Quarterly Holdings Report
for
Strategic Advisers® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general publicMay 31, 2020
Schedule of Investments May 31, 2020 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 10.0% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.4% | |||
AT&T, Inc.: | |||
3.5% 6/1/41 | $3,480,000 | $3,503,514 | |
3.6% 2/17/23 | 6,860,000 | 7,290,060 | |
4.1% 2/15/28 | 2,042,000 | 2,279,661 | |
4.3% 2/15/30 | 3,709,000 | 4,214,391 | |
4.45% 4/1/24 | 587,000 | 649,097 | |
4.5% 5/15/35 | 1,980,000 | 2,246,374 | |
4.5% 3/9/48 | 23,090,000 | 26,282,350 | |
4.55% 3/9/49 | 2,211,000 | 2,507,352 | |
4.75% 5/15/46 | 41,715,000 | 48,633,565 | |
4.8% 6/15/44 | 515,000 | 592,905 | |
4.9% 6/15/42 | 7,000,000 | 8,000,694 | |
5.15% 11/15/46 | 10,160,000 | 12,397,296 | |
5.35% 9/1/40 | 59,000 | 73,456 | |
6.2% 3/15/40 | 2,433,000 | 3,233,239 | |
6.3% 1/15/38 | 2,523,000 | 3,395,041 | |
British Telecommunications PLC 9.625% 12/15/30 (a) | 575,000 | 913,975 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (b) | 450,000 | 444,011 | |
7.5% 10/15/26 (b) | 1,170,000 | 1,193,400 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 15,000 | 15,675 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (b) | 495,000 | 499,950 | |
5.625% 4/1/25 | 175,000 | 180,250 | |
Level 3 Financing, Inc.: | |||
5.125% 5/1/23 | 900,000 | 898,875 | |
5.375% 1/15/24 | 900,000 | 911,250 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 585,000 | 589,388 | |
SFR Group SA: | |||
7.375% 5/1/26 (b) | 510,000 | 536,775 | |
8.125% 2/1/27 (b) | 135,000 | 148,500 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 1,100,000 | 1,152,063 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 416,000 | |
Verizon Communications, Inc.: | |||
3% 3/22/27 | 1,649,000 | 1,795,957 | |
3.15% 3/22/30 | 2,673,000 | 2,962,954 | |
4% 3/22/50 | 2,737,000 | 3,361,452 | |
4.016% 12/3/29 | 696,000 | 820,060 | |
4.5% 8/10/33 | 1,310,000 | 1,624,516 | |
4.522% 9/15/48 | 2,036,000 | 2,652,325 | |
4.862% 8/21/46 | 9,393,000 | 12,602,051 | |
5.012% 4/15/49 | 1,594,000 | 2,210,366 | |
161,228,788 | |||
Entertainment - 0.0% | |||
NBCUniversal, Inc.: | |||
4.45% 1/15/43 | 2,406,000 | 2,963,908 | |
5.95% 4/1/41 | 1,495,000 | 2,156,614 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 165,000 | 175,169 | |
4.875% 4/15/28 | 145,000 | 154,788 | |
4.875% 6/15/30 (b) | 70,000 | 75,572 | |
5.375% 11/15/29 (b) | 120,000 | 133,212 | |
5.875% 11/15/28 | 190,000 | 216,195 | |
6.375% 5/15/29 | 55,000 | 64,488 | |
The Walt Disney Co.: | |||
4.75% 9/15/44 | 2,030,000 | 2,538,678 | |
4.95% 10/15/45 | 50,000 | 64,062 | |
Viacom, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,458,072 | |
5.85% 9/1/43 | 220,000 | 238,202 | |
10,238,960 | |||
Interactive Media & Services - 0.0% | |||
Match Group, Inc. 4.125% 8/1/30 (b) | 70,000 | 68,600 | |
Media - 0.5% | |||
Altice Financing SA: | |||
5% 1/15/28 (b) | 200,000 | 201,688 | |
7.5% 5/15/26 (b) | 300,000 | 315,861 | |
Cablevision Systems Corp. 5.875% 9/15/22 | 1,350,000 | 1,423,305 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 950,000 | 957,144 | |
4.5% 8/15/30 (b) | 180,000 | 186,750 | |
5.75% 2/15/26 (b) | 2,400,000 | 2,502,432 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 1,275,000 | 1,229,124 | |
4.464% 7/23/22 | 11,002,000 | 11,716,662 | |
4.908% 7/23/25 | 7,565,000 | 8,659,523 | |
5.375% 4/1/38 | 450,000 | 536,731 | |
5.375% 5/1/47 | 31,249,000 | 36,989,478 | |
5.75% 4/1/48 | 14,203,000 | 17,489,614 | |
6.384% 10/23/35 | 2,985,000 | 3,906,473 | |
6.484% 10/23/45 | 1,070,000 | 1,382,033 | |
Comcast Corp.: | |||
3.1% 4/1/25 | 766,000 | 837,171 | |
3.3% 4/1/27 | 2,068,000 | 2,294,781 | |
3.4% 4/1/30 | 2,121,000 | 2,391,321 | |
3.75% 4/1/40 | 1,115,000 | 1,277,822 | |
3.9% 3/1/38 | 1,317,000 | 1,534,999 | |
4.6% 8/15/45 | 5,366,000 | 6,787,244 | |
4.65% 7/15/42 | 3,871,000 | 4,904,997 | |
4.7% 10/15/48 | 1,230,000 | 1,606,787 | |
CSC Holdings LLC 5.25% 6/1/24 | 1,600,000 | 1,687,520 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 4,583,057 | |
3.95% 6/15/25 | 360,000 | 388,787 | |
4.65% 5/15/50 | 11,727,000 | 12,466,397 | |
5% 9/20/37 | 380,000 | 416,140 | |
5.3% 5/15/49 | 925,000 | 1,048,796 | |
DISH DBS Corp. 5.875% 11/15/24 | 200,000 | 197,458 | |
Fox Corp.: | |||
3.666% 1/25/22 | 986,000 | 1,028,106 | |
4.03% 1/25/24 | 1,733,000 | 1,905,152 | |
4.709% 1/25/29 | 2,509,000 | 2,932,885 | |
5.476% 1/25/39 | 2,474,000 | 3,172,903 | |
5.576% 1/25/49 | 1,641,000 | 2,173,315 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) | 150,000 | 153,674 | |
Sirius XM Radio, Inc.: | |||
3.875% 8/1/22 (b) | 500,000 | 501,250 | |
4.625% 5/15/23 (b) | 1,230,000 | 1,232,927 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 16,424,000 | 16,833,615 | |
5.5% 9/1/41 | 2,591,000 | 3,056,567 | |
5.875% 11/15/40 | 5,543,000 | 6,804,856 | |
6.55% 5/1/37 | 8,522,000 | 10,871,288 | |
7.3% 7/1/38 | 6,393,000 | 8,524,473 | |
TWDC Enterprises 18 Corp. 1.85% 7/30/26 | 305,000 | 314,285 | |
Virgin Media Secured Finance PLC 5.5% 8/15/26 (b) | 300,000 | 312,750 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (b) | 215,000 | 220,375 | |
Ziggo BV 5.5% 1/15/27 (b) | 1,379,000 | 1,450,474 | |
191,408,990 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA 8% 2/15/24 (b) | 595,000 | 600,950 | |
Millicom International Cellular SA: | |||
5.125% 1/15/28 (b) | 995,000 | 990,075 | |
6% 3/15/25 (b) | 100,000 | 101,125 | |
6.625% 10/15/26 (b) | 600,000 | 628,875 | |
Neptune Finco Corp. 10.875% 10/15/25 (b) | 25,000 | 27,068 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 158,876 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 206,500 | |
Sprint Communications, Inc. 6% 11/15/22 | 565,000 | 600,313 | |
Sprint Corp. 7.875% 9/15/23 | 1,000,000 | 1,135,000 | |
T-Mobile U.S.A., Inc.: | |||
3.75% 4/15/27 (b) | 8,765,000 | 9,476,630 | |
3.875% 4/15/30 (b) | 10,394,000 | 11,267,928 | |
4.375% 4/15/40 (b) | 1,721,000 | 1,897,506 | |
4.5% 4/15/50 (b) | 3,381,000 | 3,801,360 | |
6.375% 3/1/25 | 515,000 | 531,125 | |
Ypso Finance BIS SA 6% 2/15/28 (b) | 105,000 | 102,113 | |
31,525,444 | |||
TOTAL COMMUNICATION SERVICES | 394,470,782 | ||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.1% | |||
Ford Motor Co. 6.375% 2/1/29 | 1,255,000 | 1,120,088 | |
General Motors Co. 6.25% 10/2/43 | 465,000 | 479,938 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 11,800,000 | 11,802,518 | |
4% 1/15/25 | 830,000 | 836,501 | |
4.25% 5/15/23 | 1,875,000 | 1,885,335 | |
4.375% 9/25/21 | 7,321,000 | 7,363,265 | |
23,487,645 | |||
Diversified Consumer Services - 0.0% | |||
California Institute of Technology 3.65% 9/1/19 | 635,000 | 705,468 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 320,000 | 285,600 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 461,233 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 213,700 | |
3.3% 7/15/56 | 190,000 | 229,493 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 290,925 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 549,747 | |
University of Pennsylvania Trustees 3.61% 2/15/2119 | 285,000 | 322,039 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 854,805 | |
3,913,010 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (b) | 300,000 | 303,476 | |
4.375% 1/15/28 (b) | 280,000 | 275,100 | |
5.75% 4/15/25 (b) | 90,000 | 95,598 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 100,000 | 98,500 | |
5% 4/1/25 (b) | 200,000 | 201,000 | |
5% 2/1/28 (b) | 1,490,000 | 1,467,650 | |
6.375% 5/1/25 (b) | 295,000 | 308,803 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (b) | 300,000 | 266,813 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.625% 4/1/25 | 400,000 | 397,000 | |
KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (b) | 300,000 | 307,077 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,090,000 | 1,038,003 | |
3.6% 4/15/24 | 660,000 | 648,914 | |
McDonald's Corp.: | |||
3.3% 7/1/25 | 771,000 | 851,685 | |
3.5% 7/1/27 | 2,194,000 | 2,452,822 | |
3.6% 7/1/30 | 2,612,000 | 2,955,795 | |
3.7% 1/30/26 | 185,000 | 207,009 | |
4.2% 4/1/50 | 1,322,000 | 1,563,928 | |
4.7% 12/9/35 | 1,535,000 | 1,925,247 | |
MCE Finance Ltd. 4.875% 6/6/25 (b) | 300,000 | 296,231 | |
Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,791,270 | |
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (b) | 300,000 | 279,750 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) | 200,000 | 190,026 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
5.25% 5/15/27 (b) | 435,000 | 403,463 | |
5.5% 3/1/25 (b) | 300,000 | 290,813 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (b) | 300,000 | 296,719 | |
5.5% 10/1/27 (b) | 190,000 | 189,466 | |
Yum! Brands, Inc. 7.75% 4/1/25 (b) | 330,000 | 364,650 | |
21,466,808 | |||
Household Durables - 0.2% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 10,191,500 | |
5% 6/15/27 | 12,100,000 | 13,037,750 | |
5.25% 6/1/26 | 2,920,000 | 3,139,000 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 30,268,500 | |
4.375% 4/15/23 | 5,000,000 | 5,112,500 | |
4.875% 11/15/25 | 35,000 | 36,845 | |
4.875% 3/15/27 | 7,917,000 | 8,332,643 | |
5.625% 1/15/24 | 885,000 | 938,100 | |
5.875% 2/15/22 | 12,000,000 | 12,495,000 | |
83,551,838 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Amazon.com, Inc. 2.8% 8/22/24 | 1,045,000 | 1,139,187 | |
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 2,485,000 | 2,545,847 | |
3% 11/19/24 | 5,655,000 | 5,764,638 | |
Mattel, Inc. 6.75% 12/31/25 (b) | 145,000 | 151,163 | |
8,461,648 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 1,395,000 | 1,576,923 | |
Target Corp.: | |||
2.25% 4/15/25 | 2,144,000 | 2,285,163 | |
2.65% 9/15/30 | 1,859,000 | 2,021,585 | |
5,883,671 | |||
Specialty Retail - 0.2% | |||
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 992,182 | |
AutoZone, Inc.: | |||
3.625% 4/15/25 | 1,489,000 | 1,635,255 | |
3.75% 4/18/29 | 1,200,000 | 1,320,531 | |
4% 4/15/30 | 6,924,000 | 7,793,818 | |
Lowe's Companies, Inc.: | |||
4% 4/15/25 | 2,033,000 | 2,298,202 | |
4.25% 9/15/44 | 305,000 | 357,353 | |
4.5% 4/15/30 | 4,955,000 | 5,960,791 | |
5% 4/15/40 | 3,170,000 | 4,046,424 | |
5.125% 4/15/50 | 3,723,000 | 5,011,692 | |
O'Reilly Automotive, Inc. 4.2% 4/1/30 | 1,533,000 | 1,729,946 | |
The Home Depot, Inc.: | |||
2.5% 4/15/27 | 982,000 | 1,069,408 | |
2.7% 4/15/30 | 1,829,000 | 1,996,282 | |
3.3% 4/15/40 | 2,237,000 | 2,498,389 | |
3.35% 4/15/50 | 1,257,000 | 1,420,669 | |
3.75% 2/15/24 | 2,501,000 | 2,773,882 | |
4.875% 2/15/44 | 875,000 | 1,195,702 | |
5.875% 12/16/36 | 300,000 | 434,652 | |
TJX Companies, Inc.: | |||
3.5% 4/15/25 | 2,435,000 | 2,720,496 | |
3.75% 4/15/27 | 5,669,000 | 6,432,454 | |
3.875% 4/15/30 | 10,536,000 | 12,373,871 | |
4.5% 4/15/50 | 4,260,000 | 5,399,501 | |
69,461,500 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
NIKE, Inc.: | |||
2.4% 3/27/25 | 909,000 | 975,106 | |
2.75% 3/27/27 | 2,046,000 | 2,237,096 | |
2.85% 3/27/30 | 3,741,000 | 4,156,855 | |
3.25% 3/27/40 | 3,137,000 | 3,498,612 | |
3.375% 3/27/50 | 2,463,000 | 2,847,602 | |
Wolverine World Wide, Inc. 6.375% 5/15/25 (b) | 270,000 | 279,450 | |
13,994,721 | |||
TOTAL CONSUMER DISCRETIONARY | 231,360,028 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.5% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
3.65% 2/1/26 | 2,350,000 | 2,603,800 | |
4.7% 2/1/36 | 2,765,000 | 3,152,617 | |
4.9% 2/1/46 | 945,000 | 1,095,810 | |
Anheuser-Busch InBev Finance, Inc.: | |||
3.65% 2/1/26 | 12,330,000 | 13,562,224 | |
4.7% 2/1/36 | 9,871,000 | 11,270,199 | |
4.9% 2/1/46 | 12,306,000 | 14,238,671 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 8,971,304 | |
4.35% 6/1/40 | 4,618,000 | 5,155,338 | |
4.5% 6/1/50 | 8,175,000 | 9,135,852 | |
4.6% 6/1/60 | 5,007,000 | 5,657,155 | |
4.75% 4/15/58 | 6,987,000 | 7,957,561 | |
5.45% 1/23/39 | 5,390,000 | 6,624,142 | |
5.55% 1/23/49 | 14,627,000 | 18,339,483 | |
5.8% 1/23/59 (Reg. S) | 15,062,000 | 19,826,817 | |
Constellation Brands, Inc.: | |||
3.7% 12/6/26 | 925,000 | 1,021,652 | |
4.4% 11/15/25 | 480,000 | 547,071 | |
4.75% 11/15/24 | 5,595,000 | 6,402,233 | |
Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 396,573 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 839,000 | 917,569 | |
2.75% 3/5/22 | 900,000 | 940,410 | |
2.75% 3/19/30 | 4,600,000 | 5,082,731 | |
3.1% 7/17/22 | 260,000 | 273,339 | |
3.5% 3/19/40 | 2,821,000 | 3,375,046 | |
3.6% 3/1/24 | 1,952,000 | 2,159,694 | |
3.625% 3/19/50 | 4,600,000 | 5,511,671 | |
3.875% 3/19/60 | 2,237,000 | 2,805,386 | |
The Coca-Cola Co.: | |||
3.375% 3/25/27 | 6,184,000 | 7,064,753 | |
3.45% 3/25/30 | 4,488,000 | 5,207,523 | |
4.125% 3/25/40 | 2,544,000 | 3,160,307 | |
4.2% 3/25/50 | 4,720,000 | 6,099,528 | |
178,556,459 | |||
Food & Staples Retailing - 0.0% | |||
Costco Wholesale Corp. 1.6% 4/20/30 | 540,000 | 544,191 | |
ESAL GmbH 6.25% 2/5/23 (b) | 115,000 | 116,093 | |
Kroger Co. 2.65% 10/15/26 | 530,000 | 571,953 | |
Sysco Corp. 5.65% 4/1/25 | 3,700,000 | 4,214,121 | |
U.S. Foods, Inc. 6.25% 4/15/25 (b) | 185,000 | 191,706 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,708,016 | |
8,346,080 | |||
Food Products - 0.1% | |||
Archer Daniels Midland Co.: | |||
2.75% 3/27/25 | 1,285,000 | 1,385,068 | |
3.25% 3/27/30 | 2,138,000 | 2,416,577 | |
Conagra Brands, Inc. 3.8% 10/22/21 | 1,514,000 | 1,573,342 | |
General Mills, Inc. 2.875% 4/15/30 | 410,000 | 440,744 | |
H.J. Heinz Co.: | |||
3.875% 5/15/27 (b) | 235,000 | 245,517 | |
4.25% 3/1/31 (b) | 220,000 | 234,096 | |
4.375% 6/1/46 | 7,290,000 | 6,812,239 | |
5.2% 7/15/45 | 4,602,000 | 4,719,147 | |
H.J. Heinz Finance Co. 7.125% 8/1/39 (b) | 9,093,000 | 11,146,679 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.75% 6/15/25 (b) | 1,300,000 | 1,332,500 | |
5.875% 7/15/24 (b) | 1,300,000 | 1,321,125 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (b) | 470,000 | 487,625 | |
6.5% 4/15/29 (b) | 295,000 | 320,813 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 345,000 | 361,284 | |
Post Holdings, Inc. 4.625% 4/15/30 (b) | 40,000 | 39,450 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 341,667 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,846,758 | |
36,024,631 | |||
Household Products - 0.0% | |||
Kimberly-Clark Corp. 3.1% 3/26/30 | 537,000 | 613,280 | |
Procter & Gamble Co.: | |||
2.8% 3/25/27 | 1,076,000 | 1,193,628 | |
3% 3/25/30 | 2,580,000 | 2,956,369 | |
3.55% 3/25/40 | 1,860,000 | 2,244,121 | |
3.6% 3/25/50 | 1,804,000 | 2,264,961 | |
9,272,359 | |||
Tobacco - 0.0% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 1,570,000 | 1,630,055 | |
4% 1/31/24 | 1,380,000 | 1,507,923 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 1,530,000 | 1,593,179 | |
3.222% 8/15/24 | 1,095,000 | 1,151,553 | |
3.557% 8/15/27 | 1,170,000 | 1,229,316 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 1,430,000 | 1,446,874 | |
3.875% 8/21/42 | 530,000 | 585,918 | |
9,144,818 | |||
TOTAL CONSUMER STAPLES | 241,344,347 | ||
ENERGY - 1.2% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 145,000 | 145,514 | |
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,212,000 | 1,257,374 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 420,689 | |
6.7% 9/15/38 | 170,000 | 194,690 | |
2,018,267 | |||
Oil, Gas & Consumable Fuels - 1.2% | |||
Alberta Energy Co. Ltd. 8.125% 9/15/30 | 6,179,000 | 5,625,642 | |
Amerada Hess Corp.: | |||
7.125% 3/15/33 | 1,335,000 | 1,451,342 | |
7.3% 8/15/31 | 1,849,000 | 1,985,298 | |
7.875% 10/1/29 | 5,583,000 | 6,177,063 | |
Canadian Natural Resources Ltd. 5.85% 2/1/35 | 2,743,000 | 2,954,300 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 7,813,000 | 7,090,967 | |
Cheniere Energy Partners LP 5.25% 10/1/25 | 1,340,000 | 1,353,400 | |
Chesapeake Energy Corp.: | |||
7% 10/1/24 | 85,000 | 3,188 | |
8% 6/15/27 | 415,000 | 6,225 | |
Chevron Corp.: | |||
2.355% 12/5/22 | 840,000 | 876,619 | |
2.566% 5/16/23 | 4,322,000 | 4,566,884 | |
CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 2,025,000 | 2,120,555 | |
Columbia Pipeline Group, Inc.: | |||
3.3% 6/1/20 | 4,641,000 | 4,641,000 | |
4.5% 6/1/25 | 1,418,000 | 1,591,128 | |
Concho Resources, Inc.: | |||
3.75% 10/1/27 | 1,590,000 | 1,664,293 | |
4.3% 8/15/28 | 1,915,000 | 2,078,112 | |
4.875% 10/1/47 | 185,000 | 204,090 | |
Conoco, Inc. 6.95% 4/15/29 | 425,000 | 583,958 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (b) | 240,000 | 208,800 | |
5.75% 4/1/25 | 1,500,000 | 1,395,000 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 330,000 | 297,000 | |
5.75% 2/15/28 (b) | 40,000 | 35,550 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 2,017,000 | 1,976,660 | |
5.85% 5/21/43 (a)(b) | 7,892,000 | 4,952,230 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 16,656,570 | |
5.125% 5/15/29 | 355,000 | 323,050 | |
5.375% 7/15/25 | 800,000 | 773,656 | |
5.6% 4/1/44 | 3,773,000 | 2,754,290 | |
Denbury Resources, Inc.: | |||
7.75% 2/15/24 (b) | 320,000 | 131,200 | |
9.25% 3/31/22 (b) | 30,000 | 12,000 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 915,000 | 811,770 | |
5.6% 7/15/41 | 175,000 | 162,183 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 300,000 | 304,050 | |
5.375% 6/26/26 | 1,240,000 | 1,315,175 | |
5.875% 9/18/23 | 360,000 | 388,062 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (b) | 220,000 | 222,704 | |
8.5% 10/30/25 (b) | 380,000 | 396,150 | |
El Paso Corp. 6.5% 9/15/20 | 12,030,000 | 12,141,780 | |
Enable Midstream Partners LP 3.9% 5/15/24 (a) | 1,210,000 | 1,098,098 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,107,088 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 4,092,879 | |
4.25% 12/1/26 | 1,943,000 | 2,150,012 | |
Encana Corp.: | |||
5.15% 11/15/41 | 3,000,000 | 1,821,843 | |
6.5% 8/15/34 | 1,165,000 | 921,363 | |
Energy Transfer Partners LP: | |||
3.75% 5/15/30 | 2,964,000 | 2,922,031 | |
4.2% 9/15/23 | 1,452,000 | 1,509,522 | |
4.25% 3/15/23 | 1,373,000 | 1,423,795 | |
4.5% 4/15/24 | 1,723,000 | 1,815,482 | |
4.75% 1/15/26 | 1,935,000 | 2,061,903 | |
4.95% 6/15/28 | 4,954,000 | 5,218,780 | |
5% 5/15/50 | 6,600,000 | 6,323,557 | |
5.25% 4/15/29 | 2,803,000 | 3,002,529 | |
5.3% 4/15/47 | 560,000 | 547,834 | |
5.8% 6/15/38 | 2,762,000 | 2,848,573 | |
6% 6/15/48 | 1,799,000 | 1,900,668 | |
6.25% 4/15/49 | 2,380,000 | 2,583,283 | |
6.625% 10/15/36 | 900,000 | 971,206 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 115,000 | 121,561 | |
3.7% 1/31/51 | 65,000 | 65,388 | |
3.95% 1/31/60 | 50,000 | 50,001 | |
4.85% 3/15/44 | 2,850,000 | 3,249,392 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 236,595 | |
Equinor ASA 3.7% 4/6/50 | 320,000 | 359,466 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,629,409 | |
4.114% 3/1/46 | 705,000 | 857,700 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 500,000 | 434,850 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,123,832 | |
5.6% 2/15/41 | 1,896,000 | 1,881,253 | |
5.8% 4/1/47 | 4,517,000 | 4,536,203 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 325,000 | 307,125 | |
5.625% 2/15/26 (b) | 669,000 | 645,585 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (b) | 225,000 | 198,000 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 375,000 | 369,375 | |
Kinder Morgan Energy Partners LP: | |||
3.45% 2/15/23 | 1,900,000 | 1,987,371 | |
4.15% 3/1/22 | 885,000 | 927,327 | |
4.15% 2/1/24 | 300,000 | 324,104 | |
Kinder Morgan, Inc. 5.55% 6/1/45 | 3,329,000 | 4,077,059 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 1,035,000 | 1,022,111 | |
4.2% 10/3/47 | 695,000 | 702,398 | |
4.25% 9/15/46 | 65,000 | 62,294 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,870,000 | 2,935,810 | |
MPLX LP: | |||
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (a)(c) | 2,069,000 | 2,002,317 | |
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (a)(c) | 3,115,000 | 2,941,200 | |
4.125% 3/1/27 | 505,000 | 521,587 | |
4.5% 7/15/23 | 1,235,000 | 1,296,822 | |
4.5% 4/15/38 | 900,000 | 892,339 | |
4.7% 4/15/48 | 1,945,000 | 1,973,717 | |
4.8% 2/15/29 | 1,655,000 | 1,804,370 | |
4.875% 12/1/24 | 2,489,000 | 2,670,254 | |
5.5% 2/15/49 | 4,516,000 | 5,112,655 | |
Noble Energy, Inc.: | |||
5.25% 11/15/43 | 295,000 | 260,568 | |
6% 3/1/41 | 360,000 | 330,797 | |
Occidental Petroleum Corp.: | |||
2.6% 8/13/21 | 2,048,000 | 1,972,224 | |
2.7% 8/15/22 | 1,810,000 | 1,655,607 | |
2.9% 8/15/24 | 6,201,000 | 4,929,795 | |
3.125% 2/15/22 | 3,955,000 | 3,703,225 | |
3.2% 8/15/26 | 805,000 | 587,409 | |
3.4% 4/15/26 | 50,000 | 36,875 | |
3.5% 8/15/29 | 2,534,000 | 1,704,115 | |
4.3% 8/15/39 | 439,000 | 260,108 | |
4.4% 4/15/46 | 95,000 | 57,119 | |
4.4% 8/15/49 | 1,714,000 | 1,015,545 | |
4.85% 3/15/21 | 1,762,000 | 1,726,760 | |
5.55% 3/15/26 | 6,468,000 | 5,497,800 | |
6.2% 3/15/40 | 65,000 | 44,363 | |
6.45% 9/15/36 | 4,475,000 | 3,210,813 | |
6.6% 3/15/46 | 6,475,000 | 4,500,125 | |
7.5% 5/1/31 | 8,596,000 | 7,048,720 | |
ONEOK Partners LP: | |||
3.375% 10/1/22 | 1,065,000 | 1,074,381 | |
6.65% 10/1/36 | 400,000 | 439,583 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 825,000 | 746,366 | |
4.45% 9/1/49 | 1,335,000 | 1,219,342 | |
4.95% 7/13/47 | 365,000 | 352,949 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (b) | 285,000 | 308,575 | |
Petro-Canada 6.8% 5/15/38 | 350,000 | 446,479 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 34,097,000 | 35,321,082 | |
Petroleos Mexicanos: | |||
6.5% 3/13/27 | 27,890,000 | 24,630,356 | |
6.75% 9/21/47 | 26,150,000 | 20,298,938 | |
6.84% 1/23/30 (b) | 10,852,000 | 9,278,393 | |
7.69% 1/23/50 (b) | 78,965,000 | 65,738,363 | |
Phillips 66 Co.: | |||
3.7% 4/6/23 | 627,000 | 669,956 | |
3.85% 4/9/25 | 808,000 | 889,109 | |
4.875% 11/15/44 | 305,000 | 378,964 | |
Phillips 66 Partners LP 3.75% 3/1/28 | 295,000 | 302,032 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,539,715 | |
3.6% 11/1/24 | 1,877,000 | 1,875,656 | |
3.65% 6/1/22 | 10,550,000 | 10,571,425 | |
QEP Resources, Inc. 5.25% 5/1/23 | 300,000 | 159,750 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,433,288 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (b) | 9,948,000 | 10,889,133 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 222,338 | |
Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,623,776 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,633,024 | |
Sunoco Logistics Partner Operations LP: | |||
5.35% 5/15/45 | 850,000 | 830,013 | |
5.4% 10/1/47 | 1,861,000 | 1,848,585 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.875% 1/15/23 | 15,000 | 15,220 | |
5.5% 2/15/26 | 560,000 | 562,800 | |
5.875% 3/15/28 | 55,000 | 55,688 | |
6% 4/15/27 | 5,000 | 5,132 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.25% 11/15/23 | 200,000 | 195,538 | |
5.125% 2/1/25 | 900,000 | 896,355 | |
5.875% 4/15/26 | 400,000 | 407,000 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 11,093,038 | |
3.7% 1/15/23 | 2,512,000 | 2,618,918 | |
3.75% 6/15/27 | 1,635,000 | 1,738,981 | |
4.55% 6/24/24 | 12,246,000 | 13,275,710 | |
4.85% 3/1/48 | 100,000 | 111,132 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,443,631 | |
2.829% 1/10/30 | 800,000 | 857,244 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 (b) | 1,780,000 | 1,894,188 | |
3.95% 5/15/50 (b) | 4,092,000 | 4,342,834 | |
Valero Energy Corp. 4% 4/1/29 | 820,000 | 903,863 | |
Viper Energy Partners LP 5.375% 11/1/27 (b) | 300,000 | 297,750 | |
Western Gas Partners LP: | |||
3.1% 2/1/25 | 100,000 | 93,062 | |
3.95% 6/1/25 | 1,126,000 | 1,046,842 | |
4% 7/1/22 | 50,000 | 49,156 | |
4.05% 2/1/30 | 170,000 | 152,524 | |
4.65% 7/1/26 | 2,386,000 | 2,225,470 | |
4.75% 8/15/28 | 1,465,000 | 1,325,825 | |
5.25% 2/1/50 | 35,000 | 28,340 | |
5.3% 3/1/48 | 105,000 | 81,900 | |
5.375% 6/1/21 | 4,846,000 | 4,785,425 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 660,000 | 679,172 | |
4% 11/15/21 | 1,643,000 | 1,691,822 | |
4.125% 11/15/20 | 394,000 | 395,075 | |
4.3% 3/4/24 | 2,607,000 | 2,803,268 | |
4.9% 1/15/45 | 470,000 | 508,668 | |
479,716,970 | |||
TOTAL ENERGY | 481,735,237 | ||
FINANCIALS - 4.1% | |||
Banks - 2.1% | |||
Banco Santander SA: | |||
3.49% 5/28/30 | 800,000 | 819,132 | |
3.848% 4/12/23 | 800,000 | 843,024 | |
Bank of America Corp.: | |||
3.004% 12/20/23 (a) | 10,921,000 | 11,411,468 | |
3.3% 1/11/23 | 3,572,000 | 3,780,448 | |
3.419% 12/20/28 (a) | 14,538,000 | 15,817,801 | |
3.5% 4/19/26 | 5,358,000 | 5,937,341 | |
3.95% 4/21/25 | 14,568,000 | 15,916,977 | |
3.97% 3/5/29 (a) | 9,695,000 | 10,950,332 | |
4% 1/22/25 | 43,905,000 | 47,918,963 | |
4.1% 7/24/23 | 13,989,000 | 15,296,272 | |
4.2% 8/26/24 | 2,028,000 | 2,236,530 | |
4.25% 10/22/26 | 10,727,000 | 12,043,417 | |
4.45% 3/3/26 | 2,065,000 | 2,325,565 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 1.8653% 7/20/22 (a)(b)(c) | 8,041,000 | 8,047,042 | |
Barclays PLC: | |||
2.852% 5/7/26 (a) | 10,143,000 | 10,391,286 | |
3.65% 3/16/25 | 700,000 | 741,881 | |
3.932% 5/7/25 (a) | 200,000 | 212,964 | |
4.375% 1/12/26 | 940,000 | 1,033,850 | |
4.836% 5/9/28 | 6,667,000 | 7,173,566 | |
4.95% 1/10/47 | 1,655,000 | 2,053,444 | |
4.972% 5/16/29 (a) | 15,000,000 | 17,140,936 | |
5.088% 6/20/30 (a) | 13,438,000 | 14,975,455 | |
5.2% 5/12/26 | 1,701,000 | 1,867,188 | |
Capital One Bank NA 3.375% 2/15/23 | 1,035,000 | 1,071,362 | |
Capital One NA 2.15% 9/6/22 | 5,084,000 | 5,148,081 | |
CIT Group, Inc.: | |||
4.75% 2/16/24 | 2,480,000 | 2,484,638 | |
5% 8/1/23 | 7,000,000 | 7,016,030 | |
6.125% 3/9/28 | 4,840,000 | 5,009,400 | |
Citigroup, Inc.: | |||
2.572% 6/3/31 (a) | 2,345,000 | 2,342,646 | |
2.666% 1/29/31 (a) | 6,740,000 | 6,834,698 | |
2.7% 10/27/22 | 50,590,000 | 52,396,192 | |
3.2% 10/21/26 | 2,300,000 | 2,461,034 | |
3.352% 4/24/25 (a) | 6,698,000 | 7,125,501 | |
3.4% 5/1/26 | 145,000 | 157,046 | |
3.668% 7/24/28 (a) | 1,000,000 | 1,085,969 | |
4.05% 7/30/22 | 1,159,000 | 1,225,075 | |
4.3% 11/20/26 | 2,129,000 | 2,369,466 | |
4.4% 6/10/25 | 17,376,000 | 19,220,411 | |
4.412% 3/31/31 (a) | 13,726,000 | 15,808,722 | |
4.45% 9/29/27 | 7,630,000 | 8,482,413 | |
4.5% 1/14/22 | 2,773,000 | 2,930,229 | |
4.6% 3/9/26 | 3,835,000 | 4,294,700 | |
4.65% 7/30/45 | 900,000 | 1,102,500 | |
4.75% 5/18/46 | 10,000,000 | 12,078,904 | |
5.5% 9/13/25 | 8,267,000 | 9,669,826 | |
Citizens Financial Group, Inc.: | |||
4.15% 9/28/22 (b) | 3,115,000 | 3,250,069 | |
4.3% 12/3/25 | 9,918,000 | 10,831,026 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 3,419,000 | 3,536,933 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3.75% 3/26/25 | 16,672,000 | 18,104,155 | |
3.8% 9/15/22 | 10,230,000 | 10,799,419 | |
3.8% 6/9/23 | 9,457,000 | 10,039,343 | |
4.55% 4/17/26 | 5,384,000 | 6,107,303 | |
Export-Import Bank of Korea 5.125% 6/29/20 | 800,000 | 802,552 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 905,485 | |
HSBC Holdings PLC: | |||
4.041% 3/13/28 (a) | 2,880,000 | 3,117,103 | |
4.25% 3/14/24 | 1,872,000 | 1,994,251 | |
4.583% 6/19/29 (a) | 1,300,000 | 1,474,501 | |
4.875% 1/14/22 | 4,045,000 | 4,288,250 | |
4.95% 3/31/30 | 1,855,000 | 2,177,792 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 404,000 | 416,010 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 31,005,000 | 31,089,077 | |
5.71% 1/15/26 (b) | 7,646,000 | 7,863,531 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 431,821 | |
JPMorgan Chase & Co.: | |||
2.522% 4/22/31 (a) | 255,000 | 260,413 | |
2.95% 10/1/26 | 4,205,000 | 4,533,331 | |
2.956% 5/13/31 (a) | 5,386,000 | 5,544,866 | |
3.509% 1/23/29 (a) | 1,830,000 | 1,991,121 | |
3.797% 7/23/24 (a) | 10,889,000 | 11,701,192 | |
3.875% 9/10/24 | 10,030,000 | 11,021,940 | |
3.882% 7/24/38 (a) | 6,115,000 | 6,989,318 | |
3.964% 11/15/48 (a) | 1,945,000 | 2,255,561 | |
4.125% 12/15/26 | 7,374,000 | 8,321,763 | |
4.35% 8/15/21 | 4,947,000 | 5,176,522 | |
4.625% 5/10/21 | 1,718,000 | 1,783,785 | |
Lloyds Banking Group PLC: | |||
2.438% 2/5/26 (a) | 1,010,000 | 1,021,395 | |
3.9% 3/12/24 | 300,000 | 322,300 | |
4.375% 3/22/28 | 1,365,000 | 1,528,757 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 41,391 | |
PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,880,185 | |
PNC Financial Services Group, Inc.: | |||
2.854% 11/9/22 | 275,000 | 287,693 | |
3.9% 4/29/24 | 375,000 | 409,542 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,544,349 | |
Regions Financial Corp. 2.25% 5/18/25 | 8,127,000 | 8,279,471 | |
Royal Bank of Scotland Group PLC: | |||
3.073% 5/22/28 (a) | 5,799,000 | 5,935,532 | |
4.269% 3/22/25 (a) | 1,735,000 | 1,852,034 | |
4.8% 4/5/26 | 15,438,000 | 17,294,677 | |
5.125% 5/28/24 | 25,198,000 | 27,110,107 | |
6% 12/19/23 | 40,605,000 | 44,737,672 | |
6.1% 6/10/23 | 35,526,000 | 38,793,002 | |
6.125% 12/15/22 | 5,889,000 | 6,357,188 | |
Royal Bank of Scotland PLC 2.375% 5/21/23 (b) | 10,828,000 | 10,920,872 | |
Societe Generale 4.25% 4/14/25 (b) | 21,901,000 | 22,670,211 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 268,559 | |
SunTrust Banks, Inc. 2.7% 1/27/22 | 540,000 | 558,045 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,496,735 | |
UniCredit SpA 6.572% 1/14/22 (b) | 7,600,000 | 7,920,989 | |
Wells Fargo & Co.: | |||
2.1% 7/26/21 | 1,220,000 | 1,238,232 | |
2.406% 10/30/25 (a) | 5,834,000 | 5,987,827 | |
2.572% 2/11/31 (a) | 585,000 | 590,563 | |
2.879% 10/30/30 (a) | 3,110,000 | 3,219,298 | |
3% 2/19/25 | 7,625,000 | 8,163,253 | |
4.125% 8/15/23 | 280,000 | 301,810 | |
4.3% 7/22/27 | 21,880,000 | 24,625,040 | |
4.478% 4/4/31 (a) | 15,500,000 | 18,107,937 | |
4.65% 11/4/44 | 1,385,000 | 1,643,717 | |
5.013% 4/4/51 (a) | 25,310,000 | 33,300,401 | |
Westpac Banking Corp. 4.11% 7/24/34 (a) | 4,937,000 | 5,309,234 | |
870,776,176 | |||
Capital Markets - 1.0% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 1,987,350 | |
Ares Capital Corp. 4.2% 6/10/24 | 12,032,000 | 11,511,630 | |
Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 818,240 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 13,060,000 | 13,354,616 | |
4.194% 4/1/31 (a)(b) | 12,540,000 | 13,908,192 | |
Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 13,795,191 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 10,274,870 | |
5% 2/14/22 | 14,609,000 | 15,063,651 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (a) | 12,744,000 | 13,020,842 | |
3.2% 2/23/23 | 5,700,000 | 5,993,987 | |
3.691% 6/5/28 (a) | 4,215,000 | 4,606,208 | |
3.75% 2/25/26 | 125,000 | 137,228 | |
3.8% 3/15/30 | 16,690,000 | 18,451,170 | |
6.75% 10/1/37 | 50,999,000 | 70,526,942 | |
Intercontinental Exchange, Inc.: | |||
2.75% 12/1/20 | 1,768,000 | 1,788,551 | |
3.75% 12/1/25 | 3,162,000 | 3,577,967 | |
Moody's Corp.: | |||
3.25% 1/15/28 | 2,897,000 | 3,196,185 | |
3.75% 3/24/25 | 6,565,000 | 7,321,186 | |
4.875% 2/15/24 | 2,720,000 | 3,053,690 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 2.0276% 7/22/22 (a)(c) | 3,691,000 | 3,683,175 | |
3.125% 1/23/23 | 7,600,000 | 8,023,190 | |
3.125% 7/27/26 | 37,616,000 | 40,752,224 | |
3.591% 7/22/28 (a) | 2,610,000 | 2,868,156 | |
3.622% 4/1/31 (a) | 13,084,000 | 14,527,604 | |
3.7% 10/23/24 | 21,259,000 | 23,326,916 | |
3.75% 2/25/23 | 3,725,000 | 3,984,264 | |
3.772% 1/24/29 (a) | 950,000 | 1,058,099 | |
3.875% 4/29/24 | 1,475,000 | 1,614,886 | |
3.875% 1/27/26 | 1,125,000 | 1,265,776 | |
4% 7/23/25 | 2,450,000 | 2,739,021 | |
4.1% 5/22/23 | 4,350,000 | 4,659,618 | |
4.35% 9/8/26 | 2,340,000 | 2,638,933 | |
4.431% 1/23/30 (a) | 7,074,000 | 8,276,286 | |
5% 11/24/25 | 40,891,000 | 47,056,666 | |
5.75% 1/25/21 | 4,996,000 | 5,161,148 | |
Nomura Holdings, Inc. 2.648% 1/16/25 | 1,525,000 | 1,574,782 | |
State Street Corp.: | |||
2.825% 3/30/23 (a)(b) | 887,000 | 917,206 | |
2.901% 3/30/26 (a)(b) | 833,000 | 895,410 | |
3.152% 3/30/31 (a)(b) | 567,000 | 627,878 | |
388,038,934 | |||
Consumer Finance - 0.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.875% 8/14/24 | 7,954,000 | 6,595,473 | |
3.5% 5/26/22 | 1,949,000 | 1,807,038 | |
4.125% 7/3/23 | 5,132,000 | 4,568,953 | |
4.45% 12/16/21 | 4,011,000 | 3,806,988 | |
4.45% 4/3/26 | 4,282,000 | 3,556,509 | |
4.5% 5/15/21 | 1,455,000 | 1,418,128 | |
4.875% 1/16/24 | 6,861,000 | 6,134,530 | |
5% 10/1/21 | 2,185,000 | 2,103,132 | |
Ally Financial, Inc.: | |||
3.875% 5/21/24 | 6,322,000 | 6,385,789 | |
4.125% 2/13/22 | 300,000 | 306,663 | |
5.125% 9/30/24 | 4,388,000 | 4,566,284 | |
5.8% 5/1/25 | 6,894,000 | 7,536,659 | |
Capital One Financial Corp.: | |||
2.6% 5/11/23 | 9,320,000 | 9,570,208 | |
3.65% 5/11/27 | 15,820,000 | 16,507,192 | |
3.8% 1/31/28 | 7,795,000 | 8,188,790 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 2,293,000 | 2,374,833 | |
3.95% 11/6/24 | 2,567,000 | 2,719,150 | |
4.1% 2/9/27 | 645,000 | 668,859 | |
4.5% 1/30/26 | 6,463,000 | 6,921,838 | |
5.2% 4/27/22 | 1,093,000 | 1,151,275 | |
Ford Motor Credit Co. LLC: | |||
3.35% 11/1/22 | 1,290,000 | 1,219,321 | |
4.063% 11/1/24 | 22,139,000 | 20,810,660 | |
5.085% 1/7/21 | 4,004,000 | 3,958,955 | |
5.584% 3/18/24 | 8,575,000 | 8,529,553 | |
5.596% 1/7/22 | 8,285,000 | 8,264,288 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 1,370,000 | 1,367,853 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 615,000 | 657,560 | |
2.8% 1/27/23 | 990,000 | 1,045,961 | |
2.8% 3/6/23 | 1,045,000 | 1,108,236 | |
Navient Corp. 7.25% 1/25/22 | 1,300,000 | 1,293,500 | |
Springleaf Finance Corp. 6.875% 3/15/25 | 500,000 | 493,600 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,029,000 | 1,991,457 | |
3.75% 8/15/21 | 2,016,000 | 2,046,536 | |
3.95% 12/1/27 | 8,719,000 | 8,339,467 | |
4.25% 8/15/24 | 2,029,000 | 2,027,752 | |
4.375% 3/19/24 | 7,165,000 | 7,231,173 | |
5.15% 3/19/29 | 13,451,000 | 13,763,101 | |
Toyota Motor Credit Corp.: | |||
2.9% 3/30/23 | 10,102,000 | 10,628,505 | |
3% 4/1/25 | 9,240,000 | 10,048,134 | |
3.375% 4/1/30 | 2,998,000 | 3,364,708 | |
205,078,611 | |||
Diversified Financial Services - 0.1% | |||
AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 1,273,000 | 1,343,974 | |
Berkshire Hathaway, Inc. 2.75% 3/15/23 | 895,000 | 949,308 | |
BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,726,225 | |
Brixmor Operating Partnership LP: | |||
4.125% 6/15/26 | 5,706,000 | 5,822,465 | |
4.125% 5/15/29 | 6,724,000 | 6,494,029 | |
General Electric Capital Corp.: | |||
3.15% 9/7/22 | 1,386,000 | 1,419,449 | |
3.45% 5/15/24 | 85,000 | 87,143 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 305,000 | 294,325 | |
6.25% 5/15/26 | 684,000 | 687,557 | |
6.375% 12/15/25 | 1,100,000 | 1,111,099 | |
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) | 385,000 | 363,825 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (b) | 136,000 | 115,207 | |
5.5% 2/15/24 (b) | 7,000,000 | 6,012,795 | |
Pine Str Trust Ii 5.568% 2/15/49 (b) | 7,800,000 | 8,272,953 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 8,336,088 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,557,314 | |
47,593,756 | |||
Insurance - 0.4% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 1,105,000 | 1,164,002 | |
3.15% 3/15/25 | 1,615,000 | 1,764,947 | |
AFLAC, Inc. 3.6% 4/1/30 | 3,100,000 | 3,579,135 | |
AIA Group Ltd. 3.375% 4/7/30 (b) | 9,627,000 | 10,367,576 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 15,800,000 | 16,343,279 | |
3.4% 6/30/30 | 15,800,000 | 16,579,645 | |
3.75% 7/10/25 | 1,110,000 | 1,209,774 | |
4.125% 2/15/24 | 360,000 | 394,773 | |
4.5% 7/16/44 | 2,255,000 | 2,531,618 | |
4.875% 6/1/22 | 3,898,000 | 4,193,513 | |
Aon Corp. 5% 9/30/20 | 540,000 | 547,708 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 1,970,000 | 2,175,066 | |
CNA Financial Corp. 3.95% 5/15/24 | 1,400,000 | 1,509,423 | |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 11,420,000 | 11,663,451 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 1,847,000 | 2,081,823 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 130,000 | 129,968 | |
4.35% 3/1/48 | 165,000 | 174,490 | |
6.3% 10/9/37 | 110,000 | 134,766 | |
Markel Corp.: | |||
4.15% 9/17/50 | 1,040,000 | 1,059,005 | |
4.3% 11/1/47 | 525,000 | 549,510 | |
Marsh & McLennan Companies, Inc.: | |||
2.25% 11/15/30 | 3,006,000 | 3,044,926 | |
3.5% 6/3/24 | 1,140,000 | 1,228,382 | |
4.375% 3/15/29 | 5,432,000 | 6,412,324 | |
4.75% 3/15/39 | 2,493,000 | 3,130,248 | |
4.8% 7/15/21 | 1,026,000 | 1,062,565 | |
4.9% 3/15/49 | 4,960,000 | 6,609,416 | |
MetLife, Inc. 4.368% 9/15/23 (a) | 910,000 | 1,020,900 | |
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 0.56% 5/28/21 (a)(b)(c) | 31,400,000 | 31,244,028 | |
New York Life Insurance Co. 3.75% 5/15/50 (b) | 2,317,000 | 2,601,770 | |
Pricoa Global Funding I 5.375% 5/15/45 (a) | 5,278,000 | 5,436,340 | |
Progressive Corp. 3.2% 3/26/30 | 1,118,000 | 1,255,137 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 1,118,000 | 1,177,448 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 3,200,000 | 3,523,456 | |
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (b) | 4,976,000 | 5,087,755 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 418,429 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 5,892,491 | |
4.5% 3/15/25 | 8,661,000 | 8,995,590 | |
5.625% 9/15/20 | 3,216,000 | 3,255,752 | |
5.75% 8/15/42 | 2,238,000 | 2,196,168 | |
171,746,597 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans, Inc. 5.25% 1/15/28 (b) | 300,000 | 302,757 | |
TOTAL FINANCIALS | 1,683,536,831 | ||
HEALTH CARE - 0.8% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc.: | |||
3.85% 6/15/24 (b) | 560,000 | 612,096 | |
4.25% 11/21/49 (b) | 2,395,000 | 2,743,865 | |
4.55% 3/15/35 (b) | 400,000 | 471,187 | |
4.7% 5/14/45 | 3,375,000 | 4,029,740 | |
4.875% 11/14/48 | 585,000 | 721,402 | |
Amgen, Inc. 2.6% 8/19/26 | 3,975,000 | 4,233,979 | |
Baxalta, Inc. 4% 6/23/25 | 579,000 | 645,098 | |
Gilead Sciences, Inc.: | |||
3.25% 9/1/22 | 195,000 | 206,466 | |
3.65% 3/1/26 | 685,000 | 778,207 | |
4.4% 12/1/21 | 1,120,000 | 1,173,177 | |
4.5% 2/1/45 | 665,000 | 852,141 | |
16,467,358 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories 4.9% 11/30/46 | 1,460,000 | 2,059,914 | |
Becton, Dickinson & Co.: | |||
2.404% 6/5/20 | 4,246,000 | 4,245,584 | |
3.125% 11/8/21 | 1,050,000 | 1,083,150 | |
3.7% 6/6/27 | 118,000 | 131,941 | |
3.734% 12/15/24 | 855,000 | 939,457 | |
Hologic, Inc. 4.375% 10/15/25 (b) | 200,000 | 204,458 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 335,000 | 368,029 | |
3.375% 11/1/25 | 305,000 | 341,447 | |
3.5% 3/15/26 | 675,000 | 759,052 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (b) | 60,000 | 61,800 | |
4.875% 6/1/26 | 1,000,000 | 1,030,000 | |
11,224,832 | |||
Health Care Providers & Services - 0.5% | |||
Anthem, Inc.: | |||
3.3% 1/15/23 | 3,395,000 | 3,602,993 | |
3.65% 12/1/27 | 3,535,000 | 3,999,722 | |
Ascension Health: | |||
2.532% 11/15/29 | 265,000 | 278,991 | |
3.106% 11/15/39 | 610,000 | 651,744 | |
3.945% 11/15/46 | 465,000 | 571,945 | |
4.847% 11/15/53 | 150,000 | 201,264 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 230,000 | 269,816 | |
Cardinal Health, Inc. 3.2% 6/15/22 | 405,000 | 418,661 | |
Centene Corp.: | |||
3.375% 2/15/30 | 4,420,000 | 4,450,940 | |
4.25% 12/15/27 | 5,825,000 | 6,084,912 | |
4.625% 12/15/29 | 7,750,000 | 8,342,875 | |
4.75% 1/15/25 | 3,965,000 | 4,093,863 | |
5.25% 4/1/25 (b) | 1,300,000 | 1,338,181 | |
5.375% 6/1/26 (b) | 335,000 | 354,263 | |
5.375% 8/15/26 (b) | 200,000 | 211,282 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 580,000 | 688,529 | |
Cigna Corp.: | |||
3.25% 4/15/25 (b) | 555,000 | 601,217 | |
3.75% 7/15/23 | 4,140,000 | 4,504,440 | |
4.125% 9/15/20 (b) | 1,049,000 | 1,057,430 | |
4.125% 11/15/25 | 4,646,000 | 5,293,613 | |
4.375% 10/15/28 | 7,774,000 | 9,123,500 | |
4.5% 2/25/26 (b) | 4,925,000 | 5,710,562 | |
4.8% 8/15/38 | 4,840,000 | 6,036,835 | |
4.9% 12/15/48 | 4,836,000 | 6,377,311 | |
CommonSpirit Health 2.76% 10/1/24 | 950,000 | 961,047 | |
CVS Health Corp.: | |||
3% 8/15/26 | 828,000 | 904,384 | |
3.25% 8/15/29 | 1,903,000 | 2,057,561 | |
3.625% 4/1/27 | 2,341,000 | 2,569,417 | |
3.75% 4/1/30 | 4,459,000 | 4,990,445 | |
4.1% 3/25/25 | 30,084,000 | 33,621,733 | |
4.125% 4/1/40 | 3,104,000 | 3,580,811 | |
4.25% 4/1/50 | 881,000 | 1,032,887 | |
4.3% 3/25/28 | 17,504,000 | 19,958,659 | |
4.78% 3/25/38 | 7,778,000 | 9,470,508 | |
5.05% 3/25/48 | 12,663,000 | 16,257,424 | |
5.125% 7/20/45 | 1,545,000 | 1,953,857 | |
5.3% 12/5/43 | 305,000 | 388,112 | |
Hackensack Meridian Health 4.5% 7/1/57 | 385,000 | 470,553 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 205,000 | 221,814 | |
5% 3/15/24 | 300,000 | 330,516 | |
5.25% 6/15/26 | 900,000 | 1,024,485 | |
5.375% 2/1/25 | 305,000 | 334,795 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,100,000 | 1,363,475 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 795,000 | 853,311 | |
4.7% 2/1/45 | 830,000 | 999,744 | |
Memorial Sloan-Kettring Cancer Center: | |||
4.2% 7/1/55 | 140,000 | 175,922 | |
5% 7/1/42 | 225,000 | 296,335 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 465,752 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 550,000 | 643,901 | |
4.063% 8/1/56 | 540,000 | 632,133 | |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 868,112 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 790,000 | 822,745 | |
2.746% 10/1/26 | 780,000 | 827,774 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 122,553 | |
5.75% 1/30/40 | 68,000 | 84,392 | |
Sutter Health 4.091% 8/15/48 | 2,540,000 | 2,833,900 | |
Tenet Healthcare Corp.: | |||
4.875% 1/1/26 (b) | 1,160,000 | 1,192,144 | |
6.25% 2/1/27 (b) | 120,000 | 124,200 | |
7.5% 4/1/25 (b) | 500,000 | 545,000 | |
8.125% 4/1/22 | 900,000 | 940,500 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,792,000 | 2,913,147 | |
6.015% 11/15/48 | 5,710,000 | 6,094,437 | |
UnitedHealth Group, Inc.: | |||
2.75% 5/15/40 | 2,499,000 | 2,597,034 | |
2.9% 5/15/50 | 2,280,000 | 2,368,236 | |
3.125% 5/15/60 | 3,200,000 | 3,368,115 | |
3.875% 8/15/59 | 30,000 | 36,075 | |
4.25% 4/15/47 | 645,000 | 807,717 | |
4.25% 6/15/48 | 800,000 | 1,015,970 | |
6.875% 2/15/38 | 700,000 | 1,101,262 | |
208,487,783 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 10/15/26 (b) | 900,000 | 952,875 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (b) | 30,000 | 30,253 | |
5.5% 4/1/26 (b) | 100,000 | 104,419 | |
Thermo Fisher Scientific, Inc.: | |||
4.133% 3/25/25 | 2,323,000 | 2,640,653 | |
4.15% 2/1/24 | 570,000 | 634,919 | |
4.497% 3/25/30 | 2,059,000 | 2,515,790 | |
5,926,034 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 51,454,000 | 57,604,755 | |
Bristol-Myers Squibb Co.: | |||
4.25% 10/26/49 (b) | 1,925,000 | 2,531,022 | |
5% 8/15/45 (b) | 510,000 | 703,024 | |
Elanco Animal Health, Inc.: | |||
4.662% 8/27/21 (a) | 1,274,000 | 1,296,295 | |
5.022% 8/28/23 (a) | 4,020,000 | 4,245,191 | |
5.65% 8/28/28 (a) | 1,693,000 | 1,870,765 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 743,073 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 1,425,000 | 1,513,901 | |
Johnson & Johnson 3.625% 3/3/37 | 1,485,000 | 1,772,800 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 2,875,000 | 2,993,414 | |
3.4% 3/7/29 | 1,400,000 | 1,610,440 | |
Mylan NV: | |||
3.15% 6/15/21 | 5,494,000 | 5,595,121 | |
3.95% 6/15/26 | 2,804,000 | 3,050,939 | |
5.2% 4/15/48 | 1,680,000 | 1,922,020 | |
5.4% 11/29/43 | 580,000 | 658,984 | |
Novartis Capital Corp.: | |||
2.4% 9/21/22 | 2,695,000 | 2,814,670 | |
4% 11/20/45 | 1,090,000 | 1,378,573 | |
Perrigo Finance PLC 3.5% 12/15/21 | 400,000 | 398,849 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,210,000 | 1,223,144 | |
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26 | 2,490,000 | 2,748,860 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 1,013,000 | 993,196 | |
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (b) | 1,300,000 | 1,345,227 | |
Wyeth LLC 6.45% 2/1/24 | 3,125,000 | 3,770,448 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,237,745 | |
109,022,456 | |||
TOTAL HEALTH CARE | 352,081,338 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 3,233,977 | |
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) | 700,000 | 664,433 | |
BWX Technologies, Inc. 5.375% 7/15/26 (b) | 700,000 | 719,516 | |
Embraer Netherlands Finance BV 5.4% 2/1/27 | 75,000 | 68,212 | |
General Dynamics Corp.: | |||
2.25% 11/15/22 | 1,000,000 | 1,036,375 | |
3.5% 5/15/25 | 1,905,000 | 2,123,064 | |
Lockheed Martin Corp.: | |||
2.9% 3/1/25 | 3,075,000 | 3,360,827 | |
3.8% 3/1/45 | 485,000 | 586,249 | |
Moog, Inc. 4.25% 12/15/27 (b) | 410,000 | 391,156 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 820,000 | 1,054,435 | |
Raytheon Technologies Corp. 4.125% 11/16/28 | 490,000 | 568,064 | |
Rockwell Collins, Inc. 3.5% 3/15/27 | 2,225,000 | 2,394,621 | |
The Boeing Co.: | |||
2.25% 6/15/26 | 985,000 | 916,319 | |
3.1% 5/1/26 | 360,000 | 349,888 | |
3.6% 5/1/34 | 1,750,000 | 1,604,970 | |
5.04% 5/1/27 | 4,430,000 | 4,703,171 | |
5.15% 5/1/30 | 4,430,000 | 4,730,503 | |
5.705% 5/1/40 | 4,430,000 | 4,848,878 | |
5.805% 5/1/50 | 4,960,000 | 5,614,321 | |
5.93% 5/1/60 | 4,430,000 | 5,128,251 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 915,000 | 935,588 | |
7.5% 3/15/27 | 40,000 | 39,365 | |
8% 12/15/25 (b) | 465,000 | 502,200 | |
45,574,383 | |||
Air Freight & Logistics - 0.0% | |||
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) | 930,000 | 691,455 | |
FedEx Corp. 3.3% 3/15/27 | 280,000 | 296,275 | |
United Parcel Service, Inc. 2.05% 4/1/21 | 150,000 | 151,816 | |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 340,000 | 354,824 | |
1,494,370 | |||
Airlines - 0.0% | |||
American Airelines 2014-1 Class A Pass-Through Trust Equipment Trust Certificate 3.7% 4/1/28 | 231,519 | 185,428 | |
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 461,430 | 413,279 | |
Continental Airlines, Inc. 4.15% 10/11/25 | 721,016 | 663,903 | |
Delta Air Lines, Inc. 3.625% 3/15/22 | 480,000 | 436,919 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 2/10/24 | 111,008 | 102,972 | |
Southwest Airlines Co. 2.625% 2/10/30 | 735,000 | 609,971 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 149,184 | 135,531 | |
2,548,003 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 400,000 | 400,000 | |
Johnson Controls International PLC 4.95% 7/2/64 | 197,000 | 233,684 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,757,093 | |
2,390,777 | |||
Commercial Services & Supplies - 0.0% | |||
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 551,421 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,135,000 | 1,271,139 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 300,000 | 293,313 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 220,000 | 220,825 | |
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) | 600,000 | 599,070 | |
Waste Connection, Inc. 3.05% 4/1/50 | 275,000 | 268,269 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 392,096 | |
WMX Technologies, Inc. 4.6% 3/1/21 | 345,000 | 351,865 | |
3,947,998 | |||
Construction & Engineering - 0.0% | |||
AECOM: | |||
5.125% 3/15/27 | 305,000 | 323,623 | |
5.875% 10/15/24 | 1,100,000 | 1,178,870 | |
1,502,493 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 119,101 | |
Sensata Technologies BV 4.875% 10/15/23 (b) | 300,000 | 308,250 | |
427,351 | |||
Industrial Conglomerates - 0.0% | |||
3M Co.: | |||
2.65% 4/15/25 | 581,000 | 627,151 | |
3.05% 4/15/30 | 469,000 | 523,348 | |
3.7% 4/15/50 | 578,000 | 696,969 | |
Covidien International Finance SA 3.2% 6/15/22 | 865,000 | 907,431 | |
Honeywell International, Inc. 1.35% 6/1/25 | 920,000 | 938,814 | |
3,693,713 | |||
Machinery - 0.0% | |||
Deere & Co.: | |||
2.75% 4/15/25 | 1,155,000 | 1,252,342 | |
3.1% 4/15/30 | 3,082,000 | 3,460,946 | |
3.75% 4/15/50 | 939,000 | 1,132,884 | |
Fortive Corp. 3.15% 6/15/26 | 275,000 | 290,163 | |
Pentair Finance SA 4.5% 7/1/29 | 670,000 | 721,183 | |
Westinghouse Air Brake Co. 4.95% 9/15/28 | 430,000 | 450,911 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 242,814 | |
4.875% 10/1/21 | 525,000 | 552,378 | |
8,103,621 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 104,816 | |
Equifax, Inc. 2.6% 12/1/24 | 1,245,000 | 1,292,179 | |
IHS Markit Ltd. 4.125% 8/1/23 | 365,000 | 395,295 | |
1,792,290 | |||
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.625% 5/1/22 (b) | 2,155,000 | 1,917,517 | |
3.95% 7/1/24 (b) | 2,862,000 | 2,361,632 | |
4.375% 5/1/26 (b) | 3,477,000 | 2,717,223 | |
5.125% 10/1/23 (b) | 240,000 | 202,832 | |
5.25% 5/15/24 (b) | 4,210,000 | 3,553,215 | |
Burlington Northern Santa Fe LLC 4.1% 6/1/21 | 950,000 | 974,556 | |
Canadian National Railway Co. 2.85% 12/15/21 | 600,000 | 614,358 | |
CSX Corp.: | |||
3.4% 8/1/24 | 450,000 | 489,748 | |
3.8% 4/15/50 | 1,839,000 | 2,136,854 | |
6.15% 5/1/37 | 1,500,000 | 2,103,140 | |
Union Pacific Corp.: | |||
3.25% 2/5/50 | 1,510,000 | 1,597,323 | |
3.6% 9/15/37 | 640,000 | 701,143 | |
3.75% 2/5/70 | 315,000 | 343,581 | |
4.3% 6/15/42 | 325,000 | 382,338 | |
20,095,460 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,595,849 | |
3% 9/15/23 | 800,000 | 735,815 | |
3.375% 6/1/21 | 2,750,000 | 2,648,217 | |
3.75% 2/1/22 | 4,752,000 | 4,532,570 | |
3.875% 4/1/21 | 2,900,000 | 2,836,066 | |
4.25% 2/1/24 | 7,846,000 | 7,360,309 | |
4.25% 9/15/24 | 3,212,000 | 2,980,158 | |
FLY Leasing Ltd. 5.25% 10/15/24 | 160,000 | 124,800 | |
22,813,784 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (a) | 755,000 | 777,650 | |
TOTAL INDUSTRIALS | 115,161,893 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
1.85% 9/20/21 | 725,000 | 738,311 | |
2.9% 3/4/21 | 150,000 | 152,720 | |
3% 6/15/22 | 310,000 | 327,013 | |
1,218,044 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (b) | 6,100,000 | 6,549,582 | |
6.02% 6/15/26 (b) | 2,112,000 | 2,385,494 | |
TTM Technologies, Inc. 5.625% 10/1/25 (b) | 700,000 | 705,607 | |
9,640,683 | |||
IT Services - 0.0% | |||
Fiserv, Inc.: | |||
2.75% 7/1/24 | 205,000 | 217,433 | |
3.85% 6/1/25 | 1,490,000 | 1,660,916 | |
Global Payments, Inc. 2.65% 2/15/25 | 495,000 | 519,940 | |
IBM Corp.: | |||
2.85% 5/15/40 | 730,000 | 738,725 | |
3.625% 2/12/24 | 3,865,000 | 4,261,933 | |
MasterCard, Inc.: | |||
3.3% 3/26/27 | 922,000 | 1,045,501 | |
3.35% 3/26/30 | 1,282,000 | 1,483,936 | |
3.375% 4/1/24 | 870,000 | 963,637 | |
3.85% 3/26/50 | 1,100,000 | 1,394,488 | |
Visa, Inc. 2.7% 4/15/40 | 145,000 | 153,744 | |
12,440,253 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,302,567 | |
Entegris, Inc.: | |||
4.375% 4/15/28 (b) | 205,000 | 209,514 | |
4.625% 2/10/26 (b) | 400,000 | 407,900 | |
Micron Technology, Inc. 2.497% 4/24/23 | 9,336,000 | 9,558,461 | |
NVIDIA Corp.: | |||
2.85% 4/1/30 | 2,598,000 | 2,854,487 | |
3.5% 4/1/40 | 2,808,000 | 3,215,592 | |
3.5% 4/1/50 | 5,625,000 | 6,386,559 | |
3.7% 4/1/60 | 1,107,000 | 1,305,981 | |
25,241,061 | |||
Software - 0.2% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 500,000 | 518,755 | |
5.875% 6/15/26 | 200,000 | 210,500 | |
Microsoft Corp.: | |||
2.525% 6/1/50 (d) | 718,000 | 728,596 | |
3.7% 8/8/46 | 2,510,000 | 3,131,964 | |
4.1% 2/6/37 (e) | 1,212,000 | 1,540,595 | |
Nortonlifelock, Inc. 5% 4/15/25 (b) | 475,000 | 484,500 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 636,168 | |
Open Text Corp. 3.875% 2/15/28 (b) | 175,000 | 172,713 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 6,907,769 | |
2.65% 7/15/26 | 2,295,000 | 2,485,638 | |
2.8% 4/1/27 | 6,499,000 | 7,046,949 | |
2.95% 5/15/25 | 1,085,000 | 1,184,102 | |
2.95% 4/1/30 | 6,500,000 | 7,131,991 | |
3.6% 4/1/40 | 6,500,000 | 7,187,446 | |
3.6% 4/1/50 | 6,500,000 | 7,241,366 | |
3.85% 4/1/60 | 6,500,000 | 7,425,442 | |
4.125% 5/15/45 | 1,270,000 | 1,490,755 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 813,990 | |
56,339,239 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc. 3.25% 2/23/26 | 8,225,000 | 9,279,552 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (a) | 5,700,000 | 6,102,246 | |
15,381,798 | |||
TOTAL INFORMATION TECHNOLOGY | 120,261,078 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
CF Industries Holdings, Inc. 5.15% 3/15/34 | 300,000 | 316,500 | |
Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 4.4905% 6/15/22 (a)(b)(c) | 495,000 | 426,908 | |
DuPont de Nemours, Inc.: | |||
2.169% 5/1/23 | 15,494,000 | 15,806,160 | |
4.493% 11/15/25 | 2,875,000 | 3,261,717 | |
Eastman Chemical Co. 4.65% 10/15/44 | 485,000 | 540,450 | |
Ecolab, Inc. 4.35% 12/8/21 | 245,000 | 260,002 | |
FMC Corp. 4.5% 10/1/49 | 800,000 | 904,441 | |
LYB International Finance II BV 3.5% 3/2/27 | 1,170,000 | 1,251,482 | |
LyondellBasell Industries NV: | |||
5.75% 4/15/24 | 1,730,000 | 1,968,328 | |
6% 11/15/21 | 1,519,000 | 1,602,184 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (b) | 400,000 | 389,372 | |
Nutrien Ltd. 4.9% 6/1/43 | 825,000 | 928,098 | |
Olin Corp. 5.125% 9/15/27 | 700,000 | 623,000 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 249,776 | |
The Chemours Co. LLC 7% 5/15/25 | 600,000 | 583,500 | |
The Dow Chemical Co. 3.625% 5/15/26 | 3,370,000 | 3,655,592 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (b) | 70,000 | 69,825 | |
4.375% 8/15/25 | 400,000 | 406,000 | |
W. R. Grace & Co.-Conn. 5.625% 10/1/24 (b) | 400,000 | 407,000 | |
33,650,335 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 2.5% 3/15/30 | 530,000 | 514,508 | |
Vulcan Materials Co. 4.5% 6/15/47 | 795,000 | 841,109 | |
1,355,617 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (b) | 145,000 | 149,488 | |
Berry Global, Inc. 4.875% 7/15/26 (b) | 200,000 | 209,064 | |
International Paper Co.: | |||
5% 9/15/35 | 405,000 | 471,737 | |
5.15% 5/15/46 | 116,000 | 137,878 | |
OI European Group BV 4% 3/15/23 (b) | 500,000 | 493,750 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 195,034 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (b) | 205,000 | 215,059 | |
8.5% 8/15/27 (b) | 60,000 | 63,300 | |
1,935,310 | |||
Metals & Mining - 0.0% | |||
Anglo American Capital PLC: | |||
4.125% 4/15/21 (b) | 6,803,000 | 6,917,653 | |
4.125% 9/27/22 (b) | 1,333,000 | 1,358,805 | |
Barrick North America Finance LLC 5.75% 5/1/43 | 330,000 | 453,546 | |
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,979,000 | 2,003,144 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (b) | 2,033,000 | 2,161,968 | |
4.5% 8/1/47 (b) | 1,715,000 | 1,917,048 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 5,043 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 885,000 | 875,653 | |
2.8% 10/1/29 | 425,000 | 442,118 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 544,009 | |
16,678,987 | |||
TOTAL MATERIALS | 53,620,249 | ||
REAL ESTATE - 0.5% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,547,635 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 813,000 | 816,115 | |
Boston Properties, Inc.: | |||
3.85% 2/1/23 | 1,175,000 | 1,248,103 | |
4.5% 12/1/28 | 5,210,000 | 5,993,249 | |
Camden Property Trust: | |||
2.8% 5/15/30 | 3,432,000 | 3,573,171 | |
2.95% 12/15/22 | 954,000 | 979,414 | |
4.25% 1/15/24 | 2,838,000 | 3,008,755 | |
CoreCivic, Inc. 4.625% 5/1/23 | 800,000 | 776,000 | |
Corporate Office Properties LP 5% 7/1/25 | 3,453,000 | 3,627,321 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 300,000 | 307,500 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 856,208 | |
3.625% 4/15/23 | 1,382,000 | 1,435,616 | |
3.875% 10/15/22 | 2,108,000 | 2,187,687 | |
Equity One, Inc. 3.75% 11/15/22 | 3,200,000 | 3,261,022 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 200,000 | 200,876 | |
HCP, Inc.: | |||
3% 1/15/30 | 925,000 | 898,212 | |
3.25% 7/15/26 | 776,000 | 788,402 | |
3.5% 7/15/29 | 887,000 | 900,435 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,715,000 | 1,629,961 | |
3.5% 8/1/26 | 1,786,000 | 1,838,610 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 2,263,000 | 2,283,580 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,503,000 | 10,766,803 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 1,319,000 | 1,301,952 | |
MGM Growth Properties Operating Partnership LP 5.625% 5/1/24 | 2,300,000 | 2,397,750 | |
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 3/1/24 | 1,600,000 | 1,643,536 | |
Omega Healthcare Investors, Inc.: | |||
3.625% 10/1/29 | 7,647,000 | 6,993,444 | |
4.375% 8/1/23 | 6,644,000 | 6,689,696 | |
4.5% 1/15/25 | 2,793,000 | 2,820,540 | |
4.5% 4/1/27 | 1,500,000 | 1,445,107 | |
4.75% 1/15/28 | 7,569,000 | 7,448,708 | |
4.95% 4/1/24 | 1,152,000 | 1,187,900 | |
5.25% 1/15/26 | 5,841,000 | 5,907,354 | |
Prologis LP 3.25% 10/1/26 | 2,158,000 | 2,380,722 | |
Realty Income Corp. 3% 1/15/27 | 585,000 | 600,300 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 823,113 | |
5% 12/15/23 | 626,000 | 627,058 | |
SBA Communications Corp. 4.875% 9/1/24 | 200,000 | 205,310 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 885,000 | 812,773 | |
3.25% 11/30/26 | 1,070,000 | 1,069,931 | |
3.375% 10/1/24 | 2,120,000 | 2,164,037 | |
3.5% 9/1/25 | 55,000 | 55,896 | |
3.75% 2/1/24 | 275,000 | 282,703 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,362,505 | |
4.25% 2/1/26 | 5,582,000 | 5,593,957 | |
Store Capital Corp. 4.625% 3/15/29 | 2,475,000 | 2,301,959 | |
The GEO Group, Inc.: | |||
5.875% 10/15/24 | 65,000 | 53,788 | |
6% 4/15/26 | 265,000 | 206,700 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 9,249,742 | |
3.125% 6/15/23 | 1,414,000 | 1,404,933 | |
3.85% 4/1/27 | 1,050,000 | 1,037,913 | |
4% 3/1/28 | 2,712,000 | 2,679,475 | |
4.125% 1/15/26 | 1,628,000 | 1,637,545 | |
4.75% 11/15/30 | 13,000,000 | 13,527,801 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (b) | 125,000 | 120,313 | |
4.25% 12/1/26 (b) | 670,000 | 663,769 | |
4.625% 12/1/29 (b) | 250,000 | 249,415 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 478,386 | |
Welltower, Inc. 2.7% 2/15/27 | 340,000 | 326,666 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,725,000 | 1,675,226 | |
4% 2/1/25 | 5,544,000 | 5,666,652 | |
4.6% 4/1/24 | 7,436,000 | 7,869,332 | |
157,888,582 | |||
Real Estate Management & Development - 0.1% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,064,006 | |
3.95% 11/15/27 | 5,608,000 | 5,572,822 | |
4.1% 10/1/24 | 4,892,000 | 5,001,045 | |
4.55% 10/1/29 | 1,707,000 | 1,719,861 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 13,679,368 | |
Digital Realty Trust LP 3.95% 7/1/22 | 3,488,000 | 3,647,764 | |
Essex Portfolio LP 3.875% 5/1/24 | 2,685,000 | 2,846,567 | |
Howard Hughes Corp. 5.375% 3/15/25 (b) | 400,000 | 380,000 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 2,954,960 | |
4.5% 4/18/22 | 644,000 | 579,744 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,346,916 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,817,720 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 3,497,000 | 3,027,244 | |
3.75% 12/1/24 | 3,352,000 | 3,061,983 | |
3.875% 12/1/23 | 1,492,000 | 1,387,982 | |
3.875% 7/15/27 | 13,369,000 | 11,483,465 | |
62,571,447 | |||
TOTAL REAL ESTATE | 220,460,029 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.3% | |||
AEP Transmission Co. LLC 4% 12/1/46 | 375,000 | 438,739 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 1,000,000 | 1,110,630 | |
3.85% 12/1/42 | 700,000 | 809,555 | |
4.1% 1/15/42 | 225,000 | 244,338 | |
Appalachian Power Co. 3.3% 6/1/27 | 605,000 | 645,371 | |
Baltimore Gas & Electric Co. 3.35% 7/1/23 | 470,000 | 501,116 | |
CenterPoint Energy Houston Electric LLC: | |||
2.25% 8/1/22 | 530,000 | 544,819 | |
3.95% 3/1/48 | 1,235,000 | 1,467,733 | |
Clearway Energy Operating LLC 4.75% 3/15/28 (b) | 60,000 | 61,950 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 (b) | 4,448,000 | 4,401,937 | |
Columbus So Power Co. 4% 6/1/49 | 680,000 | 811,326 | |
Commonwealth Edison Co.: | |||
3.2% 11/15/49 | 265,000 | 281,939 | |
3.7% 3/1/45 | 315,000 | 355,655 | |
3.75% 8/15/47 | 250,000 | 290,038 | |
4.35% 11/15/45 | 330,000 | 412,226 | |
4.6% 8/15/43 | 1,045,000 | 1,320,758 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 470,000 | 657,003 | |
5.45% 2/1/41 | 35,000 | 47,462 | |
DPL, Inc. 4.35% 4/15/29 | 1,990,000 | 2,002,196 | |
DTE Electric Co. 3.75% 8/15/47 | 900,000 | 1,050,950 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 409,449 | |
4% 9/30/42 | 1,175,000 | 1,394,580 | |
4.25% 12/15/41 | 1,450,000 | 1,762,034 | |
6.1% 6/1/37 | 775,000 | 1,087,942 | |
Duke Energy Industries, Inc. 3.25% 10/1/49 | 840,000 | 920,318 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 8,875,000 | 9,310,632 | |
6.4% 9/15/20 (b) | 4,858,000 | 4,936,443 | |
Entergy Louisiana LLC: | |||
2.4% 10/1/26 | 1,070,000 | 1,105,176 | |
4.05% 9/1/23 | 880,000 | 956,013 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 763,530 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 2,274,000 | 2,615,529 | |
4.7% 4/15/50 | 1,013,000 | 1,263,380 | |
5.625% 6/15/35 | 150,000 | 196,320 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 12,580,000 | 13,584,621 | |
4.85% 7/15/47 | 335,000 | 421,817 | |
7.375% 11/15/31 | 9,948,000 | 14,584,703 | |
Florida Power & Light Co. 3.95% 3/1/48 | 2,080,000 | 2,619,399 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 322,854 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,889,478 | |
Indiana Michigan Power Co. 4.55% 3/15/46 | 620,000 | 768,211 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,790,447 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 211,000 | 212,005 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 430,618 | |
MidAmerican Energy Co. 3.95% 8/1/47 | 1,475,000 | 1,755,972 | |
NextEra Energy Capital Holdings, Inc.: | |||
2.25% 6/1/30 | 1,140,000 | 1,161,343 | |
3.15% 4/1/24 | 1,055,000 | 1,131,922 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 300,000 | 309,750 | |
Northern States Power Co. 6.25% 6/1/36 | 370,000 | 532,617 | |
NRG Energy, Inc.: | |||
5.75% 1/15/28 | 245,000 | 266,528 | |
6.625% 1/15/27 | 400,000 | 426,000 | |
NRG Yield Operating LLC 5% 9/15/26 | 520,000 | 531,700 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 23,648 | 23,884 | |
PacifiCorp: | |||
5.25% 6/15/35 | 1,375,000 | 1,825,405 | |
5.75% 4/1/37 | 900,000 | 1,199,862 | |
PPL Capital Funding, Inc. 4.7% 6/1/43 | 1,315,000 | 1,493,229 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 450,000 | 541,944 | |
4.15% 10/1/45 | 730,000 | 872,987 | |
6.25% 5/15/39 | 250,000 | 365,946 | |
Public Service Co. of Colorado 2.5% 3/15/23 | 645,000 | 667,326 | |
Public Service Electric & Gas Co.: | |||
2.25% 9/15/26 | 270,000 | 285,420 | |
3.6% 12/1/47 | 260,000 | 299,403 | |
3.65% 9/1/28 | 860,000 | 993,392 | |
3.65% 9/1/42 | 125,000 | 144,266 | |
3.95% 5/1/42 | 405,000 | 479,009 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 385,482 | |
Southern California Edison Co.: | |||
3.6% 2/1/45 | 1,935,000 | 2,004,415 | |
4% 4/1/47 | 715,000 | 788,068 | |
Virginia Electric & Power Co.: | |||
3.15% 1/15/26 | 15,000 | 16,599 | |
6% 1/15/36 | 470,000 | 652,616 | |
6% 5/15/37 | 1,150,000 | 1,625,033 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (b) | 195,000 | 204,019 | |
5.5% 9/1/26 (b) | 1,700,000 | 1,785,000 | |
5.625% 2/15/27 (b) | 225,000 | 239,110 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 277,339 | |
Xcel Energy, Inc. 3.5% 12/1/49 | 1,175,000 | 1,288,921 | |
106,375,747 | |||
Gas Utilities - 0.0% | |||
AGL Capital Corp. 4.4% 6/1/43 | 440,000 | 496,258 | |
Atmos Energy Corp. 3.375% 9/15/49 | 1,370,000 | 1,523,087 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 666,000 | 780,885 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 532,030 | |
3,332,260 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 11,495,000 | 11,811,113 | |
Emera U.S. Finance LP: | |||
2.7% 6/15/21 | 1,304,000 | 1,321,191 | |
3.55% 6/15/26 | 1,820,000 | 1,979,744 | |
4.75% 6/15/46 | 760,000 | 861,325 | |
Exelon Generation Co. LLC: | |||
3.25% 6/1/25 | 350,000 | 362,322 | |
5.6% 6/15/42 | 375,000 | 425,904 | |
PSEG Power LLC 3% 6/15/21 | 1,075,000 | 1,097,818 | |
TerraForm Power Operating LLC 5% 1/31/28 (b) | 400,000 | 426,000 | |
The AES Corp.: | |||
3.3% 7/15/25 (b) | 10,697,000 | 10,860,450 | |
3.95% 7/15/30 (b) | 9,327,000 | 9,363,842 | |
4.875% 5/15/23 | 602,000 | 606,214 | |
5.5% 4/15/25 | 40,000 | 41,000 | |
39,156,923 | |||
Multi-Utilities - 0.1% | |||
Ameren Illinois Co.: | |||
3.25% 3/15/50 | 610,000 | 650,153 | |
4.15% 3/15/46 | 490,000 | 590,768 | |
4.5% 3/15/49 | 600,000 | 788,354 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 (b) | 1,280,000 | 1,471,612 | |
4.05% 4/15/25 (b) | 16,081,000 | 18,139,874 | |
4.25% 10/15/50 (b) | 729,000 | 914,534 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.35% 4/1/30 | 1,030,000 | 1,150,369 | |
3.95% 4/1/50 | 1,808,000 | 2,112,737 | |
4.3% 12/1/56 | 300,000 | 358,931 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 210,702 | |
DTE Energy Co. 3.8% 3/15/27 | 1,635,000 | 1,759,651 | |
NiSource Finance Corp.: | |||
4.8% 2/15/44 | 305,000 | 363,794 | |
5.95% 6/15/41 | 640,000 | 847,445 | |
NiSource, Inc. 2.95% 9/1/29 | 11,346,000 | 12,180,220 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 296,226 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 624,000 | 639,122 | |
4.1% 6/15/30 (b) | 5,059,000 | 5,359,588 | |
5.625% 7/15/22 | 4,555,000 | 4,848,937 | |
6% 9/1/21 | 4,353,000 | 4,578,022 | |
6.5% 12/15/20 | 1,405,000 | 1,438,793 | |
San Diego Gas & Electric Co.: | |||
3.32% 4/15/50 | 760,000 | 809,848 | |
3.6% 9/1/23 | 1,025,000 | 1,095,993 | |
3.75% 6/1/47 | 585,000 | 646,589 | |
Sempra Energy 4% 2/1/48 | 590,000 | 660,317 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.5049% 5/15/67 (a)(c) | 1,012,000 | 815,937 | |
62,728,516 | |||
Water Utilities - 0.0% | |||
American Water Capital Corp. 3.45% 5/1/50 | 285,000 | 312,521 | |
TOTAL UTILITIES | 211,905,967 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $3,889,683,592) | 4,105,937,779 | ||
U.S. Government and Government Agency Obligations - 4.4% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae: | |||
0.625% 4/22/25 | $1,625,000 | $1,633,543 | |
1.625% 10/15/24 | 3,505,000 | 3,682,406 | |
1.625% 1/7/25 | 705,000 | 741,250 | |
1.875% 9/24/26 | 495,000 | 531,300 | |
2% 10/5/22 | 635,000 | 661,365 | |
2.25% 4/12/22 | 955,000 | 991,487 | |
2.375% 1/19/23 | 455,000 | 480,789 | |
2.5% 2/5/24 | 665,000 | 718,674 | |
2.875% 10/30/20 | 765,000 | 773,584 | |
2.875% 9/12/23 | 670,000 | 726,888 | |
6.25% 5/15/29 | 255,000 | 368,282 | |
6.625% 11/15/30 | 670,000 | 1,039,506 | |
Federal Home Loan Bank: | |||
2.625% 10/1/20 | 165,000 | 166,345 | |
3% 10/12/21 | 1,165,000 | 1,209,722 | |
3.25% 11/16/28 | 1,815,000 | 2,160,659 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 887,077 | |
0.375% 5/5/23 | 3,065,000 | 3,069,898 | |
2.375% 2/16/21 | 2,785,000 | 2,828,038 | |
6.25% 7/15/32 | 40,000 | 63,057 | |
6.75% 9/15/29 | 255,000 | 385,238 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 852,677 | |
2.875% 2/1/27 | 1,320,000 | 1,485,845 | |
5.25% 9/15/39 | 150,000 | 224,142 | |
7.125% 5/1/30 | 460,000 | 709,968 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 26,391,740 | ||
U.S. Treasury Inflation-Protected Obligations - 0.5% | |||
U.S. Treasury Inflation-Indexed Notes 0.125% 1/15/30 | 189,700,000 | 202,121,561 | |
U.S. Treasury Obligations - 3.8% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 (d) | 100,000 | 98,969 | |
2% 2/15/50 | 130,351,000 | 149,012,578 | |
2.875% 8/15/45 | 5,935,000 | 7,806,380 | |
2.875% 11/15/46 | 9,275,000 | 12,310,751 | |
3% 11/15/44 | 3,705,000 | 4,951,240 | |
3% 2/15/47 | 235,000 | 319,499 | |
3.125% 2/15/43 | 32,810,000 | 44,357,582 | |
3.625% 8/15/43 | 43,790,000 | 63,798,267 | |
3.75% 11/15/43 | 5,665,000 | 8,415,844 | |
6.25% 8/15/23 | 11,080,000 | 13,228,048 | |
stripped coupon: | |||
0% 2/15/29 | 2,800,000 | 2,633,126 | |
0% 11/15/36 | 1,975,000 | 1,633,363 | |
0% 5/15/39 | 5,425,000 | 4,231,999 | |
0% 8/15/39 | 8,745,000 | 6,808,627 | |
0% 2/15/41 | 590,000 | 442,083 | |
0% 11/15/41 | 850,000 | 619,466 | |
0% 5/15/42 | 2,635,000 | 1,905,879 | |
0% 8/15/42 | 490,000 | 352,154 | |
0% 11/15/42 | 1,280,000 | 907,311 | |
U.S. Treasury Notes: | |||
0.125% 4/30/22 | 13,980,000 | 13,972,355 | |
0.125% 5/15/23 | 10,195,000 | 10,173,893 | |
0.25% 5/31/25 | 11,500,000 | 11,471,250 | |
0.375% 4/30/25 | 17,765,000 | 17,825,373 | |
0.5% 3/15/23 | 14,055,000 | 14,178,530 | |
0.5% 4/30/27 | 9,400,000 | 9,404,773 | |
0.625% 5/15/30 | 10,705,000 | 10,674,892 | |
1.125% 2/28/22 | 207,945,000 | 211,397,211 | |
1.375% 5/31/21 | 11,033,000 | 11,161,431 | |
1.375% 2/15/23 | 7,940,000 | 8,196,499 | |
1.5% 1/31/22 | 1,450,000 | 1,481,719 | |
1.5% 2/15/30 | 415,367,000 | 448,985,767 | |
1.625% 11/15/22 | 65,350,000 | 67,662,777 | |
1.625% 4/30/23 | 41,065,000 | 42,771,764 | |
1.75% 9/30/22 | 16,995,000 | 17,618,371 | |
1.875% 4/30/22 | 38,045,000 | 39,278,490 | |
1.875% 9/30/22 | 1,213,000 | 1,260,904 | |
2% 10/31/22 | 32,840,000 | 34,280,599 | |
2% 2/15/25 | 10,415,000 | 11,242,504 | |
2.125% 9/30/21 | 60,710,000 | 62,272,808 | |
2.125% 6/30/22 | 25,130,000 | 26,150,906 | |
2.125% 7/31/24 | 41,955,000 | 45,198,318 | |
2.125% 5/15/25 | 35,440,000 | 38,582,531 | |
2.875% 11/15/21 | 17,335,000 | 18,011,471 | |
2.875% 5/15/28 | 58,470,000 | 69,079,107 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,566,167,409 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured: | |||
1.75% 11/15/24 | 1,225,000 | 1,285,495 | |
3.55% 1/15/24 | 755,000 | 823,629 | |
TOTAL OTHER GOVERNMENT RELATED | 2,109,124 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,736,706,391) | 1,796,789,834 | ||
U.S. Government Agency - Mortgage Securities - 8.6% | |||
Fannie Mae - 2.3% | |||
12 month U.S. LIBOR + 1.550% 4.303% 6/1/36 (a)(c) | 4,150 | 4,297 | |
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (a)(c) | 140,785 | 147,612 | |
12 month U.S. LIBOR + 1.950% 4.783% 7/1/37 (a)(c) | 8,659 | 9,097 | |
2% 8/1/31 to 10/1/34 | 4,062,940 | 4,199,434 | |
2.5% 9/1/27 to 12/1/49 | 67,066,563 | 70,265,023 | |
3% 2/1/27 to 2/1/50 (f)(g)(h) | 240,490,860 | 255,620,218 | |
3.5% 9/1/26 to 4/1/50 (f)(g)(h)(i) | 234,711,515 | 252,486,098 | |
4% 5/1/29 to 11/1/49 | 192,906,780 | 209,692,551 | |
4.5% 6/1/24 to 9/1/49 | 76,779,328 | 84,675,407 | |
5% 10/1/21 to 2/1/49 | 46,111,846 | 52,381,295 | |
5.242% 8/1/41 (a) | 369,406 | 415,372 | |
5.5% 11/1/36 to 1/1/40 | 2,438,478 | 2,836,587 | |
6% 3/1/22 to 1/1/42 (f) | 14,732,055 | 17,445,133 | |
6.5% 2/1/36 | 1,768 | 2,084 | |
6.552% 2/1/39 (a) | 323,002 | 355,286 | |
TOTAL FANNIE MAE | 950,535,494 | ||
Freddie Mac - 1.5% | |||
6 month U.S. LIBOR + 2.680% 4.571% 10/1/35 (a)(c) | 4,350 | 4,545 | |
2% 1/1/32 | 2,031,959 | 2,103,515 | |
2.5% 3/1/28 to 2/1/43 | 33,844,649 | 35,583,198 | |
3% 10/1/28 to 4/1/50 | 121,617,711 | 128,936,284 | |
3.5% 8/1/26 to 4/1/50 | 241,279,823 | 260,264,413 | |
3.5% 8/1/47 | 11,121,668 | 11,985,875 | |
4% 6/1/33 to 7/1/48 | 125,666,106 | 136,580,095 | |
4.5% 7/1/25 to 12/1/48 | 44,139,174 | 48,499,754 | |
5% 10/1/33 to 12/1/47 | 7,233,686 | 8,258,284 | |
6% 7/1/37 to 9/1/38 | 177,522 | 212,351 | |
6.5% 9/1/39 | 526,441 | 628,317 | |
TOTAL FREDDIE MAC | 633,056,631 | ||
Ginnie Mae - 1.5% | |||
3.5% 9/20/40 to 12/20/49 | 134,541,681 | 145,866,271 | |
4.5% 5/15/39 to 3/20/49 | 71,715,964 | 78,938,143 | |
5.5% 6/15/36 to 3/20/41 | 221,148 | 256,746 | |
2.5% 12/20/46 | 1,024,005 | 1,084,241 | |
2.5% 7/1/50 (d) | 8,000,000 | 8,393,518 | |
3% 8/20/42 to 2/20/50 | 53,142,598 | 56,770,258 | |
4% 5/20/40 to 5/20/49 | 251,466,081 | 272,314,024 | |
5% 6/20/34 to 6/20/48 | 29,235,272 | 32,379,154 | |
TOTAL GINNIE MAE | 596,002,355 | ||
Uniform Mortgage Backed Securities - 3.3% | |||
2.5% 6/1/35 (d) | 58,900,000 | 61,628,725 | |
2.5% 6/1/35 (d) | 11,600,000 | 12,137,406 | |
2.5% 6/1/35 (d) | 6,050,000 | 6,330,285 | |
2.5% 6/1/35 (d) | 7,050,000 | 7,376,613 | |
2.5% 6/1/35 (d) | 9,650,000 | 10,097,066 | |
2.5% 6/1/35 (d) | 10,900,000 | 11,404,976 | |
2.5% 6/1/35 (d) | 7,000,000 | 7,324,297 | |
2.5% 6/1/35 (d) | 22,200,000 | 23,228,484 | |
2.5% 6/1/35 (d) | 5,950,000 | 6,225,652 | |
2.5% 6/1/35 (d) | 30,750,000 | 32,174,589 | |
2.5% 6/1/35 (d) | 17,950,000 | 18,781,589 | |
2.5% 6/1/35 (d) | 6,050,000 | 6,330,285 | |
2.5% 7/1/35 (d) | 30,150,000 | 31,498,504 | |
2.5% 7/1/35 (d) | 22,250,000 | 23,245,165 | |
2.5% 6/1/50 (d) | 9,700,000 | 10,061,856 | |
2.5% 6/1/50 (d) | 11,300,000 | 11,721,543 | |
2.5% 6/1/50 (d) | 5,900,000 | 6,120,098 | |
2.5% 6/1/50 (d) | 5,900,000 | 6,120,098 | |
2.5% 6/1/50 (d) | 4,500,000 | 4,667,871 | |
2.5% 6/1/50 (d) | 4,500,000 | 4,667,871 | |
2.5% 6/1/50 (d) | 9,200,000 | 9,543,203 | |
2.5% 6/1/50 (d) | 27,600,000 | 28,629,610 | |
2.5% 6/1/50 (d) | 4,600,000 | 4,771,602 | |
2.5% 6/1/50 (d) | 4,600,000 | 4,771,602 | |
2.5% 6/1/50 (d) | 450,000 | 466,787 | |
2.5% 6/1/50 (d) | 4,850,000 | 5,030,928 | |
2.5% 6/1/50 (d) | 4,400,000 | 4,564,141 | |
2.5% 6/1/50 (d) | 8,600,000 | 8,920,820 | |
2.5% 6/1/50 (d) | 10,500,000 | 10,891,699 | |
2.5% 6/1/50 (d) | 10,700,000 | 11,099,160 | |
2.5% 6/1/50 (d) | 15,900,000 | 16,493,145 | |
2.5% 6/1/50 (d) | 10,800,000 | 11,202,891 | |
2.5% 6/1/50 (d) | 2,700,000 | 2,800,723 | |
2.5% 6/1/50 (d) | 2,700,000 | 2,800,723 | |
2.5% 6/1/50 (d) | 5,500,000 | 5,705,176 | |
2.5% 6/1/50 (d) | 16,200,000 | 16,804,336 | |
2.5% 6/1/50 (d) | 2,000,000 | 2,074,609 | |
2.5% 7/1/50 (d) | 28,650,000 | 29,633,725 | |
2.5% 7/1/50 (d) | 27,550,000 | 28,495,955 | |
3% 6/1/50 (d) | 35,000,000 | 36,815,625 | |
3% 6/1/50 (d) | 8,700,000 | 9,151,313 | |
3% 6/1/50 (d) | 17,400,000 | 18,302,625 | |
3% 6/1/50 (d) | 30,950,000 | 32,555,531 | |
3% 6/1/50 (d) | 7,700,000 | 8,099,438 | |
3% 6/1/50 (d) | 15,400,000 | 16,198,875 | |
3% 6/1/50 (d) | 8,100,000 | 8,520,188 | |
3% 6/1/50 (d) | 6,500,000 | 6,837,188 | |
3% 6/1/50 (d) | 7,000,000 | 7,363,125 | |
3% 6/1/50 (d) | 100,000 | 105,188 | |
3% 6/1/50 (d) | 19,150,000 | 20,143,406 | |
3% 6/1/50 (d) | 19,800,000 | 20,827,125 | |
3% 6/1/50 (d) | 7,800,000 | 8,204,625 | |
3% 6/1/50 (d) | 8,050,000 | 8,467,594 | |
3% 6/1/50 (d) | 6,700,000 | 7,047,563 | |
3% 6/1/50 (d) | 8,050,000 | 8,467,594 | |
3% 6/1/50 (d) | 8,350,000 | 8,783,156 | |
3% 6/1/50 (d) | 2,200,000 | 2,314,125 | |
3% 6/1/50 (d) | 6,500,000 | 6,837,188 | |
3% 6/1/50 (d) | 6,500,000 | 6,837,188 | |
3% 6/1/50 (d) | 9,250,000 | 9,729,844 | |
3% 6/1/50 (d) | 8,500,000 | 8,940,938 | |
3% 6/1/50 (d) | 7,300,000 | 7,678,688 | |
3% 6/1/50 (d) | 7,200,000 | 7,573,500 | |
3% 7/1/50 (d) | 9,950,000 | 10,442,447 | |
3% 7/1/50 (d) | 7,650,000 | 8,028,615 | |
3% 7/1/50 (d) | 16,250,000 | 17,054,248 | |
3% 7/1/50 (d) | 12,500,000 | 13,118,653 | |
3.5% 6/1/50 (d) | 30,750,000 | 32,442,452 | |
3.5% 6/1/50 (d) | 23,900,000 | 25,215,434 | |
3.5% 6/1/50 (d) | 16,650,000 | 17,566,401 | |
3.5% 6/1/50 (d) | 14,400,000 | 15,192,563 | |
3.5% 6/1/50 (d) | 11,200,000 | 11,816,438 | |
3.5% 6/1/50 (d) | 7,800,000 | 8,229,305 | |
3.5% 6/1/50 (d) | 55,950,000 | 59,029,438 | |
3.5% 6/1/50 (d) | 113,900,000 | 120,168,953 | |
3.5% 6/1/50 (d) | 7,900,000 | 8,334,809 | |
3.5% 6/1/50 (d) | 4,150,000 | 4,378,412 | |
3.5% 6/1/50 (d) | 5,500,000 | 5,802,715 | |
3.5% 6/1/50 (d) | 9,450,000 | 9,970,119 | |
3.5% 6/1/50 (d) | 4,250,000 | 4,483,916 | |
3.5% 6/1/50 (d) | 18,850,000 | 19,887,487 | |
3.5% 6/1/50 (d) | 4,250,000 | 4,483,916 | |
3.5% 6/1/50 (d) | 40,750,000 | 42,992,843 | |
3.5% 6/1/50 (d) | 21,800,000 | 22,999,852 | |
3.5% 6/1/50 (d) | 9,950,000 | 10,497,639 | |
3.5% 6/1/50 (d) | 3,500,000 | 3,692,637 | |
3.5% 6/1/50 (d) | 3,800,000 | 4,009,149 | |
3.5% 6/1/50 (d) | 7,400,000 | 7,807,289 | |
3.5% 6/1/50 (d) | 7,300,000 | 7,701,785 | |
3.5% 6/1/50 (d) | 4,000,000 | 4,220,156 | |
3.5% 6/1/50 (d) | 3,200,000 | 3,376,125 | |
4% 6/1/50 (d) | 10,000,000 | 10,642,969 | |
4% 6/1/50 (d) | 13,650,000 | 14,527,653 | |
4% 6/1/50 (d) | 13,650,000 | 14,527,653 | |
4% 6/1/50 (d) | 10,000,000 | 10,642,969 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,334,930,478 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $3,426,248,238) | 3,514,524,958 | ||
Asset-Backed Securities - 1.1% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | $3,062,458 | $2,675,047 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 5,147,978 | 4,262,483 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 8,213,595 | 6,412,363 | |
Class B, 4.458% 10/16/39 (b) | 1,459,063 | 765,343 | |
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 2.4176% 7/22/32 (a)(b)(c) | 10,856,000 | 10,556,895 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1635% 1/20/33 (a)(b)(c) | 3,880,000 | 3,789,425 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,788,648 | 3,065,735 | |
Class B, 4.335% 1/16/40 (b) | 609,253 | 316,816 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 2.5389% 10/15/32 (a)(b)(c) | 7,102,000 | 6,968,433 | |
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 0% 4/15/31 (a)(b)(c) | 6,330,000 | 6,330,000 | |
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 2.4189% 1/15/29 (a)(b)(c) | 9,133,000 | 8,928,083 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 2.0255% 4/17/33 (a)(b)(c) | 15,169,000 | 14,842,867 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5283% 10/25/35 (a)(c) | 1,513,488 | 1,451,767 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) | 3,340,000 | 3,273,120 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 8,739,565 | 6,698,350 | |
Class AA, 2.487% 12/16/41 (b) | 1,611,750 | 1,331,767 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.2089% 4/15/29 (a)(b)(c) | 8,338,000 | 8,207,869 | |
Carvana Auto Receivables Trust Series 2019-4A: | |||
Class A2, 2.2% 7/15/22 (b) | 1,610,000 | 1,614,146 | |
Class A3, 2.3% 9/15/23 (b) | 2,936,000 | 2,951,592 | |
Cascade Funding Mortgage Trust: | |||
Series 2020-HB2 Class A, 3.4047% 4/25/30 (b) | 7,188,163 | 7,161,042 | |
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(b) | 500,000 | 501,265 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 7,639,550 | 6,082,196 | |
Class B, 5.095% 4/15/39 (b) | 3,409,346 | 1,866,351 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 7,363,868 | 5,921,145 | |
Cedar Funding Ltd.: | |||
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 2.4753% 10/20/32 (a)(b)(c) | 5,957,000 | 5,793,737 | |
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.7125% 5/29/32 (a)(b)(c) | 4,370,000 | 4,261,305 | |
Chase Issuance Trust Series 2012-A7 Class A7, 2.16% 9/15/24 | 800,000 | 830,696 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5183% 10/25/37 (a)(b)(c) | 2,470,685 | 2,444,254 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 750,910 | |
Series 2018-A6 Class A6, 3.21% 12/7/24 | 2,400,000 | 2,561,549 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,472,114 | |
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 4,300,000 | 4,323,560 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) | 1,299,981 | 1,292,743 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (b) | 4,692,194 | 4,677,227 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 7,686,206 | 7,534,524 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (b) | 2,439,662 | 2,434,763 | |
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (b) | 1,181,701 | 1,186,639 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (b) | 4,228,665 | 4,256,828 | |
Class A2II, 4.03% 11/20/47 (b) | 7,147,480 | 7,121,106 | |
Dell Equipment Finance Trust Series 2019-2 Class A3, 1.91% 10/22/24 (b) | 6,242,000 | 6,299,000 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b) | 2,600,000 | 2,610,139 | |
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 2.4653% 10/20/32 (a)(b)(c) | 7,395,000 | 7,257,904 | |
Dryden Senior Loan Fund: | |||
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 2.4989% 4/15/29 (a)(b)(c) | 10,300,000 | 10,192,128 | |
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.7224% 5/15/32 (a)(b)(c) | 7,149,000 | 7,008,858 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 2.447% 4/17/33 (a)(b)(c) | 5,400,000 | 5,275,881 | |
Enterprise Fleet Financing LLC Series 2019-3 Class A2, 2.06% 5/20/25 (b) | 9,335,000 | 9,281,441 | |
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (b) | 3,493,255 | 3,504,221 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 0.9933% 3/25/34 (a)(c) | 3 | 3 | |
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (b) | 1,910,268 | 1,921,008 | |
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.7056% 11/16/32 (a)(b)(c) | 7,901,000 | 7,751,031 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 5,435,000 | 5,453,264 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8716% 4/10/31 (a)(b)(c) | 820,706 | 806,294 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,628,363 | 3,094,100 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,418,295 | 3,659,860 | |
JPMorgan Mtg Acquisition Corp. Series 2005-FRE1 Class A2V3, 1 month U.S. LIBOR + 0.330% 0.4983% 10/25/35 (a)(c) | 978,683 | 951,426 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 6,383,000 | 6,422,862 | |
Madison Park Funding Ltd.: | |||
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 2.3553% 1/20/29 (a)(b)(c) | 3,469,000 | 3,417,978 | |
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 2.5189% 7/15/32 (a)(b)(c) | 8,529,000 | 8,375,700 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 2.5489% 10/15/32 (a)(b)(c) | 3,846,000 | 3,773,672 | |
Magnetite CLO Ltd.: | |||
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 2.4153% 4/20/30 (a)(b)(c) | 7,784,000 | 7,643,265 | |
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) | 17,576,000 | 17,303,572 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (b) | 3,527,522 | 3,508,165 | |
Series 2020-1A Class A, 2.24% 3/15/30 (b) | 2,388,341 | 2,379,291 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 3,480,599 | 3,648,296 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.2053% 10/20/30 (a)(b)(c) | 8,353,000 | 8,179,057 | |
Mortgage Repurchase Agreement Funding Trust Series 2020-2 Class A1, 1 month U.S. LIBOR + 0.000% 0% 5/29/22 (a)(b)(c) | 15,800,000 | 15,800,000 | |
Nationstar HECM Loan Trust: | |||
Series 2018-2A Class A, 3.1877% 7/25/28 (b) | 562,368 | 562,282 | |
Series 2018-3A Class A 3.5545% 11/25/28 (b) | 2,627,830 | 2,631,028 | |
Series 2019-1A Class A, 2.6513% 6/25/29 (b) | 2,358,877 | 2,356,243 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6783% 9/25/35 (a)(c) | 57,578 | 57,211 | |
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 2.4349% 7/17/32 (a)(b)(c) | 8,530,000 | 8,376,614 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,138,615 | 4,768,783 | |
Prosper Marketplace Issuance Trust: | |||
Series 2019-3A Class A, 3.19% 7/15/25 (b) | 3,755,743 | 3,725,846 | |
Series 2019-4A Class A, 2.48% 2/17/26 (b) | 2,042,800 | 2,033,599 | |
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (b) | 240,437 | 240,911 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 7,772,626 | 6,389,565 | |
Class B, 4.335% 3/15/40 (b) | 712,000 | 335,083 | |
SBA Tower Trust Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 8,232,644 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 6,811,820 | 6,801,467 | |
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 3.286% 5/1/28 (a)(b)(c) | 11,226,000 | 11,276,046 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 2.1353% 1/20/29 (a)(b)(c) | 5,538,000 | 5,459,571 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0283% 9/25/34 (a)(c) | 3,983 | 3,670 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 9,838,581 | 8,440,888 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 11,373,596 | 9,799,646 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (b) | 6,261,334 | 6,580,792 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) | 5,334,078 | 5,567,116 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (b) | 2,599,051 | 2,756,615 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (b) | 1,989,626 | 2,036,203 | |
Upgrade Receivables Trust: | |||
Series 2019-1A Class A, 3.48% 3/15/25 (b) | 478,023 | 476,840 | |
Series 2019-2A Class A, 2.77% 10/15/25 (b) | 3,311,406 | 3,262,713 | |
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 2.5689% 4/15/32 (a)(b)(c) | 8,662,000 | 8,506,586 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 2.4053% 7/20/32 (a)(b)(c) | 8,868,000 | 8,695,916 | |
World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 | 1,355,000 | 1,361,194 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $464,502,814) | 444,169,543 | ||
Collateralized Mortgage Obligations - 0.3% | |||
Private Sponsor - 0.1% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.6273% 6/27/36 (a)(b)(c) | 528,588 | 523,635 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (b) | 443,998 | 435,134 | |
Series 2012-RR5 Class 8A5, 1.1183% 7/26/36 (a)(b) | 88,980 | 86,959 | |
Citigroup Mortgage Loan Trust sequential payer Series 2009-5 Class 5A1, 4.2042% 1/25/37 (a)(b) | 54,208 | 53,939 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(c) | 550,453 | 518,208 | |
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 734,493 | 732,254 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.8095% 8/25/60 (a)(b)(c) | 4,525,521 | 4,503,577 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(c) | 5,296,866 | 5,290,521 | |
JPMorgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 0.8828% 6/21/36 (a)(b)(c) | 109,939 | 109,401 | |
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) | 3,867,640 | 3,860,535 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (b) | 5,800,000 | 5,877,888 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 0.6573% 2/25/37 (a)(c) | 762 | 758 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (b) | 3,014,181 | 3,007,622 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 2,492,018 | 2,568,839 | |
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (b) | 3,927,286 | 4,073,248 | |
Permanent Master Issuer PLC floater: | |||
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(c) | 7,658,000 | 7,651,284 | |
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(c) | 5,256,000 | 5,231,775 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (b) | 3,517,441 | 3,526,831 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (a)(c) | 1,444 | 1,361 | |
Silverstone Master Issuer PLC floater: | |||
Series 2015-1A Class 2A2, 3 month U.S. LIBOR + 0.550% 1.659% 1/21/70 (a)(b)(c) | 1,282,500 | 1,282,177 | |
Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(c) | 3,895,395 | 3,884,951 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8083% 9/25/43 (a)(c) | 2,226,931 | 2,071,451 | |
TOTAL PRIVATE SPONSOR | 55,292,348 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,178,737 | 1,206,015 | |
Class GA, 1.75% 6/25/42 | 1,257,657 | 1,286,158 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 289,673 | 334,912 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.3768% 8/25/37 (a)(j)(k) | 1,051,695 | 252,053 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 965,279 | 1,073,319 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 959,381 | 1,089,194 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 2,073,520 | 2,373,265 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 438,685 | 503,715 | |
Series 2012-100 Class WI, 3% 9/25/27 (j) | 626,776 | 40,332 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4818% 12/25/30 (a)(j)(k) | 223,211 | 14,841 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3818% 6/25/41 (a)(j)(k) | 274,177 | 27,404 | |
Series 2013-133 Class IB, 3% 4/25/32 (j) | 443,869 | 16,323 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8818% 1/25/44 (a)(j)(k) | 243,770 | 40,791 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 12,327,584 | 12,533,373 | |
Series 2013-51 Class GI, 3% 10/25/32 (j) | 815,719 | 61,472 | |
Series 2015-42 Class IL, 6% 6/25/45 (j) | 1,077,549 | 223,915 | |
Series 2015-70 Class JC, 3% 10/25/45 | 866,477 | 923,374 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (j) | 585,104 | 115,939 | |
Freddie Mac: | |||
planned amortization class Series 4135 Class AB, 1.75% 6/15/42 | 945,503 | 967,138 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 715,582 | 856,256 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,202,450 | 1,264,088 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 552,195 | 657,515 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 380,303 | 452,876 | |
Series 3237 Class C, 5.5% 11/15/36 | 549,199 | 639,949 | |
Series 3955 Class YI, 3% 11/15/21 (j) | 54,870 | 871 | |
Series 3980 Class EP, 5% 1/15/42 | 3,288,861 | 3,745,296 | |
Series 4055 Class BI, 3.5% 5/15/31 (j) | 390,795 | 16,533 | |
Series 4149 Class IO, 3% 1/15/33 (j) | 401,197 | 39,708 | |
Series 4314 Class AI, 5% 3/15/34 (j) | 125,447 | 9,426 | |
Series 4427 Class LI, 3.5% 2/15/34 (j) | 734,035 | 41,643 | |
Series 4471 Class PA 4% 12/15/40 | 598,133 | 636,356 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 929,096 | 1,026,798 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 3,086,263 | 3,239,187 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.3963% 12/20/60 (a)(c)(l) | 1,028,037 | 1,023,496 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.5663% 9/20/61 (a)(c)(l) | 4,570,176 | 4,571,683 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 1.5363% 8/20/62 (a)(c)(l) | 897,853 | 897,266 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.6663% 5/20/61 (a)(c)(l) | 17,409 | 17,448 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 1.6163% 8/20/63 (a)(c)(l) | 2,984,099 | 2,987,763 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6585% 12/20/40 (a)(k) | 1,160,370 | 1,399,664 | |
Series 2016-69 Class WA, 3% 2/20/46 | 769,847 | 812,412 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,347,632 | 1,406,474 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 2,385,340 | 2,631,985 | |
Series 2010-170 Class B, 4% 12/20/40 | 530,421 | 585,370 | |
Series 2017-139 Class BA, 3% 9/20/47 | 7,357,416 | 7,884,978 | |
Series 2010-116 Class QB, 4% 9/16/40 | 3,764,294 | 4,050,732 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.7679% 2/16/40 (a)(j)(k) | 560,668 | 107,071 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9293% 7/20/41 (a)(j)(k) | 172,672 | 33,782 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 2,727,141 | 2,852,420 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (l) | 274,623 | 276,435 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (l) | 355,452 | 356,242 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (a)(c)(l) | 3,279,544 | 3,246,799 | |
TOTAL U.S. GOVERNMENT AGENCY | 70,852,055 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $124,251,703) | 126,144,403 | ||
Commercial Mortgage Securities - 1.2% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,391,526 | |
Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 4,530,985 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 899,280 | |
Class CNM, 3.8425% 11/5/32 (a)(b) | 461,000 | 364,688 | |
BANK sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 3,500,000 | 3,897,687 | |
Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 4,617,729 | |
Class A5, 2.851% 10/17/52 | 838,000 | 895,848 | |
Series 2019-BN23 Class A3, 2.92% 12/15/52 | 8,500,000 | 9,156,143 | |
Series 2019-BN24 Class A3, 2.96% 11/15/62 | 2,500,000 | 2,702,050 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (b) | 3,445,145 | 3,443,708 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.400% 0.5683% 11/25/35 (a)(b)(c) | 23,264 | 19,912 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 0.5583% 1/25/36 (a)(b)(c) | 58,846 | 52,924 | |
Class M1, 1 month U.S. LIBOR + 0.450% 0.6183% 1/25/36 (a)(b)(c) | 18,994 | 17,046 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 12/25/36 (a)(b)(c) | 146,332 | 128,196 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 3/25/37 (a)(b)(c) | 35,750 | 32,600 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4383% 7/25/37 (a)(b)(c) | 105,517 | 91,915 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4883% 7/25/37 (a)(b)(c) | 98,792 | 84,594 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) | 33,626 | 25,220 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4583% 7/25/37 (a)(b)(c) | 37,260 | 30,573 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4783% 7/25/37 (a)(b)(c) | 19,746 | 16,002 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5083% 7/25/37 (a)(b)(c) | 21,120 | 16,786 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) | 33,826 | 27,233 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6683% 7/25/37 (a)(b)(c) | 53,400 | 42,469 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7683% 7/25/37 (a)(b)(c) | 22,201 | 16,297 | |
BBCMS Mortgage Trust sequential payer Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,177,994 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,840,823 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,091,599 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,890,310 | |
Series 2019-B11 Class A5, 3.5421% 5/15/52 | 5,500,000 | 6,148,509 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 9,824,000 | 10,603,121 | |
Series 2019-B14 Class A5, 3.0486% 12/15/62 | 1,305,000 | 1,419,781 | |
Series 2020-B17 Class A5, 2.289% 3/15/53 | 1,800,000 | 1,840,910 | |
Series 2019-B12 Class XA, 1.0675% 8/15/52 (a)(j) | 40,116,090 | 2,596,999 | |
Series 2019-B14 Class XA, 0.7902% 12/15/62 (a)(j) | 22,958,925 | 1,123,008 | |
Series 2019-B9 Class A5, 4.0156% 3/15/52 | 6,500,000 | 7,473,679 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.1836% 12/15/36 (a)(b)(c) | 4,451,000 | 4,261,419 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.3036% 12/15/36 (a)(b)(c) | 3,689,000 | 3,494,904 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.4336% 12/15/36 (a)(b)(c) | 5,099,000 | 4,792,414 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0596% 11/15/32 (a)(b)(c) | 1,900,000 | 1,810,559 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(c) | 10,612,000 | 10,266,358 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2713% 9/15/37 (a)(b)(c) | 3,889,969 | 3,415,406 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.5086% 9/15/37 (a)(b)(c) | 4,446,198 | 3,800,395 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.8086% 9/15/37 (a)(b)(c) | 2,530,703 | 1,815,019 | |
Series 2018-IND: | |||
Class B, 1 month U.S. LIBOR + 0.900% 1.0836% 11/15/35 (a)(b)(c) | 910,000 | 884,897 | |
Class F, 1 month U.S. LIBOR + 1.800% 1.9836% 11/15/35 (a)(b)(c) | 2,713,900 | 2,577,803 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.4836% 4/15/34 (a)(b)(c) | 4,464,000 | 3,971,376 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7836% 4/15/34 (a)(b)(c) | 2,952,000 | 2,567,024 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.0836% 4/15/34 (a)(b)(c) | 3,099,000 | 2,583,358 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.2636% 10/15/36 (a)(b)(c) | 3,832,112 | 3,702,488 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.4336% 10/15/36 (a)(b)(c) | 4,818,085 | 4,630,960 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.6336% 10/15/36 (a)(b)(c) | 6,823,471 | 6,532,818 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.9836% 10/15/36 (a)(b)(c) | 9,588,400 | 9,071,895 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7836% 12/15/36 (a)(b)(c) | 4,677,000 | 4,348,924 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(c) | 8,070,000 | 7,422,267 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(c) | 20,541,112 | 20,129,347 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,629,795 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(c) | 3,687,000 | 3,502,116 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4336% 11/15/36 (a)(b)(c) | 1,400,000 | 1,322,780 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(c) | 13,996,602 | 13,475,258 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.6836% 6/15/34 (a)(b)(c) | 2,109,895 | 1,882,548 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.9336% 6/15/34 (a)(b)(c) | 2,383,714 | 2,049,226 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 4,000,000 | 4,227,031 | |
Series 2015-GC29 Class XA, 1.0469% 4/10/48 (a)(j) | 31,040,401 | 1,318,519 | |
Series 2015-GC33 Class XA, 0.8915% 9/10/58 (a)(j) | 18,872,008 | 711,022 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,859,090 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,673,405 | |
Series 2016-P6 Class XA, 0.7875% 12/10/49 (a)(j) | 17,356,019 | 505,999 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,740,942 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,730,912 | |
Series 2015-DC1 Class A5, 3.35% 2/10/48 | 3,800,000 | 4,034,043 | |
Series 2019-GC44 Class A5, 2.95% 8/15/57 | 8,200,000 | 8,854,342 | |
Series 2014-CR17 Class XA, 0.9718% 5/10/47 (a)(j) | 18,824,939 | 582,259 | |
Series 2014-CR20 Class XA, 1.0257% 11/10/47 (a)(j) | 18,092,016 | 657,632 | |
Series 2014-LC17 Class XA, 0.7666% 10/10/47 (a)(j) | 41,953,194 | 1,049,908 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 4,139,507 | |
Class XA, 0.8907% 12/10/47 (a)(j) | 11,012,080 | 335,475 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,644,303 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,458,776 | 1,560,142 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,900,000 | 2,032,458 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0636% 12/15/31 (a)(b)(c) | 2,583,000 | 2,485,696 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(c) | 17,800,000 | 17,387,343 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,106,634 | |
Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,468,867 | |
Class C, 4.782% 4/15/36 (a)(b) | 1,033,000 | 959,398 | |
Class D, 4.782% 4/15/36 (a)(b) | 2,066,000 | 1,851,456 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,300,000 | 3,486,986 | |
Fannie Mae Series 2017-M1 Class A2, 2.4167% 10/25/26 (a) | 2,300,000 | 2,468,564 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2017-K069 Class AM, 3.248% 9/25/27 | 1,750,000 | 1,971,359 | |
Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,376,680 | |
Series 2020-K104 Class A2, 2.253% 1/25/30 | 5,500,000 | 5,982,344 | |
Series K076: | |||
Class A2, 3.9% 4/25/28 | 8,950,000 | 10,590,395 | |
Class AM, 3.9% 4/25/28 | 2,125,000 | 2,502,632 | |
Series K077 Class AM, 3.85% 5/25/28 | 660,000 | 783,382 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6336% 9/15/31 (a)(b)(c) | 17,575,000 | 16,225,969 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2736% 10/15/31 (a)(b)(c) | 4,013,000 | 3,779,813 | |
Series 2013-GC12 Class XA, 1.4146% 6/10/46 (a)(j) | 5,354,699 | 178,030 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,972,846 | 2,092,049 | |
Series 2015-GC34 Class XA, 1.2633% 10/10/48 (a)(j) | 5,863,561 | 295,530 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,142,486 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 2,500,000 | 2,609,579 | |
Series 2014-C19 Class XA, 0.7478% 4/15/47 (a)(j) | 3,466,377 | 62,944 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 2,042,632 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 9/15/29 (a)(b)(c) | 6,300,000 | 6,063,914 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,778,143 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 928,640 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,405,278 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,866,313 | |
Class XAFX, 1.116% 7/5/33 (a)(b)(j) | 10,000,000 | 313,534 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 6,007,726 | |
Ladder Capital Commercial Mortgage Securities Trust sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (b) | 2,400,000 | 2,407,998 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2014-C16 Class A3, 3.592% 6/15/47 | 1,637,170 | 1,655,907 | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,732,073 | 3,884,586 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 3,000,513 | |
Class XA, 1.0859% 10/15/48 (a)(j) | 10,849,537 | 443,285 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,398,677 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,556,291 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(c) | 7,150,000 | 6,843,573 | |
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(c) | 3,470,000 | 3,321,932 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(c) | 5,200,000 | 4,958,782 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 12,820,615 | |
Series 2011-C3 Class AJ, 5.2444% 7/15/49 (a)(b) | 4,200,000 | 4,321,976 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,230,516 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,148,578 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,734,794 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b) | 1,558,000 | 1,465,877 | |
Class C, 3.1771% 11/10/36 (b) | 1,495,000 | 1,342,907 | |
MSCG Trust Series 2016-SNR: | |||
Class B, 4.181% 11/15/34 (b) | 39,961 | 38,665 | |
Class C, 5.205% 11/15/34 (b) | 1,260,550 | 1,228,783 | |
RETL floater Series 2019-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(c) | 1,251,835 | 1,183,733 | |
Class B, 1 month U.S. LIBOR + 1.550% 1.7336% 3/15/36 (a)(b)(c) | 3,800,000 | 3,404,518 | |
Class C, 1 month U.S. LIBOR + 2.100% 2.2836% 3/15/36 (a)(b)(c) | 8,731,000 | 7,609,244 | |
UBS Commercial Mortgage Trust: | |||
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,926,066 | |
Series 2017-C7 Class XA, 1.052% 12/15/50 (a)(j) | 17,507,021 | 978,415 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,543,541 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,768,985 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,677,132 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(c) | 5,423,000 | 5,530,069 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,432,282 | |
Series 2020-C55 Class A4, 2.474% 2/15/53 | 5,800,000 | 5,998,988 | |
Series 2015-C31 Class XA, 0.9959% 11/15/48 (a)(j) | 7,123,530 | 307,642 | |
Series 2017-C42 Class XA, 0.8881% 12/15/50 (a)(j) | 35,601,694 | 1,877,979 | |
Series 2018-C46 Class XA, 0.9428% 8/15/51 (a)(j) | 13,076,450 | 610,245 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,689,499 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(c) | 4,691,983 | 4,713,100 | |
Series 2014-C24 Class XA, 0.8357% 11/15/47 (a)(j) | 6,405,681 | 167,701 | |
Series 2014-LC14 Class XA, 1.2043% 3/15/47 (a)(j) | 9,941,086 | 320,888 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $486,072,039) | 480,065,085 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $3,470,000 | $6,041,756 | |
Series 2019 F1, 2.574% 4/1/31 | 525,000 | 555,508 | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 630,000 | 1,012,864 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2018 C, 4.472% 1/1/49 | 910,000 | 1,039,566 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 65,421 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 99,438 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 6,685,091 | 6,660,423 | |
5.1% 6/1/33 | 24,560,000 | 23,683,208 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,013,949 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,613,738 | |
7.35% 7/1/35 | 4,655,000 | 5,017,904 | |
Series 2010-5, 6.2% 7/1/21 | 958,000 | 963,394 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 336,853 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 280,942 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2009 B, 5.888% 7/1/43 | 50,000 | 71,295 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 198,576 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 563,001 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 9,315,000 | 10,911,312 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,740,000 | 2,834,199 | |
Series 2010 A, 7.102% 1/1/41 | 1,375,000 | 2,182,221 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 38,175 | |
New York City Transitional Fin. Auth. Rev. Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,163,421 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 90,000 | 123,366 | |
Series 2011 A, 4.8% 6/1/11 | 1,678,000 | 2,416,035 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 390,000 | 492,235 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 998,640 | |
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49 | 555,000 | 553,624 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $73,871,802) | 74,931,064 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Hungarian Republic 7.625% 3/29/41 | $550,000 | $915,288 | |
Indonesian Republic: | |||
3.4% 9/18/29 | 920,000 | 975,488 | |
3.5% 1/11/28 | 2,655,000 | 2,806,833 | |
Israeli State: | |||
3.875% 7/3/50 | 1,950,000 | 2,229,209 | |
4% 6/30/22 | 1,700,000 | 1,806,576 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,786,407 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 1,300,000 | 1,372,719 | |
4.3% 4/29/53 | 615,000 | 709,748 | |
4.5% 4/16/50 | 400,000 | 472,750 | |
4.5% 4/1/56 | 645,000 | 760,455 | |
Philippine Republic: | |||
2.457% 5/5/30 | 555,000 | 579,951 | |
3.7% 3/1/41 | 1,010,000 | 1,157,713 | |
Province of Quebec yankee 7.125% 2/9/24 | 810,000 | 994,907 | |
State of Qatar: | |||
3.4% 4/16/25 (b) | 3,165,000 | 3,384,572 | |
3.75% 4/16/30 (b) | 4,015,000 | 4,464,178 | |
4.4% 4/16/50 (b) | 3,735,000 | 4,435,313 | |
United Mexican States: | |||
4.15% 3/28/27 | 275,000 | 293,425 | |
4.75% 3/8/44 | 2,680,000 | 2,812,325 | |
Uruguay Republic: | |||
4.975% 4/20/55 | 550,000 | 668,938 | |
5.1% 6/18/50 | 1,315,000 | 1,611,286 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $34,039,782) | 36,238,081 | ||
Bank Notes - 0.1% | |||
Capital One NA 2.95% 7/23/21 | 5,551,000 | 5,645,193 | |
Discover Bank: | |||
3.1% 6/4/20 | $6,744,000 | $6,744,517 | |
3.2% 8/9/21 | 6,369,000 | 6,433,705 | |
3.45% 7/27/26 | 435,000 | 446,626 | |
4.682% 8/9/28 (a) | 3,503,000 | 3,505,802 | |
KeyBank NA 3.9% 4/13/29 | 2,005,000 | 2,163,336 | |
RBS Citizens NA 2.55% 5/13/21 | 1,705,000 | 1,732,924 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,359,357 | |
SunTrust Banks, Inc.: | |||
2.75% 5/1/23 | 645,000 | 681,106 | |
3.3% 5/15/26 | 965,000 | 1,033,366 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,923,791 | |
U.S. Bank NA, Cincinnati 2.65% 5/23/22 | 1,500,000 | 1,558,670 | |
TOTAL BANK NOTES | |||
(Cost $37,609,781) | 39,228,393 | ||
Shares | Value | ||
Fixed-Income Funds - 76.1% | |||
Bank Loan Funds - 0.3% | |||
Eaton Vance Floating-Rate Fund - Advisers Class | 16,962,824 | $138,755,902 | |
High Yield Fixed-Income Funds - 1.1% | |||
Prudential High Yield Fund | 20,836,070 | 106,472,318 | |
Stone Harbor Emerging Markets Debt Fund | 14,500,240 | 130,067,151 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 35,997,258 | 202,304,591 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 438,844,060 | ||
Intermediate-Term Bond Funds - 71.9% | |||
Baird Core Plus Bond Fund - Institutional Class | 56,044,581 | 669,172,297 | |
BlackRock Total Return Fund Institutional Shares | 26,301,218 | 322,452,938 | |
DoubleLine Total Return Bond Fund Class N | 100,646,150 | 1,068,862,117 | |
Fidelity SAI Total Bond Fund (m) | 608,371,186 | 6,515,655,398 | |
John Hancock Bond Fund Class A | 13,819,058 | 226,217,973 | |
JPMorgan Core Plus Bond Fund Class A | 33,011,007 | 284,554,882 | |
Metropolitan West Total Return Bond Fund Class M | 198,390,078 | 2,267,598,597 | |
PIMCO Income Fund Institutional Class | 90,358,041 | 1,025,563,767 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 50,858,163 | 547,233,834 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 76,713,367 | 819,298,763 | |
PIMCO Total Return Fund Institutional Class | 630,740,433 | 6,774,152,222 | |
Prudential Total Return Bond Fund Class A | 142,365,583 | 2,071,419,229 | |
TCW Total Return Bond Fund Class I | 29,846,341 | 311,297,337 | |
Voya Intermediate Bond Fund Class I | 112,779,512 | 1,187,568,259 | |
Western Asset Core Bond Fund Class I | 156,270,947 | 2,097,156,113 | |
Western Asset Core Plus Bond Fund Class I | 266,100,121 | 3,238,438,475 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 29,426,642,201 | ||
Long Government Bond Funds - 2.8% | |||
iShares 20+ Year Treasury Bond ETF (n) | 6,999,580 | 1,145,061,292 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $29,866,005,938) | 31,149,303,455 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
MPLX LP 6.875% (a)(o) | 300,000 | 256,206 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Bank of Nova Scotia 4.65% (a)(o) | 12,927,000 | 12,304,048 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 29,467,900 | |
Barclays PLC 7.875% (Reg. S) (a)(o) | 290,000 | 293,625 | |
Citigroup, Inc. 4.7% (a)(o) | 215,000 | 187,050 | |
JPMorgan Chase & Co. 4.6% (a)(o) | 490,000 | 434,532 | |
Royal Bank of Scotland Group PLC 7.5% (a)(o) | 200,000 | 195,876 | |
Wells Fargo & Co. 5.9% (a)(o) | 300,000 | 298,233 | |
43,181,264 | |||
INDUSTRIALS - 0.0% | |||
Trading Companies & Distributors - 0.0% | |||
AerCap Holdings NV 5.875% 10/10/79 (a) | 710,000 | 487,685 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $46,157,792) | 43,925,155 | ||
Shares | Value | ||
Money Market Funds - 1.3% | |||
Fidelity Cash Central Fund 0.11% (p) | 333,231,330 | 333,297,977 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (m)(q) | 81,120,406 | 81,120,406 | |
Fidelity Securities Lending Cash Central Fund 0.10% (p)(r) | 101,830,868 | 101,841,051 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (q) | 40,729,445 | 40,729,445 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $556,985,233) | 556,988,879 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.0375% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2032 | 3/7/22 | 14,700,000 | $344,046 | |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 19,800,000 | 196,723 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 1,900,000 | 31,222 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 87,816 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 13,700,000 | 76,959 | |
TOTAL PUT OPTIONS | 736,766 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.0375% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2032 | 3/7/22 | 14,700,000 | 671,773 | |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 19,800,000 | 1,058,441 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 1,900,000 | 74,694 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 581,415 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 13,700,000 | 973,822 | |
TOTAL CALL OPTIONS | 3,360,145 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $3,564,216) | 4,096,911 | |||
TOTAL INVESTMENT IN SECURITIES - 103.5% | ||||
(Cost $40,745,699,321) | 42,372,343,540 | |||
NET OTHER ASSETS (LIABILITIES) - (3.5)% | (1,432,379,008) | |||
NET ASSETS - 100% | $40,939,964,532 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Uniform Mortgage Backed Securities | ||
2.5% 6/1/35 | $(23,500,000) | $(24,588,710) |
2.5% 6/1/35 | (35,600,000) | (37,249,280) |
2.5% 6/1/35 | (5,900,000) | (6,173,336) |
2.5% 6/1/35 | (2,300,000) | (2,406,555) |
2.5% 6/1/35 | (3,650,000) | (3,819,098) |
2.5% 6/1/35 | (18,000,000) | (18,833,906) |
2.5% 6/1/35 | (6,850,000) | (7,167,347) |
2.5% 6/1/35 | (5,700,000) | (5,964,070) |
2.5% 6/1/35 | (22,200,000) | (23,228,484) |
2.5% 6/1/35 | (5,950,000) | (6,225,652) |
2.5% 6/1/35 | (30,750,000) | (32,174,589) |
2.5% 6/1/35 | (17,950,000) | (18,781,589) |
2.5% 6/1/35 | (6,050,000) | (6,330,285) |
2.5% 7/1/35 | (10,900,000) | (11,387,519) |
2.5% 7/1/35 | (7,000,000) | (7,313,086) |
2.5% 6/1/50 | (27,550,000) | (28,577,744) |
2.5% 6/1/50 | (28,650,000) | (29,718,780) |
3% 6/1/50 | (8,200,000) | (8,625,375) |
3% 6/1/50 | (10,600,000) | (11,149,875) |
3% 6/1/50 | (12,300,000) | (12,938,063) |
3% 6/1/50 | (32,600,000) | (34,291,125) |
3% 6/1/50 | (6,400,000) | (6,732,000) |
3% 6/1/50 | (6,400,000) | (6,732,000) |
3% 6/1/50 | (13,900,000) | (14,621,063) |
3% 6/1/50 | (4,850,000) | (5,101,594) |
3% 6/1/50 | (4,850,000) | (5,101,594) |
3% 6/1/50 | (13,500,000) | (14,200,313) |
3% 6/1/50 | (30,900,000) | (32,502,938) |
3% 6/1/50 | (6,500,000) | (6,837,188) |
3% 6/1/50 | (6,500,000) | (6,837,188) |
3% 6/1/50 | (9,250,000) | (9,729,844) |
3% 6/1/50 | (6,300,000) | (6,626,813) |
3% 6/1/50 | (9,950,000) | (10,466,156) |
3% 6/1/50 | (7,650,000) | (8,046,844) |
3% 6/1/50 | (16,250,000) | (17,092,969) |
3% 6/1/50 | (12,500,000) | (13,148,438) |
3.5% 6/1/50 | (37,700,000) | (39,774,974) |
3.5% 6/1/50 | (80,000,000) | (84,403,128) |
3.5% 6/1/50 | (21,000,000) | (22,155,821) |
4% 6/1/50 | (13,650,000) | (14,527,653) |
4% 6/1/50 | (10,000,000) | (10,642,969) |
4% 6/1/50 | (13,650,000) | (14,527,653) |
4% 6/1/50 | (10,000,000) | (10,642,969) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $697,538,407) | $(697,396,577) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.71% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | $(153,720) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 10,500,000 | (140,867) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.775% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 8,200,000 | (85,769) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.795% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2029 | 11/25/24 | 10,600,000 | (107,708) |
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 17,000,000 | (125,508) |
TOTAL PUT SWAPTIONS | (613,572) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.71% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | (112,242) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 10,500,000 | (433,259) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.775% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/3/24 | 8,200,000 | (433,825) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.795% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2029 | 11/25/24 | 10,600,000 | (569,257) |
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/1/24 | 17,000,000 | (1,042,143) |
TOTAL CALL SWAPTIONS | (2,590,726) | ||
TOTAL WRITTEN SWAPTIONS | $(3,204,298) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 27 | Sept. 2020 | $3,391,875 | $4,164 | $4,164 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 215 | Sept. 2020 | 38,350,625 | (65,842) | (65,842) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2,180 | Sept. 2020 | 303,156,250 | (410,389) | (410,389) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 986 | Sept. 2020 | 217,751,938 | (32,745) | (32,745) |
TOTAL FUTURES CONTRACTS | $(504,812) |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
The notional amount of futures sold as a percentage of Net Assets is 1.3%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $1,130,000 | $10,827 | $(37,268) | $(26,441) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,700,000 | 35,451 | (48,596) | (13,145) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 7,800,000 | 74,735 | (109,191) | (34,456) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,800,000 | 36,409 | (48,333) | (11,924) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 4,260,000 | 40,817 | (52,755) | (11,938) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5,000,000 | 47,907 | (35,459) | 12,488 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8,810,000 | 84,412 | (313,985) | (229,573) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,800,000 | 45,991 | (134,081) | (88,090) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 3,050,000 | 29,223 | (72,503) | (43,280) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,940,000 | 28,169 | (14,156) | 14,013 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,370,000 | 41,871 | (36,725) | 5,146 |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 10,000,000 | 95,814 | (112,044) | (16,230) |
TOTAL CREDIT DEFAULT SWAPS | $571,626 | $(1,015,096) | $(443,470) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2022 | $61,050,000 | $104,040 | $0 | $104,040 |
1.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Jun. 2025 | 35,120,000 | 155,387 | 0 | 155,387 |
3-month LIBOR(3) | Quarterly | 1.25% | Semi - annual | LCH | Jun. 2030 | 730,000 | (21,732) | 0 | (21,732) |
TOTAL INTEREST RATE SWAPS | $237,695 | $0 | $237,695 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
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) 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 $1,334,456,368 or 3.3% of net assets.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) A portion of the security sold on a delayed delivery basis.
(f) 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 $4,543,557.
(g) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,680,962.
(h) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $365,024.
(i) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $289,338.
(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(k) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(l) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(m) Affiliated Fund
(n) Security or a portion of the security is on loan at period end.
(o) Security is perpetual in nature with no stated maturity date.
(p) 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.
(q) The rate quoted is the annualized seven-day yield of the fund at period end.
(r) 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 | $349,396 |
Fidelity Securities Lending Cash Central Fund | 92,183 |
Total | $441,579 |
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 Inflation-Protected Bond Index Fund | $105,541,389 | $-- | $103,929,078 | $26,043 | $1,285,927 | $(2,898,238) | $-- |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% | -- | 2,453,454,612 | 2,372,334,206 | 321,714 | -- | -- | 81,120,406 |
Fidelity SAI Total Bond Fund | 6,719,728,989 | 46,246,837 | 216,660,284 | 46,248,208 | 10,886,502 | (44,546,646) | 6,515,655,398 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3,902,878,329 | 3,072,804 | 3,961,182,856 | 3,076,308 | 346,538,650 | (291,306,927) | -- |
Fidelity Sustainability Bond Index Fund | 25,615,432 | -- | 25,497,606 | 45,199 | 1,872,467 | (1,990,293) | -- |
Fidelity U.S. Bond Index Fund | 156,168,500 | -- | 158,538,042 | 85,403 | 6,436,530 | (4,066,988) | -- |
Total | $10,909,932,639 | $2,502,774,253 | $6,838,142,072 | $49,802,875 | $367,020,076 | $(344,809,092) | $6,596,775,804 |
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, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations 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.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps 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.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 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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