Quarterly Holdings Report
for
Strategic Advisers® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general publicMay 31, 2021
Schedule of Investments May 31, 2021 (Unaudited)
Showing Percentage of Net Assets
| U.S. Treasury Obligations - 0.9% | |||
| Principal Amount(a) | Value | ||
| U.S. Treasury Bills, yield at date of purchase 0.02% to 0.05% 8/5/21 to 11/4/21 (Cost $397,962,459) | $398,000,000 | $397,983,454 | |
| Nonconvertible Bonds - 11.1% | |||
| COMMUNICATION SERVICES - 1.2% | |||
| Diversified Telecommunication Services - 0.5% | |||
| Altice France SA: | |||
| 5.125% 1/15/29 (b) | 300,000 | 297,000 | |
| 5.125% 7/15/29 (b) | 275,000 | 272,652 | |
| 7.375% 5/1/26 (b) | 224,000 | 232,942 | |
| 8.125% 2/1/27 (b) | 135,000 | 147,150 | |
| AT&T, Inc.: | |||
| 1.7% 3/25/26 | 700,000 | 706,254 | |
| 2.55% 12/1/33 (b) | 6,473,000 | 6,251,870 | |
| 3.5% 6/1/41 | 4,880,000 | 4,895,339 | |
| 3.5% 9/15/53 (b) | 423,000 | 401,352 | |
| 3.55% 9/15/55 (b) | 1,590,000 | 1,503,442 | |
| 3.65% 9/15/59 (b) | 8,915,000 | 8,524,240 | |
| 3.8% 12/1/57 (b) | 26,433,000 | 26,029,870 | |
| 4.3% 2/15/30 | 3,709,000 | 4,222,312 | |
| 4.5% 5/15/35 | 1,980,000 | 2,270,189 | |
| 4.5% 3/9/48 | 6,650,000 | 7,468,538 | |
| 4.75% 5/15/46 | 49,080,000 | 57,339,210 | |
| 4.9% 6/15/42 | 7,000,000 | 8,279,664 | |
| 5.15% 11/15/46 | 10,160,000 | 12,559,807 | |
| 6.2% 3/15/40 | 2,433,000 | 3,214,997 | |
| 6.3% 1/15/38 | 2,523,000 | 3,430,639 | |
| C&W Senior Financing Designated Activity Co.: | |||
| 6.875% 9/15/27 (b) | 305,000 | 324,825 | |
| 7.5% 10/15/26 (b) | 710,000 | 745,500 | |
| Cablevision Lightpath LLC 3.875% 9/15/27 (b) | 10,000 | 9,729 | |
| Cogent Communications Group, Inc. 3.5% 5/1/26 (b) | 165,000 | 167,600 | |
| Frontier Communications Corp.: | |||
| 5% 5/1/28 (b) | 215,000 | 220,375 | |
| 5.875% 10/15/27 (b) | 95,000 | 100,938 | |
| Level 3 Financing, Inc.: | |||
| 3.625% 1/15/29 (b) | 135,000 | 129,769 | |
| 3.875% 11/15/29 (b) | 1,500,000 | 1,591,500 | |
| 4.25% 7/1/28 (b) | 1,520,000 | 1,523,268 | |
| 5.375% 5/1/25 | 400,000 | 408,844 | |
| Lumen Technologies, Inc.: | |||
| 4.5% 1/15/29 (b) | 705,000 | 682,088 | |
| 5.125% 12/15/26 (b) | 185,000 | 191,648 | |
| 5.625% 4/1/25 | 175,000 | 187,733 | |
| 6.875% 1/15/28 | 15,000 | 16,688 | |
| 7.6% 9/15/39 | 1,464,000 | 1,661,640 | |
| 7.65% 3/15/42 | 1,000,000 | 1,117,500 | |
| Qwest Corp. 7.25% 9/15/25 | 203,000 | 240,555 | |
| Sable International Finance Ltd. 5.75% 9/7/27 (b) | 585,000 | 616,415 | |
| Sprint Capital Corp.: | |||
| 6.875% 11/15/28 | 1,695,000 | 2,120,547 | |
| 8.75% 3/15/32 | 555,000 | 822,788 | |
| Sprint Spectrum Co. LLC: | |||
| 3.36% 3/20/23 (b) | 250,000 | 250,420 | |
| 4.738% 9/20/29 (b) | 1,370,000 | 1,468,215 | |
| 5.152% 9/20/29 (b) | 9,350,000 | 10,705,750 | |
| Telecom Italia SpA 5.303% 5/30/24 (b) | 370,000 | 402,375 | |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 421,200 | |
| Verizon Communications, Inc.: | |||
| 2.1% 3/22/28 | 1,235,000 | 1,251,218 | |
| 2.55% 3/21/31 | 3,685,000 | 3,705,607 | |
| 2.65% 11/20/40 | 1,265,000 | 1,165,525 | |
| 2.987% 10/30/56 | 1,660,000 | 1,478,904 | |
| 3.4% 3/22/41 | 5,350,000 | 5,440,595 | |
| 4.016% 12/3/29 | 2,296,000 | 2,594,628 | |
| 4.272% 1/15/36 | 5,425,000 | 6,263,131 | |
| 4.5% 8/10/33 | 945,000 | 1,109,972 | |
| 4.522% 9/15/48 | 2,711,000 | 3,205,451 | |
| 4.862% 8/21/46 | 490,000 | 607,720 | |
| 5.012% 4/15/49 | 156,000 | 197,399 | |
| Virgin Media Finance PLC 5% 7/15/30 (b) | 270,000 | 268,864 | |
| 201,464,391 | |||
| Entertainment - 0.0% | |||
| Live Nation Entertainment, Inc. 3.75% 1/15/28 (b) | 237,000 | 236,353 | |
| Netflix, Inc.: | |||
| 4.375% 11/15/26 | 165,000 | 186,085 | |
| 4.875% 4/15/28 | 145,000 | 166,808 | |
| 4.875% 6/15/30 (b) | 70,000 | 80,675 | |
| 5.375% 11/15/29 (b) | 120,000 | 141,895 | |
| 5.875% 11/15/28 | 635,000 | 768,350 | |
| 6.375% 5/15/29 | 55,000 | 68,681 | |
| The Walt Disney Co. 3.6% 1/13/51 | 3,415,000 | 3,656,890 | |
| 5,305,737 | |||
| Interactive Media & Services - 0.0% | |||
| Tencent Holdings Ltd. 3.84% 4/22/51 (b) | 2,435,000 | 2,483,067 | |
| Media - 0.5% | |||
| Altice Financing SA: | |||
| 5% 1/15/28 (b) | 200,000 | 198,474 | |
| 7.5% 5/15/26 (b) | 300,000 | 311,906 | |
| Altice France Holding SA: | |||
| 4% 2/15/28 (Reg. S) | EUR | 4,800,000 | 5,667,516 |
| 6% 2/15/28 (b) | 105,000 | 103,425 | |
| 8% 5/15/27 (Reg. S) | EUR | 4,800,000 | 6,354,349 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 4% 3/1/23 (b) | 2,450,000 | 2,468,375 | |
| 4.5% 8/15/30 (b) | 180,000 | 183,425 | |
| 4.5% 5/1/32 | 3,550,000 | 3,581,418 | |
| 4.5% 6/1/33 (b)(c) | 2,110,000 | 2,105,337 | |
| 5.75% 2/15/26 (b) | 1,151,000 | 1,190,134 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 3.7% 4/1/51 | 7,625,000 | 7,160,996 | |
| 3.9% 6/1/52 (c) | 4,440,000 | 4,256,467 | |
| 4.464% 7/23/22 | 11,002,000 | 11,433,584 | |
| 4.908% 7/23/25 | 7,565,000 | 8,602,494 | |
| 5.375% 4/1/38 | 450,000 | 536,025 | |
| 5.375% 5/1/47 | 37,824,000 | 44,146,823 | |
| 5.75% 4/1/48 | 14,203,000 | 17,356,414 | |
| 6.384% 10/23/35 | 2,985,000 | 3,899,144 | |
| 6.484% 10/23/45 | 1,295,000 | 1,704,079 | |
| Comcast Corp.: | |||
| 3.75% 4/1/40 | 370,000 | 406,046 | |
| 3.999% 11/1/49 | 10,000 | 11,290 | |
| 4.6% 8/15/45 | 2,420,000 | 2,939,631 | |
| 4.65% 7/15/42 | 4,121,000 | 5,025,569 | |
| COX Communications, Inc.: | |||
| 3.15% 8/15/24 (b) | 4,500,000 | 4,830,176 | |
| 4.6% 8/15/47 (b) | 3,875,000 | 4,522,186 | |
| CSC Holdings LLC: | |||
| 3.375% 2/15/31 (b) | 244,000 | 227,530 | |
| 4.125% 12/1/30 (b) | 215,000 | 210,120 | |
| 4.5% 11/15/31 (b) | 220,000 | 219,074 | |
| 4.625% 12/1/30 (b) | 170,000 | 164,713 | |
| 5.75% 1/15/30 (b) | 1,000,000 | 1,043,800 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) | 1,900,000 | 1,405,981 | |
| Discovery Communications LLC: | |||
| 3.625% 5/15/30 | 4,338,000 | 4,635,989 | |
| 4% 9/15/55 (b) | 1,620,000 | 1,603,683 | |
| 4.65% 5/15/50 | 11,727,000 | 13,024,017 | |
| 5.3% 5/15/49 | 6,820,000 | 8,114,233 | |
| DISH DBS Corp.: | |||
| 5.875% 11/15/24 | 200,000 | 213,000 | |
| 6.75% 6/1/21 | 1,500,000 | 1,500,000 | |
| 7.75% 7/1/26 | 550,000 | 624,773 | |
| Fox Corp.: | |||
| 5.476% 1/25/39 | 2,474,000 | 3,083,287 | |
| 5.576% 1/25/49 | 1,641,000 | 2,096,567 | |
| Gray Television, Inc. 4.75% 10/15/30 (b) | 100,000 | 98,232 | |
| LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b) | 200,000 | 205,216 | |
| Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) | 345,000 | 348,450 | |
| SES Global Americas Holdings GP 5.3% 3/25/44 (b) | 2,000,000 | 2,296,938 | |
| Sinclair Television Group, Inc. 4.125% 12/1/30 (b) | 1,950,000 | 1,896,375 | |
| Sirius XM Radio, Inc.: | |||
| 4.125% 7/1/30 (b) | 65,000 | 65,163 | |
| 5.5% 7/1/29 (b) | 1,000,000 | 1,082,500 | |
| Tegna, Inc. 4.75% 3/15/26 (b) | 225,000 | 238,977 | |
| Time Warner Cable LLC: | |||
| 4% 9/1/21 | 16,424,000 | 16,466,953 | |
| 5.5% 9/1/41 | 2,591,000 | 3,116,263 | |
| 5.875% 11/15/40 | 5,543,000 | 6,955,924 | |
| 6.55% 5/1/37 | 8,522,000 | 11,304,961 | |
| 7.3% 7/1/38 | 6,393,000 | 9,051,134 | |
| ViacomCBS, Inc.: | |||
| 3.875% 4/1/24 | 1,380,000 | 1,491,742 | |
| 4.2% 5/19/32 | 650,000 | 731,939 | |
| 4.6% 1/15/45 | 5,565,000 | 6,256,422 | |
| 5.85% 9/1/43 | 220,000 | 284,573 | |
| Virgin Media Secured Finance PLC: | |||
| 4.5% 8/15/30 (b) | 1,932,000 | 1,927,170 | |
| 5.5% 8/15/26 (b) | 300,000 | 311,100 | |
| 5.5% 5/15/29 (b) | 175,000 | 187,250 | |
| Ziggo BV: | |||
| 4.875% 1/15/30 (b) | 115,000 | 117,846 | |
| 5.5% 1/15/27 (b) | 477,000 | 494,291 | |
| 242,091,469 | |||
| Wireless Telecommunication Services - 0.2% | |||
| Digicel International Finance Ltd. / Digicel International Holdings Ltd.: | |||
| 8% 12/31/26 (b) | 2,650,000 | 2,602,797 | |
| 8.75% 5/25/24 (b) | 300,000 | 310,781 | |
| 8.75% 5/25/24 (b) | 400,000 | 414,325 | |
| 13% 12/31/25 pay-in-kind (b)(d) | 2,000,000 | 2,024,125 | |
| Intelsat Jackson Holdings SA: | |||
| 5.5% 8/1/23 (e) | 2,500,000 | 1,456,250 | |
| 9.75% 7/15/25 (b)(e) | 5,500,000 | 3,217,500 | |
| Millicom International Cellular SA: | |||
| 4.5% 4/27/31 (b) | 200,000 | 208,610 | |
| 5.125% 1/15/28 (b) | 346,500 | 364,540 | |
| Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 155,869 | |
| SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 208,250 | |
| Sprint Corp. 7.875% 9/15/23 | 5,977,000 | 6,772,598 | |
| T-Mobile U.S.A., Inc.: | |||
| 2.05% 2/15/28 | 1,450,000 | 1,443,388 | |
| 2.25% 2/15/26 | 3,450,000 | 3,479,153 | |
| 2.625% 4/15/26 | 220,000 | 223,914 | |
| 2.625% 2/15/29 | 275,000 | 265,375 | |
| 3% 2/15/41 | 2,945,000 | 2,761,821 | |
| 3.3% 2/15/51 | 6,575,000 | 6,186,418 | |
| 3.5% 4/15/25 | 500,000 | 542,628 | |
| 3.75% 4/15/27 | 12,160,000 | 13,367,610 | |
| 3.875% 4/15/30 | 17,184,000 | 18,834,695 | |
| 4.375% 4/15/40 | 200,000 | 223,762 | |
| 4.5% 4/15/50 | 3,381,000 | 3,826,142 | |
| Vodafone Group PLC 4.25% 9/17/50 | 3,525,000 | 3,904,572 | |
| 72,795,123 | |||
| TOTAL COMMUNICATION SERVICES | 524,139,787 | ||
| CONSUMER DISCRETIONARY - 0.5% | |||
| Auto Components - 0.0% | |||
| Adient Global Holdings Ltd. 4.875% 8/15/26 (b) | 2,000,000 | 2,050,000 | |
| American Axle & Manufacturing, Inc. 6.25% 4/1/25 | 525,000 | 543,328 | |
| Dana, Inc. 5.625% 6/15/28 | 500,000 | 539,436 | |
| IHO Verwaltungs GmbH 3.75% 9/15/26 pay-in-kind(Reg. S) (d) | EUR | 2,500,000 | 3,117,737 |
| Patrick Industries, Inc. 4.75% 5/1/29 (b) | 110,000 | 109,736 | |
| Real Hero Merger Sub 2 6.25% 2/1/29 (b) | 30,000 | 31,020 | |
| 6,391,257 | |||
| Automobiles - 0.1% | |||
| Ford Motor Co.: | |||
| 4.75% 1/15/43 | 2,000,000 | 2,017,600 | |
| 5.291% 12/8/46 | 1,925,000 | 2,044,543 | |
| 9% 4/22/25 | 1,250,000 | 1,527,213 | |
| 9.625% 4/22/30 | 500,000 | 696,160 | |
| General Motors Co.: | |||
| 6.25% 10/2/43 | 7,995,000 | 10,756,446 | |
| 6.6% 4/1/36 | 575,000 | 775,635 | |
| 6.75% 4/1/46 | 1,725,000 | 2,400,638 | |
| General Motors Financial Co., Inc.: | |||
| 2.4% 4/10/28 | 1,895,000 | 1,916,755 | |
| 3.45% 4/10/22 | 4,650,000 | 4,751,145 | |
| 3.7% 5/9/23 | 11,800,000 | 12,428,620 | |
| 4% 1/15/25 | 2,105,000 | 2,297,685 | |
| 4.25% 5/15/23 | 1,875,000 | 2,002,503 | |
| 4.375% 9/25/21 | 7,321,000 | 7,413,985 | |
| 51,028,928 | |||
| Diversified Consumer Services - 0.0% | |||
| Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 1,225,000 | 1,223,702 | |
| California Institute of Technology 3.65% 9/1/19 | 535,000 | 580,692 | |
| ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b) | 8,865,000 | 9,668,121 | |
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 457,472 | |
| President and Fellows of Harvard College: | |||
| 3.15% 7/15/46 | 190,000 | 204,366 | |
| 3.3% 7/15/56 | 190,000 | 207,328 | |
| Service Corp. International 5.125% 6/1/29 | 270,000 | 292,248 | |
| Trustees of Boston University 4.061% 10/1/48 | 450,000 | 537,585 | |
| University of Pennsylvania Trustees: | |||
| 2.396% 10/1/50 | 495,000 | 458,307 | |
| 3.61% 2/15/2119 | 285,000 | 300,923 | |
| University of Southern California 3.841% 10/1/47 | 705,000 | 826,839 | |
| Yale University 2.402% 4/15/50 | 1,815,000 | 1,679,050 | |
| 16,436,633 | |||
| Hotels, Restaurants & Leisure - 0.1% | |||
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
| 3.5% 2/15/29 (b) | 1,660,000 | 1,624,725 | |
| 4% 10/15/30 (b) | 5,000,000 | 4,843,750 | |
| 4.25% 5/15/24 (b) | 155,000 | 156,499 | |
| 4.375% 1/15/28 (b) | 280,000 | 283,500 | |
| 5.75% 4/15/25 (b) | 90,000 | 95,063 | |
| Aramark Services, Inc.: | |||
| 4.75% 6/1/26 | 100,000 | 102,375 | |
| 5% 2/1/28 (b) | 1,990,000 | 2,054,053 | |
| Brinker International, Inc. 3.875% 5/15/23 | 2,500,000 | 2,565,625 | |
| Caesars Entertainment, Inc. 6.25% 7/1/25 (b) | 380,000 | 400,490 | |
| Caesars Resort Collection LLC 5.25% 10/15/25 (b) | 20,000 | 20,166 | |
| Carnival Corp. 7.625% 3/1/26 (b) | 75,000 | 82,125 | |
| Hilton Domestic Operating Co., Inc.: | |||
| 3.625% 2/15/32 (b) | 325,000 | 318,037 | |
| 3.75% 5/1/29 (b) | 255,000 | 255,638 | |
| 4% 5/1/31 (b) | 970,000 | 978,235 | |
| 5.375% 5/1/25 (b) | 400,000 | 421,104 | |
| International Game Technology PLC 6.5% 2/15/25 (b) | 800,000 | 886,296 | |
| Marriott International, Inc.: | |||
| 3.125% 6/15/26 | 1,090,000 | 1,157,992 | |
| 3.6% 4/15/24 | 860,000 | 918,868 | |
| McDonald's Corp. 4.7% 12/9/35 | 1,685,000 | 2,041,158 | |
| MGM Resorts International: | |||
| 4.625% 9/1/26 | 500,000 | 526,150 | |
| 6.75% 5/1/25 | 100,000 | 107,204 | |
| NCL Finance Ltd. 6.125% 3/15/28 (b) | 40,000 | 41,700 | |
| Royal Caribbean Cruises Ltd.: | |||
| 9.125% 6/15/23 (b) | 55,000 | 60,841 | |
| 11.5% 6/1/25 (b) | 160,000 | 185,200 | |
| Scientific Games Corp. 8.625% 7/1/25 (b) | 500,000 | 545,200 | |
| Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,780,116 | |
| Yum! Brands, Inc. 7.75% 4/1/25 (b) | 330,000 | 358,875 | |
| 24,810,985 | |||
| Household Durables - 0.2% | |||
| Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) | 500,000 | 491,250 | |
| Century Communities, Inc. 6.75% 6/1/27 | 275,000 | 295,900 | |
| Lennar Corp.: | |||
| 4.75% 11/29/27 | 9,350,000 | 10,812,761 | |
| 5% 6/15/27 | 12,100,000 | 14,022,690 | |
| 5.25% 6/1/26 | 2,920,000 | 3,372,600 | |
| Newell Brands, Inc. 5.875% 4/1/36 | 30,000 | 37,243 | |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 298,000 | 318,115 | |
| Tempur Sealy International, Inc. 4% 4/15/29 (b) | 1,675,000 | 1,678,367 | |
| Toll Brothers Finance Corp.: | |||
| 4.35% 2/15/28 | 29,675,000 | 32,283,136 | |
| 4.375% 4/15/23 | 5,000,000 | 5,237,500 | |
| 4.875% 11/15/25 | 35,000 | 39,300 | |
| 4.875% 3/15/27 | 7,917,000 | 8,949,614 | |
| 5.875% 2/15/22 | 12,000,000 | 12,240,000 | |
| 89,778,476 | |||
| Internet & Direct Marketing Retail - 0.0% | |||
| Match Group Holdings II LLC 4.125% 8/1/30 (b) | 70,000 | 69,626 | |
| Leisure Products - 0.0% | |||
| Hasbro, Inc.: | |||
| 2.6% 11/19/22 | 2,485,000 | 2,559,858 | |
| 3% 11/19/24 | 5,655,000 | 6,034,622 | |
| Mattel, Inc. 5.45% 11/1/41 | 20,000 | 22,625 | |
| 8,617,105 | |||
| Multiline Retail - 0.0% | |||
| Dollar Tree, Inc. 4.2% 5/15/28 | 255,000 | 288,382 | |
| Specialty Retail - 0.1% | |||
| Adient U.S. LLC 9% 4/15/25 (b) | 1,000,000 | 1,105,410 | |
| AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 1,121,274 | |
| AutoZone, Inc.: | |||
| 1.65% 1/15/31 | 255,000 | 237,357 | |
| 3.75% 4/18/29 | 1,200,000 | 1,318,605 | |
| 4% 4/15/30 | 6,924,000 | 7,758,184 | |
| Lowe's Companies, Inc. 4.25% 9/15/44 | 85,000 | 92,836 | |
| Magic MergerCo, Inc.: | |||
| 5.25% 5/1/28 (b) | 110,000 | 111,375 | |
| 7.875% 5/1/29 (b) | 200,000 | 204,348 | |
| O'Reilly Automotive, Inc. 1.75% 3/15/31 | 420,000 | 396,243 | |
| Sally Holdings LLC 8.75% 4/30/25 (b) | 3,067,000 | 3,385,201 | |
| The Home Depot, Inc.: | |||
| 4.875% 2/15/44 | 1,075,000 | 1,389,346 | |
| 5.875% 12/16/36 | 300,000 | 416,410 | |
| 17,536,589 | |||
| Textiles, Apparel & Luxury Goods - 0.0% | |||
| The William Carter Co. 5.625% 3/15/27 (b) | 875,000 | 916,563 | |
| Wolverine World Wide, Inc. 6.375% 5/15/25 (b) | 270,000 | 287,213 | |
| 1,203,776 | |||
| TOTAL CONSUMER DISCRETIONARY | 216,161,757 | ||
| CONSUMER STAPLES - 0.7% | |||
| Beverages - 0.3% | |||
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
| 4.7% 2/1/36 | 2,765,000 | 3,294,286 | |
| 4.9% 2/1/46 | 12,660,000 | 15,177,430 | |
| Anheuser-Busch InBev Finance, Inc.: | |||
| 4.7% 2/1/36 | 9,871,000 | 11,750,359 | |
| 4.9% 2/1/46 | 12,306,000 | 14,692,473 | |
| Anheuser-Busch InBev Worldwide, Inc.: | |||
| 3.5% 6/1/30 | 8,175,000 | 8,949,368 | |
| 4.35% 6/1/40 | 4,618,000 | 5,271,109 | |
| 4.375% 4/15/38 | 2,500,000 | 2,857,851 | |
| 4.5% 6/1/50 | 8,175,000 | 9,379,107 | |
| 4.6% 6/1/60 | 5,007,000 | 5,756,456 | |
| 4.75% 1/23/29 | 890,000 | 1,049,341 | |
| 4.75% 4/15/58 | 6,987,000 | 8,159,748 | |
| 5.45% 1/23/39 | 5,390,000 | 6,825,735 | |
| 5.55% 1/23/49 | 15,352,000 | 20,067,852 | |
| 5.8% 1/23/59 (Reg. S) | 15,062,000 | 20,457,690 | |
| Bacardi Ltd. 5.3% 5/15/48 (b) | 1,050,000 | 1,316,438 | |
| Constellation Brands, Inc.: | |||
| 3.7% 12/6/26 | 1,050,000 | 1,166,050 | |
| 4.4% 11/15/25 | 480,000 | 545,490 | |
| 4.75% 11/15/24 | 5,595,000 | 6,332,761 | |
| Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 382,730 | |
| PepsiCo, Inc.: | |||
| 2.625% 3/19/27 | 839,000 | 904,910 | |
| 2.75% 3/5/22 | 900,000 | 917,725 | |
| 3.1% 7/17/22 | 260,000 | 267,166 | |
| Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | 220,000 | 220,098 | |
| 145,742,173 | |||
| Food & Staples Retailing - 0.1% | |||
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
| 3.5% 3/15/29 (b) | 80,000 | 76,720 | |
| 4.875% 2/15/30 (b) | 300,000 | 312,660 | |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1,800,000 | 1,850,620 | |
| Bellis Finco PLC 4% 2/16/27 (b) | GBP | 9,000,000 | 12,748,083 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) | 2,000,000 | 1,909,400 | |
| Co-Operative Group Ltd. 5.125% 5/17/24 (Reg. S) | GBP | 725,000 | 1,100,498 |
| Kroger Co. 2.65% 10/15/26 | 430,000 | 457,168 | |
| U.S. Foods, Inc. 6.25% 4/15/25 (b) | 185,000 | 196,015 | |
| Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,654,497 | |
| 21,305,661 | |||
| Food Products - 0.2% | |||
| Darling Ingredients, Inc. 5.25% 4/15/27 (b) | 300,000 | 313,500 | |
| Hormel Foods Corp. 0.65% 6/3/24 | 895,000 | 895,425 | |
| JBS U.S.A. Lux SA / JBS Food Co.: | |||
| 5.5% 1/15/30 (b) | 15,375,000 | 16,912,654 | |
| 6.5% 4/15/29 (b) | 19,275,000 | 21,612,094 | |
| Kraft Heinz Foods Co.: | |||
| 3.75% 4/1/30 | 653,000 | 698,611 | |
| 3.875% 5/15/27 | 235,000 | 257,239 | |
| 4.25% 3/1/31 | 7,220,000 | 8,028,258 | |
| 4.375% 6/1/46 | 7,290,000 | 7,817,416 | |
| 5% 7/15/35 | 920,000 | 1,086,202 | |
| 5.2% 7/15/45 | 4,602,000 | 5,434,248 | |
| 7.125% 8/1/39 (b) | 9,093,000 | 12,848,970 | |
| Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 345,000 | 379,069 | |
| Pilgrim's Pride Corp.: | |||
| 4.25% 4/15/31 (b) | 4,075,000 | 4,121,048 | |
| 5.875% 9/30/27 (b) | 500,000 | 531,875 | |
| Post Holdings, Inc.: | |||
| 4.625% 4/15/30 (b) | 2,880,000 | 2,896,445 | |
| 5.5% 12/15/29 (b) | 270,000 | 288,380 | |
| The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 338,756 | |
| TreeHouse Foods, Inc. 4% 9/1/28 | 505,000 | 502,177 | |
| Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,826,436 | |
| 87,788,803 | |||
| Household Products - 0.0% | |||
| Central Garden & Pet Co. 4.125% 4/30/31 (b) | 1,325,000 | 1,330,009 | |
| Diamond BC BV 5.625% 8/15/25 (Reg. S) | EUR | 500,000 | 622,535 |
| Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (b) | 2,500,000 | 2,431,225 | |
| 4,383,769 | |||
| Tobacco - 0.1% | |||
| Altria Group, Inc.: | |||
| 3.4% 2/4/41 | 5,700,000 | 5,231,201 | |
| 4.25% 8/9/42 | 365,000 | 372,783 | |
| BAT Capital Corp.: | |||
| 3.215% 9/6/26 | 740,000 | 785,236 | |
| 3.557% 8/15/27 | 2,140,000 | 2,273,336 | |
| 4.39% 8/15/37 | 1,000,000 | 1,037,699 | |
| 4.54% 8/15/47 | 9,635,000 | 9,641,868 | |
| 4.7% 4/2/27 | 325,000 | 366,000 | |
| BAT International Finance PLC 3.95% 6/15/25 (b) | 6,600,000 | 7,276,888 | |
| Imperial Tobacco Finance PLC: | |||
| 3.125% 7/26/24 (b) | 4,250,000 | 4,483,344 | |
| 4.25% 7/21/25 (b) | 1,500,000 | 1,654,085 | |
| Philip Morris International, Inc.: | |||
| 1.125% 5/1/23 | 955,000 | 970,952 | |
| 3.875% 8/21/42 | 530,000 | 562,833 | |
| Reynolds American, Inc. 5.7% 8/15/35 | 635,000 | 750,038 | |
| 35,406,263 | |||
| TOTAL CONSUMER STAPLES | 294,626,669 | ||
| ENERGY - 1.3% | |||
| Energy Equipment & Services - 0.0% | |||
| Baker Hughes Co. 4.08% 12/15/47 | 145,000 | 156,777 | |
| Halliburton Co.: | |||
| 4.75% 8/1/43 | 245,000 | 274,560 | |
| 6.7% 9/15/38 | 170,000 | 226,090 | |
| Precision Drilling Corp. 7.125% 1/15/26 (b) | 115,000 | 116,359 | |
| Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b) | 134,750 | 136,434 | |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 120,000 | 116,700 | |
| Transocean Proteus Ltd. 6.25% 12/1/24 (b) | 2,400,000 | 2,376,000 | |
| Transocean, Inc. 11.5% 1/30/27 (b) | 140,000 | 139,125 | |
| U.S.A. Compression Partners LP 6.875% 9/1/27 | 2,575,000 | 2,702,978 | |
| 6,245,023 | |||
| Oil, Gas & Consumable Fuels - 1.3% | |||
| Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | 125,000 | 133,906 | |
| Aker BP ASA 2.875% 1/15/26 (b) | 7,120,000 | 7,440,671 | |
| Antero Resources Corp. 8.375% 7/15/26 (b) | 1,698,000 | 1,913,468 | |
| Apache Corp.: | |||
| 4.75% 4/15/43 | 335,000 | 331,298 | |
| 4.875% 11/15/27 | 260,000 | 273,000 | |
| 5.25% 2/1/42 | 210,000 | 217,959 | |
| Cenovus Energy, Inc.: | |||
| 5.25% 6/15/37 | 3,195,000 | 3,659,852 | |
| 5.4% 6/15/47 | 385,000 | 451,940 | |
| Cheniere Energy Partners LP 4% 3/1/31 (b) | 220,000 | 227,084 | |
| Chesapeake Energy Corp.: | |||
| 5.5% 2/1/26 (b) | 330,000 | 348,150 | |
| 5.875% 2/1/29 (b) | 105,000 | 113,212 | |
| Chevron Corp. 2.355% 12/5/22 | 840,000 | 862,554 | |
| Chevron U.S.A., Inc.: | |||
| 5.25% 11/15/43 | 295,000 | 390,698 | |
| 6% 3/1/41 | 360,000 | 515,783 | |
| CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 1,615,000 | 1,637,004 | |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,599,488 | |
| Comstock Resources, Inc. 6.75% 3/1/29 (b) | 130,000 | 135,876 | |
| ConocoPhillips Co.: | |||
| 2.4% 2/15/31 (b) | 410,000 | 411,840 | |
| 3.75% 10/1/27 (b) | 915,000 | 1,028,774 | |
| 4.3% 8/15/28 (b) | 2,915,000 | 3,347,760 | |
| 6.95% 4/15/29 | 425,000 | 571,350 | |
| Continental Resources, Inc. 5.75% 1/15/31 (b) | 770,000 | 903,618 | |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 1,657,000 | 1,697,928 | |
| CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b) | 40,000 | 41,143 | |
| CVR Energy, Inc.: | |||
| 5.25% 2/15/25 (b) | 330,000 | 330,000 | |
| 5.75% 2/15/28 (b) | 40,000 | 40,100 | |
| DCP Midstream Operating LP: | |||
| 3.875% 3/15/23 | 17,626,000 | 18,295,788 | |
| 4.75% 9/30/21 (b) | 2,017,000 | 2,022,043 | |
| 5.125% 5/15/29 | 355,000 | 382,655 | |
| 5.375% 7/15/25 | 345,000 | 377,913 | |
| 5.6% 4/1/44 | 3,773,000 | 3,943,615 | |
| 5.625% 7/15/27 | 260,000 | 286,000 | |
| 5.85% 5/21/43 (b)(d) | 7,892,000 | 7,221,180 | |
| Devon Energy Corp. 5.6% 7/15/41 | 175,000 | 210,957 | |
| Diamondback Energy, Inc.: | |||
| 3.125% 3/24/31 | 4,710,000 | 4,818,171 | |
| 3.25% 12/1/26 | 4,500,000 | 4,843,531 | |
| 3.5% 12/1/29 | 925,000 | 980,411 | |
| Ecopetrol SA: | |||
| 4.125% 1/16/25 | 300,000 | 313,875 | |
| 5.375% 6/26/26 | 1,340,000 | 1,471,025 | |
| 6.875% 4/29/30 | 200,000 | 236,250 | |
| EG Global Finance PLC: | |||
| 4.375% 2/7/25 (Reg. S) | EUR | 4,800,000 | 5,714,050 |
| 6.25% 10/30/25 (Reg. S) | EUR | 4,800,000 | 5,941,160 |
| 6.75% 2/7/25 (b) | 220,000 | 224,774 | |
| 8.5% 10/30/25 (b) | 380,000 | 400,900 | |
| Enable Midstream Partners LP 3.9% 5/15/24 (d) | 1,210,000 | 1,294,712 | |
| Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,046,884 | |
| Enbridge, Inc.: | |||
| 4% 10/1/23 | 3,799,000 | 4,063,953 | |
| 4.25% 12/1/26 | 1,943,000 | 2,188,275 | |
| Endeavor Energy Resources LP/EER Finance, Inc.: | |||
| 5.5% 1/30/26 (b) | 20,000 | 20,650 | |
| 5.75% 1/30/28 (b) | 180,000 | 190,364 | |
| 6.625% 7/15/25 (b) | 45,000 | 47,707 | |
| Energean Israel Finance Ltd.: | |||
| 4.875% 3/30/26 (Reg. S) (b) | 96,000 | 99,401 | |
| 5.375% 3/30/28 (Reg. S) (b) | 1,315,000 | 1,362,553 | |
| Energy Transfer LP: | |||
| 3.75% 5/15/30 | 2,964,000 | 3,154,865 | |
| 3.9% 7/15/26 | 1,005,000 | 1,098,780 | |
| 4.2% 9/15/23 | 1,452,000 | 1,556,009 | |
| 4.25% 3/15/23 | 1,373,000 | 1,445,563 | |
| 4.5% 4/15/24 | 1,723,000 | 1,888,013 | |
| 4.75% 1/15/26 | 250,000 | 280,367 | |
| 4.95% 6/15/28 | 4,954,000 | 5,670,671 | |
| 5% 5/15/50 | 10,300,000 | 11,376,045 | |
| 5.15% 3/15/45 | 6,260,000 | 6,869,216 | |
| 5.25% 4/15/29 | 2,803,000 | 3,265,230 | |
| 5.3% 4/15/47 | 25,000 | 27,873 | |
| 5.35% 5/15/45 | 1,000,000 | 1,121,164 | |
| 5.4% 10/1/47 | 7,051,000 | 8,001,281 | |
| 5.8% 6/15/38 | 2,762,000 | 3,290,108 | |
| 6% 6/15/48 | 1,799,000 | 2,176,991 | |
| 6.25% 4/15/49 | 1,925,000 | 2,402,554 | |
| 6.625% 10/15/36 | 900,000 | 1,174,045 | |
| EnLink Midstream LLC 5.625% 1/15/28 (b) | 220,000 | 229,009 | |
| Enterprise Products Operating LP: | |||
| 3.125% 7/31/29 | 825,000 | 877,863 | |
| 3.2% 2/15/52 | 275,000 | 258,434 | |
| 3.7% 1/31/51 | 65,000 | 65,243 | |
| 4.85% 3/15/44 | 2,725,000 | 3,227,524 | |
| EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 226,808 | |
| EQM Midstream Partners LP: | |||
| 6.5% 7/1/27 (b) | 125,000 | 137,394 | |
| 6.5% 7/15/48 | 220,000 | 233,574 | |
| EQT Corp.: | |||
| 3.9% 10/1/27 | 180,000 | 192,222 | |
| 5% 1/15/29 | 70,000 | 77,699 | |
| Equinor ASA 3.7% 4/6/50 | 920,000 | 1,008,507 | |
| Exxon Mobil Corp.: | |||
| 2.397% 3/6/22 | 1,575,000 | 1,595,781 | |
| 3.452% 4/15/51 | 4,000,000 | 4,146,563 | |
| 4.114% 3/1/46 | 705,000 | 800,257 | |
| Galaxy Pipeline Assets BidCo Ltd. 2.16% 3/31/34 (b) | 565,000 | 557,938 | |
| Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) | 3,640,000 | 4,326,306 | |
| Hess Corp.: | |||
| 4.3% 4/1/27 | 1,117,000 | 1,243,391 | |
| 5.6% 2/15/41 | 2,846,000 | 3,429,424 | |
| 5.8% 4/1/47 | 4,517,000 | 5,652,040 | |
| 7.125% 3/15/33 | 1,335,000 | 1,783,228 | |
| 7.3% 8/15/31 | 1,849,000 | 2,459,270 | |
| 7.875% 10/1/29 | 5,583,000 | 7,522,108 | |
| Hess Midstream Partners LP: | |||
| 5.125% 6/15/28 (b) | 110,000 | 115,412 | |
| 5.625% 2/15/26 (b) | 669,000 | 693,526 | |
| Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 375,000 | 384,375 | |
| KazMunaiGaz National Co.: | |||
| 3.5% 4/14/33 (b) | 1,420,000 | 1,473,516 | |
| 3.5% 4/14/33 (Reg. S) | 200,000 | 207,538 | |
| 5.75% 4/19/47 (Reg. S) | 400,000 | 491,875 | |
| Kinder Morgan Energy Partners LP: | |||
| 4.15% 3/1/22 | 885,000 | 910,405 | |
| 4.15% 2/1/24 | 425,000 | 460,648 | |
| 5% 10/1/21 | 1,212,000 | 1,216,646 | |
| 5.8% 3/15/35 | 1,200,000 | 1,511,174 | |
| Kinder Morgan, Inc. 3.25% 8/1/50 | 190,000 | 174,397 | |
| Magellan Midstream Partners LP: | |||
| 3.25% 6/1/30 | 225,000 | 239,765 | |
| 3.95% 3/1/50 | 1,210,000 | 1,249,167 | |
| 4.2% 10/3/47 | 695,000 | 738,988 | |
| 4.25% 9/15/46 | 65,000 | 70,039 | |
| Marathon Petroleum Corp. 3.8% 4/1/28 | 5,590,000 | 6,163,921 | |
| MEG Energy Corp.: | |||
| 5.875% 2/1/29 (b) | 300,000 | 312,000 | |
| 7.125% 2/1/27 (b) | 220,000 | 235,950 | |
| MPLX LP: | |||
| 3 month U.S. LIBOR + 1.100% 1.2854% 9/9/22 (d)(f) | 3,115,000 | 3,116,900 | |
| 4.125% 3/1/27 | 505,000 | 565,791 | |
| 4.5% 7/15/23 | 160,000 | 171,470 | |
| 4.5% 4/15/38 | 900,000 | 997,269 | |
| 4.7% 4/15/48 | 1,450,000 | 1,617,135 | |
| 4.8% 2/15/29 | 2,810,000 | 3,257,400 | |
| 4.875% 12/1/24 | 2,489,000 | 2,807,906 | |
| 5.2% 3/1/47 | 3,275,000 | 3,855,804 | |
| 5.5% 2/15/49 | 4,516,000 | 5,577,825 | |
| Occidental Petroleum Corp.: | |||
| 2.9% 8/15/24 | 6,201,000 | 6,185,498 | |
| 3.2% 8/15/26 | 805,000 | 775,819 | |
| 3.4% 4/15/26 | 130,000 | 126,750 | |
| 3.5% 8/15/29 | 2,729,000 | 2,558,438 | |
| 4.1% 2/15/47 | 265,000 | 212,663 | |
| 4.2% 3/15/48 | 125,000 | 102,658 | |
| 4.3% 8/15/39 | 439,000 | 375,345 | |
| 4.4% 4/15/46 | 200,000 | 171,764 | |
| 4.4% 8/15/49 | 1,809,000 | 1,519,560 | |
| 5.55% 3/15/26 | 6,488,000 | 6,925,940 | |
| 6.2% 3/15/40 | 65,000 | 68,575 | |
| 6.45% 9/15/36 | 4,545,000 | 5,119,579 | |
| 6.6% 3/15/46 | 6,475,000 | 7,082,290 | |
| 7.5% 5/1/31 | 8,596,000 | 10,224,168 | |
| 7.875% 9/15/31 | 40,000 | 48,622 | |
| 8.875% 7/15/30 | 145,000 | 185,876 | |
| ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 523,886 | |
| ONEOK, Inc.: | |||
| 3.1% 3/15/30 | 1,850,000 | 1,900,373 | |
| 4.45% 9/1/49 | 8,455,000 | 8,964,881 | |
| 4.95% 7/13/47 | 365,000 | 409,399 | |
| Ovintiv Exploration, Inc. 5.375% 1/1/26 | 310,000 | 349,151 | |
| Ovintiv, Inc.: | |||
| 5.15% 11/15/41 | 3,000,000 | 3,198,311 | |
| 8.125% 9/15/30 | 6,179,000 | 8,410,613 | |
| Parsley Energy LLC/Parsley Finance Corp. 5.625% 10/15/27 (b) | 1,920,000 | 2,071,008 | |
| PBF Holding Co. LLC/PBF Finance Corp.: | |||
| 6% 2/15/28 | 190,000 | 140,125 | |
| 9.25% 5/15/25 (b) | 475,000 | 486,875 | |
| Petrobras Global Finance BV: | |||
| 5.093% 1/15/30 | 1,080,000 | 1,156,680 | |
| 5.6% 1/3/31 | 3,234,000 | 3,565,485 | |
| 7.375% 1/17/27 | 1,160,000 | 1,419,550 | |
| Petroleos Mexicanos: | |||
| 3.75% 2/21/24 (Reg. S) | EUR | 2,300,000 | 2,870,997 |
| 4.75% 2/26/29 (Reg. S) | EUR | 1,100,000 | 1,330,748 |
| 6.5% 3/13/27 | 35,040,000 | 37,412,558 | |
| 6.5% 1/23/29 | 1,190,000 | 1,216,478 | |
| 6.75% 9/21/47 | 11,150,000 | 9,853,255 | |
| 6.84% 1/23/30 | 10,852,000 | 11,219,774 | |
| 7.69% 1/23/50 | 85,755,000 | 82,582,065 | |
| Petronas Capital Ltd.: | |||
| 2.48% 1/28/32 (b) | 200,000 | 198,552 | |
| 3.5% 4/21/30 (b) | 800,000 | 870,888 | |
| Phillips 66 Co. 2.15% 12/15/30 | 300,000 | 289,515 | |
| Phillips 66 Partners LP: | |||
| 3.75% 3/1/28 | 495,000 | 537,795 | |
| 4.9% 10/1/46 | 525,000 | 599,932 | |
| Pioneer Natural Resources Co.: | |||
| 0.75% 1/15/24 | 95,000 | 95,110 | |
| 1.9% 8/15/30 | 1,470,000 | 1,383,736 | |
| 2.15% 1/15/31 | 325,000 | 312,219 | |
| Plains All American Pipeline LP/PAA Finance Corp.: | |||
| 3.55% 12/15/29 | 2,689,000 | 2,790,779 | |
| 3.6% 11/1/24 | 1,877,000 | 2,019,089 | |
| 3.65% 6/1/22 | 10,550,000 | 10,784,775 | |
| 3.8% 9/15/30 | 260,000 | 273,565 | |
| 4.5% 12/15/26 | 2,100,000 | 2,352,993 | |
| 5.15% 6/1/42 | 4,285,000 | 4,567,461 | |
| PT Pertamina Persero 3.1% 8/27/30 (b) | 600,000 | 610,754 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,371,327 | |
| Rockies Express Pipeline LLC: | |||
| 4.8% 5/15/30 (b) | 1,331,000 | 1,327,673 | |
| 4.95% 7/15/29 (b) | 2,375,000 | 2,436,798 | |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 9,948,000 | 11,276,506 | |
| Santos Finance Ltd. 3.649% 4/29/31 (b) | 4,800,000 | 4,809,892 | |
| Saudi Arabian Oil Co.: | |||
| 2.25% 11/24/30 (b) | 600,000 | 586,050 | |
| 4.25% 4/16/39 (Reg. S) | 400,000 | 440,450 | |
| Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 225,031 | |
| Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,599,367 | |
| SM Energy Co. 6.625% 1/15/27 | 300,000 | 300,678 | |
| Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,616,046 | |
| Suncor Energy, Inc.: | |||
| 3.75% 3/4/51 | 3,940,000 | 4,067,272 | |
| 6.8% 5/15/38 | 350,000 | 490,425 | |
| Sunoco LP/Sunoco Finance Corp.: | |||
| 4.5% 5/15/29 (b) | 255,000 | 253,353 | |
| 5.5% 2/15/26 | 560,000 | 577,024 | |
| 5.875% 3/15/28 | 55,000 | 57,750 | |
| 6% 4/15/27 | 5,000 | 5,225 | |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 12/31/30 (b) | 2,450,000 | 2,499,000 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
| 4.875% 2/1/31 (b) | 290,000 | 303,050 | |
| 5.5% 3/1/30 | 55,000 | 59,422 | |
| 5.875% 4/15/26 | 400,000 | 419,000 | |
| The Williams Companies, Inc.: | |||
| 3.5% 11/15/30 | 10,592,000 | 11,351,337 | |
| 3.6% 3/15/22 | 660,000 | 673,365 | |
| 3.7% 1/15/23 | 2,512,000 | 2,617,539 | |
| 3.75% 6/15/27 | 1,635,000 | 1,813,476 | |
| 4.85% 3/1/48 | 100,000 | 115,533 | |
| 4.9% 1/15/45 | 470,000 | 536,204 | |
| 6.3% 4/15/40 | 800,000 | 1,055,991 | |
| Total Capital International SA: | |||
| 2.7% 1/25/23 | 1,375,000 | 1,430,315 | |
| 2.829% 1/10/30 | 800,000 | 845,441 | |
| Transcontinental Gas Pipe Line Co. LLC: | |||
| 3.25% 5/15/30 | 1,410,000 | 1,497,333 | |
| 4.6% 3/15/48 | 350,000 | 408,282 | |
| TransMontaigne Partners LP 6.125% 2/15/26 | 233,000 | 235,330 | |
| Valero Energy Corp. 4% 4/1/29 | 820,000 | 897,842 | |
| Western Gas Partners LP: | |||
| 3.95% 6/1/25 | 1,176,000 | 1,220,100 | |
| 4.35% 2/1/25 | 195,000 | 203,288 | |
| 4.65% 7/1/26 | 2,406,000 | 2,565,470 | |
| 4.75% 8/15/28 | 1,465,000 | 1,569,469 | |
| 5.3% 2/1/30 | 335,000 | 369,338 | |
| 549,669,365 | |||
| TOTAL ENERGY | 555,914,388 | ||
| FINANCIALS - 4.2% | |||
| Banks - 2.1% | |||
| Banco Santander SA 3.49% 5/28/30 | 800,000 | 855,561 | |
| Bank of America Corp.: | |||
| 1.658% 3/11/27 (d) | 4,485,000 | 4,548,421 | |
| 1.734% 7/22/27 (d) | 5,180,000 | 5,245,050 | |
| 2.496% 2/13/31 (d) | 1,050,000 | 1,056,549 | |
| 2.592% 4/29/31 (d) | 1,875,000 | 1,908,651 | |
| 2.651% 3/11/32 (d) | 16,000,000 | 16,144,491 | |
| 2.687% 4/22/32 (d) | 1,765,000 | 1,789,585 | |
| 3.004% 12/20/23 (d) | 10,921,000 | 11,363,383 | |
| 3.093% 10/1/25 (d) | 2,300,000 | 2,466,758 | |
| 3.3% 1/11/23 | 3,572,000 | 3,745,879 | |
| 3.419% 12/20/28 (d) | 8,640,000 | 9,439,379 | |
| 3.5% 4/19/26 | 5,358,000 | 5,942,556 | |
| 3.95% 4/21/25 | 12,493,000 | 13,791,170 | |
| 3.97% 3/5/29 (d) | 10,565,000 | 11,815,082 | |
| 4% 1/22/25 | 43,905,000 | 48,435,033 | |
| 4.078% 4/23/40 (d) | 7,865,000 | 8,972,869 | |
| 4.1% 7/24/23 | 13,989,000 | 15,110,798 | |
| 4.2% 8/26/24 | 2,028,000 | 2,242,139 | |
| 4.25% 10/22/26 | 10,727,000 | 12,218,913 | |
| 4.271% 7/23/29 (d) | 3,660,000 | 4,174,410 | |
| 4.45% 3/3/26 | 2,065,000 | 2,354,764 | |
| Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.9183% 7/20/22 (b)(d)(f) | 8,041,000 | 8,103,062 | |
| Barclays PLC: | |||
| 2.645% 6/24/31 (d) | 1,365,000 | 1,358,645 | |
| 2.667% 3/10/32 (d) | 9,650,000 | 9,563,735 | |
| 2.852% 5/7/26 (d) | 10,143,000 | 10,748,466 | |
| 4.337% 1/10/28 | 250,000 | 280,004 | |
| 4.836% 5/9/28 | 6,667,000 | 7,479,242 | |
| 4.95% 1/10/47 | 1,655,000 | 2,034,882 | |
| 4.972% 5/16/29 (d) | 15,000,000 | 17,414,323 | |
| 5.088% 6/20/30 (d) | 13,438,000 | 15,480,804 | |
| 5.2% 5/12/26 | 1,701,000 | 1,943,835 | |
| BNP Paribas SA: | |||
| U.S. Secured Overnight Finl Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (b)(d)(f) | 9,875,000 | 9,773,413 | |
| 2.219% 6/9/26 (b)(d) | 9,163,000 | 9,478,070 | |
| CIT Group, Inc.: | |||
| 3.929% 6/19/24 (d) | 1,375,000 | 1,456,469 | |
| 4.75% 2/16/24 | 2,480,000 | 2,698,550 | |
| 5% 8/1/23 | 7,000,000 | 7,603,750 | |
| 6.125% 3/9/28 | 4,840,000 | 5,856,400 | |
| Citigroup, Inc.: | |||
| 1.122% 1/28/27 (d) | 4,110,000 | 4,064,162 | |
| 2.561% 5/1/32 (d) | 1,870,000 | 1,874,463 | |
| 2.572% 6/3/31 (d) | 2,100,000 | 2,124,282 | |
| 2.666% 1/29/31 (d) | 11,265,000 | 11,471,301 | |
| 4.075% 4/23/29 (d) | 26,130,000 | 29,449,563 | |
| 4.3% 11/20/26 | 2,129,000 | 2,413,331 | |
| 4.4% 6/10/25 | 17,376,000 | 19,488,151 | |
| 4.412% 3/31/31 (d) | 13,726,000 | 15,783,242 | |
| 4.45% 9/29/27 | 4,630,000 | 5,299,340 | |
| 4.6% 3/9/26 | 3,500,000 | 4,015,642 | |
| 4.65% 7/30/45 | 700,000 | 864,594 | |
| 4.75% 5/18/46 | 10,000,000 | 12,197,170 | |
| 5.5% 9/13/25 | 8,267,000 | 9,722,036 | |
| Citizens Financial Group, Inc. 2.638% 9/30/32 (b) | 9,574,000 | 9,472,147 | |
| Commonwealth Bank of Australia 3.61% 9/12/34 (b)(d) | 3,419,000 | 3,571,957 | |
| HSBC Holdings PLC: | |||
| 0.976% 5/24/25 (d) | 2,530,000 | 2,540,656 | |
| 1.589% 5/24/27 (d) | 860,000 | 863,172 | |
| 2.013% 9/22/28 (d) | 6,340,000 | 6,346,722 | |
| 2.633% 11/7/25 (d) | 3,000,000 | 3,165,621 | |
| 4.041% 3/13/28 (d) | 3,380,000 | 3,757,420 | |
| 4.25% 3/14/24 | 1,872,000 | 2,043,881 | |
| 4.95% 3/31/30 | 1,855,000 | 2,198,188 | |
| ING Groep NV 1.726% 4/1/27 (d) | 5,935,000 | 6,009,722 | |
| Intesa Sanpaolo SpA: | |||
| 5.017% 6/26/24 (b) | 31,005,000 | 33,809,463 | |
| 5.71% 1/15/26 (b) | 7,646,000 | 8,651,433 | |
| Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 424,883 | |
| JPMorgan Chase & Co.: | |||
| 1.578% 4/22/27 (d) | 1,090,000 | 1,098,275 | |
| 1.764% 11/19/31 (d) | 4,860,000 | 4,593,041 | |
| 2.005% 3/13/26 (d) | 7,285,000 | 7,553,169 | |
| 2.522% 4/22/31 (d) | 875,000 | 887,307 | |
| 2.525% 11/19/41 (d) | 19,325,000 | 17,651,710 | |
| 2.58% 4/22/32 (d) | 3,650,000 | 3,677,700 | |
| 2.776% 4/25/23 (d) | 2,000,000 | 2,044,623 | |
| 2.956% 5/13/31 (d) | 5,386,000 | 5,588,882 | |
| 3.509% 1/23/29 (d) | 3,150,000 | 3,451,556 | |
| 3.875% 9/10/24 | 250,000 | 273,979 | |
| 3.882% 7/24/38 (d) | 4,990,000 | 5,609,070 | |
| 3.964% 11/15/48 (d) | 1,270,000 | 1,429,471 | |
| 4.125% 12/15/26 | 4,475,000 | 5,077,882 | |
| Lloyds Banking Group PLC: | |||
| 1.627% 5/11/27 (d) | 2,000,000 | 2,007,630 | |
| 3.87% 7/9/25 (d) | 5,375,000 | 5,857,054 | |
| 4.375% 3/22/28 | 1,365,000 | 1,561,189 | |
| NatWest Markets PLC 2.375% 5/21/23 (b) | 10,828,000 | 11,241,976 | |
| Peoples United Bank 4% 7/15/24 | 40,000 | 43,291 | |
| PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,864,970 | |
| PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 409,792 | |
| Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,605,466 | |
| Royal Bank of Scotland Group PLC: | |||
| 3.073% 5/22/28 (d) | 5,799,000 | 6,111,148 | |
| 4.269% 3/22/25 (d) | 1,735,000 | 1,893,115 | |
| 4.8% 4/5/26 | 15,438,000 | 17,752,187 | |
| 5.125% 5/28/24 | 25,198,000 | 28,205,894 | |
| 6% 12/19/23 | 40,605,000 | 45,748,449 | |
| 6.1% 6/10/23 | 35,526,000 | 39,200,020 | |
| 6.125% 12/15/22 | 5,889,000 | 6,367,122 | |
| Santander UK Group Holdings PLC: | |||
| 1.089% 3/15/25 (d) | 4,935,000 | 4,968,629 | |
| 4.796% 11/15/24 (d) | 2,850,000 | 3,133,581 | |
| Societe Generale: | |||
| 1.488% 12/14/26 (b)(d) | 9,875,000 | 9,821,734 | |
| 4.25% 4/14/25 (b) | 21,901,000 | 23,895,232 | |
| Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 268,735 | |
| Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,615,059 | |
| Truist Financial Corp. 2.7% 1/27/22 | 540,000 | 547,799 | |
| UniCredit SpA: | |||
| 3.127% 6/3/32 (b)(d) | 2,515,000 | 2,507,463 | |
| 6.572% 1/14/22 (b) | 7,600,000 | 7,872,181 | |
| Wells Fargo & Co.: | |||
| 2.164% 2/11/26 (d) | 8,250,000 | 8,601,547 | |
| 2.188% 4/30/26 (d) | 4,250,000 | 4,431,445 | |
| 2.406% 10/30/25 (d) | 5,834,000 | 6,135,604 | |
| 2.572% 2/11/31 (d) | 585,000 | 598,146 | |
| 2.879% 10/30/30 (d) | 9,265,000 | 9,705,774 | |
| 3% 2/19/25 | 7,625,000 | 8,203,058 | |
| 4.125% 8/15/23 | 280,000 | 302,463 | |
| 4.3% 7/22/27 | 21,880,000 | 25,014,750 | |
| 4.478% 4/4/31 (d) | 24,095,000 | 28,057,840 | |
| 4.65% 11/4/44 | 1,385,000 | 1,640,904 | |
| 5.013% 4/4/51 (d) | 2,285,000 | 3,015,067 | |
| Westpac Banking Corp. 4.11% 7/24/34 (d) | 4,937,000 | 5,363,853 | |
| 892,024,465 | |||
| Capital Markets - 1.1% | |||
| Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 2,019,086 | |
| Ares Capital Corp.: | |||
| 3.875% 1/15/26 | 13,816,000 | 14,794,851 | |
| 4.2% 6/10/24 | 12,032,000 | 12,961,751 | |
| Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 812,489 | |
| Credit Suisse Group AG: | |||
| 1.305% 2/2/27 (b)(d) | 4,310,000 | 4,220,122 | |
| 2.193% 6/5/26 (b)(d) | 2,505,000 | 2,569,960 | |
| 2.593% 9/11/25 (b)(d) | 15,060,000 | 15,742,293 | |
| 3.091% 5/14/32 (b)(d) | 12,305,000 | 12,487,281 | |
| 3.75% 3/26/25 | 15,667,000 | 17,021,637 | |
| 4.194% 4/1/31 (b)(d) | 12,540,000 | 13,946,698 | |
| 4.55% 4/17/26 | 6,559,000 | 7,435,769 | |
| CyrusOne LP/CyrusOne Finance Corp.: | |||
| 2.15% 11/1/30 | 1,000,000 | 939,956 | |
| 2.9% 11/15/24 | 4,000,000 | 4,236,800 | |
| Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 15,188,782 | |
| Deutsche Bank AG New York Branch: | |||
| 3.3% 11/16/22 | 10,180,000 | 10,572,518 | |
| 5% 2/14/22 | 14,609,000 | 15,070,184 | |
| Goldman Sachs Group, Inc.: | |||
| 1.431% 3/9/27 (d) | 13,255,000 | 13,268,202 | |
| 1.992% 1/27/32 (d) | 1,680,000 | 1,603,743 | |
| 2.876% 10/31/22 (d) | 12,744,000 | 12,876,939 | |
| 3.814% 4/23/29 (d) | 7,695,000 | 8,527,546 | |
| 4.017% 10/31/38 (d) | 6,495,000 | 7,335,938 | |
| 4.223% 5/1/29 (d) | 2,775,000 | 3,149,465 | |
| 6.75% 10/1/37 | 50,999,000 | 72,736,183 | |
| Intercontinental Exchange, Inc. 3.75% 12/1/25 | 3,162,000 | 3,514,790 | |
| Jefferies Group, Inc. 2.75% 10/15/32 | 1,655,000 | 1,631,362 | |
| Macquarie Group Ltd. 1.34% 1/12/27 (b)(d) | 4,111,000 | 4,072,153 | |
| Morgan Stanley: | |||
| 3 month U.S. LIBOR + 0.930% 1.1138% 7/22/22 (d)(f) | 3,691,000 | 3,695,533 | |
| 0.529% 1/25/24 (d) | 15,755,000 | 15,788,817 | |
| 1.593% 5/4/27 (d) | 3,720,000 | 3,754,159 | |
| 1.794% 2/13/32 (d) | 3,990,000 | 3,760,695 | |
| 2.699% 1/22/31 (d) | 21,825,000 | 22,523,255 | |
| 3.125% 7/27/26 | 37,616,000 | 40,952,259 | |
| 3.217% 4/22/42 (d) | 605,000 | 615,772 | |
| 3.622% 4/1/31 (d) | 13,084,000 | 14,407,949 | |
| 3.7% 10/23/24 | 21,259,000 | 23,337,537 | |
| 3.772% 1/24/29 (d) | 4,085,000 | 4,542,171 | |
| 3.875% 1/27/26 | 625,000 | 700,019 | |
| 4% 7/23/25 | 1,190,000 | 1,330,481 | |
| 4.35% 9/8/26 | 2,070,000 | 2,358,879 | |
| 4.431% 1/23/30 (d) | 2,150,000 | 2,496,561 | |
| 5% 11/24/25 | 40,891,000 | 47,432,265 | |
| Nomura Holdings, Inc. 2.648% 1/16/25 | 675,000 | 708,240 | |
| Raymond James Financial, Inc. 4.95% 7/15/46 | 815,000 | 1,027,484 | |
| State Street Corp.: | |||
| 2.2% 3/3/31 | 12,290,000 | 12,144,920 | |
| 2.825% 3/30/23 (d) | 887,000 | 906,017 | |
| 2.901% 3/30/26 (d) | 833,000 | 893,427 | |
| 482,112,938 | |||
| Consumer Finance - 0.6% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 2.875% 8/14/24 | 7,954,000 | 8,320,316 | |
| 3.15% 2/15/24 | 1,065,000 | 1,117,507 | |
| 3.5% 5/26/22 | 393,000 | 403,207 | |
| 4.125% 7/3/23 | 5,132,000 | 5,441,011 | |
| 4.45% 4/3/26 | 4,282,000 | 4,701,670 | |
| 4.875% 1/16/24 | 11,491,000 | 12,537,524 | |
| 6.5% 7/15/25 | 4,320,000 | 5,060,848 | |
| Ally Financial, Inc.: | |||
| 1.45% 10/2/23 | 2,261,000 | 2,296,787 | |
| 3.05% 6/5/23 | 11,748,000 | 12,284,061 | |
| 3.875% 5/21/24 | 6,322,000 | 6,852,605 | |
| 5.125% 9/30/24 | 2,688,000 | 3,042,048 | |
| 5.75% 11/20/25 | 1,765,000 | 2,030,012 | |
| 5.8% 5/1/25 | 6,894,000 | 8,055,625 | |
| 8% 11/1/31 | 305,000 | 430,826 | |
| Capital One Financial Corp.: | |||
| 3.65% 5/11/27 | 15,820,000 | 17,590,090 | |
| 3.8% 1/31/28 | 7,795,000 | 8,735,947 | |
| Discover Financial Services: | |||
| 3.95% 11/6/24 | 8,102,000 | 8,890,963 | |
| 4.1% 2/9/27 | 645,000 | 724,043 | |
| 4.5% 1/30/26 | 6,463,000 | 7,330,355 | |
| Ford Motor Credit Co. LLC: | |||
| 2.9% 2/16/28 | 275,000 | 267,781 | |
| 3.339% 3/28/22 | 6,970,000 | 7,065,838 | |
| 4% 11/13/30 | 345,000 | 351,879 | |
| 4.063% 11/1/24 | 22,139,000 | 23,405,794 | |
| 4.125% 8/17/27 | 185,000 | 193,325 | |
| 4.271% 1/9/27 | 85,000 | 89,444 | |
| 4.687% 6/9/25 | 180,000 | 193,511 | |
| 5.113% 5/3/29 | 400,000 | 438,588 | |
| 5.125% 6/16/25 | 135,000 | 147,741 | |
| 5.584% 3/18/24 | 8,575,000 | 9,363,128 | |
| 5.596% 1/7/22 | 14,820,000 | 15,185,239 | |
| GE Capital International Funding Co.: | |||
| 3.373% 11/15/25 | 825,000 | 901,444 | |
| 4.418% 11/15/35 | 16,580,000 | 19,274,972 | |
| John Deere Capital Corp. 2.65% 6/24/24 | 615,000 | 655,970 | |
| Navient Corp. 7.25% 1/25/22 | 680,000 | 704,650 | |
| Onemain Finance Corp.: | |||
| 4% 9/15/30 | 500,000 | 483,850 | |
| 5.375% 11/15/29 | 1,679,000 | 1,786,036 | |
| 6.875% 3/15/25 | 1,165,000 | 1,316,450 | |
| Synchrony Financial: | |||
| 2.85% 7/25/22 | 2,029,000 | 2,077,850 | |
| 3.75% 8/15/21 | 2,016,000 | 2,018,482 | |
| 3.95% 12/1/27 | 8,719,000 | 9,632,932 | |
| 4.25% 8/15/24 | 6,050,000 | 6,629,342 | |
| 4.375% 3/19/24 | 7,165,000 | 7,852,993 | |
| 5.15% 3/19/29 | 13,451,000 | 15,616,654 | |
| 241,499,338 | |||
| Diversified Financial Services - 0.2% | |||
| Athene Global Funding U.S. Secured Overnight Finl Rate (SOFR) Indx + 0.700% 0.71% 5/24/24 (b)(d)(f) | 3,795,000 | 3,803,121 | |
| BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,684,456 | |
| Brixmor Operating Partnership LP: | |||
| 4.05% 7/1/30 | 12,288,000 | 13,528,796 | |
| 4.125% 6/15/26 | 5,706,000 | 6,378,989 | |
| 4.125% 5/15/29 | 6,724,000 | 7,438,345 | |
| Equitable Holdings, Inc. 3.9% 4/20/23 | 827,000 | 876,891 | |
| Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 2.3926% 5/31/25 (b)(d)(f) | 7,700,000 | 7,700,000 | |
| Hightower Holding LLC 6.75% 4/15/29 (b) | 45,000 | 45,680 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
| 5.25% 5/15/27 (b) | 140,000 | 143,500 | |
| 6.25% 5/15/26 | 914,000 | 966,208 | |
| 6.375% 12/15/25 | 205,000 | 211,406 | |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 12,700,000 | 13,959,589 | |
| Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 8,831,228 | |
| Pine Street Trust II 5.568% 2/15/49 (b) | 7,800,000 | 9,814,983 | |
| Power Finance Corp. Ltd. 6.15% 12/6/28 (b) | 3,050,000 | 3,592,717 | |
| Sasol Financing International PLC 4.5% 11/14/22 | 1,790,000 | 1,832,513 | |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 495,000 | 479,383 | |
| Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,675,629 | |
| 85,963,434 | |||
| Insurance - 0.2% | |||
| ACE INA Holdings, Inc.: | |||
| 2.7% 3/13/23 | 145,000 | 151,197 | |
| 3.15% 3/15/25 | 1,765,000 | 1,918,150 | |
| American International Group, Inc. 4.5% 7/16/44 | 2,510,000 | 2,922,466 | |
| Arch Capital Finance LLC 4.011% 12/15/26 | 1,920,000 | 2,171,206 | |
| Arthur J. Gallagher & Co. 2.5% 5/20/31 | 5,379,000 | 5,364,962 | |
| Baylor Scott & White Holdings: | |||
| Series 2021, 2.839% 11/15/50 | 120,000 | 115,174 | |
| 1.777% 11/15/30 | 870,000 | 837,490 | |
| CNA Financial Corp.: | |||
| 3.9% 5/1/29 | 1,400,000 | 1,554,696 | |
| 3.95% 5/15/24 | 1,400,000 | 1,524,884 | |
| Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | 955,000 | 966,559 | |
| Fairfax Financial Holdings Ltd. 3.375% 3/3/31 (b) | 4,595,000 | 4,681,984 | |
| Farmers Exchange Capital III 5.454% 10/15/54 (b)(d) | 3,335,000 | 4,103,056 | |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | 11,420,000 | 11,855,485 | |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 9,380,000 | 10,854,827 | |
| Lincoln National Corp.: | |||
| 3.05% 1/15/30 | 130,000 | 136,566 | |
| 4.35% 3/1/48 | 165,000 | 186,941 | |
| 6.3% 10/9/37 | 110,000 | 149,717 | |
| Markel Corp.: | |||
| 4.15% 9/17/50 | 1,105,000 | 1,240,785 | |
| 4.3% 11/1/47 | 525,000 | 596,880 | |
| Marsh & McLennan Companies, Inc. 3.5% 6/3/24 | 1,140,000 | 1,232,919 | |
| Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 2.4739% 12/15/24 (b)(d)(f) | 5,490,000 | 5,484,708 | |
| New York Life Insurance Co. 3.75% 5/15/50 (b) | 4,637,000 | 4,942,978 | |
| Pricoa Global Funding I 5.375% 5/15/45 (d) | 5,278,000 | 5,840,007 | |
| Prudential Financial, Inc. 4.5% 11/16/21 | 1,118,000 | 1,139,694 | |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) | 3,200,000 | 3,611,040 | |
| Teachers Insurance & Annuity Association of America: | |||
| 3.3% 5/15/50 (b) | 8,536,000 | 8,419,309 | |
| 4.375% 9/15/54 (b)(d) | 2,100,000 | 2,226,536 | |
| The Chubb Corp. 6% 5/11/37 | 130,000 | 183,147 | |
| Unum Group: | |||
| 4% 6/15/29 | 5,961,000 | 6,572,886 | |
| 4.5% 3/15/25 | 8,661,000 | 9,716,133 | |
| 5.75% 8/15/42 | 2,238,000 | 2,704,116 | |
| 103,406,498 | |||
| Thrifts & Mortgage Finance - 0.0% | |||
| Home Point Capital, Inc. 5% 2/1/26 (b) | 300,000 | 289,230 | |
| Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b) | 500,000 | 515,625 | |
| Nationwide Building Society: | |||
| 3.622% 4/26/23 (b)(d) | 3,265,000 | 3,359,906 | |
| 4.363% 8/1/24 (b)(d) | 1,250,000 | 1,346,711 | |
| Pennymac Financial Services, Inc. 4.25% 2/15/29 (b) | 1,200,000 | 1,164,000 | |
| Quicken Loans LLC 5.25% 1/15/28 (b) | 300,000 | 313,686 | |
| 6,989,158 | |||
| TOTAL FINANCIALS | 1,811,995,831 | ||
| HEALTH CARE - 0.9% | |||
| Biotechnology - 0.1% | |||
| AbbVie, Inc.: | |||
| 3.2% 11/21/29 | 1,250,000 | 1,340,751 | |
| 4.05% 11/21/39 | 16,995,000 | 19,013,827 | |
| 4.25% 11/21/49 | 1,880,000 | 2,165,166 | |
| 4.4% 11/6/42 | 3,405,000 | 3,948,330 | |
| 4.55% 3/15/35 | 400,000 | 476,244 | |
| 4.7% 5/14/45 | 4,100,000 | 4,934,812 | |
| 4.875% 11/14/48 | 585,000 | 729,127 | |
| Amgen, Inc.: | |||
| 2.6% 8/19/26 | 3,925,000 | 4,173,183 | |
| 4.4% 5/1/45 | 1,450,000 | 1,698,517 | |
| 4.663% 6/15/51 | 175,000 | 215,632 | |
| Gilead Sciences, Inc. 4.5% 2/1/45 | 565,000 | 661,604 | |
| Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50 | 505,000 | 440,826 | |
| 39,798,019 | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Abbott Laboratories 4.9% 11/30/46 | 305,000 | 401,404 | |
| Avantor Funding, Inc. 3.875% 7/15/28 (Reg. S) | EUR | 2,500,000 | 3,208,678 |
| Becton, Dickinson & Co.: | |||
| 3.7% 6/6/27 | 118,000 | 131,527 | |
| 3.734% 12/15/24 | 855,000 | 935,770 | |
| Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b) | 4,787,000 | 5,025,035 | |
| Hologic, Inc. 3.25% 2/15/29 (b) | 225,000 | 219,375 | |
| Stryker Corp.: | |||
| 3.375% 5/15/24 | 335,000 | 361,985 | |
| 3.375% 11/1/25 | 305,000 | 334,093 | |
| 3.5% 3/15/26 | 675,000 | 745,435 | |
| Teleflex, Inc.: | |||
| 4.25% 6/1/28 (b) | 60,000 | 61,875 | |
| 4.875% 6/1/26 | 1,000,000 | 1,024,380 | |
| 12,449,557 | |||
| Health Care Providers & Services - 0.4% | |||
| AHS Hospital Corp. 2.78% 7/1/51 | 315,000 | 298,619 | |
| AmerisourceBergen Corp. 2.7% 3/15/31 | 5,980,000 | 6,083,261 | |
| Anthem, Inc.: | |||
| 3.3% 1/15/23 | 3,395,000 | 3,554,507 | |
| 3.6% 3/15/51 | 3,750,000 | 3,934,489 | |
| 3.65% 12/1/27 | 2,965,000 | 3,304,376 | |
| 4.625% 5/15/42 | 700,000 | 833,316 | |
| Ascension Health: | |||
| 2.532% 11/15/29 | 295,000 | 305,791 | |
| 3.106% 11/15/39 | 610,000 | 633,679 | |
| 4.847% 11/15/53 | 150,000 | 202,452 | |
| BayCare Health System, Inc. 3.831% 11/15/50 | 2,320,000 | 2,653,503 | |
| Centene Corp.: | |||
| 3% 10/15/30 | 1,638,000 | 1,638,000 | |
| 3.375% 2/15/30 | 5,670,000 | 5,726,700 | |
| 4.25% 12/15/27 | 5,825,000 | 6,116,250 | |
| 4.625% 12/15/29 | 7,750,000 | 8,365,583 | |
| 5.375% 8/15/26 (b) | 200,000 | 209,250 | |
| Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 319,318 | |
| Childrens Hospital Corp. 4.115% 1/1/47 | 265,000 | 322,092 | |
| Cigna Corp.: | |||
| 2.375% 3/15/31 | 655,000 | 652,908 | |
| 2.4% 3/15/30 | 1,520,000 | 1,533,430 | |
| 3.25% 4/15/25 | 5,000 | 5,420 | |
| 3.4% 3/15/50 | 950,000 | 946,495 | |
| 3.4% 3/15/51 | 4,045,000 | 4,046,065 | |
| 4.375% 10/15/28 | 14,599,000 | 16,844,444 | |
| 4.5% 2/25/26 | 4,775,000 | 5,457,962 | |
| 4.8% 7/15/46 | 2,375,000 | 2,900,217 | |
| CommonSpirit Health: | |||
| 2.76% 10/1/24 | 575,000 | 609,308 | |
| 3.347% 10/1/29 | 250,000 | 267,850 | |
| 4.35% 11/1/42 | 2,500,000 | 2,839,583 | |
| Community Health Systems, Inc. 4.75% 2/15/31 (b) | 560,000 | 549,086 | |
| CVS Health Corp.: | |||
| 2.7% 8/21/40 | 9,385,000 | 8,755,172 | |
| 3.625% 4/1/27 | 2,341,000 | 2,596,235 | |
| 4.3% 3/25/28 | 1,681,000 | 1,926,219 | |
| 4.78% 3/25/38 | 1,320,000 | 1,571,753 | |
| 5.05% 3/25/48 | 7,530,000 | 9,294,090 | |
| 5.125% 7/20/45 | 1,670,000 | 2,082,571 | |
| 5.3% 12/5/43 | 555,000 | 710,068 | |
| DaVita HealthCare Partners, Inc.: | |||
| 3.75% 2/15/31 (b) | 1,900,000 | 1,821,625 | |
| 4.625% 6/1/30 (b) | 125,000 | 127,486 | |
| Fresenius Medical Care U.S. Finance II, Inc. 5.875% 1/31/22 (b) | 1,800,000 | 1,861,563 | |
| HCA Holdings, Inc.: | |||
| 3.5% 9/1/30 | 525,000 | 539,543 | |
| 4.125% 6/15/29 | 3,430,000 | 3,840,072 | |
| 4.5% 2/15/27 | 1,050,000 | 1,191,639 | |
| 4.75% 5/1/23 | 205,000 | 221,028 | |
| 5.125% 6/15/39 | 2,000,000 | 2,432,193 | |
| 5.25% 6/15/49 | 4,250,000 | 5,233,041 | |
| 5.375% 2/1/25 | 305,000 | 341,219 | |
| 5.875% 2/15/26 | 1,135,000 | 1,296,738 | |
| Humana, Inc. 3.125% 8/15/29 | 2,600,000 | 2,748,378 | |
| Kaiser Foundation Hospitals 4.15% 5/1/47 | 200,000 | 240,777 | |
| Laboratory Corp. of America Holdings 3.25% 9/1/24 | 720,000 | 773,845 | |
| Memorial Sloan-Kettring Cancer Center: | |||
| 2.955% 1/1/50 | 290,000 | 281,663 | |
| 4.2% 7/1/55 | 140,000 | 169,270 | |
| 5% 7/1/42 | 225,000 | 297,720 | |
| Methodist Hospital 2.705% 12/1/50 | 820,000 | 758,883 | |
| Molina Healthcare, Inc. 3.875% 11/15/30 (b) | 4,745,000 | 4,833,969 | |
| Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 487,517 | |
| New York & Presbyterian Hospital: | |||
| 4.024% 8/1/45 | 600,000 | 714,678 | |
| 4.063% 8/1/56 | 390,000 | 465,754 | |
| Nidda Healthcare Holding AG 3.5% 9/30/24 (Reg. S) | EUR | 3,000,000 | 3,658,350 |
| NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 957,772 | |
| Owens & Minor, Inc. 4.5% 3/31/29 (b) | 65,000 | 65,479 | |
| PeaceHealth Obligated Group 1.375% 11/15/25 | 165,000 | 166,673 | |
| Prime Healthcare Services 7.25% 11/1/25 (b) | 1,325,000 | 1,416,094 | |
| Providence St. Joseph Health Obligated Group: | |||
| 2.532% 10/1/29 | 2,405,000 | 2,481,683 | |
| 2.746% 10/1/26 | 180,000 | 191,671 | |
| Quest Diagnostics, Inc.: | |||
| 4.7% 3/30/45 | 100,000 | 118,517 | |
| 5.75% 1/30/40 | 68,000 | 86,752 | |
| Stanford Health Care 3.027% 8/15/51 | 680,000 | 669,099 | |
| Sutter Health 4.091% 8/15/48 | 1,140,000 | 1,308,353 | |
| Tenet Healthcare Corp.: | |||
| 4.625% 7/15/24 | 240,000 | 243,456 | |
| 4.875% 1/1/26 (b) | 1,160,000 | 1,197,700 | |
| 5.125% 5/1/25 | 500,000 | 506,850 | |
| 5.125% 11/1/27 (b) | 5,000,000 | 5,218,850 | |
| 6.25% 2/1/27 (b) | 120,000 | 125,100 | |
| Toledo Hospital 5.325% 11/15/28 | 2,792,000 | 3,230,881 | |
| UnitedHealth Group, Inc.: | |||
| 3.05% 5/15/41 | 355,000 | 360,335 | |
| 3.875% 8/15/59 | 30,000 | 33,932 | |
| 4.25% 4/15/47 | 770,000 | 912,056 | |
| 4.25% 6/15/48 | 1,625,000 | 1,938,323 | |
| 6.875% 2/15/38 | 700,000 | 1,058,229 | |
| 164,714,818 | |||
| Health Care Technology - 0.0% | |||
| IQVIA, Inc.: | |||
| 1.75% 3/15/26 (b) | EUR | 625,000 | 767,872 |
| 5% 10/15/26 (b) | 230,000 | 238,625 | |
| 1,006,497 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Agilent Technologies, Inc. 2.3% 3/12/31 | 1,245,000 | 1,224,242 | |
| Charles River Laboratories International, Inc.: | |||
| 3.75% 3/15/29 (b) | 75,000 | 74,719 | |
| 4.25% 5/1/28 (b) | 330,000 | 338,663 | |
| Thermo Fisher Scientific, Inc. 4.133% 3/25/25 | 290,000 | 323,232 | |
| 1,960,856 | |||
| Pharmaceuticals - 0.4% | |||
| AstraZeneca Finance LLC 2.25% 5/28/31 | 410,000 | 410,329 | |
| Bausch Health Companies, Inc.: | |||
| 5.25% 2/15/31 (b) | 6,021,000 | 5,509,215 | |
| 6.25% 2/15/29 (b) | 500,000 | 488,750 | |
| 7% 3/15/24 (b) | 595,000 | 607,436 | |
| Bayer U.S. Finance II LLC: | |||
| 2.2% 7/15/22 (b) | 2,100,000 | 2,127,712 | |
| 4.25% 12/15/25 (b) | 54,704,000 | 61,296,473 | |
| 4.875% 6/25/48 (b) | 6,800,000 | 8,132,492 | |
| Bristol-Myers Squibb Co.: | |||
| 4.25% 10/26/49 | 3,610,000 | 4,322,704 | |
| 5% 8/15/45 | 672,000 | 881,388 | |
| Catalent Pharma Solutions 3.125% 2/15/29 (b) | 275,000 | 264,633 | |
| Elanco Animal Health, Inc.: | |||
| 4.912% 8/27/21 (d) | 1,274,000 | 1,282,816 | |
| 5.272% 8/28/23 (d) | 4,020,000 | 4,343,047 | |
| 5.9% 8/28/28 (d) | 1,895,000 | 2,179,250 | |
| GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 727,613 | |
| GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 875,000 | 914,710 | |
| Jazz Securities DAC 4.375% 1/15/29 (b) | 95,000 | 97,706 | |
| Johnson & Johnson 3.625% 3/3/37 | 1,260,000 | 1,443,017 | |
| Merck & Co., Inc. 3.4% 3/7/29 | 1,400,000 | 1,556,393 | |
| Mylan NV: | |||
| 4.2% 11/29/23 | 1,100,000 | 1,183,571 | |
| 5.2% 4/15/48 | 1,780,000 | 2,087,858 | |
| 5.4% 11/29/43 | 580,000 | 698,529 | |
| Organon Finance 1 LLC: | |||
| 4.125% 4/30/28 (b) | 815,000 | 823,150 | |
| 5.125% 4/30/31 (b) | 1,190,000 | 1,221,095 | |
| Pfizer, Inc. 2.55% 5/28/40 | 1,410,000 | 1,366,634 | |
| Takeda Pharmaceutical Co. Ltd.: | |||
| 2.05% 3/31/30 | 3,175,000 | 3,098,188 | |
| 3.025% 7/9/40 | 510,000 | 499,203 | |
| Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 1,013,000 | 1,010,468 | |
| Utah Acquisition Sub, Inc.: | |||
| 3.95% 6/15/26 | 2,804,000 | 3,101,811 | |
| 5.25% 6/15/46 | 190,000 | 223,627 | |
| Viatris, Inc.: | |||
| 1.65% 6/22/25 (b) | 1,160,000 | 1,177,806 | |
| 2.7% 6/22/30 (b) | 5,898,000 | 5,881,708 | |
| 3.85% 6/22/40 (b) | 11,389,000 | 11,761,308 | |
| 4% 6/22/50 (b) | 6,572,000 | 6,659,009 | |
| Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 2,173,661 | |
| Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,217,730 | |
| 145,771,040 | |||
| TOTAL HEALTH CARE | 365,700,787 | ||
| INDUSTRIALS - 0.5% | |||
| Aerospace & Defense - 0.2% | |||
| BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 3,198,677 | |
| BWX Technologies, Inc.: | |||
| 4.125% 6/30/28 (b) | 200,000 | 201,000 | |
| 4.125% 4/15/29 (b) | 325,000 | 326,625 | |
| 5.375% 7/15/26 (b) | 700,000 | 721,420 | |
| General Dynamics Corp.: | |||
| 2.25% 11/15/22 | 650,000 | 666,002 | |
| 3.5% 5/15/25 | 1,905,000 | 2,093,901 | |
| Howmet Aerospace, Inc.: | |||
| 5.95% 2/1/37 | 575,000 | 667,000 | |
| 6.75% 1/15/28 | 345,000 | 411,844 | |
| Lockheed Martin Corp. 2.9% 3/1/25 | 1,345,000 | 1,449,259 | |
| Moog, Inc. 4.25% 12/15/27 (b) | 360,000 | 369,000 | |
| Northrop Grumman Corp. 4.75% 6/1/43 | 545,000 | 676,724 | |
| Raytheon Technologies Corp. 4.125% 11/16/28 | 490,000 | 558,546 | |
| Teledyne Technologies, Inc.: | |||
| 2.25% 4/1/28 | 1,675,000 | 1,698,848 | |
| 2.75% 4/1/31 | 7,440,000 | 7,511,751 | |
| Textron, Inc. 2.45% 3/15/31 | 2,045,000 | 2,021,781 | |
| The Boeing Co.: | |||
| 1.167% 2/4/23 | 4,000,000 | 4,018,708 | |
| 1.433% 2/4/24 | 1,000,000 | 1,003,577 | |
| 2.196% 2/4/26 | 925,000 | 928,955 | |
| 2.25% 6/15/26 | 810,000 | 824,881 | |
| 3.6% 5/1/34 | 1,750,000 | 1,804,490 | |
| 3.625% 2/1/31 | 12,650,000 | 13,411,940 | |
| 4.508% 5/1/23 | 1,500,000 | 1,602,238 | |
| 5.04% 5/1/27 | 4,430,000 | 5,106,972 | |
| 5.15% 5/1/30 | 4,430,000 | 5,185,533 | |
| 5.805% 5/1/50 | 5,835,000 | 7,504,650 | |
| 5.93% 5/1/60 | 4,430,000 | 5,759,182 | |
| TransDigm, Inc.: | |||
| 4.875% 5/1/29 (b) | 220,000 | 217,342 | |
| 6.25% 3/15/26 (b) | 915,000 | 964,483 | |
| 7.5% 3/15/27 | 40,000 | 42,664 | |
| 8% 12/15/25 (b) | 465,000 | 502,949 | |
| 71,450,942 | |||
| Air Freight & Logistics - 0.0% | |||
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | 160,000 | 163,800 | |
| XPO Logistics, Inc. 6.25% 5/1/25 (b) | 1,810,000 | 1,935,469 | |
| 2,099,269 | |||
| Airlines - 0.1% | |||
| American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 437,130 | 442,159 | |
| Delta Air Lines, Inc. pass-thru trust certificates 6.821% 2/10/24 | 94,349 | 100,615 | |
| Mexico City Airport Trust: | |||
| 4.25% 10/31/26 (b) | 4,270,000 | 4,533,673 | |
| 5.5% 7/31/47 (b) | 2,250,000 | 2,225,925 | |
| Southwest Airlines Co.: | |||
| 2.625% 2/10/30 | 735,000 | 744,519 | |
| 4.75% 5/4/23 | 1,275,000 | 1,374,742 | |
| 5.125% 6/15/27 | 5,340,000 | 6,247,435 | |
| United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 138,966 | 144,842 | |
| United Airlines, Inc.: | |||
| 4.15% 10/11/25 | 518,344 | 546,913 | |
| 4.375% 4/15/26 (b) | 1,520,000 | 1,575,100 | |
| 4.625% 4/15/29 (b) | 370,000 | 382,264 | |
| 18,318,187 | |||
| Building Products - 0.0% | |||
| Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 400,000 | 416,880 | |
| Owens Corning 4.3% 7/15/47 | 5,110,000 | 5,685,338 | |
| Standard Industries, Inc. 4.75% 1/15/28 (b) | 3,618,000 | 3,760,477 | |
| 9,862,695 | |||
| Commercial Services & Supplies - 0.0% | |||
| Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 542,232 | |
| Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (b) | 1,175,000 | 1,191,591 | |
| Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
| 4.625% 6/1/28 (b) | 830,000 | 830,847 | |
| 4.625% 6/1/28 (b) | 520,000 | 516,984 | |
| Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,163,014 | |
| GFL Environmental, Inc. 3.75% 8/1/25 (b) | 233,000 | 238,534 | |
| Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | 60,000 | 62,100 | |
| Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 115,000 | 118,163 | |
| Nielsen Finance LLC/Nielsen Finance Co.: | |||
| 5.625% 10/1/28 (b) | 205,000 | 216,788 | |
| 5.875% 10/1/30 (b) | 205,000 | 221,400 | |
| Pitney Bowes, Inc.: | |||
| 6.875% 3/15/27 (b) | 55,000 | 57,191 | |
| 7.25% 3/15/29 (b) | 110,000 | 113,850 | |
| PowerTeam Services LLC 9.033% 12/4/25 (b) | 108,000 | 119,070 | |
| Stericycle, Inc. 3.875% 1/15/29 (b) | 530,000 | 528,675 | |
| Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 385,047 | |
| 6,305,486 | |||
| Construction & Engineering - 0.0% | |||
| AECOM 5.125% 3/15/27 | 2,505,000 | 2,771,156 | |
| Arcosa, Inc. 4.375% 4/15/29 (b) | 65,000 | 65,364 | |
| Dycom Industries, Inc. 4.5% 4/15/29 (b) | 165,000 | 164,175 | |
| 3,000,695 | |||
| Electrical Equipment - 0.0% | |||
| ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 117,831 | |
| Sensata Technologies BV: | |||
| 4% 4/15/29 (b) | 170,000 | 170,306 | |
| 4.875% 10/15/23 (b) | 300,000 | 320,250 | |
| Wesco Distribution, Inc.: | |||
| 7.125% 6/15/25 (b) | 1,500,000 | 1,619,918 | |
| 7.25% 6/15/28 (b) | 1,250,000 | 1,385,938 | |
| 3,614,243 | |||
| Industrial Conglomerates - 0.0% | |||
| General Electric Co. 3.45% 5/15/24 | 85,000 | 91,813 | |
| Machinery - 0.1% | |||
| Fortive Corp. 3.15% 6/15/26 | 275,000 | 299,328 | |
| Navistar International Corp. 9.5% 5/1/25 (b) | 3,700,000 | 4,000,070 | |
| Pentair Finance SA 4.5% 7/1/29 | 7,920,000 | 9,263,486 | |
| Westinghouse Air Brake Co.: | |||
| 3.45% 11/15/26 | 740,000 | 797,089 | |
| 4.95% 9/15/28 | 8,710,000 | 10,034,796 | |
| Xylem, Inc. 4.875% 10/1/21 | 525,000 | 532,672 | |
| 24,927,441 | |||
| Professional Services - 0.0% | |||
| ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 114,400 | |
| Booz Allen Hamilton, Inc. 3.875% 9/1/28 (b) | 320,000 | 320,214 | |
| Equifax, Inc. 2.6% 12/1/24 | 1,245,000 | 1,316,276 | |
| IHS Markit Ltd.: | |||
| 4% 3/1/26 (b) | 1,195,000 | 1,321,491 | |
| 4.125% 8/1/23 | 365,000 | 390,178 | |
| 5% 11/1/22 (b) | 6,800,000 | 7,135,013 | |
| TriNet Group, Inc. 3.5% 3/1/29 (b) | 165,000 | 160,463 | |
| Verisk Analytics, Inc. 4.125% 9/12/22 | 690,000 | 721,712 | |
| 11,479,747 | |||
| Road & Rail - 0.0% | |||
| CSX Corp. 6.15% 5/1/37 | 1,375,000 | 1,884,080 | |
| Union Pacific Corp.: | |||
| 2.973% 9/16/62 (b) | 200,000 | 179,908 | |
| 3.25% 2/5/50 | 1,660,000 | 1,653,392 | |
| 3.6% 9/15/37 | 640,000 | 696,493 | |
| 3.799% 4/6/71 (b) | 315,000 | 325,194 | |
| 4,739,067 | |||
| Trading Companies & Distributors - 0.1% | |||
| Air Lease Corp.: | |||
| 2.25% 1/15/23 | 1,711,000 | 1,756,977 | |
| 3% 9/15/23 | 800,000 | 837,611 | |
| 3.375% 6/1/21 | 2,750,000 | 2,750,000 | |
| 3.375% 7/1/25 | 7,608,000 | 8,168,027 | |
| 3.75% 2/1/22 | 4,752,000 | 4,829,723 | |
| 4.25% 2/1/24 | 7,846,000 | 8,523,807 | |
| 4.25% 9/15/24 | 8,907,000 | 9,745,594 | |
| United Rentals North America, Inc.: | |||
| 3.875% 2/15/31 | 500,000 | 502,500 | |
| 4.875% 1/15/28 | 2,000,000 | 2,112,600 | |
| 39,226,839 | |||
| Transportation Infrastructure - 0.0% | |||
| Avolon Holdings Funding Ltd.: | |||
| 3.625% 5/1/22 (b) | 2,155,000 | 2,207,833 | |
| 3.95% 7/1/24 (b) | 2,862,000 | 3,047,467 | |
| 4.375% 5/1/26 (b) | 3,477,000 | 3,748,167 | |
| 5.25% 5/15/24 (b) | 4,140,000 | 4,545,960 | |
| 13,549,427 | |||
| TOTAL INDUSTRIALS | 208,665,851 | ||
| INFORMATION TECHNOLOGY - 0.3% | |||
| Communications Equipment - 0.0% | |||
| Cisco Systems, Inc. 3% 6/15/22 | 310,000 | 319,021 | |
| Electronic Equipment & Components - 0.0% | |||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
| 5.45% 6/15/23 (b) | 6,100,000 | 6,638,635 | |
| 6.02% 6/15/26 (b) | 2,112,000 | 2,517,831 | |
| FLIR Systems, Inc. 2.5% 8/1/30 | 245,000 | 243,465 | |
| Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 590,000 | 575,988 | |
| TTM Technologies, Inc. 4% 3/1/29 (b) | 130,000 | 128,538 | |
| 10,104,457 | |||
| IT Services - 0.1% | |||
| Austin BidCo, Inc. 7.125% 12/15/28 (b) | 60,000 | 60,000 | |
| Automatic Data Processing, Inc. 1.7% 5/15/28 | 695,000 | 699,789 | |
| Banff Merger Sub, Inc. 9.75% 9/1/26 (b) | 500,000 | 529,375 | |
| Fidelity National Information Services, Inc. 3.1% 3/1/41 | 3,540,000 | 3,479,349 | |
| Fiserv, Inc.: | |||
| 2.75% 7/1/24 | 105,000 | 111,336 | |
| 3.5% 7/1/29 | 7,395,000 | 8,029,944 | |
| 3.85% 6/1/25 | 1,490,000 | 1,641,348 | |
| Gartner, Inc.: | |||
| 3.75% 10/1/30 (b) | 105,000 | 105,399 | |
| 4.5% 7/1/28 (b) | 165,000 | 173,663 | |
| Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26 | 960,000 | 962,094 | |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 330,000 | 318,047 | |
| IBM Corp. 2.85% 5/15/40 | 480,000 | 464,661 | |
| MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 943,029 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. 6% 2/15/28 (b) | 35,000 | 34,635 | |
| Square, Inc. 2.75% 6/1/26 (b) | 110,000 | 110,891 | |
| Tempo Acquisition LLC 5.75% 6/1/25 (b) | 5,000,000 | 5,281,250 | |
| Twilio, Inc.: | |||
| 3.625% 3/15/29 | 80,000 | 80,469 | |
| 3.875% 3/15/31 | 85,000 | 86,369 | |
| Visa, Inc. 2.7% 4/15/40 | 145,000 | 144,276 | |
| 23,255,924 | |||
| Semiconductors & Semiconductor Equipment - 0.1% | |||
| Broadcom, Inc.: | |||
| 1.95% 2/15/28 (b) | 1,620,000 | 1,605,264 | |
| 2.45% 2/15/31 (b) | 12,129,000 | 11,648,139 | |
| 2.6% 2/15/33 (b) | 12,129,000 | 11,548,379 | |
| 3.15% 11/15/25 | 413,000 | 443,802 | |
| 3.419% 4/15/33 (b) | 2,622,000 | 2,673,944 | |
| 3.5% 2/15/41 (b) | 19,161,000 | 18,530,553 | |
| 3.75% 2/15/51 (b) | 5,224,000 | 5,076,111 | |
| 4.11% 9/15/28 | 1,635,000 | 1,806,445 | |
| Entegris, Inc.: | |||
| 3.625% 5/1/29 (b) | 275,000 | 275,688 | |
| 4.375% 4/15/28 (b) | 325,000 | 338,813 | |
| Intel Corp. 4.75% 3/25/50 | 1,250,000 | 1,585,446 | |
| NXP BV/NXP Funding LLC 3.875% 9/1/22 (b) | 1,969,000 | 2,047,753 | |
| ON Semiconductor Corp. 3.875% 9/1/28 (b) | 125,000 | 126,875 | |
| Qorvo, Inc. 4.375% 10/15/29 | 200,000 | 217,980 | |
| 57,925,192 | |||
| Software - 0.1% | |||
| CDK Global, Inc. 4.875% 6/1/27 | 500,000 | 527,465 | |
| Crowdstrike Holdings, Inc. 3% 2/15/29 | 125,000 | 122,656 | |
| Fair Isaac Corp. 4% 6/15/28 (b) | 500,000 | 508,045 | |
| Intuit, Inc. 1.35% 7/15/27 | 200,000 | 199,098 | |
| Microsoft Corp. 2.921% 3/17/52 | 2,952,000 | 2,954,617 | |
| NortonLifeLock, Inc. 5% 4/15/25 (b) | 370,000 | 373,959 | |
| Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 631,200 | |
| Open Text Corp. 3.875% 2/15/28 (b) | 490,000 | 489,868 | |
| Oracle Corp.: | |||
| 2.5% 4/1/25 | 6,499,000 | 6,850,119 | |
| 2.8% 4/1/27 | 7,964,000 | 8,463,499 | |
| 2.875% 3/25/31 | 2,300,000 | 2,356,179 | |
| 2.95% 5/15/25 | 935,000 | 999,564 | |
| 3.6% 4/1/50 | 1,300,000 | 1,279,651 | |
| 3.85% 4/1/60 | 6,500,000 | 6,493,659 | |
| 3.95% 3/25/51 | 3,675,000 | 3,816,504 | |
| 4.125% 5/15/45 | 850,000 | 906,022 | |
| ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 921,903 | |
| SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 820,803 | |
| 38,714,811 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Apple, Inc.: | |||
| 3.25% 2/23/26 | 7,150,000 | 7,879,357 | |
| 3.85% 8/4/46 | 1,230,000 | 1,392,443 | |
| Hewlett Packard Enterprise Co. 4.4% 10/15/22 (d) | 5,700,000 | 5,970,272 | |
| 15,242,072 | |||
| TOTAL INFORMATION TECHNOLOGY | 145,561,477 | ||
| MATERIALS - 0.2% | |||
| Chemicals - 0.1% | |||
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 240,000 | 251,400 | |
| CF Industries Holdings, Inc.: | |||
| 4.95% 6/1/43 | 285,000 | 322,478 | |
| 5.15% 3/15/34 | 300,000 | 353,910 | |
| 5.375% 3/15/44 | 525,000 | 612,938 | |
| Consolidated Energy Finance SA 6.5% 5/15/26 (b) | 375,000 | 376,875 | |
| DuPont de Nemours, Inc. 4.493% 11/15/25 | 2,625,000 | 2,994,133 | |
| FMC Corp. 4.5% 10/1/49 | 900,000 | 1,050,647 | |
| INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b) | 275,000 | 274,645 | |
| Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 5% 12/31/26 (b) | 220,000 | 223,575 | |
| LYB International Finance BV: | |||
| 4.875% 3/15/44 | 845,000 | 1,015,601 | |
| 5.25% 7/15/43 | 5,455,000 | 6,741,433 | |
| LYB International Finance III LLC: | |||
| 2.25% 10/1/30 | 770,000 | 757,654 | |
| 3.375% 5/1/30 | 1,995,000 | 2,145,967 | |
| 3.375% 10/1/40 | 165,000 | 165,568 | |
| 3.8% 10/1/60 | 1,150,000 | 1,143,640 | |
| 4.2% 5/1/50 | 150,000 | 163,518 | |
| Methanex Corp.: | |||
| 5.125% 10/15/27 | 320,000 | 334,400 | |
| 5.25% 12/15/29 | 155,000 | 162,654 | |
| 5.65% 12/1/44 | 105,000 | 106,433 | |
| Nutrien Ltd. 4.9% 6/1/43 | 1,025,000 | 1,250,132 | |
| OCI NV: | |||
| 3.125% 11/1/24 (Reg. S) | EUR | 2,500,000 | 3,116,317 |
| 3.625% 10/15/25 (Reg. S) | EUR | 3,082,000 | 3,927,365 |
| Olin Corp.: | |||
| 5% 2/1/30 | 195,000 | 206,700 | |
| 5.125% 9/15/27 | 700,000 | 730,884 | |
| 5.625% 8/1/29 | 195,000 | 212,109 | |
| Sasol Financing U.S.A. LLC: | |||
| 4.375% 9/18/26 | 810,000 | 839,363 | |
| 5.875% 3/27/24 | 1,500,000 | 1,606,688 | |
| Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 250,994 | |
| The Chemours Co. LLC 7% 5/15/25 | 600,000 | 616,590 | |
| The Dow Chemical Co.: | |||
| 3.625% 5/15/26 | 3,020,000 | 3,343,779 | |
| 4.625% 10/1/44 | 295,000 | 351,284 | |
| The Scotts Miracle-Gro Co.: | |||
| 4% 4/1/31 (b) | 1,575,000 | 1,554,966 | |
| 4.5% 10/15/29 | 1,971,000 | 2,052,402 | |
| Valvoline, Inc. 4.25% 2/15/30 (b) | 2,270,000 | 2,315,400 | |
| W. R. Grace & Co.-Conn.: | |||
| 4.875% 6/15/27 (b) | 125,000 | 131,563 | |
| 5.625% 10/1/24 (b) | 400,000 | 440,000 | |
| 42,144,005 | |||
| Construction Materials - 0.0% | |||
| Martin Marietta Materials, Inc. 2.5% 3/15/30 | 755,000 | 761,638 | |
| Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (b) | 1,000,000 | 1,055,000 | |
| Vulcan Materials Co. 4.5% 6/15/47 | 915,000 | 1,084,623 | |
| 2,901,261 | |||
| Containers & Packaging - 0.0% | |||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
| 4.125% 8/15/26 (b) | 10,000 | 10,238 | |
| 4.75% 7/15/27 (Reg. S) | GBP | 3,650,000 | 5,270,546 |
| 5.25% 8/15/27 (b) | 310,000 | 312,713 | |
| 6% 2/15/25 (b) | 40,000 | 41,208 | |
| Berry Global, Inc.: | |||
| 0.95% 2/15/24 (b) | 4,465,000 | 4,484,155 | |
| 1.57% 1/15/26 (b) | 3,005,000 | 3,005,481 | |
| 4.875% 7/15/26 (b) | 200,000 | 211,250 | |
| Graphic Packaging International, Inc. 3.5% 3/15/28 (b) | 231,000 | 229,852 | |
| Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | 40,000 | 41,300 | |
| International Paper Co.: | |||
| 5% 9/15/35 | 370,000 | 454,888 | |
| 5.15% 5/15/46 | 46,000 | 58,878 | |
| OI European Group BV 4% 3/15/23 (b) | 290,000 | 298,338 | |
| Trivium Packaging Finance BV: | |||
| 5.5% 8/15/26 (b) | 205,000 | 213,713 | |
| 8.5% 8/15/27 (b) | 60,000 | 64,477 | |
| Westrock Rkt LLC 4.9% 3/1/22 | 185,000 | 191,187 | |
| 14,888,224 | |||
| Metals & Mining - 0.1% | |||
| Alcoa Nederland Holding BV 4.125% 3/31/29 (b) | 110,000 | 112,475 | |
| Barrick North America Finance LLC: | |||
| 5.7% 5/30/41 | 630,000 | 834,198 | |
| 5.75% 5/1/43 | 560,000 | 752,089 | |
| Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,240,000 | 1,680,661 | |
| Cleveland-Cliffs, Inc.: | |||
| 4.625% 3/1/29 (b) | 110,000 | 113,232 | |
| 4.875% 3/1/31 (b) | 110,000 | 112,473 | |
| Corporacion Nacional del Cobre de Chile (Codelco) 3.15% 1/14/30 (Reg. S) | 1,040,000 | 1,073,995 | |
| FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 5,429 | |
| Freeport-McMoRan, Inc. 5.4% 11/14/34 | 570,000 | 675,630 | |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 55,000 | 54,450 | |
| Indonesia Asahan Aluminium Tbk PT: | |||
| 6.53% 11/15/28 (b) | 1,950,000 | 2,365,350 | |
| 6.53% 11/15/28 (Reg. S) | 988,000 | 1,198,444 | |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 415,000 | 423,964 | |
| Kinross Gold Corp. 4.5% 7/15/27 | 8,840,000 | 10,163,801 | |
| Newmont Corp.: | |||
| 2.25% 10/1/30 | 725,000 | 715,193 | |
| 2.8% 10/1/29 | 1,245,000 | 1,289,510 | |
| 5.45% 6/9/44 | 185,000 | 243,435 | |
| Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 594,230 | |
| Steel Dynamics, Inc.: | |||
| 2.4% 6/15/25 | 365,000 | 382,170 | |
| 3.45% 4/15/30 | 5,400,000 | 5,833,274 | |
| Teck Resources Ltd.: | |||
| 6% 8/15/40 | 1,255,000 | 1,567,958 | |
| 6.25% 7/15/41 | 2,050,000 | 2,654,420 | |
| 32,846,381 | |||
| Paper & Forest Products - 0.0% | |||
| Suzano Austria GmbH 6% 1/15/29 | 403,000 | 475,641 | |
| TOTAL MATERIALS | 93,255,512 | ||
| REAL ESTATE - 0.8% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,472,539 | |
| American Campus Communities Operating Partnership LP 3.625% 11/15/27 | 5,092,000 | 5,579,053 | |
| Boston Properties, Inc.: | |||
| 3.85% 2/1/23 | 1,175,000 | 1,230,641 | |
| 4.5% 12/1/28 | 5,210,000 | 5,995,807 | |
| Corporate Office Properties LP: | |||
| 2.25% 3/15/26 | 1,775,000 | 1,823,021 | |
| 2.75% 4/15/31 | 5,797,000 | 5,694,985 | |
| 5% 7/1/25 | 3,453,000 | 3,905,083 | |
| CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 680,000 | 697,000 | |
| Duke Realty LP: | |||
| 3.25% 6/30/26 | 805,000 | 873,976 | |
| 3.625% 4/15/23 | 1,382,000 | 1,447,691 | |
| ESH Hospitality, Inc. 4.625% 10/1/27 (b) | 4,595,000 | 4,859,213 | |
| Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b) | 275,000 | 266,156 | |
| GLP Capital LP/GLP Financing II, Inc.: | |||
| 5.25% 6/1/25 | 1,200,000 | 1,356,564 | |
| 5.375% 11/1/23 | 2,000,000 | 2,182,360 | |
| 5.375% 4/15/26 | 10,185,000 | 11,629,437 | |
| Healthcare Realty Trust, Inc. 3.875% 5/1/25 | 2,750,000 | 2,988,274 | |
| Healthcare Trust of America Holdings LP: | |||
| 3.1% 2/15/30 | 1,715,000 | 1,789,367 | |
| 3.5% 8/1/26 | 1,786,000 | 1,969,189 | |
| Healthpeak Properties, Inc. 3% 1/15/30 | 925,000 | 965,007 | |
| Hudson Pacific Properties LP: | |||
| 3.25% 1/15/30 | 1,750,000 | 1,815,167 | |
| 4.65% 4/1/29 | 10,503,000 | 11,933,546 | |
| Kimco Realty Corp. 1.9% 3/1/28 | 815,000 | 810,089 | |
| Lexington Corporate Properties Trust: | |||
| 2.7% 9/15/30 | 894,000 | 893,051 | |
| 4.4% 6/15/24 | 1,319,000 | 1,432,287 | |
| MGM Growth Properties Operating Partnership LP: | |||
| 4.5% 9/1/26 | 400,000 | 423,004 | |
| 4.625% 6/15/25 (b) | 65,000 | 68,900 | |
| 5.625% 5/1/24 | 1,185,000 | 1,272,394 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 2.5% 3/24/26 | GBP | 4,400,000 | 6,329,994 |
| 5% 10/15/27 | 2,650,000 | 2,789,125 | |
| Omega Healthcare Investors, Inc.: | |||
| 3.25% 4/15/33 | 5,000,000 | 4,885,548 | |
| 3.375% 2/1/31 | 3,399,000 | 3,430,855 | |
| 3.625% 10/1/29 | 7,647,000 | 7,996,335 | |
| 4.375% 8/1/23 | 1,368,000 | 1,463,400 | |
| 4.5% 1/15/25 | 2,793,000 | 3,053,931 | |
| 4.5% 4/1/27 | 1,500,000 | 1,664,537 | |
| 4.75% 1/15/28 | 7,569,000 | 8,460,583 | |
| 4.95% 4/1/24 | 1,152,000 | 1,255,957 | |
| 5.25% 1/15/26 | 5,841,000 | 6,671,273 | |
| Park Intermediate Holdings LLC 5.875% 10/1/28 (b) | 2,700,000 | 2,882,250 | |
| Realty Income Corp.: | |||
| 3% 1/15/27 | 585,000 | 631,195 | |
| 3.25% 1/15/31 | 1,177,000 | 1,258,273 | |
| Retail Opportunity Investments Partnership LP: | |||
| 4% 12/15/24 | 877,000 | 944,051 | |
| 5% 12/15/23 | 626,000 | 676,814 | |
| Retail Properties America, Inc.: | |||
| 4% 3/15/25 | 6,865,000 | 7,323,018 | |
| 4.75% 9/15/30 | 10,799,000 | 11,760,114 | |
| SBA Communications Corp.: | |||
| 3.125% 2/1/29 (b) | 220,000 | 211,200 | |
| 3.875% 2/15/27 | 400,000 | 409,000 | |
| 4.875% 9/1/24 | 200,000 | 204,126 | |
| Senior Housing Properties Trust 4.75% 2/15/28 | 2,917,000 | 2,814,905 | |
| Service Properties Trust: | |||
| 4.375% 2/15/30 | 200,000 | 180,000 | |
| 4.95% 2/15/27 | 485,000 | 464,388 | |
| 4.95% 10/1/29 | 100,000 | 93,250 | |
| 5.5% 12/15/27 | 100,000 | 102,916 | |
| Simon Property Group LP: | |||
| 1.75% 2/1/28 | 915,000 | 903,278 | |
| 2.45% 9/13/29 | 360,000 | 365,543 | |
| 3.375% 10/1/24 | 2,545,000 | 2,744,142 | |
| 3.5% 9/1/25 | 55,000 | 60,306 | |
| 3.75% 2/1/24 | 275,000 | 296,149 | |
| SITE Centers Corp.: | |||
| 3.625% 2/1/25 | 2,396,000 | 2,517,634 | |
| 4.25% 2/1/26 | 5,582,000 | 6,043,693 | |
| Spirit Realty LP 2.7% 2/15/32 | 6,280,000 | 6,098,030 | |
| Store Capital Corp.: | |||
| 2.75% 11/18/30 | 1,957,000 | 1,938,961 | |
| 4.625% 3/15/29 | 2,475,000 | 2,792,676 | |
| Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b) | 95,000 | 94,146 | |
| Uniti Group, Inc. 7.875% 2/15/25 (b) | 2,800,000 | 2,999,500 | |
| Ventas Realty LP: | |||
| 3% 1/15/30 | 10,008,000 | 10,355,796 | |
| 3.125% 6/15/23 | 1,414,000 | 1,476,703 | |
| 3.25% 10/15/26 | 1,900,000 | 2,066,700 | |
| 3.85% 4/1/27 | 1,150,000 | 1,284,302 | |
| 4% 3/1/28 | 2,712,000 | 3,023,361 | |
| 4.125% 1/15/26 | 1,628,000 | 1,823,649 | |
| 4.75% 11/15/30 | 13,000,000 | 15,282,304 | |
| VEREIT Operating Partnership LP: | |||
| 2.2% 6/15/28 | 791,000 | 794,654 | |
| 2.85% 12/15/32 | 1,553,000 | 1,582,006 | |
| 3.1% 12/15/29 | 6,085,000 | 6,394,381 | |
| 3.4% 1/15/28 | 1,880,000 | 2,030,710 | |
| VICI Properties, Inc.: | |||
| 3.5% 2/15/25 (b) | 125,000 | 127,325 | |
| 4.25% 12/1/26 (b) | 670,000 | 689,263 | |
| 4.625% 12/1/29 (b) | 250,000 | 260,088 | |
| Vornado Realty LP: | |||
| 2.15% 6/1/26 | 1,762,000 | 1,777,218 | |
| 3.4% 6/1/31 | 6,373,000 | 6,422,571 | |
| Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 487,107 | |
| Welltower, Inc.: | |||
| 2.7% 2/15/27 | 340,000 | 361,162 | |
| 2.75% 1/15/31 | 6,560,000 | 6,641,793 | |
| 2.8% 6/1/31 | 2,305,000 | 2,331,243 | |
| Weyerhaeuser Co. 4% 4/15/30 | 1,625,000 | 1,833,167 | |
| WP Carey, Inc.: | |||
| 2.25% 4/1/33 | 4,760,000 | 4,482,786 | |
| 3.85% 7/15/29 | 1,725,000 | 1,885,228 | |
| 4% 2/1/25 | 5,544,000 | 6,038,589 | |
| 4.6% 4/1/24 | 7,436,000 | 8,160,206 | |
| 272,797,209 | |||
| Real Estate Management & Development - 0.2% | |||
| Brandywine Operating Partnership LP: | |||
| 3.95% 2/15/23 | 4,006,000 | 4,193,130 | |
| 3.95% 11/15/27 | 5,608,000 | 6,076,380 | |
| 4.1% 10/1/24 | 4,892,000 | 5,318,511 | |
| 4.55% 10/1/29 | 1,707,000 | 1,882,245 | |
| CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 14,698,264 | |
| Essex Portfolio LP: | |||
| 1.7% 3/1/28 | 5,465,000 | 5,309,119 | |
| 3.875% 5/1/24 | 2,685,000 | 2,908,957 | |
| Howard Hughes Corp.: | |||
| 4.125% 2/1/29 (b) | 300,000 | 298,089 | |
| 5.375% 8/1/28 (b) | 850,000 | 895,156 | |
| Mack-Cali Realty LP: | |||
| 3.15% 5/15/23 | 3,436,000 | 3,597,674 | |
| 4.5% 4/18/22 | 644,000 | 659,932 | |
| Mattamy Group Corp. 4.625% 3/1/30 (b) | 1,500,000 | 1,496,250 | |
| Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,439,977 | |
| Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,864,470 | |
| SL Green Realty Corp. 3.25% 10/15/22 | 7,000,000 | 7,226,268 | |
| Tanger Properties LP: | |||
| 3.125% 9/1/26 | 3,497,000 | 3,651,142 | |
| 3.75% 12/1/24 | 3,352,000 | 3,595,386 | |
| 3.875% 12/1/23 | 597,000 | 633,114 | |
| 3.875% 7/15/27 | 13,369,000 | 14,275,280 | |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
| 5.125% 8/1/30 (b) | 2,500,000 | 2,675,000 | |
| 5.75% 1/15/28 (b) | 280,000 | 309,750 | |
| 5.875% 6/15/27 (b) | 1,500,000 | 1,684,710 | |
| 84,688,804 | |||
| TOTAL REAL ESTATE | 357,486,013 | ||
| UTILITIES - 0.5% | |||
| Electric Utilities - 0.3% | |||
| AEP Texas, Inc.: | |||
| 2.1% 7/1/30 | 800,000 | 777,232 | |
| 3.45% 5/15/51 | 560,000 | 556,189 | |
| 3.8% 10/1/47 | 725,000 | 765,311 | |
| AEP Transmission Co. LLC: | |||
| 3.75% 12/1/47 | 850,000 | 920,585 | |
| 4% 12/1/46 | 375,000 | 420,217 | |
| Alabama Power Co.: | |||
| 3.75% 3/1/45 | 650,000 | 719,365 | |
| 3.85% 12/1/42 | 700,000 | 774,475 | |
| 4.1% 1/15/42 | 225,000 | 251,274 | |
| Alliant Energy Finance LLC 1.4% 3/15/26 (b) | 2,300,000 | 2,271,641 | |
| Arizona Public Service Co. 2.6% 8/15/29 | 340,000 | 352,427 | |
| Atlantic City Electric Co. 2.3% 3/15/31 | 275,000 | 274,782 | |
| CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,235,000 | 1,412,826 | |
| Clearway Energy Operating LLC: | |||
| 4.75% 3/15/28 (b) | 60,000 | 62,025 | |
| 5% 9/15/26 | 520,000 | 535,600 | |
| Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 4,549,397 | |
| Commonwealth Edison Co.: | |||
| 3.7% 8/15/28 | 250,000 | 282,951 | |
| 3.7% 3/1/45 | 315,000 | 347,216 | |
| 4.35% 11/15/45 | 205,000 | 245,129 | |
| Dominion Energy South Carolina: | |||
| 5.1% 6/1/65 | 275,000 | 378,254 | |
| 5.45% 2/1/41 | 185,000 | 245,622 | |
| DPL, Inc. 4.35% 4/15/29 | 2,480,000 | 2,690,800 | |
| DTE Electric Co.: | |||
| 2.25% 3/1/30 | 150,000 | 152,132 | |
| 3.75% 8/15/47 | 900,000 | 999,279 | |
| Duke Energy Carolinas LLC: | |||
| 2.95% 12/1/26 | 370,000 | 402,108 | |
| 4% 9/30/42 | 1,750,000 | 1,983,124 | |
| 4.25% 12/15/41 | 1,450,000 | 1,703,358 | |
| 6.1% 6/1/37 | 775,000 | 1,064,191 | |
| Duke Energy Florida LLC 6.35% 9/15/37 | 675,000 | 973,105 | |
| Duquesne Light Holdings, Inc. 5.9% 12/1/21 (b) | 8,875,000 | 9,097,202 | |
| Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 1,122,019 | |
| Entergy, Inc. 1.75% 3/15/31 | 1,475,000 | 1,384,076 | |
| Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b) | 1,000,000 | 1,050,500 | |
| Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 750,208 | |
| Eversource Energy 1.65% 8/15/30 | 520,000 | 488,525 | |
| Exelon Corp. 5.625% 6/15/35 | 150,000 | 194,439 | |
| FirstEnergy Corp.: | |||
| 3.4% 3/1/50 | 3,431,000 | 3,122,210 | |
| 4.75% 3/15/23 | 12,580,000 | 13,280,706 | |
| 7.375% 11/15/31 | 9,948,000 | 13,249,542 | |
| Florida Power & Light Co. 5.25% 2/1/41 | 250,000 | 335,114 | |
| Fortis, Inc. 3.055% 10/4/26 | 301,000 | 324,472 | |
| Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,788,559 | |
| InterGen NV 7% 6/30/23 (b) | 230,000 | 226,729 | |
| IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,855,434 | |
| Jersey Central Power & Light Co. 4.3% 1/15/26 (b) | 2,000,000 | 2,219,385 | |
| Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 424,998 | |
| Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S) | 250,000 | 249,656 | |
| NextEra Energy Capital Holdings, Inc.: | |||
| 3 month U.S. LIBOR + 0.270% 0.4201% 2/22/23 (d)(f) | 5,000,000 | 5,001,336 | |
| 2.25% 6/1/30 | 840,000 | 836,626 | |
| 2.75% 11/1/29 | 1,450,000 | 1,507,822 | |
| NextEra Energy Partners LP 4.25% 9/15/24 (b) | 27,000 | 28,449 | |
| Northern States Power Co.: | |||
| 3.6% 9/15/47 | 20,000 | 21,772 | |
| 6.25% 6/1/36 | 370,000 | 521,846 | |
| NRG Energy, Inc.: | |||
| 2% 12/2/25 (b) | 3,120,000 | 3,176,153 | |
| 3.375% 2/15/29 (b) | 45,000 | 43,402 | |
| 3.625% 2/15/31 (b) | 645,000 | 618,394 | |
| 5.75% 1/15/28 | 245,000 | 259,676 | |
| 6.625% 1/15/27 | 400,000 | 415,116 | |
| Ohio Power Co. 4% 6/1/49 | 680,000 | 772,714 | |
| Pacific Gas & Electric Co.: | |||
| 1.75% 6/16/22 | 1,025,000 | 1,025,066 | |
| 3.95% 12/1/47 | 1,225,000 | 1,093,381 | |
| 4.5% 7/1/40 | 445,000 | 436,497 | |
| 4.95% 7/1/50 | 785,000 | 793,608 | |
| PacifiCorp: | |||
| 5.25% 6/15/35 | 1,375,000 | 1,760,941 | |
| 5.75% 4/1/37 | 900,000 | 1,204,486 | |
| Pattern Energy Operations LP 4.5% 8/15/28 (b) | 90,000 | 92,025 | |
| PECO Energy Co.: | |||
| 2.8% 6/15/50 | 380,000 | 362,976 | |
| 3.9% 3/1/48 | 785,000 | 903,819 | |
| PG&E Corp.: | |||
| 5% 7/1/28 | 1,155,000 | 1,149,225 | |
| 5.25% 7/1/30 | 735,000 | 743,269 | |
| PPL Capital Funding, Inc.: | |||
| 4.125% 4/15/30 | 400,000 | 451,738 | |
| 4.7% 6/1/43 | 1,315,000 | 1,558,098 | |
| PPL Electric Utilities Corp.: | |||
| 4.125% 6/15/44 | 700,000 | 810,493 | |
| 4.15% 10/1/45 | 555,000 | 647,385 | |
| 6.25% 5/15/39 | 250,000 | 352,351 | |
| PT Perusahaan Listrik Negara 1.875% 11/5/31 (b) | EUR | 1,500,000 | 1,791,220 |
| Public Service Electric & Gas Co.: | |||
| 3.6% 12/1/47 | 410,000 | 447,486 | |
| 3.65% 9/1/28 | 685,000 | 768,336 | |
| 3.65% 9/1/42 | 125,000 | 137,799 | |
| 3.95% 5/1/42 | 405,000 | 465,001 | |
| Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 384,496 | |
| Southern California Edison Co.: | |||
| 3.5% 10/1/23 | 675,000 | 715,339 | |
| 3.6% 2/1/45 | 2,335,000 | 2,279,597 | |
| 3.9% 12/1/41 | 120,000 | 123,006 | |
| 5.55% 1/15/37 | 430,000 | 524,128 | |
| Tampa Electric Co. 4.45% 6/15/49 | 600,000 | 734,674 | |
| Virginia Electric & Power Co.: | |||
| 6% 1/15/36 | 470,000 | 641,372 | |
| 6% 5/15/37 | 950,000 | 1,292,866 | |
| Vistra Operations Co. LLC: | |||
| 3.7% 1/30/27 (b) | 2,900,000 | 3,048,886 | |
| 4.375% 5/1/29 (b) | 1,000,000 | 1,005,220 | |
| 5% 7/31/27 (b) | 195,000 | 199,144 | |
| 5.5% 9/1/26 (b) | 770,000 | 794,981 | |
| 5.625% 2/15/27 (b) | 5,625,000 | 5,835,938 | |
| Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 269,960 | |
| Xcel Energy, Inc. 4% 6/15/28 | 2,700,000 | 3,047,988 | |
| 129,370,490 | |||
| Gas Utilities - 0.0% | |||
| AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
| 5.75% 5/20/27 | 679,000 | 753,690 | |
| 5.875% 8/20/26 | 5,200,000 | 5,796,440 | |
| Atmos Energy Corp. 3.375% 9/15/49 | 520,000 | 531,018 | |
| Nakilat, Inc. 6.067% 12/31/33 (b) | 666,000 | 810,147 | |
| Southern Co. Gas Capital Corp. 4.4% 6/1/43 | 615,000 | 703,144 | |
| 8,594,439 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Calpine Corp.: | |||
| 5% 2/1/31 (b) | 3,365,000 | 3,263,714 | |
| 5.125% 3/15/28 (b) | 1,375,000 | 1,385,313 | |
| PSEG Power LLC 3.85% 6/1/23 | 4,175,000 | 4,444,439 | |
| TerraForm Power Operating LLC 5% 1/31/28 (b) | 645,000 | 677,711 | |
| The AES Corp.: | |||
| 3.3% 7/15/25 (b) | 10,697,000 | 11,411,239 | |
| 3.95% 7/15/30 (b) | 9,327,000 | 10,070,362 | |
| 31,252,778 | |||
| Multi-Utilities - 0.1% | |||
| Ameren Illinois Co.: | |||
| 4.15% 3/15/46 | 935,000 | 1,088,344 | |
| 4.5% 3/15/49 | 295,000 | 365,138 | |
| Berkshire Hathaway Energy Co.: | |||
| 3.7% 7/15/30 | 1,280,000 | 1,432,566 | |
| 4.05% 4/15/25 | 16,081,000 | 17,919,844 | |
| 6.125% 4/1/36 | 3,050,000 | 4,152,273 | |
| CenterPoint Energy, Inc. 2.95% 3/1/30 | 25,000 | 26,056 | |
| Consolidated Edison Co. of New York, Inc.: | |||
| 3.7% 11/15/59 | 1,650,000 | 1,694,221 | |
| 3.95% 4/1/50 | 1,808,000 | 1,996,706 | |
| 4.3% 12/1/56 | 300,000 | 341,231 | |
| Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 217,313 | |
| DTE Energy Co. 3.8% 3/15/27 | 1,010,000 | 1,125,266 | |
| Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S) | 400,000 | 390,080 | |
| NiSource, Inc.: | |||
| 2.95% 9/1/29 | 11,346,000 | 11,879,208 | |
| 4.8% 2/15/44 | 190,000 | 229,913 | |
| 5.95% 6/15/41 | 640,000 | 859,946 | |
| NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 292,354 | |
| Puget Energy, Inc.: | |||
| 3.65% 5/15/25 | 324,000 | 349,762 | |
| 4.1% 6/15/30 | 5,059,000 | 5,580,204 | |
| 5.625% 7/15/22 | 4,555,000 | 4,765,678 | |
| 6% 9/1/21 | 4,353,000 | 4,413,401 | |
| San Diego Gas & Electric Co.: | |||
| 3.32% 4/15/50 | 910,000 | 925,847 | |
| 3.6% 9/1/23 | 100,000 | 106,124 | |
| 3.75% 6/1/47 | 710,000 | 764,949 | |
| Sempra Energy 4% 2/1/48 | 565,000 | 610,381 | |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2684% 5/15/67 (d)(f) | 1,012,000 | 938,592 | |
| 62,465,397 | |||
| TOTAL UTILITIES | 231,683,104 | ||
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $4,558,335,945) | 4,805,191,176 | ||
| U.S. Government and Government Agency Obligations - 8.1% | |||
| U.S. Government Agency Obligations - 0.1% | |||
| Fannie Mae: | |||
| 0.5% 6/17/25 | $1,685,000 | $1,679,117 | |
| 0.625% 4/22/25 | 1,625,000 | 1,629,822 | |
| 0.75% 10/8/27 | 980,000 | 953,303 | |
| 0.875% 8/5/30 | 705,000 | 659,199 | |
| 1.625% 10/15/24 | 1,295,000 | 1,348,009 | |
| 1.625% 1/7/25 | 705,000 | 734,249 | |
| 1.875% 9/24/26 | 290,000 | 305,377 | |
| 2% 10/5/22 | 430,000 | 440,806 | |
| 2.5% 2/5/24 | 665,000 | 704,847 | |
| 2.875% 9/12/23 | 505,000 | 535,406 | |
| 6.25% 5/15/29 | 255,000 | 347,722 | |
| 6.625% 11/15/30 | 670,000 | 961,586 | |
| Federal Home Loan Bank: | |||
| 3% 10/12/21 | 1,165,000 | 1,177,500 | |
| 3.25% 11/16/28 | 1,815,000 | 2,059,340 | |
| Freddie Mac: | |||
| 0.375% 4/20/23 | 885,000 | 888,464 | |
| 0.375% 5/5/23 | 3,065,000 | 3,077,445 | |
| 6.25% 7/15/32 | 40,000 | 58,192 | |
| Tennessee Valley Authority: | |||
| 0.75% 5/15/25 | 845,000 | 851,030 | |
| 2.875% 2/1/27 | 1,060,000 | 1,165,310 | |
| 5.25% 9/15/39 | 150,000 | 208,551 | |
| 7.125% 5/1/30 | 460,000 | 667,418 | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 20,452,693 | ||
| U.S. Treasury Obligations - 8.0% | |||
| U.S. Treasury Bonds: | |||
| 1.375% 11/15/40 | 39,605,000 | 34,351,149 | |
| 1.375% 8/15/50 | 96,905,000 | 77,580,781 | |
| 1.625% 11/15/50 | 86,650,000 | 74,031,594 | |
| 1.875% 2/15/41 | 79,537,000 | 75,324,025 | |
| 1.875% 2/15/51 | 55,075,000 | 50,075,223 | |
| 2.375% 5/15/51 | 407,132,000 | 415,020,183 | |
| 2.5% 2/15/46 | 62,755,000 | 65,341,193 | |
| 3% 11/15/44 | 1,780,000 | 2,021,899 | |
| 3% 2/15/47 | 14,390,000 | 16,436,640 | |
| 3.625% 8/15/43 | 44,730,000 | 55,809,411 | |
| 3.625% 2/15/44 | 8,660,000 | 10,832,442 | |
| 6.25% 8/15/23 | 11,080,000 | 12,557,622 | |
| stripped coupon: | |||
| 0% 2/15/29 | 1,020,000 | 906,535 | |
| 0% 2/15/36 | 1,100,000 | 803,741 | |
| 0% 11/15/36 | 1,975,000 | 1,412,876 | |
| 0% 5/15/39 | 5,425,000 | 3,586,603 | |
| 0% 8/15/39 | 8,745,000 | 5,730,263 | |
| 0% 8/15/40 | 22,665,000 | 14,400,485 | |
| 0% 2/15/41 | 590,000 | 369,424 | |
| 0% 5/15/41 | 20,000,000 | 12,430,908 | |
| 0% 11/15/41 | 850,000 | 522,147 | |
| 0% 5/15/42 | 2,635,000 | 1,592,848 | |
| 0% 8/15/42 | 490,000 | 295,164 | |
| 0% 11/15/42 | 1,280,000 | 764,767 | |
| 0% 5/15/44 | 7,670,000 | 4,406,851 | |
| stripped principal 0% 8/15/47 | 6,300,000 | 3,392,138 | |
| U.S. Treasury Notes: | |||
| 0.125% 9/30/22 | 340,000 | 340,093 | |
| 0.125% 11/30/22 | 1,110,000 | 1,110,304 | |
| 0.125% 3/31/23 | 205,370,000 | 205,337,911 | |
| 0.125% 4/30/23 | 311,360,000 | 311,262,700 | |
| 0.125% 5/31/23 | 9,875,000 | 9,871,143 | |
| 0.125% 9/15/23 | 34,020,000 | 33,972,159 | |
| 0.25% 5/15/24 | 31,995,000 | 31,945,008 | |
| 0.25% 9/30/25 | 60,505,000 | 59,467,434 | |
| 0.375% 4/30/25 | 33,015,000 | 32,795,760 | |
| 0.375% 12/31/25 | 40,000 | 39,386 | |
| 0.375% 1/31/26 | 71,795,000 | 70,586,264 | |
| 0.5% 3/15/23 | 34,900,000 | 35,127,668 | |
| 0.5% 2/28/26 | 133,345,000 | 131,761,528 | |
| 0.75% 3/31/26 | 102,380,000 | 102,268,022 | |
| 0.75% 4/30/26 | 247,335,000 | 246,871,247 | |
| 0.75% 5/31/26 | 1,115,000 | 1,112,300 | |
| 0.875% 11/15/30 | 394,290,000 | 370,016,522 | |
| 1.125% 8/31/21 | 54,000,000 | 54,147,136 | |
| 1.125% 2/15/31 | 84,723,000 | 81,109,035 | |
| 1.25% 4/30/28 | 337,720,000 | 337,614,463 | |
| 1.375% 2/15/23 | 6,950,000 | 7,097,145 | |
| 1.625% 11/15/22 | 42,535,000 | 43,468,776 | |
| 1.625% 4/30/23 | 21,075,000 | 21,669,381 | |
| 1.625% 5/15/31 | 73,600,000 | 73,738,000 | |
| 1.75% 9/30/22 | 15,955,000 | 16,304,016 | |
| 1.875% 4/30/22 | 13,445,000 | 13,666,107 | |
| 1.875% 9/30/22 | 1,213,000 | 1,241,524 | |
| 2% 10/31/22 | 39,230,000 | 40,273,579 | |
| 2% 2/15/25 | 10,415,000 | 10,992,300 | |
| 2% 8/15/25 | 6,760,000 | 7,149,756 | |
| 2.125% 6/30/22 | 20,330,000 | 20,776,307 | |
| 2.125% 7/31/24 | 41,955,000 | 44,288,747 | |
| 2.125% 5/15/25 | 33,680,000 | 35,752,109 | |
| 2.625% 2/15/29 | 43,960,000 | 47,990,239 | |
| 2.875% 5/15/28 | 24,350,000 | 26,984,746 | |
| 3.125% 11/15/28 | 16,315,000 | 18,388,790 | |
| TOTAL U.S. TREASURY OBLIGATIONS | 3,486,534,517 | ||
| Other Government Related - 0.0% | |||
| Private Export Funding Corp. Secured 3.55% 1/15/24 | 755,000 | 817,514 | |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $3,506,498,384) | 3,507,804,724 | ||
| U.S. Government Agency - Mortgage Securities - 8.3% | |||
| Fannie Mae - 2.1% | |||
| 12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (d)(f) | 3,859 | 4,060 | |
| 12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (d)(f) | 52,873 | 55,916 | |
| 12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (d)(f) | 8,165 | 8,692 | |
| 1.5% 11/1/50 to 12/1/50 | 12,778,806 | 12,555,786 | |
| 2% 8/1/31 to 11/1/50 | 69,022,610 | 70,418,799 | |
| 2.5% 6/1/28 to 4/1/51 | 123,179,915 | 128,061,348 | |
| 3% 2/1/27 to 12/1/50 (g)(h)(i)(j) | 338,433,518 | 357,224,930 | |
| 3.5% 1/1/28 to 4/1/50 (g)(h)(i) | 128,176,323 | 137,432,448 | |
| 4% 11/1/31 to 11/1/49 | 97,221,435 | 105,954,336 | |
| 4.5% 6/1/24 to 9/1/49 | 48,845,752 | 53,907,631 | |
| 5% 6/1/24 to 2/1/49 | 34,494,720 | 39,082,856 | |
| 5.26% 8/1/41 (d) | 292,503 | 331,646 | |
| 5.5% 11/1/36 to 1/1/40 | 1,882,764 | 2,201,335 | |
| 6% to 6% 2/1/34 to 1/1/42 (g)(h)(i) | 11,433,435 | 13,514,736 | |
| 6.5% 2/1/36 | 1,341 | 1,597 | |
| 6.594% 2/1/39 (d) | 214,443 | 238,306 | |
| TOTAL FANNIE MAE | 920,994,422 | ||
| Freddie Mac - 1.4% | |||
| 6 month U.S. LIBOR + 2.680% 2.932% 10/1/35 (d)(f) | 3,910 | 4,136 | |
| 1.5% 11/1/50 | 4,190,648 | 4,117,511 | |
| 2% 1/1/32 to 9/1/50 | 21,476,987 | 21,760,142 | |
| 2.5% 3/1/28 to 6/1/51 | 83,651,280 | 87,071,121 | |
| 3% 10/1/28 to 8/1/50 | 197,107,812 | 208,341,066 | |
| 3.5% 2/1/29 to 11/1/48 | 135,070,833 | 145,136,732 | |
| 3.5% 8/1/47 | 7,127,811 | 7,615,907 | |
| 4% 6/1/33 to 9/1/48 | 75,628,613 | 82,357,665 | |
| 4.5% 7/1/25 to 12/1/48 | 27,748,909 | 30,552,089 | |
| 5% 10/1/33 to 12/1/47 | 5,264,007 | 6,002,197 | |
| 6% 7/1/37 to 9/1/38 | 145,078 | 172,616 | |
| 6.5% 9/1/39 | 422,559 | 507,232 | |
| TOTAL FREDDIE MAC | 593,638,414 | ||
| Ginnie Mae - 2.5% | |||
| 3.5% 9/20/40 to 5/20/50 | 71,986,131 | 77,168,575 | |
| 4.5% 5/15/39 to 3/20/49 | 21,573,738 | 23,879,408 | |
| 5.5% 6/15/36 to 3/20/41 | 173,627 | 200,812 | |
| 2% 1/20/51 to 4/20/51 | 35,800,985 | 36,459,351 | |
| 2% 6/1/51 (c) | 12,750,000 | 12,969,887 | |
| 2% 6/1/51 (c) | 11,200,000 | 11,393,155 | |
| 2% 6/1/51 (c) | 10,050,000 | 10,223,322 | |
| 2% 6/1/51 (c) | 8,850,000 | 9,002,627 | |
| 2% 6/1/51 (c) | 5,050,000 | 5,137,092 | |
| 2% 6/1/51 (c) | 4,450,000 | 4,526,745 | |
| 2% 6/1/51 (c) | 3,300,000 | 3,356,912 | |
| 2% 6/1/51 (c) | 3,750,000 | 3,814,673 | |
| 2% 6/1/51 (c) | 2,200,000 | 2,237,941 | |
| 2% 6/1/51 (c) | 2,500,000 | 2,543,115 | |
| 2% 6/1/51 (c) | 700,000 | 712,072 | |
| 2% 6/1/51 (c) | 800,000 | 813,797 | |
| 2% 6/1/51 (c) | 1,750,000 | 1,780,181 | |
| 2% 6/1/51 (c) | 950,000 | 966,384 | |
| 2% 6/1/51 (c) | 2,150,000 | 2,187,079 | |
| 2% 6/1/51 (c) | 1,150,000 | 1,169,833 | |
| 2% 6/1/51 (c) | 36,225,000 | 36,849,736 | |
| 2% 6/1/51 (c) | 12,550,000 | 12,766,437 | |
| 2% 6/1/51 (c) | 11,500,000 | 11,698,329 | |
| 2% 6/1/51 (c) | 44,425,000 | 45,191,154 | |
| 2% 6/1/51 (c) | 5,200,000 | 5,289,679 | |
| 2% 6/1/51 (c) | 4,550,000 | 4,628,469 | |
| 2% 7/1/51 (c) | 3,950,000 | 4,011,178 | |
| 2% 7/1/51 (c) | 3,550,000 | 3,604,983 | |
| 2% 7/1/51 (c) | 2,350,000 | 2,386,397 | |
| 2% 7/1/51 (c) | 2,600,000 | 2,640,269 | |
| 2% 7/1/51 (c) | 5,950,000 | 6,042,155 | |
| 2% 7/1/51 (c) | 6,600,000 | 6,702,222 | |
| 2% 7/1/51 (c) | 14,300,000 | 14,521,481 | |
| 2% 7/1/51 (c) | 15,800,000 | 16,044,714 | |
| 2% 7/1/51 (c) | 8,350,000 | 8,479,326 | |
| 2% 7/1/51 (c) | 9,200,000 | 9,342,491 | |
| 2.5% 8/20/46 to 3/20/51 | 64,218,286 | 66,604,833 | |
| 2.5% 6/1/51 (c) | 5,800,000 | 6,007,279 | |
| 2.5% 6/1/51 (c) | 2,900,000 | 3,003,640 | |
| 2.5% 6/1/51 (c) | 7,900,000 | 8,182,329 | |
| 2.5% 6/1/51 (c) | 12,550,000 | 12,998,509 | |
| 2.5% 6/1/51 (c) | 14,300,000 | 14,811,051 | |
| 2.5% 6/1/51 (c) | 3,200,000 | 3,314,361 | |
| 2.5% 6/1/51 (c) | 5,850,000 | 6,059,066 | |
| 2.5% 6/1/51 (c) | 10,200,000 | 10,564,526 | |
| 2.5% 6/1/51 (c) | 11,775,000 | 12,195,813 | |
| 2.5% 6/1/51 (c) | 14,400,000 | 14,914,624 | |
| 2.5% 6/1/51 (c) | 25,475,000 | 26,385,420 | |
| 2.5% 6/1/51 (c) | 5,000,000 | 5,178,689 | |
| 2.5% 6/1/51 (c) | 3,850,000 | 3,987,591 | |
| 2.5% 6/1/51 (c) | 25,625,000 | 26,540,781 | |
| 2.5% 6/1/51 (c) | 2,525,000 | 2,615,238 | |
| 2.5% 6/1/51 (c) | 3,950,000 | 4,091,164 | |
| 2.5% 6/1/51 (c) | 3,900,000 | 4,039,377 | |
| 2.5% 6/1/51 (c) | 6,500,000 | 6,732,296 | |
| 2.5% 6/1/51 (c) | 5,000,000 | 5,178,689 | |
| 2.5% 6/1/51 (c) | 4,350,000 | 4,505,459 | |
| 2.5% 6/1/51 (c) | 4,700,000 | 4,867,968 | |
| 2.5% 6/1/51 (c) | 600,000 | 621,443 | |
| 2.5% 7/1/51 (c) | 6,000,000 | 6,201,797 | |
| 3% 8/20/42 to 11/20/50 | 116,853,022 | 122,563,957 | |
| 3% 6/1/51 (c) | 3,700,000 | 3,860,216 | |
| 3% 6/1/51 (c) | 6,350,000 | 6,624,965 | |
| 3% 6/1/51 (c) | 5,350,000 | 5,581,664 | |
| 3% 6/1/51 (c) | 7,350,000 | 7,668,267 | |
| 3% 6/1/51 (c) | 5,500,000 | 5,738,159 | |
| 3% 6/1/51 (c) | 9,100,000 | 9,494,045 | |
| 3% 6/1/51 (c) | 3,400,000 | 3,547,225 | |
| 3% 6/1/51 (c) | 5,750,000 | 5,998,984 | |
| 3% 7/1/51 (c) | 8,725,000 | 9,100,080 | |
| 3% 7/1/51 (c) | 5,475,000 | 5,710,365 | |
| 3% 7/1/51 (c) | 4,475,000 | 4,667,376 | |
| 3% 7/1/51 (c) | 7,150,000 | 7,457,372 | |
| 3% 7/1/51 (c) | 6,300,000 | 6,570,831 | |
| 3% 7/1/51 (c) | 4,850,000 | 5,058,497 | |
| 3% 7/1/51 (c) | 5,500,000 | 5,736,440 | |
| 3% 7/1/51 (c) | 8,700,000 | 9,074,005 | |
| 3.5% 6/1/51 (c) | 5,050,000 | 5,311,814 | |
| 3.5% 6/1/51 (c) | 225,000 | 236,665 | |
| 3.5% 6/1/51 (c) | 1,200,000 | 1,262,213 | |
| 3.5% 6/1/51 (c) | 2,450,000 | 2,577,019 | |
| 3.5% 6/1/51 (c) | 50,000 | 52,592 | |
| 3.5% 6/1/51 (c) | 100,000 | 105,184 | |
| 3.5% 6/1/51 (c) | 2,800,000 | 2,945,164 | |
| 3.5% 6/1/51 (c) | 125,000 | 131,481 | |
| 3.5% 6/1/51 (c) | 2,650,000 | 2,787,388 | |
| 3.5% 6/1/51 (c) | 2,250,000 | 2,366,650 | |
| 3.5% 6/1/51 (c) | 14,100,000 | 14,831,006 | |
| 3.5% 6/1/51 (c) | 2,900,000 | 3,050,349 | |
| 3.5% 6/1/51 (c) | 13,500,000 | 14,199,899 | |
| 3.5% 6/1/51 (c) | 650,000 | 683,699 | |
| 3.5% 6/1/51 (c) | 8,400,000 | 8,835,493 | |
| 3.5% 6/1/51 (c) | 400,000 | 420,738 | |
| 3.5% 7/1/51 (c) | 400,000 | 420,894 | |
| 3.5% 7/1/51 (c) | 8,700,000 | 9,154,445 | |
| 3.5% 7/1/51 (c) | 1,350,000 | 1,420,517 | |
| 3.5% 7/1/51 (c) | 650,000 | 683,953 | |
| 4% 5/20/40 to 5/20/49 | 103,979,145 | 112,947,308 | |
| 5% 6/20/34 to 6/20/48 | 18,255,670 | 20,253,514 | |
| TOTAL GINNIE MAE | 1,089,474,357 | ||
| Uniform Mortgage Backed Securities - 2.3% | |||
| 1.5% 6/1/36 (c) | 4,075,000 | 4,125,301 | |
| 1.5% 6/1/36 (c) | 3,525,000 | 3,568,512 | |
| 1.5% 6/1/36 (c) | 11,525,000 | 11,667,262 | |
| 1.5% 7/1/36 (c) | 17,500,000 | 17,686,622 | |
| 1.5% 7/1/36 (c) | 14,075,000 | 14,225,097 | |
| 1.5% 7/1/36 (c) | 11,525,000 | 11,647,904 | |
| 1.5% 7/1/36 (c) | 12,500,000 | 12,633,301 | |
| 2% 6/1/36 (c) | 8,200,000 | 8,472,265 | |
| 2% 7/1/36 (c) | 9,700,000 | 10,006,536 | |
| 2% 7/1/36 (c) | 11,775,000 | 12,147,109 | |
| 2% 7/1/36 (c) | 7,950,000 | 8,201,233 | |
| 2% 7/1/36 (c) | 7,075,000 | 7,298,581 | |
| 2% 7/1/36 (c) | 13,050,000 | 13,462,401 | |
| 2% 7/1/36 (c) | 3,800,000 | 3,920,086 | |
| 2% 6/1/51 (c) | 12,800,000 | 12,932,785 | |
| 2% 6/1/51 (c) | 6,400,000 | 6,466,392 | |
| 2% 6/1/51 (c) | 20,200,000 | 20,409,551 | |
| 2% 6/1/51 (c) | 6,800,000 | 6,870,542 | |
| 2% 6/1/51 (c) | 5,575,000 | 5,632,834 | |
| 2% 6/1/51 (c) | 24,750,000 | 25,006,752 | |
| 2% 6/1/51 (c) | 3,350,000 | 3,384,752 | |
| 2% 6/1/51 (c) | 13,300,000 | 13,437,972 | |
| 2% 6/1/51 (c) | 9,075,000 | 9,169,142 | |
| 2% 6/1/51 (c) | 14,275,000 | 14,423,086 | |
| 2% 6/1/51 (c) | 11,700,000 | 11,821,373 | |
| 2% 6/1/51 (c) | 15,850,000 | 16,014,425 | |
| 2% 6/1/51 (c) | 15,525,000 | 15,686,053 | |
| 2% 6/1/51 (c) | 10,550,000 | 10,659,444 | |
| 2% 6/1/51 (c) | 11,300,000 | 11,417,224 | |
| 2% 6/1/51 (c) | 13,250,000 | 13,387,453 | |
| 2% 7/1/51 (c) | 16,800,000 | 16,936,218 | |
| 2% 7/1/51 (c) | 14,900,000 | 15,020,812 | |
| 2% 7/1/51 (c) | 7,800,000 | 7,863,244 | |
| 2% 7/1/51 (c) | 3,225,000 | 3,251,149 | |
| 2% 7/1/51 (c) | 3,700,000 | 3,730,000 | |
| 2% 7/1/51 (c) | 1,025,000 | 1,033,311 | |
| 2% 7/1/51 (c) | 675,000 | 680,473 | |
| 2% 7/1/51 (c) | 11,200,000 | 11,290,812 | |
| 2% 7/1/51 (c) | 9,200,000 | 9,274,595 | |
| 2% 7/1/51 (c) | 25,175,000 | 25,379,124 | |
| 2% 7/1/51 (c) | 13,000,000 | 13,105,407 | |
| 2% 7/1/51 (c) | 5,700,000 | 5,746,217 | |
| 2% 7/1/51 (c) | 16,900,000 | 17,037,029 | |
| 2% 7/1/51 (c) | 15,300,000 | 15,424,055 | |
| 2% 7/1/51 (c) | 16,175,000 | 16,306,150 | |
| 2% 7/1/51 (c) | 11,700,000 | 11,794,866 | |
| 2% 7/1/51 (c) | 15,425,000 | 15,550,069 | |
| 2% 7/1/51 (c) | 14,750,000 | 14,869,596 | |
| 2% 7/1/51 (c) | 14,575,000 | 14,693,177 | |
| 2% 7/1/51 (c) | 15,150,000 | 15,272,839 | |
| 2.5% 6/1/51 (c) | 12,650,000 | 13,098,184 | |
| 2.5% 6/1/51 (c) | 15,200,000 | 15,738,530 | |
| 2.5% 6/1/51 (c) | 700,000 | 724,801 | |
| 2.5% 6/1/51 (c) | 20,200,000 | 20,915,678 | |
| 2.5% 6/1/51 (c) | 9,725,000 | 10,069,553 | |
| 2.5% 6/1/51 (c) | 19,925,000 | 20,630,935 | |
| 2.5% 7/1/51 (c) | 4,500,000 | 4,648,711 | |
| 2.5% 7/1/51 (c) | 18,050,000 | 18,646,495 | |
| 2.5% 7/1/51 (c) | 8,925,000 | 9,219,943 | |
| 2.5% 7/1/51 (c) | 1,025,000 | 1,058,873 | |
| 2.5% 7/1/51 (c) | 17,400,000 | 17,975,014 | |
| 2.5% 7/1/51 (c) | 19,925,000 | 20,583,457 | |
| 2.5% 7/1/51 (c) | 15,550,000 | 16,063,878 | |
| 2.5% 7/1/51 (c) | 7,175,000 | 7,412,111 | |
| 2.5% 7/1/51 (c) | 5,150,000 | 5,320,191 | |
| 2.5% 7/1/51 (c) | 3,900,000 | 4,028,883 | |
| 2.5% 7/1/51 (c) | 4,150,000 | 4,287,144 | |
| 2.5% 7/1/51 (c) | 4,500,000 | 4,648,711 | |
| 2.5% 7/1/51 (c) | 5,000,000 | 5,165,234 | |
| 2.5% 7/1/51 (c) | 10,700,000 | 11,053,601 | |
| 2.5% 7/1/51 (c) | 3,450,000 | 3,564,011 | |
| 2.5% 7/1/51 (c) | 4,500,000 | 4,648,711 | |
| 2.5% 7/1/51 (c) | 13,300,000 | 13,739,522 | |
| 2.5% 7/1/51 (c) | 8,500,000 | 8,780,898 | |
| 2.5% 7/1/51 (c) | 17,525,000 | 18,104,145 | |
| 2.5% 7/1/51 (c) | 1,225,000 | 1,265,482 | |
| 2.5% 7/1/51 (c) | 17,700,000 | 18,284,928 | |
| 3% 6/1/51 (c) | 550,000 | 574,406 | |
| 3% 6/1/51 (c) | 1,500,000 | 1,566,563 | |
| 3% 6/1/51 (c) | 3,800,000 | 3,968,625 | |
| 3% 6/1/51 (c) | 4,800,000 | 5,013,000 | |
| 3% 6/1/51 (c) | 4,200,000 | 4,386,375 | |
| 3% 6/1/51 (c) | 5,200,000 | 5,430,751 | |
| 3.5% 6/1/51 (c) | 3,650,000 | 3,852,907 | |
| 3.5% 6/1/51 (c) | 9,850,000 | 10,397,571 | |
| 3.5% 6/1/51 (c) | 900,000 | 950,032 | |
| 3.5% 6/1/51 (c) | 1,900,000 | 2,005,623 | |
| 3.5% 6/1/51 (c) | 1,600,000 | 1,688,946 | |
| 3.5% 6/1/51 (c) | 3,400,000 | 3,589,009 | |
| 3.5% 6/1/51 (c) | 1,450,000 | 1,530,607 | |
| 3.5% 6/1/51 (c) | 1,350,000 | 1,425,048 | |
| 3.5% 6/1/51 (c) | 17,000,000 | 17,945,047 | |
| 3.5% 6/1/51 (c) | 250,000 | 263,898 | |
| 3.5% 6/1/51 (c) | 2,700,000 | 2,850,096 | |
| 3.5% 6/1/51 (c) | 2,200,000 | 2,322,300 | |
| 3.5% 6/1/51 (c) | 200,000 | 211,118 | |
| 3.5% 6/1/51 (c) | 1,725,000 | 1,820,894 | |
| 3.5% 6/1/51 (c) | 600,000 | 633,355 | |
| 3.5% 6/1/51 (c) | 550,000 | 580,575 | |
| 3.5% 6/1/51 (c) | 1,675,000 | 1,768,115 | |
| 3.5% 6/1/51 (c) | 2,900,000 | 3,061,214 | |
| 3.5% 6/1/51 (c) | 15,600,000 | 16,467,220 | |
| 3.5% 7/1/51 (c) | 2,500,000 | 2,640,540 | |
| 3.5% 7/1/51 (c) | 1,650,000 | 1,742,756 | |
| 3.5% 7/1/51 (c) | 10,550,000 | 11,143,079 | |
| 3.5% 7/1/51 (c) | 7,000,000 | 7,393,512 | |
| 3.5% 7/1/51 (c) | 7,700,000 | 8,132,863 | |
| 3.5% 7/1/51 (c) | 7,100,000 | 7,499,134 | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 982,573,936 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $3,545,095,827) | 3,586,681,129 | ||
| Asset-Backed Securities - 2.2% | |||
| AASET Trust: | |||
| Series 2018-1A Class A, 3.844% 1/16/38 (b) | $3,019,968 | $2,893,499 | |
| Series 2019-1 Class A, 3.844% 5/15/39 (b) | 4,769,147 | 4,785,242 | |
| Series 2019-2: | |||
| Class A, 3.376% 10/16/39 (b) | 7,541,694 | 7,554,440 | |
| Class B, 4.458% 10/16/39 (b) | 1,333,003 | 1,095,391 | |
| Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 0.6011% 4/25/36 (d)(f) | 2,414,000 | 2,276,536 | |
| Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 0.7366% 12/25/35 (f) | 11,165,000 | 11,009,154 | |
| Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 2,207,000 | 2,211,073 | |
| AIG CLO LLC Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.120% 1.2625% 4/20/32 (b)(d)(f) | 7,500,000 | 7,503,368 | |
| Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5038% 7/22/32 (b)(d)(f) | 10,856,000 | 10,857,020 | |
| AIMCO CLO Ltd. Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.5638% 10/15/31 (b)(d)(f) | 5,211,000 | 5,219,494 | |
| Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.5183% 1/20/33 (b)(d)(f) | 3,880,000 | 3,888,474 | |
| Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3383% 7/20/32 (b)(d)(f) | 16,000,000 | 16,001,120 | |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 0% 7/20/34 (b)(c)(d)(f) | 4,673,000 | 4,673,000 | |
| Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 1.2916% 11/25/34 (d)(f) | 3,108,480 | 3,073,895 | |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
| Class A, 3.351% 1/16/40 (b) | 3,607,638 | 3,612,602 | |
| Class B, 4.335% 1/16/40 (b) | 609,253 | 499,786 | |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5038% 10/15/32 (b)(d)(f) | 7,102,000 | 7,110,025 | |
| Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.8838% 4/15/31 (b)(d)(f) | 6,330,000 | 6,346,192 | |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4398% 4/17/33 (b)(d)(f) | 15,169,000 | 15,234,864 | |
| Argent Securities, Inc. pass-thru certificates Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 0.7316% 1/25/36 (d)(f) | 3,073,971 | 2,959,390 | |
| Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 1.4132% 1/20/34 (b)(d)(f) | 2,000,000 | 2,000,644 | |
| Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.5838% 10/15/32 (b)(d)(f) | 8,259,000 | 8,272,553 | |
| Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 1.3458% 1/25/35 (b)(d)(f) | 12,000,000 | 11,996,964 | |
| Battalion CLO XI Ltd. / Battalion CLO XI LLC Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.150% 1.3258% 4/24/34 (b)(d)(f) | 22,750,000 | 22,744,244 | |
| Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5198% 1/17/33 (b)(d)(f) | 3,340,000 | 3,350,207 | |
| Bellemeade Re Ltd.: | |||
| Series 2019-4A Class M1A, 1 month U.S. LIBOR + 1.400% 1.4916% 10/25/29 (b)(d)(f) | 3,882,508 | 3,885,064 | |
| Series 2021-1A: | |||
| Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.750% 1.76% 3/25/31 (b)(d)(f) | 4,850,000 | 4,862,161 | |
| Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.950% 2.96% 3/25/31 (b)(d)(f) | 2,140,000 | 2,244,267 | |
| Blackbird Capital Aircraft Series 2016-1A: | |||
| Class A, 4.213% 12/16/41 (b) | 7,990,208 | 8,061,329 | |
| Class AA, 2.487% 12/16/41 (b)(d) | 1,266,375 | 1,273,029 | |
| BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 1.8876% 4/20/33 (b)(d)(f) | 8,500,000 | 8,507,897 | |
| BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 1.4228% 4/15/34 (b)(d)(f) | 3,000,000 | 3,009,648 | |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1738% 4/15/29 (b)(d)(f) | 8,338,000 | 8,336,041 | |
| CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27 | 200,000 | 199,661 | |
| Carrington Mortgage Loan Trust Series 2005-FRE1: | |||
| Class M1, 1 month U.S. LIBOR + 0.700% 0.7966% 12/25/35 (d)(f) | 4,224,555 | 4,187,438 | |
| Class M2, 1 month U.S. LIBOR + 0.730% 0.8266% 12/25/35 (f) | 10,000,000 | 9,388,958 | |
| Cascade Funding Mortgage Trust: | |||
| Series 2020-HB2 Class A, 3.4047% 4/25/30 (b) | 5,981,082 | 6,046,366 | |
| Series 2020-HB3 Class A, 2.8115% 5/25/30 (b)(d) | 433,938 | 437,468 | |
| Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
| Class A, 3.967% 4/15/39 (b) | 7,117,936 | 7,134,620 | |
| Class B, 5.095% 4/15/39 (b) | 3,409,346 | 3,202,302 | |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 6,431,517 | 6,425,069 | |
| Cedar Funding Ltd.: | |||
| Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.5283% 10/20/32 (b)(d)(f) | 5,957,000 | 5,985,588 | |
| Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.5405% 5/29/32 (b)(d)(f) | 4,370,000 | 4,370,310 | |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.4458% 10/25/32 (b)(d)(f) | 3,330,000 | 3,341,199 | |
| Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.8883% 7/20/31 (b)(d)(f) | 6,998,000 | 7,034,879 | |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.4416% 10/25/37 (b)(d)(f) | 1,805,135 | 1,813,950 | |
| Citibank Credit Card Issuance Trust: | |||
| Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 741,618 | |
| Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,459,931 | |
| CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 677,145 | 678,209 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 3,214,321 | 3,246,128 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (b) | 250,576 | 251,015 | |
| CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b) | 3,200,000 | 3,530,140 | |
| Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, 3 month U.S. LIBOR + 1.060% 1.2438% 10/15/31 (b)(d)(f) | 25,000,000 | 24,993,700 | |
| DB Master Finance LLC Series 2017-1A: | |||
| Class A2I, 3.629% 11/20/47 (b) | 4,185,405 | 4,247,349 | |
| Class A2II, 4.03% 11/20/47 (b) | 7,074,360 | 7,550,394 | |
| Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.4938% 7/15/32 (b)(d)(f) | 5,220,000 | 5,220,298 | |
| Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.5183% 10/20/32 (b)(d)(f) | 7,395,000 | 7,413,606 | |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5338% 10/15/32 (b)(d)(f) | 5,609,000 | 5,628,357 | |
| Dryden Senior Loan Fund: | |||
| Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3698% 4/17/33 (b)(d)(f) | 5,400,000 | 5,415,007 | |
| Series 2021-72A Class BR, 3 month U.S. LIBOR + 1.600% 0% 5/15/32 (b)(d)(f) | 6,000,000 | 6,001,728 | |
| Eaton Vance CLO, Ltd.: | |||
| Series 2020-1A Class A, 3 month U.S. LIBOR + 1.650% 1.8338% 10/15/30 (b)(d)(f) | 6,500,000 | 6,514,144 | |
| Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5538% 10/15/32 (b)(d)(f) | 5,900,000 | 5,909,499 | |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.4338% 1/15/34 (b)(d)(f) | 7,240,000 | 7,235,743 | |
| EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 1.4416% 3/25/36 (b)(d)(f) | 1,233,957 | 1,262,983 | |
| Elmwood CLO II Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3383% 4/20/34 (b)(d)(f) | 35,000,000 | 34,991,145 | |
| Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 0.9916% 1/25/36 (d)(f) | 4,800,000 | 4,732,088 | |
| Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 6,174,000 | 6,178,519 | |
| Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(d) | 4,097,513 | 4,100,063 | |
| Flatiron CLO Ltd.: | |||
| Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.4759% 11/16/32 (b)(d)(f) | 7,901,000 | 7,915,814 | |
| Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.110% 1.11% 7/19/34 (b)(c)(d)(f) | 4,210,000 | 4,210,000 | |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4553% 11/20/33 (b)(d)(f) | 5,700,000 | 5,747,544 | |
| Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/33 (b) | 1,190,000 | 1,198,035 | |
| Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, 3 month U.S. LIBOR + 1.140% 1.3238% 4/15/34 (b)(d)(f) | 35,000,000 | 35,026,320 | |
| Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 0.9% 4/25/34 (b)(d)(f) | EUR | 2,000,000 | 2,441,580 |
| Home Re, Ltd. Series 2021-1: | |||
| Class M1A, 1 month U.S. LIBOR + 1.050% 1.1416% 7/25/33 (b)(d)(f) | 305,000 | 303,570 | |
| Class M1B, 1 month U.S. LIBOR + 1.550% 1.6416% 7/25/33 (b)(d)(f) | 165,000 | 165,000 | |
| Class M1C, 1 month U.S. LIBOR + 2.300% 2.3916% 7/25/33 (b)(d)(f) | 745,000 | 735,012 | |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,520,156 | 3,572,629 | |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,278,393 | 4,293,921 | |
| HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 0.2316% 1/25/37 (d)(f) | 3,108,767 | 2,729,348 | |
| Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 0.65% 7/15/31 (b)(d)(f) | EUR | 10,000,000 | 12,194,585 |
| JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 1.4698% 7/17/29 (b)(d)(f) | 1,970,236 | 1,970,092 | |
| KKR Financial CLO Ltd. Series 2021-33A Class A, 3 month U.S. LIBOR + 1.170% 0% 7/20/34 (b)(d)(f) | 13,000,000 | 13,001,352 | |
| Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(d) | 6,383,000 | 6,543,992 | |
| LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 1.1683% 3/20/30 (b)(d)(f) | 7,500,000 | 7,493,798 | |
| Lendmark Funding Trust Series 2021-1A: | |||
| Class A, 1.9% 11/20/31 (b) | 4,200,000 | 4,224,228 | |
| Class B, 2.47% 11/20/31 (b) | 150,000 | 150,943 | |
| Logan CLO I, Ltd. / Logan CLO I LLC Series 2021-1A Class A, 3 month U.S. LIBOR + 1.160% 0% 7/20/34 (b)(c)(d)(f) | 12,500,000 | 12,501,275 | |
| Madison Park Funding Ltd.: | |||
| Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.4838% 7/15/32 (b)(d)(f) | 9,143,000 | 9,143,411 | |
| Series 2021-10A Class AR3, 3 month U.S. LIBOR + 1.010% 1.1983% 1/20/29 (b)(d)(f) | 2,962,959 | 2,963,202 | |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.8338% 7/15/31 (b)(d)(f) | 7,030,000 | 7,036,791 | |
| Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 1.186% 7/21/30 (b)(d)(f) | 7,000,000 | 6,998,236 | |
| Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5138% 10/15/32 (b)(d)(f) | 3,846,000 | 3,866,299 | |
| Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, 3 month U.S. LIBOR + 1.200% 1.2958% 4/25/32 (b)(d)(f) | 20,000,000 | 20,003,600 | |
| Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, 3 month U.S. LIBOR + 1.120% 0% 7/17/34 (b)(c)(d)(f) | 12,500,000 | 12,500,000 | |
| Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 0.9838% 1/15/28 (b)(d)(f) | 6,918,266 | 6,923,828 | |
| Magnetite XXI Ltd. Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5138% 1/15/33 (b)(d)(f) | 17,576,000 | 17,571,536 | |
| Marlette Funding Trust: | |||
| Series 2019-4A Class A, 2.39% 12/17/29 (b) | 1,213,208 | 1,219,950 | |
| Series 2020-1A Class A, 2.24% 3/15/30 (b) | 461,206 | 462,314 | |
| MASTR Asset Backed Securities Trust: | |||
| Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 0.7916% 11/25/35 (d)(f) | 11,293,950 | 8,584,123 | |
| Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 1.8166% 6/25/35 (d)(f) | 1,816,559 | 1,833,645 | |
| MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 1.2921% 4/19/33 (b)(d)(f) | 5,000,000 | 4,998,720 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 2,388,485 | 2,461,230 | |
| MidOcean Credit CLO V Series 2018-5A Class AR, 3 month U.S. LIBOR + 1.120% 1.3098% 7/19/28 (b)(d)(f) | 1,290,017 | 1,290,083 | |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2583% 10/20/30 (b)(d)(f) | 8,353,000 | 8,363,308 | |
| Morgan Stanley ABS Capital I Trust: | |||
| Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 0.5716% 6/25/36 (f) | 4,256,504 | 2,812,327 | |
| Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 0.3516% 5/25/37 (d)(f) | 2,644,763 | 2,263,964 | |
| Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0951% 8/10/23 (b)(d)(f) | 12,613,000 | 12,733,984 | |
| Mountain View CLO XIV, Ltd. Series 2019-1A Class B, 3 month U.S. LIBOR + 2.000% 2.0269% 4/15/29 (b)(d)(f) | 1,250,000 | 1,251,531 | |
| Nationstar HECM Loan Trust: | |||
| Series 2019-1A Class A, 2.6513% 6/25/29 (b) | 1,300,160 | 1,302,330 | |
| Series 2020-1A Class A1, 1.2686% 9/25/30 (b) | 7,482,648 | 7,474,013 | |
| Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 0.4516% 9/25/36 (d)(f) | 8,141,000 | 7,702,005 | |
| Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b) | 100,000 | 100,344 | |
| Navient Student Loan Trust: | |||
| Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 4/25/40 (d)(f) | 463,355 | 463,058 | |
| Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 1.5916% 6/25/65 (b)(d)(f) | 1,475,000 | 1,529,840 | |
| Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 0.3216% 4/25/37 (f) | 4,475,401 | 4,376,950 | |
| Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4898% 7/17/32 (b)(d)(f) | 8,530,000 | 8,538,820 | |
| OCP CLO Ltd. / OCP CLO LLC Series 2021-18A Class AR, 3 month U.S. LIBOR + 1.090% 1.25% 7/20/32 (b)(d)(f) | 18,000,000 | 17,979,696 | |
| Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.2383% 7/20/30 (b)(d)(f) | 3,000,000 | 2,999,244 | |
| Oportun Funding XIV, LLC Series 2021-A: | |||
| Class A, 1.21% 3/8/28 (b) | 500,000 | 501,399 | |
| Class B, 1.76% 3/8/28 (b) | 300,000 | 299,080 | |
| Oportun Funding, LLC Series 2020-1 Class B, 3.45% 5/15/24 (b) | 2,000,000 | 2,046,654 | |
| Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 0% 4/20/34 (b)(d)(f) | 6,000,000 | 6,003,378 | |
| Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, 3 month U.S. LIBOR + 1.000% 1.1883% 10/20/31 (b)(d)(f) | 12,750,000 | 12,746,787 | |
| Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 1.3941% 2/14/34 (b)(d)(f) | 2,000,000 | 1,999,496 | |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,137,313 | 6,135,655 | |
| PMT Credit Risk Transfer Trust Series 2021-1R Class A, 1 month U.S. LIBOR + 2.900% 3.0091% 2/27/24 (b)(d)(f) | 6,485,132 | 6,485,145 | |
| Prosper Marketplace Issuance Trust Series 2019-4A Class A, 2.48% 2/17/26 (b) | 248,792 | 249,301 | |
| Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 1.2683% 4/20/34 (b)(d)(f) | 4,700,000 | 4,698,811 | |
| RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (b) | 139,313 | 139,806 | |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 0% 4/20/34 (b)(c)(d)(f) | 7,250,000 | 7,250,732 | |
| Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, 3 month U.S. LIBOR + 1.170% 0% 7/10/34 (b)(c)(d)(f) | 13,250,000 | 13,251,299 | |
| Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26 | 2,800,000 | 2,796,745 | |
| Sapphire Aviation Finance Series 2020-1A: | |||
| Class A, 3.228% 3/15/40 (b) | 6,819,211 | 6,809,351 | |
| Class B, 4.335% 3/15/40 (b) | 665,815 | 583,500 | |
| Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 1.5155% 4/20/33 (b)(d)(f) | 12,000,000 | 12,011,004 | |
| SBA Tower Trust: | |||
| Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 8,448,445 | |
| 1.884% 7/15/50 (b) | 2,753,000 | 2,805,474 | |
| 2.328% 7/15/52 (b) | 2,105,000 | 2,138,885 | |
| Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 0.3716% 6/25/36 (d)(f) | 2,802,251 | 2,167,309 | |
| Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 1.4326% 1/20/34 (b)(d)(f) | 5,000,000 | 5,008,430 | |
| SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 2,189,614 | 2,205,021 | |
| Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, 3 month U.S. LIBOR + 1.070% 0% 10/23/31 (b)(d)(f) | 10,250,000 | 10,250,000 | |
| Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 0.3916% 1/25/37 (d)(f) | 7,309,000 | 6,997,836 | |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b)(c) | 1,500,000 | 1,510,446 | |
| Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.5038% 1/15/34 (b)(d)(f) | 3,410,000 | 3,415,633 | |
| Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1883% 1/20/29 (b)(d)(f) | 5,538,000 | 5,547,021 | |
| TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, 3 month U.S. LIBOR + 1.160% 0% 4/20/34 (b)(d)(f) | 5,500,000 | 5,500,000 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (d)(f) | 3,983 | 3,717 | |
| TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 2.8916% 6/25/24 (b)(d)(f) | 1,250,000 | 1,239,800 | |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(d) | 9,813,778 | 9,869,255 | |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 10,023,198 | 9,967,956 | |
| Towd Point Mortgage Trust: | |||
| Series 2019-1 Class A1, 3.7395% 3/25/58 (b)(d) | 2,028,038 | 2,148,115 | |
| Series 2020-4 Class A1, 1.75% 10/25/60 (b) | 2,992,251 | 3,041,858 | |
| Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 1.5585% 4/25/34 (b)(d)(f) | 12,000,000 | 11,996,772 | |
| Upstart Securitization Trust: | |||
| Series 2021-1 Class A, 0.87% 3/20/31 (b) | 790,320 | 791,562 | |
| Series 2021-2 Class A, 0.91% 6/20/31 (b) | 10,134,000 | 10,147,095 | |
| Venture 43 CLO, Ltd. Series 2021-43A Class A1, 3 month U.S. LIBOR + 1.240% 0% 4/15/34 (b)(d)(f) | 15,200,000 | 15,201,550 | |
| VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b) | 5,680,309 | 5,690,215 | |
| Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 1.8836% 7/16/31 (b)(d)(f) | 8,112,000 | 8,122,862 | |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.4583% 7/20/32 (b)(d)(f) | 8,868,000 | 8,868,949 | |
| Voya CLO Ltd./Voya CLO LLC: | |||
| Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.7898% 7/19/31 (b)(d)(f) | 6,400,000 | 6,403,386 | |
| Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4883% 10/20/31 (b)(d)(f) | 7,500,000 | 7,539,563 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $967,690,761) | 970,420,803 | ||
| Collateralized Mortgage Obligations - 0.7% | |||
| Private Sponsor - 0.6% | |||
| Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.220% 0.3116% 9/25/47 (f) | 2,289,194 | 2,195,346 | |
| BCAP LLC Trust sequential payer: | |||
| Series 2010-RR2 Class 5A2, 5% 12/26/36 (b) | 118,281 | 118,175 | |
| Series 2010-RR4 Class 31A6, 6.4583% 1/26/37 (b)(d) | 4,436,341 | 4,237,175 | |
| Series 2012-RR5 Class 8A5, 0.5159% 7/26/36 (b)(d) | 20,433 | 20,271 | |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(d) | 4,184,811 | 4,190,205 | |
| Cascade Funding Mortgage Trust Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 5,160,380 | 5,157,977 | |
| Central Park Funding Trust floater: | |||
| Series 2021-1 Class PT, 1 month U.S. LIBOR + 2.750% 2.84% 8/29/22 (b)(d)(f) | 12,784,762 | 13,081,025 | |
| Series 2021-2 Class PT, 3.0925% 10/27/22 (b)(d) | 15,895,902 | 16,003,491 | |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 3,822,589 | 3,826,708 | |
| CIM Trust sequential payer: | |||
| Series 2021-R1 Class A2, 2.4% 8/25/56 (b) | 9,228,000 | 9,247,945 | |
| Series 2021-R3 Class A1A, 1.951% 6/25/57 (b) | 11,925,442 | 12,040,185 | |
| Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35 | 1,776,084 | 1,804,151 | |
| Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 2.1416% 1/25/40 (b)(d)(f) | 977,189 | 980,631 | |
| CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.3994% 5/27/37 (b)(d)(f) | 382,100 | 374,794 | |
| CSMC Trust sequential payer: | |||
| Series 2020-RPL2 Class A12, 3.4537% 2/25/60 (b)(d) | 790,089 | 806,955 | |
| Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(d) | 5,438,228 | 5,546,727 | |
| Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 2,846,758 | 2,889,926 | |
| CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35 | 2,710,387 | 2,682,688 | |
| Eagle Re Ltd. floater Series 2021-1: | |||
| Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.16% 10/25/33 (b)(d)(f) | 1,125,000 | 1,140,335 | |
| Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.700% 2.71% 10/25/33 (b)(d)(f) | 1,735,000 | 1,760,214 | |
| Freddie Mac STACR REMIC Trust floater: | |||
| Series 2019-DNA4 Class B1, 1 month U.S. LIBOR + 2.700% 2.7916% 10/25/49 (b)(d)(f) | 9,700,000 | 9,711,585 | |
| Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.01% 12/25/50 (b)(d)(f) | 3,910,000 | 3,907,313 | |
| Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.400% 3.41% 8/25/33 (b)(d)(f) | 4,380,000 | 4,455,668 | |
| Series 2021-HQA1: | |||
| Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.01% 8/25/33 (b)(d)(f) | 2,700,000 | 2,668,671 | |
| Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.250% 2.26% 8/25/33 (b)(d)(f) | 3,900,000 | 3,943,012 | |
| Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, 1 month U.S. LIBOR + 2.300% 2.3916% 1/25/50 (b)(d)(f) | 6,600,000 | 6,584,881 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5493% 2/20/49 (d)(f) | 2,077,058 | 2,097,969 | |
| GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.3166% 11/19/35 (d) | 2,071,982 | 2,056,613 | |
| GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 0.5316% 8/25/46 (d)(f) | 19,560,543 | 6,535,985 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 0.9201% 12/22/69 (b)(d)(f) | 2,205,233 | 2,208,078 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(d) | 5,800,000 | 5,922,212 | |
| Legacy Mortgage Asset Trust sequential payer Series 2021-SL1 Class A, 1.991% 7/30/75 (b) | 3,909,052 | 3,908,611 | |
| Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 0.2716% 2/25/36 (f) | 7,198,544 | 5,007,372 | |
| Mortgage Repurchase Agreement Financing Trust: | |||
| floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3451% 1/23/23 (b)(d)(f) | 3,508,000 | 3,525,038 | |
| Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4451% 4/23/23 (b)(d)(f) | 16,662,000 | 16,709,320 | |
| MRA Issuance Trust floater: | |||
| Series 2021-10 Class A1X, 1 month U.S. LIBOR + 1.500% 0% 2/22/23 (b)(d)(f) | 14,920,000 | 14,918,508 | |
| Series 2021-9 Class A1X, 1 month U.S. LIBOR + 1.200% 1.3101% 11/15/21 (b)(d)(f) | 13,000,000 | 12,988,274 | |
| Series 2021-EBO3: | |||
| Class A1X, 1 month U.S. LIBOR + 1.750% 1.8601% 3/31/23 (b)(d)(f) | 5,570,000 | 5,559,339 | |
| Class A2, 1 month U.S. LIBOR + 2.750% 2.8601% 3/31/23 (b)(d)(f) | 6,430,000 | 6,417,654 | |
| Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29(b) | 2,015,418 | 2,019,134 | |
| New Residential Mortgage Loan Trust: | |||
| Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,822,838 | 1,909,327 | |
| Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 3,083,479 | 3,270,439 | |
| Preston Ridge Partners Mortgage Trust Series 2021-1 Class A1, 2.115% 1/25/26 (b) | 4,860,971 | 4,859,637 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (b) | 176,758 | 176,624 | |
| RALI Trust: | |||
| Series 2006-QS4 Class A4, 6% 4/25/36 | 2,037,568 | 1,979,898 | |
| Series 2007-QS3 Class A5, 6.25% 2/25/37 | 3,163,950 | 3,069,118 | |
| Series 2007-QS8 Class A5, 6% 6/25/37 | 1,220,065 | 1,180,228 | |
| Retiro Mortgage Securities floater Series 2021-1A Class A1, 0.000% x 3 month EURIBOR 0% 7/30/75 (b)(d)(f) | EUR | 2,190,000 | 2,652,110 |
| RMF Buyout Issuance Trust: | |||
| sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (b) | 8,424,620 | 8,447,557 | |
| Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 1,599,775 | 1,582,606 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.14% 7/20/34 (d)(f) | 1,019 | 998 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.756% 1/21/70 (b)(d)(f) | 3,072,765 | 3,076,634 | |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.7316% 9/25/43 (d)(f) | 1,856,516 | 1,818,426 | |
| WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 0.8316% 1/25/45 (f) | 2,189,203 | 2,179,152 | |
| TOTAL PRIVATE SPONSOR | 245,452,915 | ||
| U.S. Government Agency - 0.1% | |||
| Fannie Mae: | |||
| planned amortization class Series 2012-149: | |||
| Class DA, 1.75% 1/25/43 | 903,401 | 927,940 | |
| Class GA, 1.75% 6/25/42 | 976,304 | 1,003,159 | |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | 240,688 | 272,892 | |
| Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.4534% 8/25/37 (d)(k)(l) | 839,470 | 181,536 | |
| Series 2010-135 Class ZA, 4.5% 12/25/40 | 589,848 | 647,107 | |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | 787,164 | 877,214 | |
| Series 2010-95 Class ZC, 5% 9/25/40 | 1,669,156 | 1,855,213 | |
| Series 2011-4 Class PZ, 5% 2/25/41 | 284,761 | 341,776 | |
| Series 2012-100 Class WI, 3% 9/25/27 (k) | 436,123 | 34,792 | |
| Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5584% 12/25/30 (d)(k)(l) | 109,601 | 9,967 | |
| Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.4584% 6/25/41 (d)(k)(l) | 114,322 | 9,529 | |
| Series 2013-133 Class IB, 3% 4/25/32 (k) | 234,071 | 11,384 | |
| Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.9584% 1/25/44 (d)(k)(l) | 154,822 | 28,282 | |
| Series 2013-44 Class DJ, 1.85% 5/25/33 | 8,904,433 | 9,134,740 | |
| Series 2013-51 Class GI, 3% 10/25/32 (k) | 635,584 | 48,032 | |
| Series 2015-42 Class IL, 6% 6/25/45 (k) | 838,714 | 164,382 | |
| Series 2015-70 Class JC, 3% 10/25/45 | 688,065 | 729,994 | |
| Series 2017-30 Class AI, 5.5% 5/25/47 (k) | 463,618 | 92,220 | |
| Freddie Mac: | |||
| planned amortization class: | |||
| Series 2020-4960 Class PB, 1.5% 10/25/49 | 5,056,483 | 5,132,615 | |
| Series 4135 Class AB, 1.75% 6/15/42 | 734,370 | 754,856 | |
| sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 588,448 | 686,242 | |
| Series 2017-4683 Class LM, 3% 5/15/47 | 982,607 | 1,040,778 | |
| Series 2933 Class ZM, 5.75% 2/15/35 | 478,512 | 545,155 | |
| Series 2996 Class ZD, 5.5% 6/15/35 | 329,075 | 380,850 | |
| Series 3237 Class C, 5.5% 11/15/36 | 442,645 | 504,601 | |
| Series 3955 Class YI, 3% 11/15/21 (k) | 10,081 | 44 | |
| Series 3980 Class EP, 5% 1/15/42 | 2,542,893 | 2,896,442 | |
| Series 4055 Class BI, 3.5% 5/15/31 (k) | 227,023 | 11,883 | |
| Series 4149 Class IO, 3% 1/15/33 (k) | 321,761 | 35,135 | |
| Series 4314 Class AI, 5% 3/15/34 (k) | 79,014 | 4,905 | |
| Series 4427 Class LI, 3.5% 2/15/34 (k) | 485,695 | 40,436 | |
| Series 4471 Class PA 4% 12/15/40 | 406,235 | 435,382 | |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 700,578 | 763,464 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 2,540,347 | 2,750,680 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
| Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.4904% 12/20/60 (d)(f)(m) | 896,381 | 898,723 | |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6604% 9/20/61 (d)(f)(m) | 3,817,383 | 3,840,687 | |
| Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.6304% 8/20/62 (d)(f)(m) | 688,806 | 692,499 | |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7604% 5/20/61 (d)(f)(m) | 5,852 | 5,910 | |
| Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.7104% 8/20/63 (d)(f)(m) | 2,122,208 | 2,131,787 | |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.5993% 10/20/49 (d)(f) | 435,086 | 437,869 | |
| Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5493% 12/20/49 (d)(f) | 5,052,501 | 5,085,856 | |
| Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.5993% 8/20/49 (d)(f) | 585,089 | 590,471 | |
| Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.4993% 3/20/50 (d)(f) | 4,784,977 | 4,805,958 | |
| planned amortization class: | |||
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8015% 12/20/40 (d)(l) | 741,173 | 869,172 | |
| Series 2016-69 Class WA, 3% 2/20/46 | 459,458 | 488,287 | |
| Series 2017-134 Class BA, 2.5% 11/20/46 | 1,146,999 | 1,195,786 | |
| sequential payer: | |||
| Series 2010-160 Class DY, 4% 12/20/40 | 1,523,609 | 1,653,604 | |
| Series 2010-170 Class B, 4% 12/20/40 | 342,754 | 372,054 | |
| Series 2017-139 Class BA, 3% 9/20/47 | 4,951,842 | 5,288,112 | |
| Series 2010-116 Class QB, 4% 9/16/40 | 2,556,145 | 2,768,993 | |
| Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8491% 2/16/40 (d)(k)(l) | 436,833 | 73,983 | |
| Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0008% 7/20/41 (d)(k)(l) | 115,314 | 22,158 | |
| Series 2013-149 Class MA, 2.5% 5/20/40 | 1,636,974 | 1,690,630 | |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (m) | 35,663 | 36,336 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.42% 8/20/66 (d)(f)(m) | 2,692,969 | 2,667,573 | |
| TOTAL U.S. GOVERNMENT AGENCY | 67,970,075 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $311,680,912) | 313,422,990 | ||
| Commercial Mortgage Securities - 2.2% | |||
| Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 1.001% 4/15/35 (b)(d)(f) | 3,546,916 | 3,542,628 | |
| BAMLL Commercial Mortgage Securities Trust: | |||
| floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.851% 11/15/30 (b)(d)(f) | 5,954,000 | 6,039,839 | |
| sequential payer Series 2019-BPR: | |||
| Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,666,373 | |
| Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 5,157,813 | |
| Series 2019-BPR: | |||
| Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 1,078,234 | |
| Class CNM, 3.7186% 11/5/32 (b)(d) | 461,000 | 439,894 | |
| BANK: | |||
| sequential payer: | |||
| Series 2019-BN21: | |||
| Class A4, 2.6% 10/17/52 | 4,400,000 | 4,597,256 | |
| Class A5, 2.851% 10/17/52 | 838,000 | 890,639 | |
| Series 2020-BN28 Class A3, 1.584% 3/15/63 | 9,000,000 | 8,649,536 | |
| Series 2021-BN31 Class A3, 1.771% 2/15/54 | 2,000,000 | 1,942,864 | |
| Series 2021-BN32 Class A4, 2.349% 4/15/54 | 20,000,000 | 20,382,586 | |
| Series 2021-BN33 Class A4, 2.27% 5/15/64 | 9,000,000 | 9,112,319 | |
| Series 2021-BN31 Class XB, 0.8696% 2/15/54 (d)(k) | 7,000,000 | 542,409 | |
| Series 2021-BN33 Class XA, 1.1766% 5/15/64 (d)(k) | 9,000,000 | 742,556 | |
| Bayview Commercial Asset Trust floater: | |||
| Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 11/25/35 (b)(d)(f) | 19,862 | 18,917 | |
| Series 2005-4A: | |||
| Class A2, 1 month U.S. LIBOR + 0.580% 0.6766% 1/25/36 (b)(d)(f) | 50,014 | 48,233 | |
| Class M1, 1 month U.S. LIBOR + 0.670% 0.7666% 1/25/36 (b)(d)(f) | 16,143 | 15,582 | |
| Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 0.3616% 12/25/36 (b)(d)(f) | 113,272 | 107,113 | |
| Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3616% 3/25/37 (b)(d)(f) | 29,908 | 28,298 | |
| Series 2007-2A: | |||
| Class A1, 1 month U.S. LIBOR + 0.270% 0.3616% 7/25/37 (b)(d)(f) | 84,796 | 80,742 | |
| Class A2, 1 month U.S. LIBOR + 0.320% 0.4116% 7/25/37 (b)(d)(f) | 79,391 | 62,660 | |
| Class M1, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(d)(f) | 27,023 | 24,208 | |
| Series 2007-3: | |||
| Class A2, 1 month U.S. LIBOR + 0.290% 0.3816% 7/25/37 (b)(d)(f) | 30,370 | 28,790 | |
| Class M1, 1 month U.S. LIBOR + 0.310% 0.4016% 7/25/37 (b)(d)(f) | 16,095 | 14,370 | |
| Class M2, 1 month U.S. LIBOR + 0.340% 0.4316% 7/25/37 (b)(d)(f) | 17,214 | 15,269 | |
| Class M3, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(d)(f) | 27,571 | 24,804 | |
| Class M4, 1 month U.S. LIBOR + 0.500% 0.5916% 7/25/37 (b)(d)(f) | 43,526 | 38,917 | |
| Class M5, 1 month U.S. LIBOR + 0.600% 0.6916% 7/25/37 (b)(d)(f) | 18,313 | 17,433 | |
| BBCMS Mortgage Trust sequential payer: | |||
| Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,195,610 | |
| Series 2021-C9 Class A4, 2.021% 2/15/54 | 10,000,000 | 9,915,969 | |
| Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,835,231 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
| Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,085,956 | |
| Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,878,050 | |
| Series 2019-B13 Class A4, 2.952% 8/15/57 | 7,629,000 | 8,160,560 | |
| Series 2020-B18 Class A4, 1.672% 7/15/53 | 10,000,000 | 9,701,661 | |
| Series 2020-B19: | |||
| Class A3, 1.787% 9/15/53 | 5,800,000 | 5,856,533 | |
| Class A4, 1.546% 9/15/53 | 12,500,000 | 12,142,858 | |
| Series 2020-B22 Class A4, 1.685% 1/15/54 | 3,175,000 | 3,080,797 | |
| Series 2021-B23 Class A4A1, 1.823% 2/15/54 | 2,000,000 | 1,948,707 | |
| Series 2021-B24 Class A4, 2.2638% 3/15/54 | 17,600,000 | 17,725,961 | |
| Series 2021-B26 Class A4, 2.295% 6/15/54 | 8,800,000 | 8,932,225 | |
| Series 2019-B12 Class XA, 1.0644% 8/15/52 (d)(k) | 39,999,451 | 2,504,706 | |
| Series 2019-B14 Class XA, 0.7858% 12/15/62 (d)(k) | 22,872,251 | 1,083,568 | |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.151% 11/15/28 (b)(d)(f) | 7,501,000 | 7,603,770 | |
| BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 1.3509% 7/15/35 (b)(d)(f) | 10,931,821 | 10,931,619 | |
| BX Commercial Mortgage Trust: | |||
| floater: | |||
| Series 2020-BXLP: | |||
| Class B, 1 month U.S. LIBOR + 1.000% 1.101% 12/15/36 (b)(d)(f) | 4,361,848 | 4,361,847 | |
| Class C, 1 month U.S. LIBOR + 1.120% 1.221% 12/15/36 (b)(d)(f) | 3,615,110 | 3,615,109 | |
| Class D, 1 month U.S. LIBOR + 1.250% 1.351% 12/15/36 (b)(d)(f) | 4,996,868 | 4,996,867 | |
| Class G, 1 month U.S. LIBOR + 2.500% 2.601% 12/15/36 (b)(d)(f) | 6,369,807 | 6,365,969 | |
| Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7623% 5/15/38 (b)(d)(f) | 5,200,000 | 5,195,315 | |
| floater sequential payer: | |||
| Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.977% 11/15/32 (b)(d)(f) | 1,900,000 | 1,901,785 | |
| Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.901% 12/15/36 (b)(d)(f) | 8,635,498 | 8,646,308 | |
| Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.101% 11/15/32 (b)(d)(f) | 5,062,365 | 5,072,015 | |
| BX Trust: | |||
| floater: | |||
| Series 2018-EXCL: | |||
| Class A, 1 month U.S. LIBOR + 1.088% 1.1886% 9/15/37 (b)(d)(f) | 3,889,969 | 3,797,358 | |
| Class B, 1 month U.S. LIBOR + 1.320% 1.426% 9/15/37 (b)(d)(f) | 4,446,198 | 4,251,247 | |
| Class D, 1 month U.S. LIBOR + 2.620% 2.726% 9/15/37 (b)(d)(f) | 2,530,703 | 2,043,137 | |
| Series 2018-IND: | |||
| Class B, 1 month U.S. LIBOR + 0.900% 1.001% 11/15/35 (b)(d)(f) | 910,000 | 910,275 | |
| Class F, 1 month U.S. LIBOR + 1.800% 1.901% 11/15/35 (b)(d)(f) | 2,713,900 | 2,714,715 | |
| Series 2019-IMC: | |||
| Class B, 1 month U.S. LIBOR + 1.300% 1.401% 4/15/34 (b)(d)(f) | 4,464,000 | 4,450,130 | |
| Class C, 1 month U.S. LIBOR + 1.600% 1.701% 4/15/34 (b)(d)(f) | 2,952,000 | 2,935,425 | |
| Class D, 1 month U.S. LIBOR + 1.900% 2.001% 4/15/34 (b)(d)(f) | 3,099,000 | 3,069,774 | |
| Series 2019-XL: | |||
| Class B, 1 month U.S. LIBOR + 1.080% 1.181% 10/15/36 (b)(d)(f) | 3,757,535 | 3,762,833 | |
| Class C, 1 month U.S. LIBOR + 1.250% 1.351% 10/15/36 (b)(d)(f) | 4,724,321 | 4,727,284 | |
| Class D, 1 month U.S. LIBOR + 1.450% 1.551% 10/15/36 (b)(d)(f) | 6,690,680 | 6,694,705 | |
| Class E, 1 month U.S. LIBOR + 1.800% 1.901% 10/15/36 (b)(d)(f) | 9,401,801 | 9,407,702 | |
| Class G, 1 month U.S. LIBOR + 2.300% 2.401% 10/15/36 (b)(d)(f) | 17,330,940 | 17,330,923 | |
| Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.701% 12/15/36 (b)(d)(f) | 4,583,321 | 4,583,319 | |
| floater sequential payer Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8009% 1/15/34 (b)(d)(f) | 3,562,000 | 3,562,000 | |
| floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.101% 4/15/34 (b)(d)(f) | 6,200,000 | 6,188,171 | |
| BXMT, Ltd. floater Series 2020-FL3 Class A, 1 month U.S. LIBOR + 1.400% 1.5009% 3/15/37 (b)(f) | 20,100,000 | 20,135,183 | |
| CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,606,935 | |
| CF Hippolyta Issuer LLC sequential payer: | |||
| Series 2020-1: | |||
| Class A1, 1.69% 7/15/60 (b) | 17,591,111 | 17,936,225 | |
| Class A2, 1.99% 7/15/60 (b) | 7,037,566 | 7,103,803 | |
| Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 8,950,000 | 9,035,896 | |
| CFCRE Commercial Mortgage Trust sequential payer Series 2011-C2 Class A4, 3.8343% 12/15/47 | 1,720,036 | 1,719,247 | |
| CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49 | 955,421 | 1,018,051 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 1.0509% 11/15/36 (b)(d)(f) | 3,687,000 | 3,688,114 | |
| Class B, 1 month U.S. LIBOR + 1.250% 1.3509% 11/15/36 (b)(d)(f) | 1,400,000 | 1,400,000 | |
| CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b) | 4,982,000 | 5,032,882 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 1.221% 6/15/34 (b)(d)(f) | 13,974,090 | 13,978,313 | |
| Class B, 1 month U.S. LIBOR + 1.500% 1.601% 6/15/34 (b)(d)(f) | 2,106,502 | 2,095,923 | |
| Class C, 1 month U.S. LIBOR + 1.750% 1.851% 6/15/34 (b)(d)(f) | 2,379,880 | 2,355,984 | |
| Citigroup Commercial Mortgage Trust: | |||
| floater Series 2020-WSS Class A, 1 month U.S. LIBOR + 1.950% 2.0509% 2/15/39 (b)(d)(f) | 6,045,385 | 6,220,921 | |
| sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 3,455,193 | 3,626,628 | |
| Series 2015-GC29 Class XA, 1.035% 4/10/48 (d)(k) | 30,336,978 | 1,052,405 | |
| Series 2015-GC33 Class XA, 0.8821% 9/10/58 (d)(k) | 18,314,525 | 592,314 | |
| Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,928,452 | |
| Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,693,851 | |
| Series 2016-P6 Class XA, 0.7642% 12/10/49 (d)(k) | 17,139,951 | 412,259 | |
| COMM Mortgage Trust: | |||
| floater Series 2021-LBA Class E, 1 month U.S. LIBOR + 1.800% 1.901% 3/15/38 (b)(d)(f) | 3,975,000 | 3,974,997 | |
| sequential payer: | |||
| Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,770,487 | |
| Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,749,786 | |
| Series 2014-CR17 Class XA, 0.9629% 5/10/47 (d)(k) | 18,070,417 | 415,020 | |
| Series 2014-CR20 Class XA, 1.0046% 11/10/47 (d)(k) | 17,512,814 | 505,775 | |
| Series 2014-LC17 Class XA, 0.7204% 10/10/47 (d)(k) | 37,340,071 | 730,730 | |
| Series 2014-UBS6: | |||
| Class A5, 3.644% 12/10/47 | 3,900,000 | 4,237,537 | |
| Class XA, 0.885% 12/10/47 (d)(k) | 10,751,376 | 263,480 | |
| Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,677,062 | |
| Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,422,827 | 1,519,544 | |
| Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,462,650 | 1,505,290 | |
| Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.981% 12/15/31 (b)(d)(f) | 902,241 | 902,512 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.081% 5/15/36 (b)(d)(f) | 5,263,000 | 5,274,177 | |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,253,000 | 2,327,854 | |
| Series 2018-SITE: | |||
| Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,452,517 | |
| Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,554,473 | |
| Class C, 4.782% 4/15/36 (b)(d) | 1,033,000 | 1,019,977 | |
| Class D, 4.782% 4/15/36 (b)(d) | 2,066,000 | 1,872,790 | |
| CSAIL Commercial Mortgage Trust: | |||
| sequential payer Series 2021-C20 Class A2, 2.4862% 3/15/54 | 16,000,000 | 16,424,933 | |
| Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,186,022 | 3,411,929 | |
| CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49 | 2,000,000 | 2,216,925 | |
| DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.4266% 8/10/44 (b)(d) | 3,400,000 | 3,399,679 | |
| DBWF Mortgage Trust Series 2018-AMXP Class B, 3.9956% 5/5/35 (b)(d) | 762,000 | 770,367 | |
| DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b) | 13,500,000 | 14,155,916 | |
| Freddie Mac: | |||
| floater: | |||
| Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.26% 2/25/31 (d)(f) | 11,600,000 | 11,610,449 | |
| Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.25% 3/25/31 (d)(f) | 12,800,000 | 12,809,014 | |
| Series 2021-F110 Class A/S, 1 month U.S. LIBOR + 0.240% 0.25% 3/25/31 (d)(f) | 9,300,000 | 9,306,477 | |
| Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.25% 3/25/31 (d)(f) | 7,800,000 | 7,805,495 | |
| Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.24% 4/25/31 (d)(f) | 17,400,000 | 17,410,847 | |
| sequential payer: | |||
| Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,347,744 | |
| Series 2020-K118 Class A2, 1.493% 9/25/30 | 20,339,000 | 20,107,424 | |
| Series 2020-K120 Class A2, 1.5% 10/25/30 | 5,700,000 | 5,632,292 | |
| Series 2020-K121 Class A2, 1.547% 10/25/30 | 5,600,000 | 5,555,583 | |
| Series 2020-K739 Class A2, 1.336% 9/25/27 | 9,936,000 | 10,040,081 | |
| Series 2021-K126 Class A2, 2.074% 1/25/31 | 16,200,000 | 16,809,875 | |
| Series 2021-K128 Class A2, 2.02% 3/25/31 | 3,900,000 | 4,023,988 | |
| Series 2019-K095 Class X1, 0.9483% 6/25/29 (d)(k) | 13,960,545 | 935,485 | |
| Series 2020-K106 Class X1, 1.3546% 1/25/30 (d)(k) | 60,829,057 | 6,214,442 | |
| Series 2020-K111 Class X1, 1.5721% 5/25/30 (d)(k) | 24,958,150 | 3,037,005 | |
| Series 2020-K122 Class A2, 1.521% 11/25/30 | 3,500,000 | 3,462,347 | |
| Series 2021-K124 Class X1, 0.7216% 12/25/30 (d)(k) | 6,497,883 | 391,733 | |
| Series 2021-K741 Class X1, 0.5727% 12/25/27 (d)(k) | 140,896,634 | 4,821,680 | |
| Series K076 Class AM, 3.9% 4/25/28 | 1,015,000 | 1,179,291 | |
| Series K077 Class AM, 3.85% 5/25/28 | 660,000 | 765,532 | |
| GB Trust floater Series 2020-FLIX: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 1.221% 8/15/37 (b)(d)(f) | 4,400,000 | 4,416,391 | |
| Class B, 1 month U.S. LIBOR + 1.350% 1.451% 8/15/37 (b)(d)(f) | 930,000 | 930,872 | |
| Class C, 1 month U.S. LIBOR + 1.600% 1.701% 8/15/37 (b)(d)(f) | 500,000 | 500,626 | |
| GS Mortgage Securities Corp. Trust floater Series 2019-BOCA Class A, 1 month U.S. LIBOR + 1.200% 1.301% 6/15/38 (b)(d)(f) | 6,630,000 | 6,637,875 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.551% 9/15/31 (b)(d)(f) | 17,575,000 | 17,264,717 | |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2% 10/15/31 (b)(d)(f) | 4,013,000 | 4,019,613 | |
| Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 1.647% 11/21/35 (b)(d)(f) | 3,525,000 | 3,526,734 | |
| sequential payer: | |||
| Series 2014-GC18 Class A3, 3.801% 1/10/47 | 952,518 | 998,715 | |
| Series 2015-GS1 Class A3, 3.734% 11/10/48 | 13,884,000 | 15,335,969 | |
| Series 2020-GSA2 Class A4, 1.721% 12/12/53 | 3,940,000 | 3,829,848 | |
| Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b) | 16,867,000 | 16,863,756 | |
| Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,940,264 | 2,072,590 | |
| Series 2015-GC34 Class XA, 1.2208% 10/10/48 (d)(k) | 5,606,375 | 245,129 | |
| Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,123,455 | |
| Series 2021-RENT: | |||
| Class D, 1 month U.S. LIBOR + 1.850% 1.947% 11/21/35 (b)(d)(f) | 2,175,000 | 2,176,066 | |
| Class XCP, 2.7325% 11/21/35 (b)(d)(k) | 72,804,200 | 949,782 | |
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-LAQ Class A, 1 month U.S. LIBOR + 1.000% 1.101% 6/15/32 (b)(d)(f) | 4,257,396 | 4,260,222 | |
| Series 2018-PHH Class A, 1 month U.S. LIBOR + 0.910% 2.41% 6/15/35 (b)(d)(f) | 2,936,330 | 2,943,804 | |
| Series 2021-MHC Class XCP, 1 month U.S. LIBOR + 0.000% 1.4212% 4/15/38 (b)(d)(f)(k) | 164,060,500 | 4,347,767 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| sequential payer Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) | 5,405,583 | 5,759,323 | |
| Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,268,952 | |
| Series 2014-C19 Class XA, 0.7365% 4/15/47 (d)(k) | 2,934,201 | 47,908 | |
| Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 2,058,151 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 750,000 | 770,222 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.101% 9/15/29 (b)(d)(f) | 6,300,000 | 6,309,064 | |
| sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 1,800,000 | 1,871,765 | |
| Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) | 2,000,000 | 2,054,652 | |
| Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 1,177,000 | 1,212,121 | |
| Series 2018-WPT: | |||
| Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,852,474 | |
| Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 969,230 | |
| Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,488,084 | |
| Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,992,778 | |
| Class XAFX, 1.116% 7/5/33 (b)(d)(k) | 10,000,000 | 213,286 | |
| Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 6,021,637 | |
| LIFE Mortgage Trust floater Series 2021-BMR: | |||
| Class A, 1 month U.S. LIBOR + 0.700% 0.801% 3/15/38 (b)(d)(f) | 6,931,000 | 6,935,350 | |
| Class B, 1 month U.S. LIBOR + 0.880% 0.981% 3/15/38 (b)(d)(f) | 1,672,000 | 1,674,082 | |
| Class C, 1 month U.S. LIBOR + 1.100% 1.201% 3/15/38 (b)(d)(f) | 1,052,000 | 1,053,318 | |
| MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 0.850% 0.951% 11/15/36 (b)(d)(f) | 6,000,000 | 6,003,379 | |
| Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.251% 8/15/37 (b)(d)(f) | 2,102,000 | 2,111,080 | |
| MHC Commercial Mortgage Trust: | |||
| floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.100% 2.2018% 4/15/38 (b)(d)(f) | 5,425,000 | 5,429,901 | |
| floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.9018% 4/15/38 (b)(d)(f) | 4,900,000 | 4,901,470 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer: | |||
| Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,732,073 | 3,915,746 | |
| Series 2016-C28 Class A3, 3.272% 1/15/49 | 4,101,416 | 4,366,259 | |
| Series 2016-C29 Class ASB, 3.14% 5/15/49 | 492,085 | 520,467 | |
| Series 2015-C25: | |||
| Class A4, 3.372% 10/15/48 | 2,800,000 | 3,021,896 | |
| Class XA, 1.0522% 10/15/48 (d)(k) | 10,021,403 | 367,397 | |
| Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,434,292 | |
| Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,619,431 | |
| Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (b) | 1,893,000 | 1,893,745 | |
| Morgan Stanley Capital I Trust: | |||
| floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.951% 8/15/33 (b)(d)(f) | 6,888,548 | 6,875,538 | |
| floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(d)(f) | 5,200,000 | 5,245,048 | |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 14,192,480 | |
| Series 2011-C3 Class AJ, 5.2155% 7/15/49 (b)(d) | 2,486,755 | 2,494,124 | |
| Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,252,113 | |
| Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,131,812 | |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,707,974 | |
| Series 2019-MEAD: | |||
| Class B, 3.1771% 11/10/36 (b)(d) | 1,558,000 | 1,603,514 | |
| Class C, 3.1771% 11/10/36 (b)(d) | 1,495,000 | 1,509,121 | |
| Class D, 3.1771% 11/10/36 (b)(d) | 2,340,000 | 2,328,103 | |
| ONE Mortgage Trust floater Series 2021-PARK Class E, 1 month U.S. LIBOR + 1.750% 1.851% 3/15/36 (b)(d)(f) | 5,759,000 | 5,755,528 | |
| RETL floater Series 2019-RVP Class C, 1 month U.S. LIBOR + 2.100% 2.201% 3/15/36 (b)(d)(f) | 6,373,190 | 6,357,079 | |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.91% 4/15/36 (b)(d)(f) | 1,900,000 | 1,900,564 | |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: | |||
| Class A1, 3.872% 1/5/43 (b)(d) | 740,000 | 809,751 | |
| Class A2A, 3.659% 1/5/43 (b)(d) | 9,930,000 | 10,744,972 | |
| U.S. sequential payer Series 2018-USDC Class A, 4.106% 5/13/38 (b) | 4,000,000 | 4,360,403 | |
| UBS Commercial Mortgage Trust: | |||
| sequential payer Series 2018-C12 Class A5, 4.2962% 8/15/51 | 3,000,000 | 3,427,786 | |
| Series 2012-C1 Class A/S, 4.171% 5/10/45 | 6,570,000 | 6,706,015 | |
| Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,938,263 | |
| Series 2017-C7 Class XA, 1.0259% 12/15/50 (d)(k) | 17,161,402 | 862,717 | |
| Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,544,531 | |
| Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,695,323 | |
| Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,684,053 | |
| UBS-Barclays Commercial Mortgage Trust: | |||
| floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8881% 4/10/46 (b)(d)(f) | 5,266,886 | 5,252,102 | |
| Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 1,400,000 | 1,446,087 | |
| VLS Commercial Mortgage Trust: | |||
| sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3,760,000 | 3,716,995 | |
| Series 2020-LAB: | |||
| Class B, 2.453% 10/10/42 (b) | 300,000 | 299,956 | |
| Class X, 0.4294% 10/10/42 (b)(d)(k) | 8,700,000 | 308,868 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.3% 5/15/31 (b)(d)(f) | 4,470,000 | 4,478,497 | |
| sequential payer: | |||
| Series 2015-C29 Class ASB, 3.4% 6/15/48 | 1,201,172 | 1,264,290 | |
| Series 2016-C34 Class A4, 3.096% 6/15/49 | 6,124,000 | 6,467,324 | |
| Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,488,031 | |
| Series 2021-C59 Class A4, 2.343% 4/15/54 | 5,000,000 | 5,069,769 | |
| Series 2015-C31 Class XA, 0.9716% 11/15/48 (d)(k) | 6,746,134 | 242,828 | |
| Series 2017-C42 Class XA, 0.8798% 12/15/50 (d)(k) | 35,379,612 | 1,710,148 | |
| Series 2018-C46 Class XA, 0.9374% 8/15/51 (d)(k) | 15,600,472 | 713,921 | |
| Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,682,818 | |
| WF-RBS Commercial Mortgage Trust: | |||
| Series 2012-C9 Class A/S, 3.388% 11/15/45 | 400,000 | 412,157 | |
| Series 2014-C24 Class XA, 0.8528% 11/15/47 (d)(k) | 6,162,713 | 155,743 | |
| Series 2014-LC14 Class XA, 1.258% 3/15/47 (d)(k) | 8,484,488 | 237,232 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $945,620,372) | 952,167,172 | ||
| Municipal Securities - 0.2% | |||
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,385,000 | 5,370,547 | |
| California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 205,000 | 321,701 | |
| Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 69,911 | |
| District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 98,136 | |
| Illinois Gen. Oblig.: | |||
| Series 2003: | $ | $ | |
| 4.95% 6/1/23 | 5,431,636 | 5,619,887 | |
| 5.1% 6/1/33 | 22,850,000 | 26,248,659 | |
| Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,686,216 | |
| Series 2010-3: | |||
| 6.725% 4/1/35 | 2,510,000 | 3,079,888 | |
| 7.35% 7/1/35 | 4,655,000 | 5,890,827 | |
| Series 2010-5, 6.2% 7/1/21 | 479,000 | 480,783 | |
| Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 336,739 | |
| Los Angeles Dept. Arpt. Rev. Series C: | |||
| 2.063% 5/15/34 | 500,000 | 470,262 | |
| 2.163% 5/15/35 | 500,000 | 470,873 | |
| Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 268,151 | |
| Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 204,527 | |
| Miami-Dade County Aviation Rev. Series 2019 E, 2.529% 10/1/30 | 2,000,000 | 2,068,225 | |
| Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 580,945 | |
| 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 | 11,948,745 | |
| New Jersey Tpk. Auth. Tpk. Rev.: | |||
| Series 2009 E, 7.414% 1/1/40 | 1,620,000 | 2,611,693 | |
| Series 2010 A, 7.102% 1/1/41 | 925,000 | 1,446,370 | |
| Series 2021 B: | |||
| 1.963% 1/1/32 | 1,000,000 | 960,233 | |
| 2.113% 1/1/33 | 1,050,000 | 1,009,644 | |
| New York City Gen. Oblig. Series A3, 2.8% 8/1/30 | 3,250,000 | 3,433,241 | |
| New York City Transitional Fin. Auth. Rev.: | |||
| Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,143,250 | |
| Series A3, 3.88% 8/1/31 | 1,170,000 | 1,317,124 | |
| Series A5, 2.69% 5/1/33 | 2,015,000 | 2,092,038 | |
| Series B2, 3.14% 8/1/28 | 2,735,000 | 2,968,326 | |
| New York State Dorm. Auth. Series 2019 F, 3.11% 2/15/39 | 3,250,000 | 3,466,291 | |
| Ohio State Univ. Gen. Receipts: | |||
| Series 2010 C, 4.91% 6/1/40 | 140,000 | 185,027 | |
| Series 2011 A, 4.8% 6/1/11 | 1,403,000 | 1,887,348 | |
| Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 515,000 | 650,943 | |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 970,565 | |
| 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 | 595,856 | |
| Univ. of California Revs. Series 2015 J, 4.131% 5/15/45 | 1,750,000 | 2,000,772 | |
| Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 1,010,569 | |
| TOTAL MUNICIPAL SECURITIES | |||
| (Cost $88,603,865) | 95,964,312 | ||
| Foreign Government and Government Agency Obligations - 0.2% | |||
| Arab Republic of Egypt: | |||
| 4.75% 4/11/25 (b) | EUR | $328,000 | $418,804 |
| 7.6003% 3/1/29 (b) | 632,000 | 703,416 | |
| Brazil Minas SPE 5.333% 2/15/28 (Reg. S) | 2,786,000 | 3,022,810 | |
| Brazilian Federative Republic: | |||
| 2.875% 6/6/25 | 200,000 | 205,800 | |
| 3.875% 6/12/30 | 1,800,000 | 1,817,775 | |
| 4.5% 5/30/29 | 200,000 | 214,475 | |
| Chilean Republic 2.55% 1/27/32 | 850,000 | 855,738 | |
| Colombian Republic: | |||
| 3% 1/30/30 | 1,300,000 | 1,254,338 | |
| 3.125% 4/15/31 | 200,000 | 192,225 | |
| 4.125% 2/22/42 | 400,000 | 379,800 | |
| 5.2% 5/15/49 | 200,000 | 212,100 | |
| 10.375% 1/28/33 | 1,350,000 | 1,990,238 | |
| Dominican Republic: | |||
| 4.875% 9/23/32 | 1,570,000 | 1,610,722 | |
| 5.95% 1/25/27 (b) | 1,100,000 | 1,241,281 | |
| 6% 7/19/28 (b) | 1,250,000 | 1,421,484 | |
| Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S) | 1,200,000 | 1,252,125 | |
| Hungarian Republic: | |||
| 1.75% 6/5/35 (Reg. S) | EUR | 1,370,000 | 1,756,580 |
| 7.625% 3/29/41 | 580,000 | 941,521 | |
| Indonesian Republic: | |||
| 1.1% 3/12/33 | EUR | 3,500,000 | 4,173,377 |
| 2.8% 6/23/30 (b) | 1,300,000 | 1,328,275 | |
| 3.4% 9/18/29 | 420,000 | 452,760 | |
| 3.5% 1/11/28 | 4,450,000 | 4,840,209 | |
| Israeli State: | |||
| 3.875% 7/3/50 | 1,750,000 | 1,962,223 | |
| 4% 6/30/22 | 1,700,000 | 1,766,898 | |
| Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,963,591 | |
| Kingdom of Saudi Arabia: | |||
| 3.625% 3/4/28 (Reg. S) | 800,000 | 883,150 | |
| 3.75% 1/21/55 (b) | 400,000 | 408,075 | |
| Panamanian Republic: | |||
| 3.16% 1/23/30 | 3,020,000 | 3,169,679 | |
| 3.875% 3/17/28 | 200,000 | 220,475 | |
| 4.3% 4/29/53 | 615,000 | 663,931 | |
| 4.5% 4/16/50 | 400,000 | 443,575 | |
| Peruvian Republic 2.844% 6/20/30 | 1,630,000 | 1,656,284 | |
| Philippine Republic: | |||
| 1.648% 6/10/31 | 400,000 | 385,126 | |
| 2.457% 5/5/30 | 200,000 | 207,272 | |
| 3.7% 3/1/41 | 1,010,000 | 1,071,421 | |
| Province of Quebec yankee 7.125% 2/9/24 | 810,000 | 953,070 | |
| Republic of Paraguay: | |||
| 2.739% 1/29/33 (b) | 400,000 | 385,700 | |
| 4.95% 4/28/31 (b) | 400,000 | 453,575 | |
| Republic of Serbia: | |||
| 1.5% 6/26/29 (Reg. S) | EUR | 794,000 | 963,402 |
| 1.65% 3/3/33 (b) | EUR | 1,200,000 | 1,414,410 |
| 2.125% 12/1/30 (b) | 1,430,000 | 1,334,190 | |
| 3.125% 5/15/27 (Reg. S) | EUR | 712,000 | 961,856 |
| Romanian Republic: | |||
| 3% 2/14/31 (Reg. S) | 864,000 | 887,112 | |
| 3.875% 10/29/35 (b) | EUR | 1,210,000 | 1,718,998 |
| 4.125% 3/11/39 | EUR | 2,740,000 | 3,903,674 |
| South African Republic 4.85% 9/30/29 | 1,940,000 | 2,052,520 | |
| State of Qatar: | |||
| 3.4% 4/16/25 (b) | 3,165,000 | 3,454,400 | |
| 3.75% 4/16/30 (Reg. S) | 400,000 | 453,700 | |
| 4.5% 4/23/28 (Reg. S) | 900,000 | 1,059,750 | |
| 4.625% 6/2/46 (Reg. S) | 400,000 | 487,825 | |
| 5.103% 4/23/48 (b) | 2,200,000 | 2,855,600 | |
| Turkish Republic 7.25% 12/23/23 | 2,200,000 | 2,364,725 | |
| Ukraine Government: | |||
| 4.375% 1/27/30 (b) | EUR | 1,800,000 | 2,054,118 |
| 6.75% 6/20/26 (Reg. S) | EUR | 1,450,000 | 1,940,381 |
| 7.75% 9/1/22 (b) | 2,800,000 | 2,947,525 | |
| 8.994% 2/1/24 (Reg. S) | 2,250,000 | 2,521,547 | |
| United Mexican States: | |||
| 2.659% 5/24/31 | 3,577,000 | 3,481,539 | |
| 3.771% 5/24/61 | 950,000 | 870,319 | |
| 4.15% 3/28/27 | 275,000 | 311,300 | |
| 4.75% 4/27/32 | 400,000 | 454,575 | |
| 4.75% 3/8/44 | 2,366,000 | 2,580,862 | |
| Uruguay Republic: | |||
| 4.375% 1/23/31 | 610,000 | 707,714 | |
| 4.975% 4/20/55 | 525,000 | 653,888 | |
| 5.1% 6/18/50 | 2,185,000 | 2,758,972 | |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $94,201,865) | 94,074,800 | ||
| Bank Loan Obligations - 0.1% | |||
| COMMUNICATION SERVICES - 0.0% | |||
| Diversified Telecommunication Services - 0.0% | |||
| Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8425% 3/1/27 (d)(f)(n) | 2,000,000 | 1,976,660 | |
| Lumen Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3425% 3/15/27 (d)(f)(n) | 3,241,793 | 3,210,607 | |
| Zayo Group Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0925% 3/9/27 (d)(f)(n) | 2,600,000 | 2,579,278 | |
| 7,766,545 | |||
| Media - 0.0% | |||
| CSC Holdings LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.3482% 1/15/26 (d)(f)(n) | 1,994,898 | 1,971,458 | |
| Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.35% 8/24/26 (d)(f)(n) | 500,000 | 357,970 | |
| Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.3482% 7/17/25 (d)(f)(n) | 596,891 | 589,579 | |
| Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6% 9/30/26 (d)(f)(n) | 598,481 | 592,125 | |
| Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.6009% 1/31/28 (d)(f)(n) | 2,000,000 | 1,987,500 | |
| 5,498,632 | |||
| TOTAL COMMUNICATION SERVICES | 13,265,177 | ||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Diversified Consumer Services - 0.0% | |||
| Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 3/4/28 (d)(f)(n) | 850,000 | 848,411 | |
| Hotels, Restaurants & Leisure - 0.0% | |||
| Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8425% 12/22/24 (d)(f)(n) | 1,994,845 | 1,978,109 | |
| Churchill Downs, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.35% 12/27/24 (d)(f)(n) | 1,097,165 | 1,086,654 | |
| Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (d)(f)(n) | 1,994,306 | 1,990,078 | |
| 5,054,841 | |||
| Specialty Retail - 0.0% | |||
| Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (d)(f)(n) | 1,750,000 | 1,753,465 | |
| TOTAL CONSUMER DISCRETIONARY | 7,656,717 | ||
| CONSUMER STAPLES - 0.0% | |||
| Food & Staples Retailing - 0.0% | |||
| BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0938% 2/3/24 (d)(f)(n) | 503,297 | 503,347 | |
| Food Products - 0.0% | |||
| JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0925% 5/1/26 (d)(f)(n) | 2,992,366 | 2,983,539 | |
| TOTAL CONSUMER STAPLES | 3,486,886 | ||
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Buckeye Partners LP 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/1/26 (f)(n)(o) | 249,375 | 247,906 | |
| FINANCIALS - 0.0% | |||
| Diversified Financial Services - 0.0% | |||
| Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.5% 1/15/25 (d)(f)(n) | 725,000 | 722,354 | |
| Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.2001% 10/6/23 (d)(f)(n) | 725,000 | 724,094 | |
| 1,446,448 | |||
| Insurance - 0.0% | |||
| AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3% 2/19/28 (d)(f)(n) | 2,493,750 | 2,481,032 | |
| TOTAL FINANCIALS | 3,927,480 | ||
| HEALTH CARE - 0.1% | |||
| Health Care Providers & Services - 0.0% | |||
| Gentiva Health Services, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.875% 7/2/25 (d)(f)(n) | 2,551,503 | 2,545,125 | |
| Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.5% 3/15/28 (d)(f)(n) | 2,250,000 | 2,245,185 | |
| 4,790,310 | |||
| Health Care Technology - 0.0% | |||
| IQVIA, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.000% 1/18/25 (f)(n)(o) | 797,933 | 794,542 | |
| Pharmaceuticals - 0.1% | |||
| Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8601% 8/1/27 (d)(f)(n) | 2,990,117 | 2,968,947 | |
| Grifols, S.A. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0618% 11/15/27 (d)(f)(n) | 1,745,581 | 1,728,998 | |
| Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (d)(f)(n) | 1,245,000 | 1,250,117 | |
| Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4/8/28 (f)(n)(o) | 2,000,000 | 1,997,140 | |
| Valeant Pharmaceuticals International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.8425% 11/27/25 (d)(f)(n) | 3,000,000 | 2,982,930 | |
| 10,928,132 | |||
| TOTAL HEALTH CARE | 16,512,984 | ||
| INDUSTRIALS - 0.0% | |||
| Road & Rail - 0.0% | |||
| Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.2025% 12/30/26 (d)(f)(n) | 723,174 | 719,804 | |
| INFORMATION TECHNOLOGY - 0.0% | |||
| Communications Equipment - 0.0% | |||
| CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3425% 4/4/26 (d)(f)(n) | 1,598,481 | 1,590,824 | |
| Software - 0.0% | |||
| SS&C Technologies, Inc.: | |||
| Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8425% 4/16/25 (d)(f)(n) | 275,301 | 272,171 | |
| Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.8425% 4/16/25(d)(f)(n) | 207,800 | 205,437 | |
| Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.8425% 4/16/25 (d)(f)(n) | 598,382 | 592,494 | |
| 1,070,102 | |||
| TOTAL INFORMATION TECHNOLOGY | 2,660,926 | ||
| MATERIALS - 0.0% | |||
| Chemicals - 0.0% | |||
| Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.8475% 10/1/25 (d)(f)(n) | 2,593,209 | 2,569,429 | |
| Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (f)(n)(o) | 1,496,124 | 1,472,560 | |
| 4,041,989 | |||
| Containers & Packaging - 0.0% | |||
| Berry Global, Inc. Tranche Z 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8451% 7/1/26(d)(f)(n) | 598,500 | 593,263 | |
| TOTAL MATERIALS | 4,635,252 | ||
| REAL ESTATE - 0.0% | |||
| Real Estate Management & Development - 0.0% | |||
| VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8425% 12/22/24 (d)(f)(n) | 3,600,000 | 3,564,000 | |
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8441% 12/31/25 (d)(f)(n) | 498,615 | 495,708 | |
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| Calpine Corp. Tranche B9 1LN, term loan 3 month U.S. LIBOR + 2.000% 4/5/26 (f)(n)(o) | 3,241,751 | 3,203,272 | |
| TOTAL UTILITIES | 3,698,980 | ||
| TOTAL BANK LOAN OBLIGATIONS | |||
| (Cost $60,715,444) | 60,376,112 | ||
| Bank Notes - 0.0% | |||
| Discover Bank: | |||
| 3.45% 7/27/26 | $435,000 | $474,850 | |
| 4.682% 8/9/28 (d) | 3,503,000 | 3,726,842 | |
| Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,497,266 | |
| Truist Bank: | |||
| 2.25% 3/11/30 | 625,000 | 621,701 | |
| 2.75% 5/1/23 | 645,000 | 674,337 | |
| TOTAL BANK NOTES | |||
| (Cost $7,591,483) | 8,994,996 | ||
| Shares | Value | ||
| Fixed-Income Funds - 66.3% | |||
| High Yield Fixed-Income Funds - 0.9% | |||
| Stone Harbor Emerging Markets Debt Fund | 22,416,052 | $220,125,628 | |
| TCW Emerging Markets Income Fund Class N | 16,782,911 | 177,563,194 | |
| TOTAL HIGH YIELD FIXED-INCOME FUNDS | 397,688,822 | ||
| Intermediate Government Funds - 2.0% | |||
| Fidelity SAI U.S. Treasury Bond Index Fund (p) | 84,746,949 | 849,164,432 | |
| Intermediate-Term Bond Funds - 61.4% | |||
| Baird Core Plus Bond Fund - Institutional Class | 62,848,104 | 740,979,150 | |
| BlackRock Total Return Fund Institutional Shares | 36,238,411 | 431,599,473 | |
| DoubleLine Total Return Bond Fund Class N | 133,868,203 | 1,408,293,494 | |
| Fidelity SAI Total Bond Fund (p) | 591,245,962 | 6,219,907,523 | |
| Fidelity U.S. Bond Index Fund (p) | 16,298,307 | 196,394,600 | |
| John Hancock Bond Fund Class R6 | 22,983,021 | 375,772,392 | |
| JPMorgan Core Plus Bond Fund Class A | 50,117,233 | 426,998,822 | |
| PIMCO Income Fund Institutional Class | 91,840,977 | 1,110,357,415 | |
| PIMCO Investment Grade Credit Bond Fund Institutional Class | 59,797,456 | 649,400,372 | |
| PIMCO Mortgage Opportunities Fund Institutional Class | 111,573,016 | 1,220,608,797 | |
| PIMCO Total Return Fund Institutional Class | 603,966,541 | 6,232,934,637 | |
| TCW Total Return Bond Fund N Class | 20,512,329 | 214,148,718 | |
| The Bond Fund of America Class F2 | 34,455,540 | 463,427,013 | |
| Voya Intermediate Bond Fund Class I | 130,364,862 | 1,345,365,378 | |
| Western Asset Core Bond Fund Class I | 169,816,983 | 2,236,489,661 | |
| Western Asset Core Plus Bond Fund Class I | 276,582,794 | 3,349,417,634 | |
| TOTAL INTERMEDIATE-TERM BOND FUNDS | 26,622,095,079 | ||
| Long Government Bond Funds - 2.0% | |||
| iShares 20+ Year Treasury Bond ETF (q) | 6,072,060 | 840,615,986 | |
| TOTAL FIXED-INCOME FUNDS | |||
| (Cost $28,205,091,659) | 28,709,564,319 | ||
| Principal Amount(a) | Value | ||
| Preferred Securities - 0.2% | |||
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| BP Capital Markets PLC 4.375% (d)(r) | 6,695,000 | 7,105,069 | |
| Energy Transfer LP 6.625% (d)(r) | 730,000 | 706,275 | |
| 7,811,344 | |||
| FINANCIALS - 0.2% | |||
| Banks - 0.2% | |||
| Bank of America Corp. 4.3% (d)(r) | 7,090,000 | 7,284,975 | |
| Bank of Nova Scotia 4.65% (d)(r) | 12,927,000 | 13,040,111 | |
| Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 29,989,034 | |
| Citigroup, Inc. 3.875% (d)(r) | 4,320,000 | 4,352,400 | |
| JPMorgan Chase & Co. 4.6% (d)(r) | 7,120,000 | 7,262,400 | |
| 61,928,920 | |||
| Consumer Finance - 0.0% | |||
| Ally Financial, Inc. 4.7% (d)(r) | 350,000 | 359,625 | |
| TOTAL FINANCIALS | 62,288,545 | ||
| TOTAL PREFERRED SECURITIES | |||
| (Cost $70,658,655) | 70,099,889 | ||
| Shares | Value | ||
| Money Market Funds - 5.4% | |||
| Fidelity Cash Central Fund 0.06% (s) | 708,983,429 | 709,125,225 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (p)(t) | 564,393,777 | 564,393,777 | |
| Fidelity Securities Lending Cash Central Fund 0.06% (s)(u) | 859,067,783 | 859,153,690 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (t) | 197,303,780 | 197,303,780 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $2,329,972,827) | 2,329,976,472 |
| Purchased Swaptions - 0.0% | ||||
| Expiration Date | Notional Amount | Value | ||
| Put Options - 0.0% | ||||
| 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 | $308,290 | |
| Call Options - 0.0% | ||||
| 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 | 241,720 | |
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $547,000) | 550,010 | |||
| TOTAL INVESTMENT IN SECURITIES - 105.9% | ||||
| (Cost $45,090,267,458) | 45,903,272,358 | |||
| NET OTHER ASSETS (LIABILITIES) - (5.9)%(v) | (2,567,752,470) | |||
| NET ASSETS - 100% | $43,335,519,888 |
| TBA Sale Commitments | ||
| Principal Amount | Value | |
| Ginnie Mae | ||
| 2% 6/1/51 | $(3,950,000) | $(4,018,122) |
| 2% 6/1/51 | (3,550,000) | (3,611,223) |
| 2% 6/1/51 | (2,350,000) | (2,390,528) |
| 2% 6/1/51 | (2,600,000) | (2,644,840) |
| 2% 6/1/51 | (5,950,000) | (6,052,614) |
| 2% 6/1/51 | (6,600,000) | (6,713,824) |
| 2% 6/1/51 | (14,300,000) | (14,546,618) |
| 2% 6/1/51 | (15,800,000) | (16,072,487) |
| 2% 6/1/51 | (8,350,000) | (8,494,004) |
| 2% 6/1/51 | (9,200,000) | (9,358,663) |
| 2.5% 6/1/51 | (12,550,000) | (12,998,509) |
| 2.5% 6/1/51 | (14,300,000) | (14,811,051) |
| 3% 6/1/51 | (6,300,000) | (6,572,800) |
| 3% 6/1/51 | (4,850,000) | (5,060,013) |
| 3.5% 6/1/51 | (400,000) | (420,738) |
| 3.5% 6/1/51 | (8,700,000) | (9,151,046) |
| 3.5% 6/1/51 | (1,350,000) | (1,419,990) |
| 3.5% 6/1/51 | (650,000) | (683,699) |
| TOTAL GINNIE MAE | (125,020,769) | |
| Uniform Mortgage Backed Securities | ||
| 1.5% 6/1/36 | (4,250,000) | (4,302,461) |
| 1.5% 6/1/36 | (7,800,000) | (7,896,282) |
| 1.5% 6/1/36 | (2,500,000) | (2,530,860) |
| 1.5% 6/1/36 | (4,575,000) | (4,631,473) |
| 2% 6/1/51 | (16,800,000) | (16,974,280) |
| 2% 6/1/51 | (14,900,000) | (15,054,570) |
| 2% 6/1/51 | (7,000,000) | (7,072,617) |
| 2% 6/1/51 | (8,300,000) | (8,386,103) |
| 2% 6/1/51 | (6,000,000) | (6,062,243) |
| 2% 6/1/51 | (14,500,000) | (14,650,420) |
| 2% 6/1/51 | (6,400,000) | (6,466,392) |
| 2% 6/1/51 | (20,200,000) | (20,409,551) |
| 2% 6/1/51 | (11,200,000) | (11,316,187) |
| 2% 6/1/51 | (9,200,000) | (9,295,439) |
| 2% 6/1/51 | (16,900,000) | (17,075,317) |
| 2% 6/1/51 | (15,300,000) | (15,458,719) |
| 2% 6/1/51 | (3,400,000) | (3,435,271) |
| 2% 6/1/51 | (7,600,000) | (7,678,841) |
| 2.5% 6/1/51 | (5,800,000) | (6,005,492) |
| 2.5% 6/1/51 | (1,900,000) | (1,967,316) |
| 2.5% 6/1/51 | (3,400,000) | (3,520,461) |
| 2.5% 6/1/51 | (5,200,000) | (5,384,234) |
| 2.5% 6/1/51 | (1,900,000) | (1,967,316) |
| 2.5% 6/1/51 | (1,700,000) | (1,760,230) |
| 2.5% 6/1/51 | (4,150,000) | (4,297,033) |
| 2.5% 6/1/51 | (3,900,000) | (4,038,175) |
| 2.5% 6/1/51 | (6,000,000) | (6,212,578) |
| 2.5% 6/1/51 | (5,900,000) | (6,109,035) |
| 2.5% 6/1/51 | (8,800,000) | (9,111,780) |
| 3% 6/1/51 | (3,950,000) | (4,125,282) |
| 3% 6/1/51 | (4,050,000) | (4,229,719) |
| 3% 6/1/51 | (10,000,000) | (10,443,751) |
| 3.5% 6/1/51 | (10,550,000) | (11,136,485) |
| 3.5% 6/1/51 | (7,000,000) | (7,389,137) |
| 3.5% 6/1/51 | (2,500,000) | (2,638,978) |
| 3.5% 6/1/51 | (1,650,000) | (1,741,725) |
| 3.5% 6/1/51 | (7,700,000) | (8,128,051) |
| 3.5% 6/1/51 | (7,100,000) | (7,494,696) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (286,398,500) | |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $411,140,721) | $(411,419,269) |
| 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 | $(398,464) |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.37% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2026 | 5/11/26 | 26,000,000 | (808,962) |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.5175% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2026 | 4/1/26 | 15,000,000 | (417,500) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (1,608,730) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.2925% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 6,300,000 | (288,428) |
| 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 February 2026 | 2/5/26 | 5,000,000 | (199,738) |
| Option on an interest rate swap with Morgan Stanley Capital Services to pay semi-annually a fixed rate of 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2022 | 2/16/22 | 9,300,000 | (285,190) |
| Option on an interest rate swap with Morgan Stanley Capital Services to pay semi-annually a fixed rate of 2.3725% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2026 | 5/18/26 | 11,000,000 | (342,696) |
| TOTAL PUT SWAPTIONS | (4,349,708) | ||
| 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 | (8,347) |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.37% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2026 | 5/11/26 | 26,000,000 | (912,258) |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.5175% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2026 | 4/1/26 | 15,000,000 | (586,291) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (364,330) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.2925% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 6,300,000 | (46,114) |
| 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 February 2026 | 2/5/26 | 5,000,000 | (119,487) |
| Option on an interest rate swap with Morgan Stanley Capital Services to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2022 | 2/16/22 | 9,300,000 | (154,305) |
| Option on an interest rate swap with Morgan Stanley Capital Services to receive semi-annually a fixed rate of 2.3725% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2026 | 5/18/26 | 11,000,000 | (386,588) |
| TOTAL CALL SWAPTIONS | (2,577,720) | ||
| TOTAL WRITTEN SWAPTIONS | $(6,927,428) |
| 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) | 505 | Sept. 2021 | $62,545,039 | $117,575 | $117,575 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 526 | Sept. 2021 | 82,335,438 | 398,406 | 398,406 |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 15 | Sept. 2021 | 2,174,297 | 4,890 | 4,890 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 778 | Sept. 2021 | 144,124,500 | 679,588 | 679,588 |
| TOTAL PURCHASED | 1,200,459 | ||||
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 176 | Sept. 2021 | 23,221,000 | 5,531 | 5,531 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,388 | Sept. 2021 | 306,379,313 | (107,258) | (107,258) |
| TOTAL SOLD | (101,727) | ||||
| TOTAL FUTURES CONTRACTS | $1,098,732 |
The notional amount of futures purchased as a percentage of Net Assets is 0.7%
The notional amount of futures sold as a percentage of Net Assets is 0.8%
| Forward Foreign Currency Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
| EUR | 69,131,585 | USD | 84,478,797 | Citibank N.A. | 6/2/21 | $(176,285) |
| GBP | 18,121,351 | USD | 25,659,833 | Bank of America N.A. | 6/2/21 | 57,082 |
| USD | 81,661,970 | EUR | 67,545,400 | Bank of America N.A. | 6/2/21 | (706,268) |
| USD | 603,776 | EUR | 499,520 | Barclays Bank PLC | 6/2/21 | (5,364) |
| USD | 240,498 | EUR | 200,000 | Barclays Bank PLC | 6/2/21 | (3,392) |
| USD | 1,066,969 | EUR | 886,665 | JPMorgan Chase Bank, N.A. | 6/2/21 | (14,274) |
| USD | 25,161,269 | GBP | 18,121,351 | BNP Paribas | 6/2/21 | (555,646) |
| USD | 263,816 | EUR | 215,380 | Bank of America N.A. | 7/2/21 | 1,019 |
| USD | 84,528,848 | EUR | 69,131,585 | Citibank N.A. | 7/2/21 | 177,598 |
| USD | 25,661,391 | GBP | 18,121,351 | Bank of America N.A. | 7/2/21 | (56,521) |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(1,282,051) | |||||
| Unrealized Appreciation | 235,699 | |||||
| Unrealized Depreciation | (1,517,750) | |||||
Swaps
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(2) | Value(1) | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
| Credit Default Swaps | |||||||||
| Sell Protection | |||||||||
| CMBX N.A. AAA Index Series 13 | NR | Dec. 2072 | Goldman Sachs Bank USA | 0.5% | Monthly | $4,160,000 | $34,623 | $(20,484) | $14,139 |
| CMBX N.A. AAA Index Series 13 | NR | Dec. 2072 | Morgan Stanley Capital Services | 0.5% | Monthly | 5,730,000 | 34,925 | (33,445) | 1,480 |
| TOTAL CREDIT DEFAULT SWAPS | $69,548 | $(53,929) | $15,619 | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
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 | |||||||||
| 0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2023 | $67,291,000 | $89,400 | $0 | $89,400 |
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2026 | 24,123,000 | 93,594 | 0 | 93,594 |
| 1% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2031 | 2,057,000 | 12,760 | 0 | 12,760 |
| 3-month LIBOR(3) | Quarterly | 1% | Semi - annual | LCH | Sep. 2031 | 2,057,000 | (13,926) | 0 | (13,926) |
| 1.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2051 | 939,000 | 2,258 | 0 | 2,258 |
| TOTAL INTEREST RATE SWAPS | $184,086 | $0 | $184,086 | ||||||
(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.
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound
USD – U.S. dollar
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(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 $2,568,106,540 or 5.9% of net assets.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e) Non-income producing - Security is in default.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(g) 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 $1,841,109.
(h) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $821,680.
(i) 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 $1,295,289.
(j) 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 $182,425.
(k) 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.
(l) 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.
(m) 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.
(n) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(o) The coupon rate will be determined upon settlement of the loan after period end.
(p) Affiliated Fund
(q) Security or a portion of the security is on loan at period end.
(r) Security is perpetual in nature with no stated maturity date.
(s) 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.
(t) The rate quoted is the annualized seven-day yield of the fund at period end.
(u) Investment made with cash collateral received from securities on loan.
(v) Includes $8,143,000 of cash collateral to cover margin requirements for futures contracts.
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 | $59,169 |
| Fidelity Securities Lending Cash Central Fund | 717,794 |
| Total | $776,963 |
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 Investments Money Market Government Portfolio Institutional Class 0.01% | $289,245,261 | $421,643,617 | $146,495,101 | $11,886 | $-- | $-- | $564,393,777 |
| Fidelity SAI Total Bond Fund | 6,210,522,165 | 36,959,917 | 10,000,000 | 36,958,486 | (229,446) | (17,345,113) | 6,219,907,523 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 443,836,473 | 409,523,835 | -- | 1,523,834 | -- | (4,195,876) | 849,164,432 |
| Fidelity U.S. Bond Index Fund | 90,464,916 | 116,671,723 | 10,000,000 | 388,720 | (348,924) | (393,115) | 196,394,600 |
| Total | $7,034,068,815 | $984,799,092 | $166,495,101 | $38,882,926 | $(578,370) | $(21,934,104) | $7,829,860,332 |
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, bank loan obligations, 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. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. 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.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are 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 open-end mutual 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.
Any open loans at period end are presented under the caption "Interfund Loans" in the Fund's Schedule of Investments with accrued interest.
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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