Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 29.5% | |
| | Austria: 0.1% |
300,000 | (1),(2) | Klabin Austria GmbH, 5.750%, 04/03/2029 | $ | 326,193 | 0.1 |
| | | | |
| | Brazil: 0.6% |
275,000 | (2) | Centrais Eletricas Brasileiras SA, 3.625%, 02/04/2025 | 273,886 | 0.1 |
1,100,000 | | Petrobras Global Finance BV, 8.750%, 05/23/2026 | 1,377,750 | 0.4 |
250,000 | | Suzano Austria GmbH, 5.000%, 01/15/2030 | 261,015 | 0.1 |
| | | 1,912,651 | 0.6 |
| | | | |
| | Canada: 0.6% |
390,000 | (2) | 1011778 BC ULC / New Red Finance, Inc., 5.000%, 10/15/2025 | 401,039 | 0.1 |
250,000 | (3) | Canadian Imperial Bank of Commerce, 2.606%, 07/22/2023 | 259,934 | 0.1 |
324,000 | | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | 350,365 | 0.1 |
365,000 | | Fairfax Financial Holdings Ltd., 4.850%, 04/17/2028 | 405,262 | 0.1 |
239,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | 262,270 | 0.1 |
200,000 | �� | Nutrien Ltd., 2.950%, 05/13/2030 | 220,323 | 0.1 |
135,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | 149,004 | 0.0 |
| | | 2,048,197 | 0.6 |
| | | | |
| | Cayman Islands: 0.1% |
400,000 | | Vale Overseas Ltd., 3.750%, 07/08/2030 | 429,788 | 0.1 |
| | | | |
| | Chile: 0.3% |
300,000 | (2) | Celulosa Arauco y Constitucion SA, 4.250%, 04/30/2029 | 316,728 | 0.1 |
325,000 | (2) | Colbun SA, 3.150%, 03/06/2030 | 336,375 | 0.1 |
300,000 | (2) | Inversiones CMPC SA, 3.850%, 01/13/2030 | 314,644 | 0.1 |
| | | 967,747 | 0.3 |
| | | | |
| | China: 0.6% |
720,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | 797,547 | 0.2 |
200,000 | | CNAC HK Finbridge Co. Ltd., 3.875%, 06/19/2029 | 224,521 | 0.1 |
300,000 | | CNAC HK Finbridge Co. Ltd., 5.125%, 03/14/2028 | 358,019 | 0.1 |
450,000 | | CNOOC Finance 2013 Ltd., 2.875%, 09/30/2029 | 488,979 | 0.2 |
| | | 1,869,066 | 0.6 |
| | | | |
| | Colombia: 0.4% |
250,000 | | Banco de Bogota SA, 6.250%, 05/12/2026 | 266,875 | 0.1 |
200,000 | | Bancolombia SA, 3.000%, 01/29/2025 | 199,188 | 0.0 |
325,000 | | Ecopetrol SA, 5.375%, 06/26/2026 | 360,140 | 0.1 |
250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | 301,654 | 0.1 |
300,000 | (2) | Oleoducto Central SA, 4.000%, 07/14/2027 | 310,575 | 0.1 |
| | | 1,438,432 | 0.4 |
| | | | |
| | Denmark: 0.1% |
336,000 | (2) | Danske Bank A/S, 5.375%, 01/12/2024 | 380,142 | 0.1 |
| | | | |
| | France: 0.7% |
215,000 | (2),(3) | BNP Paribas SA, 3.052%, 01/13/2031 | 234,851 | 0.1 |
706,000 | (2) | BNP Paribas SA, 3.500%, 03/01/2023 | 752,836 | 0.2 |
335,000 | (2) | BPCE SA, 2.700%, 10/01/2029 | 365,376 | 0.1 |
728,000 | (2) | BPCE SA, 5.150%, 07/21/2024 | 817,267 | 0.3 |
| | | 2,170,330 | 0.7 |
| | | | |
| | India: 0.3% |
300,000 | (2) | Adani Ports & Special Economic Zone Ltd., 4.375%, 07/03/2029 | 302,670 | 0.1 |
300,000 | (2) | Indian Railway Finance Corp. Ltd., 3.249%, 02/13/2030 | 302,760 | 0.1 |
500,000 | (2) | Reliance Industries Ltd., 3.667%, 11/30/2027 | 551,539 | 0.1 |
| | | 1,156,969 | 0.3 |
| | | | |
| | Indonesia: 0.9% |
200,000 | (2) | Hutama Karya Persero PT, 3.750%, 05/11/2030 | 218,026 | 0.1 |
350,000 | | Pertamina Persero PT, 3.100%, 01/21/2030 | 363,677 | 0.1 |
400,000 | | Pertamina Persero PT, 3.100%, 08/25/2030 | 416,000 | 0.1 |
225,000 | (2) | Pertamina Persero PT, 3.650%, 07/30/2029 | 242,459 | 0.1 |
750,000 | (2) | Perusahaan Listrik Negara PT, 3.875%, 07/17/2029 | 818,295 | 0.2 |
425,000 | (2) | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | 507,263 | 0.2 |
225,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 267,153 | 0.1 |
| | | 2,832,873 | 0.9 |
| | | | |
| | Italy: 0.1% |
305,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | 424,475 | 0.1 |
| | | | |
| | Japan: 0.5% |
200,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 210,366 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | Japan: (continued) |
255,000 | (2) | Mizuho Bank Ltd., 3.200%, 03/26/2025 | $ | 279,862 | 0.1 |
200,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | | 211,804 | 0.1 |
766,000 | | Sumitomo Mitsui Financial Group, Inc., 3.784%, 03/09/2026 | 876,739 | 0.3 |
| | | 1,578,771 | 0.5 |
| | | | |
| | Kazakhstan: 0.4% |
675,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | 757,485 | 0.2 |
275,000 | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 326,339 | 0.1 |
325,000 | (2) | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | 330,182 | 0.1 |
| | | 1,414,006 | 0.4 |
| | | | |
| | Kuwait: 0.1% |
200,000 | (2),(3) | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | 192,329 | 0.1 |
| | | | |
| | Mexico: 0.7% |
300,000 | (2) | Alpek SAB de CV, 4.250%, 09/18/2029 | 308,118 | 0.1 |
567,000 | (2) | Cemex SAB de CV, 6.125%, 05/05/2025 | 579,108 | 0.2 |
500,000 | (2) | Orbia Advance Corp. SAB de CV, 4.875%, 09/19/2022 | 529,258 | 0.2 |
200,000 | | Petroleos Mexicanos, 4.500%, 01/23/2026 | 183,572 | 0.0 |
200,000 | | Petroleos Mexicanos, 5.500%, 06/27/2044 | 154,447 | 0.0 |
600,000 | (2) | Petroleos Mexicanos, 5.950%, 01/28/2031 | 516,783 | 0.1 |
200,000 | | Petroleos Mexicanos, 6.875%, 08/04/2026 | 199,331 | 0.1 |
| | | 2,470,617 | 0.7 |
| | | | |
| | Netherlands: 0.7% |
250,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 284,027 | 0.1 |
355,000 | | ING Groep NV, 4.050%, 04/09/2029 | 425,845 | 0.1 |
696,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | 779,640 | 0.3 |
300,000 | | Shell International Finance BV, 4.000%, 05/10/2046 | 374,727 | 0.1 |
290,000 | (2) | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026 | 313,971 | 0.1 |
| | | 2,178,210 | 0.7 |
| | | | |
| | Norway: 0.0% |
56,000 | | Equinor ASA, 3.125%, 04/06/2030 | 63,888 | 0.0 |
| | | | |
| | Peru: 0.5% |
375,000 | (2),(3) | Banco de Credito del Peru, 3.125%, 07/01/2030 | 373,406 | 0.1 |
450,000 | (2) | Banco Internacional del Peru SAA Interbank, 3.250%, 10/04/2026 | 462,865 | 0.1 |
225,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | 229,821 | 0.1 |
300,000 | | Kallpa Generacion SA, 4.125%, 08/16/2027 | 308,850 | 0.1 |
375,000 | (2) | Petroleos del Peru SA, 4.750%, 06/19/2032 | 435,938 | 0.1 |
| | | 1,810,880 | 0.5 |
| | | | |
| | Russia: 0.6% |
250,000 | (2) | ALROSA Finance SA, 4.650%, 04/09/2024 | 266,705 | 0.1 |
250,000 | (2) | Evraz PLC, 5.250%, 04/02/2024 | 272,364 | 0.1 |
450,000 | | Gazprom PJSC Via Gaz Finance PLC, 3.250%, 02/25/2030 | 454,218 | 0.1 |
300,000 | (2) | MMK International Capital DAC, 4.375%, 06/13/2024 | 320,756 | 0.1 |
250,000 | (2) | Severstal OAO Via Steel Capital SA, 3.150%, 09/16/2024 | 255,823 | 0.1 |
300,000 | (2) | Sibur Securities DAC, 2.950%, 07/08/2025 | 300,825 | 0.1 |
| | | 1,870,691 | 0.6 |
| | | | |
| | Singapore: 0.1% |
300,000 | (2) | Medco Bell Pte Ltd, 6.375%, 01/30/2027 | 275,515 | 0.1 |
| | | | |
| | South Africa: 0.1% |
300,000 | (2) | Gold Fields Orogen Holdings BVI Ltd., 5.125%, 05/15/2024 | 327,781 | 0.1 |
| | | | |
| | South Korea: 0.1% |
300,000 | (2),(3) | Kookmin Bank, 4.350%, 12/31/2199 | 310,774 | 0.1 |
| | | | |
| | Switzerland: 0.5% |
456,000 | (2) | Credit Suisse AG, 6.500%, 08/08/2023 | 512,168 | 0.1 |
250,000 | (2),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 261,247 | 0.1 |
250,000 | (2),(3) | Credit Suisse Group AG, 4.194%, 04/01/2031 | 292,576 | 0.1 |
604,000 | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | 676,758 | 0.2 |
| | | 1,742,749 | 0.5 |
| | | | |
| | Turkey: 0.1% |
275,000 | (2) | Akbank T.A.S., 6.800%, 02/06/2026 | 269,930 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | United Arab Emirates: 0.1% |
300,000 | | DP World Crescent Ltd., 4.848%, 09/26/2028 | $ | 338,250 | 0.1 |
| | | | | |
| | United Kingdom: 0.7% |
200,000 | (2) | Anglo American Capital PLC, 3.625%, 09/11/2024 | | 213,870 | 0.0 |
241,000 | (2) | BAE Systems PLC, 3.400%, 04/15/2030 | 272,235 | 0.1 |
590,000 | (3) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 668,622 | 0.2 |
250,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 286,176 | 0.1 |
200,000 | (2) | Reckitt Benckiser Treasury Services PLC, 3.000%, 06/26/2027 | 223,287 | 0.1 |
200,000 | (3) | Natwest Group PLC, 4.519%, 06/25/2024 | 218,415 | 0.1 |
270,000 | (2) | Standard Chartered PLC, 5.300%, 01/09/2043 | 324,730 | 0.1 |
| | | 2,207,335 | 0.7 |
| | | | |
| | United States: 19.5% |
120,000 | (2) | AbbVie, Inc., 3.200%, 11/21/2029 | 135,406 | 0.0 |
660,000 | | AbbVie, Inc., 3.600%, 05/14/2025 | 739,428 | 0.2 |
43,000 | (2) | AbbVie, Inc., 4.050%, 11/21/2039 | 52,739 | 0.0 |
361,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 444,125 | 0.1 |
322,000 | | Advance Auto Parts, Inc., 3.900%, 04/15/2030 | 355,477 | 0.1 |
365,000 | | AECOM, 5.125%, 03/15/2027 | 402,343 | 0.1 |
59,000 | | Aetna, Inc., 2.800%, 06/15/2023 | 62,484 | 0.0 |
190,000 | (2) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 4.625%, 01/15/2027 | 201,125 | 0.1 |
235,000 | (2) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | 257,706 | 0.1 |
250,000 | | Altria Group, Inc., 4.500%, 05/02/2043 | 294,752 | 0.1 |
702,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 846,553 | 0.3 |
210,000 | | AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 | 60,375 | 0.0 |
112,000 | | American Electric Power Co., Inc., 3.250%, 03/01/2050 | 129,336 | 0.0 |
79,000 | | American International Group, Inc., 4.250%, 03/15/2029 | 93,384 | 0.0 |
350,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 433,052 | 0.1 |
79,000 | | American International Group, Inc., 4.750%, 04/01/2048 | 102,773 | 0.0 |
655,000 | | American Tower Corp., 2.750%, 01/15/2027 | 716,123 | 0.2 |
107,000 | | AmerisourceBergen Corp., 4.300%, 12/15/2047 | 130,367 | 0.0 |
330,000 | | Amgen, Inc., 3.200%, 11/02/2027 | 377,276 | 0.1 |
129,000 | | Amgen, Inc., 4.563%, 06/15/2048 | 179,530 | 0.1 |
250,000 | | Amphenol Corp., 2.800%, 02/15/2030 | 275,937 | 0.1 |
297,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 382,086 | 0.1 |
310,000 | | Anheuser-Busch InBev Worldwide, Inc., 4.750%, 01/23/2029 | 381,159 | 0.1 |
373,000 | | Anthem, Inc., 3.700%, 09/15/2049 | 451,723 | 0.1 |
465,000 | | Apache Corp., 5.100%, 09/01/2040 | 453,375 | 0.1 |
154,000 | | Apple, Inc., 3.450%, 02/09/2045 | 190,672 | 0.1 |
239,000 | (2) | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | 245,573 | 0.1 |
568,000 | | AT&T, Inc., 4.300%, 02/15/2030 | 682,716 | 0.2 |
175,000 | | AT&T, Inc., 5.450%, 03/01/2047 | 238,236 | 0.1 |
250,000 | (2) | Athene Global Funding, 2.950%, 11/12/2026 | 259,806 | 0.1 |
79,000 | (3) | Bank of America Corp., 2.496%, 02/13/2031 | 84,042 | 0.0 |
500,000 | (3) | Bank of America Corp., 3.419%, 12/20/2028 | 565,656 | 0.2 |
465,000 | (3) | Bank of America Corp., 3.864%, 07/23/2024 | 507,932 | 0.2 |
250,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 328,181 | 0.1 |
316,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 364,467 | 0.1 |
125,000 | (3) | Bank of America Corp., 4.330%, 03/15/2050 | 171,557 | 0.1 |
183,000 | | BAT Capital Corp., 3.557%, 08/15/2027 | 201,499 | 0.1 |
285,000 | (2) | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | 291,375 | 0.1 |
190,000 | (2) | Bausch Health Cos, Inc., 6.125%, 04/15/2025 | 196,365 | 0.1 |
200,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 217,710 | 0.1 |
99,000 | | Boeing Co/The, 5.150%, 05/01/2030 | 108,627 | 0.0 |
316,000 | | Booking Holdings, Inc., 4.500%, 04/13/2027 | 373,519 | 0.1 |
79,000 | | Boston Scientific Corp., 4.000%, 03/01/2029 | 93,184 | 0.0 |
56,000 | | BP Capital Markets America, Inc., 3.000%, 02/24/2050 | 60,636 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | United States: (continued) |
766,000 | | BP Capital Markets America, Inc., 3.216%, 11/28/2023 | $ | 828,077 | 0.3 |
469,000 | | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 540,417 | 0.2 |
200,000 | | Broadridge Financial Solutions, Inc., 2.900%, 12/01/2029 | | 219,279 | 0.1 |
125,000 | | Brookfield Finance LLC, 3.450%, 04/15/2050 | 130,628 | 0.0 |
400,000 | (2) | Builders FirstSource, Inc., 5.000%, 03/01/2030 | 420,458 | 0.1 |
289,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 375,787 | 0.1 |
45,000 | | Burlington Northern Santa Fe LLC, 4.450%, 03/15/2043 | 61,452 | 0.0 |
250,000 | (2) | Caesars Resort Collection LLC / CRC Finco, Inc., 5.250%, 10/15/2025 | 225,734 | 0.1 |
110,000 | (2) | Carrier Global Corp., 2.722%, 02/15/2030 | 116,491 | 0.0 |
427,000 | | CBRE Services, Inc., 5.250%, 03/15/2025 | 491,325 | 0.2 |
225,000 | | Centene Corp., 3.375%, 02/15/2030 | 239,345 | 0.1 |
365,000 | | CenterPoint Energy, Inc., 4.250%, 11/01/2028 | 435,293 | 0.1 |
79,000 | | Cigna Corp., 3.400%, 03/15/2050 | 90,774 | 0.0 |
297,000 | | Cigna Corp., 4.375%, 10/15/2028 | 358,868 | 0.1 |
305,000 | | Citigroup, Inc., 4.125%, 07/25/2028 | 353,470 | 0.1 |
480,000 | | Citigroup, Inc., 4.000%, 08/05/2024 | 530,044 | 0.2 |
491,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 586,185 | 0.2 |
321,000 | (2) | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | 346,823 | 0.1 |
193,000 | | Comcast Corp., 2.350%, 01/15/2027 | 208,852 | 0.1 |
300,000 | | Comcast Corp., 3.750%, 04/01/2040 | 375,138 | 0.1 |
400,000 | | Comcast Corp., 4.150%, 10/15/2028 | 491,671 | 0.2 |
115,000 | | Comcast Corp., 4.250%, 01/15/2033 | 146,516 | 0.1 |
90,000 | | Comcast Corp., 5.650%, 06/15/2035 | 129,931 | 0.0 |
430,000 | (2) | CommScope Technologies LLC, 5.000%, 03/15/2027 | 416,474 | 0.1 |
159,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | 221,162 | 0.1 |
105,000 | | Consumers Energy Co., 3.100%, 08/15/2050 | 125,727 | 0.0 |
360,000 | (2) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | 337,736 | 0.1 |
79,000 | | Crown Castle International Corp., 4.150%, 07/01/2050 | 99,907 | 0.0 |
55,000 | | CSC Holdings LLC, 5.250%, 06/01/2024 | 60,638 | 0.0 |
400,000 | (2) | CSC Holdings LLC, 5.750%, 01/15/2030 | 443,922 | 0.1 |
105,000 | | CSX Corp., 4.500%, 08/01/2054 | 144,757 | 0.0 |
717,000 | | CVS Health Corp., 4.300%, 03/25/2028 | 852,336 | 0.3 |
90,000 | (2) | Dana Financing Luxembourg Sarl, 6.500%, 06/01/2026 | 94,601 | 0.0 |
125,000 | | Dana, Inc., 5.375%, 11/15/2027 | 132,063 | 0.0 |
165,000 | | Dana, Inc., 5.625%, 06/15/2028 | 173,520 | 0.1 |
390,000 | (2) | DaVita, Inc., 4.625%, 06/01/2030 | 415,223 | 0.1 |
176,000 | (2) | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 206,483 | 0.1 |
156,547 | | Delta Air Lines 2015-1 Class B Pass Through Trust, 4.250%, 01/30/2025 | 143,430 | 0.0 |
215,000 | | DISH DBS Corp., 5.875%, 11/15/2024 | 224,495 | 0.1 |
79,000 | | Dollar General Corp., 3.500%, 04/03/2030 | 91,448 | 0.0 |
180,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 183,456 | 0.1 |
34,000 | | Dow Chemical Co/The, 5.550%, 11/30/2048 | 47,698 | 0.0 |
340,000 | | DTE Electric Co., 2.250%, 03/01/2030 | 369,679 | 0.1 |
150,000 | | DTE Electric Co., 2.950%, 03/01/2050 | 173,136 | 0.1 |
146,000 | | DTE Electric Co., 4.300%, 07/01/2044 | 195,534 | 0.1 |
75,000 | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | 90,914 | 0.0 |
120,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 145,622 | 0.0 |
140,000 | | Duke Energy Indiana LLC, 3.750%, 05/15/2046 | 176,903 | 0.1 |
969,000 | | Energy Transfer Operating L.P., 4.900%, 02/01/2024 | 1,037,983 | 0.3 |
286,000 | | Energy Transfer Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 304,687 | 0.1 |
200,000 | | Entergy Louisiana LLC, 2.900%, 03/15/2051 | 228,074 | 0.1 |
240,000 | | Entergy Louisiana LLC, 4.200%, 04/01/2050 | 334,121 | 0.1 |
320,000 | (2) | EQM Midstream Partners L.P., 6.000%, 07/01/2025 | 339,811 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | United States: (continued) |
400,000 | (2) | ESH Hospitality, Inc., 4.625%, 10/01/2027 | $ | 385,420 | 0.1 |
151,000 | | Essential Utilities, Inc., 2.704%, 04/15/2030 | 165,255 | 0.1 |
162,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 192,483 | 0.1 |
97,000 | | Evergy Kansas Central, Inc., 4.125%, 03/01/2042 | 122,360 | 0.0 |
318,000 | | Exxon Mobil Corp., 2.610%, 10/15/2030 | 351,184 | 0.1 |
85,000 | | Exxon Mobil Corp., 2.995%, 08/16/2039 | | 94,352 | 0.0 |
198,000 | | Exxon Mobil Corp., 3.452%, 04/15/2051 | 235,736 | 0.1 |
283,000 | | FedEx Corp., 4.050%, 02/15/2048 | 323,169 | 0.1 |
79,000 | | FedEx Corp., 5.250%, 05/15/2050 | 106,524 | 0.0 |
377,000 | | Fifth Third Bancorp, 8.250%, 03/01/2038 | 637,400 | 0.2 |
590,000 | | FirstEnergy Corp., 4.250%, 03/15/2023 | 625,608 | 0.2 |
316,000 | | Fiserv, Inc., 3.200%, 07/01/2026 | 356,365 | 0.1 |
291,000 | | Florida Power & Light Co., 4.125%, 02/01/2042 | 388,813 | 0.1 |
100,000 | | FMC Corp., 3.450%, 10/01/2029 | 113,144 | 0.0 |
400,000 | | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | 427,000 | 0.1 |
200,000 | | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | 209,148 | 0.1 |
420,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 488,394 | 0.2 |
193,000 | | General Electric Co., 3.625%, 05/01/2030 | 195,722 | 0.1 |
91,000 | | General Electric Co., 6.750%, 03/15/2032 | 114,735 | 0.0 |
316,000 | | General Mills, Inc., 2.875%, 04/15/2030 | 355,103 | 0.1 |
382,000 | | General Motors Financial Co., Inc., 4.300%, 07/13/2025 | 416,402 | 0.1 |
370,000 | (2) | Gray Television, Inc., 7.000%, 05/15/2027 | 405,206 | 0.1 |
79,000 | | HCA, Inc., 4.125%, 06/15/2029 | 92,554 | 0.0 |
200,000 | | HCA, Inc., 5.250%, 04/15/2025 | 233,239 | 0.1 |
195,000 | | Healthpeak Properties, Inc., 3.000%, 01/15/2030 | 210,371 | 0.1 |
85,000 | | Home Depot, Inc./The, 3.125%, 12/15/2049 | 100,495 | 0.0 |
416,000 | (1) | Intel Corp., 3.250%, 11/15/2049 | 495,232 | 0.2 |
79,000 | | Intel Corp., 4.750%, 03/25/2050 | 115,942 | 0.0 |
95,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 109,038 | 0.0 |
260,000 | | Intercontinental Exchange, Inc., 4.250%, 09/21/2048 | 353,950 | 0.1 |
200,000 | | Interstate Power and Light Co., 2.300%, 06/01/2030 | 212,686 | 0.1 |
245,000 | | Johnson & Johnson, 3.400%, 01/15/2038 | 302,461 | 0.1 |
50,000 | | Johnson & Johnson, 3.550%, 03/01/2036 | 62,490 | 0.0 |
250,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 262,769 | 0.1 |
79,000 | (3) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 98,158 | 0.0 |
115,000 | (3) | JPMorgan Chase & Co., 4.600%, 12/31/2199 | 111,418 | 0.0 |
530,000 | (3) | JPMorgan Chase & Co., 6.000%, 12/31/2199 | 552,992 | 0.2 |
385,000 | | Keurig Dr Pepper, Inc., 4.057%, 05/25/2023 | 421,458 | 0.1 |
161,000 | | Kimco Realty Corp., 3.700%, 10/01/2049 | 165,206 | 0.1 |
227,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 253,668 | 0.1 |
175,000 | (2) | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | 184,177 | 0.1 |
165,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | 221,430 | 0.1 |
126,000 | | Kroger Co/The, 4.650%, 01/15/2048 | 169,025 | 0.1 |
198,000 | | Lowe's Cos, Inc., 2.500%, 04/15/2026 | 215,492 | 0.1 |
180,000 | | Lowe's Cos, Inc., 3.700%, 04/15/2046 | 213,737 | 0.1 |
400,000 | (1),(2) | Match Group Holdings II LLC, 4.125%, 08/01/2030 | 412,688 | 0.1 |
70,000 | | McDonald's Corp., 3.625%, 05/01/2043 | 83,071 | 0.0 |
85,000 | | McDonald's Corp., 3.625%, 09/01/2049 | 100,370 | 0.0 |
428,000 | (2) | Metropolitan Edison Co., 4.000%, 04/15/2025 | 479,994 | 0.2 |
142,000 | (1) | MGM Resorts International, 4.625%, 09/01/2026 | 137,860 | 0.0 |
175,000 | | MGM Resorts International, 5.500%, 04/15/2027 | 176,121 | 0.1 |
250,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 310,015 | 0.1 |
316,000 | | Mondelez International, Inc., 2.750%, 04/13/2030 | 351,363 | 0.1 |
105,000 | (3) | Morgan Stanley, 3.622%, 04/01/2031 | 123,040 | 0.0 |
545,000 | | Morgan Stanley, 4.100%, 05/22/2023 | 592,713 | 0.2 |
105,000 | (3) | Morgan Stanley, 5.597%, 03/24/2051 | 169,160 | 0.1 |
398,000 | | MPLX L.P., 4.000%, 03/15/2028 | 433,580 | 0.1 |
130,000 | | MPLX L.P., 5.250%, 01/15/2025 | 135,646 | 0.0 |
105,000 | | MPT Operating Partnership L.P. / MPT Finance Corp., 5.000%, 10/15/2027 | 112,809 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | United States: (continued) |
200,000 | | Mylan, Inc., 5.200%, 04/15/2048 | $ | 262,527 | 0.1 |
310,000 | | National Rural Utilities Cooperative Finance Corp., 3.900%, 11/01/2028 | 371,934 | 0.1 |
220,000 | | Navient Corp., 5.000%, 03/15/2027 | 210,976 | 0.1 |
53,000 | | Newmont Corp., 3.700%, 03/15/2023 | 55,960 | 0.0 |
193,000 | | Northern States Power Co/MN, 3.600%, 09/15/2047 | 249,300 | 0.1 |
390,000 | (2) | Novelis Corp., 4.750%, 01/30/2030 | 407,700 | 0.1 |
180,000 | | NRG Energy, Inc., 5.750%, 01/15/2028 | 198,258 | 0.1 |
105,000 | | NVIDIA Corp., 3.500%, 04/01/2040 | 125,804 | 0.0 |
65,000 | | ONEOK, Inc., 3.100%, 03/15/2030 | 61,493 | 0.0 |
316,000 | | Oracle Corp., 2.800%, 04/01/2027 | 351,406 | 0.1 |
504,000 | | Oracle Corp., 2.950%, 05/15/2025 | 556,795 | 0.2 |
105,000 | | Oracle Corp., 3.600%, 04/01/2040 | 124,701 | 0.0 |
48,000 | | O'Reilly Automotive, Inc., 3.600%, 09/01/2027 | 55,569 | 0.0 |
115,000 | | O'Reilly Automotive, Inc., 4.350%, 06/01/2028 | 137,567 | 0.0 |
35,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 38,341 | 0.0 |
28,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 30,973 | 0.0 |
47,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 52,471 | 0.0 |
200,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 226,121 | 0.1 |
238,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 318,214 | 0.1 |
300,000 | (2) | PetSmart, Inc., 5.875%, 06/01/2025 | 308,250 | 0.1 |
481,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | 580,749 | 0.2 |
84,000 | | Phillips 66, 3.850%, 04/09/2025 | 94,284 | 0.0 |
385,000 | (2) | Pilgrim's Pride Corp., 5.875%, 09/30/2027 | 407,619 | 0.1 |
301,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.600%, 11/01/2024 | 310,764 | 0.1 |
281,000 | | PNC Financial Services Group, Inc./The, 3.450%, 04/23/2029 | 331,734 | 0.1 |
370,000 | (2) | Post Holdings, Inc., 5.500%, 12/15/2029 | 406,528 | 0.1 |
65,000 | | Puget Sound Energy, Inc., 3.250%, 09/15/2049 | 76,505 | 0.0 |
380,000 | (2) | Quicken Loans LLC, 5.250%, 01/15/2028 | 411,531 | 0.1 |
285,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 381,538 | 0.1 |
339,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 455,410 | 0.1 |
180,000 | | Ross Stores, Inc., 4.700%, 04/15/2027 | 212,749 | 0.1 |
250,000 | (2) | Sealed Air Corp., 4.000%, 12/01/2027 | 259,375 | 0.1 |
114,000 | | Selective Insurance Group, Inc., 5.375%, 03/01/2049 | 136,056 | 0.0 |
700,000 | | Shire Acquisitions Investments Ireland DAC, 3.200%, 09/23/2026 | 787,034 | 0.2 |
420,000 | (2) | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | 412,570 | 0.1 |
230,000 | (2) | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | 256,666 | 0.1 |
205,000 | (1),(2) | Six Flags Entertainment Corp., 5.500%, 04/15/2027 | 193,981 | 0.1 |
60,000 | | Southern California Edison Co., 3.650%, 02/01/2050 | 68,838 | 0.0 |
85,000 | | Southwest Airlines Co., 3.450%, 11/16/2027 | 84,450 | 0.0 |
315,000 | | Sprint Nextel Corp., 6.875%, 11/15/2028 | 409,327 | 0.1 |
400,000 | (2) | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | 432,614 | 0.1 |
240,000 | (2) | Summit Materials LLC / Summit Materials Finance Corp., 5.125%, 06/01/2025 | 246,275 | 0.1 |
155,000 | (2) | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | 161,394 | 0.1 |
134,000 | | Sunoco Logistics Partners Operations L.P., 4.250%, 04/01/2024 | 141,513 | 0.0 |
385,000 | (2) | Tenet Healthcare Corp., 5.125%, 11/01/2027 | 410,179 | 0.1 |
70,000 | | Texas Instruments, Inc., 3.875%, 03/15/2039 | 91,767 | 0.0 |
299,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 389,384 | 0.1 |
200,000 | (2) | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 205,624 | 0.1 |
316,000 | (2) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 359,358 | 0.1 |
79,000 | (2) | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 90,528 | 0.0 |
300,000 | | UDR, Inc., 2.100%, 08/01/2032 | 307,092 | 0.1 |
370,000 | | Union Electric Co., 3.250%, 10/01/2049 | 445,922 | 0.1 |
135,000 | | United Parcel Service, Inc., 3.400%, 09/01/2049 | 162,430 | 0.1 |
180,000 | | United Rentals North America, Inc., 4.000%, 07/15/2030 | 186,525 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | |
| | United States: (continued) |
215,000 | | United Rentals North America, Inc., 4.875%, 01/15/2028 | $ | 231,125 | 0.1 |
390,000 | (2) | Valvoline, Inc., 4.250%, 02/15/2030 | 410,573 | 0.1 |
250,000 | | Verizon Communications, Inc., 4.125%, 03/16/2027 | 299,447 | 0.1 |
175,000 | | Verizon Communications, Inc., 4.125%, 08/15/2046 | 229,277 | 0.1 |
200,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 274,314 | 0.1 |
615,000 | | ViacomCBS, Inc., 3.700%, 08/15/2024 | 678,678 | 0.2 |
339,000 | | ViacomCBS, Inc., 4.375%, 03/15/2043 | 376,648 | 0.1 |
375,000 | (2) | ViaSat, Inc., 5.625%, 04/15/2027 | 398,256 | 0.1 |
316,000 | | VMware, Inc., 4.650%, 05/15/2027 | 362,247 | 0.1 |
351,000 | | Walmart, Inc., 3.700%, 06/26/2028 | 422,695 | 0.1 |
134,000 | | Walt Disney Co/The, 5.400%, 10/01/2043 | 190,551 | 0.1 |
350,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 368,330 | 0.1 |
430,000 | | Wells Fargo & Co., 4.100%, 06/03/2026 | 487,898 | 0.2 |
143,000 | | Welltower, Inc., 4.125%, 03/15/2029 | 161,334 | 0.1 |
400,000 | | WPX Energy, Inc., 5.750%, 06/01/2026 | 409,162 | 0.1 |
380,000 | (2) | WR Grace & Co-Conn, 4.875%, 06/15/2027 | 405,637 | 0.1 |
173,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 248,486 | 0.1 |
395,000 | (2) | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | 396,388 | 0.1 |
| | | 64,544,145 | 19.5 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $89,211,865) | 97,552,734 | 29.5 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 16.3% | |
| | United States: 16.3% |
441,228 | (3) | Adjustable Rate Mortgage Trust 2006-2 1A1, 3.909%, 05/25/2036 | 418,262 | 0.1 |
369,136 | | Alternative Loan Trust 2005-51 3A2A, 2.612%, (12MTA + 1.290%), 11/20/2035 | 335,208 | 0.1 |
124,755 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 90,255 | 0.0 |
192,735 | | Alternative Loan Trust 2007-23CB A3, 0.672%, (US0001M + 0.500%), 09/25/2037 | 76,331 | 0.0 |
465,995 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 362,280 | 0.1 |
465,978 | | CitiMortgage Alternative Loan Trust Series 2006-A3 1A7, 6.000%, 07/25/2036 | 461,135 | 0.1 |
86,231 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.672%, (US0001M + 0.500%), 11/25/2035 | 40,084 | 0.0 |
202,744 | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 0.892%, (US0001M + 0.720%), 11/25/2035 | 197,813 | 0.1 |
339,859 | (2),(3) | CSMC Trust 2015-2 B3, 3.918%, 02/25/2045 | 338,314 | 0.1 |
251,315 | (2),(3) | CSMC Trust 2015-3 B1, 3.925%, 03/25/2045 | 262,459 | 0.1 |
4,774,985 | (4) | Fannie Mae 2005-18 SC, 4.478%, (-1.000*US0001M + 4.650%), 03/25/2035 | | 723,692 | 0.2 |
1,268,927 | (4) | Fannie Mae 2008-41 S, 6.628%, (-1.000*US0001M + 6.800%), 11/25/2036 | 328,025 | 0.1 |
3,381,945 | (4) | Fannie Mae 2009-106 SA, 6.078%, (-1.000*US0001M + 6.250%), 01/25/2040 | 696,601 | 0.2 |
232,615 | | Fannie Mae Connecticut Avenue Securities 2016-C04 1M2, 4.422%, (US0001M + 4.250%), 01/25/2029 | 236,268 | 0.1 |
608,122 | | Fannie Mae Connecticut Avenue Securities 2016-C05 2M2, 4.622%, (US0001M + 4.450%), 01/25/2029 | 622,465 | 0.2 |
739,373 | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 4.522%, (US0001M + 4.350%), 05/25/2029 | 761,383 | 0.2 |
345,967 | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 3.822%, (US0001M + 3.650%), 09/25/2029 | 349,795 | 0.1 |
500,000 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.172%, (US0001M + 3.000%), 10/25/2029 | 500,162 | 0.2 |
909,889 | | Fannie Mae Connecticut Avenue Securities 2017-C05 1M2, 2.372%, (US0001M + 2.200%), 01/25/2030 | 888,506 | 0.3 |
500,863 | | Fannie Mae Connecticut Avenue Securities 2017-C07 1M2, 2.572%, (US0001M + 2.400%), 05/28/2030 | 488,823 | 0.1 |
410,407 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.672%, (US0001M + 2.500%), 05/25/2030 | 401,326 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | |
| | United States: (continued) |
881,315 | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 2.322%, (US0001M + 2.150%), 10/25/2030 | $ | 864,826 | 0.3 |
959,712 | | Fannie Mae Connecticut Avenue Securities 2018-C04 2M2, 2.722%, (US0001M + 2.550%), 12/25/2030 | 930,998 | 0.3 |
171,879 | | Fannie Mae Connecticut Avenue Securities 2018-C05 1M2, 2.522%, (US0001M + 2.350%), 01/25/2031 | 167,472 | 0.1 |
381,089 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.172%, (US0001M + 2.000%), 03/25/2031 | 369,718 | 0.1 |
430,924 | (2) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.472%, (US0001M + 2.300%), 08/25/2031 | 428,000 | 0.1 |
651,739 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 2.572%, (US0001M + 2.400%), 04/25/2031 | 647,052 | 0.2 |
213,230 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.622%, (US0001M + 2.450%), 07/25/2031 | 211,408 | 0.1 |
1,000,000 | (2) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.222%, (US0001M + 2.050%), 01/25/2040 | 961,895 | 0.3 |
122,914 | | Fannie Mae REMIC Trust 2003-22 BZ, 6.000%, 04/25/2033 | 142,070 | 0.0 |
120,513 | | Fannie Mae REMIC Trust 2005-74 DK, 23.314%, (-4.000*US0001M + 24.000%), 07/25/2035 | 187,878 | 0.1 |
143,523 | | Fannie Mae REMIC Trust 2006-104 ES, 32.592%, (-5.000*US0001M + 33.450%), 11/25/2036 | 279,257 | 0.1 |
1,812,952 | (4) | Fannie Mae REMIC Trust 2007-36 SN, 6.598%, (-1.000*US0001M + 6.770%), 04/25/2037 | 412,111 | 0.1 |
127,117 | | Fannie Mae REMIC Trust 2007-55 DS, 14.571%, (-2.500*US0001M + 15.000%), 06/25/2037 | 166,129 | 0.0 |
1,084,303 | (4) | Fannie Mae REMIC Trust 2008-53 FI, 5.928%, (-1.000*US0001M + 6.100%), 07/25/2038 | 152,775 | 0.0 |
842,136 | (4) | Fannie Mae REMIC Trust 2008-58 SM, 5.928%, (-1.000*US0001M + 6.100%), 07/25/2038 | 206,639 | 0.1 |
147,528 | | Fannie Mae REMIC Trust 2009-66 SL, 15.263%, (-3.333*US0001M + 15.833%), 09/25/2039 | 333,662 | 0.1 |
93,200 | | Fannie Mae REMIC Trust 2009-66 SW, 15.430%, (-3.333*US0001M + 16.000%), 09/25/2039 | 212,474 | 0.1 |
5,317,295 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 5.898%, (-1.000*US0001M + 6.070%), 11/25/2040 | 1,073,570 | 0.3 |
4,783,462 | (4) | Fannie Mae REMIC Trust 2011-55 SK, 6.388%, (-1.000*US0001M + 6.560%), 06/25/2041 | 1,222,340 | 0.4 |
2,070,402 | (4) | Fannie Mae REMIC Trust 2011-86 NS, 5.778%, (-1.000*US0001M + 5.950%), 09/25/2041 | 412,317 | 0.1 |
539,393 | (4) | Fannie Mae REMIC Trust 2012-10 US, 6.278%, (-1.000*US0001M + 6.450%), 02/25/2042 | 71,387 | 0.0 |
2,102,919 | (4) | Fannie Mae REMIC Trust 2012-24 HS, 6.378%, (-1.000*US0001M + 6.550%), 09/25/2040 | 251,733 | 0.1 |
1,488,269 | (4) | Fannie Mae REMIC Trust 2013-31 PI, 4.500%, 02/25/2043 | 116,703 | 0.0 |
1,370,278 | | Fannie Mae REMICS 2013-126 ZA, 4.000%, 07/25/2032 | 1,463,103 | 0.4 |
817,209 | (4) | Fannie Mae Series 2007-9 SE, 5.908%, (-1.000*US0001M + 6.080%), 03/25/2037 | 170,064 | 0.1 |
1,382,551 | (4) | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | 118,510 | 0.0 |
954,372 | (2),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.037%, 04/25/2048 | 989,141 | 0.3 |
212,367 | (4) | Freddie Mac REMIC Trust 2303 SY, 8.525%, (-1.000*US0001M + 8.700%), 04/15/2031 | 61,931 | 0.0 |
1,422,797 | (4) | Freddie Mac REMIC Trust 2989 GU, 6.825%, (-1.000*US0001M + 7.000%), 02/15/2033 | 316,092 | 0.1 |
1,190,930 | (4) | Freddie Mac REMIC Trust 3271 SB, 5.875%, (-1.000*US0001M + 6.050%), 02/15/2037 | 233,384 | 0.1 |
4,055,027 | (4) | Freddie Mac REMIC Trust 3424 HI, 5.725%, (-1.000*US0001M + 5.900%), 04/15/2038 | 982,934 | 0.3 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | |
| | United States: (continued) |
977,396 | (4) | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | $ | 133,022 | 0.0 |
5,309,567 | (4) | Freddie Mac REMIC Trust 3856 KS, 6.375%, (-1.000*US0001M + 6.550%), 05/15/2041 | 1,034,446 | 0.3 |
1,627,557 | (4) | Freddie Mac REMIC Trust 3925 SD, 5.875%, (-1.000*US0001M + 6.050%), 07/15/2040 | 173,560 | 0.1 |
1,524,602 | (4) | Freddie Mac REMIC Trust 3946 SE, 6.475%, (-1.000*US0001M + 6.650%), 02/15/2041 | 115,073 | 0.0 |
2,879,953 | (4) | Freddie Mac REMIC Trust 4077 SM, 6.525%, (-1.000*US0001M + 6.700%), 08/15/2040 | 272,519 | 0.1 |
1,083,562 | (4) | Freddie Mac REMIC Trust 4152 BI, 4.000%, 12/15/2041 | 126,924 | 0.0 |
1,928,339 | (4) | Freddie Mac REMIC Trust 4313 MI, 5.000%, 04/15/2039 | 258,206 | 0.1 |
2,699,605 | (4) | Freddie Mac REMICS 3693 SC, 6.325%, (-1.000*US0001M + 6.500%), 07/15/2040 | 565,728 | 0.2 |
3,877,968 | | Freddie Mac REMICS 3792 DS, 6.425%, (-1.000*US0001M + 6.600%), 11/15/2040 | 315,316 | 0.1 |
2,525,333 | (4) | Freddie Mac REMICS 4040 SW, 6.455%, (-1.000*US0001M + 6.630%), 05/15/2032 | 437,122 | 0.1 |
2,474,907 | (4) | Freddie Mac REMICS 4623 MS, 5.825%, (-1.000*US0001M + 6.000%), 10/15/2046 | 569,301 | 0.2 |
2,180,752 | | Freddie Mac REMICS 4800 MZ, 4.000%, 06/15/2048 | 2,401,243 | 0.7 |
1,576,776 | | Freddie Mac REMICS 4879 ZA, 4.000%, 05/15/2049 | 1,768,185 | 0.5 |
283,691 | (2) | Freddie Mac STACR 2019-HQA3 M2, 2.022%, (US0001M + 1.850%), 09/27/2049 | 273,853 | 0.1 |
500,000 | (2) | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 3.272%, (US0001M + 3.100%), 03/25/2050 | 485,027 | 0.1 |
400,000 | (2) | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 3.776%, (US0001M + 3.600%), 07/25/2050 | 396,812 | 0.1 |
900,000 | (2) | Freddie Mac STACR Trust 2018-DNA2 M2, 2.322%, (US0001M + 2.150%), 12/25/2030 | 856,229 | 0.3 |
300,000 | (2) | Freddie Mac Stacr Trust 2018-HQA2 M2, 2.472%, (US0001M + 2.300%), 10/25/2048 | 288,469 | 0.1 |
325,317 | (2) | Freddie Mac STACR Trust 2019-DNA3 M2, 2.222%, (US0001M + 2.050%), 07/25/2049 | 314,282 | 0.1 |
207,913 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.072%, (US0001M + 3.900%), 12/25/2027 | 210,301 | 0.1 |
300,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3 M3, 4.872%, (US0001M + 4.700%), 04/25/2028 | 312,662 | 0.1 |
85,635 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 3.972%, (US0001M + 3.800%), 03/25/2025 | 86,601 | 0.0 |
1,296,298 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA4 M3, 3.972%, (US0001M + 3.800%), 03/25/2029 | 1,320,663 | 0.4 |
800,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2 M2, 3.622%, (US0001M + 3.450%), 10/25/2029 | 814,390 | 0.2 |
400,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2, 2.672%, (US0001M + 2.500%), 03/25/2030 | 400,215 | 0.1 |
345,633 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2, 3.722%, (US0001M + 3.550%), 08/25/2029 | 348,924 | 0.1 |
564,821 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.822%, (US0001M + 2.650%), 12/25/2029 | 549,611 | 0.2 |
61,836 | (3) | Freddie Mac Whole Loan Securities Trust 2016-SC02 M1, 3.594%, 10/25/2046 | 61,897 | 0.0 |
900,000 | (2),(3) | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 956,816 | 0.3 |
18,907 | | Ginnie Mae Series 2007-37 S, 24.652%, (-3.667*US0001M + 25.300%), 04/16/2037 | 19,702 | 0.0 |
295,393 | | Ginnie Mae Series 2007-8 SP, 21.443%, (-3.242*US0001M + 22.049%), 03/20/2037 | 504,245 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | |
| | United States: (continued) |
26,340,619 | (4) | Ginnie Mae Series 2009-106 CM, 6.423%, (-1.000*US0001M + 6.600%), 01/16/2034 | $ | 4,224,746 | 1.3 |
1,781,183 | (4) | Ginnie Mae Series 2010-116 NS, 6.473%, (-1.000*US0001M + 6.650%), 09/16/2040 | 359,965 | 0.1 |
475,872 | (4) | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | 38,847 | 0.0 |
2,660,099 | (4) | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | 177,032 | 0.1 |
677,222 | (4) | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | 40,432 | 0.0 |
1,531,020 | (4) | Ginnie Mae Series 2013-115 NI, 4.500%, 01/16/2043 | 230,835 | 0.1 |
1,156,355 | (4) | Ginnie Mae Series 2013-5 NI, 3.000%, 01/20/2028 | 69,534 | 0.0 |
2,705,389 | (4) | Ginnie Mae Series 2015-178 GI, 4.000%, 05/20/2044 | 227,742 | 0.1 |
14,681,289 | (4) | Ginnie Mae Series 2019-89 QI, 4.000%, 04/20/2046 | 1,684,951 | 0.5 |
363,406 | | GreenPoint Mortgage Funding Trust 2006-AR3 4A1, 0.382%, (US0001M + 0.210%), 04/25/2036 | 341,976 | 0.1 |
130,983 | (2),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 135,282 | 0.0 |
201,283 | (2),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 A1, 3.500%, 03/25/2050 | 207,229 | 0.1 |
263,261 | (2),(3) | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | 271,081 | 0.1 |
370,500 | (2),(3) | JP Morgan Mortgage Trust 2017-3 B1, 3.811%, 08/25/2047 | 384,769 | 0.1 |
249,902 | (2),(3) | JP Morgan Mortgage Trust 2019-INV3 A15, 3.500%, 05/25/2050 | 256,404 | 0.1 |
416,504 | (2),(3) | JP Morgan Mortgage Trust 2019-INV3 A3, 3.500%, 05/25/2050 | 430,693 | 0.1 |
116,197 | (2),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 119,623 | 0.0 |
444,854 | (2),(3) | JP Morgan Mortgage Trust 2019-LTV3 A15, 3.500%, 12/31/2049 | 456,959 | 0.1 |
350,000 | (2),(3) | JP Morgan Mortgage Trust 2020-5 A15, 3.000%, 12/25/2050 | 360,664 | 0.1 |
350,000 | (2),(3) | JP Morgan Mortgage Trust 2020-5 B1, 3.736%, 12/25/2050 | 376,040 | 0.1 |
253,777 | | Lehman XS Trust Series 2005-5N 1A2, 0.532%, (US0001M + 0.360%), 11/25/2035 | 212,084 | 0.1 |
342,985 | (2),(3) | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 351,685 | 0.1 |
803,170 | (2),(3) | OBX 2020-INV1 A21 Trust, 3.500%, 05/25/2049 | 828,805 | 0.3 |
228,625 | (2),(3) | Sequoia Mortgage Trust 2014-3 B3, 3.931%, 10/25/2044 | 231,332 | 0.1 |
179,422 | (2),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | 184,410 | 0.1 |
10,147 | (3) | Structured Asset Securities Corp. 2004-4XS 1A6, 5.050%, 02/25/2034 | 10,403 | 0.0 |
10,510,112 | (3),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 2.354%, 08/25/2045 | 511,532 | 0.2 |
63,382 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.694%, 10/25/2036 | 60,696 | 0.0 |
219,871 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.615%, 08/25/2046 | 205,685 | 0.1 |
451,840 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.367%, 12/25/2036 | 441,610 | 0.1 |
143,050 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.182%, 04/25/2037 | 126,423 | 0.0 |
645,995 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 607,382 | 0.2 |
139,174 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.602%, (US0001M + 0.430%), 06/25/2037 | 110,606 | 0.0 |
534,880 | (2),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.776%, 08/20/2045 | 538,172 | 0.2 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $49,371,944) | 53,923,733 | 16.3 |
| | | |
U.S. TREASURY OBLIGATIONS: 11.4% | |
| | U.S. Treasury Bonds: 2.4% |
3,272,000 | | 0.625%,05/15/2030 | 3,299,032 | 1.0 |
260,000 | | 1.125%,05/15/2040 | 266,927 | 0.1 |
3,637,000 | | 2.000%,02/15/2050 | 4,368,378 | 1.3 |
| | | 7,934,337 | 2.4 |
Principal Amount† | | | Value | Percentage of Net Assets |
U.S. TREASURY OBLIGATIONS: (continued) | |
| | U.S. Treasury Notes: (continued) |
1,882,000 | | 0.375%,07/31/2027 | $ | 1,872,682 | 0.6 |
50,000 | | 0.125%,06/30/2022 | 50,009 | 0.0 |
1,240,200 | | 0.125%,07/15/2023 | 1,240,369 | 0.4 |
2,941,000 | | 0.250%,06/30/2025 | 2,946,112 | 0.9 |
12,648,000 | | 0.250%,07/31/2025 | 12,669,492 | 3.8 |
491,000 | | 0.500%,06/30/2027 | | 494,817 | 0.2 |
10,250,000 | | 1.125%,08/31/2021 | 10,360,908 | 3.1 |
| | | 29,634,389 | 9.0 |
| | | | |
| Total U.S. Treasury Obligations | | |
| (Cost $37,210,694) | 37,568,726 | 11.4 |
| | | |
SOVEREIGN BONDS: 16.4% | |
| | Argentina: 0.2% |
1,420,000 | (5) | Argentine Republic Government International Bond, 6.875%, 04/22/2021 | 642,727 | 0.2 |
275,000 | (5) | Argentine Republic Government International Bond, 6.875%, 01/26/2027 | 117,219 | 0.0 |
| | | 759,946 | 0.2 |
| | | | |
| | Australia: 0.2% |
AUD 837,000 | (2) | Queensland Treasury Corp., 1.750%, 07/20/2034 | 595,067 | 0.2 |
| | | | |
| | Canada: 0.3% |
CAD 880,000 | | Canadian Government Bond, 3.500%, 12/01/2045 | 1,045,574 | 0.3 |
| | | | |
| | China: 3.1% |
CNY 58,190,000 | | China Government Bond, 3.250%, 11/22/2028 | 8,476,783 | 2.6 |
CNY 1,110,000 | | China Government Bond, 3.290%, 05/23/2029 | 161,943 | 0.0 |
CNY 9,950,000 | | China Government Bond, 4.080%, 10/22/2048 | 1,530,674 | 0.5 |
| | | 10,169,400 | 3.1 |
| | | | |
| | Colombia: 0.4% |
600,000 | | Colombia Government International Bond, 3.000%, 01/30/2030 | 618,525 | 0.2 |
COP 2,551,900,000 | | Colombian TES, 7.750%, 09/18/2030 | 777,876 | 0.2 |
| | | 1,396,401 | 0.4 |
| | | | |
| | Croatia: 0.2% |
EUR 300,000 | | Croatia Government International Bond, 1.125%, 06/19/2029 | 363,316 | 0.1 |
300,000 | | Croatia Government International Bond, 6.375%, 03/24/2021 | 311,063 | 0.1 |
| | | 674,379 | 0.2 |
| | | | |
| | Dominican Republic: 0.2% |
325,000 | (2) | Dominican Republic International Bond, 4.500%, 01/30/2030 | 316,388 | 0.1 |
461,000 | (2) | Dominican Republic International Bond, 6.600%, 01/28/2024 | 500,943 | 0.1 |
| | | 817,331 | 0.2 |
| | | | |
| | Ecuador: 0.0% |
200,000 | | Ecuador Government International Bond, 7.875%, 01/23/2028 | 101,000 | 0.0 |
| | | | |
| | Egypt: 0.5% |
300,000 | (2) | Egypt Government International Bond, 4.550%, 11/20/2023 | 299,250 | 0.1 |
600,000 | | Egypt Government International Bond, 6.588%, 02/21/2028 | 593,769 | 0.2 |
325,000 | | Egypt Government International Bond, 7.500%, 01/31/2027 | 340,823 | 0.1 |
450,000 | (2) | Egypt Government International Bond, 7.625%, 05/29/2032 | 441,608 | 0.1 |
| | | 1,675,450 | 0.5 |
| | | | |
| | Germany: 0.1% |
EUR 120,000 | | Bundesobligation, -0.700%, 10/08/2021 | 142,537 | 0.1 |
EUR 9,700 | | Bundesobligation, -0.770%, 04/14/2023 | 11,666 | 0.0 |
EUR 30,000 | | Bundesrepublik Deutschland Bundesanleihe, -0.730%, 08/15/2026 | 36,940 | 0.0 |
EUR 60,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.500%, 02/15/2028 | 77,133 | 0.0 |
EUR 40,000 | | Bundesrepublik Deutschland Bundesanleihe, 1.000%, 08/15/2025 | 51,368 | 0.0 |
| | | 319,644 | 0.1 |
| | | | |
| | Ghana: 0.1% |
450,000 | (2) | Ghana Government International Bond, 6.375%, 02/11/2027 | 417,375 | 0.1 |
| | | | |
| | Indonesia: 2.0% |
IDR 13,833,000,000 | | Indonesia Treasury Bond, 8.375%, 04/15/2039 | 1,036,906 | 0.3 |
IDR 68,047,000,000 | | Indonesia Treasury Bond, 8.750%, 05/15/2031 | 5,220,976 | 1.6 |
Principal Amount† | | | Value | Percentage of Net Assets |
SOVEREIGN BONDS: (continued) | |
| | Indonesia: (continued) |
200,000 | | Perusahaan Penerbit SBSN Indonesia III, 4.450%, 02/20/2029 | $ | 232,750 | 0.1 |
| | | 6,490,632 | 2.0 |
| | | | |
| | Italy: 0.7% |
EUR 641,000 | (2) | Italy Buoni Poliennali Del Tesoro, 3.850%, 09/01/2049 | 1,073,058 | 0.3 |
EUR 641,000 | (2) | Italy Buoni Poliennali Del Tesoro, 5.000%, 08/01/2034 | 1,101,433 | 0.4 |
| | 2,174,491 | 0.7 |
| | | |
| | Ivory Coast: 0.1% |
269,750 | (3) | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | 261,887 | 0.1 |
| | | | |
| | Jordan: 0.1% |
200,000 | (2) | Jordan Government International Bond, 5.850%, 07/07/2030 | 200,574 | 0.1 |
| | | | |
| | Kenya: 0.1% |
250,000 | (2) | Kenya Government International Bond, 7.000%, 05/22/2027 | 247,125 | 0.1 |
| | | | |
| | Mexico: 0.1% |
200,000 | | Mexico Government International Bond, 3.250%, 04/16/2030 | 204,888 | 0.1 |
5,000 | (1) | Mexico Government International Bond, 4.000%, 10/02/2023 | 5,394 | 0.0 |
| | 210,282 | 0.1 |
| | | |
| | Morocco: 0.1% |
200,000 | | Morocco Government International Bond, 4.250%, 12/11/2022 | 210,526 | 0.1 |
| | | | |
| | Nigeria: 0.1% |
200,000 | | Nigeria Government International Bond, 7.875%, 02/16/2032 | 193,722 | 0.1 |
| | | | |
| | Oman: 0.1% |
200,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | 190,375 | 0.1 |
| | | | |
| | Panama: 0.2% |
200,000 | | Panama Government International Bond, 3.875%, 03/17/2028 | 232,219 | 0.1 |
315,000 | | Panama Government International Bond, 6.700%, 01/26/2036 | 485,272 | 0.1 |
| | 717,491 | 0.2 |
| | | |
| | Peru: 1.2% |
PEN 4,000,000 | | Peru Government Bond, 6.350%, 08/12/2028 | 1,390,901 | 0.4 |
75,000 | | Peruvian Government International Bond, 5.625%, 11/18/2050 | 128,197 | 0.1 |
PEN 6,609,000 | | Peruvian Government International Bond, 6.950%, 08/12/2031 | 2,370,418 | 0.7 |
| | 3,889,516 | 1.2 |
| | | |
| | Portugal: 0.7% |
EUR 1,664,000 | (2) | Portugal Obrigacoes do Tesouro OT, 2.250%, 04/18/2034 | 2,395,892 | 0.7 |
| | | | |
| | Romania: 2.0% |
RON 5,510,000 | | Romania Government Bond, 3.250%, 04/29/2024 | 1,328,690 | 0.4 |
RON 17,920,000 | | Romania Government Bond, 5.800%, 07/26/2027 | 4,924,046 | 1.5 |
480,000 | (2) | Romanian Government International Bond, 3.000%, 02/14/2031 | 489,590 | 0.1 |
| | 6,742,326 | 2.0 |
| | | |
| | Russia: 0.4% |
RUB 47,938,000 | | Russian Federal Bond - OFZ, 6.900%, 05/23/2029 | 696,270 | 0.2 |
200,000 | | Russian Foreign Bond - Eurobond, 4.375%, 03/21/2029 | 229,765 | 0.1 |
400,000 | (2) | Russian Foreign Bond - Eurobond, 4.875%, 09/16/2023 | 444,998 | 0.1 |
| | 1,371,033 | 0.4 |
| | | |
| | Saudi Arabia: 0.1% |
200,000 | (2) | KSA Sukuk Ltd., 3.628%, 04/20/2027 | 223,943 | 0.1 |
| | | | |
| | South Africa: 0.3% |
250,000 | | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | 235,851 | 0.1 |
900,000 | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | 866,819 | 0.2 |
| | 1,102,670 | 0.3 |
| | | |
| | Spain: 1.0% |
EUR 1,284,000 | (2) | Spain Government Bond, 1.450%, 04/30/2029 | 1,679,060 | 0.5 |
EUR 1,092,000 | (2) | Spain Government Bond, 2.700%, 10/31/2048 | 1,793,864 | 0.5 |
| | 3,472,924 | 1.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
SOVEREIGN BONDS: (continued) | |
| | Sri Lanka: 0.0% |
200,000 | (2) | Sri Lanka Government International Bond, 6.825%, 07/18/2026 | $ | 152,003 | 0.0 |
| | | | |
| | Turkey: 0.4% |
800,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | 714,608 | 0.2 |
200,000 | | Turkey Government International Bond, 5.600%, 11/14/2024 | 191,003 | 0.1 |
461,000 | | Turkey Government International Bond, 7.375%, 02/05/2025 | 469,874 | 0.1 |
| | | 1,375,485 | 0.4 |
| | | | |
| | Ukraine: 0.5% |
250,000 | | Ukraine Government International Bond, 7.253%, 03/15/2033 | 242,500 | 0.1 |
525,000 | | Ukraine Government International Bond, 7.375%, 09/25/2032 | 517,393 | 0.2 |
800,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | 828,512 | 0.2 |
| | | 1,588,405 | 0.5 |
| | | | |
| | United Kingdom: 0.8% |
GBP 700,000 | | United Kingdom Gilt, 1.750%, 01/22/2049 | 1,187,985 | 0.3 |
GBP 1,100,000 | | United Kingdom Gilt, 4.000%, 03/07/2022 | 1,533,648 | 0.5 |
| | | 2,721,633 | 0.8 |
| | | | |
| | Uruguay: 0.1% |
75,000 | | Uruguay Government International Bond, 4.375%, 10/27/2027 | 88,673 | 0.0 |
75,000 | | Uruguay Government International Bond, 7.625%, 03/21/2036 | 119,947 | 0.1 |
| | | 208,620 | 0.1 |
| | | | |
| Total Sovereign Bonds | | |
| (Cost $53,325,123) | 54,113,122 | 16.4 |
| | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 7.7% | |
| | Federal Home Loan Mortgage Corporation: 0.6%(6) |
1,285,560 | | 3.500%,01/01/2048 | 1,371,231 | 0.4 |
167,667 | | 4.000%,09/01/2045 | 182,384 | 0.1 |
138,445 | | 4.000%,09/01/2045 | 150,652 | 0.0 |
225,143 | | 4.000%,05/01/2046 | 243,429 | 0.1 |
| | | 1,947,696 | 0.6 |
| | | | |
| | Federal National Mortgage Association: 0.7%(6) |
2,019,633 | | 3.500%,03/01/2043 | 2,161,876 | 0.7 |
| | | | |
| | Government National Mortgage Association: 1.6% |
2,470,000 | (7) | 2.000%,09/01/2050 | 2,575,168 | 0.8 |
2,470,000 | (7) | 3.000%,10/21/2050 | 2,606,857 | 0.8 |
162,528 | | 4.500%,08/20/2041 | 178,903 | 0.0 |
8,084 | (3) | 5.140%,10/20/2060 | 8,116 | 0.0 |
20,050 | | 5.500%,03/20/2039 | 23,193 | 0.0 |
| | | 5,392,237 | 1.6 |
| | | | |
| | Uniform Mortgage-Backed Securities: 4.1% |
714,000 | (7) | 2.000%,09/14/2050 | 738,405 | 0.2 |
92,011 | | 2.500%,06/01/2030 | 97,772 | 0.0 |
63,040 | | 2.500%,06/01/2030 | 66,986 | 0.0 |
39,065 | | 2.500%,07/01/2030 | 41,519 | 0.0 |
6,170,000 | (7) | 2.500%,09/14/2050 | 6,472,236 | 2.0 |
713,000 | (7) | 3.000%,09/14/2050 | 752,690 | 0.2 |
| | Uniform Mortgage-Backed Securities: (continued) |
280,566 | | 3.500%,06/01/2034 | 296,519 | 0.1 |
1,258,997 | | 3.500%,09/01/2049 | 1,330,473 | 0.4 |
158,873 | | 4.000%,05/01/2045 | 171,371 | 0.1 |
2,688,929 | | 4.000%,04/01/2049 | 2,890,478 | 0.9 |
237,210 | | 4.500%,12/01/2040 | 264,146 | 0.1 |
121,608 | | 4.500%,12/01/2040 | 134,936 | 0.0 |
211,942 | | 5.000%,05/01/2041 | 243,862 | 0.1 |
134,964 | | 5.000%,06/01/2041 | 153,364 | 0.0 |
| | | 13,654,757 | 4.1 |
| | | | |
| | Uniform Mortgage-Backed Security: 0.7% |
2,172,000 | (7) | 3.500%,08/13/2050 | 2,290,442 | 0.7 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $25,258,201) | 25,447,008 | 7.7 |
| | | |
ASSET-BACKED SECURITIES: 6.0% | |
| | United States: 6.0% |
500,000 | (2) | AMMC CLO 16 Ltd. 2015-16A CR, 2.618%, (US0003M + 2.350%), 04/14/2029 | 481,747 | 0.2 |
300,000 | (2) | Ares XXVIIIR CLO Ltd. 2018-28RA A2, 1.673%, (US0003M + 1.400%), 10/17/2030 | 291,762 | 0.1 |
750,000 | (2) | Barings Clo Ltd. 2019-4A C, 3.075%, (US0003M + 2.800%), 01/15/2033 | 741,313 | 0.2 |
1,190,000 | (2) | BDS 2020-FL5 C Ltd., 2.237%, (US0001M + 2.050%), 02/16/2037 | 1,135,035 | 0.3 |
1,550,000 | (2) | BDS 2020-FL5 D Ltd., 2.687%, (US0001M + 2.500%), 02/16/2037 | 1,429,094 | 0.4 |
500,000 | (2) | BlueMountain CLO 2013-2A CR, 2.208%, (US0003M + 1.950%), 10/22/2030 | 471,047 | 0.1 |
750,000 | (2) | CIFC Funding 2013-IA BR Ltd., 2.671%, (US0003M + 2.400%), 07/16/2030 | 732,375 | 0.2 |
800,000 | (2) | CIFC Funding 2020-2A A1 Ltd., 1.899%, (US0003M + 1.650%), 08/24/2032 | 799,821 | 0.2 |
452,078 | (3) | Citigroup Mortgage Loan Trust 2006-WF1 A2E, 4.823%, 03/25/2036 | 296,678 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | |
| | United States: (continued) |
600,000 | (2) | Clear Creek CLO 2015-1A CR, 2.222%, (US0003M + 1.950%), 10/20/2030 | $ | 568,174 | 0.2 |
1,000,000 | (2) | Galaxy XV CLO Ltd. 2013-15A CR, 2.275%, (US0003M + 2.000%), 10/15/2030 | 949,420 | 0.3 |
600,000 | (2) | Galaxy XXI CLO Ltd. 2015-21A CR, 2.022%, (US0003M + 1.750%), 04/20/2031 | 562,325 | 0.2 |
699,613 | (2) | Invitation Homes 2017-SFR2 A Trust, 1.025%, (US0001M + 0.850%), 12/17/2036 | 695,422 | 0.2 |
1,180,000 | (2) | Invitation Homes 2018-SFR1 D Trust, 1.631%, (US0001M + 1.450%), 03/17/2037 | 1,172,087 | 0.4 |
1,000,000 | (2) | Jay Park CLO Ltd. 2016-1A BR, 2.272%, (US0003M + 2.000%), 10/20/2027 | 971,815 | 0.3 |
350,000 | (2) | LCM XIV L.P. 14A AR, 1.312%, (US0003M + 1.040%), 07/20/2031 | 340,991 | 0.1 |
2,050,000 | (2) | LCM XXIV Ltd. 24A C, 2.522%, (US0003M + 2.250%), 03/20/2030 | 1,949,720 | 0.6 |
900,000 | (2) | Madison Park Funding XXI Ltd. 2016-21A BR, 3.125%, (US0003M + 2.850%), 10/15/2032 | 881,645 | 0.3 |
500,000 | (2) | Madison Park Funding XXXI Ltd. 2018-31A C, 2.406%, (US0003M + 2.150%), 01/23/2031 | 477,087 | 0.1 |
300,000 | (2),(3) | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | 323,821 | 0.1 |
300,000 | (2),(3) | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 321,371 | 0.1 |
1,000,000 | (2) | OCP CLO 2014-5 A BR Ltd., 2.045%, (US0003M + 1.800%), 04/26/2031 | 939,771 | 0.3 |
800,000 | (2) | Palmer Square CLO 2020-2A A1A Ltd., 1.949%, (US0003M + 1.700%), 07/15/2031 | 800,052 | 0.2 |
250,000 | (2) | Palmer Square Loan Funding 2018-1A C Ltd., 2.125%, (US0003M + 1.850%), 04/15/2026 | 236,433 | 0.1 |
1,240,000 | (2) | Progress Residential 2018-SFR2 E Trust, 4.656%, 08/17/2035 | 1,275,692 | 0.4 |
600,000 | (2) | Shackleton CLO Ltd. 2019-15A C, 3.075%, (US0003M + 2.800%), 01/15/2030 | 590,257 | 0.2 |
500,000 | (2) | THL Credit Wind River 2016-1A CR CLO Ltd., 2.375%, (US0003M + 2.100%), 07/15/2028 | 481,488 | 0.1 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $20,291,896) | 19,916,443 | 6.0 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 8.1% | |
| | United States: 8.1% |
7,720,965 | (3),(4) | BANK 2017-BNK5 XA, 1.074%, 06/15/2060 | 375,267 | 0.1 |
992,355 | (3),(4) | BANK 2019-BNK16 XA, 0.964%, 02/15/2052 | 62,651 | 0.0 |
620,000 | (2) | BBCMS 2018-TALL C Mortgage Trust, 1.296%, (US0001M + 1.121%), 03/15/2037 | 583,876 | 0.2 |
280,000 | (2) | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | 249,563 | 0.1 |
1,433,921 | (3),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.045%, 03/15/2052 | 102,092 | 0.0 |
300,000 | (2) | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 08/15/2053 | 294,509 | 0.1 |
230,679 | (2) | BX Commercial Mortgage Trust 2019-XL J, 2.825%, (US0001M + 2.650%), 10/15/2036 | 225,580 | 0.1 |
419,616 | (2) | BX Commercial Mortgage Trust 2020-BXLP G, 2.675%, (US0001M + 2.500%), 12/15/2029 | 407,140 | 0.1 |
100,000 | (2),(3) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 91,823 | 0.0 |
230,000 | (2) | BXMT 2017-FL1 B Ltd., 1.681%, (US0001M + 1.500%), 06/15/2035 | 227,127 | 0.1 |
220,000 | (2) | BXMT 2020-FL2 B Ltd., 1.581%, (US0001M + 1.400%), 02/16/2037 | 208,624 | 0.1 |
890,000 | (2),(3) | CALI Mortgage Trust 2019-101C E, 4.324%, 03/10/2039 | 909,310 | 0.3 |
3,290,347 | (3),(4) | CD 2016-CD1 Mortgage Trust XA, 1.397%, 08/10/2049 | 199,291 | 0.1 |
360,000 | (2) | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.594%, 08/10/2049 | 215,059 | 0.1 |
8,581,000 | (3),(4) | Citigroup Commercial Mortgage Trust 2016-C2 XB, 0.844%, 08/10/2049 | 389,891 | 0.1 |
3,566,786 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.102%, 10/12/2050 | 186,263 | 0.1 |
16,241,023 | (2),(3),(4) | COMM 2012-LTRT XA, 0.906%, 10/05/2030 | 229,491 | 0.1 |
200,000 | (2),(3) | COMM 2013-CR10 E Mortgage Trust, 4.789%, 08/10/2046 | 169,450 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |
| | United States: (continued) |
1,420,000 | (2),(3) | COMM 2014-LC15 D Mortgage Trust, 4.984%, 04/10/2047 | $ | 1,129,432 | 0.3 |
300,000 | (3) | COMM 2016-COR1 C, 4.382%, 10/10/2049 | 275,072 | 0.1 |
6,832,501 | (3),(4) | COMM 2016-CR28 XA, 0.699%, 02/10/2049 | 187,925 | 0.1 |
540,000 | (2) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 C, 1.605%, (US0001M + 1.430%), 05/15/2036 | 534,734 | 0.2 |
150,000 | (2),(3) | Credit Suisse Mortgage Capital Certificates 2020-NET C, 3.526%, 08/15/2037 | 154,500 | 0.0 |
530,000 | (2),(3) | DBJPM 16-C3 Mortgage Trust, 3.491%, 08/10/2049 | 392,397 | 0.1 |
1,407,697 | (2),(3),(4) | DBUBS 2011-LC1A XA, 0.685%, 11/10/2046 | 72 | 0.0 |
650,000 | (2),(3) | DBUBS 2011-LC2 E Mortgage Trust, 5.530%, 07/10/2044 | 512,514 | 0.2 |
540,000 | (2) | DBUBS 2011-LC2A F Mortgage Trust, 3.821%, (US0001M + 3.650%), 07/10/2044 | 392,785 | 0.1 |
1,470,000 | (2),(3) | DBUBS 2017-BRBK F Mortgage Trust, 3.530%, 10/10/2034 | 1,428,870 | 0.4 |
910,000 | (2),(3) | Del Amo Fashion Center Trust 2017-AMO C, 3.636%, 06/05/2035 | 712,046 | 0.2 |
170,000 | (2),(3) | Fontainebleau Miami Beach Trust 2019-FBLU F, 3.963%, 12/10/2036 | 149,635 | 0.1 |
4,300,000 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K013 X3, 2.814%, 01/25/2043 | 52,700 | 0.0 |
1,130,000 | (2) | Great Wolf Trust 2019-WOLF A, 1.209%, (US0001M + 1.034%), 12/15/2029 | 1,089,815 | 0.3 |
1,760,000 | (2),(3) | GS Mortgage Securities Corp. Trust 2017-SLP E, 4.591%, 10/10/2032 | 1,642,629 | 0.5 |
450,000 | (2),(3) | GS Mortgage Securities Trust 2010-C2 F, 4.548%, 12/10/2043 | 432,337 | 0.1 |
220,000 | (2) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 88,594 | 0.0 |
4,326,826 | (3),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.028%, 11/10/2046 | 120,397 | 0.0 |
7,721,737 | (3),(4) | GS Mortgage Securities Trust 2017-GS6 XA, 1.038%, 05/10/2050 | 436,962 | 0.1 |
600,000 | (2),(3) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | 561,973 | 0.2 |
460,000 | (2),(3) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | 408,669 | 0.1 |
540,000 | (2),(3) | GS Mortgage Securities Trust 2020-GC45 SWC, 3.219%, 12/13/2039 | 493,121 | 0.2 |
200,000 | (2),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | 179,690 | 0.1 |
2,120,000 | (2),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 E, 4.000%, 08/15/2046 | 1,643,255 | 0.5 |
9,495,731 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.474%, 06/15/2045 | 133,300 | 0.0 |
420,000 | (2),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.862%, 12/05/2038 | 377,391 | 0.1 |
735,000 | (3) | JPMBB Commercial Mortgage Securities Trust 2014-C18 AS, 4.439%, 02/15/2047 | 797,094 | 0.2 |
1,225,376 | (2) | KKR Industrial Portfolio Trust 2020-AIP C, 1.808%, (US0001M + 1.633%), 03/15/2037 | 1,206,920 | 0.4 |
35,713 | (3) | LB-UBS Commercial Mortgage Trust 2005-C3 F, 5.013%, 07/15/2040 | 35,635 | 0.0 |
4,731,480 | (2),(3),(4) | LSTAR Commercial Mortgage Trust 2017-5 X, 0.990%, 03/10/2050 | 159,025 | 0.1 |
1,320,000 | (2),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.607%, 11/15/2045 | 786,221 | 0.2 |
21,550,000 | (2),(3),(4) | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XB, 0.456%, 12/15/2047 | 412,236 | 0.1 |
250,000 | (2) | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | 233,565 | 0.1 |
820,000 | (2) | UBS Commercial Mortgage Trust 2018-NYCH C, 1.675%, (US0001M + 1.500%), 02/15/2032 | 763,228 | 0.2 |
200,000 | (2),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.472%, 12/10/2045 | 97,301 | 0.0 |
340,000 | (2),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.472%, 12/10/2045 | 144,195 | 0.0 |
330,000 | (2) | Wells Fargo Commercial Mortgage Trust 2010-C1 F, 4.000%, 11/15/2043 | $ | 322,504 | 0.1 |
1,360,000 | (2),(3) | West Town Mall Trust 2017-KNOX E, 4.346%, 07/05/2030 | 1,242,814 | 0.4 |
630,000 | (2),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.257%, 03/15/2045 | 405,399 | 0.1 |
330,000 | (2),(3) | WFRBS Commercial Mortgage Trust 2013-C14 D, 3.974%, 06/15/2046 | 161,464 | 0.1 |
7,554,707 | (3),(4) | WFRBS Commercial Mortgage Trust 2013-UBS1 XA, 0.844%, 03/15/2046 | 128,485 | 0.0 |
14,905,646 | (3),(4) | WFRBS Commercial Mortgage Trust 2014-C19 XA, 1.026%, 03/15/2047 | 383,330 | 0.1 |
730,000 | (3) | WFRBS Commercial Mortgage Trust 2014-LC14 C, 4.344%, 03/15/2047 | 688,980 | 0.2 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $29,817,403) | 26,626,218 | 8.1 |
| | | |
PURCHASED OPTIONS (8): 0.0% |
| Total Purchased Options | | |
| (Cost $162,325) | 35,186 | 0.0 |
| | | |
| Total Long-Term Investments | | |
| (Cost $304,649,451) | 315,183,170 | 95.4 |
| | | |
SHORT-TERM INVESTMENTS: 11.1% |
| | Commercial Paper: 3.9% |
3,000,000 | | American Electric Power Company, 0.190%, 08/04/2020 | 2,999,937 | 0.9 |
3,000,000 | | Enbridge (US) Inc., 0.270%, 09/03/2020 | 2,999,303 | 0.9 |
2,000,000 | | Entergy Corporation, 0.600%, 10/13/2020 | 1,997,558 | 0.6 |
3,000,000 | | Qualcomm Inc., 0.180%, 10/14/2020 | 2,998,906 | 0.9 |
2,051,000 | | Virginia Electric and Power Company, 0.380%, 08/24/2020 | 2,050,494 | 0.6 |
| | | |
| Total Commercial Paper | | |
| (Cost $13,046,848) | 13,046,198 | 3.9 |
| | | |
| | Repurchase Agreements: 0.4% |
1,000,000 | (9) | Citigroup, Inc., Repurchase Agreement dated 07/31/20, 0.09%, due 08/03/20 (Repurchase Amount $1,000,007, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-5.000%, Market Value plus accrued interest $1,020,000, due 01/28/21-04/01/59) | 1,000,000 | 0.3 |
306,560 | (9) | Credit Suisse AG (New York), Repurchase Agreement dated 07/31/20, 0.08%, due 08/03/20 (Repurchase Amount $306,562, collateralized by various U.S. Government Securities, 0.000%-2.250%, Market Value plus accrued interest $312,691, due 08/25/20-02/15/27) | 306,560 | 0.1 |
| | | |
| Total Repurchase Agreements | | |
| (Cost $1,306,560) | 1,306,560 | 0.4 |
| | | |
| | Mutual Funds: 6.8% |
22,511,000 | (10) | Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.130% | | |
| | (Cost $22,511,000) | 22,511,000 | 6.8 |
| | | | |
| Total Short-Term Investments | | |
| (Cost $36,864,408) | 36,863,758 | 11.1 |
| | | |
| Total Investments in Securities (Cost $341,513,859) | 352,046,928 | 106.5 |
| Liabilities in Excess of Other Assets | (21,514,573) | (6.5) |
| Net Assets | 330,532,355 | | 100.0 |
The following is a summary of the fair valuations according to the inputs used as of July 31, 2020 in valuing the assets and liabilities:
At July 31, 2020, the following forward foreign currency contracts were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following futures contracts were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following centrally cleared interest rate swaps were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following OTC total return swaps were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following OTC purchased equity options were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following OTC purchased foreign currency dual digital options were outstanding for Voya Global Bond Fund:
At July 31, 2020, the following OTC purchased foreign currency options were outstanding for Voya Global Bond Fund:
At July 31, 2020, 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: