Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 88.7% | |||||
Asset-Backed Securities 9.9% | |||||
Automobiles 5.3% | |||||
Ally Auto Receivables Trust, | |||||
Series 2018-03, Class A3 | 3.000 % | 01/17/23 | 3,031 | $3,047,107 | |
Series 2019-02, Class A3 | 2.230 | 01/16/24 | 3,000 | 3,035,493 | |
Ally Master Owner Trust, | |||||
Series 2018-02, Class A | 3.290 | 05/15/23 | 9,100 | 9,108,190 | |
Series 2018-04, Class A | 3.300 | 07/17/23 | 10,000 | 10,065,132 | |
Bank of The West Auto Trust, Series 2017-01, Class A3, 144A | 2.110 | 01/15/23 | 84 | 83,723 | |
BMW Floorplan Master Owner Trust, Series 2018-01, Class A1, 144A | 3.150 | 05/15/23 | 5,000 | 5,005,679 | |
CarMax Auto Owner Trust, | |||||
Series 2017-04, Class A3 | 2.110 | 10/17/22 | 109 | 108,946 | |
Series 2018-01, Class A3 | 2.480 | 11/15/22 | 500 | 501,689 | |
Series 2018-02, Class A3 | 2.980 | 01/17/23 | 1,384 | 1,393,416 | |
Series 2018-03, Class A3 | 3.130 | 06/15/23 | 4,075 | 4,125,501 | |
Series 2018-04, Class A3 | 3.360 | 09/15/23 | 5,967 | 6,073,040 | |
Series 2019-02, Class A3 | 2.680 | 03/15/24 | 3,100 | 3,153,683 | |
Series 2020-04, Class A3 | 0.500 | 08/15/25 | 2,400 | 2,405,505 | |
Fifth Third Auto Trust, Series 2019-01, Class A3 | 2.640 | 12/15/23 | 1,833 | 1,859,103 | |
Ford Credit Auto Lease Trust, | |||||
Series 2020-B, Class A2A | 0.500 | 12/15/22 | 2,033 | 2,035,100 | |
Series 2020-B, Class A2B, 1 Month LIBOR + 0.260% | 0.375(c) | 12/15/22 | 2,033 | 2,034,428 | |
Ford Credit Auto Owner Trust, Series 2017-01, Class A, 144A | 2.620 | 08/15/28 | 4,600 | 4,686,970 | |
Ford Credit Floorplan Master Owner Trust, | |||||
Series 2019-01, Class A | 2.840 | 03/15/24 | 8,400 | 8,589,896 | |
Series 2019-03, Class A1 | 2.230 | 09/15/24 | 3,800 | 3,900,605 | |
GM Financial Consumer Automobile Receivables Trust, | |||||
Series 2018-03, Class A3 | 3.020 | 05/16/23 | 1,505 | 1,520,129 | |
Series 2018-04, Class A3 | 3.210 | 10/16/23 | 2,805 | 2,843,830 | |
GMF Floorplan Owner Revolving Trust, | |||||
Series 2018-04, Class A1, 144A | 3.500 | 09/15/23 | 13,100 | 13,260,175 | |
Series 2019-01, Class A, 144A | 2.700 | 04/15/24 | 10,500 | 10,743,456 | |
Honda Auto Receivables Owner Trust, | |||||
Series 2018-02, Class A3 | 3.010 | 05/18/22 | 723 | 726,333 | |
Series 2019-02, Class A3 | 2.520 | 06/21/23 | 1,654 | 1,676,973 | |
Hyundai Auto Lease Securitization Trust, Series 2020-B, Class A2, 144A | 0.360 | 01/17/23 | 2,438 | 2,439,164 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Automobiles (cont’d.) | |||||
Hyundai Floorplan Master Owner Trust, Series 2019-01, Class A, 144A | 2.680 % | 04/15/24 | 4,900 | $5,008,727 | |
Mercedes-Benz Auto Receivables Trust, Series 2018-01, Class A3 | 3.030 | 01/17/23 | 1,217 | 1,226,487 | |
Nissan Auto Receivables Owner Trust, Series 2018-B, Class A3 | 3.060 | 03/15/23 | 1,797 | 1,816,501 | |
Santander Retail Auto Lease Trust, | |||||
Series 2019-C, Class A2A, 144A | 1.890 | 09/20/22 | 6,013 | 6,035,626 | |
Series 2020-B, Class A2, 144A | 0.420 | 11/20/23 | 10,197 | 10,209,356 | |
Toyota Auto Receivables Owner Trust, Series 2018-C, Class A3 | 3.020 | 12/15/22 | 2,421 | 2,446,039 | |
World Omni Auto Receivables Trust, | |||||
Series 2018-C, Class A3 | 3.130 | 11/15/23 | 4,068 | 4,120,399 | |
Series 2018-D, Class A3 | 3.330 | 04/15/24 | 5,296 | 5,386,896 | |
Series 2019-A, Class A3 | 3.040 | 05/15/24 | 1,225 | 1,246,342 | |
World Omni Automobile Lease Securitization Trust, Series 2019-B, Class A2A | 2.050 | 07/15/22 | 2,768 | 2,775,444 | |
144,695,083 | |||||
Credit Cards 3.4% | |||||
American Express Credit Account Master Trust, | |||||
Series 2018-06, Class A | 3.060 | 02/15/24 | 7,700 | 7,746,413 | |
Series 2018-08, Class A | 3.180 | 04/15/24 | 7,700 | 7,786,946 | |
Series 2019-01, Class A | 2.870 | 10/15/24 | 15,000 | 15,349,666 | |
Series 2019-02, Class A | 2.670 | 11/15/24 | 6,900 | 7,065,356 | |
Series 2019-03, Class A | 2.000 | 04/15/25 | 14,800 | 15,155,398 | |
BA Credit Card Trust, | |||||
Series 2018-A03, Class A3 | 3.100 | 12/15/23 | 4,500 | 4,527,525 | |
Series 2019-A01, Class A1 | 1.740 | 01/15/25 | 16,600 | 16,932,364 | |
Discover Card Execution Note Trust, | |||||
Series 2018-A04, Class A4 | 3.110 | 01/16/24 | 7,400 | 7,445,108 | |
Series 2018-A05, Class A5 | 3.320 | 03/15/24 | 10,100 | 10,217,442 | |
Series 2019-A01, Class A1 | 3.040 | 07/15/24 | 1,000 | 1,019,994 | |
93,246,212 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Home Equity Loans 0.9% | |||||
Accredited Mortgage Loan Trust, Series 2004-04, Class A2D, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.700%) | 0.806 %(c) | 01/25/35 | 914 | $905,281 | |
ACE Securities Corp. Home Equity Loan Trust, Series 2003-HE01, Class M2, 1 Month LIBOR + 2.550% (Cap N/A, Floor 2.550%) | 2.656(c) | 11/25/33 | 11 | 16,240 | |
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2003-11, Class AV2, 1 Month LIBOR + 0.740% (Cap N/A, Floor 0.740%) | 0.846(c) | 12/25/33 | 196 | 193,814 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | |||||
Series 2003-W03, Class M2, 1 Month LIBOR + 2.700% (Cap N/A, Floor 2.700%) | 2.806(c) | 09/25/33 | 6,308 | 6,346,322 | |
Series 2004-W08, Class A2, 1 Month LIBOR + 0.960% (Cap N/A, Floor 0.960%) | 1.066(c) | 05/25/34 | 2 | 1,812 | |
Asset-Backed Funding Certificate Trust, | |||||
Series 2003-AHL01, Class A1 | 4.184(cc) | 03/25/33 | 218 | 221,837 | |
Series 2003-OPT01, Class A3, 1 Month LIBOR + 0.680% (Cap N/A, Floor 0.680%) | 0.786(c) | 04/25/33 | 645 | 610,103 | |
Series 2004-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 1.006(c) | 03/25/34 | 448 | 446,085 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE06, Class A2, 1 Month LIBOR + 0.680% (Cap N/A, Floor 0.680%) | 0.786(c) | 11/25/33 | 193 | 189,572 | |
Bear Stearns Asset-Backed Securities Trust, Series 2003-03, Class M1, 1 Month LIBOR + 1.230% (Cap 11.000%, Floor 1.230%) | 1.336(c) | 06/25/43 | 323 | 327,511 | |
CDC Mortgage Capital Trust, Series 2003-HE03, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.156(c) | 11/25/33 | 1,115 | 1,101,663 | |
Equifirst Mortgage Loan Trust, Series 2003-01, Class M2, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 2.956(c) | 12/25/32 | 38 | 38,431 | |
Home Equity Asset Trust, | |||||
Series 2002-03, Class M1, 1 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) | 1.456(c) | 02/25/33 | 380 | 383,502 | |
Series 2003-02, Class M1, 1 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) | 1.426(c) | 08/25/33 | 748 | 755,049 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Home Equity Loans (cont’d.) | |||||
Home Equity Asset Trust, (cont’d.) | |||||
Series 2003-03, Class M1, 1 Month LIBOR + 1.290% (Cap N/A, Floor 1.290%) | 1.396 %(c) | 08/25/33 | 664 | $664,652 | |
Series 2003-08, Class M1, 1 Month LIBOR + 1.080% (Cap N/A, Floor 1.080%) | 1.186(c) | 04/25/34 | 260 | 260,583 | |
MASTR Asset-Backed Securities Trust, Series 2004-OPT02, Class A2, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.700%) | 0.806(c) | 09/25/34 | 140 | 135,815 | |
Merrill Lynch Mortgage Investors Trust, | |||||
Series 2004-HE02, Class A1A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%) | 0.906(c) | 08/25/35 | 46 | 43,261 | |
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) | 1.306(c) | 08/25/35 | 246 | 245,768 | |
Morgan Stanley ABS Capital I, Inc. Trust, | |||||
Series 2002-NC06, Class M1, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) | 1.606(c) | 11/25/32 | 145 | 144,999 | |
Series 2003-NC05, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 1.275%) | 1.381(c) | 04/25/33 | 1,011 | 1,011,400 | |
Series 2003-NC05, Class M3, 1 Month LIBOR + 3.450% (Cap N/A, Floor 3.450%) | 3.556(c) | 04/25/33 | 86 | 87,297 | |
Series 2003-NC08, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.156(c) | 09/25/33 | 784 | 785,270 | |
Series 2003-NC08, Class M2, 1 Month LIBOR + 2.625% (Cap N/A, Floor 2.625%) | 2.731(c) | 09/25/33 | 13 | 13,181 | |
Series 2003-NC10, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.126(c) | 10/25/33 | 129 | 128,619 | |
Series 2004-HE07, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 1.006(c) | 08/25/34 | 2,453 | 2,435,149 | |
New Century Home Equity Loan Trust, Series 2004-01, Class M1, 1 Month LIBOR + 0.885% (Cap 11.500%, Floor 0.885%) | 0.991(c) | 05/25/34 | 2,773 | 2,752,279 | |
Renaissance Home Equity Loan Trust, Series 2003-01, Class A, 1 Month LIBOR + 0.860% (Cap N/A, Floor 0.860%) | 0.966(c) | 06/25/33 | 248 | 233,350 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Home Equity Loans (cont’d.) | |||||
Residential Asset Securities Trust, Series 2004-KS05, Class AI5 | 4.626 %(cc) | 06/25/34 | 4,558 | $4,664,280 | |
Saxon Asset Securities Trust, Series 2003-03, Class M2, 1 Month LIBOR + 2.400% (Cap N/A, Floor 2.400%) | 2.506(c) | 12/25/33 | 32 | 32,228 | |
25,175,353 | |||||
Residential Mortgage-Backed Securities 0.3% | |||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-R05, Class M1, 1 Month LIBOR + 0.870% (Cap N/A, Floor 0.870%) | 0.976(c) | 07/25/34 | 303 | 303,306 | |
Amortizing Residential Collateral Trust, Series 2002-BC05, Class M2, 1 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%) | 1.906(c) | 07/25/32 | 75 | 74,854 | |
Chase Funding Trust, | |||||
Series 2002-02, Class 2A1, 1 Month LIBOR + 0.500% (Cap N/A, Floor 0.500%) | 0.606(c) | 05/25/32 | 317 | 313,674 | |
Series 2003-01, Class 2A2, 1 Month LIBOR + 0.660% (Cap N/A, Floor 0.660%) | 0.766(c) | 11/25/32 | 264 | 262,498 | |
Countrywide Asset-Backed Certificates, | |||||
Series 2003-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.156(c) | 07/25/33 | 133 | 133,597 | |
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) | 0.856(c) | 03/25/34 | 141 | 140,370 | |
Credit-Based Asset Servicing & Securitization LLC, Series 2003-CB05, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.126(c) | 11/25/33 | 526 | 520,813 | |
Equity One Mortgage Pass-Through Trust, Series 2003-01, Class M1 | 4.860(cc) | 08/25/33 | 50 | 50,940 | |
First Franklin Mortgage Loan Trust, Series 2004-FF05, Class A1, 1 Month LIBOR + 0.720% (Cap N/A, Floor 0.720%) | 0.826(c) | 08/25/34 | 165 | 164,244 | |
GSAMP Trust, Series 2003-FM01, Class M2, 1 Month LIBOR + 2.775% (Cap N/A, Floor 2.775%) | 2.891(c) | 03/20/33 | 8 | 9,443 | |
HSI Asset Securitization Corp. Trust, Series 2006-OPT04, Class 2A4, 1 Month LIBOR + 0.500% (Cap N/A, Floor 0.500%) | 0.606(c) | 03/25/36 | 1,361 | 1,354,264 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Residential Mortgage-Backed Securities (cont’d.) | |||||
Long Beach Mortgage Loan Trust, | |||||
Series 2003-03, Class M1, 1 Month LIBOR + 1.125% (Cap N/A, Floor 1.125%) | 1.231 %(c) | 07/25/33 | 736 | $737,729 | |
Series 2003-04, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.126(c) | 08/25/33 | 304 | 302,376 | |
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.795%) | 0.901(c) | 06/25/34 | 1,756 | 1,733,304 | |
Series 2004-03, Class M1, 1 Month LIBOR + 0.855% (Cap N/A, Floor 0.855%) | 0.961(c) | 07/25/34 | 2,313 | 2,288,473 | |
Merrill Lynch Mortgage Investors Trust, | |||||
Series 2003-WMC02, Class M2, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 2.956(c) | 02/25/34 | 211 | 214,000 | |
Series 2004-WMC01, Class M2, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.650%) | 1.756(c) | 10/25/34 | 662 | 663,181 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC05, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 1.006(c) | 05/25/34 | 404 | 399,461 | |
Structured Asset Investment Loan Trust, Series 2003-BC01, Class A2, 1 Month LIBOR + 0.680% (Cap N/A, Floor 0.680%) | 0.786(c) | 01/25/33 | 95 | 94,152 | |
9,760,679 | |||||
Total Asset-Backed Securities (cost $265,372,245) | 272,877,327 | ||||
Certificates of Deposit 2.3% | |||||
Canadian Imperial Bank of Commerce, 3 Month LIBOR + 0.110% | 0.304(c) | 01/03/22 | 7,000 | 7,001,668 | |
Credit Agricole Corporate & Investment Bank, 3 Month LIBOR + 0.480% | 0.664(c) | 09/13/21 | 10,000 | 10,013,222 | |
Nordea Bank Abp, 3 Month LIBOR + 0.200% | 0.394(c) | 02/14/22 | 20,000 | 20,009,659 | |
Sumitomo Mitsui Banking Corp., 3 Month LIBOR + 0.350% | 0.538(c) | 07/12/21 | 5,000 | 5,002,111 | |
Svenska Handelsbanken, 3 Month LIBOR + 0.200% | 0.389(c) | 02/18/22 | 20,000 | 20,015,834 | |
Total Certificates of Deposit (cost $61,997,076) | 62,042,494 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities 15.6% | |||||
BANK, Series 2017-BNK05, Class A1 | 1.909 % | 06/15/60 | 397 | $397,887 | |
Barclays Commercial Mortgage Securities Trust, Series 2018-TALL, Class A, 144A, 1 Month LIBOR + 0.722% (Cap N/A, Floor 0.722%) | 0.837(c) | 03/15/37 | 37,270 | 37,176,206 | |
Benchmark Mortgage Trust, | |||||
Series 2018-B03, Class A2 | 3.848 | 04/10/51 | 2,160 | 2,265,851 | |
Series 2018-B05, Class A2 | 4.077 | 07/15/51 | 1,800 | 1,906,773 | |
BX Commercial Mortgage Trust, | |||||
Series 2018-BIOA, Class A, 144A, 1 Month LIBOR + 0.671% (Cap N/A, Floor 0.648%) | 0.786(c) | 03/15/37 | 35,000 | 35,037,646 | |
Series 2020-BXLP, Class A, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%) | 0.915(c) | 12/15/36 | 5,988 | 5,989,670 | |
BX Trust, Series 2018-EXCL, Class A, 144A, 1 Month LIBOR + 1.088% (Cap N/A, Floor 1.088%) | 1.203(c) | 09/15/37 | 9,369 | 9,122,847 | |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 144A, 1 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) | 1.185(c) | 12/15/37 | 9,500 | 9,511,779 | |
Citigroup Commercial Mortgage Trust, | |||||
Series 2014-GC25, Class A3 | 3.372 | 10/10/47 | 13,536 | 14,383,986 | |
Series 2016-P04, Class A2 | 2.450 | 07/10/49 | 19,939 | 20,015,105 | |
Commercial Mortgage Trust, | |||||
Series 2014-CR15, Class A2 | 2.928 | 02/10/47 | 82 | 81,863 | |
Series 2014-UBS05, Class A2 | 3.031 | 09/10/47 | 641 | 640,570 | |
Series 2018-HCLV, Class A, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) | 1.115(c) | 09/15/33 | 11,508 | 11,450,233 | |
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE04, Class A, 144A, 1 Month LIBOR + 0.980% (Cap N/A, Floor 0.980%) | 1.095(c) | 05/15/36 | 35,000 | 35,074,084 | |
Deutsche Bank Commercial Mortgage Trust, Series 2016-C03, Class A1 | 1.502 | 08/10/49 | 111 | 111,037 | |
GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 144A, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.700%) | 0.814(c) | 11/21/35 | 5,415 | 5,417,775 | |
GS Mortgage Securities Trust, | |||||
Series 2018-GS09, Class A1 | 2.861 | 03/10/51 | 398 | 398,496 | |
Series 2018-HART, Class A, 144A, 1 Month LIBOR + 1.090% (Cap N/A, Floor 1.090%) | 1.210(c) | 10/15/31 | 21,300 | 21,287,160 | |
JPMBB Commercial Mortgage Securities Trust, | |||||
Series 2013-C15, Class ASB | 3.659 | 11/15/45 | 637 | 660,988 | |
Series 2014-C18, Class A4A2, 144A | 3.794 | 02/15/47 | 7,938 | 8,427,978 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
JPMBB Commercial Mortgage Securities Trust, (cont’d.) | |||||
Series 2014-C24, Class A3 | 3.098 % | 11/15/47 | 19,500 | $19,521,571 | |
Series 2014-C24, Class A4A2, 144A | 3.373 | 11/15/47 | 25,000 | 26,446,673 | |
JPMDB Commercial Mortgage Securities Trust, Series 2020-COR07, Class A2 | 2.215 | 05/13/53 | 25,000 | 25,956,548 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |||||
Series 2014-C20, Class A3A2, 144A | 3.472 | 07/15/47 | 14,302 | 14,297,232 | |
Series 2017-FL11, Class A, 144A, 1 Month LIBOR + 0.850% (Cap N/A, Floor 0.850%) | 0.965(c) | 10/15/32 | 9,482 | 9,393,389 | |
Series 2018-WPT, Class AFL, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%) | 1.061(c) | 07/05/33 | 19,358 | 19,382,320 | |
Series 2019-BKWD, Class A, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) | 1.115(c) | 09/15/29 | 4,600 | 4,605,938 | |
Ladder Capital Commercial Mortgage Securities Trust, Series 2017-LC26, Class A2, 144A | 3.128 | 07/12/50 | 4,705 | 4,743,332 | |
LSTAR Commercial Mortgage Trust, Series 2017-05, Class A2, 144A | 2.776 | 03/10/50 | 10,297 | 10,380,190 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |||||
Series 2012-C06, Class A4 | 2.858 | 11/15/45 | 3,628 | 3,675,023 | |
Series 2013-C07, Class A3 | 2.655 | 02/15/46 | 5,849 | 5,943,156 | |
Morgan Stanley Capital I Trust, | |||||
Series 2012-C04, Class A4 | 3.244 | 03/15/45 | 3,428 | 3,469,382 | |
Series 2016-UB12, Class A2 | 2.932 | 12/15/49 | 13,200 | 13,361,000 | |
Series 2018-H03, Class A2 | 3.997 | 07/15/51 | 2,250 | 2,387,213 | |
One New York Plaza Trust, Series 2020-01NYP, Class A, 144A, 1 Month LIBOR + 0.950% | 1.065(c) | 01/15/26 | 11,900 | 11,959,554 | |
UBS Commercial Mortgage Trust, Series 2018-C08, Class A2 | 3.713 | 02/15/51 | 2,400 | 2,499,167 | |
UBS-Barclays Commercial Mortgage Trust, | |||||
Series 2012-C03, Class A4 | 3.091 | 08/10/49 | 8,436 | 8,657,896 | |
Series 2012-C04, Class A3 | 2.533 | 12/10/45 | 14,509 | 14,515,413 | |
Series 2012-C04, Class A5 | 2.850 | 12/10/45 | 4,512 | 4,640,396 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-P02, Class A2B | 4.839(cc) | 12/15/48 | 3,388 | 3,450,034 | |
Total Commercial Mortgage-Backed Securities (cost $428,655,888) | 428,643,361 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds 60.9% | |||||
Aerospace & Defense 0.6% | |||||
General Dynamics Corp., Gtd. Notes, 3 Month LIBOR + 0.380% | 0.583 %(c) | 05/11/21 | 10,675 | $10,675,828 | |
Lockheed Martin Corp., Sr. Unsec’d. Notes | 3.350 | 09/15/21 | 5,263 | 5,322,518 | |
15,998,346 | |||||
Agriculture 0.1% | |||||
Cargill, Inc., Sr. Unsec’d. Notes, 144A | 1.375 | 07/23/23 | 3,000 | 3,065,047 | |
Airlines 0.7% | |||||
Southwest Airlines Co., Sr. Unsec’d. Notes | 4.750 | 05/04/23 | 17,500 | 18,904,871 | |
Apparel 0.6% | |||||
VF Corp., Sr. Unsec’d. Notes | 2.050 | 04/23/22 | 15,000 | 15,248,391 | |
Auto Manufacturers 3.7% | |||||
American Honda Finance Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.350% | 0.545(c) | 11/05/21 | 3,410 | 3,414,853 | |
BMW US Capital LLC (Germany), | |||||
Gtd. Notes, 144A, SOFR + 0.530% | 0.540(c) | 04/01/24 | 8,500 | 8,517,763 | |
Gtd. Notes, 144A | 1.850 | 09/15/21 | 8,000 | 8,035,398 | |
Gtd. Notes, 144A | 3.400 | 08/13/21 | 7,000 | 7,061,080 | |
Gtd. Notes, 144A | 3.800 | 04/06/23 | 10,000 | 10,622,152 | |
Daimler Finance North America LLC (Germany), Sr. Unsec’d. Notes, 144A | 0.750 | 03/01/24 | 31,500 | 31,421,560 | |
Toyota Motor Credit Corp., | |||||
Sr. Unsec’d. Notes, MTN, SOFR + 0.300% | 0.310(c) | 06/13/22 | 10,000 | 10,007,714 | |
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.290% | 0.490(c) | 10/07/21 | 11,000 | 11,011,774 | |
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.690% (Cap N/A, Floor 0.000%) | 0.878(c) | 01/11/22 | 550 | 552,321 | |
Volkswagen Group of America Finance LLC (Germany), Gtd. Notes, 144A | 2.900 | 05/13/22 | 10,000 | 10,247,875 | |
100,892,490 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks 14.7% | |||||
Australia & New Zealand Banking Group Ltd. (Australia), Sr. Unsec’d. Notes, 144A, MTN, 3 Month LIBOR + 0.490% | 0.672 %(c) | 11/21/22 | 20,434 | $20,549,208 | |
Banco Santander SA (Spain), | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.560% | 1.748(c) | 04/11/22 | 12,200 | 12,324,134 | |
Sr. Unsec’d. Notes | 3.500 | 04/11/22 | 4,000 | 4,113,764 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.000 | 05/13/21 | 1,225 | 1,226,473 | |
Bank of New York Mellon Corp. (The), | |||||
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 1.050% | 1.236(c) | 10/30/23 | 1,927 | 1,951,845 | |
Sr. Unsec’d. Notes, MTN | 1.950 | 08/23/22 | 6,700 | 6,850,156 | |
Bank of Nova Scotia (The) (Canada), | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.620% | 0.810(c) | 09/19/22 | 1,750 | 1,762,933 | |
Sr. Unsec’d. Notes | 1.625 | 05/01/23 | 14,000 | 14,344,574 | |
Banque Federative du Credit Mutuel SA (France), | |||||
Sr. Unsec’d. Notes, 144A | 0.650 | 02/27/24 | 17,750 | 17,755,196 | |
Sr. Unsec’d. Notes, 144A, MTN, 3 Month LIBOR + 0.730% | 0.918(c) | 07/20/22 | 960 | 967,078 | |
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes | 1.700 | 05/12/22 | 26,000 | 26,351,279 | |
Canadian Imperial Bank of Commerce (Canada), | |||||
Sr. Unsec’d. Notes | 0.000(cc) | 03/17/23 | 21,000 | 21,186,617 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.720% | 0.910(c) | 06/16/22 | 2,260 | 2,276,764 | |
Citibank NA, Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600% | 0.782(c) | 05/20/22 | 4,750 | 4,751,254 | |
Commonwealth Bank of Australia (Australia), | |||||
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.700% | 0.883(c) | 03/10/22 | 5,000 | 5,026,664 | |
Sr. Unsec’d. Notes, 144A, MTN, 3 Month LIBOR + 0.680% | 0.870(c) | 09/18/22 | 250 | 251,964 | |
Cooperatieve Rabobank UA (Netherlands), Sr. Unsec’d. Notes, SOFR + 0.300% | 0.310(c) | 01/12/24 | 14,000 | 14,007,179 | |
Credit Suisse AG (Switzerland), | |||||
Sr. Unsec’d. Notes, SOFR + 0.390% | 0.411(c) | 02/02/24 | 7,500 | 7,468,848 | |
Sr. Unsec’d. Notes, SOFR + 0.450% | 0.469(c) | 02/04/22 | 18,000 | 17,997,263 | |
Sr. Unsec’d. Notes | 2.100 | 11/12/21 | 9,000 | 9,082,828 | |
Fifth Third Bank NA, Sr. Unsec’d. Notes, MTN | 1.800 | 01/30/23 | 7,000 | 7,169,838 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks (cont’d.) | |||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 0.627 %(ff) | 11/17/23 | 20,000 | $20,022,726 | |
Huntington National Bank (The), Sr. Unsec’d. Notes | 1.800 | 02/03/23 | 8,000 | 8,188,339 | |
ING Groep NV (Netherlands), Sr. Unsec’d. Notes, 3 Month LIBOR + 1.150% | 1.343(c) | 03/29/22 | 4,000 | 4,035,600 | |
KeyBank NA, Sr. Unsec’d. Notes | 1.250 | 03/10/23 | 12,500 | 12,699,457 | |
Lloyds Banking Group PLC (United Kingdom), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.800% | 0.987(c) | 06/21/21 | 3,000 | 3,003,065 | |
Mitsubishi UFJ Financial Group, Inc. (Japan), Sr. Unsec’d. Notes | 2.623 | 07/18/22 | 20,000 | 20,541,785 | |
Mizuho Financial Group, Inc. (Japan), Sr. Unsec’d. Notes | 2.273 | 09/13/21 | 9,210 | 9,276,987 | |
Morgan Stanley, | |||||
Sr. Unsec’d. Notes, GMTN | 0.000(cc) | 01/20/23 | 9,167 | 9,186,741 | |
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 1.400% | 1.576(c) | 10/24/23 | 11,551 | 11,735,771 | |
Sr. Unsec’d. Notes, MTN | 2.625 | 11/17/21 | 3,500 | 3,545,185 | |
National Australia Bank Ltd. (Australia), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.890% | 1.078(c) | 01/10/22 | 400 | 402,246 | |
National Securities Clearing Corp., | |||||
Sr. Unsec’d. Notes, 144A | 0.400 | 12/07/23 | 12,750 | 12,747,970 | |
Sr. Unsec’d. Notes, 144A | 1.200 | 04/23/23 | 5,000 | 5,087,992 | |
PNC Bank NA, | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.325% | 0.501(c) | 02/24/23 | 14,000 | 14,020,928 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.500% | 0.681(c) | 07/27/22 | 350 | 351,846 | |
Santander UK PLC (United Kingdom), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.660% | 0.854(c) | 11/15/21 | 9,000 | 9,026,344 | |
Toronto-Dominion Bank (The) (Canada), Sr. Unsec’d. Notes, MTN | 0.000(cc) | 01/27/23 | 2,750 | 2,762,518 | |
Truist Bank, | |||||
Sr. Unsec’d. Notes | 0.000(cc) | 03/09/23 | 2,750 | 2,772,959 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.590% | 0.782(c) | 05/17/22 | 15,000 | 15,072,735 | |
UBS AG (Switzerland), | |||||
Sr. Unsec’d. Notes, 144A, MTN, SOFR + 0.360% | 0.378(c) | 02/09/24 | 7,500 | 7,502,399 | |
Sr. Unsec’d. Notes, 144A, MTN | 0.450 | 02/09/24 | 5,000 | 4,972,885 | |
US Bank NA, Sr. Unsec’d. Notes, 3 Month LIBOR + 0.440% | 0.615(c) | 05/23/22 | 6,300 | 6,323,265 | |
Wells Fargo & Co., Sr. Unsec’d. Notes | 2.100 | 07/26/21 | 10,000 | 10,042,711 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks (cont’d.) | |||||
Wells Fargo Bank NA, Sr. Unsec’d. Notes | 2.082 %(ff) | 09/09/22 | 12,000 | $12,072,827 | |
Westpac Banking Corp. (Australia), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.720% | 0.914(c) | 05/15/23 | 175 | 177,010 | |
402,988,150 | |||||
Beverages 1.3% | |||||
Coca-Cola European Partners PLC (United Kingdom), | |||||
Sr. Unsec’d. Notes, 144A | 0.500 | 05/05/23 | 8,000 | 7,998,284 | |
Sr. Unsec’d. Notes, 144A | 0.800 | 05/03/24 | 3,000 | 3,000,142 | |
Keurig Dr. Pepper, Inc., Gtd. Notes | 3.551 | 05/25/21 | 10,000 | 10,019,202 | |
PepsiCo, Inc., Sr. Unsec’d. Notes | 0.400 | 10/07/23 | 14,500 | 14,539,222 | |
35,556,850 | |||||
Biotechnology 0.4% | |||||
Gilead Sciences, Inc., | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.520% | 0.713(c) | 09/29/23 | 6,000 | 6,006,022 | |
Sr. Unsec’d. Notes | 0.750 | 09/29/23 | 6,000 | 6,007,673 | |
12,013,695 | |||||
Chemicals 0.3% | |||||
Air Liquide Finance SA (France), Gtd. Notes, 144A | 2.250 | 09/27/23 | 2,780 | 2,891,971 | |
Nutrien Ltd. (Canada), Sr. Unsec’d. Notes | 1.900 | 05/13/23 | 5,000 | 5,131,490 | |
8,023,461 | |||||
Commercial Services 0.5% | |||||
PayPal Holdings, Inc., Sr. Unsec’d. Notes | 1.350 | 06/01/23 | 9,000 | 9,167,952 | |
Verisk Analytics, Inc., Sr. Unsec’d. Notes | 5.800 | 05/01/21 | 5,000 | 5,000,000 | |
14,167,952 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Computers 0.9% | |||||
Apple, Inc., Sr. Unsec’d. Notes | 1.700 % | 09/11/22 | 5,000 | $5,100,038 | |
International Business Machines Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.400% | 0.594(c) | 05/13/21 | 18,800 | 18,801,873 | |
23,901,911 | |||||
Cosmetics/Personal Care 0.6% | |||||
Procter & Gamble Co. (The), Sr. Unsec’d. Notes | 2.150 | 08/11/22 | 6,499 | 6,661,560 | |
Unilever Capital Corp. (United Kingdom), Gtd. Notes | 0.375 | 09/14/23 | 10,000 | 10,021,456 | |
16,683,016 | |||||
Diversified Financial Services 2.2% | |||||
American Express Co., Sr. Unsec’d. Notes | 3.700 | 11/05/21 | 24,000 | 24,350,749 | |
American Express Credit Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.700% | 0.884(c) | 03/03/22 | 1,561 | 1,568,823 | |
Aviation Capital Group LLC, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.950% | 1.141(c) | 06/01/21 | 19,000 | 18,998,041 | |
Capital One Bank USA NA, Sub. Notes | 3.375 | 02/15/23 | 6,000 | 6,298,312 | |
Charles Schwab Corp. (The), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.320% | 0.502(c) | 05/21/21 | 10,500 | 10,500,709 | |
61,716,634 | |||||
Electric 4.8% | |||||
American Electric Power Co., Inc., | |||||
Sr. Unsec’d. Notes, Series A, 3 Month LIBOR + 0.480% | 0.685(c) | 11/01/23 | 12,000 | 12,017,944 | |
Sr. Unsec’d. Notes, Series I | 3.650 | 12/01/21 | 5,051 | 5,145,274 | |
CenterPoint Energy, Inc., Sr. Unsec’d. Notes | 3.600 | 11/01/21 | 9,250 | 9,396,090 | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series C, 3 Month LIBOR + 0.400% | 0.601(c) | 06/25/21 | 9,000 | 9,004,728 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Electric (cont’d.) | |||||
Consolidated Edison, Inc., Sr. Unsec’d. Notes | 2.000 % | 05/15/21 | 3,500 | $3,501,769 | |
DTE Energy Co., Sr. Unsec’d. Notes | 2.250 | 11/01/22 | 27,000 | 27,711,900 | |
Duke Energy Corp., Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.500% | 0.698(c) | 05/14/21 | 500 | 500,039 | |
Duke Energy Florida LLC, Sr. Unsec’d. Notes, Series A, 3 Month LIBOR + 0.250% | 0.440(c) | 11/26/21 | 345 | 345,260 | |
Enel Finance International NV (Italy), | |||||
Gtd. Notes, 144A | 2.750 | 04/06/23 | 2,500 | 2,600,023 | |
Gtd. Notes, 144A | 4.250 | 09/14/23 | 5,000 | 5,406,277 | |
Entergy Louisiana LLC, First Mortgage | 0.620 | 11/17/23 | 10,750 | 10,762,259 | |
National Rural Utilities Cooperative Finance Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.375% | 0.574(c) | 06/30/21 | 369 | 369,185 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | 2.900 | 04/01/22 | 17,500 | 17,924,124 | |
PPL Electric Utilities Corp., First Mortgage | 2.500 | 09/01/22 | 9,000 | 9,198,517 | |
WEC Energy Group, Inc., Sr. Unsec’d. Notes | 0.800 | 03/15/24 | 17,000 | 17,033,216 | |
130,916,605 | |||||
Foods 2.1% | |||||
Mondelez International Holdings Netherlands BV, Gtd. Notes, 144A | 2.000 | 10/28/21 | 10,000 | 10,068,115 | |
Mondelez International, Inc., Sr. Unsec’d. Notes | 0.625 | 07/01/22 | 21,900 | 21,969,176 | |
Nestle Holdings, Inc., | |||||
Gtd. Notes, 144A | 0.375 | 01/15/24 | 10,000 | 9,967,324 | |
Gtd. Notes, 144A | 3.100 | 09/24/21 | 15,500 | 15,638,009 | |
57,642,624 | |||||
Forest Products & Paper 0.5% | |||||
Georgia-Pacific LLC, Sr. Unsec’d. Notes, 144A | 3.734 | 07/15/23 | 14,126 | 15,023,987 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Gas 0.4% | |||||
Atmos Energy Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.380% | 0.565 %(c) | 03/09/23 | 12,000 | $12,004,360 | |
Healthcare-Products 0.2% | |||||
Stryker Corp., Sr. Unsec’d. Notes | 0.600 | 12/01/23 | 4,750 | 4,751,223 | |
Household Products/Wares 0.7% | |||||
Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A, 3 Month LIBOR + 0.560% | 0.751(c) | 06/24/22 | 18,050 | 18,149,598 | |
Insurance 6.8% | |||||
AIA Group Ltd. (Hong Kong), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.520% | 0.707(c) | 09/20/21 | 24,400 | 24,399,610 | |
Ambac Assurance Corp., Sub. Notes, 144A | 5.100 | –(d)(rr) | 11 | 14,537 | |
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 2.750 | 03/15/23 | 13,000 | 13,536,081 | |
Equitable Financial Life Global Funding, Sec’d. Notes, 144A, SOFR + 0.390% | 0.400(c) | 04/06/23 | 25,000 | 25,007,024 | |
Jackson National Life Global Funding, Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.480% | 0.657(c) | 06/11/21 | 16,800 | 16,807,134 | |
Metropolitan Life Global Funding I, | |||||
Sec’d. Notes, 144A | 3.450 | 10/09/21 | 9,250 | 9,379,951 | |
Sec’d. Notes, 144A, MTN | 3.375 | 01/11/22 | 13,750 | 14,045,897 | |
New York Life Global Funding, | |||||
Sec’d. Notes, 144A, 3 Month LIBOR + 0.320% | 0.513(c) | 08/06/21 | 5,500 | 5,503,850 | |
Sec’d. Notes, 144A | 2.900 | 01/17/24 | 2,000 | 2,125,520 | |
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.440% | 0.628(c) | 07/12/22 | 16,760 | 16,831,490 | |
Pacific Life Global Funding II, Sr. Sec’d. Notes, 144A | 0.500 | 09/23/23 | 12,000 | 12,017,203 | |
Principal Life Global Funding II, | |||||
Sec’d. Notes, 144A, SOFR + 0.450% | 0.460(c) | 04/12/24 | 2,750 | 2,752,118 | |
Sec’d. Notes, 144A | 0.500 | 01/08/24 | 17,750 | 17,720,617 | |
Protective Life Global Funding, | |||||
Sec’d. Notes, 144A | 0.631 | 10/13/23 | 10,750 | 10,778,990 | |
Sr. Sec’d. Notes, 144A | 0.473 | 01/12/24 | 15,000 | 14,906,708 | |
185,826,730 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Machinery-Construction & Mining 0.6% | |||||
Caterpillar Financial Services Corp., | |||||
Sr. Unsec’d. Notes | 1.700 % | 08/09/21 | 1,471 | $1,476,764 | |
Sr. Unsec’d. Notes, MTN | 0.450 | 09/14/23 | 15,000 | 15,045,476 | |
16,522,240 | |||||
Machinery-Diversified 1.0% | |||||
John Deere Capital Corp., | |||||
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.260% | 0.443(c) | 09/10/21 | 10,600 | 10,607,766 | |
Sr. Unsec’d. Notes, MTN | 3.900 | 07/12/21 | 4,600 | 4,632,049 | |
Otis Worldwide Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.450% | 0.644(c) | 04/05/23 | 13,225 | 13,213,264 | |
28,453,079 | |||||
Media 0.7% | |||||
Cox Communications, Inc., Sr. Unsec’d. Notes, 144A | 2.950 | 06/30/23 | 3,500 | 3,657,745 | |
TWDC Enterprises 18 Corp., Gtd. Notes, MTN, 3 Month LIBOR + 0.390% | 0.573(c) | 03/04/22 | 3,750 | 3,761,300 | |
Walt Disney Co. (The), | |||||
Gtd. Notes, 3 Month LIBOR + 0.250% | 0.441(c) | 09/01/21 | 3,000 | 3,002,098 | |
Gtd. Notes, 3 Month LIBOR + 0.390% | 0.581(c) | 09/01/22 | 8,000 | 8,031,083 | |
18,452,226 | |||||
Oil & Gas 4.5% | |||||
BP Capital Markets America, Inc., Gtd. Notes | 2.112 | 09/16/21 | 11,126 | 11,180,082 | |
Exxon Mobil Corp., | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.370% | 0.546(c) | 03/06/22 | 1,362 | 1,366,078 | |
Sr. Unsec’d. Notes | 1.571 | 04/15/23 | 21,000 | 21,523,225 | |
Phillips 66, | |||||
Gtd. Notes | 0.900 | 02/15/24 | 16,000 | 16,012,313 | |
Gtd. Notes | 3.700 | 04/06/23 | 7,200 | 7,626,686 | |
Gtd. Notes | 4.300 | 04/01/22 | 4,000 | 4,142,600 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 0.750 | 01/15/24 | 10,750 | 10,755,395 | |
Saudi Arabian Oil Co. (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 2.750 | 04/16/22 | 13,020 | 13,304,744 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Total Capital International SA (France), Gtd. Notes | 2.218 % | 07/12/21 | 11,000 | $11,023,284 | |
Valero Energy Corp., | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.150% | 1.334(c) | 09/15/23 | 15,000 | 15,031,485 | |
Sr. Unsec’d. Notes | 2.700 | 04/15/23 | 12,000 | 12,476,850 | |
124,442,742 | |||||
Pharmaceuticals 3.1% | |||||
AbbVie, Inc., | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.460% | 0.641(c) | 11/19/21 | 5,000 | 5,007,250 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.650% | 0.832(c) | 11/21/22 | 4,000 | 4,025,378 | |
Sr. Unsec’d. Notes | 3.375 | 11/14/21 | 4,000 | 4,064,009 | |
AmerisourceBergen Corp., Sr. Unsec’d. Notes | 0.737 | 03/15/23 | 26,500 | 26,569,177 | |
Bayer US Finance II LLC (Germany), Gtd. Notes, 144A | 3.500 | 06/25/21 | 7,500 | 7,514,113 | |
Bristol-Myers Squibb Co., | |||||
Sr. Unsec’d. Notes | 0.537 | 11/13/23 | 20,000 | 20,019,609 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.380% | 0.574(c) | 05/16/22 | 4,000 | 4,012,132 | |
EMD Finance LLC (Germany), Gtd. Notes, 144A | 2.950 | 03/19/22 | 1,500 | 1,527,466 | |
GlaxoSmithKline Capital PLC (United Kingdom), Gtd. Notes | 0.534 | 10/01/23 | 13,500 | 13,543,277 | |
86,282,411 | |||||
Pipelines 1.3% | |||||
Enterprise Products Operating LLC, | |||||
Gtd. Notes | 3.500 | 02/01/22 | 19,250 | 19,699,070 | |
Gtd. Notes | 3.900 | 02/15/24 | 4,376 | 4,732,981 | |
Southern Natural Gas Co. LLC, Sr. Unsec’d. Notes, 144A | 0.625 | 04/28/23 | 4,250 | 4,250,705 | |
TransCanada PipeLines Ltd. (Canada), Sr. Unsec’d. Notes | 2.500 | 08/01/22 | 7,000 | 7,189,736 | |
35,872,492 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Real Estate Investment Trusts (REITs) 0.7% | |||||
Public Storage, Sr. Unsec’d. Notes | 0.000 %(cc) | 04/23/24 | 20,000 | $20,012,837 | |
Retail 1.9% | |||||
7-Eleven, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 0.625 | 02/10/23 | 5,000 | 5,004,776 | |
Sr. Unsec’d. Notes, 144A | 0.800 | 02/10/24 | 7,000 | 6,990,406 | |
AutoZone, Inc., Sr. Unsec’d. Notes | 3.700 | 04/15/22 | 15,610 | 15,974,178 | |
Home Depot, Inc. (The), | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.310% | 0.501(c) | 03/01/22 | 2,419 | 2,424,610 | |
Sr. Unsec’d. Notes | 2.625 | 06/01/22 | 6,000 | 6,144,244 | |
McDonald’s Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.430% | 0.614(c) | 10/28/21 | 3,100 | 3,105,130 | |
Starbucks Corp., Sr. Unsec’d. Notes | 1.300 | 05/07/22 | 2,000 | 2,021,290 | |
Walmart, Inc., Sr. Unsec’d. Notes | 3.125 | 06/23/21 | 11,717 | 11,764,150 | |
53,428,784 | |||||
Savings & Loans 0.9% | |||||
Nationwide Building Society (United Kingdom), Sr. Unsec’d. Notes, 144A | 0.550 | 01/22/24 | 25,000 | 24,924,659 | |
Semiconductors 0.4% | |||||
Intel Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.350% | 0.553(c) | 05/11/22 | 10,000 | 10,025,987 | |
Software 0.6% | |||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 0.600 | 03/01/24 | 14,250 | 14,215,549 | |
Infor, Inc., Sr. Unsec’d. Notes, 144A | 1.450 | 07/15/23 | 1,800 | 1,825,217 | |
16,040,766 | |||||
Telecommunications 2.3% | |||||
NTT Finance Corp. (Japan), Gtd. Notes, 144A | 0.583 | 03/01/24 | 15,250 | 15,225,211 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Telecommunications (cont’d.) | |||||
Rogers Communications, Inc. (Canada), Gtd. Notes, 3 Month LIBOR + 0.600% | 0.787 %(c) | 03/22/22 | 10,400 | $10,435,125 | |
Verizon Communications, Inc., | |||||
Sr. Unsec’d. Notes | 0.000(cc) | 03/22/24 | 23,000 | 23,104,477 | |
Sr. Unsec’d. Notes | 0.750 | 03/22/24 | 12,000 | 12,052,027 | |
Vodafone Group PLC (United Kingdom), Sr. Unsec’d. Notes | 2.500 | 09/26/22 | 3,600 | 3,699,978 | |
64,516,818 | |||||
Transportation 0.8% | |||||
Ryder System, Inc., Sr. Unsec’d. Notes, MTN | 2.875 | 06/01/22 | 6,000 | 6,147,532 | |
United Parcel Service, Inc., | |||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.380% | 0.574(c) | 05/16/22 | 11,800 | 11,834,794 | |
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.450% | 0.652(c) | 04/01/23 | 5,144 | 5,176,392 | |
23,158,718 | |||||
Total Corporate Bonds (cost $1,663,035,838) | 1,675,609,700 | ||||
Total Long-Term Investments (cost $2,419,061,047) | 2,439,172,882 |
Shares | |||||
Short-Term Investments 11.6% | |||||
Affiliated Mutual Fund 0.4% | |||||
PGIM Core Ultra Short Bond Fund (cost $11,773,385)(wb) | 11,773,385 | 11,773,385 |
Interest Rate | Maturity Date | Principal Amount (000)# | |||||
Certificates of Deposit 3.5% | |||||||
Bank of Montreal, 3 Month LIBOR + 0.110% | 0.294 %(c) | 12/13/21 | 10,000 | 10,005,471 | |||
Lloyds Bank Corporate Markets PLC, 3 Month LIBOR + 0.190% | 0.380(c) | 11/26/21 | 25,000 | 24,981,796 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Certificates of Deposit (Continued) | |||||
Natixis SA, 3 Month LIBOR + 0.130% | 0.315 %(c) | 12/09/21 | 25,000 | $25,013,486 | |
Royal Bank of Canada, 3 Month LIBOR + 0.110% | 0.300(c) | 12/16/21 | 10,000 | 10,005,545 | |
Skandinaviska Enskilda Banken AB, 3 Month LIBOR + 0.070% | 0.254(c) | 12/03/21 | 25,000 | 24,988,277 | |
Total Certificates of Deposit (cost $95,000,000) | 94,994,575 | ||||
Commercial Paper 6.3% | |||||
AT&T, Inc., 144A | 0.381(n) | 11/16/21 | 25,000 | 24,962,083 | |
Glencore Funding LLC, 144A | 0.350(n) | 06/25/21 | 10,000 | 9,994,913 | |
HSBC Bank PLC, 144A, 3 Month LIBOR + 0.130% | 0.312(c) | 09/17/21 | 12,500 | 12,504,649 | |
HSBC Bank USA NA, 144A | 0.462(n) | 12/10/21 | 15,000 | 14,967,053 | |
Province of Alberta Canada, 144A | 0.301(n) | 12/09/21 | 8,000 | 7,991,625 | |
Societe Generale SA, 144A, 3 Month LIBOR + 0.160% | 0.344(c) | 12/13/21 | 25,000 | 25,019,932 | |
Toronto-Dominion Bank (The), 144A, 3 Month LIBOR + 0.090% | 0.274(c) | 12/03/21 | 25,000 | 25,010,199 | |
UBS AG, 144A, 3 Month LIBOR + 0.080% | 0.268(c) | 10/12/21 | 12,500 | 12,502,413 | |
Volkswagen Group of America Finance LLC, 144A | 0.523(n) | 10/25/21 | 15,000 | 14,961,508 | |
Walt Disney Co. (The), 144A | 0.000(n) | 03/31/22 | 5,500 | 5,486,305 | |
Waste Management, Inc., 144A | 0.351(n) | 07/12/21 | 20,000 | 19,990,145 | |
Total Commercial Paper (cost $173,316,562) | 173,390,825 | ||||
Corporate Bonds 1.4% | |||||
Biotechnology 0.1% | |||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.150% | 0.332%(c) | 09/17/21 | 3,500,000 | 3,500,755 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Electric 0.9% | |||||
Southern California Edison Co., First Mortgage, Series D, 3 Month LIBOR + 0.270% | 0.454%(c) | 12/03/21 | 24,750,000 | $24,755,768 | |
Pharmaceuticals 0.4% | |||||
AbbVie, Inc., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.350% | 0.532%(c) | 05/21/21 | 11,000,000 | 11,001,313 | |
Total Corporate Bonds (cost $39,250,000) | 39,257,836 | ||||
Total Short-Term Investments (cost $319,339,947) | 319,416,621 | ||||
TOTAL INVESTMENTS 100.3% (cost $2,738,400,994) | 2,758,589,503 | ||||
Liabilities in excess of other assets(z) (0.3)% | (9,259,709) | ||||
Net Assets 100.0% | $2,749,329,794 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. |
A | Annual payment frequency for swaps |
ABS | Asset-Backed Security |
AMBAC | American Municipal Bond Assurance Corp. |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MASTR | Morgan Stanley Structured Asset Security |
MTN | Medium Term Note |
Q | Quarterly payment frequency for swaps |
REITs | Real Estate Investment Trust |
S | Semiannual payment frequency for swaps |
SOFR | Secured Overnight Financing Rate |
USOIS | United States Overnight Index Swap |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2021. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of April 30, 2021. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(rr) | Perpetual security with no stated maturity date. |
(wb) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at April 30, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
173,790 | 05/09/21 | 2.855%(S) | 3 Month LIBOR(1)(Q) | $(774,544) | $(2,425,161) | $(1,650,617) | ||||||||
26,500 | 07/27/21 | 2.929%(S) | 3 Month LIBOR(1)(Q) | (440,672) | (376,749) | 63,923 | ||||||||
95,600 | 10/02/21 | 1.898%(S) | 3 Month LIBOR(1)(Q) | 2,013,686 | (824,662) | (2,838,348) | ||||||||
22,000 | 10/04/21 | 3.046%(S) | 3 Month LIBOR(1)(Q) | (535,710) | (314,200) | 221,510 | ||||||||
33,301 | 01/11/22 | 2.672%(S) | 3 Month LIBOR(1)(Q) | (135,630) | (840,198) | (704,568) | ||||||||
7,000 | 01/24/22 | 2.426%(S) | 3 Month LIBOR(1)(Q) | — | (159,357) | (159,357) | ||||||||
24,550 | 04/01/22 | 2.265%(S) | 3 Month LIBOR(1)(Q) | 11,634 | (503,792) | (515,426) | ||||||||
49,030 | 04/12/22 | 2.357%(S) | 3 Month LIBOR(1)(Q) | (286,839) | (1,052,689) | (765,850) | ||||||||
74,000 | 06/15/22 | 1.873%(S) | 3 Month LIBOR(1)(Q) | (116,415) | (1,884,779) | (1,768,364) | ||||||||
21,900 | 07/02/22 | (0.001)%(A) | 1 Day USOIS(1)(A) | — | 41,299 | 41,299 | ||||||||
18,500 | 08/22/22 | 1.421%(S) | 3 Month LIBOR(1)(Q) | (17,603) | (334,485) | (316,882) | ||||||||
59,800 | 09/03/22 | 1.919%(S) | 3 Month LIBOR(1)(Q) | (586,731) | (1,532,676) | (945,945) | ||||||||
15,000 | 01/30/23 | 1.467%(S) | 3 Month LIBOR(1)(Q) | — | (374,604) | (374,604) | ||||||||
65,700 | 05/11/23 | 2.250%(A) | 1 Day USOIS(1)(A) | (3,959,253) | (4,236,701) | (277,448) | ||||||||
19,250 | 02/04/24 | 0.133%(A) | 1 Day USOIS(1)(A) | 24,122 | 69,495 | 45,373 | ||||||||
47,000 | 03/01/24 | 0.230%(A) | 1 Day USOIS(1)(A) | 58,857 | 56,311 | (2,546) | ||||||||
12,000 | 03/15/24 | 0.276%(A) | 1 Day USOIS(1)(A) | — | 1,095 | 1,095 | ||||||||
17,000 | 03/18/24 | 0.278%(A) | 1 Day USOIS(1)(A) | — | 1,651 | 1,651 | ||||||||
3,000 | 04/26/24 | 0.305%(A) | 1 Day USOIS(1)(A) | — | 557 | 557 | ||||||||
15,000 | 08/31/24 | 0.399%(A) | 1 Day USOIS(1)(A) | — | (9,168) | (9,168) | ||||||||
25,000 | 11/29/24 | 0.090%(A) | 1 Day USOIS(1)(A) | (3,130) | 320,007 | 323,137 | ||||||||
$(4,748,228) | $(14,378,806) | $(9,630,578) |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |