Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 38.2% | |
| | Australia: 0.2% |
147,000 | | Rio Tinto Finance USA Ltd., 2.750%, 11/02/2051 | $ 134,888 | 0.1 |
375,000 | (1) | Santos Finance Ltd., 3.649%, 04/29/2031 | 373,715 | 0.1 |
58,000 | | Westpac Banking Corp., 1.953%, 11/20/2028 | 56,414 | 0.0 |
130,000 | (2) | Westpac Banking Corp., 3.020%, 11/18/2036 | 124,513 | 0.0 |
| | | 689,530 | 0.2 |
| | | | |
| | Bermuda: 0.1% |
210,000 | (1) | Triton Container International Ltd., 3.150%, 06/15/2031 | 206,383 | 0.1 |
| | | | |
| | Brazil: 0.7% |
400,000 | (1),(2) | Itau Unibanco Holding SA/Cayman Island, 3.875%, 04/15/2031 | 379,362 | 0.1 |
250,000 | (1) | Klabin Austria GmbH, 3.200%, 01/12/2031 | 226,386 | 0.1 |
300,000 | (1) | Klabin Austria GmbH, 5.750%, 04/03/2029 | 323,989 | 0.1 |
200,000 | | MercadoLibre, Inc., 3.125%, 01/14/2031 | 180,447 | 0.0 |
400,000 | (1),(3) | Natura Cosmeticos SA, 4.125%, 05/03/2028 | 390,000 | 0.1 |
550,000 | | Petrobras Global Finance BV, 5.600%, 01/03/2031 | 567,886 | 0.1 |
250,000 | | Suzano Austria GmbH, 5.000%, 01/15/2030 | 266,514 | 0.1 |
400,000 | | Vale Overseas Ltd., 3.750%, 07/08/2030 | 406,210 | 0.1 |
| | | 2,740,794 | 0.7 |
| | | | |
| | Canada: 0.8% |
465,000 | (1) | 1011778 BC ULC / New Red Finance, Inc., 4.000%, 10/15/2030 | 431,153 | 0.1 |
324,000 | (3) | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | 334,036 | 0.1 |
48,000 | | Canadian Pacific Railway Co., 2.450%, 12/02/2031 | 47,179 | 0.0 |
100,000 | | Canadian Pacific Railway Co., 3.100%, 12/02/2051 | 95,713 | 0.0 |
277,000 | | Canadian Pacific Railway Co., 3.000%, 12/02/2041 | 266,474 | 0.1 |
220,000 | (1) | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | 222,457 | 0.1 |
135,000 | | Cenovus Energy, Inc., 5.400%, 06/15/2047 | 162,587 | 0.0 |
239,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | 245,454 | 0.1 |
495,000 | (1) | GFL Environmental, Inc., 3.500%, 09/01/2028 | 466,708 | 0.1 |
450,000 | (1) | Petronas Energy Canada Ltd., 2.112%, 03/23/2028 | 440,129 | 0.1 |
60,000 | | Royal Bank of Canada, 2.300%, 11/03/2031 | 57,890 | 0.0 |
88,000 | | Teck Resources Ltd., 5.400%, 02/01/2043 | 101,644 | 0.0 |
135,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | 164,931 | 0.1 |
| | | 3,036,355 | 0.8 |
| | | | |
| | Cayman Islands: 0.1% |
430,000 | | Seagate HDD Cayman, 3.375%, 07/15/2031 | 399,975 | 0.1 |
| | | | |
| | Chile: 0.6% |
200,000 | (1) | ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par, 4.050%, 04/27/2026 | 196,283 | 0.0 |
300,000 | (1) | Celulosa Arauco y Constitucion SA, 4.250%, 04/30/2029 | 311,289 | 0.1 |
325,000 | (1) | Colbun SA, 3.150%, 03/06/2030 | 313,748 | 0.1 |
550,000 | (1) | Falabella SA, 3.375%, 01/15/2032 | 532,972 | 0.1 |
300,000 | (1) | Inversiones CMPC SA, 3.850%, 01/13/2030 | 303,920 | 0.1 |
725,000 | (1),(3) | VTR Comunicaciones SpA, 4.375%, 04/15/2029 | 705,146 | 0.2 |
| | | 2,363,358 | 0.6 |
| | | | |
| | China: 0.4% |
350,000 | (3) | Alibaba Group Holding Ltd., 2.125%, 02/09/2031 | 328,401 | 0.1 |
350,000 | | Alibaba Group Holding Ltd., 2.700%, 02/09/2041 | 303,804 | 0.1 |
720,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | 750,249 | 0.2 |
| | | 1,382,454 | 0.4 |
| | | | |
| | Colombia: 0.5% |
250,000 | | Banco de Bogota SA, 6.250%, 05/12/2026 | 265,750 | 0.1 |
200,000 | | Bancolombia SA, 3.000%, 01/29/2025 | 196,914 | 0.0 |
250,000 | (1) | Canacol Energy Ltd., 5.750%, 11/24/2028 | 244,049 | 0.0 |
325,000 | | Ecopetrol SA, 5.375%, 06/26/2026 | 336,472 | 0.1 |
250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | 268,445 | 0.1 |
300,000 | (1) | Oleoducto Central SA, 4.000%, 07/14/2027 | 291,075 | 0.1 |
300,000 | (1) | Promigas SA ESP / Gases del Pacifico SAC, 3.750%, 10/16/2029 | 288,893 | 0.1 |
| | | 1,891,598 | 0.5 |
| | | | |
| | Denmark: 0.1% |
336,000 | (1) | Danske Bank A/S, 5.375%, 01/12/2024 | 357,568 | 0.1 |
| | | | |
| | France: 0.6% |
215,000 | (1),(2) | BNP Paribas SA, 3.052%, 01/13/2031 | 213,942 | 0.0 |
700,000 | (1) | BNP Paribas SA, 3.500%, 03/01/2023 | 716,118 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | France: (continued) |
335,000 | (1) | BPCE SA, 2.700%, 10/01/2029 | $ 334,963 | 0.1 |
728,000 | (1) | BPCE SA, 5.150%, 07/21/2024 | 775,404 | 0.2 |
250,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | 265,968 | 0.1 |
| | | 2,306,395 | 0.6 |
| | | | |
| | Hong Kong: 0.1% |
400,000 | (1) | CK Hutchison International 21 Ltd., 2.500%, 04/15/2031 | 392,930 | 0.1 |
| | | | |
| | India: 0.7% |
300,000 | (1) | Adani Ports & Special Economic Zone Ltd., 4.375%, 07/03/2029 | 303,710 | 0.1 |
300,000 | (1) | Indian Railway Finance Corp. Ltd., 3.249%, 02/13/2030 | 297,314 | 0.1 |
400,000 | (1) | Indian Railway Finance Corp. Ltd., 3.570%, 01/21/2032 | 398,516 | 0.1 |
200,000 | (1) | JSW Steel Ltd., 5.050%, 04/05/2032 | 185,369 | 0.0 |
200,000 | (1),(2) | Network i2i Ltd., 3.975%, 12/31/2199 | 196,961 | 0.0 |
600,000 | (1) | Reliance Industries Ltd., 2.875%, 01/12/2032 | 582,498 | 0.1 |
300,000 | (1),(3) | Reliance Industries Ltd., 3.625%, 01/12/2052 | 284,883 | 0.1 |
250,000 | (1) | Reliance Industries Ltd., 3.667%, 11/30/2027 | 262,539 | 0.1 |
300,000 | (1) | Summit Digitel Infrastructure Pvt Ltd., 2.875%, 08/12/2031 | 279,938 | 0.1 |
| | | 2,791,728 | 0.7 |
| | | | |
| | Indonesia: 0.8% |
200,000 | (1) | Hutama Karya Persero PT, 3.750%, 05/11/2030 | 207,551 | 0.0 |
300,000 | (1) | Medco Bell Pte Ltd., 6.375%, 01/30/2027 | 291,000 | 0.1 |
350,000 | (1) | Pertamina Persero PT, 2.300%, 02/09/2031 | 321,230 | 0.1 |
400,000 | (3) | Pertamina Persero PT, 3.100%, 08/27/2030 | 394,972 | 0.1 |
225,000 | (1) | Pertamina Persero PT, 3.650%, 07/30/2029 | 231,348 | 0.1 |
750,000 | (1) | Perusahaan Listrik Negara PT, 3.875%, 07/17/2029 | 759,285 | 0.2 |
425,000 | (1) | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | 471,096 | 0.1 |
225,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 249,757 | 0.1 |
| | | 2,926,239 | 0.8 |
| | | | |
| | Israel: 0.3% |
600,000 | | Bank Hapoalim, 3.255%, 01/21/2032 | 583,500 | 0.2 |
325,000 | (1),(2) | Mizrahi Tefahot Bank Ltd., 3.077%, 04/07/2031 | 318,419 | 0.1 |
200,000 | (3) | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 05/09/2027 | 193,750 | 0.0 |
200,000 | (3) | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 05/09/2029 | 194,370 | 0.0 |
| | | 1,290,039 | 0.3 |
| | | | |
| | Italy: 0.1% |
275,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | 298,657 | 0.1 |
| | | | |
| | Japan: 0.4% |
200,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 201,099 | 0.0 |
255,000 | (1),(3) | Mizuho Bank Ltd., 3.200%, 03/26/2025 | 264,786 | 0.1 |
200,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 203,392 | 0.1 |
766,000 | | Sumitomo Mitsui Financial Group, Inc., 3.784%, 03/09/2026 | 814,366 | 0.2 |
| | | 1,483,643 | 0.4 |
| | | | |
| | Kazakhstan: 0.4% |
200,000 | (1) | Development Bank of Kazakhstan JSC, 2.950%, 05/06/2031 | 189,816 | 0.0 |
675,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | 718,580 | 0.2 |
275,000 | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 305,522 | 0.1 |
325,000 | (1) | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | 317,177 | 0.1 |
| | | 1,531,095 | 0.4 |
| | | | |
| | Kuwait: 0.1% |
200,000 | (1) | Equate Petrochemical BV, 2.625%, 04/28/2028 | 195,980 | 0.0 |
200,000 | (1),(2) | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | 200,870 | 0.1 |
| | | 396,850 | 0.1 |
| | | | |
| | Malaysia: 0.1% |
400,000 | (1) | CIMB Bank Bhd, 2.125%, 07/20/2027 | 395,927 | 0.1 |
200,000 | (1) | Genm Capital Labuan Ltd., 3.882%, 04/19/2031 | 186,267 | 0.0 |
| | | 582,194 | 0.1 |
| | | | |
| | Mexico: 1.0% |
700,000 | (1) | Alpek SAB de CV, 3.250%, 02/25/2031 | 675,189 | 0.2 |
300,000 | (1) | Alpek SAB de CV, 4.250%, 09/18/2029 | 310,179 | 0.1 |
400,000 | (1) | Braskem Idesa SAPI, 6.990%, 02/20/2032 | 397,586 | 0.1 |
400,000 | (1) | Cemex SAB de CV, 3.875%, 07/11/2031 | 379,880 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | Mexico: (continued) |
200,000 | (1),(2) | Cemex SAB de CV, 5.125%, 12/31/2199 | $ 201,052 | 0.0 |
675,000 | (1) | Cemex SAB de CV, 5.200%, 09/17/2030 | 696,512 | 0.2 |
400,000 | (1) | Comision Federal de Electricidad, 4.677%, 02/09/2051 | 356,358 | 0.1 |
600,000 | | Petroleos Mexicanos, 5.950%, 01/28/2031 | 571,773 | 0.1 |
387,000 | (1) | Petroleos Mexicanos, 6.700%, 02/16/2032 | 383,732 | 0.1 |
| | | 3,972,261 | 1.0 |
| | | | |
| | MULTI: 0.0% |
65,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.250%, 11/30/2051 | 60,323 | 0.0 |
| | | | |
| | Netherlands: 0.7% |
250,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 266,273 | 0.1 |
355,000 | | ING Groep NV, 4.050%, 04/09/2029 | 385,742 | 0.1 |
530,000 | (1) | OCI NV, 4.625%, 10/15/2025 | 545,953 | 0.1 |
45,000 | | Shell International Finance BV, 2.875%, 11/26/2041 | 42,466 | 0.0 |
696,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | 728,209 | 0.2 |
300,000 | | Shell International Finance BV, 4.000%, 05/10/2046 | 333,433 | 0.1 |
290,000 | (1) | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026 | 292,130 | 0.1 |
| | | 2,594,206 | 0.7 |
| | | | |
| | Norway: 0.0% |
56,000 | | Equinor ASA, 3.125%, 04/06/2030 | 58,518 | 0.0 |
| | | | |
| | Panama: 0.3% |
500,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 498,330 | 0.1 |
500,000 | (1) | Banco Nacional de Panama, 2.500%, 08/11/2030 | 450,315 | 0.1 |
275,000 | (1) | ENA Master Trust, 4.000%, 05/19/2048 | 272,760 | 0.1 |
| | | 1,221,405 | 0.3 |
| | | | |
| | Peru: 0.5% |
450,000 | (1) | Banco Internacional del Peru SAA Interbank, 3.250%, 10/04/2026 | 457,823 | 0.1 |
300,000 | (1) | Corp Financiera de Desarrollo SA, 2.400%, 09/28/2027 | 287,976 | 0.1 |
225,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | 226,456 | 0.0 |
675,000 | (1) | InRetail Consumer, 3.250%, 03/22/2028 | 656,137 | 0.2 |
375,000 | (1) | Petroleos del Peru SA, 4.750%, 06/19/2032 | 368,449 | 0.1 |
| | | 1,996,841 | 0.5 |
| | | | |
| | Qatar: 0.2% |
275,000 | (1) | Ooredoo International Finance Ltd., 2.625%, 04/08/2031 | 271,999 | 0.1 |
400,000 | (1) | Qatar Energy, 3.125%, 07/12/2041 | 388,780 | 0.1 |
| | | 660,779 | 0.2 |
| | | | |
| | Russia: 0.7% |
300,000 | (1) | Credit Bank of Moscow Via CBOM Finance PLC, 3.875%, 09/21/2026 | 249,493 | 0.1 |
250,000 | (1) | Evraz PLC, 5.250%, 04/02/2024 | 256,399 | 0.1 |
500,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 2.950%, 01/27/2029 | 448,907 | 0.1 |
450,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 3.250%, 02/25/2030 | 404,641 | 0.1 |
325,000 | (1),(2) | Gazprom PJSC via Gaz Finance PLC, 4.599%, 12/31/2199 | 313,920 | 0.1 |
400,000 | (1) | Lukoil Capital DAC, 3.600%, 10/26/2031 | 364,870 | 0.1 |
250,000 | (1) | Severstal OAO Via Steel Capital SA, 3.150%, 09/16/2024 | 246,297 | 0.0 |
300,000 | (1) | Sibur Securities DAC, 2.950%, 07/08/2025 | 289,177 | 0.1 |
| | | 2,573,704 | 0.7 |
| | | | |
| | Saudi Arabia: 0.2% |
275,000 | (1) | SA Global Sukuk Ltd., 2.694%, 06/17/2031 | 272,374 | 0.1 |
200,000 | (1) | Saudi Arabian Oil Co., 2.250%, 11/24/2030 | 190,254 | 0.1 |
200,000 | (1) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | 184,841 | 0.0 |
| | | 647,469 | 0.2 |
| | | | |
| | Singapore: 0.1% |
365,000 | (1),(2) | Oversea-Chinese Banking Corp. Ltd., 1.832%, 09/10/2030 | 357,559 | 0.1 |
| | | | |
| | South Africa: 0.4% |
400,000 | | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 | 387,367 | 0.1 |
200,000 | (1) | Bidvest Group UK PLC/The, 3.625%, 09/23/2026 | 197,715 | 0.1 |
325,000 | (1) | EIG Pearl Holdings Sarl, 3.545%, 08/31/2036 | 324,694 | 0.1 |
300,000 | (1) | Gold Fields Orogen Holdings BVI Ltd., 5.125%, 05/15/2024 | 316,270 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | South Africa: (continued) |
200,000 | | Sasol Financing USA LLC, 5.500%, 03/18/2031 | $ 195,873 | 0.0 |
| | | 1,421,919 | 0.4 |
| | | | |
| | South Korea: 0.2% |
275,000 | (1) | Kookmin Bank, 2.500%, 11/04/2030 | 263,665 | 0.1 |
300,000 | (1),(2) | Kookmin Bank, 4.350%, 12/31/2199 | 311,499 | 0.1 |
200,000 | (1),(2) | Shinhan Financial Group Co. Ltd., 2.875%, 12/31/2199 | 196,768 | 0.0 |
| | | 771,932 | 0.2 |
| | | | |
| | Spain: 0.0% |
200,000 | (2) | Banco Santander SA, 3.225%, 11/22/2032 | 192,108 | 0.0 |
| | | | |
| | Switzerland: 0.7% |
456,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 487,472 | 0.1 |
1,000,000 | (1),(2) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 1,011,680 | 0.3 |
604,000 | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | 624,125 | 0.2 |
500,000 | (1),(2) | UBS Group AG, 1.008%, 07/30/2024 | 494,357 | 0.1 |
| | | 2,617,634 | 0.7 |
| | | | |
| | Thailand: 0.2% |
500,000 | (1),(2) | Bangkok Bank PCL/Hong Kong, 5.000%, 12/31/2199 | 510,750 | 0.1 |
450,000 | (1) | GC Treasury Center Co. Ltd., 2.980%, 03/18/2031 | 445,568 | 0.1 |
| | | 956,318 | 0.2 |
| | | | |
| | Turkey: 0.2% |
275,000 | (1) | Akbank TAS, 6.800%, 02/06/2026 | 273,452 | 0.0 |
300,000 | (1) | Turkiye Vakiflar Bankasi TAO, 6.500%, 01/08/2026 | 291,551 | 0.1 |
400,000 | (1),(2) | Yapi ve Kredi Bankasi AS, 7.875%, 01/22/2031 | 399,592 | 0.1 |
| | | 964,595 | 0.2 |
| | | | |
| | United Arab Emirates: 0.2% |
300,000 | | DP World Crescent Ltd., 4.848%, 09/26/2028 | 329,460 | 0.1 |
350,000 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.160%, 03/31/2034 | 336,631 | 0.1 |
300,000 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 09/30/2040 | 286,109 | 0.0 |
| | | 952,200 | 0.2 |
| | | | |
| | United Kingdom: 1.6% |
600,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 620,298 | 0.2 |
300,000 | (2) | HSBC Holdings PLC, 2.251%, 11/22/2027 | 294,026 | 0.1 |
500,000 | (2) | HSBC Holdings PLC, 3.803%, 03/11/2025 | 517,694 | 0.1 |
1,490,000 | (2) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 1,571,366 | 0.4 |
250,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 268,224 | 0.1 |
316,000 | (2) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 319,673 | 0.1 |
240,000 | (1) | LSEGA Financing PLC, 3.200%, 04/06/2041 | 237,231 | 0.1 |
200,000 | (2) | NatWest Group PLC, 4.519%, 06/25/2024 | 207,230 | 0.0 |
200,000 | (1) | Reckitt Benckiser Treasury Services PLC, 3.000%, 06/26/2027 | 207,071 | 0.0 |
750,000 | | Royalty Pharma PLC, 1.200%, 09/02/2025 | 720,714 | 0.2 |
497,000 | | Royalty Pharma PLC, 1.750%, 09/02/2027 | 473,635 | 0.1 |
300,000 | | Royalty Pharma PLC, 3.550%, 09/02/2050 | 272,645 | 0.1 |
500,000 | (1) | Vmed O2 UK Financing I PLC, 4.750%, 07/15/2031 | 478,555 | 0.1 |
| | | 6,188,362 | 1.6 |
| | | | |
| | United States: 23.9% |
120,000 | | AbbVie, Inc., 3.200%, 11/21/2029 | 123,732 | 0.0 |
750,000 | | AbbVie, Inc., 3.800%, 03/15/2025 | 788,478 | 0.2 |
43,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | 46,408 | 0.0 |
361,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 404,993 | 0.1 |
225,000 | (1) | Academy Ltd., 6.000%, 11/15/2027 | 235,452 | 0.1 |
250,000 | (1) | ADT Security Corp./The, 4.125%, 08/01/2029 | 235,606 | 0.1 |
322,000 | | Advance Auto Parts, Inc., 3.900%, 04/15/2030 | 342,180 | 0.1 |
381,000 | (1) | AEP Texas, Inc., 3.850%, 10/01/2025 | 402,102 | 0.1 |
345,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 3.500%, 03/15/2029 | 326,311 | 0.1 |
160,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | 167,007 | 0.0 |
400,000 | | Alexandria Real Estate Equities, Inc., 2.000%, 05/18/2032 | 371,256 | 0.1 |
535,000 | (1) | Allison Transmission, Inc., 3.750%, 01/30/2031 | 497,989 | 0.1 |
250,000 | | Altria Group, Inc., 4.500%, 05/02/2043 | 244,872 | 0.1 |
130,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 143,053 | 0.0 |
423,000 | | Amazon.com, Inc., 2.875%, 05/12/2041 | 412,272 | 0.1 |
364,565 | | American Airlines 2015-2 Class A Pass Through Trust, 4.000%, 03/22/2029 | 354,070 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
218,481 | | American Airlines 2016-1 Class A Pass Through Trust, 4.100%, 07/15/2029 | $ 212,670 | 0.1 |
35,932 | | American Airlines 2016-2 Class A Pass Through Trust, 3.650%, 12/15/2029 | 34,333 | 0.0 |
101,088 | | American Airlines 2016-3 Class A Pass Through Trust, 3.250%, 04/15/2030 | 95,938 | 0.0 |
572,000 | | American Airlines 2021-1 Class A Pass Through Trust, 2.875%, 01/11/2036 | 555,374 | 0.1 |
112,000 | | American Electric Power Co., Inc., 3.250%, 03/01/2050 | 104,797 | 0.0 |
95,000 | (2) | American Electric Power Co., Inc., 3.875%, 02/15/2062 | 93,286 | 0.0 |
187,000 | | American International Group, Inc., 3.400%, 06/30/2030 | 196,379 | 0.1 |
79,000 | | American International Group, Inc., 4.250%, 03/15/2029 | 86,897 | 0.0 |
50,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 58,034 | 0.0 |
579,000 | | American International Group, Inc., 4.750%, 04/01/2048 | 700,305 | 0.2 |
655,000 | | American Tower Corp., 2.750%, 01/15/2027 | 661,758 | 0.2 |
110,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | 107,992 | 0.0 |
200,000 | | AmerisourceBergen Corp., 3.450%, 12/15/2027 | 209,987 | 0.1 |
97,000 | | Amgen, Inc., 2.000%, 01/15/2032 | 90,201 | 0.0 |
330,000 | | Amgen, Inc., 3.200%, 11/02/2027 | 346,038 | 0.1 |
250,000 | | Amphenol Corp., 2.800%, 02/15/2030 | 252,255 | 0.1 |
57,000 | | Analog Devices, Inc., 2.800%, 10/01/2041 | 54,760 | 0.0 |
465,000 | (1) | ANGI Group LLC, 3.875%, 08/15/2028 | 426,442 | 0.1 |
297,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 352,067 | 0.1 |
310,000 | | Anheuser-Busch InBev Worldwide, Inc., 4.750%, 01/23/2029 | 351,493 | 0.1 |
250,000 | | Anthem, Inc., 3.700%, 09/15/2049 | 259,311 | 0.1 |
435,000 | | Apache Corp., 5.100%, 09/01/2040 | 456,961 | 0.1 |
530,000 | | Apple, Inc., 2.650%, 02/08/2051 | 482,928 | 0.1 |
120,000 | | Apple, Inc., 2.850%, 08/05/2061 | 109,386 | 0.0 |
230,000 | | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | 227,033 | 0.1 |
259,000 | | Assurant, Inc., 2.650%, 01/15/2032 | 246,197 | 0.1 |
195,000 | | AT&T, Inc., 3.300%, 02/01/2052 | 179,001 | 0.0 |
56,000 | | AT&T, Inc., 3.650%, 09/15/2059 | 53,142 | 0.0 |
316,000 | (1) | Athene Global Funding, 2.800%, 05/26/2023 | 321,633 | 0.1 |
250,000 | (1) | Athene Global Funding, 2.950%, 11/12/2026 | 256,189 | 0.1 |
400,000 | (2) | Bank of America Corp., 1.197%, 10/24/2026 | 384,740 | 0.1 |
398,000 | (2) | Bank of America Corp., 1.734%, 07/22/2027 | 386,318 | 0.1 |
141,000 | (2) | Bank of America Corp., 1.898%, 07/23/2031 | 130,793 | 0.0 |
159,000 | (2) | Bank of America Corp., 2.087%, 06/14/2029 | 152,980 | 0.0 |
83,000 | (2) | Bank of America Corp., 2.299%, 07/21/2032 | 78,633 | 0.0 |
195,000 | (2) | Bank of America Corp., 2.572%, 10/20/2032 | 189,124 | 0.1 |
807,000 | (2) | Bank of America Corp., 2.687%, 04/22/2032 | 791,719 | 0.2 |
250,000 | (2) | Bank of America Corp., 3.458%, 03/15/2025 | 258,044 | 0.1 |
465,000 | (2) | Bank of America Corp., 3.864%, 07/23/2024 | 480,608 | 0.1 |
200,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 225,375 | 0.1 |
316,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 339,399 | 0.1 |
125,000 | (2) | Bank of America Corp., 4.330%, 03/15/2050 | 143,857 | 0.0 |
183,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | 173,956 | 0.0 |
110,000 | (1) | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | 88,579 | 0.0 |
70,000 | (1) | Baxter International, Inc., 1.915%, 02/01/2027 | 68,710 | 0.0 |
140,000 | (1) | Baxter International, Inc., 2.272%, 12/01/2028 | 137,151 | 0.0 |
100,000 | (1) | Baxter International, Inc., 2.539%, 02/01/2032 | 96,980 | 0.0 |
55,000 | (1) | Baxter International, Inc., 3.132%, 12/01/2051 | 52,336 | 0.0 |
91,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 94,082 | 0.0 |
600,000 | | Berry Global, Inc., 1.650%, 01/15/2027 | 569,544 | 0.2 |
225,000 | (1) | Berry Global, Inc., 5.625%, 07/15/2027 | 231,851 | 0.1 |
208,000 | (1) | Blackstone Holdings Finance Co. LLC, 2.850%, 08/05/2051 | 184,123 | 0.1 |
500,000 | | Boeing Co/The, 3.625%, 02/01/2031 | 514,291 | 0.1 |
99,000 | | Boeing Co/The, 5.150%, 05/01/2030 | 111,581 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
79,000 | | Boston Scientific Corp., 4.000%, 03/01/2029 | $ 85,159 | 0.0 |
56,000 | | BP Capital Markets America, Inc., 3.000%, 02/24/2050 | 51,039 | 0.0 |
221,000 | | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 235,015 | 0.1 |
175,000 | | Bristol-Myers Squibb Co., 4.250%, 10/26/2049 | 202,447 | 0.1 |
125,000 | | Brookfield Finance LLC, 3.450%, 04/15/2050 | 122,570 | 0.0 |
175,000 | (1) | Builders FirstSource, Inc., 4.250%, 02/01/2032 | 171,607 | 0.0 |
320,000 | (1) | Builders FirstSource, Inc., 5.000%, 03/01/2030 | 328,978 | 0.1 |
149,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 164,661 | 0.0 |
130,000 | (2) | Capital One Financial Corp., 1.878%, 11/02/2027 | 126,408 | 0.0 |
130,000 | (1) | Cargill, Inc., 2.125%, 11/10/2031 | 124,354 | 0.0 |
210,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | 202,872 | 0.1 |
250,000 | | CDW LLC / CDW Finance Corp., 3.250%, 02/15/2029 | 237,509 | 0.1 |
225,000 | | Centene Corp., 3.375%, 02/15/2030 | 221,145 | 0.1 |
205,000 | | Centene Corp., 4.625%, 12/15/2029 | 213,495 | 0.1 |
365,000 | | CenterPoint Energy, Inc., 4.250%, 11/01/2028 | 397,949 | 0.1 |
450,000 | | Central Garden & Pet Co., 4.125%, 10/15/2030 | 433,300 | 0.1 |
96,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 2.250%, 01/15/2029 | 90,513 | 0.0 |
135,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042 | 121,300 | 0.0 |
87,000 | | Chubb INA Holdings, Inc., 2.850%, 12/15/2051 | 82,178 | 0.0 |
36,000 | | Chubb INA Holdings, Inc., 3.050%, 12/15/2061 | 33,981 | 0.0 |
269,000 | | Cigna Corp., 2.400%, 03/15/2030 | 260,137 | 0.1 |
500,000 | | Cigna Corp., 3.050%, 10/15/2027 | 516,188 | 0.1 |
320,000 | | Cigna Corp., 3.200%, 03/15/2040 | 308,628 | 0.1 |
125,000 | | Cigna Corp., 3.400%, 03/15/2050 | 118,753 | 0.0 |
250,000 | | Cigna Corp., 4.500%, 02/25/2026 | 270,828 | 0.1 |
445,000 | | Cigna Corp., 4.800%, 08/15/2038 | 512,187 | 0.1 |
305,000 | | Citigroup, Inc., 4.125%, 07/25/2028 | 326,922 | 0.1 |
491,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 545,291 | 0.1 |
321,000 | (1) | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | 332,675 | 0.1 |
500,000 | | Comcast Corp., 2.350%, 01/15/2027 | 505,588 | 0.1 |
250,000 | | Comcast Corp., 3.750%, 04/01/2040 | 265,288 | 0.1 |
400,000 | | Comcast Corp., 4.150%, 10/15/2028 | 440,723 | 0.1 |
115,000 | | Comcast Corp., 4.250%, 01/15/2033 | 130,089 | 0.0 |
90,000 | | Comcast Corp., 5.650%, 06/15/2035 | 113,488 | 0.0 |
265,000 | (1) | CommScope Technologies LLC, 5.000%, 03/15/2027 | 236,572 | 0.1 |
159,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | 190,542 | 0.1 |
475,000 | (1) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | 477,180 | 0.1 |
79,000 | | Crown Castle International Corp., 4.150%, 07/01/2050 | 83,797 | 0.0 |
400,000 | (1) | CSC Holdings LLC, 5.750%, 01/15/2030 | 377,456 | 0.1 |
105,000 | | CSX Corp., 4.500%, 08/01/2054 | 124,328 | 0.0 |
136,000 | | Cummins, Inc., 1.500%, 09/01/2030 | 125,564 | 0.0 |
169,000 | | CVS Health Corp., 1.750%, 08/21/2030 | 155,223 | 0.0 |
500,000 | | CVS Health Corp., 3.250%, 08/15/2029 | 516,359 | 0.1 |
250,000 | | CVS Health Corp., 4.125%, 04/01/2040 | 270,258 | 0.1 |
279,000 | | CVS Health Corp., 4.300%, 03/25/2028 | 304,441 | 0.1 |
65,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 79,773 | 0.0 |
150,000 | | Dana, Inc., 5.375%, 11/15/2027 | 155,246 | 0.0 |
290,000 | | Dana, Inc., 5.625%, 06/15/2028 | 302,032 | 0.1 |
195,000 | (1) | DaVita, Inc., 3.750%, 02/15/2031 | 179,495 | 0.0 |
245,000 | (1) | DaVita, Inc., 4.625%, 06/01/2030 | 238,718 | 0.1 |
176,000 | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 199,888 | 0.1 |
155,130 | | Delta Air Lines 2015-1 Class B Pass Through Trust, 4.250%, 01/30/2025 | 159,529 | 0.0 |
173,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | 179,631 | 0.1 |
355,000 | | Discovery Communications LLC, 5.300%, 05/15/2049 | 416,897 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
250,000 | | DISH DBS Corp., 5.125%, 06/01/2029 | $ 218,479 | 0.1 |
35,000 | | Dollar General Corp., 3.500%, 04/03/2030 | 36,596 | 0.0 |
260,000 | (2) | Dominion Energy, Inc., 4.350%, 12/31/2199 | 262,600 | 0.1 |
180,000 | (2) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 185,400 | 0.1 |
34,000 | | Dow Chemical Co/The, 5.550%, 11/30/2048 | 45,191 | 0.0 |
340,000 | | DTE Electric Co., 2.250%, 03/01/2030 | 332,564 | 0.1 |
146,000 | | DTE Electric Co., 4.300%, 07/01/2044 | 167,535 | 0.0 |
250,000 | | Duke Energy Carolinas LLC, 2.950%, 12/01/2026 | 260,276 | 0.1 |
250,000 | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | 247,430 | 0.1 |
120,000 | | Duke Energy Florida LLC, 2.400%, 12/15/2031 | 117,400 | 0.0 |
1,000,000 | | Duke Energy Corp., 2.650%, 09/01/2026 | 1,019,984 | 0.3 |
255,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 245,294 | 0.1 |
100,000 | | DXC Technology Co., 1.800%, 09/15/2026 | 96,815 | 0.0 |
95,000 | | DXC Technology Co., 2.375%, 09/15/2028 | 91,230 | 0.0 |
200,000 | | Ecolab, Inc., 2.750%, 08/18/2055 | 179,559 | 0.1 |
455,000 | (1) | Element Solutions, Inc., 3.875%, 09/01/2028 | 437,612 | 0.1 |
286,000 | | Energy Transfer L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 296,560 | 0.1 |
134,000 | | Energy Transfer L.P., 4.250%, 04/01/2024 | 139,723 | 0.0 |
969,000 | | Energy Transfer L.P., 4.900%, 02/01/2024 | 1,016,163 | 0.3 |
500,000 | | Energy Transfer L.P., 5.400%, 10/01/2047 | 559,632 | 0.1 |
200,000 | | Entergy Corp., 2.800%, 06/15/2030 | 196,903 | 0.1 |
151,000 | | Essential Utilities, Inc., 2.704%, 04/15/2030 | 149,985 | 0.0 |
162,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 159,248 | 0.0 |
97,000 | | Evergy Kansas Central, Inc., 4.125%, 03/01/2042 | 106,611 | 0.0 |
115,000 | | Eversource Energy, 1.400%, 08/15/2026 | 111,027 | 0.0 |
140,000 | | Extra Space Storage L.P., 2.350%, 03/15/2032 | 131,478 | 0.0 |
318,000 | | Exxon Mobil Corp., 2.610%, 10/15/2030 | 320,721 | 0.1 |
85,000 | | Exxon Mobil Corp., 2.995%, 08/16/2039 | 83,485 | 0.0 |
198,000 | | Exxon Mobil Corp., 3.452%, 04/15/2051 | 205,516 | 0.1 |
108,000 | | FedEx Corp., 4.050%, 02/15/2048 | 114,325 | 0.0 |
79,000 | | FedEx Corp., 5.250%, 05/15/2050 | 98,411 | 0.0 |
316,000 | | Fiserv, Inc., 3.200%, 07/01/2026 | 327,727 | 0.1 |
95,000 | | Florida Power & Light Co., 2.875%, 12/04/2051 | 90,384 | 0.0 |
141,000 | | Florida Power & Light Co., 4.125%, 02/01/2042 | 159,120 | 0.0 |
200,000 | | FMC Corp., 3.200%, 10/01/2026 | 207,131 | 0.1 |
200,000 | | Ford Motor Credit Co. LLC, 4.000%, 11/13/2030 | 201,399 | 0.1 |
200,000 | | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | 214,351 | 0.1 |
290,000 | | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | 295,800 | 0.1 |
500,000 | (1),(3) | Gap, Inc./The, 3.875%, 10/01/2031 | 464,817 | 0.1 |
205,000 | (1) | GCI LLC, 4.750%, 10/15/2028 | 202,947 | 0.1 |
309,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 328,896 | 0.1 |
50,000 | | General Electric Co., 6.750%, 03/15/2032 | 65,720 | 0.0 |
316,000 | (3) | General Mills, Inc., 2.875%, 04/15/2030 | 320,655 | 0.1 |
382,000 | | General Motors Financial Co., Inc., 4.300%, 07/13/2025 | 403,966 | 0.1 |
430,000 | (1) | Gray Television, Inc., 7.000%, 05/15/2027 | 456,221 | 0.1 |
475,000 | (1) | H&E Equipment Services, Inc., 3.875%, 12/15/2028 | 451,713 | 0.1 |
1,035,000 | | HCA, Inc., 4.125%, 06/15/2029 | 1,103,888 | 0.3 |
200,000 | | HCA, Inc., 5.250%, 04/15/2025 | 217,796 | 0.1 |
280,000 | | HCA, Inc., 5.250%, 06/15/2026 | 306,540 | 0.1 |
195,000 | | Healthpeak Properties, Inc., 3.000%, 01/15/2030 | 198,678 | 0.1 |
325,000 | | Hess Corp., 5.600%, 02/15/2041 | 390,154 | 0.1 |
500,000 | (1) | Hess Midstream Operations L.P., 4.250%, 02/15/2030 | 483,300 | 0.1 |
470,000 | (1) | Ingevity Corp., 3.875%, 11/01/2028 | 445,701 | 0.1 |
416,000 | | Intel Corp., 3.250%, 11/15/2049 | 405,181 | 0.1 |
79,000 | | Intel Corp., 4.750%, 03/25/2050 | 97,683 | 0.0 |
88,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 82,265 | 0.0 |
56,000 | (1) | International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 | 54,346 | 0.0 |
65,000 | | Interstate Power and Light Co., 3.100%, 11/30/2051 | 61,030 | 0.0 |
250,000 | | IPALCO Enterprises, Inc., 4.250%, 05/01/2030 | 265,180 | 0.1 |
150,000 | | Johnson & Johnson, 3.625%, 03/03/2037 | 165,162 | 0.0 |
162,000 | (2),(3) | JPMorgan Chase & Co., 1.470%, 09/22/2027 | 155,028 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
520,000 | (2) | JPMorgan Chase & Co., 1.578%, 04/22/2027 | $ 503,392 | 0.1 |
46,000 | (2) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 42,655 | 0.0 |
250,000 | (2) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 245,763 | 0.1 |
284,000 | (2) | JPMorgan Chase & Co., 2.545%, 11/08/2032 | 275,484 | 0.1 |
129,000 | (2) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 125,527 | 0.0 |
998,000 | | JPMorgan Chase & Co., 2.950%, 10/01/2026 | 1,029,432 | 0.3 |
170,000 | (2) | JPMorgan Chase & Co., 2.963%, 01/25/2033 | 171,269 | 0.0 |
155,000 | (2) | JPMorgan Chase & Co., 3.157%, 04/22/2042 | 152,066 | 0.0 |
1,250,000 | (2) | JPMorgan Chase & Co., 3.782%, 02/01/2028 | 1,326,541 | 0.3 |
500,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 526,056 | 0.1 |
129,000 | (2) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | 141,270 | 0.0 |
530,000 | (2) | JPMorgan Chase & Co., 6.000%, 12/31/2199 | 551,200 | 0.1 |
227,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 238,837 | 0.1 |
215,000 | | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | 235,471 | 0.1 |
170,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | 230,880 | 0.1 |
500,000 | (1) | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.750%, 06/15/2029 | 490,090 | 0.1 |
535,000 | (1) | Lamb Weston Holdings, Inc., 4.375%, 01/31/2032 | 528,507 | 0.1 |
200,000 | (1) | Mars, Inc., 2.375%, 07/16/2040 | 180,266 | 0.1 |
428,000 | (1) | Metropolitan Edison Co., 4.000%, 04/15/2025 | 449,989 | 0.1 |
190,000 | | MGM Resorts International, 5.500%, 04/15/2027 | 196,551 | 0.1 |
120,000 | | Mid-America Apartments L.P., 2.875%, 09/15/2051 | 110,885 | 0.0 |
250,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 275,254 | 0.1 |
316,000 | | Mondelez International, Inc., 2.750%, 04/13/2030 | 317,138 | 0.1 |
250,000 | (2) | Morgan Stanley, 0.560%, 11/10/2023 | 248,687 | 0.1 |
817,000 | (2) | Morgan Stanley, 1.593%, 05/04/2027 | 789,352 | 0.2 |
436,000 | (2) | Morgan Stanley, 2.239%, 07/21/2032 | 411,489 | 0.1 |
180,000 | (2) | Morgan Stanley, 2.511%, 10/20/2032 | 173,916 | 0.0 |
750,000 | | Morgan Stanley, 3.125%, 07/27/2026 | 776,631 | 0.2 |
900,000 | (2) | Morgan Stanley, 3.622%, 04/01/2031 | 952,521 | 0.3 |
545,000 | | Morgan Stanley, 4.100%, 05/22/2023 | 563,079 | 0.1 |
500,000 | | Morgan Stanley, 4.875%, 11/01/2022 | 514,099 | 0.1 |
600,000 | | Mosaic Co/The, 3.250%, 11/15/2022 | 609,332 | 0.2 |
500,000 | (1) | Mozart Debt Merger Sub, Inc., 3.875%, 04/01/2029 | 482,582 | 0.1 |
398,000 | | MPLX L.P., 4.000%, 03/15/2028 | 421,991 | 0.1 |
460,000 | | MPT Operating Partnership L.P. / MPT Finance Corp., 3.500%, 03/15/2031 | 444,675 | 0.1 |
500,000 | | Mylan, Inc., 4.200%, 11/29/2023 | 519,261 | 0.1 |
200,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 233,109 | 0.1 |
310,000 | | National Rural Utilities Cooperative Finance Corp., 3.900%, 11/01/2028 | 337,530 | 0.1 |
220,000 | | Navient Corp., 5.000%, 03/15/2027 | 213,501 | 0.1 |
188,000 | (1) | Nestle Holdings, Inc., 1.500%, 09/14/2028 | 179,708 | 0.1 |
193,000 | | Northern States Power Co/MN, 3.600%, 09/15/2047 | 202,887 | 0.1 |
435,000 | (1) | Novelis Corp., 4.750%, 01/30/2030 | 433,458 | 0.1 |
35,000 | (1) | NRG Energy, Inc., 3.375%, 02/15/2029 | 32,384 | 0.0 |
185,000 | (1) | NRG Energy, Inc., 3.625%, 02/15/2031 | 171,924 | 0.0 |
533,000 | | NVIDIA Corp., 1.550%, 06/15/2028 | 512,888 | 0.1 |
455,000 | (1) | ON Semiconductor Corp., 3.875%, 09/01/2028 | 452,849 | 0.1 |
65,000 | | ONEOK, Inc., 3.100%, 03/15/2030 | 64,008 | 0.0 |
470,000 | (1) | Open Text Holdings, Inc., 4.125%, 12/01/2031 | 454,185 | 0.1 |
316,000 | | Oracle Corp., 2.800%, 04/01/2027 | 318,426 | 0.1 |
504,000 | | Oracle Corp., 2.950%, 05/15/2025 | 515,247 | 0.1 |
145,000 | | Oracle Corp., 3.950%, 03/25/2051 | 136,930 | 0.0 |
48,000 | | O'Reilly Automotive, Inc., 3.600%, 09/01/2027 | 50,740 | 0.0 |
115,000 | | O'Reilly Automotive, Inc., 4.350%, 06/01/2028 | 125,948 | 0.0 |
500,000 | (1) | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.125%, 04/30/2028 | 493,193 | 0.1 |
35,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 33,209 | 0.0 |
28,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 26,304 | 0.0 |
47,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 45,298 | 0.0 |
214,000 | (2) | PartnerRe Finance B LLC, 4.500%, 10/01/2050 | 219,632 | 0.1 |
200,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 205,098 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
238,000 | | PECO Energy Co., 4.150%, 10/01/2044 | $ 268,788 | 0.1 |
61,000 | | PepsiCo, Inc., 2.625%, 10/21/2041 | 58,151 | 0.0 |
84,000 | | Phillips 66, 3.850%, 04/09/2025 | 88,493 | 0.0 |
170,000 | (1) | Pilgrim's Pride Corp., 3.500%, 03/01/2032 | 162,163 | 0.0 |
310,000 | (1) | Pilgrim's Pride Corp., 4.250%, 04/15/2031 | 306,392 | 0.1 |
301,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.600%, 11/01/2024 | 311,868 | 0.1 |
210,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.800%, 09/15/2030 | 214,562 | 0.1 |
500,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | 510,800 | 0.1 |
281,000 | | PNC Financial Services Group, Inc./The, 3.450%, 04/23/2029 | 299,427 | 0.1 |
110,000 | (1) | Post Holdings, Inc., 4.625%, 04/15/2030 | 106,169 | 0.0 |
320,000 | (1) | Post Holdings, Inc., 5.500%, 12/15/2029 | 329,330 | 0.1 |
520,000 | (1) | Prestige Brands, Inc., 3.750%, 04/01/2031 | 472,732 | 0.1 |
525,000 | (1) | Primo Water Holdings, Inc., 4.375%, 04/30/2029 | 501,921 | 0.1 |
190,000 | | Public Service Enterprise Group, Inc., 2.450%, 11/15/2031 | 183,265 | 0.1 |
45,000 | | Public Storage, 1.950%, 11/09/2028 | 43,667 | 0.0 |
65,000 | | Puget Sound Energy, Inc., 3.250%, 09/15/2049 | 64,445 | 0.0 |
230,000 | (1) | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 3.875%, 03/01/2031 | 215,750 | 0.1 |
255,000 | (1) | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033 | 239,056 | 0.1 |
285,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 330,358 | 0.1 |
74,000 | | Regeneron Pharmaceuticals, Inc., 1.750%, 09/15/2030 | 67,390 | 0.0 |
35,000 | | Rexford Industrial Realty L.P., 2.150%, 09/01/2031 | 32,322 | 0.0 |
165,000 | | Reynolds American, Inc., 5.700%, 08/15/2035 | 188,409 | 0.1 |
130,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 147,839 | 0.0 |
250,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 291,999 | 0.1 |
150,000 | | Roper Technologies, Inc., 1.750%, 02/15/2031 | 135,942 | 0.0 |
33,000 | | Ross Stores, Inc., 4.700%, 04/15/2027 | 36,618 | 0.0 |
338,000 | | salesforce.com, Inc., 2.700%, 07/15/2041 | 319,112 | 0.1 |
500,000 | (1) | Scotts Miracle-Gro Co/The, 4.000%, 04/01/2031 | 478,310 | 0.1 |
135,000 | (1) | Sealed Air Corp., 1.573%, 10/15/2026 | 128,933 | 0.0 |
114,000 | | Selective Insurance Group, Inc., 5.375%, 03/01/2049 | 145,503 | 0.0 |
215,000 | (2) | Sempra Energy, 4.125%, 04/01/2052 | 209,875 | 0.1 |
500,000 | (1) | Sensata Technologies, Inc., 3.750%, 02/15/2031 | 470,545 | 0.1 |
700,000 | | Shire Acquisitions Investments Ireland DAC, 3.200%, 09/23/2026 | 726,142 | 0.2 |
455,000 | | Silgan Holdings, Inc., 4.125%, 02/01/2028 | 457,036 | 0.1 |
240,000 | (1) | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | 226,511 | 0.1 |
430,000 | (1) | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | 446,899 | 0.1 |
435,000 | (1) | Sonic Automotive, Inc., 4.875%, 11/15/2031 | 421,174 | 0.1 |
60,000 | | Southern California Edison Co., 3.650%, 02/01/2050 | 59,775 | 0.0 |
500,000 | | Southwestern Energy Co., 5.375%, 02/01/2029 | 509,255 | 0.1 |
365,000 | | Sprint Nextel Corp., 6.875%, 11/15/2028 | 434,726 | 0.1 |
220,000 | (1) | Standard Industries, Inc./NJ, 3.375%, 01/15/2031 | 201,633 | 0.1 |
320,000 | (1) | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | 306,171 | 0.1 |
220,000 | (1) | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | 224,905 | 0.1 |
55,000 | | TEGNA, Inc., 4.625%, 03/15/2028 | 54,028 | 0.0 |
235,000 | (1) | Tempur Sealy International, Inc., 4.000%, 04/15/2029 | 225,671 | 0.1 |
500,000 | (1) | Tenet Healthcare Corp., 4.250%, 06/01/2029 | 482,774 | 0.1 |
299,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 348,907 | 0.1 |
600,000 | | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 577,876 | 0.2 |
385,000 | | T-Mobile USA, Inc., 3.000%, 02/15/2041 | 348,809 | 0.1 |
800,000 | | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 841,521 | 0.2 |
79,000 | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 82,914 | 0.0 |
300,000 | | UDR, Inc., 2.100%, 08/01/2032 | 276,522 | 0.1 |
CORPORATE BONDS/NOTES: (continued) | |
| | United States: (continued) |
220,000 | | United Rentals North America, Inc., 4.000%, 07/15/2030 | $ 217,004 | 0.1 |
215,000 | | United Rentals North America, Inc., 4.875%, 01/15/2028 | 221,738 | 0.1 |
713,000 | | UnitedHealth Group, Inc., 2.300%, 05/15/2031 | 692,888 | 0.2 |
235,000 | | UnitedHealth Group, Inc., 2.750%, 05/15/2040 | 222,814 | 0.1 |
122,000 | | UnitedHealth Group, Inc., 3.050%, 05/15/2041 | 119,472 | 0.0 |
114,779 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | 120,914 | 0.0 |
24,163 | | US Airways 2012-2 Class A Pass Through Trust, 4.625%, 12/03/2026 | 23,872 | 0.0 |
300,000 | | Utah Acquisition Sub, Inc., 3.950%, 06/15/2026 | 316,948 | 0.1 |
105,000 | | Valero Energy Corp., 3.650%, 12/01/2051 | 97,955 | 0.0 |
465,000 | (1) | Valvoline, Inc., 3.625%, 06/15/2031 | 426,893 | 0.1 |
363,000 | (1) | Verizon Communications, Inc., 2.355%, 03/15/2032 | 345,094 | 0.1 |
227,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | 225,130 | 0.1 |
228,000 | | Verizon Communications, Inc., 3.550%, 03/22/2051 | 229,643 | 0.1 |
280,000 | | Verizon Communications, Inc., 3.700%, 03/22/2061 | 281,403 | 0.1 |
250,000 | | Verizon Communications, Inc., 4.125%, 03/16/2027 | 271,348 | 0.1 |
175,000 | | Verizon Communications, Inc., 4.125%, 08/15/2046 | 191,217 | 0.1 |
200,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 236,753 | 0.1 |
615,000 | | ViacomCBS, Inc., 3.700%, 08/15/2024 | 641,700 | 0.2 |
445,000 | (1) | ViaSat, Inc., 5.625%, 04/15/2027 | 453,277 | 0.1 |
195,000 | | Viatris, Inc., 2.700%, 06/22/2030 | 188,445 | 0.1 |
95,000 | | Visa, Inc., 2.000%, 08/15/2050 | 77,642 | 0.0 |
225,000 | | VMware, Inc., 1.400%, 08/15/2026 | 215,691 | 0.1 |
100,000 | | VMware, Inc., 1.800%, 08/15/2028 | 94,838 | 0.0 |
350,000 | (2) | Wells Fargo & Co., 2.406%, 10/30/2025 | 352,310 | 0.1 |
100,000 | | Wells Fargo & Co., 3.000%, 10/23/2026 | 102,820 | 0.0 |
143,000 | | Welltower, Inc., 4.125%, 03/15/2029 | 155,687 | 0.0 |
500,000 | | Western Midstream Operating L.P., 5.300%, 03/01/2048 | 553,230 | 0.1 |
495,000 | (1) | Wolverine World Wide, Inc., 4.000%, 08/15/2029 | 476,279 | 0.1 |
450,000 | (1) | Wyndham Hotels & Resorts, Inc., 4.375%, 08/15/2028 | 447,201 | 0.1 |
173,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 226,245 | 0.1 |
470,000 | (1) | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | 444,846 | 0.1 |
426,000 | (1) | Ziff Davis, Inc., 4.625%, 10/15/2030 | 417,863 | 0.1 |
| | | 92,299,205 | 23.9 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $149,885,150) | 147,575,123 | 38.2 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 12.9% | |
| | United States: 12.9% |
304,322 | (2) | Adjustable Rate Mortgage Trust 2006-2 1A1, 3.157%, 05/25/2036 | 297,281 | 0.1 |
107,513 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 70,982 | 0.0 |
160,889 | | Alternative Loan Trust 2007-23CB A3, 0.608%, (US0001M + 0.500%), 09/25/2037 | 76,916 | 0.0 |
356,457 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 244,728 | 0.1 |
325,799 | | CitiMortgage Alternative Loan Trust Series 2006-A3 1A7, 6.000%, 07/25/2036 | 320,843 | 0.1 |
72,631 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.608%, (US0001M + 0.500%), 11/25/2035 | 39,094 | 0.0 |
206,255 | (1),(2) | CSMC Trust 2015-2 B3, 3.903%, 02/25/2045 | 205,676 | 0.1 |
146,719 | (1),(2) | CSMC Trust 2015-3 B1, 3.875%, 03/25/2045 | 146,954 | 0.0 |
3,348,957 | (4) | Fannie Mae 2005-18 SC, 4.542%, (-1.000*US0001M + 4.650%), 03/25/2035 | 371,325 | 0.1 |
826,364 | (4) | Fannie Mae 2008-41 S, 6.692%, (-1.000*US0001M + 6.800%), 11/25/2036 | 191,643 | 0.1 |
2,400,234 | (4) | Fannie Mae 2009-106 SA, 6.142%, (-1.000*US0001M + 6.250%), 01/25/2040 | 427,000 | 0.1 |
393,948 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.108%, (US0001M + 3.000%), 10/25/2029 | 403,833 | 0.1 |
354,859 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.608%, (US0001M + 2.500%), 05/25/2030 | 360,874 | 0.1 |
326,936 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.108%, (US0001M + 2.000%), 03/25/2031 | 330,695 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
| | United States: (continued) |
98,617 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.408%, (US0001M + 2.300%), 08/25/2031 | $ 99,064 | 0.0 |
178,937 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 2.508%, (US0001M + 2.400%), 04/25/2031 | 179,929 | 0.1 |
64,342 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.558%, (US0001M + 2.450%), 07/25/2031 | 64,661 | 0.0 |
99,304 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R06 2M2, 2.208%, (US0001M + 2.100%), 09/25/2039 | 99,432 | 0.0 |
456,437 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.158%, (US0001M + 2.050%), 01/25/2040 | 458,708 | 0.1 |
1,000,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 3.758%, (US0001M + 3.650%), 02/25/2040 | 1,050,982 | 0.3 |
109,802 | | Fannie Mae REMIC Trust 2003-22 BZ, 6.000%, 04/25/2033 | 122,403 | 0.0 |
97,128 | | Fannie Mae REMIC Trust 2005-74 DK, 23.569%, (-4.000*US0001M + 24.000%), 07/25/2035 | 144,631 | 0.0 |
93,669 | | Fannie Mae REMIC Trust 2006-104 ES, 32.912%, (-5.000*US0001M + 33.450%), 11/25/2036 | 171,959 | 0.0 |
1,208,030 | (4) | Fannie Mae REMIC Trust 2007-36 SN, 6.662%, (-1.000*US0001M + 6.770%), 04/25/2037 | 217,715 | 0.1 |
86,585 | | Fannie Mae REMIC Trust 2007-55 DS, 14.731%, (-2.500*US0001M + 15.000%), 06/25/2037 | 101,317 | 0.0 |
663,992 | (4) | Fannie Mae REMIC Trust 2008-53 FI, 5.992%, (-1.000*US0001M + 6.100%), 07/25/2038 | 90,579 | 0.0 |
698,588 | (4) | Fannie Mae REMIC Trust 2008-58 SM, 5.992%, (-1.000*US0001M + 6.100%), 07/25/2038 | 105,919 | 0.0 |
147,528 | | Fannie Mae REMIC Trust 2009-66 SL, 15.494%, (-3.333*US0001M + 15.833%), 09/25/2039 | 229,794 | 0.1 |
93,200 | | Fannie Mae REMIC Trust 2009-66 SW, 15.660%, (-3.333*US0001M + 16.000%), 09/25/2039 | 146,596 | 0.0 |
3,410,438 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 5.962%, (-1.000*US0001M + 6.070%), 11/25/2040 | 509,523 | 0.1 |
3,273,510 | (4) | Fannie Mae REMIC Trust 2011-55 SK, 6.452%, (-1.000*US0001M + 6.560%), 06/25/2041 | 652,723 | 0.2 |
1,393,706 | (4) | Fannie Mae REMIC Trust 2011-86 NS, 5.842%, (-1.000*US0001M + 5.950%), 09/25/2041 | 203,379 | 0.1 |
186,596 | (4) | Fannie Mae REMIC Trust 2012-10 US, 6.342%, (-1.000*US0001M + 6.450%), 02/25/2042 | 33,631 | 0.0 |
1,082,214 | (4) | Fannie Mae REMIC Trust 2012-24 HS, 6.442%, (-1.000*US0001M + 6.550%), 09/25/2040 | 76,071 | 0.0 |
709,370 | (4) | Fannie Mae REMIC Trust 2013-31 PI, 4.500%, 02/25/2043 | 50,567 | 0.0 |
669,746 | | Fannie Mae REMICS 2013-126 ZA, 4.000%, 07/25/2032 | 672,045 | 0.2 |
5,913,064 | (4) | Fannie Mae REMICS 2015-34 DI, 6.500%, 06/25/2045 | 1,358,380 | 0.4 |
17,225,238 | (4) | Fannie Mae REMICS 2015-58 KI, 6.000%, 03/25/2037 | 3,515,263 | 0.9 |
14,640,284 | (4) | Fannie Mae REMICS 2016-54 SL, 5.892%, (-1.000*US0001M + 6.000%), 08/25/2046 | 2,872,257 | 0.7 |
606,488 | (4) | Fannie Mae Series 2007-9 SE, 5.972%, (-1.000*US0001M + 6.080%), 03/25/2037 | 89,473 | 0.0 |
832,961 | (4) | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | 82,718 | 0.0 |
920,911 | (1),(2) | Flagstar Mortgage Trust 2018-2 B2, 4.035%, 04/25/2048 | 925,304 | 0.2 |
163,015 | (4) | Freddie Mac REMIC Trust 2303 SY, 8.594%, (-1.000*US0001M + 8.700%), 04/15/2031 | 33,205 | 0.0 |
931,898 | (4) | Freddie Mac REMIC Trust 2989 GU, 6.894%, (-1.000*US0001M + 7.000%), 02/15/2033 | 163,230 | 0.0 |
769,243 | (4) | Freddie Mac REMIC Trust 3271 SB, 5.944%, (-1.000*US0001M + 6.050%), 02/15/2037 | 124,743 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
| | United States: (continued) |
2,793,446 | (4) | Freddie Mac REMIC Trust 3424 HI, 5.794%, (-1.000*US0001M + 5.900%), 04/15/2038 | $ 437,533 | 0.1 |
579,400 | (4) | Freddie Mac REMIC Trust 3632 IP, 5.000%, 02/15/2040 | 76,742 | 0.0 |
3,317,762 | (4) | Freddie Mac REMIC Trust 3856 KS, 6.444%, (-1.000*US0001M + 6.550%), 05/15/2041 | 553,416 | 0.1 |
660,112 | (4) | Freddie Mac REMIC Trust 3925 SD, 5.944%, (-1.000*US0001M + 6.050%), 07/15/2040 | 35,021 | 0.0 |
214,835 | (4) | Freddie Mac REMIC Trust 3946 SE, 6.544%, (-1.000*US0001M + 6.650%), 02/15/2041 | 3,482 | 0.0 |
798,585 | (4) | Freddie Mac REMIC Trust 4077 SM, 6.594%, (-1.000*US0001M + 6.700%), 08/15/2040 | 21,934 | 0.0 |
719,352 | (4) | Freddie Mac REMIC Trust 4152 BI, 4.000%, 12/15/2041 | 62,956 | 0.0 |
1,142,577 | (4) | Freddie Mac REMIC Trust 4313 MI, 5.000%, 04/15/2039 | 169,577 | 0.0 |
1,704,108 | (4) | Freddie Mac REMICS 3693 SC, 6.394%, (-1.000*US0001M + 6.500%), 07/15/2040 | 327,678 | 0.1 |
1,480,697 | | Freddie Mac REMICS 3792 DS, 6.494%, (-1.000*US0001M + 6.600%), 11/15/2040 | 66,100 | 0.0 |
1,452,635 | (4) | Freddie Mac REMICS 4040 SW, 6.524%, (-1.000*US0001M + 6.630%), 05/15/2032 | 281,635 | 0.1 |
1,826,291 | (4) | Freddie Mac REMICS 4623 MS, 5.894%, (-1.000*US0001M + 6.000%), 10/15/2046 | 365,824 | 0.1 |
1,681,087 | | Freddie Mac REMICS 4800 MZ, 4.000%, 06/15/2048 | 1,777,437 | 0.5 |
1,674,111 | | Freddie Mac REMICS 4879 ZA, 4.000%, 05/15/2049 | 1,763,992 | 0.5 |
283,691 | (1) | Freddie Mac STACR 2019-HQA3 M2, 1.958%, (US0001M + 1.850%), 09/25/2049 | 285,156 | 0.1 |
224,436 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 2.008%, (US0001M + 1.900%), 01/25/2050 | 225,146 | 0.1 |
299,338 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA2 M2, 3.208%, (US0001M + 3.100%), 03/25/2050 | 303,357 | 0.1 |
75,485 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 3.708%, (US0001M + 3.600%), 07/25/2050 | 75,795 | 0.0 |
700,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA3 M2, 2.150%, (SOFR30A + 2.100%), 09/25/2041 | 692,264 | 0.2 |
1,000,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 M1B, 1.900%, (SOFR30A + 1.850%), 01/25/2042 | 1,000,447 | 0.3 |
303,360 | (1) | Freddie Mac STACR Trust 2019-DNA3 M2, 2.158%, (US0001M + 2.050%), 07/25/2049 | 306,186 | 0.1 |
227,619 | (2),(4) | Freddie Mac Strips 351 103, 4.000%, 01/15/2031 | 26,505 | 0.0 |
563,605 | (2),(4) | Freddie Mac Strips 351 200, 3.500%, 02/15/2046 | 72,351 | 0.0 |
4,358,811 | (4) | Freddie Mac Strips 351 C14, 3.500%, 02/15/2031 | 461,253 | 0.1 |
9,013,101 | (4) | Freddie Mac Strips 351 C22, 3.500%, 02/15/2046 | 1,681,682 | 0.4 |
7,407,757 | (4) | Freddie Mac Strips 351 C23, 4.000%, 02/15/2046 | 1,520,660 | 0.4 |
1,815,363 | (2),(4) | Freddie Mac Strips 351 C30, 2.500%, 02/15/2031 | 111,690 | 0.0 |
2,208,850 | (2),(4) | Freddie Mac Strips 351 C31, 3.000%, 02/15/2031 | 175,626 | 0.1 |
1,417,424 | (2),(4) | Freddie Mac Strips 351 C32, 3.500%, 02/15/2031 | 151,611 | 0.0 |
4,011,597 | (2),(4) | Freddie Mac Strips 351 C33, 4.000%, 02/15/2046 | 628,819 | 0.2 |
7,567,552 | (2),(4) | Freddie Mac Strips 351 C34, 3.500%, 02/15/2046 | 1,112,359 | 0.3 |
56,483 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.008%, (US0001M + 3.900%), 12/25/2027 | 56,778 | 0.0 |
949,299 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA4 M3, 3.908%, (US0001M + 3.800%), 03/25/2029 | 982,598 | 0.3 |
534,473 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.758%, (US0001M + 2.650%), 12/25/2029 | 548,589 | 0.1 |
4,614 | (2) | Freddie Mac Whole Loan Securities Trust 2016-SC02 M1, 3.665%, 10/25/2046 | 4,621 | 0.0 |
528,325 | (1),(2) | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 532,289 | 0.1 |
201,856 | | Ginnie Mae Series 2007-8 SP, 21.712%, (-3.242*US0001M + 22.048%), 03/20/2037 | 306,731 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
| | United States: (continued) |
16,265,318 | (4) | Ginnie Mae Series 2009-106 CM, 6.494%, (-1.000*US0001M + 6.600%), 01/16/2034 | $ 1,757,625 | 0.5 |
1,243,058 | (4) | Ginnie Mae Series 2010-116 NS, 6.544%, (-1.000*US0001M + 6.650%), 09/16/2040 | 195,350 | 0.1 |
213,334 | (4) | Ginnie Mae Series 2010-6 IA, 5.000%, 11/20/2039 | 15,939 | 0.0 |
1,335,179 | (4) | Ginnie Mae Series 2011-116 BI, 4.000%, 08/16/2026 | 62,474 | 0.0 |
157,720 | (4) | Ginnie Mae Series 2011-140 CI, 5.000%, 10/20/2040 | 3,379 | 0.0 |
1,090,344 | (4) | Ginnie Mae Series 2013-115 NI, 4.500%, 01/16/2043 | 145,149 | 0.0 |
625,557 | (4) | Ginnie Mae Series 2013-5 NI, 3.000%, 01/20/2028 | 33,667 | 0.0 |
12,008,320 | (4) | Ginnie Mae Series 2015-10 IX, 4.500%, 01/20/2045 | 2,166,559 | 0.6 |
1,355,788 | (4) | Ginnie Mae Series 2015-178 GI, 4.000%, 05/20/2044 | 107,578 | 0.0 |
4,788,696 | (4) | Ginnie Mae Series 2016-161 CI, 5.500%, 11/20/2046 | 945,819 | 0.3 |
8,111,207 | (4) | Ginnie Mae Series 2019-89 QI, 4.000%, 04/20/2046 | 1,132,447 | 0.3 |
257,213 | | GreenPoint Mortgage Funding Trust 2006-AR3 4A1, 0.528%, (US0001M + 0.210%), 04/25/2036 | 255,208 | 0.1 |
23,152 | (1),(2) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 23,160 | 0.0 |
26,551 | (1),(2) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 A1, 3.500%, 03/25/2050 | 26,689 | 0.0 |
894,114 | (1),(2) | GS Mortgage-Backed Securities Corp. Trust 2021-PJ3 A4, 2.500%, 08/25/2051 | 868,996 | 0.2 |
400,000 | (1),(2) | GS Mortgage-Backed Securities Trust 2022-PJ1 A4, 2.500%, 05/28/2052 | 386,719 | 0.1 |
524,842 | (1),(2) | JP Morgan Mortgage Trust 2019-8 A5, 3.500%, 03/25/2050 | 527,142 | 0.1 |
83,800 | (1),(2) | JP Morgan Mortgage Trust 2019-INV3 A15, 3.500%, 05/25/2050 | 84,631 | 0.0 |
139,667 | (1),(2) | JP Morgan Mortgage Trust 2019-INV3 A3, 3.500%, 05/25/2050 | 141,282 | 0.0 |
10,586 | (1),(2) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 10,622 | 0.0 |
51,619 | (1),(2) | JP Morgan Mortgage Trust 2019-LTV3 A15, 3.500%, 03/25/2050 | 51,777 | 0.0 |
93,744 | (1),(2) | JP Morgan Mortgage Trust 2020-5 A15, 3.000%, 12/25/2050 | 93,045 | 0.0 |
358,050 | (1),(2) | Morgan Stanley Residential Mortgage Loan Trust 2021-2 A9, 2.500%, 05/25/2051 | 347,597 | 0.1 |
83,373 | (1),(2) | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 83,763 | 0.0 |
238,246 | (1),(2) | OBX 2020-INV1 A21 Trust, 3.500%, 12/25/2049 | 238,616 | 0.1 |
594,563 | (1),(2) | RATE Mortgage Trust 2021-HB1 A31, 2.500%, 12/25/2051 | 575,129 | 0.2 |
996,679 | (1),(2) | RCKT Mortgage Trust 2021-1 A1, 2.500%, 03/25/2051 | 976,675 | 0.3 |
5,254 | (1),(2) | Sequoia Mortgage Trust 2016-3 A11, 3.000%, 11/25/2046 | 5,256 | 0.0 |
39,423 | (1),(2) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 03/25/2048 | 39,730 | 0.0 |
300,000 | (1),(2) | Sequoia Mortgage Trust 2020-4 A8, 2.500%, 11/25/2050 | 290,971 | 0.1 |
4,146 | (2),(5) | Structured Asset Securities Corp. 2004-4XS 1A6, 5.050%, 02/25/2034 | 4,119 | 0.0 |
1,000,000 | (1),(2) | Verus Securitization Trust 2021-1 M1, 1.968%, 01/25/2066 | 981,484 | 0.3 |
7,024,266 | (2),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 1.772%, 08/25/2045 | 227,798 | 0.1 |
46,948 | (2) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 2.958%, 10/25/2036 | 47,320 | 0.0 |
152,874 | (2) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 2.848%, 08/25/2046 | 152,804 | 0.0 |
315,012 | (2) | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 2.996%, 12/25/2036 | 315,395 | 0.1 |
426,326 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 404,437 | 0.1 |
92,322 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.538%, (US0001M + 0.430%), 06/25/2037 | 74,708 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
| | United States: (continued) |
424,566 | (1),(2) | Wells Fargo Mortgage Backed Securities 2021-1 A17 Trust, 2.500%, 12/25/2050 | $ 413,126 | 0.1 |
335,632 | (1),(2) | WinWater Mortgage Loan Trust 2015-5 B4, 3.774%, 08/20/2045 | 330,529 | 0.1 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $49,101,684) | 49,884,599 | 12.9 |
| | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 9.1% | |
| | Federal Home Loan Mortgage Corporation: 0.2%(6) |
555,992 | | 3.500%,01/01/2048 | 584,612 | 0.2 |
65,975 | | 4.000%,09/01/2045 | 70,895 | 0.0 |
57,494 | | 4.000%,09/01/2045 | 61,882 | 0.0 |
98,854 | | 4.000%,05/01/2046 | 106,378 | 0.0 |
| | | 823,767 | 0.2 |
| | | | |
| | Federal National Mortgage Association: 0.3%(6) |
1,179,286 | | 3.500%,03/01/2043 | 1,264,722 | 0.3 |
| | | | |
| | Government National Mortgage Association: 3.1% |
3,220,000 | (7) | 2.500%,02/15/2052 | 3,240,377 | 0.9 |
8,450,000 | (7) | 3.000%,02/15/2052 | 8,650,027 | 2.2 |
98,428 | | 4.500%,08/20/2041 | 108,703 | 0.0 |
13,875 | | 5.500%,03/20/2039 | 15,926 | 0.0 |
| | | 12,015,033 | 3.1 |
| | | | |
| | Uniform Mortgage-Backed Securities: 5.5% |
10,039,000 | (7) | 2.000%,03/15/2052 | 9,765,628 | 2.5 |
55,041 | | 2.500%,06/01/2030 | 56,552 | 0.0 |
38,561 | | 2.500%,06/01/2030 | 39,619 | 0.0 |
24,696 | | 2.500%,07/01/2030 | 25,374 | 0.0 |
6,439,000 | (7) | 2.500%,03/15/2052 | 6,412,561 | 1.7 |
133,459 | | 3.500%,06/01/2034 | 140,660 | 0.1 |
2,700,000 | (7) | 3.500%,03/15/2052 | 2,805,680 | 0.7 |
62,361 | | 4.000%,05/01/2045 | 67,108 | 0.0 |
1,122,030 | | 4.000%,04/01/2049 | 1,200,488 | 0.3 |
162,267 | | 4.500%,12/01/2040 | 178,056 | 0.1 |
85,520 | | 4.500%,12/01/2040 | 93,583 | 0.0 |
170,944 | | 5.000%,05/01/2041 | 192,002 | 0.1 |
105,970 | | 5.000%,06/01/2041 | 118,864 | 0.0 |
| | | 21,096,175 | 5.5 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $35,116,244) | 35,199,697 | 9.1 |
| | | |
SOVEREIGN BONDS: 15.1% | |
| | Argentina: 0.2% |
1,471,588 | (5) | Argentine Republic Government International Bond, 0.500% (Step Rate @ 0.750% on 0), 07/09/2030 | 500,355 | 0.2 |
172,561 | (5) | Argentine Republic Government International Bond, 1.125% (Step Rate @ 1.500% on 0), 07/09/2035 | 53,452 | 0.0 |
95,041 | | Argentine Republic Government International Bond, 1.000%, 07/09/2029 | 33,749 | 0.0 |
| | | 587,556 | 0.2 |
| | | | |
| | Australia: 0.1% |
AUD 837,000 | (1) | Queensland Treasury Corp., 1.750%, 07/20/2034 | 543,915 | 0.1 |
| | | | |
| | Canada: 0.2% |
CAD 1,100,000 | | Canadian Government Bond, 2.000%, 12/01/2051 | 854,532 | 0.2 |
| | | | |
| | China: 6.3% |
CNY 50,420,000 | | China Government Bond, 2.850%, 06/04/2027 | 8,052,102 | 2.1 |
CNY 21,430,000 | | China Government Bond, 3.130%, 11/21/2029 | 3,460,090 | 0.9 |
CNY 29,170,000 | | China Government Bond, 3.250%, 06/06/2026 | 4,737,057 | 1.2 |
CNY 34,570,000 | | China Government Bond, 3.250%, 11/22/2028 | 5,630,344 | 1.5 |
CNY 1,110,000 | | China Government Bond, 3.290%, 05/23/2029 | 181,236 | 0.0 |
CNY 9,950,000 | | China Government Bond, 4.080%, 10/22/2048 | 1,762,880 | 0.4 |
CNY 4,500,000 | | China Government Bond, 2.690%, 08/12/2026 | 715,828 | 0.2 |
| | | 24,539,537 | 6.3 |
| | | | |
| | Colombia: 0.3% |
600,000 | (3) | Colombia Government International Bond, 3.000%, 01/30/2030 | 523,911 | 0.1 |
200,000 | | Colombia Government International Bond, 5.200%, 05/15/2049 | 172,748 | 0.0 |
COP 2,551,900,000 | | Colombian TES, 7.750%, 09/18/2030 | 602,365 | 0.2 |
| | | 1,299,024 | 0.3 |
| | | | |
| | Croatia: 0.1% |
EUR 300,000 | | Croatia Government International Bond, 1.125%, 06/19/2029 | 336,304 | 0.1 |
| | | | |
| | Dominican Republic: 0.3% |
600,000 | (1) | Dominican Republic International Bond, 4.500%, 01/30/2030 | 590,106 | 0.2 |
200,000 | (1) | Dominican Republic International Bond, 4.875%, 09/23/2032 | 196,702 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
SOVEREIGN BONDS: (continued) | |
| | Dominican Republic: (continued) |
200,000 | (1) | Dominican Republic International Bond, 5.300%, 01/21/2041 | $ 190,500 | 0.0 |
| | | 977,308 | 0.3 |
| | | | |
| | Egypt: 0.5% |
400,000 | (1),(3) | Egypt Government International Bond, 5.875%, 02/16/2031 | 339,112 | 0.1 |
600,000 | | Egypt Government International Bond, 6.588%, 02/21/2028 | 566,818 | 0.2 |
325,000 | | Egypt Government International Bond, 7.500%, 01/31/2027 | 329,524 | 0.1 |
450,000 | (1) | Egypt Government International Bond, 7.625%, 05/29/2032 | 405,681 | 0.1 |
200,000 | (1) | Egypt Government International Bond, 8.750%, 09/30/2051 | 169,858 | 0.0 |
| | | 1,810,993 | 0.5 |
| | | | |
| | Germany: 0.0% |
EUR 9,700 | | Bundesobligation, -0.650%, 04/14/2023 | 10,982 | 0.0 |
EUR 30,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.320%, 08/15/2026 | 34,191 | 0.0 |
EUR 60,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.500%, 02/15/2028 | 70,347 | 0.0 |
EUR 40,000 | | Bundesrepublik Deutschland Bundesanleihe, 1.000%, 08/15/2025 | 47,183 | 0.0 |
| | | 162,703 | 0.0 |
| | | | |
| | Ghana: 0.1% |
450,000 | (1) | Ghana Government International Bond, 6.375%, 02/11/2027 | 362,587 | 0.1 |
| | | | |
| | Indonesia: 0.3% |
IDR 13,833,000,000 | | Indonesia Treasury Bond, 8.375%, 04/15/2039 | 1,082,777 | 0.3 |
200,000 | | Perusahaan Penerbit SBSN Indonesia III, 4.450%, 02/20/2029 | 222,928 | 0.0 |
| | | 1,305,705 | 0.3 |
| | | | |
| | Italy: 0.5% |
EUR 641,000 | (1) | Italy Buoni Poliennali Del Tesoro, 3.850%, 09/01/2049 | 994,844 | 0.2 |
EUR 641,000 | (1) | Italy Buoni Poliennali Del Tesoro, 5.000%, 08/01/2034 | 1,012,662 | 0.3 |
| | | 2,007,506 | 0.5 |
| | | | |
| | Ivory Coast: 0.2% |
EUR 200,000 | (1) | Ivory Coast Government International Bond, 4.875%, 01/30/2032 | 211,504 | 0.1 |
394,167 | (2),(5) | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | 394,104 | 0.1 |
| | | 605,608 | 0.2 |
| | | | |
| | Jordan: 0.1% |
200,000 | (1) | Jordan Government International Bond, 5.850%, 07/07/2030 | 198,269 | 0.1 |
| | | | |
| | Kenya: 0.1% |
250,000 | (1) | Kenya Government International Bond, 7.000%, 05/22/2027 | 257,563 | 0.1 |
| | | | |
| | Malaysia: 1.1% |
MYR 18,342,000 | | Malaysia Government Bond, 3.828%, 07/05/2034 | 4,296,315 | 1.1 |
| | | | |
| | Mexico: 0.1% |
200,000 | (3) | Mexico Government International Bond, 3.250%, 04/16/2030 | 199,386 | 0.1 |
200,000 | | Mexico Government International Bond, 3.750%, 04/19/2071 | 166,800 | 0.0 |
2,000 | | Mexico Government International Bond, 4.000%, 10/02/2023 | 2,089 | 0.0 |
| | | 368,275 | 0.1 |
| | | | |
| | Morocco: 0.1% |
200,000 | (1) | Morocco Government International Bond, 2.375%, 12/15/2027 | 190,250 | 0.0 |
200,000 | (1) | Morocco Government International Bond, 3.000%, 12/15/2032 | 185,209 | 0.0 |
200,000 | | Morocco Government International Bond, 4.250%, 12/11/2022 | 204,658 | 0.1 |
| | | 580,117 | 0.1 |
| | | | |
| | Nigeria: 0.0% |
200,000 | | Nigeria Government International Bond, 7.875%, 02/16/2032 | 195,250 | 0.0 |
| | | | |
| | Oman: 0.1% |
200,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | 210,652 | 0.0 |
200,000 | (1) | Oman Government International Bond, 7.375%, 10/28/2032 | 227,627 | 0.1 |
| | | 438,279 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
SOVEREIGN BONDS: (continued) | |
| | Panama: 0.1% |
200,000 | | Panama Government International Bond, 3.298%, 01/19/2033 | $ 199,739 | 0.0 |
200,000 | | Panama Government International Bond, 3.875%, 03/17/2028 | 210,800 | 0.1 |
| | | 410,539 | 0.1 |
| | | | |
| | Peru: 0.4% |
PEN 4,000,000 | | Peru Government Bond, 6.350%, 08/12/2028 | 1,080,558 | 0.3 |
200,000 | | Peruvian Government International Bond, 1.862%, 12/01/2032 | 176,178 | 0.1 |
200,000 | | Peruvian Government International Bond, 2.780%, 12/01/2060 | 160,424 | 0.0 |
75,000 | | Peruvian Government International Bond, 5.625%, 11/18/2050 | 98,947 | 0.0 |
| | | 1,516,107 | 0.4 |
| | | | |
| | Portugal: 0.6% |
EUR 1,664,000 | (1) | Portugal Obrigacoes do Tesouro OT, 2.250%, 04/18/2034 | 2,178,226 | 0.6 |
| | | | |
| | Romania: 0.5% |
RON 5,510,000 | | Romania Government Bond, 3.250%, 04/29/2024 | 1,216,767 | 0.3 |
EUR 200,000 | (1) | Romanian Government International Bond, 2.625%, 12/02/2040 | 187,337 | 0.1 |
480,000 | (1) | Romanian Government International Bond, 3.000%, 02/14/2031 | 466,191 | 0.1 |
| | | 1,870,295 | 0.5 |
| | | | |
| | Russia: 0.3% |
RUB 47,938,000 | | Russian Federal Bond - OFZ, 6.900%, 05/23/2029 | 542,466 | 0.1 |
200,000 | | Russian Foreign Bond - Eurobond, 4.375%, 03/21/2029 | 200,410 | 0.1 |
400,000 | (1) | Russian Foreign Bond - Eurobond, 4.875%, 09/16/2023 | 416,084 | 0.1 |
| | | 1,158,960 | 0.3 |
| | | | |
| | Saudi Arabia: 0.2% |
200,000 | (1) | KSA Sukuk Ltd., 3.628%, 04/20/2027 | 211,941 | 0.1 |
400,000 | (1) | Saudi Government International Bond, 2.250%, 02/02/2033 | 380,978 | 0.1 |
200,000 | (1) | Saudi Government International Bond, 3.450%, 02/02/2061 | 190,952 | 0.0 |
| | | 783,871 | 0.2 |
| | | | |
| | South Africa: 0.3% |
250,000 | | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | 250,437 | 0.1 |
900,000 | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | 912,668 | 0.2 |
| | | 1,163,105 | 0.3 |
| | | | |
| | Spain: 0.8% |
EUR 1,284,000 | (1) | Spain Government Bond, 1.450%, 04/30/2029 | 1,550,403 | 0.4 |
EUR 1,092,000 | (1) | Spain Government Bond, 2.700%, 10/31/2048 | 1,569,555 | 0.4 |
| | | 3,119,958 | 0.8 |
| | | | |
| | Sri Lanka: 0.0% |
200,000 | (1) | Sri Lanka Government International Bond, 6.825%, 07/18/2026 | 101,500 | 0.0 |
| | | | |
| | Thailand: 0.4% |
THB 41,793,000 | | Thailand Government Bond, 2.875%, 12/17/2028 | 1,344,777 | 0.4 |
THB 1,200,000 | | Thailand Government Bond, 0.750%, 06/17/2024 | 36,006 | 0.0 |
| | | 1,380,783 | 0.4 |
| | | | |
| | Turkey: 0.4% |
800,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | 732,730 | 0.2 |
200,000 | | Turkey Government International Bond, 5.600%, 11/14/2024 | 197,593 | 0.1 |
461,000 | | Turkey Government International Bond, 7.375%, 02/05/2025 | 472,384 | 0.1 |
| | | 1,402,707 | 0.4 |
| | | | |
| | Ukraine: 0.4% |
250,000 | | Ukraine Government International Bond, 7.253%, 03/15/2033 | 210,695 | 0.1 |
525,000 | | Ukraine Government International Bond, 7.375%, 09/25/2032 | 445,525 | 0.1 |
800,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | 705,920 | 0.2 |
| | | 1,362,140 | 0.4 |
| | | | |
| | Uruguay: 0.0% |
75,000 | | Uruguay Government International Bond, 4.375%, 10/27/2027 | 82,609 | 0.0 |
| | | | |
| Total Sovereign Bonds | | |
| (Cost $58,416,393) | 58,258,146 | 15.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 10.8% | |
| | United States: 10.8% |
7,369,628 | (2),(4) | BANK 2017-BNK5 XA, 1.043%, 06/15/2060 | $ 285,899 | 0.1 |
967,852 | (2),(4) | BANK 2019-BNK16 XA, 0.945%, 02/15/2052 | 52,360 | 0.0 |
280,000 | (1) | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | 254,242 | 0.1 |
1,424,041 | (2),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.038%, 03/15/2052 | 87,383 | 0.0 |
300,000 | (1) | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 07/15/2053 | 297,470 | 0.1 |
1,316,000 | (1) | Benchmark 2020-B18 AGNF Mortgage Trust, 4.139%, 07/15/2053 | 1,296,784 | 0.3 |
10,407,821 | (2),(4) | Benchmark 2020-B21 xa Mortgage Trust, 1.457%, 12/17/2053 | 1,039,592 | 0.3 |
6,458,421 | (2),(4) | Benchmark 2021-B23 XA Mortgage Trust, 1.276%, 02/15/2054 | 566,100 | 0.1 |
1,888,000 | (1) | BX Commercial Mortgage Trust 2021-IRON E, 2.456%, (US0001M + 2.350%), 02/15/2038 | 1,895,750 | 0.5 |
100,000 | (1),(2) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 96,597 | 0.0 |
2,835,558 | (2),(4) | CD 2016-CD1 Mortgage Trust XA, 1.388%, 08/10/2049 | 139,296 | 0.0 |
360,000 | (1),(2) | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.432%, 08/10/2049 | 291,484 | 0.1 |
8,581,000 | (2),(4) | Citigroup Commercial Mortgage Trust 2016-C2 XB, 0.838%, 08/10/2049 | 306,780 | 0.1 |
3,409,407 | (2),(4) | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.081%, 10/12/2050 | 144,221 | 0.0 |
15,273,162 | (1),(2),(4) | COMM 2012-LTRT XA, 0.834%, 10/05/2030 | 22,302 | 0.0 |
200,000 | (1),(2) | COMM 2013-CR10 E Mortgage Trust, 4.900%, 08/10/2046 | 194,124 | 0.1 |
300,000 | (2) | COMM 2016-COR1 C, 4.333%, 10/10/2049 | 311,141 | 0.1 |
6,593,130 | (2),(4) | COMM 2016-CR28 XA, 0.715%, 02/10/2049 | 143,386 | 0.0 |
150,000 | (1),(2) | Credit Suisse Mortgage Capital Certificates 2020-NET C, 3.526%, 08/15/2037 | 152,561 | 0.0 |
350,000 | (1) | CSAIL 2020-C19 E Commercial Mortgage Trust, 2.500%, 03/15/2053 | 300,604 | 0.1 |
1,600,000 | (1) | CSWF 2021-SOP2 D, 2.423%, (US0001M + 2.317%), 06/15/2034 | 1,586,235 | 0.4 |
312,438 | (1),(8) | DBUBS 2011-LC2A F Mortgage Trust, 3.752%, (US0001M + 3.650%), 07/10/2044 | 307,127 | 0.0 |
1,470,000 | (1),(2) | DBUBS 2017-BRBK F Mortgage Trust, 3.530%, 10/10/2034 | 1,427,149 | 0.4 |
910,000 | (1),(2) | Del Amo Fashion Center Trust 2017-AMO C, 3.636%, 06/05/2035 | 833,653 | 0.2 |
530,000 | (1),(2) | DBJPM 16-C3 Mortgage Trust, 3.484%, 08/10/2049 | 444,086 | 0.1 |
99,388 | (1) | Extended Stay America Trust 2021-ESH F, 3.807%, (US0001M + 3.700%), 07/15/2038 | 99,711 | 0.0 |
170,000 | (1),(2) | Fontainebleau Miami Beach Trust 2019-FBLU F, 3.963%, 12/10/2036 | 166,380 | 0.0 |
3,527,445 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | 630,454 | 0.2 |
9,775,832 | (2),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K118 X1, 0.960%, 09/25/2030 | 684,210 | 0.2 |
7,098,640 | (2),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K122 X1, 0.883%, 11/25/2030 | 464,783 | 0.1 |
26,191,193 | (2),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K151 X1, 0.393%, 04/25/2030 | 660,296 | 0.2 |
3,595,296 | (2),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K-1517 X1, 1.331%, 07/25/2035 | 497,695 | 0.1 |
5,564,685 | (2),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K-1518 X1, 0.871%, 10/25/2035 | 489,481 | 0.1 |
1,105,000 | (1),(9) | FREMF 2016-K60 D Mortgage Trust, 0.000%, 12/25/2049 | 814,804 | 0.2 |
4,000,000 | (1),(9) | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | 2,452,825 | 0.6 |
51,026,729 | (1),(4) | FREMF 2019-KG01 X2A Mortgage Trust, 0.100%, 04/25/2029 | 213,103 | 0.1 |
5,680,000 | (1),(4) | FREMF 2019-KG01 X2B Mortgage Trust, 0.100%, 05/25/2029 | 29,323 | 0.0 |
4,114,640 | (1),(8) | GAM 2021-WF1 A LLC, 5.250%, 12/30/2026 | 4,114,640 | 1.1 |
436,000 | (1) | MF1 Multifamily Housing Mortgage Loan Trust 2021-FL5 D, 2.664%, (SOFR30A + 2.500%), 07/15/2036 | 432,007 | 0.1 |
557,000 | (1) | GAM Resecuritization Trust 2022-FRR3 BK47, 2.038%, 01/29/2052 | 490,707 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |
| | United States: (continued) |
379,000 | (1) | GAM Resecuritization Trust 2022-FRR3 BK61, 0.000%, 01/29/2052 | $ 309,252 | 0.1 |
413,000 | (1) | GAM Resecuritization Trust 2022-FRR3 BK89, 0.000%, 01/29/2052 | 298,508 | 0.1 |
215,000 | (1) | GAM Resecuritization Trust 2022-FRR3 C728, 0.000%, 01/29/2052 | 193,755 | 0.1 |
220,000 | (1) | GAM Resecuritization Trust 2022-FRR3 CK47, 0.000%, 01/29/2052 | 192,468 | 0.1 |
266,000 | (1) | GAM Resecuritization Trust 2022-FRR3 CK61, 0.000%, 01/29/2052 | 206,901 | 0.1 |
186,000 | (1) | GAM Resecuritization Trust 2022-FRR3 CK71, 1.411%, 01/29/2052 | 149,564 | 0.0 |
216,000 | (1) | GAM Resecuritization Trust 2022-FRR3 CK89, 0.000%, 01/29/2052 | 148,069 | 0.0 |
215,000 | (1) | GAM Resecuritization Trust 2022-FRR3 D728, 0.000%, 01/29/2052 | 188,313 | 0.1 |
291,000 | (1) | GAM Resecuritization Trust 2022-FRR3 DK27, 0.000%, 01/29/2052 | 291,000 | 0.1 |
173,000 | (1) | GAM Resecuritization Trust 2022-FRR3 DK41, 0.000%, 01/29/2052 | 154,308 | 0.0 |
220,000 | (1) | GAM Resecuritization Trust 2022-FRR3 DK47, 0.000%, 01/29/2052 | 187,841 | 0.0 |
72,000 | (1) | GAM Resecuritization Trust 2022-FRR3 EK27, 0.000%, 01/29/2052 | 69,015 | 0.0 |
116,000 | (1) | GAM Resecuritization Trust 2022-FRR3 EK41, 0.000%, 01/29/2052 | 101,630 | 0.0 |
1,760,000 | (1),(2) | GS Mortgage Securities Corp. Trust 2017-SLP E, 4.591%, 10/10/2032 | 1,746,938 | 0.5 |
220,000 | (1) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 135,353 | 0.0 |
4,132,262 | (2),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.008%, 11/10/2046 | 58,151 | 0.0 |
7,597,642 | (2),(4) | GS Mortgage Securities Trust 2017-GS6 XA, 1.019%, 05/10/2050 | 364,580 | 0.1 |
600,000 | (1),(2) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | 595,485 | 0.2 |
460,000 | (1),(2) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | 448,105 | 0.1 |
540,000 | (1),(2) | GS Mortgage Securities Trust 2020-GC45 SWC, 3.219%, 12/13/2039 | 514,907 | 0.1 |
1,150,000 | (1),(2) | JP Morgan Chase Commercial Mortgage Securities Corp. 2018-AON D, 4.613%, 07/05/2031 | 1,174,075 | 0.3 |
200,000 | (1),(2) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | 191,163 | 0.1 |
2,120,000 | (1),(2) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 E, 4.000%, 08/15/2046 | 1,747,813 | 0.5 |
3,310,029 | (2),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 0.829%, 06/15/2045 | 2,482 | 0.0 |
420,000 | (1),(2) | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.862%, 12/05/2038 | 391,346 | 0.1 |
240,000 | (1),(2) | LSTAR Commercial Mortgage Trust 2015-3 D, 3.165%, 04/20/2048 | 236,671 | 0.1 |
4,005,414 | (1),(2),(4) | LSTAR Commercial Mortgage Trust 2017-5 X, 0.856%, 03/10/2050 | 96,733 | 0.0 |
900,000 | (1) | MHC Commercial Mortgage Trust 2021-MHC F, 2.707%, (US0001M + 2.601%), 04/15/2038 | 896,067 | 0.2 |
1,320,000 | (1),(2) | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.602%, 11/15/2045 | 1,246,471 | 0.3 |
21,550,000 | (1),(2),(4) | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XB, 0.433%, 12/15/2047 | 268,041 | 0.1 |
250,000 | (1) | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | 241,042 | 0.1 |
200,000 | (1),(2) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.460%, 12/10/2045 | 182,449 | 0.0 |
340,000 | (1),(2) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.460%, 12/10/2045 | 245,681 | 0.1 |
5,172,646 | (2),(4) | Wells Fargo Commercial Mortgage Trust 2020-C55 XA, 1.305%, 02/15/2053 | 432,355 | 0.1 |
1,360,000 | (1),(2) | West Town Mall Trust 2017-KNOX E, 4.346%, 07/05/2030 | 1,331,922 | 0.3 |
630,000 | (1),(2) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.239%, 03/15/2045 | 532,522 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |
| | United States: (continued) |
330,000 | (1),(2) | WFRBS Commercial Mortgage Trust 2013-C14 D, 3.959%, 06/15/2046 | $ 277,044 | 0.1 |
4,530,484 | (2),(4) | WFRBS Commercial Mortgage Trust 2013-UBS1 XA, 0.944%, 03/15/2046 | 62,390 | 0.0 |
13,715,100 | (2),(4) | WFRBS Commercial Mortgage Trust 2014-C19 XA, 1.004%, 03/15/2047 | 204,819 | 0.1 |
300,000 | (1) | WFRBS Commercial Mortgage Trust 2014-C21 D, 3.497%, 08/15/2047 | 270,906 | 0.1 |
730,000 | (2) | WFRBS Commercial Mortgage Trust 2014-LC14 C, 4.344%, 03/15/2047 | 747,359 | 0.2 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $42,627,305) | 41,850,239 | 10.8 |
| | | |
U.S. TREASURY OBLIGATIONS: 4.9% | |
| | U.S. Treasury Bonds: 1.3% |
2,230,800 | | 1.375%,11/15/2031 | 2,149,759 | 0.6 |
3,600 | | 1.625%,11/15/2050 | 3,214 | 0.0 |
137,000 | | 2.000%,11/15/2041 | 133,211 | 0.0 |
2,734,100 | | 2.000%,08/15/2051 | 2,667,884 | 0.7 |
| | | 4,954,068 | 1.3 |
| | | | |
| | U.S. Treasury Notes: 3.6% |
3,565,000 | | 0.125%,05/31/2023 | 3,526,008 | 0.9 |
771,000 | | 0.250%,06/15/2024 | 752,719 | 0.2 |
322,400 | | 0.500%,11/30/2023 | 318,660 | 0.1 |
3,392,800 | | 0.875%,01/31/2024 | 3,372,523 | 0.9 |
219,700 | | 1.125%,02/15/2031 | 208,123 | 0.0 |
244,700 | | 1.250%,11/30/2026 | 240,704 | 0.1 |
1,027,800 | | 1.250%,09/30/2028 | 995,721 | 0.2 |
2,748,000 | | 1.500%,01/31/2027 | 2,733,830 | 0.7 |
408,600 | | 1.500%,11/30/2028 | 402,184 | 0.1 |
1,384,000 | | 1.750%,01/31/2029 | 1,384,757 | 0.4 |
| | | 13,935,229 | 3.6 |
| Total U.S. Treasury Obligations | | |
| (Cost $19,096,078) | 18,889,297 | 4.9 |
| | | |
ASSET-BACKED SECURITIES: 10.1% | |
| | United States: 10.1% |
1,650,000 | (1) | AGL CLO 11 Ltd. 2021-11A AJ, 1.591%, (US0003M + 1.350%), 04/15/2034 | 1,651,589 | 0.4 |
250,000 | (1) | AIG CLO 2021-1A C, 2.009%, (US0003M + 1.750%), 04/22/2034 | 244,393 | 0.1 |
1,550,000 | (1) | Allegro CLO IV Ltd. 2016-1A CR2, 2.241%, (US0003M + 2.000%), 01/15/2030 | 1,550,312 | 0.4 |
500,000 | (1) | AMMC CLO 16 Ltd. 2015-16A CR2, 2.188%, (US0003M + 1.950%), 04/14/2029 | 496,917 | 0.1 |
400,000 | (1) | Apidos CLO XXIV 2016-24A BRR, 2.304%, (US0003M + 2.050%), 10/20/2030 | 399,648 | 0.1 |
300,000 | (1) | Ares XXVIIIR CLO Ltd. 2018-28RA A2, 1.641%, (US0003M + 1.400%), 10/17/2030 | 300,153 | 0.1 |
750,000 | (1) | Barings Clo Ltd. 2019-4A C, 3.041%, (US0003M + 2.800%), 01/15/2033 | 750,793 | 0.2 |
1,190,000 | (1) | BDS 2020-FL5 C Ltd., 2.214%, (SOFR30A + 2.050%), 02/16/2037 | 1,190,272 | 0.3 |
100,000 | (1) | BDS 2021-FL9 B Ltd., 1.803%, (US0001M + 1.700%), 11/16/2038 | 99,607 | 0.0 |
510,000 | (1) | Benefit Street Partners CLO X Ltd. 2016-10A BRR, 2.404%, (US0003M + 2.150%), 04/20/2034 | 509,623 | 0.1 |
500,000 | (1) | BlueMountain CLO 2013-2A CR, 2.209%, (US0003M + 1.950%), 10/22/2030 | 496,794 | 0.1 |
250,000 | (1) | BlueMountain CLO Ltd. 2021-28A C, 2.241%, (US0003M + 2.000%), 04/15/2034 | 249,087 | 0.1 |
500,000 | (1) | BlueMountain CLO XXXI Ltd. 2021-31A A2, 1.648%, (US0003M + 1.400%), 04/19/2034 | 500,483 | 0.1 |
850,000 | (1) | BlueMountain Fuji US Clo I Ltd. 2017-1A CR, 2.504%, (US0003M + 2.250%), 07/20/2029 | 850,033 | 0.2 |
2,000,000 | (1) | Carlyle Global Market Strategies CLO 2016-1 Ltd. 2016-1A A1R2, 1.394%, (US0003M + 1.140%), 04/20/2034 | 1,997,870 | 0.5 |
300,000 | (1) | Carlyle US Clo 2017-2A A2R Ltd., 1.854%, (US0003M + 1.600%), 07/20/2031 | 300,038 | 0.1 |
700,000 | (1) | Carlyle US Clo 2017-2A CR Ltd., 1.654%, (US0003M + 1.400%), 07/20/2031 | 700,090 | 0.2 |
450,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A2R, 1.691%, (US0003M + 1.450%), 10/17/2034 | 450,227 | 0.1 |
750,000 | (1) | CIFC Funding 2013-IA BR Ltd., 2.641%, (US0003M + 2.400%), 07/16/2030 | 750,555 | 0.2 |
865,000 | (1) | CIFC Funding 2015-4A BR2 Ltd., 2.154%, (US0003M + 1.900%), 04/20/2034 | 859,193 | 0.2 |
800,000 | (1) | CIFC Funding 2020-2A AR Ltd., 1.424%, (US0003M + 1.170%), 10/20/2034 | 801,227 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | |
| | United States: (continued) |
387,864 | (2),(5) | Citigroup Mortgage Loan Trust 2006-WF1 A2E, 4.849%, 03/25/2036 | $ 229,612 | 0.1 |
600,000 | (1) | Clear Creek CLO 2015-1A CR, 2.204%, (US0003M + 1.950%), 10/20/2030 | 600,024 | 0.2 |
1,000,000 | (1) | Dryden 49 Senior Loan Fund 2017-49A CR, 2.291%, (US0003M + 2.050%), 07/18/2030 | 1,001,168 | 0.3 |
500,000 | (1) | Elmwood CLO IX Ltd. 2021-2A A, 1.384%, (US0003M + 1.130%), 07/20/2034 | 500,292 | 0.1 |
1,000,000 | (1) | Galaxy XV CLO Ltd. 2013-15A CRR, 2.091%, (US0003M + 1.850%), 10/15/2030 | 1,000,099 | 0.3 |
600,000 | (1) | Galaxy XXI CLO Ltd. 2015-21A CR, 2.004%, (US0003M + 1.750%), 04/20/2031 | 593,490 | 0.1 |
250,000 | (1) | Kayne CLO 10 Ltd. 2021-10A C, 2.009%, (US0003M + 1.750%), 04/23/2034 | 245,755 | 0.1 |
400,000 | (1) | LCM XXIV Ltd. 24A CR, 2.154%, (US0003M + 1.900%), 03/20/2030 | 399,814 | 0.1 |
500,000 | (1) | Madison Park Funding XXXI Ltd. 2018-31A C, 2.409%, (US0003M + 2.150%), 01/23/2031 | 500,184 | 0.1 |
550,000 | (1) | Marble Point CLO XIV Ltd. 2018-2A A1R, 1.534%, (US0003M + 1.280%), 01/20/2032 | 550,952 | 0.1 |
300,000 | (1),(2) | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | 306,654 | 0.1 |
300,000 | (1),(2) | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 306,363 | 0.1 |
1,100,000 | (1) | Neuberger Berman Loan Advisers CLO 30 Ltd. 2018-30A CR, 2.004%, (US0003M + 1.750%), 01/20/2031 | 1,095,559 | 0.3 |
600,000 | (1) | Neuberger Berman Loan Advisers Clo 40 Ltd. 2021-40A C, 1.991%, (US0003M + 1.750%), 04/16/2033 | 600,100 | 0.2 |
250,000 | (1) | Oak Hill Credit Partners 2021-8A C, 2.141%, (US0003M + 1.900%), 01/18/2034 | 248,573 | 0.1 |
750,000 | (1) | Oaktree CLO Ltd. 2021-1A A1, 1.401%, (US0003M + 1.160%), 07/15/2034 | 750,434 | 0.2 |
1,000,000 | (1) | OCP CLO 2014-5 A BR Ltd., 2.067%, (US0003M + 1.800%), 04/26/2031 | 994,025 | 0.3 |
450,000 | (1) | Octagon Investment Partners 30 Ltd. 2017-1A BR, 2.204%, (US0003M + 1.950%), 03/17/2030 | 449,378 | 0.1 |
900,000 | (1) | Octagon Investment Partners XIV Ltd. 2012-1A BRR, 2.341%, (US0003M + 2.100%), 07/15/2029 | 891,600 | 0.2 |
1,000,000 | (1) | Octagon Investment Partners XXI Ltd. 2014-1A BR3, 1.906%, (US0003M + 1.750%), 02/14/2031 | 997,651 | 0.3 |
1,000,000 | (1) | OHA Credit Partners VII Ltd. 2012-7A CR3, 1.960%, (US0003M + 1.800%), 02/20/2034 | 986,174 | 0.2 |
1,000,000 | (1) | Palmer Square CLO 2015-1A BR4 Ltd., 2.010%, (US0003M + 1.850%), 05/21/2034 | 992,103 | 0.3 |
3,000,000 | (1) | Palmer Square CLO Ltd. 2021-2A A, 1.391%, (US0003M + 1.150%), 07/15/2034 | 3,001,737 | 0.8 |
1,000,000 | (1) | Recette Clo Ltd. 2015-1A CRR, 2.004%, (US0003M + 1.750%), 04/20/2034 | 977,753 | 0.2 |
450,000 | (1) | Riserva Clo Ltd. 2016-3A ARR, 1.301%, (US0003M + 1.060%), 01/18/2034 | 447,925 | 0.1 |
650,000 | (1) | Shackleton 2019-15A CR CLO Ltd., 2.391%, (US0003M + 2.150%), 01/15/2032 | 648,889 | 0.2 |
900,000 | (1) | Sound Point Clo XIV Ltd. 2016-3A CR, 2.309%, (US0003M + 2.050%), 01/23/2029 | 898,920 | 0.2 |
1,000,000 | (1) | Sound Point Clo XV Ltd. 2017-1A CR, 2.309%, (US0003M + 2.050%), 01/23/2029 | 998,980 | 0.3 |
300,000 | (1) | Symphony CLO XXVI Ltd. 2021-26A CR, 2.254%, (US0003M + 2.000%), 04/20/2033 | 298,417 | 0.1 |
350,000 | (1) | TCI-Flatiron Clo 2018-1A CR Ltd., 1.879%, (US0003M + 1.750%), 01/29/2032 | 350,042 | 0.1 |
450,000 | (1) | TCW CLO 2021-1A C Ltd., 2.154%, (US0003M + 1.900%), 03/18/2034 | 447,334 | 0.1 |
500,000 | (1) | THL Credit Wind River 2016-1A CR CLO Ltd., 2.339%, (US0003M + 2.100%), 07/15/2028 | 500,131 | 0.1 |
600,000 | (1) | Venture XXVII CLO Ltd. 2017-27A CR, 2.554%, (US0003M + 2.300%), 07/20/2030 | 598,895 | 0.1 |
Principal Amount† | | | Value | | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | | |
| | United States: (continued) |
550,000 | (1) | Wellman Park CLO Ltd. 2021-1A A, 1.341%, (US0003M + 1.100%), 07/15/2034 | $ 550,159 | | 0.1 |
| | | | | |
| Total Asset-Backed Securities | | | |
| (Cost $39,128,524) | 39,108,090 | | 10.1 |
| | | | |
PURCHASED OPTIONS (10): 0.1% |
| Total Purchased Options | | | |
| (Cost $281,559) | 361,874 | | 0.1 |
| | | | |
| Total Long-Term Investments | | | |
| (Cost $393,652,937) | 391,127,065 | | 101.2 |
| | | | |
SHORT-TERM INVESTMENTS: 7.0% |
| | Commercial Paper: 3.0% |
3,000,000 | | American Electric Power Co., 0.210%, 02/14/2022 | 2,999,762 | | 0.8 |
2,000,000 | | AT&T, Inc., 0.350%, 04/12/2022 | 1,998,624 | | 0.5 |
3,500,000 | | Duke Energy Corp., 0.160%, 02/10/2022 | 3,499,849 | | 0.9 |
3,000,000 | | Waste Management, Inc., 0.260%, 03/03/2022 | 2,999,349 | | 0.8 |
| | | | |
| Total Commercial Paper | | | |
| (Cost $11,497,280) | 11,497,584 | | 3.0 |
| | | | |
| | Repurchase Agreements: 0.9% |
1,000,000 | (11) | Bank of America Inc., Repurchase Agreement dated 01/31/22, 0.04%, due 02/01/22 (Repurchase Amount $1,000,001, collateralized by various U.S. Government Agency Obligations, 1.500%-4.500%, Market Value plus accrued interest $1,020,000, due 11/01/36-02/01/52) | 1,000,000 | | 0.2 |
291,197 | (11) | Citigroup, Inc., Repurchase Agreement dated 01/31/22, 0.05%, due 02/01/22 (Repurchase Amount $291,197, collateralized by various U.S. Government Securities, 0.000%-6.000%, Market Value plus accrued interest $297,003, due 01/15/23-05/15/44) | 291,197 | | 0.1 |
1,000,000 | (11) | Daiwa Capital Markets, Repurchase Agreement dated 01/31/22, 0.05%, due 02/01/22 (Repurchase Amount $1,000,001, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 02/17/22-02/01/52) | 1,000,000 | | 0.3 |
1,000,000 | (11) | RBC Dominion Securities Inc., Repurchase Agreement dated 01/31/22, 0.05%, due 02/01/22 (Repurchase Amount $1,000,001, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.000%, Market Value plus accrued interest $1,020,000, due 08/01/24-11/20/51) | 1,000,000 | | 0.3 |
| | | | |
| Total Repurchase Agreements | | | |
| (Cost $3,291,197) | 3,291,197 | | 0.9 |
| | | | |
| | Mutual Funds: 3.1% |
12,158,000 | (12) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% | | | |
| | (Cost $12,158,000) | 12,158,000 | | 3.1 |
| | | | | |
| Total Short-Term Investments | | | |
| (Cost $26,946,477) | 26,946,781 | | 7.0 |
| | | | |
| Total Investments in Securities (Cost $420,599,414) | $ 418,073,846 | | 108.2 |
| Liabilities in Excess of Other Assets | (31,561,242) | | (8.2) |
| Net Assets | $ 386,512,604 | | 100.0 |
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at January 31, 2022:
* Valuation techniques may change in order to reflect management’s judgment of current market participant assumptions.
** Unobservable inputs were weighted by the relative fair value of the instruments.
*** Represents the directional change in the fair value of the Level 3 investment(s) that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in signficantly higher or lower fair value measurements.
**** Security is fair valued based on a single quotation obtained from a broker. The Portfolio does not have access to the unobservable inputs and therefore
cannot disclose such inputs used in formulating such quotation.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio's assets and liabilities during the period ended January 31, 2022:
***** Any difference between net change in unrealized apprecation (depreciation) and net change in unrealized appreciation (depreciation) on Level 3 securities still held at January 31, 2022 may be due to securities no longer held or categorized as Level 3 at period end.
AUD 4,908,038 | | USD 3,546,539 | | BNP Paribas | | 02/25/22 | | $ | (76,055 | ) |
EUR 649,308 | | USD 735,227 | | BNP Paribas | | 02/25/22 | | | (5,451 | ) |
SEK 51,130,005 | | USD 5,549,801 | | BNP Paribas | | 02/25/22 | | | (65,568 | ) |
USD 6,626,966 | | CAD 8,291,063 | | BNP Paribas | | 02/25/22 | | | 104,535 | |
EUR 5,701,485 | | USD 6,477,484 | | BNP Paribas | | 02/25/22 | | | (69,425 | ) |
JPY 1,307,664,770 | | USD 11,425,580 | | BNP Paribas | | 02/25/22 | | | (60,640 | ) |
NZD 6,887,507 | | USD 4,662,152 | | BNP Paribas | | 02/25/22 | | | (131,645 | ) |
USD 1,959,763 | | EUR 1,729,543 | | BNP Paribas | | 02/25/22 | | | 15,880 | |
JPY 1,297,888,097 | | USD 11,385,523 | | BNP Paribas | | 02/25/22 | | | (105,551 | ) |
AUD 5,835,176 | | USD 4,253,136 | | BNP Paribas | | 02/25/22 | | | (127,070 | ) |
CHF 2,195,708 | | USD 2,397,035 | | BNP Paribas | | 02/25/22 | | | (26,217 | ) |
USD 7,624,790 | | JPY 872,831,706 | | BNP Paribas | | 02/25/22 | | | 38,993 | |
ILS 1,073,195 | | USD 345,508 | | BNP Paribas | | 03/11/22 | | | (6,234 | ) |
USD 300,889 | | RUB 23,287,755 | | BNP Paribas | | 03/11/22 | | | 2,792 | |
MXN 21,106,560 | | USD 1,014,633 | | BNP Paribas | | 03/18/22 | | | 5,162 | |
USD 51,526 | | JPY 5,880,283 | | Brown Brothers Harriman & Co. | | 02/25/22 | | | 420 | |
USD 48,699 | | JPY 5,543,624 | | Brown Brothers Harriman & Co. | | 02/25/22 | | | 519 | |
USD 857,633 | | PEN 3,496,141 | | Citibank N.A. | | 02/04/22 | | | (50,166 | ) |
USD 191,762 | | CLP 153,647,743 | | Citibank N.A. | | 02/04/22 | | | 468 | |
EUR 2,179,271 | | USD 2,429,779 | | Citibank N.A. | | 02/25/22 | | | 19,565 | |
USD 1,436,864 | | GBP 1,068,493 | | Citibank N.A. | | 02/25/22 | | | (7,802 | ) |
USD 1,091,269 | | NOK 9,502,919 | | Citibank N.A. | | 02/25/22 | | | 23,220 | |
PLN 2,478,659 | | USD 622,691 | | Citibank N.A. | | 03/11/22 | | | (16,809 | ) |
IDR 4,978,638,523 | | USD 346,244 | | Citibank N.A. | | 03/11/22 | | | 230 | |
CLP 153,647,743 | | USD 190,578 | | Citibank N.A. | | 03/18/22 | | | (336 | ) |
DKK 4,946,164 | | USD 758,684 | | Deutsche Bank AG | | 02/25/22 | | | (11,540 | ) |
MXN 21,106,560 | | USD 999,114 | | Goldman Sachs International | | 02/04/22 | | | 23,774 | |
USD 731,440 | | COP 2,859,724,415 | | Goldman Sachs International | | 02/04/22 | | | 7,217 | |
PEN 3,496,141 | | USD 911,007 | | Goldman Sachs International | | 02/04/22 | | | (11,046 | ) |
COP 2,859,724,415 | | USD 724,678 | | Goldman Sachs International | | 02/04/22 | | | 3,734 | |
GBP 25,696,436 | | USD 35,131,782 | | Goldman Sachs International | | 02/25/22 | | | (577,647 | ) |
USD 6,351,135 | | GBP 4,662,222 | | Goldman Sachs International | | 02/25/22 | | | 81,820 | |
USD 1,521,418 | | GBP 1,131,244 | | Goldman Sachs International | | 02/25/22 | | | 228 | |
NZD 1,689,163 | | USD 1,130,031 | | Goldman Sachs International | | 02/25/22 | | | (18,922 | ) |
USD 7,299,883 | | SEK 65,931,960 | | Goldman Sachs International | | 02/25/22 | | | 227,985 | |
AUD 7,230,902 | | USD 5,197,175 | | Goldman Sachs International | | 02/25/22 | | | (84,188 | ) |
USD 5,468,485 | | CHF 4,991,633 | | Goldman Sachs International | | 02/25/22 | | | 78,763 | |
SEK 63,880,255 | | USD 7,158,380 | | Goldman Sachs International | | 02/25/22 | | | (306,549 | ) |
USD 581,673 | | EUR 517,237 | | Goldman Sachs International | | 02/25/22 | | | 337 | |
USD 1,711,563 | | NOK 15,404,057 | | Goldman Sachs International | | 02/25/22 | | | (19,725 | ) |
NZD 3,501,955 | | USD 2,326,386 | | Goldman Sachs International | | 02/25/22 | | | (22,849 | ) |
USD 4,084,356 | | AUD 5,679,974 | | Goldman Sachs International | | 02/25/22 | | | 68,033 | |
USD 8,017,672 | | EUR 6,989,555 | | Goldman Sachs International | | 02/25/22 | | | 161,915 | |
AUD 7,324 | | USD 5,249 | | Goldman Sachs International | | 02/25/22 | | | (71 | ) |
HUF 53,585,311 | | USD 170,871 | | Goldman Sachs International | | 03/11/22 | | | (2,144 | ) |
SGD 804,588 | | USD 596,491 | | Goldman Sachs International | | 03/11/22 | | | (1,008 | ) |
USD 801,436 | | RON 3,479,159 | | Goldman Sachs International | | 03/11/22 | | | 13,024 | |
USD 908,256 | | PEN 3,496,141 | | Goldman Sachs International | | 03/18/22 | | | 10,935 | |
USD 721,136 | | COP 2,859,724,415 | | Goldman Sachs International | | 03/18/22 | | | (3,646 | ) |
HKD 547,037 | | USD 70,248 | | HSBC Bank USA N.A. | | 03/11/22 | | | (88 | ) |
PHP 19,970 | | USD 386 | | HSBC Bank USA N.A. | | 03/11/22 | | | 4 | |
JPY 84,374,189 | | USD 733,147 | | JPMorgan Chase Bank N.A. | | 02/25/22 | | | 150 | |
USD 8,407,952 | | EUR 7,422,302 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 65,818 | |
USD 8,944,934 | | JPY 1,025,017,830 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 36,483 | |
EUR 1,584,996 | | USD 1,781,905 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 4,951 | |
USD 6,239,281 | | SEK 57,882,898 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 30,730 | |
NOK 34,720,698 | | USD 4,005,369 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (103,051 | ) |
USD 5,670,265 | | EUR 5,041,701 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 3,756 | |
SEK 35,094,297 | | USD 3,767,889 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (3,655 | ) |
GBP 5,683,249 | | USD 7,795,739 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (153,443 | ) |
USD 4,868,649 | | NZD 7,149,349 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 165,906 | |
USD 9,737,266 | | SEK 87,037,296 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 401,598 | |
JPY 1,074,572,481 | | USD 9,451,565 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (112,434 | ) |
USD 6,417,102 | | CAD 8,176,029 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (14,834 | ) |
NOK 43,087,316 | | USD 4,812,897 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 29,758 | |
USD 4,905,666 | | NZD 7,302,206 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 102,375 | |
SEK 6,007,046 | | USD 649,380 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (5,061 | ) |
USD 2,945,053 | | JPY 339,573,312 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (6,186 | ) |
CAD 3,998,492 | | USD 3,148,097 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | 4,005 | |
NZD 3,972,799 | | USD 2,652,499 | | Morgan Stanley Capital Services LLC | | 02/25/22 | | | (39,246 | ) |
At January 31, 2022, the following centrally cleared credit default swaps were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following centrally cleared interest rate swaps were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC total return swaps were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC volatility swaps were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC purchased equity options were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC purchased foreign currency options were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC written foreign currency options were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC purchased interest rate swaptions were outstanding for Voya Global Bond Fund:
At January 31, 2022, the following OTC written equity options were outstanding for Voya Global Bond Fund: