Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 22.5% | |
| | Basic Materials: 0.4% |
149,000 | | Albemarle Corp., 5.050%, 06/01/2032 | $ | 138,316 | 0.0 |
445,000 | (1) | Anglo American Capital PLC, 2.250%, 03/17/2028 | 366,204 | 0.0 |
1,250,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,209,866 | 0.1 |
276,000 | (1) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 261,497 | 0.0 |
1,195,000 | | Celanese US Holdings LLC, 1.400%, 08/05/2026 | 975,728 | 0.1 |
842,000 | | Dow Chemical Co., 4.250%, 10/01/2034 | 714,696 | 0.0 |
500,000 | | Dow Chemical Co/The, 4.625%, 10/01/2044 | 401,628 | 0.0 |
380,000 | | Ecolab, Inc., 2.750%, 08/18/2055 | 236,042 | 0.0 |
1,366,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 1,288,777 | 0.1 |
325,000 | | Nucor Corp., 3.125%, 04/01/2032 | 265,801 | 0.0 |
580,000 | | Nucor Corp., 4.300%, 05/23/2027 | 556,121 | 0.0 |
1,333,000 | | PPG Industries, Inc., 1.200%, 03/15/2026 | 1,164,823 | 0.1 |
143,000 | | Rio Tinto Finance USA Ltd., 2.750%, 11/02/2051 | 92,963 | 0.0 |
13,000 | | RPM International, Inc., 2.950%, 01/15/2032 | 10,029 | 0.0 |
1,147,000 | | Steel Dynamics, Inc., 1.650%, 10/15/2027 | 939,782 | 0.0 |
362,000 | | Teck Resources Ltd., 5.400%, 02/01/2043 | 294,378 | 0.0 |
| | | 8,916,651 | 0.4 |
| | | | |
| | Communications: 1.5% |
774,000 | | Amazon.com, Inc., 2.100%, 05/12/2031 | 628,963 | 0.0 |
2,340,000 | | Amazon.com, Inc., 2.875%, 05/12/2041 | 1,715,257 | 0.1 |
822,000 | (2) | Amazon.com, Inc., 3.600%, 04/13/2032 | 748,242 | 0.0 |
411,000 | | Amazon.com, Inc., 3.950%, 04/13/2052 | 338,050 | 0.0 |
652,000 | | Amazon.com, Inc., 4.100%, 04/13/2062 | 522,161 | 0.0 |
1,803,000 | | AT&T, Inc., 2.550%, 12/01/2033 | 1,336,579 | 0.1 |
1,240,000 | | AT&T, Inc., 3.550%, 09/15/2055 | 817,097 | 0.1 |
1,532,000 | | AT&T, Inc., 3.650%, 09/15/2059 | 995,781 | 0.1 |
764,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 2.250%, 01/15/2029 | 599,114 | 0.0 |
1,065,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042 | 678,176 | 0.0 |
446,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 261,523 | 0.0 |
451,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.900%, 06/01/2052 | 280,290 | 0.0 |
1,018,000 | | Comcast Corp., 2.650%, 02/01/2030 | 854,479 | 0.1 |
1,417,000 | | Comcast Corp., 2.887%, 11/01/2051 | 889,723 | 0.1 |
529,000 | | Comcast Corp., 3.900%, 03/01/2038 | 432,527 | 0.0 |
900,000 | | Comcast Corp., 3.999%, 11/01/2049 | 691,477 | 0.0 |
3,290,000 | | Comcast Corp., 4.000%, 03/01/2048 | 2,539,061 | 0.1 |
588,000 | | Corning, Inc., 5.450%, 11/15/2079 | 482,760 | 0.0 |
485,000 | (1) | Meta Platforms, Inc., 3.500%, 08/15/2027 | 454,020 | 0.0 |
1,774,000 | (1) | Meta Platforms, Inc., 3.850%, 08/15/2032 | 1,561,205 | 0.1 |
1,346,000 | (1) | Meta Platforms, Inc., 4.450%, 08/15/2052 | 1,100,726 | 0.1 |
1,698,000 | (1) | Meta Platforms, Inc., 4.650%, 08/15/2062 | 1,372,039 | 0.1 |
738,000 | (1) | NBN Co. Ltd., 1.450%, 05/05/2026 | 644,638 | 0.0 |
550,000 | (1),(2) | NBN Co. Ltd., 1.625%, 01/08/2027 | 473,632 | 0.0 |
474,000 | (2) | Paramount Global, 4.950%, 05/19/2050 | 338,009 | 0.0 |
120,000 | | Paramount Global, 5.250%, 04/01/2044 | 90,032 | 0.0 |
257,000 | (1) | Rogers Communications, Inc., 3.800%, 03/15/2032 | 222,457 | 0.0 |
588,000 | (1) | Rogers Communications, Inc., 4.550%, 03/15/2052 | 470,164 | 0.0 |
3,754,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 3,099,061 | 0.1 |
527,000 | | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 438,159 | 0.0 |
178,000 | | T-Mobile USA, Inc., 2.250%, 02/15/2026 | 159,520 | 0.0 |
614,000 | | T-Mobile USA, Inc., 2.625%, 02/15/2029 | | 508,199 | 0.0 |
526,000 | | T-Mobile USA, Inc., 3.500%, 04/15/2031 | | 442,850 | 0.0 |
640,000 | | T-Mobile USA, Inc., 3.750%, 04/15/2027 | | 591,463 | 0.0 |
198,000 | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | | 175,750 | 0.0 |
851,000 | | T-Mobile USA, Inc., 4.375%, 04/15/2040 | | 695,096 | 0.0 |
464,000 | (2) | T-Mobile USA, Inc., 5.650%, 01/15/2053 | | 439,422 | 0.0 |
861,000 | | Verizon Communications, Inc., 2.100%, 03/22/2028 | | 727,237 | 0.0 |
682,000 | | Verizon Communications, Inc., 2.355%, 03/15/2032 | | 523,650 | 0.0 |
417,000 | | Verizon Communications, Inc., 2.987%, 10/30/2056 | | 249,023 | 0.0 |
779,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | | 570,631 | 0.0 |
312,000 | | Verizon Communications, Inc., 3.550%, 03/22/2051 | | 220,076 | 0.0 |
1,119,000 | | Verizon Communications, Inc., 3.700%, 03/22/2061 | | 761,993 | 0.1 |
2,000,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | | 1,537,848 | 0.1 |
186,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | | 142,578 | 0.0 |
980,000 | | Verizon Communications, Inc., 4.400%, 11/01/2034 | | 864,700 | 0.1 |
116,000 | | Verizon Communications, Inc., 4.500%, 08/10/2033 | | 104,721 | 0.0 |
770,000 | | Verizon Communications, Inc., 4.750%, 11/01/2041 | | 668,250 | 0.0 |
2,750,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | | 2,426,075 | 0.1 |
286,000 | | Vodafone Group PLC, 4.375%, 02/19/2043 | | 219,510 | 0.0 |
477,000 | (2) | Vodafone Group PLC, 5.125%, 06/19/2059 | | 388,185 | 0.0 |
| | | | 37,492,179 | 1.5 |
| | | | | |
| | Consumer, Cyclical: 1.4% |
48,064 | (1) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | | 45,467 | 0.0 |
38,065 | | American Airlines 2015-2 Class AA Pass Through Trust, 3.600%, 03/22/2029 | | 34,192 | 0.0 |
2,122,862 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | | 1,850,633 | 0.1 |
97,155 | (2) | American Airlines 2017-2 Class AA Pass Through Trust, 3.350%, 04/15/2031 | | 84,957 | 0.0 |
584,148 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | | 490,308 | 0.0 |
218,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | | 203,334 | 0.0 |
518,000 | | Dollar General Corp., 5.000%, 11/01/2032 | | 498,912 | 0.0 |
935,000 | | General Motors Co., 6.125%, 10/01/2025 | | 936,248 | 0.0 |
1,027,000 | (2) | General Motors Financial Co., Inc., 2.350%, 02/26/2027 | | 872,805 | 0.0 |
985,000 | | General Motors Financial Co., Inc., 3.950%, 04/13/2024 | | 961,382 | 0.1 |
1,893,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | | 1,757,098 | 0.1 |
1,527,000 | | General Motors Financial Co., Inc., 5.000%, 04/09/2027 | | 1,449,351 | 0.1 |
2,878,000 | (1) | Harley-Davidson Financial Services, Inc., 3.050%, 02/14/2027 | | 2,473,972 | 0.1 |
858,000 | | Hasbro, Inc., 3.000%, 11/19/2024 | | 823,547 | 0.0 |
794,000 | | Hasbro, Inc., 3.550%, 11/19/2026 | | 737,062 | 0.0 |
265,000 | | Home Depot, Inc./The, 3.625%, 04/15/2052 | | 200,595 | 0.0 |
803,000 | (2) | Home Depot, Inc./The, 4.500%, 09/15/2032 | | 768,327 | 0.0 |
1,150,000 | | Home Depot, Inc./The, 4.950%, 09/15/2052 | | 1,083,285 | 0.1 |
496,000 | | Lowe's Cos, Inc., 4.250%, 04/01/2052 | | 380,396 | 0.0 |
260,000 | | Lowe's Cos, Inc., 4.450%, 04/01/2062 | | 194,875 | 0.0 |
740,000 | | Lowe's Cos, Inc., 5.000%, 04/15/2033 | | 699,707 | 0.0 |
684,000 | (1) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | | 670,758 | 0.0 |
1,244,000 | (1) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | | 1,009,493 | 0.1 |
547,000 | | Target Corp., 2.950%, 01/15/2052 | | 369,422 | 0.0 |
1,185,000 | | Target Corp., 4.500%, 09/15/2032 | | 1,130,835 | 0.1 |
313,000 | | Toyota Motor Credit Corp., 1.900%, 01/13/2027 | | 276,315 | 0.0 |
750,000 | (2) | Toyota Motor Credit Corp., 4.450%, 06/29/2029 | | 724,702 | 0.0 |
1,150,000 | | Toyota Motor Credit Corp., 4.550%, 09/20/2027 | | 1,124,159 | 0.1 |
379,896 | | United Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | | 359,830 | 0.0 |
536,136 | | United Airlines 2014-1 Class A Pass Through Trust, 4.000%, 10/11/2027 | | 490,995 | 0.0 |
945,030 | | United Airlines 2016-2 Class A Pass Through Trust, 3.100%, 04/07/2030 | | 731,537 | 0.0 |
3,580,445 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | | 3,103,013 | 0.1 |
589,723 | | United Airlines 2019-2 Class A Pass Through Trust, 2.900%, 11/01/2029 | | 475,984 | 0.0 |
1,410,469 | | United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 04/15/2029 | | 1,362,679 | 0.1 |
1,792,478 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | | 1,737,749 | 0.1 |
900,000 | (2) | Walmart, Inc., 4.150%, 09/09/2032 | | 863,062 | 0.0 |
575,000 | | Walmart, Inc., 4.500%, 09/09/2052 | | 540,334 | 0.0 |
1,505,000 | (1) | Warnermedia Holdings, Inc., 3.755%, 03/15/2027 | | 1,348,402 | 0.1 |
184,000 | (1) | Warnermedia Holdings, Inc., 4.279%, 03/15/2032 | | 151,610 | 0.0 |
288,000 | (1) | Warnermedia Holdings, Inc., 5.050%, 03/15/2042 | | 215,999 | 0.0 |
1,289,000 | (1) | Warnermedia Holdings, Inc., 5.141%, 03/15/2052 | | 939,330 | 0.1 |
| | | | 34,172,661 | 1.4 |
| | | | | |
| | Consumer, Non-cyclical: 3.4% |
109,000 | | Abbott Laboratories, 4.900%, 11/30/2046 | | 104,771 | 0.0 |
1,663,000 | | AbbVie, Inc., 2.600%, 11/21/2024 | | 1,583,791 | 0.1 |
830,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | | 828,580 | 0.0 |
732,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | | 590,903 | 0.0 |
1,257,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | | 1,093,048 | 0.1 |
1,964,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | | 1,635,254 | 0.1 |
579,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | | 516,342 | 0.0 |
292,000 | | AbbVie, Inc., 4.550%, 03/15/2035 | | 262,383 | 0.0 |
1,700,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | | 1,447,137 | 0.1 |
2,403,000 | | Aetna, Inc., 4.500%, 05/15/2042 | | 1,983,741 | 0.1 |
473,000 | | Altria Group, Inc., 2.450%, 02/04/2032 | | 334,527 | 0.0 |
918,000 | | Altria Group, Inc., 3.700%, 02/04/2051 | | 555,933 | 0.0 |
301,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | | 278,172 | 0.0 |
730,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | | 639,198 | 0.0 |
543,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | | 451,095 | 0.0 |
615,000 | | Amgen, Inc., 3.375%, 02/21/2050 | | 420,295 | 0.0 |
384,000 | | Amgen, Inc., 4.875%, 03/01/2053 | | 338,397 | 0.0 |
1,375,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | | 1,240,763 | 0.1 |
3,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | | 2,614,300 | 0.1 |
1,909,000 | | Anheuser-Busch InBev Finance, Inc., 4.000%, 01/17/2043 | | 1,482,661 | 0.1 |
1,260,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | | 1,204,132 | 0.1 |
2,362,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | | 1,882,393 | 0.1 |
483,000 | | BAT Capital Corp., 2.726%, 03/25/2031 | | 360,167 | 0.0 |
140,000 | | BAT Capital Corp., 3.557%, 08/15/2027 | | 123,131 | 0.0 |
866,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | | 556,362 | 0.0 |
419,000 | | BAT Capital Corp., 4.390%, 08/15/2037 | | 299,538 | 0.0 |
1,250,000 | | BAT International Finance PLC, 4.448%, 03/16/2028 | | 1,116,110 | 0.1 |
550,000 | (2) | Baxter International, Inc., 1.915%, 02/01/2027 | | 479,331 | 0.0 |
1,150,000 | | Baxter International, Inc., 2.272%, 12/01/2028 | | 950,651 | 0.1 |
226,000 | | Bio-Rad Laboratories, Inc., 3.300%, 03/15/2027 | | 205,445 | 0.0 |
1,158,000 | | Bristol-Myers Squibb Co., 3.700%, 03/15/2052 | | 890,613 | 0.0 |
1,757,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | | 1,540,636 | 0.1 |
374,000 | (1) | Cargill, Inc., 2.125%, 04/23/2030 | | 303,505 | 0.0 |
831,000 | (1) | Cargill, Inc., 2.125%, 11/10/2031 | | 650,745 | 0.0 |
310,000 | (1) | Cargill, Inc., 3.125%, 05/25/2051 | | 213,746 | 0.0 |
388,000 | (1) | Cargill, Inc., 4.375%, 04/22/2052 | | 334,353 | 0.0 |
2,195,000 | | Cigna Corp., 3.250%, 04/15/2025 | | 2,098,530 | 0.1 |
271,000 | | Cigna Corp., 3.400%, 03/15/2050 | | 183,813 | 0.0 |
3,900,000 | | Cigna Corp., 4.800%, 08/15/2038 | | 3,466,194 | 0.2 |
721,000 | | Cigna Corp., 4.900%, 12/15/2048 | | 624,366 | 0.0 |
793,000 | (1) | CSL Finance PLC, 4.050%, 04/27/2029 | | 731,395 | 0.0 |
1,168,000 | (1) | CSL Finance PLC, 4.250%, 04/27/2032 | | 1,070,652 | 0.1 |
404,000 | (1) | CSL Finance PLC, 4.625%, 04/27/2042 | | 353,998 | 0.0 |
668,000 | (1) | CSL Finance PLC, 4.750%, 04/27/2052 | | 579,447 | 0.0 |
278,000 | (1) | CSL Finance PLC, 4.950%, 04/27/2062 | | 242,323 | 0.0 |
798,000 | | CVS Health Corp., 2.700%, 08/21/2040 | | 525,690 | 0.0 |
1,075,000 | | CVS Health Corp., 3.875%, 07/20/2025 | | 1,043,369 | 0.1 |
1,886,000 | | CVS Health Corp., 4.125%, 04/01/2040 | | 1,505,484 | 0.1 |
3,000,000 | | CVS Health Corp., 4.780%, 03/25/2038 | | 2,635,929 | 0.1 |
378,000 | | CVS Health Corp., 5.050%, 03/25/2048 | | 333,775 | 0.0 |
159,000 | | CVS Health Corp., 5.125%, 07/20/2045 | | 139,586 | 0.0 |
50,886 | | CVS Pass-Through Trust, 6.943%, 01/10/2030 | | 52,413 | 0.0 |
1,400,000 | (1),(2) | Element Fleet Management Corp., 3.850%, 06/15/2025 | | 1,326,602 | 0.1 |
127,000 | | Elevance Health, Inc., 2.550%, 03/15/2031 | | 102,596 | 0.0 |
307,000 | | Elevance Health, Inc., 4.100%, 05/15/2032 | | 277,799 | 0.0 |
1,237,000 | (1) | Fresenius Medical Care US Finance III, Inc., 1.875%, 12/01/2026 | | 1,035,004 | 0.1 |
1,000,000 | | Global Payments, Inc., 1.200%, 03/01/2026 | | 861,737 | 0.0 |
1,000,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | | 935,642 | 0.0 |
1,676,000 | | Global Payments, Inc., 3.200%, 08/15/2029 | | 1,398,741 | 0.1 |
385,000 | | Global Payments, Inc., 5.950%, 08/15/2052 | | 340,232 | 0.0 |
614,000 | (1) | GSK Consumer Healthcare Capital US LLC, 3.375%, 03/24/2029 | | 536,149 | 0.0 |
602,000 | | GXO Logistics, Inc., 1.650%, 07/15/2026 | | 492,488 | 0.0 |
377,000 | | HCA, Inc., 2.375%, 07/15/2031 | | 279,454 | 0.0 |
440,000 | (1) | HCA, Inc., 3.125%, 03/15/2027 | | 390,140 | 0.0 |
211,000 | | HCA, Inc., 3.500%, 09/01/2030 | | 174,686 | 0.0 |
276,000 | (1) | HCA, Inc., 3.625%, 03/15/2032 | | 223,677 | 0.0 |
1,166,000 | | HCA, Inc., 4.125%, 06/15/2029 | | 1,024,124 | 0.1 |
670,000 | (1) | HCA, Inc., 4.375%, 03/15/2042 | | 502,146 | 0.0 |
1,604,000 | | HCA, Inc., 4.500%, 02/15/2027 | | 1,499,613 | 0.1 |
772,000 | | HCA, Inc., 5.250%, 04/15/2025 | | 757,054 | 0.0 |
1,115,000 | | Humana, Inc., 1.350%, 02/03/2027 | | 940,521 | 0.1 |
193,000 | (2) | Humana, Inc., 2.150%, 02/03/2032 | | 146,946 | 0.0 |
178,000 | | Humana, Inc., 3.125%, 08/15/2029 | | 154,249 | 0.0 |
407,000 | | Johnson & Johnson, 3.625%, 03/03/2037 | | 352,548 | 0.0 |
250,000 | | Johnson & Johnson, 3.700%, 03/01/2046 | | 205,043 | 0.0 |
456,000 | | Keurig Dr Pepper, Inc., 4.050%, 04/15/2032 | | 400,757 | 0.0 |
550,000 | | Keurig Dr Pepper, Inc., 4.500%, 04/15/2052 | | 434,923 | 0.0 |
296,000 | | Kraft Heinz Foods Co., 5.000%, 06/04/2042 | | 257,774 | 0.0 |
294,000 | | Kraft Heinz Foods Co., 5.200%, 07/15/2045 | | 256,334 | 0.0 |
1,870,000 | (1) | Mars, Inc., 3.875%, 04/01/2039 | | 1,546,314 | 0.1 |
1,595,000 | | McKesson Corp., 1.300%, 08/15/2026 | | 1,378,965 | 0.1 |
405,000 | | Merck & Co., Inc., 2.750%, 12/10/2051 | | 265,023 | 0.0 |
405,000 | | Merck & Co., Inc., 2.900%, 12/10/2061 | | 255,018 | 0.0 |
884,000 | | Mylan, Inc., 5.200%, 04/15/2048 | | 610,064 | 0.0 |
710,000 | (1) | Nestle Holdings, Inc., 3.900%, 09/24/2038 | | 599,367 | 0.0 |
1,116,000 | (1) | Nestle Holdings, Inc., 4.125%, 10/01/2027 | | 1,084,078 | 0.1 |
550,000 | (1),(2) | Nestle Holdings, Inc., 4.300%, 10/01/2032 | | 523,683 | 0.0 |
1,001,000 | (1) | Nestle Holdings, Inc., 4.700%, 01/15/2053 | | 936,294 | 0.1 |
471,000 | (2) | PayPal Holdings, Inc., 4.400%, 06/01/2032 | | 439,433 | 0.0 |
1,780,000 | (2) | PayPal Holdings, Inc., 5.050%, 06/01/2052 | | 1,591,083 | 0.1 |
804,000 | | PayPal Holdings, Inc., 5.250%, 06/01/2062 | | 720,135 | 0.0 |
1,500,000 | | PepsiCo, Inc., 3.900%, 07/18/2032 | | 1,388,718 | 0.1 |
237,000 | | PerkinElmer, Inc., 1.900%, 09/15/2028 | | 190,649 | 0.0 |
201,000 | | PerkinElmer, Inc., 3.300%, 09/15/2029 | | 169,408 | 0.0 |
385,000 | | Reynolds American, Inc., 5.700%, 08/15/2035 | | 326,285 | 0.0 |
560,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | | 440,612 | 0.0 |
624,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | | 522,357 | 0.0 |
480,000 | (1) | Roche Holdings, Inc., 2.607%, 12/13/2051 | | 314,528 | 0.0 |
537,000 | | Royalty Pharma PLC, 1.200%, 09/02/2025 | | 475,227 | 0.0 |
796,000 | | Royalty Pharma PLC, 1.750%, 09/02/2027 | | 658,984 | 0.0 |
522,000 | | Royalty Pharma PLC, 3.550%, 09/02/2050 | | 326,593 | 0.0 |
329,000 | (2) | S&P Global, Inc., 1.250%, 08/15/2030 | | 246,610 | 0.0 |
1,000,000 | (1) | S&P Global, Inc., 2.700%, 03/01/2029 | | 866,085 | 0.0 |
1,252,000 | (1),(2) | S&P Global, Inc., 2.900%, 03/01/2032 | | 1,046,786 | 0.1 |
1,217,000 | (1) | S&P Global, Inc., 3.700%, 03/01/2052 | | 923,144 | 0.0 |
830,000 | (1) | Triton Container International Ltd., 2.050%, 04/15/2026 | | 705,411 | 0.0 |
482,000 | (1) | Triton Container International Ltd., 3.150%, 06/15/2031 | | 353,631 | 0.0 |
485,000 | | UnitedHealth Group, Inc., 2.750%, 05/15/2040 | | 340,777 | 0.0 |
245,000 | | UnitedHealth Group, Inc., 3.050%, 05/15/2041 | | 178,554 | 0.0 |
1,111,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | | 875,712 | 0.0 |
493,000 | | UnitedHealth Group, Inc., 3.750%, 10/15/2047 | | 380,091 | 0.0 |
482,000 | | UnitedHealth Group, Inc., 4.200%, 05/15/2032 | | 448,125 | 0.0 |
265,000 | | UnitedHealth Group, Inc., 4.750%, 05/15/2052 | | 237,612 | 0.0 |
553,000 | (2) | Viatris, Inc., 2.700%, 06/22/2030 | | 411,582 | 0.0 |
1,663,000 | | Viatris, Inc., 3.850%, 06/22/2040 | | 1,039,913 | 0.1 |
392,000 | | Viatris, Inc., 4.000%, 06/22/2050 | | 235,481 | 0.0 |
1,065,000 | (1) | Viterra Finance BV, 2.000%, 04/21/2026 | | 906,018 | 0.0 |
| | | | 84,364,442 | 3.4 |
| | | | | |
| | Energy: 1.8% |
647,000 | (1) | Aker BP ASA, 2.000%, 07/15/2026 | | 558,846 | 0.0 |
277,000 | | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026 | | 243,832 | 0.0 |
366,000 | | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | | 285,017 | 0.0 |
321,000 | | BP Capital Markets America, Inc., 2.772%, 11/10/2050 | | 199,996 | 0.0 |
752,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | | 649,070 | 0.0 |
205,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | | 207,259 | 0.0 |
300,000 | (2) | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | | 260,590 | 0.0 |
297,000 | | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | | 287,925 | 0.0 |
580,000 | | Continental Resources, Inc./OK, 4.900%, 06/01/2044 | | 414,991 | 0.0 |
3,558,000 | (1) | Coterra Energy, Inc., 3.900%, 05/15/2027 | | 3,302,309 | 0.1 |
464,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | | 401,120 | 0.0 |
979,000 | (3) | Enbridge, Inc., 5.750%, 07/15/2080 | | 863,723 | 0.1 |
631,000 | (3) | Enbridge, Inc., 7.375%, 01/15/2083 | | 609,325 | 0.0 |
631,000 | (3) | Enbridge, Inc., 7.625%, 01/15/2083 | | 610,285 | 0.0 |
582,000 | | Energy Transfer L.P., 4.250%, 04/01/2024 | | 570,023 | 0.0 |
154,000 | | Energy Transfer L.P., 4.900%, 03/15/2035 | | 129,688 | 0.0 |
1,625,000 | | Energy Transfer L.P., 5.300%, 04/01/2044 | | 1,305,315 | 0.1 |
1,086,000 | | Energy Transfer L.P., 5.300%, 04/15/2047 | | 869,301 | 0.1 |
845,000 | | Energy Transfer L.P., 5.350%, 05/15/2045 | | 681,854 | 0.0 |
399,000 | | Energy Transfer L.P., 5.800%, 06/15/2038 | | 350,361 | 0.0 |
1,067,000 | | Energy Transfer L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | | 1,058,279 | 0.1 |
1,385,000 | | Enterprise Products Operating LLC, 3.750%, 02/15/2025 | | 1,342,492 | 0.1 |
453,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | | 313,716 | 0.0 |
218,000 | | Enterprise Products Operating LLC, 4.200%, 01/31/2050 | | 167,110 | 0.0 |
1,200,000 | (3) | Enterprise Products Operating LLC, 5.908%, 08/16/2077 | | 1,097,400 | 0.1 |
826,000 | | Equinor ASA, 3.125%, 04/06/2030 | | 725,380 | 0.0 |
1,394,000 | | Exxon Mobil Corp., 2.726%, 03/01/2023 | | 1,387,700 | 0.1 |
1,000,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | | 984,139 | 0.1 |
920,000 | | Kinder Morgan Energy Partners L.P., 5.400%, 09/01/2044 | | 781,648 | 0.0 |
569,000 | | Kinder Morgan, Inc., 5.450%, 08/01/2052 | | 494,314 | 0.0 |
786,000 | | Kinder Morgan, Inc., 5.550%, 06/01/2045 | | 687,007 | 0.0 |
639,000 | | Marathon Petroleum Corp., 4.750%, 09/15/2044 | | 514,344 | 0.0 |
543,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | | 439,095 | 0.0 |
752,000 | | Marathon Petroleum Corp., 5.125%, 12/15/2026 | | 740,377 | 0.0 |
1,100,000 | | MPLX L.P., 4.000%, 03/15/2028 | | 1,003,906 | 0.1 |
202,000 | | MPLX L.P., 4.700%, 04/15/2048 | | 154,460 | 0.0 |
504,000 | | MPLX L.P., 5.200%, 12/01/2047 | | 409,480 | 0.0 |
309,000 | | MPLX L.P., 5.500%, 02/15/2049 | | 263,106 | 0.0 |
611,000 | (1) | Northern Natural Gas Co., 3.400%, 10/16/2051 | | 404,595 | 0.0 |
350,000 | | ONEOK Partners L.P., 6.125%, 02/01/2041 | | 308,798 | 0.0 |
908,000 | | ONEOK Partners L.P., 6.200%, 09/15/2043 | | 797,263 | 0.0 |
112,000 | | ONEOK, Inc., 3.100%, 03/15/2030 | | 91,153 | 0.0 |
766,000 | | ONEOK, Inc., 5.850%, 01/15/2026 | | 768,941 | 0.0 |
510,000 | | Phillips 66, 0.900%, 02/15/2024 | | 483,287 | 0.0 |
786,000 | | Phillips 66, 2.150%, 12/15/2030 | | 606,784 | 0.0 |
771,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | | 643,303 | 0.0 |
761,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.800%, 09/15/2030 | | 638,930 | 0.0 |
1,779,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | | 1,713,976 | 0.1 |
500,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | | 367,855 | 0.0 |
685,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | | 625,845 | 0.0 |
906,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | | 870,352 | 0.1 |
584,000 | (1) | Santos Finance Ltd., 3.649%, 04/29/2031 | | 454,701 | 0.0 |
500,000 | (1) | Schlumberger Holdings Corp., 3.750%, 05/01/2024 | | 490,444 | 0.0 |
587,000 | | Shell International Finance BV, 4.000%, 05/10/2046 | | 468,729 | 0.0 |
1,262,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | | 1,109,284 | 0.1 |
269,000 | | Targa Resources Corp., 6.250%, 07/01/2052 | | 245,102 | 0.0 |
963,000 | | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 5.000%, 01/15/2028 | | 892,850 | 0.1 |
2,000,000 | | TotalEnergies Capital Canada Ltd., 2.750%, 07/15/2023 | | 1,971,465 | 0.1 |
500,000 | | TotalEnergies Capital International SA, 2.986%, 06/29/2041 | | 357,680 | 0.0 |
144,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | | 121,932 | 0.0 |
3,804,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | | 3,662,792 | 0.2 |
1,017,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | | 891,497 | 0.1 |
| | | | 44,352,341 | 1.8 |
| | | | | |
| | Financial: 8.1% |
1,147,000 | (1),(3) | ABN AMRO Bank NV, 2.470%, 12/13/2029 | | 910,561 | 0.0 |
600,000 | (1),(3) | ABN AMRO Bank NV, 3.324%, 03/13/2037 | | 428,583 | 0.0 |
411,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.300%, 01/30/2032 | | 309,597 | 0.0 |
1,296,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.400%, 10/29/2033 | | 942,181 | 0.0 |
141,000 | | Alleghany Corp., 3.250%, 08/15/2051 | | 95,347 | 0.0 |
603,000 | | Alleghany Corp., 3.625%, 05/15/2030 | | 538,155 | 0.0 |
25,000 | | Alleghany Corp., 4.900%, 09/15/2044 | | 22,136 | 0.0 |
3,803,000 | (3) | American Express Co., 4.420%, 08/03/2033 | | 3,462,088 | 0.2 |
462,000 | | American Homes 4 Rent L.P., 2.375%, 07/15/2031 | | 349,031 | 0.0 |
398,000 | | American Homes 4 Rent L.P., 3.625%, 04/15/2032 | | 328,695 | 0.0 |
298,000 | | American Homes 4 Rent L.P., 4.300%, 04/15/2052 | | 219,148 | 0.0 |
460,000 | | American International Group, Inc., 3.900%, 04/01/2026 | | 439,639 | 0.0 |
317,000 | | American International Group, Inc., 4.375%, 06/30/2050 | | 254,665 | 0.0 |
419,000 | | American Tower Corp., 3.650%, 03/15/2027 | | 383,699 | 0.0 |
842,000 | (1) | Antares Holdings L.P., 2.750%, 01/15/2027 | | 671,414 | 0.0 |
914,000 | (1) | ASB Bank Ltd., 1.625%, 10/22/2026 | | 793,321 | 0.0 |
599,000 | (1),(3) | ASB Bank Ltd., 5.284%, 06/17/2032 | | 563,652 | 0.0 |
937,000 | | Assurant, Inc., 3.700%, 02/22/2030 | | 787,283 | 0.0 |
789,000 | (1) | Aviation Capital Group LLC, 1.950%, 09/20/2026 | | 639,924 | 0.0 |
452,000 | (1) | Aviation Capital Group LLC, 3.875%, 05/01/2023 | | 443,908 | 0.0 |
808,000 | (1) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | | 781,936 | 0.0 |
863,000 | (1) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | | 836,262 | 0.0 |
895,000 | (1) | Avolon Holdings Funding Ltd., 2.125%, 02/21/2026 | | 753,152 | 0.0 |
1,094,000 | (1) | Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 | | 857,346 | 0.0 |
710,000 | (1) | Avolon Holdings Funding Ltd., 2.750%, 02/21/2028 | | 558,575 | 0.0 |
1,565,000 | (1) | Avolon Holdings Funding Ltd., 4.250%, 04/15/2026 | | 1,405,015 | 0.1 |
2,400,000 | (3) | Banco Bilbao Vizcaya Argentaria SA, 6.138%, 09/14/2028 | | 2,319,576 | 0.1 |
1,000,000 | | Banco Santander SA, 2.746%, 05/28/2025 | | 915,474 | 0.0 |
600,000 | (3) | Banco Santander SA, 3.225%, 11/22/2032 | | 421,403 | 0.0 |
1,955,000 | (3) | Bank of America Corp., 1.197%, 10/24/2026 | | 1,707,327 | 0.1 |
3,375,000 | (3) | Bank of America Corp., 1.530%, 12/06/2025 | | 3,089,668 | 0.1 |
1,971,000 | (3) | Bank of America Corp., 1.734%, 07/22/2027 | | 1,692,882 | 0.1 |
1,668,000 | (3) | Bank of America Corp., 1.843%, 02/04/2025 | | 1,586,163 | 0.1 |
178,000 | (3) | Bank of America Corp., 1.898%, 07/23/2031 | | 132,844 | 0.0 |
322,000 | (3) | Bank of America Corp., 1.922%, 10/24/2031 | | 238,651 | 0.0 |
225,000 | (3) | Bank of America Corp., 2.015%, 02/13/2026 | | 206,407 | 0.0 |
1,506,000 | (3) | Bank of America Corp., 2.087%, 06/14/2029 | | 1,225,003 | 0.1 |
806,000 | (3) | Bank of America Corp., 2.572%, 10/20/2032 | | 617,331 | 0.0 |
782,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | | 506,839 | 0.0 |
1,136,000 | (3) | Bank of America Corp., 2.687%, 04/22/2032 | | 888,232 | 0.0 |
814,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | | 686,957 | 0.0 |
1,000,000 | (3) | Bank of America Corp., 3.593%, 07/21/2028 | | 904,143 | 0.0 |
2,230,000 | (3) | Bank of America Corp., 3.846%, 03/08/2037 | | 1,802,133 | 0.1 |
435,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | | 394,148 | 0.0 |
291,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | | 220,090 | 0.0 |
4,336,000 | | Bank of America Corp., 4.250%, 10/22/2026 | | 4,124,215 | 0.2 |
814,000 | (2),(3) | Bank of America Corp., 4.271%, 07/23/2029 | | 743,407 | 0.0 |
102,000 | (3) | Bank of America Corp., 4.571%, 04/27/2033 | | 91,497 | 0.0 |
3,452,000 | (2),(3) | Bank of America Corp., 5.015%, 07/22/2033 | | 3,206,853 | 0.1 |
724,000 | (2),(3) | Bank of New York Mellon Corp./The, 4.289%, 06/13/2033 | | 663,686 | 0.0 |
452,000 | (2) | Bank of Nova Scotia/The, 1.950%, 02/02/2027 | | 393,542 | 0.0 |
2,335,000 | (3) | Bank of Nova Scotia/The, 4.588%, 05/04/2037 | | 1,961,740 | 0.1 |
1,535,000 | (1) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | | 1,442,840 | 0.1 |
547,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | | 352,514 | 0.0 |
798,000 | (1) | Blackstone Holdings Finance Co. LLC, 1.625%, 08/05/2028 | | 645,036 | 0.0 |
363,000 | (1) | Blackstone Holdings Finance Co. LLC, 2.000%, 01/30/2032 | | 269,296 | 0.0 |
1,492,000 | (1) | Blackstone Holdings Finance Co. LLC, 2.850%, 08/05/2051 | | 898,907 | 0.0 |
630,000 | (1) | Blackstone Holdings Finance Co. LLC, 3.200%, 01/30/2052 | | 404,991 | 0.0 |
433,000 | | Blackstone Private Credit Fund, 4.000%, 01/15/2029 | | 347,284 | 0.0 |
500,000 | (1),(3) | BPCE SA, 2.277%, 01/20/2032 | | 361,165 | 0.0 |
1,596,000 | (1) | BPCE SA, 2.700%, 10/01/2029 | | 1,323,626 | 0.1 |
955,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | | 944,713 | 0.0 |
725,000 | (3) | Capital One Financial Corp., 1.878%, 11/02/2027 | | 616,547 | 0.0 |
476,000 | (3) | Capital One Financial Corp., 3.273%, 03/01/2030 | | 398,598 | 0.0 |
489,000 | (3) | Capital One Financial Corp., 5.247%, 07/26/2030 | | 455,873 | 0.0 |
771,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | | 587,709 | 0.0 |
1,284,000 | | Chubb INA Holdings, Inc., 1.375%, 09/15/2030 | | 970,365 | 0.0 |
561,000 | | CI Financial Corp., 4.100%, 06/15/2051 | | 334,909 | 0.0 |
806,000 | (3) | Citigroup, Inc., 1.462%, 06/09/2027 | | 687,042 | 0.0 |
745,000 | (1) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | | 544,333 | 0.0 |
1,700,000 | (1),(3) | Cooperatieve Rabobank UA, 4.655%, 08/22/2028 | | 1,605,431 | 0.1 |
2,325,000 | (1) | Corebridge Financial, Inc., 3.850%, 04/05/2029 | | 2,051,995 | 0.1 |
1,683,000 | (1) | Corebridge Financial, Inc., 3.900%, 04/05/2032 | | 1,423,480 | 0.1 |
1,879,000 | (1),(3) | Corebridge Financial, Inc., 6.875%, 12/15/2052 | | 1,723,727 | 0.1 |
1,692,000 | (1),(3) | Credit Agricole SA, 4.750%, 12/31/2199 | | 1,170,120 | 0.1 |
1,235,000 | (1),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | | 1,105,221 | 0.1 |
6,000,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | | 5,938,740 | 0.3 |
2,158,000 | | Credit Suisse AG/New York NY, 5.000%, 07/09/2027 | | 1,992,522 | 0.1 |
3,000,000 | (1),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | | 2,977,068 | 0.1 |
589,000 | (2) | Crown Castle, Inc., 1.050%, 07/15/2026 | | 498,235 | 0.0 |
445,000 | | Crown Castle, Inc., 2.900%, 03/15/2027 | | 395,620 | 0.0 |
760,000 | | CubeSmart L.P., 2.250%, 12/15/2028 | | 617,886 | 0.0 |
1,870,000 | (1),(3) | Danske Bank A/S, 1.621%, 09/11/2026 | | 1,620,104 | 0.1 |
993,000 | (1) | Danske Bank A/S, 4.375%, 06/12/2028 | | 873,222 | 0.0 |
813,000 | (1),(3) | Depository Trust & Clearing Corp./The, 3.375%, 12/31/2199 | | 619,507 | 0.0 |
1,925,000 | (1) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | | 1,778,192 | 0.1 |
2,500,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | | 2,415,646 | 0.1 |
251,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | | 250,683 | 0.0 |
2,813,000 | (1) | Hartford Financial Services Group, Inc./The, 5.030%, (US0003M + 2.125%), 02/12/2067 | | 2,322,953 | 0.1 |
340,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | | 333,336 | 0.0 |
1,355,000 | (3) | HSBC Holdings PLC, 1.589%, 05/24/2027 | | 1,133,954 | 0.1 |
1,875,000 | (3) | HSBC Holdings PLC, 2.206%, 08/17/2029 | | 1,452,905 | 0.1 |
1,331,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | | 1,236,560 | 0.1 |
1,037,000 | (3) | HSBC Holdings PLC, 2.999%, 03/10/2026 | | 959,426 | 0.0 |
2,000,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | | 1,806,863 | 0.1 |
1,250,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | | 1,198,837 | 0.1 |
1,710,000 | (3) | HSBC Holdings PLC, 4.600%, 12/31/2199 | | 1,190,145 | 0.1 |
1,734,000 | (3) | HSBC Holdings PLC, 5.210%, 08/11/2028 | | 1,622,917 | 0.1 |
1,466,000 | (3) | HSBC Holdings PLC, 5.402%, 08/11/2033 | | 1,305,498 | 0.1 |
744,000 | (3) | ING Groep NV, 4.017%, 03/28/2028 | | 676,414 | 0.0 |
1,695,000 | (1) | Intact Financial Corp., 5.459%, 09/22/2032 | | 1,651,527 | 0.1 |
672,000 | | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | | 535,561 | 0.0 |
1,059,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | | 709,121 | 0.0 |
1,689,000 | | Intercontinental Exchange, Inc., 4.250%, 09/21/2048 | | 1,379,722 | 0.1 |
2,774,000 | | Intercontinental Exchange, Inc., 4.600%, 03/15/2033 | | 2,591,140 | 0.1 |
928,000 | | Invitation Homes Operating Partnership L.P., 2.300%, 11/15/2028 | | 744,770 | 0.0 |
2,030,000 | (3) | JPMorgan Chase & Co., 0.969%, 06/23/2025 | | 1,879,251 | 0.1 |
1,184,000 | (3) | JPMorgan Chase & Co., 1.040%, 02/04/2027 | | 1,007,338 | 0.1 |
1,023,000 | (3) | JPMorgan Chase & Co., 1.470%, 09/22/2027 | | 866,240 | 0.0 |
1,465,000 | (3) | JPMorgan Chase & Co., 2.069%, 06/01/2029 | | 1,189,364 | 0.1 |
381,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | | 324,493 | 0.0 |
1,537,000 | (3) | JPMorgan Chase & Co., 2.545%, 11/08/2032 | | 1,168,081 | 0.1 |
766,000 | (3) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | | 594,571 | 0.0 |
1,058,000 | (3) | JPMorgan Chase & Co., 2.595%, 02/24/2026 | | 984,783 | 0.1 |
1,058,000 | (3) | JPMorgan Chase & Co., 2.947%, 02/24/2028 | | 936,714 | 0.0 |
255,000 | (3) | JPMorgan Chase & Co., 3.109%, 04/22/2051 | | 161,677 | 0.0 |
3,320,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | | 3,249,676 | 0.1 |
853,000 | (3) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | | 640,660 | 0.0 |
1,131,000 | (3) | JPMorgan Chase & Co., 4.565%, 06/14/2030 | | 1,043,692 | 0.1 |
4,002,000 | (3) | JPMorgan Chase & Co., 4.912%, 07/25/2033 | | 3,695,787 | 0.2 |
1,479,000 | (3) | JPMorgan Chase & Co., 5.717%, 09/14/2033 | | 1,400,724 | 0.1 |
224,000 | | Kilroy Realty L.P., 2.650%, 11/15/2033 | | 157,468 | 0.0 |
435,000 | | Kite Realty Group L.P., 4.000%, 10/01/2026 | | 400,519 | 0.0 |
595,000 | (1) | Liberty Mutual Group, Inc., 5.500%, 06/15/2052 | | 514,715 | 0.0 |
1,125,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | | 1,034,507 | 0.1 |
2,177,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | | 2,172,037 | 0.1 |
2,640,000 | (2) | Main Street Capital Corp., 3.000%, 07/14/2026 | | 2,225,626 | 0.1 |
684,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | | 678,233 | 0.0 |
356,000 | (3) | Mitsubishi UFJ Financial Group, Inc., 1.538%, 07/20/2027 | | 303,705 | 0.0 |
350,000 | | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | | 316,265 | 0.0 |
315,000 | (1) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | | 292,185 | 0.0 |
1,590,000 | (3) | Morgan Stanley, 1.512%, 07/20/2027 | | 1,356,096 | 0.1 |
1,340,000 | (3) | Morgan Stanley, 1.593%, 05/04/2027 | | 1,159,423 | 0.1 |
802,000 | (3) | Morgan Stanley, 1.794%, 02/13/2032 | | 587,103 | 0.0 |
1,074,000 | (3) | Morgan Stanley, 2.188%, 04/28/2026 | | 985,859 | 0.1 |
2,773,000 | (3) | Morgan Stanley, 2.239%, 07/21/2032 | | 2,085,952 | 0.1 |
444,000 | (3) | Morgan Stanley, 2.475%, 01/21/2028 | | 388,534 | 0.0 |
914,000 | (3) | Morgan Stanley, 2.511%, 10/20/2032 | | 699,482 | 0.0 |
1,119,000 | (3) | Morgan Stanley, 2.630%, 02/18/2026 | | 1,043,475 | 0.1 |
983,000 | (3) | Morgan Stanley, 2.802%, 01/25/2052 | | 594,762 | 0.0 |
1,155,000 | (3) | Morgan Stanley, 3.591%, 07/22/2028 | | 1,040,187 | 0.1 |
585,000 | (3) | Morgan Stanley, 3.737%, 04/24/2024 | | 579,017 | 0.0 |
538,000 | | Morgan Stanley, 3.875%, 01/27/2026 | | 513,511 | 0.0 |
4,000,000 | | Morgan Stanley, 4.000%, 07/23/2025 | | 3,874,851 | 0.2 |
278,000 | (2),(3) | Morgan Stanley, 4.889%, 07/20/2033 | | 257,838 | 0.0 |
1,821,000 | (3) | Morgan Stanley, 5.297%, 04/20/2037 | | 1,638,789 | 0.1 |
1,098,000 | (1),(3) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 5.875%, 05/23/2042 | | 1,040,240 | 0.1 |
432,000 | (1) | National Australia Bank Ltd., 2.332%, 08/21/2030 | | 322,271 | 0.0 |
820,000 | (1) | Nationwide Building Society, 1.500%, 10/13/2026 | | 698,292 | 0.0 |
336,000 | (3) | NatWest Group PLC, 3.073%, 05/22/2028 | | 289,132 | 0.0 |
398,000 | (3) | NatWest Group PLC, 4.269%, 03/22/2025 | | 387,221 | 0.0 |
1,470,000 | (1),(3) | Nordea Bank Abp, 3.750%, 12/31/2199 | | 974,108 | 0.0 |
2,661,000 | (1),(2),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | | 2,485,830 | 0.1 |
1,611,000 | (1) | Northwestern Mutual Global Funding, 1.700%, 06/01/2028 | | 1,342,052 | 0.1 |
156,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | | 105,600 | 0.0 |
829,000 | | Old Republic International Corp., 3.850%, 06/11/2051 | | 571,087 | 0.0 |
5,000,000 | | ORIX Corp., 3.250%, 12/04/2024 | | 4,807,333 | 0.2 |
2,836,000 | (3) | PartnerRe Finance B LLC, 4.500%, 10/01/2050 | | 2,391,024 | 0.1 |
295,000 | | Piedmont Operating Partnership L.P., 2.750%, 04/01/2032 | | 210,697 | 0.0 |
1,130,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | | 1,112,782 | 0.1 |
546,000 | | Prologis L.P., 4.625%, 01/15/2033 | | 519,534 | 0.0 |
365,000 | | Public Storage, 1.950%, 11/09/2028 | | 304,300 | 0.0 |
167,000 | | Realty Income Corp., 3.950%, 08/15/2027 | | 156,972 | 0.0 |
575,000 | | Realty Income Corp., 4.875%, 06/01/2026 | | 565,795 | 0.0 |
448,000 | | Sabra Health Care L.P., 3.200%, 12/01/2031 | | 329,778 | 0.0 |
454,000 | (3) | Santander Holdings USA, Inc., 2.490%, 01/06/2028 | | 379,181 | 0.0 |
1,391,000 | (3) | Santander UK Group Holdings PLC, 2.469%, 01/11/2028 | | 1,159,476 | 0.1 |
1,070,000 | (1),(3) | Standard Chartered PLC, 1.456%, 01/14/2027 | | 907,041 | 0.0 |
1,110,000 | (1),(3) | Standard Chartered PLC, 1.822%, 11/23/2025 | | 1,007,554 | 0.1 |
667,000 | (1),(3) | Standard Chartered PLC, 2.608%, 01/12/2028 | | 565,332 | 0.0 |
1,358,000 | (1),(3) | Standard Chartered PLC, 3.971%, 03/30/2026 | | 1,283,912 | 0.1 |
840,000 | (2),(3) | State Street Corp., 2.623%, 02/07/2033 | | 666,275 | 0.0 |
1,430,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | | 1,352,681 | 0.1 |
1,234,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | | 1,091,490 | 0.1 |
874,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 2.800%, 03/10/2027 | | 786,580 | 0.0 |
584,000 | | Sun Communities Operating L.P., 4.200%, 04/15/2032 | | 489,960 | 0.0 |
1,137,000 | (1),(3) | Svenska Handelsbanken AB, 1.418%, 06/11/2027 | | 980,544 | 0.0 |
633,000 | | Toronto-Dominion Bank/The, 2.800%, 03/10/2027 | | 571,231 | 0.0 |
467,000 | (3) | Truist Financial Corp., 1.267%, 03/02/2027 | | 406,507 | 0.0 |
2,470,000 | | UBS AG, 5.125%, 05/15/2024 | | 2,414,260 | 0.1 |
750,000 | (1),(3) | UBS Group AG, 1.364%, 01/30/2027 | | 641,447 | 0.0 |
383,000 | (1),(3) | UBS Group AG, 2.095%, 02/11/2032 | | 278,953 | 0.0 |
688,000 | (1),(3) | UBS Group AG, 2.746%, 02/11/2033 | | 512,053 | 0.0 |
812,000 | (1),(3) | UBS Group AG, 3.179%, 02/11/2043 | | 524,892 | 0.0 |
1,460,000 | (1),(3) | UBS Group AG, 4.751%, 05/12/2028 | | 1,372,323 | 0.1 |
163,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | | 148,082 | 0.0 |
822,000 | | Visa, Inc., 4.150%, 12/14/2035 | | 750,162 | 0.0 |
207,000 | | Visa, Inc., 4.300%, 12/14/2045 | | 180,739 | 0.0 |
370,000 | (3) | Wells Fargo & Co., 2.164%, 02/11/2026 | | 340,891 | 0.0 |
1,678,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | | 1,567,691 | 0.1 |
471,000 | (3) | Wells Fargo & Co., 3.068%, 04/30/2041 | | 324,365 | 0.0 |
1,250,000 | (3) | Wells Fargo & Co., 4.897%, 07/25/2033 | | 1,154,088 | 0.1 |
418,000 | (3) | Wells Fargo & Co., 5.013%, 04/04/2051 | | 361,926 | 0.0 |
1,750,000 | | XLIT Ltd., 5.500%, 03/31/2045 | | 1,624,480 | 0.1 |
| | | | 198,511,674 | 8.1 |
| | | | | |
| | Industrial: 1.3% |
777,000 | | Amcor Flexibles North America, Inc., 4.000%, 05/17/2025 | | 750,970 | 0.0 |
410,000 | | Avnet, Inc., 5.500%, 06/01/2032 | | 372,926 | 0.0 |
1,201,000 | | Berry Global, Inc., 0.950%, 02/15/2024 | | 1,129,227 | 0.1 |
1,472,000 | | Berry Global, Inc., 1.650%, 01/15/2027 | | 1,222,504 | 0.1 |
1,213,000 | | Boeing Co/The, 3.250%, 02/01/2028 | | 1,059,998 | 0.1 |
446,000 | | Boeing Co/The, 3.250%, 02/01/2035 | | 315,705 | 0.0 |
340,000 | | Boeing Co/The, 3.625%, 02/01/2031 | | 282,717 | 0.0 |
120,000 | | Boeing Co/The, 3.850%, 11/01/2048 | | 78,001 | 0.0 |
768,000 | | Boeing Co/The, 4.875%, 05/01/2025 | | 750,119 | 0.0 |
980,000 | | Boeing Co/The, 5.150%, 05/01/2030 | | 907,698 | 0.0 |
288,000 | | Boeing Co/The, 5.805%, 05/01/2050 | | 250,914 | 0.0 |
1,161,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | | 929,208 | 0.0 |
1,435,000 | | Burlington Northern Santa Fe LLC, 4.450%, 01/15/2053 | | 1,248,787 | 0.1 |
299,000 | | CSX Corp., 4.100%, 11/15/2032 | | 271,726 | 0.0 |
763,000 | (2) | CSX Corp., 4.500%, 11/15/2052 | | 642,253 | 0.0 |
1,684,000 | | CSX Corp., 4.650%, 03/01/2068 | | 1,364,740 | 0.1 |
1,536,000 | | Eaton Corp., 4.150%, 03/15/2033 | | 1,389,982 | 0.1 |
361,000 | | FedEx Corp., 3.900%, 02/01/2035 | | 297,735 | 0.0 |
678,000 | | FedEx Corp., 4.400%, 01/15/2047 | | 527,069 | 0.0 |
284,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | | 254,810 | 0.0 |
484,000 | | John Deere Capital Corp., 3.350%, 04/18/2029 | | 437,489 | 0.0 |
740,000 | | John Deere Capital Corp., 4.350%, 09/15/2032 | | 703,786 | 0.0 |
772,000 | (1) | Komatsu Finance America, Inc., 5.499%, 10/06/2027 | | 772,704 | 0.0 |
387,000 | | Norfolk Southern Corp., 4.100%, 05/15/2121 | | 257,752 | 0.0 |
1,061,000 | | Parker-Hannifin Corp., 4.500%, 09/15/2029 | | 1,001,762 | 0.0 |
1,295,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | | 1,126,437 | 0.1 |
1,661,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | | 1,430,401 | 0.1 |
118,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | | 116,901 | 0.0 |
1,423,000 | | Raytheon Technologies Corp., 4.450%, 11/16/2038 | | 1,241,942 | 0.1 |
2,066,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | | 1,773,373 | 0.1 |
1,070,000 | (1) | Sealed Air Corp., 1.573%, 10/15/2026 | | 897,157 | 0.0 |
1,322,000 | (1) | SMBC Aviation Capital Finance DAC, 1.900%, 10/15/2026 | | 1,102,957 | 0.1 |
1,111,000 | | Sonoco Products Co., 2.250%, 02/01/2027 | | 985,474 | 0.0 |
390,000 | | TD SYNNEX Corp., 1.750%, 08/09/2026 | | 331,960 | 0.0 |
2,105,000 | | Teledyne Technologies, Inc., 1.600%, 04/01/2026 | | 1,835,540 | 0.1 |
2,250,000 | (1) | TTX Co., 3.600%, 01/15/2025 | | 2,167,305 | 0.1 |
1,190,000 | | Union Pacific Corp., 3.500%, 02/14/2053 | | 865,593 | 0.0 |
550,000 | | Union Pacific Corp., 4.950%, 09/09/2052 | | 514,002 | 0.0 |
608,000 | | Union Pacific Corp., 5.150%, 01/20/2063 | | 566,716 | 0.0 |
575,000 | | Waste Connections, Inc., 4.200%, 01/15/2033 | | 521,311 | 0.0 |
| | | | 32,697,651 | 1.3 |
| | | | | |
| | Technology: 1.6% |
1,716,000 | | Advanced Micro Devices, Inc., 3.924%, 06/01/2032 | | 1,558,051 | 0.1 |
1,658,000 | | Advanced Micro Devices, Inc., 4.393%, 06/01/2052 | | 1,404,756 | 0.1 |
838,000 | | Apple, Inc., 2.650%, 02/08/2051 | | 552,739 | 0.0 |
1,905,000 | | Apple, Inc., 2.800%, 02/08/2061 | | 1,192,106 | 0.1 |
860,000 | | Apple, Inc., 2.850%, 08/05/2061 | | 541,966 | 0.0 |
390,000 | | Apple, Inc., 3.350%, 08/08/2032 | | 347,742 | 0.0 |
2,489,000 | | Apple, Inc., 3.750%, 09/12/2047 | | 2,020,803 | 0.1 |
2,000,000 | | Apple, Inc., 3.850%, 05/04/2043 | | 1,682,037 | 0.1 |
1,082,000 | (2) | Apple, Inc., 3.950%, 08/08/2052 | | 905,687 | 0.1 |
390,000 | | Apple, Inc., 4.100%, 08/08/2062 | | 320,276 | 0.0 |
383,000 | | Apple, Inc., 4.500%, 02/23/2036 | | 371,623 | 0.0 |
800,000 | (1) | Broadcom, Inc., 4.926%, 05/15/2037 | | 661,163 | 0.0 |
1,000,000 | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | | 1,005,038 | 0.1 |
775,000 | | DXC Technology Co., 1.800%, 09/15/2026 | | 664,992 | 0.0 |
775,000 | | DXC Technology Co., 2.375%, 09/15/2028 | | 633,940 | 0.0 |
477,000 | | Fiserv, Inc., 3.500%, 07/01/2029 | | 415,494 | 0.0 |
1,840,000 | | HP, Inc., 2.650%, 06/17/2031 | | 1,352,919 | 0.1 |
238,000 | | HP, Inc., 4.000%, 04/15/2029 | | 208,823 | 0.0 |
550,000 | | HP, Inc., 4.750%, 01/15/2028 | | 517,039 | 0.0 |
638,000 | | Intel Corp., 3.100%, 02/15/2060 | | 386,784 | 0.0 |
813,000 | | Intel Corp., 3.200%, 08/12/2061 | | 508,665 | 0.0 |
1,812,000 | | Intel Corp., 3.250%, 11/15/2049 | | 1,205,169 | 0.1 |
565,000 | | Intel Corp., 3.750%, 08/05/2027 | | 537,161 | 0.0 |
164,000 | (2) | Intel Corp., 4.150%, 08/05/2032 | | 149,574 | 0.0 |
384,000 | | Intel Corp., 5.050%, 08/05/2062 | | 333,867 | 0.0 |
1,264,000 | | International Business Machines Corp., 3.500%, 05/15/2029 | | 1,144,168 | 0.1 |
754,000 | | International Business Machines Corp., 4.150%, 07/27/2027 | | 724,963 | 0.0 |
758,000 | | International Business Machines Corp., 4.400%, 07/27/2032 | | 700,852 | 0.0 |
792,000 | | International Business Machines Corp., 4.900%, 07/27/2052 | | 694,493 | 0.0 |
1,206,000 | | KLA Corp., 4.950%, 07/15/2052 | | 1,098,505 | 0.1 |
644,000 | | KLA Corp., 5.250%, 07/15/2062 | | 593,576 | 0.0 |
564,000 | | Kyndryl Holdings, Inc., 2.050%, 10/15/2026 | | 453,704 | 0.0 |
1,563,000 | | Kyndryl Holdings, Inc., 2.700%, 10/15/2028 | | 1,144,883 | 0.1 |
283,000 | | Kyndryl Holdings, Inc., 3.150%, 10/15/2031 | | 190,095 | 0.0 |
900,000 | | Microchip Technology, Inc., 2.670%, 09/01/2023 | | 877,463 | 0.0 |
3,061,000 | | Microsoft Corp., 2.921%, 03/17/2052 | | 2,165,774 | 0.1 |
298,000 | (2) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.250%, 11/30/2051 | | 178,870 | 0.0 |
143,000 | | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | | 119,382 | 0.0 |
2,015,000 | | Oracle Corp., 2.300%, 03/25/2028 | | 1,686,181 | 0.1 |
178,000 | | Oracle Corp., 3.600%, 04/01/2050 | | 111,716 | 0.0 |
998,000 | | Oracle Corp., 3.650%, 03/25/2041 | | 679,813 | 0.0 |
1,228,000 | | Oracle Corp., 3.800%, 11/15/2037 | | 893,457 | 0.1 |
148,000 | | Oracle Corp., 3.850%, 07/15/2036 | | 110,995 | 0.0 |
315,000 | | Oracle Corp., 3.950%, 03/25/2051 | | 209,507 | 0.0 |
1,011,000 | | Oracle Corp., 4.000%, 11/15/2047 | | 680,044 | 0.0 |
525,000 | (1) | Renesas Electronics Corp., 2.170%, 11/25/2026 | | 451,958 | 0.0 |
1,173,000 | | Salesforce, Inc., 2.700%, 07/15/2041 | | 810,499 | 0.0 |
312,000 | | Take-Two Interactive Software, Inc., 4.000%, 04/14/2032 | | 271,264 | 0.0 |
389,000 | | Texas Instruments, Inc., 3.650%, 08/16/2032 | | 352,869 | 0.0 |
577,000 | | Texas Instruments, Inc., 4.100%, 08/16/2052 | | 494,193 | 0.0 |
1,795,000 | | VMware, Inc., 1.400%, 08/15/2026 | | 1,537,319 | 0.1 |
780,000 | | VMware, Inc., 1.800%, 08/15/2028 | | 619,174 | 0.0 |
| | | | 38,474,131 | 1.6 |
| | | | | |
| | Utilities: 3.0% |
1,198,000 | (1) | AEP Texas, Inc., 3.850%, 10/01/2025 | | 1,151,531 | 0.1 |
1,068,000 | | AES Corp./The, 1.375%, 01/15/2026 | | 921,115 | 0.0 |
880,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | | 755,335 | 0.0 |
368,000 | (1) | Alliant Energy Finance LLC, 3.600%, 03/01/2032 | | 314,850 | 0.0 |
663,000 | (3) | American Electric Power Co., Inc., 3.875%, 02/15/2062 | | 520,401 | 0.0 |
503,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | | 395,627 | 0.0 |
1,377,000 | (1) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | | 1,234,084 | 0.1 |
771,000 | | Appalachian Power Co., 2.700%, 04/01/2031 | | 617,261 | 0.0 |
181,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | | 128,550 | 0.0 |
323,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | | 305,806 | 0.0 |
912,000 | | Baltimore Gas and Electric Co., 2.250%, 06/15/2031 | | 729,334 | 0.0 |
740,000 | (1) | Berkshire Hathaway Energy Co., 4.600%, 05/01/2053 | | 625,661 | 0.0 |
393,000 | | Black Hills Corp., 2.500%, 06/15/2030 | | 309,863 | 0.0 |
583,000 | | Black Hills Corp., 3.050%, 10/15/2029 | | 489,581 | 0.0 |
1,800,000 | | Black Hills Corp., 4.250%, 11/30/2023 | | 1,793,401 | 0.1 |
272,000 | | Black Hills Corp., 4.350%, 05/01/2033 | | 238,244 | 0.0 |
750,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | | 576,837 | 0.0 |
537,000 | (3) | CMS Energy Corp., 3.750%, 12/01/2050 | | 396,038 | 0.0 |
600,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | | 508,500 | 0.0 |
568,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | | 439,193 | 0.0 |
449,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | | 328,489 | 0.0 |
400,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | | 377,408 | 0.0 |
425,000 | | Consumers Energy Co., 4.200%, 09/01/2052 | | 353,702 | 0.0 |
1,586,000 | (3) | Dominion Energy, Inc., 4.350%, 12/31/2199 | | 1,353,427 | 0.1 |
1,531,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | | 1,356,088 | 0.1 |
405,000 | | Duke Energy Carolinas LLC, 2.550%, 04/15/2031 | | 333,126 | 0.0 |
1,186,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | | 888,759 | 0.0 |
116,000 | | Duke Energy Carolinas LLC, 3.750%, 06/01/2045 | | 88,326 | 0.0 |
824,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | | 664,648 | 0.0 |
14,000 | | Duke Energy Carolinas LLC, 4.250%, 12/15/2041 | | 11,742 | 0.0 |
360,000 | (3) | Duke Energy Corp., 4.875%, 12/31/2199 | | 323,547 | 0.0 |
794,000 | | Duke Energy Florida LLC, 2.400%, 12/15/2031 | | 632,293 | 0.0 |
130,000 | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | | 107,193 | 0.0 |
1,425,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | | 970,265 | 0.1 |
479,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | | 362,582 | 0.0 |
180,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | | 145,506 | 0.0 |
21,000 | | Duke Energy Progress LLC, 4.100%, 03/15/2043 | | 17,315 | 0.0 |
1,029,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | | 836,126 | 0.0 |
485,000 | (1) | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | | 372,519 | 0.0 |
699,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | | 424,023 | 0.0 |
129,000 | | Entergy Arkansas LLC, 3.350%, 06/15/2052 | | 88,374 | 0.0 |
383,000 | | Entergy Arkansas LLC, 4.200%, 04/01/2049 | | 314,236 | 0.0 |
1,626,000 | | Entergy Corp., 0.900%, 09/15/2025 | | 1,432,141 | 0.1 |
745,000 | | Entergy Corp., 2.400%, 06/15/2031 | | 570,358 | 0.0 |
417,000 | | Entergy Corp., 2.800%, 06/15/2030 | | 338,327 | 0.0 |
1,025,000 | | Entergy Louisiana LLC, 4.750%, 09/15/2052 | | 894,506 | 0.0 |
1,749,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | | 1,210,636 | 0.1 |
925,000 | | Eversource Energy, 1.400%, 08/15/2026 | | 802,696 | 0.0 |
1,070,000 | | Eversource Energy, 2.900%, 03/01/2027 | | 972,491 | 0.1 |
361,000 | | Eversource Energy, 3.375%, 03/01/2032 | | 304,072 | 0.0 |
151,000 | | Exelon Corp., 4.050%, 04/15/2030 | | 137,031 | 0.0 |
203,000 | | Florida Power & Light Co., 2.875%, 12/04/2051 | | 134,493 | 0.0 |
1,505,000 | | Georgia Power Co., 2.200%, 09/15/2024 | | 1,425,849 | 0.1 |
243,000 | | Georgia Power Co., 5.125%, 05/15/2052 | | 219,908 | 0.0 |
1,310,000 | | Georgia Power Co., 5.750%, 04/15/2023 | | 1,316,152 | 0.1 |
1,619,000 | | Indiana Michigan Power Co., 3.250%, 05/01/2051 | | 1,085,393 | 0.1 |
400,000 | | Interstate Power and Light Co., 3.100%, 11/30/2051 | | 263,393 | 0.0 |
3,640,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | | 3,517,843 | 0.2 |
289,000 | (1) | Jersey Central Power & Light Co., 2.750%, 03/01/2032 | | 229,741 | 0.0 |
2,802,000 | (1) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | | 2,692,377 | 0.1 |
411,000 | (1) | Metropolitan Edison Co., 4.000%, 04/15/2025 | | 390,454 | 0.0 |
2,745,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | | 2,203,438 | 0.1 |
266,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | | 222,343 | 0.0 |
830,000 | (1) | Monongahela Power Co., 3.550%, 05/15/2027 | | 765,414 | 0.0 |
188,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | | 166,527 | 0.0 |
1,490,000 | | National Rural Utilities Cooperative Finance Corp., 2.400%, 03/15/2030 | | 1,228,999 | 0.1 |
616,000 | | National Rural Utilities Cooperative Finance Corp., 2.750%, 04/15/2032 | | 501,281 | 0.0 |
825,000 | (2) | National Rural Utilities Cooperative Finance Corp., 4.150%, 12/15/2032 | | 756,333 | 0.0 |
1,507,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | | 1,371,396 | 0.1 |
1,750,000 | | NextEra Energy Capital Holdings, Inc., 1.875%, 01/15/2027 | | 1,520,980 | 0.1 |
863,000 | | NextEra Energy Capital Holdings, Inc., 1.900%, 06/15/2028 | | 715,381 | 0.0 |
335,000 | | NextEra Energy Capital Holdings, Inc., 2.440%, 01/15/2032 | | 261,180 | 0.0 |
1,215,000 | (3) | NextEra Energy Capital Holdings, Inc., 3.800%, 03/15/2082 | | 955,093 | 0.1 |
780,000 | | NextEra Energy Capital Holdings, Inc., 4.255%, 09/01/2024 | | 769,329 | 0.0 |
421,000 | | NextEra Energy Capital Holdings, Inc., 5.000%, 07/15/2032 | | 402,549 | 0.0 |
764,000 | | NiSource, Inc., 5.950%, 06/15/2041 | | 736,633 | 0.0 |
526,000 | | NSTAR Electric Co., 1.950%, 08/15/2031 | | 411,696 | 0.0 |
648,000 | | Oglethorpe Power Corp., 3.750%, 08/01/2050 | | 456,491 | 0.0 |
1,185,000 | (1) | Oncor Electric Delivery Co. LLC, 4.550%, 09/15/2032 | | 1,141,580 | 0.1 |
1,107,000 | | ONE Gas, Inc., 1.100%, 03/11/2024 | | 1,060,599 | 0.1 |
436,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | | 294,140 | 0.0 |
629,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | | 418,950 | 0.0 |
583,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | | 412,639 | 0.0 |
465,000 | | PECO Energy Co., 4.150%, 10/01/2044 | | 387,627 | 0.0 |
268,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | | 178,627 | 0.0 |
1,176,000 | | Public Service Enterprise Group, Inc., 2.450%, 11/15/2031 | | 917,108 | 0.0 |
1,331,000 | (3) | Sempra Energy, 4.125%, 04/01/2052 | | 1,049,130 | 0.1 |
1,315,000 | (3) | Sempra Energy, 4.875%, 12/31/2199 | | 1,226,238 | 0.1 |
1,570,000 | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | | 1,278,040 | 0.1 |
1,346,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | | 1,062,613 | 0.1 |
1,481,000 | (3) | Southern Co/The, 3.750%, 09/15/2051 | | 1,204,631 | 0.1 |
1,280,000 | (3) | Southern Co/The, 4.000%, 01/15/2051 | | 1,150,336 | 0.1 |
780,000 | | Southern Co/The, 5.113%, 08/01/2027 | | 760,440 | 0.0 |
160,000 | | Southwest Gas Corp., 4.050%, 03/15/2032 | | 134,609 | 0.0 |
1,499,000 | | Southwestern Electric Power Co., 1.650%, 03/15/2026 | | 1,323,218 | 0.1 |
580,000 | | Tampa Electric Co., 4.350%, 05/15/2044 | | 477,615 | 0.0 |
998,000 | | Union Electric Co., 3.900%, 09/15/2042 | | 801,666 | 0.0 |
850,000 | (1) | Vistra Operations Co. LLC, 5.125%, 05/13/2025 | | 826,676 | 0.0 |
711,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | | 524,947 | 0.0 |
1,683,000 | | WEC Energy Group, Inc., 1.375%, 10/15/2027 | | 1,388,708 | 0.1 |
396,000 | | WEC Energy Group, Inc., 2.200%, 12/15/2028 | | 327,630 | 0.0 |
197,000 | (2) | WEC Energy Group, Inc., 5.000%, 09/27/2025 | | 196,432 | 0.0 |
276,000 | (2) | WEC Energy Group, Inc., 5.150%, 10/01/2027 | | 273,832 | 0.0 |
861,000 | (2) | Wisconsin Electric Power Co., 1.700%, 06/15/2028 | | 721,132 | 0.0 |
| | 73,722,993 | 3.0 |
| | | |
| Total Corporate Bonds/Notes | | | |
| (Cost $649,266,178) | | 552,704,723 | 22.5 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 14.8% | |
1,044,549 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | | 773,242 | 0.0 |
1,262,932 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | | 1,071,333 | 0.1 |
219,024 | (4) | Alternative Loan Trust 2005-J3 2A2, 1.916%, (-1.000*US0001M + 5.000%), 05/25/2035 | | 7,421 | 0.0 |
1,115,877 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | | 547,964 | 0.0 |
1,549,281 | | Alternative Loan Trust 2007-23CB A3, 3.584%, (US0001M + 0.500%), 09/25/2037 | | 709,218 | 0.0 |
70,976 | | Banc of America Funding 2007 8 Trust 4A1, 6.000%, 08/25/2037 | | 59,235 | 0.0 |
488,095 | (3) | Bear Stearns ALT-A Trust 2005-10 22A1, 3.133%, 01/25/2036 | | 462,196 | 0.0 |
228,394 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 2.999%, 05/25/2035 | | 216,516 | 0.0 |
772,732 | (3) | Bear Stearns ALT-A Trust 2006-6 31A1, 3.479%, 11/25/2036 | | 485,912 | 0.0 |
892,095 | (3) | Bear Stearns ALT-A Trust 2006-6 32A1, 3.542%, 11/25/2036 | | 508,091 | 0.0 |
3,586 | (3) | Bear Stearns ARM Trust 2005-12 13A1, 3.938%, 02/25/2036 | | 3,166 | 0.0 |
1,750,723 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 3.274%, (US0001M + 0.190%), 01/25/2037 | | 1,530,884 | 0.1 |
88,972 | (3) | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 3.432%, 01/26/2036 | | 69,055 | 0.0 |
3,300,000 | (1) | Bellemeade RE 2021-3 A M1C Ltd., 3.831%, (SOFR30A + 1.550%), 09/25/2031 | | 2,941,901 | 0.1 |
127,036 | (3) | Chase Mortgage Finance Trust Series 2005-A1 1A1, 2.885%, 12/25/2035 | | 117,081 | 0.0 |
1,355,119 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.778%, 11/25/2034 | | 1,279,688 | 0.1 |
11,893 | (3) | CHL Mortgage Pass-Through Trust 2004-HYB9 1A1, 2.522%, 02/20/2035 | | 11,887 | 0.0 |
12,393 | | CHL Mortgage Pass-Through Trust 2005-2 2A3, 3.764%, (US0001M + 0.680%), 03/25/2035 | | 11,005 | 0.0 |
1,429,578 | (1),(3) | CIM Trust 2020-J1 B3, 3.447%, 07/25/2050 | | 1,120,152 | 0.1 |
503,111 | | Citicorp Mortgage Securities Trust Series 2007-1 1A1, 6.000%, 01/25/2037 | | 421,068 | 0.0 |
715,867 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.878%, 09/25/2037 | | 648,504 | 0.0 |
685,726 | (1),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | | 639,188 | 0.0 |
21,747 | (3) | Citigroup Mortgage Loan Trust, Inc. 2005-3 2A2A, 3.810%, 08/25/2035 | | 21,228 | 0.0 |
1,054,022 | | Citigroup Mortgage Loan Trust, Inc. 2005-8 3A1, 5.500%, 09/25/2035 | | 1,005,172 | 0.0 |
187,079 | | CitiMortgage Alternative Loan Trust Series 2007-A2 1A5, 6.000%, 02/25/2037 | | 166,708 | 0.0 |
2,700,000 | (1) | Connecticut Avenue Securities Trust 2020-R02 2B1, 6.084%, (US0001M + 3.000%), 01/25/2040 | | 2,415,258 | 0.1 |
633,216 | (1) | Connecticut Avenue Securities Trust 2020-R02 2M2, 5.084%, (US0001M + 2.000%), 01/25/2040 | | 621,070 | 0.0 |
1,500,000 | (1) | Connecticut Avenue Securities Trust 2021-R01 1B1, 5.381%, (SOFR30A + 3.100%), 10/25/2041 | | 1,364,141 | 0.1 |
1,500,000 | (1) | Connecticut Avenue Securities Trust 2021-R03 1B1, 5.031%, (SOFR30A + 2.750%), 12/25/2041 | | 1,276,017 | 0.1 |
8,600,000 | (1) | Connecticut Avenue Securities Trust 2022-R01 1B1, 5.431%, (SOFR30A + 3.150%), 12/25/2041 | | 7,461,381 | 0.3 |
718,812 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 3.584%, (US0001M + 0.500%), 11/25/2035 | | 373,809 | 0.0 |
110,349 | (3) | DSLA Mortgage Loan Trust 2004-AR3 2A1, 3.103%, 07/19/2044 | | 101,205 | 0.0 |
1,500,000 | (1) | Eagle RE 2021-2 M1C Ltd., 5.731%, (SOFR30A + 3.450%), 04/25/2034 | | 1,452,394 | 0.1 |
800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 6.734%, (US0001M + 3.650%), 02/25/2040 | | 785,141 | 0.0 |
1,000,000 | | Fannie Mae 2011-128 KB, 4.500%, 12/25/2041 | | 991,156 | 0.0 |
12,874,639 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | | 12,690,242 | 0.5 |
735,828 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | | 673,941 | 0.0 |
15,422,913 | (4) | Fannie Mae 2016-82 SD, 2.966%, (-1.000*US0001M + 6.050%), 11/25/2046 | | 1,389,276 | 0.1 |
544,879 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | | 538,397 | 0.0 |
1,155,091 | | Fannie Mae Connecticut Avenue Securities, 8.784%, (US0001M + 5.700%), 04/25/2028 | | 1,197,502 | 0.1 |
924,385 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 7.084%, (US0001M + 4.000%), 05/25/2025 | | 939,056 | 0.0 |
2,894,893 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 8.634%, (US0001M + 5.550%), 04/25/2028 | | 2,966,365 | 0.1 |
4,010,173 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 5.934%, (US0001M + 2.850%), 11/25/2029 | | 4,038,967 | 0.2 |
4,442,180 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 5.584%, (US0001M + 2.500%), 05/25/2030 | | 4,438,504 | 0.2 |
3,804,228 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 5.084%, (US0001M + 2.000%), 03/25/2031 | | 3,765,291 | 0.2 |
2,162,716 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 5.184%, (US0001M + 2.100%), 03/25/2031 | | 2,123,589 | 0.1 |
215,972 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 5.534%, (US0001M + 2.450%), 07/25/2031 | | 215,612 | 0.0 |
566,804 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 5.134%, (US0001M + 2.050%), 01/25/2040 | | 558,938 | 0.0 |
237,081 | (4) | Fannie Mae Interest Strip Series 418 10, 4.000%, 08/25/2043 | | 37,631 | 0.0 |
224,839 | (4) | Fannie Mae Interest Strip Series 418 15, 3.500%, 08/25/2043 | | 33,440 | 0.0 |
1,735 | | Fannie Mae REMIC Trust 1994-77 FB, 4.584%, (US0001M + 1.500%), 04/25/2024 | | 1,744 | 0.0 |
159,487 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | | 160,685 | 0.0 |
11,529 | | Fannie Mae REMIC Trust 2002-21 FC, 3.984%, (US0001M + 0.900%), 04/25/2032 | | 11,613 | 0.0 |
517,289 | (4) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | | 100,199 | 0.0 |
24,728 | | Fannie Mae REMIC Trust 2004-11 A, 3.204%, (US0001M + 0.120%), 03/25/2034 | | 24,642 | 0.0 |
246,878 | | Fannie Mae REMIC Trust 2005-120 ZU, 5.500%, 01/25/2036 | | 251,177 | 0.0 |
130,171 | | Fannie Mae REMIC Trust 2005-74 DK, 11.664%, (-4.000*US0001M + 24.000%), 07/25/2035 | | 134,099 | 0.0 |
2,509,848 | (4) | Fannie Mae REMIC Trust 2005-92 SC, 3.596%, (-1.000*US0001M + 6.680%), 10/25/2035 | | 231,709 | 0.0 |
131,514 | | Fannie Mae REMIC Trust 2006-103 EZ, 6.250%, 10/25/2036 | | 135,431 | 0.0 |
514,660 | | Fannie Mae REMIC Trust 2006-104 ES, 18.030%, (-5.000*US0001M + 33.450%), 11/25/2036 | | 698,335 | 0.0 |
2,859,339 | (4) | Fannie Mae REMIC Trust 2006-12 SD, 3.666%, (-1.000*US0001M + 6.750%), 10/25/2035 | | 217,272 | 0.0 |
1,425,536 | (4) | Fannie Mae REMIC Trust 2006-123 UI, 3.656%, (-1.000*US0001M + 6.740%), 01/25/2037 | | 192,127 | 0.0 |
244,645 | (4) | Fannie Mae REMIC Trust 2006-72 HS, 3.616%, (-1.000*US0001M + 6.700%), 08/25/2026 | | 8,504 | 0.0 |
370,287 | | Fannie Mae REMIC Trust 2007-73 A1, 2.426%, (US0001M + 0.060%), 07/25/2037 | | 362,350 | 0.0 |
238,450 | | Fannie Mae REMIC Trust 2008-20 SP, 7.790%, (-2.500*US0001M + 15.500%), 03/25/2038 | | 256,440 | 0.0 |
1,244,356 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | | 1,222,926 | 0.1 |
4,185,284 | (4) | Fannie Mae REMIC Trust 2010-102 SB, 3.516%, (-1.000*US0001M + 6.600%), 09/25/2040 | | 466,641 | 0.0 |
1,344,050 | (4) | Fannie Mae REMIC Trust 2010-116 SE, 3.516%, (-1.000*US0001M + 6.600%), 10/25/2040 | | 128,207 | 0.0 |
3,765,492 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 2.986%, (-1.000*US0001M + 6.070%), 11/25/2040 | | 290,607 | 0.0 |
2,015,316 | (4) | Fannie Mae REMIC Trust 2010-55 AS, 3.336%, (-1.000*US0001M + 6.420%), 06/25/2040 | | 202,112 | 0.0 |
3,787,725 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | | 3,771,290 | 0.2 |
477,569 | | Fannie Mae REMIC Trust 2010-60 HJ, 5.500%, 05/25/2040 | | 482,536 | 0.0 |
1,617,083 | (4) | Fannie Mae REMIC Trust 2011-3 AI, 5.000%, 01/25/2041 | | 161,908 | 0.0 |
328,537 | (4) | Fannie Mae REMIC Trust 2012-10 US, 3.366%, (-1.000*US0001M + 6.450%), 02/25/2042 | | 37,693 | 0.0 |
121,542 | | Fannie Mae REMIC Trust 2012-103 DA, 3.500%, 10/25/2041 | | 119,691 | 0.0 |
4,604,822 | (4) | Fannie Mae REMIC Trust 2012-113 SG, 3.016%, (-1.000*US0001M + 6.100%), 10/25/2042 | | 512,227 | 0.0 |
3,231,109 | (4) | Fannie Mae REMIC Trust 2012-122 SB, 3.066%, (-1.000*US0001M + 6.150%), 11/25/2042 | | 361,762 | 0.0 |
1,540,808 | (4) | Fannie Mae REMIC Trust 2012-128 DI, 3.000%, 10/25/2032 | | 100,257 | 0.0 |
765,285 | | Fannie Mae REMIC Trust 2012-131 BS, 2.323%, (-1.200*US0001M + 5.400%), 12/25/2042 | | 596,457 | 0.0 |
5,156,959 | (4) | Fannie Mae REMIC Trust 2012-137 SN, 3.016%, (-1.000*US0001M + 6.100%), 12/25/2042 | | 512,594 | 0.0 |
410,887 | (4) | Fannie Mae REMIC Trust 2012-15 SP, 3.536%, (-1.000*US0001M + 6.620%), 06/25/2040 | | 5,224 | 0.0 |
814,909 | (4) | Fannie Mae REMIC Trust 2012-58 PI, 5.000%, 04/25/2042 | | 118,205 | 0.0 |
4,773,511 | (4) | Fannie Mae REMIC Trust 2013-60 DS, 3.116%, (-1.000*US0001M + 6.200%), 06/25/2033 | | 383,353 | 0.0 |
5,149,349 | (4) | Fannie Mae REMIC Trust 2013-9 DS, 3.066%, (-1.000*US0001M + 6.150%), 02/25/2043 | | 623,325 | 0.0 |
11,682,694 | (4) | Fannie Mae REMIC Trust 2013-9 SA, 3.066%, (-1.000*US0001M + 6.150%), 03/25/2042 | | 704,624 | 0.0 |
12,161,469 | (4) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | | 2,494,141 | 0.1 |
2,220,520 | (4) | Fannie Mae REMICS 2005-66 SY, 3.616%, (-1.000*US0001M + 6.700%), 07/25/2035 | | 240,081 | 0.0 |
3,543,560 | (4) | Fannie Mae REMICS 2006-120 QD, 1.616%, (-1.000*US0001M + 4.700%), 10/25/2036 | | 114,957 | 0.0 |
1,614,730 | (4) | Fannie Mae REMICS 2006-59 XS, 4.116%, (-1.000*US0001M + 7.200%), 07/25/2036 | | 160,910 | 0.0 |
1,764,840 | (4) | Fannie Mae REMICS 2007-53 SX, 3.016%, (-1.000*US0001M + 6.100%), 06/25/2037 | | 199,961 | 0.0 |
2,706,734 | (4) | Fannie Mae REMICS 2010-112 PI, 6.000%, 10/25/2040 | | 570,324 | 0.0 |
10,286,001 | (4) | Fannie Mae REMICS 2010-139 SA, 2.946%, (-1.000*US0001M + 6.030%), 12/25/2040 | | 942,505 | 0.0 |
563,511 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | | 564,583 | 0.0 |
53,465 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | | 48,736 | 0.0 |
1,464,094 | (4) | Fannie Mae REMICS 2011-149 ES, 2.916%, (-1.000*US0001M + 6.000%), 07/25/2041 | | 66,084 | 0.0 |
1,334,615 | | Fannie Mae REMICS 2011-84 Z, 5.250%, 09/25/2041 | | 1,315,746 | 0.1 |
8,310,815 | (4) | Fannie Mae REMICS 2012-19 S, 2.866%, (-1.000*US0001M + 5.950%), 03/25/2042 | | 830,658 | 0.0 |
16,665,800 | (4) | Fannie Mae REMICS 2016-2 IO, 5.500%, 02/25/2046 | | 2,767,841 | 0.1 |
6,360,804 | (4) | Fannie Mae REMICS 2016-62 SC, 2.916%, (-1.000*US0001M + 6.000%), 09/25/2046 | | 763,564 | 0.0 |
25,511,982 | (4) | Fannie Mae REMICS 2016-88 CS, 2.966%, (-1.000*US0001M + 6.050%), 12/25/2046 | | 2,254,315 | 0.1 |
6,947,450 | (4) | Fannie Mae REMICS 2016-93 SL, 3.566%, (-1.000*US0001M + 6.650%), 12/25/2046 | | 565,039 | 0.0 |
1,052,502 | | Fannie Mae REMICS 2016-97 PA, 3.000%, 12/25/2044 | | 998,142 | 0.0 |
8,129,908 | (4) | Fannie Mae REMICS 2017-23 IO, 6.000%, 04/25/2047 | | 1,717,279 | 0.1 |
1,197,728 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | | 1,082,242 | 0.1 |
3,978,869 | | Fannie Mae REMICS 2018-11 BX, 4.000%, 12/25/2047 | | 3,773,191 | 0.2 |
221,955 | | Fannie Mae REMICS 2018-27 EA, 3.000%, 05/25/2048 | | 202,121 | 0.0 |
3,780,257 | (4) | Fannie Mae REMICS 2018-43 SE, 3.166%, (-1.000*US0001M + 6.250%), 09/25/2038 | | 339,522 | 0.0 |
564,588 | | Fannie Mae REMICS 2018-64 ET, 3.000%, 09/25/2048 | | 516,037 | 0.0 |
6,768,475 | (4) | Fannie Mae REMICS 2019-18 SA, 2.966%, (-1.000*US0001M + 6.050%), 05/25/2049 | | 581,443 | 0.0 |
5,638,985 | (4) | Fannie Mae REMICS 2019-25 PS, 2.966%, (-1.000*US0001M + 6.050%), 06/25/2049 | | 593,594 | 0.0 |
15,856,491 | (4) | Fannie Mae REMICS 2019-33 PS, 2.966%, (-1.000*US0001M + 6.050%), 07/25/2049 | | 1,807,451 | 0.1 |
10,509,342 | (4) | Fannie Mae REMICS 2020-94 SC, 2.866%, (-1.000*US0001M + 5.950%), 07/25/2050 | | 1,183,730 | 0.1 |
19,237,406 | (4) | Fannie Mae REMICS 2021-8 TI, 4.000%, 03/25/2051 | | 3,787,782 | 0.2 |
7,117,521 | | Fannie Mae REMICS 2022-5 CZ, 2.500%, 02/25/2052 | | 4,522,410 | 0.2 |
128,669 | (3) | First Horizon Alternative Mortgage Securities Trust 2005-AA1 1A1, 3.605%, 03/25/2035 | | 83,846 | 0.0 |
72,761 | (3) | First Horizon Asset Securities, Inc. 2005-AR6 4A1, 2.684%, 02/25/2036 | | 63,412 | 0.0 |
19,356 | (3) | First Horizon Mortgage Pass-Through Trust 2005-AR3 2A1, 3.875%, 08/25/2035 | | 13,781 | 0.0 |
1,340,357 | (1),(3) | Flagstar Mortgage Trust 2018-1 B1, 3.957%, 03/25/2048 | | 1,146,859 | 0.1 |
1,876,500 | (1),(3) | Flagstar Mortgage Trust 2018-1 B3, 3.957%, 03/25/2048 | | 1,588,814 | 0.1 |
1,629,553 | (1),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.012%, 04/25/2048 | | 1,382,804 | 0.1 |
2,940,374 | (4) | Freddie Mac 2815 GS, 3.182%, (-1.000*US0001M + 6.000%), 03/15/2034 | | 221,964 | 0.0 |
107,582 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | | 110,042 | 0.0 |
107,777 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | | 109,774 | 0.0 |
54,644 | | Freddie Mac REMIC Trust 2411 FJ, 3.168%, (US0001M + 0.350%), 12/15/2029 | | 54,244 | 0.0 |
68,485 | | Freddie Mac REMIC Trust 2460 ZM, 6.000%, 06/15/2032 | | 70,097 | 0.0 |
4,102 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | | 4,098 | 0.0 |
163,155 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | | 166,620 | 0.0 |
68,183 | | Freddie Mac REMIC Trust 2576 KZ, 5.500%, 02/15/2033 | | 69,776 | 0.0 |
150,403 | (4) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | | 29,490 | 0.0 |
200,592 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | | 203,630 | 0.0 |
622,937 | | Freddie Mac REMIC Trust 2867 MZ, 5.000%, 10/15/2034 | | 623,740 | 0.0 |
421,740 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | | 422,274 | 0.0 |
533,198 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | | 535,579 | 0.0 |
3,397,235 | (4) | Freddie Mac REMIC Trust 3045 DI, 3.912%, (-1.000*US0001M + 6.730%), 10/15/2035 | | 312,765 | 0.0 |
339,275 | (4) | Freddie Mac REMIC Trust 3064 SP, 3.782%, (-1.000*US0001M + 6.600%), 03/15/2035 | | 2,938 | 0.0 |
232,604 | | Freddie Mac REMIC Trust 3065 DC, 11.407%, (-3.000*US0001M + 19.860%), 03/15/2035 | | 238,320 | 0.0 |
336,425 | (4) | Freddie Mac REMIC Trust 3102 IS, 14.235%, (-3.667*US0001M + 24.567%), 01/15/2036 | | 87,698 | 0.0 |
1,747,953 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | | 1,760,480 | 0.1 |
1,070,271 | (4) | Freddie Mac REMIC Trust 3170 SA, 3.782%, (-1.000*US0001M + 6.600%), 09/15/2033 | | 92,142 | 0.0 |
504,258 | (4) | Freddie Mac REMIC Trust 3171 PS, 3.667%, (-1.000*US0001M + 6.485%), 06/15/2036 | | 37,781 | 0.0 |
805,022 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | | 808,489 | 0.0 |
207,631 | (3),(4) | Freddie Mac REMIC Trust 3524 LA, 4.988%, 03/15/2033 | | 199,496 | 0.0 |
41,359 | | Freddie Mac REMIC Trust 3556 NT, 5.918%, (US0001M + 3.100%), 03/15/2038 | | 42,009 | 0.0 |
3,819,030 | (4) | Freddie Mac REMIC Trust 3589 SB, 3.382%, (-1.000*US0001M + 6.200%), 10/15/2039 | | 361,957 | 0.0 |
486,138 | (4) | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | | 61,758 | 0.0 |
3,861,125 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | | 3,946,689 | 0.2 |
1,309,148 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | | 1,361,649 | 0.1 |
674,926 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | | 677,738 | 0.0 |
699,493 | | Freddie Mac REMIC Trust 3829 VZ, 4.000%, 03/15/2041 | | 661,759 | 0.0 |
2,741,854 | (4) | Freddie Mac REMIC Trust 3856 KS, 3.732%, (-1.000*US0001M + 6.550%), 05/15/2041 | | 278,832 | 0.0 |
1,028,951 | | Freddie Mac REMIC Trust 3898 KD, 4.500%, 07/15/2041 | | 1,010,450 | 0.1 |
514,589 | (4) | Freddie Mac REMIC Trust 3925 SD, 3.232%, (-1.000*US0001M + 6.050%), 07/15/2040 | | 18,264 | 0.0 |
1,821,276 | (4) | Freddie Mac REMIC Trust 3925 SL, 3.232%, (-1.000*US0001M + 6.050%), 01/15/2041 | | 53,546 | 0.0 |
7,301,951 | (4) | Freddie Mac REMIC Trust 3951 SN, 3.732%, (-1.000*US0001M + 6.550%), 11/15/2041 | | 859,408 | 0.0 |
433,020 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | | 426,341 | 0.0 |
1,061,034 | | Freddie Mac REMIC Trust 4020 BY, 6.500%, 03/15/2042 | | 1,138,351 | 0.1 |
31,023 | (4) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | | 138 | 0.0 |
980,603 | (4) | Freddie Mac REMIC Trust 4094 YS, 3.882%, (-1.000*US0001M + 6.700%), 04/15/2040 | | 15,848 | 0.0 |
3,883,077 | (4) | Freddie Mac REMIC Trust 4102 MS, 3.782%, (-1.000*US0001M + 6.600%), 09/15/2042 | | 498,756 | 0.0 |
477,871 | (4) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | | 74,627 | 0.0 |
3,656,550 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | | 3,415,710 | 0.1 |
22,166,885 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | | 21,816,262 | 0.9 |
4,854,453 | (4) | Freddie Mac REMIC Trust 4313 SD, 3.332%, (-1.000*US0001M + 6.150%), 03/15/2044 | | 430,408 | 0.0 |
7,404,107 | (4) | Freddie Mac REMIC Trust 4313 SE, 3.332%, (-1.000*US0001M + 6.150%), 03/15/2044 | | 670,071 | 0.0 |
295,833 | (4) | Freddie Mac REMIC Trust 4323 IP, 4.500%, 08/15/2042 | | 10,545 | 0.0 |
761,577 | (4) | Freddie Mac REMIC Trust 4332 PI, 5.000%, 12/15/2043 | | 112,094 | 0.0 |
8,215,710 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | | 7,857,613 | 0.3 |
2,190,311 | (4) | Freddie Mac REMIC Trust 4346 ST, 3.382%, (-1.000*US0001M + 6.200%), 07/15/2039 | | 89,872 | 0.0 |
12,694,930 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | | 12,102,826 | 0.5 |
2,205,918 | (4) | Freddie Mac REMIC Trust 4386 LS, 3.282%, (-1.000*US0001M + 6.100%), 09/15/2044 | | 225,996 | 0.0 |
5,142,190 | (4) | Freddie Mac REMICS 3284 CI, 3.302%, (-1.000*US0001M + 6.120%), 03/15/2037 | | 449,817 | 0.0 |
2,208,714 | (4) | Freddie Mac REMICS 3311 IC, 3.592%, (-1.000*US0001M + 6.410%), 05/15/2037 | | 237,628 | 0.0 |
4,946,986 | (4) | Freddie Mac REMICS 3510 IC, 3.262%, (-1.000*US0001M + 6.080%), 08/15/2037 | | 438,339 | 0.0 |
2,304,581 | (4) | Freddie Mac REMICS 3575 ST, 3.782%, (-1.000*US0001M + 6.600%), 04/15/2039 | | 258,551 | 0.0 |
7,555,002 | (4) | Freddie Mac REMICS 3702 SB, 1.682%, (-1.000*US0001M + 4.500%), 08/15/2040 | | 326,539 | 0.0 |
8,916,699 | (4) | Freddie Mac REMICS 4139 CS, 3.332%, (-1.000*US0001M + 6.150%), 12/15/2042 | | 1,056,272 | 0.1 |
2,351,249 | (4) | Freddie Mac REMICS 4465 MI, 5.000%, 03/15/2041 | | 413,918 | 0.0 |
7,311,840 | (4) | Freddie Mac REMICS 4675 KS, 3.182%, (-1.000*US0001M + 6.000%), 04/15/2047 | | 812,882 | 0.0 |
1,725,109 | | Freddie Mac REMICS 4753 VZ, 3.000%, 12/15/2047 | | 1,310,712 | 0.1 |
1,610,102 | | Freddie Mac REMICS 4755 Z, 3.000%, 02/15/2048 | | 1,369,375 | 0.1 |
15,690,068 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | | 13,801,348 | 0.6 |
839,076 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | | 796,636 | 0.0 |
18,008,278 | (4) | Freddie Mac REMICS 4901 BS, 3.016%, (-1.000*US0001M + 6.100%), 07/25/2049 | | 1,596,047 | 0.1 |
36,697,807 | (4) | Freddie Mac REMICS 5072 IU, 2.500%, 02/25/2051 | | 5,335,215 | 0.2 |
30,998,690 | (4) | Freddie Mac REMICS 5077 LI, 3.000%, 02/25/2051 | | 4,756,272 | 0.2 |
19,142,493 | (4) | Freddie Mac REMICS 5118 LI, 3.000%, 06/25/2041 | | 2,275,340 | 0.1 |
14,777,095 | (4) | Freddie Mac REMICS 5124 IQ, 3.500%, 07/25/2051 | | 2,690,705 | 0.1 |
24,705,578 | (4) | Freddie Mac REMICS 5171 DI, 3.000%, 12/25/2051 | | 4,433,851 | 0.2 |
26,728,518 | (4) | Freddie Mac REMICS 5211 IH, 3.500%, 04/25/2052 | | 4,161,646 | 0.2 |
9,365,898 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | | 8,981,197 | 0.4 |
2,000,000 | (1) | Freddie Mac STACR REMIC Trust 2021-DNA6 B1, 5.681%, (SOFR30A + 3.400%), 10/25/2041 | | 1,796,239 | 0.1 |
2,550,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA3 M2, 4.381%, (SOFR30A + 2.100%), 09/25/2041 | | 2,152,616 | 0.1 |
5,000,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA4 B1, 6.031%, (SOFR30A + 3.750%), 12/25/2041 | | 4,401,133 | 0.2 |
2,400,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA4 M2, 4.631%, (SOFR30A + 2.350%), 12/25/2041 | | 2,049,575 | 0.1 |
4,000,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 B1, 5.681%, (SOFR30A + 3.400%), 01/25/2042 | | 3,480,829 | 0.2 |
2,500,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 M2, 4.781%, (SOFR30A + 2.500%), 01/25/2042 | | 2,186,867 | 0.1 |
1,800,000 | (1) | Freddie Mac STACR REMIC Trust 2022-HQA1 M2, 7.531%, (SOFR30A + 5.250%), 03/25/2042 | | 1,664,692 | 0.1 |
1,400,000 | (1) | Freddie Mac STACR REMIC Trust 2022-HQA3 M2, 7.631%, (SOFR30A + 5.350%), 08/25/2042 | | 1,297,790 | 0.1 |
338,194 | (3),(4) | Freddie Mac Strips 347 118, 4.500%, 02/15/2044 | | 60,234 | 0.0 |
8,961,192 | (3),(4) | Freddie Mac Strips 347 C29, 3.000%, 01/15/2044 | | 1,176,391 | 0.1 |
7,805,031 | (3),(4) | Freddie Mac Strips 347 C30, 3.500%, 02/15/2044 | | 1,159,156 | 0.1 |
2,950,778 | (3),(4) | Freddie Mac Strips 347 C31, 4.000%, 02/15/2044 | | 489,144 | 0.0 |
8,127,419 | (4) | Freddie Mac Strips 351 C1, 2.500%, 02/15/2031 | | 470,328 | 0.0 |
5,636,010 | (4) | Freddie Mac Strips 351 C11, 3.500%, 02/15/2031 | | 485,924 | 0.0 |
7,423,139 | (4) | Freddie Mac Strips 351 C12, 4.000%, 02/15/2031 | | 712,064 | 0.0 |
5,169,129 | (4) | Freddie Mac Strips 351 C13, 3.000%, 02/15/2031 | | 383,165 | 0.0 |
8,511,718 | (4) | Freddie Mac Strips 351 C2, 3.000%, 02/15/2031 | | 607,308 | 0.0 |
7,091,592 | (4) | Freddie Mac Strips 351 C7, 3.000%, 02/15/2031 | | 503,136 | 0.0 |
7,581,771 | (4) | Freddie Mac Strips 351 C8, 3.500%, 02/15/2031 | | 658,929 | 0.0 |
4,789,981 | (4) | Freddie Mac Strips Series 311 S1, 3.132%, (-1.000*US0001M + 5.950%), 08/15/2043 | | 516,017 | 0.0 |
2,000,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, 4.581%, (SOFR30A + 2.300%), 08/25/2033 | | 1,939,895 | 0.1 |
1,000,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, 5.931%, (SOFR30A + 3.650%), 11/25/2041 | | 884,465 | 0.0 |
2,000,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M2, 8.281%, (SOFR30A + 6.000%), 07/25/2042 | | 1,921,566 | 0.1 |
269,343 | | Freddie Mac Structured Pass Through Certificates T-54 2A, 6.500%, 02/25/2043 | | 283,830 | 0.0 |
1,693,853 | | Freddie Mac Structured Pass Through Certificates T-62 1A1, 2.304%, (12MTA + 1.200%), 10/25/2044 | | 1,722,683 | 0.1 |
7,218 | | Freddie Mac-Ginnie Mae Series 27 FC, 4.125%, (PRIME + (1.375)%), 03/25/2024 | | 7,137 | 0.0 |
6,256,651 | (4) | Ginnie Mae 2007-35 KY, 3.511%, (-1.000*US0001M + 6.450%), 06/16/2037 | | 672,522 | 0.0 |
497,479 | | Ginnie Mae 2013-26 GU, 1.500%, 04/20/2042 | | 454,874 | 0.0 |
438,824 | | Ginnie Mae 2013-26 JC, 2.000%, 01/20/2043 | | 397,214 | 0.0 |
183,265 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | | 161,381 | 0.0 |
135,310 | | Ginnie Mae 2013-8 BE, 1.750%, 11/20/2042 | | 121,595 | 0.0 |
29,448,718 | (4) | Ginnie Mae 2019-143 SC, 3.036%, (-1.000*US0001M + 6.050%), 04/20/2046 | | 3,254,686 | 0.1 |
29,328,179 | (4) | Ginnie Mae 2021-228 IG, 3.000%, 12/20/2051 | | 4,986,873 | 0.2 |
12,574,186 | (4) | Ginnie Mae 2021-87 ID, 2.500%, 05/20/2051 | | 1,714,611 | 0.1 |
451,089 | (4) | Ginnie Mae Series 2005-7 AH, 3.831%, (-1.000*US0001M + 6.770%), 02/16/2035 | | 37,725 | 0.0 |
213,425 | | Ginnie Mae Series 2007-8 SP, 12.276%, (-3.242*US0001M + 22.048%), 03/20/2037 | | 254,330 | 0.0 |
1,296,681 | (4) | Ginnie Mae Series 2008-35 SN, 3.386%, (-1.000*US0001M + 6.400%), 04/20/2038 | | 109,905 | 0.0 |
677,524 | (4) | Ginnie Mae Series 2008-40 PS, 3.561%, (-1.000*US0001M + 6.500%), 05/16/2038 | | 56,862 | 0.0 |
5,384,564 | (4) | Ginnie Mae Series 2009-106 SU, 3.186%, (-1.000*US0001M + 6.200%), 05/20/2037 | | 521,199 | 0.0 |
1,822,427 | (4) | Ginnie Mae Series 2009-25 KS, 3.186%, (-1.000*US0001M + 6.200%), 04/20/2039 | | 189,253 | 0.0 |
849,182 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | | 846,267 | 0.0 |
936,806 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | | 933,307 | 0.0 |
9,149,223 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | | 9,100,270 | 0.4 |
1,056,444 | (4) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | | 99,540 | 0.0 |
1,142,951 | (4) | Ginnie Mae Series 2010-116 NS, 3.711%, (-1.000*US0001M + 6.650%), 09/16/2040 | | 90,594 | 0.0 |
3,534,871 | (4) | Ginnie Mae Series 2010-116 SK, 3.606%, (-1.000*US0001M + 6.620%), 08/20/2040 | | 335,376 | 0.0 |
3,787,626 | (4) | Ginnie Mae Series 2010-149 HS, 3.161%, (-1.000*US0001M + 6.100%), 05/16/2040 | | 105,929 | 0.0 |
1,380,490 | (4) | Ginnie Mae Series 2010-4 SP, 3.561%, (-1.000*US0001M + 6.500%), 01/16/2039 | | 51,414 | 0.0 |
1,656,398 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | | 1,633,581 | 0.1 |
578,246 | (4) | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | | 38,050 | 0.0 |
1,142,971 | (4) | Ginnie Mae Series 2010-68 MS, 2.836%, (-1.000*US0001M + 5.850%), 06/20/2040 | | 101,693 | 0.0 |
2,842,117 | (4) | Ginnie Mae Series 2010-9 JI, 5.000%, 01/20/2040 | | 609,542 | 0.0 |
905,042 | (4) | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | | 33,314 | 0.0 |
55,058 | (4) | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | | 771 | 0.0 |
20,579 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | | 21,200 | 0.0 |
2,775,743 | (4) | Ginnie Mae Series 2011-80 KS, 3.656%, (-1.000*US0001M + 6.670%), 06/20/2041 | | 339,709 | 0.0 |
66,644 | (4) | Ginnie Mae Series 2012-40 NI, 4.500%, 05/20/2040 | | 5,107 | 0.0 |
5,821,545 | (4) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | | 996,207 | 0.0 |
5,251,935 | (4) | Ginnie Mae Series 2013-184 JI, 5.500%, 12/16/2043 | | 1,183,403 | 0.1 |
4,755,552 | | Ginnie Mae Series 2014-3 EP, 2.750%, 02/16/2043 | | 4,502,049 | 0.2 |
4,677,199 | (4) | Ginnie Mae Series 2014-3 SU, 3.036%, (-1.000*US0001M + 6.050%), 07/20/2039 | | 435,751 | 0.0 |
5,907,838 | (4) | Ginnie Mae Series 2014-55 MS, 3.261%, (-1.000*US0001M + 6.200%), 04/16/2044 | | 607,703 | 0.0 |
4,451,269 | (4) | Ginnie Mae Series 2014-56 SP, 3.261%, (-1.000*US0001M + 6.200%), 12/16/2039 | | 335,104 | 0.0 |
5,501,625 | (4) | Ginnie Mae Series 2014-58 CS, 2.661%, (-1.000*US0001M + 5.600%), 04/16/2044 | | 371,329 | 0.0 |
7,238,917 | (4) | Ginnie Mae Series 2014-79 BI, 6.000%, 05/16/2044 | | 1,444,364 | 0.1 |
2,597,970 | (4) | Ginnie Mae Series 2014-99 S, 2.586%, (-1.000*US0001M + 5.600%), 06/20/2044 | | 239,706 | 0.0 |
1,302,189 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | | 1,227,131 | 0.1 |
1,490,641 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | | 1,418,232 | 0.1 |
24,777,275 | (4) | Ginnie Mae Series 2019-145 LS, 0.462%, (-1.000*US0001M + 2.830%), 11/20/2049 | | 311,797 | 0.0 |
226,795 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | | 216,274 | 0.0 |
1,348 | | GSR Mortgage Loan Trust 2003-2F 3A1, 6.000%, 03/25/2032 | | 1,254 | 0.0 |
33,918 | | HarborView Mortgage Loan Trust 2005-2 2A1A, 3.433%, (US0001M + 0.440%), 05/19/2035 | | 30,789 | 0.0 |
117,951 | | HomeBanc Mortgage Trust 2004-1 2A, 3.944%, (US0001M + 0.860%), 08/25/2029 | | 112,887 | 0.0 |
1,707,783 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 3.504%, (US0001M + 0.420%), 02/25/2046 | | 1,281,412 | 0.1 |
3,967 | (3) | JP Morgan Mortgage Trust 2005-A1 6T1, 2.650%, 02/25/2035 | | 3,744 | 0.0 |
44,231 | (3) | JP Morgan Mortgage Trust 2007-A1 5A5, 2.612%, 07/25/2035 | | 43,326 | 0.0 |
1,524,052 | (1),(3) | JP Morgan Mortgage Trust 2017-4 B2, 3.875%, 11/25/2048 | | 1,310,171 | 0.1 |
987,629 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.777%, 12/25/2048 | | 835,047 | 0.0 |
1,519,574 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.616%, 06/25/2048 | | 1,287,018 | 0.1 |
1,519,574 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.616%, 06/25/2048 | | 1,282,506 | 0.1 |
1,879,164 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.616%, 06/25/2048 | | 1,630,827 | 0.1 |
1,348,811 | (1),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.715%, 09/25/2048 | | 1,140,966 | 0.1 |
1,215,915 | (1),(3) | JP Morgan Mortgage Trust 2018-4 B1, 3.715%, 10/25/2048 | | 1,040,956 | 0.1 |
1,887,056 | (1),(3) | JP Morgan Mortgage Trust 2019-8 B3A, 3.400%, 03/25/2050 | | 1,554,081 | 0.1 |
23,460 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | | 23,176 | 0.0 |
1,376,678 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B2, 3.514%, 03/25/2051 | | 1,082,364 | 0.1 |
1,827,330 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B3, 3.514%, 03/25/2051 | | 1,388,249 | 0.1 |
1,199,013,213 | (1),(4) | L Street Securities 2017-PM1 XIO, 0.010%, 10/25/2048 | | 1,631,557 | 0.1 |
6,532,294 | (4) | Lehman Mortgage Trust 2006-9 2A5, 3.536%, (-1.000*US0001M + 6.620%), 01/25/2037 | | 622,459 | 0.0 |
38,365 | (3) | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3 1A, 2.873%, 05/25/2033 | | 37,320 | 0.0 |
14,307 | | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 5A, 3.584%, (US0001M + 0.250%), 11/25/2035 | | 13,542 | 0.0 |
2,000,000 | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 4.884%, (US0001M + 1.800%), 09/25/2035 | | 2,063,771 | 0.1 |
1,330,860 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | | 808,227 | 0.0 |
6,500,000 | (1) | Mortgage Insurance-Linked Notes 2021-3 M1B, 5.181%, (SOFR30A + 2.900%), 02/25/2034 | | 6,205,535 | 0.3 |
1,350,680 | (1),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | | 1,253,094 | 0.1 |
12,801 | (1),(3) | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2001-R1A A, 7.000%, 02/19/2030 | | 12,174 | 0.0 |
2,900,000 | (1) | Oaktown Re VII Ltd. 2021-2 M1C, 5.631%, (SOFR30A + 3.350%), 04/25/2034 | | 2,703,084 | 0.1 |
390,812 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | | 322,921 | 0.0 |
1,239 | | RFMSI Series Trust 2003-S9 A1, 6.500%, 03/25/2032 | | 1,166 | 0.0 |
1,615,901 | | Seasoned Credit Risk Transfer Trust 2017-4 M45T, 4.500%, 06/25/2057 | | 1,584,454 | 0.1 |
694,212 | | Seasoned Credit Risk Transfer Trust Series 2018-2 HT, 3.000%, 11/25/2057 | | 625,363 | 0.0 |
909,922 | | Seasoned Credit Risk Transfer Trust Series 2018-3 HT, 3.000%, 08/25/2057 | | 817,326 | 0.0 |
706,846 | | Seasoned Credit Risk Transfer Trust Series 2018-4 HT, 3.000%, 03/25/2058 | | 634,676 | 0.0 |
739,478 | | Seasoned Credit Risk Transfer Trust Series 2019-1 HT, 3.000%, 07/25/2058 | | 665,880 | 0.0 |
455,818 | | Seasoned Credit Risk Transfer Trust Series 2019-2 HT, 3.000%, 08/25/2058 | | 410,661 | 0.0 |
191,238 | | Seasoned Credit Risk Transfer Trust Series 2019-3 HT, 3.000%, 10/25/2058 | | 172,289 | 0.0 |
34,381 | | Sequoia Mortgage Trust 2003-4 2A1, 3.693%, (US0001M + 0.350%), 07/20/2033 | | 32,204 | 0.0 |
12,883 | (3) | Sequoia Mortgage Trust 2005-4 2A1, 3.348%, 04/20/2035 | | 12,867 | 0.0 |
643,368 | (1),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.780%, 05/25/2045 | | 532,952 | 0.0 |
774,636 | (1),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.722%, 07/25/2045 | | 572,683 | 0.0 |
139,522 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 03/25/2048 | | 130,652 | 0.0 |
1,989,008 | (1),(3) | Sequoia Mortgage Trust 2020-3 B3, 3.325%, 04/25/2050 | | 1,518,950 | 0.1 |
698,000 | (1),(3) | Starwood Mortgage Residential Trust 2020-1, 2.878%, 02/25/2050 | | 616,452 | 0.0 |
29,069 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-17 3A1, 3.588%, 08/25/2035 | | 25,900 | 0.0 |
587,809 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2005-7 4A, 3.391%, 04/25/2035 | | 549,999 | 0.0 |
108,213 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A2, 3.493%, (US0001M + 0.250%), 07/19/2035 | | 101,785 | 0.0 |
57,501 | | Structured Asset Mortgage Investments II Trust 2005-AR5 A3, 3.493%, (US0001M + 0.250%), 07/19/2035 | | 52,949 | 0.0 |
140,426 | (3) | Thornburg Mortgage Securities Trust 2006-5 A1, 3.480%, 10/25/2046 | | 135,149 | 0.0 |
3,943 | | WaMu Mortgage Pass Through Certificates Series 2002-AR2 A, 2.119%, (COF 11 + 1.250%), 02/27/2034 | | 3,724 | 0.0 |
12,523 | | WaMu Mortgage Pass Through Certificates Series 2002-AR9 1A, 2.504%, (12MTA + 1.400%), 08/25/2042 | | 11,736 | 0.0 |
19,018 | | WaMu Mortgage Pass Through Certificates Series 2005-AR1 A1A, 3.724%, (US0001M + 0.640%), 01/25/2045 | | 17,765 | 0.0 |
420,926 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.889%, 10/25/2036 | | 390,510 | 0.0 |
227,208 | | WaMu Mortgage Pass Through Certificates Series 2006-AR7 3A, 2.152%, (COF 11 + 1.048%), 07/25/2046 | | 197,077 | 0.0 |
32,912,457 | (3),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 0.004%, 08/25/2045 | | 37,298 | 0.0 |
896,437 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 4.064%, (US0001M + 0.490%), 10/25/2045 | | 841,412 | 0.0 |
443,199 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.162%, 10/25/2036 | | 409,997 | 0.0 |
743,263 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.430%, 12/25/2036 | | 659,242 | 0.0 |
1,478,623 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.676%, 08/25/2046 | | 1,345,020 | 0.1 |
1,351,345 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 3.389%, 07/25/2037 | | 1,264,444 | 0.1 |
1,625,479 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | | 1,325,915 | 0.1 |
145,201 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | | 133,675 | 0.0 |
1,241,745 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR10 Trust, 3.284%, (US0001M + 0.200%), 12/25/2036 | | 698,815 | 0.0 |
836,045 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 3.514%, (US0001M + 0.430%), 06/25/2037 | | 676,486 | 0.0 |
54,252 | (3) | Wells Fargo Mortgage Backed Securities 2005-AR7 1A1, 3.069%, 05/25/2035 | | 54,123 | 0.0 |
170,879 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.873%, 04/25/2036 | | 162,314 | 0.0 |
583,769 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.756%, 08/20/2045 | | 502,931 | 0.0 |
| | | | | |
| | Commercial Mortgage-Backed Securities: 0.1% |
1,000,000 | (1) | Connecticut Avenue Securities Trust 2022-R08 1B1, 7.905%, (SOFR30A + 5.600%), 07/25/2042 | | 944,080 | 0.0 |
4,839,595 | (4) | Freddie Mac REMICS 5015 EI, 4.500%, 09/25/2050 | | 1,027,541 | 0.1 |
5,030,291 | (4) | Freddie Mac Strips 228 IO, 6.000%, 02/01/2035 | | 940,824 | 0.0 |
| | | | 2,912,445 | 0.1 |
| | | | | |
| Total Collateralized Mortgage Obligations | | | |
| (Cost $427,763,184) | | 364,171,853 | 14.8 |
| | | | |
MUNICIPAL BONDS: 0.1% | |
| | California: 0.1% |
500,000 | | California State University, 6.434%, 11/01/2030 | | 537,805 | 0.1 |
200,000 | | Los Angeles County Public Works Financing Authority, 7.488%, 08/01/2033 | | 227,541 | 0.0 |
300,000 | | Los Angeles County Public Works Financing Authority, 7.618%, 08/01/2040 | | 374,307 | 0.0 |
200,000 | | Regents of the University of California Medical Center Pooled Revenue, 6.398%, 05/15/2031 | | 216,073 | 0.0 |
300,000 | | Regents of the University of California Medical Center Pooled Revenue, 6.548%, 05/15/2048 | | 343,205 | 0.0 |
| | | | | |
| Total Municipal Bonds | | | |
| (Cost $1,500,000) | | 1,698,931 | 0.1 |
| | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 27.6% | |
| | Federal Home Loan Mortgage Corporation: 2.4%(5) |
10,442 | | 2.375%, (H15T1Y + 2.250%),11/01/2035 | | 10,649 | 0.0 |
664,729 | | 2.500%,05/01/2030 | | 616,907 | 0.0 |
341,934 | | 2.500%,05/01/2030 | | 318,086 | 0.0 |
772,629 | | 2.500%,06/01/2030 | | 716,965 | 0.0 |
163 | | 2.576%, (H15T1Y + 2.210%),06/01/2024 | | 161 | 0.0 |
1,798 | | 2.602%, (H15T1Y + 2.250%),03/01/2036 | | 1,827 | 0.0 |
4,282 | | 2.904%, (H15T1Y + 2.250%),11/01/2031 | | 4,210 | 0.0 |
2,569,655 | | 3.000%,03/01/2045 | | 2,299,527 | 0.1 |
1,908,751 | | 3.000%,03/01/2045 | | 1,705,305 | 0.1 |
2,246,898 | | 3.000%,04/01/2045 | | 2,007,885 | 0.1 |
2,086,973 | | 3.000%,04/01/2045 | | 1,864,536 | 0.1 |
5,089,118 | | 3.000%,10/01/2046 | | 4,553,927 | 0.2 |
3,961,205 | | 3.000%,10/01/2046 | | 3,528,024 | 0.2 |
5,551,636 | | 3.000%,03/01/2048 | | 4,946,824 | 0.2 |
2,378 | | 3.250%, (H15T1Y + 2.250%),04/01/2032 | | 2,352 | 0.0 |
37,115 | | 3.388%, (US0012M + 1.345%),09/01/2035 | | 37,439 | 0.0 |
263,279 | | 3.480%, (US0012M + 1.721%),06/01/2035 | | 268,341 | 0.0 |
796,713 | | 3.500%,08/01/2042 | | 733,340 | 0.0 |
2,039,655 | | 3.500%,03/01/2045 | | 1,877,338 | 0.1 |
355,583 | | 3.500%,04/01/2045 | | 327,286 | 0.0 |
826,231 | | 3.500%,05/01/2045 | | 760,471 | 0.0 |
479,243 | | 3.500%,06/01/2045 | | 441,102 | 0.0 |
492,249 | | 3.500%,07/01/2045 | | 453,084 | 0.0 |
560,169 | | 3.500%,07/01/2045 | | 515,617 | 0.0 |
272,189 | | 3.500%,08/01/2045 | | 250,099 | 0.0 |
891,210 | | 3.500%,08/01/2045 | | 820,339 | 0.0 |
598,914 | | 3.500%,08/01/2045 | | 551,244 | 0.0 |
518,525 | | 3.500%,08/01/2045 | | 477,288 | 0.0 |
425,348 | | 3.500%,08/01/2045 | | 390,795 | 0.0 |
679,072 | | 3.500%,09/01/2045 | | 625,023 | 0.0 |
261,201 | | 3.500%,09/01/2045 | | 240,437 | 0.0 |
933,174 | | 3.500%,09/01/2045 | | 857,351 | 0.1 |
1,060,575 | | 3.500%,11/01/2045 | | 976,205 | 0.1 |
3,800,579 | | 3.500%,12/01/2046 | | 3,485,647 | 0.2 |
10,152,567 | | 3.500%,03/01/2048 | | 9,331,751 | 0.4 |
78,880 | | 3.712%, (H15T1Y + 2.462%),01/01/2029 | | 78,165 | 0.0 |
587,777 | | 4.000%,10/01/2041 | | 558,621 | 0.0 |
927,577 | | 4.000%,12/01/2041 | | 881,524 | 0.1 |
156,487 | | 4.000%,07/01/2045 | | 149,065 | 0.0 |
94,001 | | 4.000%,09/01/2045 | | 88,977 | 0.0 |
1,701,782 | | 4.000%,09/01/2045 | | 1,618,707 | 0.1 |
1,284,652 | | 4.000%,09/01/2045 | | 1,223,104 | 0.1 |
944,320 | | 4.000%,09/01/2045 | | 897,637 | 0.1 |
729,477 | | 4.000%,05/01/2047 | | 695,235 | 0.0 |
205,558 | | 4.000%,11/01/2047 | | 194,863 | 0.0 |
228,970 | | 4.000%,03/01/2048 | | 217,284 | 0.0 |
885,967 | | 4.000%,06/01/2048 | | 840,361 | 0.1 |
4,098 | | 4.500%,06/01/2039 | | 4,025 | 0.0 |
11,367 | | 4.500%,09/01/2040 | | 11,160 | 0.0 |
38,734 | | 4.500%,03/01/2041 | | 38,028 | 0.0 |
219,015 | | 4.500%,08/01/2041 | | 211,611 | 0.0 |
315,593 | | 4.500%,08/01/2041 | | 309,836 | 0.0 |
296,656 | | 4.500%,09/01/2041 | | 291,246 | 0.0 |
150,348 | | 4.500%,09/01/2041 | | 146,437 | 0.0 |
120,325 | | 4.500%,09/01/2041 | | 118,131 | 0.0 |
712,722 | | 4.500%,09/01/2041 | | 687,041 | 0.0 |
15,649 | | 5.000%,05/01/2028 | | 15,374 | 0.0 |
65,553 | | 5.000%,05/01/2035 | | 66,153 | 0.0 |
154,956 | | 5.000%,01/01/2041 | | 156,502 | 0.0 |
89,170 | | 5.000%,04/01/2041 | | 89,878 | 0.0 |
1,687 | | 5.500%,03/01/2023 | | 1,684 | 0.0 |
644 | | 5.500%,05/01/2023 | | 642 | 0.0 |
6,961 | | 5.500%,03/01/2034 | | 7,182 | 0.0 |
1,326 | | 5.500%,05/01/2036 | | 1,334 | 0.0 |
47,543 | | 5.500%,06/01/2036 | | 49,149 | 0.0 |
5,396 | | 5.500%,12/01/2036 | | 5,585 | 0.0 |
26,094 | | 5.500%,03/01/2037 | | 26,273 | 0.0 |
6,520 | | 5.500%,04/01/2037 | | 6,749 | 0.0 |
40,228 | | 5.500%,05/01/2037 | | 41,638 | 0.0 |
71,710 | | 5.500%,07/01/2037 | | 74,224 | 0.0 |
15,480 | | 5.500%,09/01/2037 | | 15,442 | 0.0 |
8,167 | | 5.500%,10/01/2037 | | 8,454 | 0.0 |
24,887 | | 5.500%,11/01/2037 | | 25,759 | 0.0 |
21,027 | | 5.500%,12/01/2037 | | 21,684 | 0.0 |
75,654 | | 5.500%,12/01/2037 | | 78,306 | 0.0 |
5,567 | | 5.500%,01/01/2038 | | 5,741 | 0.0 |
5,206 | | 5.500%,01/01/2038 | | 5,389 | 0.0 |
51,651 | | 5.500%,02/01/2038 | | 53,461 | 0.0 |
70,432 | | 5.500%,02/01/2038 | | 72,902 | 0.0 |
47,595 | | 5.500%,03/01/2038 | | 49,262 | 0.0 |
61,336 | | 5.500%,04/01/2038 | | 63,486 | 0.0 |
47,505 | | 5.500%,05/01/2038 | | 48,178 | 0.0 |
5,461 | | 5.500%,05/01/2038 | | 5,652 | 0.0 |
39,378 | | 5.500%,06/01/2038 | | 40,309 | 0.0 |
134,502 | | 5.500%,06/01/2038 | | 139,218 | 0.0 |
125,543 | | 5.500%,07/01/2038 | | 129,944 | 0.0 |
6,080 | | 5.500%,08/01/2038 | | 6,192 | 0.0 |
25,387 | | 5.500%,08/01/2038 | | 26,274 | 0.0 |
29,154 | | 5.500%,09/01/2038 | | 30,172 | 0.0 |
28,127 | | 5.500%,10/01/2038 | | 29,113 | 0.0 |
24,819 | | 5.500%,10/01/2038 | | 25,689 | 0.0 |
100,762 | | 5.500%,11/01/2038 | | 104,295 | 0.0 |
2,682 | | 5.500%,11/01/2038 | | 2,776 | 0.0 |
6,444 | | 5.500%,12/01/2038 | | 6,670 | 0.0 |
10,116 | | 5.500%,12/01/2038 | | 10,470 | 0.0 |
22,616 | | 5.500%,01/01/2039 | | 23,406 | 0.0 |
47,591 | | 5.500%,03/01/2039 | | 49,260 | 0.0 |
18,192 | | 5.500%,07/01/2039 | | 18,622 | 0.0 |
12,263 | | 5.500%,12/01/2039 | | 12,693 | 0.0 |
81,018 | | 5.500%,03/01/2040 | | 83,858 | 0.0 |
53,365 | | 5.500%,08/01/2040 | | 55,229 | 0.0 |
36,364 | | 5.500%,08/01/2040 | | 36,262 | 0.0 |
26,850 | | 5.500%,08/01/2040 | | 27,747 | 0.0 |
235,304 | | 6.000%,09/01/2027 | | 239,681 | 0.0 |
4,414 | | 6.000%,02/01/2029 | | 4,497 | 0.0 |
5,743 | | 6.000%,05/01/2035 | | 6,046 | 0.0 |
241,234 | | 6.000%,03/01/2037 | | 253,998 | 0.0 |
1,844 | | 6.000%,05/01/2037 | | 1,951 | 0.0 |
25,273 | | 6.000%,07/01/2037 | | 26,620 | 0.0 |
30,524 | | 6.000%,08/01/2037 | | 32,139 | 0.0 |
6,054 | | 6.000%,08/01/2037 | | 6,292 | 0.0 |
163,125 | | 6.000%,09/01/2037 | | 172,024 | 0.0 |
473 | | 6.000%,10/01/2037 | | 498 | 0.0 |
6,756 | | 6.000%,11/01/2037 | | 7,119 | 0.0 |
5,425 | | 6.000%,12/01/2037 | | 5,705 | 0.0 |
1,882 | | 6.000%,12/01/2037 | | 1,920 | 0.0 |
159,903 | | 6.000%,01/01/2038 | | 169,017 | 0.0 |
989 | | 6.000%,04/01/2038 | | 1,046 | 0.0 |
6,165 | | 6.000%,06/01/2038 | | 6,337 | 0.0 |
347 | | 6.000%,07/01/2038 | | 355 | 0.0 |
21,838 | | 6.000%,08/01/2038 | | 22,556 | 0.0 |
46,660 | | 6.000%,11/01/2038 | | 49,110 | 0.0 |
11,989 | | 6.000%,05/01/2039 | | 12,437 | 0.0 |
7,095 | | 6.000%,08/01/2039 | | 7,290 | 0.0 |
1,665 | | 6.000%,09/01/2039 | | 1,697 | 0.0 |
526,755 | | 6.500%,09/01/2034 | | 547,173 | 0.0 |
| | | | 58,688,230 | 2.4 |
| | | | | |
| | Federal National Mortgage Association: 0.0%(5) |
133,241 | | 1.908%, (US0012M + 1.661%),10/01/2035 | | 131,992 | 0.0 |
49,833 | | 1.993%, (US0012M + 1.610%),02/01/2034 | | 49,459 | 0.0 |
25,100 | | 2.059%, (12MTA + 1.200%),08/01/2042 | | 25,441 | 0.0 |
43,622 | | 2.059%, (12MTA + 1.200%),08/01/2042 | | 44,279 | 0.0 |
13,676 | | 2.059%, (12MTA + 1.200%),10/01/2044 | | 13,893 | 0.0 |
23,581 | | 2.059%, (12MTA + 1.200%),10/01/2044 | | 23,965 | 0.0 |
133,979 | | 2.060%, (US0012M + 1.810%),09/01/2034 | | 135,951 | 0.0 |
19,297 | | 2.175%, (US0012M + 1.675%),02/01/2035 | | 19,094 | 0.0 |
60,423 | | 2.300%, (H15T1Y + 2.175%),10/01/2035 | | 59,721 | 0.0 |
52,010 | | 2.357%, (US0012M + 1.480%),04/01/2035 | | 51,428 | 0.0 |
7,202 | | 2.585%, (H15T1Y + 2.210%),04/01/2032 | | 7,041 | 0.0 |
23,451 | | 2.704%, (US0006M + 1.373%),09/01/2035 | | 23,016 | 0.0 |
1,366 | | 2.740%, (H15T1Y + 2.215%),09/01/2031 | | 1,349 | 0.0 |
37,609 | | 3.123%, (US0001M + 1.422%),02/01/2033 | | 37,894 | 0.0 |
1,902 | | 3.357%, (COF 11 + 1.251%),05/01/2036 | | 1,906 | 0.0 |
326,750 | | 3.619%, (H15T1Y + 1.711%),08/01/2035 | | 324,950 | 0.0 |
34,522 | | 3.637%, (US0012M + 1.486%),07/01/2035 | | 34,118 | 0.0 |
11,624 | | 3.712%, (US0012M + 1.444%),08/01/2035 | | 11,503 | 0.0 |
16,447 | | 3.963%, (COF 11 + 1.926%),12/01/2036 | | 16,760 | 0.0 |
| | | | 1,013,760 | 0.0 |
| | | | | |
| | Government National Mortgage Association: 5.3% |
1,295,974 | | 2.500%,05/20/2051 | | 1,120,262 | 0.1 |
4,452,438 | | 2.500%,08/20/2051 | | 3,847,650 | 0.2 |
3,632,640 | | 2.500%,09/20/2051 | | 3,137,055 | 0.1 |
1,863,736 | | 2.500%,11/20/2051 | | 1,609,181 | 0.1 |
3,772,268 | | 2.500%,12/20/2051 | | 3,256,792 | 0.1 |
4,878,644 | | 2.500%,04/20/2052 | | 4,201,706 | 0.2 |
49,200,000 | (6) | 2.500%,10/15/2052 | | 42,291,820 | 1.7 |
4,390,000 | (6) | 3.000%,10/15/2052 | | 3,881,206 | 0.2 |
2,024,077 | | 3.500%,07/20/2046 | | 1,847,119 | 0.1 |
308,608 | | 3.500%,07/20/2047 | | 285,178 | 0.0 |
5,097,036 | | 3.500%,12/20/2047 | | 4,673,538 | 0.2 |
2,843,624 | | 3.500%,01/20/2048 | | 2,607,348 | 0.1 |
39,322,000 | (6) | 3.500%,10/15/2052 | | 35,775,340 | 1.5 |
17,421 | | 6.000%,03/01/2038 | | 18,408 | 0.0 |
2,399 | | 6.000%,05/01/2038 | | 2,525 | 0.0 |
48,074 | | 6.000%,05/01/2038 | | 50,610 | 0.0 |
7,926 | | 6.000%,06/01/2038 | | 8,340 | 0.0 |
31,340 | | 6.000%,07/01/2038 | | 33,090 | 0.0 |
78,860 | | 6.000%,07/01/2038 | | 82,544 | 0.0 |
815 | | 6.000%,08/01/2038 | | 858 | 0.0 |
14,393 | | 6.000%,09/01/2038 | | 14,721 | 0.0 |
3,275 | | 6.000%,09/01/2038 | | 3,347 | 0.0 |
4,856 | | 6.000%,09/01/2038 | | 5,107 | 0.0 |
18,621 | | 6.000%,09/01/2038 | | 19,521 | 0.0 |
352 | | 6.000%,10/01/2038 | | 358 | 0.0 |
8,790 | | 6.000%,10/01/2038 | | 9,267 | 0.0 |
11,674 | | 6.000%,10/01/2038 | | 11,883 | 0.0 |
19,963 | | 6.000%,10/01/2038 | | 21,062 | 0.0 |
10,313 | | 6.000%,10/01/2038 | | 10,851 | 0.0 |
1,446 | | 6.000%,10/01/2038 | | 1,522 | 0.0 |
114,951 | | 6.000%,11/01/2038 | | 118,553 | 0.0 |
1,116 | | 6.000%,11/01/2038 | | 1,137 | 0.0 |
439 | | 6.000%,11/01/2038 | | 462 | 0.0 |
858 | | 6.000%,12/01/2038 | | 874 | 0.0 |
49,164 | | 6.000%,12/01/2038 | | 51,709 | 0.0 |
12,260 | | 6.000%,12/01/2038 | | 12,552 | 0.0 |
12,355 | | 6.000%,10/01/2039 | | 13,015 | 0.0 |
986 | | 6.000%,10/01/2039 | | 1,037 | 0.0 |
286,040 | | 6.000%,02/01/2040 | | 302,249 | 0.0 |
12,376 | | 6.000%,04/01/2040 | | 13,048 | 0.0 |
74,075 | | 6.000%,09/01/2040 | | 75,411 | 0.0 |
129,754 | | 6.000%,10/01/2040 | | 136,433 | 0.0 |
187,354 | | 6.000%,05/01/2041 | | 197,116 | 0.0 |
2,041 | | 6.500%,04/01/2027 | | 2,104 | 0.0 |
619 | | 6.500%,02/01/2028 | | 638 | 0.0 |
7 | | 6.500%,06/01/2029 | | 7 | 0.0 |
4,921 | | 6.500%,01/01/2032 | | 5,078 | 0.0 |
5,372 | | 6.500%,04/01/2032 | | 5,572 | 0.0 |
8,040 | | 6.500%,10/01/2032 | | 8,295 | 0.0 |
11,733 | | 6.500%,10/01/2032 | | 12,162 | 0.0 |
4,102 | | 6.500%,03/01/2038 | | 4,321 | 0.0 |
247 | | 7.000%,08/01/2025 | | 250 | 0.0 |
4,152 | | 7.000%,03/01/2026 | | 4,202 | 0.0 |
1,249 | | 7.000%,03/01/2026 | | 1,248 | 0.0 |
476 | | 7.000%,12/01/2027 | | 476 | 0.0 |
147,325 | | 7.000%,03/01/2038 | | 155,319 | 0.0 |
465,902 | | 7.000%,04/01/2038 | | 503,319 | 0.0 |
6,421 | | 7.500%,09/01/2031 | | 6,692 | 0.0 |
| | | | 457,198,401 | 18.6 |
| | | | | |
| | Uniform Mortgage-Backed Security: 1.3% |
32,835,000 | (6) | 4.500%,10/15/2052 | | 31,288,164 | 1.3 |
| | | | | |
| Total U.S. Government Agency Obligations | | | |
| (Cost $716,292,274) | | 678,875,663 | 27.6 |
| | | | |
U.S. TREASURY OBLIGATIONS: 12.2% | |
| | U.S. Treasury Bonds: 2.9% |
17,000 | | 1.250%,05/15/2050 | | 9,523 | 0.0 |
920,000 | | 1.375%,11/15/2040 | | 595,287 | 0.0 |
77,000 | | 1.625%,11/15/2050 | | 47,842 | 0.0 |
100 | | 2.000%,11/15/2041 | | 72 | 0.0 |
29,802,000 | | 2.875%,05/15/2052 | | 25,001,084 | 1.0 |
4,011,100 | | 3.250%,05/15/2042 | | 3,561,105 | 0.2 |
46,810,100 | (2) | 3.375%,08/15/2042 | | 42,414,339 | 1.7 |
| | | | 71,629,252 | 2.9 |
| | | | | |
| | U.S. Treasury Notes: 9.3% |
25,000 | | 0.125%,10/15/2023 | | 23,948 | 0.0 |
16,997,000 | | 0.250%,06/15/2024 | | 15,877,256 | 0.6 |
4,476,400 | | 0.500%,11/30/2023 | | 4,285,104 | 0.2 |
4,427,600 | | 0.875%,01/31/2024 | | 4,230,261 | 0.2 |
170,000 | | 0.875%,06/30/2026 | | 150,543 | 0.0 |
773,500 | | 1.125%,02/15/2031 | | 626,565 | 0.0 |
1,757,900 | | 1.250%,11/30/2026 | | 1,564,668 | 0.1 |
8,250,800 | | 1.250%,09/30/2028 | | 7,025,105 | 0.3 |
139,400 | | 1.500%,01/31/2027 | | 124,992 | 0.0 |
1,600,500 | | 1.500%,11/30/2028 | | 1,379,869 | 0.1 |
54,300 | | 2.750%,04/30/2027 | | 51,256 | 0.0 |
24,774,100 | | 2.750%,08/15/2032 | | 22,656,689 | 0.9 |
13,156,200 | (2) | 3.125%,08/31/2027 | | 12,621,729 | 0.5 |
12,930,000 | | 3.125%,08/31/2029 | | 12,274,409 | 0.5 |
12,552,000 | (2) | 3.250%,08/31/2024 | | 12,326,456 | 0.5 |
25,489,000 | | 3.500%,09/15/2025 | | 24,971,255 | 1.0 |
58,925,000 | | 3.875%,09/30/2029 | | 58,671,806 | 2.4 |
32,876,000 | | 4.125%,09/30/2027 | | 32,986,443 | 1.3 |
17,434,000 | | 4.250%,09/30/2024 | | 17,443,534 | 0.7 |
| | | | 229,291,888 | 9.3 |
| | | | | |
| Total U.S. Treasury Obligations | | | |
| (Cost $313,893,996) | | 300,921,140 | 12.2 |
| | | | |
ASSET-BACKED SECURITIES: 6.4% | |
| | Automobile Asset-Backed Securities: 0.0% |
350,000 | (1) | GLS Auto Receivables Issuer Trust 2021-4 C, 1.940%, 10/15/2027 | | 324,413 | 0.0 |
| | | | | |
| | Home Equity Asset-Backed Securities: 0.1% |
1,185,128 | (1),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | | 964,178 | 0.1 |
89,553 | | Home Equity Asset Trust 2005-2 M5, 4.179%, (US0001M + 1.095%), 07/25/2035 | | 89,369 | 0.0 |
689,407 | | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2 M4, 3.999%, (US0001M + 0.915%), 03/25/2035 | | 683,684 | 0.0 |
58,505 | | New Century Home Equity Loan Trust 2005-2 M3, 3.819%, (US0001M + 0.735%), 06/25/2035 | | 58,421 | 0.0 |
44,725 | | Renaissance Home Equity Loan Trust 2003-2 A, 3.964%, (US0001M + 0.880%), 08/25/2033 | | 41,569 | 0.0 |
939,945 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | | 923,533 | 0.0 |
51,860 | | Securitized Asset Backed Receivables LLC Trust 2006-WM4 A2A, 3.244%, (US0001M + 0.160%), 11/25/2036 | | 15,843 | 0.0 |
| | | | 2,776,597 | 0.1 |
| | | | | |
| | Other Asset-Backed Securities: 5.5% |
2,000,000 | (1) | AGL CLO 12 Ltd. 2021-12A C, 4.560%, (US0003M + 1.850%), 07/20/2034 | | 1,787,916 | 0.1 |
2,412,542 | (1),(3),(4),(7) | American Homes 4 Rent 2015-SFR1 XS, 3.232%, 04/17/2052 | | – | – |
650,000 | (1) | AMMC CLO 16 Ltd. 2015-16A CR2, 4.433%, (US0003M + 1.950%), 04/14/2029 | | 625,776 | 0.0 |
3,470,000 | (1) | Babson CLO Ltd. 2017-1A A2, 4.090%, (US0003M + 1.350%), 07/18/2029 | | 3,374,946 | 0.1 |
4,393,000 | (1) | Babson CLO Ltd. 2018-3A A2, 4.010%, (US0003M + 1.300%), 07/20/2029 | | 4,321,135 | 0.2 |
862,917 | (1) | Beacon Container Finance II LLC 2021-1A A, 2.250%, 10/22/2046 | | 741,014 | 0.0 |
586,301 | (3) | Bear Stearns Asset Backed Securities Trust 2006-SD4 1A1, 3.409%, 10/25/2036 | | 564,325 | 0.0 |
2,250,000 | (1) | Benefit Street Partners CLO IV Ltd. 2014-IVA BRRR, 4.860%, (US0003M + 2.150%), 01/20/2032 | | 2,061,790 | 0.1 |
2,000,000 | (1) | Benefit Street Partners CLO XVIII Ltd. 2019-18A A1R, 3.682%, (US0003M + 1.170%), 10/15/2034 | | 1,911,946 | 0.1 |
1,950,000 | (1) | Benefit Street Partners CLO XVIII Ltd. 2019-18A A2R, 3.962%, (US0003M + 1.450%), 10/15/2034 | | 1,833,462 | 0.1 |
1,450,000 | (1) | BlueMountain CLO Ltd. 2021-28A C, 4.512%, (US0003M + 2.000%), 04/15/2034 | | 1,303,795 | 0.0 |
5,000,000 | (1) | BlueMountain CLO XXXI Ltd. 2021-31A C, 4.738%, (US0003M + 2.000%), 04/19/2034 | | 4,498,370 | 0.2 |
2,338,250 | (1) | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | | 2,095,511 | 0.1 |
3,490,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A AR, 3.880%, (US0003M + 1.170%), 07/20/2034 | | 3,332,953 | 0.1 |
3,000,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A CR, 4.710%, (US0003M + 2.000%), 07/20/2034 | | 2,601,567 | 0.1 |
1,750,000 | (1) | California Street CLO IX L.P. 2012-9A CR3, 5.240%, (US0003M + 2.500%), 07/16/2032 | | 1,643,010 | 0.1 |
5,500,000 | (1) | Carlyle Global Market Strategies CLO 2016-1 Ltd. 2016-1A BR2, 4.760%, (US0003M + 2.050%), 04/20/2034 | | 4,924,821 | 0.2 |
2,400,000 | (1) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 3.870%, (US0003M + 1.130%), 04/17/2031 | | 2,270,405 | 0.1 |
3,250,000 | (1) | Cedar Funding IV CLO Ltd. 2014-4A CRR, 4.783%, (US0003M + 2.000%), 07/23/2034 | | 2,910,697 | 0.1 |
3,000,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A2R, 4.190%, (US0003M + 1.450%), 10/17/2034 | | 2,843,826 | 0.1 |
38,356 | | Chase Funding Trust Series 2002-4 2A1, 3.824%, (US0001M + 0.740%), 10/25/2032 | | 36,759 | 0.0 |
106,708 | | Chase Funding Trust Series 2003-5 2A2, 3.684%, (US0001M + 0.600%), 07/25/2033 | | 99,514 | 0.0 |
1,078,853 | (1) | CLI Funding VIII LLC 2022-1A A1, 2.720%, 01/18/2047 | | 925,776 | 0.0 |
921,500 | (1) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | | 841,300 | 0.0 |
485,000 | (1) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | | 452,790 | 0.0 |
292,500 | (1) | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | | 253,066 | 0.0 |
1,351,000 | (1) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | | 1,254,594 | 0.0 |
3,653,100 | (1) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | | 3,537,897 | 0.1 |
101,964 | | GSAMP Trust 2007-FM1 A2A, 3.154%, (US0001M + 0.070%), 12/25/2036 | | 53,314 | 0.0 |
974,024 | (1) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | | 954,936 | 0.0 |
10,000,000 | (1) | LCM 26A A2 Ltd., 3.960%, (US0003M + 1.250%), 01/20/2031 | | 9,505,990 | 0.4 |
2,450,000 | (1) | LCM 30A CR Ltd., 4.710%, (US0003M + 2.000%), 04/20/2031 | | 2,228,959 | 0.1 |
58,753 | | Long Beach Mortgage Loan Trust 2004-4 1A1, 3.644%, (US0001M + 0.560%), 10/25/2034 | | 55,513 | 0.0 |
2,090,000 | (1) | Madison Park Funding XLVIII Ltd. 2021-48A C, 4.738%, (US0003M + 2.000%), 04/19/2033 | | 1,942,987 | 0.1 |
1,650,000 | (1) | Madison Park Funding XXI Ltd. 2016-21A ABRR, 3.912%, (US0003M + 1.400%), 10/15/2032 | | 1,570,226 | 0.1 |
861,816 | (1) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | | 857,011 | 0.0 |
1,393,614 | (1) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | | 1,297,012 | 0.0 |
815,989 | (1) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | | 774,268 | 0.0 |
1,638,515 | (1) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | | 1,512,593 | 0.1 |
1,500,000 | (1) | Oak Hill Credit Partners 2021-8A C, 4.640%, (US0003M + 1.900%), 01/18/2034 | | 1,365,767 | 0.1 |
5,050,000 | (1) | OCP CLO 2021-21A C Ltd., 4.610%, (US0003M + 1.900%), 07/20/2034 | | 4,510,685 | 0.2 |
4,000,000 | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 4.088%, (US0003M + 1.350%), 07/19/2030 | | 3,805,936 | 0.2 |
1,800,000 | (1) | OHA Credit Funding 9 Ltd. 2021-9A C, 4.638%, (US0003M + 1.900%), 07/19/2035 | | 1,628,559 | 0.1 |
4,000,000 | (1) | Palmer Square CLO 2013-2A BR3 Ltd., 4.588%, (US0003M + 1.850%), 10/17/2031 | | 3,707,412 | 0.1 |
2,000,000 | (1) | Palmer Square CLO 2021-3A A2 Ltd., 3.912%, (US0003M + 1.400%), 01/15/2035 | | 1,910,440 | 0.1 |
7,000,000 | (1) | Palmer Square CLO Ltd. 2021-2A C, 4.312%, (US0003M + 1.800%), 07/15/2034 | | 6,310,766 | 0.3 |
292,759 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.499%, 01/25/2036 | | 286,241 | 0.0 |
2,450,000 | (1) | Rockland Park CLO Ltd. 2021-1A C, 4.610%, (US0003M + 1.900%), 04/20/2034 | | 2,218,218 | 0.1 |
111,731 | | Small Business Administration Participation Certificates 2007-20L 1, 5.290%, 12/01/2027 | | 111,195 | 0.0 |
1,517,708 | (1) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | | 1,382,350 | 0.1 |
2,600,000 | (1) | Sound Point CLO XXIX Ltd. 2021-1A C1, 5.083%, (US0003M + 2.300%), 04/25/2034 | | 2,291,091 | 0.1 |
2,800,000 | (1) | Sound Point CLO XXVI Ltd. 2021-1A C1R, 4.910%, (US0003M + 2.200%), 07/20/2034 | | 2,443,386 | 0.1 |
1,829,437 | (1) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | | 1,716,861 | 0.1 |
8,200,000 | (1) | Symphony CLO XXV Ltd. 2021-25A C, 4.788%, (US0003M + 2.050%), 04/19/2034 | | 7,462,246 | 0.3 |
1,732,500 | (1) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | | 1,611,575 | 0.1 |
6,000,000 | (1) | TCW CLO 2020-1A CRR Ltd., 4.760%, (US0003M + 2.050%), 04/20/2034 | | 5,460,846 | 0.2 |
7,000,000 | (1) | THL Credit Wind River 2017-3A CR Clo Ltd., 5.012%, (US0003M + 2.500%), 04/15/2035 | | 6,451,312 | 0.3 |
7,000,000 | (1) | Trinitas Clo VII Ltd. 2017-7A A1R, 3.983%, (US0003M + 1.200%), 01/25/2035 | | 6,646,864 | 0.3 |
1,221,500 | (1) | Triton Container Finance VIII LLC 2021-1A A, 1.860%, 03/20/2046 | | 1,027,664 | 0.0 |
| | | | 136,151,184 | 5.5 |
| | | | | |
| | Student Loan Asset-Backed Securities: 0.8% |
476,345 | (1) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | | 440,152 | 0.0 |
333,504 | (1) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | | 316,813 | 0.0 |
572,255 | (1) | Commonbond Student Loan Trust 2018-BGS B, 3.990%, 09/25/2045 | | 536,572 | 0.0 |
2,000,000 | (1) | Navient Private Education Refi Loan Trust 2018-A B, 3.680%, 02/18/2042 | | 1,994,067 | 0.1 |
1,550,000 | (1) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | | 1,317,175 | 0.1 |
1,500,000 | (1) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | | 1,373,272 | 0.1 |
2,500,000 | (1),(3) | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | | 2,328,941 | 0.1 |
2,100,000 | (1) | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | | 1,990,954 | 0.1 |
2,200,000 | (1) | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | | 2,084,271 | 0.1 |
5,000,000 | (1) | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | | 4,668,217 | 0.2 |
726,965 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | | 706,149 | 0.0 |
1,000,000 | (1) | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | | 896,734 | 0.0 |
| | 18,653,317 | 0.8 |
| | | |
| Total Asset-Backed Securities | | | |
| (Cost $170,512,519) | | 157,905,511 | 6.4 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.0% | |
12,309,752 | (3),(4) | Bank 2019-BNK16 XA, 1.103%, 02/15/2052 | | 536,950 | 0.0 |
50,600,075 | (3),(4) | Bank 2019-BNK19 XA, 1.085%, 08/15/2061 | | 2,481,407 | 0.1 |
22,800,000 | (1),(3),(4) | BBCCRE Trust 2015-GTP XA, 0.749%, 08/10/2033 | | 357,447 | 0.0 |
26,938,029 | (3),(4) | Benchmark 2019-B12 XA Mortgage Trust, 1.170%, 08/15/2052 | | 1,176,036 | 0.1 |
19,423,533 | (3),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.200%, 03/15/2052 | | 952,399 | 0.0 |
3,537,000 | (1),(8) | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | | 2,325,965 | 0.1 |
1,348,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.518%, 05/25/2052 | | 1,050,948 | 0.0 |
16,940,720 | (3),(4) | CD 2016-CD1 Mortgage Trust XA, 1.503%, 08/10/2049 | | 650,268 | 0.0 |
34,627,870 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 1.019%, 09/15/2050 | | 1,149,302 | 0.1 |
47,149,316 | (3),(4) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.835%, 06/10/2051 | | 1,477,278 | 0.1 |
570,579 | (3),(4) | COMM 2012-CR2 XA, 1.276%, 08/15/2045 | | 1 | 0.0 |
6,601,337 | (3),(4) | COMM 2012-CR3 XA, 1.747%, 10/15/2045 | | 17,775 | 0.0 |
65,166,000 | (1),(3),(4) | COMM 2012-CR4 XB, 0.700%, 10/15/2045 | | 566,081 | 0.0 |
8,263,895 | (3),(4) | COMM 2012-CR5 XA, 1.502%, 12/10/2045 | | 21,578 | 0.0 |
67,366,456 | (3),(4) | COMM 2016-CR28 XA, 0.710%, 02/10/2049 | | 1,192,043 | 0.1 |
3,906,000 | (1),(3) | COMM 2020-CBM F Mortgage Trust, 3.754%, 02/10/2037 | | 3,301,002 | 0.1 |
750,000 | (1) | CSAIL 2020-C19 E Commercial Mortgage Trust, 2.500%, 03/15/2053 | | 468,345 | 0.0 |
2,736,000 | (1) | CSWF 2021-SOP2 D, 5.135%, (US0001M + 2.317%), 06/15/2034 | | 2,550,305 | 0.1 |
253,692 | (1),(7) | DBUBS 2011-LC2A F Mortgage Trust, 4.000%, (US0001M + 3.650%), 07/10/2044 | | 251,584 | 0.0 |
10,444,909 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | | 1,464,915 | 0.1 |
22,000,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K028 X3, 1.714%, 06/25/2041 | | 159,822 | 0.0 |
10,700,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K035 X3, 1.849%, 12/25/2041 | | 160,036 | 0.0 |
984,671 | (1) | FREMF 2019-KBF3 C Mortgage Trust, 7.303%, (US0001M + 4.750%), 01/25/2029 | | 964,436 | 0.0 |
5,200,000 | (1),(8) | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | | 2,990,305 | 0.1 |
66,254,903 | (1),(4) | FREMF 2019-KG01 X2A Mortgage Trust, 0.100%, 04/25/2029 | | 239,929 | 0.0 |
7,380,000 | (1),(4) | FREMF 2019-KG01 X2B Mortgage Trust, 0.100%, 05/25/2029 | | 33,725 | 0.0 |
1,000,000 | (1),(3) | FRR Re-REMIC Trust 2018-C1 B725, 2.951%, 02/27/2050 | | 945,702 | 0.0 |
3,000,000 | (1),(3),(9) | FRR Re-REMIC Trust 2018-C1 C725, 0.440%, 02/27/2050 | | 2,662,784 | 0.1 |
2,532,000 | (1),(3) | GAM RE-REMIC TR 2021-FFR2 BK44, 1.740%, 09/27/2051 | | 2,193,944 | 0.1 |
2,845,000 | (1),(3) | GAM RE-REMIC TR 2021-FFR2 BK78, 2.430%, 09/27/2051 | | 2,163,988 | 0.1 |
2,164,000 | (1),(8) | GAM RE-REMIC TR 2021-FFR2 C730, 0.000%, 09/27/2051 | | 1,810,507 | 0.1 |
2,631,000 | (1),(8) | GAM RE-REMIC TR 2021-FFR2 CK44, 0.000%, 09/27/2051 | | 2,133,449 | 0.1 |
2,140,000 | (1),(3) | GAM RE-REMIC TR 2021-FFR2 CK49, 1.050%, 09/27/2051 | | 1,750,342 | 0.1 |
1,817,000 | (1),(8) | GAM RE-REMIC TR 2021-FFR2 CK78, 0.000%, 09/27/2051 | | 1,114,690 | 0.1 |
2,163,000 | (1),(8) | GAM RE-REMIC TR 2021-FFR2 D730, 0.000%, 09/27/2051 | | 1,730,713 | 0.1 |
2,140,000 | (1),(8) | GAM RE-REMIC TR 2021-FFR2 DK49, 0.000%, 09/27/2051 | | 1,650,943 | 0.1 |
6,158,000 | (1) | GAM Re-REMIC Trust 2021-FRR1 1B, 1.050%, 11/29/2050 | | 4,580,795 | 0.2 |
8,097,000 | (1) | GAM Re-REMIC Trust 2021-FRR1 2B, 1.320%, 11/29/2050 | | 5,587,200 | 0.2 |
4,451,000 | (1),(3),(4) | GAM Resecuritization Trust 2022-FRR3 BK47, 2.030%, 11/27/2050 | | 3,439,783 | 0.1 |
3,030,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 BK61, 0.950%, 01/29/2052 | | 2,290,913 | 0.1 |
3,298,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 BK89, 1.480%, 01/27/2052 | | 2,134,693 | 0.1 |
1,723,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 C728, 0.530%, 08/27/2050 | | 1,485,982 | 0.1 |
1,756,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK47, 0.810%, 05/27/2048 | | 1,428,196 | 0.1 |
2,125,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK61, 1.300%, 11/27/2049 | | 1,491,454 | 0.1 |
1,483,000 | (1),(3),(4) | GAM Resecuritization Trust 2022-FRR3 CK71, 1.410%, 01/29/2052 | | 1,026,635 | 0.0 |
1,728,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK89, 1.790%, 01/27/2052 | | 1,022,797 | 0.0 |
1,724,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 D728, 0.620%, 01/29/2052 | | 1,439,119 | 0.1 |
2,328,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK27, 0.120%, 12/27/2045 | | 2,262,296 | 0.1 |
1,388,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK41, 0.730%, 10/27/2047 | | 1,156,515 | 0.1 |
1,755,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK47, 0.960%, 05/27/2048 | | 1,372,135 | 0.1 |
580,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 EK27, 0.150%, 12/27/2045 | | 560,210 | 0.0 |
924,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 EK41, 0.720%, 01/29/2052 | | 747,956 | 0.0 |
27,969,329 | (3),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.175%, 11/10/2046 | | 192,079 | 0.0 |
38,405,068 | (3),(4) | GS Mortgage Securities Trust 2014-GC22 XA, 1.094%, 06/10/2047 | | 388,089 | 0.0 |
105,133,398 | (3),(4) | GS Mortgage Securities Trust 2019-GC42 XA, 0.931%, 09/01/2052 | | 4,227,514 | 0.2 |
38,352,627 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.723%, 12/15/2049 | | 708,661 | 0.0 |
1,904,758 | (3),(4) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.091%, 10/15/2048 | | 30,280 | 0.0 |
292,068 | (1),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XCL, 0.637%, 11/15/2038 | | – | – |
688,079 | (1) | Life 2021-BMR F Mortgage Trust, 5.168%, (US0001M + 2.350%), 03/15/2038 | | 633,083 | 0.0 |
1,350,000 | (1) | RFM Reremic Trust 2022-FRR1 AB55, 0.950%, 03/28/2049 | | 1,050,112 | 0.0 |
1,140,000 | (1),(3) | RFM Reremic Trust 2022-FRR1 AB60, 2.470%, 11/08/2049 | | 946,069 | 0.0 |
1,720,000 | (1),(3) | RFM Reremic Trust 2022-FRR1 AB64, 2.314%, 03/01/2050 | | 1,397,502 | 0.1 |
420,000 | (1),(8) | RFM Reremic Trust 2022-FRR1 CK55, 0.000%, 03/28/2049 | | 311,536 | 0.0 |
530,000 | (1),(8) | RFM Reremic Trust 2022-FRR1 CK60, 0.000%, 11/08/2049 | | 374,061 | 0.0 |
500,000 | (1),(8) | RFM Reremic Trust 2022-FRR1 CK64, 0.000%, 03/01/2050 | | 341,333 | 0.0 |
24,756,250 | (3),(4) | Wells Fargo Commercial Mortgage Trust 2014-LC18 XA, 1.179%, 12/15/2047 | | 425,867 | 0.0 |
24,892,844 | (3),(4) | Wells Fargo Commercial Mortgage Trust 2021-C59 E, 1.672%, 04/15/2054 | | 2,153,266 | 0.1 |
680,958 | (1),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.704%, 11/15/2044 | | 678,915 | 0.0 |
9,020,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.365%, 03/15/2045 | | 8,353,419 | 0.3 |
25,867,838 | (1),(3),(4) | WFRBS Commercial Mortgage Trust 2013-C12 XA, 1.215%, 03/15/2048 | | 79,823 | 0.0 |
| | | | | |
| Total Commercial Mortgage-Backed Securities | | | |
| (Cost $105,884,500) | | 99,015,232 | 4.0 |
| | | | |
Shares | | | | Value | Percentage of Net Assets |
MUTUAL FUNDS: 22.3% |
| | Affiliated Investment Companies: 22.3% |
10,374,761 | | Voya Emerging Markets Corporate Debt Fund - Class P | | 81,234,378 | 3.3 |
15,511,683 | | Voya Emerging Markets Hard Currency Debt Fund - Class P | | 107,340,849 | 4.4 |
96,763 | | Voya Floating Rate Fund - Class P | | 791,521 | 0.0 |
12,075,182 | | Voya High Yield Bond Fund - Class P | | 78,488,681 | 3.2 |
16,448,636 | | Voya Investment Grade Credit Fund - Class P | | 143,761,074 | 5.9 |
15,052,679 | | Voya Securitized Credit Fund - Class P | | 135,925,689 | 5.5 |
| | | |
| Total Mutual Funds | | | |
| (Cost $664,046,373) | | 547,542,192 | 22.3 |
| | | |
| | | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (10): 0.0% |
| Total Purchased Options | | | |
| (Cost $1,025,193) | | 723,959 | 0.0 |
| | | |
| Total Long-Term Investments | | | |
| (Cost $3,050,184,217) | | 2,703,559,204 | 109.9 |
| | | |
Principal Amount† | | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 6.4% |
| | Commercial Paper: 5.0% |
15,000,000 | | American Electric Power Co., Inc., 3.530%, 10/24/2022 | | 14,965,250 | 0.6 |
14,500,000 | | Auto Zone, 3.380%, 10/05/2022 | | 14,493,282 | 0.6 |
6,400,000 | | Consolidated Edison Co., 3.380%, 10/04/2022 | | 6,397,633 | 0.3 |
19,000,000 | | Consolidated Edison Co., 3.600%, 11/04/2022 | | 18,934,608 | 0.8 |
14,000,000 | | Fiserv, Inc., 3.390%, 10/05/2022 | | 13,993,496 | 0.6 |
8,500,000 | | Fiserv, Inc., 3.470%, 10/19/2022 | | 8,484,680 | 0.3 |
11,000,000 | | General Mills, Inc., 3.380%, 10/04/2022 | | 10,995,931 | 0.5 |
18,000,000 | | HP, Inc., 3.410%, 10/11/2022 | | 17,981,520 | 0.7 |
5,000,000 | | Mondelez International, Inc., 3.420%, 10/18/2022 | | 4,991,572 | 0.2 |
10,000,000 | | Raytheon Technologies Corp., 3.960%, 12/01/2022 | | 9,933,143 | 0.4 |
| | | |
| Total Commercial Paper | |
| (Cost $121,191,109) | | 121,171,115 | 5.0 |
| | | |
| | Repurchase Agreements: 1.1% |
5,851,445 | (11) | Cantor Fitzgerald Securities, Repurchase Agreement dated 09/30/22, 3.05%, due 10/03/22 (Repurchase Amount $5,852,912, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $5,968,474, due 11/01/22-08/20/72) | | 5,851,445 | 0.3 |
3,313,588 | (11) | Citadel Securities LLC, Repurchase Agreement dated 09/30/22, 3.06%, due 10/03/22 (Repurchase Amount $3,314,421, collateralized by various U.S. Government Securities, 0.000%-7.625%, Market Value plus accrued interest $3,380,728, due 10/15/22-08/15/52) | | 3,313,588 | 0.1 |
4,951,200 | (11) | MUFG Securities America Inc., Repurchase Agreement dated 09/30/22, 3.05%, due 10/03/22 (Repurchase Amount $4,952,441, collateralized by various U.S. Government Agency Obligations, 2.000%-5.000%, Market Value plus accrued interest $5,050,224, due 09/01/28-09/01/52) | | 4,951,200 | 0.2 |
8,157,039 | (11) | RBC Dominion Securities Inc., Repurchase Agreement dated 09/30/22, 3.04%, due 10/03/22 (Repurchase Amount $8,159,077, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.000%, Market Value plus accrued interest $8,320,180, due 08/15/25-08/20/52) | | 8,157,039 | 0.3 |
4,291,438 | (11) | State of Wisconsin Investment Board, Repurchase Agreement dated 09/30/22, 3.04%, due 10/03/22 (Repurchase Amount $4,292,510, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $4,377,373, due 10/15/24-02/15/51) | | 4,291,438 | | 0.2 | |
| | | | | | |
| Total Repurchase Agreements | | | | | |
| (Cost $26,564,710) | | 26,564,710 | | 1.1 | |
| | | | | | |
| | Time Deposits: 0.3% | |
810,000 | (11) | Barclays Bank PLC, 3.090%, 10/03/2022 | | 810,000 | | 0.0 | |
670,000 | (11) | Canadian Imperial Bank of Commerce, 3.030%, 10/03/2022 | | 670,000 | | 0.0 | |
740,000 | (11) | Credit Agricole, 3.060%, 10/03/2022 | | 740,000 | | 0.0 | |
750,000 | (11) | Landesbank Baden-Wurttemberg, 3.070%, 10/03/2022 | | 750,000 | | 0.0 | |
750,000 | (11) | Mizuho Bank Ltd., 3.070%, 10/03/2022 | | 750,000 | | 0.0 | |
650,000 | (11) | National Australia Bank Ltd., 3.050%, 10/03/2022 | | 650,000 | | 0.0 | |
840,000 | (11) | Royal Bank of Canada, 3.070%, 10/03/2022 | | 840,000 | | 0.1 | |
840,000 | (11) | Skandinaviska Enskilda Banken AB, 3.050%, 10/03/2022 | | 840,000 | | 0.1 | |
670,000 | (11) | Societe Generale, 3.060%, 10/03/2022 | | 670,000 | | 0.0 | |
840,000 | (11) | Svenska Handelsbanken AB, 3.000%, 10/03/2022 | | 840,000 | | 0.1 | |
820,000 | (11) | Toronto-Dominion Bank, 3.060%, 10/03/2022 | | 820,000 | | 0.0 | |
| | | | | | |
| Total Time Deposits | | | | | |
| (Cost $8,380,000) | | 8,380,000 | | 0.3 | |
| | | | | | |
Shares | | | | Value | | Percentage of Net Assets | |
| | Mutual Funds: 0.0% | |
586,000 | (12) | Goldman Sachs Financial Square Government Fund - Institutional Shares, 2.930% | | | | | |
| | (Cost $586,000) | | 586,000 | | 0.0 | |
| | | | | | | |
| Total Short-Term Investments | | | | | |
| (Cost $156,721,819) | | 156,701,825 | | 6.4 | |
| | | | | | |
| Total Investments in Securities (Cost $3,206,906,036) | $ | 2,860,261,029 | | 116.3 | |
| Liabilities in Excess of Other Assets | | (400,027,627 | ) | (16.3 | ) |
| Net Assets | $ | 2,460,233,402 | | 100.0 | |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2022 in valuing the assets and liabilities:
An investment of at least 5% of the voting securities of an issuer, or a company which is under common control 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 September 30, 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 September 30, 2022, the following futures contracts were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2022, the following centrally cleared credit default swaps were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2022, the following OTC purchased foreign currency options were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 2022, the following OTC forward premium swaptions were outstanding for Voya Intermediate Bond Portfolio:
At September 30, 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: