Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 27.5% | |
| | Basic Materials: 0.5% |
445,000 | (1),(2) | Anglo American Capital PLC, 2.250%, 03/17/2028 | $ | 407,234 | 0.0 |
1,250,000 | (2) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,249,412 | 0.1 |
476,000 | (2) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 525,364 | 0.0 |
1,195,000 | | Celanese US Holdings LLC, 1.400%, 08/05/2026 | 1,077,939 | 0.0 |
1,506,000 | | Dow Chemical Co., 4.250%, 10/01/2034 | 1,553,096 | 0.1 |
500,000 | | Dow Chemical Co/The, 4.625%, 10/01/2044 | 532,589 | 0.0 |
580,000 | | Ecolab, Inc., 2.700%, 12/15/2051 | 498,170 | 0.0 |
1,590,000 | | Ecolab, Inc., 2.750%, 08/18/2055 | 1,318,656 | 0.1 |
407,000 | (2) | Glencore Funding LLC, 2.625%, 09/23/2031 | 364,767 | 0.0 |
2,445,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 2,818,924 | 0.1 |
747,000 | (1) | Newmont Corp., 2.250%, 10/01/2030 | 683,633 | 0.0 |
214,000 | | Nucor Corp., 3.125%, 04/01/2032 | 207,105 | 0.0 |
509,000 | | Nucor Corp., 3.850%, 04/01/2052 | 509,698 | 0.0 |
1,333,000 | | PPG Industries, Inc., 1.200%, 03/15/2026 | 1,235,885 | 0.0 |
775,000 | (1) | Rio Tinto Finance USA Ltd., 2.750%, 11/02/2051 | 671,683 | 0.0 |
40,000 | | RPM International, Inc., 2.950%, 01/15/2032 | 36,715 | 0.0 |
1,147,000 | (1) | Steel Dynamics, Inc., 1.650%, 10/15/2027 | 1,043,636 | 0.0 |
362,000 | | Teck Resources Ltd., 5.400%, 02/01/2043 | 392,142 | 0.0 |
1,047,000 | | Teck Resources Ltd., 6.125%, 10/01/2035 | 1,239,271 | 0.1 |
| | 16,365,919 | 0.5 |
| | | |
| | Communications: 1.9% |
2,340,000 | | Amazon.com, Inc., 2.875%, 05/12/2041 | 2,165,018 | 0.1 |
813,000 | (1) | Amazon.com, Inc., 3.100%, 05/12/2051 | 766,766 | 0.0 |
1,656,000 | | AT&T, Inc., 2.550%, 12/01/2033 | 1,474,569 | 0.1 |
1,520,000 | | AT&T, Inc., 3.100%, 02/01/2043 | 1,316,107 | 0.1 |
990,000 | | AT&T, Inc., 3.300%, 02/01/2052 | 851,733 | 0.0 |
4,606,000 | | AT&T, Inc., 3.550%, 09/15/2055 | 4,078,099 | 0.2 |
2,423,000 | | AT&T, Inc., 3.650%, 09/15/2059 | 2,133,228 | 0.1 |
764,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 2.250%, 01/15/2029 | 688,513 | 0.0 |
1,065,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042 | 883,500 | 0.0 |
820,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 661,825 | 0.0 |
829,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.900%, 06/01/2052 | | 701,663 | 0.0 |
750,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | 752,804 | 0.0 |
2,500,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 2,594,946 | 0.1 |
1,250,000 | | Comcast Corp., 2.650%, 02/01/2030 | 1,201,511 | 0.1 |
1,574,000 | (2) | Comcast Corp., 2.887%, 11/01/2051 | 1,333,536 | 0.1 |
1,000,000 | | Comcast Corp., 3.999%, 11/01/2049 | 1,012,967 | 0.1 |
3,655,000 | | Comcast Corp., 4.000%, 03/01/2048 | 3,764,817 | 0.1 |
765,000 | | Corning, Inc., 5.450%, 11/15/2079 | 849,669 | 0.0 |
738,000 | (2) | NBN Co. Ltd., 1.450%, 05/05/2026 | 683,763 | 0.0 |
550,000 | (2) | NBN Co. Ltd., 1.625%, 01/08/2027 | 505,379 | 0.0 |
2,630,000 | (2) | Tencent Holdings Ltd., 2.985%, 01/19/2023 | 2,629,697 | 0.1 |
3,754,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 4,044,065 | 0.2 |
527,000 | (1) | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 482,287 | 0.0 |
735,000 | | T-Mobile USA, Inc., 3.300%, 02/15/2051 | 620,683 | 0.0 |
561,000 | (2) | T-Mobile USA, Inc., 3.600%, 11/15/2060 | 483,945 | 0.0 |
818,000 | | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 824,151 | 0.0 |
462,000 | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 464,431 | 0.0 |
851,000 | | T-Mobile USA, Inc., 4.375%, 04/15/2040 | 857,153 | 0.0 |
861,000 | | Verizon Communications, Inc., 2.100%, 03/22/2028 | 804,218 | 0.0 |
3,782,000 | (2) | Verizon Communications, Inc., 2.355%, 03/15/2032 | 3,422,330 | 0.1 |
542,000 | | Verizon Communications, Inc., 2.987%, 10/30/2056 | 448,069 | 0.0 |
779,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | 732,334 | 0.0 |
1,950,000 | | Verizon Communications, Inc., 3.550%, 03/22/2051 | 1,840,242 | 0.1 |
2,940,000 | | Verizon Communications, Inc., 3.700%, 03/22/2061 | 2,739,136 | 0.1 |
2,000,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | 2,004,158 | 0.1 |
240,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | | 244,586 | 0.0 |
208,000 | | Verizon Communications, Inc., 4.500%, 08/10/2033 | 223,720 | 0.0 |
2,750,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 3,120,273 | 0.1 |
500,000 | | Vodafone Group PLC, 4.375%, 02/19/2043 | 503,220 | 0.0 |
880,000 | | Vodafone Group PLC, 5.125%, 06/19/2059 | 981,147 | 0.0 |
539,000 | | Walt Disney Co/The, 2.000%, 09/01/2029 | 498,935 | 0.0 |
| | | 56,389,193 | 1.9 |
| | | | |
| | Consumer, Cyclical: 1.6% |
686,521 | (2) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | 703,490 | 0.0 |
39,368 | | American Airlines 2015-2 Class AA Pass Through Trust, 3.600%, 03/22/2029 | 38,349 | 0.0 |
2,187,235 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | 2,081,065 | 0.1 |
374,963 | | American Airlines 2017-1 Class A Pass Through Trust, 4.000%, 08/15/2030 | 346,278 | 0.0 |
704,386 | | American Airlines 2017-2 Class A Pass Through Trust, 3.600%, 04/15/2031 | 651,363 | 0.0 |
47,013 | | American Airlines 2017-2 Class AA Pass Through Trust, 3.350%, 04/15/2031 | 45,181 | 0.0 |
503,363 | (2) | British Airways 2020-1 Class A Pass Through Trust, 4.250%, 05/15/2034 | 504,519 | 0.0 |
22,845 | | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 04/29/2026 | 22,810 | 0.0 |
1,875,000 | (2) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 1,811,626 | 0.1 |
616,361 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | 572,760 | 0.0 |
840,000 | (2) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | 845,541 | 0.0 |
793,000 | (2) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 800,457 | 0.0 |
1,400,000 | | General Motors Co., 5.400%, 04/01/2048 | 1,477,432 | 0.1 |
935,000 | | General Motors Co., 6.125%, 10/01/2025 | 1,004,621 | 0.1 |
1,027,000 | (1) | General Motors Financial Co., Inc., 2.350%, 02/26/2027 | 959,434 | 0.0 |
985,000 | | General Motors Financial Co., Inc., 3.950%, 04/13/2024 | 1,000,955 | 0.0 |
1,893,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | 1,927,982 | 0.1 |
2,878,000 | (2) | Harley-Davidson Financial Services, Inc., 3.050%, 02/14/2027 | 2,742,649 | 0.1 |
1,652,000 | | Hasbro, Inc., 3.000%, 11/19/2024 | 1,640,223 | 0.1 |
500,000 | | Home Depot, Inc./The, 3.250%, 04/15/2032 | 500,876 | 0.0 |
600,000 | | Home Depot, Inc./The, 3.625%, 04/15/2052 | 596,558 | 0.0 |
857,000 | (1) | Honda Motor Co. Ltd., 2.967%, 03/10/2032 | 829,950 | 0.0 |
421,000 | | Lowe's Cos, Inc., 3.750%, 04/01/2032 | 426,047 | 0.0 |
337,000 | | Lowe's Cos, Inc., 4.250%, 04/01/2052 | 349,109 | 0.0 |
337,000 | | Lowe's Cos, Inc., 4.450%, 04/01/2062 | 351,262 | 0.0 |
1,505,000 | (1),(2) | Magallanes, Inc., 3.755%, 03/15/2027 | 1,504,771 | 0.1 |
708,000 | (1),(2) | Magallanes, Inc., 4.279%, 03/15/2032 | 712,027 | 0.0 |
1,049,000 | (2) | Magallanes, Inc., 5.050%, 03/15/2042 | 1,072,187 | 0.1 |
4,091,000 | (2) | Magallanes, Inc., 5.141%, 03/15/2052 | 4,195,201 | 0.2 |
434,000 | (2) | Magallanes, Inc., 5.391%, 03/15/2062 | 449,658 | 0.0 |
550,000 | (1) | McDonald's Corp., 3.500%, 07/01/2027 | 559,961 | 0.0 |
720,000 | (2) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | 751,500 | 0.0 |
2,225,000 | (2) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 2,210,338 | 0.1 |
2,250,000 | (1) | Toyota Motor Credit Corp., 2.150%, 02/13/2030 | 2,089,558 | 0.1 |
835,000 | | Toyota Motor Credit Corp., 3.050%, 03/22/2027 | 834,179 | 0.0 |
396,679 | | United Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | 398,312 | 0.0 |
125,607 | | United Airlines 2013-1 Class A Pass Through Trust, 4.300%, 02/15/2027 | 125,628 | 0.0 |
559,627 | | United Airlines 2014-1 Class A Pass Through Trust, 4.000%, 10/11/2027 | 562,637 | 0.0 |
228,003 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | 221,390 | 0.0 |
977,805 | | United Airlines 2016-2 Class A Pass Through Trust, 3.100%, 04/07/2030 | 898,054 | 0.0 |
3,704,618 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | 3,520,199 | 0.1 |
684,541 | | United Airlines 2019-2 Class A Pass Through Trust, 2.900%, 11/01/2029 | 622,756 | 0.0 |
1,853,400 | | United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 04/15/2029 | 1,921,531 | 0.1 |
1,919,810 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | 1,985,759 | 0.1 |
| | | 46,866,183 | 1.6 |
| | | | |
| | Consumer, Non-cyclical: 4.0% |
114,000 | | Abbott Laboratories, 4.900%, 11/30/2046 | 139,238 | 0.0 |
2,554,000 | (1) | AbbVie, Inc., 2.600%, 11/21/2024 | 2,538,691 | 0.1 |
830,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | 835,588 | 0.0 |
732,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | | 754,282 | 0.0 |
2,250,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 2,354,752 | 0.1 |
1,964,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | 2,078,055 | 0.1 |
1,037,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | 1,115,456 | 0.1 |
522,000 | | AbbVie, Inc., 4.550%, 03/15/2035 | 561,624 | 0.0 |
1,700,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | 1,812,697 | 0.1 |
2,403,000 | | Aetna, Inc., 4.500%, 05/15/2042 | 2,511,714 | 0.1 |
848,000 | | Altria Group, Inc., 2.450%, 02/04/2032 | 738,715 | 0.0 |
1,691,000 | | Altria Group, Inc., 3.700%, 02/04/2051 | 1,371,859 | 0.1 |
301,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 316,051 | 0.0 |
730,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | 789,182 | 0.0 |
1,000,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | 1,086,790 | 0.0 |
798,000 | | Amgen, Inc., 3.375%, 02/21/2050 | 722,474 | 0.0 |
2,462,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 2,647,201 | 0.1 |
3,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 3,341,230 | 0.1 |
1,909,000 | | Anheuser-Busch InBev Finance, Inc., 4.000%, 01/17/2043 | 1,883,832 | 0.1 |
1,260,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 1,476,110 | 0.1 |
1,000,000 | | Anthem, Inc., 3.500%, 08/15/2024 | 1,015,429 | 0.0 |
862,000 | | Astrazeneca Finance LLC, 1.750%, 05/28/2028 | 796,004 | 0.0 |
3,079,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | 2,768,167 | 0.1 |
866,000 | (1) | BAT Capital Corp., 2.726%, 03/25/2031 | 764,470 | 0.0 |
140,000 | | BAT Capital Corp., 3.557%, 08/15/2027 | 136,495 | 0.0 |
866,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | 711,440 | 0.0 |
750,000 | | BAT Capital Corp., 4.390%, 08/15/2037 | 699,095 | 0.0 |
1,250,000 | (1) | BAT International Finance PLC, 4.448%, 03/16/2028 | 1,255,341 | 0.1 |
550,000 | (2) | Baxter International, Inc., 1.915%, 02/01/2027 | 514,865 | 0.0 |
1,150,000 | (2) | Baxter International, Inc., 2.272%, 12/01/2028 | 1,066,408 | 0.0 |
227,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 229,043 | 0.0 |
226,000 | | Bio-Rad Laboratories, Inc., 3.300%, 03/15/2027 | 222,753 | 0.0 |
432,000 | | Bristol-Myers Squibb Co., 2.950%, 03/15/2032 | 423,171 | 0.0 |
407,000 | (1) | Bristol-Myers Squibb Co., 3.550%, 03/15/2042 | 403,468 | 0.0 |
1,287,000 | | Bristol-Myers Squibb Co., 3.700%, 03/15/2052 | 1,297,307 | 0.1 |
1,757,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | 1,893,078 | 0.1 |
670,000 | | Bristol-Myers Squibb Co., 4.250%, 10/26/2049 | 733,713 | 0.0 |
1,020,000 | (2) | Cargill, Inc., 2.125%, 11/10/2031 | 922,891 | 0.0 |
1,320,000 | (2) | Cargill, Inc., 3.875%, 05/23/2049 | 1,378,894 | 0.1 |
2,195,000 | | Cigna Corp., 3.250%, 04/15/2025 | 2,208,877 | 0.1 |
353,000 | | Cigna Corp., 3.400%, 03/15/2050 | 319,204 | 0.0 |
3,900,000 | | Cigna Corp., 4.800%, 08/15/2038 | 4,282,588 | 0.2 |
935,000 | | Cigna Corp., 4.900%, 12/15/2048 | 1,052,244 | 0.0 |
1,443,000 | | Coca-Cola Co/The, 2.875%, 05/05/2041 | 1,336,039 | 0.1 |
1,355,000 | (1) | CVS Health Corp., 2.125%, 09/15/2031 | 1,212,672 | 0.1 |
798,000 | | CVS Health Corp., 2.700%, 08/21/2040 | 682,440 | 0.0 |
1,075,000 | | CVS Health Corp., 3.875%, 07/20/2025 | 1,097,739 | 0.0 |
1,886,000 | | CVS Health Corp., 4.125%, 04/01/2040 | 1,923,621 | 0.1 |
3,000,000 | | CVS Health Corp., 4.780%, 03/25/2038 | 3,286,390 | 0.1 |
1,376,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 1,562,397 | 0.1 |
53,508 | | CVS Pass-Through Trust, 6.943%, 01/10/2030 | 59,899 | 0.0 |
1,400,000 | (2) | Element Fleet Management Corp., 3.850%, 06/15/2025 | 1,403,166 | 0.1 |
1,237,000 | (2) | Fresenius Medical Care US Finance III, Inc., 1.875%, 12/01/2026 | 1,146,322 | 0.1 |
557,000 | | Gilead Sciences, Inc., 0.750%, 09/29/2023 | 544,236 | 0.0 |
557,000 | | Gilead Sciences, Inc., 3.500%, 02/01/2025 | 564,884 | 0.0 |
1,000,000 | (1) | Global Payments, Inc., 1.200%, 03/01/2026 | 922,608 | 0.0 |
1,000,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | 979,457 | 0.0 |
3,000,000 | (1) | Global Payments, Inc., 3.200%, 08/15/2029 | 2,853,820 | 0.1 |
614,000 | (1),(2) | GSK Consumer Healthcare Capital US LLC, 3.375%, 03/24/2029 | 608,192 | 0.0 |
602,000 | (2) | GXO Logistics, Inc., 1.650%, 07/15/2026 | 544,344 | 0.0 |
440,000 | (1),(2) | HCA, Inc., 3.125%, 03/15/2027 | 430,613 | 0.0 |
429,000 | (2) | HCA, Inc., 3.625%, 03/15/2032 | 420,873 | 0.0 |
1,166,000 | | HCA, Inc., 4.125%, 06/15/2029 | 1,190,132 | 0.1 |
670,000 | (2) | HCA, Inc., 4.375%, 03/15/2042 | 662,076 | 0.0 |
1,604,000 | (1) | HCA, Inc., 4.500%, 02/15/2027 | 1,659,033 | 0.1 |
407,000 | | HCA, Inc., 5.125%, 06/15/2039 | 440,219 | 0.0 |
772,000 | | HCA, Inc., 5.250%, 04/15/2025 | 813,359 | 0.0 |
500,000 | | HCA, Inc., 5.250%, 06/15/2049 | 549,741 | 0.0 |
1,115,000 | | Humana, Inc., 1.350%, 02/03/2027 | 1,011,712 | 0.0 |
1,229,000 | | Humana, Inc., 2.150%, 02/03/2032 | | 1,078,956 | 0.0 |
319,000 | | Humana, Inc., 3.125%, 08/15/2029 | 309,133 | 0.0 |
500,000 | | Johnson & Johnson, 3.625%, 03/03/2037 | 518,082 | 0.0 |
250,000 | (1) | Johnson & Johnson, 3.700%, 03/01/2046 | 264,307 | 0.0 |
1,515,000 | | Johnson & Johnson, 3.750%, 03/03/2047 | 1,624,878 | 0.1 |
969,000 | | Laboratory Corp. of America Holdings, 3.250%, 09/01/2024 | 973,758 | 0.0 |
1,870,000 | (2) | Mars, Inc., 3.875%, 04/01/2039 | 1,896,752 | 0.1 |
631,000 | (2) | Mars, Inc., 4.125%, 04/01/2054 | 676,294 | 0.0 |
1,595,000 | | McKesson Corp., 1.300%, 08/15/2026 | 1,466,519 | 0.1 |
1,436,000 | | Medtronic, Inc., 4.375%, 03/15/2035 | 1,598,299 | 0.1 |
450,000 | | Merck & Co., Inc., 2.750%, 12/10/2051 | 392,904 | 0.0 |
450,000 | | Merck & Co., Inc., 2.900%, 12/10/2061 | 384,393 | 0.0 |
1,627,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 1,600,826 | 0.1 |
1,537,000 | (1),(2) | Nestle Holdings, Inc., 1.500%, 09/14/2028 | 1,384,860 | 0.1 |
1,102,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 1,080,143 | 0.0 |
237,000 | | PerkinElmer, Inc., 1.900%, 09/15/2028 | 214,695 | 0.0 |
1,243,000 | | PerkinElmer, Inc., 3.300%, 09/15/2029 | 1,213,750 | 0.1 |
1,500,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | 1,400,144 | 0.1 |
294,000 | | Regeneron Pharmaceuticals, Inc., 1.750%, 09/15/2030 | 255,513 | 0.0 |
690,000 | | Reynolds American, Inc., 5.700%, 08/15/2035 | 729,744 | 0.0 |
560,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 578,121 | 0.0 |
624,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 661,817 | 0.0 |
1,130,000 | (2) | Roche Holdings, Inc., 1.930%, 12/13/2028 | 1,051,556 | 0.0 |
1,200,000 | (2) | Roche Holdings, Inc., 2.076%, 12/13/2031 | 1,105,440 | 0.0 |
480,000 | (2) | Roche Holdings, Inc., 2.607%, 12/13/2051 | 416,724 | 0.0 |
537,000 | | Royalty Pharma PLC, 1.200%, 09/02/2025 | 494,560 | 0.0 |
796,000 | (1) | Royalty Pharma PLC, 1.750%, 09/02/2027 | 723,771 | 0.0 |
1,948,000 | | Royalty Pharma PLC, 3.550%, 09/02/2050 | 1,624,282 | 0.1 |
1,000,000 | (2) | S&P Global, Inc., 2.700%, 03/01/2029 | 970,121 | 0.0 |
418,000 | (2) | S&P Global, Inc., 3.700%, 03/01/2052 | 425,104 | 0.0 |
281,000 | (2) | S&P Global, Inc., 3.900%, 03/01/2062 | 289,866 | 0.0 |
830,000 | (2) | Triton Container International Ltd., 2.050%, 04/15/2026 | 774,968 | 0.0 |
862,000 | (2) | Triton Container International Ltd., 3.150%, 06/15/2031 | 789,024 | 0.0 |
485,000 | | UnitedHealth Group, Inc., 2.750%, 05/15/2040 | 437,190 | 0.0 |
245,000 | | UnitedHealth Group, Inc., 3.050%, 05/15/2041 | 228,751 | 0.0 |
1,250,000 | | UnitedHealth Group, Inc., 3.250%, 05/15/2051 | 1,178,110 | 0.1 |
1,111,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | 1,106,007 | 0.0 |
990,000 | | Viatris, Inc., 2.700%, 06/22/2030 | 872,169 | 0.0 |
1,500,000 | | Viatris, Inc., 3.850%, 06/22/2040 | 1,301,254 | 0.1 |
1,065,000 | (2) | Viterra Finance BV, 2.000%, 04/21/2026 | 981,953 | 0.0 |
| | | 117,151,208 | 4.0 |
| | | | |
| | Energy: 2.3% |
277,000 | | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026 | 264,192 | 0.0 |
450,000 | (1) | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | 398,562 | 0.0 |
357,000 | | BP Capital Markets America, Inc., 2.772%, 11/10/2050 | 299,453 | 0.0 |
923,000 | | BP Capital Markets America, Inc., 3.379%, 02/08/2061 | 824,895 | 0.0 |
923,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | 928,192 | 0.0 |
205,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | 253,087 | 0.0 |
1,104,000 | (1) | Cenovus Energy, Inc./CA, 3.750%, 02/15/2052 | 991,321 | 0.0 |
1,111,000 | (1) | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 1,109,262 | 0.1 |
297,000 | | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | 316,950 | 0.0 |
408,000 | (2) | ConocoPhillips Co., 4.025%, 03/15/2062 | 414,902 | 0.0 |
580,000 | (1) | Continental Resources, Inc., 4.900%, 06/01/2044 | 575,059 | 0.0 |
4,243,000 | (2) | Coterra Energy, Inc., 3.900%, 05/15/2027 | 4,281,459 | 0.2 |
935,000 | (1) | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 894,550 | 0.0 |
2,000,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 1,983,423 | 0.1 |
31,000 | (1) | Diamondback Energy, Inc., 4.400%, 03/24/2051 | 31,573 | 0.0 |
979,000 | (3) | Enbridge, Inc., 5.750%, 07/15/2080 | 1,015,712 | 0.0 |
582,000 | | Energy Transfer L.P., 4.250%, 04/01/2024 | 593,674 | 0.0 |
275,000 | | Energy Transfer L.P., 4.900%, 03/15/2035 | 278,966 | 0.0 |
1,625,000 | | Energy Transfer L.P., 5.300%, 04/01/2044 | 1,677,320 | 0.1 |
2,000,000 | | Energy Transfer L.P., 5.300%, 04/15/2047 | 2,063,050 | 0.1 |
845,000 | | Energy Transfer L.P., 5.350%, 05/15/2045 | 872,712 | 0.0 |
490,000 | | Energy Transfer L.P., 5.800%, 06/15/2038 | 532,154 | 0.0 |
1,067,000 | | Energy Transfer L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | | 1,083,736 | 0.1 |
1,385,000 | (1) | Enterprise Products Operating LLC, 3.750%, 02/15/2025 | 1,411,079 | 0.1 |
589,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | 549,629 | 0.0 |
283,000 | | Enterprise Products Operating LLC, 4.200%, 01/31/2050 | 281,780 | 0.0 |
2,400,000 | (3) | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | 2,147,566 | 0.1 |
826,000 | (1) | Equinor ASA, 3.125%, 04/06/2030 | 823,882 | 0.0 |
1,394,000 | (1) | Exxon Mobil Corp., 2.726%, 03/01/2023 | 1,405,019 | 0.1 |
79,000 | | Halliburton Co., 3.500%, 08/01/2023 | 79,763 | 0.0 |
66,000 | (1) | Halliburton Co., 3.800%, 11/15/2025 | 67,476 | 0.0 |
2,306,000 | | Hess Corp., 5.600%, 02/15/2041 | 2,597,816 | 0.1 |
1,000,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 1,024,649 | 0.1 |
920,000 | | Kinder Morgan Energy Partners L.P., 5.400%, 09/01/2044 | 994,881 | 0.0 |
786,000 | | Kinder Morgan, Inc., 5.550%, 06/01/2045 | 881,303 | 0.0 |
647,000 | (2) | Lundin Energy Finance BV, 2.000%, 07/15/2026 | 603,406 | 0.0 |
751,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | 781,269 | 0.0 |
1,336,000 | | Marathon Petroleum Corp., 4.750%, 09/15/2044 | 1,362,187 | 0.1 |
1,000,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | 1,024,082 | 0.1 |
373,000 | | MPLX L.P., 4.700%, 04/15/2048 | 376,908 | 0.0 |
1,100,000 | | MPLX L.P., 4.875%, 06/01/2025 | 1,141,701 | 0.0 |
928,000 | | MPLX L.P., 5.200%, 12/01/2047 | 987,571 | 0.0 |
570,000 | (1) | MPLX L.P., 5.500%, 02/15/2049 | 633,188 | 0.0 |
679,000 | (2) | Northern Natural Gas Co., 3.400%, 10/16/2051 | 596,037 | 0.0 |
718,000 | | ONEOK Partners L.P., 6.125%, 02/01/2041 | 792,151 | 0.0 |
908,000 | | ONEOK Partners L.P., 6.200%, 09/15/2043 | 1,001,683 | 0.0 |
770,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | 738,422 | 0.0 |
1,200,000 | | Ovintiv Exploration, Inc., 5.625%, 07/01/2024 | 1,262,342 | 0.1 |
510,000 | | Phillips 66, 0.900%, 02/15/2024 | 493,854 | 0.0 |
1,380,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | 1,335,484 | 0.1 |
1,180,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 1,214,562 | 0.1 |
1,779,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | 1,829,107 | 0.1 |
500,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | 481,049 | 0.0 |
900,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 925,905 | 0.0 |
906,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 959,169 | 0.0 |
1,046,000 | (1),(2) | Santos Finance Ltd., 3.649%, 04/29/2031 | 978,461 | 0.0 |
500,000 | (2) | Schlumberger Holdings Corp., 3.750%, 05/01/2024 | 509,429 | 0.0 |
1,500,000 | (1),(2) | Schlumberger Investment SA, 2.400%, 08/01/2022 | 1,501,053 | 0.1 |
616,000 | | Shell International Finance BV, 4.000%, 05/10/2046 | 645,035 | 0.0 |
1,550,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | 1,641,507 | 0.1 |
2,000,000 | | TotalEnergies Capital Canada Ltd., 2.750%, 07/15/2023 | 2,008,849 | 0.1 |
500,000 | | TotalEnergies Capital International SA, 2.986%, 06/29/2041 | 457,262 | 0.0 |
257,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | 251,003 | 0.0 |
96,000 | | Valero Energy Corp., 2.850%, 04/15/2025 | 94,953 | 0.0 |
635,000 | | Valero Energy Corp., 3.650%, 12/01/2051 | 562,065 | 0.0 |
3,804,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | 3,874,671 | 0.1 |
1,017,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | 1,121,891 | 0.1 |
| | | 66,135,303 | 2.3 |
| | | | |
| | Financial: 10.3% |
1,147,000 | (2),(3) | ABN AMRO Bank NV, 2.470%, 12/13/2029 | 1,049,400 | 0.0 |
600,000 | (2),(3) | ABN AMRO Bank NV, 3.324%, 03/13/2037 | 546,005 | 0.0 |
874,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.300%, 01/30/2032 | 789,281 | 0.0 |
2,321,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 2,084,973 | 0.1 |
350,000 | | Alexandria Real Estate Equities, Inc., 3.550%, 03/15/2052 | 326,265 | 0.0 |
493,000 | | Alleghany Corp., 3.625%, 05/15/2030 | 496,983 | 0.0 |
2,008,000 | | American Campus Communities Operating Partnership L.P., 2.250%, 01/15/2029 | 1,837,845 | 0.1 |
826,000 | (1) | American Homes 4 Rent L.P., 2.375%, 07/15/2031 | 730,554 | 0.0 |
845,000 | | American Homes 4 Rent LP, 3.625%, 04/15/2032 | 824,019 | 0.0 |
550,000 | | American Homes 4 Rent LP, 4.300%, 04/15/2052 | 534,804 | 0.0 |
1,231,000 | | American International Group, Inc., 3.400%, 06/30/2030 | 1,229,408 | 0.1 |
1,239,000 | | American International Group, Inc., 3.875%, 01/15/2035 | 1,265,183 | 0.1 |
1,248,000 | | American International Group, Inc., 3.900%, 04/01/2026 | 1,281,088 | 0.1 |
1,759,000 | | American International Group, Inc., 4.250%, 03/15/2029 | 1,842,725 | 0.1 |
245,000 | | American International Group, Inc., 4.375%, 01/15/2055 | 262,878 | 0.0 |
1,106,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 1,196,909 | 0.1 |
773,000 | | American International Group, Inc., 4.800%, 07/10/2045 | 874,268 | 0.0 |
419,000 | | American Tower Corp., 3.650%, 03/15/2027 | 418,162 | 0.0 |
255,000 | (2) | Antares Holdings L.P., 3.750%, 07/15/2027 | 235,685 | 0.0 |
914,000 | (2) | ASB Bank Ltd., 1.625%, 10/22/2026 | 849,654 | 0.0 |
1,313,000 | | Assurant, Inc., 2.650%, 01/15/2032 | 1,148,362 | 0.1 |
1,679,000 | | Assurant, Inc., 3.700%, 02/22/2030 | 1,625,071 | 0.1 |
519,000 | (2) | Athene Global Funding, 2.950%, 11/12/2026 | 503,246 | 0.0 |
789,000 | (2) | Aviation Capital Group LLC, 1.950%, 09/20/2026 | 714,815 | 0.0 |
452,000 | (2) | Aviation Capital Group LLC, 3.875%, 05/01/2023 | 454,198 | 0.0 |
808,000 | (2) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | 807,384 | 0.0 |
863,000 | (2) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | 889,076 | 0.0 |
599,000 | (2) | Avolon Holdings Funding Ltd., 2.125%, 02/21/2026 | 547,651 | 0.0 |
1,094,000 | (2) | Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 | 968,332 | 0.0 |
710,000 | (2) | Avolon Holdings Funding Ltd., 2.750%, 02/21/2028 | 632,631 | 0.0 |
391,000 | (2) | Avolon Holdings Funding Ltd., 2.875%, 02/15/2025 | 375,795 | 0.0 |
1,565,000 | (2) | Avolon Holdings Funding Ltd., 4.250%, 04/15/2026 | 1,545,528 | 0.1 |
1,000,000 | | Banco Santander SA, 2.746%, 05/28/2025 | 975,552 | 0.0 |
2,000,000 | | Banco Santander SA, 3.125%, 02/23/2023 | 2,015,296 | 0.1 |
1,000,000 | (1),(3) | Banco Santander SA, 3.225%, 11/22/2032 | 898,708 | 0.0 |
3,375,000 | (3) | Bank of America Corp., 0.981%, 09/25/2025 | 3,201,594 | 0.1 |
1,955,000 | (3) | Bank of America Corp., 1.197%, 10/24/2026 | 1,809,136 | 0.1 |
1,971,000 | (3) | Bank of America Corp., 1.734%, 07/22/2027 | 1,832,218 | 0.1 |
219,000 | (3) | Bank of America Corp., 1.898%, 07/23/2031 | 191,617 | 0.0 |
396,000 | (3) | Bank of America Corp., 1.922%, 10/24/2031 | 344,439 | 0.0 |
225,000 | (3) | Bank of America Corp., 2.015%, 02/13/2026 | 216,726 | 0.0 |
1,852,000 | (3) | Bank of America Corp., 2.087%, 06/14/2029 | 1,693,585 | 0.1 |
990,000 | (3) | Bank of America Corp., 2.572%, 10/20/2032 | 901,129 | 0.0 |
1,000,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | 847,486 | 0.0 |
1,395,000 | (3) | Bank of America Corp., 2.687%, 04/22/2032 | 1,284,987 | 0.1 |
1,000,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | 968,759 | 0.0 |
1,000,000 | (3) | Bank of America Corp., 3.593%, 07/21/2028 | 1,003,087 | 0.0 |
2,622,000 | (3) | Bank of America Corp., 3.846%, 03/08/2037 | 2,514,539 | 0.1 |
1,645,000 | | Bank of America Corp., 3.950%, 04/21/2025 | 1,677,524 | 0.1 |
435,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | 442,256 | 0.0 |
1,355,000 | (3) | Bank of America Corp., 4.078%, 04/23/2040 | 1,396,089 | 0.1 |
323,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 335,807 | 0.0 |
3,641,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 3,716,672 | 0.1 |
4,336,000 | | Bank of America Corp., 4.250%, 10/22/2026 | 4,468,094 | 0.2 |
1,000,000 | (3) | Bank of America Corp., 4.271%, 07/23/2029 | 1,032,735 | 0.0 |
452,000 | (1) | Bank of Nova Scotia/The, 1.950%, 02/02/2027 | 427,722 | 0.0 |
1,545,000 | (1) | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | 1,505,981 | 0.1 |
929,000 | (2) | Banque Federative du Credit Mutuel SA, 1.604%, 10/04/2026 | 855,760 | 0.0 |
1,535,000 | (2) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | 1,496,080 | 0.1 |
932,000 | (3) | Barclays PLC, 3.564%, 09/23/2035 | 859,710 | 0.0 |
608,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | 528,900 | 0.0 |
685,000 | | Berkshire Hathaway Finance Corp., 3.850%, 03/15/2052 | 701,338 | 0.0 |
500,000 | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | 550,049 | 0.0 |
798,000 | (2) | Blackstone Holdings Finance Co. LLC, 1.625%, 08/05/2028 | 713,975 | 0.0 |
1,250,000 | (2) | Blackstone Holdings Finance Co. LLC, 2.000%, 01/30/2032 | 1,090,946 | 0.0 |
1,658,000 | (2) | Blackstone Holdings Finance Co. LLC, 2.850%, 08/05/2051 | 1,339,170 | 0.1 |
1,369,000 | (2) | Blackstone Holdings Finance Co. LLC, 3.200%, 01/30/2052 | 1,187,854 | 0.1 |
1,181,000 | (2) | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 1,064,721 | 0.0 |
886,000 | (2) | Blackstone Private Credit Fund, 4.000%, 01/15/2029 | 821,145 | 0.0 |
455,000 | (2),(3) | BNP Paribas SA, 2.588%, 08/12/2035 | 395,577 | 0.0 |
4,115,000 | (2),(3) | BNP Paribas SA, 2.819%, 11/19/2025 | 4,020,372 | 0.1 |
500,000 | (2),(3) | BPCE SA, 2.277%, 01/20/2032 | 439,797 | 0.0 |
1,960,000 | (1),(2) | BPCE SA, 2.700%, 10/01/2029 | 1,863,491 | 0.1 |
518,000 | (2),(3) | BPCE SA, 3.116%, 10/19/2032 | 469,719 | 0.0 |
786,000 | (2),(3) | BPCE SA, 3.582%, 10/19/2042 | 683,356 | 0.0 |
955,000 | (2) | BPCE SA, 5.700%, 10/22/2023 | 988,282 | 0.0 |
910,000 | (1) | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | 889,419 | 0.0 |
1,385,000 | | Canadian Imperial Bank of Commerce, 3.600%, 04/07/2032 | 1,380,165 | 0.1 |
1,100,000 | (3) | Capital One Financial Corp., 1.878%, 11/02/2027 | 1,016,697 | 0.0 |
852,000 | (3) | Capital One Financial Corp., 3.273%, 03/01/2030 | 823,546 | 0.0 |
452,000 | | Capital One Financial Corp., 3.650%, 05/11/2027 | 453,117 | 0.0 |
1,379,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | 1,248,056 | 0.1 |
228,000 | (1) | Charles Schwab Corp./The, 2.300%, 05/13/2031 | 210,724 | 0.0 |
880,000 | | Charles Schwab Corp./The, 2.900%, 03/03/2032 | 848,456 | 0.0 |
1,358,000 | (3) | Charles Schwab Corp./The, 5.375%, 12/31/2199 | 1,405,530 | 0.1 |
695,000 | | Chubb INA Holdings, Inc., 2.850%, 12/15/2051 | 605,347 | 0.0 |
288,000 | | Chubb INA Holdings, Inc., 3.050%, 12/15/2061 | 248,919 | 0.0 |
1,035,000 | | CI Financial Corp., 4.100%, 06/15/2051 | 916,352 | 0.0 |
806,000 | (3) | Citigroup, Inc., 1.462%, 06/09/2027 | 741,363 | 0.0 |
461,000 | (3) | Citigroup, Inc., 2.904%, 11/03/2042 | 396,531 | 0.0 |
4,000,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 4,274,696 | 0.2 |
2,000,000 | (2) | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | 2,022,679 | 0.1 |
1,068,000 | (1) | CME Group, Inc., 2.650%, 03/15/2032 | 1,023,083 | 0.0 |
986,000 | (2) | CNO Global Funding, 2.650%, 01/06/2029 | 912,486 | 0.0 |
1,013,000 | (2) | Commonwealth Bank of Australia, 2.688%, 03/11/2031 | 902,621 | 0.0 |
745,000 | (2) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | 699,225 | 0.0 |
1,172,000 | (2) | Commonwealth Bank of Australia, 3.784%, 03/14/2032 | 1,134,206 | 0.1 |
1,358,000 | (1),(2),(3) | Cooperatieve Rabobank UA, 1.004%, 09/24/2026 | 1,251,817 | 0.1 |
800,000 | (2),(3) | Cooperatieve Rabobank UA, 3.758%, 04/06/2033 | 798,641 | 0.0 |
5,500,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 5,594,174 | 0.2 |
1,037,000 | | Corebridge Financial, Inc., 3.850%, 04/05/2029 | 1,036,056 | 0.0 |
1,439,000 | | Corebridge Financial, Inc., 3.900%, 04/05/2032 | 1,435,957 | 0.0 |
420,000 | | Corebridge Financial, Inc., 4.350%, 04/05/2042 | 420,211 | 0.0 |
1,100,000 | | Corebridge Financial, Inc., 4.400%, 04/05/2052 | 1,102,079 | 0.0 |
2,036,000 | (2),(3) | Credit Agricole SA, 4.750%, 12/31/2199 | 1,852,617 | 0.1 |
1,235,000 | (2),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | 1,167,175 | 0.1 |
6,000,000 | (2) | Credit Suisse AG, 6.500%, 08/08/2023 | 6,166,860 | 0.2 |
3,000,000 | (2),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 3,000,791 | 0.1 |
750,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | 757,906 | 0.0 |
589,000 | | Crown Castle International Corp., 1.050%, 07/15/2026 | 532,953 | 0.0 |
445,000 | (1) | Crown Castle International Corp., 2.900%, 03/15/2027 | 430,931 | 0.0 |
760,000 | | CubeSmart L.P., 2.250%, 12/15/2028 | 691,262 | 0.0 |
1,870,000 | (2),(3) | Danske Bank A/S, 1.621%, 09/11/2026 | 1,731,317 | 0.1 |
993,000 | (2) | Danske Bank A/S, 4.375%, 06/12/2028 | 1,005,163 | 0.0 |
813,000 | (2),(3) | Depository Trust & Clearing Corp./The, 3.375%, 12/31/2199 | 749,992 | 0.0 |
686,000 | (3) | Deutsche Bank AG/New York NY, 2.552%, 01/07/2028 | 633,972 | 0.0 |
721,000 | (1),(2) | Empower Finance 2020 L.P., 1.357%, 09/17/2027 | 650,512 | 0.0 |
1,925,000 | (2) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | 1,858,700 | 0.1 |
1,608,000 | (3) | Goldman Sachs Group, Inc., 1.542%, 09/10/2027 | 1,471,840 | 0.1 |
2,500,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | 2,563,602 | 0.1 |
1,000,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | 1,121,689 | 0.0 |
449,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 567,371 | 0.0 |
2,813,000 | (2) | Hartford Financial Services Group, Inc./The, 2.631%, (US0003M + 2.125%), 02/12/2067 | 2,490,922 | 0.1 |
417,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | 493,074 | 0.0 |
1,355,000 | (3) | HSBC Holdings PLC, 1.589%, 05/24/2027 | 1,238,481 | 0.1 |
985,000 | (3) | HSBC Holdings PLC, 2.013%, 09/22/2028 | 894,254 | 0.0 |
2,303,000 | (3) | HSBC Holdings PLC, 2.206%, 08/17/2029 | 2,074,983 | 0.1 |
1,331,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | 1,299,067 | 0.1 |
642,000 | (1),(3) | HSBC Holdings PLC, 2.871%, 11/22/2032 | 584,365 | 0.0 |
1,037,000 | (3) | HSBC Holdings PLC, 2.999%, 03/10/2026 | 1,017,439 | 0.0 |
1,497,000 | (3) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 1,500,072 | 0.1 |
2,000,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | 2,008,050 | 0.1 |
1,250,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 1,283,900 | 0.1 |
1,673,000 | (1),(3) | HSBC Holdings PLC, 4.700%, 12/31/2199 | 1,503,609 | 0.1 |
744,000 | (3) | ING Groep NV, 4.017%, 03/28/2028 | 748,946 | 0.0 |
496,000 | (3) | ING Groep NV, 4.252%, 03/28/2033 | 511,137 | 0.0 |
1,059,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | 903,101 | 0.0 |
928,000 | | Invitation Homes Operating Partnership L.P., 2.300%, 11/15/2028 | 841,496 | 0.0 |
2,030,000 | (3) | JPMorgan Chase & Co., 0.969%, 06/23/2025 | 1,939,793 | 0.1 |
1,184,000 | (3) | JPMorgan Chase & Co., 1.040%, 02/04/2027 | 1,086,373 | 0.0 |
1,435,000 | (3) | JPMorgan Chase & Co., 1.470%, 09/22/2027 | 1,324,068 | 0.1 |
2,071,000 | (3) | JPMorgan Chase & Co., 2.069%, 06/01/2029 | 1,910,472 | 0.1 |
381,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 357,903 | 0.0 |
949,000 | (3) | JPMorgan Chase & Co., 2.525%, 11/19/2041 | 782,274 | 0.0 |
1,888,000 | (3) | JPMorgan Chase & Co., 2.545%, 11/08/2032 | 1,727,745 | 0.1 |
941,000 | (3) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 863,404 | 0.0 |
1,058,000 | (1),(3) | JPMorgan Chase & Co., 2.595%, 02/24/2026 | 1,038,343 | 0.0 |
1,058,000 | (3) | JPMorgan Chase & Co., 2.947%, 02/24/2028 | 1,033,676 | 0.0 |
928,000 | (3) | JPMorgan Chase & Co., 2.963%, 01/25/2033 | 875,837 | 0.0 |
283,000 | (3) | JPMorgan Chase & Co., 3.109%, 04/22/2051 | 251,799 | 0.0 |
2,326,000 | (3) | JPMorgan Chase & Co., 3.157%, 04/22/2042 | 2,116,384 | 0.1 |
1,273,000 | (3) | JPMorgan Chase & Co., 3.328%, 04/22/2052 | 1,182,293 | 0.1 |
3,320,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 3,393,364 | 0.1 |
947,000 | (3) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | 971,539 | 0.0 |
400,000 | | Kilroy Realty L.P., 2.650%, 11/15/2033 | 347,344 | 0.0 |
421,000 | | Kilroy Realty L.P., 3.450%, 12/15/2024 | 421,336 | 0.0 |
555,000 | | Kite Realty Group L.P., 4.000%, 10/01/2026 | 556,098 | 0.0 |
1,125,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | 1,085,892 | 0.0 |
2,177,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 2,180,701 | 0.1 |
3,310,000 | | Main Street Capital Corp., 3.000%, 07/14/2026 | 3,073,312 | 0.1 |
684,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | 698,503 | 0.0 |
1,148,000 | (3) | Mitsubishi UFJ Financial Group, Inc., 1.538%, 07/20/2027 | 1,055,287 | 0.0 |
750,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 725,808 | 0.0 |
350,000 | (1) | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | 340,190 | 0.0 |
5,870,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | 5,907,339 | 0.2 |
315,000 | (2) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | 314,015 | 0.0 |
1,204,000 | (3) | Morgan Stanley, 1.512%, 07/20/2027 | 1,108,449 | 0.0 |
1,340,000 | (3) | Morgan Stanley, 1.593%, 05/04/2027 | 1,246,686 | 0.1 |
985,000 | (3) | Morgan Stanley, 1.794%, 02/13/2032 | 848,292 | 0.0 |
1,074,000 | (3) | Morgan Stanley, 2.188%, 04/28/2026 | 1,038,531 | 0.0 |
4,030,000 | (3) | Morgan Stanley, 2.239%, 07/21/2032 | 3,576,440 | 0.1 |
444,000 | (3) | Morgan Stanley, 2.475%, 01/21/2028 | 423,937 | 0.0 |
1,123,000 | (3) | Morgan Stanley, 2.511%, 10/20/2032 | 1,014,911 | 0.0 |
1,505,000 | (3) | Morgan Stanley, 2.630%, 02/18/2026 | 1,477,408 | 0.1 |
1,093,000 | (3) | Morgan Stanley, 2.802%, 01/25/2052 | 913,870 | 0.0 |
762,000 | (1),(3) | Morgan Stanley, 2.943%, 01/21/2033 | 715,464 | 0.0 |
1,155,000 | (3) | Morgan Stanley, 3.591%, 07/22/2028 | 1,159,556 | 0.1 |
585,000 | (3) | Morgan Stanley, 3.737%, 04/24/2024 | 591,122 | 0.0 |
538,000 | | Morgan Stanley, 3.875%, 01/27/2026 | 548,731 | 0.0 |
4,000,000 | | Morgan Stanley, 4.000%, 07/23/2025 | 4,097,318 | 0.2 |
1,341,000 | (2) | National Australia Bank Ltd., 2.332%, 08/21/2030 | 1,168,403 | 0.1 |
465,000 | (2),(3) | National Australia Bank Ltd., 3.347%, 01/12/2037 | 429,809 | 0.0 |
1,575,000 | (2),(3) | National Australia Bank Ltd., 3.933%, 08/02/2034 | 1,542,828 | 0.1 |
820,000 | (1),(2) | Nationwide Building Society, 1.500%, 10/13/2026 | 753,365 | 0.0 |
890,000 | (3) | NatWest Group PLC, 3.032%, 11/28/2035 | 790,817 | 0.0 |
336,000 | (3) | NatWest Group PLC, 3.073%, 05/22/2028 | 322,925 | 0.0 |
3,858,000 | | NatWest Group PLC, 3.875%, 09/12/2023 | 3,898,879 | 0.1 |
398,000 | (3) | NatWest Group PLC, 4.269%, 03/22/2025 | 402,809 | 0.0 |
1,766,000 | (3) | NatWest Group PLC, 4.519%, 06/25/2024 | 1,793,168 | 0.1 |
1,470,000 | (2),(3) | Nordea Bank Abp, 3.750%, 12/31/2199 | 1,265,420 | 0.1 |
2,661,000 | (1),(2),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | 2,758,938 | 0.1 |
1,611,000 | (2) | Northwestern Mutual Global Funding, 1.700%, 06/01/2028 | 1,477,727 | 0.1 |
174,000 | (2) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | 158,390 | 0.0 |
1,221,000 | | Old Republic International Corp., 3.850%, 06/11/2051 | 1,137,484 | 0.1 |
5,000,000 | (1) | ORIX Corp., 3.250%, 12/04/2024 | 5,010,609 | 0.2 |
474,000 | | Owl Rock Capital Corp., 2.875%, 06/11/2028 | 414,298 | 0.0 |
913,000 | (2) | OWL Rock Core Income Corp., 4.700%, 02/08/2027 | 879,228 | 0.0 |
728,000 | (2) | Pacific Life Global Funding II, 1.200%, 06/24/2025 | 682,030 | 0.0 |
937,000 | (2) | Pacific Life Global Funding II, 1.375%, 04/14/2026 | 872,617 | 0.0 |
1,912,000 | (3) | PartnerRe Finance B LLC, 4.500%, 10/01/2050 | 1,854,640 | 0.1 |
584,000 | | Piedmont Operating Partnership L.P., 3.150%, 08/15/2030 | 547,211 | 0.0 |
1,130,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | 1,149,769 | 0.1 |
365,000 | | Public Storage, 1.950%, 11/09/2028 | 338,528 | 0.0 |
2,118,000 | (1) | Realty Income Corp., 2.200%, 06/15/2028 | 1,956,928 | 0.1 |
167,000 | | Realty Income Corp., 3.950%, 08/15/2027 | 171,774 | 0.0 |
575,000 | | Realty Income Corp., 4.875%, 06/01/2026 | 607,161 | 0.0 |
270,000 | | Regency Centers L.P., 3.700%, 06/15/2030 | 270,461 | 0.0 |
802,000 | (1) | Sabra Health Care L.P., 3.200%, 12/01/2031 | 717,056 | 0.0 |
454,000 | (3) | Santander Holdings USA, Inc., 2.490%, 01/06/2028 | 424,262 | 0.0 |
1,391,000 | (3) | Santander UK Group Holdings PLC, 2.469%, 01/11/2028 | 1,295,862 | 0.1 |
644,000 | (2) | Scentre Group Trust 1 / Scentre Group Trust 2, 3.625%, 01/28/2026 | 647,605 | 0.0 |
2,131,000 | (2),(3) | Societe Generale SA, 1.792%, 06/09/2027 | 1,923,179 | 0.1 |
1,474,000 | (2),(3) | Societe Generale SA, 3.337%, 01/21/2033 | 1,357,584 | 0.1 |
1,070,000 | (1),(2),(3) | Standard Chartered PLC, 1.456%, 01/14/2027 | 974,317 | 0.0 |
1,110,000 | (2),(3) | Standard Chartered PLC, 1.822%, 11/23/2025 | 1,055,572 | 0.0 |
667,000 | (2),(3) | Standard Chartered PLC, 2.608%, 01/12/2028 | 624,334 | 0.0 |
1,801,000 | (2),(3) | Standard Chartered PLC, 3.265%, 02/18/2036 | 1,617,063 | 0.1 |
2,316,000 | (2),(3) | Standard Chartered PLC, 3.603%, 01/12/2033 | 2,146,640 | 0.1 |
1,358,000 | (1),(2),(3) | Standard Chartered PLC, 3.971%, 03/30/2026 | 1,356,612 | 0.1 |
1,430,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 1,405,963 | 0.1 |
1,234,000 | (2) | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | 1,145,074 | 0.1 |
874,000 | (2) | Sumitomo Mitsui Trust Bank Ltd., 2.800%, 03/10/2027 | 843,734 | 0.0 |
1,137,000 | (2),(3) | Svenska Handelsbanken AB, 1.418%, 06/11/2027 | 1,048,857 | 0.0 |
633,000 | (1) | Toronto-Dominion Bank/The, 2.800%, 03/10/2027 | 622,355 | 0.0 |
1,501,000 | (1),(3) | Truist Financial Corp., 1.267%, 03/02/2027 | 1,391,969 | 0.1 |
700,000 | (3) | Truist Financial Corp., 5.100%, 12/31/2199 | 713,300 | 0.0 |
2,470,000 | | UBS AG, 5.125%, 05/15/2024 | 2,531,266 | 0.1 |
3,500,000 | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | 3,552,988 | 0.1 |
791,000 | (2),(3) | UBS Group AG, 1.008%, 07/30/2024 | 769,823 | 0.0 |
750,000 | (1),(2),(3) | UBS Group AG, 1.364%, 01/30/2027 | 689,987 | 0.0 |
1,000,000 | (2),(3) | UBS Group AG, 2.095%, 02/11/2032 | 876,232 | 0.0 |
812,000 | (2),(3) | UBS Group AG, 3.179%, 02/11/2043 | 723,048 | 0.0 |
163,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | 193,432 | 0.0 |
1,320,000 | | Visa, Inc., 4.300%, 12/14/2045 | 1,485,643 | 0.1 |
2,100,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 2,057,087 | 0.1 |
752,000 | (3) | Wells Fargo & Co., 3.068%, 04/30/2041 | 678,436 | 0.0 |
4,000,000 | | Wells Fargo & Co., 3.750%, 01/24/2024 | 4,074,549 | 0.2 |
739,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | 806,462 | 0.0 |
465,000 | (3) | Wells Fargo & Co., 5.013%, 04/04/2051 | 554,314 | 0.0 |
472,000 | | Westpac Banking Corp., 1.953%, 11/20/2028 | 435,444 | 0.0 |
1,553,000 | (1) | Westpac Banking Corp., 2.963%, 11/16/2040 | 1,308,692 | 0.1 |
1,040,000 | (3) | Westpac Banking Corp., 3.020%, 11/18/2036 | 925,808 | 0.0 |
2,244,000 | | XLIT Ltd., 4.450%, 03/31/2025 | 2,308,392 | 0.1 |
1,668,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 1,978,817 | 0.1 |
| | | 301,039,641 | 10.3 |
| | | | |
| | Industrial: 1.4% |
1,201,000 | | Berry Global, Inc., 0.950%, 02/15/2024 | 1,150,550 | 0.0 |
1,472,000 | | Berry Global, Inc., 1.650%, 01/15/2027 | 1,343,200 | 0.1 |
1,213,000 | | Boeing Co/The, 3.250%, 02/01/2028 | 1,170,823 | 0.0 |
800,000 | | Boeing Co/The, 3.250%, 02/01/2035 | 715,816 | 0.0 |
611,000 | (1) | Boeing Co/The, 3.625%, 02/01/2031 | 595,760 | 0.0 |
220,000 | | Boeing Co/The, 3.850%, 11/01/2048 | 193,604 | 0.0 |
768,000 | | Boeing Co/The, 4.875%, 05/01/2025 | 793,055 | 0.0 |
1,755,000 | | Boeing Co/The, 5.150%, 05/01/2030 | 1,874,335 | 0.1 |
531,000 | | Boeing Co/The, 5.805%, 05/01/2050 | 615,036 | 0.0 |
1,290,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 1,340,455 | 0.1 |
400,000 | (1) | Canadian Pacific Railway Co., 2.450%, 12/02/2031 | 372,017 | 0.0 |
1,750,000 | | CSX Corp., 4.650%, 03/01/2068 | 1,929,953 | 0.1 |
646,000 | | FedEx Corp., 3.900%, 02/01/2035 | 643,872 | 0.0 |
874,000 | (1) | FedEx Corp., 4.250%, 05/15/2030 | 918,072 | 0.0 |
1,250,000 | | FedEx Corp., 4.400%, 01/15/2047 | 1,283,619 | 0.1 |
426,000 | (1) | Fortune Brands Home & Security, Inc., 4.000%, 03/25/2032 | 427,167 | 0.0 |
284,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 305,567 | 0.0 |
1,067,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 1,088,611 | 0.0 |
2,171,000 | | Norfolk Southern Corp., 3.650%, 08/01/2025 | 2,199,358 | 0.1 |
503,000 | | Norfolk Southern Corp., 4.100%, 05/15/2121 | 470,780 | 0.0 |
278,000 | | Northrop Grumman Corp., 2.930%, 01/15/2025 | 278,864 | 0.0 |
1,295,000 | (2) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | 1,190,115 | 0.0 |
1,661,000 | (2) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | 1,543,569 | 0.1 |
2,365,000 | | Raytheon Technologies Corp., 3.200%, 03/15/2024 | 2,392,176 | 0.1 |
118,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | 119,589 | 0.0 |
1,423,000 | (1) | Raytheon Technologies Corp., 4.450%, 11/16/2038 | 1,548,435 | 0.1 |
2,066,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 2,286,418 | 0.1 |
500,000 | | Republic Services, Inc., 1.750%, 02/15/2032 | 429,929 | 0.0 |
1,070,000 | (2) | Sealed Air Corp., 1.573%, 10/15/2026 | 976,385 | 0.0 |
756,000 | (2) | SMBC Aviation Capital Finance DAC, 1.900%, 10/15/2026 | 676,635 | 0.0 |
1,111,000 | (1) | Sonoco Products Co., 2.250%, 02/01/2027 | 1,053,758 | 0.0 |
1,347,000 | | Sonoco Products Co., 2.850%, 02/01/2032 | 1,260,670 | 0.1 |
390,000 | (2) | TD SYNNEX Corp., 1.750%, 08/09/2026 | 357,756 | 0.0 |
2,105,000 | | Teledyne Technologies, Inc., 1.600%, 04/01/2026 | 1,964,208 | 0.1 |
2,250,000 | (2) | TTX Co., 3.600%, 01/15/2025 | 2,287,163 | 0.1 |
445,000 | (1) | Union Pacific Corp., 2.800%, 02/14/2032 | 427,804 | 0.0 |
1,322,000 | | Union Pacific Corp., 3.500%, 02/14/2053 | 1,297,331 | 0.1 |
606,000 | | Union Pacific Corp., 3.550%, 05/20/2061 | 578,386 | 0.0 |
| | | 40,100,841 | 1.4 |
| | | | |
| | Technology: 1.9% |
456,000 | | Analog Devices, Inc., 2.800%, 10/01/2041 | 410,789 | 0.0 |
930,000 | | Apple, Inc., 2.650%, 02/08/2051 | 804,820 | 0.0 |
2,117,000 | | Apple, Inc., 2.800%, 02/08/2061 | 1,827,036 | 0.1 |
955,000 | | Apple, Inc., 2.850%, 08/05/2061 | 827,044 | 0.0 |
2,765,000 | | Apple, Inc., 3.750%, 09/12/2047 | 2,887,495 | 0.1 |
2,000,000 | | Apple, Inc., 3.850%, 05/04/2043 | 2,109,674 | 0.1 |
470,000 | (1) | Apple, Inc., 4.500%, 02/23/2036 | 538,466 | 0.0 |
410,000 | | Autodesk, Inc., 2.400%, 12/15/2031 | 366,270 | 0.0 |
426,000 | | Broadcom, Inc., 4.000%, 04/15/2029 | 425,791 | 0.0 |
1,137,000 | | Citrix Systems, Inc., 1.250%, 03/01/2026 | 1,106,834 | 0.1 |
326,000 | (1) | Citrix Systems, Inc., 3.300%, 03/01/2030 | 322,923 | 0.0 |
1,000,000 | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 1,084,162 | 0.1 |
775,000 | (1) | DXC Technology Co., 1.800%, 09/15/2026 | 711,580 | 0.0 |
775,000 | (1) | DXC Technology Co., 2.375%, 09/15/2028 | 701,697 | 0.0 |
1,622,000 | | Fiserv, Inc., 3.500%, 07/01/2029 | 1,598,475 | 0.1 |
1,200,000 | (1) | HP, Inc., 2.650%, 06/17/2031 | 1,075,610 | 0.0 |
1,642,000 | | HP, Inc., 4.000%, 04/15/2029 | 1,637,363 | 0.1 |
1,840,000 | | HP, Inc., 4.050%, 09/15/2022 | 1,859,570 | 0.1 |
760,000 | | Intel Corp., 3.100%, 02/15/2060 | 656,587 | 0.0 |
1,612,000 | (1) | Intel Corp., 3.200%, 08/12/2061 | 1,433,699 | 0.1 |
3,201,000 | | Intel Corp., 3.250%, 11/15/2049 | 2,965,821 | 0.1 |
4,132,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | 4,179,157 | 0.2 |
1,000,000 | | International Business Machines Corp., 3.500%, 05/15/2029 | 1,020,726 | 0.0 |
564,000 | (2) | Kyndryl Holdings, Inc., 2.050%, 10/15/2026 | 504,357 | 0.0 |
1,563,000 | (2) | Kyndryl Holdings, Inc., 2.700%, 10/15/2028 | 1,355,477 | 0.1 |
505,000 | (2) | Kyndryl Holdings, Inc., 3.150%, 10/15/2031 | 426,276 | 0.0 |
900,000 | | Microchip Technology, Inc., 2.670%, 09/01/2023 | 897,464 | 0.0 |
4,000,000 | | Microsoft Corp., 2.921%, 03/17/2052 | 3,764,772 | 0.1 |
450,000 | | NetApp, Inc., 1.875%, 06/22/2025 | 430,828 | 0.0 |
2,289,000 | (1) | NVIDIA Corp., 1.550%, 06/15/2028 | 2,106,475 | 0.1 |
525,000 | (2) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.250%, 11/30/2051 | 445,253 | 0.0 |
255,000 | (2) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | 247,540 | 0.0 |
2,015,000 | | Oracle Corp., 2.300%, 03/25/2028 | 1,844,397 | 0.1 |
328,000 | | Oracle Corp., 3.600%, 04/01/2050 | 272,844 | 0.0 |
998,000 | | Oracle Corp., 3.650%, 03/25/2041 | 874,361 | 0.0 |
918,000 | | Oracle Corp., 3.800%, 11/15/2037 | 832,168 | 0.0 |
209,000 | | Oracle Corp., 3.850%, 07/15/2036 | 192,806 | 0.0 |
1,517,000 | | Oracle Corp., 3.950%, 03/25/2051 | 1,331,042 | 0.1 |
1,864,000 | | Oracle Corp., 4.000%, 11/15/2047 | 1,653,413 | 0.1 |
525,000 | (1),(2) | Renesas Electronics Corp., 2.170%, 11/25/2026 | 489,440 | 0.0 |
1,173,000 | | salesforce.com, Inc., 2.700%, 07/15/2041 | 1,042,240 | 0.0 |
165,000 | | salesforce.com, Inc., 2.900%, 07/15/2051 | 147,017 | 0.0 |
1,000,000 | (2) | TSMC Global Ltd., 0.750%, 09/28/2025 | 927,111 | 0.0 |
1,060,000 | (2) | TSMC Global Ltd., 1.000%, 09/28/2027 | 931,762 | 0.0 |
1,795,000 | | VMware, Inc., 1.400%, 08/15/2026 | 1,650,553 | 0.1 |
780,000 | | VMware, Inc., 1.800%, 08/15/2028 | 693,388 | 0.0 |
80,000 | (1) | Western Digital Corp., 2.850%, 02/01/2029 | 73,248 | 0.0 |
613,000 | | Workday, Inc., 3.500%, 04/01/2027 | 612,638 | 0.0 |
780,000 | | Workday, Inc., 3.700%, 04/01/2029 | 782,445 | 0.0 |
625,000 | | Workday, Inc., 3.800%, 04/01/2032 | 624,583 | 0.0 |
| | | 55,705,487 | 1.9 |
| | | | |
| | Utilities: 3.6% |
1,198,000 | (2) | AEP Texas, Inc., 3.850%, 10/01/2025 | 1,211,865 | 0.1 |
1,068,000 | | AES Corp./The, 1.375%, 01/15/2026 | 983,491 | 0.0 |
1,576,000 | (2) | AES Corp./The, 3.950%, 07/15/2030 | 1,564,395 | 0.1 |
659,000 | (2) | Alliant Energy Finance LLC, 3.600%, 03/01/2032 | 641,665 | 0.0 |
775,000 | (3) | American Electric Power Co., Inc., 3.875%, 02/15/2062 | 716,540 | 0.0 |
900,000 | (2) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | 832,543 | 0.0 |
1,377,000 | (2) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | 1,520,290 | 0.1 |
947,000 | (1) | Appalachian Power Co., 2.700%, 04/01/2031 | 878,838 | 0.0 |
200,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | 187,280 | 0.0 |
323,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | 322,341 | 0.0 |
1,120,000 | | Baltimore Gas and Electric Co., 2.250%, 06/15/2031 | 1,021,008 | 0.0 |
1,413,000 | (1) | Berkshire Hathaway Energy Co., 1.650%, 05/15/2031 | 1,232,270 | 0.1 |
705,000 | | Black Hills Corp., 2.500%, 06/15/2030 | 641,965 | 0.0 |
1,045,000 | | Black Hills Corp., 3.050%, 10/15/2029 | 1,003,040 | 0.0 |
1,800,000 | | Black Hills Corp., 4.250%, 11/30/2023 | 1,835,363 | 0.1 |
487,000 | | Black Hills Corp., 4.350%, 05/01/2033 | 496,398 | 0.0 |
750,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | 736,118 | 0.0 |
1,216,000 | (3) | CMS Energy Corp., 3.750%, 12/01/2050 | 1,076,160 | 0.0 |
600,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | 595,500 | 0.0 |
631,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | 630,256 | 0.0 |
500,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | 490,888 | 0.0 |
491,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | 548,617 | 0.0 |
600,000 | (1) | Dominion Energy South Carolina, Inc., 2.300%, 12/01/2031 | 548,221 | 0.0 |
2,095,000 | (3) | Dominion Energy, Inc., 4.350%, 12/31/2199 | 2,036,466 | 0.1 |
2,155,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 2,144,225 | 0.1 |
498,000 | | Duke Energy Carolinas LLC, 2.550%, 04/15/2031 | 467,899 | 0.0 |
1,976,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | 1,935,954 | 0.1 |
116,000 | | Duke Energy Carolinas LLC, 3.750%, 06/01/2045 | 114,597 | 0.0 |
612,000 | | Duke Energy Carolinas LLC, 3.875%, 03/15/2046 | 617,573 | 0.0 |
36,000 | | Duke Energy Carolinas LLC, 3.950%, 03/15/2048 | 37,098 | 0.0 |
1,265,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | 1,298,250 | 0.1 |
36,000 | | Duke Energy Carolinas LLC, 4.250%, 12/15/2041 | 37,785 | 0.0 |
1,055,000 | (3) | Duke Energy Corp., 4.875%, 12/31/2199 | 1,068,852 | 0.0 |
975,000 | | Duke Energy Florida LLC, 2.400%, 12/15/2031 | 900,825 | 0.0 |
466,000 | (1) | Duke Energy Florida LLC, 3.000%, 12/15/2051 | 417,639 | 0.0 |
143,000 | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | 153,031 | 0.0 |
1,582,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 1,411,753 | 0.1 |
533,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | 518,768 | 0.0 |
250,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | 258,517 | 0.0 |
44,000 | | Duke Energy Progress LLC, 4.100%, 03/15/2043 | 45,024 | 0.0 |
1,029,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | 1,079,433 | 0.0 |
868,000 | (2) | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | 779,939 | 0.0 |
1,241,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | 1,016,887 | 0.0 |
902,000 | | Entergy Arkansas LLC, 4.200%, 04/01/2049 | 970,455 | 0.0 |
1,626,000 | | Entergy Corp., 0.900%, 09/15/2025 | 1,492,939 | 0.1 |
1,333,000 | | Entergy Corp., 2.400%, 06/15/2031 | 1,198,587 | 0.1 |
747,000 | | Entergy Corp., 2.800%, 06/15/2030 | 701,218 | 0.0 |
1,944,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 1,759,968 | 0.1 |
925,000 | | Eversource Energy, 1.400%, 08/15/2026 | 854,776 | 0.0 |
1,070,000 | (1) | Eversource Energy, 2.900%, 03/01/2027 | 1,050,282 | 0.0 |
646,000 | | Eversource Energy, 3.375%, 03/01/2032 | 632,638 | 0.0 |
270,000 | | Exelon Corp., 4.050%, 04/15/2030 | 279,082 | 0.0 |
410,000 | | Exelon Corp., 4.700%, 04/15/2050 | 452,407 | 0.0 |
2,558,000 | | FirstEnergy Corp., 3.350%, 07/15/2022 | 2,561,134 | 0.1 |
750,000 | | Florida Power & Light Co., 2.875%, 12/04/2051 | 673,892 | 0.0 |
1,505,000 | | Georgia Power Co., 2.200%, 09/15/2024 | 1,477,149 | 0.1 |
1,310,000 | | Georgia Power Co., 5.750%, 04/15/2023 | 1,349,528 | 0.1 |
1,799,000 | (1) | Indiana Michigan Power Co., 3.250%, 05/01/2051 | 1,612,659 | 0.1 |
520,000 | | Interstate Power and Light Co., 3.100%, 11/30/2051 | 446,243 | 0.0 |
3,640,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | 3,659,444 | 0.1 |
517,000 | (2) | Jersey Central Power & Light Co., 2.750%, 03/01/2032 | 482,188 | 0.0 |
2,802,000 | (2) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | 2,863,565 | 0.1 |
411,000 | (2) | Metropolitan Edison Co., 4.000%, 04/15/2025 | 409,376 | 0.0 |
2,745,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 2,759,610 | 0.1 |
266,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | 269,415 | 0.0 |
830,000 | (2) | Monongahela Power Co., 3.550%, 05/15/2027 | 830,380 | 0.0 |
231,000 | (2) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 227,364 | 0.0 |
1,830,000 | | National Rural Utilities Cooperative Finance Corp., 2.400%, 03/15/2030 | 1,707,909 | 0.1 |
1,094,000 | | National Rural Utilities Cooperative Finance Corp., 2.750%, 04/15/2032 | 1,035,120 | 0.0 |
1,507,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | 1,470,701 | 0.1 |
1,750,000 | | NextEra Energy Capital Holdings, Inc., 1.875%, 01/15/2027 | 1,644,091 | 0.1 |
863,000 | | NextEra Energy Capital Holdings, Inc., 1.900%, 06/15/2028 | 796,889 | 0.0 |
600,000 | | NextEra Energy Capital Holdings, Inc., 2.440%, 01/15/2032 | 549,357 | 0.0 |
1,275,000 | (3) | NextEra Energy Capital Holdings, Inc., 3.800%, 03/15/2082 | 1,178,443 | 0.1 |
764,000 | | NiSource, Inc., 5.950%, 06/15/2041 | 894,104 | 0.0 |
646,000 | | NSTAR Electric Co., 1.950%, 08/15/2031 | 571,325 | 0.0 |
842,000 | | Oglethorpe Power Corp., 3.750%, 08/01/2050 | 794,545 | 0.0 |
2,495,000 | | ONE Gas, Inc., 1.100%, 03/11/2024 | 2,408,352 | 0.1 |
436,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 378,243 | 0.0 |
629,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 537,275 | 0.0 |
583,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 518,354 | 0.0 |
465,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 484,830 | 0.0 |
349,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | 312,429 | 0.0 |
2,105,000 | | Public Service Enterprise Group, Inc., 2.450%, 11/15/2031 | 1,914,652 | 0.1 |
1,730,000 | (3) | Sempra Energy, 4.125%, 04/01/2052 | 1,619,447 | 0.1 |
1,315,000 | (1),(3) | Sempra Energy, 4.875%, 12/31/2199 | 1,324,863 | 0.1 |
2,643,000 | | Sierra Pacific Power Co., 2.600%, 05/01/2026 | 2,599,102 | 0.1 |
3,107,000 | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | 3,055,856 | 0.1 |
1,750,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | 1,766,391 | 0.1 |
1,775,000 | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | 2,094,611 | 0.1 |
2,295,000 | (1),(3) | Southern Co/The, 3.750%, 09/15/2051 | 2,121,842 | 0.1 |
1,280,000 | (3) | Southern Co/The, 4.000%, 01/15/2051 | 1,241,600 | 0.1 |
522,000 | | Southwest Gas Corp., 4.050%, 03/15/2032 | 521,197 | 0.0 |
1,499,000 | | Southwestern Electric Power Co., 1.650%, 03/15/2026 | 1,411,060 | 0.1 |
580,000 | | Tampa Electric Co., 4.350%, 05/15/2044 | 603,627 | 0.0 |
998,000 | | Union Electric Co., 3.900%, 09/15/2042 | 991,587 | 0.0 |
790,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | 763,831 | 0.0 |
1,683,000 | (1) | WEC Energy Group, Inc., 1.375%, 10/15/2027 | 1,516,842 | 0.1 |
396,000 | | WEC Energy Group, Inc., 2.200%, 12/15/2028 | 363,661 | 0.0 |
861,000 | | Wisconsin Electric Power Co., 1.700%, 06/15/2028 | 779,604 | 0.0 |
| | | 105,041,606 | 3.6 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $842,931,243) | 804,795,381 | 27.5 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 15.0% | |
1,117,257 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | 966,854 | 0.0 |
1,390,725 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | 1,299,271 | 0.1 |
268,992 | (4) | Alternative Loan Trust 2005-J3 2A2, 4.543%, (-1.000*US0001M + 5.000%), 05/25/2035 | 22,599 | 0.0 |
1,149,469 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 739,393 | 0.0 |
1,603,097 | | Alternative Loan Trust 2007-23CB A3, 0.957%, (US0001M + 0.500%), 09/25/2037 | 774,342 | 0.0 |
90,934 | | Banc of America Funding 2007 8 Trust 4A1, 6.000%, 08/25/2037 | 84,503 | 0.0 |
517,106 | (3) | Bear Stearns ALT-A Trust 2005-10 22A1, 2.700%, 01/25/2036 | 508,504 | 0.0 |
250,996 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 2.627%, 05/25/2035 | 249,722 | 0.0 |
830,538 | (3) | Bear Stearns ALT-A Trust 2006-6 31A1, 3.051%, 11/25/2036 | 595,664 | 0.0 |
941,558 | (3) | Bear Stearns ALT-A Trust 2006-6 32A1, 2.880%, 11/25/2036 | 595,046 | 0.0 |
3,800 | (3) | Bear Stearns ARM Trust 2005-12 13A1, 3.359%, 02/25/2036 | 3,547 | 0.0 |
1,874,672 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 0.647%, (US0001M + 0.190%), 01/25/2037 | 1,740,189 | 0.1 |
95,951 | (3) | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 2.728%, 01/26/2036 | 81,697 | 0.0 |
3,300,000 | (2) | Bellemeade RE 2021-3 A M1C Ltd., 1.649%, (SOFR30A + 1.550%), 09/25/2031 | 3,175,997 | 0.1 |
156,717 | (3) | Chase Mortgage Finance Trust Series 2005-A1 1A1, 2.787%, 12/25/2035 | 148,409 | 0.0 |
1,405,869 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.696%, 11/25/2034 | 1,401,006 | 0.1 |
15,692 | (3) | CHL Mortgage Pass-Through Trust 2004-HYB9 1A1, 2.505%, 02/20/2035 | 15,809 | 0.0 |
13,982 | | CHL Mortgage Pass-Through Trust 2005-2 2A3, 1.137%, (US0001M + 0.680%), 03/25/2035 | 12,979 | 0.0 |
1,446,501 | (2),(3) | CIM Trust 2020-J1 B3, 3.451%, 07/25/2050 | 1,362,299 | 0.1 |
517,351 | | Citicorp Mortgage Securities Trust Series 2007-1 1A1, 6.000%, 01/25/2037 | 500,824 | 0.0 |
785,160 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.185%, 09/25/2037 | 743,566 | 0.0 |
792,458 | (2),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | 787,962 | 0.0 |
26,319 | (3) | Citigroup Mortgage Loan Trust, Inc. 2005-3 2A2A, 2.821%, 08/25/2035 | 26,989 | 0.0 |
1,253,622 | | Citigroup Mortgage Loan Trust, Inc. 2005-8 3A1, 5.500%, 09/25/2035 | 1,271,199 | 0.1 |
200,711 | | CitiMortgage Alternative Loan Trust Series 2007-A2 1A5, 6.000%, 02/25/2037 | 194,136 | 0.0 |
839,411 | (2) | Connecticut Avenue Securities Trust 2020-R02 2M2, 2.457%, (US0001M + 2.000%), 01/25/2040 | 836,915 | 0.0 |
1,500,000 | (2) | Connecticut Avenue Securities Trust 2021-R01 1B1, 3.199%, (SOFR30A + 3.100%), 10/25/2041 | 1,384,947 | 0.1 |
1,500,000 | (2) | Connecticut Avenue Securities Trust 2021-R03 1B1, 2.849%, (SOFR30A + 2.750%), 12/25/2041 | 1,363,026 | 0.1 |
8,600,000 | (2) | Connecticut Avenue Securities Trust 2022-R01 1B1, 3.249%, (SOFR30A + 3.150%), 12/25/2041 | 8,006,805 | 0.3 |
770,450 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.957%, (US0001M + 0.500%), 11/25/2035 | 414,665 | 0.0 |
114,163 | (3) | DSLA Mortgage Loan Trust 2004-AR3 2A1, 2.495%, 07/19/2044 | 111,190 | 0.0 |
1,500,000 | (2) | Eagle RE 2021-2 M1C Ltd., 3.549%, (SOFR30A + 3.450%), 04/25/2034 | 1,429,553 | 0.1 |
800,000 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 4.107%, (US0001M + 3.650%), 02/25/2040 | 785,090 | 0.0 |
1,000,000 | | Fannie Mae 2011-128 KB, 4.500%, 12/25/2041 | 1,074,449 | 0.0 |
13,376,754 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 13,988,583 | 0.5 |
877,642 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | 864,451 | 0.0 |
17,564,525 | (4) | Fannie Mae 2016-82 SD, 5.593%, (-1.000*US0001M + 6.050%), 11/25/2046 | 2,579,491 | 0.1 |
1,051,957 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | 1,059,786 | 0.0 |
1,362,738 | | Fannie Mae Connecticut Avenue Securities, 6.157%, (US0001M + 5.700%), 04/25/2028 | 1,459,072 | 0.1 |
4,814,287 | | Fannie Mae Connecticut Avenue Securities 16-C06 1M2, 4.707%, (US0001M + 4.250%), 04/25/2029 | 5,029,518 | 0.2 |
1,121,746 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.457%, (US0001M + 4.000%), 05/25/2025 | 1,123,225 | 0.0 |
3,699,714 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 6.007%, (US0001M + 5.550%), 04/25/2028 | 3,845,532 | 0.1 |
211,653 | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 4.807%, (US0001M + 4.350%), 05/25/2029 | 220,730 | 0.0 |
2,884,975 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 4.007%, (US0001M + 3.550%), 07/25/2029 | 2,939,433 | 0.1 |
4,720,789 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 3.307%, (US0001M + 2.850%), 11/25/2029 | 4,805,831 | 0.2 |
5,118,040 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.957%, (US0001M + 2.500%), 05/25/2030 | 5,157,046 | 0.2 |
2,860,371 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 3.257%, (US0001M + 2.800%), 02/25/2030 | 2,913,604 | 0.1 |
2,170,967 | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 2.607%, (US0001M + 2.150%), 10/25/2030 | 2,181,186 | 0.1 |
4,711,970 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.457%, (US0001M + 2.000%), 03/25/2031 | 4,711,868 | 0.2 |
2,395,505 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 2.557%, (US0001M + 2.100%), 03/25/2031 | 2,391,938 | 0.1 |
356,688 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.907%, (US0001M + 2.450%), 07/25/2031 | 357,743 | 0.0 |
726,226 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.507%, (US0001M + 2.050%), 01/25/2040 | 725,944 | 0.0 |
500,000 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 4.107%, (US0001M + 3.650%), 02/25/2040 | 498,885 | 0.0 |
260,166 | (4) | Fannie Mae Interest Strip Series 418 10, 4.000%, 08/25/2043 | 38,916 | 0.0 |
253,334 | (4) | Fannie Mae Interest Strip Series 418 15, 3.500%, 08/25/2043 | 40,189 | 0.0 |
2,704 | | Fannie Mae REMIC Trust 1994-77 FB, 1.957%, (US0001M + 1.500%), 04/25/2024 | 2,729 | 0.0 |
191,081 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | 200,633 | 0.0 |
14,417 | | Fannie Mae REMIC Trust 2002-21 FC, 1.357%, (US0001M + 0.900%), 04/25/2032 | 14,590 | 0.0 |
565,051 | (4) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | 119,190 | 0.0 |
28,864 | | Fannie Mae REMIC Trust 2004-11 A, 0.577%, (US0001M + 0.120%), 03/25/2034 | 28,759 | 0.0 |
275,566 | | Fannie Mae REMIC Trust 2005-120 ZU, 5.500%, 01/25/2036 | 298,605 | 0.0 |
151,543 | | Fannie Mae REMIC Trust 2005-74 DK, 22.174%, (-4.000*US0001M + 24.000%), 07/25/2035 | 206,726 | 0.0 |
2,858,825 | (4) | Fannie Mae REMIC Trust 2005-92 SC, 6.223%, (-1.000*US0001M + 6.680%), 10/25/2035 | 460,258 | 0.0 |
150,059 | | Fannie Mae REMIC Trust 2006-103 EZ, 6.250%, 10/25/2036 | 164,436 | 0.0 |
553,711 | | Fannie Mae REMIC Trust 2006-104 ES, 31.167%, (-5.000*US0001M + 33.450%), 11/25/2036 | 927,381 | 0.0 |
3,271,488 | (4) | Fannie Mae REMIC Trust 2006-12 SD, 6.293%, (-1.000*US0001M + 6.750%), 10/25/2035 | 401,860 | 0.0 |
1,742,315 | (4) | Fannie Mae REMIC Trust 2006-123 UI, 6.283%, (-1.000*US0001M + 6.740%), 01/25/2037 | 307,910 | 0.0 |
307,268 | (4) | Fannie Mae REMIC Trust 2006-72 HS, 6.243%, (-1.000*US0001M + 6.700%), 08/25/2026 | 22,860 | 0.0 |
436,308 | | Fannie Mae REMIC Trust 2007-73 A1, 0.247%, (US0001M + 0.060%), 07/25/2037 | 426,977 | 0.0 |
279,973 | | Fannie Mae REMIC Trust 2008-20 SP, 14.359%, (-2.500*US0001M + 15.500%), 03/25/2038 | 348,894 | 0.0 |
1,387,103 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | 1,450,072 | 0.1 |
4,781,517 | (4) | Fannie Mae REMIC Trust 2010-102 SB, 6.143%, (-1.000*US0001M + 6.600%), 09/25/2040 | 813,850 | 0.0 |
1,498,452 | (4) | Fannie Mae REMIC Trust 2010-116 SE, 6.143%, (-1.000*US0001M + 6.600%), 10/25/2040 | 245,906 | 0.0 |
4,247,829 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 5.613%, (-1.000*US0001M + 6.070%), 11/25/2040 | 524,203 | 0.0 |
2,275,863 | (4) | Fannie Mae REMIC Trust 2010-55 AS, 5.963%, (-1.000*US0001M + 6.420%), 06/25/2040 | 338,461 | 0.0 |
4,388,236 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | 4,665,394 | 0.2 |
609,438 | | Fannie Mae REMIC Trust 2010-60 HJ, 5.500%, 05/25/2040 | 642,900 | 0.0 |
1,967,683 | (4) | Fannie Mae REMIC Trust 2011-3 AI, 5.000%, 01/25/2041 | 207,721 | 0.0 |
352,481 | (4) | Fannie Mae REMIC Trust 2012-10 US, 5.993%, (-1.000*US0001M + 6.450%), 02/25/2042 | 60,001 | 0.0 |
137,574 | | Fannie Mae REMIC Trust 2012-103 DA, 3.500%, 10/25/2041 | 135,331 | 0.0 |
5,198,925 | (4) | Fannie Mae REMIC Trust 2012-113 SG, 5.643%, (-1.000*US0001M + 6.100%), 10/25/2042 | 781,748 | 0.0 |
3,608,505 | (4) | Fannie Mae REMIC Trust 2012-122 SB, 5.693%, (-1.000*US0001M + 6.150%), 11/25/2042 | 656,324 | 0.0 |
1,773,067 | (4) | Fannie Mae REMIC Trust 2012-128 DI, 3.000%, 10/25/2032 | 128,064 | 0.0 |
767,570 | | Fannie Mae REMIC Trust 2012-131 BS, 5.123%, (-1.200*US0001M + 5.400%), 12/25/2042 | 732,501 | 0.0 |
5,602,026 | (4) | Fannie Mae REMIC Trust 2012-137 SN, 5.643%, (-1.000*US0001M + 6.100%), 12/25/2042 | 858,455 | 0.0 |
819,017 | (4) | Fannie Mae REMIC Trust 2012-15 SP, 6.163%, (-1.000*US0001M + 6.620%), 06/25/2040 | 20,880 | 0.0 |
1,094,819 | (4) | Fannie Mae REMIC Trust 2012-58 PI, 5.000%, 04/25/2042 | 172,393 | 0.0 |
5,278,244 | (4) | Fannie Mae REMIC Trust 2013-60 DS, 5.743%, (-1.000*US0001M + 6.200%), 06/25/2033 | 684,573 | 0.0 |
5,702,008 | (4) | Fannie Mae REMIC Trust 2013-9 DS, 5.693%, (-1.000*US0001M + 6.150%), 02/25/2043 | 1,018,366 | 0.0 |
13,492,763 | (4) | Fannie Mae REMIC Trust 2013-9 SA, 5.693%, (-1.000*US0001M + 6.150%), 03/25/2042 | 1,416,969 | 0.1 |
13,740,047 | (4) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | 2,870,483 | 0.1 |
2,464,630 | (4) | Fannie Mae REMICS 2005-66 SY, 6.243%, (-1.000*US0001M + 6.700%), 07/25/2035 | 394,467 | 0.0 |
4,167,716 | (4) | Fannie Mae REMICS 2006-120 QD, 4.243%, (-1.000*US0001M + 4.700%), 10/25/2036 | 289,240 | 0.0 |
1,791,568 | (4) | Fannie Mae REMICS 2006-59 XS, 6.743%, (-1.000*US0001M + 7.200%), 07/25/2036 | 292,853 | 0.0 |
2,093,346 | (4) | Fannie Mae REMICS 2007-53 SX, 5.643%, (-1.000*US0001M + 6.100%), 06/25/2037 | 339,198 | 0.0 |
3,093,719 | (4) | Fannie Mae REMICS 2010-112 PI, 6.000%, 10/25/2040 | 667,925 | 0.0 |
11,218,724 | (4) | Fannie Mae REMICS 2010-139 SA, 5.573%, (-1.000*US0001M + 6.030%), 12/25/2040 | 1,683,069 | 0.1 |
621,337 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 664,819 | 0.0 |
60,137 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | 58,893 | 0.0 |
1,855,270 | (4) | Fannie Mae REMICS 2011-149 ES, 5.543%, (-1.000*US0001M + 6.000%), 07/25/2041 | 138,445 | 0.0 |
1,398,148 | | Fannie Mae REMICS 2011-84 Z, 5.250%, 09/25/2041 | 1,440,421 | 0.1 |
9,249,141 | (4) | Fannie Mae REMICS 2012-19 S, 5.493%, (-1.000*US0001M + 5.950%), 03/25/2042 | 1,345,140 | 0.1 |
18,857,093 | (4) | Fannie Mae REMICS 2016-2 IO, 5.500%, 02/25/2046 | 3,278,581 | 0.1 |
6,934,822 | (4) | Fannie Mae REMICS 2016-62 SC, 5.543%, (-1.000*US0001M + 6.000%), 09/25/2046 | 1,249,751 | 0.1 |
28,397,235 | (4) | Fannie Mae REMICS 2016-88 CS, 5.593%, (-1.000*US0001M + 6.050%), 12/25/2046 | 4,171,702 | 0.2 |
7,893,951 | (4) | Fannie Mae REMICS 2016-93 SL, 6.193%, (-1.000*US0001M + 6.650%), 12/25/2046 | 1,062,261 | 0.0 |
1,271,093 | | Fannie Mae REMICS 2016-97 PA, 3.000%, 12/25/2044 | 1,259,190 | 0.1 |
9,253,886 | (4) | Fannie Mae REMICS 2017-23 IO, 6.000%, 04/25/2047 | 2,243,946 | 0.1 |
1,310,424 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | 1,287,165 | 0.1 |
4,567,321 | | Fannie Mae REMICS 2018-11 BX, 4.000%, 12/25/2047 | 4,633,197 | 0.2 |
250,844 | | Fannie Mae REMICS 2018-27 EA, 3.000%, 05/25/2048 | 246,185 | 0.0 |
4,249,627 | (4) | Fannie Mae REMICS 2018-43 SE, 5.793%, (-1.000*US0001M + 6.250%), 09/25/2038 | 600,120 | 0.0 |
650,410 | | Fannie Mae REMICS 2018-64 ET, 3.000%, 09/25/2048 | 636,747 | 0.0 |
20,489,475 | (4) | Fannie Mae REMICS 2019-17 SB, 5.643%, (-1.000*US0001M + 6.100%), 09/25/2038 | 2,687,365 | 0.1 |
7,712,634 | (4) | Fannie Mae REMICS 2019-18 SA, 5.593%, (-1.000*US0001M + 6.050%), 05/25/2049 | 1,188,370 | 0.0 |
6,385,562 | (4) | Fannie Mae REMICS 2019-25 PS, 5.593%, (-1.000*US0001M + 6.050%), 06/25/2049 | 1,031,487 | 0.0 |
17,921,041 | (4) | Fannie Mae REMICS 2019-33 PS, 5.593%, (-1.000*US0001M + 6.050%), 07/25/2049 | 2,770,708 | 0.1 |
21,770,537 | (4) | Fannie Mae REMICS 2021-8 TI, 4.000%, 03/25/2051 | 3,674,096 | 0.1 |
7,029,197 | | Fannie Mae REMICS 2022-5 CZ, 2.500%, 02/25/2052 | 6,009,859 | 0.2 |
132,917 | (3) | First Horizon Alternative Mortgage Securities Trust 2005-AA1 1A1, 2.771%, 03/25/2035 | 94,831 | 0.0 |
74,623 | (3) | First Horizon Asset Securities, Inc. 2005-AR6 4A1, 2.683%, 02/25/2036 | 69,593 | 0.0 |
23,968 | (3) | First Horizon Mortgage Pass-Through Trust 2005-AR3 2A1, 2.774%, 08/25/2035 | 17,833 | 0.0 |
1,359,619 | (2),(3) | Flagstar Mortgage Trust 2018-1 B1, 3.968%, 03/25/2048 | 1,339,866 | 0.1 |
1,903,467 | (2),(3) | Flagstar Mortgage Trust 2018-1 B3, 3.968%, 03/25/2048 | 1,855,407 | 0.1 |
1,650,715 | (2),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.030%, 04/25/2048 | 1,626,873 | 0.1 |
3,306,046 | (4) | Freddie Mac 2815 GS, 5.603%, (-1.000*US0001M + 6.000%), 03/15/2034 | 448,921 | 0.0 |
127,774 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | 136,560 | 0.0 |
127,248 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | 135,084 | 0.0 |
62,368 | | Freddie Mac REMIC Trust 2411 FJ, 0.747%, (US0001M + 0.350%), 12/15/2029 | 62,349 | 0.0 |
79,093 | | Freddie Mac REMIC Trust 2460 ZM, 6.000%, 06/15/2032 | 84,658 | 0.0 |
32,115 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | 32,361 | 0.0 |
188,704 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | 203,161 | 0.0 |
110,053 | | Freddie Mac REMIC Trust 2576 KZ, 5.500%, 02/15/2033 | 119,661 | 0.0 |
180,418 | (4) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | 36,150 | 0.0 |
231,607 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | 248,480 | 0.0 |
691,651 | | Freddie Mac REMIC Trust 2867 MZ, 5.000%, 10/15/2034 | 742,009 | 0.0 |
489,026 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | 518,739 | 0.0 |
583,051 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | 620,793 | 0.0 |
3,804,257 | (4) | Freddie Mac REMIC Trust 3045 DI, 6.333%, (-1.000*US0001M + 6.730%), 10/15/2035 | 554,315 | 0.0 |
504,734 | (4) | Freddie Mac REMIC Trust 3064 SP, 6.203%, (-1.000*US0001M + 6.600%), 03/15/2035 | 9,460 | 0.0 |
258,393 | | Freddie Mac REMIC Trust 3065 DC, 18.670%, (-3.000*US0001M + 19.860%), 03/15/2035 | 304,620 | 0.0 |
393,442 | (4) | Freddie Mac REMIC Trust 3102 IS, 23.113%, (-3.667*US0001M + 24.567%), 01/15/2036 | 166,144 | 0.0 |
1,945,846 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | 2,086,715 | 0.1 |
1,195,100 | (4) | Freddie Mac REMIC Trust 3170 SA, 6.203%, (-1.000*US0001M + 6.600%), 09/15/2033 | 171,171 | 0.0 |
580,448 | (4) | Freddie Mac REMIC Trust 3171 PS, 6.088%, (-1.000*US0001M + 6.485%), 06/15/2036 | 70,656 | 0.0 |
882,268 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | 937,733 | 0.0 |
231,585 | (3),(4) | Freddie Mac REMIC Trust 3524 LA, 5.146%, 03/15/2033 | 233,510 | 0.0 |
50,272 | | Freddie Mac REMIC Trust 3556 NT, 3.497%, (US0001M + 3.100%), 03/15/2038 | 50,843 | 0.0 |
4,179,539 | (4) | Freddie Mac REMIC Trust 3589 SB, 5.803%, (-1.000*US0001M + 6.200%), 10/15/2039 | 610,523 | 0.0 |
574,843 | (4) | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | 75,723 | 0.0 |
4,332,022 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | 4,685,284 | 0.2 |
1,478,265 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | 1,609,059 | 0.1 |
730,393 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | 781,295 | 0.0 |
813,560 | | Freddie Mac REMIC Trust 3829 VZ, 4.000%, 03/15/2041 | 825,102 | 0.0 |
3,162,999 | (4) | Freddie Mac REMIC Trust 3856 KS, 6.153%, (-1.000*US0001M + 6.550%), 05/15/2041 | 471,708 | 0.0 |
1,157,903 | | Freddie Mac REMIC Trust 3898 KD, 4.500%, 07/15/2041 | 1,218,567 | 0.0 |
601,669 | (4) | Freddie Mac REMIC Trust 3925 SD, 5.653%, (-1.000*US0001M + 6.050%), 07/15/2040 | 27,133 | 0.0 |
2,301,578 | (4) | Freddie Mac REMIC Trust 3925 SL, 5.653%, (-1.000*US0001M + 6.050%), 01/15/2041 | 91,531 | 0.0 |
8,058,006 | (4) | Freddie Mac REMIC Trust 3951 SN, 6.153%, (-1.000*US0001M + 6.550%), 11/15/2041 | 1,360,995 | 0.1 |
477,330 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | 500,501 | 0.0 |
1,142,508 | | Freddie Mac REMIC Trust 4020 BY, 6.500%, 03/15/2042 | 1,310,994 | 0.1 |
149,400 | (4) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 1,277 | 0.0 |
1,437,653 | (4) | Freddie Mac REMIC Trust 4094 YS, 6.303%, (-1.000*US0001M + 6.700%), 04/15/2040 | 55,440 | 0.0 |
4,323,801 | (4) | Freddie Mac REMIC Trust 4102 MS, 6.203%, (-1.000*US0001M + 6.600%), 09/15/2042 | 820,610 | 0.0 |
533,669 | (4) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | 75,616 | 0.0 |
3,771,798 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | 3,761,934 | 0.1 |
24,989,683 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | 25,842,561 | 0.9 |
5,421,829 | (4) | Freddie Mac REMIC Trust 4313 SD, 5.753%, (-1.000*US0001M + 6.150%), 03/15/2044 | 776,955 | 0.0 |
8,362,622 | (4) | Freddie Mac REMIC Trust 4313 SE, 5.753%, (-1.000*US0001M + 6.150%), 03/15/2044 | 1,185,233 | 0.0 |
507,869 | (4) | Freddie Mac REMIC Trust 4323 IP, 4.500%, 08/15/2042 | 16,550 | 0.0 |
849,203 | (4) | Freddie Mac REMIC Trust 4332 PI, 5.000%, 12/15/2043 | 145,046 | 0.0 |
8,043,270 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | 8,436,264 | 0.3 |
2,615,737 | (4) | Freddie Mac REMIC Trust 4346 ST, 5.803%, (-1.000*US0001M + 6.200%), 07/15/2039 | 181,548 | 0.0 |
12,428,476 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | 13,012,350 | 0.5 |
2,454,176 | (4) | Freddie Mac REMIC Trust 4386 LS, 5.703%, (-1.000*US0001M + 6.100%), 09/15/2044 | 337,554 | 0.0 |
5,996,666 | (4) | Freddie Mac REMICS 3284 CI, 5.723%, (-1.000*US0001M + 6.120%), 03/15/2037 | 880,709 | 0.0 |
2,495,852 | (4) | Freddie Mac REMICS 3311 IC, 6.013%, (-1.000*US0001M + 6.410%), 05/15/2037 | 398,165 | 0.0 |
5,644,233 | (4) | Freddie Mac REMICS 3510 IC, 5.683%, (-1.000*US0001M + 6.080%), 08/15/2037 | 842,761 | 0.0 |
2,586,398 | (4) | Freddie Mac REMICS 3575 ST, 6.203%, (-1.000*US0001M + 6.600%), 04/15/2039 | 413,493 | 0.0 |
8,304,440 | (4) | Freddie Mac REMICS 3702 SB, 4.103%, (-1.000*US0001M + 4.500%), 08/15/2040 | 783,989 | 0.0 |
9,943,798 | (4) | Freddie Mac REMICS 4139 CS, 5.753%, (-1.000*US0001M + 6.150%), 12/15/2042 | 1,678,891 | 0.1 |
2,720,325 | (4) | Freddie Mac REMICS 4465 MI, 5.000%, 03/15/2041 | 644,173 | 0.0 |
8,277,821 | (4) | Freddie Mac REMICS 4675 KS, 5.603%, (-1.000*US0001M + 6.000%), 04/15/2047 | 1,397,200 | 0.1 |
1,699,458 | | Freddie Mac REMICS 4753 VZ, 3.000%, 12/15/2047 | 1,637,471 | 0.1 |
1,582,205 | | Freddie Mac REMICS 4755 Z, 3.000%, 02/15/2048 | 1,541,546 | 0.1 |
15,418,273 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | 15,487,441 | 0.5 |
966,136 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | 972,869 | 0.0 |
20,202,224 | (4) | Freddie Mac REMICS 4901 BS, 5.643%, (-1.000*US0001M + 6.100%), 07/25/2049 | 2,843,701 | 0.1 |
38,846,585 | (4) | Freddie Mac REMICS 5072 IU, 2.500%, 02/25/2051 | 5,353,083 | 0.2 |
33,968,056 | (4) | Freddie Mac REMICS 5077 LI, 3.000%, 02/25/2051 | 4,993,257 | 0.2 |
20,889,007 | (4) | Freddie Mac REMICS 5118 LI, 3.000%, 06/25/2041 | 2,617,654 | 0.1 |
9,169,316 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | 9,415,665 | 0.3 |
2,000,000 | (2) | Freddie Mac STACR REMIC Trust 2021-DNA6 B1, 3.499%, (SOFR30A + 3.400%), 10/25/2041 | 1,852,029 | 0.1 |
2,550,000 | (2) | Freddie Mac STACR REMIC Trust 2021-HQA3 M2, 2.199%, (SOFR30A + 2.100%), 09/25/2041 | 2,396,656 | 0.1 |
5,000,000 | (2) | Freddie Mac STACR REMIC Trust 2021-HQA4 B1, 3.849%, (SOFR30A + 3.750%), 12/25/2041 | 4,514,782 | 0.2 |
1,700,000 | (2) | Freddie Mac STACR REMIC Trust 2021-HQA4 M2, 2.449%, (SOFR30A + 2.350%), 12/25/2041 | 1,601,355 | 0.1 |
4,000,000 | (2) | Freddie Mac STACR REMIC Trust 2022-DNA1 B1, 3.499%, (SOFR30A + 3.400%), 01/25/2042 | 3,644,772 | 0.1 |
3,000,000 | (2) | Freddie Mac STACR REMIC Trust 2022-DNA1 M1B, 1.949%, (SOFR30A + 1.850%), 01/25/2042 | 2,832,512 | 0.1 |
2,500,000 | (2) | Freddie Mac STACR REMIC Trust 2022-DNA1 M2, 2.599%, (SOFR30A + 2.500%), 01/25/2042 | 2,337,550 | 0.1 |
3,900,000 | (2) | Freddie Mac Stacr Trust 2018-HQA2 M2, 2.757%, (US0001M + 2.300%), 10/25/2048 | 3,895,292 | 0.1 |
387,703 | (3),(4) | Freddie Mac Strips 347 118, 4.500%, 02/15/2044 | 76,417 | 0.0 |
9,705,064 | (3),(4) | Freddie Mac Strips 347 C29, 3.000%, 01/15/2044 | 1,293,637 | 0.1 |
8,625,169 | (3),(4) | Freddie Mac Strips 347 C30, 3.500%, 02/15/2044 | 1,307,368 | 0.1 |
3,303,279 | (3),(4) | Freddie Mac Strips 347 C31, 4.000%, 02/15/2044 | 631,376 | 0.0 |
9,437,898 | (4) | Freddie Mac Strips 351 C1, 2.500%, 02/15/2031 | 604,199 | 0.0 |
6,493,738 | (4) | Freddie Mac Strips 351 C11, 3.500%, 02/15/2031 | 644,559 | 0.0 |
8,572,616 | (4) | Freddie Mac Strips 351 C12, 4.000%, 02/15/2031 | 921,890 | 0.0 |
6,005,125 | (4) | Freddie Mac Strips 351 C13, 3.000%, 02/15/2031 | 504,450 | 0.0 |
9,782,462 | (4) | Freddie Mac Strips 351 C2, 3.000%, 02/15/2031 | 786,145 | 0.0 |
8,188,373 | (4) | Freddie Mac Strips 351 C7, 3.000%, 02/15/2031 | 647,233 | 0.0 |
8,573,790 | (4) | Freddie Mac Strips 351 C8, 3.500%, 02/15/2031 | 886,706 | 0.0 |
4,984,215 | (4) | Freddie Mac Strips Series 311 S1, 5.553%, (-1.000*US0001M + 5.950%), 08/15/2043 | 787,098 | 0.0 |
234,127 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN3 M3, 4.457%, (US0001M + 4.000%), 08/25/2024 | 237,774 | 0.0 |
223,011 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.357%, (US0001M + 3.900%), 12/25/2027 | 223,717 | 0.0 |
983,766 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 2.757%, (US0001M + 2.300%), 09/25/2030 | 985,488 | 0.0 |
2,000,000 | (2) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, 2.399%, (SOFR30A + 2.300%), 08/25/2033 | 1,973,395 | 0.1 |
1,000,000 | (2) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, 3.749%, (SOFR30A + 3.650%), 11/25/2041 | 950,057 | 0.0 |
280,081 | | Freddie Mac Structured Pass Through Certificates T-54 2A, 6.500%, 02/25/2043 | 318,232 | 0.0 |
1,264,759 | | Freddie Mac Structured Pass Through Certificates T-62 1A1, 1.341%, (12MTA + 1.200%), 10/25/2044 | 1,289,832 | 0.1 |
12,354 | | Freddie Mac-Ginnie Mae Series 27 FC, 1.875%, (PRIME + (1.375)%), 03/25/2024 | 12,202 | 0.0 |
6,810,554 | (4) | Ginnie Mae 2007-35 KY, 6.019%, (-1.000*US0001M + 6.450%), 06/16/2037 | 1,081,126 | 0.0 |
561,659 | | Ginnie Mae 2013-26 GU, 1.500%, 04/20/2042 | 541,765 | 0.0 |
469,467 | | Ginnie Mae 2013-26 JC, 2.000%, 01/20/2043 | 447,646 | 0.0 |
203,991 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | 190,669 | 0.0 |
150,282 | | Ginnie Mae 2013-8 BE, 1.750%, 11/20/2042 | 142,932 | 0.0 |
32,630,518 | (4) | Ginnie Mae 2019-143 SC, 5.601%, (-1.000*US0001M + 6.050%), 04/20/2046 | 4,779,842 | 0.2 |
29,328,179 | (4) | Ginnie Mae 2021-228 IG, 3.000%, 12/20/2051 | 5,143,362 | 0.2 |
13,383,883 | (4) | Ginnie Mae 2021-87 ID, 2.500%, 05/20/2051 | 1,795,705 | 0.1 |
512,775 | (4) | Ginnie Mae Series 2005-7 AH, 6.339%, (-1.000*US0001M + 6.770%), 02/16/2035 | 68,233 | 0.0 |
240,606 | | Ginnie Mae Series 2007-8 SP, 20.594%, (-3.242*US0001M + 22.048%), 03/20/2037 | 337,823 | 0.0 |
1,450,143 | (4) | Ginnie Mae Series 2008-35 SN, 5.951%, (-1.000*US0001M + 6.400%), 04/20/2038 | 180,554 | 0.0 |
753,416 | (4) | Ginnie Mae Series 2008-40 PS, 6.069%, (-1.000*US0001M + 6.500%), 05/16/2038 | 100,897 | 0.0 |
5,998,334 | (4) | Ginnie Mae Series 2009-106 SU, 5.751%, (-1.000*US0001M + 6.200%), 05/20/2037 | 873,268 | 0.0 |
2,035,972 | (4) | Ginnie Mae Series 2009-25 KS, 5.751%, (-1.000*US0001M + 6.200%), 04/20/2039 | 309,120 | 0.0 |
945,240 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | 988,654 | 0.0 |
1,056,269 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1,108,009 | 0.0 |
10,087,575 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | 10,428,299 | 0.4 |
1,232,683 | (4) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 108,118 | 0.0 |
1,292,893 | (4) | Ginnie Mae Series 2010-116 NS, 6.219%, (-1.000*US0001M + 6.650%), 09/16/2040 | 168,800 | 0.0 |
3,878,654 | (4) | Ginnie Mae Series 2010-116 SK, 6.171%, (-1.000*US0001M + 6.620%), 08/20/2040 | 561,620 | 0.0 |
4,636,542 | (4) | Ginnie Mae Series 2010-149 HS, 5.669%, (-1.000*US0001M + 6.100%), 05/16/2040 | 281,818 | 0.0 |
1,722,049 | (4) | Ginnie Mae Series 2010-4 SP, 6.069%, (-1.000*US0001M + 6.500%), 01/16/2039 | 120,050 | 0.0 |
1,836,645 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 1,908,012 | 0.1 |
715,272 | (4) | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | 51,393 | 0.0 |
1,263,205 | (4) | Ginnie Mae Series 2010-68 MS, 5.401%, (-1.000*US0001M + 5.850%), 06/20/2040 | 167,432 | 0.0 |
3,139,737 | (4) | Ginnie Mae Series 2010-9 JI, 5.000%, 01/20/2040 | 678,868 | 0.0 |
1,218,207 | (4) | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | 53,100 | 0.0 |
131,184 | (4) | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | 2,636 | 0.0 |
25,973 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | 27,639 | 0.0 |
3,065,489 | (4) | Ginnie Mae Series 2011-80 KS, 6.221%, (-1.000*US0001M + 6.670%), 06/20/2041 | 531,171 | 0.0 |
83,083 | (4) | Ginnie Mae Series 2012-40 NI, 4.500%, 05/20/2040 | 5,329 | 0.0 |
6,718,001 | (4) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | 1,155,458 | 0.0 |
5,838,594 | (4) | Ginnie Mae Series 2013-184 JI, 5.500%, 12/16/2043 | 1,276,281 | 0.1 |
5,442,209 | | Ginnie Mae Series 2014-3 EP, 2.750%, 02/16/2043 | 5,390,137 | 0.2 |
5,213,068 | (4) | Ginnie Mae Series 2014-3 SU, 5.601%, (-1.000*US0001M + 6.050%), 07/20/2039 | 726,276 | 0.0 |
6,545,145 | (4) | Ginnie Mae Series 2014-55 MS, 5.769%, (-1.000*US0001M + 6.200%), 04/16/2044 | 999,330 | 0.0 |
5,172,603 | (4) | Ginnie Mae Series 2014-56 SP, 5.769%, (-1.000*US0001M + 6.200%), 12/16/2039 | 565,122 | 0.0 |
6,039,847 | (4) | Ginnie Mae Series 2014-58 CS, 5.169%, (-1.000*US0001M + 5.600%), 04/16/2044 | 723,673 | 0.0 |
7,973,101 | (4) | Ginnie Mae Series 2014-79 BI, 6.000%, 05/16/2044 | 1,669,888 | 0.1 |
2,838,398 | (4) | Ginnie Mae Series 2014-99 S, 5.151%, (-1.000*US0001M + 5.600%), 06/20/2044 | 397,717 | 0.0 |
1,480,148 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 1,493,837 | 0.1 |
1,695,769 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | 1,712,025 | 0.1 |
28,228,104 | (4) | Ginnie Mae Series 2019-145 LS, 2.381%, (-1.000*US0001M + 2.830%), 11/20/2049 | 991,351 | 0.0 |
304,548 | (2),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 305,272 | 0.0 |
1,786 | | GSR Mortgage Loan Trust 2003-2F 3A1, 6.000%, 03/25/2032 | 1,839 | 0.0 |
37,408 | | HarborView Mortgage Loan Trust 2005-2 2A1A, 0.889%, (US0001M + 0.440%), 05/19/2035 | 35,766 | 0.0 |
140,448 | | HomeBanc Mortgage Trust 2004-1 2A, 1.317%, (US0001M + 0.860%), 08/25/2029 | 138,566 | 0.0 |
1,827,207 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 0.877%, (US0001M + 0.420%), 02/25/2046 | 1,446,945 | 0.1 |
5,009 | (3) | JP Morgan Mortgage Trust 2005-A1 6T1, 2.292%, 02/25/2035 | 4,991 | 0.0 |
55,128 | (3) | JP Morgan Mortgage Trust 2007-A1 5A5, 2.391%, 07/25/2035 | 55,771 | 0.0 |
1,544,048 | (2),(3) | JP Morgan Mortgage Trust 2017-4 B2, 3.892%, 11/25/2048 | 1,519,631 | 0.1 |
1,000,572 | (2),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.786%, 12/25/2048 | 976,018 | 0.0 |
1,540,429 | (2),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.665%, 06/25/2048 | 1,509,563 | 0.1 |
1,540,429 | (2),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.665%, 06/25/2048 | 1,504,022 | 0.1 |
1,904,954 | (2),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.665%, 06/25/2048 | 1,871,411 | 0.1 |
1,367,271 | (2),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.725%, 09/25/2048 | 1,343,612 | 0.1 |
1,232,618 | (2),(3) | JP Morgan Mortgage Trust 2018-4 B1, 3.726%, 10/25/2048 | 1,209,876 | 0.0 |
35,369 | (2),(3) | JP Morgan Mortgage Trust 2019-3 A3, 4.000%, 09/25/2049 | 35,426 | 0.0 |
1,909,726 | (2),(3) | JP Morgan Mortgage Trust 2019-8 B3A, 3.438%, 03/25/2050 | 1,848,985 | 0.1 |
59,912 | (2),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 59,939 | 0.0 |
1,396,276 | (2),(3) | JP Morgan Mortgage Trust 2020-8 B2, 3.523%, 03/25/2051 | 1,321,301 | 0.1 |
1,853,344 | (2),(3) | JP Morgan Mortgage Trust 2020-8 B3, 3.523%, 03/25/2051 | 1,755,109 | 0.1 |
2,299,183,145 | (2),(4) | L Street Securities 2017-PM1 XIO, 0.010%, 10/25/2048 | 2,593,479 | 0.1 |
6,601,488 | (4) | Lehman Mortgage Trust 2006-9 2A5, 6.163%, (-1.000*US0001M + 6.620%), 01/25/2037 | 1,100,023 | 0.0 |
700,000 | (2) | Mello Warehouse Securitization Trust 2021-1 C, 1.557%, (US0001M + 1.100%), 02/25/2055 | 694,813 | 0.0 |
41,099 | (3) | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3 1A, 2.033%, 05/25/2033 | 41,713 | 0.0 |
19,501 | | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 5A, 0.957%, (US0001M + 0.250%), 11/25/2035 | 19,168 | 0.0 |
2,000,000 | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 2.257%, (US0001M + 1.800%), 09/25/2035 | 2,034,174 | 0.1 |
1,341,499 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | 993,146 | 0.0 |
6,500,000 | (2) | Mortgage Insurance-Linked Notes 2021-3 M1B, 2.999%, (SOFR30A + 2.900%), 02/25/2034 | 6,286,227 | 0.2 |
1,412,695 | (2),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | 1,412,844 | 0.1 |
14,331 | (2),(3) | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2001-R1A A, 7.000%, 02/19/2030 | 14,190 | 0.0 |
2,900,000 | (2) | Oaktown Re VII Ltd. 2021-2 M1C, 3.449%, (SOFR30A + 3.350%), 04/25/2034 | 2,794,147 | 0.1 |
408,411 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | 374,567 | 0.0 |
73,949 | (2) | RBSSP Resecuritization Trust 2011-3 2A1, 0.687%, (US0001M + 0.250%), 02/26/2037 | 74,018 | 0.0 |
1,288 | | RFMSI Series Trust 2003-S9 A1, 6.500%, 03/25/2032 | 1,300 | 0.0 |
1,830,931 | | Seasoned Credit Risk Transfer Trust 2017-4 M45T, 4.500%, 06/25/2057 | 1,889,507 | 0.1 |
737,771 | | Seasoned Credit Risk Transfer Trust Series 2018-2 HT, 3.000%, 11/25/2057 | 725,744 | 0.0 |
954,516 | | Seasoned Credit Risk Transfer Trust Series 2018-3 HT, 3.000%, 08/25/2057 | 938,775 | 0.0 |
1,502,993 | | Seasoned Credit Risk Transfer Trust Series 2018-4 HT, 3.000%, 03/25/2058 | 1,478,239 | 0.1 |
1,608,147 | | Seasoned Credit Risk Transfer Trust Series 2019-1 HT, 3.000%, 07/25/2058 | 1,581,811 | 0.1 |
498,201 | | Seasoned Credit Risk Transfer Trust Series 2019-2 HT, 3.000%, 08/25/2058 | 490,108 | 0.0 |
205,576 | | Seasoned Credit Risk Transfer Trust Series 2019-3 HT, 3.000%, 10/25/2058 | 202,226 | 0.0 |
44,904 | | Sequoia Mortgage Trust 2003-4 2A1, 1.149%, (US0001M + 0.350%), 07/20/2033 | 44,444 | 0.0 |
14,865 | (3) | Sequoia Mortgage Trust 2005-4 2A1, 2.566%, 04/20/2035 | 15,471 | 0.0 |
699,298 | (2),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.774%, 05/25/2045 | 674,591 | 0.0 |
774,636 | (2),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.722%, 07/25/2045 | 739,304 | 0.0 |
168,574 | (2),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 03/25/2048 | 168,966 | 0.0 |
2,013,906 | (2),(3) | Sequoia Mortgage Trust 2020-3 B3, 3.326%, 04/25/2050 | 1,846,048 | 0.1 |
698,000 | (2),(3) | Starwood Mortgage Residential Trust 2020-1, 2.878%, 02/25/2050 | 669,028 | 0.0 |
33,095 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-17 3A1, 2.868%, 08/25/2035 | 31,858 | 0.0 |
657,448 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-7 4A, 2.720%, 04/25/2035 | 656,432 | 0.0 |
118,620 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A2, 0.949%, (US0001M + 0.250%), 07/19/2035 | 114,545 | 0.0 |
60,114 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A3, 0.949%, (US0001M + 0.250%), 07/19/2035 | 58,168 | 0.0 |
156,755 | (3) | Thornburg Mortgage Securities Trust 2006-5 A1, 2.886%, 10/25/2046 | 157,691 | 0.0 |
4,558 | | WaMu Mortgage Pass Through Certificates Series 2002-AR2 A, 1.473%, (COF 11 + 1.250%), 02/27/2034 | 4,607 | 0.0 |
14,783 | | WaMu Mortgage Pass Through Certificates Series 2002-AR9 1A, 1.541%, (12MTA + 1.400%), 08/25/2042 | 14,522 | 0.0 |
20,724 | | WaMu Mortgage Pass Through Certificates Series 2005-AR1 A1A, 1.097%, (US0001M + 0.640%), 01/25/2045 | 20,453 | 0.0 |
451,904 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.469%, 10/25/2036 | 437,409 | 0.0 |
238,706 | | WaMu Mortgage Pass Through Certificates Series 2006-AR7 3A, 1.723%, (COF 11 + 1.500%), 07/25/2046 | 229,581 | 0.0 |
35,604,659 | (3),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 1.788%, 08/25/2045 | 636,875 | 0.0 |
1,021,485 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 1.437%, (US0001M + 0.490%), 10/25/2045 | 1,006,133 | 0.0 |
474,925 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 2.987%, 10/25/2036 | 472,096 | 0.0 |
868,471 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.388%, 12/25/2036 | 826,242 | 0.0 |
1,597,707 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 2.854%, 08/25/2046 | 1,570,131 | 0.1 |
1,468,437 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 2.950%, 07/25/2037 | 1,459,646 | 0.1 |
1,727,211 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 1,587,789 | 0.1 |
149,948 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 148,195 | 0.0 |
1,295,839 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR10 Trust, 0.657%, (US0001M + 0.200%), 12/25/2036 | 795,369 | 0.0 |
959,764 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.887%, (US0001M + 0.430%), 06/25/2037 | 779,523 | 0.0 |
61,188 | (3) | Wells Fargo Mortgage Backed Securities 2005-AR7 1A1, 2.899%, 05/25/2035 | 60,749 | 0.0 |
194,512 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.885%, 04/25/2036 | 189,464 | 0.0 |
636,249 | (2),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.762%, 08/20/2045 | 610,563 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $464,615,453) | 437,593,500 | 15.0 |
| | | | |
MUNICIPAL BONDS: 0.1% | |
| | California: 0.1% |
500,000 | | California State University, 6.434%, 11/01/2030 | 598,491 | 0.1 |
200,000 | | Los Angeles County Public Works Financing Authority, 7.488%, 08/01/2033 | 257,168 | 0.0 |
300,000 | | Los Angeles County Public Works Financing Authority, 7.618%, 08/01/2040 | 446,594 | 0.0 |
182,629 | | 6.000%,01/01/2038 | 202,482 | 0.0 |
1,107 | | 6.000%,04/01/2038 | 1,238 | 0.0 |
6,983 | | 6.000%,06/01/2038 | 7,584 | 0.0 |
359 | | 6.000%,07/01/2038 | 385 | 0.0 |
22,228 | | 6.000%,08/01/2038 | 24,023 | 0.0 |
47,879 | | 6.000%,11/01/2038 | 53,107 | 0.0 |
12,192 | | 6.000%,05/01/2039 | 13,331 | 0.0 |
10,173 | | 6.000%,08/01/2039 | 11,236 | 0.0 |
1,692 | | 6.000%,09/01/2039 | 1,809 | 0.0 |
613,731 | | 6.500%,09/01/2034 | 664,560 | 0.0 |
| | | 72,185,499 | 2.5 |
| | | | |
| | Federal National Mortgage Association: 0.0%(5) |
28,068 | | 1.304%, (12MTA + 1.200%),08/01/2042 | 28,620 | 0.0 |
45,848 | | 1.304%, (12MTA + 1.200%),08/01/2042 | 46,836 | 0.0 |
14,723 | | 1.304%, (12MTA + 1.200%),10/01/2044 | 15,051 | 0.0 |
24,576 | | 1.304%, (12MTA + 1.200%),10/01/2044 | 25,094 | 0.0 |
63,579 | | 1.591%, (US0001M + 1.422%),02/01/2033 | 64,259 | 0.0 |
35,605 | | 1.637%, (US0012M + 1.486%),07/01/2035 | 35,689 | 0.0 |
12,091 | | 1.710%, (US0012M + 1.444%),08/01/2035 | 12,139 | 0.0 |
46,568 | | 1.718%, (US0006M + 1.373%),09/01/2035 | 46,689 | 0.0 |
336,945 | | 1.825%, (H15T1Y + 1.711%),08/01/2035 | 338,427 | 0.0 |
137,520 | | 1.908%, (US0012M + 1.661%),10/01/2035 | 137,713 | 0.0 |
53,732 | | 1.968%, (US0012M + 1.480%),04/01/2035 | 53,809 | 0.0 |
65,585 | | 1.996%, (US0012M + 1.610%),02/01/2034 | 66,740 | 0.0 |
139,077 | | 2.060%, (US0012M + 1.810%),09/01/2034 | 144,186 | 0.0 |
19,952 | | 2.175%, (US0012M + 1.675%),02/01/2035 | 19,950 | 0.0 |
62,326 | | 2.300%, (H15T1Y + 2.175%),10/01/2035 | 62,388 | 0.0 |
1,634 | | 2.317%, (H15T1Y + 2.215%),09/01/2031 | 1,635 | 0.0 |
7,525 | | 2.335%, (H15T1Y + 2.210%),04/01/2032 | 7,517 | 0.0 |
2,358 | | 3.172%, (COF 11 + 1.251%),05/01/2036 | 2,451 | 0.0 |
21,467 | | 4.012%, (COF 11 + 1.926%),12/01/2036 | 22,942 | 0.0 |
| | | 1,132,135 | 0.0 |
| | | | |
| | Government National Mortgage Association: 3.1% |
1,407,054 | | 2.500%,05/20/2051 | 1,366,980 | 0.1 |
3,867,716 | | 2.500%,09/20/2051 | 3,757,560 | 0.1 |
64,500,000 | (6) | 2.500%,04/15/2052 | 62,562,480 | 2.2 |
4,390,000 | (6) | 3.000%,04/15/2052 | 4,339,069 | 0.2 |
2,414,719 | | 3.500%,07/20/2046 | 2,445,083 | 0.1 |
353,605 | | 3.500%,07/20/2047 | 358,798 | 0.0 |
5,590,484 | | 3.500%,12/20/2047 | 5,691,099 | 0.2 |
3,139,234 | | 3.500%,01/20/2048 | 3,201,546 | 0.1 |
436,435 | | 4.000%,11/20/2040 | 458,820 | 0.0 |
833,839 | | 4.000%,03/20/2046 | 864,549 | 0.1 |
685,045 | | 4.500%,08/20/2041 | 729,837 | 0.0 |
333,560 | | 4.500%,01/20/2047 | 354,976 | 0.0 |
13,240 | | 5.000%,11/15/2035 | 14,388 | 0.0 |
1,818 | | 5.000%,11/15/2035 | 1,962 | 0.0 |
5,229 | | 5.000%,11/15/2035 | 5,753 | 0.0 |
4,883 | | 5.000%,11/15/2035 | 5,281 | 0.0 |
14,307 | | 5.000%,06/15/2037 | 15,468 | 0.0 |
101,156 | | 5.000%,03/15/2038 | 111,369 | 0.0 |
31,560 | | 5.000%,03/15/2038 | 34,665 | 0.0 |
4,840 | | 5.000%,06/15/2038 | 5,258 | 0.0 |
357 | | 5.000%,07/15/2038 | 386 | 0.0 |
2,271 | | 5.000%,09/15/2038 | 2,491 | 0.0 |
12,247 | | 5.000%,11/15/2038 | 13,409 | 0.0 |
32,509 | | 5.000%,11/15/2038 | 35,794 | 0.0 |
53,757 | | 5.000%,12/15/2038 | 59,368 | 0.0 |
691,859 | | 5.000%,12/15/2038 | 764,225 | 0.0 |
7,689 | | 5.000%,12/15/2038 | 8,307 | 0.0 |
48,715 | | 5.000%,01/15/2039 | 53,793 | 0.0 |
510,137 | | 5.000%,01/15/2039 | 560,256 | 0.0 |
91,831 | | 5.000%,01/15/2039 | 101,351 | 0.0 |
20,513 | | 5.000%,02/15/2039 | 22,430 | 0.0 |
46,598 | | 5.000%,02/15/2039 | 51,209 | 0.0 |
73,606 | | 5.000%,02/15/2039 | 81,158 | 0.0 |
51,986 | | 5.000%,03/15/2039 | 57,204 | 0.0 |
54,973 | | 5.000%,03/15/2039 | 60,491 | 0.0 |
1,702 | | 5.000%,03/15/2039 | 1,880 | 0.0 |
101,541 | | 5.000%,03/15/2039 | 111,731 | 0.0 |
55,969 | | 5.000%,04/15/2039 | 61,327 | 0.0 |
106,555 | | 5.000%,05/15/2039 | 117,300 | 0.0 |
402 | | 5.000%,05/15/2039 | 434 | 0.0 |
35,870 | | 5.000%,05/15/2039 | 39,470 | 0.0 |
47,909 | | 5.000%,07/15/2039 | 52,786 | 0.0 |
40,270 | | 5.000%,09/15/2039 | 44,148 | 0.0 |
9,128 | | 5.000%,11/15/2039 | 10,028 | 0.0 |
1,318 | | 5.000%,04/15/2040 | 1,451 | 0.0 |
9,196 | | 5.000%,06/15/2040 | 10,130 | 0.0 |
18,964 | | 5.000%,09/15/2040 | 20,895 | 0.0 |
12,623 | | 5.000%,09/15/2040 | 13,621 | 0.0 |
40,231 | | 5.000%,10/15/2040 | 44,082 | 0.0 |
47,121 | | 5.000%,05/15/2042 | 50,917 | 0.0 |
256,209 | | 5.000%,02/20/2043 | 281,439 | 0.0 |
| | | 89,058,452 | 3.1 |
| | | | |
| | Uniform Mortgage-Backed Securities: 11.1% |
1,996,201 | | 2.000%,02/01/2052 | 1,859,023 | 0.1 |
3,976,684 | | 2.000%,02/01/2052 | 3,704,393 | 0.1 |
44,513,000 | (6) | 2.000%,04/15/2052 | 41,325,800 | 1.4 |
1,264,246 | | 2.500%,05/01/2030 | 1,252,797 | 0.1 |
2,478,121 | | 2.500%,06/01/2030 | 2,454,916 | 0.1 |
1,791,845 | | 2.500%,06/01/2030 | 1,775,067 | 0.1 |
1,112,531 | | 2.500%,07/01/2030 | 1,102,105 | 0.1 |
2,994,024 | | 2.500%,02/01/2052 | 2,879,401 | 0.1 |
4,990,204 | | 2.500%,02/01/2052 | 4,791,428 | 0.2 |
101,500,000 | (6) | 2.500%,04/15/2052 | 96,845,274 | 3.3 |
2,525,748 | | 3.000%,08/01/2030 | 2,552,839 | 0.1 |
1,281,230 | | 3.000%,09/01/2030 | 1,294,984 | 0.1 |
885,530 | | 3.000%,08/01/2043 | 884,793 | 0.1 |
1,511,866 | | 3.000%,09/01/2043 | 1,510,002 | 0.1 |
5,741,521 | | 3.000%,04/01/2045 | 5,709,696 | 0.2 |
3,428,841 | | 3.000%,08/01/2046 | 3,409,851 | 0.1 |
326,430 | | 3.000%,09/01/2046 | 323,976 | 0.0 |
4,581,203 | | 3.000%,01/01/2047 | 4,547,877 | 0.2 |
4,991,192 | | 3.000%,02/01/2052 | 4,916,255 | 0.2 |
2,994,981 | | 3.000%,02/01/2052 | 2,947,066 | 0.1 |
31,900,000 | (6) | 3.000%,04/15/2052 | 31,207,172 | 1.1 |
506,638 | | 3.500%,12/01/2041 | 516,096 | 0.0 |
95,817 | | 3.500%,08/01/2042 | 97,754 | 0.0 |
403,105 | | 3.500%,08/01/2042 | 410,217 | 0.0 |
360,782 | | 3.500%,10/01/2042 | 368,120 | 0.0 |
566,779 | | 3.500%,10/01/2042 | 578,305 | 0.0 |
254,069 | | 3.500%,03/01/2043 | 259,213 | 0.0 |
2,115,414 | | 3.500%,01/01/2046 | 2,155,677 | 0.1 |
3,569,021 | | 3.500%,02/01/2046 | 3,636,902 | 0.1 |
15,206,506 | | 3.500%,08/01/2046 | 15,490,922 | 0.6 |
2,416,286 | | 3.500%,08/01/2046 | 2,459,257 | 0.1 |
477,925 | | 7.000%,04/01/2038 | 557,723 | 0.0 |
6,882 | | 7.500%,09/01/2031 | 7,467 | 0.0 |
| | | 325,296,676 | 11.1 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $494,462,402) | 487,672,762 | 16.7 |
| | | |
U.S. TREASURY OBLIGATIONS: 7.1% | |
| | U.S. Treasury Bonds: 3.9% |
17,000 | | 1.250%,05/15/2050 | 12,701 | 0.0 |
920,000 | | 1.375%,11/15/2040 | 752,819 | 0.0 |
77,000 | | 1.625%,11/15/2050 | 63,194 | 0.0 |
34,403,900 | (1) | 1.875%,02/15/2032 | 33,043,871 | 1.1 |
28,019,600 | | 1.875%,11/15/2051 | 24,587,199 | 0.9 |
100 | | 2.000%,11/15/2041 | 90 | 0.0 |
58,283,700 | (1) | 2.375%,02/15/2042 | 56,234,664 | 1.9 |
| | | 114,694,538 | 3.9 |
| | | | |
| | U.S. Treasury Notes: 3.2% |
25,000 | | 0.125%,10/15/2023 | 24,235 | 0.0 |
16,997,000 | | 0.250%,06/15/2024 | 16,214,208 | 0.6 |
4,476,400 | | 0.500%,11/30/2023 | 4,351,638 | 0.1 |
4,427,600 | (1) | 0.875%,01/31/2024 | 4,315,526 | 0.1 |
170,000 | | 0.875%,06/30/2026 | 158,807 | 0.0 |
773,500 | | 1.125%,02/15/2031 | 698,628 | 0.0 |
1,757,900 | | 1.250%,11/30/2026 | 1,663,447 | 0.1 |
8,250,800 | | 1.250%,09/30/2028 | 7,658,096 | 0.3 |
7,583,000 | (1) | 1.500%,02/29/2024 | 7,473,106 | 0.3 |
139,400 | (1) | 1.500%,01/31/2027 | 133,236 | 0.0 |
1,600,500 | | 1.500%,11/30/2028 | 1,507,815 | 0.0 |
7,657,000 | | 1.750%,03/15/2025 | 7,495,485 | 0.3 |
6,535,900 | | 1.875%,02/28/2027 | 6,361,780 | 0.2 |
10,690,000 | (1) | 1.875%,02/28/2029 | 10,321,696 | 0.3 |
7,860,000 | | 2.250%,03/31/2024 | 7,849,715 | 0.3 |
14,295,000 | | 2.375%,03/31/2029 | 14,254,795 | 0.5 |
2,493,000 | | 2.500%,03/31/2027 | 2,498,648 | 0.1 |
| | | 92,980,861 | 3.2 |
| | | | |
| Total U.S. Treasury Obligations | | |
| (Cost $213,803,499) | 207,675,399 | 7.1 |
| | | |
ASSET-BACKED SECURITIES: 7.0% | |
| | Automobile Asset-Backed Securities: 0.0% |
350,000 | (2) | GLS Auto Receivables Issuer Trust 2021-4 C, 1.940%, 10/15/2027 | 335,423 | 0.0 |
183,734 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | 184,119 | 0.0 |
| | | 519,542 | 0.0 |
| | | | |
| | Home Equity Asset-Backed Securities: 0.1% |
1,224,187 | (2),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 1,128,186 | 0.0 |
212,482 | | Home Equity Asset Trust 2005-2 M5, 1.552%, (US0001M + 1.095%), 07/25/2035 | 212,406 | 0.0 |
1,005,234 | | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2 M4, 1.372%, (US0001M + 0.915%), 03/25/2035 | 1,001,766 | 0.0 |
140,753 | | New Century Home Equity Loan Trust 2005-2 M3, 1.192%, (US0001M + 0.735%), 06/25/2035 | 140,680 | 0.0 |
45,893 | | Renaissance Home Equity Loan Trust 2003-2 A, 1.337%, (US0001M + 0.880%), 08/25/2033 | 44,855 | 0.0 |
1,124,699 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 1,145,346 | 0.1 |
52,693 | | Securitized Asset Backed Receivables LLC Trust 2006-WM4 A2A, 0.617%, (US0001M + 0.160%), 11/25/2036 | 19,244 | 0.0 |
| | | 3,692,483 | 0.1 |
| | | | |
| | Other Asset-Backed Securities: 6.2% |
2,000,000 | (2) | AGL CLO 12 Ltd. 2021-12A C, 2.104%, (US0003M + 1.850%), 07/20/2034 | 1,963,518 | 0.1 |
2,424,604 | (2),(3),(4),(7) | American Homes 4 Rent 2015-SFR1 XS, 3.232%, 04/17/2052 | – | – |
650,000 | (2) | AMMC CLO 16 Ltd. 2015-16A CR2, 2.188%, (US0003M + 1.950%), 04/14/2029 | 644,874 | 0.0 |
3,470,000 | (2) | Babson CLO Ltd. 2017-1A A2, 1.591%, (US0003M + 1.350%), 07/18/2029 | 3,439,408 | 0.1 |
4,393,000 | (2) | Babson CLO Ltd. 2018-3A A2, 1.554%, (US0003M + 1.300%), 07/20/2029 | 4,384,271 | 0.2 |
910,654 | (2) | Beacon Container Finance II LLC 2021-1A A, 2.250%, 10/22/2046 | 856,434 | 0.0 |
635,457 | (3) | Bear Stearns Asset Backed Securities Trust 2006-SD4 1A1, 3.006%, 10/25/2036 | 631,344 | 0.0 |
2,250,000 | (2) | Benefit Street Partners CLO IV Ltd. 2014-IVA BRRR, 2.404%, (US0003M + 2.150%), 01/20/2032 | 2,202,712 | 0.1 |
2,000,000 | (2) | Benefit Street Partners CLO XVIII Ltd. 2019-18A A1R, 1.411%, (US0003M + 1.170%), 10/15/2034 | 1,980,520 | 0.1 |
1,950,000 | (2) | Benefit Street Partners CLO XVIII Ltd. 2019-18A A2R, 1.691%, (US0003M + 1.450%), 10/15/2034 | 1,930,683 | 0.1 |
1,450,000 | (2) | BlueMountain CLO Ltd. 2021-28A C, 2.241%, (US0003M + 2.000%), 04/15/2034 | 1,423,999 | 0.0 |
5,000,000 | (2) | BlueMountain CLO XXXI Ltd. 2021-31A C, 2.248%, (US0003M + 2.000%), 04/19/2034 | 4,917,265 | 0.2 |
6,300,000 | (2) | BlueMountain Fuji US Clo I Ltd. 2017-1A CR, 2.504%, (US0003M + 2.250%), 07/20/2029 | 6,177,522 | 0.2 |
2,350,000 | (2) | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | 2,306,783 | 0.1 |
3,490,000 | (2) | Broad River Bsl Funding Clo Ltd. 2020-1A AR, 1.424%, (US0003M + 1.170%), 07/20/2034 | 3,446,448 | 0.1 |
3,000,000 | (2) | Broad River Bsl Funding Clo Ltd. 2020-1A CR, 2.254%, (US0003M + 2.000%), 07/20/2034 | 2,937,867 | 0.1 |
1,750,000 | (2) | California Street CLO IX L.P. 2012-9A CR3, 2.741%, (US0003M + 2.500%), 07/16/2032 | 1,708,469 | 0.1 |
5,500,000 | (2) | Carlyle Global Market Strategies CLO 2016-1 Ltd. 2016-1A BR2, 2.304%, (US0003M + 2.050%), 04/20/2034 | 5,416,142 | 0.2 |
2,400,000 | (2) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 1.371%, (US0003M + 1.130%), 04/17/2031 | 2,377,214 | 0.1 |
3,250,000 | (2) | Cedar Funding IV CLO Ltd. 2014-4A CRR, 2.259%, (US0003M + 2.000%), 07/23/2034 | 3,205,485 | 0.1 |
3,000,000 | (2) | Cedar Funding VIII Clo Ltd. 2017-8A A2R, 1.691%, (US0003M + 1.450%), 10/17/2034 | 2,966,586 | 0.1 |
41,906 | | Chase Funding Trust Series 2002-4 2A1, 1.197%, (US0001M + 0.740%), 10/25/2032 | 41,116 | 0.0 |
106,708 | | Chase Funding Trust Series 2003-5 2A2, 1.057%, (US0001M + 0.600%), 07/25/2033 | 101,864 | 0.0 |
3,000,000 | (2) | CIFC Funding 2017-2A CR Ltd., 2.104%, (US0003M + 1.850%), 04/20/2030 | 2,956,533 | 0.1 |
1,127,153 | (2) | CLI Funding VIII LLC 2022-1A A1, 2.720%, 01/18/2047 | 1,065,864 | 0.0 |
926,250 | (2) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | 929,034 | 0.0 |
487,500 | (2) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | 490,606 | 0.0 |
294,000 | (2) | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | 282,839 | 0.0 |
1,358,000 | (2) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | 1,358,030 | 0.0 |
5,000,000 | (2) | Dryden Senior Loan Fund 2017-47A CR, 2.291%, (US0003M + 2.050%), 04/15/2028 | 4,982,245 | 0.2 |
3,662,325 | (2) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 3,633,463 | 0.1 |
105,556 | | GSAMP Trust 2007-FM1 A2A, 0.527%, (US0001M + 0.070%), 12/25/2036 | 62,351 | 0.0 |
1,176,879 | (2) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | 1,180,214 | 0.0 |
2,000,000 | (2) | Jay Park CLO Ltd. 2016-1A BR, 2.254%, (US0003M + 2.000%), 10/20/2027 | 1,991,160 | 0.1 |
10,000,000 | (2) | LCM 26A A2 Ltd., 1.504%, (US0003M + 1.250%), 01/20/2031 | 9,919,800 | 0.3 |
2,450,000 | (2) | LCM 30A CR Ltd., 2.254%, (US0003M + 2.000%), 04/20/2031 | 2,396,509 | 0.1 |
58,753 | | Long Beach Mortgage Loan Trust 2004-4 1A1, 1.017%, (US0001M + 0.560%), 10/25/2034 | 56,534 | 0.0 |
2,090,000 | (2) | Madison Park Funding XLVIII Ltd. 2021-48A C, 2.248%, (US0003M + 2.000%), 04/19/2033 | 2,076,262 | 0.1 |
1,650,000 | (2) | Madison Park Funding XXI Ltd. 2016-21A ABRR, 1.641%, (US0003M + 1.400%), 10/15/2032 | 1,637,717 | 0.1 |
1,750,000 | (2) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | 1,747,273 | 0.1 |
1,550,607 | (2) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 1,554,346 | 0.1 |
914,978 | (2) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 904,539 | 0.0 |
1,843,761 | (2) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 1,824,548 | 0.1 |
3,700,000 | (2) | Newark BSL CLO 2 Ltd. 2017-1A BR, 2.008%, (US0003M + 1.750%), 07/25/2030 | 3,648,899 | 0.1 |
1,500,000 | (2) | Oak Hill Credit Partners 2021-8A C, 2.141%, (US0003M + 1.900%), 01/18/2034 | 1,481,718 | 0.1 |
5,050,000 | (2) | OCP CLO 2021-21A C Ltd., 2.154%, (US0003M + 1.900%), 07/20/2034 | 4,963,110 | 0.2 |
3,950,000 | (2) | Octagon Investment Partners 30 Ltd. 2017-1A BR, 2.204%, (US0003M + 1.950%), 03/17/2030 | 3,858,692 | 0.1 |
4,000,000 | (2) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 1.598%, (US0003M + 1.350%), 07/19/2030 | 3,978,312 | 0.1 |
1,800,000 | (2) | OHA Credit Funding 9 Ltd. 2021-9A C, 2.148%, (US0003M + 1.900%), 07/19/2035 | 1,781,914 | 0.1 |
4,000,000 | (2) | Palmer Square CLO 2013-2A BR3 Ltd., 2.098%, (US0003M + 1.850%), 10/17/2031 | 3,965,664 | 0.1 |
2,000,000 | (2) | Palmer Square CLO 2021-3A A2 Ltd., 1.633%, (US0003M + 1.400%), 01/15/2035 | 1,987,950 | 0.1 |
7,000,000 | (2) | Palmer Square CLO Ltd. 2021-2A C, 2.041%, (US0003M + 1.800%), 07/15/2034 | 6,904,849 | 0.2 |
490,494 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.541%, 01/25/2036 | 481,014 | 0.0 |
2,450,000 | (2) | Rockland Park CLO Ltd. 2021-1A C, 2.154%, (US0003M + 1.900%), 04/20/2034 | | 2,422,406 | 0.1 |
133,856 | | Small Business Administration Participation Certificates 2007-20L 1, 5.290%, 12/01/2027 | 139,238 | 0.0 |
1,000,000 | (2) | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | 998,644 | 0.0 |
1,525,458 | (2) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | 1,495,491 | 0.1 |
2,600,000 | (2) | Sound Point CLO XXIX Ltd. 2021-1A C1, 2.558%, (US0003M + 2.300%), 04/25/2034 | 2,552,038 | 0.1 |
2,800,000 | (2) | Sound Point CLO XXVI Ltd. 2021-1A C1R, 2.454%, (US0003M + 2.200%), 07/20/2034 | 2,766,145 | 0.1 |
1,849,754 | (2) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | 1,908,162 | 0.1 |
8,200,000 | (2) | Symphony CLO XXV Ltd. 2021-25A C, 2.298%, (US0003M + 2.050%), 04/19/2034 | 8,148,488 | 0.3 |
1,741,500 | (2) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | 1,762,682 | 0.1 |
1,496,250 | (2) | Taco Bell Funding LLC 2021-1A A23, 2.542%, 08/25/2051 | 1,301,277 | 0.0 |
6,000,000 | (2) | TCW CLO 2020-1A CRR Ltd., 2.304%, (US0003M + 2.050%), 04/20/2034 | 5,958,036 | 0.2 |
5,500,000 | (2) | TES LLC 2017-1A B, 7.740%, 10/20/2047 | 5,465,346 | 0.2 |
7,000,000 | (2) | THL Credit Wind River 2017-3A CR Clo Ltd., 2.741%, (US0003M + 2.500%), 04/15/2035 | 6,946,688 | 0.2 |
7,000,000 | (2) | Trinitas Clo VII Ltd. 2017-7A A1R, 1.458%, (US0003M + 1.200%), 01/25/2035 | 6,905,906 | 0.2 |
1,281,000 | (2) | Triton Container Finance VIII LLC 2021-1A A, 1.860%, 03/20/2046 | 1,161,826 | 0.0 |
| | 179,094,886 | 6.2 |
| | | |
| | Student Loan Asset-Backed Securities: 0.7% |
540,710 | (2) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | 540,485 | 0.0 |
373,874 | (2) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | 372,383 | 0.0 |
655,375 | (2) | Commonbond Student Loan Trust 2018-BGS B, 3.990%, 09/25/2045 | 656,475 | 0.0 |
2,000,000 | (2) | Navient Private Education Refi Loan Trust 2018-A B, 3.680%, 02/18/2042 | 2,012,327 | 0.1 |
1,550,000 | (2) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 1,439,879 | 0.0 |
1,500,000 | (2) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 1,474,918 | 0.1 |
2,500,000 | (2),(3) | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | 2,479,129 | 0.1 |
2,100,000 | (2) | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | 2,092,062 | 0.1 |
2,200,000 | (2) | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | 2,196,386 | 0.1 |
5,000,000 | (2) | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | 4,958,263 | 0.2 |
912,751 | (2) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 918,880 | 0.0 |
1,000,000 | (2) | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | 987,802 | 0.0 |
| | 20,128,989 | 0.7 |
| | | |
| Total Asset-Backed Securities | | |
| (Cost $205,750,616) | 203,435,900 | 7.0 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 6.3% | |
12,370,642 | (3),(4) | BANK 2019-BNK16 XA, 0.944%, 02/15/2052 | 625,792 | 0.0 |
2,600,000 | (2) | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | 2,192,581 | 0.1 |
50,737,088 | (3),(4) | Bank 2019-BNK19 XA, 0.954%, 08/15/2061 | 2,903,927 | 0.1 |
22,800,000 | (2),(3),(4) | BBCCRE Trust 2015-GTP XA, 0.597%, 08/10/2033 | 437,949 | 0.0 |
27,637,038 | (3),(4) | Benchmark 2019-B12 XA Mortgage Trust, 1.061%, 08/15/2052 | 1,432,947 | 0.0 |
19,490,642 | (3),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.037%, 03/15/2052 | 1,125,080 | 0.0 |
3,160,000 | (2) | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 07/15/2053 | 2,866,117 | 0.1 |
2,258,000 | (2) | Benchmark 2020-B18 AGNF Mortgage Trust, 4.139%, 07/15/2053 | 2,024,580 | 0.1 |
3,537,000 | (2),(8) | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | 2,523,485 | 0.1 |
1,348,000 | (2),(3) | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.521%, 05/25/2052 | 1,097,831 | 0.0 |
4,000,000 | (2) | BX Commercial Mortgage Trust 2021-IRON E, 2.747%, (US0001M + 2.350%), 02/15/2038 | 3,895,540 | 0.1 |
2,280,000 | (2),(3) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 1,988,945 | 0.1 |
17,097,078 | (3),(4) | CD 2016-CD1 Mortgage Trust XA, 1.376%, 08/10/2049 | 771,594 | 0.0 |
4,120,000 | (2),(3) | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.432%, 08/10/2049 | 3,160,531 | 0.1 |
34,835,262 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 0.886%, 09/15/2050 | 1,341,579 | 0.0 |
51,510,997 | (3),(4) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.535%, 06/10/2051 | 1,691,807 | 0.1 |
2,101,000 | (2),(3) | Citigroup COmmercial Mortgage Trust 2018-C6 D, 5.065%, 11/10/2051 | | 2,037,582 | 0.1 |
11,290,504 | (3),(4) | COMM 2012-CR2 XA, 1.601%, 08/15/2045 | 4,515 | 0.0 |
19,955,889 | (3),(4) | COMM 2012-CR3 XA, 1.824%, 10/15/2045 | 61,065 | 0.0 |
65,166,000 | (2),(3),(4) | COMM 2012-CR4 XB, 0.614%, 10/15/2045 | 211,659 | 0.0 |
18,739,245 | (3),(4) | COMM 2012-CR5 XA, 1.493%, 12/10/2045 | 88,826 | 0.0 |
1,910,000 | (2),(3) | COMM 2013-CR10 E Mortgage Trust, 4.901%, 08/10/2046 | 1,819,871 | 0.1 |
910,000 | (3) | COMM 2016-COR1 C, 4.332%, 10/10/2049 | 895,764 | 0.0 |
73,057,758 | (3),(4) | COMM 2016-CR28 XA, 0.709%, 02/10/2049 | 1,437,068 | 0.0 |
3,906,000 | (2),(3) | COMM 2020-CBM F Mortgage Trust, 3.633%, 02/10/2037 | 3,519,080 | 0.1 |
750,000 | (2) | CSAIL 2020-C19 E Commercial Mortgage Trust, 2.500%, 03/15/2053 | 595,897 | 0.0 |
3,870,118 | (2) | CSWF 2021-SOP2 D, 2.713%, (US0001M + 2.317%), 06/15/2034 | 3,755,245 | 0.1 |
2,962,941 | (2),(7) | DBUBS 2011-LC2A F Mortgage Trust, 3.881%, (US0001M + 3.650%), 07/10/2044 | 2,959,351 | 0.1 |
2,633,790 | (2) | Extended Stay America Trust 2021-ESH F, 4.097%, (US0001M + 3.700%), 07/15/2038 | 2,584,046 | 0.1 |
10,521,103 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | 1,877,959 | 0.1 |
36,470,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.955%, 05/25/2040 | 59,275 | 0.0 |
41,301,347 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K023 X1, 1.194%, 08/25/2022 | 82,446 | 0.0 |
22,000,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K028 X3, 1.662%, 06/25/2041 | 334,222 | 0.0 |
27,650,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.590%, 05/25/2041 | 455,124 | 0.0 |
10,700,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K035 X3, 1.788%, 12/25/2041 | 255,121 | 0.0 |
8,285,000 | (2),(8) | FREMF 2016-K60 D Mortgage Trust, 0.000%, 12/25/2049 | 6,062,835 | 0.2 |
1,245,370 | (2) | FREMF 2019-KBF3 C Mortgage Trust, 4.991%, (US0001M + 4.750%), 01/25/2029 | 1,243,036 | 0.0 |
5,200,000 | (2),(8) | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | 3,180,936 | 0.1 |
66,318,829 | (2),(4) | FREMF 2019-KG01 X2A Mortgage Trust, 0.100%, 04/25/2029 | 263,133 | 0.0 |
7,380,000 | (2),(4) | FREMF 2019-KG01 X2B Mortgage Trust, 0.100%, 05/25/2029 | 36,612 | 0.0 |
102,687,002 | (2),(4),(7) | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | 103 | 0.0 |
1,000,000 | (2),(3) | FRR Re-REMIC Trust 2018-C1 B725, 2.964%, 02/27/2050 | 961,846 | 0.0 |
3,000,000 | (2),(3),(9) | FRR Re-REMIC Trust 2018-C1 C725, 0.330%, 02/27/2050 | 2,732,704 | 0.1 |
2,532,000 | (2) | GAM RE-REMIC TR 2021-FFR2 BK44, 2.071%, 09/27/2051 | 2,290,786 | 0.1 |
2,845,000 | (2) | GAM RE-REMIC TR 2021-FFR2 BK78, 2.435%, 09/27/2051 | 2,362,208 | 0.1 |
2,164,000 | (2),(8) | GAM RE-REMIC TR 2021-FFR2 C730, 0.000%, 09/27/2051 | 1,849,678 | 0.1 |
2,631,000 | (2),(8) | GAM RE-REMIC TR 2021-FFR2 CK44, 0.000%, 09/27/2051 | 2,188,278 | 0.1 |
2,140,000 | (2) | GAM RE-REMIC TR 2021-FFR2 CK49, 1.079%, 09/27/2051 | 1,841,588 | 0.1 |
1,817,000 | (2),(8) | GAM RE-REMIC TR 2021-FFR2 CK78, 0.000%, 09/27/2051 | 1,197,853 | 0.0 |
2,163,000 | (2),(8) | GAM RE-REMIC TR 2021-FFR2 D730, 0.000%, 09/27/2051 | 1,799,029 | 0.1 |
2,140,000 | (2),(8) | GAM RE-REMIC TR 2021-FFR2 DK49, 0.000%, 09/27/2051 | 1,712,809 | 0.1 |
6,158,000 | (2) | GAM Re-REMIC Trust 2021-FRR1 1B, 0.800%, 11/29/2050 | 4,892,647 | 0.2 |
8,097,000 | (2) | GAM Re-REMIC Trust 2021-FRR1 2B, 1.070%, 11/29/2050 | 5,955,848 | 0.2 |
4,451,000 | (2),(4) | GAM Resecuritization Trust 2022-FRR3 BK47, 2.038%, 01/29/2052 | 3,793,394 | 0.1 |
3,030,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 BK61, 0.730%, 01/29/2052 | 2,439,436 | 0.1 |
3,298,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 BK89, 1.130%, 01/27/2052 | 2,355,909 | 0.1 |
1,723,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 C728, 0.420%, 08/27/2050 | 1,529,709 | 0.1 |
1,756,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 CK47, 0.580%, 05/27/2048 | 1,508,949 | 0.1 |
2,125,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 CK61, 0.970%, 11/27/2049 | 1,625,953 | 0.1 |
1,483,000 | (2),(4) | GAM Resecuritization Trust 2022-FRR3 CK71, 1.411%, 01/29/2052 | 1,158,936 | 0.0 |
1,728,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 CK89, 1.320%, 01/27/2052 | 1,165,687 | 0.0 |
1,724,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 D728, 0.490%, 01/29/2052 | | 1,488,998 | 0.1 |
2,328,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 DK27, 0.150%, 12/27/2045 | 2,246,727 | 0.1 |
1,388,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 DK41, 0.510%, 10/27/2047 | 1,218,690 | 0.0 |
1,755,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 DK47, 0.670%, 05/27/2048 | 1,473,670 | 0.0 |
580,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 EK27, 0.210%, 12/27/2045 | 552,192 | 0.0 |
924,000 | (2),(9) | GAM Resecuritization Trust 2022-FRR3 EK41, 0.580%, 01/29/2052 | 777,571 | 0.0 |
3,070,000 | (2) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 1,948,498 | 0.1 |
28,421,001 | (3),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.007%, 11/10/2046 | 348,865 | 0.0 |
38,788,028 | (3),(4) | GS Mortgage Securities Trust 2014-GC22 XA, 0.942%, 06/10/2047 | 542,660 | 0.0 |
6,930,000 | (2),(3) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | 6,621,630 | 0.2 |
5,310,000 | (2),(3) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | 4,984,158 | 0.2 |
105,279,729 | (3),(4) | GS Mortgage Securities Trust 2019-GC42 XA, 0.808%, 09/01/2052 | 5,007,567 | 0.2 |
9,079,499 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 0.784%, 06/15/2045 | 219 | 0.0 |
38,685,715 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.591%, 12/15/2049 | 837,488 | 0.0 |
3,720,000 | (2),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 4.886%, 01/15/2047 | 3,534,882 | 0.1 |
2,010,229 | (3),(4) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 0.961%, 10/15/2048 | 41,633 | 0.0 |
292,068 | (2),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XCL, 0.052%, 11/15/2038 | 945 | 0.0 |
1,525,929 | (2),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.052%, 11/15/2038 | 4,938 | 0.0 |
688,079 | (2) | Life 2021-BMR F Mortgage Trust, 2.747%, (US0001M + 2.350%), 03/15/2038 | 660,815 | 0.0 |
4,447,000 | (2),(3) | LSTAR Commercial Mortgage Trust 2015-3 E, 3.165%, 04/20/2048 | 3,996,277 | 0.1 |
3,151,000 | (2) | MF1 Multifamily Housing Mortgage Loan Trust 2021-FL5 D, 2.943%, (TSFR1M + 2.500%), 07/15/2036 | 3,113,785 | 0.1 |
1,706,000 | (2),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 4.898%, 04/15/2047 | 1,681,594 | 0.1 |
1,900,000 | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | 1,577,155 | 0.1 |
2,060,000 | (2),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.461%, 12/10/2045 | 1,901,486 | 0.1 |
3,520,000 | (2),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.461%, 12/10/2045 | 2,671,341 | 0.1 |
26,147,524 | (3),(4) | Wells Fargo Commercial Mortgage Trust 2014-LC18 XA, 1.034%, 12/15/2047 | 545,375 | 0.0 |
24,979,646 | (3),(4) | Wells Fargo Commercial Mortgage Trust 2021-C59 E, 1.548%, 04/15/2054 | 2,512,213 | 0.1 |
716,457 | (2),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.521%, 11/15/2044 | 715,079 | 0.0 |
11,129,814 | (2),(3),(4) | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.687%, 08/15/2045 | 548 | 0.0 |
9,020,000 | (2),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.238%, 03/15/2045 | 7,725,757 | 0.3 |
6,583,000 | (2) | WFRBS Commercial Mortgage Trust 2013-C12 E, 3.500%, 03/15/2048 | 5,985,476 | 0.2 |
26,604,590 | (2),(3),(4) | WFRBS Commercial Mortgage Trust 2013-C12 XA, 1.088%, 03/15/2048 | 170,283 | 0.0 |
2,500,000 | (3) | WFRBS Commercial Mortgage Trust 2014-C21 C, 4.234%, 08/15/2047 | 2,416,135 | 0.1 |
8,510,000 | (3) | WFRBS Commercial Mortgage Trust 2014-LC14 C, 4.344%, 03/15/2047 | 8,492,457 | 0.3 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $191,856,140) | 185,061,410 | 6.3 |
| | | |
Shares | | | Value | Percentage of Net Assets |
MUTUAL FUNDS: 26.7% |
| | Affiliated Investment Companies: 26.7% |
10,167,549 | | Voya Emerging Markets Corporate Debt Fund - Class P | 89,474,434 | 3.1 |
15,182,572 | | Voya Emerging Markets Hard Currency Debt Fund - Class P | 127,381,781 | 4.3 |
8,898,663 | | Voya Emerging Markets Local Currency Debt Fund - Class P | 52,146,166 | 1.8 |
94,603 | | Voya Floating Rate Fund - Class P | 841,968 | 0.0 |
20,661,143 | | Voya High Yield Bond Fund - Class P | 156,611,463 | 5.4 |
16,213,337 | | Voya Investment Grade Credit Fund - Class P | 165,051,766 | 5.6 |
19,797,467 | | Voya Securitized Credit Fund - Class P | | 189,461,760 | 6.5 |
| | | | |
| Total Mutual Funds | | |
| (Cost $845,507,797) | 780,969,338 | 26.7 |
| | | |
| | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (10): 0.1% |
| Total Purchased Options | | |
| (Cost $2,257,122) | 1,599,952 | 0.1 |
| | | |
| Total Long-Term Investments | | |
| (Cost $3,262,684,272) | 3,110,754,629 | 106.5 |
| | | |
Principal Amount† | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 5.0% |
| | Commercial Paper: 1.4% |
725,000 | (11) | Bank of Montreal, 0.220%, 04/18/2022 | 724,862 | 0.0 |
5,000,000 | | Basf SE, 0.900%, 06/02/2022 | 4,992,273 | 0.3 |
675,000 | (11) | Bayeriche Landesbank of New York, 0.160%, 04/01/2022 | 674,994 | 0.0 |
325,000 | (11) | Collateralized Commercial Paper V Co., LLC, 0.180%, 04/11/2022 | 324,965 | 0.0 |
600,000 | (11) | Collateralized Commercial Paper V Co., LLC, 0.360%, 06/08/2022 | 598,990 | 0.0 |
250,000 | (11) | Commonwealth Bank of Australia, 0.160%, 04/19/2022 | 249,954 | 0.0 |
475,000 | (11) | Credit Suisse AG, -2.580%, 04/08/2022 | 475,089 | 0.0 |
600,000 | (11) | Credit Suisse AG, 0.330%, 06/09/2022 | 599,082 | 0.0 |
700,000 | (11) | DNB Bank ASA, 0.220%, 05/03/2022 | 699,800 | 0.0 |
3,790,000 | (11) | Exxon Mobile Corporation, 0.290%, 04/01/2022 | 3,789,970 | 0.2 |
10,000,000 | | HP, Inc., 0.850%, 04/25/2022 | 9,994,166 | 0.5 |
500,000 | (11) | LMA-Americas LLC, 0.270%, 05/04/2022 | 499,704 | 0.0 |
700,000 | (11) | Mitsubishi UFJ Trust and Banking Corp., 0.270%, 04/18/2022 | 699,870 | 0.0 |
350,000 | (11) | Mizuho Bank Ltd., 0.300%, 04/04/2022 | 349,987 | 0.0 |
525,000 | (11) | Old Line Funding LLC, 0.250%, 04/27/2022 | 524,781 | 0.0 |
750,000 | (11) | Santander UK PLC, 0.230%, 04/08/2022 | 749,944 | 0.0 |
500,000 | (11) | Santander UK PLC, 0.290%, 05/03/2022 | 499,777 | 0.0 |
800,000 | (11) | Skandinaviska Enskilda Banken AB, 0.140%, 04/04/2022 | 799,973 | 0.0 |
300,000 | (11) | Skandinaviska Enskilda Banken AB, 0.140%, 04/12/2022 | 299,967 | 0.0 |
500,000 | (11) | Starbird Funding Corp., 0.300%, 05/12/2022 | 499,604 | 0.0 |
425,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.290%, 04/08/2022 | 424,969 | 0.0 |
375,000 | (11) | Thunder Bay Funding LLC, 0.240%, 05/02/2022 | 374,802 | 0.0 |
350,000 | (11) | Thunder Bay Funding LLC, 0.240%, 05/06/2022 | 349,783 | 0.0 |
700,000 | (11) | Toronto-Dominion Bank, 0.160%, 04/14/2022 | 699,915 | 0.0 |
7,000,000 | | Verizon Communications, Inc., 1.000%, 05/09/2022 | 6,992,507 | 0.4 |
| | | |
| Total Commercial Paper | | |
| (Cost $36,888,338) | 36,889,728 | 1.4 |
| | | |
| | Floating Rate Notes: 0.7% |
600,000 | (11) | ANZ Bank, 0.420%, 08/18/2022 | 599,620 | 0.0 |
725,000 | (11) | Bank of America N.A., 0.410%, 06/22/2022 | 724,687 | 0.0 |
750,000 | (11) | Bank of America N.A., 0.380%, 07/06/2022 | 750,000 | 0.1 |
400,000 | (11) | Bank of Montreal, 0.410%, 07/25/2022 | 399,701 | 0.0 |
725,000 | (11) | Bank of Nova Scotia, 0.410%, 07/12/2022 | 724,573 | 0.0 |
525,000 | (11) | Bayeriche Landesbank of New York, 0.470%, 07/27/2022 | 524,648 | 0.0 |
625,000 | (11) | Commonwealth Bank of Australia, 0.450%, 09/01/2022 | 624,442 | 0.0 |
725,000 | (11) | Cooperatieve Rabobank U.A./New York, 0.420%, 06/21/2022 | 724,724 | 0.1 |
375,000 | (11) | Cooperatieve Rabobank U.A./New York, 0.400%, 07/11/2022 | 374,773 | 0.0 |
725,000 | (11) | Cooperatieve Rabobank U.A./New York, 0.410%, 08/03/2022 | 724,402 | 0.0 |
725,000 | (11) | Credit Agricole, 0.410%, 08/04/2022 | 724,488 | 0.0 |
725,000 | (11) | Credit Industriel et Commercial, 0.390%, 07/05/2022 | 724,591 | 0.0 |
700,000 | (11) | Credit Industriel et Commercial, 0.410%, 07/07/2022 | 699,608 | 0.0 |
750,000 | (11) | Credit Suisse AG, 0.390%, 04/08/2022 | 750,026 | 0.1 |
325,000 | (11) | DNB Bank ASA, 0.410%, 07/08/2022 | 324,814 | 0.0 |
600,000 | (11) | Mizuho Bank Ltd., 0.440%, 07/25/2022 | 599,361 | 0.0 |
725,000 | (11) | National Australia Bank Ltd., 0.400%, 08/08/2022 | 724,365 | 0.0 |
400,000 | (11) | National Australia Bank Ltd., 0.420%, 08/15/2022 | 399,667 | 0.0 |
725,000 | (11) | National Bank of Canada, 0.430%, 08/09/2022 | 724,410 | 0.0 |
725,000 | (11) | Natixis SA, 0.440%, 06/17/2022 | 724,815 | 0.1 |
725,000 | (11) | Natixis SA, 0.390%, 07/11/2022 | 724,635 | 0.0 |
725,000 | (11) | Norinchukin Bank of New York, 0.420%, 06/22/2022 | 724,719 | 0.1 |
600,000 | (11) | Royal Bank of Canada, 0.400%, 07/11/2022 | 599,650 | 0.0 |
650,000 | (11) | Royal Bank of Canada, 0.420%, 08/16/2022 | | 649,463 | 0.0 |
725,000 | (11) | Skandinaviska Enskilda Banken AB, 0.410%, 07/20/2022 | 724,582 | 0.0 |
725,000 | (11) | Societe Generale, 0.430%, 08/08/2022 | 724,365 | 0.0 |
650,000 | (11) | Starbird Funding Corp., 0.450%, 08/23/2022 | 648,960 | 0.0 |
725,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.370%, 04/01/2022 | 725,003 | 0.1 |
600,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.380%, 04/14/2022 | 600,011 | 0.0 |
500,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.430%, 07/25/2022 | 499,702 | 0.0 |
250,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.430%, 07/28/2022 | 249,844 | 0.0 |
725,000 | (11) | Svenska Handelsbanken AB, 0.400%, 07/11/2022 | 724,540 | 0.0 |
275,000 | (11) | Svenska Handelsbanken AB, 0.420%, 07/29/2022 | 274,780 | 0.0 |
325,000 | (11) | Toronto-Dominion Bank, 0.430%, 07/25/2022 | 324,863 | 0.0 |
750,000 | (11) | Westpac Banking Corp., 0.410%, 08/02/2022 | 749,533 | 0.1 |
| | | |
| Total Floating Rate Notes | | |
| (Cost $21,512,365) | 21,512,365 | 0.7 |
| | | |
| | Repurchase Agreements: 2.3% |
15,548,118 | (11) | Cantor Fitzgerald Securities, Repurchase Agreement dated 03/31/22, 0.29%, due 04/01/22 (Repurchase Amount $15,548,242, collateralized by various U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $15,859,080, due 04/25/22-12/20/71) | 15,548,118 | 0.5 |
3,973,954 | (11) | CF Secured LLC, Repurchase Agreement dated 03/31/22, 0.29%, due 04/01/22 (Repurchase Amount $3,973,986, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-5.500%, Market Value plus accrued interest $4,053,434, due 04/05/22-03/01/52) | 3,973,954 | 0.1 |
7,866,412 | (11) | Citadel Securities LLC, Repurchase Agreement dated 03/31/22, 0.33%, due 04/01/22 (Repurchase Amount $7,866,483, collateralized by various U.S. Government Securities, 0.000%-7.625%, Market Value plus accrued interest $8,023,835, due 04/19/22-02/15/52) | 7,866,412 | 0.3 |
20,006,285 | (11) | Daiwa Capital Markets, Repurchase Agreement dated 03/31/22, 0.30%, due 04/01/22 (Repurchase Amount $20,006,449, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $20,406,411, due 04/05/22-04/01/52) | 20,006,285 | 0.7 |
3,458,892 | (11) | Industrial & Comm. Bank of China, Repurchase Agreement dated 03/31/22, 0.28%, due 04/01/22 (Repurchase Amount $3,458,919, collateralized by various U.S. Government Securities, 0.000%-2.250%, Market Value plus accrued interest $3,528,070, due 03/23/23-02/28/27) | 3,458,892 | 0.1 |
4,690,232 | (11) | Mirae Asset Securities USA Inc., Repurchase Agreement dated 03/31/22, 0.33%, due 04/01/22 (Repurchase Amount $4,690,274, collateralized by various U.S. Government Agency Obligations, 0.550%-8.250%, Market Value plus accrued interest $4,784,081, due 05/01/22-02/20/72) | 4,690,232 | 0.2 |
9,927,925 | (11) | State of Wisconsin Investment Board, Repurchase Agreement dated 03/31/22, 0.33%, due 04/01/22 (Repurchase Amount $9,928,015, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $10,126,490, due 01/15/25-02/15/51) | 9,927,925 | 0.3 |
| | | | |
2,535,131 | (11) | Stonex Financial Inc., Repurchase Agreement dated 03/31/22, 0.35%, due 04/01/22 (Repurchase Amount $2,535,155, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $2,661,888, due 04/15/22-02/20/72) | | 2,535,131 | 0.1 |
| | | |
| Total Repurchase Agreements | | |
| (Cost $68,006,949) | 68,006,949 | 2.3 |
| | | |
| | Certificates of Deposit: 0.2% |
650,000 | (11) | Bayeriche Landesbank of New York, 0.210%, 04/05/2022 | 649,988 | 0.0 |
625,000 | (11) | Commonwealth Bank of Australia, 0.130%, 04/08/2022 | 624,974 | 0.0 |
725,000 | (11) | Landesbank Baden-Wurttemberg, 0.170%, 04/12/2022 | 724,947 | 0.0 |
725,000 | (11) | Landesbank Baden-Wurttemberg, 0.180%, 04/19/2022 | 724,905 | 0.0 |
725,000 | (11) | Mitsubishi UFJ Trust and Banking Corp., 0.160%, 04/06/2022 | 724,978 | 0.1 |
400,000 | (11) | Mitsubishi UFJ Trust and Banking Corp., 0.180%, 04/18/2022 | 399,959 | 0.0 |
725,000 | (11) | Mizuho Bank Ltd., 0.160%, 04/14/2022 | 724,928 | 0.0 |
725,000 | (11) | Oversea-Chinese Banking Corp. Ltd., 0.150%, 04/07/2022 | 724,972 | 0.1 |
250,000 | (11) | Societe Generale, 0.170%, 04/18/2022 | 249,982 | 0.0 |
525,000 | (11) | Sumitomo Mitsui Trust Bank Ltd., 0.160%, 04/08/2022 | 524,980 | 0.0 |
250,000 | (11) | Svenska Handelsbanken AB, 0.160%, 04/20/2022 | 249,967 | 0.0 |
275,000 | (11) | Toronto-Dominion Bank, 0.280%, 05/10/2022 | 274,938 | 0.0 |
| | | |
| Total Certificates of Deposit | |
| (Cost $6,599,518) | 6,599,518 | 0.2 |
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, 2022, 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, 2022, the following centrally cleared interest rate swaps were outstanding for Voya Intermediate Bond Portfolio:
At March 31, 2022, 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: