Performance Trust Total Return Bond Fund
|
Schedule of Investments
|
as of May 31, 2024 (Unaudited)
|
MUNICIPAL BONDS - 20.9%
|
Par
|
Value
|
||||||
Alabama - 0.1%
|
||||||||
Baldwin County Public Building Authority, 2.00%, 03/01/2046
|
$
|
1,260,000
|
$
|
737,639
|
||||
Water Works Board of the City of Birmingham
|
||||||||
2.71%, 01/01/2038
|
6,835,000
|
5,171,704
|
||||||
3.57%, 01/01/2045
|
385,000
|
308,077
|
||||||
6,217,420
|
||||||||
California - 4.5%
|
||||||||
Acton-Agua Dulce Unified School District, 0.00%, 05/01/2039 (a)
|
5,550,000
|
2,857,685
|
||||||
Alvord Unified School District, 0.00%, 08/01/2046
|
2,105,000
|
2,384,029
|
||||||
Bakersfield City School District, 0.00%, 05/01/2047
|
9,765,000
|
7,192,651
|
||||||
Bay Area Toll Authority, 6.92%, 04/01/2040
|
6,340,000
|
7,084,385
|
||||||
Campbell Union School District, 0.00%, 08/01/2040 (a)
|
4,600,000
|
2,383,050
|
||||||
Chaffey Community College District, 3.00%, 06/01/2038
|
3,705,000
|
3,199,397
|
||||||
Chaffey Joint Union High School District, 3.14%, 08/01/2043
|
3,790,000
|
2,824,229
|
||||||
City of Los Angeles Department of Airports
|
||||||||
1.88%, 05/15/2030
|
230,000
|
186,987
|
||||||
7.05%, 05/15/2040
|
2,685,000
|
3,053,371
|
||||||
City of Los Angeles, CA Wastewater System Revenue
|
||||||||
5.71%, 06/01/2039
|
14,075,000
|
14,382,477
|
||||||
5.81%, 06/01/2040
|
15,100,000
|
15,561,607
|
||||||
City of Ontario, CA, 3.78%, 06/01/2038
|
3,000,000
|
2,563,323
|
||||||
City of Sacramento, CA Transient Occupancy Tax Revenue, 3.86%, 06/01/2025
|
3,320,000
|
3,262,191
|
||||||
City of Union City, CA, 0.00%, 07/01/2025 (a)
|
2,105,000
|
1,980,995
|
||||||
Clovis Unified School District, 3.07%, 08/01/2039
|
16,955,000
|
13,145,637
|
||||||
Coast Community College District, 2.96%, 08/01/2038
|
15,000,000
|
11,753,477
|
||||||
Cucamonga Valley Water District Financing Authority, 3.01%, 09/01/2042
|
5,000,000
|
3,749,445
|
||||||
Dry Creek Joint Elementary School District
|
||||||||
0.00%, 08/01/2037(a)
|
2,960,000
|
1,761,761
|
||||||
0.00%, 08/01/2038(a)
|
3,640,000
|
2,053,104
|
||||||
East Bay Municipal Utility District Water System Revenue, 5.87%, 06/01/2040
|
1,560,000
|
1,612,378
|
||||||
East Side Union High School District, 5.32%, 04/01/2036
|
6,220,000
|
6,197,741
|
||||||
Fullerton Public Financing Authority, 7.75%, 05/01/2031
|
1,025,000
|
1,126,703
|
||||||
Gateway Unified School District, CA
|
||||||||
0.00%, 08/01/2035(a)
|
2,315,000
|
1,507,187
|
||||||
0.00%, 08/01/2036(a)
|
2,315,000
|
1,433,355
|
||||||
Glendora Unified School District
|
||||||||
0.00%, 08/01/2036(a)
|
4,900,000
|
3,070,285
|
||||||
0.00%, 08/01/2039(a)
|
5,175,000
|
2,773,131
|
||||||
Golden State Tobacco Securitization Corp.
|
||||||||
2.79%, 06/01/2031
|
15,930,000
|
13,503,660
|
||||||
3.00%, 06/01/2046
|
10,835,000
|
9,989,106
|
||||||
Inland Empire Tobacco Securitization Corp., 3.68%, 06/01/2038
|
19,965,000
|
18,879,583
|
||||||
Lakeside Union School District
|
||||||||
0.00%, 08/01/2036(a)
|
1,565,000
|
964,375
|
||||||
0.00%, 08/01/2040(a)
|
4,000,000
|
2,023,593
|
||||||
Los Angeles Community College District, CA, 6.60%, 08/01/2042
|
7,590,000
|
8,320,191
|
||||||
Marin Community College District, 2.70%, 08/01/2041
|
1,025,000
|
725,697
|
||||||
Norwalk-La Mirada Unified School District, 0.00%, 08/01/2038 (a)
|
4,450,000
|
2,536,287
|
||||||
Paramount Unified School District, 3.27%, 08/01/2051
|
13,425,000
|
9,673,923
|
||||||
Peralta Community College District, 0.00%, 08/05/2031
|
12,350,000
|
11,604,759
|
||||||
Perris Union High School District, 2.70%, 09/01/2042
|
3,000,000
|
2,118,421
|
||||||
Poway Unified School District
|
||||||||
0.00%, 08/01/2039(a)
|
8,335,000
|
4,488,838
|
||||||
0.00%, 08/01/2040(a)
|
12,000,000
|
6,095,968
|
||||||
Riverside County Infrastructure Financing Authority, 3.19%, 11/01/2041
|
4,755,000
|
3,609,100
|
||||||
San Diego County Regional Transportation Commission
|
||||||||
3.25%, 04/01/2048
|
3,375,000
|
2,507,490
|
||||||
5.91%, 04/01/2048
|
7,125,000
|
7,317,652
|
||||||
San Diego Unified School District, 0.00%, 07/01/2041 (a)
|
8,500,000
|
4,173,190
|
||||||
San Francisco City & County Public Utilities Commission Wastewater Revenue, 5.82%, 10/01/2040
|
16,035,000
|
16,566,405
|
||||||
San Francisco City & County Redevelopment Financing Authority, 0.00%, 08/01/2036 (a)
|
5,240,000
|
2,708,980
|
||||||
San Mateo Foster City School District, 3.06%, 08/01/2044
|
2,245,000
|
1,664,035
|
||||||
Santa Ana Unified School District, 0.00%, 08/01/2037 (a)
|
3,955,000
|
2,366,157
|
||||||
Santa Monica Community College District, 2.80%, 08/01/2044
|
2,300,000
|
1,623,664
|
||||||
State of California, 7.55%, 04/01/2039
|
28,000,000
|
33,509,588
|
||||||
University of California
|
||||||||
4.86%, 05/15/2112
|
13,386,000
|
11,634,473
|
||||||
4.77%, 05/15/2115
|
9,872,000
|
8,419,248
|
||||||
Ventura County Public Financing Authority, 2.91%, 11/01/2038
|
10,545,000
|
7,930,888
|
||||||
West Contra Costa Unified School District, 0.00%, 08/01/2036 (a)
|
5,000,000
|
3,081,071
|
||||||
West Sonoma County Union High School District, 0.00%, 08/01/2037 (a)
|
1,840,000
|
1,082,506
|
||||||
William S. Hart Union High School District, 0.00%, 08/01/2036 (a)
|
1,150,000
|
723,161
|
||||||
Yosemite Community College District, 0.00%, 08/01/2038 (a)
|
6,110,000
|
3,509,041
|
||||||
Yuba Community College District, 0.00%, 08/01/2038 (a)
|
5,055,000
|
2,891,074
|
||||||
325,342,705
|
||||||||
Colorado - 0.2%
|
||||||||
City of Aurora, CO Water Revenue, 2.72%, 08/01/2046
|
890,000
|
614,065
|
||||||
City of Fountain, CO Electric Water & Wastewater Utility Enterprise Revenue, 3.20%, 12/01/2043
|
2,655,000
|
1,953,207
|
||||||
City of Fruita, CO Healthcare Revenue, 5.00%, 01/01/2028
|
1,825,000
|
1,760,949
|
||||||
Colorado Health Facilities Authority
|
||||||||
3.80%, 11/01/2044
|
13,815,000
|
10,907,379
|
||||||
3.85%, 11/01/2049
|
2,030,000
|
1,542,571
|
||||||
16,778,171
|
||||||||
Connecticut - 0.5%
|
||||||||
State of Connecticut
|
||||||||
3.00%, 01/15/2036
|
10,595,000
|
9,422,239
|
||||||
3.00%, 01/15/2037
|
7,090,000
|
6,210,101
|
||||||
3.00%, 06/01/2037
|
8,865,000
|
7,714,658
|
||||||
State of Connecticut Special Tax Revenue, 3.13%, 05/01/2040
|
6,975,000
|
5,924,832
|
||||||
Town of West Hartford, CT, 2.76%, 07/01/2041
|
7,025,000
|
5,139,484
|
||||||
34,411,314
|
||||||||
District of Columbia - 0.4%
|
||||||||
District of Columbia Water & Sewer Authority
|
||||||||
5.52%, 10/01/2044
|
6,425,000
|
6,369,664
|
||||||
4.81%, 10/01/2114
|
10,372,000
|
9,129,555
|
||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue
|
||||||||
3.56%, 10/01/2041
|
2,995,000
|
2,378,833
|
||||||
8.00%, 10/01/2047
|
10,690,000
|
13,753,007
|
||||||
31,631,059
|
||||||||
Florida - 1.0%
|
||||||||
Central Florida Tourism Oversight District, 2.73%, 06/01/2038
|
18,500,000
|
14,143,487
|
||||||
City of Gainesville, FL
|
||||||||
0.00%, 10/01/2027(a)
|
4,610,000
|
3,847,891
|
||||||
0.00%, 10/01/2028(a)
|
1,400,000
|
1,109,694
|
||||||
3.05%, 10/01/2040
|
10,840,000
|
8,171,761
|
||||||
City of Gainesville, FL Utilities System Revenue, 6.02%, 10/01/2040
|
16,015,000
|
16,762,596
|
||||||
County of Miami-Dade, FL Transit System, 5.62%, 07/01/2040
|
17,130,000
|
17,317,621
|
||||||
JEA Water & Sewer System Revenue, 3.00%, 10/01/2041
|
5,045,000
|
4,124,285
|
||||||
Orlando Utilities Commission, 5.66%, 10/01/2040
|
9,000,000
|
9,144,090
|
||||||
74,621,425
|
||||||||
Georgia - 0.1%
|
||||||||
City of Atlanta, GA Water & Wastewater Revenue, 2.91%, 11/01/2043
|
2,125,000
|
1,519,730
|
||||||
State of Georgia, 2.25%, 07/01/2039
|
5,000,000
|
3,483,320
|
||||||
Tift County Hospital Authority, 2.98%, 12/01/2042
|
2,950,000
|
2,121,908
|
||||||
7,124,958
|
||||||||
Hawaii - 0.3%
|
||||||||
City & County Honolulu, HI Wastewater System Revenue, 2.57%, 07/01/2041
|
5,000,000
|
3,545,561
|
||||||
State of Hawaii
|
||||||||
2.25%, 08/01/2038
|
3,950,000
|
2,796,859
|
||||||
2.80%, 10/01/2038
|
10,000,000
|
7,607,156
|
||||||
2.83%, 10/01/2039
|
3,730,000
|
2,793,500
|
||||||
2.87%, 10/01/2041
|
2,270,000
|
1,645,860
|
||||||
18,388,936
|
||||||||
Illinois - 0.3%
|
||||||||
Chicago O'Hare International Airport, 6.40%, 01/01/2040
|
6,525,000
|
7,099,047
|
||||||
Illinois Finance Authority, 3.51%, 05/15/2041
|
7,000,000
|
5,285,357
|
||||||
Metropolitan Pier & Exposition Authority
|
||||||||
0.00%, 06/15/2036(a)
|
4,025,000
|
2,366,829
|
||||||
0.00%, 12/15/2036(a)
|
5,000,000
|
2,916,211
|
||||||
0.00%, 06/15/2038(a)
|
2,750,000
|
1,442,635
|
||||||
19,110,079
|
||||||||
Indiana - 0.2%
|
||||||||
Indianapolis Local Public Improvement Bond Bank
|
||||||||
2.47%, 01/01/2040
|
9,500,000
|
6,953,510
|
||||||
6.12%, 01/15/2040
|
3,805,000
|
3,930,107
|
||||||
10,883,617
|
||||||||
Kansas - 0.0%(b)
|
||||||||
Kansas Development Finance Authority, 4.93%, 04/15/2045
|
2,050,000
|
1,951,855
|
||||||
Kentucky - 0.1%
|
||||||||
County of Warren, KY, 4.40%, 12/01/2038
|
1,540,000
|
1,409,557
|
||||||
Louisville and Jefferson County Metropolitan Sewer District, 2.25%, 05/15/2044
|
5,215,000
|
3,388,243
|
||||||
4,797,800
|
||||||||
Louisiana - 0.3%
|
||||||||
City of New Orleans, LA Water System Revenue
|
||||||||
2.89%, 12/01/2041
|
3,050,000
|
2,281,553
|
||||||
2.99%, 12/01/2045
|
5,000,000
|
3,549,368
|
||||||
East Baton Rouge Sewerage Commission, 2.44%, 02/01/2039
|
2,500,000
|
1,810,613
|
||||||
State of Louisiana Gasoline & Fuels Tax Revenue
|
||||||||
2.53%, 05/01/2041
|
12,065,000
|
8,537,878
|
||||||
2.83%, 05/01/2043
|
9,595,000
|
6,683,468
|
||||||
22,862,880
|
||||||||
Maine - 0.2%
|
||||||||
City of Portland, ME
|
||||||||
2.50%, 04/01/2039
|
1,760,000
|
1,360,964
|
||||||
2.50%, 04/01/2040
|
1,760,000
|
1,329,443
|
||||||
2.50%, 04/01/2041
|
1,760,000
|
1,303,747
|
||||||
Maine Health & Higher Educational Facilities Authority, 3.12%, 07/01/2043
|
14,250,000
|
10,474,679
|
||||||
14,468,833
|
||||||||
Maryland - 0.2%
|
||||||||
Maryland Health & Higher Educational Facilities Authority, 3.05%, 07/01/2040
|
10,000,000
|
7,451,532
|
||||||
Maryland Stadium Authority, 2.81%, 05/01/2040
|
7,000,000
|
5,210,204
|
||||||
12,661,736
|
||||||||
Massachusetts - 0.2%
|
||||||||
Commonwealth of Massachusetts, 2.38%, 09/01/2043
|
3,250,000
|
2,283,914
|
||||||
Commonwealth of Massachusetts Transportation Fund Revenue, 5.73%, 06/01/2040
|
7,285,000
|
7,362,076
|
||||||
Massachusetts Educational Financing Authority, 3.83%, 07/01/2024
|
450,000
|
449,396
|
||||||
Massachusetts School Building Authority, 2.95%, 05/15/2043
|
1,540,000
|
1,116,162
|
||||||
Massachusetts State College Building Authority, 5.93%, 05/01/2040
|
550,000
|
563,265
|
||||||
11,774,813
|
||||||||
Michigan - 0.9%
|
||||||||
City of Detroit, MI, 4.00%, 04/01/2044 (c)
|
8,700,000
|
6,876,460
|
||||||
Detroit City School District, 7.75%, 05/01/2039
|
11,925,000
|
13,709,753
|
||||||
Great Lakes Water Authority Sewage Disposal System Revenue, 3.06%, 07/01/2039
|
2,110,000
|
1,652,516
|
||||||
Michigan Finance Authority
|
||||||||
3.27%, 06/01/2039
|
20,070,000
|
18,454,379
|
||||||
3.56%, 06/15/2045
|
5,215,000
|
4,034,354
|
||||||
Michigan State University, 4.17%, 08/15/2122
|
5,780,000
|
4,347,195
|
||||||
Plymouth-Canton Community School District, 3.00%, 05/01/2040
|
1,675,000
|
1,360,469
|
||||||
University of Michigan, 4.45%, 04/01/2122
|
19,211,000
|
15,614,578
|
||||||
Western School District, 2.90%, 05/01/2040
|
1,500,000
|
1,113,039
|
||||||
67,162,743
|
||||||||
Minnesota - 0.5%
|
||||||||
State of Minnesota, 2.88%, 06/01/2041
|
16,435,000
|
12,259,174
|
||||||
Western Minnesota Municipal Power Agency, 3.16%, 01/01/2039
|
17,700,000
|
14,523,795
|
||||||
White Bear Lake Independent School District No. 624, 3.00%, 02/01/2044
|
8,330,000
|
6,569,722
|
||||||
33,352,691
|
||||||||
Mississippi - 0.1%
|
||||||||
Mississippi Development Bank, 5.46%, 10/01/2036
|
5,005,000
|
4,987,162
|
||||||
Missouri - 0.1%
|
||||||||
Kansas City Land Clearance Redevelopment Authority, 6.40%, 10/15/2040 (d)
|
7,895,000
|
7,291,193
|
||||||
Nebraska - 0.1%
|
||||||||
Lancaster County School District 001, 3.00%, 01/15/2043
|
6,075,000
|
4,800,481
|
||||||
Nevada - 0.3%
|
||||||||
City of North Las Vegas, NV, 6.57%, 06/01/2040
|
14,525,000
|
15,860,006
|
||||||
County of Clark, NV
|
||||||||
3.00%, 07/01/2038
|
4,000,000
|
3,364,529
|
||||||
3.23%, 07/01/2044
|
2,000,000
|
1,466,490
|
||||||
20,691,025
|
||||||||
New Hampshire - 0.0%(b)
|
||||||||
New Hampshire Business Finance Authority, 3.28%, 10/01/2037
|
4,800,000
|
3,387,360
|
||||||
New Jersey - 0.9%
|
||||||||
City of Bayonne, NJ, 2.81%, 07/01/2039
|
5,725,000
|
4,261,589
|
||||||
Clifton Board Of Education, 2.13%, 08/15/2044
|
4,560,000
|
2,863,950
|
||||||
County of Essex, NJ, 2.00%, 09/01/2044
|
3,560,000
|
2,189,422
|
||||||
Mercer County Improvement Authority, 8.27%, 12/01/2034
|
13,390,000
|
15,777,493
|
||||||
New Jersey Economic Development Authority, 0.00%, 02/15/2025 (a)
|
20,188,000
|
19,418,898
|
||||||
New Jersey Institute of Technology
|
||||||||
3.32%, 07/01/2024
|
770,000
|
768,658
|
||||||
3.42%, 07/01/2042
|
6,455,000
|
5,072,231
|
||||||
New Jersey Transportation Trust Fund Authority
|
||||||||
0.00%, 12/15/2039(a)
|
5,000,000
|
2,522,349
|
||||||
0.00%, 12/15/2040(a)
|
10,045,000
|
4,762,683
|
||||||
New Jersey Turnpike Authority
|
||||||||
2.78%, 01/01/2040
|
5,220,000
|
3,848,223
|
||||||
7.41%, 01/01/2040
|
2,000,000
|
2,333,941
|
||||||
63,819,437
|
||||||||
New York - 0.8%
|
||||||||
Metropolitan Transportation Authority, 7.34%, 11/15/2039
|
20,540,000
|
24,115,311
|
||||||
New York City Industrial Development Agency, 2.44%, 01/01/2036
|
5,850,000
|
4,315,358
|
||||||
New York City Transitional Finance Authority Building Aid Revenue, 3.00%, 07/15/2038
|
1,400,000
|
1,195,908
|
||||||
New York Liberty Development Corp.
|
||||||||
2.25%, 02/15/2041
|
13,595,000
|
9,420,096
|
||||||
3.00%, 02/15/2042
|
5,500,000
|
4,463,526
|
||||||
3.00%, 09/15/2043
|
12,500,000
|
9,790,566
|
||||||
New York State Dormitory Authority, 5.10%, 08/01/2034
|
3,125,000
|
2,866,972
|
||||||
Triborough Bridge & Tunnel Authority, 2.92%, 05/15/2040
|
3,890,000
|
2,905,065
|
||||||
Western Nassau County Water Authority, 2.96%, 04/01/2041
|
1,500,000
|
1,128,956
|
||||||
60,201,758
|
||||||||
North Carolina - 0.1%
|
||||||||
North Carolina State University at Raleigh, 3.02%, 10/01/2042
|
4,000,000
|
3,040,562
|
||||||
University of North Carolina at Charlotte, 2.76%, 04/01/2043
|
2,000,000
|
1,408,702
|
||||||
4,449,264
|
||||||||
Ohio - 0.9%
|
||||||||
American Municipal Power, Inc.
|
||||||||
7.83%, 02/15/2041
|
10,760,000
|
12,914,271
|
||||||
6.45%, 02/15/2044
|
5,120,000
|
5,479,967
|
||||||
7.50%, 02/15/2050
|
4,855,000
|
5,769,950
|
||||||
County of Hamilton, OH, 3.76%, 06/01/2042
|
11,955,000
|
9,753,142
|
||||||
Franklin County Convention Facilities Authority, 2.47%, 12/01/2034
|
15,000,000
|
11,600,057
|
||||||
Ohio Higher Educational Facility Commission, 4.50%, 12/01/2026
|
4,025,000
|
3,885,828
|
||||||
Ohio State University, 4.80%, 06/01/2111
|
18,448,000
|
16,133,265
|
||||||
65,536,480
|
||||||||
Oklahoma - 0.4%
|
||||||||
Oklahoma Development Finance Authority
|
||||||||
5.45%, 08/15/2028
|
4,520,000
|
4,253,990
|
||||||
5.27%, 10/01/2042
|
9,608,323
|
9,619,265
|
||||||
4.62%, 06/01/2044
|
5,000,000
|
4,736,967
|
||||||
Oklahoma Municipal Power Authority
|
||||||||
2.55%, 01/01/2036
|
2,390,000
|
1,873,994
|
||||||
2.80%, 01/01/2041
|
15,500,000
|
11,724,718
|
||||||
32,208,934
|
||||||||
Oregon - 0.2%
|
||||||||
Clackamas & Washington Counties School District No. 3, 0.00%, 06/15/2038 (a)
|
1,900,000
|
999,467
|
||||||
Multnomah & Clackamas Counties School District No. 10JT Gresham-Barlow, 0.00%, 06/15/2039 (a)
|
9,500,000
|
4,674,152
|
||||||
Salem-Keizer School District No. 24J
|
||||||||
0.00%, 06/15/2039(a)
|
3,000,000
|
1,416,635
|
||||||
0.00%, 06/15/2040(a)
|
12,395,000
|
5,523,775
|
||||||
State of Oregon, 2.37%, 08/01/2041
|
1,205,000
|
850,303
|
||||||
Tri-County Metropolitan Transportation District of Oregon, 2.86%, 09/01/2041
|
750,000
|
555,968
|
||||||
14,020,300
|
||||||||
Pennsylvania - 0.8%
|
||||||||
Berks County Industrial Development Authority, 4.45%, 05/15/2027
|
800,000
|
782,904
|
||||||
Commonwealth Financing Authority
|
||||||||
3.66%, 06/01/2038
|
7,020,000
|
6,105,739
|
||||||
3.81%, 06/01/2041
|
5,060,000
|
4,228,385
|
||||||
2.99%, 06/01/2042
|
10,380,000
|
7,637,426
|
||||||
3.53%, 06/01/2042
|
3,160,000
|
2,531,304
|
||||||
Commonwealth of Pennsylvania, 3.00%, 05/15/2036
|
1,255,000
|
1,112,691
|
||||||
Montgomery County Industrial Development Authority, 3.15%, 11/15/2028
|
10,000,000
|
8,966,053
|
||||||
Pennsylvania Economic Development Financing Authority, 3.14%, 06/15/2042
|
7,615,000
|
5,768,922
|
||||||
Pennsylvania Turnpike Commission
|
||||||||
6.11%, 12/01/2039
|
9,010,000
|
9,527,634
|
||||||
3.00%, 12/01/2042
|
9,830,000
|
7,793,900
|
||||||
Union County Hospital Authority, 4.40%, 08/01/2028
|
1,060,000
|
1,039,698
|
||||||
University of Pittsburgh-of the Commonwealth System of Higher Education, 3.56%, 09/15/2119
|
990,000
|
634,191
|
||||||
56,128,847
|
||||||||
Puerto Rico - 0.2%
|
||||||||
Commonwealth of Puerto Rico
|
||||||||
0.00%, 07/01/2024(a)
|
74,866
|
74,602
|
||||||
0.00%, 07/01/2033(a)
|
592,257
|
393,335
|
||||||
4.00%, 07/01/2037
|
355,042
|
344,462
|
||||||
4.00%, 07/01/2041
|
482,722
|
448,703
|
||||||
0.00%, 11/01/2043(c)
|
2,034,695
|
1,264,054
|
||||||
4.00%, 07/01/2046
|
502,024
|
454,049
|
||||||
GDB Debt Recovery Authority of Puerto Rico, 7.50%, 08/20/2040
|
7,991,178
|
7,781,410
|
||||||
Puerto Rico Highway & Transportation Authority, 0.00%, 07/01/2026 (a)
|
7,000,000
|
5,993,750
|
||||||
16,754,365
|
||||||||
Rhode Island - 0.0%(b)
|
||||||||
State of Rhode Island, 2.25%, 08/01/2041
|
1,550,000
|
1,054,428
|
||||||
Tennessee - 0.9%
|
||||||||
County of Putnam, TN
|
||||||||
2.00%, 04/01/2038
|
4,115,000
|
2,997,798
|
||||||
2.00%, 04/01/2039
|
4,195,000
|
2,976,396
|
||||||
2.13%, 04/01/2041
|
4,360,000
|
3,005,023
|
||||||
Metropolitan Government Nashville & Davidson County Sports Authority, 5.60%, 07/01/2056
|
13,200,000
|
13,182,996
|
||||||
Metropolitan Government of Nashville & Davidson County, 1.75%, 01/01/2037
|
34,350,000
|
23,931,264
|
||||||
New Memphis Arena Public Building Authority
|
||||||||
0.00%, 04/01/2044(a)
|
6,020,000
|
2,208,529
|
||||||
0.00%, 04/01/2045(a)
|
6,000,000
|
2,076,156
|
||||||
0.00%, 04/01/2046(a)
|
4,900,000
|
1,599,559
|
||||||
Tennessee State School Bond Authority
|
||||||||
2.56%, 11/01/2041
|
8,000,000
|
5,757,904
|
||||||
2.66%, 11/01/2045
|
11,645,000
|
7,814,742
|
||||||
65,550,367
|
||||||||
Texas - 3.2%
|
||||||||
Austin Independent School District, 1.88%, 08/01/2038
|
12,265,000
|
8,412,822
|
||||||
Central Texas Regional Mobility Authority, 3.27%, 01/01/2045
|
3,900,000
|
2,781,224
|
||||||
City of Dallas, TX, 0.00%, 02/15/2032 (a)
|
15,000,000
|
10,033,989
|
||||||
City of Dallas, TX Waterworks & Sewer System Revenue, 2.77%, 10/01/2040
|
7,815,000
|
5,681,165
|
||||||
City of Frisco, TX
|
||||||||
2.00%, 02/15/2039
|
4,835,000
|
3,323,968
|
||||||
2.00%, 02/15/2040
|
4,925,000
|
3,286,834
|
||||||
City of Houston, TX
|
||||||||
6.29%, 03/01/2032
|
730,000
|
773,105
|
||||||
5.54%, 03/01/2037
|
7,100,000
|
7,309,640
|
||||||
3.96%, 03/01/2047
|
8,300,000
|
7,023,072
|
||||||
City of Irving, TX, 7.38%, 08/15/2044
|
3,500,000
|
3,499,949
|
||||||
City of San Antonio, TX Electric & Gas Systems Revenue
|
||||||||
5.99%, 02/01/2039
|
13,469,000
|
13,896,524
|
||||||
5.72%, 02/01/2041
|
21,910,000
|
21,926,538
|
||||||
Colony Economic Development Corp., 7.25%, 10/01/2042
|
5,000,000
|
4,786,940
|
||||||
County of Bexar, TX
|
||||||||
3.03%, 08/15/2041
|
1,555,000
|
1,144,911
|
||||||
2.86%, 06/15/2043
|
7,100,000
|
4,968,950
|
||||||
Dallas Convention Center Hotel Development Corp., 7.09%, 01/01/2042
|
13,150,000
|
14,672,085
|
||||||
Dallas Fort Worth International Airport
|
||||||||
3.09%, 11/01/2040
|
19,320,000
|
15,195,319
|
||||||
5.00%, 11/01/2042
|
1,225,000
|
1,195,586
|
||||||
2.84%, 11/01/2046
|
6,485,000
|
4,635,772
|
||||||
5.05%, 11/01/2047
|
2,500,000
|
2,403,975
|
||||||
Downtown Dallas Development Authority, 0.00%, 08/15/2036 (a)
|
6,730,000
|
3,463,723
|
||||||
Forney Independent School District
|
||||||||
3.00%, 02/15/2039
|
1,000,000
|
820,995
|
||||||
2.50%, 08/15/2039
|
7,330,000
|
5,493,201
|
||||||
2.50%, 08/15/2040
|
7,300,000
|
5,343,208
|
||||||
2.50%, 08/15/2041
|
4,385,000
|
3,148,627
|
||||||
Fort Bend Grand Parkway Toll Road Authority, 3.00%, 03/01/2039
|
2,150,000
|
1,792,403
|
||||||
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue, 2.60%, 11/01/2037
|
17,015,000
|
12,928,257
|
||||||
New Hope Cultural Education Facilities Corp., 4.00%, 08/01/2024 (e)
|
169,148
|
0
|
||||||
North Texas Tollway Authority
|
||||||||
8.41%, 02/01/2030
|
4,375,000
|
4,789,760
|
||||||
3.00%, 01/01/2038
|
21,695,000
|
18,396,423
|
||||||
3.01%, 01/01/2043
|
2,135,000
|
1,600,807
|
||||||
Port of Beaumont Industrial Development Authority, 4.10%, 01/01/2028 (d)
|
7,000,000
|
6,016,891
|
||||||
Port of Beaumont Navigation District, 10.00%, 07/01/2026 (d)
|
3,500,000
|
3,500,000
|
||||||
Port of Houston Authority, 3.00%, 10/01/2039
|
5,000,000
|
4,238,040
|
||||||
Stafford Municipal School District, 3.08%, 08/15/2041
|
1,525,000
|
1,175,407
|
||||||
State of Texas, 2.13%, 08/01/2037
|
3,430,000
|
2,515,091
|
||||||
Texas A&M University
|
||||||||
3.00%, 05/15/2039
|
2,345,000
|
1,974,155
|
||||||
2.81%, 05/15/2041
|
6,750,000
|
4,985,258
|
||||||
Texas Public Finance Authority, 2.47%, 02/01/2040
|
1,000,000
|
703,202
|
||||||
Texas Transportation Commission, 2.01%, 10/01/2037
|
6,295,000
|
4,438,092
|
||||||
Texas Water Development Board, 3.00%, 08/01/2039
|
3,000,000
|
2,522,649
|
||||||
226,798,557
|
||||||||
Utah - 0.2%
|
||||||||
County of Salt Lake, UT Convention Hotel Revenue, 5.75%, 10/01/2047 (d)
|
5,000,000
|
4,300,838
|
||||||
Utah Transit Authority
|
||||||||
2.77%, 12/15/2038
|
10,785,000
|
8,203,649
|
||||||
5.71%, 06/15/2040
|
4,100,000
|
4,102,039
|
||||||
16,606,526
|
||||||||
Virginia - 0.3%
|
||||||||
Hampton Roads Sanitation District, 2.78%, 02/01/2039
|
1,300,000
|
1,002,335
|
||||||
University of Virginia
|
||||||||
4.18%, 09/01/2117
|
18,420,000
|
14,084,776
|
||||||
3.23%, 09/01/2119
|
2,740,000
|
1,624,149
|
||||||
Virginia Housing Development Authority
|
||||||||
3.90%, 04/01/2042
|
3,155,000
|
2,542,958
|
||||||
2.96%, 09/01/2045
|
1,205,000
|
820,008
|
||||||
20,074,226
|
||||||||
Washington - 1.2%
|
||||||||
Central Puget Sound Regional Transit Authority, 5.49%, 11/01/2039
|
11,450,000
|
11,455,904
|
||||||
City of Tacoma, WA Water Revenue, 5.75%, 12/01/2039
|
20,000,000
|
20,418,456
|
||||||
County of King, WA, 2.73%, 12/01/2041
|
5,000,000
|
3,709,773
|
||||||
County of King, WA Sewer Revenue, 2.84%, 07/01/2047
|
2,000,000
|
1,340,599
|
||||||
King County Housing Authority
|
||||||||
3.00%, 11/01/2039
|
3,500,000
|
2,766,264
|
||||||
3.00%, 06/01/2040
|
18,995,000
|
14,665,061
|
||||||
3.00%, 08/01/2040
|
3,195,000
|
2,445,405
|
||||||
NJB Properties, 5.51%, 12/01/2036
|
6,960,000
|
7,128,944
|
||||||
Pierce County School District No. 10 Tacoma, 2.36%, 12/01/2039
|
17,810,000
|
12,665,733
|
||||||
University of Washington, 6.06%, 07/01/2039
|
8,325,000
|
8,770,537
|
||||||
85,366,676
|
||||||||
Wisconsin - 0.2%
|
||||||||
County of Marathon, WI
|
||||||||
2.00%, 02/01/2037
|
1,495,000
|
1,103,194
|
||||||
2.00%, 02/01/2037
|
885,000
|
653,062
|
||||||
2.00%, 02/01/2038
|
1,525,000
|
1,090,302
|
||||||
2.00%, 02/01/2038
|
1,110,000
|
793,596
|
||||||
2.00%, 02/01/2039
|
1,460,000
|
1,012,684
|
||||||
2.00%, 02/01/2039
|
1,105,000
|
765,800
|
||||||
Milwaukee Redevelopment Authority, 0.00%, 04/01/2039 (a)
|
1,000,000
|
435,183
|
||||||
Public Finance Authority
|
||||||||
7.50%, 06/01/2029(d)
|
5,750,000
|
5,599,506
|
||||||
4.15%, 05/15/2031
|
3,635,000
|
3,508,577
|
||||||
14,961,904
|
||||||||
TOTAL MUNICIPAL BONDS (Cost $1,627,494,076)
|
1,498,232,325
|
|||||||
CORPORATE BONDS - 17.6%
|
Par
|
Value
|
||||||
Aerospace & Defense - 0.3%
|
||||||||
Howmet Aerospace, Inc., 3.00%, 01/15/2029
|
11,337,000
|
10,224,381
|
||||||
Moog, Inc., 4.25%, 12/15/2027 (d)
|
4,440,000
|
4,160,913
|
||||||
TransDigm, Inc., 6.63%, 03/01/2032 (d)
|
5,000,000
|
5,020,504
|
||||||
19,405,798
|
||||||||
Automobile Components - 0.1%
|
||||||||
Dana, Inc.
|
||||||||
4.25%, 09/01/2030
|
1,500,000
|
1,305,580
|
||||||
4.50%, 02/15/2032
|
4,208,000
|
3,570,710
|
||||||
4,876,290
|
||||||||
Banks - 5.0%
|
||||||||
Atlantic Union Bankshares Corp., 2.88% to 12/15/2026 then 3 mo. Term SOFR + 1.86%, 12/15/2031
|
5,000,000
|
4,022,896
|
||||||
Australia & New Zealand Banking Group Ltd., 6.74%, 12/08/2032 (d)
|
7,000,000
|
7,430,471
|
||||||
Bank of America Corp.
|
||||||||
6.30% to 03/10/2026 then 3 mo. Term SOFR + 4.81%, Perpetual
|
2,565,000
|
2,589,021
|
||||||
2.65% to 03/11/2031 then SOFR + 1.22%, 03/11/2032
|
10,000,000
|
8,394,676
|
||||||
Bank of Montreal, 3.09% to 01/10/2032 then 5 yr. CMT Rate + 1.40%, 01/10/2037
|
15,000,000
|
12,136,965
|
||||||
Bank of NT Butterfield & Son Ltd., 5.25% to 06/15/2025 then 3 mo. Term SOFR + 5.06%, 06/15/2030
|
5,000,000
|
4,800,726
|
||||||
Bank OZK, 2.75% to 10/01/2026 then 3 mo. Term SOFR + 2.09%, 10/01/2031
|
13,175,000
|
10,361,085
|
||||||
Banner Corp., 5.00% to 06/30/2025 then 3 mo. Term SOFR + 4.89%, 06/30/2030
|
8,000,000
|
7,639,362
|
||||||
Barclays PLC, 6.13% to 06/15/2026 then 5 yr. CMT Rate + 5.87%, Perpetual
|
15,050,000
|
14,653,956
|
||||||
CapStar Bank, 5.88%, 09/29/2026
|
7,515,000
|
7,469,967
|
||||||
Central Pacific Financial Corp., 4.75% to 11/01/2025 then 3 mo. Term SOFR + 4.56%, 11/01/2030
|
5,000,000
|
4,562,984
|
||||||
CNB Financial Corp., 3.25% to 06/15/2026 then 3 mo. Term SOFR + 2.58%, 06/15/2031 (d)
|
2,000,000
|
1,714,748
|
||||||
Commonwealth Bank of Australia, 5.84%, 03/13/2034 (d)
|
5,000,000
|
4,989,398
|
||||||
Deutsche Bank AG, 7.08% to 02/10/2033 then SOFR + 3.65%, 02/10/2034
|
3,000,000
|
3,078,943
|
||||||
Fifth Third Bancorp, 8.25%, 03/01/2038
|
10,000,000
|
11,704,248
|
||||||
First Busey Corp.
|
||||||||
5.25% to 06/01/2025 then 3 mo. Term SOFR + 5.11%, 06/01/2030
|
4,500,000
|
4,302,171
|
||||||
5.00% to 06/15/2027 then 3 mo. Term SOFR + 2.52%, 06/15/2032
|
2,000,000
|
1,718,929
|
||||||
First Financial Bancorp., 5.25% to 05/15/2025 then 3 mo. Term SOFR + 5.09%, 05/15/2030
|
10,500,000
|
10,141,304
|
||||||
First Foundation, Inc., 3.50% to 02/01/2027 then SOFR + 2.04%, 02/01/2032
|
8,370,000
|
5,911,512
|
||||||
First Interstate BancSystem, Inc., 5.25% to 05/15/2025 then 3 mo. Term SOFR + 5.18%, 05/15/2030
|
5,000,000
|
4,808,915
|
||||||
First Mid Bancshares, Inc., 3.95% to 10/15/2025 then 3 mo. Term SOFR + 3.83%, 10/15/2030
|
5,300,000
|
5,011,178
|
||||||
Firstbank, 4.50% to 09/01/2025 then SOFR + 4.39%, 09/01/2030
|
9,000,000
|
8,470,240
|
||||||
Heartland Financial USA, Inc., 2.75% to 09/15/2026 then 3 mo. Term SOFR + 2.10%, 09/15/2031
|
6,000,000
|
4,887,715
|
||||||
Hilltop Holdings, Inc., 6.13% to 05/15/2030 then 3 mo. Term SOFR + 5.80%, 05/15/2035
|
11,750,000
|
9,373,542
|
||||||
Home BancShares, Inc., 3.13% to 01/30/2027 then 3 mo. Term SOFR + 1.82%, 01/30/2032
|
18,436,000
|
14,995,037
|
||||||
Huntington National Bank, 5.50% to 05/06/2025 then 3 mo. Term SOFR + 5.35%, 05/06/2030
|
10,750,000
|
10,464,179
|
||||||
JPMorgan Chase & Co.
|
||||||||
6.25% to 10/23/2033 then SOFR + 1.81%, 10/23/2034
|
10,000,000
|
10,536,709
|
||||||
5.34% to 01/23/2034 then SOFR + 1.62%, 01/23/2035
|
3,000,000
|
2,961,502
|
||||||
Mercantile Bank Corp., 3.25% to 01/30/2027 then SOFR + 2.12%, 01/30/2032
|
7,000,000
|
5,864,691
|
||||||
National Australia Bank Ltd., 3.35% to 01/12/2032 then 5 yr. CMT Rate + 1.70%, 01/12/2037 (d)
|
9,500,000
|
7,960,558
|
||||||
NatWest Group PLC, 6.48% to 06/01/2029 then 5 yr. CMT Rate + 2.20%, 06/01/2034
|
1,000,000
|
1,017,700
|
||||||
NBT Bancorp, Inc., 5.00% to 07/01/2025 then 3 mo. Term SOFR + 4.85%, 07/01/2030
|
7,500,000
|
7,187,164
|
||||||
Pacific Premier Bancorp, Inc.
|
||||||||
8.08% (3 mo. Term SOFR + 2.76%), 05/15/2029
|
3,500,000
|
3,332,369
|
||||||
5.38% to 06/15/2025 then 3 mo. Term SOFR + 5.17%, 06/15/2030
|
6,410,000
|
6,028,326
|
||||||
Park National Corp., 4.50% to 09/01/2025 then 3 mo. Term SOFR + 4.39%, 09/01/2030
|
15,600,000
|
14,604,982
|
||||||
Peapack-Gladstone Financial Corp., 3.50% to 12/30/2025 then 3 mo. Term SOFR + 3.26%, 12/30/2030
|
6,000,000
|
5,200,587
|
||||||
PNC Financial Services Group, Inc., 5.68% to 01/22/2034 then SOFR + 1.90%, 01/22/2035
|
5,000,000
|
4,990,673
|
||||||
RBB Bancorp, 4.00% to 04/01/2026 then 3 mo. Term SOFR + 3.29%, 04/01/2031
|
5,450,000
|
4,760,277
|
||||||
Regions Bank, 6.45%, 06/26/2037
|
15,601,000
|
15,923,559
|
||||||
Renasant Corp.
|
||||||||
3.00% to 12/01/2026 then 3 mo. Term SOFR + 1.91%, 12/01/2031
|
7,000,000
|
5,695,873
|
||||||
4.50% to 09/15/2030 then 3 mo. Term SOFR + 4.03%, 09/15/2035
|
9,000,000
|
6,913,227
|
||||||
Santander Holdings USA, Inc., 6.17% to 01/09/2029 then SOFR + 2.50%, 01/09/2030
|
7,000,000
|
7,041,799
|
||||||
Southside Bancshares, Inc., 3.88% to 11/15/2025 then 3 mo. Term SOFR + 3.66%, 11/15/2030
|
8,000,000
|
7,311,689
|
||||||
Synovus Financial Corp., 7.54% to 02/07/2029 then 5 yr. Mid Swap Rate USD + 3.38%, 02/07/2029
|
4,000,000
|
3,779,481
|
||||||
Texas Capital Bancshares, Inc., 4.00% to 05/06/2026 then 5 yr. CMT Rate + 3.15%, 05/06/2031
|
10,942,000
|
9,950,197
|
||||||
Texas Capital Bank, NA, 5.25%, 01/31/2026
|
5,000,000
|
4,797,277
|
||||||
Towne Bank, 3.13% to 02/15/2027 then 3 mo. Term SOFR + 1.68%, 02/15/2032
|
4,000,000
|
3,187,954
|
||||||
Trustmark Corp., 3.63% to 12/01/2025 then 3 mo. Term SOFR + 3.39%, 12/01/2030
|
6,500,000
|
5,649,643
|
||||||
Webster Financial Corp.
|
||||||||
4.10%, 03/25/2029
|
9,595,000
|
8,817,451
|
||||||
4.00% to 12/30/2024 then 3 mo. Term SOFR + 2.53%, 12/30/2029
|
1,500,000
|
1,322,356
|
||||||
Western Alliance Bank, 5.25% to 06/01/2025 then 3 mo. Term SOFR + 5.12%, 06/01/2030
|
10,000,000
|
9,750,000
|
||||||
WSFS Financial Corp.
|
||||||||
7.64% (3 mo. Term SOFR + 2.31%), 12/15/2027
|
3,500,000
|
3,413,530
|
||||||
2.75% to 12/15/2025 then 3 mo. Term SOFR + 2.49%, 12/15/2030
|
5,470,000
|
4,673,577
|
||||||
358,307,319
|
||||||||
Biotechnology - 0.2%
|
||||||||
AbbVie, Inc.
|
||||||||
4.40%, 11/06/2042
|
11,398,000
|
9,999,591
|
||||||
5.50%, 03/15/2064
|
5,000,000
|
4,905,282
|
||||||
14,904,873
|
||||||||
Building Products - 0.1%
|
||||||||
Builders FirstSource, Inc., 4.25%, 02/01/2032 (d)
|
7,800,000
|
6,818,408
|
||||||
Owens Corning, 3.50%, 02/15/2030 (d)
|
2,493,000
|
2,255,013
|
||||||
9,073,421
|
||||||||
Capital Markets - 0.5%
|
||||||||
Ares Capital Corp.
|
||||||||
7.00%, 01/15/2027
|
3,000,000
|
3,063,710
|
||||||
5.88%, 03/01/2029
|
4,000,000
|
3,952,631
|
||||||
3.20%, 11/15/2031
|
15,473,000
|
12,808,359
|
||||||
Brookfield Corp., 7.38%, 03/01/2033
|
3,000,000
|
3,226,264
|
||||||
MSCI, Inc., 3.63%, 11/01/2031 (d)
|
15,200,000
|
13,245,736
|
||||||
36,296,700
|
||||||||
Chemicals - 0.1%
|
||||||||
Eastman Chemical Co.
|
||||||||
5.75%, 03/08/2033
|
3,000,000
|
3,022,910
|
||||||
5.63%, 02/20/2034
|
7,000,000
|
6,953,003
|
||||||
9,975,913
|
||||||||
Commercial Services & Supplies - 0.1%
|
||||||||
Central Storage Safety Project Trust, 4.82%, 02/01/2038 (d)
|
5,660,480
|
4,918,117
|
||||||
Consumer Finance - 0.6%
|
||||||||
Ally Financial, Inc., 6.70%, 02/14/2033
|
10,000,000
|
9,996,854
|
||||||
Ford Motor Credit Co., LLC
|
||||||||
7.35%, 03/06/2030
|
8,750,000
|
9,213,946
|
||||||
7.20%, 06/10/2030
|
3,000,000
|
3,137,412
|
||||||
OneMain Finance Corp.
|
||||||||
3.50%, 01/15/2027
|
7,311,000
|
6,766,843
|
||||||
3.88%, 09/15/2028
|
2,000,000
|
1,780,710
|
||||||
5.38%, 11/15/2029
|
12,603,000
|
11,729,504
|
||||||
42,625,269
|
||||||||
Containers & Packaging - 0.4%
|
||||||||
AptarGroup, Inc., 3.60%, 03/15/2032
|
10,000,000
|
8,676,113
|
||||||
Berry Global, Inc., 5.65%, 01/15/2034 (d)
|
4,400,000
|
4,293,558
|
||||||
Graphic Packaging International, LLC
|
||||||||
3.50%, 03/01/2029(d)
|
3,000,000
|
2,680,691
|
||||||
3.75%, 02/01/2030(d)
|
13,523,000
|
11,998,502
|
||||||
27,648,864
|
||||||||
Distributors - 0.2%
|
||||||||
Genuine Parts Co., 2.75%, 02/01/2032
|
5,000,000
|
4,133,629
|
||||||
LKQ Corp., 6.25%, 06/15/2033
|
7,500,000
|
7,695,776
|
||||||
11,829,405
|
||||||||
Diversified Consumer Services - 1.6%
|
||||||||
California Institute of Technology
|
||||||||
4.70%, 11/01/2111
|
10,533,000
|
8,991,157
|
||||||
3.65%, 09/01/2119
|
1,994,000
|
1,320,771
|
||||||
Case Western Reserve University, 5.41%, 06/01/2122
|
13,322,000
|
12,378,832
|
||||||
Massachusetts Institute of Technology
|
||||||||
7.25%, 11/02/2096
|
2,750,000
|
3,412,488
|
||||||
5.60%, 07/01/2111
|
12,180,000
|
12,565,196
|
||||||
4.68%, 07/01/2114
|
5,786,000
|
5,020,091
|
||||||
3.89%, 07/01/2116
|
3,233,000
|
2,333,332
|
||||||
Nature Conservancy
|
||||||||
1.71%, 07/01/2031
|
1,250,000
|
954,265
|
||||||
1.81%, 07/01/2032
|
1,150,000
|
850,829
|
||||||
1.86%, 07/01/2033
|
532,000
|
379,928
|
||||||
Prime Security Services Borrower, LLC, 3.38%, 08/31/2027 (d)
|
8,870,000
|
8,147,366
|
||||||
Service Corp. International
|
||||||||
3.38%, 08/15/2030
|
8,692,000
|
7,457,005
|
||||||
4.00%, 05/15/2031
|
9,144,000
|
8,011,751
|
||||||
Trustees of the University of Pennsylvania
|
||||||||
4.67%, 09/01/2112
|
1,220,000
|
1,058,277
|
||||||
3.61%, 02/15/2119
|
22,869,000
|
15,385,514
|
||||||
United Jewish Appeal-Federation of Jewish Philanthropies of New York, Inc., 2.15%, 02/01/2031
|
4,565,000 |
3,828,373 |
||||||
University of Southern California, 3.23%, 10/01/2120
|
5,500,000
|
3,276,539
|
||||||
Washington University, 4.35%, 04/15/2122
|
18,527,000
|
14,601,015
|
||||||
YMCA of Greater New York, 2.30%, 08/01/2026
|
5,730,000
|
5,261,226
|
||||||
115,233,955
|
||||||||
Electric Utilities - 0.4%
|
||||||||
Brazos Securitization LLC, 5.41%, 09/01/2050 (d)
|
9,500,000
|
9,431,242
|
||||||
Denton County Electric Cooperative, Inc., Series 2022, 5.32%, 02/15/2048 (d)
|
17,000,000
|
16,643,292
|
||||||
26,074,534
|
||||||||
Electrical Equipment - 0.3%
|
||||||||
Regal Rexnord Corp.
|
||||||||
6.30%, 02/15/2030
|
4,676,000
|
4,782,891
|
||||||
6.40%, 04/15/2033
|
2,000,000
|
2,056,370
|
||||||
Sensata Technologies BV, 4.00%, 04/15/2029 (d)
|
2,000,000
|
1,818,468
|
||||||
Sensata Technologies, Inc.
|
||||||||
4.38%, 02/15/2030(d)
|
9,838,000
|
8,984,329
|
||||||
3.75%, 02/15/2031(d)
|
5,955,000
|
5,149,386
|
||||||
6.63%, 07/15/2032(d)
|
1,500,000
|
1,504,292
|
||||||
24,295,736
|
||||||||
Electronic Equipment, Instruments & Components - 0.5%
|
||||||||
CDW Finance Corp.
|
||||||||
3.28%, 12/01/2028
|
4,954,000
|
4,467,955
|
||||||
3.25%, 02/15/2029
|
17,218,000
|
15,519,880
|
||||||
Corning, Inc., 5.75%, 08/15/2040
|
15,588,000
|
15,357,672
|
||||||
35,345,507
|
||||||||
Financial Services - 0.2%
|
||||||||
American AGcredit FLCA, 3.38% to 06/15/2031 then SOFR + 2.12%, 06/15/2036 (d)
|
10,000,000
|
7,636,185
|
||||||
Compeer Financial FLCA
|
||||||||
2.75% to 06/01/2026 then SOFR + 2.03%, 06/01/2031 (d)
|
5,000,000
|
4,280,627
|
||||||
3.38% to 06/01/2031 then SOFR + 1.97%, 06/01/2036 (d)
|
4,750,000
|
3,485,488
|
||||||
15,402,300
|
||||||||
Food Products - 0.1%
|
||||||||
Mars, Inc., 2.38%, 07/16/2040 (d)
|
4,960,000
|
3,365,328
|
||||||
Tyson Foods, Inc., 5.70%, 03/15/2034
|
2,000,000
|
1,985,164
|
||||||
5,350,492
|
||||||||
Ground Transportation - 0.3%
|
||||||||
ERAC USA Finance, LLC, 7.00%, 10/15/2037 (d)
|
18,952,000
|
21,296,782
|
||||||
Healthcare Providers & Services - 1.3%
|
||||||||
Baptist Health South Florida, Inc., 4.34%, 11/15/2041
|
14,760,000
|
12,746,642
|
||||||
Centene Corp.
|
||||||||
2.45%, 07/15/2028
|
10,361,000
|
9,142,937
|
||||||
3.00%, 10/15/2030
|
11,090,000
|
9,434,976
|
||||||
Cleveland Clinic Foundation, 4.86%, 01/01/2114
|
14,025,000
|
12,258,196
|
||||||
CommonSpirit Health
|
||||||||
3.82%, 10/01/2049
|
3,290,000
|
2,477,171
|
||||||
5.55%, 12/01/2054
|
5,000,000
|
4,860,401
|
||||||
Hackensack Meridian Health, Inc., 2.68%, 09/01/2041
|
14,920,000
|
10,363,654
|
||||||
HumanGood California Obligated Group, 3.00%, 10/01/2028
|
2,335,000
|
2,201,335
|
||||||
New York and Presbyterian Hospital, 4.76%, 08/01/2116
|
10,000,000
|
8,289,742
|
||||||
Orlando Health Obligated Group, 2.89%, 10/01/2035
|
1,000,000
|
809,849
|
||||||
Penn State Health, 3.81%, 11/01/2049
|
5,920,000
|
4,255,267
|
||||||
Piedmont Healthcare, Inc., 2.72%, 01/01/2042
|
12,924,000
|
8,953,785
|
||||||
Sutter Health, 3.16%, 08/15/2040
|
2,766,000
|
2,099,678
|
||||||
Toledo Hospital, 6.02%, 11/15/2048
|
6,980,000
|
6,953,977
|
||||||
94,847,611 |
||||||||
Hotel & Resort REITs - 0.0%(b)
|
||||||||
Host Hotels & Resorts LP, 5.70%, 07/01/2034
|
2,000,000
|
1,957,084
|
||||||
Hotels, Restaurants & Leisure - 0.2%
|
||||||||
Hilton Grand Vacations Borrower Escrow LLC, 6.63%, 01/15/2032 (d)
|
4,500,000
|
4,477,567
|
||||||
Papa John's International, Inc., 3.88%, 09/15/2029 (d)
|
4,374,000
|
3,802,152
|
||||||
Station Casinos, LLC, 4.50%, 02/15/2028 (d)
|
3,750,000
|
3,494,476
|
||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/2028 (d)
|
5,730,000
|
5,321,629
|
||||||
17,095,824
|
||||||||
Household Durables - 0.5%
|
||||||||
Ashton Woods USA, LLC
|
||||||||
6.63%, 01/15/2028(d)
|
2,570,000
|
2,541,627
|
||||||
4.63%, 04/01/2030(d)
|
4,100,000
|
3,652,491
|
||||||
KB Home, 4.80%, 11/15/2029
|
1,882,000
|
1,761,333
|
||||||
M/I Homes, Inc.
|
||||||||
4.95%, 02/01/2028
|
4,588,000
|
4,367,926
|
||||||
3.95%, 02/15/2030
|
7,916,000
|
6,918,422
|
||||||
Meritage Homes Corp., 3.88%, 04/15/2029 (d)
|
12,874,000
|
11,784,785
|
||||||
Tempur Sealy International, Inc., 3.88%, 10/15/2031 (d)
|
5,241,000
|
4,407,326
|
||||||
35,433,910
|
||||||||
IT Services - 0.1%
|
||||||||
Gartner, Inc.
|
||||||||
3.63%, 06/15/2029(d)
|
1,125,000
|
1,017,538
|
||||||
3.75%, 10/01/2030(d)
|
3,250,000
|
2,870,966
|
||||||
3,888,504
|
||||||||
Life Sciences Tools & Services - 0.0%(b)
|
||||||||
IQVIA, Inc., 5.00%, 10/15/2026 (d)
|
2,000,000
|
1,956,866
|
||||||
Machinery - 0.2%
|
||||||||
AGCO Corp., 5.80%, 03/21/2034
|
5,000,000
|
4,984,180
|
||||||
Allison Transmission, Inc., 3.75%, 01/30/2031 (d)
|
13,782,000
|
11,953,864
|
||||||
Gates Corp., 6.88%, 07/01/2029 (d)
|
500,000
|
505,124
|
||||||
17,443,168
|
||||||||
Media - 0.4%
|
||||||||
CCO Holdings Capital Corp.
|
||||||||
4.75%, 02/01/2032(d)
|
9,912,000
|
7,983,585
|
||||||
4.25%, 01/15/2034(d)
|
10,500,000
|
7,835,029
|
||||||
Charter Communications Operating, LLC, 3.50%, 03/01/2042
|
2,716,000
|
1,802,890
|
||||||
Sirius XM Radio, Inc.
|
||||||||
5.00%, 08/01/2027(d)
|
2,317,000
|
2,202,357
|
||||||
3.88%, 09/01/2031(d)
|
15,124,000
|
12,089,056
|
||||||
31,912,917
|
||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.1%
|
||||||||
Arbor Realty SR, Inc., 5.00%, 12/30/2028 (d)
|
5,000,000
|
4,130,901
|
||||||
Arbor Realty Trust, Inc., 4.50%, 03/15/2027 (d)
|
5,000,000
|
4,425,030
|
||||||
8,555,931
|
||||||||
Pharmaceuticals - 0.5%
|
||||||||
Bristol-Myers Squibb Co.
|
||||||||
4.13%, 06/15/2039
|
10,481,000
|
9,044,729
|
||||||
5.65%, 02/22/2064
|
10,500,000
|
10,236,390
|
||||||
Pfizer Investment Enterprises Pte Ltd., 5.11%, 05/19/2043
|
5,000,000
|
4,737,676
|
||||||
Wyeth, LLC, 5.95%, 04/01/2037
|
13,738,000
|
14,388,844
|
||||||
38,407,639
|
||||||||
Professional Services - 0.5%
|
||||||||
Booz Allen Hamilton, Inc.
|
||||||||
3.88%, 09/01/2028(d)
|
2,220,000
|
2,083,932
|
||||||
4.00%, 07/01/2029(d)
|
12,530,000
|
11,691,068
|
||||||
5.95%, 08/04/2033
|
2,000,000
|
2,055,236
|
||||||
Leidos, Inc.
|
||||||||
4.38%, 05/15/2030
|
6,310,000
|
5,938,759
|
||||||
2.30%, 02/15/2031
|
2,840,000
|
2,326,430
|
||||||
Science Applications International Corp., 4.88%, 04/01/2028 (d)
|
12,888,000
|
12,246,725
|
||||||
36,342,150
|
||||||||
Real Estate Management & Development - 0.3%
|
||||||||
CBRE Services, Inc., 5.95%, 08/15/2034
|
5,000,000
|
5,034,713
|
||||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/2028 (d)
|
2,300,000
|
2,293,290
|
||||||
MMH Master LLC, 6.75%, 02/01/2044 (d)
|
10,250,000
|
10,196,548
|
||||||
Wildflower Improvement Association, 6.63%, 03/01/2031 (d)
|
2,384,181
|
2,280,281
|
||||||
19,804,832
|
||||||||
Retail REITs - 0.3%
|
||||||||
American Finance Trust, Inc., 4.50%, 09/30/2028 (d)
|
10,000,000
|
8,671,134
|
||||||
Simon Property Group LP, 6.75%, 02/01/2040
|
12,702,000
|
13,825,486
|
||||||
22,496,620
|
||||||||
Software - 0.4%
|
||||||||
Open Text Corp.
|
||||||||
3.88%, 02/15/2028(d)
|
6,875,000
|
6,324,704
|
||||||
3.88%, 12/01/2029(d)
|
6,680,000
|
5,876,073
|
||||||
Oracle Corp.
|
||||||||
3.85%, 07/15/2036
|
10,200,000
|
8,558,646
|
||||||
6.50%, 04/15/2038
|
10,000,000
|
10,654,979
|
||||||
31,414,402
|
||||||||
Specialty Retail - 1.1%
|
||||||||
Asbury Automotive Group, Inc., 5.00%, 02/15/2032 (d)
|
11,700,000
|
10,478,694
|
||||||
AutoNation, Inc., 3.85%, 03/01/2032
|
16,775,000
|
14,763,430
|
||||||
Group 1 Automotive, Inc., 4.00%, 08/15/2028 (d)
|
18,014,000
|
16,413,544
|
||||||
Home Depot, Inc.
|
||||||||
5.40%, 09/15/2040
|
9,497,000
|
9,454,188
|
||||||
4.88%, 02/15/2044
|
2,113,000
|
1,942,670
|
||||||
Ken Garff Automotive, LLC, 4.88%, 09/15/2028 (d)
|
10,159,000
|
9,380,692
|
||||||
Lithia Motors, Inc.
|
||||||||
3.88%, 06/01/2029(d)
|
1,120,000
|
999,406
|
||||||
4.38%, 01/15/2031(d)
|
7,000,000
|
6,174,796
|
||||||
Penske Automotive Group, Inc., 3.75%, 06/15/2029
|
11,950,000
|
10,644,497
|
||||||
80,251,917
|
||||||||
Technology Hardware, Storage & Peripherals - 0.3%
|
||||||||
Dell International, LLC, 8.10%, 07/15/2036
|
18,910,000
|
22,606,355
|
||||||
Trading Companies & Distributors - 0.3%
|
||||||||
Ashtead Capital, Inc.
|
||||||||
4.25%, 11/01/2029(d)
|
5,000,000
|
4,643,949
|
||||||
5.50%, 08/11/2032(d)
|
8,553,000
|
8,339,748
|
||||||
5.95%, 10/15/2033(d)
|
2,492,000
|
2,493,957
|
||||||
United Rentals North America, Inc., 3.75%, 01/15/2032
|
5,100,000
|
4,363,820
|
||||||
19,841,474
|
||||||||
TOTAL CORPORATE BONDS (Cost $1,340,391,439)
|
1,267,118,479
|
|||||||
U.S. TREASURY SECURITIES - 14.2%
|
Par
|
Value
|
||||||
United States Treasury Notes/Bonds
|
||||||||
1.13%, 08/15/2040
|
40,000,000
|
23,922,656
|
||||||
4.25%, 11/15/2040
|
55,000,000
|
52,413,281
|
||||||
3.38%, 08/15/2042
|
40,000,000
|
33,327,344
|
||||||
4.00%, 11/15/2042
|
45,000,000
|
40,911,328
|
||||||
3.88%, 05/15/2043
|
230,000,000
|
204,726,954
|
||||||
4.38%, 08/15/2043
|
250,000,000
|
238,144,530
|
||||||
4.75%, 11/15/2043
|
250,000,000
|
250,000,000
|
||||||
4.50%, 02/15/2044
|
124,750,000
|
120,734,609
|
||||||
4.63%, 05/15/2044
|
9,000,000
|
8,878,359
|
||||||
3.13%, 08/15/2044
|
60,000,000
|
47,289,844
|
||||||
TOTAL U.S. TREASURY SECURITIES (Cost $1,042,504,697)
|
1,020,348,905
|
|||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 13.6%
|
Par
|
Value
|
||||||
Arbor Multifamily Mortgage Securities Trust
|
||||||||
Series 2022-MF4, Class B, 3.29%, 02/15/2055(c)(d)
|
7,852,000
|
6,654,800
|
||||||
Series 2022-MF4, Class XD, 1.29%, 02/15/2055(c)(d)(f)
|
19,700,000
|
1,549,080
|
||||||
BANK
|
||||||||
Series 2017-BN4, Class A3, 3.36%, 05/15/2050
|
9,946,550
|
9,435,451
|
||||||
Series 2017-BN5, Class A4, 3.13%, 06/15/2060
|
12,685,000
|
11,863,530
|
||||||
Series 2017-BN8, Class A3, 3.23%, 11/15/2050
|
4,782,696
|
4,424,772
|
||||||
Series 2018-BN10, Class D, 2.60%, 02/15/2061(d)
|
2,000,000
|
1,577,892
|
||||||
Series 2019-BN16, Class XA, 0.94%, 02/15/2052(c)(f)
|
75,386,157
|
2,516,759
|
||||||
Series 2019-BN17, Class XB, 0.56%, 04/15/2052(c)(f)
|
123,653,000
|
3,059,460
|
||||||
Series 2019-BN17, Class XD, 1.59%, 04/15/2052(c)(d)(f)
|
11,541,000
|
731,833
|
||||||
Series 2019-BN19, Class A2, 2.93%, 08/15/2061
|
2,000,000
|
1,780,394
|
||||||
Series 2019-BN21, Class ASB, 2.81%, 10/17/2052
|
6,582,000
|
6,124,823
|
||||||
Series 2019-BN21, Class XD, 1.11%, 10/17/2052(c)(d)(f)
|
18,699,333
|
916,467
|
||||||
Series 2019-BN23, Class C, 3.50%, 12/15/2052(c)
|
8,713,000
|
7,077,031
|
||||||
Series 2019-BN23, Class XB, 0.17%, 12/15/2052(c)(f)
|
238,421,000
|
2,284,264
|
||||||
Series 2019-BN24, Class ASB, 2.93%, 11/15/2062
|
3,250,000
|
3,048,229
|
||||||
Series 2019-BN24, Class XB, 0.19%, 11/15/2062(c)(f)
|
174,693,000
|
1,926,741
|
||||||
Series 2020-BN25, Class B, 3.04%, 01/15/2063(c)
|
2,574,500
|
2,121,115
|
||||||
Series 2020-BN25, Class XA, 0.88%, 01/15/2063(c)(f)
|
157,709,416
|
5,941,103
|
||||||
Series 2020-BN26, Class A2, 2.04%, 03/15/2063
|
5,200,000
|
4,591,234
|
||||||
Series 2020-BN26, Class XB, 0.60%, 03/15/2063(c)(f)
|
226,593,000
|
6,868,623
|
||||||
Series 2020-BN28, Class B, 2.34%, 03/15/2063
|
1,635,000
|
1,305,493
|
||||||
Series 2020-BN28, Class XB, 0.97%, 03/15/2063(c)(f)
|
29,969,467
|
1,549,080
|
||||||
Series 2020-BN29, Class B, 2.42%, 11/15/2053
|
2,625,000
|
2,026,254
|
||||||
Series 2020-BN29, Class C, 3.03%, 11/15/2053(c)
|
1,170,000
|
889,459
|
||||||
Series 2020-BN29, Class D, 2.50%, 11/15/2053(d)
|
1,250,000
|
861,177
|
||||||
Series 2020-BN29, Class XB, 0.65%, 11/15/2053(c)(f)
|
132,417,000
|
4,631,642
|
||||||
Series 2020-BN30, Class B, 2.45%, 12/15/2053(c)
|
1,090,000
|
848,283
|
||||||
Series 2020-BN30, Class C, 2.76%, 12/15/2053(c)
|
5,450,000
|
4,078,293
|
||||||
Series 2020-BN30, Class D, 2.50%, 12/15/2053(c)(d)
|
9,150,000
|
6,321,269
|
||||||
Series 2021-BN31, Class ASB, 1.74%, 02/15/2054
|
7,704,000
|
6,752,835
|
||||||
Series 2021-BN32, Class ASB, 2.33%, 04/15/2054
|
10,727,500
|
9,583,316
|
||||||
Series 2021-BN32, Class C, 3.26%, 04/15/2054(c)
|
800,000
|
619,906
|
||||||
Series 2021-BN32, Class D, 2.50%, 04/15/2054(d)
|
5,000,000
|
3,410,973
|
||||||
Series 2021-BN33, Class ASB, 2.22%, 05/15/2064
|
12,599,000
|
11,161,161
|
||||||
Series 2021-BN34, Class AS, 2.57%, 06/15/2063
|
1,500,000
|
1,159,345
|
||||||
Series 2021-BN34, Class B, 2.75%, 06/15/2063(c)
|
8,000,000
|
6,067,126
|
||||||
Series 2021-BN34, Class XA, 0.97%, 06/15/2063(c)(f)
|
95,508,644
|
4,549,507
|
||||||
Series 2021-BN35, Class B, 2.53%, 06/15/2064
|
2,365,000
|
1,874,596
|
||||||
Series 2021-BN35, Class C, 2.90%, 06/15/2064(c)
|
8,755,000
|
6,807,351
|
||||||
Series 2021-BN35, Class XA, 1.04%, 06/15/2064(c)(f)
|
86,261,119
|
4,409,651
|
||||||
Series 2021-BN37, Class ASB, 2.49%, 11/15/2064
|
14,400,000
|
12,709,869
|
||||||
Series 2021-BN38, Class XA, 0.81%, 12/15/2064(c)(f)
|
40,168,283
|
1,866,532
|
||||||
Series 2022-BN40, Class D, 2.50%, 03/15/2064(d)
|
3,955,000
|
2,641,120
|
||||||
Series 2023-BN45, Class XD, 2.28%, 02/15/2056(c)(d)(f)
|
22,611,000
|
3,396,215
|
||||||
BANK5
|
||||||||
Series 2023-5YR3, Class A2, 6.26%, 09/15/2056
|
9,996,963
|
10,217,346
|
||||||
Series 2023-5YR3, Class B, 7.32%, 09/15/2056(c)
|
2,000,000
|
2,087,201
|
||||||
Series 2023-5YR4, Class AS, 7.27%, 12/15/2056(c)
|
7,500,000
|
7,904,439
|
||||||
Series 2024-5YR6, Class XA, 0.98%, 05/15/2057(c)(d)(f)
|
112,700,000
|
3,590,881
|
||||||
Barclays Commercial Mortgage Trust, Series 2019-C3, Class ASB, 3.46%, 05/15/2052
|
2,081,294
|
1,996,931
|
||||||
BBCMS Trust
|
||||||||
Series 2020-C6, Class XA, 1.04%, 02/15/2053(c)(f)
|
92,160,574
|
4,011,289
|
||||||
Series 2020-C6, Class XB, 0.67%, 02/15/2053(c)(f)
|
59,000,000
|
2,078,895
|
||||||
Series 2020-C7, Class XA, 1.61%, 04/15/2053(c)(f)
|
21,752,537
|
1,252,374
|
||||||
Series 2020-C7, Class XB, 0.98%, 04/15/2053(c)(f)
|
17,140,000
|
873,220
|
||||||
Series 2021-C10, Class XA, 1.28%, 07/15/2054(c)(f)
|
64,531,385
|
4,023,345
|
||||||
Series 2021-C10, Class XB, 1.02%, 07/15/2054(c)(f)
|
74,931,500
|
4,430,647
|
||||||
Series 2021-C11, Class ASB, 2.11%, 09/15/2054
|
7,500,000
|
6,562,128
|
||||||
Series 2021-C11, Class XB, 0.96%, 09/15/2054(c)(f)
|
29,540,000
|
1,724,262
|
||||||
Series 2021-C12, Class B, 2.76%, 11/15/2054
|
9,000,000
|
6,905,811
|
||||||
Series 2021-C12, Class XA, 0.95%, 11/15/2054(c)(f)
|
101,194,851
|
4,878,998
|
||||||
Series 2021-C12, Class XB, 0.59%, 11/15/2054(c)(f)
|
59,992,000
|
2,305,685
|
||||||
Series 2021-C9, Class AS, 2.53%, 02/15/2054
|
8,500,000
|
6,913,925
|
||||||
Series 2021-C9, Class ASB, 1.96%, 02/15/2054
|
10,000,000
|
8,910,703
|
||||||
Series 2021-C9, Class XB, 0.99%, 02/15/2054(c)(f)
|
68,467,000
|
3,743,132
|
||||||
Series 2022-C14, Class XA, 0.71%, 02/15/2055(c)(f)
|
98,328,520
|
3,737,211
|
||||||
Series 2022-C14, Class XB, 0.25%, 02/15/2055(c)(f)
|
166,823,000
|
3,632,754
|
||||||
Series 2022-C15, Class XD, 1.33%, 04/15/2055(c)(d)(f)
|
25,000,000
|
2,182,460
|
||||||
Series 2022-C17, Class XA, 1.15%, 09/15/2055(c)(f)
|
65,073,948
|
4,802,627
|
||||||
Series 2022-C17, Class XB, 0.49%, 09/15/2055(c)(f)
|
52,655,000
|
2,135,429
|
||||||
Series 2023-C19, Class A2B, 5.75%, 04/15/2056
|
10,000,000
|
9,947,826
|
||||||
Series 2023-C21, Class A2, 6.30%, 09/15/2056(c)
|
10,130,000
|
10,415,694
|
||||||
Series 2024-C24, Class XA, 1.63%, 02/15/2057(c)(f)
|
63,505,262
|
6,762,224
|
||||||
Series 2024-C24, Class XB, 1.33%, 02/15/2057(c)(f)
|
32,630,000
|
3,171,900
|
||||||
Series 2024-C26, Class XA, 1.24%, 05/15/2057(c)(f)
|
111,997,000
|
8,704,048
|
||||||
Benchmark Mortgage Trust
|
||||||||
Series 2019-B12, Class XB, 0.39%, 08/15/2052(c)(d)(f)
|
93,260,000
|
1,668,962
|
||||||
Series 2019-B13, Class XB, 0.40%, 08/15/2057(c)(d)(f)
|
82,774,000
|
1,471,796
|
||||||
Series 2019-B13, Class XD, 1.50%, 08/15/2057(c)(d)(f)
|
12,071,000
|
769,349
|
||||||
Series 2019-B9, Class XA, 1.01%, 03/15/2052(c)(f)
|
28,408,866
|
1,024,748
|
||||||
Series 2019-B9, Class XD, 1.99%, 03/15/2052(c)(d)(f)
|
11,513,000
|
857,889
|
||||||
Series 2020-B16, Class XA, 1.04%, 02/15/2053(c)(f)
|
118,606,132
|
4,728,020
|
||||||
Series 2020-B16, Class XB, 0.30%, 02/15/2053(c)(d)(f)
|
70,467,000
|
854,920
|
||||||
Series 2020-B20, Class XB, 0.58%, 10/15/2053(c)(f)
|
79,394,000
|
2,276,162
|
||||||
Series 2020-B21, Class AAB, 1.80%, 12/17/2053
|
5,966,000
|
5,307,495
|
||||||
Series 2021-B23, Class AAB, 1.77%, 02/15/2054
|
5,000,000
|
4,359,236
|
||||||
Series 2021-B23, Class XA, 1.26%, 02/15/2054(c)(f)
|
66,147,846
|
3,763,019
|
||||||
Series 2021-B23, Class XB, 0.91%, 02/15/2054(c)(d)(f)
|
105,441,000
|
5,366,219
|
||||||
Series 2021-B24, Class ASB, 2.26%, 03/15/2054
|
6,400,000
|
5,678,671
|
||||||
Series 2021-B24, Class XA, 1.14%, 03/15/2054(c)(f)
|
66,373,196
|
3,342,043
|
||||||
Series 2021-B24, Class XB, 0.59%, 03/15/2054(c)(f)
|
99,123,000
|
3,478,781
|
||||||
Series 2021-B25, Class XA, 1.09%, 04/15/2054(c)(f)
|
78,664,721
|
4,194,922
|
||||||
Series 2021-B25, Class XB, 0.66%, 04/15/2054(c)(f)
|
93,350,000
|
3,640,025
|
||||||
Series 2021-B26, Class B, 2.58%, 06/15/2054(c)
|
6,000,000
|
4,573,099
|
||||||
Series 2021-B26, Class C, 2.87%, 06/15/2054(c)
|
1,650,000
|
1,140,713
|
||||||
Series 2021-B26, Class D, 2.00%, 06/15/2054(d)
|
2,250,000
|
1,374,290
|
||||||
Series 2021-B26, Class XD, 1.37%, 06/15/2054(c)(d)(f)
|
10,836,000
|
845,215
|
||||||
Series 2021-B27, Class B, 2.36%, 07/15/2054
|
6,000,000
|
4,321,847
|
||||||
Series 2021-B27, Class C, 2.70%, 07/15/2054
|
2,000,000
|
1,411,846
|
||||||
Series 2021-B27, Class D, 2.00%, 07/15/2054(d)
|
5,000,000
|
2,846,101
|
||||||
Series 2021-B27, Class XA, 1.26%, 07/15/2054(c)(f)
|
51,709,865
|
2,965,819
|
||||||
Series 2021-B27, Class XD, 1.49%, 07/15/2054(c)(d)(f)
|
28,014,000
|
2,403,422
|
||||||
Series 2021-B28, Class XA, 1.27%, 08/15/2054(c)(f)
|
98,989,170
|
6,137,319
|
||||||
Series 2021-B28, Class XB, 0.95%, 08/15/2054(c)(f)
|
32,491,000
|
1,866,975
|
||||||
Series 2021-B29, Class C, 2.75%, 09/15/2054(c)
|
5,300,000
|
4,016,330
|
||||||
Series 2021-B29, Class D, 2.00%, 09/15/2054(d)
|
1,000,000
|
636,003
|
||||||
Series 2021-B29, Class E, 2.00%, 09/15/2054(d)
|
6,000,000
|
3,535,781
|
||||||
Series 2021-B29, Class XD, 1.30%, 09/15/2054(c)(d)(f)
|
27,615,000
|
2,051,250
|
||||||
Series 2021-B30, Class C, 2.88%, 11/15/2054(c)
|
8,181,000
|
5,764,222
|
||||||
Series 2021-B30, Class E, 2.00%, 11/15/2054(d)
|
2,250,000
|
1,183,775
|
||||||
Series 2021-B30, Class XB, 0.59%, 11/15/2054(c)(d)(f)
|
83,683,000
|
2,867,733
|
||||||
Series 2021-B30, Class XD, 1.30%, 11/15/2054(c)(d)(f)
|
18,582,000
|
1,399,724
|
||||||
Series 2021-B31, Class XA, 0.77%, 12/15/2054(c)(f)
|
142,912,902
|
5,993,696
|
||||||
Series 2021-B31, Class XB, 0.43%, 12/15/2054(c)(d)(f)
|
124,409,000
|
3,614,380
|
||||||
Series 2021-B31, Class XD, 1.14%, 12/15/2054(c)(d)(f)
|
31,991,000
|
2,256,210
|
||||||
Series 2022-B32, Class AS, 3.41%, 01/15/2055(c)
|
10,000,000
|
8,178,510
|
||||||
Series 2022-B32, Class XD, 1.52%, 01/15/2055(c)(d)(f)
|
39,202,000
|
3,391,616
|
||||||
Series 2022-B33, Class XD, 1.61%, 03/15/2055(c)(d)(f)
|
21,919,000
|
2,110,927
|
||||||
Series 2023-B38, Class A2, 5.63%, 04/15/2056
|
12,000,000
|
11,864,441
|
||||||
Series 2024-V5, Class AM, 6.42%, 01/10/2057(c)
|
5,900,000
|
6,041,526
|
||||||
Series 2024-V6, Class XA, 1.34%, 10/15/2028(c)(f)
|
117,560,751
|
6,330,494
|
||||||
BMO Mortgage Trust
|
||||||||
Series 2022-C1, Class C, 3.62%, 02/17/2055(c)
|
2,000,000
|
1,584,321
|
||||||
Series 2022-C1, Class XD, 1.76%, 02/17/2055(c)(d)(f)
|
30,550,000
|
3,283,688
|
||||||
Series 2023-C5, Class A2, 6.52%, 06/15/2056
|
10,000,000
|
10,206,526
|
||||||
Series 2023-C7, Class XA, 0.81%, 12/15/2056(c)(d)(f)
|
100,353,495
|
5,500,225
|
||||||
Series 2024-5C3, Class AS, 6.29%, 02/15/2057(c)
|
5,750,000
|
5,838,441
|
||||||
Series 2024-5C3, Class XA, 1.12%, 02/15/2057(c)(f)
|
101,189,000
|
4,452,387
|
||||||
California Housing Finance Agency
|
||||||||
Series 2021-1, Class X, 0.80%, 11/20/2035(f)
|
27,613,951
|
1,318,566
|
||||||
Series 2021-3, Class X, 0.79%, 08/20/2036(f)
|
25,278,742
|
1,267,729
|
||||||
Cantor Commercial Real Estate Lending LP, Series 2019-CF2, Class XB, 0.66%, 11/15/2052 (c)(f)
|
134,736,000
|
3,771,005
|
||||||
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class XB, 0.32%, 11/15/2050 (c)(f)
|
40,062,667
|
396,464
|
||||||
Citigroup Commercial Mortgage Trust
|
||||||||
Series 2016-C1, Class B, 4.12%, 05/10/2049
|
3,000,000
|
2,842,605
|
||||||
Series 2016-C1, Class C, 4.94%, 05/10/2049(c)
|
8,348,000
|
7,924,878
|
||||||
Series 2016-P6, Class B, 4.16%, 12/10/2049(c)
|
6,835,000
|
6,102,421
|
||||||
Series 2017-B1, Class XB, 0.15%, 08/15/2050(c)(f)
|
38,016,000
|
220,759
|
||||||
Series 2017-C4, Class XA, 0.98%, 10/12/2050(c)(f)
|
30,774,541
|
804,936
|
||||||
Series 2017-C4, Class XB, 0.27%, 10/12/2050(c)(f)
|
42,746,500
|
361,281
|
||||||
Series 2017-P7, Class XB, 0.57%, 04/14/2050(c)(f)
|
45,124,000
|
664,067
|
||||||
Series 2017-P8, Class B, 4.19%, 09/15/2050
|
4,160,000
|
3,762,712
|
||||||
Series 2018-B2, Class XB, 0.37%, 03/10/2051(c)(f)
|
49,202,000
|
671,691
|
||||||
Series 2018-C5, Class XB, 0.33%, 06/10/2051(c)(d)(f)
|
28,400,000
|
379,850
|
||||||
Series 2018-C6, Class AAB, 4.34%, 11/10/2051
|
4,432,725
|
4,319,427
|
||||||
Series 2019-C7, Class B, 3.67%, 12/15/2072(c)
|
10,000,000
|
8,634,065
|
||||||
Series 2019-C7, Class XA, 0.85%, 12/15/2072(c)(f)
|
75,037,477
|
2,731,867
|
||||||
Series 2019-C7, Class XB, 0.28%, 12/15/2072(c)(d)(f)
|
50,711,000
|
730,659
|
||||||
Series 2019-C7, Class XD, 1.20%, 12/15/2072(c)(d)(f)
|
39,933,000
|
2,252,660
|
||||||
Series 2019-GC41, Class AS, 3.02%, 08/10/2056
|
10,339,000
|
8,835,447
|
||||||
Series 2019-GC41, Class XA, 1.04%, 08/10/2056(c)(f)
|
52,511,418
|
1,844,227
|
||||||
Series 2020-GC46, Class XA, 0.97%, 02/15/2053(c)(f)
|
88,577,159
|
3,685,678
|
||||||
Series 2020-GC46, Class XB, 0.32%, 02/15/2053(c)(d)(f)
|
92,457,000
|
1,700,247
|
||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust
|
||||||||
Series 2017-CD3, Class XB, 0.55%, 02/10/2050(c)(f)
|
61,857,000
|
950,111
|
||||||
Series 2018-CD7, Class ASB, 4.21%, 08/15/2051
|
2,720,678
|
2,642,122
|
||||||
Commercial Mortgage Pass Through Certificates
|
||||||||
Series 2014-CR18, Class B, 4.46%, 07/15/2047(c)
|
4,550,700
|
4,483,113
|
||||||
Series 2019-GC44, Class XD, 1.02%, 08/15/2057(c)(d)(f)
|
19,460,000
|
934,493
|
||||||
Computershare Corporate Trust
|
||||||||
Series 2016-C37, Class D, 3.17%, 12/15/2049(c)(d)
|
9,625,000
|
8,339,977
|
||||||
Series 2017-C40, Class B, 4.24%, 10/15/2050(c)
|
2,000,000
|
1,814,912
|
||||||
Series 2017-C40, Class C, 4.30%, 10/15/2050(c)
|
1,670,000
|
1,480,636
|
||||||
Series 2018-C48, Class B, 4.90%, 01/15/2052(c)
|
5,000,000
|
4,609,268
|
||||||
Series 2019-C49, Class D, 3.00%, 03/15/2052(d)
|
3,250,000
|
2,549,124
|
||||||
Series 2019-C53, Class C, 3.58%, 10/15/2052(c)
|
3,275,000
|
2,755,229
|
||||||
CSAIL Commercial Mortgage Trust
|
||||||||
Series 2015-C1, Class XD, 0.50%, 04/15/2050(c)(d)(f)
|
62,192,000
|
176,240
|
||||||
Series 2016-C5, Class XD, 1.00%, 11/15/2048(c)(d)(f)
|
46,821,000
|
519,900
|
||||||
Series 2017-C8, Class XB, 0.35%, 06/15/2050(c)(f)
|
74,773,000
|
696,144
|
||||||
Series 2019-C17, Class XA, 1.32%, 09/15/2052(c)(f)
|
81,800,678
|
4,048,905
|
||||||
Series 2019-C18, Class C, 3.92%, 12/15/2052(c)
|
3,987,000
|
3,350,931
|
||||||
Series 2019-C18, Class XA, 1.00%, 12/15/2052(c)(f)
|
94,530,700
|
3,691,915
|
||||||
GS Mortgage Securities Corp. II
|
||||||||
Series 2012-BWTR, Class A, 2.95%, 11/05/2034(d)
|
445,000
|
361,467
|
||||||
Series 2012-BWTR, Class B, 3.26%, 11/05/2034(d)
|
6,608,000
|
3,546,224
|
||||||
Series 2015-GC32, Class B, 4.39%, 07/10/2048(c)
|
6,453,000
|
6,181,686
|
||||||
Series 2015-GC34, Class A3, 3.24%, 10/10/2048
|
8,905,503
|
8,640,305
|
||||||
Series 2016-GS3, Class B, 3.40%, 10/10/2049(c)
|
10,417,000
|
9,456,862
|
||||||
Series 2017-GS8, Class XB, 0.37%, 11/10/2050(c)(f)
|
44,642,000
|
540,878
|
||||||
Series 2018-GS10, Class XD, 1.40%, 07/10/2051(c)(d)(f)
|
24,049,000
|
1,317,919
|
||||||
Series 2019-GC38, Class XD, 1.89%, 02/10/2052(c)(d)(f)
|
20,916,000
|
1,557,376
|
||||||
Series 2019-GC39, Class XB, 0.66%, 05/10/2052(c)(f)
|
69,588,000
|
1,940,503
|
||||||
Series 2019-GC39, Class XD, 1.64%, 05/10/2052(c)(d)(f)
|
24,645,000
|
1,644,016
|
||||||
Series 2019-GSA1, Class XA, 0.81%, 11/10/2052(c)(f)
|
69,831,128
|
2,444,027
|
||||||
Series 2020-GC45, Class AAB, 2.84%, 02/13/2053
|
12,881,000
|
11,990,755
|
||||||
Series 2020-GSA2, Class XB, 0.94%, 12/12/2053(c)(d)(f)
|
73,324,000
|
3,769,953
|
||||||
JP Morgan Chase Commercial Mortgage Securities
|
||||||||
Series 2007-CB20, Class X1, 0.00%, 02/12/2051(c)(d)(f)
|
116,178
|
0
|
||||||
Series 2017-JP6, Class XB, 0.63%, 07/15/2050(c)(f)
|
68,830,000
|
1,195,467
|
||||||
JPMBB Commercial Mortgage Securities Trust
|
||||||||
Series 2015-C30, Class B, 4.23%, 07/15/2048(c)
|
3,585,000
|
3,318,985
|
||||||
Series 2015-C32, Class XD, 0.50%, 11/15/2048(c)(d)(f)
|
23,066,000
|
118,894
|
||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class B, 3.64%, 12/15/2049 (c)
|
5,500,000
|
4,810,239
|
||||||
Mcp Holding Co. LLC, Series 2015-GC30, Class B, 4.02%, 05/10/2050 (c)
|
2,960,000
|
2,786,905
|
||||||
Morgan Stanley ABS Capital I, Inc., Series 2021-L7, Class XB, 0.41%, 10/15/2054 (c)(f)
|
143,080,000
|
3,893,593
|
||||||
Morgan Stanley Bank of America Merrill Lynch Trust
|
||||||||
Series 2015-C23, Class B, 4.14%, 07/15/2050(c)
|
3,845,000
|
3,679,413
|
||||||
Series 2015-C27, Class B, 4.49%, 12/15/2047(c)
|
3,000,000
|
2,872,724
|
||||||
Series 2016-C31, Class XD, 1.26%, 11/15/2049(c)(d)(f)
|
21,212,500
|
540,312
|
||||||
Series 2017-C34, Class B, 4.11%, 11/15/2052(c)
|
5,054,000
|
4,439,501
|
||||||
Series 2017-C34, Class D, 2.70%, 11/15/2052(d)
|
4,953,000
|
2,947,242
|
||||||
Morgan Stanley Capital I Trust, Series 2016-BN2, Class XB, 0.52%, 11/15/2049 (c)(f)
|
58,680,000
|
661,752
|
||||||
Morgan Stanley Capital I, Inc.
|
||||||||
Series 2017-H1, Class C, 4.28%, 06/15/2050(c)
|
7,959,000
|
7,076,321
|
||||||
Series 2017-H1, Class XD, 2.14%, 06/15/2050(c)(d)(f)
|
8,725,000
|
474,746
|
||||||
Series 2017-HR2, Class A3, 3.33%, 12/15/2050
|
11,640,674
|
10,821,027
|
||||||
Series 2017-HR2, Class C, 4.32%, 12/15/2050(c)
|
10,576,000
|
9,428,657
|
||||||
Series 2018-H3, Class ASB, 4.12%, 07/15/2051
|
5,254,797
|
5,113,402
|
||||||
Series 2018-H3, Class XB, 0.36%, 07/15/2051(c)(f)
|
135,712,000
|
1,867,248
|
||||||
Series 2018-H3, Class XD, 1.85%, 07/15/2051(c)(d)(f)
|
15,363,500
|
973,319
|
||||||
Series 2019-H7, Class C, 4.13%, 07/15/2052
|
9,593,000
|
8,320,458
|
||||||
Series 2019-H7, Class D, 3.00%, 07/15/2052(d)
|
2,402,000
|
1,799,316
|
||||||
Series 2019-H7, Class XB, 0.66%, 07/15/2052(c)(f)
|
130,723,000
|
3,803,190
|
||||||
Series 2019-L2, Class XB, 0.62%, 03/15/2052(c)(f)
|
127,093,000
|
3,326,291
|
||||||
Series 2021-L5, Class B, 3.10%, 05/15/2054
|
6,627,000
|
5,423,737
|
||||||
Series 2021-L5, Class D, 2.50%, 05/15/2054(d)
|
3,500,000
|
2,371,994
|
||||||
Series 2021-L5, Class XB, 0.71%, 05/15/2054(c)(f)
|
70,387,500
|
2,990,934
|
||||||
Series 2021-L6, Class B, 2.95%, 06/15/2054(c)
|
7,500,000
|
5,867,819
|
||||||
MSWF Commercial Mortgage Trust, Series 2023-2, Class XA, 0.91%, 12/15/2056 (c)(f)
|
16,849,831
|
1,084,812
|
||||||
New Hampshire Business Finance Authority, Series 2023-2, Class X, 0.75%, 01/20/2038 (c)(f)
|
33,000,000
|
1,836,780
|
||||||
UBS Commercial Mortgage Trust
|
||||||||
Series 2017-C1, Class XB, 0.92%, 06/15/2050(c)(f)
|
13,000,000
|
311,054
|
||||||
Series 2017-C6, Class XB, 0.50%, 12/15/2050(c)(f)
|
63,420,500
|
1,129,373
|
||||||
Series 2017-C7, Class XB, 0.36%, 12/15/2050(c)(f)
|
170,396,000
|
2,172,839
|
||||||
Series 2018-C12, Class XA, 0.87%, 08/15/2051(c)(f)
|
40,434,535
|
1,190,639
|
||||||
Series 2018-C12, Class XB, 0.28%, 08/15/2051(c)(f)
|
139,858,000
|
1,861,706
|
||||||
Series 2018-C13, Class ASB, 4.24%, 10/15/2051
|
2,948,700
|
2,853,754
|
||||||
Series 2018-C13, Class XB, 0.27%, 10/15/2051(c)(f)
|
128,678,000
|
1,862,820
|
||||||
Series 2018-C13, Class XD, 2.00%, 10/15/2051(c)(d)(f)
|
16,442,000
|
1,248,954
|
||||||
Series 2018-C14, Class XB, 0.25%, 12/15/2051(c)(f)
|
114,392,000
|
1,535,541
|
||||||
Series 2018-C8, Class A3, 3.72%, 02/15/2051
|
2,000,458
|
1,881,835
|
||||||
Series 2019-C17, Class XB, 0.85%, 10/15/2052(c)(f)
|
128,213,000
|
4,996,781
|
||||||
Series 2019-C18, Class AS, 3.38%, 12/15/2052(c)
|
9,000,000
|
7,575,333
|
||||||
Series 2019-C18, Class ASB, 2.99%, 12/15/2052
|
4,500,000
|
4,231,593
|
||||||
UBS-Barclays Commercial Mortgage Trust
|
||||||||
Series 2019-C3, Class XB, 0.76%, 05/15/2052(c)(f)
|
56,340,000
|
1,901,683
|
||||||
Series 2019-C4, Class XB, 1.12%, 08/15/2052(c)(f)
|
43,170,000
|
2,127,590
|
||||||
Series 2019-C5, Class XB, 0.38%, 11/15/2052(c)(f)
|
174,774,000
|
2,664,098
|
||||||
Series 2019-C5, Class XD, 1.36%, 11/15/2052(c)(d)(f)
|
12,996,000
|
762,941
|
||||||
Washington State Housing Finance Commission, Series 2021-1, Class X, 0.73%, 12/20/2035 (c)(f)
|
20,301,216
|
883,509
|
||||||
Wells Fargo Commercial Mortgage Trust
|
||||||||
Series 2015-C28, Class C, 4.08%, 05/15/2048(c)
|
11,105,000
|
10,063,853
|
||||||
Series 2015-C28, Class D, 4.08%, 05/15/2048(c)
|
4,376,000
|
3,494,943
|
||||||
Series 2015-C30, Class B, 4.40%, 09/15/2058(c)
|
5,800,000
|
5,595,942
|
||||||
Series 2015-NXS1, Class B, 3.66%, 05/15/2048(c)
|
1,320,000
|
1,259,606
|
||||||
Series 2016-C37, Class C, 4.47%, 12/15/2049(c)
|
11,213,000
|
10,314,081
|
||||||
Series 2016-LC24, Class XB, 0.97%, 10/15/2049(c)(f)
|
66,264,075
|
1,255,273
|
||||||
Series 2017-C42, Class XB, 0.32%, 12/15/2050(c)(f)
|
116,750,000
|
1,339,660
|
||||||
Series 2017-RB1, Class XB, 0.72%, 03/15/2050(c)(f)
|
69,254,209
|
1,216,783
|
||||||
Series 2018-C43, Class C, 4.51%, 03/15/2051(c)
|
4,033,000
|
3,604,169
|
||||||
Series 2018-C45, Class B, 4.56%, 06/16/2051
|
2,837,000
|
2,659,821
|
||||||
Series 2018-C45, Class C, 4.73%, 06/15/2051
|
4,004,000
|
3,720,278
|
||||||
Series 2018-C47, Class AS, 4.67%, 09/15/2061(c)
|
8,000,000
|
7,606,951
|
||||||
Series 2018-C47, Class XB, 0.15%, 09/15/2061(c)(f)
|
164,144,000
|
1,202,929
|
||||||
Series 2018-C48, Class ASB, 4.25%, 01/15/2052
|
6,319,253
|
6,136,942
|
||||||
Series 2018-C48, Class XB, 0.25%, 01/15/2052(c)(f)
|
138,642,000
|
1,706,933
|
||||||
Series 2019-C49, Class ASB, 3.93%, 03/15/2052
|
4,747,084
|
4,621,852
|
||||||
Series 2019-C49, Class B, 4.55%, 03/15/2052
|
8,947,000
|
8,327,550
|
||||||
Series 2019-C49, Class XB, 0.60%, 03/15/2052(c)(f)
|
125,812,000
|
3,292,035
|
||||||
Series 2019-C50, Class XB, 0.87%, 05/15/2052(c)(f)
|
36,427,311
|
1,357,322
|
||||||
Series 2019-C51, Class XB, 0.63%, 06/15/2052(c)(f)
|
130,394,000
|
3,700,047
|
||||||
Series 2019-C52, Class C, 3.56%, 08/15/2052
|
6,206,000
|
4,929,115
|
||||||
Series 2019-C52, Class XA, 1.59%, 08/15/2052(c)(f)
|
55,162,305
|
3,313,340
|
||||||
Series 2019-C52, Class XB, 1.10%, 08/15/2052(c)(f)
|
113,763,146
|
5,678,055
|
||||||
Series 2019-C53, Class B, 3.51%, 10/15/2052(c)
|
5,200,000
|
4,548,515
|
||||||
Series 2019-C53, Class XB, 0.45%, 10/15/2052(c)(f)
|
105,325,000
|
2,525,967
|
||||||
Series 2020-C55, Class XB, 0.81%, 02/15/2053(c)(f)
|
58,030,370
|
2,235,057
|
||||||
Series 2020-C56, Class ASB, 2.42%, 06/15/2053
|
2,250,000
|
2,055,982
|
||||||
Series 2020-C56, Class XB, 0.31%, 06/15/2053(c)(f)
|
127,035,000
|
1,833,623
|
||||||
Series 2020-C57, Class ASB, 1.91%, 08/15/2053
|
7,250,000
|
6,503,565
|
||||||
Series 2020-C57, Class C, 4.02%, 08/15/2053(c)
|
5,500,000
|
4,743,994
|
||||||
Series 2020-C57, Class D, 2.50%, 08/15/2053(d)
|
2,738,000
|
1,977,649
|
||||||
Series 2020-C57, Class XA, 2.06%, 08/15/2053(c)(f)
|
22,089,346
|
2,032,958
|
||||||
Series 2020-C57, Class XB, 0.73%, 08/15/2053(c)(f)
|
74,972,000
|
2,867,687
|
||||||
Series 2020-C58, Class XB, 1.11%, 07/15/2053(c)(f)
|
109,974,000
|
6,475,291
|
||||||
Series 2021-C59, Class C, 3.28%, 04/15/2054
|
7,648,000
|
5,666,243
|
||||||
Series 2021-C59, Class XB, 0.90%, 04/15/2054(c)(f)
|
65,782,000
|
3,352,014
|
||||||
Series 2021-C59, Class XD, 1.45%, 04/15/2054(c)(d)(f)
|
40,274,000
|
3,155,722
|
||||||
Series 2021-C60, Class B, 2.73%, 08/15/2054
|
7,114,678
|
5,721,648
|
||||||
Series 2021-C60, Class C, 2.74%, 08/15/2054
|
4,475,000
|
3,546,897
|
||||||
Series 2021-C60, Class XA, 1.52%, 08/15/2054(c)(f)
|
40,608,598
|
2,945,975
|
||||||
Series 2021-C60, Class XB, 1.10%, 08/15/2054(c)(f)
|
40,551,000
|
2,564,555
|
||||||
Series 2021-C61, Class B, 3.11%, 11/15/2054
|
4,221,000
|
3,315,671
|
||||||
Series 2021-C61, Class XD, 1.39%, 11/15/2054(c)(d)(f)
|
9,132,000
|
761,557
|
||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $1,123,925,479)
|
980,611,951
|
|||||||
ASSET-BACKED SECURITIES - 13.6%
|
Par
|
Value
|
||||||
American Credit Acceptance Receivables Trust
|
||||||||
Series 2021-2, Class E, 2.54%, 07/13/2027(d)
|
10,000,000
|
9,758,178
|
||||||
Series 2021-3, Class E, 2.56%, 11/15/2027(d)
|
4,094,000
|
3,973,160
|
||||||
Series 2021-4, Class C, 1.32%, 02/14/2028(d)
|
22,151
|
22,118
|
||||||
Series 2021-4, Class E, 3.12%, 02/14/2028(d)
|
5,700,000
|
5,542,919
|
||||||
Series 2022-2, Class C, 4.41%, 06/13/2028(d)
|
5,110,484
|
5,095,286
|
||||||
Series 2022-3, Class C, 4.86%, 10/13/2028(d)
|
3,497,793
|
3,487,209
|
||||||
Series 2022-4, Class C, 7.86%, 02/15/2029(d)
|
4,722,710
|
4,758,666
|
||||||
Series 2022-4, Class D, 8.00%, 02/15/2029(d)
|
7,500,000
|
7,668,019
|
||||||
Series 2023-1, Class A, 5.45%, 09/14/2026(d)
|
470,947
|
470,817
|
||||||
Series 2023-1, Class C, 5.59%, 04/12/2029(d)
|
5,600,000
|
5,578,712
|
||||||
Series 2023-2, Class B, 5.61%, 06/14/2027(d)
|
4,000,000
|
3,991,332
|
||||||
Series 2023-2, Class C, 5.96%, 08/13/2029(d)
|
10,580,000
|
10,575,906
|
||||||
Series 2023-3, Class C, 6.44%, 10/12/2029(d)
|
6,930,000
|
6,964,488
|
||||||
Series 2023-4, Class C, 6.99%, 09/12/2030(d)
|
7,500,000
|
7,633,687
|
||||||
Series 2024-1, Class B, 5.60%, 11/12/2027(d)
|
5,000,000
|
4,983,806
|
||||||
Series 2024-1, Class C, 5.63%, 01/14/2030(d)
|
5,000,000
|
4,966,298
|
||||||
Series 2024-2, Class B, 6.10%, 12/13/2027(d)
|
5,750,000
|
5,755,400
|
||||||
Series 2024-2, Class C, 6.24%, 04/12/2030(d)
|
4,750,000
|
4,758,592
|
||||||
AmeriCredit Automobile Receivables Trust
|
||||||||
Series 2021-1, Class D, 1.21%, 12/18/2026
|
2,095,000
|
2,000,215
|
||||||
Series 2023-1, Class A2A, 5.84%, 10/19/2026
|
4,418,021
|
4,420,039
|
||||||
Series 2023-2, Class A3, 5.81%, 05/18/2028
|
15,000,000
|
15,056,762
|
||||||
Series 2024-1, Class A2A, 5.75%, 02/18/2028
|
2,705,000
|
2,708,303
|
||||||
Series 2024-1, Class A3, 5.43%, 01/18/2029
|
12,000,000
|
12,007,200
|
||||||
CarMax Auto Owner Trust
|
||||||||
Series 2022-3, Class D, 6.20%, 01/16/2029
|
6,250,000
|
6,254,888
|
||||||
Series 2023-1, Class A2A, 5.23%, 01/15/2026
|
921,226
|
920,667
|
||||||
Series 2023-2, Class A2A, 5.50%, 06/15/2026
|
8,650,161
|
8,644,815
|
||||||
Series 2023-3, Class A2A, 5.72%, 11/16/2026
|
6,065,653
|
6,066,073
|
||||||
Series 2024-1, Class A2A, 5.30%, 03/15/2027
|
8,500,000
|
8,481,130
|
||||||
Series 2024-1, Class B, 5.17%, 08/15/2029
|
4,400,000
|
4,369,940
|
||||||
Series 2024-2, Class A3, 5.50%, 01/16/2029
|
13,000,000
|
13,046,303
|
||||||
CNH Equipment Trust
|
||||||||
Series 2023-A, Class A2, 5.34%, 09/15/2026
|
5,325,950
|
5,317,367
|
||||||
Series 2023-B, Class A3, 5.60%, 02/15/2029
|
5,000,000
|
5,025,659
|
||||||
Series 2024-A, Class A2, 5.19%, 07/15/2027
|
8,025,000
|
7,997,968
|
||||||
CPS Auto Trust, Series 2023-A, Class C, 5.54%, 04/16/2029 (d)
|
2,500,000
|
2,484,543
|
||||||
DT Auto Owner Trust, Series 2020-2A, Class D, 4.73%, 03/16/2026 (d)
|
2,476,624
|
2,471,273
|
||||||
Enterprise Fleet Financing, Series 2024-1, Class A2, 5.23%, 03/20/2030 (d)
|
7,000,000
|
6,960,320
|
||||||
Exeter Automobile Receivables Trust
|
||||||||
Series 2020-2A, Class E, 7.19%, 09/15/2027(d)
|
10,000,000
|
10,050,068
|
||||||
Series 2021-2A, Class D, 1.40%, 04/15/2027
|
1,345,000
|
1,289,696
|
||||||
Series 2021-2A, Class E, 2.90%, 07/17/2028(d)
|
1,500,000
|
1,425,698
|
||||||
Series 2021-3A, Class E, 3.04%, 12/15/2028(d)
|
5,000,000
|
4,688,446
|
||||||
Series 2022-2A, Class B, 3.65%, 10/15/2026
|
5,067,414
|
5,059,279
|
||||||
Series 2022-2A, Class D, 4.56%, 07/17/2028
|
2,860,000
|
2,794,482
|
||||||
Series 2022-4A, Class B, 4.57%, 01/15/2027
|
2,129,280
|
2,125,101
|
||||||
Series 2022-4A, Class C, 4.92%, 12/15/2028
|
4,000,000
|
3,973,336
|
||||||
Series 2022-5A, Class B, 5.97%, 03/15/2027
|
4,481,877
|
4,480,009
|
||||||
Series 2022-5A, Class C, 6.51%, 12/15/2027
|
5,060,000
|
5,075,904
|
||||||
Series 2022-6A, Class B, 6.03%, 08/16/2027
|
10,000,000
|
9,999,828
|
||||||
Series 2022-6A, Class C, 6.32%, 05/15/2028
|
5,202,000
|
5,215,518
|
||||||
Series 2023-1A, Class A3, 5.58%, 04/15/2026
|
1,481,194
|
1,481,056
|
||||||
Series 2023-1A, Class D, 6.69%, 06/15/2029
|
2,960,000
|
2,988,305
|
||||||
Series 2023-2A, Class A3, 5.60%, 08/17/2026
|
9,219,965
|
9,214,763
|
||||||
Series 2023-2A, Class B, 5.61%, 09/15/2027
|
5,623,000
|
5,630,303
|
||||||
Series 2023-3A, Class A3, 6.04%, 07/15/2026
|
6,000,000
|
6,000,719
|
||||||
Series 2023-4A, Class B, 6.31%, 10/15/2027
|
5,000,000
|
5,014,997
|
||||||
Series 2023-4A, Class C, 6.51%, 08/15/2028
|
5,000,000
|
5,042,876
|
||||||
Series 2023-5A, Class B, 6.58%, 04/17/2028
|
5,000,000
|
5,052,280
|
||||||
Series 2024-1A, Class A3, 5.31%, 08/16/2027
|
8,612,000
|
8,576,397
|
||||||
Series 2024-1A, Class B, 5.29%, 08/15/2028
|
7,000,000
|
6,952,870
|
||||||
Series 2024-2A, Class C, 5.74%, 05/15/2029
|
5,000,000
|
4,986,883
|
||||||
Series 2024-3A, Class A3, 5.65%, 12/15/2027
|
4,000,000
|
3,998,567
|
||||||
Series 2024-3A, Class C, 5.70%, 07/16/2029
|
3,250,000
|
3,248,012
|
||||||
First Investors Auto Owner Trust
|
||||||||
Series 2021-1A, Class C, 1.17%, 03/15/2027(d)
|
1,399,650
|
1,375,574
|
||||||
Series 2022-1A, Class C, 3.13%, 05/15/2028(d)
|
5,000,000
|
4,814,072
|
||||||
Flagship Credit Auto Trust
|
||||||||
Series 2020-2, Class D, 5.75%, 04/15/2026(d)
|
3,196,419
|
3,187,709
|
||||||
Series 2022-3, Class A3, 4.55%, 04/15/2027(d)
|
7,526,581
|
7,484,087
|
||||||
Series 2023-1, Class A2, 5.38%, 12/15/2026(d)
|
1,992,886
|
1,988,976
|
||||||
Series 2023-2, Class A2, 5.76%, 04/15/2027(d)
|
6,253,143
|
6,247,724
|
||||||
Ford Credit Auto Owner Trust
|
||||||||
Series 2023-B, Class A2A, 5.57%, 06/15/2026
|
8,819,936
|
8,817,881
|
||||||
Series 2023-B, Class A3, 5.23%, 05/15/2028
|
7,120,000
|
7,107,748
|
||||||
GLS Auto Receivables Trust
|
||||||||
Series 2019-4A, Class D, 4.09%, 08/17/2026(d)
|
7,527,903
|
7,521,647
|
||||||
Series 2020-3A, Class E, 4.31%, 07/15/2027(d)
|
4,765,000
|
4,718,519
|
||||||
Series 2020-4A, Class E, 3.51%, 10/15/2027(d)
|
7,500,000
|
7,320,721
|
||||||
Series 2021-2A, Class E, 2.87%, 05/15/2028(d)
|
5,410,000
|
5,146,888
|
||||||
Series 2021-3A, Class E, 3.20%, 10/16/2028(d)
|
5,700,000
|
5,314,353
|
||||||
Series 2021-4A, Class C, 1.94%, 10/15/2027(d)
|
8,629,834
|
8,485,305
|
||||||
Series 2021-4A, Class E, 4.43%, 10/16/2028(d)
|
5,000,000
|
4,663,114
|
||||||
Series 2022-2A, Class B, 4.70%, 09/15/2026(d)
|
4,171,269
|
4,157,005
|
||||||
Series 2022-3A, Class B, 4.92%, 01/15/2027(d)
|
3,000,000
|
2,984,513
|
||||||
Series 2023-1A, Class B, 6.19%, 06/15/2027(d)
|
1,901,000
|
1,903,233
|
||||||
Series 2023-1A, Class C, 6.38%, 12/15/2028(d)
|
7,172,000
|
7,199,238
|
||||||
Series 2023-2A, Class A2, 5.70%, 01/15/2027(d)
|
2,964,479
|
2,962,999
|
||||||
Series 2023-2A, Class B, 5.52%, 11/15/2027(d)
|
7,800,000
|
7,775,412
|
||||||
Series 2023-2A, Class C, 5.69%, 03/15/2029(d)
|
5,000,000
|
4,973,958
|
||||||
Series 2023-3A, Class C, 6.01%, 05/15/2029(d)
|
5,000,000
|
5,001,927
|
||||||
Series 2023-4A, Class A3, 6.42%, 06/15/2027(d)
|
2,075,000
|
2,090,924
|
||||||
Series 2023-4A, Class B, 6.57%, 03/15/2028(d)
|
10,000,000
|
10,092,414
|
||||||
Series 2024-1A, Class A3, 5.40%, 09/15/2027(d)
|
8,500,000
|
8,467,758
|
||||||
Series 2024-1A, Class B, 5.49%, 07/17/2028(d)
|
10,000,000
|
9,946,774
|
||||||
Series 2024-1A, Class C, 5.64%, 12/17/2029(d)
|
3,500,000
|
3,478,388
|
||||||
Series 2024-2A, Class A3, 5.64%, 01/18/2028(d)
|
10,000,000
|
10,000,394
|
||||||
Series 2024-2A, Class B, 5.77%, 11/15/2028(d)
|
10,000,000
|
10,000,366
|
||||||
Series 2024-2A, Class C, 6.03%, 02/15/2030(d)
|
3,250,000
|
3,252,815
|
||||||
GM Financial Consumer Automobile Receivables Trust
|
||||||||
Series 2023-2, Class A2A, 5.10%, 05/18/2026
|
3,932,097
|
3,925,289
|
||||||
Series 2023-3, Class A2A, 5.74%, 09/16/2026
|
6,092,823
|
6,095,141
|
||||||
Series 2024-2, Class A3, 5.10%, 03/16/2029
|
6,000,000
|
5,977,973
|
||||||
Honda Auto Receivables Owner Trust
|
||||||||
Series 2023-2, Class A2, 5.41%, 04/15/2026
|
6,968,218
|
6,962,144
|
||||||
Series 2023-2, Class A3, 4.93%, 11/15/2027
|
7,662,000
|
7,614,083
|
||||||
Series 2023-3, Class A3, 5.41%, 02/18/2028
|
12,586,000
|
12,594,423
|
||||||
Series 2024-1, Class A2, 5.36%, 09/15/2026
|
15,000,000
|
14,980,069
|
||||||
Series 2024-1, Class A3, 5.21%, 08/15/2028
|
8,500,000
|
8,490,906
|
||||||
John Deere Owner Trust
|
||||||||
Series 2023-B, Class A2, 5.59%, 06/15/2026
|
6,555,417
|
6,553,406
|
||||||
Series 2023-C, Class A3, 5.48%, 05/15/2028
|
5,000,000
|
5,009,686
|
||||||
NextGear Floorplan Master Trust, Series 2024-1A, Class A2, 5.12%, 03/15/2029 (d)
|
10,000,000
|
9,941,232
|
||||||
Santander Consumer USA Holdings, Inc.
|
||||||||
Series 2022-2, Class B, 3.44%, 09/15/2027
|
9,889,965
|
9,767,988
|
||||||
Series 2022-2, Class C, 3.76%, 07/16/2029
|
5,075,000
|
4,928,529
|
||||||
Series 2022-4, Class A3, 4.14%, 02/16/2027
|
2,830,532
|
2,820,624
|
||||||
Series 2023-3, Class A3, 5.61%, 10/15/2027
|
6,003,000
|
5,997,803
|
||||||
Series 2023-4, Class A3, 5.73%, 04/17/2028
|
14,300,000
|
14,356,514
|
||||||
Series 2023-4, Class B, 5.77%, 12/15/2028
|
3,247,000
|
3,261,922
|
||||||
Series 2023-5, Class B, 6.16%, 12/17/2029
|
4,500,000
|
4,569,726
|
||||||
Series 2023-6, Class A3, 5.93%, 07/17/2028
|
4,250,000
|
4,280,059
|
||||||
Series 2023-6, Class C, 6.40%, 03/17/2031
|
5,000,000
|
5,124,127
|
||||||
Series 2024-1, Class A3, 5.25%, 04/17/2028
|
15,000,000
|
14,961,334
|
||||||
Series 2024-1, Class C, 5.45%, 03/15/2030
|
1,000,000
|
994,874
|
||||||
Series 2024-2, Class A3, 5.63%, 11/15/2028
|
12,300,000
|
12,302,945
|
||||||
Series 2024-2, Class B, 5.78%, 07/16/2029
|
10,000,000
|
10,041,956
|
||||||
Santander Consumer USA, Inc.
|
||||||||
Series 2022-5, Class C, 4.74%, 10/16/2028
|
8,000,000
|
7,902,271
|
||||||
Series 2022-6, Class A3, 4.49%, 11/16/2026
|
2,376,139
|
2,370,998
|
||||||
Series 2022-6, Class B, 4.72%, 06/15/2027
|
14,955,000
|
14,843,107
|
||||||
Series 2022-7, Class A3, 5.75%, 04/15/2027
|
5,589,902
|
5,589,575
|
||||||
Series 2022-7, Class B, 5.95%, 01/17/2028
|
10,000,000
|
10,019,716
|
||||||
Series 2022-7, Class C, 6.69%, 03/17/2031
|
9,695,000
|
9,860,517
|
||||||
Series 2023-1, Class B, 4.98%, 02/15/2028
|
19,386,000
|
19,255,961
|
||||||
Series 2023-2, Class A3, 5.21%, 07/15/2027
|
10,020,000
|
9,992,681
|
||||||
Series 2023-2, Class C, 5.47%, 12/16/2030
|
5,000,000
|
4,987,530
|
||||||
Series 2024-1, Class A3, 5.35%, 02/15/2028
|
7,250,000
|
7,226,678
|
||||||
Series 2024-1, Class B, 5.31%, 01/16/2029
|
7,250,000
|
7,204,991
|
||||||
Santander Drive Auto Receivables, LLC, Series 2020-1, Class D, 5.35%, 03/15/2028
|
752,992
|
752,760
|
||||||
SBNA Auto Receivables Trust 2024-A, Series 2024-A, Class A3, 5.32%, 12/15/2028 (d)
|
6,250,000
|
6,227,104
|
||||||
Toyota Auto Receivables Owner Trust
|
||||||||
Series 2022-C, Class A3, 3.76%, 04/15/2027
|
8,035,000
|
7,912,521
|
||||||
Series 2023-A, Class A2, 5.05%, 01/15/2026
|
1,857,834
|
1,855,477
|
||||||
Series 2023-C, Class A2A, 5.60%, 08/17/2026
|
6,964,913
|
6,964,798
|
||||||
Series 2023-C, Class A3, 5.16%, 04/17/2028
|
5,124,000
|
5,105,193
|
||||||
Westlake Automobile Receivables Trust
|
||||||||
Series 2021-1A, Class E, 2.33%, 08/17/2026(d)
|
8,370,000
|
8,144,075
|
||||||
Series 2021-2A, Class D, 1.23%, 12/15/2026(d)
|
8,385,000
|
8,100,374
|
||||||
Series 2021-2A, Class E, 2.38%, 03/15/2027(d)
|
2,225,000
|
2,133,640
|
||||||
Series 2021-3A, Class E, 3.42%, 04/15/2027(d)
|
10,030,000
|
9,675,881
|
||||||
Series 2022-1A, Class B, 2.75%, 03/15/2027(d)
|
1,240,426
|
1,237,211
|
||||||
Series 2022-1A, Class C, 3.11%, 03/15/2027(d)
|
5,000,000
|
4,933,129
|
||||||
Series 2022-2A, Class A3, 3.75%, 04/15/2026(d)
|
2,151,163
|
2,146,302
|
||||||
Series 2022-2A, Class B, 4.31%, 09/15/2027(d)
|
8,825,000
|
8,769,498
|
||||||
Series 2022-2A, Class D, 5.48%, 09/15/2027(d)
|
5,135,000
|
5,086,322
|
||||||
Series 2022-3A, Class B, 5.99%, 12/15/2027(d)
|
10,000,000
|
10,006,776
|
||||||
Series 2022-3A, Class C, 6.44%, 12/15/2027(d)
|
5,000,000
|
5,026,440
|
||||||
Series 2023-1A, Class A3, 5.21%, 01/18/2028(d)
|
11,000,000
|
10,960,849
|
||||||
Series 2023-1A, Class B, 5.41%, 01/18/2028(d)
|
3,750,000
|
3,734,639
|
||||||
Series 2023-1A, Class C, 5.74%, 08/15/2028(d)
|
3,495,000
|
3,489,525
|
||||||
Series 2023-2A, Class A3, 5.80%, 02/16/2027(d)
|
10,000,000
|
10,010,062
|
||||||
Series 2023-2A, Class B, 6.14%, 03/15/2028(d)
|
5,690,000
|
5,706,510
|
||||||
Series 2023-2A, Class C, 6.29%, 03/15/2028(d)
|
8,760,000
|
8,805,682
|
||||||
Series 2023-3A, Class C, 6.02%, 09/15/2028(d)
|
6,000,000
|
6,011,574
|
||||||
Series 2023-4A, Class C, 6.64%, 11/15/2028(d)
|
8,000,000
|
8,108,036
|
||||||
Series 2024-1A, Class A3, 5.44%, 05/17/2027(d)
|
7,250,000
|
7,233,733
|
||||||
Series 2024-1A, Class B, 5.55%, 11/15/2027(d)
|
10,000,000
|
9,949,231
|
||||||
Series 2024-1A, Class C, 5.65%, 02/15/2029(d)
|
5,000,000
|
4,978,462
|
||||||
World Omni Auto Receivables Trust
|
||||||||
Series 2023-A, Class A2A, 5.18%, 07/15/2026
|
2,992,321
|
2,987,600
|
||||||
Series 2023-B, Class A2A, 5.25%, 11/16/2026
|
5,231,127
|
5,223,774
|
||||||
TOTAL ASSET-BACKED SECURITIES (Cost $975,067,063)
|
975,149,843
|
|||||||
COLLATERALIZED LOAN OBLIGATIONS - 5.9%
|
Par
|
Value
|
||||||
Allegany Park CLO Ltd., Series 2019-1A, Class DR, 8.42% (3 mo. Term SOFR + 3.10%), 01/20/2035 (d)
|
4,000,000
|
3,999,556
|
||||||
Apidos CLO
|
||||||||
Series 2013-12A, Class DR, 8.19% (3 mo. Term SOFR + 2.86%), 04/15/2031(d)
|
3,195,000
|
3,188,728
|
||||||
Series 2013-12A, Class ER, 10.99% (3 mo. Term SOFR + 5.66%), 04/15/2031(d)
|
6,150,000
|
6,104,398
|
||||||
Series 2013-15A, Class CRR, 7.44% (3 mo. Term SOFR + 2.11%), 04/20/2031(d)
|
5,500,000
|
5,500,583
|
||||||
Series 2013-15A, Class DRR, 8.29% (3 mo. Term SOFR + 2.96%), 04/20/2031(d)
|
5,000,000
|
5,001,240
|
||||||
Series 2015-22A, Class CR, 8.54% (3 mo. Term SOFR + 3.21%), 04/20/2031(d)
|
2,000,000
|
2,006,868
|
||||||
Series 2016-24A, Class DR, 11.39% (3 mo. Term SOFR + 6.06%), 10/20/2030(d)
|
2,550,000
|
2,555,391
|
||||||
Series 2016-25A, Class A2R2, 7.12% (3 mo. Term SOFR + 1.80%), 10/20/2031(d)
|
2,500,000
|
2,509,673
|
||||||
Series 2017-28A, Class A1B, 6.74% (3 mo. Term SOFR + 1.41%), 01/20/2031(d)
|
12,000,000
|
12,012,072
|
||||||
Series 2018-29A, Class B, 7.49% (3 mo. Term SOFR + 2.16%), 07/25/2030(d)
|
7,600,000
|
7,601,003
|
||||||
Series 2018-29A, Class C, 8.34% (3 mo. Term SOFR + 3.01%), 07/25/2030(d)
|
6,250,000
|
6,206,813
|
||||||
Series 2019-31A, Class ER, 12.19% (3 mo. Term SOFR + 6.86%), 04/15/2031(d)
|
4,400,000
|
4,402,587
|
||||||
Series XXXA, Class B, 7.59% (3 mo. Term SOFR + 2.26%), 10/18/2031(d)
|
7,680,000
|
7,680,468
|
||||||
ARES CLO
|
||||||||
Series 2014-31RA, Class B, 7.19% (3 mo. Term SOFR + 1.86%), 05/24/2030(d)
|
5,750,000
|
5,765,226
|
||||||
Series 2015-38A, Class A2R, 6.69% (3 mo. Term SOFR + 1.36%), 04/20/2030(d)
|
1,400,000
|
1,400,113
|
||||||
Series 2015-38A, Class DR, 8.09% (3 mo. Term SOFR + 2.76%), 04/20/2030(d)
|
7,450,000
|
7,450,872
|
||||||
Series 2016-39A, Class A1R2, 6.64% (3 mo. Term SOFR + 1.31%), 04/18/2031(d)
|
1,750,000
|
1,752,768
|
||||||
Series 2016-39A, Class DR2, 8.94% (3 mo. Term SOFR + 3.61%), 04/18/2031(d)
|
7,335,000
|
7,322,619
|
||||||
Series 2018-47A, Class D, 8.29% (3 mo. Term SOFR + 2.96%), 04/15/2030(d)
|
3,165,000
|
3,165,000
|
||||||
Series 2018-48A, Class B, 7.17% (3 mo. Term SOFR + 1.84%), 07/20/2030(d)
|
1,450,000
|
1,454,317
|
||||||
BCRED MML CLO, Series 2022-1A, Class C, 8.07% (3 mo. Term SOFR + 2.75%), 04/20/2035 (d)
|
2,000,000
|
2,007,384
|
||||||
Blackstone, Inc.
|
||||||||
Series 2017-1A, Class C, 9.29% (3 mo. Term SOFR + 3.96%), 04/20/2029(d)
|
3,850,000
|
3,855,563
|
||||||
Series 2017-1A, Class C, 7.98% (3 mo. Term SOFR + 2.66%), 01/17/2030(d)
|
4,000,000
|
3,994,224
|
||||||
Series 2017-1A, Class D, 11.59% (3 mo. Term SOFR + 6.26%), 04/20/2029(d)
|
1,250,000
|
1,254,784
|
||||||
Series 2017-1A, Class D, 8.89% (3 mo. Term SOFR + 3.56%), 01/20/2030(d)
|
7,550,000
|
7,556,886
|
||||||
Series 2017-1A, Class D2, 11.18% (3 mo. Term SOFR + 5.86%), 01/17/2030(d)
|
2,000,000
|
2,001,716
|
||||||
Series 2017-1A, Class E, 11.29% (3 mo. Term SOFR + 5.96%), 01/20/2030(d)
|
1,150,000
|
1,152,544
|
||||||
Series 2018-1A, Class B, 6.98% (3 mo. Term SOFR + 1.66%), 04/17/2030(d)
|
3,750,000
|
3,750,589
|
||||||
Series 2018-1A, Class D, 8.18% (3 mo. Term SOFR + 2.86%), 04/17/2030(d)
|
1,600,000
|
1,599,923
|
||||||
BlueMountain CLO Ltd.
|
||||||||
Series 2014-2A, Class BR2, 7.34% (3 mo. Term SOFR + 2.01%), 10/20/2030(d)
|
7,330,000
|
7,344,301
|
||||||
Series 2018-1A, Class B, 7.29% (3 mo. Term SOFR + 1.96%), 07/30/2030(d)
|
9,496,770
|
9,523,057
|
||||||
Bristol Park CLO, Series 2016-1A, Class AR, 6.58% (3 mo. Term SOFR + 1.25%), 04/15/2029 (d)
|
3,353,713
|
3,359,106
|
||||||
Buttermilk Park CLO, Series 2018-1A, Class D, 8.69% (3 mo. Term SOFR + 3.36%), 10/15/2031 (d)
|
1,000,000
|
1,000,000
|
||||||
Carlyle Group, Inc.
|
||||||||
Series 2014-1A, Class BR2, 6.98% (3 mo. Term SOFR + 1.66%), 04/17/2031(d)
|
2,500,000
|
2,507,812
|
||||||
Series 2015-1A, Class BR3, 7.14% (3 mo. Term SOFR + 1.81%), 07/20/2031(d)
|
7,500,000
|
7,516,500
|
||||||
Chenango Park CLO, Series 2018-1A, Class C, 8.59% (3 mo. Term SOFR + 3.26%), 04/15/2030 (d)
|
1,000,000
|
1,000,302
|
||||||
CIFC Funding Ltd.
|
||||||||
Series 2017-4A, Class A1R, 6.53% (3 mo. Term SOFR + 1.21%), 10/24/2030(d)
|
1,616,130
|
1,618,877
|
||||||
Series 2018-1A, Class C, 7.34% (3 mo. Term SOFR + 2.01%), 04/18/2031(d)
|
3,750,000
|
3,749,734
|
||||||
Fillmore Park CLO, Series 2018-1A, Class E, 10.99% (3 mo. Term SOFR + 5.66%), 07/15/2030 (d)
|
1,000,000
|
1,000,585
|
||||||
Galaxy CLO Ltd., Series 2018-26A, Class BR, 7.93% (3 mo. Term SOFR + 2.60%), 11/22/2031 (d)
|
3,850,000
|
3,850,000
|
||||||
Gilbert Park CLO
|
||||||||
Series 2017-1A, Class A, 6.78% (3 mo. Term SOFR + 1.45%), 10/15/2030(d)
|
2,880,546
|
2,887,733
|
||||||
Series 2017-1A, Class D, 8.54% (3 mo. Term SOFR + 3.21%), 10/15/2030(d)
|
10,275,000
|
10,367,156
|
||||||
Series 2017-1A, Class E, 11.99% (3 mo. Term SOFR + 6.66%), 10/15/2030(d)
|
1,250,000
|
1,252,151
|
||||||
Goldentree Loan Opportunities Ltd.
|
||||||||
Series 2017-2A, Class AR, 6.50% (3 mo. Term SOFR + 1.17%), 11/20/2030(d)
|
3,238,468
|
3,242,283
|
||||||
Series 2017-2A, Class D, 8.24% (3 mo. Term SOFR + 2.91%), 11/28/2030(d)
|
5,000,000
|
5,044,910
|
||||||
Series 2017-2A, Class E, 10.29% (3 mo. Term SOFR + 4.96%), 11/28/2030(d)
|
8,811,000
|
8,886,775
|
||||||
Series 2019-4A, Class E, 10.33% (3 mo. Term SOFR + 5.01%), 04/24/2031(d)
|
8,000,000
|
8,012,664
|
||||||
Series 2019-5A, Class DR, 8.74% (3 mo. Term SOFR + 3.41%), 10/20/2032(d)
|
2,500,000
|
2,524,467
|
||||||
Series 2019-5A, Class E, 10.44% (3 mo. Term SOFR + 5.11%), 10/20/2032(d)
|
7,500,000
|
7,509,015
|
||||||
Series 2022-16A, Class DR, 10.07% (3 mo. Term SOFR + 4.75%), 01/20/2034(d)
|
3,500,000
|
3,565,615
|
||||||
Golub Capital BDC, Inc., Series 2021-1A, Class C1, 8.39% (3 mo. Term SOFR + 3.06%), 04/15/2033 (d)
|
7,000,000
|
7,075,719
|
||||||
Hartwick Park CLO Ltd., Series 2023-1A, Class D, 9.84% (3 mo. Term SOFR + 4.50%), 01/21/2036 (d)
|
5,000,000
|
5,007,740
|
||||||
LCM LP
|
||||||||
Series 15A, Class DR, 9.29% (3 mo. Term SOFR + 3.96%), 07/20/2030(d)
|
9,000,000
|
9,003,204
|
||||||
Series 16A, Class BR2, 7.34% (3 mo. Term SOFR + 2.01%), 10/15/2031(d)
|
4,000,000
|
4,018,164
|
||||||
Series 16A, Class CR2, 7.74% (3 mo. Term SOFR + 2.41%), 10/15/2031(d)
|
5,100,000
|
5,100,484
|
||||||
Series 17A, Class ER, 11.59% (3 mo. Term SOFR + 6.26%), 10/15/2031(d)
|
1,000,000
|
863,626
|
||||||
Series 22A, Class CR, 8.39% (3 mo. Term SOFR + 3.06%), 10/20/2028(d)
|
1,895,000
|
1,900,691
|
||||||
Series 26A, Class D, 8.09% (3 mo. Term SOFR + 2.76%), 01/20/2031(d)
|
1,000,000
|
964,182
|
||||||
Series 27A, Class C, 7.54% (3 mo. Term SOFR + 2.21%), 07/16/2031(d)
|
2,700,000
|
2,699,892
|
||||||
Series 27A, Class D, 8.54% (3 mo. Term SOFR + 3.21%), 07/16/2031(d)
|
4,000,000
|
3,858,184
|
||||||
Series 29A, Class BR, 7.19% (3 mo. Term SOFR + 1.86%), 04/15/2031(d)
|
4,750,000
|
4,753,163
|
||||||
Series 34A, Class E, 12.13% (3 mo. Term SOFR + 6.80%), 10/20/2034(d)
|
3,250,000
|
3,101,930
|
||||||
Series 35A, Class E, 12.20% (3 mo. Term SOFR + 6.87%), 10/15/2034(d)
|
4,750,000
|
4,261,287
|
||||||
Series 36A, Class E, 12.30% (3 mo. Term SOFR + 6.97%), 01/15/2034(d)
|
6,000,000
|
5,400,174
|
||||||
LCM XIII LP
|
||||||||
Series 14A, Class BR, 7.17% (3 mo. Term SOFR + 1.84%), 07/20/2031(d)
|
10,800,000
|
10,813,057
|
||||||
Series 14A, Class CR, 7.44% (3 mo. Term SOFR + 2.11%), 07/20/2031(d)
|
6,000,000
|
5,999,946
|
||||||
Series 14A, Class ER, 11.09% (3 mo. Term SOFR + 5.76%), 07/20/2031(d)
|
1,000,000
|
780,948
|
||||||
Madison Park Funding Ltd.
|
||||||||
Series 2016-24A, Class BR2, 0.00% (3 mo. Term SOFR + 1.55%), 10/20/2029(d)
|
11,000,000
|
11,000,000
|
||||||
Series 2016-24A, Class CR2, 0.00% (3 mo. Term SOFR + 2.05%), 10/20/2029(d)
|
5,250,000
|
5,250,000
|
||||||
Magnetite CLO Ltd.
|
||||||||
Series 2015-12A, Class ER, 11.27% (3 mo. Term SOFR + 5.94%), 10/15/2031(d)
|
8,923,000
|
8,925,061
|
||||||
Series 2015-14RA, Class A1, 6.71% (3 mo. Term SOFR + 1.38%), 10/18/2031(d)
|
4,778,422
|
4,778,422
|
||||||
Series 2015-14RA, Class D, 8.44% (3 mo. Term SOFR + 3.11%), 10/18/2031(d)
|
5,900,000
|
5,900,000
|
||||||
Series 2015-15A, Class DR, 8.34% (3 mo. Term SOFR + 3.01%), 07/25/2031(d)
|
2,000,000
|
2,004,232
|
||||||
Series 2015-15A, Class ER, 10.79% (3 mo. Term SOFR + 5.46%), 07/25/2031(d)
|
4,000,000
|
4,025,936
|
||||||
Series 2019-23A, Class ER, 11.89% (3 mo. Term SOFR + 6.56%), 01/25/2035(d)
|
2,750,000
|
2,771,885
|
||||||
Series 2020-27A, Class ER, 11.59% (3 mo. Term SOFR + 6.26%), 10/20/2034(d)
|
5,250,000
|
5,309,309
|
||||||
Series 2020-28A, Class ER, 11.74% (3 mo. Term SOFR + 6.41%), 01/20/2035(d)
|
2,250,000
|
2,251,415
|
||||||
Series 2021-30A, Class E, 11.79% (3 mo. Term SOFR + 6.46%), 10/25/2034(d)
|
4,100,000
|
4,103,030
|
||||||
Series 2023-34A, Class D, 10.52% (3 mo. Term SOFR + 5.20%), 04/20/2036(d)
|
2,950,000
|
3,018,641
|
||||||
Series 2023-39A, Class D, 9.47% (3 mo. Term SOFR + 4.15%), 10/25/2033(d)
|
2,000,000
|
2,004,178
|
||||||
Myers Park CLO, Series 2018-1A, Class C, 7.64% (3 mo. Term SOFR + 2.31%), 10/20/2030 (d)
|
1,240,000
|
1,240,141
|
||||||
Neuberger Berman CLO Ltd.
|
||||||||
Series 2014-17A, Class DR2A, 8.39% (3 mo. Term SOFR + 3.06%), 04/22/2029(d)
|
1,300,000
|
1,300,807
|
||||||
Series 2014-17A, Class ER2, 12.79% (3 mo. Term SOFR + 7.46%), 04/22/2029(d)
|
5,500,000
|
5,517,237
|
||||||
Series 2017-25A, Class ER, 11.84% (3 mo. Term SOFR + 6.51%), 10/18/2029(d)
|
2,250,000
|
2,253,611
|
||||||
Series 2018-27A, Class D, 8.19% (3 mo. Term SOFR + 2.86%), 01/15/2030(d)
|
7,500,000
|
7,504,815
|
||||||
Series 2019-33A, Class DR, 8.49% (3 mo. Term SOFR + 3.16%), 10/16/2033(d)
|
2,000,000
|
1,992,388
|
||||||
Niagara Park CLO, Series 2019-1A, Class ER, 11.53% (3 mo. Term SOFR + 6.21%), 07/17/2032 (d)
|
2,000,000
|
2,016,944
|
||||||
Octagon Investment Partners Ltd.
|
||||||||
Series 2013-1A, Class CR2, 7.29% (3 mo. Term SOFR + 1.96%), 01/25/2031(d)
|
1,500,000
|
1,499,967
|
||||||
Series 2016-1A, Class CR, 7.39% (3 mo. Term SOFR + 2.06%), 07/15/2030(d)
|
6,220,000
|
6,219,988
|
||||||
Series 2017-1A, Class A1R, 6.59% (3 mo. Term SOFR + 1.26%), 03/17/2030(d)
|
3,044,726
|
3,048,958
|
||||||
Series 2018-3A, Class BR, 7.12% (3 mo. Term SOFR + 1.80%), 10/20/2030(d)
|
5,000,000
|
5,007,205
|
||||||
Octagon Investment Partners XXII LLC
|
||||||||
Series 2014-1A, Class CRR, 7.49% (3 mo. Term SOFR + 2.16%), 01/22/2030(d)
|
3,970,000
|
3,976,102
|
||||||
Series 2014-1A, Class DRR, 8.34% (3 mo. Term SOFR + 3.01%), 01/22/2030(d)
|
1,750,000
|
1,743,789
|
||||||
Voya CLO Ltd., Series 2016-3A, Class A3R2, 7.03% (3 mo. Term SOFR + 1.70%), 10/18/2031 (d)
|
7,500,000
|
7,500,000
|
||||||
Webster Park CLO
|
||||||||
Series 2015-1A, Class BR, 7.39% (3 mo. Term SOFR + 2.06%), 07/20/2030(d)
|
10,300,000
|
10,302,781
|
||||||
Series 2015-1A, Class CR, 8.49% (3 mo. Term SOFR + 3.16%), 07/20/2030(d)
|
1,800,000
|
1,800,535
|
||||||
Whetstone Park CLO Ltd., Series 2021-1A, Class B2, 2.79%, 01/20/2035 (d)
|
1,400,000
|
1,186,557
|
||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $416,342,809)
|
421,073,276
|
|||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 5.8%
|
Par
|
Value
|
||||||
Adjustable Rate Mortgage Trust
|
||||||||
Series 2005-10, Class 4A1, 5.81%, 01/25/2036(c)
|
4,696,880
|
3,366,795
|
||||||
Series 2005-3, Class 2A1, 4.85%, 07/25/2035(c)
|
267,024
|
243,016
|
||||||
Series 2006-2, Class 1A1, 4.85%, 05/25/2036(c)
|
730,016
|
623,267
|
||||||
American Home Mortgage Investment Trust, Series 2006-2, Class 3A5, 6.75%, 06/25/2036 (g)
|
2,747,648
|
397,018
|
||||||
Banc of America Alternative Loan Trust
|
||||||||
Series 2005-11, Class 4A5, 5.75%, 12/25/2035
|
641,214
|
537,604
|
||||||
Series 2005-11, Class 4A6, 5.75%, 12/25/2035
|
104,534
|
87,643
|
||||||
Series 2006-2, Class 4CB1, 6.50%, 03/25/2036
|
2,286,762
|
1,822,622
|
||||||
Series 2006-4, Class 3CB4, 6.00%, 05/25/2046
|
757,485
|
641,738
|
||||||
Series 2006-4, Class 4CB1, 6.50%, 05/25/2046
|
423,163
|
367,549
|
||||||
Series 2006-4, Class 5CB1, 6.50%, 05/25/2046
|
2,119,959
|
1,787,318
|
||||||
Series 2006-5, Class CB17, 6.00%, 06/25/2046
|
234,581
|
193,662
|
||||||
Series 2006-6, Class CB5, 6.00%, 07/25/2046
|
933,864
|
766,433
|
||||||
Series 2006-9, Class 1CB1, 6.00%, 01/25/2037
|
158,332
|
133,441
|
||||||
Series 2006-9, Class A2, 5.84% (1 mo. Term SOFR + 0.51%), 01/25/2037
|
778,428
|
579,394
|
||||||
Banc of America Funding Corp.
|
||||||||
Series 2003-3, Class 1A7, 5.50%, 10/25/2033
|
139,507
|
131,418
|
||||||
Series 2004-1, Class 2A1, 6.00%, 02/25/2034
|
438,865
|
433,804
|
||||||
Series 2004-1, Class 4A1, 6.00%, 03/25/2034
|
2,677,665
|
2,672,819
|
||||||
Series 2004-B, Class 4A2, 5.40%, 11/20/2034(c)
|
1,441,171
|
1,322,605
|
||||||
Series 2005-3, Class 1A20, 5.50%, 06/25/2035
|
55,981
|
48,074
|
||||||
Series 2005-4, Class 2A1, 5.50%, 08/25/2035
|
31,358
|
28,482
|
||||||
Series 2005-5, Class 1A11, 5.50%, 09/25/2035
|
144,095
|
137,682
|
||||||
Series 2005-5, Class 2A1, 5.50%, 09/25/2035
|
1,374,877
|
1,291,612
|
||||||
Series 2005-7, Class 2A3, 5.50%, 11/25/2035
|
2,512,705
|
2,253,377
|
||||||
Series 2005-7, Class 3A15, 5.75%, 11/25/2035
|
2,890
|
2,796
|
||||||
Series 2005-7, Class 3A9, 6.00%, 11/25/2035
|
14,378
|
13,776
|
||||||
Series 2005-8, Class 4A28, 5.75%, 01/25/2036
|
1,784,158
|
1,542,060
|
||||||
Series 2006-5, Class 3A2, 5.75%, 09/25/2036
|
244,895
|
210,582
|
||||||
Series 2006-7, Class 1A9, 6.00%, 09/25/2036
|
394,025
|
319,261
|
||||||
Series 2006-F, Class 2A1, 5.58%, 07/20/2036(c)
|
5,088,450
|
4,341,189
|
||||||
Series 2006-I, Class 1A1, 5.78%, 12/20/2036(c)
|
456,106
|
436,038
|
||||||
Series 2006-I, Class 2A1, 5.87%, 12/20/2036(c)
|
2,019,800
|
1,908,310
|
||||||
Series 2006-I, Class 2A2, 5.87%, 12/20/2036(c)
|
351,335
|
313,601
|
||||||
Series 2006-J, Class 4A1, 5.02%, 01/20/2047(c)
|
95,631
|
79,275
|
||||||
Series 2007-1, Class TA7, 6.69%, 01/25/2037(g)
|
649,937
|
567,130
|
||||||
Series 2007-2, Class TA1A, 5.50% (1 mo. Term SOFR + 0.17%), 03/25/2037
|
302,406
|
262,986
|
||||||
Series 2007-3, Class TA4, 6.30% (1 mo. Term SOFR + 0.97%), 04/25/2037
|
811,154
|
632,589
|
||||||
Series 2007-4, Class 5A3, 5.50%, 11/25/2034
|
170,533
|
142,828
|
||||||
Series 2007-5, Class 1A1, 5.50%, 07/25/2037
|
1,249,186
|
952,799
|
||||||
Series 2007-6, Class A1, 6.02% (1 mo. Term SOFR + 0.69%), 07/25/2037
|
885,091
|
828,341
|
||||||
Series 2007-6, Class A2, 6.00% (1 mo. Term SOFR + 0.67%), 07/25/2037
|
3,653,088
|
3,415,097
|
||||||
Series 2010-R3, Class 3A6, 6.00%, 09/26/2037(c)(d)
|
6,090,175
|
5,678,462
|
||||||
Series 2014-R3, Class 1A2, 5.78%, 06/26/2035(c)(d)
|
1,280,995
|
1,248,779
|
||||||
Series 2014-R3, Class 2A2, 6.28%, 06/26/2035(c)(d)
|
2,513,542
|
2,370,536
|
||||||
Banc of America Mortgage Securities, Inc.
|
||||||||
Series 2005-A, Class 2A1, 4.98%, 02/25/2035(c)
|
1,086,074
|
1,019,841
|
||||||
Series 2005-F, Class 2A1, 5.09%, 07/25/2035(c)
|
555,918
|
505,227
|
||||||
Series 2006-B, Class 3A1, 3.93%, 10/20/2046(c)
|
359,077
|
295,959
|
||||||
Series 2007-1, Class 1A26, 6.00%, 03/25/2037
|
1,475,764
|
1,180,537
|
||||||
BCAP LLC Trust, Series 2007-AA2, Class 2A3, 7.50%, 04/25/2037 (c)
|
454,599
|
240,316
|
||||||
Bear Stearns Alt-A Trust, Series 2006-6, Class 2A1, 4.26%, 11/25/2036 (c)
|
740,381
|
331,306
|
||||||
Bear Stearns Asset Backed Securities Trust
|
||||||||
Series 2005-AC5, Class 1A1, 5.50% (1 mo. Term SOFR + 1.11%), 08/25/2035
|
406,969
|
249,080
|
||||||
Series 2006-AC4, Class A1, 5.69% (1 mo. Term SOFR + 0.36%), 07/25/2036
|
2,668,867
|
1,990,963
|
||||||
Series 2006-AC4, Class A2, 12.68% (-4 x 1 mo. Term SOFR + 35.75%), 07/25/2036(h)
|
616,995
|
669,859
|
||||||
Chase Mortgage Finance Corp.
|
||||||||
Series 2005-A1, Class 2A1, 4.87%, 12/25/2035(c)
|
654,966
|
597,057
|
||||||
Series 2005-A1, Class 2A2, 4.87%, 12/25/2035(c)
|
682,829
|
622,457
|
||||||
Series 2005-S2, Class A1, 5.50%, 10/25/2035
|
587,556
|
539,381
|
||||||
Series 2005-S3, Class A9, 5.50%, 11/25/2035
|
4,906,136
|
3,458,610
|
||||||
Series 2006-S3, Class 1A1, 6.00%, 11/25/2036
|
6,682,873
|
2,636,874
|
||||||
Series 2006-S4, Class A3, 6.00%, 12/25/2036
|
1,226,693
|
517,122
|
||||||
Series 2006-S4, Class A6, 6.00%, 12/25/2036
|
3,958,334
|
1,668,667
|
||||||
Series 2007-A2, Class 6A2, 5.48%, 07/25/2037(c)
|
754,934
|
651,966
|
||||||
Series 2007-S1, Class A7, 6.00%, 02/25/2037
|
4,011,535
|
1,486,593
|
||||||
Series 2007-S3, Class 1A10, 5.75%, 05/25/2037
|
672,318
|
282,602
|
||||||
Series 2007-S3, Class 1A15, 6.00%, 05/25/2037
|
2,048,550
|
894,284
|
||||||
Chaseflex Trust
|
||||||||
Series 2005-1, Class 1A3, 5.50%, 02/25/2035
|
231,104
|
195,896
|
||||||
Series 2006-2, Class A3, 4.38%, 09/25/2036(c)
|
1,949,757
|
1,668,614
|
||||||
Citicorp Mortgage Securities, Inc.
|
||||||||
Series 2006-1, Class 1A4, 6.00%, 02/25/2036
|
72,797
|
62,824
|
||||||
Series 2006-3, Class 1A10, 6.25%, 06/25/2036
|
1,363,067
|
1,191,200
|
||||||
Series 2006-3, Class 1A4, 6.00%, 06/25/2036
|
1,132,109
|
974,009
|
||||||
Series 2006-3, Class 1A9, 5.75%, 06/25/2036
|
322,774
|
273,321
|
||||||
Series 2006-3, Class 2A1, 5.50%, 06/25/2024
|
35,073
|
29,166
|
||||||
Series 2006-7, Class 1A1, 6.00%, 12/25/2036
|
2,592,070
|
2,103,016
|
||||||
Series 2007-3, Class 1A4, 6.00%, 04/25/2037
|
410,385
|
371,477
|
||||||
Series 2007-3, Class 3A1, 5.50%, 04/25/2037
|
33,425
|
30,854
|
||||||
Citigroup Financial Products, Inc.
|
||||||||
Series 2004-2, Class 1A2, 9.25%, 08/25/2033(d)
|
10,495
|
7,992
|
||||||
Series 2004-HYB3, Class 2A, 6.48%, 09/25/2034(c)
|
411,011
|
374,596
|
||||||
Series 2005-1, Class 2A2A, 5.02%, 04/25/2035(c)
|
275,776
|
257,747
|
||||||
Series 2005-10, Class 1A1A, 4.89%, 12/25/2035(c)
|
923,515
|
582,749
|
||||||
Series 2005-2, Class 1A4, 4.79%, 05/25/2035(c)
|
303,739
|
287,898
|
||||||
Series 2005-5, Class 22A6, 6.00%, 08/25/2035
|
1,601,126
|
1,425,139
|
||||||
Series 2005-WF1, Class M1, 5.83%, 11/25/2034(g)
|
2,742,380
|
2,670,188
|
||||||
Citigroup Mortgage Loan Trust, Inc.
|
||||||||
Series 2005-7, Class 1A2, 4.60%, 09/25/2035(c)
|
352,727
|
302,628
|
||||||
Series 2006-AR7, Class 2A2A, 4.77%, 11/25/2036(c)
|
1,093,433
|
911,836
|
||||||
Series 2007-AR4, Class 1A1A, 4.66%, 03/25/2037(c)
|
890,247
|
722,522
|
||||||
Citimortgage Alternative Loan Trust
|
||||||||
Series 2006-A2, Class A5, 6.00% (1 mo. Term SOFR + 0.71%), 05/25/2036
|
345,201
|
285,835
|
||||||
Series 2006-A4, Class 1A1, 6.00%, 09/25/2036
|
899,789
|
783,695
|
||||||
Series 2007-A1, Class 1A5, 6.00%, 01/25/2037
|
1,293,013
|
1,094,081
|
||||||
Series 2007-A1, Class 1A7, 6.00%, 01/25/2037
|
2,077,981
|
1,758,280
|
||||||
Countrywide Alternative Loan Trust
|
||||||||
Series 2004-13CB, Class A3, 6.00%, 07/25/2034
|
6,008,816
|
5,912,638
|
||||||
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
1,243,561
|
1,213,497
|
||||||
Series 2004-27CB, Class A1, 6.00%, 12/25/2034
|
858,608
|
750,583
|
||||||
Series 2004-28CB, Class 4A1, 5.00%, 06/25/2024
|
127,195
|
89,726
|
||||||
Series 2004-28CB, Class 6A1, 6.00%, 01/25/2035
|
251,275
|
224,425
|
||||||
Series 2005-13CB, Class A1, 5.50% (1 mo. Term SOFR + 0.61%), 05/25/2035
|
820,027
|
669,138
|
||||||
Series 2005-21CB, Class A17, 6.00%, 06/25/2035
|
1,426,692
|
1,089,953
|
||||||
Series 2005-21CB, Class A3, 5.25%, 06/25/2035
|
2,397,241
|
1,767,761
|
||||||
Series 2005-43, Class 5A1, 5.06%, 09/25/2035(c)
|
104,242
|
85,590
|
||||||
Series 2005-54CB, Class 3A7, 5.50%, 11/25/2035
|
523,474
|
287,308
|
||||||
Series 2005-63, Class 3A1, 4.70%, 11/25/2035(c)
|
659,392
|
578,016
|
||||||
Series 2005-65CB, Class 1A8, 5.50%, 01/25/2036
|
93,868
|
61,053
|
||||||
Series 2005-65CB, Class 2A7, 0.00%, 12/25/2035(i)
|
675,836
|
264,506
|
||||||
Series 2005-6CB, Class 1A1, 7.50%, 04/25/2035
|
192,698
|
174,281
|
||||||
Series 2005-6CB, Class 1A5, 5.75%, 04/25/2035
|
1,643,340
|
1,373,689
|
||||||
Series 2005-73CB, Class 2A2, 5.75%, 01/25/2036
|
329,940
|
169,476
|
||||||
Series 2005-75CB, Class A3, 5.50%, 01/25/2036
|
1,413,772
|
953,168
|
||||||
Series 2005-75CB, Class A6, 5.50%, 01/25/2036
|
1,194,221
|
805,146
|
||||||
Series 2005-80CB, Class 2A1, 6.00%, 02/25/2036
|
3,875,860
|
3,576,201
|
||||||
Series 2005-80CB, Class 5A1, 6.00%, 02/25/2036
|
8,444,626
|
8,183,826
|
||||||
Series 2005-86CB, Class A10, 5.50%, 02/25/2036
|
122,990
|
71,875
|
||||||
Series 2005-86CB, Class A8, 5.50%, 02/25/2036
|
887,532
|
518,669
|
||||||
Series 2005-9CB, Class 1A1, 5.50% (1 mo. Term SOFR + 0.61%), 05/25/2035
|
1,672,414
|
1,443,181
|
||||||
Series 2005-9CB, Class 3A1, 6.00%, 05/25/2035
|
8,218,032
|
3,884,121
|
||||||
Series 2005-J13, Class 2A7, 5.50%, 11/25/2035
|
548,567
|
367,160
|
||||||
Series 2005-J6, Class 1A6, 5.50% (1 mo. Term SOFR + 0.61%), 07/25/2035
|
2,518,359
|
1,973,967
|
||||||
Series 2006-12CB, Class A3, 5.75% (1 mo. Term SOFR + 5.75%), 05/25/2036
|
534,405
|
260,259
|
||||||
Series 2006-14CB, Class A4, 6.00%, 06/25/2036
|
2,278,537
|
1,242,055
|
||||||
Series 2006-16CB, Class A2, 6.00%, 06/25/2036
|
357,972
|
191,087
|
||||||
Series 2006-16CB, Class A4, 6.00%, 06/25/2036
|
938,284
|
500,860
|
||||||
Series 2006-16CB, Class A6, 6.00%, 06/25/2036
|
814,286
|
434,646
|
||||||
Series 2006-23CB, Class 1A6, 6.00%, 08/25/2036
|
1,276,354
|
1,134,330
|
||||||
Series 2006-23CB, Class 2A1, 6.50%, 08/25/2036
|
5,663,519
|
1,721,441
|
||||||
Series 2006-24CB, Class A11, 5.75%, 08/25/2036
|
3,768,810
|
1,988,501
|
||||||
Series 2006-24CB, Class A12, 5.75%, 08/25/2036
|
2,337,938
|
1,233,543
|
||||||
Series 2006-26CB, Class A17, 6.25%, 09/25/2036
|
5,415,341
|
2,660,225
|
||||||
Series 2006-30T1, Class 2A6, 6.50%, 11/25/2036
|
8,388,155
|
2,648,494
|
||||||
Series 2006-31CB, Class A7, 6.00%, 11/25/2036
|
203,128
|
114,483
|
||||||
Series 2006-31CB, Class A8, 5.75%, 11/25/2036
|
1,832,468
|
998,836
|
||||||
Series 2006-39CB, Class 1A20, 6.00%, 01/25/2037
|
2,200,203
|
1,779,832
|
||||||
Series 2006-41CB, Class 1A7, 6.00%, 01/25/2037
|
493,296
|
251,566
|
||||||
Series 2006-6CB, Class 1A8, 5.50%, 05/25/2036
|
86,882
|
69,349
|
||||||
Series 2006-J3, Class 4A2, 5.75%, 05/25/2026
|
268,749
|
253,326
|
||||||
Series 2006-J6, Class A4, 6.00%, 09/25/2036
|
1,983,230
|
984,478
|
||||||
Series 2006-J6, Class A5, 6.00%, 09/25/2036
|
2,671,469
|
1,326,121
|
||||||
Series 2007-13, Class A1, 6.00%, 06/25/2047
|
2,403,743
|
1,219,808
|
||||||
Series 2007-23CB, Class A1, 6.00%, 09/25/2037
|
4,199,444
|
2,037,620
|
||||||
Series 2007-2CB, Class 2A14, 5.75%, 03/25/2037
|
5,437,738
|
2,704,542
|
||||||
Series 2007-4CB, Class 1A6, 5.75%, 04/25/2037
|
1,365,046
|
1,096,968
|
||||||
Series 2007-4CB, Class 1A7, 5.75%, 04/25/2037
|
1,026,791
|
825,142
|
||||||
Series 2007-8CB, Class A1, 5.50%, 05/25/2037
|
5,515,170
|
2,858,819
|
||||||
Series 2007-8CB, Class A9, 6.00%, 05/25/2037
|
745,200
|
408,025
|
||||||
Series 2007-J2, Class 2A2, 6.00%, 07/25/2037
|
2,695,764
|
2,441,428
|
||||||
Series 2008-2R, Class 3A1, 6.00%, 08/25/2037(c)
|
6,964,804
|
3,292,929
|
||||||
Countrywide Home Loan Mortgage Pass Through Trust
|
||||||||
Series 2003-42, Class 2A4, 5.15%, 10/25/2033(c)
|
669,291
|
608,415
|
||||||
Series 2003-44, Class A3, 5.00%, 10/25/2033
|
214,000
|
187,479
|
||||||
Series 2004-14, Class 3A1, 5.72%, 08/25/2034(c)
|
1,739,570
|
1,593,792
|
||||||
Series 2004-21, Class A1, 4.00%, 11/25/2034
|
461,389
|
394,884
|
||||||
Series 2004-24, Class A1, 5.50%, 12/25/2034
|
3,300,388
|
3,128,590
|
||||||
Series 2004-24, Class A4, 5.50%, 12/25/2034
|
2,272,276
|
2,152,951
|
||||||
Series 2004-4, Class A10, 5.50%, 05/25/2034
|
424,005
|
394,272
|
||||||
Series 2004-HYB5, Class 3A1, 5.35%, 04/20/2035(c)
|
663,885
|
608,889
|
||||||
Series 2004-J9, Class 2A5, 5.50%, 01/25/2035
|
420,774
|
399,820
|
||||||
Series 2005-13, Class A6, 5.50%, 06/25/2035
|
1,378,956
|
753,062
|
||||||
Series 2005-20, Class A7, 5.25%, 12/25/2027
|
17,698
|
10,520
|
||||||
Series 2005-27, Class 1A4, 5.50%, 12/25/2035
|
714,579
|
520,743
|
||||||
Series 2005-27, Class 2A1, 5.50%, 12/25/2035
|
508,211
|
210,115
|
||||||
Series 2005-31, Class 4A2, 4.72%, 01/25/2036(c)
|
648,780
|
585,983
|
||||||
Series 2005-HY10, Class 1A1, 5.23%, 02/20/2036(c)
|
46,928
|
38,314
|
||||||
Series 2005-HY10, Class 4A1, 4.06%, 02/20/2036(c)
|
1,303,105
|
1,139,871
|
||||||
Series 2005-HYB2, Class 2A, 4.96%, 05/20/2035(c)
|
628,070
|
587,256
|
||||||
Series 2005-J3, Class 2A5, 5.50%, 09/25/2035
|
45,025
|
40,344
|
||||||
Series 2006-16, Class 2A1, 6.50%, 11/25/2036
|
472,260
|
149,244
|
||||||
Series 2006-17, Class A6, 6.00%, 12/25/2036
|
2,090,216
|
832,891
|
||||||
Series 2006-17, Class A8, 6.00% (1 mo. Term SOFR + 0.66%), 12/25/2036
|
2,826,966
|
1,137,489
|
||||||
Series 2006-21, Class A11, 5.75%, 02/25/2037
|
1,123,666
|
480,530
|
||||||
Series 2006-21, Class A13, 6.00%, 02/25/2037
|
2,594,699
|
1,157,970
|
||||||
Series 2006-21, Class A5, 6.00%, 02/25/2037
|
592,428
|
264,391
|
||||||
Series 2006-6, Class A1, 6.00%, 04/25/2036
|
566,236
|
270,970
|
||||||
Series 2006-9, Class A8, 6.00%, 05/25/2036
|
1,105,101
|
494,572
|
||||||
Series 2007-1, Class A4, 6.00%, 03/25/2037
|
1,937,073
|
873,432
|
||||||
Series 2007-10, Class A22, 6.00%, 07/25/2037
|
1,769,503
|
793,711
|
||||||
Series 2007-5, Class A2, 5.75%, 05/25/2037
|
1,551,042
|
771,303
|
||||||
Series 2007-5, Class A29, 5.50%, 05/25/2037
|
2,700,759
|
1,289,626
|
||||||
Series 2007-5, Class A4, 5.75%, 05/25/2037
|
803,797
|
399,713
|
||||||
Series 2007-5, Class A51, 5.75%, 05/25/2037
|
5,264,102
|
2,617,737
|
||||||
Series 2007-HY5, Class 1A1, 4.75%, 09/25/2047(c)
|
5,171,936
|
3,840,773
|
||||||
Series 2007-J2, Class 2A3, 6.00%, 07/25/2037
|
2,878,131
|
976,453
|
||||||
Series 2007-J2, Class 2A6, 6.00%, 07/25/2037
|
185,881
|
63,063
|
||||||
Credit Suisse First Boston Mortgage Securities Corp.
|
||||||||
Series 2004-8, Class 3A4, 5.50%, 12/25/2034
|
129,565
|
124,444
|
||||||
Series 2005-10, Class 10A3, 6.00%, 11/25/2035
|
811,139
|
194,516
|
||||||
Series 2005-10, Class 5A3, 5.50%, 11/25/2035
|
367,212
|
262,424
|
||||||
Series 2005-10, Class 5A4, 5.50%, 11/25/2035
|
1,447,360
|
1,034,170
|
||||||
Series 2005-3, Class 3A17, 5.50%, 07/25/2035
|
229,057
|
225,684
|
||||||
Series 2005-9, Class 2A1, 5.50%, 10/25/2035
|
543,370
|
237,361
|
||||||
Credit Suisse Management LLC, Series 2005-8, Class 7A1, 7.00%, 09/25/2035
|
2,548,258
|
1,094,689
|
||||||
Credit Suisse Mortgage Capital Certificates
|
||||||||
Series 2006-1, Class 1A3, 5.50%, 02/25/2036
|
261,855
|
221,977
|
||||||
Series 2006-1, Class 4A14, 5.50%, 02/25/2036
|
31,259
|
27,269
|
||||||
Series 2006-2, Class 4A2, 5.75%, 03/25/2036
|
517,227
|
324,410
|
||||||
Series 2006-2, Class 5A6, 6.00%, 03/25/2036
|
4,063,372
|
1,653,105
|
||||||
Series 2006-4, Class 8A1, 7.00%, 05/25/2036
|
1,179,251
|
167,026
|
||||||
Series 2006-7, Class 7A5, 6.00%, 08/25/2036
|
678,635
|
506,185
|
||||||
Series 2006-CF1, Class B3, 5.50%, 11/25/2035(d)(g)
|
2,565,000
|
2,416,098
|
||||||
Series 2007-2, Class 3A8, 5.50%, 03/25/2037
|
1,239,630
|
583,371
|
||||||
Series 2007-3, Class 4A13, 5.50%, 04/25/2037
|
251,923
|
195,755
|
||||||
Series 2007-3, Class 4A15, 5.50%, 04/25/2037
|
352,443
|
273,864
|
||||||
Series 2011-12R, Class 3A5, 4.48%, 07/27/2036(c)(d)
|
885,503
|
874,905
|
||||||
Series 2013-2R, Class 5A2, 3.87%, 05/27/2037(c)(d)
|
1,776,662
|
1,158,787
|
||||||
Deutsche ALT-A Securities, Inc.
|
||||||||
Series 2005-3, Class 3A1, 5.94% (1 mo. Term SOFR + 0.61%), 05/25/2035
|
782,719
|
670,978
|
||||||
Series 2005-6, Class 1A4, 5.50%, 12/25/2035
|
1,327,902
|
1,021,883
|
||||||
Series 2006-AB4, Class A1B1, 5.54% (1 mo. Term SOFR + 0.21%), 10/25/2036
|
389,586
|
310,463
|
||||||
DFC HEL Trust, Series 2001-1, Class M1, 7.08% (1 mo. Term SOFR + 1.76%), 08/15/2031
|
1,250,407
|
1,198,698
|
||||||
Federal National Mortgage Association, Series 2016-C01, Class 2M2, 12.39% (30 day avg SOFR US + 7.06%), 08/25/2028
|
946,156
|
984,541
|
||||||
First Horizon Alternative Mortgage Securities
|
||||||||
Series 2004-AA6, Class A1, 6.60%, 01/25/2035(c)
|
221,379
|
212,730
|
||||||
Series 2004-AA7, Class 2A1, 6.84%, 02/25/2035(c)
|
643,716
|
593,780
|
||||||
Series 2005-AA5, Class 2A1, 6.30%, 07/25/2035(c)
|
975,216
|
870,452
|
||||||
Series 2005-AA7, Class 2A1, 6.07%, 09/25/2035(c)
|
1,120,839
|
966,920
|
||||||
Series 2005-FA11, Class 2A1, 5.25%, 06/25/2024
|
698
|
0
|
||||||
Series 2005-FA8, Class 1A14, 5.50%, 11/25/2035
|
1,143,887
|
559,333
|
||||||
Series 2006-FA1, Class 1A3, 5.75%, 04/25/2036
|
1,843,214
|
797,140
|
||||||
Series 2006-FA2, Class 1A3, 6.00%, 05/25/2036
|
2,155,779
|
885,175
|
||||||
Series 2006-FA2, Class 1A5, 6.00%, 05/25/2036
|
1,410,554
|
579,181
|
||||||
Series 2006-FA6, Class 1A5, 6.25%, 11/25/2036
|
6,649,921
|
2,952,306
|
||||||
Series 2006-FA6, Class 3A1, 5.75%, 06/25/2024
|
573
|
288
|
||||||
Series 2007-AA1, Class 1A2, 4.90%, 05/25/2037(c)
|
1,977,766
|
1,258,140
|
||||||
Series 2007-FA4, Class 1A6, 6.25%, 08/25/2037(c)
|
1,783,986
|
698,326
|
||||||
First Horizon Asset Securities, Inc.
|
||||||||
Series 2005-AR3, Class 4A1, 5.88%, 08/25/2035(c)
|
859,912
|
815,105
|
||||||
Series 2006-4, Class 1A15, 6.00%, 02/25/2037
|
527,692
|
133,074
|
||||||
Series 2006-4, Class 1A6, 5.75%, 02/25/2037
|
871,447
|
210,697
|
||||||
Series 2006-AR4, Class 1A2, 5.14%, 01/25/2037(c)
|
2,016,156
|
1,066,158
|
||||||
Series 2007-AR1, Class 1A1, 5.16%, 05/25/2037(c)
|
600,384
|
252,981
|
||||||
Series 2007-AR2, Class 1A2, 6.71%, 08/25/2037(c)
|
4,125,742
|
1,403,949
|
||||||
GS Mortgage-Backed Securities Trust
|
||||||||
Series 2021-MM1, Class A8, 2.50%, 04/25/2052(c)(d)
|
2,000,000
|
1,266,316
|
||||||
Series 2022-PJ2, Class A31, 2.50%, 06/25/2052(c)(d)
|
2,250,000
|
1,421,355
|
||||||
Series 2022-PJ5, Class A31, 2.50%, 10/25/2052(c)(d)
|
5,500,000
|
3,450,367
|
||||||
GSAA Trust
|
||||||||
Series 2005-1, Class M2, 6.26%, 11/25/2034(g)
|
2,100,000
|
1,995,479
|
||||||
Series 2006-15, Class AF5, 6.69%, 09/25/2036(g)
|
2,005,806
|
495,976
|
||||||
Series 2006-18, Class AF6, 6.18%, 11/25/2036(g)
|
1,820,731
|
437,961
|
||||||
Series 2007-7, Class 1A2, 5.80% (1 mo. Term SOFR + 0.47%), 07/25/2037
|
568,380
|
514,771
|
||||||
GSR Mortgage Loan Trust
|
||||||||
Series 2003-5F, Class 1A1, 3.00%, 08/25/2032
|
756,809
|
678,303
|
||||||
Series 2004-15F, Class 2A1, 6.00%, 12/25/2034
|
799,689
|
647,095
|
||||||
Series 2005-1F, Class 3A3, 6.00%, 01/25/2035
|
9,623
|
8,374
|
||||||
Series 2005-4F, Class 3A1, 6.50%, 06/25/2024
|
46,299
|
46,104
|
||||||
Series 2005-7F, Class 3A9, 6.00%, 09/25/2035
|
15,797
|
14,948
|
||||||
Series 2005-AR4, Class 5A1, 4.93%, 07/25/2035(c)
|
140,204
|
129,174
|
||||||
Series 2005-AR5, Class 4A1, 4.93%, 10/25/2035(c)
|
515,107
|
458,128
|
||||||
Series 2005-AR7, Class 6A1, 4.43%, 11/25/2035(c)
|
333,372
|
284,829
|
||||||
Series 2006-2F, Class 2A1, 5.75%, 02/25/2036
|
389,357
|
313,877
|
||||||
Harborview Mortgage Loan Trust, Series 2006-6, Class 3A1A, 4.66%, 08/19/2036 (c)
|
1,754,791
|
1,340,244
|
||||||
Impac CMB Trust, Series 2005-5, Class A3W, 5.94% (1 mo. Term SOFR + 0.36%), 08/25/2035
|
345,465
|
314,232
|
||||||
Impac Funding Corp.
|
||||||||
Series 2002-2, Class A3, 6.50%, 04/25/2033
|
767,378
|
734,033
|
||||||
Series 2004-2, Class A5, 4.81%, 08/25/2034(g)
|
73,494
|
71,810
|
||||||
Indymac IMSC Mortgage Loan Trust, Series 2007-AR1, Class 2A1, 4.11%, 06/25/2037 (c)
|
347,486
|
216,550
|
||||||
Indymac Index Mortgage Loan Trust
|
||||||||
Series 2004-AR11, Class 1A, 3.81%, 12/25/2034(c)
|
853,100
|
744,449
|
||||||
Series 2004-AR4, Class 3A, 4.98%, 08/25/2034(c)
|
1,906,714
|
1,734,427
|
||||||
Series 2005-AR23, Class 3A1, 3.93%, 11/25/2035(c)
|
560,639
|
496,677
|
||||||
Series 2005-AR23, Class 6A1, 4.04%, 11/25/2035(c)
|
926,532
|
841,189
|
||||||
Series 2005-AR25, Class 1A21, 4.03%, 12/25/2035(c)
|
1,744,621
|
964,291
|
||||||
Series 2005-AR3, Class 4A1, 3.95%, 04/25/2035(c)
|
767,830
|
691,643
|
||||||
Series 2005-AR35, Class 1A1, 3.70%, 02/25/2036(c)
|
1,099,722
|
833,321
|
||||||
Series 2005-AR9, Class 1A1, 4.76%, 07/25/2035(c)
|
2,809,518
|
1,538,293
|
||||||
Series 2006-AR25, Class 3A1, 3.94%, 09/25/2036(c)
|
1,998,486
|
1,268,946
|
||||||
Series 2006-AR25, Class 4A1, 3.45%, 09/25/2036(c)
|
3,484,748
|
3,133,838
|
||||||
Series 2006-AR3, Class 2A1C, 3.93%, 03/25/2036(c)
|
4,742,232
|
3,243,696
|
||||||
Series 2006-AR31, Class A5, 3.83%, 11/25/2036(c)
|
3,662,742
|
3,249,165
|
||||||
Series 2006-AR9, Class 3A1, 3.52%, 06/25/2036(c)
|
1,497,867
|
1,270,465
|
||||||
Jefferies, LLC, Series 2009-R1, Class 1A2, 4.43%, 11/26/2035 (c)(d)
|
458,689
|
394,553
|
||||||
JP Morgan Mortgage Trust
|
||||||||
Series 2005-S3, Class 1A5, 5.75%, 01/25/2036
|
46,644
|
20,578
|
||||||
Series 2007-A3, Class 2A3, 5.61%, 05/25/2037(c)
|
2,145,541
|
1,745,029
|
||||||
Series 2021-12, Class A3, 2.50%, 02/25/2052(c)(d)
|
11,534,522
|
9,059,970
|
||||||
Series 2021-15, Class A5, 2.50%, 06/25/2052(c)(d)
|
2,750,000
|
1,742,291
|
||||||
Series 2022-3, Class A5A, 2.50%, 08/25/2052(c)(d)
|
11,588,632
|
7,310,664
|
||||||
Series 2022-4, Class A5, 3.00%, 10/25/2052(c)(d)
|
5,000,000
|
3,422,042
|
||||||
Series 2024-3, Class A5, 3.00%, 05/25/2054(c)(d)
|
10,000,000
|
6,803,668
|
||||||
Lehman Mortgage Trust
|
||||||||
Series 2005-2, Class 1A3, 5.75%, 12/25/2035
|
504,803
|
248,025
|
||||||
Series 2005-3, Class 1A2, 0.00% (-1 x 1 mo. Term SOFR + 4.64%), 01/25/2036(f)(h)
|
777,465
|
24,492
|
||||||
Series 2005-3, Class 1A6, 5.50% (1 mo. Term SOFR + 0.61%), 01/25/2036
|
777,465
|
303,884
|
||||||
Series 2006-1, Class 1A4, 5.50%, 02/25/2036
|
351,319
|
167,955
|
||||||
Series 2006-3, Class 1A1, 6.00%, 07/25/2036
|
3,132,512
|
1,535,210
|
||||||
Series 2006-3, Class 1A4, 6.00%, 07/25/2036
|
6,925,442
|
3,433,300
|
||||||
Series 2007-4, Class 1A2, 5.75%, 05/25/2037
|
972,644
|
429,111
|
||||||
Series 2007-4, Class 1A3, 5.75%, 05/25/2037
|
2,125,226
|
937,607
|
||||||
Series 2007-5, Class 1A3, 5.75%, 06/25/2037
|
1,266,250
|
1,117,480
|
||||||
Series 2007-5, Class 9A1, 6.00%, 06/25/2037
|
2,285,671
|
543,191
|
||||||
Series 2007-5, Class 9A2, 6.00%, 06/25/2037
|
6,242,852
|
1,483,619
|
||||||
MASTR Adjustable Rate Mortgages Trust
|
||||||||
Series 2004-4, Class 2A2, 5.71%, 05/25/2034(c)
|
75,684
|
69,794
|
||||||
Series 2005-1, Class 7A1, 4.07%, 02/25/2035(c)
|
85,327
|
76,489
|
||||||
MASTR Alternative Loans Trust
|
||||||||
Series 2003-5, Class 30B1, 5.87%, 08/25/2033(c)
|
488,815
|
275,675
|
||||||
Series 2003-7, Class 5A1, 6.25%, 11/25/2033
|
32,072
|
32,004
|
||||||
Series 2004-11, Class 7A1, 6.50%, 10/25/2034
|
247,246
|
240,043
|
||||||
Series 2004-6, Class 10A1, 6.00%, 07/25/2034
|
89,437
|
84,780
|
||||||
Series 2004-6, Class 8A1, 5.50%, 07/25/2034
|
152,960
|
143,961
|
||||||
Series 2005-2, Class 4A5, 5.50%, 03/25/2035
|
2,000,000
|
1,897,607
|
||||||
MASTR Asset Securitization Trust, Series 2006-1, Class 2A1, 5.89% (1 mo. Term SOFR + 0.56%), 05/25/2036
|
555,600
|
109,519
|
||||||
Merrill Lynch Mortgage Investors, Inc.
|
||||||||
Series 2005-A5, Class A8, 5.02%, 06/25/2035(c)
|
229,436
|
212,280
|
||||||
Series 2005-A7, Class 2A1, 4.77%, 09/25/2035(c)
|
3,456,396
|
2,688,312
|
||||||
Series 2006-F1, Class 1A1, 6.00%, 04/25/2036
|
1,792,854
|
765,699
|
||||||
MLCC Mortgage Investors, Inc., Series 2004-D, Class A2, 6.40% (6 mo. Term SOFR + 1.15%), 09/25/2029
|
462,158
|
435,887
|
||||||
Morgan Stanley Mortgage Loan Trust
|
||||||||
Series 2005-7, Class 6A3, 5.50%, 11/25/2035
|
667,113
|
617,547
|
||||||
Series 2005-7, Class 7A3, 5.50%, 11/25/2035
|
288,190
|
239,199
|
||||||
Series 2006-11, Class 2A1, 6.00%, 08/25/2036
|
1,908,998
|
780,839
|
||||||
Series 2006-2, Class 7A1, 5.47%, 02/25/2036(c)
|
1,240,794
|
704,585
|
||||||
Morgan Stanley Reremic Trust, Series 2012-R3, Class 1B, 4.01%, 11/26/2036 (c)(d)
|
1,787,615
|
1,496,857
|
||||||
Nomura Asset Acceptance Corp.
|
||||||||
Series 2005-AR3, Class 3A1, 5.69%, 07/25/2035(c)
|
363,866
|
354,790
|
||||||
Series 2005-WF1, Class 2A5, 5.66%, 03/25/2035(g)
|
13,941
|
13,600
|
||||||
Nomura Resecuritization Trust
|
||||||||
Series 2011-4RA, Class 1A10, 2.77%, 12/26/2036(c)(d)
|
5,105,316
|
4,414,149
|
||||||
Series 2014-5R, Class 1A9, 5.50%, 06/26/2035(c)(d)
|
3,068,690
|
2,394,797
|
||||||
Popular ABS, Inc.
|
||||||||
Series 2003-1, Class M1, 4.86%, 08/25/2033(c)
|
402,090
|
393,789
|
||||||
Series 2003-3, Class M1, 4.87%, 12/25/2033(c)
|
920,255
|
902,197
|
||||||
RAAC Series, Series 2005-SP1, Class 3A7, 6.00%, 09/25/2034
|
2,354
|
1,539
|
||||||
RALI Trust
|
||||||||
Series 2006-QS1, Class A3, 5.75%, 01/25/2036
|
161,681
|
127,415
|
||||||
Series 2006-QS13, Class 1A6, 6.00%, 09/25/2036
|
1,783,780
|
1,355,243
|
||||||
Series 2006-QS17, Class A7, 6.00%, 12/25/2036
|
281,436
|
220,567
|
||||||
Series 2006-QS9, Class 1A5, 6.00% (1 mo. Term SOFR + 0.81%), 07/25/2036
|
1,176,145
|
856,175
|
||||||
Series 2007-QS10, Class A1, 6.50%, 09/25/2037
|
249,694
|
195,033
|
||||||
Series 2007-QS6, Class A29, 6.00%, 04/25/2037
|
2,346,602
|
1,835,711
|
||||||
RBSSP Resecuritization Trust, Series 2009-7, Class 3A2, 6.00%, 03/26/2036 (c)(d)
|
3,707,959
|
1,936,037
|
||||||
RCKT Mortgage Trust
|
||||||||
Series 2021-4, Class A17, 2.50%, 09/25/2051(c)(d)
|
5,000,000
|
3,188,842
|
||||||
Series 2022-2, Class A18, 2.50%, 02/25/2052(c)(d)
|
4,500,000
|
2,837,044
|
||||||
Resecuritization Pass-Through Trust, Series 2005-8R, Class A3, 6.00%, 10/25/2034
|
1,462,062
|
1,375,446
|
||||||
Residential Asset Securitization Trust
|
||||||||
Series 2003-A9, Class A2, 4.00%, 08/25/2033
|
810,302
|
713,698
|
||||||
Series 2004-R2, Class A3, 5.50%, 08/25/2034
|
1,465,173
|
1,394,919
|
||||||
Series 2005-A11, Class 1A4, 5.50%, 10/25/2035
|
226,716
|
146,570
|
||||||
Series 2005-A11, Class 2A1, 4.85%, 10/25/2035
|
3,388,480
|
1,185,876
|
||||||
Series 2005-A11, Class 2A5, 6.00%, 10/25/2035
|
385,719
|
165,981
|
||||||
Series 2005-A15, Class 5A1, 5.75%, 02/25/2036
|
3,447,927
|
1,221,094
|
||||||
Series 2005-A5, Class A7, 5.50%, 05/25/2035
|
1,006,534
|
692,184
|
||||||
Series 2006-A15, Class A10, 6.04% (1 mo. Term SOFR + 0.71%), 01/25/2037
|
16,433,950
|
4,437,259
|
||||||
Series 2006-A15, Class A11, 0.21% (-1 x 1 mo. Term SOFR + 5.54%), 01/25/2037(f)(h)
|
16,433,950
|
1,144,015
|
||||||
Series 2006-A5CB, Class A6, 6.00%, 06/25/2036
|
2,284,189
|
917,757
|
||||||
RFMSI Trust
|
||||||||
Series 2005-SA4, Class 1A21, 5.32%, 09/25/2035(c)
|
1,612,087
|
1,029,767
|
||||||
Series 2005-SA4, Class 2A1, 5.17%, 09/25/2035(c)
|
1,190,260
|
726,327
|
||||||
Series 2006-S3, Class A1, 5.50%, 03/25/2036
|
1,596,327
|
1,229,659
|
||||||
Series 2006-S4, Class A1, 6.00%, 04/25/2036
|
1,706,870
|
1,309,613
|
||||||
Series 2006-S5, Class A12, 6.00%, 06/25/2036
|
153,222
|
123,585
|
||||||
Series 2006-S5, Class A14, 6.00%, 06/25/2036
|
315,415
|
254,406
|
||||||
Series 2006-S5, Class A15, 6.00%, 06/25/2036
|
1,321,834
|
1,066,156
|
||||||
Series 2006-S5, Class A18, 6.00%, 06/25/2036
|
164,281
|
126,601
|
||||||
Series 2006-S6, Class A10, 6.00%, 07/25/2036
|
91,480
|
74,954
|
||||||
Series 2006-S6, Class A15, 6.00%, 07/25/2036
|
470,958
|
385,879
|
||||||
Series 2006-S7, Class A6, 6.25%, 08/25/2036
|
977,450
|
763,245
|
||||||
Series 2006-S7, Class A9, 6.50%, 08/25/2036
|
584,379
|
463,557
|
||||||
Series 2006-S9, Class A3, 5.75%, 09/25/2036
|
1,319,424
|
995,163
|
||||||
Series 2007-S1, Class A10, 6.00%, 01/25/2037
|
400,311
|
300,185
|
||||||
Series 2007-S7, Class A7, 6.00%, 07/25/2037
|
1,378,320
|
1,033,711
|
||||||
Specialty Underwriting & Residential Finance, Series 2006-BC2, Class A2D, 3.61%, 02/25/2037 (g)
|
752,479
|
257,383
|
||||||
Structured Adjustable Rate Mortgage Loan Trust
|
||||||||
Series 2004-18, Class 3A2, 5.92%, 12/25/2034(c)
|
388,700
|
347,854
|
||||||
Series 2005-12, Class 2A1, 5.81%, 06/25/2035(c)
|
538,156
|
394,255
|
||||||
Series 2005-21, Class 7A1, 5.00%, 11/25/2035(c)
|
3,033,682
|
1,897,539
|
||||||
Series 2006-1, Class 6A1, 4.89%, 02/25/2036(c)
|
989,679
|
713,730
|
||||||
Series 2006-1, Class 7A4, 3.95%, 02/25/2036(c)
|
90,342
|
75,393
|
||||||
Series 2006-12, Class 2A1, 4.56%, 01/25/2037(c)
|
526,294
|
372,891
|
||||||
Series 2006-4, Class 6A, 4.11%, 05/25/2036(c)
|
532,654
|
286,371
|
||||||
Series 2007-5, Class 1A1, 5.88% (1 mo. Term SOFR + 0.55%), 06/25/2037
|
1,234,453
|
978,861
|
||||||
Series 2007-6, Class 2A1, 5.82% (1 mo. Term SOFR + 0.49%), 07/25/2037
|
4,091,996
|
3,468,599
|
||||||
Series 2007-9, Class 1A1, 7.24% (6 mo. Term SOFR + 1.93%), 10/25/2037
|
811,846
|
717,542
|
||||||
Suntrust Adjustable Rate Mortgage Loan Trust
|
||||||||
Series 2007-1, Class 2A1, 5.61%, 02/25/2037(c)
|
3,081,990
|
2,545,679
|
||||||
Series 2007-2, Class 1A1, 6.06%, 04/25/2037(c)
|
409,374
|
158,148
|
||||||
Suntrust Alternative Loan Trust
|
||||||||
Series 2005-1F, Class 2A3, 5.75%, 12/25/2035
|
677,775
|
602,235
|
||||||
Series 2005-1F, Class 2A8, 6.00%, 12/25/2035
|
1,565,129
|
1,400,832
|
||||||
Series 2005-1F, Class 4A1, 6.50%, 12/25/2035
|
1,385,300
|
1,223,539
|
||||||
TBW Mortgage Backed Pass Through Certificates, Series 2006-2, Class 3A1, 5.50%, 07/25/2036
|
80,750
|
7,075
|
||||||
Vericrest Opportunity Loan Transferee, Series 2021-NPL4, Class A2, 4.95%, 03/27/2051 (d)(g)
|
1,677,387
|
1,511,003
|
||||||
WaMu Mortgage Pass Through Certificates
|
||||||||
Series 2003-AR10, Class A6, 5.82%, 10/25/2033(c)
|
5,427,904
|
5,052,138
|
||||||
Series 2003-S4, Class CB1, 5.63%, 06/25/2033(c)
|
2,130,496
|
2,002,932
|
||||||
Series 2004-S2, Class 3A2, 6.00%, 06/25/2034
|
36,235
|
34,703
|
||||||
Series 2005-AR14, Class 1A2, 4.87%, 12/25/2035(c)
|
3,813,361
|
3,412,474
|
||||||
Series 2006-AR10, Class 2A1, 4.17%, 09/25/2036(c)
|
855,362
|
715,893
|
||||||
Series 2006-AR16, Class 1A1, 4.29%, 12/25/2036(c)
|
958,101
|
833,980
|
||||||
Series 2006-AR8, Class 1A1, 4.38%, 08/25/2046(c)
|
1,395,023
|
1,200,678
|
||||||
Series 2007-HY2, Class 1A1, 4.11%, 12/25/2036(c)
|
12,210,523
|
10,526,982
|
||||||
Series 2007-HY3, Class 4A1, 4.95%, 03/25/2037(c)
|
2,178,595
|
1,925,719
|
||||||
Series 2007-HY5, Class 3A1, 4.17%, 05/25/2037(c)
|
910,456
|
752,085
|
||||||
Series 2007-HY7, Class 1A1, 3.87%, 07/25/2037(c)
|
197,826
|
144,855
|
||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
||||||||
Series 2005-1, Class 5A1, 6.00%, 03/25/2035
|
813,991
|
737,655
|
||||||
Series 2005-4, Class 5A7, 5.50%, 06/25/2035
|
2,516,696
|
2,027,467
|
||||||
Series 2005-5, Class CB4, 5.50%, 07/25/2035
|
881,148
|
777,885
|
||||||
Series 2005-6, Class 1CB, 6.50%, 08/25/2035
|
226,816
|
197,793
|
||||||
Series 2005-6, Class 2A1, 5.50%, 08/25/2035
|
2,380,023
|
1,966,020
|
||||||
Series 2005-6, Class 2A8, 5.50%, 08/25/2035
|
520,304
|
429,798
|
||||||
Series 2005-6, Class 3CB, 5.50%, 08/25/2035
|
1,012,642
|
859,451
|
||||||
Series 2005-9, Class 4A4, 5.50%, 11/25/2035
|
354,594
|
288,013
|
||||||
Series 2006-8, Class A6, 4.14%, 10/25/2036(g)
|
2,397,195
|
808,549
|
||||||
Series 2007-HY1, Class A2A, 5.76% (1 mo. Term SOFR + 0.43%), 02/25/2037
|
1,597,288
|
1,176,389
|
||||||
Series 2007-HY2, Class 1A1, 4.26%, 04/25/2037(c)
|
1,131,148
|
577,427
|
||||||
Series 2007-OC1, Class A1, 5.92% (1 mo. Term SOFR + 0.59%), 01/25/2047
|
3,306,861
|
2,974,991
|
||||||
Series 2007-OC2, Class A3, 6.06% (1 mo. Term SOFR + 0.73%), 06/25/2037
|
3,563,940
|
3,295,998
|
||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A4, 6.00%, 03/25/2037
|
708,982
|
610,598
|
||||||
Wells Fargo Mortgage Backed Securities Trust
|
||||||||
Series 2004-J, Class A1, 5.44%, 07/25/2034(c)
|
2,853,594
|
2,577,556
|
||||||
Series 2005-AR14, Class A1, 6.23%, 08/25/2035(c)
|
450,794
|
430,063
|
||||||
Series 2006-AR1, Class 1A1, 6.45%, 03/25/2036(c)
|
1,293,499
|
1,194,713
|
||||||
Series 2006-AR19, Class A1, 6.36%, 12/25/2036(c)
|
1,292,394
|
1,229,911
|
||||||
Series 2006-AR5, Class 1A1, 6.69%, 04/25/2036(c)
|
2,838,409
|
2,650,367
|
||||||
Series 2006-AR5, Class 2A1, 6.58%, 04/25/2036(c)
|
1,131,954
|
1,045,532
|
||||||
Series 2007-AR3, Class A1, 6.33%, 04/25/2037(c)
|
556,000
|
471,298
|
||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $538,696,632)
|
416,930,694
|
|||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 5.6%
|
Par
|
Value
|
||||||
California Housing Finance Agency, Series 2021-2, Class X, 0.82%, 03/25/2035 (f)
|
31,370,634
|
1,435,520
|
||||||
Fannie Mae Pool, Pool AN8088, 3.33%, 01/01/2038
|
10,731,000
|
8,853,262
|
||||||
Federal Home Loan Mortgage Corp.
|
||||||||
Pool WA3427, 3.33%, 07/01/2041
|
3,953,692
|
3,229,508
|
||||||
Pool WA3428, 3.05%, 11/01/2041
|
3,379,366
|
2,665,827
|
||||||
Series K513, Class X1, 0.69%, 12/25/2028(c)(f)
|
107,810,500
|
3,098,614
|
||||||
Federal National Mortgage Association
|
||||||||
Pool AN8580, 3.51%, 04/01/2038
|
3,300,000
|
2,847,795
|
||||||
Pool BS1824, 2.59%, 04/01/2041
|
7,890,000
|
5,695,069
|
||||||
Pool BZ0164, 2.80%, 06/01/2041
|
1,765,000
|
1,354,133
|
||||||
Freddie Mac Multiclass Certificates Series
|
||||||||
Series 2020-RR09, Class CX, 2.68%, 08/27/2029(c)(f)
|
42,360,000
|
3,760,551
|
||||||
Series 2021-RR17, Class X, 2.04%, 08/27/2027(c)(f)
|
70,015,000
|
3,090,399
|
||||||
Freddie Mac Multifamily ML Certificates
|
||||||||
Series 2019-ML06, Class XUS, 1.13%, 06/25/2037(c)(d)(f)
|
10,516,710
|
815,781
|
||||||
Series 2020-ML07, Class XUS, 2.00%, 10/25/2036(c)(d)(f)
|
24,452,495
|
3,426,284
|
||||||
Series 2021-ML08, Class XUS, 1.85%, 07/25/2037(f)
|
32,346,497
|
4,200,840
|
||||||
Series 2021-ML09, Class XUS, 1.49%, 02/25/2040(c)(d)(f)
|
43,279,722
|
5,012,657
|
||||||
Series 2021-ML10, Class XUS, 2.06%, 01/25/2038(c)(d)(f)
|
14,008,813
|
2,001,859
|
||||||
Series 2021-ML10, Class XUS, 1.52%, 06/25/2038(c)(d)(f)
|
38,956,220
|
4,390,756
|
||||||
Series 2021-ML11, Class XUS, 0.77%, 03/25/2038(d)(f)
|
33,584,046
|
1,724,877
|
||||||
Series 2021-ML12, Class XUS, 1.30%, 07/25/2041(c)(d)(f)
|
17,824,907
|
1,693,188
|
||||||
Freddie Mac Multifamily Structured Pass Through Certificates
|
||||||||
Series K042, Class X1, 1.01%, 12/25/2024(c)(f)
|
109,178,889
|
254,529
|
||||||
Series K046, Class X1, 0.32%, 03/25/2025(c)(f)
|
419,459,841
|
702,931
|
||||||
Series K049, Class X1, 0.54%, 07/25/2025(c)(f)
|
85,807,901
|
393,292
|
||||||
Series K061, Class XAM, 0.06%, 11/25/2026(c)(f)
|
72,512,000
|
161,390
|
||||||
Series K062, Class XAM, 0.18%, 12/25/2026(c)(f)
|
79,423,000
|
403,024
|
||||||
Series K063, Class X1, 0.27%, 01/25/2027(c)(f)
|
355,852,843
|
2,217,888
|
||||||
Series K064, Class X1, 0.59%, 03/25/2027(c)(f)
|
119,914,298
|
1,687,638
|
||||||
Series K065, Class XAM, 0.55%, 05/25/2027(c)(f)
|
57,193,000
|
906,932
|
||||||
Series K066, Class X1, 0.74%, 06/25/2027(c)(f)
|
30,549,140
|
550,529
|
||||||
Series K067, Class X1, 0.57%, 07/25/2027(c)(f)
|
39,071,130
|
584,664
|
||||||
Series K068, Class X1, 0.42%, 08/25/2027(c)(f)
|
99,430,303
|
1,177,155
|
||||||
Series K069, Class X1, 0.34%, 09/25/2027(c)(f)
|
27,986,744
|
291,429
|
||||||
Series K073, Class X1, 0.30%, 01/25/2028(c)(f)
|
147,800,903
|
1,502,854
|
||||||
Series K073, Class XAM, 0.20%, 01/25/2028(c)(f)
|
54,203,000
|
419,255
|
||||||
Series K080, Class X1, 0.12%, 07/25/2028(c)(f)
|
421,094,317
|
2,431,609
|
||||||
Series K081, Class X1, 0.07%, 08/25/2028(c)(f)
|
151,615,190
|
643,349
|
||||||
Series K084, Class X1, 0.21%, 10/25/2028(c)(f)
|
332,603,189
|
3,052,067
|
||||||
Series K089, Class XAM, 0.46%, 01/25/2029(c)(f)
|
53,965,000
|
1,081,545
|
||||||
Series K090, Class XAM, 0.63%, 03/25/2029(c)(f)
|
50,517,000
|
1,389,869
|
||||||
Series K091, Class XAM, 0.49%, 03/25/2029(c)(f)
|
53,659,000
|
1,205,809
|
||||||
Series K093, Class X1, 0.94%, 05/25/2029(c)(f)
|
70,364,693
|
2,635,756
|
||||||
Series K094, Class X1, 0.88%, 06/25/2029(c)(f)
|
193,922,262
|
7,047,368
|
||||||
Series K095, Class X1, 0.95%, 06/25/2029(c)(f)
|
45,756,382
|
1,774,501
|
||||||
Series K097, Class X1, 1.09%, 07/25/2029(c)(f)
|
72,383,164
|
3,296,025
|
||||||
Series K097, Class XAM, 1.35%, 09/25/2051(c)(f)
|
66,115,000
|
3,923,000
|
||||||
Series K098, Class X1, 1.14%, 08/25/2029(c)(f)
|
78,178,731
|
3,758,763
|
||||||
Series K098, Class XAM, 1.39%, 08/25/2029(c)(f)
|
24,691,000
|
1,521,316
|
||||||
Series K099, Class X1, 0.88%, 09/25/2029(c)(f)
|
208,721,520
|
7,907,143
|
||||||
Series K100, Class XAM, 0.91%, 09/25/2029(c)(f)
|
62,086,000
|
2,596,188
|
||||||
Series K101, Class XAM, 1.09%, 10/25/2029(c)(f)
|
65,686,000
|
3,310,476
|
||||||
Series K102, Class X1, 0.82%, 10/25/2029(c)(f)
|
172,185,469
|
6,191,411
|
||||||
Series K103, Class X1, 0.64%, 11/25/2029(c)(f)
|
124,647,454
|
3,564,556
|
||||||
Series K105, Class XAM, 1.77%, 01/25/2030(c)(f)
|
64,122,000
|
5,377,643
|
||||||
Series K107, Class X1, 1.59%, 01/25/2030(c)(f)
|
36,380,678
|
2,621,628
|
||||||
Series K107, Class XAM, 1.55%, 02/25/2030(c)(f)
|
118,898,000
|
8,900,229
|
||||||
Series K108, Class X1, 1.69%, 03/25/2030(c)(f)
|
56,683,959
|
4,407,365
|
||||||
Series K108, Class XAM, 1.66%, 03/25/2030(c)(f)
|
70,601,000
|
5,718,886
|
||||||
Series K110, Class X1, 1.69%, 04/25/2030(c)(f)
|
29,741,625
|
2,256,143
|
||||||
Series K111, Class X1, 1.57%, 05/25/2030(c)(f)
|
108,299,843
|
7,988,337
|
||||||
Series K112, Class X1, 1.43%, 05/25/2030(c)(f)
|
152,383,507
|
10,396,868
|
||||||
Series K112, Class XAM, 1.67%, 05/25/2030(c)(f)
|
44,272,000
|
3,740,785
|
||||||
Series K113, Class X1, 1.38%, 06/25/2030(c)(f)
|
113,082,187
|
7,335,167
|
||||||
Series K114, Class X1, 1.11%, 06/25/2030(c)(f)
|
135,779,601
|
7,346,342
|
||||||
Series K114, Class XAM, 1.34%, 06/25/2030(c)(f)
|
54,977,000
|
3,736,248
|
||||||
Series K115, Class X1, 1.32%, 06/25/2030(c)(f)
|
53,797,381
|
3,392,791
|
||||||
Series K115, Class XAM, 1.55%, 07/25/2030(c)(f)
|
40,865,759
|
3,195,715
|
||||||
Series K116, Class X1, 1.42%, 07/25/2030(c)(f)
|
104,976,097
|
6,994,715
|
||||||
Series K116, Class XAM, 1.60%, 08/25/2030(c)(f)
|
23,000,000
|
1,894,015
|
||||||
Series K118, Class X1, 0.96%, 09/25/2030(c)(f)
|
119,965,062
|
5,631,436
|
||||||
Series K118, Class XAM, 1.17%, 09/25/2030(c)(f)
|
35,916,184
|
2,194,863
|
||||||
Series K119, Class XAM, 1.13%, 10/25/2030(c)(f)
|
51,000,000
|
3,028,099
|
||||||
Series K121, Class X1, 1.02%, 10/25/2030(c)(f)
|
48,453,606
|
2,395,042
|
||||||
Series K121, Class XAM, 1.19%, 11/25/2030(c)(f)
|
70,786,000
|
4,519,014
|
||||||
Series K122, Class X1, 0.88%, 11/25/2030(c)(f)
|
110,960,162
|
4,853,886
|
||||||
Series K122, Class XAM, 1.08%, 11/25/2030(c)(f)
|
35,211,000
|
2,037,844
|
||||||
Series K123, Class XAM, 0.98%, 12/25/2030(c)(f)
|
108,000,000
|
5,697,518
|
||||||
Series K124, Class XAM, 0.94%, 01/25/2031(c)(f)
|
89,626,000
|
4,581,600
|
||||||
Series K125, Class X1, 0.58%, 01/25/2031(c)(f)
|
282,651,151
|
8,500,422
|
||||||
Series K125, Class XAM, 0.78%, 01/25/2031(c)(f)
|
103,992,000
|
4,522,945
|
||||||
Series K127, Class XAM, 0.50%, 02/25/2031(c)(f)
|
186,332,000
|
5,268,016
|
||||||
Series K128, Class X1, 0.51%, 03/25/2031(c)(f)
|
153,475,484
|
4,152,325
|
||||||
Series K128, Class XAM, 0.73%, 03/25/2031(c)(f)
|
37,700,000
|
1,571,803
|
||||||
Series K129, Class XAM, 1.22%, 05/25/2031(c)(f)
|
31,700,000
|
2,183,021
|
||||||
Series K130, Class X1, 1.04%, 06/25/2031(c)(f)
|
122,563,490
|
6,959,229
|
||||||
Series K130, Class XAM, 1.21%, 07/25/2031(c)(f)
|
43,372,188
|
3,083,819
|
||||||
Series K131, Class X1, 0.73%, 07/25/2031(c)(f)
|
135,387,181
|
5,628,763
|
||||||
Series K138, Class XAM, 0.69%, 01/25/2032(c)(f)
|
195,000,000
|
8,585,187
|
||||||
Series K141, Class X1, 0.30%, 02/25/2032(c)(f)
|
184,905,334
|
3,773,548
|
||||||
Series K141, Class XAM, 0.32%, 02/25/2032(c)(f)
|
195,000,000
|
4,257,552
|
||||||
Series K149, Class X1, 0.26%, 08/25/2032(c)(f)
|
83,116,990
|
1,707,073
|
||||||
Series K1511, Class X1, 0.78%, 03/25/2034(c)(f)
|
130,943,474
|
6,632,942
|
||||||
Series K1512, Class X1, 0.91%, 04/25/2034(c)(f)
|
47,294,548
|
2,728,966
|
||||||
Series K1513, Class X1, 0.86%, 08/25/2034(c)(f)
|
75,560,851
|
4,268,689
|
||||||
Series K1514, Class X1, 0.58%, 10/25/2034(c)(f)
|
80,199,172
|
3,388,784
|
||||||
Series K1515, Class X1, 1.51%, 02/25/2035(c)(f)
|
78,316,429
|
8,485,522
|
||||||
Series K1516, Class X1, 1.51%, 05/25/2035(c)(f)
|
41,562,047
|
4,802,187
|
||||||
Series K1517, Class X1, 1.32%, 07/25/2035(c)(f)
|
88,248,374
|
8,884,873
|
||||||
Series K152, Class X1, 0.95%, 01/25/2031(c)(f)
|
28,750,597
|
1,319,537
|
||||||
Series K1521, Class X1, 0.98%, 08/25/2036(c)(f)
|
95,379,814
|
7,654,249
|
||||||
Series K155, Class X1, 0.12%, 04/25/2033(c)(f)
|
242,648,199
|
2,496,389
|
||||||
Series K160, Class X1, 0.21%, 08/25/2033(c)(f)
|
254,077,283
|
4,965,686
|
||||||
Series K728, Class X1, 0.46%, 08/25/2024(c)(f)
|
45,257,601
|
13,568
|
||||||
Series K729, Class X1, 0.33%, 10/25/2024(c)(f)
|
37,399,745
|
21,075
|
||||||
Series K734, Class X1, 0.64%, 02/25/2026(c)(f)
|
62,034,050
|
468,618
|
||||||
Series K735, Class X1, 0.96%, 05/25/2026(c)(f)
|
57,374,697
|
809,190
|
||||||
Series K735, Class XAM, 1.36%, 05/25/2026(c)(f)
|
70,547,000
|
1,575,188
|
||||||
Series K737, Class XAM, 1.01%, 10/25/2026(c)(f)
|
20,050,000
|
462,936
|
||||||
Series K738, Class XAM, 1.37%, 03/25/2027(c)(f)
|
24,099,000
|
813,517
|
||||||
Series K739, Class XAM, 1.57%, 09/25/2027(c)(f)
|
32,621,072
|
1,422,409
|
||||||
Series K742, Class XAM, 0.93%, 04/25/2028(c)(f)
|
89,849,000
|
2,995,925
|
||||||
Series K743, Class XAM, 1.29%, 05/25/2028(c)(f)
|
99,488,000
|
4,472,563
|
||||||
Series K744, Class X1, 0.85%, 07/25/2028(c)(f)
|
106,197,045
|
3,116,172
|
||||||
Series K744, Class XAM, 1.23%, 07/25/2028(c)(f)
|
122,906,000
|
5,357,473
|
||||||
Series K747, Class XAM, 0.40%, 12/25/2028(c)(f)
|
160,000,000
|
2,519,232
|
||||||
Series K748, Class XAM, 0.55%, 01/25/2029(c)(f)
|
175,000,000
|
3,977,137
|
||||||
Series KG02, Class X1, 1.02%, 08/25/2029(c)(f)
|
31,816,796
|
1,245,726
|
||||||
Series KG03, Class X1, 1.37%, 06/25/2030(c)(f)
|
15,421,684
|
981,697
|
||||||
Series KG04, Class X1, 0.85%, 11/25/2030(c)(f)
|
110,765,640
|
4,640,305
|
||||||
Series KW03, Class X1, 0.79%, 06/25/2027(c)(f)
|
12,903,287
|
237,139
|
||||||
Series KW06, Class X1, 0.12%, 06/25/2028(c)(f)
|
528,080,550
|
2,617,378
|
||||||
Series KW09, Class X1, 0.80%, 05/25/2029(c)(f)
|
61,926,243
|
1,789,489
|
||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $444,347,003)
|
403,481,624
|
|||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 0.1%
|
Par
|
Value
|
||||||
Federal Home Loan Mortgage Corp.
|
||||||||
Series 4937, Class MB, 3.00%, 12/25/2049
|
6,621,000
|
4,457,861
|
||||||
Series 5201, Class CB, 2.50%, 03/25/2052
|
5,797,999
|
3,858,855
|
||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $8,446,716)
|
8,316,716
|
|||||||
SHORT-TERM INVESTMENTS - 1.6%
|
||||||||
Money Market Funds - 0.4%
|
Shares
|
|||||||
First American Government Obligations Fund - Class X, 5.23%(j)
|
29,938,964
|
29,938,964
|
||||||
U.S. Treasury Bills - 1.2%
|
Par
|
|||||||
5.30%, 06/18/2024(k)
|
30,000,000
|
29,934,250
|
||||||
5.31%, 07/11/2024(k)
|
25,000,000
|
24,861,029
|
||||||
5.25%, 08/22/2024(k)
|
30,000,000
|
29,650,611
|
||||||
84,445,890
|
||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $114,370,006)
|
114,384,854
|
|||||||
TOTAL INVESTMENTS - 98.9% (Cost $7,631,585,920)
|
$
|
7,105,648,667
|
||||||
Other Assets in Excess of Liabilities - 1.1%
|
79,001,441
|
|||||||
TOTAL NET ASSETS - 100.0%
|
$
|
7,184,650,108
|
Percentages are stated as a percent of net assets.
|
|
The Global Industry Classification Standard ("GICS®") was developed by and/or is the exclusive property of MSCI,
Inc. ("MSCI") and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S.
Bank Global Fund Services.
|
AG - Aktiengesellschaft
|
CMT - Constant Maturity Treasury Rate
|
NV - Naamloze Vennootschap
|
PLC - Public Limited Company
|
PO Principal Only
|
REIT - Real Estate Investment Trust
|
SOFR - Secured Overnight Financing Rate
|
(a)
|
Zero coupon bonds make no periodic interest payments.
|
(b)
|
Represents less than 0.05% of net assets.
|
(c)
|
Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their
description. The rate disclosed is as of May 31, 2024.
|
(d)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified
institutional investors. As of May 31, 2024, the value of these securities total $1,497,597,360 or 20.8% of the Fund’s net assets.
|
(e)
|
Issuer is currently in default.
|
(f)
|
Interest only security.
|
(g)
|
Step coupon bond. The rate disclosed is as of May 31, 2024.
|
(h)
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope.
Interest rate may also be subject to a cap or floor.
|
(i)
|
Principal only security.
|
(j)
|
The rate shown represents the 7-day effective yield as of May 31, 2024.
|
(k)
|
The rate shown is the effective yield as of May 31, 2024.
|
Performance Trust Total Return Bond Fund
|
Notes to Schedule of Investments
|
May 31, 2024 (Unaudited)
|
Performance Trust Total Return Bond Fund
|
Notes to Schedule of Investments (Continued)
|
May 31, 2024 (Unaudited)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments:
|
||||||||||||||||
Municipal Bonds
|
$
|
–
|
$
|
1,498,232,325
|
$
|
–
|
$
|
1,498,232,325
|
||||||||
Corporate Bonds
|
–
|
1,267,118,479
|
–
|
1,267,118,479
|
||||||||||||
U.S. Treasury Securities
|
–
|
1,020,348,905
|
–
|
1,020,348,905
|
||||||||||||
Non-Agency Commercial Mortgage Backed Securities
|
–
|
980,611,951
|
–
|
980,611,951
|
||||||||||||
Asset-Backed Securities
|
–
|
975,149,843
|
–
|
975,149,843
|
||||||||||||
Collateralized Loan Obligations
|
–
|
421,073,276
|
–
|
421,073,276
|
||||||||||||
Non-Agency Residential Mortgage Backed Securities
|
–
|
416,930,694
|
–
|
416,930,694
|
||||||||||||
Agency Commercial Mortgage Backed Securities
|
–
|
403,481,624
|
–
|
403,481,624
|
||||||||||||
Agency Residential Mortgage Backed Securities
|
–
|
8,316,716
|
–
|
8,316,716
|
||||||||||||
Money Market Funds
|
29,938,964
|
–
|
–
|
29,938,964
|
||||||||||||
U.S. Treasury Bills
|
–
|
84,445,890
|
–
|
84,445,890
|
||||||||||||
Total Investments
|
$
|
29,938,964
|
$
|
7,075,709,703
|
$
|
–
|
$
|
7,105,648,667
|
||||||||
Refer to the Schedule of Investments for additional information.
|
||||||||||||||||