Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 26.0% | |
| | Basic Materials: 0.6% |
445,000 | (1) | Anglo American Capital PLC, 2.250%, 03/17/2028 | $ 438,997 | 0.0 |
445,000 | (1) | Anglo American Capital PLC, 2.875%, 03/17/2031 | 441,132 | 0.0 |
1,250,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,353,288 | 0.1 |
1,073,000 | (1) | Anglo American Capital PLC, 4.125%, 04/15/2021 | 1,073,892 | 0.0 |
476,000 | (1) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 569,362 | 0.0 |
400,000 | | Dow Chemical Co., 4.375%, 11/15/2042 | 454,928 | 0.0 |
1,338,000 | | Dow Chemical Co/The, 2.100%, 11/15/2030 | 1,291,373 | 0.1 |
2,028,000 | | Dow Chemical Co/The, 3.600%, 11/15/2050 | 2,048,442 | 0.1 |
2,148,000 | | Dow Chemical Co/The, 4.250%, 10/01/2034 | 2,382,515 | 0.1 |
500,000 | | Dow Chemical Co/The, 4.625%, 10/01/2044 | 582,757 | 0.0 |
342,000 | | FMC Corp., 3.450%, 10/01/2029 | 361,326 | 0.0 |
1,020,000 | | International Paper Co., 4.400%, 08/15/2047 | 1,196,479 | 0.0 |
2,445,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 2,941,768 | 0.1 |
702,000 | (1) | Newcrest Finance Pty Ltd., 3.250%, 05/13/2030 | 735,969 | 0.0 |
561,000 | (1) | Newcrest Finance Pty Ltd., 4.200%, 05/13/2050 | 609,960 | 0.0 |
747,000 | | Newmont Corp., 2.250%, 10/01/2030 | 728,297 | 0.0 |
345,000 | | Nutrien Ltd., 2.950%, 05/13/2030 | 357,712 | 0.0 |
346,000 | | Nutrien Ltd., 3.950%, 05/13/2050 | 374,886 | 0.0 |
1,333,000 | | PPG Industries, Inc., 1.200%, 03/15/2026 | 1,307,348 | 0.1 |
1,147,000 | | Steel Dynamics, Inc., 1.650%, 10/15/2027 | 1,124,731 | 0.0 |
722,000 | | Steel Dynamics, Inc., 3.250%, 10/15/2050 | 676,237 | 0.0 |
250,000 | | Teck Resources Ltd., 6.125%, 10/01/2035 | 306,790 | 0.0 |
| | | 21,358,189 | 0.6 |
| | | | |
| | Communications: 2.4% |
6,026,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | 6,546,446 | 0.2 |
889,000 | | AT&T, Inc., 1.650%, 02/01/2028 | 862,066 | 0.0 |
2,080,000 | | AT&T, Inc., 1.700%, 03/25/2026 | 2,080,257 | 0.1 |
2,329,000 | | AT&T, Inc., 2.250%, 02/01/2032 | 2,218,359 | 0.1 |
801,000 | (1) | AT&T, Inc., 2.550%, 12/01/2033 | 761,275 | 0.0 |
1,520,000 | | AT&T, Inc., 3.100%, 02/01/2043 | 1,421,556 | 0.1 |
4,606,000 | (1) | AT&T, Inc., 3.550%, 09/15/2055 | 4,223,032 | 0.1 |
2,948,000 | (1) | AT&T, Inc., 3.650%, 09/15/2059 | 2,700,001 | 0.1 |
616,000 | | AT&T, Inc., 4.300%, 02/15/2030 | 693,981 | 0.0 |
820,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 753,200 | 0.0 |
750,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | 782,390 | 0.0 |
2,500,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 2,835,698 | 0.1 |
1,250,000 | | Comcast Corp., 2.650%, 02/01/2030 | 1,280,579 | 0.0 |
2,279,000 | | Comcast Corp., 3.999%, 11/01/2049 | 2,561,466 | 0.1 |
5,000,000 | | Comcast Corp., 4.000%, 03/01/2048 | 5,597,470 | 0.2 |
1,225,000 | | Comcast Corp., 4.600%, 10/15/2038 | 1,480,505 | 0.1 |
765,000 | | Corning, Inc., 5.450%, 11/15/2079 | 953,377 | 0.0 |
860,000 | (1) | Deutsche Telekom AG, 3.625%, 01/21/2050 | 874,469 | 0.0 |
3,500,000 | | Discovery Communications LLC, 5.200%, 09/20/2047 | 4,155,788 | 0.1 |
1,000,000 | | Interpublic Group of Cos, Inc./The, 3.750%, 10/01/2021 | 1,016,809 | 0.0 |
2,630,000 | (1) | Tencent Holdings Ltd., 2.985%, 01/19/2023 | 2,729,942 | 0.1 |
3,754,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 4,676,232 | 0.2 |
527,000 | (1) | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 517,393 | 0.0 |
1,738,000 | (1) | T-Mobile USA, Inc., 3.300%, 02/15/2051 | 1,626,455 | 0.1 |
1,120,000 | (1) | T-Mobile USA, Inc., 3.600%, 11/15/2060 | 1,077,703 | 0.0 |
818,000 | (1) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 895,023 | 0.0 |
462,000 | (1) | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 502,014 | 0.0 |
817,000 | (1) | T-Mobile USA, Inc., 4.375%, 04/15/2040 | 908,553 | 0.0 |
2,500,000 | (1) | T-Mobile USA, Inc., 4.500%, 04/15/2050 | 2,810,350 | 0.1 |
1,399,000 | | Verizon Communications, Inc., 2.650%, 11/20/2040 | 1,280,391 | 0.0 |
1,413,000 | | Verizon Communications, Inc., 2.875%, 11/20/2050 | 1,258,257 | 0.0 |
542,000 | (1) | Verizon Communications, Inc., 2.987%, 10/30/2056 | 479,445 | 0.0 |
779,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | 791,954 | 0.0 |
312,000 | | Verizon Communications, Inc., 3.550%, 03/22/2051 | 312,135 | 0.0 |
2,558,000 | | Verizon Communications, Inc., 3.700%, 03/22/2061 | 2,532,836 | 0.1 |
2,000,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | 2,149,209 | 0.1 |
240,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | 258,744 | 0.0 |
208,000 | | Verizon Communications, Inc., 4.500%, 08/10/2033 | 241,831 | 0.0 |
2,750,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 3,295,254 | 0.1 |
1,950,000 | | Verizon Communications, Inc., 4.862%, 08/21/2046 | 2,344,764 | 0.1 |
1,510,000 | | ViacomCBS, Inc., 5.500%, 05/15/2033 | 1,830,467 | 0.1 |
500,000 | | Vodafone Group PLC, 4.375%, 02/19/2043 | 557,625 | 0.0 |
880,000 | | Vodafone Group PLC, 5.125%, 06/19/2059 | 1,072,352 | 0.0 |
539,000 | | Walt Disney Co/The, 2.000%, 09/01/2029 | 532,734 | 0.0 |
1,082,000 | | Walt Disney Co/The, 3.500%, 05/13/2040 | 1,146,462 | 0.0 |
2,270,000 | | Walt Disney Co/The, 4.750%, 11/15/2046 | 2,847,900 | 0.1 |
| | | 82,474,749 | 2.4 |
| | | | |
| | Consumer, Cyclical: 1.2% |
747,507 | (1) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | 820,419 | 0.0 |
41,974 | | American Airlines 2015-2 Class AA Pass Through Trust, 3.600%, 03/22/2029 | 42,381 | 0.0 |
2,315,980 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | 2,313,357 | 0.1 |
50,152 | | American Airlines 2017-2 Class AA Pass Through Trust, 3.350%, 04/15/2031 | 50,803 | 0.0 |
1,244,000 | (1) | BMW US Capital LLC, 2.550%, 04/01/2031 | 1,248,988 | 0.1 |
3,500,000 | (1) | BMW US Capital LLC, 3.450%, 04/12/2023 | 3,693,882 | 0.1 |
883,244 | (1) | British Airways 2020-1 Class A Pass Through Trust, 4.250%, 05/15/2034 | 928,754 | 0.0 |
995,496 | | Continental Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | 1,041,320 | 0.0 |
24,712 | | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 04/29/2026 | 25,563 | 0.0 |
776,000 | | Cummins, Inc., 2.600%, 09/01/2050 | 696,652 | 0.0 |
1,875,000 | (1) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 1,931,367 | 0.1 |
800,801 | | Delta Air Lines 2002-1 Class G-1 Pass Through Trust, 6.718%, 07/02/2024 | 819,386 | 0.0 |
680,787 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | 691,326 | 0.0 |
515,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | 550,036 | 0.0 |
793,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 863,000 | 0.0 |
1,400,000 | | General Motors Co., 5.400%, 04/01/2048 | 1,662,107 | 0.1 |
935,000 | | General Motors Co., 6.125%, 10/01/2025 | 1,100,556 | 0.0 |
1,000,000 | | General Motors Financial Co., Inc., 3.950%, 04/13/2024 | 1,076,677 | 0.0 |
1,893,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | 2,104,278 | 0.1 |
1,004,000 | | General Motors Financial Co., Inc., 5.200%, 03/20/2023 | 1,089,238 | 0.0 |
873,000 | (1),(2) | Harley-Davidson Financial Services, Inc., 3.350%, 06/08/2025 | 915,573 | 0.0 |
640,000 | | Home Depot, Inc./The, 3.300%, 04/15/2040 | 674,299 | 0.0 |
550,000 | | McDonald's Corp., 3.500%, 07/01/2027 | 605,509 | 0.0 |
1,000,000 | | McDonald's Corp., 4.450%, 09/01/2048 | 1,168,073 | 0.1 |
222,000 | (1) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | 243,645 | 0.0 |
1,688,000 | (1) | Nissan Motor Co. Ltd., 3.522%, 09/17/2025 | 1,789,238 | 0.1 |
1,323,000 | (1) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 1,452,681 | 0.1 |
924,000 | | Ralph Lauren Corp., 1.700%, 06/15/2022 | 938,823 | 0.0 |
2,250,000 | | Toyota Motor Credit Corp., 2.150%, 02/13/2030 | 2,236,441 | 0.1 |
135,576 | | United Airlines 2013-1 Class A Pass Through Trust, 4.300%, 02/15/2027 | 141,114 | 0.0 |
606,772 | | United Airlines 2014-1 Class A Pass Through Trust, 4.000%, 10/11/2027 | 629,082 | 0.0 |
1,832,836 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | 1,879,169 | 0.1 |
3,952,964 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | 4,024,615 | 0.1 |
878,863 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | 913,058 | 0.0 |
1,120,000 | | WW Grainger, Inc., 1.850%, 02/15/2025 | 1,154,955 | 0.0 |
| | | 41,516,365 | 1.2 |
| | | | |
| | Consumer, Non-cyclical: 4.3% |
114,000 | | Abbott Laboratories, 4.900%, 11/30/2046 | 148,824 | 0.0 |
5,000,000 | | AbbVie, Inc., 2.300%, 11/21/2022 | 5,146,219 | 0.2 |
2,554,000 | | AbbVie, Inc., 2.600%, 11/21/2024 | 2,697,883 | 0.1 |
1,970,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | 2,043,584 | 0.1 |
1,441,000 | | AbbVie, Inc., 2.950%, 11/21/2026 | 1,535,369 | 0.1 |
732,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | 820,629 | 0.0 |
750,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 866,526 | 0.0 |
1,964,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | 2,286,056 | 0.1 |
1,037,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | 1,218,902 | 0.0 |
1,700,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | 2,002,035 | 0.1 |
1,000,000 | | Aetna, Inc., 2.800%, 06/15/2023 | 1,043,521 | 0.0 |
750,000 | | Aetna, Inc., 4.500%, 05/15/2042 | 856,259 | 0.0 |
848,000 | | Altria Group, Inc., 2.450%, 02/04/2032 | 810,925 | 0.0 |
1,691,000 | | Altria Group, Inc., 3.700%, 02/04/2051 | 1,543,267 | 0.1 |
301,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 346,075 | 0.0 |
730,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | 892,352 | 0.0 |
2,000,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | 2,495,751 | 0.1 |
1,660,000 | | AmerisourceBergen Corp., 2.700%, 03/15/2031 | 1,658,409 | 0.1 |
798,000 | | Amgen, Inc., 3.375%, 02/21/2050 | 799,129 | 0.0 |
1,297,000 | | Amgen, Inc., 4.563%, 06/15/2048 | 1,549,975 | 0.1 |
1,000,000 | | Amgen, Inc., 4.950%, 10/01/2041 | 1,243,573 | 0.0 |
2,462,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 2,888,806 | 0.1 |
4,049,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 4,847,663 | 0.1 |
1,909,000 | | Anheuser-Busch InBev Finance, Inc., 4.000%, 01/17/2043 | 2,032,878 | 0.1 |
1,260,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 1,576,958 | 0.1 |
1,416,000 | | Anthem, Inc., 2.875%, 09/15/2029 | 1,473,649 | 0.0 |
1,000,000 | | Anthem, Inc., 3.500%, 08/15/2024 | 1,081,745 | 0.0 |
1,800,000 | | Anthem, Inc., 5.100%, 01/15/2044 | 2,242,241 | 0.1 |
3,079,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | 3,034,349 | 0.1 |
866,000 | | BAT Capital Corp., 2.726%, 03/25/2031 | 838,617 | 0.0 |
140,000 | | BAT Capital Corp., 3.215%, 09/06/2026 | 148,044 | 0.0 |
866,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | 826,178 | 0.0 |
750,000 | | BAT Capital Corp., 4.390%, 08/15/2037 | 787,220 | 0.0 |
1,936,000 | | Becton Dickinson and Co., 2.894%, 06/06/2022 | 1,986,495 | 0.1 |
500,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 537,343 | 0.0 |
863,000 | | Bristol-Myers Squibb Co., 1.450%, 11/13/2030 | 807,350 | 0.0 |
863,000 | | Bristol-Myers Squibb Co., 2.550%, 11/13/2050 | 768,497 | 0.0 |
707,000 | | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 786,632 | 0.0 |
1,757,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | 2,048,921 | 0.1 |
2,000,000 | (1) | Cargill, Inc., 3.875%, 05/23/2049 | 2,161,750 | 0.1 |
2,195,000 | | Cigna Corp., 3.250%, 04/15/2025 | 2,362,689 | 0.1 |
2,161,000 | | Cigna Corp., 3.750%, 07/15/2023 | 2,311,814 | 0.1 |
3,000,000 | | Cigna Corp., 4.800%, 08/15/2038 | 3,592,076 | 0.1 |
485,000 | | Cigna Corp., 4.800%, 07/15/2046 | 582,623 | 0.0 |
935,000 | | Cigna Corp., 4.900%, 12/15/2048 | 1,148,029 | 0.0 |
1,666,000 | | Coca-Cola Co/The, 2.000%, 03/05/2031 | 1,630,552 | 0.1 |
733,000 | | Coca-Cola Co/The, 2.500%, 06/01/2040 | 689,886 | 0.0 |
798,000 | | CVS Health Corp., 2.700%, 08/21/2040 | 736,525 | 0.0 |
1,075,000 | | CVS Health Corp., 3.875%, 07/20/2025 | 1,188,931 | 0.0 |
1,886,000 | | CVS Health Corp., 4.125%, 04/01/2040 | 2,088,224 | 0.1 |
3,000,000 | | CVS Health Corp., 4.780%, 03/25/2038 | 3,546,844 | 0.1 |
3,500,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 4,303,516 | 0.1 |
58,488 | | CVS Pass-Through Trust, 6.943%, 01/10/2030 | 70,525 | 0.0 |
1,361,000 | | DENTSPLY SIRONA, Inc., 3.250%, 06/01/2030 | 1,424,655 | 0.0 |
345,000 | | Diageo Capital PLC, 2.125%, 04/29/2032 | 333,628 | 0.0 |
663,000 | | Element Fleet Management Corp., 1.600%, 04/06/2024 | 662,224 | 0.0 |
743,000 | | Gilead Sciences, Inc., 0.750%, 09/29/2023 | 743,935 | 0.0 |
573,000 | | Gilead Sciences, Inc., 2.800%, 10/01/2050 | 510,257 | 0.0 |
557,000 | | Gilead Sciences, Inc., 3.500%, 02/01/2025 | 605,437 | 0.0 |
566,000 | | Gilead Sciences, Inc., 4.500%, 02/01/2045 | 658,875 | 0.0 |
1,676,000 | | Global Payments, Inc., 1.200%, 03/01/2026 | 1,651,067 | 0.1 |
1,000,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | 1,051,247 | 0.0 |
3,000,000 | | Global Payments, Inc., 3.200%, 08/15/2029 | 3,163,024 | 0.1 |
1,166,000 | | HCA, Inc., 4.125%, 06/15/2029 | 1,293,469 | 0.0 |
1,604,000 | | HCA, Inc., 4.500%, 02/15/2027 | 1,800,387 | 0.1 |
407,000 | | HCA, Inc., 5.125%, 06/15/2039 | 489,708 | 0.0 |
772,000 | | HCA, Inc., 5.250%, 04/15/2025 | 882,202 | 0.0 |
500,000 | | HCA, Inc., 5.250%, 06/15/2049 | 613,289 | 0.0 |
466,000 | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 3.200%, 06/01/2050 | 442,099 | 0.0 |
1,815,000 | | Humana, Inc., 3.125%, 08/15/2029 | 1,895,210 | 0.1 |
1,247,000 | | Illumina, Inc., 2.550%, 03/23/2031 | 1,237,362 | 0.0 |
2,113,000 | (1) | Imperial Brands Finance PLC, 3.750%, 07/21/2022 | 2,183,610 | 0.1 |
839,000 | | Johnson & Johnson, 0.550%, 09/01/2025 | 832,604 | 0.0 |
796,000 | | Johnson & Johnson, 0.950%, 09/01/2027 | 774,345 | 0.0 |
704,000 | | Johnson & Johnson, 2.100%, 09/01/2040 | 637,565 | 0.0 |
750,000 | | Kaiser Foundation Hospitals, 3.266%, 11/01/2049 | 774,504 | 0.0 |
750,000 | | Kroger Co/The, 5.150%, 08/01/2043 | 919,448 | 0.0 |
969,000 | | Laboratory Corp. of America Holdings, 3.250%, 09/01/2024 | 1,039,085 | 0.0 |
1,537,000 | | Laboratory Corp. of America Holdings, 4.700%, 02/01/2045 | 1,748,754 | 0.1 |
2,500,000 | (1) | Mars, Inc., 4.125%, 04/01/2054 | 2,846,363 | 0.1 |
1,505,000 | | McKesson Corp., 0.900%, 12/03/2025 | 1,474,721 | 0.1 |
1,436,000 | | Medtronic, Inc., 4.375%, 03/15/2035 | 1,728,610 | 0.1 |
1,627,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 1,876,949 | 0.1 |
2,891,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 3,015,259 | 0.1 |
1,500,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | 1,592,626 | 0.1 |
1,644,000 | | Regeneron Pharmaceuticals, Inc., 1.750%, 09/15/2030 | 1,522,371 | 0.1 |
1,250,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 1,476,438 | 0.1 |
624,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 754,181 | 0.0 |
537,000 | (1) | Royalty Pharma PLC, 1.200%, 09/02/2025 | 526,454 | 0.0 |
796,000 | (1) | Royalty Pharma PLC, 1.750%, 09/02/2027 | 773,686 | 0.0 |
2,518,000 | (1) | Royalty Pharma PLC, 3.300%, 09/02/2040 | 2,434,222 | 0.1 |
301,000 | | S&P Global, Inc., 2.300%, 08/15/2060 | 245,154 | 0.0 |
1,492,000 | | Smith & Nephew PLC, 2.032%, 10/14/2030 | 1,406,227 | 0.0 |
581,000 | | STERIS Irish FinCo UnLtd. Co., 2.700%, 03/15/2031 | 577,144 | 0.0 |
914,000 | | STERIS Irish FinCo UnLtd. Co., 3.750%, 03/15/2051 | 922,357 | 0.0 |
400,000 | | Takeda Pharmaceutical Co. Ltd., 3.025%, 07/09/2040 | 387,704 | 0.0 |
200,000 | | Takeda Pharmaceutical Co. Ltd., 3.175%, 07/09/2050 | 191,556 | 0.0 |
1,200,000 | | Takeda Pharmaceutical Co. Ltd., 3.375%, 07/09/2060 | 1,155,626 | 0.0 |
300,000 | | Thermo Fisher Scientific, Inc., 2.600%, 10/01/2029 | 307,896 | 0.0 |
430,000 | | Thermo Fisher Scientific, Inc., 4.133%, 03/25/2025 | 477,838 | 0.0 |
1,111,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | 1,197,539 | 0.0 |
1,500,000 | (1) | Viatris, Inc., 3.850%, 06/22/2040 | 1,538,116 | 0.1 |
981,000 | (1) | Viatris, Inc., 4.000%, 06/22/2050 | 1,002,259 | 0.0 |
826,000 | | Zimmer Biomet Holdings, Inc., 3.550%, 03/20/2030 | 884,075 | 0.0 |
| | | 145,816,194 | 4.3 |
| | | | |
| | Energy: 2.5% |
450,000 | | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | 425,603 | 0.0 |
357,000 | | BP Capital Markets America, Inc., 2.772%, 11/10/2050 | 312,217 | 0.0 |
707,000 | | BP Capital Markets America, Inc., 2.939%, 06/04/2051 | 631,775 | 0.0 |
4,000,000 | | BP Capital Markets America, Inc., 3.224%, 04/14/2024 | 4,295,651 | 0.1 |
1,651,000 | | BP Capital Markets America, Inc., 3.379%, 02/08/2061 | 1,533,437 | 0.1 |
923,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | 991,071 | 0.0 |
408,000 | | Burlington Resources LLC, 5.950%, 10/15/2036 | 547,959 | 0.0 |
205,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | 271,140 | 0.0 |
1,665,000 | | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 1,757,923 | 0.1 |
117,000 | | Chevron USA, Inc., 3.250%, 10/15/2029 | 126,241 | 0.0 |
1,255,000 | | Chevron USA, Inc., 4.950%, 08/15/2047 | 1,581,631 | 0.1 |
3,000,000 | | Cimarex Energy Co., 3.900%, 05/15/2027 | 3,268,482 | 0.1 |
1,815,000 | (1),(2) | ConocoPhillips, 2.400%, 02/15/2031 | 1,793,215 | 0.1 |
1,652,000 | | Diamondback Energy, Inc., 2.875%, 12/01/2024 | 1,743,582 | 0.1 |
831,000 | | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 830,331 | 0.0 |
1,160,000 | | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 1,224,095 | 0.1 |
3,000,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 3,115,810 | 0.1 |
665,000 | | Diamondback Energy, Inc., 4.400%, 03/24/2051 | 682,403 | 0.0 |
979,000 | (3) | Enbridge, Inc., 5.750%, 07/15/2080 | 1,049,977 | 0.0 |
275,000 | | Energy Transfer Operating L.P., 4.900%, 03/15/2035 | 290,676 | 0.0 |
2,000,000 | | Energy Transfer Operating L.P., 5.300%, 04/15/2047 | 2,118,299 | 0.1 |
490,000 | | Energy Transfer Operating L.P., 5.800%, 06/15/2038 | 556,922 | 0.0 |
1,067,000 | | Energy Transfer Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 1,149,173 | 0.0 |
1,385,000 | | Enterprise Products Operating LLC, 3.750%, 02/15/2025 | 1,519,275 | 0.1 |
589,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | 591,837 | 0.0 |
283,000 | | Enterprise Products Operating LLC, 4.200%, 01/31/2050 | 302,319 | 0.0 |
2,400,000 | (3) | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | 2,261,186 | 0.1 |
826,000 | | Equinor ASA, 3.125%, 04/06/2030 | 874,415 | 0.0 |
1,394,000 | | Exxon Mobil Corp., 2.726%, 03/01/2023 | 1,451,766 | 0.1 |
755,000 | | Exxon Mobil Corp., 4.227%, 03/19/2040 | 850,492 | 0.0 |
79,000 | | Halliburton Co., 3.500%, 08/01/2023 | 83,727 | 0.0 |
66,000 | | Halliburton Co., 3.800%, 11/15/2025 | 72,627 | 0.0 |
535,000 | | Halliburton Co., 4.850%, 11/15/2035 | 601,865 | 0.0 |
2,676,000 | | Hess Corp., 5.600%, 02/15/2041 | 3,092,830 | 0.1 |
1,000,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 1,102,518 | 0.0 |
920,000 | | Kinder Morgan Energy Partners L.P., 5.400%, 09/01/2044 | 1,081,191 | 0.0 |
751,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | 844,680 | 0.0 |
1,198,000 | | Marathon Petroleum Corp., 5.125%, 04/01/2024 | 1,208,474 | 0.1 |
1,000,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | 1,061,905 | 0.0 |
373,000 | | MPLX L.P., 4.700%, 04/15/2048 | 404,806 | 0.0 |
479,000 | | MPLX L.P., 5.200%, 03/01/2047 | 549,120 | 0.0 |
928,000 | | MPLX L.P., 5.200%, 12/01/2047 | 1,054,691 | 0.0 |
570,000 | | MPLX L.P., 5.500%, 02/15/2049 | 670,662 | 0.0 |
770,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | 784,808 | 0.0 |
510,000 | | Phillips 66, 0.900%, 02/15/2024 | 510,210 | 0.0 |
1,075,000 | | Pioneer Natural Resources Co., 1.900%, 08/15/2030 | 998,513 | 0.0 |
1,380,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | 1,377,474 | 0.1 |
1,180,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 1,295,697 | 0.1 |
1,779,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | 1,950,424 | 0.1 |
500,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | 489,714 | 0.0 |
900,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 987,932 | 0.0 |
906,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 1,031,999 | 0.0 |
500,000 | (1) | Schlumberger Holdings Corp., 3.750%, 05/01/2024 | 539,628 | 0.0 |
1,500,000 | (1) | Schlumberger Investment SA, 2.400%, 08/01/2022 | 1,530,998 | 0.1 |
4,500,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | 4,865,123 | 0.2 |
1,320,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | 1,503,273 | 0.1 |
616,000 | | Shell International Finance BV, 4.000%, 05/10/2046 | 688,144 | 0.0 |
582,000 | | Sunoco Logistics Partners Operations L.P., 4.250%, 04/01/2024 | 630,767 | 0.0 |
845,000 | | Sunoco Logistics Partners Operations L.P., 5.350%, 05/15/2045 | 892,373 | 0.0 |
2,000,000 | | Total Capital Canada Ltd., 2.750%, 07/15/2023 | 2,107,357 | 0.1 |
500,000 | | Total Capital International SA, 2.986%, 06/29/2041 | 480,536 | 0.0 |
836,000 | | Total Capital International SA, 3.127%, 05/29/2050 | 789,238 | 0.0 |
257,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | 270,457 | 0.0 |
392,000 | | Valero Energy Corp., 2.850%, 04/15/2025 | 410,121 | 0.0 |
3,804,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | 4,175,117 | 0.1 |
754,000 | | Williams Cos, Inc./The, 5.100%, 09/15/2045 | 866,558 | 0.0 |
1,017,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | 1,183,555 | 0.0 |
1,128,000 | | Williams Partners L.P., 3.600%, 03/15/2022 | 1,155,479 | 0.0 |
1,836,000 | | Williams Partners L.P., 3.750%, 06/15/2027 | 2,002,989 | 0.1 |
| | | 83,496,483 | 2.5 |
| | | | |
| | Financial: 9.2% |
1,862,000 | | Alexandria Real Estate Equities, Inc., 2.000%, 05/18/2032 | 1,731,451 | 0.1 |
847,000 | | Alexandria Real Estate Equities, Inc., 3.000%, 05/18/2051 | 772,606 | 0.0 |
215,000 | | American International Group, Inc., 3.875%, 01/15/2035 | 234,279 | 0.0 |
1,248,000 | | American International Group, Inc., 3.900%, 04/01/2026 | 1,379,042 | 0.1 |
245,000 | | American International Group, Inc., 4.375%, 01/15/2055 | 274,156 | 0.0 |
1,106,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 1,255,006 | 0.0 |
43,000 | | American International Group, Inc., 4.750%, 04/01/2048 | 51,291 | 0.0 |
773,000 | | American International Group, Inc., 4.800%, 07/10/2045 | 916,300 | 0.0 |
1,840,000 | (1) | ANZ New Zealand Int'l Ltd./London, 3.400%, 03/19/2024 | 1,987,290 | 0.1 |
485,000 | | Assurant, Inc., 3.700%, 02/22/2030 | 516,624 | 0.0 |
1,569,000 | (1) | Athene Global Funding, 2.550%, 11/19/2030 | 1,515,888 | 0.1 |
519,000 | (1) | Athene Global Funding, 2.950%, 11/12/2026 | 545,752 | 0.0 |
452,000 | (1) | Aviation Capital Group LLC, 3.875%, 05/01/2023 | 472,060 | 0.0 |
808,000 | (1) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | 859,710 | 0.0 |
982,000 | (1) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | 1,098,922 | 0.0 |
599,000 | (1) | Avolon Holdings Funding Ltd., 2.125%, 02/21/2026 | 573,214 | 0.0 |
1,804,000 | (1) | Avolon Holdings Funding Ltd., 2.750%, 02/21/2028 | 1,696,887 | 0.1 |
391,000 | (1) | Avolon Holdings Funding Ltd., 2.875%, 02/15/2025 | 389,983 | 0.0 |
800,000 | | Banco Santander SA, 1.849%, 03/25/2026 | 798,845 | 0.0 |
1,000,000 | | Banco Santander SA, 2.746%, 05/28/2025 | 1,045,854 | 0.0 |
800,000 | | Banco Santander SA, 2.958%, 03/25/2031 | 796,067 | 0.0 |
2,000,000 | | Banco Santander SA, 3.125%, 02/23/2023 | 2,093,016 | 0.1 |
3,375,000 | (3) | Bank of America Corp., 0.981%, 09/25/2025 | 3,368,516 | 0.1 |
1,955,000 | (3) | Bank of America Corp., 1.197%, 10/24/2026 | 1,930,511 | 0.1 |
599,000 | (3) | Bank of America Corp., 1.898%, 07/23/2031 | 563,139 | 0.0 |
1,396,000 | (3) | Bank of America Corp., 1.922%, 10/24/2031 | 1,314,862 | 0.0 |
225,000 | (3) | Bank of America Corp., 2.015%, 02/13/2026 | 230,584 | 0.0 |
220,000 | (3) | Bank of America Corp., 2.496%, 02/13/2031 | 218,233 | 0.0 |
1,980,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | 1,857,747 | 0.1 |
1,000,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | 1,050,494 | 0.0 |
3,500,000 | (3) | Bank of America Corp., 3.499%, 05/17/2022 | 3,513,083 | 0.1 |
1,000,000 | (3) | Bank of America Corp., 3.593%, 07/21/2028 | 1,085,914 | 0.0 |
1,645,000 | | Bank of America Corp., 3.950%, 04/21/2025 | 1,805,032 | 0.1 |
435,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | 479,896 | 0.0 |
1,355,000 | (3) | Bank of America Corp., 4.078%, 04/23/2040 | 1,502,617 | 0.1 |
323,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 359,260 | 0.0 |
3,641,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 4,052,127 | 0.1 |
4,336,000 | | Bank of America Corp., 4.250%, 10/22/2026 | 4,865,971 | 0.2 |
1,000,000 | (3) | Bank of America Corp., 4.271%, 07/23/2029 | 1,125,020 | 0.0 |
1,545,000 | (2) | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | 1,603,369 | 0.1 |
1,773,000 | (1) | Banque Federative du Credit Mutuel SA, 0.650%, 02/27/2024 | 1,768,583 | 0.1 |
1,535,000 | (1) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | 1,611,806 | 0.1 |
1,000,000 | (1) | Barclays Bank PLC, 10.179%, 06/12/2021 | 1,017,210 | 0.0 |
932,000 | (3) | Barclays PLC, 3.564%, 09/23/2035 | 934,507 | 0.0 |
2,438,000 | (3) | Barclays PLC, 3.932%, 05/07/2025 | 2,632,640 | 0.1 |
1,325,000 | (3) | Barclays PLC, 4.610%, 02/15/2023 | 1,369,205 | 0.1 |
926,000 | | Berkshire Hathaway Finance Corp., 1.450%, 10/15/2030 | 865,354 | 0.0 |
608,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | 561,477 | 0.0 |
2,850,000 | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | 3,307,777 | 0.1 |
1,843,000 | (1),(3) | BNP Paribas SA, 1.323%, 01/13/2027 | 1,803,682 | 0.1 |
455,000 | (1),(3) | BNP Paribas SA, 2.588%, 08/12/2035 | 428,454 | 0.0 |
4,115,000 | (1),(3) | BNP Paribas SA, 2.819%, 11/19/2025 | 4,333,176 | 0.1 |
2,000,000 | (1),(3) | BPCE SA, 2.277%, 01/20/2032 | 1,936,246 | 0.1 |
3,960,000 | (1) | BPCE SA, 2.700%, 10/01/2029 | 4,020,207 | 0.1 |
955,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | 1,067,706 | 0.0 |
497,000 | | Brookfield Finance LLC, 3.450%, 04/15/2050 | 471,704 | 0.0 |
231,000 | | Brookfield Finance, Inc., 4.350%, 04/15/2030 | 261,183 | 0.0 |
359,000 | | Camden Property Trust, 2.800%, 05/15/2030 | 368,846 | 0.0 |
910,000 | (2) | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | 944,550 | 0.0 |
424,000 | | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | 451,830 | 0.0 |
850,000 | | Capital One Financial Corp., 3.650%, 05/11/2027 | 930,844 | 0.0 |
1,662,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | 1,614,320 | 0.1 |
665,000 | | Charles Schwab Corp./The, 2.000%, 03/20/2028 | 668,375 | 0.0 |
1,358,000 | (3) | Charles Schwab Corp./The, 5.375%, 12/31/2199 | 1,503,537 | 0.1 |
1,118,000 | (3) | Citigroup, Inc., 1.678%, 05/15/2024 | 1,141,366 | 0.0 |
2,000,000 | (3) | Citigroup, Inc., 2.572%, 06/03/2031 | 2,000,059 | 0.1 |
5,000,000 | (3) | Citigroup, Inc., 2.876%, 07/24/2023 | 5,151,273 | 0.2 |
4,000,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 4,640,927 | 0.1 |
2,000,000 | (1) | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | 2,093,473 | 0.1 |
525,000 | | Columbia Property Trust Operating Partnership L.P., 3.650%, 08/15/2026 | 544,063 | 0.0 |
280,000 | | Columbia Property Trust Operating Partnership L.P., 4.150%, 04/01/2025 | 295,094 | 0.0 |
1,013,000 | (1) | Commonwealth Bank of Australia, 2.688%, 03/11/2031 | 984,908 | 0.0 |
745,000 | (1) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | 778,845 | 0.0 |
1,358,000 | (1),(2),(3) | Cooperatieve Rabobank UA, 1.004%, 09/24/2026 | 1,332,072 | 0.0 |
752,000 | | Cooperatieve Rabobank UA, 3.950%, 11/09/2022 | 792,098 | 0.0 |
5,500,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 6,094,634 | 0.2 |
1,235,000 | (1),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | 1,252,881 | 0.0 |
6,000,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 6,621,750 | 0.2 |
3,000,000 | (1),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 3,102,676 | 0.1 |
2,303,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.450%, 04/16/2021 | 2,305,143 | 0.1 |
750,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | 781,373 | 0.0 |
589,000 | | Crown Castle International Corp., 1.050%, 07/15/2026 | 570,577 | 0.0 |
988,000 | | Crown Castle International Corp., 2.900%, 04/01/2041 | 910,306 | 0.0 |
469,000 | | Crown Castle International Corp., 4.150%, 07/01/2050 | 505,364 | 0.0 |
1,870,000 | (1),(3) | Danske Bank A/S, 1.621%, 09/11/2026 | 1,851,355 | 0.1 |
600,000 | (1) | Danske Bank A/S, 5.000%, 01/12/2022 | 620,266 | 0.0 |
1,770,000 | (3) | Discover Bank, 4.682%, 08/09/2028 | 1,889,325 | 0.1 |
609,000 | (1) | Empower Finance 2020 L.P., 1.357%, 09/17/2027 | 589,020 | 0.0 |
500,000 | | ERP Operating L.P., 2.500%, 02/15/2030 | 502,135 | 0.0 |
1,925,000 | (1) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | 1,980,494 | 0.1 |
595,000 | | First Horizon Bank, 5.750%, 05/01/2030 | 716,853 | 0.0 |
1,014,000 | | Franklin Resources, Inc., 1.600%, 10/30/2030 | 939,263 | 0.0 |
525,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 601,662 | 0.0 |
1,668,000 | (3) | Goldman Sachs Group, Inc./The, 1.431%, 03/09/2027 | 1,653,848 | 0.1 |
2,500,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | 2,792,249 | 0.1 |
1,000,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | 1,253,709 | 0.0 |
449,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 635,771 | 0.0 |
1,406,000 | (1) | Guardian Life Global Funding, 1.250%, 11/19/2027 | 1,359,469 | 0.0 |
733,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | 958,600 | 0.0 |
1,355,000 | (3) | HSBC Holdings PLC, 1.589%, 05/24/2027 | 1,334,464 | 0.0 |
985,000 | (3) | HSBC Holdings PLC, 2.013%, 09/22/2028 | 968,792 | 0.0 |
1,331,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | 1,391,752 | 0.1 |
1,497,000 | (3) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 1,621,609 | 0.1 |
3,307,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | 3,622,269 | 0.1 |
1,250,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 1,400,207 | 0.1 |
1,673,000 | (3) | HSBC Holdings PLC, 4.700%, 12/31/2199 | 1,652,087 | 0.1 |
365,000 | | HSBC Holdings PLC, 4.950%, 03/31/2030 | 426,482 | 0.0 |
3,439,000 | | ING Groep NV, 3.550%, 04/09/2024 | 3,703,736 | 0.1 |
1,059,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | 975,656 | 0.0 |
396,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 363,533 | 0.0 |
500,000 | | Intercontinental Exchange, Inc., 4.250%, 09/21/2048 | 557,169 | 0.0 |
1,184,000 | (3) | JPMorgan Chase & Co., 1.040%, 02/04/2027 | 1,155,338 | 0.0 |
2,200,000 | (3) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 2,086,923 | 0.1 |
949,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 959,990 | 0.0 |
935,000 | (3) | JPMorgan Chase & Co., 2.522%, 04/22/2031 | 933,782 | 0.0 |
1,694,000 | (3) | JPMorgan Chase & Co., 2.525%, 11/19/2041 | 1,555,140 | 0.1 |
283,000 | (3) | JPMorgan Chase & Co., 3.109%, 04/22/2051 | 277,684 | 0.0 |
3,320,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 3,641,495 | 0.1 |
947,000 | (3) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | 1,046,125 | 0.0 |
945,000 | (3) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 1,090,030 | 0.0 |
891,000 | | Kite Realty Group L.P., 4.000%, 10/01/2026 | 934,454 | 0.0 |
834,000 | (1) | Liberty Mutual Group, Inc., 3.951%, 10/15/2050 | 863,306 | 0.0 |
1,125,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | 1,165,734 | 0.0 |
2,177,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 2,256,292 | 0.1 |
1,404,000 | (1) | LSEGA Financing PLC, 2.500%, 04/06/2031 | 1,387,005 | 0.1 |
1,445,000 | (1) | LSEGA Financing PLC, 3.200%, 04/06/2041 | 1,436,345 | 0.1 |
1,917,000 | | Main Street Capital Corp., 3.000%, 07/14/2026 | 1,907,783 | 0.1 |
684,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | 736,827 | 0.0 |
750,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 774,057 | 0.0 |
350,000 | | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | 370,974 | 0.0 |
5,870,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | 6,126,807 | 0.2 |
2,810,000 | (1) | Mizuho Financial Group, Inc., 2.632%, 04/12/2021 | 2,811,287 | 0.1 |
315,000 | (1) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | 343,465 | 0.0 |
2,539,000 | (3) | Morgan Stanley, 1.794%, 02/13/2032 | 2,371,915 | 0.1 |
1,074,000 | (3) | Morgan Stanley, 2.188%, 04/28/2026 | 1,110,339 | 0.0 |
2,098,000 | (3) | Morgan Stanley, 2.802%, 01/25/2052 | 1,934,934 | 0.1 |
2,935,000 | (3) | Morgan Stanley, 3.622%, 04/01/2031 | 3,190,350 | 0.1 |
538,000 | | Morgan Stanley, 3.875%, 01/27/2026 | 598,620 | 0.0 |
1,080,000 | | Morgan Stanley, 3.950%, 04/23/2027 | 1,196,073 | 0.0 |
4,000,000 | | Morgan Stanley, 4.000%, 07/23/2025 | 4,441,676 | 0.1 |
1,000,000 | | Morgan Stanley, 5.500%, 07/28/2021 | 1,016,499 | 0.0 |
1,328,000 | | Nasdaq, Inc., 2.500%, 12/21/2040 | 1,168,751 | 0.0 |
1,341,000 | (1) | National Australia Bank Ltd., 2.332%, 08/21/2030 | 1,269,400 | 0.0 |
1,575,000 | (1),(3) | National Australia Bank Ltd., 3.933%, 08/02/2034 | 1,670,162 | 0.1 |
894,000 | (1) | Nationwide Building Society, 2.000%, 01/27/2023 | 919,408 | 0.0 |
1,004,000 | (1),(3) | Nationwide Building Society, 3.960%, 07/18/2030 | 1,096,773 | 0.0 |
890,000 | (3) | Natwest Group PLC, 3.032%, 11/28/2035 | 850,244 | 0.0 |
336,000 | (3) | Natwest Group PLC, 3.073%, 05/22/2028 | 350,109 | 0.0 |
3,858,000 | | Natwest Group PLC, 3.875%, 09/12/2023 | 4,138,687 | 0.1 |
398,000 | (3) | Natwest Group PLC, 4.269%, 03/22/2025 | 434,349 | 0.0 |
1,766,000 | (3) | Natwest Group PLC, 4.519%, 06/25/2024 | 1,907,550 | 0.1 |
1,576,000 | (1) | New York Life Global Funding, 2.875%, 04/10/2024 | 1,680,288 | 0.1 |
1,280,000 | (1),(3) | Nippon Life Insurance Co., 2.750%, 01/21/2051 | 1,216,000 | 0.0 |
2,661,000 | (1),(2),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | 2,895,740 | 0.1 |
174,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | 175,962 | 0.0 |
5,000,000 | | ORIX Corp., 3.250%, 12/04/2024 | 5,405,385 | 0.2 |
1,990,000 | | Owl Rock Capital Corp., 4.250%, 01/15/2026 | 2,089,697 | 0.1 |
1,986,000 | (1) | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025 | 2,128,456 | 0.1 |
584,000 | | Piedmont Operating Partnership L.P., 3.150%, 08/15/2030 | 569,622 | 0.0 |
1,130,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | 1,220,211 | 0.0 |
955,000 | | Prologis L.P., 3.000%, 04/15/2050 | 918,032 | 0.0 |
1,714,000 | | Public Storage, 0.875%, 02/15/2026 | 1,677,698 | 0.1 |
691,000 | | Regency Centers L.P., 3.700%, 06/15/2030 | 740,204 | 0.0 |
797,000 | | Retail Properties of America, Inc., 4.750%, 09/15/2030 | 845,138 | 0.0 |
2,000,000 | | Royal Bank of Canada, 0.854%, (US0003M + 0.660%), 10/05/2023 | 2,024,401 | 0.1 |
2,440,000 | | Santander UK PLC, 3.400%, 06/01/2021 | 2,451,655 | 0.1 |
760,000 | (1) | Scentre Group Trust 1 / Scentre Group Trust 2, 3.625%, 01/28/2026 | 821,539 | 0.0 |
964,000 | (1),(3) | Scentre Group Trust 2, 5.125%, 09/24/2080 | 1,004,199 | 0.0 |
600,000 | | Simon Property Group L.P., 1.750%, 02/01/2028 | 582,779 | 0.0 |
1,360,000 | (1) | Skandinaviska Enskilda Banken AB, 0.850%, 09/02/2025 | 1,335,744 | 0.0 |
1,070,000 | (1),(3) | Standard Chartered PLC, 1.456%, 01/14/2027 | 1,045,642 | 0.0 |
1,801,000 | (1),(3) | Standard Chartered PLC, 3.265%, 02/18/2036 | 1,751,399 | 0.1 |
1,244,000 | (3) | State Street Corp., 3.031%, 11/01/2034 | 1,285,695 | 0.0 |
1,740,000 | | Sumitomo Mitsui Financial Group, Inc., 2.142%, 09/23/2030 | 1,633,224 | 0.1 |
1,000,000 | | Sumitomo Mitsui Financial Group, Inc., 2.442%, 10/19/2021 | 1,012,102 | 0.0 |
1,430,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 1,499,648 | 0.1 |
1,234,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | 1,215,198 | 0.0 |
268,000 | | Travelers Cos, Inc./The, 4.000%, 05/30/2047 | 305,781 | 0.0 |
1,501,000 | (3) | Truist Financial Corp., 1.267%, 03/02/2027 | 1,483,811 | 0.1 |
700,000 | (3) | Truist Financial Corp., 5.100%, 12/31/2199 | 764,960 | 0.0 |
3,500,000 | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | 3,816,236 | 0.1 |
2,470,000 | | UBS AG, 5.125%, 05/15/2024 | 2,725,040 | 0.1 |
791,000 | (1),(3) | UBS Group AG, 1.008%, 07/30/2024 | 796,055 | 0.0 |
750,000 | (1),(3) | UBS Group AG, 1.364%, 01/30/2027 | 739,598 | 0.0 |
1,913,000 | (1),(3) | UBS Group AG, 2.095%, 02/11/2032 | 1,811,131 | 0.1 |
300,000 | (1) | USAA Capital Corp., 2.125%, 05/01/2030 | 294,792 | 0.0 |
163,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | 202,070 | 0.0 |
2,118,000 | | VEREIT Operating Partnership L.P., 2.200%, 06/15/2028 | 2,081,149 | 0.1 |
2,100,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 2,194,645 | 0.1 |
752,000 | (3) | Wells Fargo & Co., 3.068%, 04/30/2041 | 739,000 | 0.0 |
4,000,000 | | Wells Fargo & Co., 3.750%, 01/24/2024 | 4,327,151 | 0.1 |
3,000,000 | | Wells Fargo & Co., 4.125%, 08/15/2023 | 3,247,320 | 0.1 |
739,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | 874,291 | 0.0 |
465,000 | (3) | Wells Fargo & Co., 5.013%, 04/04/2051 | 597,343 | 0.0 |
2,195,000 | (3) | Wells Fargo Bank NA, 2.082%, 09/09/2022 | 2,211,925 | 0.1 |
6,600,000 | | Wells Fargo Bank NA, 3.625%, 10/22/2021 | 6,703,567 | 0.2 |
1,035,000 | | Westpac Banking Corp., 2.350%, 02/19/2025 | 1,084,295 | 0.0 |
1,553,000 | | Westpac Banking Corp., 2.963%, 11/16/2040 | 1,446,840 | 0.1 |
1,079,000 | | WP Carey, Inc., 2.400%, 02/01/2031 | 1,034,641 | 0.0 |
2,244,000 | | XLIT Ltd., 4.450%, 03/31/2025 | 2,504,104 | 0.1 |
1,668,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 2,130,570 | 0.1 |
| | | 311,933,149 | 9.2 |
| | | | |
| | Industrial: 1.2% |
1,668,000 | | Agilent Technologies, Inc., 2.300%, 03/12/2031 | 1,626,334 | 0.1 |
264,000 | (1) | BAE Systems PLC, 3.400%, 04/15/2030 | 280,652 | 0.0 |
1,201,000 | (1) | Berry Global, Inc., 0.950%, 02/15/2024 | 1,196,094 | 0.0 |
1,213,000 | | Boeing Co/The, 3.250%, 02/01/2028 | 1,255,804 | 0.0 |
611,000 | | Boeing Co/The, 3.625%, 02/01/2031 | 640,007 | 0.0 |
220,000 | | Boeing Co/The, 3.850%, 11/01/2048 | 213,002 | 0.0 |
768,000 | | Boeing Co/The, 4.875%, 05/01/2025 | 855,754 | 0.0 |
531,000 | | Boeing Co/The, 5.805%, 05/01/2050 | 670,056 | 0.0 |
2,470,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 2,699,150 | 0.1 |
2,046,000 | | Carrier Global Corp., 2.722%, 02/15/2030 | 2,066,972 | 0.1 |
1,750,000 | | CSX Corp., 4.650%, 03/01/2068 | 2,127,137 | 0.1 |
646,000 | | FedEx Corp., 3.900%, 02/01/2035 | 705,833 | 0.0 |
874,000 | | FedEx Corp., 4.250%, 05/15/2030 | 995,737 | 0.0 |
1,250,000 | | FedEx Corp., 4.400%, 01/15/2047 | 1,420,764 | 0.1 |
1,450,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 1,601,415 | 0.1 |
2,171,000 | | Norfolk Southern Corp., 3.650%, 08/01/2025 | 2,377,789 | 0.1 |
278,000 | | Northrop Grumman Corp., 2.930%, 01/15/2025 | 295,994 | 0.0 |
1,295,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | 1,273,186 | 0.0 |
2,449,000 | | PerkinElmer, Inc., 3.300%, 09/15/2029 | 2,587,874 | 0.1 |
2,365,000 | | Raytheon Technologies Corp., 3.200%, 03/15/2024 | 2,528,541 | 0.1 |
118,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | 126,346 | 0.0 |
274,000 | | Raytheon Technologies Corp., 4.450%, 11/16/2038 | 317,842 | 0.0 |
2,066,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 2,468,990 | 0.1 |
272,000 | | Raytheon Technologies Corp., 5.400%, 05/01/2035 | 344,591 | 0.0 |
500,000 | | Republic Services, Inc., 1.750%, 02/15/2032 | 464,246 | 0.0 |
378,000 | (1) | Siemens Financieringsmaatschappij NV, 1.700%, 03/11/2028 | 371,445 | 0.0 |
1,273,000 | (1) | Siemens Financieringsmaatschappij NV, 2.150%, 03/11/2031 | 1,243,281 | 0.0 |
2,499,000 | | Teledyne Technologies, Inc., 1.600%, 04/01/2026 | 2,483,365 | 0.1 |
953,000 | | Teledyne Technologies, Inc., 2.250%, 04/01/2028 | 949,017 | 0.0 |
2,250,000 | (1) | TTX Co., 3.600%, 01/15/2025 | 2,449,684 | 0.1 |
693,000 | | United Parcel Service, Inc., 2.500%, 04/01/2023 | 722,569 | 0.0 |
1,000,000 | | United Parcel Service, Inc., 2.800%, 11/15/2024 | 1,069,737 | 0.0 |
300,000 | | Waste Management, Inc., 1.500%, 03/15/2031 | 277,727 | 0.0 |
| | | 40,706,935 | 1.2 |
| | | | |
| | Industrials: 0.0% |
257,000 | | Raytheon Technologies Corp., 6.125%, 07/15/2038 | 349,067 | 0.0 |
| | | | |
| | Technology: 1.6% |
246,000 | | Analog Devices, Inc., 3.500%, 12/05/2026 | 269,452 | 0.0 |
1,691,000 | | Apple, Inc., 1.650%, 02/08/2031 | 1,613,813 | 0.1 |
131,000 | | Apple, Inc., 2.550%, 08/20/2060 | 112,985 | 0.0 |
1,695,000 | | Apple, Inc., 2.650%, 02/08/2051 | 1,551,964 | 0.1 |
2,516,000 | | Apple, Inc., 2.800%, 02/08/2061 | 2,264,822 | 0.1 |
4,070,000 | | Apple, Inc., 3.750%, 09/12/2047 | 4,517,111 | 0.1 |
2,090,000 | | Apple, Inc., 3.750%, 11/13/2047 | 2,296,795 | 0.1 |
2,000,000 | | Apple, Inc., 3.850%, 05/04/2043 | 2,265,478 | 0.1 |
844,000 | | Citrix Systems, Inc., 1.250%, 03/01/2026 | 830,307 | 0.0 |
1,000,000 | (1) | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 1,184,880 | 0.0 |
836,000 | | Fidelity National Information Services, Inc., 2.250%, 03/01/2031 | 822,108 | 0.0 |
1,170,000 | | Fiserv, Inc., 2.750%, 07/01/2024 | 1,236,921 | 0.0 |
1,840,000 | | HP, Inc., 4.050%, 09/15/2022 | 1,931,582 | 0.1 |
760,000 | | Intel Corp., 3.100%, 02/15/2060 | 720,925 | 0.0 |
3,201,000 | | Intel Corp., 3.250%, 11/15/2049 | 3,225,206 | 0.1 |
890,000 | | Intel Corp., 4.950%, 03/25/2060 | 1,146,528 | 0.0 |
4,132,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | 4,504,826 | 0.1 |
1,716,000 | | International Business Machines Corp., 3.500%, 05/15/2029 | 1,868,078 | 0.1 |
900,000 | (1) | Microchip Technology, Inc., 2.670%, 09/01/2023 | 937,837 | 0.0 |
1,750,000 | | Microsoft Corp., 2.400%, 08/08/2026 | 1,851,529 | 0.1 |
4,000,000 | | Microsoft Corp., 2.525%, 06/01/2050 | 3,649,604 | 0.1 |
6,400,000 | | Microsoft Corp., 2.921%, 03/17/2052 | 6,323,464 | 0.2 |
450,000 | | NetApp, Inc., 1.875%, 06/22/2025 | 459,706 | 0.0 |
275,000 | | NVIDIA Corp., 3.500%, 04/01/2040 | 296,422 | 0.0 |
| | | | |
280,000 | | NVIDIA Corp., 3.700%, 04/01/2060 | 302,489 | 0.0 |
255,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | 269,679 | 0.0 |
1,662,000 | | Oracle Corp., 3.650%, 03/25/2041 | 1,684,171 | 0.1 |
209,000 | | Oracle Corp., 3.850%, 07/15/2036 | 222,656 | 0.0 |
828,000 | | Oracle Corp., 3.950%, 03/25/2051 | 855,053 | 0.0 |
2,500,000 | | Oracle Corp., 4.000%, 11/15/2047 | 2,588,074 | 0.1 |
1,000,000 | (1) | TSMC Global Ltd., 0.750%, 09/28/2025 | 977,377 | 0.0 |
1,060,000 | (1) | TSMC Global Ltd., 1.000%, 09/28/2027 | 1,020,211 | 0.0 |
| | | 53,802,053 | 1.6 |
| | | | |
| | Utilities: 3.0% |
1,068,000 | (1) | AES Corp./The, 1.375%, 01/15/2026 | 1,041,875 | 0.0 |
1,576,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 1,687,825 | 0.1 |
2,500,000 | (1) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | 2,893,125 | 0.1 |
3,219,000 | (1) | American Transmission Systems, Inc., 5.250%, 01/15/2022 | 3,320,464 | 0.1 |
947,000 | | Appalachian Power Co., 2.700%, 04/01/2031 | 946,532 | 0.0 |
200,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | 203,106 | 0.0 |
323,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | 346,141 | 0.0 |
1,470,000 | | Baltimore Gas and Electric Co., 3.350%, 07/01/2023 | 1,554,296 | 0.1 |
1,413,000 | (2) | Berkshire Hathaway Energy Co., 1.650%, 05/15/2031 | 1,315,412 | 0.0 |
705,000 | | Black Hills Corp., 2.500%, 06/15/2030 | 694,035 | 0.0 |
1,045,000 | | Black Hills Corp., 3.050%, 10/15/2029 | 1,079,856 | 0.0 |
1,800,000 | | Black Hills Corp., 4.250%, 11/30/2023 | 1,953,982 | 0.1 |
487,000 | | Black Hills Corp., 4.350%, 05/01/2033 | 543,801 | 0.0 |
750,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | 789,857 | 0.0 |
1,216,000 | (3) | CMS Energy Corp., 3.750%, 12/01/2050 | 1,205,360 | 0.0 |
600,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | 649,500 | 0.0 |
631,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | 681,168 | 0.0 |
500,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | 524,977 | 0.0 |
491,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | 601,187 | 0.0 |
381,000 | | Consumers Energy Co., 2.500%, 05/01/2060 | 317,470 | 0.0 |
2,155,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 2,274,171 | 0.1 |
499,000 | | DTE Electric Co., 1.900%, 04/01/2028 | 498,197 | 0.0 |
2,933,000 | | DTE Electric Co., 2.950%, 03/01/2050 | 2,790,139 | 0.1 |
499,000 | | DTE Electric Co., 3.250%, 04/01/2051 | 498,984 | 0.0 |
1,069,000 | | DTE Energy Co., 1.050%, 06/01/2025 | 1,055,916 | 0.0 |
498,000 | | Duke Energy Carolinas LLC, 2.550%, 04/15/2031 | 501,905 | 0.0 |
1,000,000 | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | 982,470 | 0.0 |
498,000 | | Duke Energy Carolinas LLC, 3.450%, 04/15/2051 | 510,063 | 0.0 |
1,940,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | 2,064,309 | 0.1 |
945,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | 1,045,848 | 0.0 |
1,055,000 | (3) | Duke Energy Corp., 4.875%, 12/31/2199 | 1,117,245 | 0.0 |
1,485,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 1,468,201 | 0.1 |
533,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | 562,806 | 0.0 |
1,510,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | 1,712,617 | 0.1 |
868,000 | (1) | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | 833,685 | 0.0 |
1,241,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | 1,093,756 | 0.0 |
1,626,000 | | Entergy Corp., 0.900%, 09/15/2025 | 1,589,187 | 0.1 |
1,333,000 | | Entergy Corp., 2.400%, 06/15/2031 | 1,290,793 | 0.0 |
747,000 | | Entergy Corp., 2.800%, 06/15/2030 | 753,378 | 0.0 |
816,000 | | Entergy Mississippi LLC, 3.500%, 06/01/2051 | 829,109 | 0.0 |
1,944,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 1,909,461 | 0.1 |
1,233,000 | | Eversource Energy, 3.450%, 01/15/2050 | 1,230,433 | 0.0 |
270,000 | | Exelon Corp., 4.050%, 04/15/2030 | 301,080 | 0.0 |
410,000 | | Exelon Corp., 4.700%, 04/15/2050 | 492,755 | 0.0 |
2,558,000 | | FirstEnergy Corp., 3.350%, 07/15/2022 | 2,597,358 | 0.1 |
2,203,000 | | FirstEnergy Corp., 4.750%, 03/15/2023 | 2,322,295 | 0.1 |
1,505,000 | | Georgia Power Co., 2.200%, 09/15/2024 | 1,570,891 | 0.1 |
1,310,000 | | Georgia Power Co., 5.750%, 04/15/2023 | 1,429,754 | 0.1 |
656,000 | | Idaho Power Co., 4.200%, 03/01/2048 | 745,567 | 0.0 |
3,640,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | 3,932,546 | 0.1 |
2,802,000 | (1) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | 3,065,826 | 0.1 |
411,000 | (1) | Metropolitan Edison Co., 4.000%, 04/15/2025 | 435,139 | 0.0 |
2,745,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 3,036,359 | 0.1 |
266,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | 293,400 | 0.0 |
231,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 246,167 | 0.0 |
| | | | |
1,830,000 | | National Rural Utilities Cooperative Finance Corp., 2.400%, 03/15/2030 | 1,818,242 | 0.1 |
1,507,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | 1,547,624 | 0.1 |
462,000 | (2) | NiSource, Inc., 3.600%, 05/01/2030 | 501,505 | 0.0 |
764,000 | | NiSource, Inc., 5.950%, 06/15/2041 | 994,189 | 0.0 |
842,000 | (1) | Oglethorpe Power Corp., 3.750%, 08/01/2050 | 821,312 | 0.0 |
2,495,000 | | ONE Gas, Inc., 1.100%, 03/11/2024 | 2,496,085 | 0.1 |
436,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 418,929 | 0.0 |
629,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 614,055 | 0.0 |
583,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 577,306 | 0.0 |
465,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 526,847 | 0.0 |
349,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | 340,209 | 0.0 |
1,321,000 | | PPL Capital Funding, Inc., 4.125%, 04/15/2030 | 1,486,931 | 0.1 |
1,315,000 | (3) | Sempra Energy, 4.875%, 12/31/2199 | 1,410,337 | 0.0 |
2,643,000 | | Sierra Pacific Power Co., 2.600%, 05/01/2026 | 2,791,227 | 0.1 |
1,724,000 | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | 1,744,028 | 0.1 |
280,000 | | Southern California Edison Co., 2.400%, 02/01/2022 | 283,741 | 0.0 |
1,750,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | 1,941,537 | 0.1 |
1,775,000 | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | 2,351,394 | 0.1 |
1,280,000 | (3) | Southern Co/The, 4.000%, 01/15/2051 | 1,353,920 | 0.0 |
1,499,000 | | Southwestern Electric Power Co., 1.650%, 03/15/2026 | 1,504,948 | 0.1 |
998,000 | | Union Electric Co., 3.900%, 09/15/2042 | 1,085,588 | 0.0 |
1,710,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | 1,811,035 | 0.1 |
1,683,000 | | WEC Energy Group, Inc., 1.375%, 10/15/2027 | 1,627,915 | 0.1 |
| | 99,480,683 | 3.0 |
| | | |
| Total Corporate Bonds/Notes | | |
| (Cost $854,186,993) | 880,933,867 | 26.0 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 16.3% | |
2,706,987 | (1),(3) | Agate Bay Mortgage Trust 2015-6 B2, 3.629%, 09/25/2045 | 2,786,836 | 0.1 |
3,943,464 | | Alternative Loan Trust 2005-10CB 1A1, 0.609%, (US0001M + 0.500%), 05/25/2035 | 3,234,269 | 0.1 |
3,258,754 | | Alternative Loan Trust 2005-51 3A2A, 1.549%, (12MTA + 1.290%), 11/20/2035 | 3,077,995 | 0.1 |
1,365,880 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | 1,247,247 | 0.0 |
1,729,070 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | 1,676,086 | 0.1 |
353,168 | (4) | Alternative Loan Trust 2005-J3 2A2, 4.891%, (-1.000*US0001M + 5.000%), 05/25/2035 | 44,800 | 0.0 |
1,249,594 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 847,443 | 0.0 |
2,469,186 | | Alternative Loan Trust 2006-HY11 A1, 0.349%, (US0001M + 0.120%), 06/25/2036 | 2,479,557 | 0.1 |
1,790,132 | | Alternative Loan Trust 2007-23CB A3, 0.609%, (US0001M + 0.500%), 09/25/2037 | 796,092 | 0.0 |
108,999 | | Banc of America Funding 2007 8 Trust 4A1, 6.000%, 08/25/2037 | 104,582 | 0.0 |
639,232 | (3) | Bear Stearns ALT-A Trust 2005-10 22A1, 2.807%, 01/25/2036 | 632,229 | 0.0 |
313,577 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 2.762%, 05/25/2035 | 320,303 | 0.0 |
1,059,297 | (3) | Bear Stearns ALT-A Trust 2006-6 31A1, 3.215%, 11/25/2036 | 823,305 | 0.0 |
1,107,329 | (3) | Bear Stearns ALT-A Trust 2006-6 32A1, 3.256%, 11/25/2036 | 760,673 | 0.0 |
5,874 | (3) | Bear Stearns ARM Trust 2005-12 13A1, 3.236%, 02/25/2036 | 5,688 | 0.0 |
2,381,723 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 0.299%, (US0001M + 0.190%), 01/25/2037 | 2,239,567 | 0.1 |
113,601 | (3) | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 2.757%, 01/26/2036 | 96,929 | 0.0 |
2,500,000 | (1) | Bellemeade Re 2020-4 M2A Ltd., 2.709%, (US0001M + 2.600%), 06/25/2030 | 2,502,412 | 0.1 |
336,795 | (3) | Chase Mortgage Finance Trust Series 2005-A1 1A1, 2.866%, 12/25/2035 | 328,936 | 0.0 |
1,745,189 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.769%, 11/25/2034 | 1,766,345 | 0.1 |
27,114 | (3) | CHL Mortgage Pass-Through Trust 2004-HYB9 1A1, 2.675%, 02/20/2035 | 27,483 | 0.0 |
16,610 | | CHL Mortgage Pass-Through Trust 2005-2 2A3, 0.789%, (US0001M + 0.680%), 03/25/2035 | 15,578 | 0.0 |
1,479,109 | (1),(3) | CIM Trust 2020-J1 B3, 3.476%, 07/25/2050 | 1,414,488 | 0.0 |
72,779 | | Citicorp Mortgage Securities Trust Series 2006-4 2A1, 5.500%, 08/25/2036 | 75,161 | 0.0 |
590,184 | | Citicorp Mortgage Securities Trust Series 2007-1 1A1, 6.000%, 01/25/2037 | 587,720 | 0.0 |
1,057,558 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.313%, 09/25/2037 | 1,046,992 | 0.0 |
1,063,379 | (1),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | 1,123,029 | 0.0 |
38,420 | (3) | Citigroup Mortgage Loan Trust, Inc. 2005-3 2A2A, 3.056%, 08/25/2035 | 39,934 | 0.0 |
1,698,148 | | Citigroup Mortgage Loan Trust, Inc. 2005-8 3A1, 5.500%, 09/25/2035 | 1,691,116 | 0.1 |
261,754 | | CitiMortgage Alternative Loan Trust Series 2007-A2 1A5, 6.000%, 02/25/2037 | 262,849 | 0.0 |
2,000,000 | (1) | Connecticut Avenue Securities Trust 2020-R02 2M2, 2.109%, (US0001M + 2.000%), 01/25/2040 | 2,002,947 | 0.1 |
882,530 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.609%, (US0001M + 0.500%), 11/25/2035 | 493,058 | 0.0 |
3,673,687 | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 0.829%, (US0001M + 0.720%), 11/25/2035 | 3,631,216 | 0.1 |
153,245 | (3) | DSLA Mortgage Loan Trust 2004-AR3 2A1, 2.686%, 07/19/2044 | 150,822 | 0.0 |
800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 3.759%, (US0001M + 3.650%), 02/25/2040 | 806,854 | 0.0 |
1,000,000 | | Fannie Mae 2011-128 KB, 4.500%, 12/25/2041 | 1,144,177 | 0.0 |
12,789,220 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 14,861,789 | 0.4 |
1,371,525 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | 1,453,623 | 0.1 |
22,441,724 | (4) | Fannie Mae 2016-82 SD, 5.941%, (-1.000*US0001M + 6.050%), 11/25/2046 | 4,537,847 | 0.1 |
3,153,700 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | 3,293,989 | 0.1 |
6,188,417 | | Fannie Mae Connecticut Avenue Securities 16-C06 1M2, 4.359%, (US0001M + 4.250%), 04/25/2029 | 6,468,577 | 0.2 |
2,061,273 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.109%, (US0001M + 4.000%), 05/25/2025 | 2,094,562 | 0.1 |
79,026 | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 4.109%, (US0001M + 4.000%), 05/25/2025 | 80,242 | 0.0 |
3,921,963 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 5.659%, (US0001M + 5.550%), 04/25/2028 | 4,152,396 | 0.1 |
220,597 | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 4.459%, (US0001M + 4.350%), 05/25/2029 | 230,499 | 0.0 |
3,324,214 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 3.659%, (US0001M + 3.550%), 07/25/2029 | 3,437,163 | 0.1 |
4,946,746 | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 3.759%, (US0001M + 3.650%), 09/25/2029 | 5,099,599 | 0.2 |
1,350,829 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.109%, (US0001M + 3.000%), 10/25/2029 | 1,386,527 | 0.0 |
5,039,653 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 2.959%, (US0001M + 2.850%), 11/25/2029 | 5,123,172 | 0.2 |
4,498,590 | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 2.759%, (US0001M + 2.650%), 02/25/2030 | 4,554,659 | 0.1 |
5,275,048 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.609%, (US0001M + 2.500%), 05/25/2030 | 5,324,792 | 0.2 |
2,954,814 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 2.909%, (US0001M + 2.800%), 02/25/2030 | 2,984,271 | 0.1 |
2,346,013 | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 2.259%, (US0001M + 2.150%), 10/25/2030 | 2,345,828 | 0.1 |
4,452,308 | | Fannie Mae Connecticut Avenue Securities 2018-C05 1M2, 2.459%, (US0001M + 2.350%), 01/25/2031 | 4,471,834 | 0.1 |
3,187,795 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.109%, (US0001M + 2.000%), 03/25/2031 | 3,186,192 | 0.1 |
2,465,559 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 2.209%, (US0001M + 2.100%), 03/25/2031 | 2,465,910 | 0.1 |
1,521,210 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.409%, (US0001M + 2.300%), 08/25/2031 | 1,528,779 | 0.1 |
1,196,152 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.559%, (US0001M + 2.450%), 07/25/2031 | 1,202,972 | 0.0 |
1,800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.159%, (US0001M + 2.050%), 01/25/2040 | 1,805,428 | 0.1 |
500,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 3.759%, (US0001M + 3.650%), 02/25/2040 | 505,936 | 0.0 |
1,581,543 | | Fannie Mae Connecticut Avenue Securities, 5.809%, (US0001M + 5.700%), 04/25/2028 | 1,684,786 | 0.1 |
385,218 | (4) | Fannie Mae Interest Strip Series 418 10, 4.000%, 08/25/2043 | 58,462 | 0.0 |
348,977 | (4) | Fannie Mae Interest Strip Series 418 15, 3.500%, 08/25/2043 | 52,035 | 0.0 |
5,219 | | Fannie Mae REMIC Trust 1994-77 FB, 1.609%, (US0001M + 1.500%), 04/25/2024 | 5,273 | 0.0 |
271,888 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | 305,495 | 0.0 |
20,908 | | Fannie Mae REMIC Trust 2002-21 FC, 1.009%, (US0001M + 0.900%), 04/25/2032 | 21,163 | 0.0 |
699,814 | (4) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | 146,469 | 0.0 |
50,142 | | Fannie Mae REMIC Trust 2004-11 A, 0.229%, (US0001M + 0.120%), 03/25/2034 | 49,960 | 0.0 |
361,359 | | Fannie Mae REMIC Trust 2005-120 ZU, 5.500%, 01/25/2036 | 419,293 | 0.0 |
200,855 | | Fannie Mae REMIC Trust 2005-74 DK, 23.566%, (-4.000*US0001M + 24.000%), 07/25/2035 | 303,391 | 0.0 |
3,776,689 | (4) | Fannie Mae REMIC Trust 2005-92 SC, 6.571%, (-1.000*US0001M + 6.680%), 10/25/2035 | 767,858 | 0.0 |
240,715 | | Fannie Mae REMIC Trust 2006-103 EZ, 6.250%, 10/25/2036 | 278,454 | 0.0 |
745,007 | | Fannie Mae REMIC Trust 2006-104 ES, 32.907%, (-5.000*US0001M + 33.450%), 11/25/2036 | 1,421,791 | 0.0 |
4,253,598 | (4) | Fannie Mae REMIC Trust 2006-12 SD, 6.641%, (-1.000*US0001M + 6.750%), 10/25/2035 | 744,849 | 0.0 |
2,154,979 | (4) | Fannie Mae REMIC Trust 2006-123 UI, 6.631%, (-1.000*US0001M + 6.740%), 01/25/2037 | 485,902 | 0.0 |
463,322 | (4) | Fannie Mae REMIC Trust 2006-72 HS, 6.591%, (-1.000*US0001M + 6.700%), 08/25/2026 | 55,869 | 0.0 |
155,202 | | Fannie Mae REMIC Trust 2007-73 A1, 0.178%, (US0001M + 0.060%), 07/25/2037 | 152,624 | 0.0 |
363,832 | | Fannie Mae REMIC Trust 2008-20 SP, 15.228%, (-2.500*US0001M + 15.500%), 03/25/2038 | 488,808 | 0.0 |
1,760,413 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | 1,973,827 | 0.1 |
6,289,431 | (4) | Fannie Mae REMIC Trust 2010-102 SB, 6.491%, (-1.000*US0001M + 6.600%), 09/25/2040 | 1,468,875 | 0.1 |
2,000,698 | (4) | Fannie Mae REMIC Trust 2010-116 SE, 6.491%, (-1.000*US0001M + 6.600%), 10/25/2040 | 404,645 | 0.0 |
5,453,758 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 5.961%, (-1.000*US0001M + 6.070%), 11/25/2040 | 944,370 | 0.0 |
501,698 | | Fannie Mae REMIC Trust 2010-130 CX, 4.500%, 09/25/2039 | 504,210 | 0.0 |
3,037,189 | (4) | Fannie Mae REMIC Trust 2010-55 AS, 6.311%, (-1.000*US0001M + 6.420%), 06/25/2040 | 605,843 | 0.0 |
7,200,112 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | 8,122,114 | 0.2 |
885,430 | | Fannie Mae REMIC Trust 2010-60 HJ, 5.500%, 05/25/2040 | 989,471 | 0.0 |
2,906,759 | (4) | Fannie Mae REMIC Trust 2011-3 AI, 5.000%, 01/25/2041 | 325,494 | 0.0 |
569,972 | (4) | Fannie Mae REMIC Trust 2012-10 US, 6.341%, (-1.000*US0001M + 6.450%), 02/25/2042 | 99,599 | 0.0 |
736,015 | | Fannie Mae REMIC Trust 2012-103 DA, 3.500%, 10/25/2041 | 750,662 | 0.0 |
7,778,584 | (4) | Fannie Mae REMIC Trust 2012-113 SG, 5.991%, (-1.000*US0001M + 6.100%), 10/25/2042 | 1,508,480 | 0.1 |
5,352,663 | (4) | Fannie Mae REMIC Trust 2012-122 SB, 6.041%, (-1.000*US0001M + 6.150%), 11/25/2042 | 1,091,613 | 0.0 |
2,361,802 | (4) | Fannie Mae REMIC Trust 2012-128 DI, 3.000%, 10/25/2032 | 189,695 | 0.0 |
2,088,267 | | Fannie Mae REMIC Trust 2012-131 BS, 5.262%, (-1.200*US0001M + 5.400%), 12/25/2042 | 2,051,099 | 0.1 |
7,634,418 | (4) | Fannie Mae REMIC Trust 2012-137 SN, 5.991%, (-1.000*US0001M + 6.100%), 12/25/2042 | 1,443,959 | 0.1 |
2,546,074 | (4) | Fannie Mae REMIC Trust 2012-15 SP, 6.511%, (-1.000*US0001M + 6.620%), 06/25/2040 | 177,923 | 0.0 |
1,980,405 | (4) | Fannie Mae REMIC Trust 2012-58 PI, 5.000%, 04/25/2042 | 270,829 | 0.0 |
130,345 | | Fannie Mae REMIC Trust 2013-44 ZG, 3.500%, 03/25/2042 | 136,590 | 0.0 |
7,241,620 | (4) | Fannie Mae REMIC Trust 2013-60 DS, 6.091%, (-1.000*US0001M + 6.200%), 06/25/2033 | 1,299,579 | 0.0 |
7,035,808 | (4) | Fannie Mae REMIC Trust 2013-9 DS, 6.041%, (-1.000*US0001M + 6.150%), 02/25/2043 | 1,664,326 | 0.1 |
17,796,339 | (4) | Fannie Mae REMIC Trust 2013-9 SA, 6.041%, (-1.000*US0001M + 6.150%), 03/25/2042 | 2,926,312 | 0.1 |
959,875 | (4) | Fannie Mae REMIC Trust 2014-81 JI, 4.000%, 09/25/2041 | 23,733 | 0.0 |
17,901,345 | (4) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | 4,076,806 | 0.1 |
3,101,906 | (4) | Fannie Mae REMICS 2005-66 SY, 6.591%, (-1.000*US0001M + 6.700%), 07/25/2035 | 645,732 | 0.0 |
5,382,940 | (4) | Fannie Mae REMICS 2006-120 QD, 4.591%, (-1.000*US0001M + 4.700%), 10/25/2036 | 603,360 | 0.0 |
2,467,662 | (4) | Fannie Mae REMICS 2006-59 XS, 7.091%, (-1.000*US0001M + 7.200%), 07/25/2036 | 524,479 | 0.0 |
2,753,048 | (4) | Fannie Mae REMICS 2007-53 SX, 5.991%, (-1.000*US0001M + 6.100%), 06/25/2037 | 566,118 | 0.0 |
4,049,293 | (4) | Fannie Mae REMICS 2010-112 PI, 6.000%, 10/25/2040 | 944,107 | 0.0 |
14,281,254 | (4) | Fannie Mae REMICS 2010-139 SA, 5.921%, (-1.000*US0001M + 6.030%), 12/25/2040 | 2,933,744 | 0.1 |
879,710 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 991,009 | 0.0 |
90,078 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | 95,263 | 0.0 |
3,271,969 | (4) | Fannie Mae REMICS 2011-149 ES, 5.891%, (-1.000*US0001M + 6.000%), 07/25/2041 | 396,124 | 0.0 |
224,075 | | Fannie Mae REMICS 2012-150 CS, 5.837%, (-1.500*US0001M + 6.000%), 01/25/2043 | 188,522 | 0.0 |
12,595,872 | (4) | Fannie Mae REMICS 2012-19 S, 5.841%, (-1.000*US0001M + 5.950%), 03/25/2042 | 2,374,016 | 0.1 |
24,665,530 | (4) | Fannie Mae REMICS 2016-2 IO, 5.500%, 02/25/2046 | 4,577,940 | 0.1 |
8,773,078 | (4) | Fannie Mae REMICS 2016-62 SC, 5.891%, (-1.000*US0001M + 6.000%), 09/25/2046 | 1,996,740 | 0.1 |
36,830,015 | (4) | Fannie Mae REMICS 2016-88 CS, 5.941%, (-1.000*US0001M + 6.050%), 12/25/2046 | 7,281,062 | 0.2 |
10,225,150 | (4) | Fannie Mae REMICS 2016-93 SL, 6.541%, (-1.000*US0001M + 6.650%), 12/25/2046 | 1,955,570 | 0.1 |
2,395,382 | | Fannie Mae REMICS 2016-97 PA, 3.000%, 12/25/2044 | 2,488,236 | 0.1 |
12,308,235 | (4) | Fannie Mae REMICS 2017-23 IO, 6.000%, 04/25/2047 | 2,943,406 | 0.1 |
1,813,360 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | 1,924,686 | 0.1 |
340,951 | | Fannie Mae REMICS 2018-27 EA, 3.000%, 05/25/2048 | 363,827 | 0.0 |
5,686,962 | (4) | Fannie Mae REMICS 2018-43 SE, 6.141%, (-1.000*US0001M + 6.250%), 09/25/2038 | 1,142,509 | 0.0 |
1,187,307 | | Fannie Mae REMICS 2018-64 ET, 3.000%, 09/25/2048 | 1,249,025 | 0.0 |
9,964,525 | (4) | Fannie Mae REMICS 2019-18 SA, 5.941%, (-1.000*US0001M + 6.050%), 05/25/2049 | 1,984,546 | 0.1 |
8,327,210 | (4) | Fannie Mae REMICS 2019-25 PS, 5.941%, (-1.000*US0001M + 6.050%), 06/25/2049 | 1,741,225 | 0.1 |
32,612,081 | (4) | Fannie Mae REMICS 2021-8 TI, 4.000%, 03/25/2051 | 5,369,106 | 0.2 |
161,135 | (3) | First Horizon Alternative Mortgage Securities Trust 2005-AA1 1A1, 2.860%, 03/25/2035 | 126,961 | 0.0 |
245,014 | (3) | First Horizon Asset Securities, Inc. 2005-AR6 4A1, 2.677%, 02/25/2036 | 230,615 | 0.0 |
28,653 | (3) | First Horizon Mortgage Pass-Through Trust 2005-AR3 2A1, 3.263%, 08/25/2035 | 23,634 | 0.0 |
1,396,613 | (1),(3) | Flagstar Mortgage Trust 2018-1 B1, 4.003%, 03/25/2048 | 1,453,730 | 0.1 |
1,489,721 | (1),(3) | Flagstar Mortgage Trust 2018-1 B2, 4.003%, 03/25/2048 | 1,555,278 | 0.1 |
1,955,259 | (1),(3) | Flagstar Mortgage Trust 2018-1 B3, 4.003%, 03/25/2048 | 2,020,885 | 0.1 |
1,694,939 | (1),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.064%, 04/25/2048 | 1,776,866 | 0.1 |
1,171,947 | (1),(3) | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | 1,197,682 | 0.0 |
4,131,379 | (4) | Freddie Mac 2815 GS, 5.894%, (-1.000*US0001M + 6.000%), 03/15/2034 | 768,498 | 0.0 |
577 | | Freddie Mac REMIC Trust 1125 Z, 8.250%, 08/15/2021 | 582 | 0.0 |
179,570 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | 203,503 | 0.0 |
167,858 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | 188,845 | 0.0 |
77,267 | | Freddie Mac REMIC Trust 2411 FJ, 0.456%, (US0001M + 0.350%), 12/15/2029 | 77,388 | 0.0 |
108,121 | | Freddie Mac REMIC Trust 2460 ZM, 6.000%, 06/15/2032 | 122,705 | 0.0 |
123,828 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | 127,150 | 0.0 |
242,268 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | 279,055 | 0.0 |
154,282 | | Freddie Mac REMIC Trust 2576 KZ, 5.500%, 02/15/2033 | 179,485 | 0.0 |
253,206 | (4) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | 51,973 | 0.0 |
305,797 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | 358,613 | 0.0 |
909,102 | | Freddie Mac REMIC Trust 2867 MZ, 5.000%, 10/15/2034 | 1,044,403 | 0.0 |
648,024 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | 736,049 | 0.0 |
732,217 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | 832,453 | 0.0 |
4,822,496 | (4) | Freddie Mac REMIC Trust 3045 DI, 6.624%, (-1.000*US0001M + 6.730%), 10/15/2035 | 984,324 | 0.0 |
1,525,906 | (4) | Freddie Mac REMIC Trust 3064 SP, 6.494%, (-1.000*US0001M + 6.600%), 03/15/2035 | 92,399 | 0.0 |
304,599 | | Freddie Mac REMIC Trust 3065 DC, 19.542%, (-3.000*US0001M + 19.860%), 03/15/2035 | 422,921 | 0.0 |
540,717 | (4) | Freddie Mac REMIC Trust 3102 IS, 24.178%, (-3.667*US0001M + 24.567%), 01/15/2036 | 318,546 | 0.0 |
2,493,271 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | 2,860,507 | 0.1 |
1,422,888 | (4) | Freddie Mac REMIC Trust 3170 SA, 6.494%, (-1.000*US0001M + 6.600%), 09/15/2033 | 287,017 | 0.0 |
766,387 | (4) | Freddie Mac REMIC Trust 3171 PS, 6.379%, (-1.000*US0001M + 6.485%), 06/15/2036 | 128,539 | 0.0 |
1,161,675 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | 1,349,233 | 0.0 |
293,625 | (3),(4) | Freddie Mac REMIC Trust 3524 LA, 5.359%, 03/15/2033 | 327,168 | 0.0 |
76,255 | | Freddie Mac REMIC Trust 3556 NT, 3.206%, (US0001M + 3.100%), 03/15/2038 | 77,604 | 0.0 |
5,593,263 | (4) | Freddie Mac REMIC Trust 3589 SB, 6.094%, (-1.000*US0001M + 6.200%), 10/15/2039 | 1,104,743 | 0.0 |
845,107 | (4) | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | 113,479 | 0.0 |
5,515,844 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | 6,384,854 | 0.2 |
1,923,873 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | 2,241,538 | 0.1 |
968,625 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | 1,099,814 | 0.0 |
272,217 | (4) | Freddie Mac REMIC Trust 3752 WS, 6.494%, (-1.000*US0001M + 6.600%), 12/15/2039 | 5,770 | 0.0 |
971,255 | (4) | Freddie Mac REMIC Trust 3820 BI, 4.000%, 11/15/2038 | 7,634 | 0.0 |
1,153,839 | | Freddie Mac REMIC Trust 3829 VZ, 4.000%, 03/15/2041 | 1,245,959 | 0.0 |
4,379,534 | (4) | Freddie Mac REMIC Trust 3856 KS, 6.444%, (-1.000*US0001M + 6.550%), 05/15/2041 | 794,256 | 0.0 |
1,523,000 | | Freddie Mac REMIC Trust 3898 KD, 4.500%, 07/15/2041 | 1,699,984 | 0.1 |
1,154,974 | (4) | Freddie Mac REMIC Trust 3925 SD, 5.944%, (-1.000*US0001M + 6.050%), 07/15/2040 | 118,400 | 0.0 |
5,538,179 | (4) | Freddie Mac REMIC Trust 3925 SL, 5.944%, (-1.000*US0001M + 6.050%), 01/15/2041 | 543,367 | 0.0 |
207,012 | (4) | Freddie Mac REMIC Trust 3936 GS, 6.594%, (-1.000*US0001M + 6.700%), 11/15/2025 | 827 | 0.0 |
10,584,444 | (4) | Freddie Mac REMIC Trust 3951 SN, 6.444%, (-1.000*US0001M + 6.550%), 11/15/2041 | 2,165,275 | 0.1 |
1,079,847 | (4) | Freddie Mac REMIC Trust 3984 NS, 6.494%, (-1.000*US0001M + 6.600%), 01/15/2040 | 19,103 | 0.0 |
673,599 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | 753,161 | 0.0 |
1,518,993 | | Freddie Mac REMIC Trust 4020 BY, 6.500%, 03/15/2042 | 1,846,350 | 0.1 |
750,631 | (4) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 28,181 | 0.0 |
2,500,074 | (4) | Freddie Mac REMIC Trust 4094 YS, 6.594%, (-1.000*US0001M + 6.700%), 04/15/2040 | 195,923 | 0.0 |
6,834,728 | (4) | Freddie Mac REMIC Trust 4102 MS, 6.494%, (-1.000*US0001M + 6.600%), 09/15/2042 | 1,467,026 | 0.1 |
668,990 | (4) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | 98,721 | 0.0 |
4,269,475 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | 4,585,319 | 0.1 |
28,630,160 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | 31,797,812 | 0.9 |
7,142,330 | (4) | Freddie Mac REMIC Trust 4313 SD, 6.044%, (-1.000*US0001M + 6.150%), 03/15/2044 | 1,398,658 | 0.0 |
11,003,927 | (4) | Freddie Mac REMIC Trust 4313 SE, 6.044%, (-1.000*US0001M + 6.150%), 03/15/2044 | 2,135,680 | 0.1 |
1,283,636 | (4) | Freddie Mac REMIC Trust 4323 IP, 4.500%, 08/15/2042 | 59,855 | 0.0 |
1,168,851 | (4) | Freddie Mac REMIC Trust 4332 PI, 5.000%, 12/15/2043 | 190,503 | 0.0 |
7,709,172 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | 8,620,846 | 0.3 |
4,033,991 | (4) | Freddie Mac REMIC Trust 4346 ST, 6.094%, (-1.000*US0001M + 6.200%), 07/15/2039 | 516,310 | 0.0 |
11,912,227 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | 13,338,595 | 0.4 |
3,635,503 | (4) | Freddie Mac REMIC Trust 4386 LS, 5.994%, (-1.000*US0001M + 6.100%), 09/15/2044 | 616,101 | 0.0 |
7,537,110 | (4) | Freddie Mac REMICS 3284 CI, 6.014%, (-1.000*US0001M + 6.120%), 03/15/2037 | 1,539,200 | 0.1 |
3,253,374 | (4) | Freddie Mac REMICS 3311 IC, 6.304%, (-1.000*US0001M + 6.410%), 05/15/2037 | 624,791 | 0.0 |
6,876,994 | (4) | Freddie Mac REMICS 3510 IC, 5.974%, (-1.000*US0001M + 6.080%), 08/15/2037 | 1,384,549 | 0.0 |
3,471,555 | (4) | Freddie Mac REMICS 3575 ST, 6.494%, (-1.000*US0001M + 6.600%), 04/15/2039 | 668,607 | 0.0 |
10,137,132 | (4) | Freddie Mac REMICS 3702 SB, 4.394%, (-1.000*US0001M + 4.500%), 08/15/2040 | 1,408,432 | 0.0 |
4,240,749 | (4) | Freddie Mac REMICS 4465 MI, 5.000%, 03/15/2041 | 907,239 | 0.0 |
11,191,056 | (4) | Freddie Mac REMICS 4675 KS, 5.894%, (-1.000*US0001M + 6.000%), 04/15/2047 | 2,374,713 | 0.1 |
159,256 | | Freddie Mac REMICS 4678 AB, 4.000%, 06/15/2044 | 162,690 | 0.0 |
14,888,726 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | 16,103,063 | 0.5 |
1,912,859 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | 2,049,619 | 0.1 |
27,232,005 | (4) | Freddie Mac REMICS 4901 BS, 5.991%, (-1.000*US0001M + 6.100%), 07/25/2049 | 5,247,940 | 0.2 |
8,788,445 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | 9,711,184 | 0.3 |
1,134,762 | (1) | Freddie Mac STACR 2019-HQA3 M2, 1.959%, (US0001M + 1.850%), 09/27/2049 | 1,132,600 | 0.0 |
3,900,000 | (1) | Freddie Mac Stacr Trust 2018-HQA2 M2, 2.409%, (US0001M + 2.300%), 10/25/2048 | 3,918,105 | 0.1 |
7,232,054 | (4) | Freddie Mac Strips Series 311 S1, 5.844%, (-1.000*US0001M + 5.950%), 08/15/2043 | 1,395,484 | 0.0 |
463,409 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN3 M3, 4.109%, (US0001M + 4.000%), 08/25/2024 | 472,089 | 0.0 |
1,141,246 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.009%, (US0001M + 3.900%), 12/25/2027 | 1,162,430 | 0.0 |
500,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 3.959%, (US0001M + 3.850%), 03/25/2029 | 520,297 | 0.0 |
844,331 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2, 3.659%, (US0001M + 3.550%), 08/25/2029 | 869,621 | 0.0 |
689,453 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.759%, (US0001M + 2.650%), 12/25/2029 | 697,177 | 0.0 |
6,946,306 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 2.459%, (US0001M + 2.350%), 04/25/2030 | 7,064,967 | 0.2 |
5,149,399 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 1.909%, (US0001M + 1.800%), 07/25/2030 | 5,130,604 | 0.2 |
1,017,943 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 2.409%, (US0001M + 2.300%), 09/25/2030 | 1,022,539 | 0.0 |
306,738 | | Freddie Mac Structured Pass Through Certificates T-54 2A, 6.500%, 02/25/2043 | 360,339 | 0.0 |
339,864 | | Freddie Mac Structured Pass Through Certificates T-62 1A1, 1.459%, (12MTA + 1.200%), 10/25/2044 | 345,066 | 0.0 |
26,542 | | Freddie Mac-Ginnie Mae Series 27 FC, 1.875%, (PRIME + (1.375)%), 03/25/2024 | 26,804 | 0.0 |
559,916 | (3),(4) | Freddie Mac Strips 347 118, 4.500%, 02/15/2044 | 103,499 | 0.0 |
13,637,737 | (3),(4) | Freddie Mac Strips 347 C29, 3.000%, 01/15/2044 | 1,734,524 | 0.1 |
12,612,510 | (3),(4) | Freddie Mac Strips 347 C30, 3.500%, 02/15/2044 | 1,824,449 | 0.1 |
4,817,728 | (3),(4) | Freddie Mac Strips 347 C31, 4.000%, 02/15/2044 | 800,273 | 0.0 |
13,412,661 | (4) | Freddie Mac Strips 351 C1, 2.500%, 02/15/2031 | 904,118 | 0.0 |
9,701,509 | (4) | Freddie Mac Strips 351 C11, 3.500%, 02/15/2031 | 901,810 | 0.0 |
12,106,959 | (4) | Freddie Mac Strips 351 C12, 4.000%, 02/15/2031 | 1,310,903 | 0.0 |
8,379,288 | (4) | Freddie Mac Strips 351 C13, 3.000%, 02/15/2031 | 690,256 | 0.0 |
13,837,994 | (4) | Freddie Mac Strips 351 C2, 3.000%, 02/15/2031 | 1,133,125 | 0.0 |
11,618,717 | (4) | Freddie Mac Strips 351 C7, 3.000%, 02/15/2031 | 952,684 | 0.0 |
11,990,388 | (4) | Freddie Mac Strips 351 C8, 3.500%, 02/15/2031 | 1,215,521 | 0.0 |
804,760 | (1),(5) | GCAT 2020-NQM2 A2 Trust, 2.272% (Step Rate @ 3.272% on 07/25/2024), 04/25/2065 | 817,630 | 0.0 |
9,069,942 | (4) | Ginnie Mae 2007-35 KY, 6.344%, (-1.000*US0001M + 6.450%), 06/16/2037 | 1,820,679 | 0.1 |
715,835 | | Ginnie Mae 2013-26 GU, 1.500%, 04/20/2042 | 734,145 | 0.0 |
608,872 | | Ginnie Mae 2013-26 JC, 2.000%, 01/20/2043 | 626,826 | 0.0 |
278,876 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | 276,813 | 0.0 |
248,270 | | Ginnie Mae 2013-8 BE, 1.750%, 11/20/2042 | 254,309 | 0.0 |
659,247 | (4) | Ginnie Mae Series 2005-7 AH, 6.664%, (-1.000*US0001M + 6.770%), 02/16/2035 | 122,965 | 0.0 |
323,732 | | Ginnie Mae Series 2007-8 SP, 21.689%, (-3.242*US0001M + 22.048%), 03/20/2037 | 515,404 | 0.0 |
1,885,062 | (4) | Ginnie Mae Series 2008-35 SN, 6.289%, (-1.000*US0001M + 6.400%), 04/20/2038 | 320,494 | 0.0 |
983,252 | (4) | Ginnie Mae Series 2008-40 PS, 6.394%, (-1.000*US0001M + 6.500%), 05/16/2038 | 186,155 | 0.0 |
7,705,512 | (4) | Ginnie Mae Series 2009-106 SU, 6.089%, (-1.000*US0001M + 6.200%), 05/20/2037 | 1,451,928 | 0.1 |
2,540,923 | (4) | Ginnie Mae Series 2009-25 KS, 6.089%, (-1.000*US0001M + 6.200%), 04/20/2039 | 515,936 | 0.0 |
1,255,718 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | 1,419,832 | 0.0 |
1,503,304 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1,687,349 | 0.1 |
65,883 | (4) | Ginnie Mae Series 2009-33 SN, 6.189%, (-1.000*US0001M + 6.300%), 05/20/2039 | 262 | 0.0 |
12,828,409 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | 13,894,324 | 0.4 |
1,705,822 | (4) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 180,567 | 0.0 |
1,646,891 | (4) | Ginnie Mae Series 2010-116 NS, 6.544%, (-1.000*US0001M + 6.650%), 09/16/2040 | 295,714 | 0.0 |
4,760,644 | (4) | Ginnie Mae Series 2010-116 SK, 6.509%, (-1.000*US0001M + 6.620%), 08/20/2040 | 935,111 | 0.0 |
6,643,096 | (4) | Ginnie Mae Series 2010-149 HS, 5.994%, (-1.000*US0001M + 6.100%), 05/16/2040 | 728,092 | 0.0 |
2,444,148 | (4) | Ginnie Mae Series 2010-4 SP, 6.394%, (-1.000*US0001M + 6.500%), 01/16/2039 | 285,829 | 0.0 |
2,605,073 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 2,925,427 | 0.1 |
1,149,698 | (4) | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | 94,824 | 0.0 |
1,741,382 | (4) | Ginnie Mae Series 2010-68 MS, 5.739%, (-1.000*US0001M + 5.850%), 06/20/2040 | 325,595 | 0.0 |
3,872,992 | (4) | Ginnie Mae Series 2010-9 JI, 5.000%, 01/20/2040 | 843,799 | 0.0 |
2,005,994 | (4) | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | 117,105 | 0.0 |
428,541 | (4) | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | 22,255 | 0.0 |
38,133 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | 42,115 | 0.0 |
3,902,616 | (4) | Ginnie Mae Series 2011-80 KS, 6.559%, (-1.000*US0001M + 6.670%), 06/20/2041 | 855,588 | 0.0 |
347,973 | (4) | Ginnie Mae Series 2012-40 NI, 4.500%, 05/20/2040 | 17,715 | 0.0 |
9,465,570 | (4) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | 1,657,640 | 0.1 |
7,691,872 | (4) | Ginnie Mae Series 2013-184 JI, 5.500%, 12/16/2043 | 1,654,054 | 0.1 |
7,738,847 | | Ginnie Mae Series 2014-3 EP, 2.750%, 02/16/2043 | 8,175,452 | 0.2 |
6,977,498 | (4) | Ginnie Mae Series 2014-3 SU, 5.939%, (-1.000*US0001M + 6.050%), 07/20/2039 | 1,236,106 | 0.0 |
1,428,148 | | Ginnie Mae Series 2014-43 Z, 4.000%, 03/20/2044 | 1,648,496 | 0.1 |
8,610,156 | (4) | Ginnie Mae Series 2014-55 MS, 6.094%, (-1.000*US0001M + 6.200%), 04/16/2044 | 1,724,730 | 0.1 |
8,179,501 | (4) | Ginnie Mae Series 2014-56 SP, 6.094%, (-1.000*US0001M + 6.200%), 12/16/2039 | 1,335,281 | 0.0 |
7,809,506 | (4) | Ginnie Mae Series 2014-58 CS, 5.494%, (-1.000*US0001M + 5.600%), 04/16/2044 | 1,311,640 | 0.0 |
10,037,661 | (4) | Ginnie Mae Series 2014-79 BI, 6.000%, 05/16/2044 | 2,218,091 | 0.1 |
3,978,859 | (4) | Ginnie Mae Series 2014-99 S, 5.489%, (-1.000*US0001M + 5.600%), 06/20/2044 | 767,939 | 0.0 |
2,426,757 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 2,591,832 | 0.1 |
2,850,701 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | 3,038,415 | 0.1 |
42,584,980 | (4) | Ginnie Mae Series 2019-145 LS, 2.719%, (-1.000*US0001M + 2.830%), 11/20/2049 | 2,752,821 | 0.1 |
1,050,150 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 1,058,707 | 0.0 |
1,478,606 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ2 A4, 3.500%, 07/25/2050 | 1,494,608 | 0.1 |
1,183,723 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ4 A4, 3.000%, 01/25/2051 | 1,200,335 | 0.0 |
2,503 | | GSR Mortgage Loan Trust 2003-2F 3A1, 6.000%, 03/25/2032 | 2,611 | 0.0 |
50,222 | | HarborView Mortgage Loan Trust 2005-2 2A1A, 0.550%, (US0001M + 0.440%), 05/19/2035 | 48,467 | 0.0 |
188,155 | | HomeBanc Mortgage Trust 2004-1 2A, 0.969%, (US0001M + 0.860%), 08/25/2029 | 185,379 | 0.0 |
3,000,000 | | HomeBanc Mortgage Trust 2005-4 M1, 0.814%, (US0001M + 0.470%), 10/25/2035 | 3,086,561 | 0.1 |
2,641,813 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 0.529%, (US0001M + 0.420%), 04/25/2046 | 2,512,509 | 0.1 |
2,137,399 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 0.529%, (US0001M + 0.420%), 02/25/2046 | 1,756,184 | 0.1 |
6,610 | (3) | JP Morgan Mortgage Trust 2005-A1 6T1, 2.594%, 02/25/2035 | 6,727 | 0.0 |
78,220 | (3) | JP Morgan Mortgage Trust 2007-A1 5A5, 2.578%, 07/25/2035 | 80,252 | 0.0 |
1,181,124 | (1),(3) | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | 1,203,663 | 0.0 |
4,312,016 | (1),(3) | JP Morgan Mortgage Trust 2017-4 B1, 3.921%, 11/25/2048 | 4,515,915 | 0.1 |
1,582,391 | (1),(3) | JP Morgan Mortgage Trust 2017-4 B2, 3.921%, 11/25/2048 | 1,639,295 | 0.1 |
1,025,809 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.813%, 12/25/2048 | 1,050,908 | 0.0 |
1,582,282 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.738%, 06/25/2048 | 1,653,491 | 0.1 |
1,582,282 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.738%, 06/25/2048 | 1,629,146 | 0.1 |
1,954,584 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.738%, 06/25/2048 | 1,980,642 | 0.1 |
1,403,162 | (1),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.753%, 09/25/2048 | 1,455,111 | 0.1 |
1,264,657 | (1),(3) | JP Morgan Mortgage Trust 2018-4 B1, 3.750%, 10/25/2048 | 1,317,608 | 0.0 |
151,984 | (1),(3) | JP Morgan Mortgage Trust 2019-3 A3, 4.000%, 09/25/2049 | 155,562 | 0.0 |
2,418,852 | (1),(3) | JP Morgan Mortgage Trust 2019-7 B2A, 3.178%, 02/25/2050 | 2,411,125 | 0.1 |
1,944,479 | (1),(3) | JP Morgan Mortgage Trust 2019-8 B3A, 3.452%, 03/25/2050 | 1,969,487 | 0.1 |
2,443,298 | (1),(3) | JP Morgan Mortgage Trust 2019-HYB1 B1, 3.865%, 10/25/2049 | 2,584,818 | 0.1 |
484,148 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 491,529 | 0.0 |
1,972,424 | (1),(3) | JP Morgan Mortgage Trust 2020-5 B1, 3.705%, 12/25/2050 | 2,051,691 | 0.1 |
1,113,778 | (1),(3) | JP Morgan Mortgage Trust 2020-7 A15, 3.000%, 01/25/2051 | 1,121,810 | 0.0 |
2,344,128 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B1, 3.603%, 03/25/2051 | 2,438,967 | 0.1 |
1,433,402 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B2, 3.603%, 03/25/2051 | 1,485,568 | 0.1 |
1,902,624 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B3, 3.603%, 03/25/2051 | 1,935,144 | 0.1 |
1,027,469 | (1),(3) | JP Morgan Mortgage Trust 2020-LTV2 A15, 3.000%, 11/25/2050 | 1,043,053 | 0.0 |
2,299,183,145 | (1),(4) | L Street Securities 2017-PM1 XIO, 0.030%, 10/25/2048 | 753,902 | 0.0 |
7,151,273 | (4) | Lehman Mortgage Trust 2006-9 2A5, 6.511%, (-1.000*US0001M + 6.620%), 01/25/2037 | 1,576,253 | 0.1 |
2,679,376 | | Lehman XS Trust Series 2005-5N 1A2, 0.469%, (US0001M + 0.360%), 11/25/2035 | 2,521,553 | 0.1 |
700,000 | (1) | Mello Warehouse Securitization Trust 2021-1 C, 1.209%, (US0001M + 1.100%), 02/25/2055 | 700,602 | 0.0 |
63,051 | (3) | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3 1A, 2.123%, 05/25/2033 | 64,765 | 0.0 |
129,099 | | Merrill Lynch Mortgage Investors Trust Series 2005-A6 2A3, 0.869%, (US0001M + 0.380%), 08/25/2035 | 129,661 | 0.0 |
22,746 | | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 5A, 0.609%, (US0001M + 0.250%), 11/25/2035 | 22,612 | 0.0 |
2,000,000 | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 1.909%, (US0001M + 1.800%), 09/25/2035 | 2,002,228 | 0.1 |
1,448,121 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | 1,105,184 | 0.0 |
1,513,170 | (1),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | 1,624,537 | 0.1 |
16,818 | (1),(3) | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2001-R1A A, 7.000%, 02/19/2030 | 17,223 | 0.0 |
494,570 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | 459,555 | 0.0 |
907,711 | (1),(3) | PSMC 2020-3 A1 Trust, 3.000%, 11/25/2050 | 923,419 | 0.0 |
445,387 | (1) | RBSSP Resecuritization Trust 2011-3 2A1, 0.368%, (US0001M + 0.250%), 02/26/2037 | 447,481 | 0.0 |
1,381 | | RFMSI Series Trust 2003-S9 A1, 6.500%, 03/25/2032 | 1,437 | 0.0 |
2,199,049 | | Seasoned Credit Risk Transfer Trust 2017-4 M45T, 4.500%, 06/25/2057 | 2,450,089 | 0.1 |
48,489 | | Sequoia Mortgage Trust 2003-4 2A1, 0.811%, (US0001M + 0.350%), 07/20/2033 | 48,440 | 0.0 |
23,718 | (3) | Sequoia Mortgage Trust 2005-4 2A1, 2.789%, 04/20/2035 | 25,044 | 0.0 |
886,056 | (1),(3) | Sequoia Mortgage Trust 2014-3 B3, 3.954%, 10/25/2044 | 917,400 | 0.0 |
886,535 | (1),(3) | Sequoia Mortgage Trust 2014-4 B3, 3.877%, 11/25/2044 | 912,540 | 0.0 |
890,457 | (1),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.734%, 05/25/2045 | 935,253 | 0.0 |
984,205 | (1),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.714%, 07/25/2045 | 993,401 | 0.0 |
2,900,000 | (1),(3) | Sequoia Mortgage Trust 2017-CH2 A13, 4.000%, 12/25/2047 | 2,986,085 | 0.1 |
527,536 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | 538,338 | 0.0 |
4,697,909 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 B1B, 4.472%, 02/25/2048 | 5,024,705 | 0.2 |
456,419 | (1),(3) | Sequoia Mortgage Trust 2020-1 A19, 3.500%, 02/25/2050 | 467,167 | 0.0 |
2,057,528 | (1),(3) | Sequoia Mortgage Trust 2020-3 B3, 3.385%, 04/25/2050 | 1,990,259 | 0.1 |
698,000 | (1),(3) | Starwood Mortgage Residential Trust 2020-1, 2.878%, 02/25/2050 | 696,204 | 0.0 |
45,966 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-17 3A1, 2.972%, 08/25/2035 | 44,544 | 0.0 |
881,868 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-7 4A, 2.699%, 04/25/2035 | 844,680 | 0.0 |
177,847 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A2, 0.610%, (US0001M + 0.250%), 07/19/2035 | 172,531 | 0.0 |
78,840 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A3, 0.610%, (US0001M + 0.250%), 07/19/2035 | 79,932 | 0.0 |
254,522 | (3) | Thornburg Mortgage Securities Trust 2006-5 A1, 3.054%, 10/25/2046 | 257,793 | 0.0 |
6,116 | | WaMu Mortgage Pass Through Certificates Series 2002-AR2 A, 1.707%, (COF 11 + 1.250%), 02/27/2034 | 6,255 | 0.0 |
17,897 | | WaMu Mortgage Pass Through Certificates Series 2002-AR9 1A, 1.659%, (12MTA + 1.400%), 08/25/2042 | 17,605 | 0.0 |
26,678 | | WaMu Mortgage Pass Through Certificates Series 2005-AR1 A1A, 0.749%, (US0001M + 0.320%), 01/25/2045 | 26,541 | 0.0 |
628,874 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.499%, 10/25/2036 | 612,825 | 0.0 |
285,615 | | WaMu Mortgage Pass Through Certificates Series 2006-AR7 3A, 1.957%, (COF 11 + 1.500%), 07/25/2046 | 280,200 | 0.0 |
47,320,460 | (3),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 1.902%, 08/25/2045 | 1,786,873 | 0.1 |
1,402,115 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 1.089%, (US0001M + 0.490%), 10/25/2045 | 1,392,047 | 0.0 |
579,471 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.037%, 10/25/2036 | 581,612 | 0.0 |
1,131,482 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.526%, 12/25/2036 | 1,082,697 | 0.0 |
2,010,402 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.112%, 08/25/2046 | 2,002,366 | 0.1 |
2,721,823 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.129%, 04/25/2037 | 2,556,495 | 0.1 |
1,805,811 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 3.086%, 07/25/2037 | 1,789,664 | 0.1 |
2,264,620 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 2,159,080 | 0.1 |
197,079 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 197,380 | 0.0 |
3,724,803 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 1.219%, (12MTA + 0.960%), 08/25/2046 | 2,535,957 | 0.1 |
1,600,470 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR10 Trust, 0.209%, (US0001M + 0.100%), 12/25/2036 | 1,085,935 | 0.0 |
1,205,472 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.539%, (US0001M + 0.430%), 06/25/2037 | 957,930 | 0.0 |
104,864 | (3) | Wells Fargo Mortgage Backed Securities 2005-AR7 1A1, 3.966%, 05/25/2035 | 104,481 | 0.0 |
267,096 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.909%, 04/25/2036 | 262,029 | 0.0 |
1,478,903 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-1 B2 Trust, 3.411%, 12/25/2049 | 1,489,059 | 0.1 |
866,750 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.761%, 08/20/2045 | 896,470 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $540,119,613) | 553,476,633 | 16.3 |
| | | |
MUNICIPAL BONDS: 0.1% | |
| | California: 0.1% |
500,000 | | California State University, 6.434%, 11/01/2030 | 652,289 | 0.1 |
200,000 | | Los Angeles County Public Works Financing Authority, 7.488%, 08/01/2033 | 273,997 | 0.0 |
300,000 | | Los Angeles County Public Works Financing Authority, 7.618%, 08/01/2040 | 473,927 | 0.0 |
200,000 | | Regents of the University of California Medical Center Pooled Revenue, 6.398%, 05/15/2031 | 258,263 | 0.0 |
300,000 | | Regents of the University of California Medical Center Pooled Revenue, 6.548%, 05/15/2048 | 452,542 | 0.0 |
| | | | |
| Total Municipal Bonds | | |
| (Cost $1,500,000) | 2,111,018 | 0.1 |
| | | |
U.S. TREASURY OBLIGATIONS: 6.2% | |
| | U.S. Treasury Bonds: 2.4% |
17,000 | | 1.250%,05/15/2050 | 12,834 | 0.0 |
920,000 | | 1.375%,11/15/2040 | 782,863 | 0.0 |
41,850,000 | | 1.625%,11/15/2050 | 34,885,898 | 1.0 |
48,494,000 | (2) | 1.875%,02/15/2041 | 45,167,615 | 1.4 |
| | | 80,849,210 | 2.4 |
| | | | |
| | U.S. Treasury Notes: 3.8% |
52,565,400 | | 0.125%,03/31/2023 | 52,532,547 | 1.6 |
25,000 | | 0.125%,10/15/2023 | 24,921 | 0.0 |
42,386,300 | | 0.250%,03/15/2024 | 42,275,367 | 1.2 |
13,376,000 | | 0.750%,03/31/2026 | 13,260,528 | 0.4 |
776,000 | | 1.125%,02/15/2031 | 733,259 | 0.0 |
21,017,000 | | 1.250%,03/31/2028 | 20,801,904 | 0.6 |
| | | 129,628,526 | 3.8 |
| | | | |
| Total U.S. Treasury Obligations | | |
| (Cost $214,458,439) | 210,477,736 | 6.2 |
789,642 | | 6.500%,09/01/2034 | 907,294 | 0.0 |
| | | 107,913,907 | 3.2 |
| | | | |
| | Federal National Mortgage Association: 0.1%(6) |
54,595 | | 1.579%, (12MTA + 1.200%),08/01/2042 | 56,220 | 0.0 |
32,398 | | 1.579%, (12MTA + 1.200%),08/01/2042 | 33,294 | 0.0 |
22,279 | | 1.579%, (12MTA + 1.200%),10/01/2044 | 22,954 | 0.0 |
31,128 | | 1.579%, (12MTA + 1.200%),10/01/2044 | 31,714 | 0.0 |
74,825 | | 1.588%, (US0001M + 1.422%),02/01/2033 | 75,713 | 0.0 |
64,897 | | 1.623%, (US0006M + 1.373%),09/01/2035 | 65,482 | 0.0 |
117,724 | | 2.010%, (US0012M + 1.610%),02/01/2034 | 121,867 | 0.0 |
26,346 | | 2.050%, (US0012M + 1.675%),02/01/2035 | 26,297 | 0.0 |
16,387 | | 2.096%, (US0012M + 1.444%),08/01/2035 | 16,576 | 0.0 |
56,420 | | 2.128%, (US0012M + 1.486%),07/01/2035 | 57,115 | 0.0 |
357,613 | | 2.157%, (H15T1Y + 1.711%),08/01/2035 | 361,174 | 0.1 |
145,964 | | 2.158%, (US0012M + 1.661%),10/01/2035 | 146,698 | 0.0 |
180,113 | | 2.310%, (US0012M + 1.810%),09/01/2034 | 190,746 | 0.0 |
155,789 | | 2.326%, (H15T1Y + 2.175%),10/01/2035 | 157,570 | 0.0 |
1,988 | | 2.440%, (H15T1Y + 2.215%),09/01/2031 | 1,992 | 0.0 |
98,744 | | 2.853%, (US0012M + 1.480%),04/01/2035 | 99,461 | 0.0 |
3,072 | | 3.274%, (COF 11 + 1.251%),05/01/2036 | 3,186 | 0.0 |
8,169 | | 3.710%, (H15T1Y + 2.210%),04/01/2032 | 8,151 | 0.0 |
31,582 | | 4.060%, (COF 11 + 1.926%),12/01/2036 | 33,231 | 0.0 |
| | | 1,509,441 | 0.1 |
| | | | |
| | Government National Mortgage Association: 2.4% |
10,861,000 | (7) | 2.000%,04/01/2051 | 10,967,065 | 0.3 |
39,046,000 | (7) | 2.500%,05/01/2050 | 40,212,805 | 1.2 |
3,790,000 | (7) | 3.000%,04/21/2050 | 3,948,558 | 0.1 |
700,001 | | 3.000%,06/20/2050 | 729,848 | 0.0 |
3,692,865 | | 3.500%,07/20/2046 | 3,950,236 | 0.1 |
638,994 | | 3.500%,07/20/2047 | 680,154 | 0.0 |
8,547,517 | | 3.500%,12/20/2047 | 9,170,701 | 0.3 |
4,473,495 | | 3.500%,01/20/2048 | 4,794,667 | 0.2 |
628,350 | | 4.000%,11/20/2040 | 696,244 | 0.0 |
1,224,636 | | 4.000%,03/20/2046 | 1,344,797 | 0.1 |
937,590 | | 4.500%,08/20/2041 | 1,051,969 | 0.1 |
519,383 | | 4.500%,01/20/2047 | 577,053 | 0.0 |
16,748 | | 5.000%,11/15/2035 | 19,239 | 0.0 |
1,906 | | 5.000%,11/15/2035 | 2,148 | 0.0 |
5,409 | | 5.000%,11/15/2035 | 6,102 | 0.0 |
7,152 | | 5.000%,11/15/2035 | 8,331 | 0.0 |
57,262 | | 5.000%,06/15/2037 | 64,620 | 0.0 |
128,416 | | 5.000%,03/15/2038 | 149,137 | 0.0 |
39,118 | | 5.000%,03/15/2038 | 45,594 | 0.0 |
7,113 | | 5.000%,06/15/2038 | 8,213 | 0.0 |
370 | | 5.000%,07/15/2038 | 418 | 0.0 |
2,729 | | 5.000%,09/15/2038 | 3,165 | 0.0 |
12,921 | | 5.000%,11/15/2038 | 14,883 | 0.0 |
39,382 | | 5.000%,11/15/2038 | 45,920 | 0.0 |
7,990 | | 5.000%,12/15/2038 | 9,012 | 0.0 |
71,910 | | 5.000%,12/15/2038 | 83,509 | 0.0 |
868,534 | | 5.000%,12/15/2038 | 1,012,747 | 0.0 |
63,808 | | 5.000%,01/15/2039 | 74,391 | 0.0 |
96,949 | | 5.000%,01/15/2039 | 112,900 | 0.0 |
797,465 | | 5.000%,01/15/2039 | 924,701 | 0.0 |
34,408 | | 5.000%,02/15/2039 | 40,088 | 0.0 |
98,959 | | 5.000%,02/15/2039 | 115,295 | 0.0 |
71,027 | | 5.000%,02/15/2039 | 81,845 | 0.0 |
134,285 | | 5.000%,03/15/2039 | 156,106 | 0.0 |
1,950 | | 5.000%,03/15/2039 | 2,273 | 0.0 |
72,796 | | 5.000%,03/15/2039 | 84,626 | 0.0 |
74,305 | | 5.000%,03/15/2039 | 86,571 | 0.0 |
95,418 | | 5.000%,04/15/2039 | 111,238 | 0.0 |
129,174 | | 5.000%,05/15/2039 | 150,072 | 0.0 |
417 | | 5.000%,05/15/2039 | 471 | 0.0 |
48,038 | | 5.000%,05/15/2039 | 55,792 | 0.0 |
64,315 | | 5.000%,07/15/2039 | 74,961 | 0.0 |
64,524 | | 5.000%,09/15/2039 | 75,225 | 0.0 |
9,490 | | 5.000%,11/15/2039 | 11,028 | 0.0 |
1,741 | | 5.000%,04/15/2040 | 2,028 | 0.0 |
13,174 | | 5.000%,06/15/2040 | 15,349 | 0.0 |
24,946 | | 5.000%,09/15/2040 | 29,062 | 0.0 |
18,326 | | 5.000%,09/15/2040 | 20,658 | 0.0 |
62,436 | | 5.000%,10/15/2040 | 72,582 | 0.0 |
48,393 | | 5.000%,05/15/2042 | 54,609 | 0.0 |
304,709 | | 5.000%,02/20/2043 | 348,730 | 0.0 |
8,039 | (3) | 5.500%,03/20/2060 | 8,861 | 0.0 |
| | | 82,306,597 | 2.4 |
| | | | |
| | Uniform Mortgage-Backed Securities: 6.6% |
21,652,000 | (7) | 2.000%,05/01/2050 | 21,573,343 | 0.7 |
1,598,824 | | 2.500%,05/01/2030 | 1,676,536 | 0.1 |
2,508,843 | | 2.500%,06/01/2030 | 2,626,899 | 0.1 |
3,484,032 | | 2.500%,06/01/2030 | 3,648,013 | 0.1 |
1,487,758 | | 2.500%,07/01/2030 | 1,557,838 | 0.1 |
3,373,734 | | 3.000%,08/01/2030 | 3,586,404 | 0.1 |
1,827,565 | | 3.000%,09/01/2030 | 1,943,636 | 0.1 |
1,079,570 | | 3.000%,08/01/2043 | 1,149,474 | 0.1 |
2,166,220 | | 3.000%,09/01/2043 | 2,293,103 | 0.1 |
7,315,225 | | 3.000%,04/01/2045 | 7,759,815 | 0.2 |
4,707,610 | | 3.000%,08/01/2046 | 4,984,407 | 0.2 |
494,205 | | 3.000%,09/01/2046 | 519,896 | 0.0 |
6,952,606 | | 3.000%,01/01/2047 | 7,284,532 | 0.2 |
755,314 | | 3.500%,12/01/2041 | 816,675 | 0.0 |
586,902 | | 3.500%,08/01/2042 | 636,262 | 0.0 |
156,908 | | 3.500%,08/01/2042 | 169,608 | 0.0 |
836,417 | | 3.500%,10/01/2042 | 904,527 | 0.0 |
526,998 | | 3.500%,10/01/2042 | 569,913 | 0.0 |
329,388 | | 3.500%,03/01/2043 | 358,106 | 0.0 |
2,561,589 | | 3.500%,01/01/2046 | 2,751,731 | 0.1 |
4,339,696 | | 3.500%,02/01/2046 | 4,694,639 | 0.2 |
20,647,954 | | 3.500%,08/01/2046 | 22,347,233 | 0.7 |
3,443,149 | | 3.500%,08/01/2046 | 3,716,890 | 0.1 |
4,334,584 | | 3.500%,09/01/2047 | 4,606,605 | 0.2 |
2,763,210 | | 3.500%,12/01/2047 | 2,931,644 | 0.1 |
10,019,733 | | 3.500%,07/01/2048 | 10,808,949 | 0.3 |
882 | | 4.000%,07/01/2021 | 939 | 0.0 |
1,931,852 | | 4.000%,09/01/2026 | 2,056,671 | 0.1 |
4,070 | | 4.000%,05/01/2029 | 4,366 | 0.0 |
30,398 | | 4.000%,11/01/2030 | 32,915 | 0.0 |
16,582 | | 4.000%,02/01/2031 | 17,952 | 0.0 |
8,857 | | 4.000%,10/01/2031 | 9,719 | 0.0 |
6,314,154 | | 4.000%,12/01/2039 | 6,954,585 | 0.2 |
1,106,199 | | 4.000%,07/01/2042 | 1,225,128 | 0.1 |
2,931,669 | | 4.000%,07/01/2042 | 3,247,323 | 0.1 |
306,750 | | 4.000%,07/01/2042 | 339,780 | 0.0 |
188,761 | | 4.000%,08/01/2042 | 202,599 | 0.0 |
952,976 | | 4.000%,08/01/2042 | 1,050,439 | 0.1 |
169,395 | | 4.000%,08/01/2042 | 181,826 | 0.0 |
ASSET-BACKED SECURITIES: 9.6% | |
| | Automobile Asset-Backed Securities: 0.4% |
2,300,000 | | Americredit Automobile Receivables Trust 2018-1 C, 3.500%, 01/18/2024 | 2,371,075 | 0.1 |
1,800,000 | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | 1,907,930 | 0.1 |
1,650,000 | | AmeriCredit Automobile Receivables Trust 2020-1 D, 1.800%, 12/18/2025 | 1,683,984 | 0.0 |
1,300,000 | | AmeriCredit Automobile Receivables Trust 2020-3 A3, 0.530%, 06/18/2025 | 1,303,525 | 0.0 |
1,232,910 | (1) | OSCAR US Funding Trust VII LLC 2017-2A A4, 2.760%, 12/10/2024 | 1,248,432 | 0.0 |
700,000 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | 713,044 | 0.0 |
1,900,000 | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | 1,961,164 | 0.1 |
2,650,000 | | Santander Drive Auto Receivables Trust 2020-1 B, 3.030%, 11/15/2024 | 2,728,329 | 0.1 |
1,250,000 | (1) | Tesla Auto Lease Trust 2018-B C, 4.360%, 10/20/2021 | 1,264,157 | 0.0 |
| | | 15,181,640 | 0.4 |
| | | | |
| | Home Equity Asset-Backed Securities: 0.2% |
1,296,972 | (1),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 1,290,183 | 0.0 |
603,707 | | Home Equity Asset Trust 2005-2 M5, 1.204%, (US0001M + 1.095%), 07/25/2035 | 605,049 | 0.0 |
1,794,196 | | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2 M4, 1.024%, (US0001M + 0.915%), 03/25/2035 | 1,795,501 | 0.1 |
380,949 | | New Century Home Equity Loan Trust 2005-2 M3, 0.844%, (US0001M + 0.735%), 06/25/2035 | 380,924 | 0.0 |
50,613 | | Renaissance Home Equity Loan Trust 2003-2 A, 0.989%, (US0001M + 0.880%), 08/25/2033 | 49,812 | 0.0 |
1,750,558 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 1,898,619 | 0.1 |
55,913 | | Securitized Asset Backed Receivables LLC Trust 2006-WM4 A2A, 0.189%, (US0001M + 0.080%), 11/25/2036 | 22,371 | 0.0 |
| | | 6,042,459 | 0.2 |
| | | | |
| | Other Asset-Backed Securities: 8.2% |
1,255,644 | (1) | Ajax Mortgage Loan Trust 2018-A A, 3.850%, 04/25/2058 | 1,236,890 | 0.0 |
8,750,000 | (1) | Allegany Park CLO Ltd. 2019-1A A, 1.554%, (US0003M + 1.330%), 01/20/2033 | 8,763,501 | 0.3 |
2,455,515 | (1),(3),(4),(8) | American Homes 4 Rent 2015-SFR1 XS, 3.230%, 04/17/2052 | – | – |
650,000 | (1) | AMMC CLO 16 Ltd. 2015-16A CR2, 2.137%, (US0003M + 1.950%), 04/14/2029 | 643,728 | 0.0 |
9,500,000 | (1) | Apidos CLO XXXII 2019-32A A1, 1.544%, (US0003M + 1.320%), 01/20/2033 | 9,515,437 | 0.3 |
4,500,000 | (1) | Apidos CLO XXXIII 2020-33A A, 1.918%, (US0003M + 1.700%), 07/24/2031 | 4,508,725 | 0.1 |
8,000,000 | (1) | ARES XLVI CLO Ltd. 2017-46A A2, 1.471%, (US0003M + 1.230%), 01/15/2030 | 7,984,944 | 0.2 |
3,470,000 | (1) | Babson CLO Ltd. 2017-1A A2, 1.573%, (US0003M + 1.350%), 07/18/2029 | 3,470,080 | 0.1 |
4,393,000 | (1) | Babson CLO Ltd. 2018-3A A2, 1.524%, (US0003M + 1.300%), 07/20/2029 | 4,392,987 | 0.1 |
1,600,000 | (1) | Bain Capital Credit CLO 2017-1A A2, 1.574%, (US0003M + 1.350%), 07/20/2030 | 1,600,085 | 0.0 |
814,379 | (3) | Bear Stearns Asset Backed Securities Trust 2006-SD4 1A1, 3.231%, 10/25/2036 | 815,528 | 0.0 |
3,200,000 | (1) | Beechwood Park CLO Ltd. 2019-1A A1, 1.553%, (US0003M + 1.330%), 01/17/2033 | 3,210,608 | 0.1 |
2,250,000 | (1) | Benefit Street Partners CLO IV Ltd. 2014-IVA BRRR, 2.344%, (US0003M + 2.150%), 01/20/2032 | 2,238,579 | 0.1 |
5,000,000 | (1) | Benefit Street Partners CLO XIX Ltd. 2019-19A A, 1.591%, (US0003M + 1.350%), 01/15/2033 | 5,010,090 | 0.2 |
1,450,000 | (1) | BlueMountain CLO Ltd. 2021-28A C, 2.113%, (US0003M + 2.000%), 04/15/2034 | 1,442,885 | 0.0 |
6,300,000 | (1) | BlueMountain Fuji US Clo I Ltd. 2017-1A CR, 2.440%, (US0003M + 2.250%), 07/20/2029 | 6,280,558 | 0.2 |
2,350,000 | (1) | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | 2,463,997 | 0.1 |
3,490,000 | (1) | Broad River BSL Funding CLO 2020-1A A, 2.074%, (US0003M + 1.850%), 04/20/2029 | 3,491,208 | 0.1 |
4,000,000 | (1) | Carbone CLO Ltd. 2017-1A A1, 1.363%, (US0003M + 1.140%), 01/20/2031 | 4,000,948 | 0.1 |
2,400,000 | (1) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 1.353%, (US0003M + 1.130%), 04/17/2031 | 2,383,332 | 0.1 |
840,000 | (1) | Cedar Funding II CLO Ltd. 2013-1A A1R, 1.415%, (US0003M + 1.230%), 06/09/2030 | 840,128 | 0.0 |
50,876 | | Chase Funding Trust Series 2002-4 2A1, 0.849%, (US0001M + 0.740%), 10/25/2032 | 50,585 | 0.0 |
106,708 | | Chase Funding Trust Series 2003-5 2A2, 0.709%, (US0001M + 0.600%), 07/25/2033 | 103,225 | 0.0 |
3,750,000 | (1) | CIFC Funding 2013-2A A1LR, 1.436%, (US0003M + 1.210%), 10/18/2030 | 3,750,765 | 0.1 |
3,453,000 | (1) | CIFC Funding 2017-2A A Ltd., 1.464%, (US0003M + 1.240%), 04/20/2030 | 3,453,183 | 0.1 |
3,000,000 | (1) | CIFC Funding 2017-2A C, 2.574%, (US0003M + 2.350%), 04/20/2030 | 3,000,480 | 0.1 |
4,000,000 | (1) | CIFC Funding 2019-6A A1 Ltd., 1.553%, (US0003M + 1.330%), 01/16/2033 | 4,007,104 | 0.1 |
5,359,651 | | Credit-Based Asset Servicing & Securitization LLC 2006-CB8 A2C, 0.259%, (US0001M + 0.150%), 10/25/2036 | 4,948,774 | 0.1 |
935,750 | (1) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | 1,014,036 | 0.0 |
492,500 | (1) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | 522,871 | 0.0 |
12,160,000 | (1) | Dewolf Park Clo Ltd. 2017-1A A, 1.451%, (US0003M + 1.210%), 10/15/2030 | 12,160,170 | 0.4 |
1,372,000 | (1) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | 1,451,756 | 0.0 |
1,200,000 | (1) | Dryden 55 CLO Ltd. 2018-55A A1, 1.261%, (US0003M + 1.020%), 04/15/2031 | 1,198,788 | 0.0 |
8,610,000 | (1) | Dryden Senior Loan Fund 2017-47A A2, 1.591%, (US0003M + 1.350%), 04/15/2028 | 8,610,448 | 0.3 |
7,460,000 | (1) | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 1.394%, (US0003M + 1.200%), 08/15/2030 | 7,461,925 | 0.2 |
3,662,325 | (1) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 3,825,736 | 0.1 |
2,100,000 | (1) | Gilbert Park CLO Ltd. 2017-1A A, 1.431%, (US0003M + 1.190%), 10/15/2030 | 2,100,057 | 0.1 |
115,293 | | GSAMP Trust 2007-FM1 A2A, 0.179%, (US0001M + 0.070%), 12/25/2036 | 71,139 | 0.0 |
1,613,088 | (1) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | 1,691,544 | 0.1 |
2,000,000 | (1) | Jay Park CLO Ltd. 2016-1A BR, 2.224%, (US0003M + 2.000%), 10/20/2027 | 2,000,456 | 0.1 |
4,300,000 | (1),(7) | KKR CLO 21 A Ltd., 1.241%, (US0003M + 1.000%), 04/15/2031 | 4,286,661 | 0.1 |
10,000,000 | (1) | LCM 26A A2 Ltd., 1.474%, (US0003M + 1.250%), 01/20/2031 | 9,986,460 | 0.3 |
6,308,000 | (1) | LCM XIV L.P. 14A AR, 1.263%, (US0003M + 1.040%), 07/20/2031 | 6,308,656 | 0.2 |
58,753 | | Long Beach Mortgage Loan Trust 2004-4 1A1, 0.669%, (US0001M + 0.560%), 10/25/2034 | 57,133 | 0.0 |
2,090,000 | (1) | Madison Park Funding XLVIII Ltd. 2021-48A C, 2.142%, (US0003M + 2.000%), 04/19/2033 | 2,084,712 | 0.1 |
2,120,000 | (1) | Madison Park Funding XV Ltd. 2014-15A B1R, 2.413%, (US0003M + 2.200%), 01/27/2026 | 2,120,971 | 0.1 |
5,150,000 | (1) | Madison Park Funding XXXV Ltd. 2019-35A A2A, 1.874%, (US0003M + 1.650%), 04/20/2031 | 5,150,000 | 0.2 |
4,600,000 | (1) | Magnetite CLO Ltd. 2020-26A A, 1.991%, (US0003M + 1.750%), 07/15/2030 | 4,608,896 | 0.1 |
1,750,000 | (1) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | 1,791,635 | 0.1 |
2,025,632 | (1) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 2,189,176 | 0.1 |
1,187,699 | (1) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 1,261,951 | 0.0 |
2,426,223 | (1) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 2,614,582 | 0.1 |
2,000,000 | (1) | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 2.676%, (US0003M + 2.450%), 10/16/2032 | 2,004,416 | 0.1 |
3,700,000 | (1) | Newark BSL CLO 2 Ltd. 2017-1A BR, 1.934%, (US0003M + 1.750%), 07/25/2030 | 3,686,295 | 0.1 |
1,500,000 | (1) | Oak Hill Credit Partners 2021-8A C, 2.088%, (US0003M + 1.900%), 01/18/2034 | 1,497,595 | 0.0 |
5,100,000 | (1) | Oaktree CLO 2020-1A A Ltd., 2.241%, (US0003M + 2.000%), 07/15/2029 | 5,113,005 | 0.2 |
3,500,000 | (1) | OCP CLO 2020-18A A Ltd., 2.024%, (US0003M + 1.800%), 04/20/2030 | 3,500,000 | 0.1 |
4,000,000 | (1) | OCP CLO 2020-19 A A1 Ltd., 1.974%, (US0003M + 1.750%), 07/20/2031 | 4,008,716 | 0.1 |
3,950,000 | (1) | Octagon Investment Partners 30 Ltd. 2017-1A BR, 2.174%, (US0003M + 1.950%), 03/17/2030 | 3,933,592 | 0.1 |
3,000,000 | (1) | Octagon Investment Partners Ltd. 2017-1A A2, 1.591%, (US0003M + 1.350%), 07/15/2029 | 3,000,105 | 0.1 |
4,000,000 | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 1.573%, (US0003M + 1.350%), 07/19/2030 | 4,000,092 | 0.1 |
4,250,000 | (1) | Octagon Investment Partners XVII Ltd. 2013-1A A1R2, 1.218%, (US0003M + 1.000%), 01/25/2031 | 4,244,267 | 0.1 |
8,000,000 | (1) | OHA Loan Funding 2015-1A A1R2 Ltd., 1.534%, (US0003M + 1.340%), 11/15/2032 | 8,028,864 | 0.2 |
5,515,000 | (1) | Palmer Square CLO 2015-2A A1R2 Ltd., 1.324%, (US0003M + 1.100%), 07/20/2030 | 5,508,564 | 0.2 |
3,000,000 | (1) | Palmer Square CLO 2018-1A A1 Ltd., 1.253%, (US0003M + 1.030%), 04/18/2031 | 3,000,438 | 0.1 |
781,277 | | Park Place Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2005-WHQ1 M4, 1.189%, (US0001M + 1.080%), 03/25/2035 | 783,699 | 0.0 |
800,690 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.638%, 01/25/2036 | 809,836 | 0.0 |
174,612 | | Small Business Administration Participation Certificates 2007-20L 1, 5.290%, 12/01/2027 | 186,901 | 0.0 |
4,375,000 | (1) | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | 4,513,050 | 0.1 |
1,500,000 | (1) | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | 1,549,433 | 0.0 |
3,200,000 | (1) | Sofi Consumer Loan Program 2018-3 C Trust, 4.670%, 08/25/2027 | 3,344,992 | 0.1 |
1,000,000 | (1) | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | 1,038,805 | 0.0 |
1,533,208 | (1) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | 1,595,515 | 0.0 |
2,060,000 | (1) | Sound Point CLO XXV Ltd. 2019-4A A1A, 1.641%, (US0003M + 1.400%), 01/15/2033 | 2,063,823 | 0.1 |
1,894,819 | (1) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | 2,086,249 | 0.1 |
8,200,000 | (1) | Symphony CLO XXV Ltd. 2021-25A C, 2.244%, (US0003M + 2.050%), 04/19/2034 | 8,200,000 | 0.2 |
1,759,500 | (1) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | 1,930,554 | 0.1 |
900,000 | (1) | TCW CLO 2018-1A A1B2 Ltd., 1.918%, (US0003M + 1.700%), 04/25/2031 | 900,400 | 0.0 |
5,500,000 | (1) | TES LLC 2017-1A B, 7.740%, 10/20/2047 | 5,434,482 | 0.2 |
2,327,636 | (1) | THL Credit Wind River 2013-2A AR CLO Ltd., 1.453%, (US0003M + 1.230%), 10/18/2030 | 2,327,629 | 0.1 |
9,500,000 | (1) | THL Credit Wind River 2016-2A A1R CLO Ltd., 1.395%, (US0003M + 1.190%), 11/01/2031 | 9,500,409 | 0.3 |
1,400,000 | (1) | Triton Container Finance VIII LLC 2021-1A A, 1.860%, 03/20/2046 | 1,370,063 | 0.0 |
1,644,750 | (1) | Wendys Funding LLC 2018-1A A2I, 3.573%, 03/15/2048 | 1,698,085 | 0.1 |
| | | 279,037,987 | 8.2 |
| | | | |
| | Student Loan Asset-Backed Securities: 0.8% |
787,789 | (1) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | 810,192 | 0.0 |
572,287 | (1) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | 595,310 | 0.0 |
1,048,039 | (1) | Commonbond Student Loan Trust 2018-BGS B, 3.990%, 09/25/2045 | 1,076,407 | 0.0 |
696,860 | (1) | DRB Prime Student Loan Trust 2015-D A2, 3.200%, 01/25/2040 | 700,710 | 0.0 |
187,527 | (1) | Earnest Student Loan Program, LLC 2016-C B, 4.460%, 01/26/2037 | 187,870 | 0.0 |
750,000 | (1) | Navient Private Education Loan Trust 2014-AA A3, 1.706%, (US0001M + 1.600%), 10/15/2031 | 763,951 | 0.0 |
2,000,000 | (1) | Navient Private Education Refi Loan Trust 2018-A B, 3.680%, 02/18/2042 | 2,039,022 | 0.1 |
1,960,584 | (1) | Navient Private Education Refi Loan Trust 2019-A A2A, 3.420%, 01/15/2043 | 2,014,710 | 0.1 |
1,550,000 | (1) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 1,486,252 | 0.0 |
1,500,000 | (1) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 1,532,721 | 0.0 |
79,022 | (1) | SoFi Professional Loan Program 2015-C A2, 2.510%, 08/25/2033 | 79,203 | 0.0 |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 5.2% | |
3,500,000 | (1) | Alen 2021-ACEN E Mortgage Trust, 4.106%, (US0001M + 4.000%), 04/15/2038 | 3,519,282 | 0.1 |
12,654,080 | (3),(4) | BANK 2019-BNK16 XA, 0.961%, 02/15/2052 | 779,598 | 0.0 |
2,600,000 | (1) | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | 2,382,832 | 0.1 |
3,360,000 | (3) | Bank 2019-BNK19 C, 4.033%, 08/15/2061 | 3,603,355 | 0.1 |
50,949,051 | (3),(4) | Bank 2019-BNK19 XA, 0.959%, 08/15/2061 | 3,477,655 | 0.1 |
22,800,000 | (1),(3),(4) | BBCCRE Trust 2015-GTP XA, 0.597%, 08/10/2033 | 591,172 | 0.0 |
27,734,659 | (3),(4) | Benchmark 2019-B12 XA Mortgage Trust, 1.065%, 08/15/2052 | 1,791,129 | 0.1 |
19,596,883 | (3),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.043%, 03/15/2052 | 1,369,217 | 0.0 |
3,160,000 | (1) | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 08/15/2053 | 3,226,448 | 0.1 |
2,258,000 | (1) | Benchmark 2020-B18 AGNF Mortgage Trust, 4.139%, 07/15/2053 | 2,284,272 | 0.1 |
3,537,000 | (1),(9) | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | 2,605,975 | 0.1 |
1,348,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.526%, 05/25/2052 | 1,203,236 | 0.0 |
4,081,819 | (1) | BX Commercial Mortgage Trust 2019-XL J, 2.756%, (US0001M + 2.650%), 10/15/2036 | 4,089,550 | 0.1 |
2,000,000 | (1) | BX Commercial Mortgage Trust 2020-FOX F, 4.356%, (US0001M + 4.250%), 11/15/2032 | 2,016,866 | 0.1 |
4,000,000 | (1) | BX Commercial Mortgage Trust 2021-IRON E, 2.456%, (US0001M + 2.350%), 02/15/2038 | 4,017,368 | 0.1 |
2,280,000 | (1),(3) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 2,270,917 | 0.1 |
18,231,892 | (3),(4) | CD 2016-CD1 Mortgage Trust XA, 1.409%, 08/10/2049 | 1,102,785 | 0.0 |
3,042,382 | (1),(3) | CFCRE Commercial Mortgage Trust 2011-C1 E, 6.896%, 04/15/2044 | 3,022,904 | 0.1 |
4,120,000 | (1),(3) | Citigroup Commercial Mortgage Trust 2016-C2 E, 0.091%, 08/10/2049 | 3,172,453 | 0.1 |
35,215,963 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 0.902%, 09/15/2050 | 1,712,045 | 0.1 |
58,487,804 | (3),(4) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.593%, 06/10/2051 | 2,519,087 | 0.1 |
2,101,000 | (1),(3) | Citigroup COmmercial Mortgage Trust 2018-C6 D, 5.066%, 11/10/2051 | 2,039,909 | 0.1 |
13,684,864 | (3),(4) | COMM 2012-CR2 XA, 1.620%, 08/15/2045 | 191,986 | 0.0 |
24,425,605 | (3),(4) | COMM 2012-CR3 XA, 1.843%, 10/15/2045 | 422,331 | 0.0 |
65,166,000 | (1),(3),(4) | COMM 2012-CR4 XB, 0.601%, 10/15/2045 | 591,799 | 0.0 |
19,507,918 | (3),(4) | COMM 2012-CR5 XA, 1.512%, 12/10/2045 | 386,809 | 0.0 |
27,081,445 | (1),(3),(4) | COMM 2012-LC4 XA, 2.096%, 12/10/2044 | 244,061 | 0.0 |
1,910,000 | (1),(3) | COMM 2013-CR10 E Mortgage Trust, 4.790%, 08/10/2046 | 1,755,337 | 0.1 |
910,000 | (3) | COMM 2016-COR1 C, 4.368%, 10/10/2049 | 979,851 | 0.0 |
76,806,325 | (3),(4) | COMM 2016-CR28 XA, 0.705%, 02/10/2049 | 2,031,197 | 0.1 |
3,906,000 | (1),(3) | COMM 2020-CBM F Mortgage Trust, 3.633%, 11/13/2039 | 3,635,119 | 0.1 |
5,080,000 | (3) | CSAIL 2018-CX11 A5 Commercial Mortgage Trust, 4.033%, 04/15/2051 | 5,652,838 | 0.2 |
5,800,000 | | CSAIL Commercial Mortgage Trust 2021-C20 A3, 2.805%, 03/15/2054 | 5,935,065 | 0.2 |
3,247,076 | (1),(3) | DBUBS 2011-LC2 E Mortgage Trust, 5.615%, 07/10/2044 | 2,730,320 | 0.1 |
5,150,000 | (1) | DBUBS 2011-LC2A F Mortgage Trust, 3.765%, (US0001M + 3.650%), 07/10/2044 | 3,864,003 | 0.1 |
10,606,441 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | 1,975,807 | 0.1 |
36,470,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.872%, 05/25/2040 | 728,492 | 0.0 |
42,658,001 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K023 X1, 1.217%, 08/25/2022 | 611,289 | 0.0 |
22,000,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K028 X3, 1.662%, 06/25/2041 | 696,472 | 0.0 |
27,650,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.592%, 05/25/2041 | 888,143 | 0.0 |
10,700,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K035 X3, 1.789%, 12/25/2041 | 441,772 | 0.0 |
515,463,784 | (1),(4) | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | 178,763 | 0.0 |
1,500,000 | (1) | FREMF Mortgage Trust 2019-KBF3 C, 4.869%, (US0001M + 4.750%), 01/25/2029 | 1,517,957 | 0.0 |
3,070,000 | (1) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 1,609,954 | 0.0 |
29,254,378 | (3),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.020%, 11/10/2046 | 652,446 | 0.0 |
44,910,661 | (3),(4) | GS Mortgage Securities Trust 2014-GC22 XA, 0.980%, 06/10/2047 | 888,782 | 0.0 |
6,930,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | 6,994,954 | 0.2 |
5,310,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | 4,939,302 | 0.1 |
105,556,531 | (3),(4) | GS Mortgage Securities Trust 2019-GC42 XA, 0.810%, 09/01/2052 | 6,010,357 | 0.2 |
3,720,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 4.889%, 01/15/2047 | 3,716,505 | 0.1 |
2,059,831 | (3),(4) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 0.969%, 10/15/2048 | 62,858 | 0.0 |
5,610,000 | (1),(3) | JPMCC Re-REMIC Trust 2015-FRR2 AK36, 2.153%, 12/27/2046 | 5,555,981 | 0.2 |
25,136,524 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.466%, 06/15/2045 | 133,591 | 0.0 |
42,966,409 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.678%, 12/15/2049 | 1,122,033 | 0.0 |
1,000,000 | (1) | KNDL 2019-KNSQ F Mortgage Trust, 2.106%, (US0001M + 2.000%), 05/15/2036 | 964,129 | 0.0 |
1,177,245 | (1),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XCL, 0.413%, 11/15/2038 | 4,709 | 0.0 |
6,150,600 | (1),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.413%, 11/15/2038 | 20,267 | 0.0 |
2,300,000 | (1) | Life 2021-BMR F Mortgage Trust, 2.456%, (US0001M + 2.350%), 03/15/2038 | 2,310,566 | 0.1 |
4,447,000 | (1),(3) | LSTAR Commercial Mortgage Trust 2015-3 E, 3.173%, 04/20/2048 | 3,945,470 | 0.1 |
2,630,000 | (1),(3) | Manhattan West 2020-1MW E, 2.335%, 09/10/2039 | 2,484,946 | 0.1 |
3,151,000 | (1) | MF1 Multifamily Housing Mortgage Loan Trust 2021-FL5 D, 2.608%, (US0001M + 2.500%), 07/15/2036 | 3,149,811 | 0.1 |
1,706,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 4.901%, 04/15/2047 | 1,721,027 | 0.1 |
3,943,000 | | Morgan Stanley Capital I Trust 2019-H6 A4, 3.417%, 06/15/2052 | 4,260,867 | 0.1 |
1,900,000 | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | 1,638,497 | 0.0 |
2,440,000 | (1) | One Bryant Park Trust 2019-OBP A, 2.516%, 09/13/2049 | 2,469,453 | 0.1 |
2,820,000 | | UBS Commercial Mortgage Trust 2019-C17 A4, 2.921%, 09/15/2052 | 2,930,698 | 0.1 |
2,060,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.470%, 12/10/2045 | 1,445,996 | 0.0 |
3,520,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.470%, 12/10/2045 | 1,927,125 | 0.1 |
27,071,498 | (3),(4) | Wells Fargo Commercial Mortgage Trust 2014-LC18 XA, 1.043%, 12/15/2047 | 840,454 | 0.0 |
1,630,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.673%, 11/15/2044 | 1,592,289 | 0.0 |
18,880,467 | (1),(3),(4) | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.784%, 08/15/2045 | 274,752 | 0.0 |
9,020,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.256%, 03/15/2045 | 6,729,885 | 0.2 |
6,583,000 | (1) | WFRBS Commercial Mortgage Trust 2013-C12 E, 3.500%, 03/15/2048 | 5,682,677 | 0.2 |
42,799,143 | (1),(3),(4) | WFRBS Commercial Mortgage Trust 2013-C12 XA, 1.180%, 03/15/2048 | 741,671 | 0.0 |
2,500,000 | (3) | WFRBS Commercial Mortgage Trust 2014-C21 C, 4.234%, 08/15/2047 | 2,559,766 | 0.1 |
8,510,000 | (3) | WFRBS Commercial Mortgage Trust 2014-LC14 C, 4.344%, 03/15/2047 | 8,825,118 | 0.3 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $181,182,505) | 176,464,402 | 5.2 |
| | | |
Shares | | | Value | Percentage of Net Assets |
MUTUAL FUNDS: 23.1% |
| | Affiliated Investment Companies: 23.1% |
9,515,095 | | Voya Emerging Markets Corporate Debt Fund - Class P | 97,815,175 | 2.9 |
14,446,444 | | Voya Emerging Markets Hard Currency Debt Fund - Class P | 136,952,285 | 4.1 |
8,491,578 | | Voya Emerging Markets Local Currency Debt Fund - Class P | 55,534,918 | 1.6 |
90,733 | | Voya Floating Rate Fund - Class P | 818,411 | 0.0 |
16,494,776 | | Voya High Yield Bond Fund - Class P | 131,793,264 | 3.9 |
15,592,852 | | Voya Investment Grade Credit Fund - Class P | 171,989,158 | 5.1 |
19,290,573 | | Voya Securitized Credit Fund - Class P | 187,697,274 | 5.5 |
| | | | |
| Total Mutual Funds | | |
| (Cost $786,764,180) | 782,600,485 | 23.1 |
| | | |
OTHER(10): –% |
| | Consumer, Cyclical: –% |
252,000 | (8),(11) | General Motors Co. Escrow | – | – |
| | | | |
| Total Other | | |
| (Cost $–) | – | – |
| | | |
| | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (12): 0.1% |
| Total Purchased Options | | |
| (Cost $1,595,464) | 1,732,696 | 0.1 |
| | | |
| Total Long-Term Investments | | |
| (Cost $3,297,848,853) | 3,350,173,440 | 98.9 |
| | | |
Principal Amount† | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 5.4% |
| | Commercial Paper: 2.7% |
3,000,000 | | American Electric Power Co., 0.150%, 04/05/2021 | 2,999,937 | 0.1 |
9,000,000 | | American Electric Power Co., 0.150%, 04/08/2021 | 8,999,698 | 0.3 |
10,000,000 | | Dominion Resources, Inc., 0.150%, 04/05/2021 | 9,999,792 | 0.3 |
2,000,000 | | Dominion Resources, Inc., 0.190%, 05/03/2021 | 1,999,661 | 0.1 |
15,000,000 | | Dominion Resources, Inc., 0.210%, 05/17/2021 | 14,995,926 | 0.4 |
8,000,000 | | Enbridge (US) Inc., 0.160%, 04/15/2021 | 7,999,467 | 0.2 |
14,000,000 | | Enbridge (US) Inc., 0.230%, 05/28/2021 | 13,994,880 | 0.4 |
7,500,000 | | Entergy Corp., 0.250%, 05/18/2021 | 7,497,580 | 0.2 |
5,000,000 | | Entergy Corp., 0.250%, 05/19/2021 | 4,998,346 | 0.2 |
4,072,000 | | Entergy Corp., 0.260%, 06/10/2021 | 4,069,960 | 0.1 |
15,000,000 | | HP, Inc., 0.240%, 04/12/2021 | 14,999,563 | 0.4 |
| | | |
| Total Commercial Paper | | |
| (Cost $92,554,788) | 92,554,810 | 2.7 |
| | | |
| | Repurchase Agreements: 1.4% |
2,755,342 | (13) | Amherst Pierpoint Securities LLC, Repurchase Agreement dated 03/31/21, 0.02%, due 04/01/21 (Repurchase Amount $2,755,344, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $2,810,449, due 06/01/21-04/01/51) | 2,755,342 | 0.1 |
2,016,987 | (13) | Bethesda Securities LLC, Repurchase Agreement dated 03/31/21, 0.05%, due 04/01/21 (Repurchase Amount $2,016,990, collateralized by various U.S. Government Agency Obligations, 1.500%-5.500%, Market Value plus accrued interest $2,057,327, due 01/01/25-10/01/50) | 2,016,987 | 0.1 |
1,913,579 | (13) | BNP Paribas S.A., Repurchase Agreement dated 03/31/21, 0.21%, due 04/01/21 (Repurchase Amount $1,913,590, collateralized by various U.S. Government Securities, 0.652%-8.125%, Market Value plus accrued interest $2,009,258, due 05/20/22-04/01/40) | 1,913,579 | 0.1 |
11,224,549 | (13) | Cantor Fitzgerald Securities, Repurchase Agreement dated 03/31/21, 0.02%, due 04/01/21 (Repurchase Amount $11,224,555, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $11,449,040, due 04/15/21-02/20/71) | 11,224,549 | 0.3 |
2,224,156 | (13) | Citadel Securities LLC, Repurchase Agreement dated 03/31/21, 0.06%, due 04/01/21 (Repurchase Amount $2,224,160, collateralized by various U.S. Government Securities, 0.000%-7.625%, Market Value plus accrued interest $2,268,645, due 04/13/21-02/15/48) | 2,224,156 | 0.1 |
8,174,718 | (13) | Citigroup, Inc., Repurchase Agreement dated 03/31/21, 0.01%, due 04/01/21 (Repurchase Amount $8,174,720, collateralized by various U.S. Government/U.S. Government Agency Obligations, 1.125%-4.000%, Market Value plus accrued interest $8,338,213, due 05/15/23-09/15/57) | 8,174,718 | 0.2 |
3,108,735 | (13) | JVB Financial Group LLC, Repurchase Agreement dated 03/31/21, 0.05%, due 04/01/21 (Repurchase Amount $3,108,739, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.125%-7.000%, Market Value plus accrued interest $3,170,910, due 07/01/22-03/01/51) | 3,108,735 | 0.1 |
3,548,155 | (13) | Mirae Asset Securities USA Inc., Repurchase Agreement dated 03/31/21, 0.03%, due 04/01/21 (Repurchase Amount $3,548,158, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.125%-7.500%, Market Value plus accrued interest $3,619,122, due 06/01/21-02/20/71) | 3,548,155 | 0.1 |
2,544,313 | (13) | Palafox Trading LLC, Repurchase Agreement dated 03/31/21, 0.06%, due 04/01/21 (Repurchase Amount $2,544,317, collateralized by various U.S. Government Securities, 0.625%-1.875%, Market Value plus accrued interest $2,602,716, due 01/31/22-02/15/41) | 2,544,313 | 0.1 |
8,641,287 | (13) | State of Wisconsin Investment Board, Repurchase Agreement dated 03/31/21, 0.09%, due 04/01/21 (Repurchase Amount $8,641,308, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $8,814,142, due 07/15/23-02/15/48) | 8,641,287 | 0.2 |
| | | |
| Total Repurchase Agreements | | |
| (Cost $46,151,821) | 46,151,821 | 1.4 |
At March 31, 2021, Voya Intermediate Bond Portfolio held the following restricted securities:
An investment of at least 5% of the voting securities of an issuer, or a company which is under common control with the issuer, results in that issuer becoming an affiliated person as defined by the 1940 Act.
The following table provides transactions during the period ended March 31, 2021, 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 March 31, 2021, Voya Intermediate Bond Portfolio held the following restricted securities:
At March 31, 2021, the following futures contracts were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the following centrally cleared credit default swaps were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the following OTC purchased credit default swaptions were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the following OTC purchased foreign currency options were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the following OTC written foreign currency options were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the following OTC written interest rate swaptions were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2021, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were: