NPORT-EX 2 QTLY_1976_20200531.htm

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 public

May 31, 2020







SSC-QTLY-0720
1.912894.109





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 Fund’s 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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