THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2023.
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
U.S. Treasury Obligations — 26.9%
|
||
U.S. Treasury Bonds
|
|
|
1.13%, 5/15/2040
|
5,350
|
3,172
|
4.38%, 5/15/2040
|
11,000
|
10,675
|
3.88%, 8/15/2040
|
21,115
|
19,224
|
2.25%, 5/15/2041
|
18,355
|
12,979
|
1.75%, 8/15/2041
|
980
|
631
|
2.00%, 11/15/2041
|
1,160
|
777
|
2.38%, 2/15/2042
|
48,290
|
34,395
|
2.75%, 11/15/2042
|
12,300
|
9,257
|
4.00%, 11/15/2042
|
4,400
|
4,001
|
3.63%, 8/15/2043
|
5,214
|
4,477
|
3.75%, 11/15/2043
|
238
|
208
|
3.00%, 11/15/2044
|
8,200
|
6,309
|
2.88%, 8/15/2045
|
2,795
|
2,090
|
2.25%, 8/15/2046
|
13,193
|
8,650
|
3.00%, 2/15/2047
|
548
|
415
|
3.13%, 5/15/2048
|
3,757
|
2,899
|
2.25%, 8/15/2049
|
8,965
|
5,763
|
2.38%, 11/15/2049
|
3,700
|
2,446
|
2.00%, 2/15/2050
|
5,329
|
3,221
|
1.25%, 5/15/2050
|
6,152
|
3,021
|
1.38%, 8/15/2050
|
565
|
287
|
1.63%, 11/15/2050
|
8,800
|
4,790
|
1.88%, 2/15/2051
|
18,386
|
10,691
|
2.00%, 8/15/2051
|
22,110
|
13,244
|
1.88%, 11/15/2051
|
7,225
|
4,185
|
2.25%, 2/15/2052
|
12,655
|
8,063
|
2.88%, 5/15/2052
|
2,025
|
1,487
|
U.S. Treasury Inflation Indexed Bonds
|
|
|
1.75%, 1/15/2028
|
441
|
431
|
3.63%, 4/15/2028
|
1,520
|
1,603
|
2.50%, 1/15/2029
|
430
|
436
|
U.S. Treasury Notes
|
|
|
5.00%, 10/31/2025
|
25,000
|
25,113
|
0.88%, 9/30/2026
|
8,502
|
7,703
|
1.75%, 12/31/2026
|
9,369
|
8,657
|
2.63%, 5/31/2027
|
12,000
|
11,308
|
3.25%, 6/30/2027
|
12,000
|
11,546
|
2.75%, 7/31/2027
|
7,950
|
7,509
|
3.13%, 8/31/2027
|
43,850
|
41,932
|
0.38%, 9/30/2027
|
4,690
|
4,032
|
0.75%, 1/31/2028
|
4,500
|
3,885
|
1.25%, 3/31/2028
|
9,800
|
8,605
|
3.50%, 4/30/2028
|
50,370
|
48,680
|
1.25%, 6/30/2028
|
13,470
|
11,748
|
1.00%, 7/31/2028
|
9,500
|
8,168
|
4.13%, 7/31/2028
|
38,000
|
37,684
|
1.75%, 1/31/2029
|
3,850
|
3,391
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
U.S. Treasury Obligations — continued
|
||
1.88%, 2/28/2029
|
12,700
|
11,239
|
2.88%, 4/30/2029
|
30,400
|
28,238
|
2.75%, 5/31/2029
|
130
|
120
|
3.25%, 6/30/2029
|
30,000
|
28,352
|
1.50%, 2/15/2030
|
895
|
757
|
4.88%, 10/31/2030
|
17,500
|
18,025
|
1.25%, 8/15/2031
|
1,040
|
831
|
1.38%, 11/15/2031
|
1,174
|
940
|
1.88%, 2/15/2032
|
27,100
|
22,483
|
2.88%, 5/15/2032
|
5,725
|
5,123
|
2.75%, 8/15/2032
|
26,425
|
23,336
|
U.S. Treasury STRIPS Bonds
|
|
|
2.01%, 8/15/2024 (a)
|
6,895
|
6,650
|
8.46%, 5/15/2026 (a)
|
1,500
|
1,341
|
3.97%, 8/15/2026 (a)
|
1,592
|
1,410
|
4.72%, 11/15/2040 (a)
|
5,430
|
2,370
|
4.69%, 2/15/2041 (a)
|
3,487
|
1,502
|
2.58%, 11/15/2041 (a)
|
500
|
208
|
Total U.S. Treasury Obligations
(Cost $668,362)
|
|
572,713
|
Corporate Bonds — 24.6%
|
||
Aerospace & Defense — 0.7%
|
||
Airbus SE (France) 3.95%, 4/10/2047 (b)
|
150
|
122
|
BAE Systems plc (United Kingdom)
|
|
|
1.90%, 2/15/2031 (b)
|
1,007
|
798
|
3.00%, 9/15/2050 (b)
|
502
|
324
|
Boeing Co. (The)
|
|
|
4.88%, 5/1/2025
|
605
|
599
|
2.75%, 2/1/2026
|
701
|
663
|
2.20%, 2/4/2026
|
1,385
|
1,295
|
3.10%, 5/1/2026
|
320
|
304
|
5.04%, 5/1/2027
|
960
|
954
|
3.25%, 3/1/2028
|
840
|
770
|
5.15%, 5/1/2030
|
1,540
|
1,526
|
5.71%, 5/1/2040
|
745
|
734
|
L3Harris Technologies, Inc. 5.40%, 7/31/2033
|
1,082
|
1,078
|
Leidos, Inc.
|
|
|
2.30%, 2/15/2031
|
465
|
372
|
5.75%, 3/15/2033
|
630
|
627
|
RTX Corp.
|
|
|
5.15%, 2/27/2033
|
934
|
917
|
4.50%, 6/1/2042
|
2,799
|
2,404
|
4.15%, 5/15/2045
|
543
|
432
|
4.35%, 4/15/2047
|
199
|
162
|
|
|
14,081
|
Automobile Components — 0.0% ^
|
||
Lear Corp. 2.60%, 1/15/2032
|
445
|
346
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Automobiles — 0.2%
|
||
Hyundai Capital America
|
|
|
1.80%, 10/15/2025 (b)
|
490
|
455
|
1.30%, 1/8/2026 (b)
|
425
|
387
|
1.50%, 6/15/2026 (b)
|
775
|
697
|
3.00%, 2/10/2027 (b)
|
355
|
327
|
2.38%, 10/15/2027 (b)
|
530
|
467
|
1.80%, 1/10/2028 (b)
|
805
|
688
|
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b)
|
785
|
628
|
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b)
|
378
|
324
|
|
|
3,973
|
Banks — 6.5%
|
||
ABN AMRO Bank NV (Netherlands)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 6.58%, 10/13/2026 (b) (c)
|
1,800
|
1,818
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (b) (c)
|
900
|
904
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c)
|
800
|
679
|
AIB Group plc (Ireland) (SOFR + 3.46%), 7.58%, 10/14/2026 (b) (c)
|
1,955
|
2,000
|
ANZ New Zealand Int'l Ltd. (New Zealand)
|
|
|
5.36%, 8/14/2028 (b)
|
1,070
|
1,071
|
2.55%, 2/13/2030 (b)
|
778
|
655
|
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d)
|
263
|
253
|
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b)
|
1,250
|
915
|
Banco Santander SA (Spain)
|
|
|
5.15%, 8/18/2025
|
400
|
394
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c)
|
200
|
177
|
5.59%, 8/8/2028
|
3,000
|
2,980
|
6.61%, 11/7/2028
|
1,400
|
1,450
|
Bank of America Corp.
|
|
|
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c)
|
1,700
|
1,598
|
(SOFR + 1.58%), 4.38%, 4/27/2028 (c)
|
1,500
|
1,443
|
(3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (c)
|
2,926
|
2,688
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (c)
|
1,890
|
1,861
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (c)
|
2,710
|
2,734
|
(SOFR + 2.15%), 2.59%, 4/29/2031 (c)
|
1,510
|
1,255
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (c)
|
1,120
|
891
|
(SOFR + 1.33%), 2.97%, 2/4/2033 (c)
|
435
|
355
|
(SOFR + 1.91%), 5.29%, 4/25/2034 (c)
|
2,000
|
1,923
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (c)
|
1,440
|
1,445
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
3,685
|
2,500
|
Bank of Ireland Group plc (Ireland)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (b) (c)
|
1,878
|
1,878
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c)
|
755
|
674
|
Bank of Montreal (Canada) 5.72%, 9/25/2028
|
1,660
|
1,680
|
Bank of Nova Scotia (The) (Canada) 4.85%, 2/1/2030
|
1,650
|
1,593
|
Banque Federative du Credit Mutuel SA (France)
|
|
|
5.90%, 7/13/2026 (b)
|
1,640
|
1,650
|
5.79%, 7/13/2028 (b)
|
2,405
|
2,429
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
Barclays plc (United Kingdom)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c)
|
1,452
|
1,442
|
(SOFR + 1.88%), 6.50%, 9/13/2027 (c)
|
2,840
|
2,863
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c)
|
585
|
461
|
BNP Paribas SA (France)
|
|
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c)
|
832
|
787
|
(SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c)
|
323
|
294
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c)
|
765
|
623
|
(SOFR + 1.87%), 5.89%, 12/5/2034 (b) (c)
|
1,250
|
1,246
|
BPCE SA (France)
|
|
|
4.63%, 7/11/2024 (b)
|
800
|
790
|
1.00%, 1/20/2026 (b)
|
2,205
|
2,003
|
(SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c)
|
690
|
633
|
3.38%, 12/2/2026
|
400
|
377
|
(SOFR + 2.27%), 6.71%, 10/19/2029 (b) (c)
|
1,600
|
1,633
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c)
|
730
|
560
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (c)
|
1,200
|
924
|
CaixaBank SA (Spain) (SOFR + 2.08%), 6.68%, 9/13/2027 (b) (c)
|
1,370
|
1,383
|
Citigroup, Inc.
|
|
|
4.40%, 6/10/2025
|
865
|
848
|
4.30%, 11/20/2026
|
1,200
|
1,158
|
6.63%, 1/15/2028
|
250
|
266
|
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c)
|
1,573
|
1,473
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (c)
|
885
|
701
|
(SOFR + 1.35%), 3.06%, 1/25/2033 (c)
|
719
|
590
|
(SOFR + 1.38%), 2.90%, 11/3/2042 (c)
|
298
|
203
|
Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) (d)
|
525
|
352
|
Cooperatieve Rabobank UA (Netherlands)
|
|
|
4.38%, 8/4/2025
|
783
|
759
|
3.75%, 7/21/2026
|
945
|
894
|
Credit Agricole SA (France)
|
|
|
4.38%, 3/17/2025 (b)
|
1,250
|
1,216
|
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c)
|
500
|
469
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c)
|
2,500
|
2,264
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (b) (c)
|
815
|
831
|
2.81%, 1/11/2041 (b)
|
470
|
300
|
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1
Year + 2.10%), 6.47%,
1/9/2026 (b) (c)
|
705
|
707
|
Discover Bank 4.25%, 3/13/2026
|
1,205
|
1,147
|
Federation des Caisses Desjardins du Quebec (Canada) 5.70%, 3/14/2028 (b)
|
1,280
|
1,285
|
HSBC Holdings plc (United Kingdom)
|
|
|
3.90%, 5/25/2026
|
200
|
192
|
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c)
|
939
|
910
|
(SOFR + 1.29%), 1.59%, 5/24/2027 (c)
|
550
|
496
|
(3-MONTH CME TERM SOFR + 1.81%), 4.04%, 3/13/2028 (c)
|
904
|
855
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
1,215
|
1,059
|
(SOFR + 3.35%), 7.39%, 11/3/2028 (c)
|
1,460
|
1,542
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
(SOFR + 1.29%), 2.21%, 8/17/2029 (c)
|
815
|
692
|
(SOFR + 1.95%), 2.36%, 8/18/2031 (c)
|
1,160
|
928
|
6.10%, 1/14/2042
|
700
|
743
|
ING Groep NV (Netherlands)
|
|
|
(SOFR + 1.01%), 1.73%, 4/1/2027 (c)
|
705
|
640
|
(SOFR + 1.56%), 6.08%, 9/11/2027 (c)
|
361
|
363
|
(SOFR + 2.09%), 6.11%, 9/11/2034 (c)
|
640
|
642
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 2.05%), 6.32%, 9/21/2034 (b) (c)
|
1,890
|
1,900
|
Lloyds Banking Group plc (United Kingdom)
|
|
|
4.58%, 12/10/2025
|
400
|
386
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c)
|
770
|
744
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c)
|
980
|
885
|
4.38%, 3/22/2028
|
475
|
450
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c)
|
940
|
846
|
3.75%, 7/18/2039
|
760
|
618
|
Mizuho Financial Group, Inc. (Japan)
|
|
|
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (c)
|
875
|
829
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c)
|
1,057
|
949
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (c)
|
1,550
|
1,566
|
(3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c)
|
720
|
618
|
National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 1.88%), 3.93%,
8/2/2034 (b) (c) (d)
|
1,025
|
898
|
NatWest Group plc (United Kingdom)
|
|
|
(3-MONTH SOFR + 1.76%), 4.27%, 3/22/2025 (c)
|
1,480
|
1,471
|
4.80%, 4/5/2026
|
2,010
|
1,971
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c)
|
670
|
687
|
(3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (c)
|
690
|
660
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c)
|
900
|
866
|
(3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (c)
|
905
|
866
|
(3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (c)
|
1,240
|
1,144
|
NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b)
|
435
|
390
|
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b)
|
865
|
860
|
Santander UK Group Holdings plc (United Kingdom)
|
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (c)
|
3,355
|
3,383
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (c)
|
2,100
|
2,118
|
Societe Generale SA (France)
|
|
|
5.00%, 1/17/2024 (b)
|
370
|
369
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c)
|
3,947
|
3,572
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c)
|
395
|
353
|
3.00%, 1/22/2030 (b)
|
235
|
197
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c)
|
1,915
|
1,500
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (c)
|
755
|
496
|
Standard Chartered plc (United Kingdom)
|
|
|
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (b) (c)
|
570
|
547
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c)
|
485
|
438
|
(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (c)
|
200
|
182
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
|
|
2.63%, 7/14/2026
|
872
|
813
|
5.52%, 1/13/2028
|
1,480
|
1,487
|
3.04%, 7/16/2029
|
1,315
|
1,159
|
5.71%, 1/13/2030
|
1,480
|
1,492
|
5.81%, 9/14/2033
|
800
|
813
|
Swedbank AB (Sweden) 6.14%, 9/12/2026 (b)
|
1,410
|
1,417
|
Toronto-Dominion Bank (The) (Canada)
|
|
|
5.53%, 7/17/2026
|
1,305
|
1,312
|
5.16%, 1/10/2028
|
600
|
595
|
5.52%, 7/17/2028
|
490
|
493
|
Truist Financial Corp.
|
|
|
4.00%, 5/1/2025
|
265
|
258
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (c)
|
720
|
721
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
1,060
|
1,108
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
765
|
704
|
UniCredit SpA (Italy)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c)
|
905
|
840
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c)
|
665
|
599
|
Wells Fargo & Co.
|
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
4,000
|
3,994
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (c)
|
570
|
587
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (c)
|
2,355
|
2,294
|
(SOFR + 2.06%), 6.49%, 10/23/2034 (c)
|
390
|
407
|
4.65%, 11/4/2044
|
1,180
|
973
|
4.40%, 6/14/2046
|
300
|
234
|
Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 (d)
|
882
|
569
|
|
|
138,065
|
Beverages — 0.2%
|
||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
|
2,583
|
2,461
|
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044
|
70
|
62
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.44%, 10/6/2048
|
780
|
679
|
Coca-Cola Femsa SAB de CV (Mexico)
|
|
|
2.75%, 1/22/2030
|
357
|
308
|
1.85%, 9/1/2032
|
675
|
510
|
Constellation Brands, Inc.
|
|
|
4.75%, 5/9/2032
|
300
|
287
|
5.25%, 11/15/2048
|
220
|
205
|
Molson Coors Beverage Co. 4.20%, 7/15/2046
|
1,047
|
830
|
|
|
5,342
|
Biotechnology — 0.5%
|
||
AbbVie, Inc.
|
|
|
4.05%, 11/21/2039
|
4,909
|
4,219
|
4.63%, 10/1/2042
|
480
|
423
|
4.40%, 11/6/2042
|
790
|
693
|
4.45%, 5/14/2046
|
190
|
166
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Biotechnology — continued
|
||
Amgen, Inc.
|
|
|
5.25%, 3/2/2033
|
1,535
|
1,519
|
4.66%, 6/15/2051
|
1,300
|
1,113
|
3.00%, 1/15/2052
|
845
|
547
|
5.65%, 3/2/2053
|
825
|
814
|
Gilead Sciences, Inc. 2.60%, 10/1/2040
|
1,225
|
843
|
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
|
1,270
|
1,008
|
|
|
11,345
|
Broadline Retail — 0.0% ^
|
||
Amazon.com, Inc. 3.88%, 8/22/2037
|
1,100
|
980
|
Building Products — 0.1%
|
||
Masco Corp.
|
|
|
2.00%, 10/1/2030
|
340
|
268
|
6.50%, 8/15/2032
|
600
|
625
|
Trane Technologies Financing Ltd. 5.25%, 3/3/2033
|
650
|
646
|
|
|
1,539
|
Capital Markets — 2.1%
|
||
Bank of New York Mellon Corp. (The)
|
|
|
(SOFR + 1.60%), 6.32%, 10/25/2029 (c)
|
1,200
|
1,245
|
(SOFR + 1.85%), 6.47%, 10/25/2034 (c)
|
1,000
|
1,057
|
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b)
|
429
|
335
|
Brookfield Finance, Inc. (Canada)
|
|
|
3.90%, 1/25/2028
|
337
|
317
|
4.85%, 3/29/2029
|
411
|
396
|
4.70%, 9/20/2047
|
88
|
71
|
Credit Suisse AG (Switzerland)
|
|
|
3.63%, 9/9/2024
|
402
|
394
|
7.95%, 1/9/2025
|
1,718
|
1,751
|
1.25%, 8/7/2026
|
2,095
|
1,862
|
Deutsche Bank AG (Germany)
|
|
|
(SOFR + 1.87%), 2.13%, 11/24/2026 (c)
|
1,780
|
1,631
|
(SOFR + 2.52%), 7.15%, 7/13/2027 (c)
|
645
|
658
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (c)
|
1,300
|
1,162
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (c)
|
445
|
453
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (c)
|
410
|
418
|
FMR LLC 6.45%, 11/15/2039 (b)
|
500
|
507
|
Goldman Sachs Group, Inc. (The)
|
|
|
4.25%, 10/21/2025
|
1,415
|
1,378
|
(SOFR + 1.08%), 5.80%, 8/10/2026 (c)
|
1,200
|
1,201
|
3.50%, 11/16/2026
|
469
|
447
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (c)
|
2,900
|
2,631
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (c)
|
780
|
700
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
1,260
|
1,148
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (c)
|
1,350
|
1,398
|
(SOFR + 1.09%), 1.99%, 1/27/2032 (c)
|
880
|
683
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
1,000
|
806
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Capital Markets — continued
|
||
(SOFR + 1.25%), 2.38%, 7/21/2032 (c)
|
2,255
|
1,776
|
6.75%, 10/1/2037
|
685
|
720
|
Jefferies Financial Group, Inc. 6.45%, 6/8/2027
|
749
|
764
|
Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 1.70%), 3.05%,
3/3/2036 (b) (c) (d)
|
575
|
441
|
Macquarie Group Ltd. (Australia)
|
|
|
(SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c)
|
510
|
462
|
(3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (b) (c)
|
700
|
676
|
Morgan Stanley
|
|
|
3.63%, 1/20/2027
|
2,470
|
2,360
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (c)
|
1,975
|
1,942
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (c)
|
1,965
|
1,958
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
1,740
|
1,333
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (c)
|
1,820
|
1,765
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c)
|
1,265
|
1,107
|
4.30%, 1/27/2045
|
485
|
407
|
Nasdaq, Inc. 5.55%, 2/15/2034
|
450
|
450
|
Nomura Holdings, Inc. (Japan)
|
|
|
2.65%, 1/16/2025
|
1,094
|
1,054
|
2.68%, 7/16/2030
|
700
|
575
|
UBS Group AG (Switzerland)
|
|
|
(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c)
|
691
|
671
|
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c)
|
490
|
461
|
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (c)
|
900
|
902
|
4.28%, 1/9/2028 (b)
|
1,162
|
1,098
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c)
|
1,200
|
1,105
|
|
|
44,676
|
Chemicals — 0.1%
|
||
Albemarle Corp. 5.45%, 12/1/2044
|
150
|
131
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038
|
980
|
953
|
Nutrien Ltd. (Canada)
|
|
|
4.20%, 4/1/2029
|
175
|
166
|
4.13%, 3/15/2035
|
455
|
393
|
5.00%, 4/1/2049
|
230
|
198
|
Union Carbide Corp. 7.75%, 10/1/2096
|
850
|
999
|
|
|
2,840
|
Commercial Services & Supplies — 0.0% ^
|
||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
365
|
209
|
Construction & Engineering — 0.1%
|
||
Quanta Services, Inc.
|
|
|
2.90%, 10/1/2030
|
1,440
|
1,213
|
2.35%, 1/15/2032
|
1,095
|
857
|
|
|
2,070
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Construction Materials — 0.1%
|
||
CRH America, Inc.
|
|
|
3.88%, 5/18/2025 (b)
|
417
|
405
|
5.13%, 5/18/2045 (b)
|
893
|
830
|
Martin Marietta Materials, Inc. 3.45%, 6/1/2027
|
770
|
722
|
|
|
1,957
|
Consumer Finance — 1.3%
|
||
AerCap Ireland Capital DAC (Ireland)
|
|
|
6.50%, 7/15/2025
|
246
|
247
|
1.75%, 1/30/2026
|
860
|
786
|
2.45%, 10/29/2026
|
1,560
|
1,421
|
6.10%, 1/15/2027
|
1,560
|
1,568
|
6.45%, 4/15/2027 (b)
|
586
|
594
|
3.00%, 10/29/2028
|
690
|
608
|
3.30%, 1/30/2032
|
655
|
543
|
American Express Co. 5.85%, 11/5/2027
|
1,470
|
1,510
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
5.25%, 5/15/2024 (b)
|
1,540
|
1,530
|
2.88%, 2/15/2025 (b)
|
450
|
430
|
5.50%, 1/15/2026 (b)
|
1,000
|
980
|
2.13%, 2/21/2026 (b)
|
620
|
564
|
4.25%, 4/15/2026 (b)
|
1,200
|
1,141
|
4.38%, 5/1/2026 (b)
|
820
|
781
|
2.53%, 11/18/2027 (b)
|
7,294
|
6,303
|
Capital One Financial Corp.
|
|
|
4.20%, 10/29/2025
|
250
|
240
|
(SOFR + 2.64%), 6.31%, 6/8/2029 (c)
|
780
|
775
|
(SOFR + 1.27%), 2.62%, 11/2/2032 (c)
|
920
|
690
|
General Motors Financial Co., Inc.
|
|
|
1.20%, 10/15/2024
|
470
|
451
|
3.80%, 4/7/2025
|
685
|
666
|
1.25%, 1/8/2026
|
1,781
|
1,620
|
2.35%, 1/8/2031
|
520
|
414
|
2.70%, 6/10/2031
|
1,340
|
1,076
|
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b)
|
445
|
448
|
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (b)
|
1,626
|
1,622
|
|
|
27,008
|
Consumer Staples Distribution & Retail — 0.1%
|
||
7-Eleven, Inc.
|
|
|
1.80%, 2/10/2031 (b)
|
560
|
438
|
2.50%, 2/10/2041 (b)
|
574
|
368
|
Alimentation Couche-Tard, Inc. (Canada) 3.63%, 5/13/2051 (b)
|
1,420
|
936
|
Kroger Co. (The) 5.00%, 4/15/2042
|
1,100
|
957
|
|
|
2,699
|
Containers & Packaging — 0.1%
|
||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b)
|
1,246
|
1,125
|
Packaging Corp. of America 4.05%, 12/15/2049
|
845
|
635
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Containers & Packaging — continued
|
||
WRKCo, Inc.
|
|
|
3.75%, 3/15/2025
|
400
|
389
|
3.90%, 6/1/2028
|
170
|
159
|
|
|
2,308
|
Diversified Consumer Services — 0.0% ^
|
||
Pepperdine University Series 2020, 3.30%, 12/1/2059
|
600
|
380
|
University of Miami Series 2022, 4.06%, 4/1/2052
|
480
|
381
|
University of Southern California Series A, 3.23%, 10/1/2120
|
570
|
322
|
|
|
1,083
|
Diversified REITs — 0.2%
|
||
Safehold GL Holdings LLC 2.80%, 6/15/2031
|
2,940
|
2,288
|
WP Carey, Inc.
|
|
|
4.25%, 10/1/2026
|
350
|
337
|
2.25%, 4/1/2033
|
1,180
|
872
|
|
|
3,497
|
Diversified Telecommunication Services — 0.4%
|
||
AT&T, Inc.
|
|
|
1.65%, 2/1/2028
|
250
|
218
|
2.75%, 6/1/2031
|
1,900
|
1,598
|
3.50%, 6/1/2041
|
1,646
|
1,223
|
3.55%, 9/15/2055
|
2,984
|
1,967
|
Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b)
|
335
|
249
|
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b)
|
232
|
210
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
591
|
625
|
Verizon Communications, Inc.
|
|
|
2.65%, 11/20/2040
|
988
|
672
|
3.40%, 3/22/2041
|
1,060
|
802
|
3.70%, 3/22/2061
|
1,045
|
739
|
|
|
8,303
|
Electric Utilities — 2.6%
|
||
Alabama Power Co. 6.13%, 5/15/2038
|
239
|
246
|
Arizona Public Service Co. 5.05%, 9/1/2041
|
200
|
175
|
Baltimore Gas and Electric Co.
|
|
|
3.50%, 8/15/2046
|
376
|
265
|
2.90%, 6/15/2050
|
450
|
283
|
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037
|
950
|
997
|
Duke Energy Carolinas LLC 4.25%, 12/15/2041
|
129
|
107
|
Duke Energy Corp.
|
|
|
3.75%, 9/1/2046
|
985
|
713
|
6.10%, 9/15/2053
|
1,360
|
1,381
|
Duke Energy Florida LLC 5.95%, 11/15/2052
|
1,414
|
1,450
|
Duke Energy Progress LLC
|
|
|
4.10%, 5/15/2042
|
273
|
222
|
4.10%, 3/15/2043
|
125
|
100
|
2.90%, 8/15/2051
|
820
|
505
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b)
|
750
|
684
|
Edison International 6.95%, 11/15/2029
|
1,020
|
1,080
|
Emera US Finance LP (Canada) 4.75%, 6/15/2046
|
700
|
538
|
Entergy Arkansas LLC 2.65%, 6/15/2051
|
415
|
238
|
Entergy Corp. 2.95%, 9/1/2026
|
336
|
314
|
Entergy Louisiana LLC
|
|
|
3.05%, 6/1/2031
|
629
|
533
|
2.90%, 3/15/2051
|
490
|
301
|
Entergy Texas, Inc. 5.80%, 9/1/2053
|
450
|
446
|
Evergy Metro, Inc. 5.30%, 10/1/2041
|
1,400
|
1,310
|
Evergy, Inc. 2.90%, 9/15/2029
|
985
|
859
|
Exelon Corp. 5.30%, 3/15/2033
|
1,000
|
986
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
2,405
|
2,215
|
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b)
|
240
|
194
|
Fortis, Inc. (Canada) 3.06%, 10/4/2026
|
500
|
468
|
ITC Holdings Corp.
|
|
|
4.95%, 9/22/2027 (b)
|
1,565
|
1,544
|
2.95%, 5/14/2030 (b)
|
440
|
375
|
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b)
|
560
|
543
|
MidAmerican Energy Co. 5.85%, 9/15/2054
|
620
|
634
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b)
|
315
|
298
|
Monongahela Power Co. 5.85%, 2/15/2034 (b)
|
420
|
422
|
Nevada Power Co.
|
|
|
Series N, 6.65%, 4/1/2036
|
100
|
105
|
5.45%, 5/15/2041
|
305
|
284
|
6.00%, 3/15/2054
|
560
|
568
|
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025
|
2,160
|
2,161
|
Niagara Mohawk Power Corp. 1.96%, 6/27/2030 (b)
|
1,000
|
799
|
NRG Energy, Inc.
|
|
|
2.00%, 12/2/2025 (b)
|
710
|
653
|
2.45%, 12/2/2027 (b)
|
795
|
697
|
4.45%, 6/15/2029 (b)
|
615
|
558
|
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029
|
110
|
113
|
Pacific Gas and Electric Co.
|
|
|
3.45%, 7/1/2025
|
795
|
762
|
2.95%, 3/1/2026
|
2,560
|
2,390
|
6.40%, 6/15/2033
|
710
|
718
|
4.20%, 6/1/2041
|
695
|
514
|
3.75%, 8/15/2042 (e)
|
308
|
212
|
4.30%, 3/15/2045
|
525
|
378
|
6.75%, 1/15/2053
|
70
|
71
|
PECO Energy Co. 2.80%, 6/15/2050
|
410
|
254
|
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)
|
150
|
137
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
316
|
333
|
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047
|
1,360
|
1,315
|
PG&E Wildfire Recovery Funding LLC
|
|
|
Series A-2, 4.26%, 6/1/2036
|
640
|
584
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Series A-4, 5.21%, 12/1/2047
|
420
|
390
|
Series A-5, 5.10%, 6/1/2052
|
795
|
733
|
PNM Energy Transition Bond Co. I LLC Series A-2, 6.03%, 8/15/2048
|
2,605
|
2,678
|
Potomac Electric Power Co. 6.50%, 11/15/2037
|
1,085
|
1,171
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
890
|
847
|
Progress Energy, Inc. 7.00%, 10/30/2031
|
300
|
328
|
Public Service Co. of Colorado 3.55%, 6/15/2046
|
214
|
147
|
Public Service Co. of Oklahoma
|
|
|
5.25%, 1/15/2033
|
970
|
938
|
Series G, 6.63%, 11/15/2037
|
2,490
|
2,615
|
Public Service Electric and Gas Co. 5.38%, 11/1/2039
|
317
|
302
|
SCE Recovery Funding LLC
|
|
|
Series A-1, 4.70%, 6/15/2040
|
1,060
|
1,000
|
Series A-2, 5.11%, 12/15/2047
|
505
|
460
|
Sierra Pacific Power Co. 5.90%, 3/15/2054 (b)
|
1,030
|
1,014
|
Sigeco Securitization I LLC
|
|
|
Series A1, 5.03%, 11/15/2036
|
923
|
896
|
Series A2, 5.17%, 5/15/2041
|
107
|
99
|
Southern California Edison Co.
|
|
|
5.85%, 11/1/2027
|
1,695
|
1,738
|
Series B, 3.65%, 3/1/2028
|
400
|
374
|
Series 08-A, 5.95%, 2/1/2038
|
200
|
199
|
4.05%, 3/15/2042
|
552
|
428
|
5.88%, 12/1/2053
|
1,566
|
1,553
|
Southern Co. (The) 5.70%, 3/15/2034
|
720
|
734
|
Southwestern Public Service Co. 4.50%, 8/15/2041
|
200
|
167
|
Toledo Edison Co. (The) 6.15%, 5/15/2037
|
300
|
306
|
Virginia Electric and Power Co. 5.70%, 8/15/2053
|
2,120
|
2,083
|
|
|
55,232
|
Electrical Equipment — 0.0% ^
|
||
Eaton Corp. 4.15%, 3/15/2033
|
170
|
159
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
Arrow Electronics, Inc. 3.88%, 1/12/2028
|
442
|
412
|
Corning, Inc. 3.90%, 11/15/2049
|
1,043
|
771
|
|
|
1,183
|
Energy Equipment & Services — 0.1%
|
||
Halliburton Co. 4.75%, 8/1/2043
|
540
|
477
|
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b)
|
1,126
|
1,069
|
|
|
1,546
|
Financial Services — 0.3%
|
||
Corebridge Financial, Inc.
|
|
|
3.65%, 4/5/2027
|
770
|
723
|
3.85%, 4/5/2029
|
545
|
499
|
Element Fleet Management Corp. (Canada) 6.32%, 12/4/2028 (b)
|
1,010
|
1,020
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Financial Services — continued
|
||
Fiserv, Inc.
|
|
|
3.20%, 7/1/2026
|
395
|
375
|
4.40%, 7/1/2049
|
375
|
308
|
Global Payments, Inc.
|
|
|
3.20%, 8/15/2029
|
945
|
833
|
5.30%, 8/15/2029
|
371
|
364
|
2.90%, 5/15/2030
|
273
|
232
|
2.90%, 11/15/2031
|
522
|
429
|
Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b)
|
1,000
|
892
|
Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b)
|
513
|
448
|
|
|
6,123
|
Food Products — 0.4%
|
||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031
|
1,565
|
1,323
|
Campbell Soup Co. 3.13%, 4/24/2050
|
315
|
202
|
Conagra Brands, Inc. 5.30%, 11/1/2038
|
220
|
200
|
J M Smucker Co. (The) 6.20%, 11/15/2033
|
525
|
548
|
JBS USA LUX SA 6.75%, 3/15/2034 (b)
|
1,450
|
1,458
|
Kellanova 5.25%, 3/1/2033
|
1,109
|
1,079
|
Kraft Heinz Foods Co.
|
|
|
4.63%, 10/1/2039
|
850
|
743
|
4.38%, 6/1/2046
|
629
|
514
|
Smithfield Foods, Inc. 3.00%, 10/15/2030 (b)
|
1,500
|
1,186
|
Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (b)
|
1,500
|
1,247
|
|
|
8,500
|
Gas Utilities — 0.2%
|
||
Atmos Energy Corp.
|
|
|
4.15%, 1/15/2043
|
828
|
687
|
4.13%, 10/15/2044
|
125
|
105
|
Boston Gas Co. 4.49%, 2/15/2042 (b)
|
308
|
246
|
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b)
|
440
|
317
|
Southern California Gas Co. 6.35%, 11/15/2052
|
1,370
|
1,465
|
Southern Natural Gas Co. LLC
|
|
|
8.00%, 3/1/2032
|
351
|
398
|
4.80%, 3/15/2047 (b)
|
367
|
289
|
|
|
3,507
|
Ground Transportation — 0.3%
|
||
Burlington Northern Santa Fe LLC
|
|
|
5.75%, 5/1/2040
|
425
|
440
|
4.38%, 9/1/2042
|
375
|
324
|
5.15%, 9/1/2043
|
769
|
736
|
3.55%, 2/15/2050
|
465
|
345
|
Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048
|
712
|
607
|
CSX Corp.
|
|
|
4.10%, 3/15/2044
|
190
|
154
|
3.35%, 9/15/2049
|
95
|
66
|
Norfolk Southern Corp. 4.05%, 8/15/2052
|
600
|
465
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Ground Transportation — continued
|
||
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (b)
|
1,220
|
1,229
|
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b)
|
1,105
|
1,075
|
|
|
5,441
|
Health Care Equipment & Supplies — 0.1%
|
||
Abbott Laboratories 4.75%, 11/30/2036
|
380
|
372
|
Becton Dickinson & Co. 4.67%, 6/6/2047
|
365
|
319
|
Boston Scientific Corp. 6.50%, 11/15/2035 (e)
|
900
|
975
|
DH Europe Finance II SARL 3.25%, 11/15/2039
|
1,000
|
774
|
|
|
2,440
|
Health Care Providers & Services — 0.8%
|
||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030
|
710
|
589
|
Aetna, Inc. 6.75%, 12/15/2037
|
440
|
470
|
Ascension Health Series B, 2.53%, 11/15/2029
|
430
|
374
|
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050
|
800
|
516
|
Children's Hospital Series 2020, 2.93%, 7/15/2050
|
650
|
399
|
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050
|
580
|
352
|
CommonSpirit Health
|
|
|
1.55%, 10/1/2025
|
555
|
513
|
2.78%, 10/1/2030
|
550
|
455
|
3.91%, 10/1/2050
|
545
|
392
|
CVS Health Corp.
|
|
|
4.30%, 3/25/2028
|
171
|
165
|
5.25%, 2/21/2033
|
1,400
|
1,376
|
5.05%, 3/25/2048
|
1,750
|
1,534
|
Elevance Health, Inc.
|
|
|
4.63%, 5/15/2042
|
500
|
437
|
4.65%, 1/15/2043
|
535
|
467
|
4.65%, 8/15/2044
|
100
|
87
|
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041
|
1,430
|
955
|
HCA, Inc.
|
|
|
5.25%, 6/15/2026
|
1,680
|
1,666
|
5.13%, 6/15/2039
|
725
|
651
|
5.50%, 6/15/2047
|
650
|
584
|
3.50%, 7/15/2051
|
414
|
271
|
Mayo Clinic Series 2016, 4.13%, 11/15/2052
|
225
|
185
|
Memorial Health Services 3.45%, 11/1/2049
|
1,340
|
952
|
Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055
|
200
|
161
|
MyMichigan Health Series 2020, 3.41%, 6/1/2050
|
310
|
209
|
Texas Health Resources 4.33%, 11/15/2055
|
300
|
251
|
UnitedHealth Group, Inc.
|
|
|
3.50%, 8/15/2039
|
815
|
653
|
3.25%, 5/15/2051
|
560
|
394
|
5.88%, 2/15/2053
|
650
|
691
|
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050
|
780
|
439
|
|
|
16,188
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care REITs — 0.2%
|
||
Healthcare Realty Holdings LP
|
|
|
3.10%, 2/15/2030
|
1,604
|
1,361
|
2.00%, 3/15/2031
|
610
|
471
|
Healthpeak OP LLC
|
|
|
3.40%, 2/1/2025
|
17
|
16
|
3.50%, 7/15/2029
|
772
|
693
|
Physicians Realty LP 2.63%, 11/1/2031
|
505
|
399
|
Sabra Health Care LP 3.20%, 12/1/2031
|
825
|
645
|
Ventas Realty LP
|
|
|
3.50%, 2/1/2025
|
242
|
235
|
4.13%, 1/15/2026
|
114
|
110
|
3.25%, 10/15/2026
|
292
|
273
|
3.85%, 4/1/2027
|
554
|
522
|
Welltower OP LLC 6.50%, 3/15/2041
|
350
|
361
|
|
|
5,086
|
Hotels, Restaurants & Leisure — 0.1%
|
||
McDonald's Corp.
|
|
|
4.70%, 12/9/2035
|
700
|
662
|
5.45%, 8/14/2053
|
1,060
|
1,045
|
|
|
1,707
|
Household Durables — 0.0% ^
|
||
MDC Holdings, Inc. 3.97%, 8/6/2061
|
1,100
|
652
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
Alexander Funding Trust II 7.47%, 7/31/2028 (b)
|
1,280
|
1,312
|
Constellation Energy Generation LLC
|
|
|
5.80%, 3/1/2033
|
1,269
|
1,276
|
5.75%, 10/1/2041
|
235
|
220
|
6.50%, 10/1/2053
|
1,190
|
1,244
|
|
|
4,052
|
Industrial REITs — 0.0% ^
|
||
Prologis LP
|
|
|
2.88%, 11/15/2029
|
380
|
333
|
3.00%, 4/15/2050
|
905
|
579
|
|
|
912
|
Insurance — 0.7%
|
||
AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b)
|
520
|
367
|
AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)
|
520
|
554
|
Athene Global Funding
|
|
|
2.50%, 1/14/2025 (b)
|
239
|
229
|
1.45%, 1/8/2026 (b)
|
865
|
785
|
2.95%, 11/12/2026 (b)
|
3,475
|
3,179
|
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052
|
845
|
661
|
Brown & Brown, Inc. 2.38%, 3/15/2031
|
1,830
|
1,457
|
F&G Global Funding 1.75%, 6/30/2026 (b)
|
750
|
668
|
Fidelity & Guaranty Life Holdings, Inc. 5.50%, 5/1/2025 (b)
|
650
|
640
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Insurance — continued
|
||
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b)
|
208
|
162
|
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030
|
500
|
391
|
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043
|
400
|
323
|
Liberty Mutual Group, Inc.
|
|
|
4.57%, 2/1/2029 (b)
|
408
|
391
|
3.95%, 10/15/2050 (b)
|
900
|
630
|
Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b)
|
100
|
102
|
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b)
|
795
|
683
|
Pacific Life Global Funding II 5.50%, 8/28/2026 (b)
|
1,015
|
1,023
|
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (b) (c)
|
266
|
198
|
Pricoa Global Funding I 5.55%, 8/28/2026 (b)
|
900
|
907
|
Prudential Financial, Inc. 3.91%, 12/7/2047
|
300
|
228
|
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)
|
1,750
|
1,797
|
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note
Constant Maturity 5 Year + 3.58%),
5.00%, 4/2/2049 (b) (c)
|
200
|
187
|
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b)
|
400
|
323
|
|
|
15,885
|
Interactive Media & Services — 0.1%
|
||
Meta Platforms, Inc. 5.60%, 5/15/2053
|
1,350
|
1,372
|
IT Services — 0.1%
|
||
CGI, Inc. (Canada)
|
|
|
1.45%, 9/14/2026
|
843
|
754
|
2.30%, 9/14/2031
|
1,515
|
1,186
|
|
|
1,940
|
Machinery — 0.2%
|
||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028
|
450
|
429
|
Otis Worldwide Corp.
|
|
|
5.25%, 8/16/2028
|
1,280
|
1,286
|
2.57%, 2/15/2030
|
1,430
|
1,224
|
Parker-Hannifin Corp. 4.45%, 11/21/2044
|
592
|
499
|
|
|
3,438
|
Media — 0.6%
|
||
Charter Communications Operating LLC
|
|
|
4.20%, 3/15/2028
|
2,000
|
1,882
|
6.38%, 10/23/2035
|
528
|
518
|
4.80%, 3/1/2050
|
1,475
|
1,097
|
3.70%, 4/1/2051
|
1,120
|
693
|
Comcast Corp.
|
|
|
3.25%, 11/1/2039
|
1,715
|
1,304
|
3.45%, 2/1/2050
|
609
|
436
|
2.89%, 11/1/2051
|
1,086
|
684
|
5.35%, 5/15/2053
|
1,160
|
1,120
|
2.94%, 11/1/2056
|
1,729
|
1,057
|
2.99%, 11/1/2063
|
259
|
154
|
Cox Communications, Inc. 2.95%, 10/1/2050 (b)
|
635
|
374
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
Discovery Communications LLC
|
|
|
5.20%, 9/20/2047
|
175
|
142
|
4.00%, 9/15/2055
|
784
|
519
|
Paramount Global
|
|
|
2.90%, 1/15/2027
|
416
|
377
|
4.85%, 7/1/2042
|
140
|
101
|
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033
|
700
|
785
|
Time Warner Cable LLC
|
|
|
6.55%, 5/1/2037
|
400
|
378
|
5.50%, 9/1/2041
|
359
|
297
|
|
|
11,918
|
Metals & Mining — 0.2%
|
||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035
|
295
|
310
|
BHP Billiton Finance USA Ltd. (Australia) 5.25%, 9/8/2030
|
1,800
|
1,817
|
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025
|
2,500
|
2,320
|
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030
|
675
|
593
|
|
|
5,040
|
Multi-Utilities — 0.3%
|
||
CMS Energy Corp. 3.00%, 5/15/2026
|
475
|
448
|
Consolidated Edison Co. of New York, Inc. 6.15%, 11/15/2052
|
1,090
|
1,147
|
Delmarva Power & Light Co. 4.00%, 6/1/2042
|
235
|
179
|
Dominion Energy, Inc. Series F, 5.25%, 8/1/2033
|
920
|
891
|
NiSource, Inc. 1.70%, 2/15/2031
|
740
|
575
|
San Diego Gas & Electric Co.
|
|
|
3.95%, 11/15/2041
|
379
|
295
|
2.95%, 8/15/2051
|
1,050
|
665
|
Southern Co. Gas Capital Corp.
|
|
|
3.25%, 6/15/2026
|
254
|
242
|
5.75%, 9/15/2033
|
760
|
769
|
Series 21A, 3.15%, 9/30/2051
|
420
|
261
|
|
|
5,472
|
Office REITs — 0.1%
|
||
Alexandria Real Estate Equities, Inc.
|
|
|
3.80%, 4/15/2026
|
135
|
130
|
2.00%, 5/18/2032
|
980
|
740
|
4.00%, 2/1/2050
|
653
|
475
|
Corporate Office Properties LP 2.00%, 1/15/2029
|
335
|
265
|
|
|
1,610
|
Oil, Gas & Consumable Fuels — 1.2%
|
||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b)
|
335
|
305
|
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b)
|
732
|
698
|
BP Capital Markets America, Inc. 2.94%, 6/4/2051
|
1,995
|
1,291
|
Cameron LNG LLC 3.70%, 1/15/2039 (b)
|
961
|
761
|
Coterra Energy, Inc. 3.90%, 5/15/2027
|
935
|
891
|
DT Midstream, Inc. 4.30%, 4/15/2032 (b)
|
900
|
780
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049
|
807
|
563
|
Ecopetrol SA (Colombia) 4.13%, 1/16/2025
|
533
|
518
|
Enbridge, Inc. (Canada) 5.70%, 3/8/2033
|
1,090
|
1,090
|
Energy Transfer LP
|
|
|
4.75%, 1/15/2026
|
917
|
901
|
3.90%, 7/15/2026
|
244
|
234
|
5.50%, 6/1/2027
|
115
|
115
|
4.95%, 5/15/2028
|
325
|
317
|
4.15%, 9/15/2029
|
1,444
|
1,339
|
6.10%, 2/15/2042
|
400
|
378
|
5.30%, 4/1/2044
|
170
|
148
|
6.25%, 4/15/2049
|
800
|
787
|
Eni SpA (Italy) 5.70%, 10/1/2040 (b)
|
925
|
830
|
Exxon Mobil Corp.
|
|
|
3.00%, 8/16/2039
|
895
|
679
|
3.57%, 3/6/2045
|
1,215
|
944
|
Flex Intermediate Holdco LLC
|
|
|
3.36%, 6/30/2031 (b)
|
1,425
|
1,115
|
4.32%, 12/30/2039 (b)
|
545
|
377
|
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b)
|
1,026
|
805
|
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b)
|
2,450
|
2,294
|
HF Sinclair Corp. 5.88%, 4/1/2026
|
577
|
580
|
Magellan Midstream Partners LP 3.20%, 3/15/2025
|
353
|
341
|
MPLX LP 4.95%, 3/14/2052
|
520
|
434
|
ONEOK Partners LP 6.65%, 10/1/2036
|
350
|
366
|
Phillips 66 Co.
|
|
|
3.15%, 12/15/2029
|
985
|
871
|
4.90%, 10/1/2046
|
300
|
263
|
Pioneer Natural Resources Co. 1.90%, 8/15/2030
|
1,050
|
861
|
Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (b)
|
278
|
258
|
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038
|
1,195
|
1,252
|
TotalEnergies Capital International SA (France)
|
|
|
2.99%, 6/29/2041
|
1,200
|
879
|
3.46%, 7/12/2049
|
815
|
600
|
3.13%, 5/29/2050
|
1,180
|
812
|
Valero Energy Corp.
|
|
|
2.15%, 9/15/2027
|
508
|
454
|
7.50%, 4/15/2032
|
175
|
196
|
|
|
26,327
|
Passenger Airlines — 0.1%
|
||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
1,615
|
1,571
|
Personal Care Products — 0.0% ^
|
||
Haleon US Capital LLC 3.38%, 3/24/2029
|
1,075
|
985
|
Pharmaceuticals — 0.3%
|
||
AstraZeneca plc (United Kingdom)
|
|
|
6.45%, 9/15/2037
|
300
|
334
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Pharmaceuticals — continued
|
||
4.00%, 9/18/2042
|
240
|
205
|
Merck & Co., Inc.
|
|
|
5.00%, 5/17/2053
|
865
|
832
|
5.15%, 5/17/2063
|
675
|
656
|
Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053
|
2,060
|
2,009
|
Royalty Pharma plc 1.20%, 9/2/2025
|
353
|
326
|
Takeda Pharmaceutical Co. Ltd. (Japan)
|
|
|
3.03%, 7/9/2040
|
1,265
|
914
|
3.18%, 7/9/2050
|
590
|
393
|
Zoetis, Inc. 2.00%, 5/15/2030
|
760
|
629
|
|
|
6,298
|
Residential REITs — 0.2%
|
||
Essex Portfolio LP 2.65%, 3/15/2032
|
2,000
|
1,593
|
Mid-America Apartments LP 3.95%, 3/15/2029
|
920
|
866
|
UDR, Inc.
|
|
|
2.95%, 9/1/2026
|
382
|
358
|
3.00%, 8/15/2031
|
305
|
257
|
2.10%, 8/1/2032
|
640
|
477
|
|
|
3,551
|
Retail REITs — 0.3%
|
||
Brixmor Operating Partnership LP
|
|
|
3.85%, 2/1/2025
|
400
|
389
|
2.25%, 4/1/2028
|
840
|
724
|
2.50%, 8/16/2031
|
425
|
335
|
NNN REIT, Inc.
|
|
|
4.00%, 11/15/2025
|
783
|
757
|
4.30%, 10/15/2028
|
620
|
584
|
5.60%, 10/15/2033
|
600
|
587
|
Realty Income Corp. 1.80%, 3/15/2033
|
530
|
387
|
Regency Centers LP 2.95%, 9/15/2029
|
745
|
649
|
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)
|
420
|
408
|
Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 4.38%), 4.75%,
9/24/2080 (b) (c)
|
635
|
584
|
SITE Centers Corp. 4.70%, 6/1/2027
|
330
|
319
|
|
|
5,723
|
Semiconductors & Semiconductor Equipment — 0.4%
|
||
Broadcom, Inc.
|
|
|
1.95%, 2/15/2028 (b)
|
2,500
|
2,194
|
3.14%, 11/15/2035 (b)
|
1,413
|
1,100
|
Intel Corp. 5.70%, 2/10/2053
|
790
|
802
|
KLA Corp. 3.30%, 3/1/2050
|
600
|
427
|
Marvell Technology, Inc. 5.75%, 2/15/2029
|
1,360
|
1,372
|
NXP BV (China)
|
|
|
2.50%, 5/11/2031
|
1,405
|
1,138
|
3.25%, 5/11/2041
|
1,445
|
1,026
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Semiconductors & Semiconductor Equipment — continued
|
||
3.25%, 11/30/2051
|
682
|
443
|
Texas Instruments, Inc. 5.05%, 5/18/2063
|
1,109
|
1,053
|
|
|
9,555
|
Software — 0.3%
|
||
Intuit, Inc.
|
|
|
5.20%, 9/15/2033
|
1,210
|
1,220
|
5.50%, 9/15/2053
|
380
|
390
|
Oracle Corp.
|
|
|
4.90%, 2/6/2033
|
1,300
|
1,251
|
3.60%, 4/1/2040
|
1,000
|
760
|
5.55%, 2/6/2053
|
920
|
867
|
4.38%, 5/15/2055
|
900
|
697
|
Roper Technologies, Inc.
|
|
|
1.40%, 9/15/2027
|
1,370
|
1,199
|
2.00%, 6/30/2030
|
570
|
468
|
VMware, Inc. 4.65%, 5/15/2027
|
550
|
538
|
|
|
7,390
|
Specialized REITs — 0.4%
|
||
American Tower Corp.
|
|
|
3.38%, 10/15/2026
|
312
|
294
|
2.10%, 6/15/2030
|
630
|
509
|
1.88%, 10/15/2030
|
1,090
|
856
|
3.10%, 6/15/2050
|
496
|
311
|
2.95%, 1/15/2051
|
324
|
200
|
Crown Castle, Inc.
|
|
|
4.00%, 3/1/2027
|
264
|
251
|
2.10%, 4/1/2031
|
2,000
|
1,571
|
Equinix, Inc. 2.90%, 11/18/2026
|
1,130
|
1,054
|
Extra Space Storage LP
|
|
|
4.00%, 6/15/2029
|
859
|
789
|
5.90%, 1/15/2031
|
1,080
|
1,083
|
2.40%, 10/15/2031
|
485
|
382
|
Public Storage Operating Co.
|
|
|
1.95%, 11/9/2028
|
615
|
531
|
2.25%, 11/9/2031
|
516
|
416
|
|
|
8,247
|
Specialty Retail — 0.1%
|
||
AutoZone, Inc. 1.65%, 1/15/2031
|
690
|
539
|
Lowe's Cos., Inc. 2.63%, 4/1/2031
|
2,760
|
2,319
|
O'Reilly Automotive, Inc. 3.60%, 9/1/2027
|
432
|
409
|
|
|
3,267
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
Apple, Inc. 4.10%, 8/8/2062
|
1,200
|
996
|
Dell International LLC
|
|
|
6.02%, 6/15/2026
|
728
|
736
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Technology Hardware, Storage & Peripherals — continued
|
||
4.90%, 10/1/2026
|
1,265
|
1,248
|
5.25%, 2/1/2028
|
1,245
|
1,248
|
3.45%, 12/15/2051
|
167
|
112
|
|
|
4,340
|
Tobacco — 0.2%
|
||
Altria Group, Inc. 2.45%, 2/4/2032
|
1,700
|
1,335
|
BAT Capital Corp. (United Kingdom)
|
|
|
2.26%, 3/25/2028
|
780
|
683
|
4.39%, 8/15/2037
|
1,730
|
1,398
|
3.73%, 9/25/2040
|
520
|
369
|
Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041
|
100
|
100
|
|
|
3,885
|
Trading Companies & Distributors — 0.2%
|
||
Air Lease Corp.
|
|
|
3.38%, 7/1/2025
|
476
|
457
|
3.75%, 6/1/2026
|
526
|
501
|
1.88%, 8/15/2026
|
960
|
868
|
5.85%, 12/15/2027
|
710
|
713
|
3.25%, 10/1/2029
|
2,080
|
1,824
|
Aviation Capital Group LLC 5.50%, 12/15/2024 (b)
|
1,047
|
1,035
|
|
|
5,398
|
Water Utilities — 0.0% ^
|
||
American Water Capital Corp. 3.45%, 5/1/2050
|
1,096
|
780
|
Wireless Telecommunication Services — 0.3%
|
||
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052
|
745
|
591
|
Sprint LLC 7.63%, 3/1/2026
|
405
|
420
|
T-Mobile USA, Inc.
|
|
|
3.88%, 4/15/2030
|
2,980
|
2,737
|
3.60%, 11/15/2060
|
915
|
610
|
Vodafone Group plc (United Kingdom)
|
|
|
4.88%, 6/19/2049
|
1,105
|
939
|
5.63%, 2/10/2053
|
250
|
238
|
|
|
5,535
|
Total Corporate Bonds
(Cost $582,745)
|
|
524,576
|
Mortgage-Backed Securities — 21.8%
|
||
FHLMC
|
|
|
Pool # 846812, ARM, 4.58%, 4/1/2030 (f)
|
2
|
2
|
Pool # 781087, ARM, 4.35%, 12/1/2033 (f)
|
82
|
81
|
Pool # 1B1665, ARM, 4.79%, 4/1/2034 (f)
|
47
|
46
|
Pool # 847356, ARM, 4.69%, 12/1/2034 (f)
|
44
|
43
|
Pool # 782979, ARM, 4.38%, 1/1/2035 (f)
|
70
|
71
|
Pool # 1Q0025, ARM, 4.65%, 2/1/2036 (f)
|
23
|
24
|
Pool # 848431, ARM, 6.19%, 2/1/2036 (f)
|
36
|
36
|
Pool # 1L1286, ARM, 5.25%, 5/1/2036 (f)
|
8
|
8
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # 848365, ARM, 5.68%, 7/1/2036 (f)
|
43
|
43
|
Pool # 1G2539, ARM, 5.84%, 10/1/2036 (f)
|
10
|
9
|
Pool # 1J1348, ARM, 6.45%, 10/1/2036 (f)
|
36
|
36
|
Pool # 1A1096, ARM, 7.55%, 10/1/2036 (f)
|
74
|
75
|
Pool # 1G2671, ARM, 4.39%, 11/1/2036 (f)
|
72
|
71
|
Pool # 782760, ARM, 6.29%, 11/1/2036 (f)
|
39
|
40
|
Pool # 1J1634, ARM, 4.99%, 12/1/2036 (f)
|
48
|
49
|
Pool # 1Q0739, ARM, 7.47%, 3/1/2037 (f)
|
42
|
42
|
Pool # 848699, ARM, 5.36%, 7/1/2040 (f)
|
74
|
75
|
FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032
|
93
|
88
|
FHLMC Gold Pools, 30 Year
|
|
|
Pool # C68485, 7.00%, 7/1/2032
|
13
|
14
|
Pool # G01448, 7.00%, 8/1/2032
|
31
|
32
|
Pool # A13625, 5.50%, 10/1/2033
|
103
|
105
|
Pool # A16107, 6.00%, 12/1/2033
|
55
|
56
|
Pool # A17537, 6.00%, 1/1/2034
|
50
|
52
|
Pool # A61572, 5.00%, 9/1/2034
|
299
|
300
|
Pool # A28796, 6.50%, 11/1/2034
|
45
|
47
|
Pool # G03369, 6.50%, 1/1/2035
|
105
|
109
|
Pool # A46987, 5.50%, 7/1/2035
|
251
|
255
|
Pool # G01919, 4.00%, 9/1/2035
|
158
|
150
|
Pool # C02641, 7.00%, 10/1/2036
|
32
|
33
|
Pool # C02660, 6.50%, 11/1/2036
|
68
|
71
|
Pool # A93383, 5.00%, 8/1/2040
|
189
|
189
|
Pool # A93511, 5.00%, 8/1/2040
|
178
|
177
|
Pool # G06493, 4.50%, 5/1/2041
|
778
|
753
|
Pool # Z40179, 4.00%, 7/1/2048
|
1,939
|
1,802
|
FHLMC Gold Pools, Other
|
|
|
Pool # P20570, 7.00%, 7/1/2029
|
29
|
29
|
Pool # G20027, 10.00%, 10/1/2030
|
1
|
1
|
Pool # U50105, 4.00%, 1/1/2032
|
266
|
247
|
Pool # U80254, 3.00%, 3/1/2033
|
195
|
182
|
Pool # P20409, 5.50%, 10/1/2033
|
44
|
43
|
Pool # U90975, 4.00%, 6/1/2042
|
810
|
759
|
Pool # U90673, 4.00%, 1/1/2043
|
217
|
203
|
Pool # U99134, 4.00%, 1/1/2046
|
4,063
|
3,806
|
Pool # U69030, 4.50%, 1/1/2046
|
1,470
|
1,413
|
Pool # RE0006, 3.50%, 1/1/2050
|
2,534
|
2,256
|
FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035
|
1,470
|
1,391
|
FHLMC UMBS, 30 Year
|
|
|
Pool # SD1076, 3.00%, 1/1/2052
|
835
|
709
|
Pool # RA6702, 3.00%, 2/1/2052
|
3,826
|
3,237
|
Pool # SD3781, 4.00%, 7/1/2052
|
3,852
|
3,501
|
Pool # QF0379, 5.00%, 8/1/2052
|
1,729
|
1,666
|
Pool # SD1725, 4.00%, 10/1/2052
|
5,247
|
4,769
|
FNMA
|
|
|
Pool # 54844, ARM, 4.34%, 9/1/2027 (f)
|
4
|
4
|
Pool # 303532, ARM, 4.49%, 3/1/2029 (f)
|
3
|
2
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # 555258, ARM, 4.65%, 1/1/2033 (f)
|
142
|
139
|
Pool # 722985, ARM, 5.90%, 7/1/2033 (f)
|
6
|
6
|
Pool # 686040, ARM, 5.96%, 7/1/2033 (f)
|
43
|
42
|
Pool # 746299, ARM, 6.06%, 9/1/2033 (f)
|
55
|
57
|
Pool # 766610, ARM, 4.75%, 1/1/2034 (f)
|
13
|
13
|
Pool # 920467, ARM, 6.50%, 2/1/2034 (f)
|
64
|
63
|
Pool # 770377, ARM, 4.39%, 4/1/2034 (f)
|
25
|
25
|
Pool # 751531, ARM, 5.33%, 5/1/2034 (f)
|
52
|
52
|
Pool # 782306, ARM, 6.17%, 7/1/2034 (f)
|
5
|
5
|
Pool # 735332, ARM, 5.56%, 8/1/2034 (f)
|
69
|
69
|
Pool # 790235, ARM, 5.86%, 8/1/2034 (f)
|
43
|
43
|
Pool # 791961, ARM, 4.69%, 9/1/2034 (f)
|
14
|
13
|
Pool # 803594, ARM, 5.83%, 10/1/2034 (f)
|
52
|
52
|
Pool # 803599, ARM, 5.83%, 10/1/2034 (f)
|
62
|
61
|
Pool # 896463, ARM, 6.30%, 10/1/2034 (f)
|
43
|
44
|
Pool # 806778, ARM, 5.52%, 11/1/2034 (f)
|
313
|
310
|
Pool # 806776, ARM, 7.42%, 11/1/2034 (f)
|
58
|
58
|
Pool # 802692, ARM, 5.00%, 1/1/2035 (f)
|
47
|
46
|
Pool # 810896, ARM, 7.21%, 1/1/2035 (f)
|
115
|
117
|
Pool # 816597, ARM, 4.04%, 2/1/2035 (f)
|
14
|
14
|
Pool # 735539, ARM, 4.71%, 4/1/2035 (f)
|
316
|
322
|
Pool # 745862, ARM, 5.26%, 4/1/2035 (f)
|
37
|
37
|
Pool # 821378, ARM, 5.04%, 5/1/2035 (f)
|
34
|
33
|
Pool # 823660, ARM, 5.13%, 5/1/2035 (f)
|
38
|
37
|
Pool # 745766, ARM, 5.42%, 6/1/2035 (f)
|
96
|
95
|
Pool # 832801, ARM, 5.89%, 9/1/2035 (f)
|
23
|
23
|
Pool # 843026, ARM, 7.29%, 9/1/2035 (f)
|
106
|
107
|
Pool # 849251, ARM, 6.83%, 1/1/2036 (f)
|
35
|
34
|
Pool # 895141, ARM, 6.94%, 7/1/2036 (f)
|
48
|
48
|
Pool # 900197, ARM, 6.32%, 10/1/2036 (f)
|
49
|
49
|
Pool # 966946, ARM, 4.29%, 1/1/2038 (f)
|
15
|
15
|
FNMA UMBS, 15 Year
|
|
|
Pool # 995381, 6.00%, 1/1/2024
|
—
|
—
|
Pool # 995425, 6.00%, 1/1/2024
|
—
|
—
|
Pool # AD0133, 5.00%, 8/1/2024
|
—
|
—
|
FNMA UMBS, 20 Year
|
|
|
Pool # 255217, 4.50%, 4/1/2024
|
—
|
—
|
Pool # 888656, 6.50%, 4/1/2025
|
1
|
1
|
Pool # MA1138, 3.50%, 8/1/2032
|
232
|
219
|
FNMA UMBS, 30 Year
|
|
|
Pool # 50966, 7.00%, 1/1/2024
|
—
|
—
|
Pool # 689977, 8.00%, 3/1/2027
|
14
|
14
|
Pool # 695533, 8.00%, 6/1/2027
|
6
|
6
|
Pool # 756024, 8.00%, 9/1/2028
|
2
|
2
|
Pool # 755973, 8.00%, 11/1/2028
|
39
|
40
|
Pool # 455759, 6.00%, 12/1/2028
|
5
|
5
|
Pool # 252211, 6.00%, 1/1/2029
|
6
|
6
|
Pool # 459097, 7.00%, 1/1/2029
|
2
|
2
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # 889020, 6.50%, 11/1/2029
|
98
|
99
|
Pool # 598559, 6.50%, 8/1/2031
|
19
|
20
|
Pool # 622542, 5.50%, 9/1/2031
|
104
|
104
|
Pool # 788150, 6.00%, 3/1/2032
|
11
|
11
|
Pool # 675555, 6.00%, 12/1/2032
|
28
|
28
|
Pool # AL0045, 6.00%, 12/1/2032
|
140
|
143
|
Pool # 674349, 6.00%, 3/1/2033
|
6
|
6
|
Pool # 688625, 6.00%, 3/1/2033
|
7
|
7
|
Pool # 688655, 6.00%, 3/1/2033
|
2
|
2
|
Pool # 695584, 6.00%, 3/1/2033
|
3
|
3
|
Pool # 702901, 6.00%, 5/1/2033
|
47
|
49
|
Pool # 723852, 5.00%, 7/1/2033
|
50
|
51
|
Pool # 729296, 5.00%, 7/1/2033
|
130
|
130
|
Pool # 729379, 6.00%, 8/1/2033
|
13
|
13
|
Pool # 737825, 6.00%, 9/1/2033
|
20
|
21
|
Pool # 750977, 4.50%, 11/1/2033
|
30
|
30
|
Pool # 725017, 5.50%, 12/1/2033
|
199
|
202
|
Pool # 751341, 5.50%, 3/1/2034
|
26
|
27
|
Pool # 888568, 5.00%, 12/1/2034
|
5
|
5
|
Pool # 815426, 4.50%, 2/1/2035
|
—
|
—
|
Pool # AD0755, 7.00%, 6/1/2035
|
1,418
|
1,479
|
Pool # 820347, 5.00%, 9/1/2035
|
38
|
38
|
Pool # 833657, 7.50%, 8/1/2036
|
16
|
17
|
Pool # 986648, 6.00%, 9/1/2037
|
66
|
68
|
Pool # 888892, 7.50%, 11/1/2037
|
17
|
19
|
Pool # 257510, 7.00%, 12/1/2038
|
73
|
78
|
Pool # AD0753, 7.00%, 1/1/2039
|
49
|
52
|
Pool # AT5891, 3.00%, 6/1/2043
|
1,580
|
1,395
|
Pool # AL7527, 4.50%, 9/1/2043
|
570
|
551
|
Pool # BM3500, 4.00%, 9/1/2047
|
1,558
|
1,474
|
Pool # BJ1778, 4.50%, 10/1/2047
|
502
|
479
|
Pool # BN9180, 4.00%, 6/1/2049
|
338
|
312
|
Pool # BK8753, 4.50%, 6/1/2049
|
733
|
696
|
Pool # BO1219, 4.50%, 6/1/2049
|
1,939
|
1,846
|
Pool # BO7077, 3.00%, 9/1/2049
|
1,966
|
1,691
|
Pool # CA5549, 3.00%, 4/1/2050
|
4,518
|
3,880
|
Pool # CA5702, 2.50%, 5/1/2050
|
5,742
|
4,723
|
Pool # CA6079, 2.50%, 6/1/2050
|
3,120
|
2,544
|
Pool # BP6439, 2.50%, 7/1/2050
|
6,968
|
5,681
|
Pool # CA6361, 2.50%, 7/1/2050
|
4,219
|
3,483
|
Pool # CA6989, 2.50%, 9/1/2050
|
5,098
|
4,200
|
Pool # FS3599, 2.50%, 1/1/2051
|
4,822
|
3,934
|
Pool # FS0730, 4.00%, 2/1/2051
|
3,812
|
3,497
|
Pool # BU0070, 2.50%, 10/1/2051
|
4,761
|
3,858
|
Pool # MA4466, 2.50%, 11/1/2051
|
4,460
|
3,616
|
Pool # FS4108, 4.00%, 12/1/2051
|
3,887
|
3,538
|
Pool # CB2637, 2.50%, 1/1/2052
|
3,913
|
3,179
|
Pool # CB2664, 3.00%, 1/1/2052
|
1,846
|
1,565
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # CB2670, 3.00%, 1/1/2052
|
3,684
|
3,118
|
Pool # FS5986, 2.50%, 2/1/2052
|
4,980
|
4,067
|
Pool # FS3345, 3.00%, 2/1/2052
|
4,619
|
3,917
|
Pool # FS5446, 2.50%, 3/1/2052
|
6,358
|
5,155
|
Pool # FS0751, 3.00%, 3/1/2052
|
957
|
811
|
Pool # CB3383, 4.00%, 4/1/2052
|
4,549
|
4,135
|
Pool # CB3679, 4.00%, 5/1/2052
|
4,130
|
3,753
|
Pool # CB3913, 4.00%, 5/1/2052
|
1,650
|
1,500
|
Pool # CB4124, 4.00%, 6/1/2052
|
2,119
|
1,925
|
Pool # CB4608, 4.00%, 9/1/2052
|
4,771
|
4,335
|
Pool # BW8524, 5.00%, 9/1/2052
|
2,484
|
2,393
|
Pool # BW9985, 5.00%, 9/1/2052
|
3,707
|
3,573
|
Pool # BV6789, 4.00%, 10/1/2052
|
1,344
|
1,221
|
Pool # BX0091, 5.00%, 10/1/2052
|
1,876
|
1,807
|
Pool # BV6794, 5.00%, 11/1/2052
|
1,686
|
1,630
|
Pool # CB5896, 5.00%, 3/1/2053
|
2,694
|
2,593
|
Pool # BY4714, 5.00%, 6/1/2053
|
5,821
|
5,603
|
Pool # BY7027, 5.00%, 8/1/2053
|
4,983
|
4,796
|
FNMA, 30 Year
|
|
|
Pool # 535183, 8.00%, 6/1/2028
|
1
|
1
|
Pool # 252409, 6.50%, 3/1/2029
|
20
|
20
|
Pool # 653815, 7.00%, 2/1/2033
|
5
|
5
|
Pool # 752786, 6.00%, 9/1/2033
|
29
|
29
|
Pool # 931717, 6.50%, 8/1/2039
|
156
|
157
|
FNMA, Other
|
|
|
Pool # 470300, 3.64%, 1/1/2025
|
836
|
818
|
Pool # AM4991, 3.97%, 12/1/2025
|
1,565
|
1,531
|
Pool # AL6805, 3.81%, 1/1/2026 (f)
|
1,729
|
1,687
|
Pool # 468645, 4.54%, 7/1/2026
|
2,341
|
2,311
|
Pool # AM7223, 3.11%, 12/1/2026
|
3,165
|
3,003
|
Pool # AM7515, 3.34%, 2/1/2027
|
2,000
|
1,900
|
Pool # AM8803, 2.78%, 6/1/2027
|
4,513
|
4,210
|
Pool # AM8987, 2.79%, 6/1/2027
|
1,667
|
1,554
|
Pool # BL9574, 1.00%, 12/1/2027
|
3,953
|
3,405
|
Pool # BL1040, 3.81%, 12/1/2028
|
3,000
|
2,854
|
Pool # BS8075, 5.00%, 9/1/2029
|
1,900
|
1,906
|
Pool # BL4364, 2.24%, 11/1/2029
|
5,364
|
4,661
|
Pool # BL4333, 2.52%, 11/1/2029
|
5,868
|
5,172
|
Pool # AM7785, 3.17%, 2/1/2030
|
2,684
|
2,454
|
Pool # AM7516, 3.55%, 2/1/2030
|
2,000
|
1,860
|
Pool # AM8544, 3.08%, 4/1/2030
|
7,162
|
6,501
|
Pool # AM8889, 2.92%, 5/1/2030
|
8,000
|
7,114
|
Pool # AM9020, 2.97%, 6/1/2030
|
3,598
|
3,238
|
Pool # BS7241, 5.05%, 9/1/2030
|
5,000
|
5,020
|
Pool # BL9251, 1.45%, 10/1/2030
|
4,424
|
3,565
|
Pool # BL4315, 2.39%, 9/1/2031
|
4,381
|
3,706
|
Pool # BS5153, 2.53%, 9/1/2031
|
971
|
818
|
Pool # BS5071, 2.63%, 9/1/2031
|
2,994
|
2,526
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # BS3637, 1.73%, 11/1/2031
|
3,880
|
3,097
|
Pool # BS4313, 1.98%, 1/1/2032
|
8,350
|
6,707
|
Pool # BS8294, 4.44%, 1/1/2032
|
2,489
|
2,397
|
Pool # BS8214, 4.62%, 1/1/2032
|
1,904
|
1,852
|
Pool # BM7037, 1.75%, 3/1/2032 (f)
|
6,745
|
5,327
|
Pool # BS9519, 5.44%, 4/1/2032
|
4,077
|
4,185
|
Pool # BS5760, 2.43%, 5/1/2032
|
2,914
|
2,445
|
Pool # AN6149, 3.14%, 7/1/2032
|
3,050
|
2,649
|
Pool # BS6243, 3.87%, 8/1/2032
|
2,172
|
2,004
|
Pool # BS5887, 3.51%, 9/1/2032
|
2,000
|
1,784
|
Pool # BS6597, 3.67%, 9/1/2032
|
820
|
738
|
Pool # BS6339, 3.80%, 9/1/2032
|
3,844
|
3,508
|
Pool # BS6505, 3.54%, 10/1/2032
|
3,432
|
3,102
|
Pool # BS6822, 3.81%, 10/1/2032
|
5,575
|
5,089
|
Pool # BS6759, 3.97%, 10/1/2032
|
4,918
|
4,584
|
Pool # AP9632, 4.00%, 10/1/2032
|
123
|
119
|
Pool # AP9762, 4.00%, 10/1/2032
|
146
|
139
|
Pool # BS6926, 4.51%, 10/1/2032
|
4,000
|
3,862
|
Pool # BS6928, 4.55%, 10/1/2032
|
2,065
|
1,995
|
Pool # BS6601, 3.54%, 11/1/2032
|
6,715
|
5,996
|
Pool # BS7115, 3.81%, 11/1/2032
|
10,120
|
9,228
|
Pool # AQ7084, 3.50%, 12/1/2032
|
387
|
370
|
Pool # AT2703, 3.50%, 5/1/2033
|
649
|
619
|
Pool # AT2954, 3.50%, 5/1/2033
|
382
|
364
|
Pool # AT4180, 3.50%, 5/1/2033
|
354
|
338
|
Pool # AT4939, 3.50%, 5/1/2033
|
346
|
330
|
Pool # BS8470, 4.52%, 6/1/2033
|
1,972
|
1,896
|
Pool # BS9351, 4.70%, 9/1/2033
|
3,907
|
3,810
|
Pool # BS9384, 5.04%, 9/1/2033
|
3,200
|
3,204
|
Pool # 754922, 5.50%, 9/1/2033
|
29
|
30
|
Pool # 762520, 4.00%, 11/1/2033
|
149
|
144
|
Pool # BS4198, 2.16%, 12/1/2033
|
9,000
|
7,156
|
Pool # BS4237, 2.16%, 12/1/2033
|
4,460
|
3,489
|
Pool # BL3756, 2.92%, 9/1/2034
|
2,525
|
2,118
|
Pool # BS7097, 4.67%, 11/1/2034
|
7,251
|
7,000
|
Pool # AM8922, 3.03%, 6/1/2035
|
2,286
|
2,052
|
Pool # AM9188, 3.12%, 6/1/2035
|
7,000
|
5,856
|
Pool # BS7789, 4.62%, 1/1/2036
|
7,868
|
7,425
|
Pool # 849215, 6.50%, 1/1/2036
|
17
|
17
|
Pool # 872740, 6.50%, 6/1/2036
|
37
|
37
|
Pool # 886320, 6.50%, 7/1/2036
|
13
|
13
|
Pool # BS4368, 2.29%, 1/1/2037
|
5,141
|
3,956
|
Pool # 888796, 6.00%, 9/1/2037
|
45
|
45
|
Pool # AO7225, 4.00%, 7/1/2042
|
241
|
225
|
Pool # AO9352, 4.00%, 7/1/2042
|
351
|
330
|
Pool # MA1125, 4.00%, 7/1/2042
|
329
|
310
|
Pool # AR1397, 3.00%, 1/1/2043
|
739
|
644
|
Pool # MA1711, 4.50%, 12/1/2043
|
1,259
|
1,204
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # MA1828, 4.50%, 3/1/2044
|
950
|
908
|
Pool # BF0558, 5.00%, 12/1/2049
|
3,790
|
3,719
|
Pool # BF0091, 3.50%, 5/1/2056
|
955
|
840
|
Pool # BF0101, 3.50%, 6/1/2056
|
3,165
|
2,797
|
Pool # BF0300, 4.00%, 8/1/2058
|
8,809
|
8,086
|
Pool # BF0464, 3.50%, 3/1/2060
|
2,609
|
2,262
|
Pool # BF0546, 2.50%, 7/1/2061
|
3,773
|
2,962
|
Pool # BF0560, 2.50%, 9/1/2061
|
4,766
|
3,741
|
Pool # BF0590, 2.50%, 12/1/2061
|
7,523
|
5,972
|
Pool # BF0579, 3.00%, 12/1/2061
|
6,332
|
5,250
|
Pool # BF0583, 4.00%, 12/1/2061
|
4,332
|
3,934
|
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 12/25/2053 (g)
|
3,160
|
2,558
|
GNMA I, 30 Year
|
|
|
Pool # 554108, 6.50%, 3/15/2028
|
16
|
17
|
Pool # 468149, 8.00%, 8/15/2028
|
—
|
—
|
Pool # 486537, 7.50%, 9/15/2028
|
4
|
4
|
Pool # 486631, 6.50%, 10/15/2028
|
2
|
2
|
Pool # 591882, 6.50%, 7/15/2032
|
11
|
11
|
Pool # 607645, 6.50%, 2/15/2033
|
22
|
23
|
Pool # 607724, 7.00%, 2/15/2033
|
27
|
28
|
Pool # 604209, 6.50%, 4/15/2033
|
30
|
31
|
Pool # 781614, 7.00%, 6/15/2033
|
35
|
36
|
Pool # BM2141, 5.00%, 7/15/2049
|
485
|
477
|
Pool # CO1916, 5.00%, 9/15/2052
|
2,942
|
2,879
|
GNMA II
|
|
|
Pool # CE5524, ARM, 6.91%, 8/20/2071 (f)
|
2,649
|
2,730
|
Pool # CE5546, ARM, 6.86%, 10/20/2071 (f)
|
4,969
|
5,102
|
Pool # CK2783, ARM, 7.16%, 2/20/2072 (f)
|
4,883
|
5,012
|
Pool # CK2799, ARM, 7.18%, 3/20/2072 (f)
|
3,933
|
4,041
|
Pool # CK2810, ARM, 7.16%, 4/20/2072 (f)
|
4,793
|
4,920
|
Pool # CP1819, ARM, 7.30%, 7/20/2072 (f)
|
3,804
|
3,942
|
Pool # CP4923, ARM, 7.12%, 8/20/2072 (f)
|
5,564
|
5,766
|
Pool # CG5357, ARM, 7.14%, 8/20/2072 (f)
|
2,608
|
2,674
|
GNMA II, 30 Year
|
|
|
Pool # 2006, 8.50%, 5/20/2025
|
—
|
—
|
Pool # 2141, 8.00%, 12/20/2025
|
—
|
—
|
Pool # 2234, 8.00%, 6/20/2026
|
1
|
1
|
Pool # 2270, 8.00%, 8/20/2026
|
1
|
1
|
Pool # 2285, 8.00%, 9/20/2026
|
1
|
1
|
Pool # 2324, 8.00%, 11/20/2026
|
1
|
1
|
Pool # 2499, 8.00%, 10/20/2027
|
2
|
2
|
Pool # 2512, 8.00%, 11/20/2027
|
2
|
2
|
Pool # 2525, 8.00%, 12/20/2027
|
2
|
2
|
Pool # 2549, 7.50%, 2/20/2028
|
2
|
2
|
Pool # 2646, 7.50%, 9/20/2028
|
5
|
5
|
Pool # 2647, 8.00%, 9/20/2028
|
1
|
1
|
Pool # 3427, 4.50%, 8/20/2033
|
47
|
46
|
Pool # 4245, 6.00%, 9/20/2038
|
340
|
350
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # AK8806, 4.25%, 3/20/2045
|
867
|
815
|
Pool # BM2118, 4.50%, 6/20/2049
|
149
|
141
|
Pool # BO0535, 4.00%, 7/20/2049
|
1,142
|
1,060
|
Pool # BO8227, 5.00%, 7/20/2049
|
872
|
868
|
Pool # BO8229, 5.00%, 7/20/2049
|
574
|
577
|
Pool # BM9734, 4.00%, 10/20/2049
|
1,446
|
1,353
|
Pool # BQ4115, 3.00%, 3/20/2050
|
3,094
|
2,677
|
Pool # 785294, 3.50%, 1/20/2051
|
3,615
|
3,187
|
Pool # CB1543, 3.00%, 2/20/2051
|
2,456
|
2,125
|
Pool # CK2698, 3.00%, 2/20/2052
|
1,249
|
1,080
|
Pool # CK2716, 3.50%, 2/20/2052
|
3,901
|
3,446
|
Pool # CM2161, 3.00%, 3/20/2052
|
2,417
|
2,091
|
Pool # CM2213, 3.00%, 3/20/2052
|
439
|
380
|
Pool # CN2859, 4.50%, 6/20/2052
|
4,059
|
3,839
|
Pool # CO4824, 5.00%, 6/20/2052
|
1,597
|
1,574
|
Pool # CO4865, 5.00%, 7/20/2052
|
1,855
|
1,806
|
Pool # MA8200, 4.00%, 8/20/2052
|
9,088
|
8,371
|
Pool # CO8413, 4.50%, 9/20/2052
|
4,912
|
4,646
|
Pool # CT7445, 6.00%, 4/20/2053
|
1,490
|
1,501
|
Total Mortgage-Backed Securities
(Cost $500,207)
|
|
465,192
|
Asset-Backed Securities — 14.5%
|
||
Academic Loan Funding Trust Series 2013-1A, Class A, 6.24%, 12/26/2044 (b) (f)
|
509
|
492
|
ACC Frn Series 2019-AA, 0.25%, 6/15/2025 ‡
|
3,204
|
2,243
|
Air Canada Pass-Through Trust (Canada)
|
|
|
Series 2013-1, Class A, 4.13%, 5/15/2025 (b)
|
440
|
417
|
Series 2015-2, Class AA, 3.75%, 12/15/2027 (b)
|
179
|
162
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)
|
365
|
320
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (b)
|
517
|
444
|
American Airlines Pass-Through Trust
|
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
149
|
132
|
Series 2019-1, Class A, 3.50%, 2/15/2032
|
2,430
|
1,986
|
American Homes 4 Rent Trust
|
|
|
Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b)
|
3,347
|
3,278
|
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (b)
|
2,000
|
1,973
|
Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b)
|
850
|
845
|
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b)
|
2,497
|
2,434
|
Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b)
|
500
|
490
|
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b)
|
2,380
|
2,353
|
Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b)
|
3,559
|
3,438
|
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b)
|
1,275
|
1,259
|
AMSR Trust
|
|
|
Series 2020-SFR2, Class C, 2.53%, 7/17/2037 (b)
|
3,500
|
3,273
|
Series 2020-SFR4, Class C, 1.86%, 11/17/2037 (b)
|
4,000
|
3,660
|
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b)
|
1,600
|
1,398
|
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (b)
|
2,296
|
1,977
|
Bedrock Abs I LLC, 7.95%, 12/27/2037 ‡
|
2,731
|
2,761
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Bridge Trust
|
|
|
Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (b)
|
3,000
|
2,820
|
Series 2022-SFR1, Class C, 4.45%, 11/17/2037 (b)
|
4,200
|
3,951
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
Series 2013-1, Class A, 4.63%, 6/20/2024 (b)
|
2,060
|
2,043
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)
|
410
|
378
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (b)
|
661
|
592
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)
|
591
|
514
|
Business Jet Securities LLC
|
|
|
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (b)
|
319
|
303
|
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (b)
|
1,905
|
1,746
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b)
|
793
|
663
|
Carvana Auto Receivables Trust Series 2023-P3, Class A3, 5.82%, 8/10/2028 (b)
|
1,100
|
1,101
|
CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (b)
|
3,163
|
2,963
|
Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 (e)
|
222
|
213
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
800
|
854
|
Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 9.13%, 12/15/2024 ‡ (b) (f)
|
400
|
401
|
Continental Finance Credit Card ABS Master Trust
|
|
|
Series 2020-1A, Class A, 2.24%, 12/15/2028 (b)
|
2,070
|
2,031
|
Series 2022-A, Class A, 6.19%, 10/15/2030 (b)
|
4,080
|
4,009
|
CoreVest American Finance Trust
|
|
|
Series 2019-2, Class D, 4.22%, 6/15/2052 (b)
|
2,000
|
1,757
|
Series 2020-3, Class B, 2.20%, 8/15/2053 (b)
|
3,180
|
2,490
|
CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b)
|
4,000
|
4,066
|
Credit Acceptance Auto Loan Trust
|
|
|
Series 2021-2A, Class C, 1.64%, 6/17/2030 (b)
|
7,280
|
7,030
|
Series 2022-3A, Class C, 8.45%, 2/15/2033 (b)
|
4,100
|
4,182
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b)
|
3,205
|
3,207
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (b)
|
2,500
|
2,510
|
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b)
|
456
|
451
|
CVS Pass-Through Trust
|
|
|
5.93%, 1/10/2034 (b)
|
689
|
674
|
Series 2013, 4.70%, 1/10/2036 (b)
|
541
|
490
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 6.36%, 10/25/2034 (f)
|
48
|
46
|
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b)
|
2,700
|
2,410
|
Delta Air Lines Pass-Through Trust
|
|
|
Series 2015-1, Class AA, 3.63%, 7/30/2027
|
215
|
200
|
Series 2020-1, Class AA, 2.00%, 6/10/2028
|
286
|
250
|
Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039 ‡ (b)
|
4,402
|
3,914
|
Diversified Abs Phase LLC Series VI, Class A, 7.50%, 11/28/2039 ‡
|
2,424
|
2,345
|
DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043
|
1,600
|
1,600
|
DT Auto Owner Trust Series 2022-3A, Class D, 8.14%, 7/17/2028 (b)
|
3,500
|
3,576
|
Exeter Automobile Receivables Trust Series 2019-3A, Class D, 3.11%, 8/15/2025 (b)
|
714
|
708
|
FirstKey Homes Trust
|
|
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b)
|
3,000
|
2,758
|
Series 2022-SFR3, Class C, 4.50%, 7/17/2038 (b)
|
3,466
|
3,267
|
Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b)
|
4,000
|
3,513
|
Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (b)
|
3,700
|
3,320
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Flagship Credit Auto Trust Series 2022-4, Class C, 7.71%, 10/16/2028 (b)
|
5,190
|
5,319
|
FMC GMSR Issuer Trust
|
|
|
Series 2021-SAT1, 3.65%, 2/25/2024 ‡ (b) (f)
|
7,325
|
7,105
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (f)
|
5,000
|
4,396
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f)
|
4,300
|
3,625
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f)
|
3,370
|
2,856
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b)
|
6,000
|
5,678
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
4,825
|
4,482
|
Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b)
|
107
|
106
|
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b)
|
1,601
|
1,598
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f)
|
30
|
25
|
GLS Auto Receivables Issuer Trust
|
|
|
Series 2022-3A, Class C, 5.34%, 6/15/2028 (b)
|
2,361
|
2,324
|
Series 2022-3A, Class D, 6.42%, 6/15/2028 (b)
|
2,500
|
2,470
|
Series 2023-3A, Class C, 6.01%, 5/15/2029 (b)
|
2,085
|
2,080
|
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)
|
2
|
2
|
Goodgreen
|
|
|
Series 2019-2A, Class A, 2.76%, 4/15/2055 ‡ (b)
|
1,263
|
1,060
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (b)
|
3,091
|
2,927
|
Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (b)
|
267
|
239
|
GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (b)
|
1,436
|
1,384
|
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b)
|
685
|
603
|
HERO Funding Trust
|
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (b)
|
274
|
242
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (b)
|
703
|
632
|
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class B, 7.92%, 4/20/2037 (b) (f)
|
1,500
|
1,468
|
Jonah, 7.80%, 11/10/2037 ‡ (b)
|
2,643
|
2,566
|
Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (b)
|
2,122
|
2,113
|
KGS-Alpha SBA COOF Trust
|
|
|
Series 2012-2, Class A, IO, 0.81%, 8/25/2038 (b) (f)
|
1,128
|
21
|
Series 2013-2, Class A, IO, 2.36%, 3/25/2039 (b) (f)
|
991
|
32
|
Series 2015-2, Class A, IO, 3.01%, 7/25/2041 (b) (f)
|
459
|
46
|
Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031 (b)
|
1,795
|
1,598
|
Lendingpoint Asset Securitization Trust
|
|
|
Series 2022-B, Class B, 5.99%, 10/15/2029 (b)
|
5,237
|
5,022
|
Series 2022-C, Class B, 7.46%, 2/15/2030 (b)
|
4,000
|
3,997
|
LL ABS Trust Series 2022-1A, Class B, 5.05%, 11/15/2029 (b)
|
2,900
|
2,850
|
Mariner Finance Issuance Trust Series 2022-AA, Class C, 7.90%, 10/20/2037 (b)
|
2,033
|
2,045
|
Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b)
|
342
|
332
|
MNR ABS Issuer I LLC, 8.95%, 12/15/2038
|
2,000
|
2,000
|
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 (b)
|
1,084
|
1,013
|
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 6.00%, 11/25/2033 (e)
|
202
|
188
|
NRZ Excess Spread-Collateralized Notes
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b)
|
791
|
745
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b)
|
2,783
|
2,529
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
2,526
|
2,310
|
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (b)
|
3,880
|
3,701
|
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b)
|
692
|
692
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Pagaya AI Technology in Housing Trust Series 2022-1, Class A, 4.25%, 8/25/2025 (b)
|
2,667
|
2,553
|
Pendoor Proper, Zero Coupon, 2/15/2026 ‡
|
4,150
|
3,943
|
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 9.58%, 5/25/2027 (b) (f)
|
3,450
|
3,450
|
Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b)
|
4,000
|
3,997
|
PRET LLC
|
|
|
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e)
|
1,704
|
1,646
|
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (b) (e)
|
3,276
|
3,014
|
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (f)
|
5,068
|
4,820
|
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b) (e)
|
2,532
|
2,486
|
Progress Residential Trust
|
|
|
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b)
|
4,000
|
3,585
|
Series 2020-SFR3, Class C, 1.70%, 10/17/2027 (b)
|
3,250
|
2,973
|
Series 2019-SFR4, Class D, 3.14%, 10/17/2036 (b)
|
5,000
|
4,844
|
Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b)
|
3,446
|
3,001
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (b)
|
2,685
|
2,481
|
Series 2022-SFR5, Class E1, 6.62%, 6/17/2039 (b)
|
3,619
|
3,477
|
PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (f)
|
2,437
|
2,375
|
Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e)
|
287
|
72
|
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (b)
|
345
|
309
|
RT Fin LLC, 7.85%, 10/15/2043 ‡
|
3,049
|
3,049
|
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027
|
3,778
|
3,746
|
SART Series 2018-1, 4.76%, 6/15/2025 ‡
|
281
|
280
|
SCF Equipment Leasing LLC
|
|
|
Series 2022-1A, Class A3, 2.92%, 7/20/2029 (b)
|
616
|
598
|
Series 2022-2A, Class C, 6.50%, 8/20/2032 (b)
|
3,688
|
3,603
|
Series 2023-1A, Class C, 6.77%, 8/22/2033 (b)
|
3,815
|
3,864
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 5.74%,
1/25/2036 (e)
|
146
|
116
|
Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 (b)
|
498
|
486
|
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030
|
277
|
243
|
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 (b)
|
1,837
|
1,701
|
United Airlines Pass-Through Trust
|
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
729
|
683
|
Series 2018-1, Class B, 4.60%, 3/1/2026
|
445
|
418
|
Series 2016-1, Class A, 3.45%, 7/7/2028
|
537
|
467
|
Series 2016-2, Class A, 3.10%, 10/7/2028
|
918
|
772
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
570
|
509
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
1,287
|
1,098
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
814
|
732
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
728
|
629
|
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
1,095
|
897
|
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b)
|
1,920
|
1,892
|
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (b)
|
858
|
858
|
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (b)
|
4,700
|
3,881
|
vMobo, Inc., 7.46%, 7/18/2027 ‡
|
5,999
|
5,414
|
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e)
|
1,631
|
1,507
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e)
|
3,586
|
3,374
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e)
|
2,506
|
2,390
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e)
|
1,929
|
1,845
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e)
|
2,104
|
1,983
|
Westlake Automobile Receivables Trust
|
|
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b)
|
4,910
|
4,825
|
Series 2023-3A, Class C, 6.02%, 9/15/2028 (b)
|
3,400
|
3,368
|
Series 2023-4A, Class C, 6.64%, 11/15/2028 (b)
|
2,632
|
2,651
|
Series 2023-2A, Class D, 7.01%, 11/15/2028 (b)
|
3,047
|
3,041
|
Total Asset-Backed Securities
(Cost $323,879)
|
|
309,048
|
Collateralized Mortgage Obligations — 5.5%
|
||
Alternative Loan Trust
|
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
2,512
|
2,481
|
Series 2005-1CB, Class 1A6, IF, IO, 1.64%, 3/25/2035 (f)
|
331
|
21
|
Series 2005-22T1, Class A2, IF, IO, 4.40%, 6/25/2035 (f)
|
2,553
|
138
|
Series 2005-20CB, Class 3A8, IF, IO, 4.08%, 7/25/2035 (f)
|
1,008
|
30
|
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035
|
937
|
782
|
Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035
|
48
|
20
|
Series 2005-37T1, Class A2, IF, IO, 4.59%, 9/25/2035 (f)
|
1,941
|
83
|
Series 2005-54CB, Class 1A2, IF, IO, 4.18%, 11/25/2035 (f)
|
1,459
|
45
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
579
|
438
|
Series 2005-57CB, Class 3A2, IF, IO, 4.43%, 12/25/2035 (f)
|
409
|
26
|
Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035
|
277
|
236
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
858
|
445
|
Banc of America Alternative Loan Trust
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019
|
6
|
2
|
Series 2006-4, Class 1A4, 6.00%, 5/25/2046
|
233
|
190
|
Banc of America Funding Trust
|
|
|
Series 2004-1, PO, 3/25/2034
|
57
|
39
|
Series 2004-2, Class 30, PO, 9/20/2034
|
68
|
49
|
Series 2005-6, Class 2A7, 5.50%, 10/25/2035
|
139
|
114
|
Series 2005-7, Class 30, PO, 11/25/2035
|
58
|
58
|
Series 2005-8, Class 30, PO, 1/25/2036
|
33
|
21
|
Series 2006-A, Class 3A2, 4.60%, 2/20/2036 (f)
|
86
|
74
|
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 4.17%, 2/25/2034 (f)
|
24
|
24
|
Bear Stearns ARM Trust
|
|
|
Series 2003-7, Class 3A, 5.00%, 10/25/2033 (f)
|
10
|
10
|
Series 2004-1, Class 12A1, 4.18%, 4/25/2034 (f)
|
128
|
110
|
Series 2004-2, Class 14A, 3.86%, 5/25/2034 (f)
|
18
|
16
|
Series 2006-1, Class A1, 7.66%, 2/25/2036 (f)
|
257
|
236
|
CHL Mortgage Pass-Through Trust
|
|
|
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡
|
2
|
1
|
Series 2004-HYB1, Class 2A, 4.88%, 5/20/2034 (f)
|
28
|
25
|
Series 2004-HYB3, Class 2A, 3.90%, 6/20/2034 (f)
|
110
|
99
|
Series 2004-7, Class 2A1, 2.52%, 6/25/2034 (f)
|
77
|
71
|
Series 2004-HYB6, Class A3, 5.30%, 11/20/2034 (f)
|
109
|
101
|
Series 2005-16, Class A23, 5.50%, 9/25/2035
|
191
|
122
|
Series 2005-22, Class 2A1, 4.64%, 11/25/2035 (f)
|
625
|
495
|
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
|
|
|
Series 2005-5, Class A, PO, 8/25/2035
|
26
|
18
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2005-8, Class A, PO, 11/25/2035
|
49
|
29
|
Citigroup Global Markets Mortgage Securities VII, Inc.
|
|
|
Series 2003-UP2, Class 1, PO, 6/25/2033
|
1
|
1
|
Series 2003-HYB1, Class A, 6.24%, 9/25/2033 (f)
|
10
|
10
|
Citigroup Mortgage Loan Trust
|
|
|
Series 2004-UST1, Class A6, 5.91%, 8/25/2034 (f)
|
10
|
9
|
Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f)
|
197
|
185
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
Series 2003-1, Class 3, PO, 9/25/2033
|
9
|
6
|
Series 2003-UP3, Class A3, 7.00%, 9/25/2033
|
7
|
7
|
Series 2003-1, Class 2, PO, 10/25/2033
|
—
|
—
|
Series 2003-1, Class 2A6, PO, 10/25/2033
|
6
|
5
|
Series 2003-1, Class 2A5, 5.25%, 10/25/2033
|
12
|
11
|
Series 2005-1, Class 2A1A, 3.22%, 2/25/2035 (f)
|
142
|
118
|
Series 2005-2, Class 2A11, 5.50%, 5/25/2035
|
88
|
84
|
Series 2005-5, Class 1A2, 4.59%, 8/25/2035 (f)
|
156
|
125
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland)
|
|
|
Series 2003-1, Class DB1, 6.65%, 2/25/2033 (f)
|
170
|
166
|
Series 2003-21, Class 1A4, 5.25%, 9/25/2033
|
33
|
31
|
Series 2003-25, Class 1P, PO, 10/25/2033
|
76
|
55
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
Series 2005-4, Class 3A18, 5.50%, 6/25/2035
|
403
|
389
|
Series 2005-4, Class 3A23, 5.50%, 6/25/2035
|
850
|
821
|
CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (f)
|
4,748
|
4,483
|
FHLMC, REMIC
|
|
|
Series 2716, Class UN, 4.50%, 12/15/2023
|
—
|
—
|
Series 1638, Class H, 6.50%, 12/15/2023
|
—
|
—
|
Series 2283, Class K, 6.50%, 12/15/2023
|
—
|
—
|
Series 1865, Class D, PO, 2/15/2024
|
1
|
1
|
Series 1760, Class ZD, 4.37%, 2/15/2024 (f)
|
1
|
1
|
Series 1686, Class SH, IF, 7.00%, 2/15/2024 (f)
|
—
|
—
|
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (f)
|
—
|
—
|
Series 1709, Class FA, 4.02%, 3/15/2024 (f)
|
—
|
—
|
Series 1699, Class FC, 6.04%, 3/15/2024 (f)
|
—
|
—
|
Series 1695, Class EB, 7.00%, 3/15/2024
|
—
|
—
|
Series 1706, Class K, 7.00%, 3/15/2024
|
—
|
—
|
Series 2033, Class SN, IF, IO, 17.90%, 3/15/2024 (f)
|
—
|
—
|
Series 2306, Class K, PO, 5/15/2024
|
—
|
—
|
Series 2306, Class SE, IF, IO, 5.73%, 5/15/2024 (f)
|
1
|
—
|
Series 1745, Class D, 7.50%, 8/15/2024
|
2
|
2
|
Series 3720, Class A, 4.50%, 9/15/2025
|
12
|
12
|
Series 3131, Class BK, 5.50%, 3/15/2026
|
64
|
63
|
Series 1829, Class ZB, 6.50%, 3/15/2026
|
—
|
—
|
Series 1863, Class Z, 6.50%, 7/15/2026
|
—
|
—
|
Series 1890, Class H, 7.50%, 9/15/2026
|
4
|
4
|
Series 1899, Class ZE, 8.00%, 9/15/2026
|
14
|
15
|
Series 3229, Class HE, 5.00%, 10/15/2026
|
68
|
67
|
Series 1963, Class Z, 7.50%, 1/15/2027
|
11
|
11
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 1935, Class FL, 6.14%, 2/15/2027 (f)
|
1
|
1
|
Series 1981, Class Z, 6.00%, 5/15/2027
|
13
|
13
|
Series 1970, Class PG, 7.25%, 7/15/2027
|
1
|
1
|
Series 1987, Class PE, 7.50%, 9/15/2027
|
9
|
9
|
Series 2019, Class Z, 6.50%, 12/15/2027
|
18
|
18
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
14
|
1
|
Series 2040, Class PE, 7.50%, 3/15/2028
|
25
|
25
|
Series 4251, Class KW, 2.50%, 4/15/2028
|
1,814
|
1,730
|
Series 2043, Class CJ, 6.50%, 4/15/2028
|
4
|
4
|
Series 2054, Class PV, 7.50%, 5/15/2028
|
20
|
21
|
Series 2075, Class PM, 6.25%, 8/15/2028
|
50
|
50
|
Series 2075, Class PH, 6.50%, 8/15/2028
|
45
|
45
|
Series 2086, Class GB, 6.00%, 9/15/2028
|
9
|
9
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
22
|
2
|
Series 2095, Class PE, 6.00%, 11/15/2028
|
55
|
55
|
Series 2125, Class JZ, 6.00%, 2/15/2029
|
21
|
21
|
Series 2136, Class PG, 6.00%, 3/15/2029
|
23
|
23
|
Series 2132, Class SB, IF, 7.00%, 3/15/2029 (f)
|
4
|
4
|
Series 2141, IO, 7.00%, 4/15/2029
|
6
|
—
|
Series 2169, Class TB, 7.00%, 6/15/2029
|
72
|
73
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
7
|
1
|
Series 2172, Class QC, 7.00%, 7/15/2029
|
52
|
53
|
Series 2176, Class OJ, 7.00%, 8/15/2029
|
41
|
42
|
Series 2201, Class C, 8.00%, 11/15/2029
|
15
|
15
|
Series 2209, Class TC, 8.00%, 1/15/2030
|
19
|
19
|
Series 2210, Class Z, 8.00%, 1/15/2030
|
43
|
45
|
Series 2224, Class CB, 8.00%, 3/15/2030
|
10
|
10
|
Series 2230, Class Z, 8.00%, 4/15/2030
|
25
|
26
|
Series 2234, Class PZ, 7.50%, 5/15/2030
|
20
|
21
|
Series 2247, Class Z, 7.50%, 8/15/2030
|
21
|
22
|
Series 2256, Class MC, 7.25%, 9/15/2030
|
23
|
24
|
Series 2259, Class ZM, 7.00%, 10/15/2030
|
38
|
39
|
Series 2262, Class Z, 7.50%, 10/15/2030
|
5
|
5
|
Series 2271, Class PC, 7.25%, 12/15/2030
|
40
|
42
|
Series 2296, Class PD, 7.00%, 3/15/2031
|
30
|
31
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
15
|
15
|
Series 2325, Class PM, 7.00%, 6/15/2031
|
23
|
24
|
Series 2359, Class ZB, 8.50%, 6/15/2031
|
67
|
72
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
230
|
232
|
Series 2344, Class ZJ, 6.50%, 8/15/2031
|
25
|
25
|
Series 2345, Class NE, 6.50%, 8/15/2031
|
22
|
22
|
Series 2351, Class PZ, 6.50%, 8/15/2031
|
18
|
18
|
Series 2353, Class AZ, 6.00%, 9/15/2031
|
123
|
122
|
Series 2367, Class ME, 6.50%, 10/15/2031
|
49
|
50
|
Series 2396, Class FM, 5.89%, 12/15/2031 (f)
|
43
|
43
|
Series 2399, Class OH, 6.50%, 1/15/2032
|
53
|
53
|
Series 2399, Class TH, 6.50%, 1/15/2032
|
59
|
60
|
Series 2464, Class SI, IF, IO, 2.56%, 2/15/2032 (f)
|
117
|
8
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2410, Class QX, IF, IO, 3.21%, 2/15/2032 (f)
|
21
|
2
|
Series 2412, Class SP, IF, 5.22%, 2/15/2032 (f)
|
47
|
49
|
Series 2410, Class QS, IF, 5.36%, 2/15/2032 (f)
|
48
|
51
|
Series 2410, Class OE, 6.38%, 2/15/2032
|
2
|
2
|
Series 2410, Class NG, 6.50%, 2/15/2032
|
57
|
58
|
Series 2420, Class XK, 6.50%, 2/15/2032
|
91
|
92
|
Series 2444, Class ES, IF, IO, 2.51%, 3/15/2032 (f)
|
44
|
4
|
Series 2450, Class SW, IF, IO, 2.56%, 3/15/2032 (f)
|
36
|
3
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
115
|
117
|
Series 2423, Class MC, 7.00%, 3/15/2032
|
64
|
66
|
Series 2423, Class MT, 7.00%, 3/15/2032
|
53
|
55
|
Series 2435, Class CJ, 6.50%, 4/15/2032
|
74
|
76
|
Series 2434, Class TC, 7.00%, 4/15/2032
|
60
|
62
|
Series 2436, Class MC, 7.00%, 4/15/2032
|
34
|
35
|
Series 2455, Class GK, 6.50%, 5/15/2032
|
137
|
137
|
Series 2450, Class GZ, 7.00%, 5/15/2032
|
42
|
43
|
Series 2462, Class JG, 6.50%, 6/15/2032
|
64
|
65
|
Series 2466, Class PH, 6.50%, 6/15/2032
|
104
|
105
|
Series 2474, Class NR, 6.50%, 7/15/2032
|
60
|
60
|
Series 2484, Class LZ, 6.50%, 7/15/2032
|
69
|
70
|
Series 2500, Class MC, 6.00%, 9/15/2032
|
69
|
70
|
Series 2835, Class QO, PO, 12/15/2032
|
9
|
8
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
136
|
138
|
Series 2544, Class HC, 6.00%, 12/15/2032
|
93
|
94
|
Series 2552, Class ME, 6.00%, 1/15/2033
|
150
|
151
|
Series 2567, Class QD, 6.00%, 2/15/2033
|
160
|
162
|
Series 2575, Class ME, 6.00%, 2/15/2033
|
373
|
376
|
Series 2596, Class QG, 6.00%, 3/15/2033
|
86
|
86
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
40
|
6
|
Series 2692, Class SC, IF, 2.41%, 7/15/2033 (f)
|
28
|
26
|
Series 4240, Class B, 3.00%, 8/15/2033
|
2,501
|
2,323
|
Series 3920, Class LP, 5.00%, 1/15/2034
|
341
|
335
|
Series 2744, Class PE, 5.50%, 2/15/2034
|
2
|
2
|
Series 3611, PO, 7/15/2034
|
23
|
20
|
Series 2990, Class UZ, 5.75%, 6/15/2035
|
885
|
874
|
Series 3004, Class EK, 5.50%, 7/15/2035
|
1,233
|
1,206
|
Series 3014, Class OD, PO, 8/15/2035
|
24
|
20
|
Series 3085, Class WF, 6.24%, 8/15/2035 (f)
|
58
|
58
|
Series 3047, Class OD, 5.50%, 10/15/2035
|
316
|
312
|
Series 3074, Class BH, 5.00%, 11/15/2035
|
92
|
89
|
Series 3064, Class MC, 5.50%, 11/15/2035
|
2,967
|
2,904
|
Series 3102, Class HS, IF, 4.63%, 1/15/2036 (f)
|
12
|
12
|
Series 3102, Class FB, 5.74%, 1/15/2036 (f)
|
34
|
34
|
Series 3117, Class EO, PO, 2/15/2036
|
139
|
117
|
Series 3117, Class OK, PO, 2/15/2036
|
84
|
70
|
Series 3134, PO, 3/15/2036
|
22
|
17
|
Series 3152, Class MO, PO, 3/15/2036
|
119
|
100
|
Series 3122, Class ZB, 6.00%, 3/15/2036
|
31
|
32
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 3138, PO, 4/15/2036
|
106
|
88
|
Series 3607, Class BO, PO, 4/15/2036
|
49
|
41
|
Series 3219, Class DI, IO, 6.00%, 4/15/2036
|
73
|
14
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
451
|
457
|
Series 3149, Class SO, PO, 5/15/2036
|
19
|
15
|
Series 3233, Class OP, PO, 5/15/2036
|
30
|
26
|
Series 3171, Class MO, PO, 6/15/2036
|
15
|
13
|
Series 3179, Class OA, PO, 7/15/2036
|
86
|
71
|
Series 3194, Class SA, IF, IO, 1.66%, 7/15/2036 (f)
|
19
|
2
|
Series 3211, Class SO, PO, 9/15/2036
|
106
|
90
|
Series 3218, Class AO, PO, 9/15/2036
|
52
|
40
|
Series 3232, Class ST, IF, IO, 1.26%, 10/15/2036 (f)
|
130
|
9
|
Series 3256, PO, 12/15/2036
|
72
|
58
|
Series 3261, Class OA, PO, 1/15/2037
|
81
|
66
|
Series 3260, Class CS, IF, IO, 0.70%, 1/15/2037 (f)
|
135
|
10
|
Series 3274, Class JO, PO, 2/15/2037
|
22
|
19
|
Series 3275, Class FL, 5.88%, 2/15/2037 (f)
|
19
|
18
|
Series 3290, Class SB, IF, IO, 1.01%, 3/15/2037 (f)
|
196
|
12
|
Series 3318, Class AO, PO, 5/15/2037
|
3
|
3
|
Series 3607, PO, 5/15/2037
|
105
|
84
|
Series 3315, Class HZ, 6.00%, 5/15/2037
|
75
|
74
|
Series 3326, Class JO, PO, 6/15/2037
|
6
|
5
|
Series 3331, PO, 6/15/2037
|
73
|
60
|
Series 3607, Class OP, PO, 7/15/2037
|
238
|
192
|
Series 4048, Class FJ, 5.34%, 7/15/2037 (f)
|
260
|
255
|
Series 3385, Class SN, IF, IO, 0.56%, 11/15/2037 (f)
|
26
|
1
|
Series 3387, Class SA, IF, IO, 0.98%, 11/15/2037 (f)
|
115
|
7
|
Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e)
|
603
|
5
|
Series 3404, Class SC, IF, IO, 0.56%, 1/15/2038 (f)
|
176
|
11
|
Series 3424, Class PI, IF, IO, 1.36%, 4/15/2038 (f)
|
156
|
14
|
Series 3481, Class SJ, IF, IO, 0.41%, 8/15/2038 (f)
|
173
|
12
|
Series 3511, Class SA, IF, IO, 0.56%, 2/15/2039 (f)
|
128
|
8
|
Series 3549, Class FA, 6.64%, 7/15/2039 (f)
|
9
|
9
|
Series 3621, Class BO, PO, 1/15/2040
|
70
|
59
|
Series 3747, Class PY, 4.00%, 10/15/2040
|
686
|
641
|
Series 3925, Class FL, 5.89%, 1/15/2041 (f)
|
49
|
48
|
Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f)
|
74
|
70
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f)
|
212
|
211
|
Series 3957, Class B, 4.00%, 11/15/2041
|
75
|
70
|
Series 3966, Class NA, 4.00%, 12/15/2041
|
206
|
193
|
Series 4217, Class KY, 3.00%, 6/15/2043
|
2,300
|
1,922
|
Series 4928, Class PB, 2.50%, 9/25/2048
|
434
|
377
|
FHLMC, STRIPS
|
|
|
Series 233, Class 11, IO, 5.00%, 9/15/2035
|
160
|
30
|
Series 233, Class 13, IO, 5.00%, 9/15/2035
|
230
|
39
|
Series 299, Class 300, 3.00%, 1/15/2043
|
1,115
|
994
|
Series 310, PO, 9/15/2043
|
577
|
423
|
Series 323, Class 300, 3.00%, 1/15/2044
|
818
|
732
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
Series T-41, Class 3A, 4.36%, 7/25/2032 (f)
|
193
|
180
|
Series T-76, Class 2A, 2.33%, 10/25/2037 (f)
|
471
|
398
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (f)
|
152
|
146
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
821
|
824
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
227
|
234
|
Series T-58, Class A, PO, 9/25/2043
|
63
|
48
|
Series T-59, Class 1AP, PO, 10/25/2043
|
145
|
72
|
First Horizon Alternative Mortgage Securities Trust
|
|
|
Series 2004-AA4, Class A1, 6.23%, 10/25/2034 (f)
|
79
|
76
|
Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035
|
335
|
163
|
Series 2007-FA4, Class 1A2, IF, IO, 0.19%, 8/25/2037 (f)
|
818
|
62
|
FNMA Trust, Whole Loan
|
|
|
Series 2004-W1, Class 2A2, 7.00%, 12/25/2033
|
56
|
58
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
95
|
97
|
Series 2004-W15, Class 2AF, 5.69%, 8/25/2044 (f)
|
137
|
136
|
Series 2005-W3, Class 2AF, 5.66%, 3/25/2045 (f)
|
384
|
380
|
Series 2006-W2, Class 1AF1, 5.66%, 2/25/2046 (f)
|
126
|
124
|
FNMA, Grantor Trust, Whole Loan
|
|
|
Series 2002-T19, Class A2, 7.00%, 7/25/2042
|
347
|
358
|
Series 2004-T3, Class 1A3, 7.00%, 2/25/2044
|
200
|
205
|
FNMA, REMIC
|
|
|
Series 2002-1, Class UD, IF, 5.45%, 12/25/2023 (f)
|
—
|
—
|
Series 1993-230, Class FA, 6.04%, 12/25/2023 (f)
|
—
|
—
|
Series 1993-247, Class FE, 6.44%, 12/25/2023 (f)
|
—
|
—
|
Series 1993-225, Class UB, 6.50%, 12/25/2023
|
—
|
—
|
Series 1993-247, Class SU, IF, 6.91%, 12/25/2023 (f)
|
—
|
—
|
Series 1994-37, Class L, 6.50%, 3/25/2024
|
1
|
1
|
Series 1994-40, Class Z, 6.50%, 3/25/2024
|
7
|
7
|
Series 2004-53, Class NC, 5.50%, 7/25/2024
|
—
|
—
|
Series 1995-2, Class Z, 8.50%, 1/25/2025
|
1
|
1
|
Series G95-1, Class C, 8.80%, 1/25/2025
|
1
|
1
|
Series 1997-20, IO, 1.84%, 3/25/2027 (f)
|
1
|
—
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
2
|
2
|
Series 1997-29, Class J, 7.50%, 4/20/2027
|
5
|
5
|
Series 1997-39, Class PD, 7.50%, 5/20/2027
|
25
|
25
|
Series 1997-42, Class ZC, 6.50%, 7/18/2027
|
2
|
2
|
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027
|
7
|
—
|
Series 1998-36, Class ZB, 6.00%, 7/18/2028
|
12
|
12
|
Series 1999-18, Class Z, 5.50%, 4/18/2029
|
11
|
11
|
Series 1999-17, Class C, 6.35%, 4/25/2029
|
9
|
9
|
Series 1999-62, Class PB, 7.50%, 12/18/2029
|
14
|
14
|
Series 2000-2, Class ZE, 7.50%, 2/25/2030
|
44
|
46
|
Series 2000-20, Class SA, IF, IO, 3.66%, 7/25/2030 (f)
|
8
|
—
|
Series 2000-52, IO, 8.50%, 1/25/2031
|
6
|
1
|
Series 2001-7, Class PF, 7.00%, 3/25/2031
|
11
|
11
|
Series 2011-31, Class DB, 3.50%, 4/25/2031
|
734
|
698
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
48
|
5
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2001-30, Class PM, 7.00%, 7/25/2031
|
40
|
41
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
41
|
42
|
Series 2001-49, Class Z, 6.50%, 9/25/2031
|
14
|
14
|
Series 2001-44, Class MY, 7.00%, 9/25/2031
|
104
|
107
|
Series 2001-44, Class PD, 7.00%, 9/25/2031
|
12
|
12
|
Series 2001-44, Class PU, 7.00%, 9/25/2031
|
15
|
16
|
Series 2001-52, Class KB, 6.50%, 10/25/2031
|
15
|
15
|
Series 2003-52, Class SX, IF, 6.62%, 10/25/2031 (f)
|
23
|
25
|
Series 2001-61, Class Z, 7.00%, 11/25/2031
|
156
|
160
|
Series 2001-72, Class SX, IF, 4.79%, 12/25/2031 (f)
|
3
|
3
|
Series 2002-1, Class SA, IF, 7.50%, 2/25/2032 (f)
|
8
|
10
|
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f)
|
97
|
3
|
Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f)
|
1
|
2
|
Series 2002-21, Class LO, PO, 4/25/2032
|
4
|
4
|
Series 2002-21, Class PE, 6.50%, 4/25/2032
|
39
|
40
|
Series 2002-28, Class PK, 6.50%, 5/25/2032
|
100
|
102
|
Series 2012-66, Class CB, 3.00%, 6/25/2032
|
2,358
|
2,206
|
Series 2002-37, Class Z, 6.50%, 6/25/2032
|
29
|
29
|
Series 2006-130, Class GI, IO, 6.50%, 7/25/2032
|
97
|
9
|
Series 2002-48, Class GH, 6.50%, 8/25/2032
|
144
|
147
|
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f)
|
18
|
19
|
Series 2004-59, Class BG, PO, 12/25/2032
|
53
|
45
|
Series 2002-77, Class S, IF, 4.51%, 12/25/2032 (f)
|
24
|
24
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
499
|
471
|
Series 2003-35, Class UC, 3.75%, 5/25/2033
|
3
|
3
|
Series 2003-42, Class GB, 4.00%, 5/25/2033
|
43
|
41
|
Series 2003-34, Class AX, 6.00%, 5/25/2033
|
89
|
90
|
Series 2003-34, Class ED, 6.00%, 5/25/2033
|
400
|
401
|
Series 2003-39, IO, 6.00%, 5/25/2033 (f)
|
19
|
3
|
Series 2003-33, Class IA, IO, 6.50%, 5/25/2033
|
150
|
26
|
Series 2007-97, Class KI, IO, 7.00%, 5/25/2033
|
289
|
24
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
87
|
88
|
Series 2003-64, Class SX, IF, 0.16%, 7/25/2033 (f)
|
20
|
18
|
Series 2003-132, Class OA, PO, 8/25/2033
|
4
|
4
|
Series 2003-71, Class DS, IF, 0.22%, 8/25/2033 (f)
|
194
|
170
|
Series 2003-74, Class SH, IF, 0.37%, 8/25/2033 (f)
|
44
|
40
|
Series 2003-72, Class IE, IO, 5.50%, 8/25/2033
|
164
|
24
|
Series 2003-91, Class SD, IF, 3.43%, 9/25/2033 (f)
|
33
|
31
|
Series 2013-101, Class AE, 3.00%, 10/25/2033
|
2,500
|
2,332
|
Series 2013-101, Class E, 3.00%, 10/25/2033
|
2,275
|
2,121
|
Series 2013-108, Class GU, 3.00%, 10/25/2033
|
2,853
|
2,657
|
Series 2003-116, Class SB, IF, IO, 2.16%, 11/25/2033 (f)
|
208
|
15
|
Series 2006-44, Class P, PO, 12/25/2033
|
413
|
343
|
Series 2003-130, Class SX, IF, 3.36%, 1/25/2034 (f)
|
3
|
3
|
Series 2004-25, Class SA, IF, 4.56%, 4/25/2034 (f)
|
80
|
82
|
Series 2004-46, Class SK, IF, 1.53%, 5/25/2034 (f)
|
145
|
139
|
Series 2004-46, Class QB, IF, 2.23%, 5/25/2034 (f)
|
77
|
82
|
Series 2004-36, Class SA, IF, 4.56%, 5/25/2034 (f)
|
197
|
208
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2004-51, Class SY, IF, 3.35%, 7/25/2034 (f)
|
39
|
36
|
Series 2005-74, Class CS, IF, 5.05%, 5/25/2035 (f)
|
27
|
27
|
Series 2005-56, Class S, IF, IO, 1.27%, 7/25/2035 (f)
|
194
|
15
|
Series 2005-66, Class SG, IF, 3.77%, 7/25/2035 (f)
|
63
|
66
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
175
|
174
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
426
|
422
|
Series 2005-110, Class GL, 5.50%, 12/25/2035
|
1,596
|
1,589
|
Series 2006-46, Class UC, 5.50%, 12/25/2035
|
35
|
34
|
Series 2005-109, Class PC, 6.00%, 12/25/2035
|
125
|
125
|
Series 2006-39, Class WC, 5.50%, 1/25/2036
|
7
|
7
|
Series 2006-16, Class OA, PO, 3/25/2036
|
63
|
53
|
Series 2006-22, Class AO, PO, 4/25/2036
|
112
|
95
|
Series 2006-23, Class KO, PO, 4/25/2036
|
17
|
15
|
Series 2006-44, Class GO, PO, 6/25/2036
|
163
|
137
|
Series 2006-53, Class US, IF, IO, 1.14%, 6/25/2036 (f)
|
238
|
20
|
Series 2006-56, PO, 7/25/2036
|
124
|
104
|
Series 2006-58, PO, 7/25/2036
|
70
|
58
|
Series 2006-58, Class AP, PO, 7/25/2036
|
142
|
118
|
Series 2006-65, Class QO, PO, 7/25/2036
|
110
|
93
|
Series 2006-56, Class FC, 5.73%, 7/25/2036 (f)
|
223
|
220
|
Series 2006-58, Class FL, 5.90%, 7/25/2036 (f)
|
17
|
17
|
Series 2006-60, Class DZ, 6.50%, 7/25/2036
|
2,746
|
2,746
|
Series 2006-72, Class TO, PO, 8/25/2036
|
18
|
15
|
Series 2006-79, Class DO, PO, 8/25/2036
|
89
|
78
|
Series 2007-7, Class SG, IF, IO, 1.06%, 8/25/2036 (f)
|
785
|
90
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
216
|
218
|
Series 2006-90, Class AO, PO, 9/25/2036
|
51
|
44
|
Series 2008-42, Class AO, PO, 9/25/2036
|
35
|
29
|
Series 2009-19, Class IP, IO, 5.50%, 10/25/2036
|
439
|
89
|
Series 2006-109, PO, 11/25/2036
|
39
|
32
|
Series 2006-110, PO, 11/25/2036
|
190
|
157
|
Series 2006-111, Class EO, PO, 11/25/2036
|
26
|
21
|
Series 2006-124, Class HB, 5.26%, 11/25/2036 (f)
|
335
|
345
|
Series 2006-119, PO, 12/25/2036
|
28
|
24
|
Series 2006-118, Class A2, 5.50%, 12/25/2036 (f)
|
110
|
107
|
Series 2009-70, Class CO, PO, 1/25/2037
|
182
|
152
|
Series 2006-128, Class BP, 5.50%, 1/25/2037
|
30
|
30
|
Series 2007-14, Class ES, IF, IO, 1.00%, 3/25/2037 (f)
|
303
|
23
|
Series 2007-77, Class FG, 5.94%, 3/25/2037 (f)
|
31
|
31
|
Series 2007-16, Class FC, 6.19%, 3/25/2037 (f)
|
40
|
39
|
Series 2007-42, Class AO, PO, 5/25/2037
|
8
|
7
|
Series 2007-48, PO, 5/25/2037
|
46
|
39
|
Series 2007-60, Class AX, IF, IO, 1.71%, 7/25/2037 (f)
|
842
|
97
|
Series 2007-81, Class GE, 6.00%, 8/25/2037
|
87
|
89
|
Series 2007-88, Class VI, IF, IO, 1.10%, 9/25/2037 (f)
|
601
|
51
|
Series 2007-91, Class ES, IF, IO, 1.02%, 10/25/2037 (f)
|
448
|
35
|
Series 2007-116, Class HI, IO, 0.26%, 1/25/2038 (f)
|
239
|
10
|
Series 2008-1, Class BI, IF, IO, 0.47%, 2/25/2038 (f)
|
144
|
9
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2008-16, Class IS, IF, IO, 0.76%, 3/25/2038 (f)
|
53
|
3
|
Series 2008-10, Class XI, IF, IO, 0.79%, 3/25/2038 (f)
|
132
|
10
|
Series 2008-27, Class SN, IF, IO, 1.46%, 4/25/2038 (f)
|
67
|
6
|
Series 2008-44, PO, 5/25/2038
|
6
|
5
|
Series 2008-53, Class CI, IF, IO, 1.76%, 7/25/2038 (f)
|
86
|
8
|
Series 2008-80, Class SA, IF, IO, 0.41%, 9/25/2038 (f)
|
193
|
13
|
Series 2008-81, Class SB, IF, IO, 0.41%, 9/25/2038 (f)
|
260
|
13
|
Series 2009-6, Class GS, IF, IO, 1.11%, 2/25/2039 (f)
|
181
|
15
|
Series 2009-60, Class HT, 6.00%, 8/25/2039
|
179
|
182
|
Series 2009-99, Class SC, IF, IO, 0.74%, 12/25/2039 (f)
|
49
|
3
|
Series 2009-103, Class MB, 5.27%, 12/25/2039 (f)
|
73
|
73
|
Series 2010-49, Class SC, IF, 1.77%, 3/25/2040 (f)
|
136
|
130
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
63
|
62
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
122
|
122
|
Series 2010-147, Class SA, IF, IO, 1.09%, 1/25/2041 (f)
|
592
|
68
|
Series 2011-30, Class LS, IO, 1.56%, 4/25/2041 (f)
|
210
|
12
|
Series 2011-75, Class FA, 5.99%, 8/25/2041 (f)
|
46
|
45
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
169
|
174
|
Series 2011-130, Class CA, 6.00%, 12/25/2041
|
404
|
405
|
Series 2013-81, Class TA, 3.00%, 2/25/2043
|
712
|
677
|
Series 2013-92, PO, 9/25/2043
|
483
|
356
|
Series 2013-90, Class PM, 3.50%, 9/25/2043
|
1,694
|
1,475
|
Series 2013-101, Class DO, PO, 10/25/2043
|
846
|
614
|
Series 2013-128, PO, 12/25/2043
|
876
|
641
|
Series 2011-2, Class WA, 5.83%, 2/25/2051 (f)
|
98
|
97
|
FNMA, REMIC Trust, Whole Loan
|
|
|
Series 2007-W7, Class 1A4, IF, 6.52%, 7/25/2037 (f)
|
5
|
6
|
Series 2003-W4, Class 2A, 5.16%, 10/25/2042 (f)
|
30
|
29
|
Series 2003-W1, Class 1A1, 4.80%, 12/25/2042 (f)
|
259
|
244
|
Series 2003-W1, Class 2A, 5.23%, 12/25/2042 (f)
|
114
|
108
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
204
|
203
|
FNMA, REMIC, Whole Loan
|
|
|
Series 2007-101, Class A2, 5.10%, 6/27/2036 (f)
|
178
|
178
|
Series 2007-54, Class FA, 5.84%, 6/25/2037 (f)
|
99
|
96
|
Series 2007-106, Class A7, 6.03%, 10/25/2037 (f)
|
54
|
56
|
FNMA, STRIPS
|
|
|
Series 265, Class 2, 9.00%, 3/25/2024
|
—
|
—
|
Series 329, Class 1, PO, 1/25/2033
|
17
|
15
|
Series 345, Class 6, IO, 5.00%, 12/25/2033 (f)
|
27
|
4
|
Series 351, Class 7, IO, 5.00%, 4/25/2034 (f)
|
87
|
11
|
Series 355, Class 11, IO, 6.00%, 7/25/2034
|
76
|
11
|
Series 365, Class 8, IO, 5.50%, 5/25/2036
|
117
|
24
|
Series 374, Class 5, IO, 5.50%, 8/25/2036
|
62
|
11
|
Series 393, Class 6, IO, 5.50%, 4/25/2037
|
21
|
2
|
Series 383, Class 32, IO, 6.00%, 1/25/2038
|
29
|
6
|
Series 383, Class 33, IO, 6.00%, 1/25/2038
|
76
|
15
|
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.87%, 6/19/2035 (f)
|
288
|
265
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
GNMA
|
|
|
Series 2001-35, Class SA, IF, IO, 2.81%, 8/16/2031 (f)
|
41
|
—
|
Series 2002-52, Class GH, 6.50%, 7/20/2032
|
197
|
196
|
Series 2003-58, Class BE, 6.50%, 1/20/2033
|
260
|
259
|
Series 2003-12, Class SP, IF, IO, 2.25%, 2/20/2033 (f)
|
63
|
1
|
Series 2003-46, Class MG, 6.50%, 5/20/2033
|
201
|
200
|
Series 2003-52, Class AP, PO, 6/16/2033
|
56
|
51
|
Series 2003-112, Class SA, IF, IO, 1.11%, 12/16/2033 (f)
|
218
|
4
|
Series 2004-28, Class S, IF, 4.69%, 4/16/2034 (f)
|
90
|
94
|
Series 2004-90, Class SI, IF, IO, 0.65%, 10/20/2034 (f)
|
289
|
14
|
Series 2005-68, Class DP, IF, 3.32%, 6/17/2035 (f)
|
25
|
25
|
Series 2010-14, Class CO, PO, 8/20/2035
|
98
|
84
|
Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (f)
|
446
|
62
|
Series 2005-68, Class KI, IF, IO, 0.85%, 9/20/2035 (f)
|
641
|
50
|
Series 2005-91, Class PI, IO, 6.00%, 12/20/2035
|
95
|
11
|
Series 2006-16, Class OP, PO, 3/20/2036
|
44
|
38
|
Series 2006-38, Class ZK, 6.50%, 8/20/2036
|
518
|
517
|
Series 2006-59, Class SD, IF, IO, 1.25%, 10/20/2036 (f)
|
149
|
8
|
Series 2006-65, Class SA, IF, IO, 1.35%, 11/20/2036 (f)
|
232
|
2
|
Series 2011-22, Class WA, 5.87%, 2/20/2037 (f)
|
219
|
223
|
Series 2007-57, PO, 3/20/2037
|
20
|
19
|
Series 2007-17, Class JO, PO, 4/16/2037
|
44
|
37
|
Series 2007-17, Class JI, IF, IO, 1.37%, 4/16/2037 (f)
|
413
|
32
|
Series 2007-19, Class SD, IF, IO, 0.75%, 4/20/2037 (f)
|
213
|
4
|
Series 2007-28, Class BO, PO, 5/20/2037
|
44
|
38
|
Series 2007-26, Class SC, IF, IO, 0.75%, 5/20/2037 (f)
|
177
|
6
|
Series 2007-27, Class SA, IF, IO, 0.75%, 5/20/2037 (f)
|
195
|
7
|
Series 2007-36, Class SE, IF, IO, 1.03%, 6/16/2037 (f)
|
104
|
3
|
Series 2007-47, Class PH, 6.00%, 7/16/2037
|
1,641
|
1,681
|
Series 2007-40, Class SB, IF, IO, 1.30%, 7/20/2037 (f)
|
392
|
19
|
Series 2007-42, Class SB, IF, IO, 1.30%, 7/20/2037 (f)
|
228
|
10
|
Series 2007-53, Class SW, IF, 3.87%, 9/20/2037 (f)
|
19
|
19
|
Series 2009-79, Class OK, PO, 11/16/2037
|
65
|
56
|
Series 2007-73, Class MI, IF, IO, 0.55%, 11/20/2037 (f)
|
128
|
3
|
Series 2007-76, Class SA, IF, IO, 1.08%, 11/20/2037 (f)
|
252
|
7
|
Series 2007-72, Class US, IF, IO, 1.10%, 11/20/2037 (f)
|
123
|
2
|
Series 2007-79, Class SY, IF, IO, 1.10%, 12/20/2037 (f)
|
116
|
3
|
Series 2008-2, Class NS, IF, IO, 1.10%, 1/16/2038 (f)
|
223
|
9
|
Series 2008-2, Class MS, IF, IO, 1.72%, 1/16/2038 (f)
|
67
|
5
|
Series 2008-10, Class S, IF, IO, 0.38%, 2/20/2038 (f)
|
137
|
2
|
Series 2008-36, Class SH, IF, IO, 0.85%, 4/20/2038 (f)
|
187
|
—
|
Series 2008-40, Class SA, IF, IO, 0.96%, 5/16/2038 (f)
|
1,082
|
57
|
Series 2008-55, Class SA, IF, IO, 0.75%, 6/20/2038 (f)
|
106
|
3
|
Series 2008-71, Class SC, IF, IO, 0.55%, 8/20/2038 (f)
|
48
|
1
|
Series 2009-25, Class SE, IF, IO, 2.15%, 9/20/2038 (f)
|
89
|
4
|
Series 2008-93, Class AS, IF, IO, 0.25%, 12/20/2038 (f)
|
138
|
6
|
Series 2009-6, Class SA, IF, IO, 0.66%, 2/16/2039 (f)
|
122
|
—
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
284
|
17
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039
|
125
|
13
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
123
|
12
|
Series 2009-22, Class SA, IF, IO, 0.82%, 4/20/2039 (f)
|
245
|
12
|
Series 2009-33, Class CI, IO, 5.50%, 5/20/2039
|
62
|
6
|
Series 2009-33, Class TI, IO, 6.00%, 5/20/2039
|
66
|
9
|
Series 2009-43, Class SA, IF, IO, 0.50%, 6/20/2039 (f)
|
119
|
4
|
Series 2009-72, Class SM, IF, IO, 0.81%, 8/16/2039 (f)
|
264
|
15
|
Series 2010-31, Class NO, PO, 3/20/2040
|
429
|
351
|
Series 2013-75, Class WA, 5.10%, 6/20/2040 (f)
|
596
|
584
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
75
|
78
|
Series 2010-157, Class OP, PO, 12/20/2040
|
465
|
382
|
Series 2011-75, Class SM, IF, IO, 1.15%, 5/20/2041 (f)
|
373
|
19
|
Series 2014-188, Class W, 4.56%, 10/20/2041 (f)
|
245
|
235
|
Series 2012-141, Class WC, 3.71%, 1/20/2042 (f)
|
156
|
144
|
Series 2013-54, Class WA, 4.91%, 11/20/2042 (f)
|
953
|
919
|
Series 2013-91, Class WA, 4.44%, 4/20/2043 (f)
|
505
|
472
|
Series 2013-116, Class JY, 4.00%, 8/16/2043
|
1,300
|
1,173
|
Series 2018-160, Class PA, 3.50%, 7/20/2046
|
963
|
918
|
Series 2012-H24, Class FG, 5.59%, 4/20/2060 (f)
|
9
|
9
|
Series 2013-H03, Class FA, 5.59%, 8/20/2060 (f)
|
—
|
—
|
Series 2012-H21, Class CF, 4.87%, 5/20/2061 (f)
|
7
|
7
|
Series 2013-H05, Class FB, 4.97%, 2/20/2062 (f)
|
10
|
9
|
Series 2012-H15, Class FA, 5.50%, 5/20/2062 (f)
|
—
|
—
|
Series 2012-H26, Class MA, 4.88%, 7/20/2062 (f)
|
3
|
3
|
Series 2012-H28, Class FA, 4.98%, 9/20/2062 (f)
|
3
|
3
|
Series 2012-H29, Class FA, 5.95%, 10/20/2062 (f)
|
191
|
190
|
Series 2012-H31, Class FD, 5.78%, 12/20/2062 (f)
|
478
|
475
|
Series 2013-H01, Class FA, 1.65%, 1/20/2063
|
1
|
—
|
Series 2013-H04, Class BA, 1.65%, 2/20/2063
|
2
|
1
|
Series 2013-H08, Class FC, 5.89%, 2/20/2063 (f)
|
279
|
277
|
Series 2013-H07, Class HA, 5.85%, 3/20/2063 (f)
|
292
|
290
|
Series 2013-H09, Class HA, 1.65%, 4/20/2063
|
10
|
9
|
Series 2013-H18, Class JA, 6.04%, 8/20/2063 (f)
|
536
|
535
|
Series 2014-H01, Class FD, 6.09%, 1/20/2064 (f)
|
254
|
253
|
Series 2014-H09, Class TA, 6.04%, 4/20/2064 (f)
|
225
|
224
|
Series 2015-H15, Class FD, 5.88%, 6/20/2065 (f)
|
941
|
936
|
Series 2015-H15, Class FJ, 5.88%, 6/20/2065 (f)
|
2,034
|
2,023
|
Series 2015-H16, Class FG, 5.88%, 7/20/2065 (f)
|
1,459
|
1,450
|
Series 2015-H23, Class FB, 5.96%, 9/20/2065 (f)
|
1,350
|
1,344
|
Series 2015-H32, Class FH, 6.10%, 12/20/2065 (f)
|
1,058
|
1,055
|
Series 2017-H08, Class XI, IO, 0.07%, 3/20/2067 (f)
|
4,567
|
185
|
Series 2021-H14, Class CF, 6.73%, 9/20/2071 (f)
|
4,352
|
4,418
|
GSMPS Mortgage Loan Trust
|
|
|
Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (f)
|
274
|
251
|
Series 2005-RP3, Class 1AS, IO, 3.73%, 9/25/2035 (b) (f)
|
366
|
3
|
Series 2005-RP3, Class 1AF, 5.81%, 9/25/2035 (b) (f)
|
485
|
403
|
Series 2006-RP2, Class 1AS2, IF, IO, 0.57%, 4/25/2036 ‡ (b) (f)
|
1,452
|
70
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
GSR Mortgage Loan Trust
|
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
83
|
82
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
43
|
42
|
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034
|
54
|
51
|
Series 2005-4F, Class AP, PO, 5/25/2035
|
—
|
—
|
Series 2005-7F, Class 3A9, 6.00%, 9/25/2035
|
255
|
241
|
Series 2006-1F, Class 2A4, 6.00%, 2/25/2036
|
667
|
317
|
Impac CMB Trust
|
|
|
Series 2004-7, Class 1A1, 6.20%, 11/25/2034 (f)
|
251
|
244
|
Series 2005-4, Class 2A1, 6.06%, 5/25/2035 (f)
|
81
|
74
|
Impac Secured Assets Trust Series 2006-1, Class 2A1, 6.16%, 5/25/2036 (f)
|
47
|
41
|
JPMorgan Mortgage Trust
|
|
|
Series 2006-A2, Class 5A3, 6.13%, 11/25/2033 (f)
|
87
|
83
|
Series 2006-A3, Class 6A1, 4.73%, 8/25/2034 (f)
|
19
|
18
|
Series 2006-A2, Class 4A1, 5.59%, 8/25/2034 (f)
|
112
|
110
|
Lehman Mortgage Trust
|
|
|
Series 2006-2, Class 1A1, 5.79%, 4/25/2036 (f)
|
180
|
114
|
Series 2008-2, Class 1A6, 6.00%, 3/25/2038
|
423
|
130
|
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 3.09%, 2/25/2026 (b) (f)
|
181
|
181
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
Series 2004-13, Class 2A1, 5.87%, 4/21/2034 (f)
|
65
|
61
|
Series 2004-4, Class 2A1, 5.56%, 5/25/2034 (f)
|
24
|
22
|
Series 2004-13, Class 3A7, 5.40%, 11/21/2034 (f)
|
151
|
139
|
Series 2004-15, Class 3A1, 5.42%, 12/25/2034 (f)
|
41
|
38
|
MASTR Alternative Loan Trust
|
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019
|
1
|
1
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
1
|
1
|
Series 2004-4, Class 10A1, 5.00%, 5/25/2024
|
30
|
28
|
Series 2003-3, Class 1A1, 6.50%, 5/25/2033
|
77
|
77
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
157
|
148
|
Series 2004-3, Class 2A1, 6.25%, 4/25/2034
|
85
|
84
|
Series 2004-6, Class 30, PO, 7/25/2034
|
89
|
67
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
157
|
147
|
Series 2004-7, Class 30, PO, 8/25/2034
|
51
|
36
|
MASTR Asset Securitization Trust
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
Series 2003-12, Class 30, PO, 12/25/2033
|
6
|
4
|
Series 2004-1, Class 30, PO, 2/25/2034
|
7
|
4
|
MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 5.81%, 5/25/2035 (b) (f)
|
1,101
|
572
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b)
|
48
|
33
|
Merrill Lynch Mortgage Investors Trust
|
|
|
Series 2003-E, Class A1, 6.08%, 10/25/2028 (f)
|
27
|
26
|
Series 2003-F, Class A1, 6.10%, 10/25/2028 (f)
|
196
|
182
|
Series 2004-A, Class A1, 5.92%, 4/25/2029 (f)
|
48
|
43
|
Series 2004-1, Class 2A1, 4.57%, 12/25/2034 (f)
|
86
|
79
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f)
|
144
|
123
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
33
|
32
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
8
|
8
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
22
|
21
|
RALI Trust
|
|
|
Series 2002-QS16, Class A3, IF, 5.21%, 10/25/2017 ‡ (f)
|
—
|
—
|
Series 2003-QS9, Class A3, IF, IO, 2.09%, 5/25/2018 ‡ (f)
|
1
|
—
|
Series 2003-QS12, Class A2A, IF, IO, 2.14%, 6/25/2018 ‡ (f)
|
—
|
—
|
Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡
|
—
|
—
(h)
|
Series 2004-QA6, Class NB2, 3.98%, 12/26/2034 (f)
|
211
|
189
|
SART Series 2017-1, 4.75%, 7/15/2024 ‡
|
141
|
139
|
Seasoned Credit Risk Transfer Trust
|
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
2,467
|
2,128
|
Series 2019-3, Class MB, 3.50%, 10/25/2058
|
1,722
|
1,338
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
3,263
|
2,738
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
4,776
|
3,824
|
Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 6.11%,
10/19/2034 (f)
|
117
|
108
|
Thornburg Mortgage Securities Trust
|
|
|
Series 2003-4, Class A1, 6.10%, 9/25/2043 (f)
|
62
|
58
|
Series 2004-4, Class 3A, 4.46%, 12/25/2044 (f)
|
150
|
137
|
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f)
|
5,394
|
4,420
|
Vendee Mortgage Trust
|
|
|
Series 1994-1, Class 1, 3.94%, 2/15/2024 (f)
|
4
|
4
|
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024
|
12
|
12
|
Series 1996-1, Class 1Z, 6.75%, 2/15/2026
|
68
|
68
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
48
|
48
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
98
|
100
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
148
|
148
|
Series 1999-1, Class 2Z, 6.50%, 1/15/2029
|
314
|
312
|
Series 2003-2, Class Z, 5.00%, 5/15/2033
|
1,481
|
1,464
|
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (f)
|
4,000
|
3,951
|
WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033
|
276
|
255
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
Series 2003-AR8, Class A, 5.61%, 8/25/2033 (f)
|
20
|
19
|
Series 2003-AR9, Class 1A6, 5.68%, 9/25/2033 (f)
|
345
|
314
|
Series 2003-AR9, Class 2A, 5.91%, 9/25/2033 (f)
|
25
|
22
|
Series 2003-S9, Class P, PO, 10/25/2033
|
8
|
6
|
Series 2003-S9, Class A8, 5.25%, 10/25/2033
|
164
|
156
|
Series 2004-AR3, Class A1, 4.50%, 6/25/2034 (f)
|
25
|
22
|
Series 2004-AR3, Class A2, 4.50%, 6/25/2034 (f)
|
21
|
19
|
Series 2006-AR10, Class 2P, 4.23%, 9/25/2036 (f)
|
40
|
34
|
Series 2006-AR12, Class 2P, 3.92%, 10/25/2036 (f)
|
41
|
34
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
|
|
|
Series 2005-2, Class 2A3, IF, IO, 4.54%, 4/25/2035 (f)
|
342
|
11
|
Series 2005-2, Class 1A4, IF, IO, 4.59%, 4/25/2035 (f)
|
1,845
|
55
|
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035
|
576
|
92
|
Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
584
|
508
|
Series 2005-4, Class CX, IO, 5.50%, 6/25/2035
|
498
|
76
|
Series 2005-6, Class 2A4, 5.50%, 8/25/2035
|
102
|
85
|
Series 2005-6, Class 2A9, 5.50%, 8/25/2035
|
653
|
541
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037
|
85
|
75
|
Total Collateralized Mortgage Obligations
(Cost $124,717)
|
|
117,267
|
Commercial Mortgage-Backed Securities — 4.3%
|
||
BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 (b) (f)
|
1,300
|
809
|
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b)
|
4,400
|
3,959
|
Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO,
0.72%, 6/11/2041 (b) (f)
|
2
|
—
|
Commercial Mortgage Trust Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b)
|
3,500
|
3,220
|
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 7.13%, 7/25/2041 (b) (f)
|
5,802
|
5,441
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series K065, Class A2, 3.24%, 4/25/2027
|
2,467
|
2,341
|
Series K070, Class A2, 3.30%, 11/25/2027 (f)
|
1,748
|
1,652
|
Series K138, Class AM, 1.89%, 1/25/2032
|
1,850
|
1,457
|
Series K146, Class A2, 2.92%, 6/25/2032
|
4,200
|
3,605
|
Series K-150, Class A2, 3.71%, 9/25/2032 (f)
|
4,145
|
3,771
|
Series K-151, Class A2, 3.80%, 10/25/2032 (f)
|
5,200
|
4,761
|
Series K-153, Class A2, 3.82%, 12/25/2032 (f)
|
4,500
|
4,120
|
FNMA ACES
|
|
|
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (f)
|
100
|
99
|
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (f)
|
878
|
820
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f)
|
5,660
|
5,371
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f)
|
3,021
|
2,849
|
Series 2018-M8, Class A2, 3.41%, 6/25/2028 (f)
|
2,337
|
2,203
|
Series 2018-M10, Class A2, 3.47%, 7/25/2028 (f)
|
3,335
|
3,143
|
Series 2017-M5, Class A2, 3.17%, 4/25/2029 (f)
|
2,369
|
2,195
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
1,300
|
1,158
|
Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (f)
|
18,449
|
1,158
|
Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (f)
|
5,230
|
4,205
|
Series 2022-M13, Class A2, 2.68%, 6/25/2032 (f)
|
6,802
|
5,629
|
Series 2022-M2S, Class A2, 3.88%, 8/25/2032 (f)
|
4,225
|
3,868
|
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (f)
|
3,290
|
3,147
|
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033
|
178
|
171
|
Series 2021-M3, Class X1, IO, 2.05%, 11/25/2033 (f)
|
3,285
|
269
|
FREMF Mortgage Trust
|
|
|
Series 2019-KBF3, Class B, 7.93%, 1/25/2029 (b) (f)
|
3,397
|
3,155
|
Series 2014-K39, Class C, 4.26%, 8/25/2047 (b) (f)
|
4,650
|
4,566
|
Series 2020-K737, Class B, 3.42%, 1/25/2053 (b) (f)
|
550
|
509
|
Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)
|
998
|
862
|
MRCD MARK Mortgage Trust
|
|
|
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
2,050
|
1,875
|
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b)
|
2,685
|
1,625
|
P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡
|
2,600
|
2,461
|
RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b)
|
653
|
585
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)
|
3,935
|
3,118
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)
|
71
|
65
|
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA, IO, 0.91%, 5/10/2063 (b) (f)
|
560
|
—
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.19%, 3/15/2045 (b) (f)
|
400
|
294
|
Total Commercial Mortgage-Backed Securities
(Cost $98,343)
|
|
90,536
|
Municipal Bonds — 0.5% (i)
|
||
California — 0.0% ^
|
||
City of Los Angeles Department of Airports, Federally Taxable Build America Bonds
Direct Payment to Issuer Series 2009C,
Rev., 6.58%, 5/15/2039
|
400
|
427
|
State of California, Various Purpose GO, 7.30%, 10/1/2039
|
350
|
403
|
Total California
|
|
830
|
New York — 0.2%
|
||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series
2010D, Rev., 5.60%, 3/15/2040
|
360
|
358
|
Port Authority of New York and New Jersey, Consolidated
|
|
|
Series 164, Rev., 5.65%, 11/1/2040
|
1,825
|
1,867
|
Series 165, Rev., 5.65%, 11/1/2040
|
440
|
450
|
Series 174, Rev., 4.46%, 10/1/2062
|
2,060
|
1,737
|
Total New York
|
|
4,412
|
Ohio — 0.2%
|
||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev.,
7.50%, 2/15/2050
|
1,315
|
1,568
|
Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111
|
1,563
|
1,349
|
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114
|
200
|
180
|
Total Ohio
|
|
3,097
|
Oklahoma — 0.0% ^
|
||
Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%,
5/1/2052
|
575
|
525
|
Texas — 0.1%
|
||
Texas Natural Gas Securitization Finance Corp. Series 2023A-1, Rev., 5.10%, 4/1/2035
|
685
|
684
|
Texas Natural Gas Securitization Finance Corp., Winter Storm URI Series 2023A-2, Rev.,
5.17%, 4/1/2041
|
1,155
|
1,137
|
Total Texas
|
|
1,821
|
Total Municipal Bonds
(Cost $11,166)
|
|
10,685
|
U.S. Government Agency Securities — 0.4%
|
||
Tennessee Valley Authority
|
|
|
5.88%, 4/1/2036
|
6,839
|
7,450
|
4.63%, 9/15/2060
|
304
|
274
|
Tennessee Valley Authority STRIPS
DN, 5.60%, 6/15/2035 (a)
|
800
|
444
|
Total U.S. Government Agency Securities
(Cost $9,307)
|
|
8,168
|
Foreign Government Securities — 0.3%
|
||
Kingdom of Saudi Arabia
|
|
|
2.25%, 2/2/2033 (b)
|
622
|
492
|
3.45%, 2/2/2061 (b)
|
550
|
347
|
Republic of Chile 2.55%, 1/27/2032
|
497
|
412
|
Republic of Panama 4.50%, 4/16/2050
|
325
|
211
|
Republic of Peru 5.63%, 11/18/2050
|
88
|
85
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
United Mexican States
|
|
|
3.75%, 1/11/2028
|
1,216
|
1,149
|
2.66%, 5/24/2031
|
1,075
|
878
|
3.50%, 2/12/2034
|
1,252
|
1,018
|
4.60%, 1/23/2046
|
2,113
|
1,649
|
6.34%, 5/4/2053
|
310
|
295
|
3.77%, 5/24/2061
|
772
|
487
|
Total Foreign Government Securities
(Cost $8,946)
|
|
7,023
|
Loan Assignments — 0.1% (c) (j)
|
||
Consumer Finance — 0.1%
|
||
OneSky Loan Trust, 1st Lien Term Loan (3-MONTH SOFR + 3.00%), 3.88%, 1/15/2031
(Cost $2,998)
|
2,970
|
2,702
|
|
SHARES
(000)
|
|
Short-Term Investments — 0.7%
|
||
Investment Companies — 0.7%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.39% (k) (l)
(Cost $14,937)
|
14,931
|
14,940
|
Total Investments — 99.6%
(Cost $2,345,607)
|
|
2,122,850
|
Other Assets Less Liabilities — 0.4%
|
|
8,495
|
NET ASSETS — 100.0%
|
|
2,131,345
|
Percentages indicated are based on net assets.
|
||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
Abbreviations
|
|
ABS
|
Asset-Backed Securities
|
ACES
|
Alternative Credit Enhancement Securities
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November
30, 2023.
|
CLO
|
Collateralized Loan Obligations
|
CME
|
Chicago Mercantile Exchange
|
CSMC
|
Credit Suisse Mortgage Trust
|
DN
|
Discount Notes
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
FRN
|
Floating Rate Note
|
GNMA
|
Government National Mortgage Association
|
GO
|
General Obligation
|
ICE
|
Intercontinental Exchange
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of November 30, 2023. The rate may be subject to a cap and floor.
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
REIT
|
Real Estate Investment Trust
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
Rev.
|
Revenue
|
SOFR
|
Secured Overnight Financing Rate
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
UMBS
|
Uniform Mortgage-Backed Securities
|
USD
|
United States Dollar
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
(a)
|
The rate shown is the effective yield as of November 30, 2023.
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of November 30, 2023.
|
|
(d)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at November 30, 2023 is $2,513 or 0.12% of the Fund’s net
assets as of November 30, 2023.
|
|
(e)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of November
30, 2023.
|
|
(f)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
November 30, 2023.
|
|
(g)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(h)
|
Value is zero.
|
|
(i)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
(j)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
(k)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(l)
|
The rate shown is the current yield as of November 30, 2023.
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
Long Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
515
|
03/19/2024
|
USD
|
56,594
|
247
|
U.S. Treasury 10 Year Ultra Note
|
55
|
03/19/2024
|
USD
|
6,249
|
37
|
U.S. Treasury Ultra Bond
|
61
|
03/19/2024
|
USD
|
7,511
|
96
|
U.S. Treasury 2 Year Note
|
130
|
03/28/2024
|
USD
|
26,589
|
69
|
U.S. Treasury 5 Year Note
|
716
|
03/28/2024
|
USD
|
76,562
|
297
|
|
|
|
|
|
746
|
Short Contracts
|
|
|
|
|
|
U.S. Treasury Long Bond
|
(184
)
|
03/19/2024
|
USD
|
(21,459
)
|
(161
)
|
|
|
|
|
|
585
|
Abbreviations
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$259,998
|
$49,050
|
$309,048
|
Collateralized Mortgage Obligations
|
—
|
113,106
|
4,161
|
117,267
|
Commercial Mortgage-Backed Securities
|
—
|
88,075
|
2,461
|
90,536
|
Corporate Bonds
|
—
|
524,576
|
—
|
524,576
|
Foreign Government Securities
|
—
|
7,023
|
—
|
7,023
|
Loan Assignments
|
—
|
2,702
|
—
|
2,702
|
Mortgage-Backed Securities
|
—
|
465,192
|
—
|
465,192
|
Municipal Bonds
|
—
|
10,685
|
—
|
10,685
|
U.S. Government Agency Securities
|
—
|
8,168
|
—
|
8,168
|
U.S. Treasury Obligations
|
—
|
572,713
|
—
|
572,713
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
14,940
|
—
|
—
|
14,940
|
Total Investments in Securities
|
$14,940
|
$2,052,238
|
$55,672
|
$2,122,850
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Futures Contracts
|
$746
|
$—
|
$—
|
$746
|
Depreciation in Other Financial Instruments
|
|
|
|
|
Futures Contracts
|
(161
)
|
—
|
—
|
(161
)
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$585
|
$—
|
$—
|
$585
|
|
Balance as of
February 28,
2023
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
November 30,
2023
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$62,369
|
$—
(a)
|
$(1,280
)
|
$3
|
$11,195
|
$(24,255
)
|
$1,018
|
$—
|
$49,050
|
Collateralized Mortgage
Obligations
|
5,720
|
—
|
231
|
(8
)
|
14
|
(1,796
)
|
—
|
—
|
4,161
|
Commercial Mortgage-Backed
Securities
|
2,483
|
—
|
(22
)
|
—
|
—
|
—
|
—
|
—
|
2,461
|
Total
|
$70,572
|
$—
(a)
|
$(1,071
)
|
$(5
)
|
$11,209
|
$(26,051
)
|
$1,018
|
$—
|
$55,672
|
|
|||||||||
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
(a)
|
Amount rounds to less than one thousand.
|
|
Fair Value at
November 30, 2023
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
$10,174
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 10.00% (5.61%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.38% - 7.78% (7.02%)
|
|
|
|
|
|
Asset-Backed Securities
|
10,174
|
|
|
|
|
4,021
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 7.00% (0.12%)
|
|
|
|
Constant Default Rate
|
0.00% - 2.99% (0.05%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
0.00% - 11.69% (11.65%)
|
Collateralized Mortgage
Obligations
|
4,021
|
|
|
|
Total
|
$14,195
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At November 30, 2023, the value
of these investments was $41,477. The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|||||||||
For the period ended November 30, 2023
|
|||||||||
Security Description
|
Value at
February 28,
2023
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2023
|
Shares at
November 30,
2023
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.39% (a) (b)
|
$63,390
|
$286,637
|
$335,092
|
$(3
)
|
$8
|
$14,940
|
14,931
|
$1,110
|
$—
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
(b)
|
The rate shown is the current yield as of November 30, 2023.
|