | 2,580,201 | | | | 0.1 | |
| 83,726 | | | (3) | | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3 1A, 4.245%, 05/25/2033 | | | 85,626 | | | | 0.0 | |
| 548,992 | | | | | Merrill Lynch Mortgage Investors Trust Series 2005-A6 2A3, 2.398%, (US0001M + 0.380%), 08/25/2035 | | | 553,114 | | | | 0.0 | |
| 3,199 | | | | | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 4A, 2.268%, (US0001M + 0.250%), 11/25/2035 | | | 3,222 | | | | 0.0 | |
| 30,677 | | | | | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 5A, 2.268%, (US0001M + 0.250%), 11/25/2035 | | | 29,456 | | | | 0.0 | |
| 2,000,000 | | | | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 3.818%, (US0001M + 1.800%), 09/25/2035 | | | 1,966,607 | | | | 0.1 | |
| 1,611,497 | | | | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | | | 1,333,403 | | | | 0.0 | |
| 1,658,751 | | | (1),(3) | | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | | | 1,777,191 | | | | 0.1 | |
| 20,429 | | | (1),(3) | | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2001-R1A A, 7.000%, 02/19/2030 | | | 21,041 | | | | 0.0 | |
| 816,845 | | | | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | | | 759,094 | | | | 0.0 | |
| 312,104 | | | (3) | | Provident Funding Mortgage Loan Trust 2005-2 3A, 4.708%, 10/25/2035 | | | 317,787 | | | | 0.0 | |
| 1,179,033 | | | (1) | | RBSSP Resecuritization Trust 2011-3 2A1, 2.395%, (US0001M + 0.250%), 02/26/2037 | | | 1,179,461 | | | | 0.0 | |
| 1,510 | | | | | RFMSI Series Trust 2003-S9 A1, 6.500%, 03/25/2032 | | | 1,571 | | | | 0.0 | |
| 61,572 | | | | | Sequoia Mortgage Trust 2003-4 2A1, 2.394%, (US0001M + 0.350%), 07/20/2033 | | | 60,807 | | | | 0.0 | |
| 39,772 | | | (3) | | Sequoia Mortgage Trust 2005-4 2A1, 4.776%, 04/20/2035 | | | 42,068 | | | | 0.0 | |
| 1,351,358 | | | (1),(3) | | Sequoia Mortgage Trust 2014-3 B3, 3.938%, 10/25/2044 | | | 1,405,441 | | | | 0.0 | |
| 1,330,051 | | | (1),(3) | | Sequoia Mortgage Trust 2014-4 B3, 3.862%, 11/25/2044 | | | 1,375,485 | | | | 0.0 | |
| 1,155,905 | | | (1),(3) | | Sequoia Mortgage Trust 2015-2 B3, 3.739%, 05/25/2045 | | | 1,141,089 | | | | 0.0 | |
| 1,267,413 | | | (1),(3) | | Sequoia Mortgage Trust 2015-3 B3, 3.711%, 07/25/2045 | | | 1,274,360 | | | | 0.0 | |
| 2,900,000 | | | (1),(3) | | Sequoia Mortgage Trust 2017-CH2 A13, 4.000%, 12/25/2047 | | | 3,091,053 | | | | 0.1 | |
| 1,348,880 | | | (1),(3) | | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | | | 1,375,272 | | | | 0.0 | |
| 4,849,842 | | | (1),(3) | | Sequoia Mortgage Trust 2018-CH1 B1B, 4.496%, 02/25/2048 | | | 5,230,491 | | | | 0.2 | |
| 1,500,000 | | | (1),(3) | | Sequoia Mortgage Trust 2019-3 A2, 3.500%, 09/25/2049 | | | 1,519,765 | | | | 0.0 | |
| 3,221,064 | | | (1),(3) | | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | | | 3,363,695 | | | | 0.1 | |
| 60,609 | | | (3) | | Structured Adjustable Rate Mortgage Loan Trust 2005-17 3A1, 4.159%, 08/25/2035 | | | 61,800 | | | | 0.0 | |
| 1,244,083 | | | (3) | | Structured Adjustable Rate Mortgage Loan Trust 2005-7 4A, 4.278%, 04/25/2035 | | | 1,203,531 | | | | 0.0 | |
| 267,980 | | | | | Structured Asset Mortgage Investments II Trust 2005-AR5 A2, 2.307%, (US0001M + 0.250%), 07/19/2035 | | | 265,469 | | | | 0.0 | |
| 119,638 | | | | | Structured Asset Mortgage Investments II Trust 2005-AR5 A3, 2.307%, (US0001M + 0.250%), 07/19/2035 | | | 119,286 | | | | 0.0 | |
| 387,065 | | | (3) | | Thornburg Mortgage Securities Trust 2006-5 A1, 4.287%, 10/25/2046 | | | 394,083 | | | | 0.0 | |
| 1,200,000 | | | (1),(3) | | Verus Securitization Trust 2017-SG1A B1, 3.615%, 11/25/2047 | | | 1,200,724 | | | | 0.0 | |
| 1,300,000 | | | (1),(3) | | Verus Securitization Trust 2018-1 B1, 3.801%, 01/25/2058 | | | 1,311,697 | | | | 0.0 | |
| 1,912,430 | | | (1),(5) | | Verus Securitization Trust 2019-3 A2, 2.938% (Step Rate @ 3.938% on 07/25/2023), 07/25/2059 | | | 1,915,240 | | | | 0.1 | |
| 8,855 | | | | | WaMu Mortgage Pass Through Certificates Series 2002-AR2 A, 2.405%, (COF 11 + 1.250%), 02/27/2034 | | | 8,852 | | | | 0.0 | |
| 31,405 | | | | | WaMu Mortgage Pass Through Certificates Series 2002-AR9 1A, 3.846%, (12MTA + 1.400%), 08/25/2042 | | | 30,853 | | | | 0.0 | |
| 40,888 | | | | | WaMu Mortgage Pass Through Certificates Series 2005-AR1 A1A, 2.658%, (US0001M + 0.640%), 01/25/2045 | | | 40,786 | | | | 0.0 | |
| 935,220 | | | (3) | | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 3.303%, 10/25/2036 | | | 881,209 | | | | 0.0 | |
| 350,987 | | | | | WaMu Mortgage Pass Through Certificates Series 2006-AR7 3A, 2.655%, (COF 11 + 1.500%), 07/25/2046 | | | 341,408 | | | | 0.0 | |
| 67,255,021 | | | (3),(4) | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 0.856%, 08/25/2045 | | | 2,843,051 | | | | 0.1 | |
| 2,100,516 | | | | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 2.508%, (US0001M + 0.490%), 10/25/2045 | | | 2,103,333 | | | | 0.1 | |
| 791,999 | | | (3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.869%, 10/25/2036 | | | 780,833 | | | | 0.0 | |
| 1,472,143 | | | (3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 3.831%, 12/25/2036 | | | 1,393,935 | | | | 0.0 | |
| 2,674,358 | | | (3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.881%, 08/25/2046 | | | 2,598,267 | | | | 0.1 | |
| 3,365,886 | | | (3) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.536%, 04/25/2037 | | | 3,103,046 | | | | 0.1 | |
| 2,162,861 | | | (3) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 3.598%, 07/25/2037 | | | 1,982,534 | | | | 0.1 | |
| 3,116,344 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | | | 2,909,764 | | | | 0.1 | |
| 277,431 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | | | 275,966 | | | | 0.0 | |
| 1,955,575 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR10 Trust, 2.118%, (US0001M + 0.100%), 12/25/2036 | | | 1,376,791 | | | | 0.0 | |
| 4,594,428 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 3.406%, (12MTA + 0.960%), 08/25/2046 | | | 3,463,926 | | | | 0.1 | |
| 1,974,681 | | | | | Wells Fargo Alternative Loan 2007-PA2 2A1, 2.448%, (US0001M + 0.430%), 06/25/2037 | | | 1,632,570 | | | | 0.1 | |
| 36,333 | | | (3) | | Wells Fargo Mortgage Backed Securities 2004-CC A1, 4.984%, 01/25/2035 | | | 37,689 | | | | 0.0 | |
| 57,498 | | | (3) | | Wells Fargo Mortgage Backed Securities 2004-EE 2A1, 4.945%, 12/25/2034 | | | 59,873 | | | | 0.0 | |
| 183,947 | | | (3) | | Wells Fargo Mortgage Backed Securities 2005-AR7 1A1, 5.094%, 05/25/2035 | | | 191,678 | | | | 0.0 | |
| 65,221 | | | (3) | | Wells Fargo Mortgage Backed Securities 2005-AR9 2A1, 4.658%, 10/25/2033 | | | 67,068 | | | | 0.0 | |
| 941,789 | | | (3) | | Wells Fargo Mortgage Backed Securities 2006-AR2 2A5, 4.991%, 03/25/2036 | | | 944,936 | | | | 0.0 | |
| 492,795 | | | (3) | | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 5.220%, 04/25/2036 | | | 489,877 | | | | 0.0 | |
| 1,063,519 | | | (1),(3) | | WinWater Mortgage Loan Trust 2015-5 B4, 3.784%, 08/20/2045 | | | 1,079,881 | | | | 0.0 | |
| | | | | | | | | | | | | | |
| | | | Total Collateralized Mortgage Obligations | | | | | | | | |
| | | | (Cost $670,634,160) | | | 697,970,534 | | | | 19.4 | |
| | | | | | | | | | | | | | |
| MUNICIPAL BONDS: 0.1% | | | | | | | | | |
| | | | | | California: 0.1% | | | | | | | | |
| 500,000 | | | | | California State University, 6.434%, 11/01/2030 | | | 664,875 | | | | 0.1 | |
| 200,000 | | | | | Los Angeles County Public Works Financing Authority, 7.488%, 08/01/2033 | | | 277,842 | | | | 0.0 | |
| 300,000 | | | | | Los Angeles County Public Works Financing Authority, 7.618%, 08/01/2040 | | | 486,678 | | | | 0.0 | |
| 100,000 | | | | | State of California, 7.700%, 11/01/2030 | | | 106,096 | | | | 0.0 | |
| 200,000 | | | | | Regents of the University of California Medical Center Pooled Revenue, 6.398%, 05/15/2031 | | | 260,562 | | | | 0.0 | |
| 300,000 | | | | | Regents of the University of California Medical Center Pooled Revenue, 6.548%, 05/15/2048 | | | 453,837 | | | | 0.0 | |
| | | | | | | | | | | | | | |
| | | | Total Municipal Bonds | | | | | | | | |
| | | | (Cost $1,602,459) | | | 2,249,890 | | | | 0.1 | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: 5.6% | | | | | |
| | | | | | Treasury Inflation Indexed Protected Securities: 3.0% | |
| 108,558,016 | | | | | 0.250%,07/15/2029 | | | 109,793,261 | | | | 3.0 | |
| | | | | | | | | | | | | | |
| | | | | | U.S. Treasury Bonds: 0.7% | |
| 20,557,000 | | | | | 2.875%,05/15/2049 | | | 24,000,297 | | | | 0.7 | |
| | | | | | | | | | | | | | |
| | | | | | U.S. Treasury Notes: 1.9% | |
| 11,000 | | | (2) | | 1.500%,08/31/2021 | | | 10,969 | | | | 0.0 | |
| 10,245,000 | | | | | 1.625%,09/30/2026 | | | 10,245,024 | | | | 0.3 | |
| 9,176,000 | | | (2) | | 1.625%,08/15/2029 | | | 9,137,289 | | | | 0.3 | |
| 14,635,000 | | | | | 1.500%,09/30/2021 | | | 14,598,208 | | | | 0.4 | |
| 12,238,000 | | | | | 1.500%,09/15/2022 | | | 12,216,488 | | | | 0.3 | |
| 450,480 | | | | | 6.000%,01/01/2038 | | | 511,808 | | | | 0.0 | |
| 1,805 | | | | | 6.000%,04/01/2038 | | | 2,079 | | | | 0.0 | |
| 10,371 | | | | | 6.000%,06/01/2038 | | | 11,697 | | | | 0.0 | |
| 1,336 | | | | | 6.000%,07/01/2038 | | | 1,538 | | | | 0.0 | |
| 42,264 | | | | | 6.000%,08/01/2038 | | | 48,519 | | | | 0.0 | |
| 68,483 | | | | | 6.000%,11/01/2038 | | | 78,820 | | | | 0.0 | |
| 13,089 | | | | | 6.000%,05/01/2039 | | | 14,635 | | | | 0.0 | |
| 18,036 | | | | | 6.000%,08/01/2039 | | | 20,428 | | | | 0.0 | |
| 3,520 | | | | | 6.000%,09/01/2039 | | | 3,914 | | | | 0.0 | |
| 1,053,749 | | | | | 6.500%,09/01/2034 | | | 1,198,468 | | | | 0.0 | |
| | | | | | | | | 200,105,476 | | | | 5.5 | |
| | | | | | | | | | | | | | |
| | | | | | Federal National Mortgage Association: 0.1%(6) | |
| 4,704 | | | | | 3.486%, (COF 11 + 1.251%),05/01/2036 | | | 4,747 | | | | 0.0 | |
| 70,168 | | | | | 3.668%, (US0006M + 1.373%),09/01/2035 | | | 71,790 | | | | 0.0 | |
| 76,558 | | | | | 3.683%, (12MTA + 1.200%),08/01/2042 | | | 78,216 | | | | 0.0 | |
| 38,902 | | | | | 3.683%, (12MTA + 1.200%),08/01/2042 | | | 39,702 | | | | 0.0 | |
| 32,853 | | | | | 3.683%, (12MTA + 1.200%),10/01/2044 | | | 33,587 | | | | 0.0 | |
| 50,949 | | | | | 3.683%, (12MTA + 1.200%),10/01/2044 | | | 51,983 | | | | 0.0 | |
| 146,530 | | | | | 3.773%, (US0001M + 1.422%),02/01/2033 | | | 149,658 | | | | 0.0 | |
| 33,316 | | | | | 3.928%, (US0012M + 1.444%),08/01/2035 | | | 34,698 | | | | 0.0 | |
| 170,473 | | | | | 4.016%, (US0012M + 1.486%),07/01/2035 | | | 177,287 | | | | 0.0 | |
| 386,930 | | | | | 4.072%, (H15T1Y + 1.711%),08/01/2035 | | | 402,368 | | | | 0.1 | |
| 59,387 | | | | | 4.225%, (COF 11 + 1.926%),12/01/2036 | | | 61,565 | | | | 0.0 | |
| 110,078 | | | | | 4.309%, (US0012M + 1.681%),10/01/2035 | | | 114,575 | | | | 0.0 | |
| 185,190 | | | | | 4.479%, (H15T1Y + 2.175%),10/01/2035 | | | 193,966 | | | | 0.0 | |
| 157,467 | | | | | 4.533%, (US0012M + 1.661%),10/01/2035 | | | 165,245 | | | | 0.0 | |
| 106,266 | | | | | 4.568%, (US0012M + 1.480%),04/01/2035 | | | 112,015 | | | | 0.0 | |
| 2,505 | | | | | 4.621%, (H15T1Y + 2.215%),09/01/2031 | | | 2,600 | | | | 0.0 | |
| 274,869 | | | | | 4.685%, (US0012M + 1.810%),09/01/2034 | | | 289,892 | | | | 0.0 | |
| 153,741 | | | | | 4.704%, (US0012M + 1.610%),02/01/2034 | | | 160,730 | | | | 0.0 | |
| 28,393 | | | | | 4.800%, (US0012M + 1.675%),02/01/2035 | | | 29,559 | | | | 0.0 | |
| 8,996 | | | | | 4.835%, (H15T1Y + 2.210%),04/01/2032 | | | 9,100 | | | | 0.0 | |
| | | | | | | | | 2,183,283 | | | | 0.1 | |
| | | | | | | | | | | | | | |
| | | | | | Government National Mortgage Association: 2.1% | |
| 8,856,496 | | | | | 3.000%,01/20/2048 | | | 9,104,668 | | | | 0.3 | |
| 5,386,971 | | | | | 3.500%,07/20/2046 | | | 5,660,354 | | | | 0.2 | |
| 1,331,140 | | | | | 3.500%,07/20/2047 | | | 1,384,308 | | | | 0.0 | |
| 13,206,790 | | | | | 3.500%,12/20/2047 | | | 13,907,718 | | | | 0.4 | |
| 6,379,981 | | | | | 3.500%,01/20/2048 | | | 6,703,970 | | | | 0.2 | |
| 1,038,230 | | | | | 4.000%,11/20/2040 | | | 1,106,726 | | | | 0.0 | |
| 2,218,969 | | | | | 4.000%,03/20/2046 | | | 2,343,890 | | | | 0.1 | |
| 25,600,000 | | | (7) | | 4.000%,11/20/2049 | | | 26,618,000 | | | | 0.8 | |
| 1,459,988 | | | | | 4.500%,08/20/2041 | | | 1,595,741 | | | | 0.1 | |
| 17,884 | | | | | 5.000%,11/15/2035 | | | 19,332 | | | | 0.0 | |
| 7,367 | | | | | 5.000%,11/15/2035 | | | 7,957 | | | | 0.0 | |
| 8,748 | | | | | 5.000%,11/15/2035 | | | 9,364 | | | | 0.0 | |
| 10,736 | | | | | 5.000%,11/15/2035 | | | 11,903 | | | | 0.0 | |
| 60,434 | | | | | 5.000%,06/15/2037 | | | 64,699 | | | | 0.0 | |
| 41,606 | | | | | 5.000%,03/15/2038 | | | 46,767 | | | | 0.0 | |
| 245,371 | | | | | 5.000%,03/15/2038 | | | 275,897 | | | | 0.0 | |
| 9,012 | | | | | 5.000%,06/15/2038 | | | 9,967 | | | | 0.0 | |
| 2,555 | | | | | 5.000%,07/15/2038 | | | 2,778 | | | | 0.0 | |
| 3,340 | | | | | 5.000%,09/15/2038 | | | 3,758 | | | | 0.0 | |
| 36,730 | | | | | 5.000%,11/15/2038 | | | 40,732 | | | | 0.0 | |
| 54,651 | | | | | 5.000%,11/15/2038 | | | 61,478 | | | | 0.0 | |
| 17,863 | | | | | 5.000%,12/15/2038 | | | 20,082 | | | | 0.0 | |
| 108,748 | | | | | 5.000%,12/15/2038 | | | 122,226 | | | | 0.0 | |
| 1,201,593 | | | | | 5.000%,12/15/2038 | | | 1,351,734 | | | | 0.0 | |
| 134,389 | | | | | 5.000%,01/15/2039 | | | 145,041 | | | | 0.0 | |
| 1,156,982 | | | | | 5.000%,01/15/2039 | | | 1,284,157 | | | | 0.0 | |
| 88,609 | | | | | 5.000%,01/15/2039 | | | 99,600 | | | | 0.0 | |
| 56,346 | | | | | 5.000%,02/15/2039 | | | 62,484 | | | | 0.0 | |
| 137,599 | | | | | 5.000%,02/15/2039 | | | 154,575 | | | | 0.0 | |
| 109,760 | | | | | 5.000%,02/15/2039 | | | 123,411 | | | | 0.0 | |
| 109,149 | | | | | 5.000%,03/15/2039 | | | 122,724 | | | | 0.0 | |
| 3,181 | | | | | 5.000%,03/15/2039 | | | 3,573 | | | | 0.0 | |
| 165,548 | | | | | 5.000%,03/15/2039 | | | 186,185 | | | | 0.0 | |
| 241,443 | | | | | 5.000%,03/15/2039 | | | 271,559 | | | | 0.0 | |
| 129,006 | | | | | 5.000%,04/15/2039 | | | 145,093 | | | | 0.0 | |
| 643 | | | | | 5.000%,05/15/2039 | | | 688 | | | | 0.0 | |
| 76,302 | | | | | 5.000%,05/15/2039 | | | 85,720 | | | | 0.0 | |
| 226,758 | | | | | 5.000%,05/15/2039 | | | 254,866 | | | | 0.0 | |
| 100,100 | | | | | 5.000%,07/15/2039 | | | 112,482 | | | | 0.0 | |
| 90,876 | | | | | 5.000%,09/15/2039 | | | 102,089 | | | | 0.0 | |
| 12,481 | | | | | 5.000%,11/15/2039 | | | 14,029 | | | | 0.0 | |
| 2,613 | | | | | 5.000%,04/15/2040 | | | 2,935 | | | | 0.0 | |
| 18,991 | | | | | 5.000%,06/15/2040 | | | 21,350 | | | | 0.0 | |
| 221,851 | | | | | 5.000%,09/15/2040 | | | 237,462 | | | | 0.0 | |
| 39,204 | | | | | 5.000%,09/15/2040 | | | 44,086 | | | | 0.0 | |
| 94,055 | | | | | 5.000%,10/15/2040 | | | 105,257 | | | | 0.0 | |
| 50,191 | | | | | 5.000%,05/15/2042 | | | 53,723 | | | | 0.0 | |
| 486,715 | | | | | 5.000%,02/20/2043 | | | 538,653 | | | | 0.0 | |
| 1,093,603 | | | (3) | | 5.140%,10/20/2060 | | | 1,097,811 | | | | 0.0 | |
| 305,316 | | | (3) | | 5.310%,10/20/2060 | | | 307,891 | | | | 0.0 | |
| 51,776 | | | (3) | | 5.500%,03/20/2060 | | | 52,995 | | | | 0.0 | |
| | | | | | | | | 76,104,488 | | | | 2.1 | |
| | | | | | | | | | | | | | |
| | | | | | Uniform Mortgage-Backed Security: 12.4% | |
| 85,504,000 | | | (7) | | 3.000%,11/25/2049 | | | 86,759,839 | | | | 2.4 | |
| 10,191,000 | | | (7) | | 3.500%,10/25/2049 | | | 10,456,523 | | | | 0.3 | |
| 18,342,000 | | | (7) | | 4.500%,10/25/2049 | | | 19,317,852 | | | | 0.6 | |
| 2,302,013 | | | | | 2.500%,05/01/2030 | | | 2,331,737 | | | | 0.1 | |
| 3,669,361 | | | | | 2.500%,06/01/2030 | | | 3,712,014 | | | | 0.1 | |
| 5,286,202 | | | | | 2.500%,06/01/2030 | | | 5,347,648 | | | | 0.2 | |
| 2,146,082 | | | | | 2.500%,07/01/2030 | | | 2,171,019 | | | | 0.1 | |
| 4,590,310 | | | | | 3.000%,08/01/2030 | | | 4,725,925 | | | | 0.1 | |
| 2,644,717 | | | | | 3.000%,09/01/2030 | | | 2,725,373 | | | | 0.1 | |
| 6,207,888 | | | | | 3.000%,04/01/2034 | | | 6,350,206 | | | | 0.2 | |
| 14,476,760 | | | | | 3.000%,07/01/2043 | | | 14,926,028 | | | | 0.4 | |
| 1,421,733 | | | | | 3.000%,08/01/2043 | | | 1,466,696 | | | | 0.1 | |
| 3,473,728 | | | | | 3.000%,09/01/2043 | | | 3,581,377 | | | | 0.1 | |
| 10,646,198 | | | | | 3.000%,04/01/2045 | | | 10,956,482 | | | | 0.3 | |
| 6,830,385 | | | | | 3.000%,08/01/2046 | | | 7,029,619 | | | | 0.2 | |
| 861,357 | | | | | 3.000%,09/01/2046 | | | 882,742 | | | | 0.0 | |
| 12,103,879 | | | | | 3.000%,01/01/2047 | | | 12,393,228 | | | | 0.4 | |
| 1,305,949 | | | | | 3.500%,12/01/2041 | | | 1,372,382 | | | | 0.1 | |
| 888,362 | | | | | 3.500%,08/01/2042 | | | 933,672 | | | | 0.0 | |
| 348,025 | | | | | 3.500%,08/01/2042 | | | 366,629 | | | | 0.0 | |
| 1,572,409 | | | | | 3.500%,10/01/2042 | | | 1,652,554 | | | | 0.1 | |
| 890,870 | | | | | 3.500%,10/01/2042 | | | 936,231 | | | | 0.0 | |
| 452,689 | | | | | 3.500%,03/01/2043 | | | 475,775 | | | | 0.0 | |
| 4,213,637 | | | | | 3.500%,01/01/2046 | | | 4,438,462 | | | | 0.1 | |
| 6,031,905 | | | | | 3.500%,02/01/2046 | | | 6,353,817 | | | | 0.2 | |
| 29,639,554 | | | | | 3.500%,08/01/2046 | | | 31,221,322 | | | | 0.9 | |
| 5,066,442 | | | | | 3.500%,08/01/2046 | | | 5,336,840 | | | | 0.2 | |
| 8,941,688 | | | | | 3.500%,09/01/2047 | | | 9,240,968 | | | | 0.3 | |
ASSET-BACKED SECURITIES: 7.5% | | | | |
| | | | | | Automobile Asset-Backed Securities: 0.2% | | | | | | | |
| 1,800,000 | | | | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | | | 1,858,996 | | | 0.1 | |
| 1,750,000 | | | (1) | | OSCAR US Funding Trust VII LLC 2017-2A A4, 2.760%, 12/10/2024 | | | 1,771,277 | | | 0.0 | |
| 700,000 | | | | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | | | 702,797 | | | 0.0 | |
| 1,900,000 | | | | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | | | 1,909,375 | | | 0.1 | |
| 1,250,000 | | | (1) | | Tesla Auto Lease Trust 2018-B C, 4.360%, 10/20/2021 | | | 1,283,767 | | | 0.0 | |
| | | | | | | | | 7,526,212 | | | 0.2 | |
| | | | | | | | | | | | | |
| | | | | | Home Equity Asset-Backed Securities: 0.3% | | | | | | | |
| 1,199,093 | | | | | Home Equity Asset Trust 2005-2 M5, 3.113%, (US0001M + 1.095%), 07/25/2035 | | | 1,211,922 | | | 0.0 | |
| 2,400,000 | | | | | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2 M4, 2.933%, (US0001M + 0.915%), 03/25/2035 | | | 2,417,319 | | | 0.1 | |
| 532,777 | | | | | New Century Home Equity Loan Trust 2005-2 M3, 2.753%, (US0001M + 0.735%), 06/25/2035 | | | 534,627 | | | 0.0 | |
| 57,460 | | | | | Renaissance Home Equity Loan Trust 2003-2 A, 2.898%, (US0001M + 0.880%), 08/25/2033 | | | 57,653 | | | 0.0 | |
| 2,364,673 | | | (3) | | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | | | 2,496,964 | | | 0.1 | |
| 58,997 | | | | | Securitized Asset Backed Receivables LLC Trust 2006-WM4 A2A, 2.098%, (US0001M + 0.080%), 11/25/2036 | | | 22,651 | | | 0.0 | |
| 3,306,975 | | | | | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 2A3 Trust, 2.188%, (US0001M + 0.170%), 07/25/2047 | | | 2,301,005 | | | 0.1 | |
| | | | | | | | | 9,042,141 | | | 0.3 | |
| | | | | | | | | | | | | |
| | | | | | Other Asset-Backed Securities: 6.3% | | | | | | | |
| 1,282,160 | | | (1),(3),(5) | | AJAX Mortgage Loan Trust 2017-A A, 3.470% (Step Rate @ 6.470% on 05/25/2020), 04/25/2057 | | | 1,285,459 | | | 0.0 | |
| 1,556,276 | | | (1) | | Ajax Mortgage Loan Trust 2018-A A, 3.850%, 04/25/2058 | | | 1,587,136 | | | 0.0 | |
| 1,785,084 | | | (1),(3) | | Ajax Mortgage Loan Trust 2018-C A, 4.360%, 09/25/2065 | | | 1,810,551 | | | 0.1 | |
| 4,090,000 | | | (1) | | ALM VIII Ltd. 2013-8A A1R, 3.793%, (US0003M + 1.490%), 10/15/2028 | | | 4,092,843 | | | 0.1 | |
| 2,492,824 | | | (1),(3),(4),(8) | | American Homes 4 Rent 2015-SFR1 XS, 0.000%, 04/17/2052 | | | – | | | – | |
| 8,000,000 | | | (1) | | ARES XLVI CLO Ltd. 2017-46A A2, 3.533%, (US0003M + 1.230%), 01/15/2030 | | | 7,808,128 | | | 0.2 | |
| 3,470,000 | | | (1) | | Babson CLO Ltd. 2017-1A A2, 3.650%, (US0003M + 1.350%), 07/18/2029 | | | 3,420,605 | | | 0.1 | |
| 4,393,000 | | | (1) | | Babson CLO Ltd. 2018-3A A2, 3.578%, (US0003M + 1.300%), 07/20/2029 | | | 4,331,559 | | | 0.1 | |
| 1,600,000 | | | (1) | | Bain Capital Credit CLO 2017-1A A2, 3.628%, (US0003M + 1.350%), 07/20/2030 | | | 1,583,400 | | | 0.0 | |
| 1,200,050 | | | (3) | | Bear Stearns Asset Backed Securities Trust 2006-SD4 1A1, 4.836%, 10/25/2036 | | | 1,222,765 | | | 0.0 | |
| 9,020,000 | | | (1) | | Benefit Street Partners CLO II Ltd. 2013-IIA A1R, 3.553%, (US0003M + 1.250%), 07/15/2029 | | | 9,020,235 | | | 0.3 | |
| 5,070,000 | | | (1) | | BlueMountain CLO 2015-1A BR, 4.803%, (US0003M + 2.500%), 04/13/2027 | | | 5,071,014 | | | 0.1 | |
| 4,570,000 | | | (1) | | Burnham Park Clo Ltd. 2016-1A A, 3.708%, (US0003M + 1.430%), 10/20/2029 | | | 4,576,233 | | | 0.1 | |
| 4,000,000 | | | (1) | | Carbone CLO Ltd. 2017-1A A1, 3.418%, (US0003M + 1.140%), 01/20/2031 | | | 3,980,996 | | | 0.1 | |
| 2,400,000 | | | (1) | | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 3.433%, (US0003M + 1.130%), 04/17/2031 | | | 2,332,800 | | | 0.1 | |
| 59,019 | | | | | Chase Funding Trust Series 2002-4 2A1, 2.758%, (US0001M + 0.740%), 10/25/2032 | | | 59,206 | | | 0.0 | |
| 106,708 | | | | | Chase Funding Trust Series 2003-5 2A2, 2.618%, (US0001M + 0.600%), 07/25/2033 | | | 104,976 | | | 0.0 | |
| 3,750,000 | | | (1) | | CIFC Funding 2013-2A A1LR, 3.510%, (US0003M + 1.210%), 10/18/2030 | | | 3,749,996 | | | 0.1 | |
| 2,766,000 | | | (1) | | Cole Park CLO Ltd. 2015-1A CR, 4.278%, (US0003M + 2.000%), 10/20/2028 | | | 2,743,756 | | | 0.1 | |
| 192,436 | | | | | Countrywide Asset-Backed Certificates 2006-26 2A3, 2.188%, (US0001M + 0.170%), 06/25/2037 | | | 192,634 | | | 0.0 | |
| 6,599,777 | | | | | Credit-Based Asset Servicing & Securitization LLC 2006-CB8 A2C, 2.168%, (US0001M + 0.150%), 10/25/2036 | | | 5,903,464 | | | 0.2 | |
| 947,625 | | | (1) | | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | | | 1,003,131 | | | 0.0 | |
| 498,750 | | | (1) | | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | | | 518,286 | | | 0.0 | |
| 12,160,000 | | | (1) | | Dewolf Park Clo Ltd. 2017-1A A, 3.513%, (US0003M + 1.210%), 10/15/2030 | | | 12,159,878 | | | 0.3 | |
| 1,393,000 | | | (1) | | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | | | 1,469,281 | | | 0.0 | |
| 1,200,000 | | | (1) | | Dryden 55 CLO Ltd. 2018-55A A1, 3.323%, (US0003M + 1.020%), 04/15/2031 | | | 1,192,666 | | | 0.0 | |
| 8,610,000 | | | (1) | | Dryden Senior Loan Fund 2017-47A A2, 3.653%, (US0003M + 1.350%), 04/15/2028 | | | 8,522,471 | | | 0.2 | |
| 7,460,000 | | | (1) | | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 3.358%, (US0003M + 1.200%), 08/15/2030 | | | 7,458,560 | | | 0.2 | |
| 3,662,325 | | | (1) | | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | | | 3,852,666 | | | 0.1 | |
| 4,250,000 | | | (1) | | Galaxy XIX CLO Ltd. 2015-19A A1R, 3.503%, (US0003M + 1.220%), 07/24/2030 | | | 4,250,047 | | | 0.1 | |
| 2,100,000 | | | (1) | | Gilbert Park CLO Ltd. 2017-1A A, 3.493%, (US0003M + 1.190%), 10/15/2030 | | | 2,099,072 | | | 0.1 | |
| 127,053 | | | | | GSAMP Trust 2007-FM1 A2A, 2.088%, (US0001M + 0.070%), 12/25/2036 | | | 74,173 | | | 0.0 | |
| 2,490,880 | | | (1) | | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | | | 2,600,717 | | | 0.1 | |
| 4,300,000 | | | (1),(7) | | KKR CLO 21 A Ltd., 3.303%, (US0003M + 1.000%), 04/15/2031 | | | 4,261,717 | | | 0.1 | |
| 10,000,000 | | | (1) | | LCM 26A A2 Ltd., 3.528%, (US0003M + 1.250%), 01/20/2031 | | | 9,802,010 | | | 0.3 | |
| 1,308,000 | | | (1) | | LCM XIV L.P. 14A AR, 3.318%, (US0003M + 1.040%), 07/20/2031 | | | 1,292,982 | | | 0.0 | |
| 6,690,000 | | | (1) | | LCM XXIII Ltd. 23A A1, 3.678%, (US0003M + 1.400%), 10/20/2029 | | | 6,709,976 | | | 0.2 | |
| 58,753 | | | | | Long Beach Mortgage Loan Trust 2004-4 1A1, 2.578%, (US0001M + 0.560%), 10/25/2034 | | | 57,732 | | | 0.0 | |
| 2,120,000 | | | (1) | | Madison Park Funding XV Ltd. 2014-15A B1R, 4.456%, (US0003M + 2.200%), 01/27/2026 | | | 2,120,074 | | | 0.1 | |
| 1,500,000 | | | (1) | | Marlette Funding Trust 2018-1A C, 3.690%, 03/15/2028 | | | 1,513,196 | | | 0.0 | |
| 1,750,000 | | | (1) | | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | | | 1,775,193 | | | 0.1 | |
| 2,718,588 | | | (1) | | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | | | 2,822,708 | | | 0.1 | |
| 1,500,000 | | | (1) | | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | | | 1,525,997 | | | 0.0 | |
| 3,261,314 | | | (1) | | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | | | 3,335,126 | | | 0.1 | |
| 2,000,000 | | | (1) | | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 4.590%, (US0003M + 2.450%), 10/16/2032 | | | 2,000,000 | | | 0.1 | |
| 4,510,000 | | | (1) | | Octagon Investment Partners 30 Ltd. 2017-1A A1, 3.598%, (US0003M + 1.320%), 03/17/2030 | | | 4,521,122 | | | 0.1 | |
| 3,000,000 | | | (1) | | Octagon Investment Partners Ltd. 2017-1A A2, 3.653%, (US0003M + 1.350%), 07/15/2029 | | | 2,959,140 | | | 0.1 | |
| 2,250,000 | | | (1) | | Octagon Investment Partners XIV Ltd. 2012-1A A1BR, 3.678%, (US0003M + 1.375%), 07/15/2029 | | | 2,209,723 | | | 0.1 | |
| 4,000,000 | | | (1) | | Octagon Investment Partners XV Ltd. 2013-1A A2R, 3.653%, (US0003M + 1.350%), 07/19/2030 | | | 3,923,748 | | | 0.1 | |
| 7,070,000 | | | (1) | | OHA Loan Funding Ltd. 2015-1A AR, 3.568%, (US0003M + 1.410%), 08/15/2029 | | | 7,074,390 | | | 0.2 | |
| 1,375,000 | | | (1) | | Palmer Square CLO 2015-2A A1AR Ltd., 3.548%, (US0003M + 1.270%), 07/20/2030 | | | 1,374,429 | | | 0.0 | |
| 4,070,000 | | | (1) | | Palmer Square CLO 2015-2A A1BR Ltd., 3.628%, (US0003M + 1.350%), 07/20/2030 | | | 4,039,479 | | | 0.1 | |
| 3,000,000 | | | (1) | | Palmer Square CLO 2018-1A A1 Ltd., 3.330%, (US0003M + 1.030%), 04/18/2031 | | | 2,977,827 | | | 0.1 | |
| 5,700,000 | | | (1) | | Palmer Square Loan Funding 2017-1A C Ltd., 5.103%, (US0003M + 2.800%), 10/15/2025 | | | 5,700,342 | | | 0.2 | |
| 2,000,000 | | | (1) | | Palmer Square Loan Funding 2018-1A C Ltd., 4.153%, (US0003M + 1.850%), 04/15/2026 | | | 1,911,316 | | | 0.1 | |
| 900,000 | | | (1),(7) | | Palmer Square Loan Funding 2018-2A C Ltd., 4.253%, (US0003M + 1.950%), 07/15/2026 | | | 872,583 | | | 0.0 | |
| 1,923,473 | | | | | Park Place Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2005-WHQ1 M4, 3.098%, (US0001M + 1.080%), 03/25/2035 | | | 1,930,156 | | | 0.1 | |
| 1,127,499 | | | (3) | | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.843%, 01/25/2036 | | | 1,134,751 | | | 0.0 | |
| 258,831 | | | | | Small Business Administration Participation Certificates 2007-20L 1, 5.290%, 12/01/2027 | | | 275,106 | | | 0.0 | |
| 4,375,000 | | | (1) | | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | | | 4,481,361 | | | 0.1 | |
| 1,500,000 | | | (1) | | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | | | 1,546,596 | | | 0.0 | |
| 3,200,000 | | | (1) | | Sofi Consumer Loan Program 2018-3 C Trust, 4.670%, 08/25/2027 | | | 3,342,468 | | | 0.1 | |
| 1,000,000 | | | (1) | | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | | | 1,023,468 | | | 0.0 | |
| 1,945,670 | | | (1) | | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | | | 2,138,587 | | | 0.1 | |
| 3,930,000 | | | (1) | | Symphony CLO XIV Ltd. 2014-14A C1R, 4.803%, (US0003M + 2.500%), 07/14/2026 | | | 3,930,149 | | | 0.1 | |
| 1,786,500 | | | (1) | | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | | | 1,912,094 | | | 0.1 | |
| 5,500,000 | | | (1) | | TES LLC 2017-1A B, 7.740%, 10/20/2047 | | | 5,478,578 | | | 0.2 | |
| 2,400,000 | | | (1) | | THL Credit Wind River 2013-2A AR CLO Ltd., 3.530%, (US0003M + 1.230%), 10/18/2030 | | | 2,392,747 | | | 0.1 | |
| 9,500,000 | | | (1) | | THL Credit Wind River 2016-2A A1R CLO Ltd., 3.443%, (US0003M + 1.190%), 11/01/2031 | | | 9,501,891 | | | 0.3 | |
| 1,500,000 | | | (1),(3) | | Towd Point Mortgage Trust 2017-3 M1, 3.500%, 07/25/2057 | | | 1,519,164 | | | 0.0 | |
| 1,670,250 | | | (1) | | Wendys Funding LLC 2018-1A A2I, 3.573%, 03/15/2048 | | | 1,698,795 | | | 0.1 | |
| | | | | | | | | 227,165,425 | | | 6.3 | |
| | | | | | | | | | | | | |
| | | | | | Student Loan Asset-Backed Securities: 0.7% | | | | | | | |
| 1,250,000 | | | (1) | | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | | | 1,266,590 | | | 0.0 | |
| 1,800,000 | | | (1) | | Commonbond Student Loan Trust 2018-BGS B, 3.990%, 09/25/2045 | | | 1,877,505 | | | 0.1 | |
| 1,189,022 | | | (1) | | DRB Prime Student Loan Trust 2015-B A2, 3.170%, 07/25/2031 | | | 1,204,635 | | | 0.0 | |
| 1,722,245 | | | (1) | | DRB Prime Student Loan Trust 2015-D A2, 3.200%, 01/25/2040 | | | 1,753,617 | | | 0.1 | |
| 430,349 | | | (1) | | Earnest Student Loan Program, LLC 2016-C B, 4.460%, 01/26/2037 | | | 436,402 | | | 0.0 | |
| 750,000 | | | (1) | | Navient Private Education Loan Trust 2014-AA A3, 3.628%, (US0001M + 1.600%), 10/15/2031 | | | 764,595 | | | 0.0 | |
| 2,000,000 | | | (1) | | Navient Private Education Refi Loan Trust 2018-A B, 3.680%, 02/18/2042 | | | 2,094,240 | | | 0.1 | |
| 1,550,000 | | | (1) | | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | | | 1,503,502 | | | 0.0 | |
| 1,500,000 | | | (1) | | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | | | 1,545,192 | | | 0.0 | |
| 167,860 | | | (1) | | SoFi Professional Loan Program 2015-C A2, 2.510%, 08/25/2033 | | | 168,950 | | | 0.0 | |
| 2,500,000 | | | (1),(3) | | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | | | 2,600,044 | | | 0.1 | |
| 2,100,000 | | | (1) | | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | | | 2,198,824 | | | 0.1 | |
| 2,200,000 | | | (1) | | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | | | 2,305,907 | | | 0.1 | |
| 5,000,000 | | | (1) | | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | | | 5,289,766 | | | 0.1 | |
| 1,000,000 | | | (1) | | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | | | 1,082,741 | | | 0.0 | |
| | | | | | | | | 26,092,510 | | | 0.7 | |
| | | | | | | | | | | | | |
| | | | | | Total Asset-Backed Securities | | | | | | | |
| | | | | | (Cost $267,072,436) | | | 269,826,288 | | | 7.5 | |
| | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 7.8% | | | | | | | |
| 2,720,000 | | | (1) | | AREIT 2019-CRE3 A Trust, 3.048%, (US0001M + 1.020%), 09/14/2036 | | | 2,725,780 | | | 0.1 | |
| 4,000,000 | | | (1),(3) | | BAMLL Commercial Mortgage Securities Trust 2016-ISQ C, 3.727%, 08/14/2034 | | | 4,211,266 | | | 0.1 | |
| 12,764,613 | | | (3),(4) | | BANK 2019-BNK16 XA, 1.129%, 02/15/2052 | | | 924,634 | | | 0.0 | |
| 3,120,000 | | | | | BANK 2019-BNK17 A4, 3.714%, 04/15/2052 | | | 3,449,482 | | | 0.1 | |
| 1,870,000 | | | | | BANK 2019-BNK18 A4, 3.584%, 05/15/2062 | | | 2,049,027 | | | 0.1 | |
| 2,600,000 | | | (1) | | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | | | 2,418,954 | | | 0.1 | |
| 3,360,000 | | | (3) | | Bank 2019-BNK19 C, 4.170%, 08/15/2061 | | | 3,632,188 | | | 0.1 | |
| 51,302,507 | | | (3),(4) | | Bank 2019-BNK19 XA, 1.100%, 08/15/2061 | | | 3,989,088 | | | 0.1 | |
| 22,800,000 | | | (1),(3),(4) | | BBCCRE Trust 2015-GTP XA, 0.749%, 08/10/2033 | | | 791,652 | | | 0.0 | |
| 3,940,000 | | | | | Benchmark 2019-B11 A5 Mortgage Trust, 3.542%, 05/15/2052 | | | 4,305,211 | | | 0.1 | |
| 27,853,930 | | | (3),(4) | | Benchmark 2019-B12 XA Mortgage Trust, 1.207%, 08/15/2052 | | | 2,155,145 | | | 0.1 | |
| 4,530,000 | | | | | Benchmark 2019-B13 A4 Mortgage Trust, 2.952%, 08/15/2057 | | | 4,696,974 | | | 0.1 | |
| 19,705,479 | | | (3),(4) | | Benchmark 2019-B9 XA Mortgage Trust, 1.215%, 03/15/2052 | | | 1,615,721 | | | 0.1 | |
| 3,690,000 | | | (1) | | BHP Trust 2019-BXHP D, 3.799%, (US0001M + 1.771%), 08/15/2036 | | | 3,685,809 | | | 0.1 | |
| 3,700,000 | | | (1) | | BHP Trust 2019-BXHP E, 4.595%, (US0001M + 2.568%), 08/15/2036 | | | 3,703,582 | | | 0.1 | |
| 2,520,000 | | | (1) | | BX Trust 2019-MMP E, 3.928%, (US0001M + 1.900%), 08/15/2036 | | | 2,523,465 | | | 0.1 | |
| 1,870,000 | | | (1) | | CAMB Commercial Mortgage Trust 2019-LIFE D, 3.778%, (US0001M + 1.750%), 12/15/2037 | | | 1,882,821 | | | 0.1 | |
| 3,070,000 | | | (1) | | CAMB Commercial Mortgage Trust 2019-LIFE F, 4.578%, (US0001M + 2.550%), 12/15/2037 | | | 3,103,498 | | | 0.1 | |
| 3,450,000 | | | (8) | | Cantor Commercial Real Estate Lending 2019-CF2 A5, 2.874%, 11/15/2052 | | | 3,554,983 | | | 0.1 | |
| 20,152,931 | | | (3),(4) | | CD 2016-CD1 Mortgage Trust XA, 1.548%, 08/10/2049 | | | 1,484,372 | | | 0.0 | |
| 3,951,241 | | | (1),(3) | | CFCRE Commercial Mortgage Trust 2011-C1 E, 6.272%, 04/15/2044 | | | 3,648,189 | | | 0.1 | |
| 4,000,000 | | | (1),(3) | | Citigroup Commercial Mortgage Trust 2014-GC19, 5.262%, 03/10/2047 | | | 4,325,549 | | | 0.1 | |
| 4,120,000 | | | (1) | | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.594%, 08/10/2049 | | | 3,677,554 | | | 0.1 | |
| 3,570,000 | | | (3) | | Citigroup Commercial Mortgage Trust 2017-P8 C, 4.412%, 09/15/2050 | | | 3,789,529 | | | 0.1 | |
| 35,643,511 | | | (3),(4) | | Citigroup Commercial Mortgage Trust 2017-P8 XA, 1.062%, 09/15/2050 | | | 2,100,454 | | | 0.1 | |
| 58,828,340 | | | (3),(4) | | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.758%, 06/10/2051 | | | 2,927,222 | | | 0.1 | |
| 2,101,000 | | | (1),(3) | | Citigroup COmmercial Mortgage Trust 2018-C6 D, 5.236%, 11/10/2051 | | | 2,297,193 | | | 0.1 | |
| 1,090,000 | | | (3) | | Commercial Mortgage Pass Through Certificates 2016-CR28 D, 4.051%, 02/10/2049 | | | 1,132,165 | | | 0.0 | |
| 17,173,640 | | | (3),(4) | | COMM 2012-CR1 XA, 2.036%, 05/15/2045 | | | 669,568 | | | 0.0 | |
| 14,281,681 | | | (3),(4) | | COMM 2012-CR2 XA, 1.799%, 08/15/2045 | | | 528,219 | | | 0.0 | |
| 25,281,955 | | | (3),(4) | | COMM 2012-CR3 XA, 2.021%, 10/15/2045 | | | 1,120,625 | | | 0.0 | |
| 65,166,000 | | | (1),(3),(4) | | COMM 2012-CR4 XB, 0.741%, 10/15/2045 | | | 1,161,063 | | | 0.0 | |
| 20,726,184 | | | (3),(4) | | COMM 2012-CR5 XA, 1.675%, 12/10/2045 | | | 843,411 | | | 0.0 | |
| 28,189,927 | | | (1),(3),(4) | | COMM 2012-LC4 XA, 2.289%, 12/10/2044 | | | 1,088,653 | | | 0.0 | |
| 1,640,000 | | | (3) | | COMM 2015-CCRE26 D Mortgage Trust, 3.634%, 10/10/2048 | | | 1,566,451 | | | 0.0 | |
| 910,000 | | | (3) | | COMM 2016-COR1 C, 4.530%, 10/10/2049 | | | 968,428 | | | 0.0 | |
| 81,910,808 | | | (3),(4) | | COMM 2016-CR28 XA, 0.754%, 02/10/2049 | | | 2,683,840 | | | 0.1 | |
| 6,570,000 | | | | | COMM 2018-COR3 A3 Mortgage Trust, 4.228%, 05/10/2051 | | | 7,467,254 | | | 0.2 | |
| 4,620,000 | | | (1) | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 E, 4.178%, (US0001M + 2.150%), 05/15/2036 | | | 4,638,126 | | | 0.1 | |
| 7,580,000 | | | (1) | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 F, 4.678%, (US0001M + 2.650%), 05/15/2036 | | | 7,619,220 | | | 0.2 | |
| 10,080,000 | | | (3) | | CSAIL 2018-CX11 A5 Commercial Mortgage Trust, 4.033%, 04/15/2051 | | | 11,243,038 | | | 0.3 | |
| 3,943,000 | | | | | CSAIL 2019-C15 A4 Commercial Mortgage Trust, 4.053%, 03/15/2052 | | | 4,436,307 | | | 0.1 | |
| 3,247,076 | | | (1),(3) | | DBUBS 2011-LC2 E Mortgage Trust, 5.714%, 07/10/2044 | | | 3,303,116 | | | 0.1 | |
| 25,126,559 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K006 BX1, 5.539%, 02/25/2020 | | | 526,552 | | | 0.0 | |
| 20,760,000 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K008 X3, 5.446%, 08/25/2020 | | | 753,449 | | | 0.0 | |
| 36,470,000 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.938%, 05/25/2040 | | | 1,675,067 | | | 0.1 | |
| 44,598,963 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K023 X1, 1.372%, 08/25/2022 | | | 1,371,646 | | | 0.0 | |
| 22,000,000 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K028 X3, 1.719%, 06/25/2041 | | | 1,177,504 | | | 0.0 | |
| 27,650,000 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.649%, 05/25/2041 | | | 1,485,947 | | | 0.0 | |
| 10,700,000 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K035 X3, 1.852%, 12/25/2041 | | | 694,980 | | | 0.0 | |
| 44,584,088 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K055 X1, 1.499%, 03/25/2026 | | | 3,328,042 | | | 0.1 | |
| 17,065,782 | | | (3),(4) | | Freddie Mac Multifamily Structured Pass Through Certificates K712 X1, 1.372%, 11/25/2019 | | | 521 | | | 0.0 | |
| 562,170,611 | | | (1),(4) | | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | | | 944,503 | | | 0.0 | |
| 2,920,000 | | | (1) | | GS Mortgage Securities Corp. II 2018-RIVR E, 3.578%, (US0001M + 1.550%), 07/15/2035 | | | 2,908,027 | | | 0.1 | |
| 7,600,000 | | | (1),(3) | | GS Mortgage Securities Trust 2010-C2 D, 5.353%, 12/10/2043 | | | 7,825,059 | | | 0.2 | |
| 4,400,000 | | | (1),(3) | | GS Mortgage Securities Trust 2010-C2 F, 4.548%, 12/10/2043 | | | 4,337,580 | | | 0.1 | |
| 2,740,000 | | | (1),(3) | | GS Mortgage Securities Trust 2010-C2 G, 4.548%, 12/10/2043 | | | 2,672,400 | | | 0.1 | |
| 28,225,761 | | | (3),(4) | | GS Mortgage Securities Trust 2012-GCJ7 XA, 2.355%, 05/10/2045 | | | 930,369 | | | 0.0 | |
| 3,070,000 | | | (1) | | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | | | 2,597,113 | | | 0.1 | |
| 30,726,033 | | | (3),(4) | | GS Mortgage Securities Trust 2013-GC16 XA, 1.214%, 11/10/2046 | | | 1,116,301 | | | 0.0 | |
| 46,752,943 | | | (3),(4) | | GS Mortgage Securities Trust 2014-GC22 XA, 1.143%, 06/10/2047 | | | 1,482,531 | | | 0.0 | |
| 6,930,000 | | | (1),(3) | | GS Mortgage Securities Trust 2019-GC40 DBD, 3.668%, 07/10/2052 | | | 6,982,437 | | | 0.2 | |
| 5,310,000 | | | (1),(3) | | GS Mortgage Securities Trust 2019-GC40 DBE, 3.668%, 07/10/2052 | | | 5,226,692 | | | 0.2 | |
| 3,000,000 | | | (1) | | GS Mortgage Securities Corp. Trust 2018-LUAU D, 4.028%, (US0001M + 2.000%), 11/15/2032 | | | 3,009,583 | | | 0.1 | |
| 5,405,000 | | | (1) | | GS Mortgage Securities Corp. Trust 2018-LUAU E, 4.578%, (US0001M + 2.550%), 11/15/2032 | | | 5,431,067 | | | 0.2 | |
| 105,952,000 | | | (3),(4) | | GS Mortgage Securities Trust 2019-GC42 XA, 0.814%, 09/01/2052 | | | 7,033,613 | | | 0.2 | |
| 5,610,000 | | | (1),(3) | | JPMCC Re-REMIC Trust 2015-FRR2 AK36, 2.215%, 12/27/2046 | | | 5,368,426 | | | 0.2 | |
| 29,612,847 | | | (3),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.650%, 06/15/2045 | | | 754,826 | | | 0.0 | |
| 46,217,124 | | | (3),(4) | | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.876%, 12/15/2049 | | | 1,578,634 | | | 0.1 | |
| 2,600,000 | | | (1),(3) | | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.372%, 11/15/2045 | | | 2,778,039 | | | 0.1 | |
| 3,720,000 | | | (1),(3) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 5.055%, 01/15/2047 | | | 3,926,344 | | | 0.1 | |
| 1,560,000 | | | (1),(3) | | JPMBB Commercial Mortgage Securities Trust 2014-C26 D, 4.023%, 01/15/2048 | | | 1,533,342 | | | 0.0 | |
| 2,516,903 | | | (3),(4) | | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.251%, 10/15/2048 | | | 92,796 | | | 0.0 | |
| 6,560,000 | | | | | JPMCC Commercial Mortgage Securities Trust 2019-COR4 A5, 4.029%, 03/10/2052 | | | 7,407,468 | | | 0.2 | |
| 1,000,000 | | | (1) | | KNDL 2019-KNSQ F Mortgage Trust, 4.028%, (US0001M + 2.000%), 05/15/2036 | | | 1,001,338 | | | 0.0 | |
| 944,215 | | | (3) | | LB-UBS Commercial Mortgage Trust 2005-C3 F, 5.013%, 07/15/2040 | | | 945,290 | | | 0.0 | |
| 1,901,286 | | | (1),(3),(4) | | LB-UBS Commercial Mortgage Trust 2006-C7 XCL, 0.881%, 11/15/2038 | | | 8,868 | | | 0.0 | |
| 9,933,402 | | | (1),(3),(4) | | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.881%, 11/15/2038 | | | 46,329 | | | 0.0 | |
| 2,196,000 | | | (1),(3) | | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 5.074%, 04/15/2047 | | | 2,329,681 | | | 0.1 | |
| 1,000,000 | | | (1),(3) | | Morgan Stanley Capital I Trust 2005-T19 G, 5.898%, 06/12/2047 | | | 1,010,462 | | | 0.0 | |
| 2,375,000 | | | (1),(3) | | Morgan Stanley Capital I Trust 2011-C1 D, 5.554%, 09/15/2047 | | | 2,461,805 | | | 0.1 | |
| 3,890,000 | | | (1),(3) | | Morgan Stanley Capital I Trust 2016-BNK2 E, 4.037%, 11/15/2049 | | | 3,303,452 | | | 0.1 | |
| 3,943,000 | | | | | Morgan Stanley Capital I Trust 2019-H6 A4, 3.417%, 06/15/2052 | | | 4,253,671 | | | 0.1 | |
| 1,900,000 | | | | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | | | 1,743,907 | | | 0.1 | |
| 7,310,000 | | | (1) | | One Bryant Park Trust 2019-OBP A, 2.516%, 09/13/2049 | | | 7,375,477 | | | 0.2 | |
| 3,933,000 | | | (1) | | Shelter Growth CRE 2018-FL1 D Issuer Ltd., 5.028%, (US0001M + 3.000%), 01/15/2035 | | | 3,955,118 | | | 0.1 | |
| 2,820,000 | | | | | UBS Commercial Mortgage Trust 2019-C17 A4, 2.921%, 09/15/2052 | | | 2,901,365 | | | 0.1 | |
| 30,857,816 | | | (3),(4) | | Wells Fargo Commercial Mortgage Trust 2014-LC18 XA, 1.232%, 12/15/2047 | | | 1,262,183 | | | 0.0 | |
| 4,580,000 | | | | | Wells Fargo Commercial Mortgage Trust 2018-C44 A5, 4.212%, 05/15/2051 | | | 5,182,610 | | | 0.2 | |
| 1,630,000 | | | (1),(3) | | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.858%, 11/15/2044 | | | 1,679,080 | | | 0.1 | |
| 20,069,372 | | | (1),(3),(4) | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.978%, 08/15/2045 | | | 812,490 | | | 0.0 | |
| 9,020,000 | | | (1),(3) | | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.403%, 03/15/2045 | | | 7,902,187 | | | 0.2 | |
Principal Amount† | | | | | | | | Value | | | | Percentage of Net Assets | |
SHORT-TERM INVESTMENTS: 3.5% | |
| | | | | | Commercial Paper: 0.8% | |
| 950,000 | | | (9) | | Banco Santander S.A., 2.110%, 01/10/2020 | | | 944,412 | | | | 0.0 | |
| 250,000 | | | (9) | | Barclays PLC, 2.140%, 11/22/2019 | | | 249,235 | | | | 0.0 | |
| 375,000 | | | (9) | | Barclays PLC, 2.140%, 11/26/2019 | | | 373,758 | | | | 0.0 | |
| 525,000 | | | (9) | | BNP Paribas, 2.230%, 11/26/2019 | | | 523,357 | | | | 0.0 | |
| 12,000,000 | | | | | CVS Health Corp., 2.380%, 10/01/2019 | | | 11,999,216 | | | | 0.4 | |
| 375,000 | | | (9) | | DBS Group Holdings Ltd., 2.230%, 11/06/2019 | | | 374,190 | | | | 0.0 | |
| 3,000,000 | | | | | Lowe's Cos, Inc., 2.100%, 10/01/2019 | | | 3,000,000 | | | | 0.1 | |
| 350,000 | | | (9) | | Mouvement des caisses Desjardins, 2.220%, 11/01/2019 | | | 349,346 | | | | 0.0 | |
| 11,000,000 | | | | | Sysco Corp., 2.470%, 10/01/2019 | | | 10,999,254 | | | | 0.3 | |
| | | | | | | | | 28,812,768 | | | | 0.8 | |
| | | | | | | | | | | | | | |
| | | | | | Floating Rate Notes: 0.7% | |
| 950,000 | | | (9) | | Australia and New Zealand Banking Group Ltd., 2.230%, 03/11/2020 | | | 949,866 | | | | 0.0 | |
| 900,000 | | | (9) | | Bank of America Corp., 2.130%, 11/12/2019 | | | 900,030 | | | | 0.0 | |
| 300,000 | | | (9) | | Bank of America Corp., 2.140%, 11/07/2019 | | | 300,012 | | | | 0.0 | |
| 850,000 | | | (9) | | Bank of Montreal, 2.220%, 02/26/2020 | | | 850,041 | | | | 0.0 | |
| 781,000 | | | (9) | | Bedford Row Funding, 2.120%, 11/25/2019 | | | 780,968 | | | | 0.0 | |
| 300,000 | | | (9) | | BNP Paribas, 2.140%, 11/14/2019 | | | 299,992 | | | | 0.0 | |
| 600,000 | | | (9) | | Crédit Agricole Group, 2.170%, 11/07/2019 | | | 599,970 | | | | 0.0 | |
| 300,000 | | | (9) | | DNB ASA, 2.180%, 11/04/2019 | | | 299,992 | | | | 0.0 | |
| 1,000,000 | | | (9) | | HSBC Holdings PLC, 2.170%, 11/08/2019 | | | 1,000,001 | | | | 0.1 | |
| 800,000 | | | (9) | | J.P. Morgan Securities LLC, 2.140%, 11/08/2019 | | | 799,974 | | | | 0.0 | |
| 800,000 | | | (9) | | Lloyds Bank PLC, 2.160%, 11/08/2019 | | | 799,992 | | | | 0.0 | |
| 1,100,000 | | | (9) | | Lloyds Bank PLC, 2.160%, 11/13/2019 | | | 1,099,988 | | | | 0.1 | |
| 400,000 | | | (9) | | Mitsubishi UFJ Financial Group, Inc., 2.160%, 11/07/2019 | | | 399,996 | | | | 0.0 | |
| 900,000 | | | (9) | | Mitsubishi UFJ Financial Group, Inc., 2.160%, 11/18/2019 | | | 899,997 | | | | 0.0 | |
| 1,000,000 | | | (9) | | Mizuho Financial Group Inc., 2.160%, 11/20/2019 | | | 1,000,001 | | | | 0.1 | |
| 1,000,000 | | | (9) | | Mizuho Financial Group Inc., 2.170%, 11/27/2019 | | | 1,000,020 | | | | 0.1 | |
| 900,000 | | | (9) | | National Australia Bank Ltd., 2.110%, 11/15/2019 | | | 899,943 | | | | 0.0 | |
| 700,000 | | | (9) | | National Bank Of Canada, 2.160%, 11/06/2019 | | | 699,980 | | | | 0.0 | |
| 800,000 | | | (9) | | Natixis S.A., 2.140%, 11/08/2019 | | | 799,975 | | | | 0.0 | |
| 500,000 | | | (9) | | Oversea-Chinese Banking Corp., Ltd., 2.160%, 10/07/2019 | | | 500,002 | | | | 0.0 | |
| 800,000 | | | (9) | | Skandinaviska Enskilda Banken AB, 2.140%, 11/08/2019 | | | 799,974 | | | | 0.0 | |
| 700,000 | | | (9) | | Skandinaviska Enskilda Banken AB, 2.140%, 11/13/2019 | | | 699,975 | | | | 0.0 | |
| 950,000 | | | (9) | | Societe Generale, 2.220%, 12/02/2019 | | | 950,015 | | | | 0.0 | |
| 1,000,000 | | | (9) | | State Street Bank & Trust Co., 2.120%, 11/15/2019 | | | 999,936 | | | | 0.1 | |
| 800,000 | | | (9) | | The Sumitomo Mitsui Financial Group, 2.160%, 11/08/2019 | | | 799,992 | | | | 0.0 | |
| 1,000,000 | | | (9) | | The Sumitomo Mitsui Financial Group, 2.160%, 11/18/2019 | | | 999,996 | | | | 0.1 | |
| 300,000 | | | (9) | | The Sumitomo Mitsui Financial Group, 2.190%, 11/05/2019 | | | 299,998 | | | | 0.0 | |
| 950,000 | | | (9) | | Sumitomo Mitsui Trust Holdings, Inc., 2.030%, 03/11/2020 | | | 950,367 | | | | 0.1 | |
| 400,000 | | | (9) | | The Norinchukin Bank, 2.230%, 02/28/2020 | | | 399,984 | | | | 0.0 | |
| 700,000 | | | (9) | | Toronto-Dominion Bank, 2.120%, 11/18/2019 | | | 699,964 | | | | 0.0 | |
| 950,000 | | | (9) | | Toyota Motor Corp., 2.290%, 03/02/2020 | | | 950,037 | | | | 0.0 | |
| 900,000 | | | (9) | | U.S. Bancorp, 2.120%, 11/25/2019 | | | 899,935 | | | | 0.0 | |
| 916,000 | | | (9) | | Wells Fargo & Co., 2.180%, 11/04/2019 | | | 915,976 | | | | 0.0 | |
| | | | | | | | | 25,246,889 | | | | 0.7 | |
| | | | | | | | | | | | | | |
| | | | | | Repurchase Agreements: 1.9% | |
| 15,474,815 | | | (9) | | Cantor Fitzgerald Securities, Repurchase Agreement dated 09/30/19, 2.40%, due 10/01/19 (Repurchase Amount $15,475,833, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $15,784,311, due 10/25/19-07/15/61) | | | 15,474,815 | | | | 0.5 | |
| 22,463,372 | | | (9) | | Citadel Securities LLC, Repurchase Agreement dated 09/30/19, 2.39%, due 10/01/19 (Repurchase Amount $22,464,843, collateralized by various U.S. Government Securities, 0.000%-8.500%, Market Value plus accrued interest $22,914,161, due 10/15/19-09/09/49) | | | 22,463,372 | | | | 0.6 | |
| 22,463,372 | | | (9) | | RBC Dominion Securities Inc., Repurchase Agreement dated 09/30/19, 2.37%, due 10/01/19 (Repurchase Amount $22,464,831, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $22,912,639, due 10/15/19-09/01/49) | | | 22,463,372 | | | | 0.6 | |
| 6,595,054 | | | (9) | | State of Wisconsin Investment Board, Repurchase Agreement dated 09/30/19, 2.52%, due 10/01/19 (Repurchase Amount $6,595,509, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $6,726,973, due 04/15/21-09/09/49) | | | 6,595,054 | | | | 0.2 | |
| | | | | | | | | 66,996,613 | | | | 1.9 | |
| | | | | | | | | | | | | | |
| | | | | | Certificates of Deposit: 0.0% | |
| 850,000 | | | (9) | | Landesbank Baden-Wurttemberg, 2.180%, 01/09/2020 | | | 850,094 | | | | 0.0 | |
| 450,000 | | | (9) | | The Norinchukin Bank, 2.210%, 12/05/2019 | | | 450,099 | | | | 0.0 | |
| | | | | | | | | 1,300,193 | | | | 0.0 | |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the assets and liabilities:
An investment of at least 5% of the voting securities of an issuer, or a company which is under common control results in that issuer becoming an affiliated person as defined by the 1940 Act.
The following table provides transactions during the period ended September 30, 2019, where the following issuers were considered an affiliate:
The financial statements for the above mutual fund[s] can be found at www.sec.gov.
At September 30, 2019, the following forward foreign currency contracts were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2019, the following futures contracts were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2019, the following centrally cleared credit default swaps were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2019, the following centrally cleared interest rate swaps were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2019, the following over-the-counter forward premium swaptions were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2019, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were: