Quarterly Holdings Report
for
Strategic Advisers® Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general publicFebruary 29, 2020
Schedule of Investments February 29, 2020 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 24.7% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.3% | |||
Diversified Telecommunication Services - 0.5% | |||
AT&T, Inc. 3 month U.S. LIBOR + 0.930% 2.8905% 6/30/20 (a)(b) | $7,845,000 | $7,866,417 | |
SBA Tower Trust: | |||
3.156% 10/8/20 (c) | 265,000 | 265,838 | |
3.448% 3/15/48 (c) | 880,000 | 930,600 | |
Telefonica Emisiones S.A.U. 5.134% 4/27/20 | 565,000 | 567,666 | |
Verizon Communications, Inc.: | |||
3 month U.S. LIBOR + 0.550% 2.2328% 5/22/20 (a)(b) | 25,000,000 | 25,016,500 | |
5.15% 9/15/23 | 775,000 | 872,795 | |
35,519,816 | |||
Entertainment - 0.3% | |||
NBCUniversal Enterprise, Inc. 3 month U.S. LIBOR + 0.400% 2.3094% 4/1/21 (a)(b)(c) | 23,029,000 | 23,090,358 | |
The Walt Disney Co. 3 month U.S. LIBOR + 0.250% 2.1569% 9/1/21 (a)(b) | 2,211,000 | 2,215,388 | |
25,305,746 | |||
Interactive Media & Services - 0.0% | |||
Baidu.com, Inc. 3.5% 11/28/22 | 780,000 | 813,881 | |
Media - 0.5% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.579% 7/23/20 | 5,662,000 | 5,693,579 | |
4.464% 7/23/22 | 3,590,000 | 3,809,689 | |
4.908% 7/23/25 | 1,165,000 | 1,305,331 | |
Comcast Corp.: | |||
3 month U.S. LIBOR + 0.330% 2.2394% 10/1/20 (a)(b) | 7,282,000 | 7,296,204 | |
3 month U.S. LIBOR + 0.440% 2.3494% 10/1/21 (a)(b) | 8,940,000 | 8,979,837 | |
3.7% 4/15/24 | 1,075,000 | 1,167,462 | |
Fox Corp.: | |||
3.666% 1/25/22 (c) | 260,000 | 270,733 | |
4.03% 1/25/24 (c) | 305,000 | 329,842 | |
Interpublic Group of Companies, Inc. 3.5% 10/1/20 | 295,000 | 297,724 | |
Omnicom Group, Inc. 4.45% 8/15/20 | 441,000 | 446,870 | |
RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 608,551 | |
Time Warner Cable, Inc. 4.125% 2/15/21 | 6,234,000 | 6,325,751 | |
WPP Finance 2010 3.625% 9/7/22 | 310,000 | 325,483 | |
36,857,056 | |||
Wireless Telecommunication Services - 0.0% | |||
America Movil S.A.B. de CV 5% 3/30/20 | 448,000 | 449,120 | |
Axiata SPV2 Bhd 3.466% 11/19/20 (Reg. S) | 660,000 | 666,600 | |
Vodafone Group PLC 3.75% 1/16/24 | 650,000 | 698,093 | |
1,813,813 | |||
TOTAL COMMUNICATION SERVICES | 100,310,312 | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Automobiles - 1.2% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.260% 2.1536% 6/16/20 (a)(b) | 5,000,000 | 5,000,229 | |
3 month U.S. LIBOR + 0.290% 2.1805% 12/10/21 (a)(b) | 5,000,000 | 5,014,590 | |
BMW U.S. Capital LLC: | |||
3 month U.S. LIBOR + 0.380% 2.2803% 4/6/20 (a)(b)(c) | 7,796,000 | 7,801,177 | |
3 month U.S. LIBOR + 0.410% 2.2579% 4/12/21 (a)(b)(c) | 11,110,000 | 11,151,237 | |
3 month U.S. LIBOR + 0.500% 2.2073% 8/13/21 (a)(b)(c) | 830,000 | 834,389 | |
2% 4/11/21 (c) | 1,500,000 | 1,508,766 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.530% 2.271% 5/5/20 (a)(b)(c) | 9,640,000 | 9,651,731 | |
3 month U.S. LIBOR + 0.900% 2.5918% 2/15/22 (a)(b)(c) | 5,000,000 | 5,045,871 | |
2.2% 5/5/20 (c) | 1,420,000 | 1,420,893 | |
2.3% 2/12/21 (c) | 1,745,000 | 1,753,542 | |
3.1% 5/4/20 (c) | 765,000 | 766,748 | |
3.75% 11/5/21 (c) | 325,000 | 335,769 | |
General Motors Co. 4.875% 10/2/23 | 730,000 | 793,590 | |
General Motors Financial Co., Inc.: | |||
3 month U.S. LIBOR + 0.850% 2.728% 4/9/21 (a)(b) | 5,628,000 | 5,647,049 | |
3 month U.S. LIBOR + 0.930% 2.7779% 4/13/20 (a)(b) | 11,000,000 | 11,010,854 | |
2.9% 2/26/25 | 1,880,000 | 1,895,698 | |
3.2% 7/13/20 | 1,570,000 | 1,575,218 | |
4.2% 3/1/21 | 5,819,000 | 5,935,380 | |
4.2% 11/6/21 | 370,000 | 382,347 | |
Harley-Davidson Financial Services, Inc.: | |||
3 month U.S. LIBOR + 0.500% 2.196% 5/21/20 (a)(b)(c) | 795,000 | 795,513 | |
3 month U.S. LIBOR + 0.940% 2.8469% 3/2/21 (a)(b)(c) | 995,000 | 999,166 | |
2.55% 6/9/22 (c) | 375,000 | 381,760 | |
4.05% 2/4/22 (c) | 1,210,000 | 1,263,355 | |
Nissan Motor Acceptance Corp.: | |||
2.15% 9/28/20 (c) | 1,535,000 | 1,536,749 | |
3.65% 9/21/21 (c) | 580,000 | 596,944 | |
Volkswagen Group of America Finance LLC: | |||
2.5% 9/24/21 (c) | 1,805,000 | 1,828,175 | |
2.7% 9/26/22 (c) | 650,000 | 664,737 | |
3.875% 11/13/20 (c) | 980,000 | 994,963 | |
86,586,440 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp. 3.35% 4/1/23 | 645,000 | 680,262 | |
Royal Caribbean Cruises Ltd. 2.65% 11/28/20 | 250,000 | 250,493 | |
Starbucks Corp. 2.7% 6/15/22 | 435,000 | 447,037 | |
1,377,792 | |||
Household Durables - 0.0% | |||
D.R. Horton, Inc. 2.55% 12/1/20 | 495,000 | 498,481 | |
Panasonic Corp. 2.536% 7/19/22 (c) | 785,000 | 800,831 | |
1,299,312 | |||
Internet & Direct Marketing Retail - 0.1% | |||
eBay, Inc. 2.15% 6/5/20 | 805,000 | 805,291 | |
Expedia, Inc. 5.95% 8/15/20 | 335,000 | 340,464 | |
JD.com, Inc. 3.125% 4/29/21 | 2,645,000 | 2,675,583 | |
QVC, Inc.: | |||
4.375% 3/15/23 | 660,000 | 687,426 | |
5.125% 7/2/22 | 1,330,000 | 1,411,727 | |
5,920,491 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 885,000 | 910,598 | |
3% 11/19/24 | 1,190,000 | 1,248,143 | |
2,158,741 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 3 month U.S. LIBOR + 0.700% 2.5361% 4/17/20 (a)(b) | 417,000 | 417,048 | |
Specialty Retail - 0.1% | |||
O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 404,325 | |
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 2.2169% 3/1/22 (a)(b) | 10,000,000 | 10,031,674 | |
10,435,999 | |||
TOTAL CONSUMER DISCRETIONARY | 108,195,823 | ||
CONSUMER STAPLES - 1.1% | |||
Beverages - 0.3% | |||
Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700% 2.3918% 11/15/21 (a)(b) | 5,000,000 | 5,000,781 | |
Diageo Capital PLC 3 month U.S. LIBOR + 0.240% 1.9318% 5/18/20 (a)(b) | 12,795,000 | 12,801,398 | |
Dr. Pepper Snapple Group, Inc. 3.551% 5/25/21 | 940,000 | 962,465 | |
Molson Coors Beverage Co.: | |||
2.25% 3/15/20 | 910,000 | 910,041 | |
3.5% 5/1/22 | 3,209,000 | 3,337,559 | |
Pernod Ricard SA 4.45% 1/15/22 (c) | 1,155,000 | 1,216,452 | |
24,228,696 | |||
Food & Staples Retailing - 0.0% | |||
Walgreen Co. 3.1% 9/15/22 | 435,000 | 448,179 | |
Food Products - 0.3% | |||
Bunge Ltd. Finance Corp.: | |||
3% 9/25/22 | 2,775,000 | 2,866,753 | |
3.5% 11/24/20 | 4,365,000 | 4,424,706 | |
4.35% 3/15/24 | 130,000 | 140,226 | |
Campbell Soup Co. 3 month U.S. LIBOR + 0.500% 2.3936% 3/16/20 (a)(b) | 1,005,000 | 1,005,162 | |
Conagra Brands, Inc. 3 month U.S. LIBOR + 0.750% 2.5521% 10/22/20 (a)(b) | 2,955,000 | 2,955,357 | |
General Mills, Inc. 3 month U.S. LIBOR + 0.540% 2.3826% 4/16/21 (a)(b) | 7,164,000 | 7,189,550 | |
Kraft Foods Group, Inc. 3.5% 6/6/22 | 1,025,000 | 1,043,518 | |
Tyson Foods, Inc. 2.25% 8/23/21 | 600,000 | 605,799 | |
20,231,071 | |||
Tobacco - 0.5% | |||
Altria Group, Inc.: | |||
3.49% 2/14/22 | 2,867,000 | 2,969,563 | |
3.8% 2/14/24 | 1,300,000 | 1,395,876 | |
4.75% 5/5/21 | 4,386,000 | 4,546,953 | |
BAT Capital Corp.: | |||
3 month U.S. LIBOR + 0.590% 2.2938% 8/14/20 (a)(b) | 6,600,000 | 6,608,843 | |
2.764% 8/15/22 | 3,525,000 | 3,609,663 | |
Imperial Tobacco Finance PLC: | |||
2.95% 7/21/20 (c) | 15,940,000 | 16,006,082 | |
3.75% 7/21/22 (c) | 1,800,000 | 1,880,817 | |
Reynolds American, Inc. 3.25% 6/12/20 | 4,310,000 | 4,326,041 | |
41,343,838 | |||
TOTAL CONSUMER STAPLES | 86,251,784 | ||
ENERGY - 1.3% | |||
Energy Equipment & Services - 0.1% | |||
Schlumberger Finance Canada Ltd. 2.2% 11/20/20 (c) | 5,000,000 | 5,016,925 | |
Schlumberger Holdings Corp. 3.75% 5/1/24 (c) | 620,000 | 662,541 | |
5,679,466 | |||
Oil, Gas & Consumable Fuels - 1.2% | |||
Aker Bp ASA 3% 1/15/25 (c) | 995,000 | 1,007,493 | |
BP Capital Markets PLC 3 month U.S. LIBOR + 0.250% 1.9328% 11/24/20 (a)(b) | 10,000,000 | 10,007,386 | |
Cenovus Energy, Inc. 3% 8/15/22 | 1,100,000 | 1,133,113 | |
Chevron Corp. 3 month U.S. LIBOR + 0.480% 2.3855% 3/3/22 (a)(b) | 4,700,000 | 4,729,398 | |
Columbia Pipeline Group, Inc. 3.3% 6/1/20 | 1,135,000 | 1,137,895 | |
Diamondback Energy, Inc. 2.875% 12/1/24 | 2,720,000 | 2,732,389 | |
Energy Transfer Partners LP: | |||
2.9% 5/15/25 | 255,000 | 260,116 | |
4.25% 3/15/23 | 615,000 | 651,320 | |
5.875% 1/15/24 | 2,375,000 | 2,661,752 | |
Eni SpA 4% 9/12/23 (c) | 390,000 | 419,536 | |
Enterprise Products Operating LP: | |||
2.8% 2/15/21 | 1,020,000 | 1,030,487 | |
2.85% 4/15/21 | 3,000,000 | 3,040,064 | |
3.5% 2/1/22 | 1,050,000 | 1,094,074 | |
5.2% 9/1/20 | 4,000,000 | 4,067,420 | |
EQT Corp.: | |||
3% 10/1/22 | 2,275,000 | 1,905,313 | |
4.875% 11/15/21 | 1,235,000 | 1,219,563 | |
Exxon Mobil Corp. 3 month U.S. LIBOR + 0.330% 2.0218% 8/16/22 (a)(b) | 7,000,000 | 7,023,948 | |
Marathon Oil Corp. 2.8% 11/1/22 | 1,925,000 | 1,957,253 | |
MPLX LP: | |||
3 month U.S. LIBOR + 0.900% 2.785% 9/9/21 (a)(b) | 275,000 | 275,790 | |
3 month U.S. LIBOR + 1.100% 2.985% 9/9/22 (a)(b) | 1,683,000 | 1,689,168 | |
Occidental Petroleum Corp.: | |||
3 month U.S. LIBOR + 0.950% 2.6841% 2/8/21 (a)(b) | 6,819,000 | 6,859,894 | |
3 month U.S. LIBOR + 1.250% 2.9573% 8/13/21 (a)(b) | 5,104,000 | 5,119,266 | |
3 month U.S. LIBOR + 1.450% 3.1418% 8/15/22 (a)(b) | 2,050,000 | 2,057,430 | |
2.6% 8/13/21 | 1,005,000 | 1,017,807 | |
2.7% 8/15/22 | 1,815,000 | 1,849,506 | |
Phillips 66 Co. 3 month U.S. LIBOR + 0.600% 2.2466% 2/26/21 (a)(b) | 5,033,000 | 5,033,468 | |
Plains All American Pipeline LP/PAA Finance Corp. 5% 2/1/21 | 455,000 | 463,281 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 2/1/21 (a) | 3,040,000 | 3,110,958 | |
6.25% 3/15/22 | 1,590,000 | 1,710,562 | |
Saudi Arabian Oil Co. 2.75% 4/16/22 (c) | 1,815,000 | 1,838,822 | |
Shell International Finance BV 2.125% 5/11/20 | 5,000,000 | 5,002,600 | |
The Williams Companies, Inc. 3.7% 1/15/23 | 2,205,000 | 2,301,569 | |
Western Gas Partners LP 4% 7/1/22 | 1,800,000 | 1,843,428 | |
Williams Partners LP: | |||
3.35% 8/15/22 | 200,000 | 207,595 | |
5.25% 3/15/20 | 2,630,000 | 2,633,159 | |
89,092,823 | |||
TOTAL ENERGY | 94,772,289 | ||
FINANCIALS - 14.3% | |||
Banks - 9.2% | |||
Abbey National PLC: | |||
2.1% 1/13/23 | 1,255,000 | 1,271,607 | |
2.125% 11/3/20 | 570,000 | 572,486 | |
ABN AMRO Bank NV: | |||
3 month U.S. LIBOR + 0.410% 2.2291% 1/19/21 (a)(b)(c) | 10,000,000 | 10,019,460 | |
3 month U.S. LIBOR + 0.570% 2.2076% 8/27/21 (a)(b)(c) | 12,413,000 | 12,473,327 | |
Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.500% 2.1929% 8/19/20 (a)(b)(c) | 7,000,000 | 7,017,144 | |
Banco del Estado de Chile 2.704% 1/9/25 (c) | 665,000 | 672,481 | |
Banco Santander Chile 2.5% 12/15/20 (c) | 1,745,000 | 1,747,181 | |
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,826,563 | |
Banco Santander SA 3 month U.S. LIBOR + 1.120% 2.9679% 4/12/23 (a)(b) | 800,000 | 811,598 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.380% 2.1863% 1/23/22 (a)(b) | 15,000,000 | 15,032,494 | |
3 month U.S. LIBOR + 0.650% 2.5594% 10/1/21 (a)(b) | 10,000,000 | 10,028,173 | |
3 month U.S. LIBOR + 0.650% 2.5966% 6/25/22 (a)(b) | 20,000,000 | 20,094,480 | |
2.503% 10/21/22 | 1,475,000 | 1,498,666 | |
2.625% 4/19/21 | 715,000 | 723,805 | |
2.738% 1/23/22 (a) | 830,000 | 838,153 | |
3.3% 1/11/23 | 1,445,000 | 1,510,751 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.400% 2.2905% 9/10/21 (a)(b) | 5,000,000 | 5,018,008 | |
3 month U.S. LIBOR + 0.440% 2.3336% 6/15/20 (a)(b) | 11,600,000 | 11,604,408 | |
3 month U.S. LIBOR + 0.460% 2.3079% 4/13/21 (a)(b) | 960,000 | 964,007 | |
3 month U.S. LIBOR + 0.570% 2.5166% 3/26/22 (a)(b) | 5,000,000 | 5,033,443 | |
Bank of Nova Scotia 3 month U.S. LIBOR + 0.290% 2.1623% 1/8/21 (a)(b) | 10,000,000 | 10,018,744 | |
Banque Federative du Credit Mutuel SA: | |||
3 month U.S. LIBOR + 0.490% 2.3091% 7/20/20 (a)(b)(c) | 15,000,000 | 15,031,753 | |
1.96% 7/21/21 (c) | 5,000,000 | 5,041,921 | |
2.125% 11/21/22 (c) | 1,415,000 | 1,438,434 | |
2.2% 7/20/20 (c) | 940,000 | 942,221 | |
2.5% 4/13/21 (c) | 5,000,000 | 5,063,129 | |
Barclays Bank PLC: | |||
3 month U.S. LIBOR + 0.460% 2.3079% 1/11/21 (a)(b) | 11,000,000 | 10,988,075 | |
3 month U.S. LIBOR + 0.650% 2.3916% 8/7/20 (a)(b) | 15,000,000 | 15,035,145 | |
2.65% 1/11/21 | 10,905,000 | 10,995,920 | |
Barclays PLC: | |||
3 month U.S. LIBOR + 1.620% 3.459% 1/10/23 (a)(b) | 645,000 | 657,671 | |
3 month U.S. LIBOR + 2.110% 3.8441% 8/10/21 (a)(b) | 11,828,000 | 12,088,216 | |
BB&T Corp. 2.15% 2/1/21 | 1,160,000 | 1,165,343 | |
BBVA U.S.A. 3 month U.S. LIBOR + 0.730% 2.6184% 6/11/21 (a)(b) | 11,700,000 | 11,753,111 | |
BNP Paribas SA 3 month U.S. LIBOR + 0.390% 2.1316% 8/7/21 (a)(b)(c) | 5,000,000 | 5,018,286 | |
BPCE SA: | |||
3 month U.S. LIBOR + 0.300% 2.1378% 1/14/22 (a)(b)(c) | 5,000,000 | 5,006,012 | |
3 month U.S. LIBOR + 1.220% 2.9028% 5/22/22 (a)(b)(c) | 1,605,000 | 1,629,357 | |
3.145% 7/31/20 (c) | 9,500,000 | 9,568,416 | |
Capital One NA: | |||
2.15% 9/6/22 | 2,575,000 | 2,600,828 | |
2.25% 9/13/21 | 250,000 | 252,503 | |
Citibank NA: | |||
3 month U.S. LIBOR + 0.300% 2.1191% 10/20/20 (a)(b) | 4,500,000 | 4,508,179 | |
3 month U.S. LIBOR + 0.600% 2.2946% 5/20/22 (a)(b) | 8,000,000 | 8,021,542 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.190% 2.9533% 8/2/21 (a)(b) | 9,500,000 | 9,640,218 | |
3 month U.S. LIBOR + 1.380% 3.3405% 3/30/21 (a)(b) | 10,000,000 | 10,133,266 | |
2.35% 8/2/21 | 5,000,000 | 5,057,018 | |
2.7% 3/30/21 | 880,000 | 889,342 | |
2.9% 12/8/21 | 1,495,000 | 1,525,638 | |
Credit Agricole SA: | |||
3 month U.S. LIBOR + 0.970% 2.8605% 6/10/20 (a)(b)(c) | 13,280,000 | 13,309,349 | |
3 month U.S. LIBOR + 1.020% 2.8209% 4/24/23 (a)(b)(c) | 675,000 | 685,980 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3 month U.S. LIBOR + 2.290% 4.1091% 4/16/21 (a)(b) | 4,250,000 | 4,353,354 | |
3.125% 12/10/20 | 5,000,000 | 5,051,115 | |
Danske Bank A/S: | |||
2.2% 3/2/20 (c) | 1,545,000 | 1,545,000 | |
3.001% 9/20/22 (a)(c) | 1,475,000 | 1,496,798 | |
5% 1/12/22 (c) | 1,050,000 | 1,112,127 | |
Discover Bank 7% 4/15/20 | 2,025,000 | 2,037,670 | |
First Niagara Financial Group, Inc. 7.25% 12/15/21 | 515,000 | 564,014 | |
HSBC Holdings PLC: | |||
3 month U.S. LIBOR + 0.600% 2.2918% 5/18/21 (a)(b) | 6,165,000 | 6,170,282 | |
3 month U.S. LIBOR + 0.650% 2.5373% 9/11/21 (a)(b) | 15,675,000 | 15,689,437 | |
Huntington National Bank 3 month U.S. LIBOR + 0.510% 2.4005% 3/10/20 (a)(b) | 9,027,000 | 9,027,542 | |
ING Groep NV 3 month U.S. LIBOR + 1.150% 3.1105% 3/29/22 (a)(b) | 735,000 | 747,010 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 0.550% 2.435% 3/9/21 (a)(b) | 1,485,000 | 1,485,544 | |
3 month U.S. LIBOR + 0.680% 2.5869% 6/1/21 (a)(b) | 10,024,000 | 10,035,696 | |
3 month U.S. LIBOR + 1.100% 2.985% 6/7/21 (a)(b) | 11,083,000 | 11,190,828 | |
2.4% 6/7/21 | 2,836,000 | 2,864,993 | |
2.55% 10/29/20 | 10,000,000 | 10,058,023 | |
4.25% 10/15/20 | 390,000 | 396,330 | |
4.5% 1/24/22 | 1,530,000 | 1,612,278 | |
KeyBank NA 3 month U.S. LIBOR + 0.660% 2.4233% 2/1/22 (a)(b) | 8,128,000 | 8,205,864 | |
Lloyds Bank PLC 3 month U.S. LIBOR + 0.490% 2.2316% 5/7/21 (a)(b) | 9,000,000 | 9,043,013 | |
Manufacturers & Traders Trust Co. 3 month U.S. LIBOR + 0.270% 2.0641% 1/25/21 (a)(b) | 10,000,000 | 10,016,462 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.650% 2.4441% 7/26/21 (a)(b) | 6,926,000 | 6,966,708 | |
3 month U.S. LIBOR + 0.700% 2.585% 3/7/22 (a)(b) | 10,000,000 | 10,069,316 | |
3 month U.S. LIBOR + 0.860% 2.6541% 7/26/23 (a)(b) | 665,000 | 673,131 | |
3 month U.S. LIBOR + 0.920% 2.5993% 2/22/22 (a)(b) | 840,000 | 850,374 | |
2.998% 2/22/22 | 5,000,000 | 5,139,172 | |
3.218% 3/7/22 | 1,090,000 | 1,126,798 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.940% 2.5533% 2/28/22 (a)(b) | 5,000,000 | 5,058,291 | |
3 month U.S. LIBOR + 1.140% 3.0274% 9/13/21 (a)(b) | 17,000,000 | 17,210,936 | |
Nordea Bank AB: | |||
3 month U.S. LIBOR + 0.470% 2.0833% 5/29/20 (a)(b)(c) | 12,000,000 | 12,012,360 | |
4.875% 5/13/21 (c) | 710,000 | 736,791 | |
PNC Bank NA: | |||
3 month U.S. LIBOR + 0.350% 2.2373% 3/12/21 (a)(b) | 7,000,000 | 7,016,423 | |
3 month U.S. LIBOR + 0.360% 2.0529% 5/19/20 (a)(b) | 10,000,000 | 10,007,327 | |
1.743% 2/24/23 (a) | 4,078,000 | 4,102,711 | |
2.028% 12/9/22 (a) | 7,000,000 | 7,071,883 | |
Rabobank Nederland 3.95% 11/9/22 | 1,370,000 | 1,442,155 | |
Rabobank Nederland New York Branch: | |||
3 month U.S. LIBOR + 0.430% 2.2241% 4/26/21 (a)(b) | 12,500,000 | 12,555,968 | |
3 month U.S. LIBOR + 0.830% 2.664% 1/10/22 (a)(b) | 5,000,000 | 5,052,124 | |
RBS Citizens NA: | |||
3 month U.S. LIBOR + 0.540% 2.4469% 3/2/20 (a)(b) | 15,000,000 | 15,000,000 | |
3 month U.S. LIBOR + 0.570% 2.2166% 5/26/20 (a)(b) | 10,000,000 | 10,010,154 | |
Regions Bank: | |||
3 month U.S. LIBOR + 0.380% 2.2894% 4/1/21 (a)(b) | 14,385,000 | 14,405,025 | |
3 month U.S. LIBOR + 0.500% 2.2073% 8/13/21 (a)(b) | 8,350,000 | 8,354,342 | |
Royal Bank of Canada: | |||
3 month U.S. LIBOR + 0.300% 2.1021% 7/22/20 (a)(b) | 5,000,000 | 5,005,984 | |
3 month U.S. LIBOR + 0.390% 2.1595% 4/30/21 (a)(b) | 10,000,000 | 10,034,594 | |
3 month U.S. LIBOR + 0.400% 2.1941% 1/25/21 (a)(b) | 5,000,000 | 5,009,389 | |
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 | 7,000,000 | 7,333,137 | |
Santander UK Group Holdings PLC 2.875% 10/16/20 | 820,000 | 826,904 | |
Standard Chartered PLC: | |||
3 month U.S. LIBOR + 1.150% 2.9691% 1/20/23 (a)(b)(c) | 910,000 | 916,297 | |
2.744% 9/10/22 (a)(c) | 860,000 | 871,173 | |
Sumitomo Mitsui Banking Corp. 3 month U.S. LIBOR + 0.370% 2.2126% 10/16/20 (a)(b) | 5,000,000 | 5,005,638 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
3 month U.S. LIBOR + 1.140% 2.9591% 10/19/21 (a)(b) | 6,500,000 | 6,590,403 | |
3 month U.S. LIBOR + 1.680% 3.565% 3/9/21 (a)(b) | 3,000,000 | 3,044,749 | |
SunTrust Banks, Inc. 3 month U.S. LIBOR + 0.500% 2.2941% 10/26/21 (a)(b) | 5,000,000 | 5,013,331 | |
Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.470% 2.1528% 5/24/21 (a)(b) | 8,500,000 | 8,533,572 | |
Swedbank AB 2.65% 3/10/21 (c) | 2,210,000 | 2,233,532 | |
Synchrony Bank 3% 6/15/22 | 10,395,000 | 10,688,785 | |
Synovus Bank 2.289% 2/10/23 (a) | 1,237,000 | 1,251,325 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.240% 2.0341% 1/25/21 (a)(b) | 11,565,000 | 11,584,491 | |
3 month U.S. LIBOR + 0.260% 2.1596% 9/17/20 (a)(b) | 5,000,000 | 5,003,584 | |
3 month U.S. LIBOR + 0.270% 2.1696% 3/17/21 (a)(b) | 10,000,000 | 10,011,391 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.480% 2.061% 1/27/23 (a)(b) | 5,000,000 | 4,999,573 | |
U.S. Bancorp 3% 3/15/22 | 1,530,000 | 1,579,264 | |
U.S. Bank NA, Cincinnati 3 month U.S. LIBOR + 0.250% 2.0509% 7/24/20 (a)(b) | 5,000,000 | 5,003,589 | |
Wells Fargo & Co.: | |||
3 month U.S. LIBOR + 0.880% 2.6821% 7/22/20 (a)(b) | 14,900,000 | 14,943,397 | |
2.55% 12/7/20 | 95,000 | 95,665 | |
2.6% 7/22/20 | 5,000,000 | 5,018,266 | |
3.5% 3/8/22 | 735,000 | 763,737 | |
Wells Fargo Bank NA: | |||
3 month U.S. LIBOR + 0.500% 2.3063% 7/23/21 (a)(b) | 5,000,000 | 5,006,980 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.480% 2.06% 3/25/20 (a)(b) | 5,000,000 | 5,000,762 | |
2.082% 9/9/22 (a) | 1,105,000 | 1,113,459 | |
3.325% 7/23/21 (a) | 1,935,000 | 1,947,961 | |
ZB, National Association 3.5% 8/27/21 | 5,000,000 | 5,138,590 | |
703,958,743 | |||
Capital Markets - 2.0% | |||
Bank of New York, New York 3 month U.S. LIBOR + 0.280% 2.1801% 6/4/21 (a)(b) | 5,000,000 | 5,000,450 | |
Charles Schwab Corp. 3 month U.S. LIBOR + 0.320% 2.016% 5/21/21 (a)(b) | 990,000 | 992,027 | |
Citigroup Funding, Inc. 2.312% 11/4/22 (a) | 16,290,000 | 16,434,038 | |
Credit Suisse AG: | |||
U.S. SOFR SEC OVRN FIN RATE INDX + 0.450% 1.9829% 2/4/22 (a)(b) | 5,310,000 | 5,306,587 | |
2.1% 11/12/21 | 4,591,000 | 4,636,712 | |
Deutsche Bank AG New York Branch: | |||
3 month U.S. LIBOR + 0.810% 2.6171% 1/22/21 (a)(b) | 10,000,000 | 9,976,661 | |
3 month U.S. LIBOR + 1.290% 3.0411% 2/4/21 (a)(b) | 860,000 | 860,532 | |
2.7% 7/13/20 | 5,000,000 | 5,012,349 | |
2.95% 8/20/20 | 3,940,000 | 3,955,120 | |
3.15% 1/22/21 | 11,435,000 | 11,538,692 | |
3.375% 5/12/21 | 125,000 | 126,962 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 1.200% 3.0936% 9/15/20 (a)(b) | 4,670,000 | 4,690,081 | |
3 month U.S. LIBOR + 1.360% 3.1541% 4/23/21 (a)(b) | 10,000,000 | 10,103,395 | |
2.875% 2/25/21 | 375,000 | 378,831 | |
2.876% 10/31/22 (a) | 520,000 | 530,296 | |
3% 4/26/22 | 1,505,000 | 1,527,073 | |
5.75% 1/24/22 | 1,800,000 | 1,937,135 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 2.7321% 7/22/22 (a)(b) | 4,040,000 | 4,067,254 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.700% 2.2804% 1/20/23 (a)(b) | 5,000,000 | 5,008,856 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.830% 2.3926% 6/10/22 (a)(b) | 5,000,000 | 5,026,072 | |
2.5% 4/21/21 | 400,000 | 404,456 | |
2.625% 11/17/21 | 6,225,000 | 6,337,087 | |
2.75% 5/19/22 | 1,095,000 | 1,125,029 | |
5.5% 7/24/20 | 670,000 | 679,856 | |
5.75% 1/25/21 | 10,000,000 | 10,356,884 | |
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 2.1933% 11/1/21 (a)(b) | 7,500,000 | 7,513,178 | |
UBS AG London Branch 3 month U.S. LIBOR + 0.580% 2.465% 6/8/20 (a)(b)(c) | 23,790,000 | 23,811,199 | |
UBS Group Funding AG 3 month U.S. LIBOR + 1.220% 2.9028% 5/23/23 (a)(b)(c) | 880,000 | 894,389 | |
UBS Group Funding Ltd. 3% 4/15/21 (c) | 1,495,000 | 1,521,022 | |
149,752,223 | |||
Consumer Finance - 1.7% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.95% 2/1/22 | 1,070,000 | 1,105,442 | |
4.45% 12/16/21 | 1,395,000 | 1,453,490 | |
4.625% 10/30/20 | 635,000 | 644,970 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.600% 2.341% 11/5/21 (a)(b) | 6,750,000 | 6,795,265 | |
2.2% 10/30/20 | 3,000,000 | 3,008,789 | |
3% 2/22/21 | 6,095,000 | 6,172,251 | |
3.375% 5/17/21 | 1,500,000 | 1,529,283 | |
Aviation Capital Group LLC: | |||
3 month U.S. LIBOR + 0.670% 2.4395% 7/30/21 (a)(b)(c) | 1,427,000 | 1,432,103 | |
3 month U.S. LIBOR + 0.950% 2.8569% 6/1/21 (a)(b)(c) | 4,307,000 | 4,334,924 | |
Capital One Financial Corp.: | |||
3 month U.S. LIBOR + 0.760% 2.4731% 5/12/20 (a)(b) | 10,000,000 | 10,008,378 | |
2.4% 10/30/20 | 615,000 | 617,440 | |
2.5% 5/12/20 | 360,000 | 360,266 | |
3.2% 1/30/23 | 765,000 | 794,279 | |
3.5% 6/15/23 | 555,000 | 585,729 | |
3.9% 1/29/24 | 505,000 | 540,673 | |
Ford Motor Credit Co. LLC: | |||
3 month U.S. LIBOR + 0.930% 2.8648% 9/24/20 (a)(b) | 1,855,000 | 1,855,703 | |
2.459% 3/27/20 | 510,000 | 510,050 | |
3.087% 1/9/23 | 1,185,000 | 1,188,119 | |
3.157% 8/4/20 | 8,910,000 | 8,943,031 | |
3.35% 11/1/22 | 1,155,000 | 1,165,835 | |
3.47% 4/5/21 | 415,000 | 419,441 | |
3.813% 10/12/21 | 495,000 | 505,005 | |
5.875% 8/2/21 | 290,000 | 303,146 | |
GE Capital International Funding Co. 2.342% 11/15/20 | 19,564,000 | 19,617,409 | |
Hyundai Capital America: | |||
2.375% 2/10/23 (c) | 1,925,000 | 1,941,503 | |
2.45% 6/15/21 (c) | 755,000 | 761,814 | |
2.85% 11/1/22 (c) | 511,000 | 523,939 | |
3% 6/20/22 (c) | 1,060,000 | 1,087,059 | |
3.95% 2/1/22 (c) | 1,315,000 | 1,368,147 | |
John Deere Capital Corp.: | |||
3 month U.S. LIBOR + 0.160% 2.0323% 1/8/21 (a)(b) | 8,720,000 | 8,723,406 | |
3 month U.S. LIBOR + 0.170% 2.048% 10/9/20 (a)(b) | 5,000,000 | 5,005,240 | |
3 month U.S. LIBOR + 0.240% 2.1273% 3/12/21 (a)(b) | 5,000,000 | 5,000,281 | |
3 month U.S. LIBOR + 0.260% 2.1505% 9/10/21 (a)(b) | 5,000,000 | 5,006,295 | |
3 month U.S. LIBOR + 0.420% 2.254% 7/10/20 (a)(b) | 5,000,000 | 5,007,310 | |
Paccar Financial Corp. 3.1% 5/10/21 | 1,260,000 | 1,289,083 | |
Synchrony Financial 2.85% 7/25/22 | 3,473,000 | 3,551,535 | |
Toyota Motor Credit Corp.: | |||
3 month U.S. LIBOR + 0.120% 1.8323% 8/13/21 (a)(b) | 6,904,000 | 6,899,071 | |
3 month U.S. LIBOR + 0.170% 2.0685% 9/18/20 (a)(b) | 10,000,000 | 10,009,328 | |
130,065,032 | |||
Diversified Financial Services - 0.3% | |||
AIG Global Funding: | |||
3 month U.S. LIBOR + 0.460% 2.4066% 6/25/21 (a)(b)(c) | 4,293,000 | 4,309,894 | |
2.3% 7/1/22 (c) | 1,528,000 | 1,546,916 | |
3.35% 6/25/21 (c) | 770,000 | 787,872 | |
Brixmor Operating Partnership LP 3.875% 8/15/22 | 170,000 | 178,776 | |
Capital One Bank U.S.A. NA 2.014% 1/27/23 (a) | 7,000,000 | 7,055,613 | |
CNH Industrial Capital LLC: | |||
3.875% 10/15/21 | 1,325,000 | 1,374,574 | |
4.375% 11/6/20 | 1,725,000 | 1,756,577 | |
General Electric Capital Corp.: | |||
3.15% 9/7/22 | 555,000 | 573,214 | |
3.45% 5/15/24 | 530,000 | 559,816 | |
4.65% 10/17/21 | 975,000 | 1,017,805 | |
5.3% 2/11/21 | 130,000 | 133,747 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (c) | 435,000 | 454,888 | |
5.25% 8/15/22 (c) | 880,000 | 936,494 | |
20,686,186 | |||
Insurance - 1.1% | |||
ACE INA Holdings, Inc. 2.3% 11/3/20 | 970,000 | 973,978 | |
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 2.428% 9/20/21 (a)(b)(c) | 6,046,000 | 6,048,999 | |
American International Group, Inc.: | |||
4.875% 6/1/22 | 675,000 | 719,266 | |
6.4% 12/15/20 | 2,010,000 | 2,087,238 | |
Aon Corp.: | |||
2.2% 11/15/22 | 1,592,000 | 1,628,866 | |
5% 9/30/20 | 4,135,000 | 4,213,354 | |
Aon PLC 2.8% 3/15/21 | 1,320,000 | 1,336,543 | |
Lincoln National Corp. 4% 9/1/23 | 270,000 | 291,742 | |
Marsh & McLennan Companies, Inc.: | |||
3 month U.S. LIBOR + 1.200% 3.1605% 12/29/21 (a)(b) | 4,546,000 | 4,550,054 | |
3.5% 12/29/20 | 3,582,000 | 3,635,486 | |
3.875% 3/15/24 | 725,000 | 788,292 | |
MassMutual Global Funding II 2.25% 7/1/22 (c) | 1,150,000 | 1,170,833 | |
Metropolitan Life Global Funding I: | |||
3 month U.S. LIBOR + 0.400% 2.2873% 6/12/20 (a)(b)(c) | 10,000,000 | 10,011,579 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 2.15% 9/7/20 (a)(b)(c) | 5,000,000 | 5,008,755 | |
U.S. SOFR SEC OVRN FIN RATE INDX + 0.700% 2.1456% 1/13/23 (a)(b)(c) | 6,940,000 | 6,957,380 | |
2.5% 12/3/20 (Reg. S) (c) | 3,000,000 | 3,022,379 | |
Metropolitan Tower Global Funding U.S. SOFR SEC OVRN FIN RATE INDX + 0.550% 2.1278% 1/17/23 (a)(b)(c) | 5,000,000 | 5,012,692 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 2.0141% 1/10/23 (a)(b)(c) | 6,945,000 | 6,950,417 | |
3 month U.S. LIBOR + 0.320% 2.0574% 8/6/21 (a)(b)(c) | 6,177,000 | 6,200,491 | |
2.95% 1/28/21 (c) | 3,775,000 | 3,825,103 | |
Protective Life Global Funding: | |||
3 month U.S. LIBOR + 0.370% 2.2179% 7/13/20 (a)(b)(c) | 7,000,000 | 7,002,453 | |
3 month U.S. LIBOR + 0.520% 2.4805% 6/28/21 (a)(b)(c) | 2,000,000 | 2,010,418 | |
Reinsurance Group of America, Inc. 5% 6/1/21 | 125,000 | 130,452 | |
Trinity Acquisition PLC 3.5% 9/15/21 | 650,000 | 669,388 | |
84,246,158 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (c) | 370,000 | 389,860 | |
TOTAL FINANCIALS | 1,089,098,202 | ||
HEALTH CARE - 2.0% | |||
Biotechnology - 0.3% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 2.346% 11/21/22 (a)(b)(c) | 7,100,000 | 7,167,873 | |
2.15% 11/19/21 (c) | 8,884,000 | 8,967,590 | |
2.3% 5/14/21 | 850,000 | 856,881 | |
2.6% 11/21/24 (c) | 2,745,000 | 2,836,675 | |
2.9% 11/6/22 | 1,740,000 | 1,795,102 | |
3.2% 11/6/22 | 170,000 | 175,763 | |
Baxalta, Inc. 3.6% 6/23/22 | 265,000 | 275,589 | |
Biogen, Inc. 2.9% 9/15/20 | 510,000 | 513,120 | |
22,588,593 | |||
Health Care Equipment & Supplies - 0.2% | |||
Becton, Dickinson & Co.: | |||
3 month U.S. LIBOR + 0.870% 2.8355% 12/29/20 (a)(b) | 8,326,000 | 8,331,170 | |
2.404% 6/5/20 | 1,195,000 | 1,197,328 | |
2.894% 6/6/22 | 1,075,000 | 1,103,757 | |
3.125% 11/8/21 | 350,000 | 359,009 | |
Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 2.6525% 3/19/21 (a)(b) | 3,220,000 | 3,220,628 | |
14,211,892 | |||
Health Care Providers & Services - 0.8% | |||
AmerisourceBergen Corp. 3.5% 11/15/21 | 610,000 | 627,324 | |
Anthem, Inc. 2.5% 11/21/20 | 1,095,000 | 1,100,548 | |
Cardinal Health, Inc.: | |||
2.616% 6/15/22 | 115,000 | 117,764 | |
3.079% 6/15/24 | 695,000 | 724,765 | |
3.2% 3/15/23 | 875,000 | 913,911 | |
3.5% 11/15/24 | 1,180,000 | 1,252,912 | |
Cigna Corp.: | |||
3 month U.S. LIBOR + 0.350% 2.2496% 3/17/20 (a)(b) | 10,000,000 | 10,001,582 | |
3 month U.S. LIBOR + 0.650% 2.5496% 9/17/21 (a)(b) | 5,165,000 | 5,166,427 | |
3% 7/15/23 (c) | 715,000 | 742,406 | |
3.4% 9/17/21 | 370,000 | 379,594 | |
3.75% 7/15/23 | 1,110,000 | 1,181,690 | |
3.9% 2/15/22 (c) | 585,000 | 608,864 | |
4.125% 9/15/20 (c) | 710,000 | 719,653 | |
CVS Health Corp.: | |||
3 month U.S. LIBOR + 0.630% 2.515% 3/9/20 (a)(b) | 62,000 | 62,007 | |
3 month U.S. LIBOR + 0.720% 2.605% 3/9/21 (a)(b) | 8,025,000 | 8,047,470 | |
2.625% 8/15/24 | 335,000 | 346,012 | |
2.8% 7/20/20 | 11,000,000 | 11,031,932 | |
3.35% 3/9/21 | 1,556,000 | 1,581,345 | |
3.7% 3/9/23 | 1,940,000 | 2,050,358 | |
Express Scripts Holding Co. 3 month U.S. LIBOR + 0.750% 2.6638% 11/30/20 (a)(b) | 14,665,000 | 14,667,889 | |
Humana, Inc.: | |||
2.9% 12/15/22 | 160,000 | 165,019 | |
3.15% 12/1/22 | 315,000 | 327,150 | |
3.85% 10/1/24 | 60,000 | 64,896 | |
McKesson Corp. 3.65% 11/30/20 | 1,380,000 | 1,401,755 | |
63,283,273 | |||
Pharmaceuticals - 0.7% | |||
Actavis Funding SCS 3.45% 3/15/22 | 615,000 | 637,077 | |
Actavis, Inc. 3.25% 10/1/22 | 185,000 | 192,754 | |
AstraZeneca PLC 2.375% 11/16/20 | 5,000,000 | 5,030,876 | |
Bayer U.S. Finance II LLC: | |||
3 month U.S. LIBOR + 0.630% 2.5766% 6/25/21 (a)(b)(c) | 17,180,000 | 17,217,182 | |
3.5% 6/25/21 (c) | 855,000 | 874,462 | |
Bristol-Myers Squibb Co.: | |||
2.55% 5/14/21 (c) | 9,104,000 | 9,223,454 | |
2.6% 5/16/22 (c) | 635,000 | 651,435 | |
2.75% 2/15/23 (c) | 605,000 | 627,414 | |
2.875% 8/15/20 (c) | 1,203,000 | 1,210,048 | |
2.875% 2/19/21 (c) | 1,110,000 | 1,124,346 | |
2.9% 7/26/24 (c) | 840,000 | 885,095 | |
3.25% 2/20/23 (c) | 185,000 | 194,471 | |
3.55% 8/15/22 (c) | 600,000 | 631,584 | |
3.625% 5/15/24 (c) | 160,000 | 172,631 | |
EMD Finance LLC 2.95% 3/19/22 (c) | 430,000 | 440,653 | |
Perrigo Finance PLC: | |||
3.5% 12/15/21 | 631,000 | 646,184 | |
3.9% 12/15/24 | 1,780,000 | 1,876,617 | |
Shire Acquisitions Investments Ireland DAC: | |||
2.4% 9/23/21 | 1,000,000 | 1,012,860 | |
2.875% 9/23/23 | 115,000 | 119,377 | |
Takeda Pharmaceutical Co. Ltd. 4% 11/26/21 | 1,550,000 | 1,615,507 | |
Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 2.1346% 8/20/21 (a)(b) | 10,000,000 | 10,008,194 | |
54,392,221 | |||
TOTAL HEALTH CARE | 154,475,979 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.2% | |||
Northrop Grumman Corp. 2.55% 10/15/22 | 785,000 | 808,101 | |
United Technologies Corp. 3 month U.S. LIBOR + 0.650% 2.3418% 8/16/21 (a)(b) | 10,750,000 | 10,750,109 | |
11,558,210 | |||
Airlines - 0.1% | |||
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 661,706 | 683,732 | |
Delta Air Lines, Inc.: | |||
2.6% 12/4/20 | 290,000 | 292,268 | |
2.875% 3/13/20 | 1,955,000 | 1,955,269 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 410,000 | 420,660 | |
3,351,929 | |||
Building Products - 0.0% | |||
Carrier Global Corp. 2.242% 2/15/25(c) | 1,860,000 | 1,892,362 | |
Commercial Services & Supplies - 0.0% | |||
Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 913,935 | |
Electrical Equipment - 0.0% | |||
Shanghai Electric Group Global Investment Ltd. 2.65% 11/21/24 | 2,220,000 | 2,282,131 | |
Industrial Conglomerates - 0.2% | |||
General Electric Co. 2.7% 10/9/22 | 1,095,000 | 1,118,923 | |
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 2.1041% 8/8/22 (a)(b) | 9,078,000 | 9,125,778 | |
Roper Technologies, Inc.: | |||
2.35% 9/15/24 | 365,000 | 375,816 | |
3% 12/15/20 | 475,000 | 479,164 | |
3.125% 11/15/22 | 1,505,000 | 1,567,064 | |
3.65% 9/15/23 | 270,000 | 289,043 | |
12,955,788 | |||
Machinery - 0.5% | |||
Caterpillar Financial Services Corp.: | |||
3 month U.S. LIBOR + 0.200% 1.9131% 11/12/21 (a)(b) | 5,000,000 | 4,994,601 | |
3 month U.S. LIBOR + 0.230% 2.1236% 3/15/21 (a)(b) | 5,000,000 | 5,005,112 | |
3 month U.S. LIBOR + 0.250% 1.8966% 8/26/20 (a)(b) | 5,000,000 | 5,007,988 | |
3 month U.S. LIBOR + 0.280% 2.165% 9/7/21 (a)(b) | 6,790,000 | 6,805,241 | |
3 month U.S. LIBOR + 0.300% 2.185% 3/8/21 (a)(b) | 5,000,000 | 5,008,898 | |
2.95% 2/26/22 | 1,040,000 | 1,073,435 | |
Otis Worldwide Corp.: | |||
3 month U.S. LIBOR + 0.450% 2.0688% 4/5/23 (a)(b)(c) | 3,299,000 | 3,297,301 | |
2.056% 4/5/25 (c) | 1,080,000 | 1,097,361 | |
Westinghouse Air Brake Co. 3 month U.S. LIBOR + 1.050% 3.1936% 9/15/21 (a)(b) | 5,428,000 | 5,429,685 | |
37,719,622 | |||
Professional Services - 0.0% | |||
Equifax, Inc.: | |||
3 month U.S. LIBOR + 0.870% 2.5618% 8/15/21 (a)(b) | 610,000 | 612,914 | |
2.3% 6/1/21 | 975,000 | 985,941 | |
3.6% 8/15/21 | 570,000 | 585,500 | |
2,184,355 | |||
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.875% 2/15/25 (c) | 980,000 | 979,000 | |
3.625% 5/1/22 (c) | 1,560,000 | 1,596,911 | |
3.95% 7/1/24 (c) | 265,000 | 275,683 | |
Eastern Creation II Investment Holdings Ltd. 2.75% 9/26/20 | 1,380,000 | 1,385,975 | |
Penske Truck Leasing Co. LP: | |||
3.2% 7/15/20 (c) | 1,710,000 | 1,718,086 | |
3.3% 4/1/21 (c) | 1,160,000 | 1,175,433 | |
3.65% 7/29/21 (c) | 385,000 | 395,490 | |
SMBC Aviation Capital Finance: | |||
3.55% 4/15/24 (c) | 325,000 | 347,472 | |
4.125% 7/15/23 (c) | 200,000 | 214,922 | |
Union Pacific Corp. 3.2% 6/8/21 | 1,205,000 | 1,227,919 | |
9,316,891 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 810,000 | 816,064 | |
2.5% 3/1/21 | 275,000 | 276,385 | |
3.5% 1/15/22 | 5,560,000 | 5,715,979 | |
GATX Corp.: | |||
2.6% 3/30/20 | 1,445,000 | 1,445,997 | |
3.9% 3/30/23 | 545,000 | 577,780 | |
8,832,205 | |||
TOTAL INDUSTRIALS | 91,007,428 | ||
INFORMATION TECHNOLOGY - 0.4% | |||
Electronic Equipment & Components - 0.1% | |||
Amphenol Corp. 2.05% 3/1/25 | 910,000 | 922,181 | |
Avnet, Inc. 3.75% 12/1/21 | 905,000 | 934,622 | |
Jabil, Inc. 5.625% 12/15/20 | 485,000 | 498,580 | |
Tyco Electronics Group SA 3 month U.S. LIBOR + 0.450% 2.3415% 6/5/20 (a)(b) | 5,261,000 | 5,265,765 | |
7,621,148 | |||
IT Services - 0.2% | |||
Fiserv, Inc. 2.75% 7/1/24 | 1,820,000 | 1,888,723 | |
Global Payments, Inc. 2.65% 2/15/25 | 800,000 | 828,233 | |
IBM Corp.: | |||
2.5% 1/27/22 | 460,000 | 470,399 | |
2.8% 5/13/21 | 10,000,000 | 10,191,734 | |
2.85% 5/13/22 | 725,000 | 747,302 | |
2.875% 11/9/22 | 125,000 | 129,927 | |
14,256,318 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Analog Devices, Inc. 2.85% 3/12/20 | 3,085,000 | 3,085,873 | |
Broadcom Corp./Broadcom Cayman LP: | |||
2.2% 1/15/21 | 225,000 | 225,803 | |
3% 1/15/22 | 1,815,000 | 1,850,712 | |
Microchip Technology, Inc. 3.922% 6/1/21 | 2,185,000 | 2,241,577 | |
NXP BV/NXP Funding LLC: | |||
3.875% 9/1/22 (c) | 690,000 | 723,747 | |
4.125% 6/1/21 (c) | 795,000 | 817,144 | |
4.625% 6/1/23 (c) | 1,175,000 | 1,271,229 | |
10,216,085 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc. 2.4% 5/3/23 | 735,000 | 759,653 | |
TOTAL INFORMATION TECHNOLOGY | 32,853,204 | ||
MATERIALS - 0.4% | |||
Chemicals - 0.3% | |||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3 month U.S. LIBOR + 0.750% 2.5133% 5/1/20 (a)(b)(c) | 7,000,000 | 7,011,866 | |
CNAC HK Finbridge Co. Ltd.: | |||
3% 7/19/20 (Reg. S) | 825,000 | 828,094 | |
4.125% 3/14/21 (Reg. S) | 765,000 | 781,017 | |
DuPont de Nemours, Inc. 3.766% 11/15/20 | 1,105,000 | 1,118,115 | |
International Flavors & Fragrances, Inc. 3.4% 9/25/20 | 6,415,000 | 6,468,545 | |
LyondellBasell Industries NV 6% 11/15/21 | 1,755,000 | 1,866,245 | |
Syngenta Finance NV: | |||
3.698% 4/24/20 (c) | 940,000 | 941,978 | |
3.933% 4/23/21 (c) | 735,000 | 751,126 | |
19,766,986 | |||
Construction Materials - 0.0% | |||
Boral Finance Pty Ltd. 3% 11/1/22 (c) | 135,000 | 138,609 | |
Martin Marietta Materials, Inc. 3 month U.S. LIBOR + 0.650% 2.3328% 5/22/20 (a)(b) | 330,000 | 330,343 | |
Vulcan Materials Co.: | |||
3 month U.S. LIBOR + 0.600% 2.4936% 6/15/20 (a)(b) | 790,000 | 790,598 | |
3 month U.S. LIBOR + 0.650% 2.5569% 3/1/21 (a)(b) | 1,620,000 | 1,625,287 | |
2,884,837 | |||
Metals & Mining - 0.1% | |||
Anglo American Capital PLC: | |||
3.75% 4/10/22 (c) | 400,000 | 414,281 | |
4.125% 9/27/22 (c) | 624,000 | 656,851 | |
ArcelorMittal SA 6.25% 2/25/22 (a) | 1,280,000 | 1,374,272 | |
POSCO 2.375% 1/17/23 (c) | 1,870,000 | 1,898,130 | |
Southern Copper Corp. 5.375% 4/16/20 | 510,000 | 510,765 | |
4,854,299 | |||
TOTAL MATERIALS | 27,506,122 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 910,000 | 968,518 | |
Crown Castle International Corp.: | |||
2.25% 9/1/21 | 1,195,000 | 1,204,999 | |
3.4% 2/15/21 | 860,000 | 871,944 | |
Highwoods/Forsyth LP 3.625% 1/15/23 | 1,620,000 | 1,700,033 | |
Ventas Realty LP 3.1% 1/15/23 | 180,000 | 188,363 | |
4,933,857 | |||
Real Estate Management & Development - 0.0% | |||
Essex Portfolio LP 3.625% 8/15/22 | 55,000 | 57,525 | |
WEA Finance LLC/Westfield UK & Europe Finance PLC 3.25% 10/5/20 (c) | 235,000 | 236,731 | |
294,256 | |||
TOTAL REAL ESTATE | 5,228,113 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.5% | |||
American Electric Power Co., Inc. 3.65% 12/1/21 | 180,000 | 187,027 | |
Duke Energy Corp.: | |||
3 month U.S. LIBOR + 0.500% 2.2038% 5/14/21 (a)(b)(c) | 7,000,000 | 7,027,827 | |
3.55% 9/15/21 | 330,000 | 339,036 | |
Edison International: | |||
2.125% 4/15/20 | 1,140,000 | 1,140,094 | |
3.125% 11/15/22 | 650,000 | 669,884 | |
ENEL Finance International NV: | |||
2.875% 5/25/22 (c) | 1,660,000 | 1,699,132 | |
4.25% 9/14/23 (c) | 780,000 | 844,251 | |
Exelon Corp. 2.85% 6/15/20 | 5,000,000 | 5,011,884 | |
FirstEnergy Corp. 2.85% 7/15/22 | 885,000 | 911,396 | |
Florida Power & Light Co. 3 month U.S. LIBOR + 0.400% 2.1374% 5/6/22 (a)(b) | 4,252,000 | 4,246,302 | |
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (c) | 1,365,000 | 1,525,196 | |
Mississippi Power Co. 3 month U.S. LIBOR + 0.650% 2.5966% 3/27/20 (a)(b) | 1,622,000 | 1,622,785 | |
NextEra Energy Capital Holdings, Inc. 3 month U.S. LIBOR + 0.550% 2.1633% 8/28/21 (a)(b) | 1,285,000 | 1,285,385 | |
PNM Resources, Inc. 3.25% 3/9/21 | 995,000 | 1,009,108 | |
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) | 2,200,000 | 2,242,770 | |
Southern Co. 2.35% 7/1/21 | 280,000 | 281,936 | |
State Grid Overseas Investment Ltd. 2.25% 5/4/20 (c) | 2,235,000 | 2,237,362 | |
Vistra Operations Co. LLC 3.55% 7/15/24 (c) | 3,025,000 | 3,120,627 | |
35,402,002 | |||
Gas Utilities - 0.1% | |||
CenterPoint Energy Resources Corp. 4.5% 1/15/21 | 590,000 | 599,239 | |
WGL Holdings, Inc. 3 month U.S. LIBOR + 0.550% 2.4373% 3/12/20 (a)(b) | 7,520,000 | 7,520,513 | |
8,119,752 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
NRG Energy, Inc. 3.75% 6/15/24 (c) | 535,000 | 560,174 | |
Multi-Utilities - 0.6% | |||
CenterPoint Energy, Inc. 3.6% 11/1/21 | 455,000 | 471,549 | |
Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 2.3466% 6/25/21 (a)(b) | 11,500,000 | 11,548,319 | |
Dominion Energy, Inc.: | |||
3 month U.S. LIBOR + 0.400% 2.3069% 12/1/20 (a)(b)(c) | 10,000,000 | 10,020,868 | |
2.579% 7/1/20 (a) | 2,335,000 | 2,339,043 | |
2.715% 8/15/21 | 3,153,000 | 3,203,360 | |
San Diego Gas & Electric Co. 1.914% 2/1/22 | 137,146 | 136,709 | |
Sempra Energy: | |||
3 month U.S. LIBOR + 0.500% 2.3313% 1/15/21 (a)(b) | 17,575,000 | 17,579,218 | |
2.85% 11/15/20 | 1,830,000 | 1,845,789 | |
2.875% 10/1/22 | 535,000 | 551,314 | |
47,696,169 | |||
TOTAL UTILITIES | 91,778,097 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,871,762,644) | 1,881,477,353 | ||
U.S. Treasury Obligations - 2.8% | |||
U.S. Treasury Notes: | |||
1.125% 2/28/21 | $10,000,000 | $10,004,688 | |
1.5% 9/15/22 | 5,620,000 | 5,706,934 | |
1.625% 12/15/22 | 1,840,000 | 1,877,591 | |
1.75% 6/15/22 | 9,360,000 | 9,542,813 | |
1.75% 7/15/22 | 11,060,000 | 11,282,064 | |
2.125% 5/15/22 | 14,690,000 | 15,080,203 | |
2.25% 4/15/22(d) | 23,070,000 | 23,717,042 | |
2.375% 3/15/22 | 13,215,000 | 13,607,836 | |
2.5% 1/15/22 | 11,750,000 | 12,091,025 | |
2.5% 2/15/22 | 17,605,000 | 18,142,778 | |
2.75% 11/30/20 (d) | 63,000,000 | 63,743,203 | |
2.875% 11/15/21 | 25,186,000 | 26,001,593 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $207,571,995) | 210,797,770 | ||
U.S. Government Agency - Mortgage Securities - 0.6% | |||
Fannie Mae - 0.3% | |||
12 month U.S. LIBOR + 1.550% 3.692% 12/1/35 (a)(b) | 6,299 | 6,604 | |
12 month U.S. LIBOR + 1.620% 4.27% 7/1/35 (a)(b) | 5,732 | 5,994 | |
12 month U.S. LIBOR + 1.650% 4.264% 8/1/37 (a)(b) | 2,304 | 2,409 | |
12 month U.S. LIBOR + 1.690% 4.565% 5/1/38 (a)(b) | 25,631 | 26,681 | |
12 month U.S. LIBOR + 1.780% 4.743% 5/1/38 (a)(b) | 12,730 | 13,295 | |
12 month U.S. LIBOR + 1.830% 4.719% 4/1/38 (a)(b) | 18,310 | 19,060 | |
12 month U.S. LIBOR + 1.850% 4.521% 8/1/38 (a)(b) | 9,944 | 10,406 | |
12 month U.S. LIBOR + 1.860% 4.763% 5/1/38 (a)(b) | 20,652 | 21,608 | |
12 month U.S. LIBOR + 2.040% 4.132% 12/1/36 (a)(b) | 3,837 | 4,048 | |
6 month U.S. LIBOR + 1.360% 3.548% 10/1/33 (a)(b) | 35,932 | 37,123 | |
3% 2/1/30 to 2/1/35 | 1,838,475 | 1,936,448 | |
3.5% 11/1/26 to 2/1/48 | 596,512 | 626,188 | |
4% 1/1/47 to 12/1/49 | 6,007,291 | 6,386,684 | |
4.5% 11/1/20 to 1/1/50 (e) | 8,274,181 | 8,914,898 | |
5% 5/1/20 to 2/1/49 | 2,429,607 | 2,671,050 | |
5.5% 7/1/20 to 5/1/40 | 2,251,695 | 2,569,069 | |
6% to 6% 1/1/22 to 2/1/49 | 2,101,606 | 2,461,618 | |
6.5% 7/1/32 to 12/1/32 | 96,101 | 111,084 | |
TOTAL FANNIE MAE | 25,824,267 | ||
Freddie Mac - 0.1% | |||
12 month U.S. LIBOR + 1.590% 3.841% 9/1/35 (a)(b) | 3,642 | 3,807 | |
12 month U.S. LIBOR + 1.620% 4.315% 7/1/38 (a)(b) | 23,823 | 24,810 | |
12 month U.S. LIBOR + 1.620% 4.5% 6/1/38 (a)(b) | 29,129 | 30,277 | |
12 month U.S. LIBOR + 1.720% 4.48% 7/1/35 (a)(b) | 10,589 | 11,100 | |
12 month U.S. LIBOR + 1.720% 4.614% 5/1/38 (a)(b) | 9,421 | 9,818 | |
12 month U.S. LIBOR + 1.730% 4.514% 10/1/36 (a)(b) | 24,270 | 25,378 | |
12 month U.S. LIBOR + 1.730% 4.858% 2/1/37 (a)(b) | 4,941 | 5,212 | |
12 month U.S. LIBOR + 1.740% 4.867% 2/1/37 (a)(b) | 6,288 | 6,635 | |
12 month U.S. LIBOR + 1.770% 4.65% 5/1/37 (a)(b) | 9,123 | 9,526 | |
12 month U.S. LIBOR + 2.020% 4.048% 11/1/36 (a)(b) | 3,021 | 3,177 | |
12 month U.S. LIBOR + 2.050% 4.118% 12/1/36 (a)(b) | 6,278 | 6,611 | |
12 month U.S. LIBOR + 2.080% 5.207% 2/1/38 (a)(b) | 22,475 | 23,640 | |
12 month U.S. LIBOR + 2.180% 4.91% 2/1/37 (a)(b) | 10,046 | 10,596 | |
U.S. TREASURY 1 YEAR INDEX + 2.340% 4.097% 11/1/34 (a)(b) | 14,437 | 15,221 | |
3% 11/1/34 | 469,820 | 494,722 | |
3.5% 12/1/49 | 1,641,923 | 1,709,182 | |
4.5% 9/1/49 to 12/1/49 | 941,030 | 1,008,189 | |
5% 10/1/22 to 12/1/23 | 146,158 | 151,829 | |
5.5% 11/1/21 to 10/1/38 | 27,981 | 29,443 | |
6% 7/1/21 to 1/1/38 | 134,208 | 155,764 | |
7% 3/1/39 | 186,914 | 218,747 | |
7.5% 6/1/38 | 198,315 | 232,286 | |
TOTAL FREDDIE MAC | 4,185,970 | ||
Ginnie Mae - 0.2% | |||
6% 7/15/36 | 240,665 | 275,592 | |
4% 2/20/48 to 11/20/49 | 1,917,777 | 2,014,800 | |
4.5% 9/20/40 to 7/20/49 | 4,364,441 | 4,592,403 | |
5% 12/20/34 to 5/20/48 | 2,522,543 | 2,746,518 | |
5.5% 9/15/45 to 2/20/49 | 2,483,408 | 2,709,526 | |
TOTAL GINNIE MAE | 12,338,839 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $41,516,151) | 42,349,076 | ||
Asset-Backed Securities - 7.8% | |||
Allegro CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 0.840% 2.6341% 7/25/27 (a)(b)(c) | $681,161 | $681,354 | |
Ally Auto Receivables Trust: | |||
Series 2017-2: | |||
Class C, 2.46% 9/15/22 | 745,000 | 749,113 | |
Class D, 2.93% 11/15/23 | 200,000 | 201,573 | |
Series 2019-1 Class A2, 2.85% 3/15/22 | 3,928,069 | 3,941,657 | |
Series 2019-2 Class A2, 2.34% 6/15/22 | 4,138,209 | 4,154,108 | |
Series 2019-3 Class A4, 1.96% 12/16/24 | 600,000 | 611,955 | |
Series 2019-4 Class A2, 1.93% 10/17/22 | 3,150,000 | 3,164,365 | |
Ally Master Owner Trust: | |||
Series 2018-1 Class A1: | |||
1 month U.S. LIBOR + 0.280% 1.9383% 1/17/23 (a)(b) | 8,383,000 | 8,388,376 | |
2.7% 1/17/23 | 1,905,000 | 1,926,204 | |
Series 2018-3 Class A, 1 month U.S. LIBOR + 0.320% 1.9783% 7/15/22 (a)(b) | 5,000,000 | 5,003,244 | |
American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (c) | 1,748,138 | 1,753,792 | |
American Express Credit Account Master Trust: | |||
Series 2019-1 Class A, 2.87% 10/15/24 | 1,749,000 | 1,807,522 | |
Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 754,830 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2016-1 Class C, 2.89% 1/10/22 | 605,105 | 605,944 | |
Series 2016-3 Class D, 2.71% 9/8/22 | 810,000 | 818,262 | |
Series 2016-4 Class D, 2.74% 12/8/22 | 2,320,000 | 2,356,769 | |
Series 2017-1: | |||
Class C, 2.71% 8/18/22 | 240,000 | 242,489 | |
Class D, 3.13% 1/18/23 | 1,330,000 | 1,360,584 | |
Series 2017-3: | |||
Class B, 2.24% 6/19/23 | 395,000 | 396,984 | |
Class C, 2.69% 6/19/23 | 420,000 | 425,788 | |
Class D, 3.18% 7/18/23 | 1,355,000 | 1,392,272 | |
Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,719,637 | |
Series 2018-3 Class A3, 3.38% 7/18/23 | 3,532,000 | 3,599,080 | |
Series 2019-3: | |||
Class A2A, 2.17% 1/18/23 | 3,340,000 | 3,356,879 | |
Class B, 2.13% 7/18/25 | 985,000 | 1,003,704 | |
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (c) | 1,360,000 | 1,401,439 | |
ARI Fleet Lease Trust: | |||
Series 2017-A Class A2, 1.91% 4/15/26 (c) | 30,822 | 30,832 | |
Series 2018-A Class A2, 2.55% 10/15/26 (c) | 342,064 | 343,163 | |
Series 2020-A Class B, 2.06% 11/15/28 (c) | 770,000 | 769,791 | |
Ascentium Equipment Receivables LLC: | |||
Series 2017-1A Class A3, 2.29% 6/10/21 (c) | 120,711 | 121,045 | |
Series 2018-1A Class A2, 2.92% 12/10/20 (c) | 17,691 | 17,698 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2015-2A Class A, 2.63% 12/20/21 (c) | 890,000 | 896,074 | |
Series 2016-1A Class A, 2.99% 6/20/22 (c) | 610,000 | 619,566 | |
Series 2017-1A Class B, 3.41% 9/20/23 (c) | 540,000 | 557,107 | |
Series 2017-2A Class A, 2.97% 3/20/24 (c) | 905,000 | 943,432 | |
Series 2018-2A Class C, 4.95% 3/20/25 (c) | 430,000 | 473,713 | |
Series 2019-1A Class B, 3.7% 3/20/23 (c) | 245,000 | 252,358 | |
Series 2019-2A Class A, 3.35% 9/22/25 (c) | 650,000 | 695,506 | |
Series 2020-1A Class A, 2.33% 8/20/26 (c) | 540,000 | 554,072 | |
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 2.6191% 1/20/28 (a)(b)(c) | 1,525,000 | 1,522,560 | |
Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (c) | 1,128,184 | 1,134,116 | |
Bayview Opportunity Master Fund Trust: | |||
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(c) | 1,120,405 | 1,147,221 | |
Series 2017-SPL4 Class A, 3.5% 1/28/55 (c) | 337,476 | 344,407 | |
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (c) | 986,069 | 1,015,048 | |
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 2.7491% 7/18/27 (a)(b)(c) | 1,595,000 | 1,590,215 | |
BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 1.9783% 5/15/23 (a)(b)(c) | 6,174,000 | 6,181,737 | |
BMW Vehicle Lease Trust: | |||
Series 2018-1 Class A2, 2.97% 12/21/20 | 1,046,779 | 1,048,212 | |
Series 2019-1 Class A2, 2.79% 3/22/21 | 3,041,632 | 3,051,829 | |
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (c) | 318,466 | 331,629 | |
Canadian Pacer Auto Receivables Trust: | |||
Series 2018-2A Class A2B, 1 month U.S. LIBOR + 0.180% 1.8268% 6/21/21 (a)(b)(c) | 1,446,319 | 1,446,048 | |
Series 2019-1A Class A2, 2.78% 3/21/22 (c) | 2,865,519 | 2,880,486 | |
Capital Auto Receivables Asset Trust: | |||
Series 2017-1: | |||
Class B, 2.43% 5/20/22 (c) | 145,000 | 146,268 | |
Class C, 2.7% 9/20/22 (c) | 235,000 | 238,514 | |
Series 2018-2: | |||
Class B, 3.48% 10/20/23 (c) | 370,000 | 375,782 | |
Class C, 3.69% 12/20/23 (c) | 460,000 | 469,286 | |
Capital One Multi-Asset Execution Trust Series 2016-16 Class A2, 1 month U.S. LIBOR + 0.630% 2.2885% 2/15/24 (a)(b) | 13,275,000 | 13,358,459 | |
Capital One Prime Auto Receivables Trust Series 2019-1 Class A2, 2.58% 4/15/22 | 7,026,678 | 7,062,008 | |
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 2.7954% 7/28/28 (a)(b)(c) | 1,615,000 | 1,609,509 | |
CarMax Auto Owner Trust: | |||
Series 2017-4 Class C, 2.7% 10/16/23 | 205,000 | 209,365 | |
Series 2018-3 Class A2A, 2.88% 10/15/21 | 1,068,181 | 1,070,142 | |
Series 2018-4 Class A2B, 1 month U.S. LIBOR + 0.200% 1.8583% 2/15/22 (a)(b) | 2,081,481 | 2,081,524 | |
Series 2019-1 Class A2A, 3.02% 7/15/22 | 2,748,536 | 2,762,916 | |
Series 2019-2 Class A2A, 2.69% 7/15/22 | 2,340,553 | 2,355,507 | |
Series 2019-4 Class A2A, 2.01% 3/15/23 | 1,291,000 | 1,298,228 | |
Series 2020-1 Class A2, 1.87% 4/17/23 | 3,542,000 | 3,565,877 | |
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (c) | 449,000 | 450,512 | |
Chesapeake Funding II LLC: | |||
Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.450% 2.1083% 5/15/29 (a)(b)(c) | 2,859,170 | 2,860,361 | |
Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.340% 1.9983% 11/15/29 (a)(b)(c) | 1,491,642 | 1,491,493 | |
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 2.1383% 1/15/31 (a)(b)(c) | 2,088,918 | 2,088,590 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (c) | 3,064,322 | 3,135,685 | |
Citibank Credit Card Issuance Trust Series 2017-A4 Class A4, 1 month U.S. LIBOR + 0.220% 1.8896% 4/7/22 (a)(b) | 10,000,000 | 10,001,618 | |
CNH Equipment Trust: | |||
Series 2018-A Class B, 3.47% 10/15/25 | 380,000 | 394,394 | |
Series 2019-A Class A2, 2.96% 5/16/22 | 2,192,931 | 2,207,001 | |
Series 2019-B Class A2, 2.55% 9/15/22 | 5,885,541 | 5,916,720 | |
Series 2019-C Class A2, 1.99% 3/15/23 | 1,322,000 | 1,328,506 | |
Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 2.8691% 10/20/28 (a)(b)(c) | 1,610,000 | 1,609,195 | |
Dell Equipment Finance Trust: | |||
Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.300% 1.9289% 10/22/20 (a)(b)(c) | 736,778 | 737,085 | |
Series 2018-2 Class A2 3.16% 2/22/21 (c) | 1,894,217 | 1,903,072 | |
Series 2019-1 Class A2, 2.78% 8/23/21 (c) | 3,581,551 | 3,604,099 | |
Series 2019-2: | |||
Class A2, 1.95% 12/22/21 (c) | 4,210,000 | 4,225,758 | |
Class A3, 1.91% 10/22/24 (c) | 1,714,000 | 1,735,966 | |
Discover Card Master Trust: | |||
Series 2018-A5 Class A5, 3.32% 3/15/24 | 5,000,000 | 5,155,991 | |
Series 2019-A2 Class A, 1 month U.S. LIBOR + 0.270% 1.9285% 12/15/23 (a)(b) | 10,000,000 | 10,010,382 | |
DLL Securitization Trust: | |||
Series 2019-MA2 Class A2, 2.27% 5/20/22 (c) | 3,613,331 | 3,630,072 | |
Series 2019-MT3: | |||
Class A2, 2.13% 1/20/22 (c) | 4,210,000 | 4,231,719 | |
Class A3, 2.08% 2/21/23 (c) | 1,639,000 | 1,659,506 | |
Drive Auto Receivables Trust Series 2019-4 Class A2A, 2.32% 6/15/22 | 2,302,615 | 2,306,682 | |
DT Auto Owner Trust: | |||
Series 2019-3A Class A, 2.55% 8/15/22 (c) | 2,110,230 | 2,118,558 | |
Series 2019-4A Class A, 2.17% 5/15/23 (c) | 3,160,552 | 3,171,748 | |
Elara HGV Timeshare Issuer LLC: | |||
Series 2014-A Class A, 2.53% 2/25/27 (c) | 54,324 | 54,617 | |
Series 2017-A Class A, 2.69% 3/25/30 (c) | 197,039 | 201,893 | |
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (c) | 648,834 | 657,884 | |
Enterprise Fleet Financing LLC: | |||
Series 2017-1 Class A2, 2.13% 7/20/22 (c) | 14,664 | 14,672 | |
Series 2017-3 Class A2, 2.13% 5/22/23 (c) | 433,922 | 434,632 | |
Series 2018-1 Class A2, 2.87% 10/20/23 (c) | 279,323 | 281,252 | |
Series 2018-2 Class A2, 3.14% 2/20/24 (c) | 580,706 | 587,381 | |
Series 2019-1 Class A2, 2.98% 10/20/24 (c) | 3,125,987 | 3,179,865 | |
Series 2019-3 Class A2, 2.06% 5/20/25 (c) | 855,000 | 864,362 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (c) | 7,440,000 | 7,499,300 | |
Fifth Third Auto Trust Series 2019-1 Class A2A, 2.66% 5/16/22 | 3,416,775 | 3,433,554 | |
Ford Credit Auto Lease Trust: | |||
Series 2017-B Class A4, 2.17% 2/15/21 | 2,052 | 2,052 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.200% 1.8183% 4/15/21 (a)(b) | 1,421,806 | 1,421,677 | |
Series 2019-B Class A2A, 2.28% 2/15/22 | 3,372,000 | 3,387,354 | |
Series 2020-A Class A2, 1.8% 7/15/22 | 7,000,000 | 7,036,177 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2017-1 Class A2, 1 month U.S. LIBOR + 0.420% 2.0783% 5/15/22 (a)(b) | 10,000,000 | 10,007,465 | |
Series 2017-2: | |||
Class A2, 1 month U.S. LIBOR + 0.350% 2.0083% 9/15/22 (a)(b) | 10,000,000 | 10,012,907 | |
Class B, 2.34% 9/15/22 | 1,345,000 | 1,348,526 | |
GM Financial Automobile Leasing Trust: | |||
Series 2017-3 Class C, 2.73% 9/20/21 | 300,000 | 300,507 | |
Series 2018-2 Class C, 3.5% 4/20/22 | 470,000 | 476,492 | |
Series 2019-1: | |||
Class A2A, 2.91% 4/20/21 | 2,721,611 | 2,731,839 | |
Class C, 3.56% 12/20/22 | 835,000 | 857,784 | |
Series 2020-1 Class A2A, 1.67% 4/20/22 | 10,000,000 | 10,037,110 | |
3.11% 12/20/21 | 435,000 | 438,233 | |
GM Financial Consumer Automobile Receivables Trust Series 2020-1 Class A2, 1.83% 1/17/23 | 4,419,000 | 4,438,982 | |
GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (c) | 245,000 | 248,146 | |
GM Financial Securitized Term Auto Receivables Trust: | |||
Series 2018-2 Class A2B, 1 month U.S. LIBOR + 0.120% 1.7883% 5/17/21 (a)(b) | 213,913 | 213,920 | |
Series 2018-4 Class A2, 2.93% 11/16/21 | 609,567 | 610,641 | |
Series 2019-1 Class A2, 2.99% 3/16/22 | 1,324,205 | 1,327,616 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.430% 2.0883% 7/15/22 (a)(b)(c) | 10,000,000 | 10,008,002 | |
Series 2019-1 Class A, 2.7% 4/15/24 (c) | 710,000 | 726,134 | |
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 2.9691% 10/20/28 (a)(b)(c) | 930,000 | 929,535 | |
GreatAmerica Leasing Receivables Funding LLC 2.6% 6/15/21 (c) | 265,989 | 267,055 | |
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class AI, 4.25% 6/20/48 (c) | 931,352 | 949,122 | |
Hilton Grand Vacations Trust: | |||
Series 2014-AA Class A, 1.77% 11/25/26 (c) | 86,129 | 86,128 | |
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (c) | 101,954 | 103,747 | |
Class B, 2.96% 12/26/28 (a)(c) | 69,968 | 71,169 | |
Honda Auto Receivables Owner Trust Series 2019-2 Class A2, 2.57% 12/21/21 | 4,434,743 | 4,457,127 | |
Honda Automobile Receivables Series 2020-1 Class A2, 1.63% 10/21/22 | 11,000,000 | 11,048,681 | |
HPEFS Equipment Trust Series 2020-1A Class A2, 1.73% 2/20/30 (c) | 4,012,000 | 4,023,545 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2019-A Class A2, 2.92% 7/15/21 (c) | 4,810,579 | 4,833,742 | |
Series 2020-A: | |||
Class A2, 1.9% 5/16/22 (c) | 5,500,000 | 5,530,692 | |
Class A3, 1.95% 7/17/23 (c) | 2,698,000 | 2,729,180 | |
Hyundai Auto Receivables Trust: | |||
Series 2017-A Class B, 2.38% 4/17/23 | 340,000 | 343,311 | |
Series 2018-A Class A2B, 1 month U.S. LIBOR + 0.120% 1.7783% 4/15/21 (a)(b) | 391,240 | 391,243 | |
Series 2019-A: | |||
Class A2, 2.67% 12/15/21 | 3,699,224 | 3,714,021 | |
Class B, 2.94% 5/15/25 | 635,000 | 660,843 | |
Series 2019-B: | |||
Class A2, 1.93% 7/15/22 | 5,000,000 | 5,025,599 | |
Class A3, 1.94% 2/15/24 | 3,090,000 | 3,136,236 | |
John Deere Owner Trust: | |||
Series 2018-B Class A2, 2.83% 4/15/21 | 458,470 | 458,801 | |
Series 2019-A Class A2, 2.85% 12/15/21 | 3,037,807 | 3,053,282 | |
Series 2019-B Class A2, 2.28% 5/16/22 | 4,073,000 | 4,093,565 | |
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 2.6426% 1/16/28 (a)(b)(c) | 1,620,000 | 1,613,520 | |
Kubota Credit Owner Trust Series 2019-1A Class A3, 2.46% 10/16/23 (c) | 2,870,000 | 2,941,245 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) | 1,768,000 | 1,784,570 | |
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 3.0091% 10/21/30 (a)(b)(c) | 1,165,000 | 1,164,418 | |
Magnetite CLO Ltd. Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 2.6191% 1/18/28 (a)(b)(c) | 2,045,000 | 2,042,137 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2019-A: | |||
Class A2, 3.01% 2/16/21 | 2,124,501 | 2,128,589 | |
Class A3, 3.1% 11/15/21 | 2,592,000 | 2,622,707 | |
Series 2019-B Class A3, 2% 10/17/22 | 2,416,000 | 2,439,626 | |
Series 2020-A Class A2, 1.82% 3/15/22 | 7,000,000 | 7,024,693 | |
Mercedes-Benz Auto Receivables Trust Series 2019-1 Class A2A, 2.04% 6/15/22 | 10,000,000 | 10,032,713 | |
Mercedes-Benz Master Owner Trust Series 2017-BA Class A, 1 month U.S. LIBOR + 0.420% 2.0783% 5/16/22 (a)(b)(c) | 10,000,000 | 10,007,798 | |
MMAF Equipment Finance LLC: | |||
Series 2017-AA Class A3, 2.04% 2/16/22 (c) | 136,771 | 136,958 | |
Series 2019-B Class A2, 2.07% 10/12/22 (c) | 2,712,000 | 2,728,664 | |
MVW Owner Trust: | |||
Series 2013-1A Class A, 2.15% 4/22/30 (c) | 26,720 | 26,721 | |
Series 2014-1A Class A, 2.25% 9/22/31 (c) | 101,061 | 101,512 | |
Series 2015-1A Class A, 2.52% 12/20/32 (c) | 239,658 | 241,515 | |
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (c) | 706,112 | 719,387 | |
Class B, 2.75% 12/20/34 (c) | 41,536 | 42,448 | |
Class C, 2.99% 12/20/34 (c) | 99,686 | 101,480 | |
Navient Private Education Loan Trust Series 2020-A Class A2A, 2.46% 11/15/68 (c) | 840,000 | 867,528 | |
Navient Private Education Refi Loan Trust: | |||
Series 2018-A Class A1, 2.53% 2/18/42 (c) | 160,208 | 160,542 | |
Series 2019-GA Class A, 2.4% 10/15/68 (c) | 2,187,177 | 2,240,081 | |
Navient Student Loan Trust: | |||
Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 1.9268% 7/26/66 (a)(b)(c) | 3,182 | 3,182 | |
Class A2, 1 month U.S. LIBOR + 0.600% 2.2268% 7/26/66 (a)(b)(c) | 6,820,000 | 6,842,116 | |
Series 2017-A Class A2A, 2.88% 12/16/58 (c) | 1,906,945 | 1,946,875 | |
Series 2018-4A Class A1, 1 month U.S. LIBOR + 0.250% 1.8768% 6/27/67 (a)(b)(c) | 2,466,661 | 2,466,303 | |
Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 1.8968% 2/27/68 (a)(b)(c) | 505,302 | 505,302 | |
Series 2019-CA Class A1, 2.82% 2/15/68 (c) | 813,911 | 819,783 | |
Series 2019-EA: | |||
Class A1, 2.39% 5/15/68 (c) | 1,316,479 | 1,328,889 | |
Class A2A, 2.64% 5/15/68 (c) | 1,560,000 | 1,614,888 | |
Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 2.2568% 9/25/23 (a)(b)(c) | 4,181,000 | 4,189,038 | |
Nelnet Student Loan Trust: | |||
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 2.1078% 3/22/32 (a)(b) | 769,573 | 742,685 | |
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 2.3901% 3/26/68 (a)(b)(c) | 400,000 | 399,199 | |
Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 2.6813% 1/15/28 (a)(b)(c) | 915,000 | 911,615 | |
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 2.6313% 7/15/27 (a)(b)(c) | 1,581,139 | 1,576,554 | |
New Residential Mortgage Loan Trust Series 2019-NQM3: | |||
Class A1, 2.8018% 7/25/49 (c) | 1,124,706 | 1,132,168 | |
Class A3, 3.0864% 7/25/49 (c) | 445,639 | 448,572 | |
Nissan Auto Lease Trust Series 2018-A Class A2B, 1 month U.S. LIBOR + 0.210% 1.8083% 2/16/21 (a)(b) | 1,324,647 | 1,324,689 | |
Nissan Master Owner Trust Receivables: | |||
Series 2017-B Class A, 1 month U.S. LIBOR + 0.430% 2.0883% 4/18/22 (a)(b) | 10,700,000 | 10,703,210 | |
Series 2017-C Class A, 1 month U.S. LIBOR + 0.320% 1.9783% 10/17/22 (a)(b) | 5,000,000 | 5,003,500 | |
Series 2019-B Class A, 1 month U.S. LIBOR + 0.430% 2.0883% 11/15/23 (a)(b) | 1,835,000 | 1,839,036 | |
OCP CLO Ltd.: | |||
Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 2.9391% 7/20/29 (a)(b)(c) | 2,530,000 | 2,526,458 | |
Series 2015-10A Class A1R, 3 month U.S. LIBOR + 0.820% 2.6141% 10/26/27 (a)(b)(c) | 1,138,417 | 1,136,141 | |
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 3.0061% 10/17/29 (a)(b)(c) | 1,015,000 | 1,015,102 | |
Planet Fitness Master Issuer LLC Series 2018-1A Class A2I, 4.262% 9/5/48 (c) | 1,180,063 | 1,219,701 | |
Santander Drive Auto Receivables Trust: | |||
Series 2015-4 Class D, 3.53% 8/16/21 | 234,315 | 234,548 | |
Series 2015-5 Class D, 3.65% 12/15/21 | 307,741 | 308,012 | |
Series 2016-1 Class D, 4.02% 4/15/22 | 551,431 | 554,629 | |
Series 2017-1 Class C, 2.58% 5/16/22 | 40,612 | 40,671 | |
Series 2018-1 Class C, 2.96% 3/15/24 | 250,000 | 252,026 | |
Series 2018-2 Class C, 3.35% 7/17/23 | 400,000 | 405,121 | |
Series 2018-4 Class B, 3.27% 1/17/23 | 619,199 | 621,549 | |
Series 2019-1: | |||
Class B, 3.21% 9/15/23 | 375,000 | 378,894 | |
Class C, 3.42% 4/15/25 | 2,620,000 | 2,670,632 | |
Series 2019-2 Class B, 2.79% 1/16/24 | 535,000 | 541,996 | |
Santander Retail Auto Lease Trust: | |||
Series 2017-A Class C, 2.96% 11/21/22 (c) | 325,000 | 326,668 | |
Series 2019-A: | |||
Class A2, 2.72% 1/20/22 (c) | 2,537,718 | 2,557,337 | |
Class B, 3.01% 5/22/23 (c) | 700,000 | 718,413 | |
Series 2019-B: | |||
Class A2A, 2.29% 4/20/22 (c) | 4,763,627 | 4,803,460 | |
Class C, 2.77% 8/21/23 (c) | 690,000 | 705,527 | |
Series 2019-C: | |||
Class A2A, 1.89% 9/20/22 (c) | 5,000,000 | 5,027,433 | |
Class B, 2.17% 11/20/23 (c) | 495,000 | 500,015 | |
Class C, 2.39% 11/20/23 (c) | 830,000 | 842,738 | |
Series 2020-A: | |||
Class A2, 1.69% 1/20/23 (c) | 10,352,000 | 10,351,418 | |
Class D, 2.52% 11/20/24 (c) | 720,000 | 720,000 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (c) | 990,000 | 1,037,886 | |
2.877% 7/15/46 (c) | 370,000 | 372,939 | |
3.168% 4/9/47 (c) | 1,255,000 | 1,286,163 | |
Securitized Term Auto Receivables Trust Series 2019-1A Class A2, 2.862% 5/25/21 (c) | 1,486,274 | 1,490,650 | |
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (c) | 1,059,695 | 1,074,465 | |
Sierra Receivables Funding Co. LLC: | |||
Series 2016-2A Class A, 2.33% 7/20/33 (c) | 78,950 | 79,462 | |
Series 2019-1A Class A, 3.2% 1/20/36 (c) | 341,326 | 348,488 | |
Series 2019-2A Class A, 2.59% 5/20/36 (c) | 2,215,977 | 2,248,123 | |
Sierra Timeshare Receivables Funding Co. LLC: | |||
Series 2015-2A Class 2, 2.43% 6/20/32 (c) | 110,308 | 110,356 | |
Series 2015-3A Class A, 2.58% 9/20/32 (c) | 112,899 | 113,325 | |
Series 2017-1A Class A, 2.91% 3/20/34 (c) | 75,640 | 77,068 | |
Sierra Timeshare Receivables Funding LLC Series 2019-3A Class A, 2.34% 8/20/36 (c) | 548,045 | 554,191 | |
SLM Student Loan Trust: | |||
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 2.3636% 12/15/27 (a)(b)(c) | 3,222,436 | 3,223,058 | |
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 2.4436% 12/15/25 (a)(b)(c) | 1,661,993 | 1,665,230 | |
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 2.1241% 1/25/22 (a)(b) | 619,743 | 604,169 | |
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 2.4441% 1/25/22 (a)(b) | 1,432,990 | 1,409,908 | |
Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 3.4941% 7/25/23 (a)(b) | 186,904 | 188,329 | |
Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 3.2941% 4/25/23 (a)(b) | 135,342 | 135,785 | |
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 2.0268% 3/25/25 (a)(b) | 880,330 | 849,118 | |
SMB Private Education Loan Trust: | |||
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 3.1583% 4/15/32 (a)(b)(c) | 1,400,000 | 1,420,922 | |
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 2.6583% 6/15/27 (a)(b)(c) | 242,096 | 242,707 | |
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 2.7585% 9/15/34 (a)(b)(c) | 1,063,584 | 1,067,176 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 2.3785% 1/15/37 (a)(b)(c) | 1,900,000 | 1,895,436 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (c) | 3,154,894 | 3,184,607 | |
Synchrony Card Issuance Trust Series 2019-A2 Class A, 2.34% 6/15/25 | 1,890,000 | 1,937,627 | |
Synchrony Credit Card Master Note Trust: | |||
Series 2015-1 Class B, 2.64% 3/15/23 | 550,000 | 550,143 | |
Series 2015-4 Class B, 2.62% 9/15/23 | 435,000 | 436,625 | |
Series 2018-1 Class C, 3.36% 3/15/24 | 955,000 | 966,076 | |
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (c) | 7,000,000 | 7,068,119 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(c) | 611,798 | 624,497 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (c) | 300,303 | 307,670 | |
Series 2017-6 Class A1, 2.75% 10/25/57 (c) | 1,640,501 | 1,681,879 | |
Series 2018-1 Class A1, 3% 1/25/58 (c) | 331,762 | 340,414 | |
Series 2018-2 Class A1, 3.25% 3/25/58 (c) | 1,618,230 | 1,677,891 | |
Series 2018-5 Class A1A, 3.25% 7/25/58 (a)(c) | 1,529,846 | 1,588,208 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (c) | 1,068,840 | 1,140,637 | |
Toyota Auto Receivables Owner Trust Series 2018-C Class A2B, 1 month U.S. LIBOR + 1.200% 1.7785% 8/16/21 (a)(b) | 2,276,528 | 2,276,011 | |
Verizon Owner Trust: | |||
Series 2017-1A: | |||
Class A, 2.06% 9/20/21 (c) | 589,518 | 589,860 | |
Class C, 2.65% 9/20/21 (c) | 315,000 | 315,965 | |
Series 2017-3A: | |||
Class A1A, 2.06% 4/20/22 (c) | 2,561,606 | 2,565,961 | |
Class C, 2.53% 4/20/22 (c) | 700,000 | 703,747 | |
Series 2018-1A: | |||
Class A1B, 1 month U.S. LIBOR + 0.260% 1.907% 9/20/22 (a)(b)(c) | 6,210,000 | 6,214,295 | |
Class C, 3.2% 9/20/22 (c) | 970,000 | 990,129 | |
Series 2018-A: | |||
Class A1A, 3.23% 4/20/23 | 5,132,000 | 5,244,538 | |
Class A1B, 1 month U.S. LIBOR + 0.240% 1.887% 4/20/23 (a)(b) | 4,000,000 | 4,002,771 | |
Series 2019-B Class A1A, 2.33% 12/20/23 | 955,000 | 972,541 | |
Series 2020-A Class A1A, 1.85% 7/22/24 | 4,951,000 | 5,018,783 | |
Volkswagen Auto Lease Trust Series 2019-A Class A2A, 2% 3/21/22 | 8,140,000 | 8,188,592 | |
Volkswagen Auto Loan Enhanced Trust Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.180% 1.827% 7/20/21 (a)(b) | 1,303,970 | 1,303,949 | |
Volvo Financial Equipment LLC: | |||
Series 2019-1A Class A2, 2.9% 11/15/21 (c) | 2,696,405 | 2,710,316 | |
Series 2019-2A Class A3, 2.04% 11/15/23 (c) | 2,435,000 | 2,466,212 | |
Volvo Financial Equipment Master Owner Trust: | |||
Series 2017-A Class A, 1 month U.S. LIBOR + 0.500% 2.1583% 11/15/22 (a)(b)(c) | 7,547,000 | 7,561,214 | |
Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 2.1783% 7/17/23 (a)(b)(c) | 5,080,000 | 5,095,614 | |
Wheels SPV LLC 1.88% 4/20/26 (c) | 27,312 | 27,317 | |
World Omni Auto Receivables Trust: | |||
Series 2018-D Class A2B, 1 month U.S. LIBOR + 0.140% 1.7983% 4/15/22 (a)(b) | 1,881,603 | 1,880,828 | |
Series 2019-B Class A2, 2.63% 6/15/22 | 5,577,860 | 5,605,250 | |
Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 921,064 | |
World Omni Automobile Lease Securitization Trust: | |||
Series 2018-A Class B, 3.06% 5/15/23 | 280,000 | 282,482 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.180% 1.8383% 6/15/21 (a)(b) | 2,219,774 | 2,219,828 | |
Series 2019-A Class A3, 2.94% 5/16/22 | 2,284,000 | 2,330,687 | |
Series 2020-A Class A2, 1.71% 11/15/22 | 10,565,000 | 10,610,258 | |
World Omni Select Auto Trust Series 2019-A Class A2A, 2.06% 8/15/23 | 5,250,000 | 5,277,272 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $589,591,816) | 592,911,263 | ||
Collateralized Mortgage Obligations - 1.2% | |||
Private Sponsor - 1.0% | |||
Angel Oak Mortgage Trust: | |||
sequential payer Series 2019-2 Class A1, 3.628% 3/25/49 (c) | 738,363 | 757,516 | |
Series 2019-2 Class M1, 4.065% 3/25/49 (c) | 545,000 | 575,524 | |
COLT Funding LLC sequential payer: | |||
Series 2018-1: | |||
Class A1, 2.93% 2/25/48 (c) | 90,828 | 91,184 | |
Class A3, 3.084% 2/25/48 (c) | 32,297 | 32,422 | |
Series 2018-2: | |||
Class A1, 3.47% 7/27/48 (c) | 577,074 | 579,465 | |
Class A2, 3.542% 7/27/48 (c) | 279,520 | 282,103 | |
Series 2018-3 Class A2, 3.763% 10/26/48 (c) | 220,942 | 224,565 | |
Series 2018-4 Class A1, 4.006% 12/28/48 (c) | 564,862 | 575,032 | |
Series 2019-2 Class A1, 3.337% 5/25/49 (c) | 436,659 | 444,716 | |
Series 2019-3 Class A1, 2.764% 8/25/49 (c) | 1,846,942 | 1,894,670 | |
COMM Mortgage Trust Series 2016-CR28 Class A1, 1.77% 2/10/49 | 46,750 | 46,709 | |
Connecticut Avenue Securities Trust floater Series 2019-R06 Class 2M1, 1 month U.S. LIBOR + 0.750% 2.3768% 9/25/39 (a)(b)(c) | 706,185 | 706,342 | |
Deephaven Residential Mortgage Trust: | |||
Series 2017-1A Class A3, 3.485% 12/26/46 (a)(c) | 61,901 | 62,506 | |
Series 2017-3A: | |||
Class A1, 2.577% 10/25/47 (a)(c) | 262,782 | 264,172 | |
Class A2, 2.711% 10/25/47 (a)(c) | 21,899 | 22,008 | |
Class A3, 2.813% 10/25/47 (a)(c) | 20,856 | 20,959 | |
Series 2018-1A Class A1, 2.976% 12/25/57 (a)(c) | 256,438 | 257,767 | |
Series 2018-2A Class A1, 3.479% 4/25/58 (c) | 521,316 | 526,915 | |
Series 2018-3A Class A3, 3.963% 8/25/58 (c) | 53,881 | 54,733 | |
Series 2019-1A Class A1, 3.743% 1/25/59 (c) | 775,916 | 790,504 | |
Series 2019-2A: | |||
Class A3, 3.763% 4/25/59 (c) | 513,557 | 526,254 | |
Class M1, 3.921% 4/25/59 (c) | 380,000 | 390,861 | |
Fannie Mae CAS floater Series 2019-R04 Class 2M1, 1 month U.S. LIBOR + 0.750% 2.3768% 6/25/39 (a)(b)(c) | 255,538 | 255,636 | |
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 2.5082% 3/25/50 (a)(b)(c) | 780,000 | 782,072 | |
Freddie Mac STACR floater Series 2019-DNA3 Class M1, 1 month U.S. LIBOR + 0.730% 2.3568% 7/25/49 (a)(b)(c) | 83,090 | 83,090 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2019-HQA4 Class M1, 1 month U.S. LIBOR + 0.770% 2.3968% 11/25/49 (a)(b)(c) | 468,460 | 468,509 | |
Series 2020-DNA2 Class M1, 1 month U.S. LIBOR + 0.750% 2.405% 2/25/50 (a)(b)(c) | 685,000 | 685,883 | |
Series 2020-HQA1 Class M1, 1 month U.S. LIBOR + 0.750% 2.3768% 1/25/50 (a)(b)(c) | 685,000 | 685,575 | |
Freddie Mac STACR Trust floater: | |||
Series 2018-DNA2 Class M1, 1 month U.S. LIBOR + 0.800% 2.4268% 12/25/30 (a)(b)(c) | 953,720 | 954,619 | |
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 2.8768% 2/25/47 (a)(b)(c) | 692,826 | 693,880 | |
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 3.0268% 2/25/49 (a)(b)(c) | 630,000 | 631,614 | |
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (c) | 1,788,560 | 1,808,985 | |
Galton Funding Mortgage Trust: | |||
sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (c) | 600,000 | 632,714 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (c) | 625,000 | 624,855 | |
Series 2020-H1 Class A1, 2.31% 1/25/60 (c) | 755,000 | 761,312 | |
GMRF Mortgage Acquisition Co., LLC: | |||
Series 2018-1 Class A33, 3.5% 11/25/57 (c) | 489,494 | 501,776 | |
Series 2019-1 Class A32, 4% 2/25/59 (c) | 381,292 | 396,759 | |
Series 2019-2 Class A42, 3.5% 6/25/59 (c) | 990,423 | 1,001,599 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.1293% 8/25/60 (a)(b)(c) | 1,505,289 | 1,504,547 | |
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4622% 7/25/44 (a)(c) | 63,411 | 63,642 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.2513% 10/15/54 (a)(b)(c) | 1,940,796 | 1,939,682 | |
Homeward Opportunities Fund I Trust sequential payer: | |||
Series 2019-1: | |||
Class A1, 3.454% 1/25/59 (c) | 1,013,012 | 1,039,487 | |
Class A3, 3.606% 1/25/59 (c) | 637,439 | 654,797 | |
Series 2019-3 Class A1, 2.675% 11/25/59 (c) | 1,082,370 | 1,099,146 | |
Homeward Opportunities Fund Trust sequential payer Series 2018-1: | |||
Class A1, 3.766% 6/25/48 (c) | 571,046 | 587,057 | |
Class A2, 3.897% 6/25/48 (c) | 457,405 | 470,515 | |
J.P. Morgan Mortgage Trust: | |||
sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (c) | 1,879,852 | 1,927,215 | |
Series 2020-INV1 Class A15, 3.5% 8/25/50 (c) | 775,000 | 796,979 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) | 1,224,260 | 1,225,560 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (c) | 428,897 | 441,128 | |
Mill City Mortgage Loan Trust: | |||
Series 2016-1 Class A1, 2.5% 4/25/57 (c) | 103,618 | 104,642 | |
Series 2017-2 Class A1, 2.75% 7/25/59 (c) | 524,356 | 533,242 | |
New Residential Mortgage Loan Trust: | |||
sequential payer: | |||
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (c) | 1,271,227 | 1,298,549 | |
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (c) | 749,047 | 764,446 | |
Series 2018-NQM1 Class A1, 3.986% 11/25/48 (c) | 1,020,070 | 1,054,661 | |
OBX Trust: | |||
floater: | |||
Series 2019-EXP3 Class 2A1, 1 month U.S. LIBOR + 0.900% 2.5268% 10/25/59 (a)(b)(c) | 1,377,134 | 1,372,904 | |
Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 2.62% 2/25/60 (a)(b)(c) | 330,000 | 330,652 | |
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(c) | 1,180,000 | 1,219,125 | |
Series 2020-INV1 Class A5, 3.5% 12/25/49 (c) | 536,156 | 552,701 | |
Onslow Bay Financial LLC: | |||
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 2.8268% 6/25/59 (a)(b)(c) | 1,183,915 | 1,183,914 | |
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 1.000% 2.5268% 6/25/59 (a)(b)(c) | 692,609 | 692,608 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.2113% 7/15/58 (a)(b)(c) | 5,923,500 | 5,923,719 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 2.3813% 7/15/58 (a)(b)(c) | 896,000 | 897,300 | |
Sequoia Mortgage Trust: | |||
sequential payer: | |||
Series 2018-CH1 Class A11, 3.5% 2/25/48 (c) | 681,123 | 696,723 | |
Series 2018-CH2 Class A3, 4% 6/25/48 (c) | 1,104,332 | 1,153,826 | |
Series 2018-CH2 Class A21, 4% 6/25/48 (c) | 492,793 | 516,541 | |
Series 2018-CH3 Class A19, 4.5% 8/25/48 (c) | 251,422 | 260,709 | |
Series 2018-CH4 Class A2, 4% 10/25/48 (c) | 403,006 | 427,220 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.3891% 1/21/70 (a)(b)(c) | 4,312,900 | 4,316,544 | |
Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (c) | 486,405 | 496,667 | |
Starwood Mortgage Residential Trust: | |||
sequential payer Series 2019-INV1: | |||
Class A1, 2.61% 9/27/49 (c) | 171,159 | 173,228 | |
Class A3, 2.916% 9/27/49 (c) | 412,537 | 417,481 | |
Series 2019-1: | |||
Class A1, 2.941% 6/25/49 (c) | 932,931 | 950,278 | |
Class A3, 3.299% 6/25/49 (c) | 639,608 | 651,454 | |
Series 2020-1 Class A2, 2.408% 2/25/50 (c) | 505,000 | 510,721 | |
Towd Point Mortgage Trust: | |||
Series 2015-4 Class A1B, 2.75% 4/25/55 (c) | 243,194 | 244,676 | |
Series 2015-5 Class A1B, 2.75% 5/25/55 (c) | 255,422 | 258,081 | |
Series 2016-1: | |||
Class A1B, 2.75% 2/25/55 (c) | 148,423 | 149,946 | |
Class A3B, 3% 2/25/55 (c) | 221,120 | 224,129 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (c) | 204,499 | 208,603 | |
Series 2016-3 Class A1, 2.25% 4/25/56 (c) | 48,282 | 48,610 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(c) | 382,213 | 389,808 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(c) | 849,009 | 867,102 | |
Verus Securitization Trust: | |||
sequential payer: | |||
Series 2018-3 Class A1, 4.108% 10/25/58 (c) | 893,979 | 906,354 | |
Series 2019-1 Class A1, 3.836% 2/25/59 (c) | 935,275 | 951,530 | |
Series 2019-2 Class A1, 3.211% 5/25/59 (c) | 723,695 | 735,307 | |
Series 2019-INV3 Class A3, 3.1% 11/25/59 (c) | 729,455 | 743,360 | |
Series 2020-1 Class A3, 2.724% 1/25/60 (c) | 699,551 | 709,801 | |
Series 2018-2: | |||
Class A1, 3.677% 6/1/58 (c) | 692,584 | 703,370 | |
Class A2, 3.779% 6/1/58 (c) | 186,563 | 189,459 | |
Class A3, 3.83% 6/1/58 (c) | 117,560 | 119,382 | |
Series 2019-3 Class A3, 3.04% 7/25/59 (c) | 1,247,169 | 1,264,422 | |
Series 2019-4 Class A3, 3% 11/25/59 (c) | 1,765,625 | 1,785,638 | |
Series 2019-INV1: | |||
Class A1, 3.402% 12/25/59 (a)(c) | 591,805 | 606,356 | |
Class M1, 4.034% 12/25/59 (c) | 195,000 | 204,908 | |
Series 2019-INV2: | |||
Class A1, 2.913% 7/25/59 (c) | 1,547,454 | 1,586,519 | |
Class A2, 3.117% 7/25/59 (c) | 928,473 | 950,522 | |
Series 2020-1 Class A1, 2.417% 1/25/60 (c) | 1,731,513 | 1,757,131 | |
TOTAL PRIVATE SPONSOR | 73,950,429 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
Series 2017-90 Class KA, 3% 11/25/47 | 912,706 | 965,067 | |
Series 2018-44 Class PC, 4% 6/25/44 | 1,285,042 | 1,312,479 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 19-R05 Class 1M1, 1 month U.S. LIBOR + 0.750% 2.3768% 7/25/39 (a)(b)(c) | 173,987 | 173,997 | |
Series 2017-C01 Class 1M1, 1 month U.S. LIBOR + 1.300% 2.9268% 7/25/29 (a)(b) | 22,349 | 22,358 | |
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 2.9768% 9/25/29 (a)(b) | 1,485,000 | 1,486,631 | |
Series 2017-C02, Class 2M1, 1 month U.S. LIBOR + 1.150% 2.7768% 9/25/29 (a)(b) | 64,210 | 64,234 | |
Series 2017-C03 Class 1M1, 1 month U.S. LIBOR + 0.950% 2.5768% 10/25/29 (a)(b) | 372,340 | 372,729 | |
Series 2017-C04: | |||
Class 2ED2, 1 month U.S. LIBOR + 1.100% 2.7268% 11/25/29 (a)(b) | 1,720,000 | 1,720,812 | |
Class 2M1, 1 month U.S. LIBOR + 0.850% 2.4768% 11/25/29 (a)(b) | 130,969 | 130,992 | |
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 2.8268% 1/25/30 (a)(b) | 953,094 | 957,583 | |
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 2.4768% 7/25/30 (a)(b) | 1,555,000 | 1,552,946 | |
Series 2018-C03 Class 1M1, 1 month U.S. LIBOR + 0.680% 2.3068% 10/25/30 (a)(b) | 309,859 | 309,913 | |
FHLMC Structured Agency Credit Risk Debt Notes floater: | |||
Series 2017-DNA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.8268% 7/25/29 (a)(b) | 211,616 | 211,855 | |
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 2.8268% 10/25/29 (a)(b) | 695,463 | 696,794 | |
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 2.3768% 3/25/30 (a)(b) | 394,132 | 394,260 | |
Series 2017-HQA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.8268% 8/25/29 (a)(b) | 61,292 | 61,315 | |
Series 2017-HQA2 Class M1, 1 month U.S. LIBOR + 0.800% 2.4268% 12/25/29 (a)(b) | 60,709 | 60,718 | |
Freddie Mac: | |||
planned amortization class Series 3713 Class PA, 2% 2/15/40 | 600,080 | 605,130 | |
Series 4448 Class JA, 4% 11/15/36 | 90,804 | 94,178 | |
Freddie Mac STACR Trust floater: | |||
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 2.3768% 10/25/48 (a)(b)(c) | 474,793 | 475,104 | |
Series 2018-DNA2 Class M2A/S, 1 month U.S. LIBOR + 0.950% 2.5767% 12/25/30 (a)(b) | 450,000 | 450,236 | |
Series 2018-DNA3: | |||
Class M1, 1 month U.S. LIBOR + 0.750% 2.3768% 9/25/48(a)(b)(c) | 365,994 | 366,170 | |
Class M2A/S, 1 month U.S. LIBOR + 0.900% 2.5268% 9/25/48 (a)(b) | 600,000 | 599,272 | |
Freddie Mac Whole Loan Securities Trust: | |||
Series 2016-SC02 Class M1, 3.5901% 10/25/46 (a) | 1,251,853 | 1,273,103 | |
Series 2017-SC02 Class M1, 3.8159% 5/25/47 (a)(c) | 130,294 | 132,808 | |
Series 2017-SPI1 Class M1, 3.9766% 9/25/47 (a)(c) | 41,645 | 41,918 | |
Series 2018-SPI2 Class M1, 3.8118% 5/25/48 (a)(c) | 226,362 | 228,541 | |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities floater Series 2018-122 Class FE, 1 month U.S. LIBOR + 0.300% 1.947% 9/20/48 (a)(b) | 177,399 | 177,417 | |
TOTAL U.S. GOVERNMENT AGENCY | 14,938,560 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $87,696,692) | 88,888,989 | ||
Commercial Mortgage Securities - 1.0% | |||
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 2.5885% 12/15/36 (a)(b)(c) | 1,395,000 | 1,392,800 | |
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 2.5085% 9/15/34 (a)(b)(c) | 970,000 | 966,983 | |
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 500,531 | 510,391 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class C, 1 month U.S. LIBOR + 1.120% 2.7785% 12/15/29 (a)(b)(c) | 795,000 | 795,748 | |
Class D, 1 month U.S. LIBOR + 1.250% 2.9085% 12/15/29 (a)(b)(c) | 760,000 | 762,147 | |
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 2.4585% 12/15/29 (a)(b)(c) | 2,333,000 | 2,334,078 | |
BX Trust floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.6585% 4/15/34 (a)(b)(c) | 2,135,000 | 2,133,710 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.5785% 10/15/36 (a)(b)(c) | 5,245,149 | 5,268,613 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 11/15/36 (a)(b)(c) | 1,033,000 | 1,032,352 | |
Class D, 1 month U.S. LIBOR + 1.650% 3.3085% 11/15/36 (a)(b)(c) | 1,545,000 | 1,543,136 | |
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 2.4485% 7/15/32 (a)(b)(c) | 3,713,554 | 3,713,550 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 2.7785% 6/15/34 (a)(b)(c) | 3,743,000 | 3,741,246 | |
Citigroup Commercial Mortgage Trust sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (c) | 2,157,000 | 2,256,606 | |
COMM Mortgage Trust: | |||
Series 2014-UBS2 Class B, 4.701% 3/10/47 | 520,000 | 569,486 | |
Series 2015-LC23 Class A2, 3.221% 10/10/48 | 1,400,000 | 1,407,463 | |
Series 2020-CMB Class D, 3.632% 2/10/37 (c) | 560,000 | 579,030 | |
Credit Suisse Mortgage Trust floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 2.6385% 5/15/36 (a)(b)(c) | 5,000,000 | 4,999,995 | |
Class C, 1 month U.S. LIBOR + 1.430% 3.0885% 5/15/36 (a)(b)(c) | 1,015,000 | 1,016,932 | |
Class D, 1 month U.S. LIBOR + 1.600% 3.2585% 5/15/36 (a)(b)(c) | 780,000 | 780,243 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 738,008 | |
Series 2015-C4 Class A1, 2.0102% 11/15/48 | 16,433 | 16,420 | |
Series 2019-C16 Class A1, 2.3595% 6/15/52 | 609,541 | 622,554 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 2.4085% 7/15/32 (a)(b)(c) | 4,189,000 | 4,190,297 | |
Great Wolf Trust floater Series 2019-WOLF Class C, 1 month U.S. LIBOR + 1.630% 3.2915% 12/15/36 (a)(b)(c) | 600,000 | 599,819 | |
GS Mortgage Securities Trust: | |||
Series 2016-GS3 Class A1, 1.429% 10/10/49 | 56,966 | 56,904 | |
Series 2019-GC40 Class A1, 2.236% 7/10/52 | 1,676,648 | 1,701,243 | |
Halcyon Loan Advisors Funding LLC Series 2017-3A Class B1R, 3 month U.S. LIBOR + 1.700% 3.5021% 10/22/25 (a)(b)(c) | 745,000 | 744,330 | |
Intown Hotel Portfolio Trust Series 2018-STAY: | |||
Class A, 1 month U.S. LIBOR + 0.700% 2.3585% 1/15/33 (a)(b)(c) | 245,000 | 244,673 | |
Class C, 1 month U.S. LIBOR + 1.250% 2.9085% 1/15/33 (a)(b)(c) | 205,000 | 204,481 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A1, 1.949% 1/15/49 | 19,274 | 19,260 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.000% 2.6585% 9/15/29 (a)(b)(c) | 1,911,000 | 1,911,592 | |
Class B, 1 month U.S. LIBOR + 1.350% 3.0085% 9/15/29 (a)(b)(c) | 1,830,000 | 1,829,431 | |
Class C, 1 month U.S. LIBOR + 1.600% 3.2585% 9/15/29 (a)(b)(c) | 575,000 | 574,994 | |
sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 1,713,932 | 1,745,572 | |
Morgan Stanley BAML Trust: | |||
Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 404,826 | |
Series 2015-C24 Class A1, 1.706% 5/15/48 | 85,550 | 85,456 | |
Series 2016-C30 Class A1, 1.389% 9/15/49 | 135,883 | 135,624 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 2.5085% 8/15/33 (a)(b)(c) | 5,790,000 | 5,783,031 | |
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 3/15/34 (a)(b)(c) | 3,558,000 | 3,549,068 | |
Series 2011-C3 Class AJ, 5.2445% 7/15/49 (a)(c) | 2,264,000 | 2,358,326 | |
Series 2015-MS1 Class A1, 1.638% 5/15/48 | 83,674 | 83,583 | |
Series 2019-H7 Class A1, 2.327% 7/15/52 | 1,648,346 | 1,681,919 | |
Series 2019-MEAD Class D, 3.1771% 11/10/36 (c) | 1,150,000 | 1,154,916 | |
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 2.9472% 4/15/32 (a)(b)(c) | 1,585,000 | 1,583,093 | |
RETL floater Series 2019-RVP Class A, 1 month U.S. LIBOR + 1.150% 2.8085% 3/15/36 (a)(b)(c) | 1,310,970 | 1,311,375 | |
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 3.5085% 6/15/31 (a)(b)(c) | 793,624 | 794,608 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.4479% 4/10/46 (a)(b)(c) | 3,109,986 | 3,142,849 | |
Verus Securitization Trust Series 2018-1 Class A1, 2.929% 2/25/48 (a)(c) | 133,590 | 133,610 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 495,622 | 498,733 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.3783% 6/15/46 (a)(b)(c) | 3,296,473 | 3,298,880 | |
Series 2012-C6 Class B, 4.697% 4/15/45 | 760,000 | 800,367 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $77,688,804) | 77,804,351 | ||
Bank Notes - 0.5% | |||
Citibank NA: | |||
2.125% 10/20/20 | $1,255,000 | $1,260,513 | |
2.844% 5/20/22 (a) | 1,485,000 | 1,506,019 | |
Discover Bank: | |||
3.1% 6/4/20 | 965,000 | 967,050 | |
3.2% 8/9/21 | 1,050,000 | 1,072,408 | |
First Republic Bank 1.912% 2/12/24 (a) | 2,031,000 | 2,058,561 | |
JPMorgan Chase Bank 3.086% 4/26/21 (a) | 9,051,000 | 9,069,816 | |
PNC Bank NA: | |||
2.15% 4/29/21 | 3,042,000 | 3,069,045 | |
2.45% 11/5/20 | 870,000 | 875,571 | |
RBS Citizens NA: | |||
2.25% 3/2/20 | 685,000 | 685,000 | |
2.25% 10/30/20 | 250,000 | 250,600 | |
2.55% 5/13/21 | 1,320,000 | 1,337,594 | |
3.25% 2/14/22 | 1,015,000 | 1,046,951 | |
Regions Bank 3.374% 8/13/21 (a) | 730,000 | 735,025 | |
SunTrust Banks, Inc. 2.8% 5/17/22 | 965,000 | 990,699 | |
Svenska Handelsbanken AB 3.35% 5/24/21 | 1,105,000 | 1,132,106 | |
Synchrony Bank 3.65% 5/24/21 | 3,082,000 | 3,157,912 | |
U.S. Bank NA, Cincinnati: | |||
1.8% 1/21/22 | 5,000,000 | 5,040,919 | |
3% 2/4/21 | 5,000,000 | 5,062,121 | |
TOTAL BANK NOTES | |||
(Cost $38,971,223) | 39,317,910 | ||
Certificates of Deposit - 0.1% | |||
HSBC Bank U.S.A. NA 2.02% 4/23/20 | |||
(Cost $5,000,000) | 5,000,000 | 5,004,441 | |
Commercial Paper - 0.7% | |||
CommonSpirit Health: | |||
2% 3/25/20 | 3,000,000 | 2,996,661 | |
2% 5/6/20 | 9,000,000 | 8,974,517 | |
Ford Motor Credit Co. LLC: | |||
0% 7/27/20 | 810,000 | 802,258 | |
0% 8/4/20 | 705,000 | 697,890 | |
Sempra Global: | |||
1.85% 4/2/20 | 1,000,000 | 998,326 | |
1.85% 4/3/20 | 1,000,000 | 998,276 | |
1.85% 4/7/20 | 1,000,000 | 998,076 | |
Syngenta Wilmington, Inc. 0% 6/25/20 | 1,880,000 | 1,867,078 | |
The Boeing Co.: | |||
0% 11/4/20 | 1,555,000 | 1,533,867 | |
0% 11/16/20 | 1,510,000 | 1,488,472 | |
2.02% 5/14/20 | 5,000,000 | 4,981,496 | |
2.02% 5/21/20 | 10,000,000 | 9,959,169 | |
TransCanada PipeLines Ltd.: | |||
1.78% 5/20/20 | 7,000,000 | 6,971,220 | |
1.84% 5/5/20 | 3,000,000 | 2,989,978 | |
1.95% 4/14/20 | 5,000,000 | 4,988,622 | |
UBS AG London Branch 1 month U.S. LIBOR + 0.340% 2.0063% 8/6/20 (a)(b) | 5,000,000 | 5,002,445 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $56,220,458) | 56,248,351 | ||
Shares | Value | ||
Fixed-Income Funds - 0.9% | |||
Bank Loan Funds - 0.9% | |||
Fidelity Floating Rate High Income Fund (f) | |||
(Cost $71,837,008) | 7,625,146 | 70,761,354 | |
Short-Term Funds - 57.8% | |||
Short-Term Funds - 57.8% | |||
Baird Short-Term Bond Fund - Institutional Class | 20,983,723 | 207,109,346 | |
BlackRock Low Duration Bond Portfolio Investor A Shares | 41,492,375 | 402,476,033 | |
Fidelity Conservative Income Bond Fund Institutional Class (f) | 2,074,878 | 20,852,524 | |
Fidelity Short-Term Bond Fund (f) | 57,764,260 | 507,747,844 | |
iShares Lehman 1-3 Year Treasury Bond ETF (g) | 943,545 | 80,890,113 | |
iShares Short Maturity Bond ETF | 2,864,715 | 144,381,636 | |
iShares Short Treasury Bond ETF (g) | 4,706,290 | 521,033,366 | |
iShares Ultra Short-Term Bond ETF | 2,124,455 | 107,221,244 | |
JPMorgan Ultra-Short Income ETF (g) | 3,282,685 | 165,906,900 | |
Metropolitan West Low Duration Bond Fund - Class M | 27,870,011 | 246,092,197 | |
PIMCO Enhanced Low Duration Active ETF (g) | 502,985 | 51,017,769 | |
PIMCO Enhanced Short Maturity Active ETF (g) | 3,214,025 | 327,637,709 | |
PIMCO Short-Term Fund - Administrator Class | 155,875,073 | 1,529,134,449 | |
Prudential Short-Term Corporate Bond Fund, Inc. Class A | 7,023,697 | 78,805,876 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $4,351,928,400) | 4,390,307,006 | ||
Money Market Funds - 2.1% | |||
Fidelity Cash Central Fund 1.60% (h) | 136,792,529 | 136,819,887 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 1.50% (f)(i) | 141,726 | 141,726 | |
Fidelity Securities Lending Cash Central Fund 1.60%(h)(j) | 22,683,043 | 22,685,311 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 1.53% (i) | 408,314 | 408,314 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $160,050,264) | 160,055,238 | ||
TOTAL INVESTMENT IN SECURITIES - 100.2% | |||
(Cost $7,559,835,455) | 7,615,923,102 | ||
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (11,819,555) | ||
NET ASSETS - 100% | $7,604,103,547 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,107 | June 2020 | $241,689,234 | $1,633,286 | $1,633,286 |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 106 | June 2020 | 14,283,500 | (233,682) | (233,682) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 57 | June 2020 | 6,996,750 | (58,862) | (58,862) |
TOTAL FUTURES CONTRACTS | $1,340,742 |
The notional amount of futures purchased as a percentage of Net Assets is 3.2%
The notional amount of futures sold as a percentage of Net Assets is 0.3%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $841,409,050 or 11.1% of net assets.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $594,025.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Affiliated Fund
(g) Security or a portion of the security is on loan at period end.
(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
(j) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $805,160 |
Fidelity Securities Lending Cash Central Fund | 60,362 |
Total | $865,522 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Conservative Income Bond Fund Institutional Class | $63,454,234 | $206,549,522 | $249,327,584 | $2,117,702 | $493,416 | $(317,064) | $20,852,524 |
Fidelity Floating Rate High Income Fund | 112,629,093 | 3,291,559 | 43,318,774 | 3,291,630 | (558,522) | (1,282,002) | 70,761,354 |
Fidelity Investments Money Market Government Portfolio Institutional Class 1.50% | 3,013,983 | 34,127,743 | 37,000,000 | 39,266 | -- | -- | 141,726 |
Fidelity Short-Term Bond Fund | 624,495,388 | 9,110,669 | 134,726,124 | 9,110,645 | 1,546,930 | 7,320,981 | 507,747,844 |
Total | $803,592,698 | $253,079,493 | $464,372,482 | $14,559,243 | $1,481,824 | $5,721,915 | $599,503,448 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Funds valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
If an unaffiliated Underlying Fund's net asset value is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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