| Nonconvertible Bonds - 41.3% | | | |
| | | Principal Amount | Value |
| COMMUNICATION SERVICES - 3.8% | | | |
| Diversified Telecommunication Services - 1.5% | | | |
| AT&T, Inc.: | | | |
| 2.45% 6/30/20 | | $3,187,000 | $3,185,106 |
| 2.95% 7/15/26 | | 12,000,000 | 11,804,527 |
| 3.6% 2/17/23 | | 6,270,000 | 6,454,649 |
| 4.1% 2/15/28 | | 1,423,000 | 1,494,458 |
| 4.3% 2/15/30 | | 2,799,000 | 3,012,623 |
| 4.45% 4/1/24 | | 480,000 | 508,442 |
| 4.5% 3/9/48 | | 13,000,000 | 14,108,374 |
| 4.75% 5/15/46 | | 15,700,000 | 17,435,875 |
| Verizon Communications, Inc.: | | | |
| 3% 3/22/27 | | 1,295,000 | 1,362,770 |
| 3.15% 3/22/30 | | 6,416,000 | 6,899,612 |
| 4% 3/22/50 | | 2,150,000 | 2,551,634 |
| 4.862% 8/21/46 | | 7,441,000 | 9,702,378 |
| 5.012% 4/15/49 | | 2,962,000 | 3,996,069 |
| 5.5% 3/16/47 | | 7,027,000 | 9,633,179 |
| | | | 92,149,696 |
| Entertainment - 0.7% | | | |
| NBCUniversal, Inc.: | | | |
| 4.45% 1/15/43 | | 2,012,000 | 2,552,637 |
| 5.95% 4/1/41 | | 1,407,000 | 1,944,148 |
| The Walt Disney Co.: | | | |
| 3.8% 3/22/30 | | 23,020,000 | 25,883,251 |
| 4.7% 3/23/50 | | 7,268,000 | 9,413,121 |
| | | | 39,793,157 |
| Media - 1.6% | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
| 4.464% 7/23/22 | | 5,742,000 | 5,930,934 |
| 4.908% 7/23/25 | | 3,860,000 | 4,158,302 |
| 5.375% 5/1/47 | | 18,172,000 | 19,636,440 |
| 6.484% 10/23/45 | | 2,744,000 | 3,354,831 |
| Comcast Corp.: | | | |
| 3.1% 4/1/25 | | 593,000 | 627,001 |
| 3.3% 4/1/27 | | 1,600,000 | 1,703,501 |
| 3.4% 4/1/30 | | 1,642,000 | 1,778,902 |
| 3.75% 4/1/40 | | 576,000 | 636,591 |
| 3.9% 3/1/38 | | 1,072,000 | 1,205,078 |
| 4.6% 8/15/45 | | 2,841,000 | 3,624,803 |
| 4.65% 7/15/42 | | 2,539,000 | 3,228,034 |
| Fox Corp.: | | | |
| 3.666% 1/25/22 | | 721,000 | 736,365 |
| 4.03% 1/25/24 | | 1,268,000 | 1,317,392 |
| 4.709% 1/25/29 | | 1,835,000 | 2,012,980 |
| 5.476% 1/25/39 | | 1,809,000 | 2,098,389 |
| 5.576% 1/25/49 | | 1,201,000 | 1,438,175 |
| Time Warner Cable, Inc.: | | | |
| 4% 9/1/21 | | 7,363,000 | 7,376,590 |
| 4.5% 9/15/42 | | 924,000 | 868,577 |
| 5.5% 9/1/41 | | 1,700,000 | 1,777,602 |
| 5.875% 11/15/40 | | 1,500,000 | 1,580,626 |
| 6.55% 5/1/37 | | 20,209,000 | 22,691,176 |
| 7.3% 7/1/38 | | 3,781,000 | 4,644,448 |
| | | | 92,426,737 |
|
| TOTAL COMMUNICATION SERVICES | | | 224,369,590 |
|
| CONSUMER DISCRETIONARY - 1.8% | | | |
| Automobiles - 0.5% | | | |
| General Motors Financial Co., Inc.: | | | |
| 3.2% 7/13/20 | | 10,000,000 | 9,970,831 |
| 4.2% 3/1/21 | | 5,411,000 | 5,207,546 |
| 4.25% 5/15/23 | | 2,080,000 | 1,880,797 |
| 4.375% 9/25/21 | | 15,702,000 | 14,455,283 |
| | | | 31,514,457 |
| Diversified Consumer Services - 0.1% | | | |
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | | 2,932,000 | 3,187,500 |
| Hotels, Restaurants & Leisure - 0.1% | | | |
| McDonald's Corp.: | | | |
| 3.3% 7/1/25 | | 592,000 | 612,808 |
| 3.5% 7/1/27 | | 1,685,000 | 1,777,121 |
| 3.6% 7/1/30 | | 2,005,000 | 2,099,838 |
| 4.2% 4/1/50 | | 1,015,000 | 1,124,548 |
| | | | 5,614,315 |
| Leisure Products - 0.1% | | | |
| Hasbro, Inc.: | | | |
| 2.6% 11/19/22 | | 1,931,000 | 1,904,934 |
| 3% 11/19/24 | | 4,395,000 | 4,104,051 |
| | | | 6,008,985 |
| Multiline Retail - 0.0% | | | |
| Target Corp.: | | | |
| 2.25% 4/15/25 | | 1,645,000 | 1,670,064 |
| 2.65% 9/15/30 | | 1,425,000 | 1,459,065 |
| | | | 3,129,129 |
| Specialty Retail - 0.8% | | | |
| AutoZone, Inc.: | | | |
| 3.625% 4/15/25 | | 1,142,000 | 1,157,848 |
| 4% 4/15/30 | | 5,311,000 | 5,420,178 |
| Lowe's Companies, Inc.: | | | |
| 4% 4/15/25 | | 1,571,000 | 1,679,390 |
| 4.5% 4/15/30 | | 3,815,000 | 4,209,282 |
| 5% 4/15/40 | | 2,443,000 | 2,764,594 |
| 5.125% 4/15/50 | | 2,866,000 | 3,452,202 |
| O'Reilly Automotive, Inc. 4.2% 4/1/30 | | 1,177,000 | 1,218,910 |
| The Home Depot, Inc.: | | | |
| 2.5% 4/15/27 | | 754,000 | 761,522 |
| 2.7% 4/15/30 | | 2,690,000 | 2,741,476 |
| 3.3% 4/15/40 | | 3,351,000 | 3,436,678 |
| 3.35% 4/15/50 | | 2,514,000 | 2,733,618 |
| TJX Companies, Inc.: | | | |
| 3.5% 4/15/25 | | 1,862,000 | 1,904,476 |
| 3.75% 4/15/27 | | 4,337,000 | 4,453,492 |
| 3.875% 4/15/30 | | 8,057,000 | 8,336,965 |
| 4.5% 4/15/50 | | 3,258,000 | 3,491,853 |
| | | | 47,762,484 |
| Textiles, Apparel & Luxury Goods - 0.2% | | | |
| NIKE, Inc.: | | | |
| 2.4% 3/27/25 | | 698,000 | 723,560 |
| 2.75% 3/27/27 | | 1,571,000 | 1,641,640 |
| 2.85% 3/27/30 | | 4,661,000 | 4,926,766 |
| 3.25% 3/27/40 | | 2,409,000 | 2,515,340 |
| 3.375% 3/27/50 | | 1,891,000 | 2,072,371 |
| | | | 11,879,677 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 109,096,547 |
|
| CONSUMER STAPLES - 3.5% | | | |
| Beverages - 1.9% | | | |
| Anheuser-Busch InBev Finance, Inc.: | | | |
| 4.7% 2/1/36 | | 9,265,000 | 9,539,369 |
| 4.9% 2/1/46 | | 11,511,000 | 11,931,998 |
| Anheuser-Busch InBev Worldwide, Inc.: | | | |
| 4.75% 4/15/58 | | 5,750,000 | 5,905,912 |
| 5.45% 1/23/39 | | 4,690,000 | 5,459,958 |
| 5.55% 1/23/49 | | 10,715,000 | 12,610,087 |
| 5.8% 1/23/59 (Reg. S) | | 11,321,000 | 13,866,970 |
| Molson Coors Beverage Co.: | | | |
| 3% 7/15/26 | | 7,500,000 | 7,044,912 |
| 5% 5/1/42 | | 13,093,000 | 12,706,932 |
| PepsiCo, Inc.: | | | |
| 2.625% 3/19/27 | | 659,000 | 688,452 |
| 2.75% 3/19/30 | | 4,300,000 | 4,594,926 |
| 3.5% 3/19/40 | | 2,216,000 | 2,491,362 |
| 3.625% 3/19/50 | | 4,300,000 | 5,102,821 |
| 3.875% 3/19/60 | | 1,757,000 | 2,208,033 |
| The Coca-Cola Co.: | | | |
| 3.375% 3/25/27 | | 5,679,000 | 6,269,894 |
| 3.45% 3/25/30 | | 3,470,000 | 3,924,518 |
| 4.125% 3/25/40 | | 1,967,000 | 2,423,362 |
| 4.2% 3/25/50 | | 3,643,000 | 4,773,051 |
| | | | 111,542,557 |
| Food & Staples Retailing - 0.1% | | | |
| Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | | 2,918,000 | 2,960,178 |
| Food Products - 0.1% | | | |
| Archer Daniels Midland Co.: | | | |
| 2.75% 3/27/25 | | 987,000 | 1,007,497 |
| 3.25% 3/27/30 | | 1,642,000 | 1,739,468 |
| Conagra Brands, Inc. 3.8% 10/22/21 | | 1,121,000 | 1,129,735 |
| General Mills, Inc. 2.875% 4/15/30 | | 718,000 | 716,564 |
| | | | 4,593,264 |
| Household Products - 0.1% | | | |
| Kimberly-Clark Corp. 3.1% 3/26/30 | | 415,000 | 445,639 |
| Procter & Gamble Co.: | | | |
| 2.8% 3/25/27 | | 831,000 | 906,167 |
| 3% 3/25/30 | | 1,992,000 | 2,211,200 |
| 3.55% 3/25/40 | | 1,436,000 | 1,674,759 |
| 3.6% 3/25/50 | | 1,393,000 | 1,718,269 |
| | | | 6,956,034 |
| Tobacco - 1.3% | | | |
| Altria Group, Inc.: | | | |
| 3.875% 9/16/46 | | 4,590,000 | 4,148,774 |
| 4% 1/31/24 | | 2,227,000 | 2,278,879 |
| 4.25% 8/9/42 | | 5,531,000 | 5,501,465 |
| 4.5% 5/2/43 | | 3,707,000 | 3,512,985 |
| 4.8% 2/14/29 | | 5,504,000 | 5,758,984 |
| 5.375% 1/31/44 | | 6,678,000 | 7,407,385 |
| 5.95% 2/14/49 | | 3,700,000 | 4,304,854 |
| Imperial Tobacco Finance PLC: | | | |
| 3.75% 7/21/22 (a) | | 4,804,000 | 4,801,959 |
| 4.25% 7/21/25 (a) | | 15,488,000 | 15,069,590 |
| Reynolds American, Inc.: | | | |
| 3.25% 6/12/20 | | 939,000 | 936,183 |
| 4% 6/12/22 | | 3,228,000 | 3,269,074 |
| 4.45% 6/12/25 | | 2,341,000 | 2,383,956 |
| 5.7% 8/15/35 | | 1,215,000 | 1,337,774 |
| 5.85% 8/15/45 | | 9,320,000 | 10,022,069 |
| 6.15% 9/15/43 | | 4,000,000 | 4,342,967 |
| 7.25% 6/15/37 | | 2,962,000 | 3,516,768 |
| | | | 78,593,666 |
|
| TOTAL CONSUMER STAPLES | | | 204,645,699 |
|
| ENERGY - 4.4% | | | |
| Energy Equipment & Services - 0.1% | | | |
| El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | | 1,517,000 | 1,484,687 |
| Halliburton Co.: | | | |
| 3.8% 11/15/25 | | 151,000 | 134,018 |
| 4.85% 11/15/35 | | 2,154,000 | 1,671,951 |
| Noble Holding International Ltd.: | | | |
| 7.95% 4/1/25 (b) | | 2,180,000 | 239,800 |
| 8.95% 4/1/45 (b) | | 2,104,000 | 105,200 |
| | | | 3,635,656 |
| Oil, Gas & Consumable Fuels - 4.3% | | | |
| Amerada Hess Corp.: | | | |
| 7.125% 3/15/33 | | 1,003,000 | 806,878 |
| 7.3% 8/15/31 | | 1,341,000 | 1,148,742 |
| 7.875% 10/1/29 | | 4,387,000 | 3,536,206 |
| Canadian Natural Resources Ltd.: | | | |
| 3.8% 4/15/24 | | 6,783,000 | 5,801,324 |
| 5.85% 2/1/35 | | 2,497,000 | 1,925,763 |
| Cenovus Energy, Inc. 4.25% 4/15/27 | | 6,400,000 | 3,137,226 |
| Columbia Pipeline Group, Inc.: | | | |
| 3.3% 6/1/20 | | 4,379,000 | 4,361,214 |
| 4.5% 6/1/25 | | 1,336,000 | 1,316,458 |
| DCP Midstream LLC 4.75% 9/30/21 (a) | | 3,739,000 | 3,271,999 |
| DCP Midstream Operating LP: | | | |
| 3.875% 3/15/23 | | 1,771,000 | 1,416,269 |
| 5.6% 4/1/44 | | 1,227,000 | 543,168 |
| Duke Energy Field Services 6.45% 11/3/36 (a) | | 2,477,000 | 1,188,217 |
| Empresa Nacional de Petroleo 4.375% 10/30/24 (a) | | 3,540,000 | 3,433,800 |
| Enable Midstream Partners LP 3.9% 5/15/24 (b) | | 1,322,000 | 733,624 |
| Enbridge Energy Partners LP 4.2% 9/15/21 | | 4,399,000 | 4,336,144 |
| Enbridge, Inc.: | | | |
| 4% 10/1/23 | | 2,813,000 | 2,677,054 |
| 4.25% 12/1/26 | | 1,773,000 | 1,805,756 |
| Energy Transfer Partners LP: | | | |
| 3.75% 5/15/30 | | 2,315,000 | 1,813,213 |
| 4.2% 9/15/23 | | 1,186,000 | 1,035,915 |
| 4.25% 3/15/23 | | 1,017,000 | 910,845 |
| 4.5% 4/15/24 | | 1,262,000 | 1,125,743 |
| 4.95% 6/15/28 | | 4,048,000 | 3,351,306 |
| 5% 5/15/50 | | 5,176,000 | 3,995,471 |
| 5.25% 4/15/29 | | 2,052,000 | 1,737,605 |
| 5.8% 6/15/38 | | 2,257,000 | 1,958,081 |
| 6% 6/15/48 | | 1,470,000 | 1,234,284 |
| 6.25% 4/15/49 | | 1,409,000 | 1,192,451 |
| Enterprise Products Operating LP: | | | |
| 3.7% 2/15/26 | | 4,800,000 | 4,790,810 |
| 3.75% 2/15/25 | | 2,900,000 | 2,884,326 |
| Exxon Mobil Corp. 3.482% 3/19/30 | | 13,440,000 | 14,893,098 |
| Hess Corp. 4.3% 4/1/27 | | 870,000 | 643,512 |
| Kinder Morgan Energy Partners LP: | | | |
| 3.45% 2/15/23 | | 1,700,000 | 1,661,436 |
| 6.55% 9/15/40 | | 460,000 | 495,071 |
| Kinder Morgan, Inc. 5.55% 6/1/45 | | 2,436,000 | 2,500,901 |
| Marathon Petroleum Corp. 5.125% 3/1/21 | | 2,187,000 | 2,120,428 |
| MPLX LP: | | | |
| 3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (b)(c) | | 1,583,000 | 1,495,832 |
| 3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (b)(c) | | 2,383,000 | 2,217,091 |
| 4.5% 7/15/23 | | 1,975,000 | 1,699,635 |
| 4.8% 2/15/29 | | 1,126,000 | 992,526 |
| 4.875% 12/1/24 | | 2,736,000 | 2,395,250 |
| 5.5% 2/15/49 | | 3,377,000 | 2,851,025 |
| Occidental Petroleum Corp.: | | | |
| 2.6% 8/13/21 | | 1,544,000 | 1,235,529 |
| 2.7% 8/15/22 | | 1,364,000 | 971,890 |
| 2.9% 8/15/24 | | 4,509,000 | 2,457,405 |
| 3.2% 8/15/26 | | 607,000 | 296,223 |
| 3.5% 8/15/29 | | 1,909,000 | 897,326 |
| 4.3% 8/15/39 | | 278,000 | 118,205 |
| 4.4% 8/15/49 | | 279,000 | 120,638 |
| 4.85% 3/15/21 | | 1,620,000 | 1,357,077 |
| 5.55% 3/15/26 | | 5,174,000 | 2,759,359 |
| 6.2% 3/15/40 | | 1,700,000 | 774,831 |
| 6.45% 9/15/36 | | 4,602,000 | 2,200,965 |
| 6.6% 3/15/46 | | 5,708,000 | 2,690,167 |
| 7.5% 5/1/31 | | 7,680,000 | 3,975,671 |
| Petrobras Global Finance BV: | | | |
| 5.093% 1/15/30 (a) | | 3,804,000 | 3,442,620 |
| 7.25% 3/17/44 | | 24,245,000 | 24,321,221 |
| Petroleos Mexicanos: | | | |
| 4.5% 1/23/26 | | 5,320,000 | 3,862,054 |
| 5.95% 1/28/31 (a) | | 1,521,000 | 1,045,840 |
| 6.35% 2/12/48 | | 13,200,000 | 8,250,000 |
| 6.49% 1/23/27 (a) | | 3,830,000 | 2,824,625 |
| 6.5% 3/13/27 | | 4,830,000 | 3,550,805 |
| 6.5% 1/23/29 | | 5,560,000 | 4,000,281 |
| 6.75% 9/21/47 | | 12,105,000 | 7,928,775 |
| 6.84% 1/23/30 (a) | | 20,585,000 | 14,893,659 |
| 6.95% 1/28/60 (a) | | 7,879,000 | 5,219,838 |
| 7.69% 1/23/50 (a) | | 16,210,000 | 11,103,850 |
| Plains All American Pipeline LP/PAA Finance Corp.: | | | |
| 3.55% 12/15/29 | | 1,322,000 | 903,206 |
| 3.6% 11/1/24 | | 1,389,000 | 1,142,296 |
| 3.65% 6/1/22 | | 2,155,000 | 1,969,157 |
| Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | | 2,030,000 | 1,906,836 |
| Southwestern Energy Co. 6.2% 1/23/25 (b) | | 2,509,000 | 1,708,504 |
| Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | | 1,349,000 | 1,071,081 |
| The Williams Companies, Inc.: | | | |
| 3.7% 1/15/23 | | 1,208,000 | 1,116,792 |
| 4.55% 6/24/24 | | 13,337,000 | 12,153,276 |
| Western Gas Partners LP: | | | |
| 3.95% 6/1/25 | | 868,000 | 445,752 |
| 4.5% 3/1/28 | | 2,000,000 | 970,403 |
| 4.65% 7/1/26 | | 9,056,000 | 4,613,290 |
| 4.75% 8/15/28 | | 1,155,000 | 549,859 |
| Williams Partners LP: | | | |
| 3.6% 3/15/22 | | 3,522,000 | 3,413,697 |
| 3.9% 1/15/25 | | 1,216,000 | 1,090,343 |
| 4% 11/15/21 | | 2,221,000 | 2,106,949 |
| 4.3% 3/4/24 | | 5,449,000 | 4,951,184 |
| 4.5% 11/15/23 | | 1,751,000 | 1,641,807 |
| | | | 253,488,983 |
|
| TOTAL ENERGY | | | 257,124,639 |
|
| FINANCIALS - 18.2% | | | |
| Banks - 7.9% | | | |
| Bank of America Corp.: | | | |
| 3.004% 12/20/23 (b) | | 30,548,000 | 31,118,900 |
| 3.3% 1/11/23 | | 4,342,000 | 4,497,230 |
| 3.419% 12/20/28 (b) | | 18,965,000 | 19,581,790 |
| 3.5% 4/19/26 | | 5,024,000 | 5,349,118 |
| 3.864% 7/23/24 (b) | | 4,370,000 | 4,584,760 |
| 3.95% 4/21/25 | | 4,125,000 | 4,337,878 |
| 4.2% 8/26/24 | | 19,977,000 | 21,233,879 |
| 4.25% 10/22/26 | | 4,261,000 | 4,546,726 |
| 4.45% 3/3/26 | | 1,517,000 | 1,640,586 |
| Barclays PLC: | | | |
| 3.25% 1/12/21 | | 4,610,000 | 4,579,067 |
| 4.375% 1/12/26 | | 6,221,000 | 6,252,105 |
| 5.088% 6/20/30 (b) | | 7,347,000 | 7,611,910 |
| 5.2% 5/12/26 | | 6,222,000 | 6,392,483 |
| Capital One NA 2.15% 9/6/22 | | 3,839,000 | 3,742,743 |
| Citigroup, Inc.: | | | |
| 2.7% 10/27/22 | | 9,998,000 | 10,063,052 |
| 3.352% 4/24/25 (b) | | 4,959,000 | 5,106,246 |
| 3.875% 3/26/25 | | 9,500,000 | 9,956,635 |
| 4.05% 7/30/22 | | 1,800,000 | 1,832,356 |
| 4.3% 11/20/26 | | 1,733,000 | 1,832,456 |
| 4.412% 3/31/31 (b) | | 10,622,000 | 11,687,137 |
| 4.45% 9/29/27 | | 17,100,000 | 17,930,325 |
| 5.5% 9/13/25 | | 5,524,000 | 6,137,872 |
| Citizens Financial Group, Inc. 4.15% 9/28/22 (a) | | 4,857,000 | 4,972,458 |
| Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | | 2,615,000 | 2,368,941 |
| Credit Suisse Group Funding Guernsey Ltd.: | | | |
| 3.75% 3/26/25 | | 4,660,000 | 4,708,642 |
| 3.8% 9/15/22 | | 7,240,000 | 7,360,821 |
| 3.8% 6/9/23 | | 8,582,000 | 8,777,224 |
| 4.55% 4/17/26 | | 2,575,000 | 2,719,224 |
| Discover Bank: | | | |
| 4.2% 8/8/23 | | 2,849,000 | 3,024,985 |
| 7% 4/15/20 | | 2,309,000 | 2,310,916 |
| Fifth Third Bancorp: | | | |
| 2.875% 7/27/20 | | 3,000,000 | 2,984,678 |
| 8.25% 3/1/38 | | 4,319,000 | 5,702,227 |
| HSBC Holdings PLC: | | | |
| 4.25% 3/14/24 | | 2,200,000 | 2,263,041 |
| 4.95% 3/31/30 | | 1,425,000 | 1,571,547 |
| Huntington Bancshares, Inc. 7% 12/15/20 | | 1,004,000 | 1,028,487 |
| Intesa Sanpaolo SpA: | | | |
| 5.017% 6/26/24 (a) | | 4,337,000 | 4,426,051 |
| 5.71% 1/15/26 (a) | | 9,864,000 | 9,612,111 |
| JPMorgan Chase & Co.: | | | |
| 2.95% 10/1/26 | | 8,028,000 | 8,296,177 |
| 3.797% 7/23/24 (b) | | 5,719,000 | 5,985,529 |
| 3.875% 9/10/24 | | 43,751,000 | 46,198,474 |
| 4.125% 12/15/26 | | 14,080,000 | 15,392,073 |
| 4.493% 3/24/31 (b) | | 12,800,000 | 14,849,608 |
| Rabobank Nederland 4.375% 8/4/25 | | 7,451,000 | 7,632,781 |
| Royal Bank of Scotland Group PLC: | | | |
| 5.125% 5/28/24 | | 20,522,000 | 21,016,768 |
| 6% 12/19/23 | | 10,433,000 | 10,838,042 |
| 6.1% 6/10/23 | | 13,369,000 | 13,745,895 |
| 6.125% 12/15/22 | | 8,239,000 | 8,498,475 |
| Synchrony Bank 3% 6/15/22 | | 4,542,000 | 4,507,015 |
| UniCredit SpA 6.572% 1/14/22 (a) | | 5,565,000 | 5,668,325 |
| Wells Fargo & Co.: | | | |
| 2.406% 10/30/25 (b) | | 4,563,000 | 4,496,272 |
| 4.478% 4/4/31 (b) | | 14,300,000 | 16,169,110 |
| 5.013% 4/4/51 (b) | | 21,093,000 | 26,743,414 |
| Westpac Banking Corp. 4.11% 7/24/34 (b) | | 3,712,000 | 3,602,237 |
| | | | 467,486,802 |
| Capital Markets - 5.2% | | | |
| Affiliated Managers Group, Inc.: | | | |
| 3.5% 8/1/25 | | 5,541,000 | 5,823,697 |
| 4.25% 2/15/24 | | 4,287,000 | 4,582,872 |
| Ares Capital Corp. 4.2% 6/10/24 | | 8,906,000 | 7,895,902 |
| Credit Suisse Group AG: | | | |
| 2.593% 9/11/25 (a)(b) | | 10,580,000 | 10,053,071 |
| 3.869% 1/12/29 (a)(b) | | 4,020,000 | 4,069,228 |
| 4.194% 4/1/31 (a)(b) | | 9,619,000 | 9,853,559 |
| Deutsche Bank AG 4.5% 4/1/25 | | 10,381,000 | 8,944,910 |
| Deutsche Bank AG New York Branch: | | | |
| 3.15% 1/22/21 | | 6,514,000 | 6,363,862 |
| 3.3% 11/16/22 | | 9,310,000 | 8,720,467 |
| 5% 2/14/22 | | 9,082,000 | 8,956,310 |
| Goldman Sachs Group, Inc.: | | | |
| 2.876% 10/31/22 (b) | | 22,903,000 | 23,019,800 |
| 3.2% 2/23/23 | | 7,150,000 | 7,296,014 |
| 3.691% 6/5/28 (b) | | 41,645,000 | 42,796,473 |
| 3.8% 3/15/30 | | 15,490,000 | 16,141,065 |
| 4.25% 10/21/25 | | 2,269,000 | 2,385,444 |
| 6.75% 10/1/37 | | 2,246,000 | 2,961,886 |
| Intercontinental Exchange, Inc. 2.75% 12/1/20 | | 1,628,000 | 1,631,332 |
| Moody's Corp.: | | | |
| 3.25% 1/15/28 | | 2,386,000 | 2,418,144 |
| 3.75% 3/24/25 | | 5,075,000 | 5,325,700 |
| 4.875% 2/15/24 | | 2,240,000 | 2,423,084 |
| Morgan Stanley: | | | |
| 3.125% 1/23/23 | | 26,000,000 | 26,591,787 |
| 3.125% 7/27/26 | | 21,964,000 | 22,704,027 |
| 3.622% 4/1/31 (b) | | 10,036,000 | 10,444,855 |
| 3.625% 1/20/27 | | 11,000,000 | 11,627,561 |
| 3.7% 10/23/24 | | 3,281,000 | 3,466,424 |
| 3.737% 4/24/24 (b) | | 5,000,000 | 5,148,090 |
| 4.431% 1/23/30 (b) | | 4,395,000 | 4,884,691 |
| 4.875% 11/1/22 | | 7,751,000 | 8,137,771 |
| 5% 11/24/25 | | 14,636,000 | 16,178,525 |
| 5.75% 1/25/21 | | 3,512,000 | 3,604,800 |
| Peachtree Corners Funding Trust 3.976% 2/15/25 (a) | | 5,000,000 | 5,019,151 |
| State Street Corp.: | | | |
| 2.825% 3/30/23 (a)(b) | | 681,000 | 687,216 |
| 2.901% 3/30/26 (a)(b) | | 639,000 | 654,214 |
| 3.152% 3/30/31 (a)(b) | | 435,000 | 445,720 |
| UBS Group Funding Ltd. 4.125% 9/24/25 (a) | | 5,261,000 | 5,465,789 |
| | | | 306,723,441 |
| Consumer Finance - 2.0% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 2.875% 8/14/24 | | 5,996,000 | 4,834,214 |
| 3.5% 5/26/22 | | 1,724,000 | 1,437,505 |
| 3.5% 1/15/25 | | 8,300,000 | 7,051,534 |
| 4.125% 7/3/23 | | 4,192,000 | 3,560,801 |
| 4.45% 12/16/21 | | 2,938,000 | 2,618,819 |
| 4.45% 4/3/26 | | 3,126,000 | 2,680,455 |
| 4.875% 1/16/24 | | 5,015,000 | 4,297,431 |
| Ally Financial, Inc. 5.125% 9/30/24 | | 2,138,000 | 2,083,460 |
| Capital One Financial Corp. 3.8% 1/31/28 | | 6,237,000 | 6,164,226 |
| Discover Financial Services: | | | |
| 3.85% 11/21/22 | | 5,040,000 | 5,143,367 |
| 3.95% 11/6/24 | | 2,847,000 | 2,897,311 |
| 4.1% 2/9/27 | | 3,673,000 | 3,533,211 |
| 4.5% 1/30/26 | | 4,686,000 | 4,780,556 |
| Ford Motor Credit Co. LLC: | | | |
| 4.063% 11/1/24 | | 17,607,000 | 15,978,353 |
| 5.085% 1/7/21 | | 2,973,000 | 2,855,923 |
| 5.584% 3/18/24 | | 6,246,000 | 5,793,165 |
| 5.596% 1/7/22 | | 6,152,000 | 5,952,060 |
| Synchrony Financial: | | | |
| 2.85% 7/25/22 | | 1,524,000 | 1,451,803 |
| 3.75% 8/15/21 | | 2,203,000 | 2,212,663 |
| 3.95% 12/1/27 | | 7,681,000 | 6,831,259 |
| 4.25% 8/15/24 | | 2,218,000 | 2,135,538 |
| 4.375% 3/19/24 | | 2,280,000 | 2,245,137 |
| 5.15% 3/19/29 | | 6,556,000 | 6,319,984 |
| Toyota Motor Credit Corp.: | | | |
| 2.9% 3/30/23 | | 7,749,000 | 7,797,631 |
| 3% 4/1/25 | | 7,088,000 | 7,121,305 |
| 3.375% 4/1/30 | | 2,300,000 | 2,326,938 |
| | | | 120,104,649 |
| Diversified Financial Services - 0.8% | | | |
| AXA Equitable Holdings, Inc.: | | | |
| 3.9% 4/20/23 | | 1,041,000 | 1,037,275 |
| 4.35% 4/20/28 | | 4,250,000 | 4,135,705 |
| Brixmor Operating Partnership LP: | | | |
| 3.25% 9/15/23 | | 5,952,000 | 5,663,411 |
| 3.875% 8/15/22 | | 5,542,000 | 5,322,487 |
| 4.125% 6/15/26 | | 4,647,000 | 4,849,497 |
| 4.125% 5/15/29 | | 5,051,000 | 5,178,385 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | | 6,100,000 | 5,249,049 |
| Pine Street Trust I: | | | |
| 4.572% 2/15/29 (a) | | 5,707,000 | 5,420,716 |
| 5.568% 2/15/49 (a) | | 5,700,000 | 5,120,310 |
| Voya Financial, Inc. 3.125% 7/15/24 | | 2,851,000 | 2,876,126 |
| | | | 44,852,961 |
| Insurance - 2.3% | | | |
| AFLAC, Inc. 3.6% 4/1/30 | | 2,371,000 | 2,400,182 |
| AIA Group Ltd. 3.375% 4/7/30 (a) | | 7,358,000 | 7,336,367 |
| American International Group, Inc.: | | | |
| 3.3% 3/1/21 | | 2,355,000 | 2,356,746 |
| 3.75% 7/10/25 | | 8,311,000 | 8,320,241 |
| 4.875% 6/1/22 | | 3,597,000 | 3,718,732 |
| Aon Corp. 5% 9/30/20 | | 1,402,000 | 1,416,115 |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (a) | | 4,093,000 | 4,527,126 |
| Marsh & McLennan Companies, Inc.: | | | |
| 4.375% 3/15/29 | | 3,978,000 | 4,418,889 |
| 4.75% 3/15/39 | | 1,825,000 | 2,150,028 |
| 4.8% 7/15/21 | | 2,278,000 | 2,352,276 |
| 4.9% 3/15/49 | | 3,633,000 | 4,645,738 |
| Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (a) | | 6,306,000 | 5,846,045 |
| MetLife, Inc. 4.55% 3/23/30 | | 11,500,000 | 12,909,732 |
| Metropolitan Life Global Funding I: | | | |
| U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 0.51% 5/28/21 (a)(b)(c) | | 27,560,000 | 26,493,551 |
| 3% 1/10/23 (a) | | 2,636,000 | 2,671,940 |
| Pacific LifeCorp 5.125% 1/30/43 (a) | | 5,252,000 | 5,434,211 |
| Progressive Corp. 3.2% 3/26/30 | | 878,000 | 953,841 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | | 2,200,000 | 2,241,800 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a) | | 5,347,000 | 6,084,179 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | | 1,771,000 | 1,691,430 |
| Unum Group: | | | |
| 3.875% 11/5/25 | | 4,860,000 | 4,401,313 |
| 4% 3/15/24 | | 5,930,000 | 5,859,007 |
| 4% 6/15/29 | | 4,410,000 | 4,234,939 |
| 5.625% 9/15/20 | | 2,889,000 | 2,895,465 |
| 5.75% 8/15/42 | | 7,278,000 | 7,085,382 |
| | | | 132,445,275 |
|
| TOTAL FINANCIALS | | | 1,071,613,128 |
|
| HEALTH CARE - 2.8% | | | |
| Health Care Equipment & Supplies - 0.1% | | | |
| Becton, Dickinson & Co. 2.404% 6/5/20 | | 3,144,000 | 3,134,214 |
| Health Care Providers & Services - 1.9% | | | |
| Centene Corp.: | | | |
| 3.375% 2/15/30 (a) | | 5,100,000 | 4,743,000 |
| 4.25% 12/15/27 (a) | | 5,745,000 | 5,755,916 |
| 4.625% 12/15/29 (a) | | 8,925,000 | 8,969,625 |
| 4.75% 1/15/25 (a) | | 4,565,000 | 4,622,063 |
| Cigna Corp.: | | | |
| 3.75% 7/15/23 | | 3,230,000 | 3,324,592 |
| 4.125% 9/15/20 (a) | | 2,723,000 | 2,738,095 |
| 4.125% 11/15/25 | | 3,582,000 | 3,835,480 |
| 4.375% 10/15/28 | | 6,064,000 | 6,522,679 |
| 4.8% 8/15/38 | | 3,776,000 | 4,243,723 |
| 4.9% 12/15/48 | | 3,772,000 | 4,559,200 |
| CVS Health Corp.: | | | |
| 3% 8/15/26 | | 625,000 | 622,571 |
| 3.25% 8/15/29 | | 1,435,000 | 1,397,646 |
| 3.625% 4/1/27 | | 1,795,000 | 1,839,466 |
| 3.7% 3/9/23 | | 2,500,000 | 2,602,470 |
| 3.75% 4/1/30 | | 3,421,000 | 3,539,671 |
| 4.1% 3/25/25 | | 12,312,000 | 12,957,357 |
| 4.125% 4/1/40 | | 2,381,000 | 2,393,536 |
| 4.25% 4/1/50 | | 676,000 | 702,790 |
| 4.3% 3/25/28 | | 13,403,000 | 14,234,036 |
| 4.78% 3/25/38 | | 5,967,000 | 6,553,323 |
| 5.05% 3/25/48 | | 8,772,000 | 9,961,535 |
| HCA Holdings, Inc. 4.75% 5/1/23 | | 215,000 | 220,250 |
| Toledo Hospital: | | | |
| 5.325% 11/15/28 | | 2,109,000 | 2,217,926 |
| 6.015% 11/15/48 | | 4,201,000 | 4,593,309 |
| | | | 113,150,259 |
| Life Sciences Tools & Services - 0.1% | | | |
| Thermo Fisher Scientific, Inc.: | | | |
| 4.133% 3/25/25 | | 3,051,000 | 3,269,168 |
| 4.497% 3/25/30 | | 1,590,000 | 1,792,264 |
| | | | 5,061,432 |
| Pharmaceuticals - 0.7% | | | |
| Actavis Funding SCS 3.45% 3/15/22 | | 6,868,000 | 6,892,038 |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | | 4,363,000 | 4,532,569 |
| Elanco Animal Health, Inc.: | | | |
| 4.662% 8/27/21 (b) | | 1,003,000 | 997,729 |
| 5.022% 8/28/23 (b) | | 3,166,000 | 3,202,411 |
| 5.65% 8/28/28 (b) | | 1,334,000 | 1,407,772 |
| Mylan NV: | | | |
| 3.15% 6/15/21 | | 5,002,000 | 4,955,915 |
| 3.95% 6/15/26 | | 2,549,000 | 2,545,748 |
| 4.55% 4/15/28 | | 4,000,000 | 3,916,020 |
| Perrigo Finance PLC 3.5% 12/15/21 | | 449,000 | 463,589 |
| Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 | | 9,847,000 | 9,810,150 |
| Teva Pharmaceutical Finance Netherlands III BV: | | | |
| 2.2% 7/21/21 | | 939,000 | 896,914 |
| 2.8% 7/21/23 | | 1,463,000 | 1,334,973 |
| Zoetis, Inc. 3.25% 2/1/23 | | 1,649,000 | 1,685,657 |
| | | | 42,641,485 |
|
| TOTAL HEALTH CARE | | | 163,987,390 |
|
| INDUSTRIALS - 0.7% | | | |
| Industrial Conglomerates - 0.0% | | | |
| 3M Co.: | | | |
| 2.65% 4/15/25 | | 446,000 | 465,499 |
| 3.05% 4/15/30 | | 360,000 | 377,020 |
| 3.7% 4/15/50 | | 444,000 | 496,833 |
| | | | 1,339,352 |
| Machinery - 0.1% | | | |
| Deere & Co.: | | | |
| 2.75% 4/15/25 | | 887,000 | 918,389 |
| 3.1% 4/15/30 | | 2,365,000 | 2,507,607 |
| 3.75% 4/15/50 | | 721,000 | 840,345 |
| | | | 4,266,341 |
| Professional Services - 0.0% | | | |
| Thomson Reuters Corp. 3.85% 9/29/24 | | 1,034,000 | 1,013,072 |
| Road & Rail - 0.2% | | | |
| Avolon Holdings Funding Ltd.: | | | |
| 3.625% 5/1/22 (a) | | 1,572,000 | 1,393,203 |
| 3.95% 7/1/24 (a) | | 2,088,000 | 1,745,866 |
| 4.375% 5/1/26 (a) | | 2,546,000 | 2,037,884 |
| 5.25% 5/15/24 (a) | | 3,813,000 | 3,247,348 |
| CSX Corp. 3.8% 4/15/50 | | 1,409,000 | 1,480,015 |
| | | | 9,904,316 |
| Trading Companies & Distributors - 0.4% | | | |
| Air Lease Corp.: | | | |
| 2.25% 1/15/23 | | 1,326,000 | 1,107,713 |
| 3% 9/15/23 | | 877,000 | 727,910 |
| 3.375% 6/1/21 | | 2,523,000 | 2,269,791 |
| 3.75% 2/1/22 | | 4,522,000 | 4,183,902 |
| 3.875% 4/1/21 | | 3,180,000 | 2,909,434 |
| 3.875% 7/3/23 | | 5,581,000 | 5,047,013 |
| 4.25% 2/1/24 | | 5,740,000 | 4,993,800 |
| 4.25% 9/15/24 | | 3,565,000 | 3,171,879 |
| | | | 24,411,442 |
|
| TOTAL INDUSTRIALS | | | 40,934,523 |
|
| INFORMATION TECHNOLOGY - 0.9% | | | |
| Electronic Equipment & Components - 0.1% | | | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | | | |
| 5.45% 6/15/23 (a) | | 4,500,000 | 4,617,725 |
| 6.02% 6/15/26 (a) | | 1,564,000 | 1,664,161 |
| | | | 6,281,886 |
| IT Services - 0.0% | | | |
| MasterCard, Inc.: | | | |
| 3.3% 3/26/27 | | 713,000 | 774,785 |
| 3.35% 3/26/30 | | 992,000 | 1,102,324 |
| 3.85% 3/26/50 | | 851,000 | 1,038,717 |
| | | | 2,915,826 |
| Semiconductors & Semiconductor Equipment - 0.2% | | | |
| NVIDIA Corp.: | | | |
| 2.85% 4/1/30 | | 1,993,000 | 2,071,405 |
| 3.5% 4/1/40 | | 2,154,000 | 2,291,505 |
| 3.5% 4/1/50 | | 4,315,000 | 4,710,789 |
| 3.7% 4/1/60 | | 849,000 | 919,656 |
| | | | 9,993,355 |
| Software - 0.6% | | | |
| Oracle Corp.: | | | |
| 2.5% 4/1/25 | | 5,858,000 | 5,980,262 |
| 2.8% 4/1/27 | | 5,858,000 | 5,971,194 |
| 2.95% 4/1/30 | | 5,900,000 | 5,935,412 |
| 3.6% 4/1/40 | | 5,860,000 | 5,833,372 |
| 3.6% 4/1/50 | | 5,860,000 | 5,836,372 |
| 3.85% 4/1/60 | | 5,900,000 | 5,935,789 |
| | | | 35,492,401 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 54,683,468 |
|
| MATERIALS - 0.2% | | | |
| Metals & Mining - 0.2% | | | |
| BHP Billiton Financial (U.S.A.) Ltd.: | | | |
| 6.25% 10/19/75 (a)(b) | | 1,921,000 | 1,885,173 |
| 6.75% 10/19/75 (a)(b) | | 4,773,000 | 5,060,621 |
| Corporacion Nacional del Cobre de Chile (Codelco): | | | |
| 3.625% 8/1/27 (a) | | 1,696,000 | 1,680,316 |
| 4.5% 8/1/47 (a) | | 1,720,000 | 1,681,838 |
| | | | 10,307,948 |
| REAL ESTATE - 3.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.5% | | | |
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | | 4,167,000 | 4,526,931 |
| American Campus Communities Operating Partnership LP 3.75% 4/15/23 | | 1,184,000 | 1,193,868 |
| American Tower Corp. 2.8% 6/1/20 | | 9,000,000 | 8,929,287 |
| Boston Properties, Inc.: | | | |
| 3.85% 2/1/23 | | 4,708,000 | 4,757,255 |
| 4.5% 12/1/28 | | 3,891,000 | 4,279,109 |
| Camden Property Trust: | | | |
| 2.95% 12/15/22 | | 1,607,000 | 1,611,673 |
| 4.25% 1/15/24 | | 3,408,000 | 3,482,484 |
| Corporate Office Properties LP 5% 7/1/25 | | 3,156,000 | 3,322,128 |
| Duke Realty LP: | | | |
| 3.625% 4/15/23 | | 2,123,000 | 2,143,159 |
| 3.75% 12/1/24 | | 1,576,000 | 1,625,393 |
| 3.875% 10/15/22 | | 3,512,000 | 3,639,131 |
| Equity One, Inc. 3.75% 11/15/22 | | 5,500,000 | 5,389,992 |
| HCP, Inc.: | | | |
| 3.25% 7/15/26 | | 573,000 | 572,709 |
| 3.5% 7/15/29 | | 656,000 | 641,693 |
| Healthcare Trust of America Holdings LP: | | | |
| 3.1% 2/15/30 | | 1,312,000 | 1,173,335 |
| 3.5% 8/1/26 | | 1,366,000 | 1,350,913 |
| Hudson Pacific Properties LP 4.65% 4/1/29 | | 7,741,000 | 7,944,073 |
| Lexington Corporate Properties Trust 4.4% 6/15/24 | | 1,441,000 | 1,415,088 |
| Omega Healthcare Investors, Inc.: | | | |
| 3.625% 10/1/29 | | 5,913,000 | 5,178,153 |
| 4.375% 8/1/23 | | 6,023,000 | 5,986,982 |
| 4.5% 1/15/25 | | 2,677,000 | 2,593,952 |
| 4.5% 4/1/27 | | 16,195,000 | 16,010,725 |
| 4.75% 1/15/28 | | 6,382,000 | 6,211,601 |
| 4.95% 4/1/24 | | 1,354,000 | 1,338,302 |
| 5.25% 1/15/26 | | 5,686,000 | 5,662,253 |
| Retail Opportunity Investments Partnership LP: | | | |
| 4% 12/15/24 | | 978,000 | 998,327 |
| 5% 12/15/23 | | 737,000 | 778,069 |
| SITE Centers Corp.: | | | |
| 3.625% 2/1/25 | | 2,262,000 | 2,290,869 |
| 4.25% 2/1/26 | | 2,954,000 | 3,009,338 |
| Store Capital Corp. 4.625% 3/15/29 | | 1,793,000 | 1,810,714 |
| Ventas Realty LP: | | | |
| 3% 1/15/30 | | 7,629,000 | 6,816,987 |
| 3.125% 6/15/23 | | 1,289,000 | 1,346,753 |
| 3.5% 2/1/25 | | 6,443,000 | 6,328,846 |
| 4% 3/1/28 | | 2,243,000 | 2,110,458 |
| 4.125% 1/15/26 | | 1,557,000 | 1,554,436 |
| 4.375% 2/1/45 | | 763,000 | 694,787 |
| 4.75% 11/15/30 | | 10,016,000 | 9,837,755 |
| Weingarten Realty Investors 3.375% 10/15/22 | | 812,000 | 832,532 |
| WP Carey, Inc.: | | | |
| 3.85% 7/15/29 | | 1,275,000 | 1,243,928 |
| 4% 2/1/25 | | 5,360,000 | 5,516,849 |
| | | | 146,150,837 |
| Real Estate Management & Development - 0.7% | | | |
| Brandywine Operating Partnership LP: | | | |
| 3.95% 2/15/23 | | 5,510,000 | 5,692,032 |
| 3.95% 11/15/27 | | 4,613,000 | 4,327,949 |
| 4.1% 10/1/24 | | 5,070,000 | 5,044,825 |
| 4.55% 10/1/29 | | 5,842,000 | 6,050,400 |
| Digital Realty Trust LP: | | | |
| 3.95% 7/1/22 | | 3,320,000 | 3,397,269 |
| 4.75% 10/1/25 | | 3,533,000 | 3,685,802 |
| Mack-Cali Realty LP: | | | |
| 3.15% 5/15/23 | | 4,988,000 | 4,339,395 |
| 4.5% 4/18/22 | | 1,218,000 | 1,131,497 |
| Post Apartment Homes LP 3.375% 12/1/22 | | 790,000 | 768,018 |
| Tanger Properties LP: | | | |
| 3.125% 9/1/26 | | 6,109,000 | 5,932,976 |
| 3.75% 12/1/24 | | 3,470,000 | 3,597,965 |
| 3.875% 12/1/23 | | 1,792,000 | 1,866,935 |
| | | | 45,835,063 |
|
| TOTAL REAL ESTATE | | | 191,985,900 |
|
| UTILITIES - 1.8% | | | |
| Electric Utilities - 1.1% | | | |
| Cleco Corporate Holdings LLC: | | | |
| 3.375% 9/15/29 (a) | | 3,447,000 | 3,424,070 |
| 3.743% 5/1/26 | | 13,180,000 | 12,915,558 |
| Duquesne Light Holdings, Inc.: | | | |
| 5.9% 12/1/21 (a) | | 2,664,000 | 2,836,836 |
| 6.4% 9/15/20 (a) | | 7,513,000 | 7,674,026 |
| Eversource Energy 2.8% 5/1/23 | | 5,110,000 | 5,137,369 |
| Exelon Corp.: | | | |
| 4.05% 4/15/30 | | 1,740,000 | 1,723,261 |
| 4.7% 4/15/50 | | 775,000 | 809,524 |
| FirstEnergy Corp.: | | | |
| 4.25% 3/15/23 | | 11,729,000 | 11,979,473 |
| 7.375% 11/15/31 | | 5,363,000 | 7,208,482 |
| IPALCO Enterprises, Inc.: | | | |
| 3.45% 7/15/20 | | 7,767,000 | 7,765,852 |
| 3.7% 9/1/24 | | 2,157,000 | 2,235,816 |
| LG&E and KU Energy LLC 3.75% 11/15/20 | | 525,000 | 521,389 |
| NV Energy, Inc. 6.25% 11/15/20 | | 1,238,000 | 1,273,698 |
| | | | 65,505,354 |
| Gas Utilities - 0.1% | | | |
| Nakilat, Inc. 6.067% 12/31/33 (a) | | 1,808,000 | 2,031,740 |
| Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | | 1,182,000 | 1,183,719 |
| | | | 3,215,459 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Emera U.S. Finance LP: | | | |
| 2.7% 6/15/21 | | 1,182,000 | 1,195,511 |
| 3.55% 6/15/26 | | 1,891,000 | 1,803,564 |
| | | | 2,999,075 |
| Multi-Utilities - 0.6% | | | |
| Berkshire Hathaway Energy Co.: | | | |
| 3.7% 7/15/30 (a) | | 983,000 | 1,044,661 |
| 4.05% 4/15/25 (a) | | 12,432,000 | 13,408,547 |
| 4.25% 10/15/50 (a) | | 560,000 | 639,944 |
| Consolidated Edison Co. of New York, Inc.: | | | |
| 3.35% 4/1/30 | | 790,000 | 814,842 |
| 3.95% 4/1/50 | | 1,387,000 | 1,444,349 |
| NiSource, Inc. 2.95% 9/1/29 | | 8,554,000 | 8,125,337 |
| Puget Energy, Inc.: | | | |
| 6% 9/1/21 | | 4,807,000 | 4,895,440 |
| 6.5% 12/15/20 | | 1,534,000 | 1,566,317 |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 3.8043% 5/15/67 (b)(c) | | 1,426,000 | 1,146,184 |
| | | | 33,085,621 |
|
| TOTAL UTILITIES | | | 104,805,509 |
|
| TOTAL NONCONVERTIBLE BONDS | | | |
| (Cost $2,450,049,100) | | | 2,433,554,341 |
|
| U.S. Government and Government Agency Obligations - 27.8% | | | |
| U.S. Treasury Inflation-Protected Obligations - 6.0% | | | |
| U.S. Treasury Inflation-Indexed Bonds: | | | |
| 0.75% 2/15/45 | | $33,835,000 | $42,404,669 |
| 1% 2/15/49 | | 17,310,000 | 22,090,867 |
| U.S. Treasury Inflation-Indexed Notes: | | | |
| 0.125% 7/15/24 | | 16,814,000 | 18,308,587 |
| 0.125% 10/15/24 | | 61,964,600 | 63,067,410 |
| 0.25% 1/15/25 | | 6,800,000 | 7,473,477 |
| 0.25% 7/15/29 | | 30,000,000 | 31,619,151 |
| 0.375% 1/15/27 | | 16,460,000 | 18,005,291 |
| 0.375% 7/15/27 | | 16,152,500 | 17,536,794 |
| 0.625% 1/15/26 | | 65,147,500 | 73,086,302 |
| 0.75% 7/15/28 | | 26,500,000 | 29,161,220 |
| 0.875% 1/15/29 | | 27,018,100 | 30,021,520 |
|
| TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | | | 352,775,288 |
|
| U.S. Treasury Obligations - 21.8% | | | |
| U.S. Treasury Bonds: | | | |
| 2% 2/15/50 | | 32,500,000 | 37,746,973 |
| 3% 5/15/45 | | 34,384,000 | 46,770,299 |
| 3% 2/15/49 | | 155,837,800 | 217,314,594 |
| U.S. Treasury Notes: | | | |
| 1.5% 9/30/24 | | 41,299,000 | 43,399,442 |
| 1.625% 9/30/26 | | 187,060,000 | 200,227,269 |
| 1.625% 8/15/29 | | 45,257,100 | 49,141,078 |
| 1.875% 3/31/22 | | 14,649,000 | 15,129,670 |
| 2% 12/31/21 | | 199,319,000 | 205,469,861 |
| 2.125% 3/31/24 | | 197,361,000 | 211,376,714 |
| 2.125% 11/30/24 | | 11,586,000 | 12,526,005 |
| 2.5% 1/31/24 | | 77,300,000 | 83,698,387 |
| 2.5% 2/28/26 | | 103,467,000 | 115,587,998 |
| 3.125% 11/15/28 | | 34,964,300 | 42,224,855 |
|
| TOTAL U.S. TREASURY OBLIGATIONS | | | 1,280,613,145 |
|
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | | | |
| (Cost $1,483,722,840) | | | 1,633,388,433 |
|
| U.S. Government Agency - Mortgage Securities - 34.1% | | | |
| Fannie Mae - 10.1% | | | |
| 12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (b)(c) | | 17,058 | 17,462 |
| 12 month U.S. LIBOR + 1.550% 4.345% 6/1/36 (b)(c) | | 18,104 | 18,586 |
| 12 month U.S. LIBOR + 1.660% 4.136% 11/1/36 (b)(c) | | 187,091 | 193,062 |
| 12 month U.S. LIBOR + 1.710% 4.588% 6/1/42 (b)(c) | | 87,732 | 89,371 |
| 12 month U.S. LIBOR + 1.750% 3.958% 7/1/35 (b)(c) | | 13,527 | 13,993 |
| 12 month U.S. LIBOR + 1.780% 3.788% 2/1/36 (b)(c) | | 128,410 | 133,242 |
| 12 month U.S. LIBOR + 1.800% 4.498% 7/1/41 (b)(c) | | 135,133 | 137,622 |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (b)(c) | | 48,904 | 49,902 |
| 12 month U.S. LIBOR + 1.810% 4.537% 7/1/41 (b)(c) | | 74,085 | 76,084 |
| 12 month U.S. LIBOR + 1.820% 3.82% 12/1/35 (b)(c) | | 85,934 | 89,490 |
| 12 month U.S. LIBOR + 1.830% 3.907% 10/1/41 (b)(c) | | 38,942 | 39,729 |
| 12 month U.S. LIBOR + 1.900% 4.45% 5/1/36 (b)(c) | | 87,267 | 90,271 |
| 12 month U.S. LIBOR + 1.900% 4.783% 7/1/37 (b)(c) | | 19,037 | 19,671 |
| 12 month U.S. LIBOR + 1.930% 4.467% 9/1/36 (b)(c) | | 74,201 | 76,393 |
| 6 month U.S. LIBOR + 1.310% 3.313% 5/1/34 (b)(c) | | 109,602 | 111,103 |
| 6 month U.S. LIBOR + 1.420% 3.314% 9/1/33 (b)(c) | | 132,676 | 135,110 |
| 6 month U.S. LIBOR + 1.550% 3.643% 10/1/33 (b)(c) | | 6,144 | 6,275 |
| 6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (b)(c) | | 9,644 | 9,868 |
| U.S. TREASURY 1 YEAR INDEX + 1.940% 4.189% 10/1/33 (b)(c) | | 133,900 | 138,711 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 4.833% 3/1/35 (b)(c) | | 6,648 | 6,910 |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 4.007% 8/1/36 (b)(c) | | 269,517 | 280,935 |
| U.S. TREASURY 1 YEAR INDEX + 2.290% 4.263% 10/1/33 (b)(c) | | 20,216 | 20,935 |
| U.S. TREASURY 1 YEAR INDEX + 2.420% 4.399% 5/1/35 (b)(c) | | 22,365 | 23,219 |
| 2.5% 11/1/27 to 12/1/49 | | 44,865,511 | 46,687,879 |
| 3% 8/1/27 to 2/1/50 | | 168,710,339 | 177,755,312 |
| 3.5% 1/1/34 to 11/1/49 | | 159,402,288 | 169,730,359 |
| 4% 11/1/31 to 11/1/49 | | 109,211,779 | 117,860,230 |
| 4.5% to 4.5% 5/1/25 to 9/1/49 | | 51,812,736 | 56,300,543 |
| 5% 9/1/20 to 11/1/44 | | 12,952,063 | 14,326,174 |
| 6% 10/1/34 to 1/1/42 | | 6,034,012 | 7,014,161 |
| 6.5% 12/1/23 to 8/1/36 | | 1,102,045 | 1,266,398 |
| 7% to 7% 11/1/23 to 8/1/32 | | 254,653 | 282,065 |
| 7.5% to 7.5% 9/1/22 to 11/1/31 | | 212,617 | 242,305 |
| 8% 1/1/30 to 3/1/30 | | 1,249 | 1,371 |
| 8.5% 3/1/25 to 6/1/25 | | 303 | 336 |
|
| TOTAL FANNIE MAE | | | 593,245,077 |
|
| Freddie Mac - 5.4% | | | |
| 12 month U.S. LIBOR + 1.370% 3.523% 3/1/36 (b)(c) | | 60,933 | 62,658 |
| 12 month U.S. LIBOR + 1.870% 4.817% 4/1/41 (b)(c) | | 34,579 | 35,421 |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) | | 54,773 | 55,276 |
| 12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (b)(c) | | 60,830 | 62,543 |
| 12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (b)(c) | | 118,354 | 121,602 |
| 12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (b)(c) | | 81,467 | 83,133 |
| 12 month U.S. LIBOR + 1.910% 4.813% 5/1/41 (b)(c) | | 106,141 | 108,951 |
| 12 month U.S. LIBOR + 2.060% 4.2% 3/1/33 (b)(c) | | 1,540 | 1,596 |
| 12 month U.S. LIBOR + 2.160% 4.285% 11/1/35 (b)(c) | | 44,915 | 46,755 |
| 6 month U.S. LIBOR + 1.650% 3.818% 4/1/35 (b)(c) | | 91,165 | 93,164 |
| 6 month U.S. LIBOR + 2.680% 4.742% 10/1/35 (b)(c) | | 12,528 | 12,944 |
| U.S. TREASURY 1 YEAR INDEX + 2.240% 3.869% 1/1/35 (b)(c) | | 8,520 | 8,890 |
| 2.5% 5/1/28 to 2/1/35 | | 26,757,193 | 27,809,804 |
| 3% 6/1/31 to 12/1/46 | | 37,198,942 | 39,253,229 |
| 3.5% 3/1/32 to 10/1/49 | | 123,022,682 | 131,554,023 |
| 4% 5/1/37 to 10/1/48 | | 71,925,656 | 77,818,737 |
| 4.5% 7/1/25 to 10/1/48 | | 36,729,242 | 39,977,761 |
| 5% 1/1/35 to 6/1/41 | | 2,470,403 | 2,733,713 |
| 6% 4/1/32 to 8/1/37 | | 583,612 | 669,696 |
| 7.5% 5/1/26 to 11/1/31 | | 28,131 | 32,324 |
| 8% 4/1/27 to 5/1/27 | | 1,867 | 2,104 |
| 8.5% 5/1/27 to 1/1/28 | | 3,923 | 4,409 |
|
| TOTAL FREDDIE MAC | | | 320,548,733 |
|
| Ginnie Mae - 12.2% | | | |
| 3% 12/20/42 to 4/20/50 | | 68,868,405 | 73,034,081 |
| 3.5% 12/20/40 to 1/20/50 | | 137,664,872 | 146,310,132 |
| 4% 2/15/40 to 9/20/48 | | 149,284,895 | 160,356,035 |
| 4.5% 5/15/39 to 6/20/47 | | 30,677,389 | 33,304,896 |
| 5% 3/15/39 to 4/20/48 | | 6,670,969 | 7,262,492 |
| 6.5% 4/15/35 to 11/15/35 | | 63,970 | 74,182 |
| 7% 1/15/28 to 7/15/32 | | 674,775 | 767,487 |
| 7.5% to 7.5% 4/15/22 to 10/15/28 | | 156,929 | 174,859 |
| 8% 3/15/30 to 9/15/30 | | 8,875 | 10,317 |
| 2.5% 4/1/50 (d) | | 9,500,000 | 9,931,855 |
| 2.5% 4/1/50 (d) | | 4,850,000 | 5,070,473 |
| 2.5% 4/1/50 (d) | | 4,650,000 | 4,861,382 |
| 2.5% 4/1/50 (d) | | 200,000 | 209,092 |
| 2.5% 4/1/50 (d) | | 9,700,000 | 10,140,946 |
| 2.5% 4/1/50 (d) | | 19,800,000 | 20,700,076 |
| 2.5% 4/1/50 (d) | | 55,000,000 | 57,500,212 |
| 2.5% 4/1/50 (d) | | 20,000,000 | 20,909,168 |
| 2.5% 4/1/50 (d) | | 10,000,000 | 10,454,584 |
| 2.5% 5/1/50 (d) | | 9,700,000 | 10,123,517 |
| 2.5% 5/1/50 (d) | | 23,300,000 | 24,317,313 |
| 2.5% 5/1/50 (d) | | 10,000,000 | 10,436,615 |
| 2.5% 5/1/50 (d) | | 4,850,000 | 5,061,758 |
| 2.5% 5/1/50 (d) | | 4,850,000 | 5,061,758 |
| 3% 4/1/50 (d) | | 2,800,000 | 2,961,467 |
| 3.5% 4/1/50 (d) | | 11,400,000 | 12,025,908 |
| 3.5% 4/1/50 (d) | | 900,000 | 949,414 |
| 3.5% 4/1/50 (d) | | 10,600,000 | 11,181,985 |
| 3.5% 4/1/50 (d) | | 10,600,000 | 11,181,985 |
| 3.5% 4/1/50 (d) | | 35,000,000 | 36,921,647 |
| 3.5% 5/1/50 (d) | | 1,150,000 | 1,212,556 |
| 3.5% 5/1/50 (d) | | 11,400,000 | 12,020,119 |
| 3.5% 5/1/50 (d) | | 11,500,000 | 12,125,559 |
|
| TOTAL GINNIE MAE | | | 716,653,870 |
|
| Uniform Mortgage Backed Securities - 6.4% | | | |
| 2.5% 4/1/35 (d) | | 1,300,000 | 1,349,499 |
| 2.5% 4/1/50 (d) | | 35,000,000 | 36,280,738 |
| 2.5% 5/1/50 (d) | | 21,900,000 | 22,660,313 |
| 3% 4/1/35 (d) | | 40,000,000 | 41,883,748 |
| 3% 4/1/35 (d) | | 30,000,000 | 31,412,811 |
| 3% 4/1/50 (d) | | 13,950,000 | 14,628,754 |
| 3% 4/1/50 (d) | | 9,250,000 | 9,700,070 |
| 3% 4/1/50 (d) | | 8,350,000 | 8,756,279 |
| 3% 4/1/50 (d) | | 3,250,000 | 3,408,133 |
| 3% 4/1/50 (d) | | 4,050,000 | 4,247,058 |
| 3% 4/1/50 (d) | | 35,000,000 | 36,702,967 |
| 3% 4/1/50 (d) | | 60,000,000 | 62,919,372 |
| 3% 5/1/50 (d) | | 22,300,000 | 23,361,513 |
| 3% 5/1/50 (d) | | 6,750,000 | 7,071,310 |
| 3% 5/1/50 (d) | | 9,500,000 | 9,952,214 |
| 3% 5/1/50 (d) | | 30,000,000 | 31,428,045 |
| 3.5% 4/1/50 (d) | | 15,700,000 | 16,605,650 |
| 3.5% 5/1/50 (d) | | 2,900,000 | 3,064,680 |
| 3.5% 5/1/50 (d) | | 10,000,000 | 10,567,863 |
|
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 376,001,017 |
|
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | | | |
| (Cost $1,954,580,447) | | | 2,006,448,697 |
|
| Asset-Backed Securities - 3.2% | | | |
| AASET Trust: | | | |
| Series 2018-1A Class A, 3.844% 1/16/38 (a) | | $2,828,276 | $2,347,319 |
| Series 2019-1 Class A, 3.844% 5/15/39 (a) | | 3,839,779 | 2,892,909 |
| Series 2019-2: | | | |
| Class A, 3.376% 10/16/39 (a) | | 6,402,324 | 4,839,036 |
| Class B, 4.458% 10/16/39 (a) | | 1,126,362 | 758,312 |
| Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.1221% 7/22/32 (a)(b)(c) | | 6,268,000 | 5,705,923 |
| Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1635% 1/20/33 (a)(b)(c) | | 3,021,000 | 2,874,472 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | | | |
| Class A, 3.351% 1/16/40 (a) | | 2,972,801 | 2,130,773 |
| Class B, 4.335% 1/16/40 (a) | | 473,101 | 313,069 |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.1658% 10/15/32 (a)(b)(c) | | 5,467,000 | 5,229,667 |
| Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.0313% 1/15/29 (a)(b)(c) | | 6,857,000 | 6,612,562 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.25% 4/17/33 (a)(b)(c) | | 2,171,000 | 2,019,562 |
| Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) | | 2,600,000 | 2,483,668 |
| Blackbird Capital Aircraft Series 2016-1A: | | | |
| Class A, 4.213% 12/16/41 (a) | | 7,902,927 | 5,782,640 |
| Class AA, 2.487% 12/16/41 (a) | | 1,530,958 | 1,247,854 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.6167% 4/15/29 (a)(b)(c) | | 6,492,000 | 6,309,594 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: | | | |
| Class A, 3.967% 4/15/39 (a) | | 5,640,002 | 3,945,920 |
| Class B, 5.095% 4/15/39 (a) | | 2,379,337 | 1,557,316 |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | | 6,124,036 | 4,450,451 |
| Cedar Funding Ltd.: | | | |
| Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 3.4705% 10/20/32 (a)(b)(c) | | 4,495,000 | 4,189,983 |
| Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 2.9304% 5/29/32 (a)(b)(c) | | 3,185,000 | 2,986,138 |
| DB Master Finance LLC Series 2017-1A: | | | |
| Class A2I, 3.629% 11/20/47 (a) | | 3,480,878 | 3,348,813 |
| Class A2II, 4.03% 11/20/47 (a) | | 5,892,370 | 5,530,520 |
| Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 3.264% 10/20/32 (a)(b)(c) | | 2,036,000 | 1,949,238 |
| Dryden Senior Loan Fund: | | | |
| Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.1113% 4/15/29 (a)(b)(c) | | 7,519,000 | 7,332,085 |
| Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.0218% 5/15/32 (a)(b)(c) | | 5,210,000 | 4,987,476 |
| Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 0% 4/17/33 (a)(b)(c) | | 4,300,000 | 4,104,470 |
| First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 1.7716% 3/25/34 (b)(c) | | 115 | 114 |
| Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 3.2149% 11/16/32 (a)(b)(c) | | 6,083,000 | 5,816,303 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | | 2,712,456 | 1,985,794 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | | 2,762,667 | 1,932,577 |
| Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.7868% 1/22/28 (a)(b)(c) | | 4,688,000 | 4,553,337 |
| Madison Park Funding Ltd.: | | | |
| Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.0391% 1/20/29 (a)(b)(c) | | 2,547,000 | 2,466,112 |
| Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.1313% 7/15/32 (a)(b)(c) | | 6,260,000 | 5,999,540 |
| Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 3.1741% 10/15/32 (a)(b)(c) | | 2,954,000 | 2,825,985 |
| Magnetite CLO Ltd.: | | | |
| Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.0991% 4/20/30 (a)(b)(c) | | 5,650,000 | 5,450,504 |
| Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) | | 4,021,000 | 3,836,006 |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.7571% 10/20/30 (a)(b)(c) | | 6,381,000 | 6,014,686 |
| New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.4566% 9/25/35 (b)(c) | | 159,761 | 157,568 |
| Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.1361% 7/17/32 (a)(b)(c) | | 6,261,000 | 6,000,799 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 2.1916% 1/25/36 (b)(c) | | 520,000 | 494,319 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) | | 4,770,045 | 3,739,620 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) | | 4,998,795 | 3,497,421 |
| Sapphire Aviation Finance Series 2020-1A: | | | |
| Class A, 3.228% 3/15/40 (a) | | 6,120,000 | 3,958,418 |
| Class B, 4.335% 3/15/40 (a) | | 558,000 | 325,840 |
| SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) | | 6,201,000 | 5,987,525 |
| Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1% 1/20/29 (a)(b)(c) | | 4,342,000 | 4,190,152 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.8066% 9/25/34 (b)(c) | | 8,753 | 7,659 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | | 6,309,821 | 4,487,370 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | | 8,768,143 | 6,130,487 |
| Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.1813% 4/15/32 (a)(b)(c) | | 6,307,000 | 6,024,446 |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.0891% 7/20/32 (a)(b)(c) | | 6,552,000 | 6,270,959 |
| TOTAL ASSET-BACKED SECURITIES | | | |
| (Cost $215,836,387) | | | 188,083,311 |
|
| Collateralized Mortgage Obligations - 0.0% | | | |
| Private Sponsor - 0.0% | | | |
| Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.7968% 2/25/37 (b)(c) | | 4,886 | 4,861 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (b)(c) | | 3,183 | 2,900 |
|
| TOTAL PRIVATE SPONSOR | | | 7,761 |
|
| U.S. Government Agency - 0.0% | | | |
| Fannie Mae planned amortization class: | | | |
| Series 1999-54 Class PH, 6.5% 11/18/29 | | 139,087 | 149,704 |
| Series 1999-57 Class PH, 6.5% 12/25/29 | | 171,663 | 198,476 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
| sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (e) | | 578,480 | 577,502 |
| Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 35.9722% 6/16/37 (b)(f) | | 19,449 | 37,492 |
| Series 2015-H21 Class JA, 2.5% 6/20/65 (e) | | 563,431 | 563,381 |
|
| TOTAL U.S. GOVERNMENT AGENCY | | | 1,526,555 |
|
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | |
| (Cost $1,460,574) | | | 1,534,316 |
|
| Commercial Mortgage Securities - 2.1% | | | |
| BAMLL Commercial Mortgage Securities Trust: | | | |
| sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | | 3,856,000 | 3,760,337 |
| Series 2019-BPR: | | | |
| Class BNM, 3.465% 11/5/32 (a) | | 865,000 | 799,985 |
| Class CNM, 3.8425% 11/5/32 (a)(b) | | 358,000 | 325,443 |
| BANK sequential payer Series 2019-BN21 Class A5, 2.851% 10/17/52 | | 658,000 | 676,884 |
| Benchmark Mortgage Trust sequential payer: | | | |
| Series 2018-B4 Class A5, 4.121% 7/15/51 | | 746,000 | 830,751 |
| Series 2019-B14 Class A5, 3.0486% 12/15/62 | | 1,025,000 | 1,071,542 |
| BX Commercial Mortgage Trust: | | | |
| floater Series 2020-BXLP: | | | |
| Class B, 1 month U.S. LIBOR + 1.000% 1.7046% 12/15/36 (a)(b)(c) | | 3,529,000 | 3,210,988 |
| Class C, 1 month U.S. LIBOR + 1.120% 1.8246% 12/15/36 (a)(b)(c) | | 2,815,000 | 2,533,142 |
| Class D, 1 month U.S. LIBOR + 1.250% 1.9546% 12/15/36 (a)(b)(c) | | 4,367,000 | 3,886,037 |
| floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 1.5046% 12/15/36 (a)(b)(c) | | 6,724,000 | 6,235,873 |
| BX Trust: | | | |
| floater: | | | |
| Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 3.3296% 9/15/37 (a)(b)(c) | | 1,924,568 | 1,323,046 |
| Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 2.5046% 11/15/35 (a)(b)(c) | | 2,048,200 | 1,807,096 |
| Series 2019-IMC: | | | |
| Class B, 1 month U.S. LIBOR + 1.300% 2.0046% 4/15/34 (a)(b)(c) | | 3,284,000 | 2,942,076 |
| Class C, 1 month U.S. LIBOR + 1.600% 2.3046% 4/15/34 (a)(b)(c) | | 2,171,000 | 1,912,563 |
| Class D, 1 month U.S. LIBOR + 1.900% 2.6046% 4/15/34 (a)(b)(c) | | 2,279,000 | 1,986,203 |
| Series 2019-XL: | | | |
| Class B, 1 month U.S. LIBOR + 1.080% 1.7846% 10/15/36 (a)(b)(c) | | 2,956,009 | 2,771,004 |
| Class C, 1 month U.S. LIBOR + 1.250% 1.9546% 10/15/36 (a)(b)(c) | | 3,716,508 | 3,372,270 |
| Class D, 1 month U.S. LIBOR + 1.450% 2.1546% 10/15/36 (a)(b)(c) | | 5,263,302 | 4,709,937 |
| Class E, 1 month U.S. LIBOR + 1.800% 2.5046% 10/15/36 (a)(b)(c) | | 7,395,756 | 6,470,111 |
| Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 2.3046% 12/15/36 (a)(b)(c) | | 3,572,000 | 3,142,833 |
| floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.7046% 4/15/34 (a)(b)(c) | | 5,400,000 | 4,908,242 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: | | | |
| Class A, 1 month U.S. LIBOR + 1.120% 1.8246% 6/15/34 (a)(b)(c) | | 7,948,000 | 7,403,421 |
| Class B, 1 month U.S. LIBOR + 1.500% 2.2046% 6/15/34 (a)(b)(c) | | 1,565,000 | 1,475,314 |
| Class C, 1 month U.S. LIBOR + 1.750% 2.4546% 6/15/34 (a)(b)(c) | | 1,768,000 | 1,677,354 |
| COMM Mortgage Trust sequential payer Series 2014-CR18 Class A5, 3.828% 7/15/47 | | 1,264,000 | 1,337,146 |
| Credit Suisse Mortgage Trust Series 2018-SITE: | | | |
| Class A, 4.284% 4/15/36 (a) | | 3,682,000 | 3,669,508 |
| Class B, 4.5349% 4/15/36 (a) | | 1,132,000 | 1,099,294 |
| Class C, 4.782% 4/15/36 (a)(b) | | 760,000 | 713,583 |
| Class D, 4.782% 4/15/36 (a)(b) | | 1,519,000 | 1,381,466 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | | | |
| Class CFX, 4.9498% 7/5/33 (a) | | 729,000 | 709,286 |
| Class DFX, 5.3503% 7/5/33 (a) | | 1,121,000 | 997,697 |
| Class EFX, 5.5422% 7/5/33 (a) | | 1,533,000 | 1,270,236 |
| Morgan Stanley Capital I Trust: | | | |
| floater Series 2018-BOP: | | | |
| Class B, 1 month U.S. LIBOR + 1.250% 1.9546% 8/15/33 (a)(b)(c) | | 4,318,000 | 4,048,547 |
| Class C, 1 month U.S. LIBOR + 1.500% 2.2046% 8/15/33 (a)(b)(c) | | 10,400,000 | 9,801,959 |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | | 8,381,000 | 8,137,541 |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | | 2,379,000 | 2,706,759 |
| Series 2019-MEAD: | | | |
| Class B, 3.1771% 11/10/36 (a) | | 1,211,000 | 1,118,941 |
| Class C, 3.1771% 11/10/36 (a) | | 1,162,000 | 1,023,565 |
| MSCG Trust Series 2016-SNR: | | | |
| Class A, 3.348% 11/15/34 (a)(b) | | 462,965 | 454,712 |
| Class B, 4.181% 11/15/34 (a) | | 1,632,000 | 1,563,423 |
| Class C, 5.205% 11/15/34 (a) | | 1,144,100 | 1,104,573 |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) | | 3,645,460 | 4,201,065 |
| RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.8046% 3/15/36 (a)(b)(c) | | 4,971,000 | 4,279,345 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C48 Class A5, 4.302% 1/15/52 | | 2,773,000 | 3,017,807 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | | | |
| (Cost $131,720,699) | | | 121,868,905 |
|
| Municipal Securities - 1.3% | | | |
| California Gen. Oblig.: | | | |
| Series 2009: | | $ | $ |
| 7.35% 11/1/39 | | 805,000 | 1,244,280 |
| 7.5% 4/1/34 | | 5,055,000 | 7,972,089 |
| 7.55% 4/1/39 | | 3,585,000 | 5,817,380 |
| 6.65% 3/1/22 | | 4,360,000 | 4,677,582 |
| Chicago Gen. Oblig. (Taxable Proj.): | | | |
| Series 2008 B, 5.63% 1/1/22 | | 405,000 | 415,396 |
| Series 2010 C1, 7.781% 1/1/35 | | 2,940,000 | 3,735,623 |
| Series 2012 B, 5.432% 1/1/42 | | 1,205,000 | 1,070,498 |
| Illinois Gen. Oblig.: | | | |
| Series 2003: | | | |
| 4.95% 6/1/23 | | 4,320,000 | 4,357,843 |
| 5.1% 6/1/33 | | 4,805,000 | 4,769,587 |
| Series 2010-1, 6.63% 2/1/35 | | 12,290,000 | 13,228,710 |
| Series 2010-3: | | | |
| 6.725% 4/1/35 | | 9,480,000 | 10,247,311 |
| 7.35% 7/1/35 | | 5,540,000 | 6,215,991 |
| Series 2010-5, 6.2% 7/1/21 | | 904,000 | 915,517 |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 7,240,000 | 8,637,248 |
| TOTAL MUNICIPAL SECURITIES | | | |
| (Cost $70,143,589) | | | 73,305,055 |
|
| Bank Notes - 0.7% | | | |
| Capital One NA 2.95% 7/23/21 | | 5,645,000 | 5,660,776 |
| Discover Bank: | | | |
| 3.1% 6/4/20 | | 6,380,000 | 6,370,430 |
| 3.2% 8/9/21 | | 6,841,000 | 6,808,657 |
| 3.35% 2/6/23 | | 3,206,000 | 3,219,307 |
| 4.682% 8/9/28 (b) | | 2,761,000 | 2,811,278 |
| KeyBank NA 6.95% 2/1/28 | | 800,000 | 967,452 |
| PNC Bank NA 2.3% 6/1/20 | | 1,450,000 | 1,450,073 |
| RBS Citizens NA 2.55% 5/13/21 | | 1,560,000 | 1,558,256 |
| Regions Bank 6.45% 6/26/37 | | 7,720,000 | 9,824,031 |
| Synchrony Bank 3.65% 5/24/21 | | 4,766,000 | 4,706,773 |
| TOTAL BANK NOTES | | | |
| (Cost $40,525,119) | | | 43,377,033 |
| | | Shares | Value |
|
| Money Market Funds - 0.8% | | | |
| Fidelity Cash Central Fund 0.29% (g) | | | |
| (Cost $49,124,500) | | 49,110,827 | 49,125,560 |
| TOTAL INVESTMENT IN SECURITIES - 111.3% | | | |
| (Cost $6,397,163,255) | | | 6,550,685,651 |
| NET OTHER ASSETS (LIABILITIES) - (11.3)% | | | (663,150,525) |
| NET ASSETS - 100% | | | $5,887,535,126 |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $594,795,449 or 10.1% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(f) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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