NPORT-EX 2 QTLY_2387_20210831.htm US_QtlyFinancialStatementsCoverMaster
Quarterly Holdings Report
for
Strategic Advisers® Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
August 31, 2021
ASD-NPRT1-1021
1.934463.109
Nonconvertible Bonds - 22.6%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 1.0%
 
  
  
Diversified Telecommunication Services - 0.5%
  
  
  
AT&T, Inc. 0.9% 3/25/24
 
2,145,000
2,149,010
NBN Co. Ltd. 1.45% 5/5/26 (b)
  
1,765,000
1,776,850
NTT Finance Corp.:
  
  
  
 0.373% 3/3/23 (b)
  
5,265,000
5,265,471
 0.583% 3/1/24 (b)
  
2,184,000
2,181,628
SBA Tower Trust 3.448% 3/15/48 (b)
  
880,000
893,816
Verizon Communications, Inc.:
  
  
  
 3 month U.S. LIBOR + 1.000% 1.118% 3/16/22 (c)(d)
  
15,233,000
15,312,926
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.55% 3/22/24 (c)(d)
  
2,563,000
2,580,454
 0.75% 3/22/24
 
715,000
717,715
 0.85% 11/20/25
 
710,000
704,754
 1.45% 3/20/26
 
1,155,000
1,170,221
 
  
  
32,752,845
Entertainment - 0.1%
  
  
  
The Walt Disney Co. 3% 9/15/22
 
4,273,000
4,389,765
Interactive Media & Services - 0.0%
  
  
  
Baidu, Inc. 3.5% 11/28/22
 
780,000
805,984
Media - 0.2%
  
  
  
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
  
  
  
 4.464% 7/23/22
 
3,670,000
3,776,096
 4.908% 7/23/25
 
2,145,000
2,427,058
Comcast Corp. 3.1% 4/1/25
 
355,000
381,761
COX Communications, Inc. 3.15% 8/15/24 (b)
  
796,000
846,456
Fox Corp. 3.666% 1/25/22
 
260,000
263,509
RELX Capital, Inc. 3.5% 3/16/23
 
575,000
600,178
SES SA 3.6% 4/4/23 (b)
  
155,000
161,489
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.524% 3/4/22 (c)(d)
  
5,000,000
5,009,240
 
  
  
13,465,787
Wireless Telecommunication Services - 0.2%
  
  
  
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23
 
2,615,000
2,753,774
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.7349% 3/22/22 (c)(d)
  
5,520,000
5,535,881
T-Mobile U.S.A., Inc. 3.5% 4/15/25
 
1,005,000
1,084,747
 
  
  
9,374,402
TOTAL COMMUNICATION SERVICES
  
  
60,788,783
CONSUMER DISCRETIONARY - 1.4%
 
  
  
Automobiles - 1.0%
  
  
  
American Honda Finance Corp.:
  
  
  
 3 month U.S. LIBOR + 0.150% 0.2808% 2/22/23 (c)(d)
  
3,342,000
3,345,900
 3 month U.S. LIBOR + 0.290% 0.418% 12/10/21 (c)(d)
  
5,000,000
5,003,346
 0.4% 10/21/22
 
2,775,000
2,777,890
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 4/1/24 (b)(c)(d)
  
5,925,000
5,993,078
Daimler Finance North America LLC:
  
  
  
 3 month U.S. LIBOR + 0.840% 0.9638% 5/4/23 (b)(c)(d)
  
3,240,000
3,268,064
 3 month U.S. LIBOR + 0.900% 1.0248% 2/15/22 (b)(c)(d)
  
5,000,000
5,019,920
 1.75% 3/10/23 (b)
  
1,800,000
1,834,434
General Motors Co.:
  
  
  
 4.875% 10/2/23
 
730,000
791,818
 5.4% 10/2/23
 
1,130,000
1,235,171
General Motors Financial Co., Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8041% 3/8/24 (c)(d)
  
4,061,000
4,096,347
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (c)(d)
  
5,000,000
5,079,650
 2.9% 2/26/25
 
1,880,000
1,986,427
 4.2% 11/6/21
 
370,000
372,587
Harley-Davidson Financial Services, Inc.:
  
  
  
 2.55% 6/9/22 (b)
  
375,000
379,959
 4.05% 2/4/22 (b)
  
1,210,000
1,228,457
Nissan Motor Acceptance Corp.:
  
  
  
 2.6% 9/28/22 (b)
  
1,610,000
1,640,865
 2.65% 7/13/22 (b)
  
560,000
564,065
 3.65% 9/21/21 (b)
  
580,000
580,982
Nissan Motor Co. Ltd. 3.043% 9/15/23 (b)
  
1,350,000
1,406,404
Volkswagen Group of America Finance LLC:
  
  
  
 0.75% 11/23/22 (b)
  
10,620,000
10,653,443
 0.875% 11/22/23 (b)
  
590,000
593,314
 2.5% 9/24/21 (b)
  
280,000
280,390
 2.7% 9/26/22 (b)
  
650,000
665,919
 2.9% 5/13/22 (b)
  
5,663,000
5,760,487
 3.125% 5/12/23 (b)
  
355,000
369,695
 
  
  
64,928,612
Hotels, Restaurants & Leisure - 0.1%
  
  
  
Expedia, Inc. 3.6% 12/15/23
 
1,270,000
1,347,407
Marriott International, Inc.:
  
  
  
 2.3% 1/15/22
 
90,000
90,512
 3.125% 2/15/23
 
290,000
297,989
 3.6% 4/15/24
 
1,670,000
1,781,676
Starbucks Corp. 2.7% 6/15/22
 
435,000
441,632
 
  
  
3,959,216
Household Durables - 0.0%
  
  
  
Panasonic Corp. 2.536% 7/19/22 (b)
  
785,000
797,753
Internet & Direct Marketing Retail - 0.0%
  
  
  
QVC, Inc. 4.375% 3/15/23
 
2,190,000
2,294,025
Leisure Products - 0.1%
  
  
  
Brunswick Corp. 0.85% 8/18/24
 
1,190,000
1,190,571
Hasbro, Inc.:
  
  
  
 2.6% 11/19/22
 
885,000
907,518
 3% 11/19/24
 
1,485,000
1,577,312
 
  
  
3,675,401
Multiline Retail - 0.0%
  
  
  
Nordstrom, Inc. 2.3% 4/8/24
 
150,000
150,983
Specialty Retail - 0.1%
  
  
  
AutoZone, Inc. 3.625% 4/15/25
 
485,000
528,082
O'Reilly Automotive, Inc. 3.8% 9/1/22
 
385,000
394,835
Ross Stores, Inc.:
  
  
  
 0.875% 4/15/26
 
450,000
443,131
 4.6% 4/15/25
 
2,310,000
2,592,504
Triton Container International Ltd. 0.8% 8/1/23 (b)
  
1,350,000
1,349,642
 
  
  
5,308,194
Textiles, Apparel & Luxury Goods - 0.1%
  
  
  
Ralph Lauren Corp. 1.7% 6/15/22
 
225,000
227,543
VF Corp. 2.05% 4/23/22
 
6,772,000
6,847,815
 
  
  
7,075,358
TOTAL CONSUMER DISCRETIONARY
  
  
88,189,542
CONSUMER STAPLES - 0.6%
 
  
  
Beverages - 0.0%
  
  
  
Coca-Cola European Partners PLC 0.8% 5/3/24 (b)
  
2,005,000
2,002,775
Diageo Capital PLC 1.375% 9/29/25
 
680,000
691,373
 
  
  
2,694,148
Food & Staples Retailing - 0.1%
  
  
  
7-Eleven, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.450% 0.5784% 8/10/22 (b)(c)(d)
  
300,000
300,096
 0.625% 2/10/23 (b)
  
1,072,000
1,070,861
 0.8% 2/10/24 (b)
  
1,448,000
1,447,709
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S)
 
1,200,000
1,287,225
 
  
  
4,105,891
Food Products - 0.2%
  
  
  
Archer Daniels Midland Co. 2.75% 3/27/25
 
285,000
303,420
Bunge Ltd. Finance Corp.:
  
  
  
 3% 9/25/22
 
3,375,000
3,463,562
 4.35% 3/15/24
 
130,000
140,932
Cargill, Inc. 1.375% 7/23/23 (b)
  
630,000
642,643
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S)
 
2,004,000
2,021,996
Mondelez International, Inc. 0.625% 7/1/22
 
6,350,000
6,368,057
 
  
  
12,940,610
Tobacco - 0.3%
  
  
  
BAT International Finance PLC 1.668% 3/25/26
 
885,000
890,123
Imperial Tobacco Finance PLC:
  
  
  
 3.125% 7/26/24 (b)
  
235,000
247,782
 3.5% 2/11/23 (b)
  
2,090,000
2,157,186
 3.75% 7/21/22 (b)
  
3,390,000
3,462,053
Philip Morris International, Inc. 1.125% 5/1/23
 
8,991,000
9,102,191
 
  
  
15,859,335
TOTAL CONSUMER STAPLES
  
  
35,599,984
ENERGY - 1.2%
 
  
  
Energy Equipment & Services - 0.0%
  
  
  
Schlumberger Finance Canada Ltd. 1.4% 9/17/25
 
290,000
294,518
Schlumberger Holdings Corp.:
  
  
  
 3.75% 5/1/24 (b)
  
1,515,000
1,625,287
 4% 12/21/25 (b)
  
375,000
416,355
 
  
  
2,336,160
Oil, Gas & Consumable Fuels - 1.2%
  
  
  
Aker BP ASA 3% 1/15/25 (b)
  
995,000
1,050,919
Canadian Natural Resources Ltd. 2.05% 7/15/25
 
1,430,000
1,471,241
Cenovus Energy, Inc.:
  
  
  
 3% 8/15/22
 
1,725,000
1,756,718
 3.8% 9/15/23
 
1,070,000
1,125,848
Cheniere Corpus Christi Holdings LLC:
  
  
  
 5.875% 3/31/25
 
1,470,000
1,670,039
 7% 6/30/24
 
1,625,000
1,842,860
Chevron Corp.:
  
  
  
 3 month U.S. LIBOR + 0.480% 0.6085% 3/3/22 (c)(d)
  
4,700,000
4,710,338
 1.141% 5/11/23
 
4,174,000
4,236,084
Diamondback Energy, Inc.:
  
  
  
 2.875% 12/1/24
 
2,720,000
2,859,049
 4.75% 5/31/25
 
1,080,000
1,209,088
Enbridge, Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (c)(d)
  
1,892,000
1,896,181
 2.5% 1/15/25
 
985,000
1,032,420
 4% 10/1/23
 
1,605,000
1,704,076
Energy Transfer LP:
  
  
  
 2.9% 5/15/25
 
255,000
267,664
 3.45% 1/15/23
 
110,000
113,272
 4.2% 9/15/23
 
280,000
298,079
 4.25% 3/15/23
 
1,425,000
1,489,780
 4.25% 4/1/24
 
70,000
75,096
 4.9% 2/1/24
 
245,000
265,006
 5.875% 1/15/24
 
2,375,000
2,617,326
Eni SpA 4% 9/12/23 (b)
  
1,610,000
1,712,924
Enterprise Products Operating LP 3.5% 2/1/22
 
1,050,000
1,064,033
EOG Resources, Inc. 2.625% 3/15/23
 
291,000
299,840
EQT Corp. 3% 10/1/22
 
2,275,000
2,322,957
Gray Oak Pipeline LLC:
  
  
  
 2% 9/15/23 (b)
  
205,000
208,944
 2.6% 10/15/25 (b)
  
385,000
396,271
Kinder Morgan Energy Partners LP 3.95% 9/1/22
 
135,000
138,613
MPLX LP 3 month U.S. LIBOR + 1.100% 1.2231% 9/9/22 (c)(d)
  
1,683,000
1,682,958
Phillips 66 Co. 3 month U.S. LIBOR + 0.620% 0.7448% 2/15/24 (c)(d)
  
10,000,000
10,008,720
Pioneer Natural Resources Co.:
  
  
  
 0.55% 5/15/23
 
3,792,000
3,788,602
 0.75% 1/15/24
 
610,000
605,704
Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23
 
1,275,000
1,305,351
Reliance Industries Ltd. 5.4% 2/14/22 (Reg. S)
 
1,700,000
1,737,506
Sabine Pass Liquefaction LLC:
  
  
  
 5.625% 4/15/23 (c)
  
1,345,000
1,434,695
 6.25% 3/15/22
 
2,495,000
2,535,872
Saudi Arabian Oil Co. 2.75% 4/16/22 (b)
  
1,815,000
1,837,914
Suncor Energy, Inc. 2.8% 5/15/23
 
975,000
1,011,239
The Williams Companies, Inc.:
  
  
  
 3.35% 8/15/22
 
200,000
204,154
 3.7% 1/15/23
 
2,205,000
2,284,739
 4.3% 3/4/24
 
305,000
328,970
Valero Energy Corp.:
  
  
  
 1.2% 3/15/24
 
715,000
720,543
 2.7% 4/15/23
 
1,430,000
1,476,807
 3.65% 3/15/25
 
245,000
265,251
Western Gas Partners LP 4% 7/1/22
 
1,800,000
1,822,500
 
  
  
70,886,191
TOTAL ENERGY
  
  
73,222,351
FINANCIALS - 13.4%
 
  
  
Banks - 7.3%
  
  
  
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23
 
1,800,000
1,807,945
Banco del Estado de Chile 2.704% 1/9/25 (b)
  
665,000
692,972
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S)
 
1,750,000
1,815,953
Banco Santander SA 0.701% 6/30/24 (c)
  
200,000
200,569
Bank Ireland Group PLC 4.5% 11/25/23 (b)
  
2,655,000
2,858,967
Bank of America Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.74% 4/22/25 (c)(d)
  
10,000,000
10,090,866
 0.523% 6/14/24 (c)
  
1,210,000
1,208,894
 0.81% 10/24/24 (c)
  
755,000
758,114
 0.976% 4/22/25 (c)
  
1,050,000
1,055,928
 1.734% 7/22/27 (c)
  
765,000
775,209
 3.124% 1/20/23 (c)
  
20,000,000
20,211,745
Bank of Montreal:
  
  
  
 3 month U.S. LIBOR + 0.400% 0.528% 9/10/21 (c)(d)
  
5,000,000
5,000,490
 3 month U.S. LIBOR + 0.570% 0.716% 3/26/22 (c)(d)
  
5,000,000
5,014,347
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.32% 4/14/23 (c)(d)
  
8,000,000
8,009,169
Bank of Nova Scotia:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.43% 7/31/24 (c)(d)
  
5,000,000
5,007,635
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.495% 4/15/24 (c)(d)
  
10,000,000
10,040,431
Banque Federative du Credit Mutuel SA:
  
  
  
 0.65% 2/27/24 (b)
  
860,000
860,527
 2.125% 11/21/22 (b)
  
1,415,000
1,447,167
Barclays Bank PLC 1.7% 5/12/22
 
650,000
655,926
Barclays PLC:
  
  
  
 4.338% 5/16/24 (c)
  
660,000
700,806
 4.61% 2/15/23 (c)
  
15,000,000
15,284,988
BNP Paribas SA 3.5% 3/1/23 (b)
  
10,000,000
10,450,059
BPCE SA:
  
  
  
 3 month U.S. LIBOR + 0.300% 0.4329% 1/14/22 (b)(c)(d)
  
5,000,000
5,005,139
 3 month U.S. LIBOR + 1.220% 1.3508% 5/22/22 (b)(c)(d)
  
1,605,000
1,616,778
 5.7% 10/22/23 (b)
  
2,215,000
2,433,339
Canadian Imperial Bank of Commerce:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3889% 6/22/23 (c)(d)
  
5,885,000
5,891,415
 0.95% 6/23/23
 
7,200,000
7,267,498
Capital One Bank NA 2.014% 1/27/23 (c)
  
7,000,000
7,046,707
Citigroup, Inc.:
  
  
  
 0.981% 5/1/25 (c)
  
880,000
883,970
 2.312% 11/4/22 (c)
  
16,290,000
16,345,567
 2.9% 12/8/21
 
1,495,000
1,502,467
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.1453% 4/24/23 (b)(c)(d)
  
675,000
684,246
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22
 
5,000,000
5,176,747
Danske Bank A/S:
  
  
  
 1.226% 6/22/24 (b)
  
1,610,000
1,626,575
 3.001% 9/20/22 (b)(c)
  
1,475,000
1,476,768
 5% 1/12/22 (b)
  
1,050,000
1,066,592
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (b)(c)(d)
  
5,316,000
5,329,131
Fifth Third Bancorp 1.625% 5/5/23
 
10,625,000
10,831,991
First Niagara Financial Group, Inc. 7.25% 12/15/21
 
515,000
524,998
First Republic Bank 2.5% 6/6/22
 
6,050,000
6,138,902
HSBC Holdings PLC:
  
  
  
 0.976% 5/24/25 (c)
  
245,000
245,124
 1.645% 4/18/26 (c)
  
850,000
860,630
 2.099% 6/4/26 (c)
  
1,840,000
1,891,867
 3.262% 3/13/23 (c)
  
15,300,000
15,538,486
 3.803% 3/11/25 (c)
  
425,000
455,732
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.296% 3/29/22 (c)(d)
  
735,000
738,561
Intesa Sanpaolo SpA 3.125% 7/14/22 (b)
  
4,500,000
4,602,620
JPMorgan Chase & Co.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.585% 6/1/25 (c)(d)
  
10,000,000
10,027,578
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6285% 3/16/24 (c)(d)
  
5,000,000
5,029,209
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.880% 0.935% 4/22/27 (c)(d)
  
380,000
385,722
 0.824% 6/1/25 (c)
  
965,000
966,659
 2.083% 4/22/26 (c)
  
1,870,000
1,931,171
 2.776% 4/25/23 (c)
  
5,200,000
5,282,591
KeyBank NA:
  
  
  
 3 month U.S. LIBOR + 0.660% 0.7858% 2/1/22 (c)(d)
  
8,128,000
8,150,088
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (c)(d)
  
10,000,000
10,011,369
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.39% 1/3/24 (c)(d)
  
6,000,000
6,010,707
Lloyds Banking Group PLC:
  
  
  
 0.695% 5/11/24 (c)
  
2,698,000
2,707,840
 1.326% 6/15/23 (c)
  
1,803,000
1,815,714
 3% 1/11/22
 
5,000,000
5,049,681
 4.5% 11/4/24
 
480,000
530,094
Mitsubishi UFJ Financial Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.700% 0.8308% 3/7/22 (c)(d)
  
10,000,000
10,031,855
 3 month U.S. LIBOR + 0.740% 0.8714% 3/2/23 (c)(d)
  
1,623,000
1,637,453
 3 month U.S. LIBOR + 0.920% 1.0508% 2/22/22 (c)(d)
  
840,000
843,494
 0.953% 7/19/25 (c)
  
1,660,000
1,666,078
 3.218% 3/7/22
 
1,090,000
1,106,667
Mizuho Financial Group Cayman 2 Ltd. 4.2% 7/18/22 (Reg. S)
 
1,625,000
1,676,610
Mizuho Financial Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.940% 1.0608% 2/28/22 (c)(d)
  
5,000,000
5,021,993
 3 month U.S. LIBOR + 1.140% 1.259% 9/13/21 (c)(d)
  
17,000,000
17,005,951
National Bank of Canada 0.9% 8/15/23 (c)
  
7,000,000
7,034,641
NatWest Markets PLC:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 8/12/24 (b)(c)(d)
  
5,905,000
5,927,054
 0.8% 8/12/24 (b)
  
370,000
369,812
 2.375% 5/21/23 (b)
  
1,525,000
1,576,460
 3.625% 9/29/22 (b)
  
5,000,000
5,178,208
PNC Bank NA:
  
  
  
 1.743% 2/24/23 (c)
  
4,078,000
4,106,312
 2.028% 12/9/22 (c)
  
7,000,000
7,033,008
QNB Finance Ltd.:
  
  
  
 2.625% 5/12/25 (Reg. S)
 
500,000
522,500
 3.5% 3/28/24 (Reg. S)
 
1,000,000
1,061,750
Rabobank Nederland 3.95% 11/9/22
 
1,630,000
1,697,745
Rabobank Nederland New York Branch 3 month U.S. LIBOR + 0.830% 0.949% 1/10/22 (c)(d)
  
5,000,000
5,014,870
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.5% 10/26/23 (c)(d)
  
15,000,000
15,075,339
Royal Bank of Scotland Group PLC 3.875% 9/12/23
 
1,085,000
1,154,764
Santander Holdings U.S.A., Inc. 4.45% 12/3/21
 
7,000,000
7,047,234
Societe Generale 2.625% 10/16/24 (b)
  
365,000
380,777
Standard Chartered PLC:
  
  
  
 3 month U.S. LIBOR + 1.150% 1.2843% 1/20/23 (b)(c)(d)
  
910,000
913,572
 3 month U.S. LIBOR + 1.200% 1.328% 9/10/22 (b)(c)(d)
  
4,500,000
4,501,022
 0.991% 1/12/25 (b)(c)
  
375,000
374,277
 1.214% 3/23/25 (b)(c)
  
200,000
200,753
 1.319% 10/14/23 (b)(c)
  
200,000
201,505
 2.744% 9/10/22 (b)(c)
  
1,495,000
1,495,743
 3.885% 3/15/24 (b)(c)
  
365,000
382,175
 3.95% 1/11/23 (b)
  
805,000
836,007
Sumitomo Mitsui Financial Group, Inc. 3 month U.S. LIBOR + 1.140% 1.2739% 10/19/21 (c)(d)
  
6,500,000
6,509,812
Svenska Handelsbanken AB:
  
  
  
 0.55% 6/11/24 (b)
  
720,000
719,086
 1.418% 6/11/27 (b)(c)
  
695,000
696,975
Swedbank AB:
  
  
  
 0.6% 9/25/23 (b)
  
500,000
501,022
 1.3% 6/2/23 (b)
  
1,150,000
1,167,607
Synchrony Bank 3% 6/15/22
 
10,395,000
10,592,881
Synovus Bank 2.289% 2/10/23 (c)
  
1,237,000
1,244,286
The Toronto-Dominion Bank:
  
  
  
 3 month U.S. LIBOR + 0.530% 0.6646% 12/1/22 (c)(d)
  
5,000,000
5,032,200
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2629% 6/2/23 (c)(d)
  
10,000,000
10,008,900
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.53% 1/27/23 (c)(d)
  
5,000,000
5,028,395
 0.25% 1/6/23
 
4,000,000
4,000,905
 0.55% 3/4/24
 
1,790,000
1,789,881
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4454% 6/9/25 (c)(d)
  
10,710,000
10,730,676
U.S. Bancorp 3% 3/15/22
 
1,530,000
1,549,652
UniCredit SpA 3.75% 4/12/22 (b)
  
1,740,000
1,772,733
Wells Fargo & Co.:
  
  
  
 1.654% 6/2/24 (c)
  
5,935,000
6,060,098
 2.188% 4/30/26 (c)
  
840,000
872,478
 3.5% 3/8/22
 
123,000
125,089
Wells Fargo Bank NA 2.082% 9/9/22 (c)
  
1,105,000
1,105,408
 
  
  
447,612,693
Capital Markets - 2.9%
  
  
  
Credit Suisse AG:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.43% 8/9/23 (c)(d)
  
5,000,000
5,010,550
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.5% 2/4/22 (c)(d)
  
5,310,000
5,317,965
 0.495% 2/2/24
 
810,000
809,245
 1% 5/5/23
 
6,590,000
6,657,542
 2.1% 11/12/21
 
8,156,000
8,186,258
 2.8% 4/8/22
 
2,340,000
2,377,060
Credit Suisse Group AG:
  
  
  
 2.997% 12/14/23 (b)(c)
  
250,000
257,307
 3.574% 1/9/23 (b)
  
650,000
657,075
Deutsche Bank AG New York Branch:
  
  
  
 3.3% 11/16/22
 
7,072,000
7,305,378
 4.25% 10/14/21
 
7,005,000
7,036,134
 5% 2/14/22
 
10,000,000
10,202,361
E*TRADE Financial Corp. 2.95% 8/24/22
 
8,277,000
8,475,438
Goldman Sachs Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.750% 0.8808% 2/23/23 (c)(d)
  
5,000,000
5,039,500
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 11/17/23 (c)(d)
  
10,000,000
10,026,469
 0.523% 3/8/23
 
3,300,000
3,301,482
 0.657% 9/10/24 (c)
  
725,000
724,492
 0.673% 3/8/24 (c)
  
1,180,000
1,181,923
 2.876% 10/31/22 (c)
  
520,000
522,089
 2.905% 7/24/23 (c)
  
10,000,000
10,220,100
 2.908% 6/5/23 (c)
  
5,000,000
5,092,668
 3.5% 4/1/25
 
1,005,000
1,088,115
 5.75% 1/24/22
 
1,800,000
1,839,261
Morgan Stanley:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 1/20/23 (c)(d)
  
5,000,000
5,011,600
 0.529% 1/25/24 (c)
  
3,994,000
3,995,909
 0.56% 11/10/23 (c)
  
6,170,000
6,180,262
 0.731% 4/5/24 (c)
  
985,000
988,040
 2.625% 11/17/21
 
15,989,000
16,070,390
 2.75% 5/19/22
 
1,095,000
1,114,889
 3.737% 4/24/24 (c)
  
5,000,000
5,263,148
 4.1% 5/22/23
 
275,000
291,482
 4.875% 11/1/22
 
660,000
693,819
NASDAQ, Inc. 0.445% 12/21/22
 
2,417,000
2,417,240
State Street Corp. 2.825% 3/30/23 (c)
  
603,000
611,969
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 0.5558% 11/1/21 (c)(d)
  
7,500,000
7,501,630
UBS AG London Branch:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.41% 2/9/24 (b)(c)(d)
  
10,000,000
10,069,300
 1.75% 4/21/22 (b)
  
7,000,000
7,061,566
UBS Group AG:
  
  
  
 3 month U.S. LIBOR + 1.220% 1.3508% 5/23/23 (b)(c)(d)
  
880,000
887,023
 1.008% 7/30/24 (b)(c)
  
7,118,000
7,163,561
 1.494% 8/10/27 (b)(c)
  
375,000
374,545
 3.491% 5/23/23 (b)
  
5,000,000
5,111,672
 
  
  
182,136,457
Consumer Finance - 1.1%
  
  
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
  
  
  
 3.95% 2/1/22
 
1,070,000
1,082,107
 4.125% 7/3/23
 
1,025,000
1,082,393
 4.45% 12/16/21
 
1,395,000
1,406,400
 4.5% 9/15/23
 
1,095,000
1,168,301
 4.875% 1/16/24
 
490,000
531,823
American Express Co.:
  
  
  
 3 month U.S. LIBOR + 0.600% 0.7214% 11/5/21 (c)(d)
  
6,750,000
6,753,452
 2.65% 12/2/22
 
9,500,000
9,786,330
 2.75% 5/20/22
 
5,000,000
5,079,614
Capital One Financial Corp.:
  
  
  
 3.2% 1/30/23
 
8,016,000
8,316,015
 3.5% 6/15/23
 
555,000
584,757
 3.9% 1/29/24
 
505,000
542,083
Ford Motor Credit Co. LLC 3.813% 10/12/21
 
495,000
495,233
Hyundai Capital America:
  
  
  
 0.8% 1/8/24 (b)
  
660,000
657,665
 0.875% 6/14/24 (b)
  
535,000
533,044
 2.375% 2/10/23 (b)
  
1,925,000
1,970,730
 2.85% 11/1/22 (b)
  
511,000
524,310
 3% 6/20/22 (b)
  
1,060,000
1,080,722
 3.95% 2/1/22 (b)
  
1,315,000
1,333,521
John Deere Capital Corp. 3 month U.S. LIBOR + 0.260% 0.388% 9/10/21 (c)(d)
  
5,000,000
5,000,350
LeasePlan Corp. NV 2.875% 10/24/24 (b)
  
550,000
576,926
Synchrony Financial:
  
  
  
 2.85% 7/25/22
 
3,758,000
3,836,367
 4.25% 8/15/24
 
1,960,000
2,127,271
Toyota Motor Credit Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (c)(d)
  
5,450,000
5,457,011
 0.45% 7/22/22
 
7,207,000
7,223,026
 
  
  
67,149,451
Diversified Financial Services - 0.3%
  
  
  
AIG Global Funding 2.3% 7/1/22 (b)
  
1,528,000
1,553,138
Athene Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (b)(c)(d)
  
8,000,000
8,042,960
 0.95% 1/8/24 (b)
  
3,469,000
3,489,765
BP Capital Markets America, Inc. 2.937% 4/6/23
 
700,000
728,734
Brixmor Operating Partnership LP 3.25% 9/15/23
 
1,410,000
1,477,870
CNH Industrial Capital LLC 3.875% 10/15/21
 
1,325,000
1,330,313
LSEGA Financing PLC 0.65% 4/6/24 (b)
  
1,355,000
1,355,387
Park Aerospace Holdings Ltd.:
  
  
  
 4.5% 3/15/23 (b)
  
435,000
456,500
 5.25% 8/15/22 (b)
  
880,000
914,754
 
  
  
19,349,421
Insurance - 1.8%
  
  
  
ACE INA Holdings, Inc. 2.875% 11/3/22
 
2,500,000
2,565,875
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 0.6545% 9/20/21 (b)(c)(d)
  
6,046,000
6,045,879
American International Group, Inc.:
  
  
  
 2.5% 6/30/25
 
1,000,000
1,051,537
 4.875% 6/1/22
 
10,815,000
11,180,943
Aon Corp. 2.2% 11/15/22
 
1,592,000
1,626,992
Brighthouse Financial Global Funding:
  
  
  
 0.6% 6/28/23 (b)
  
845,000
845,727
 1% 4/12/24 (b)
  
855,000
861,814
Equitable Financial Life Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.44% 4/6/23 (b)(c)(d)
  
10,000,000
10,021,764
 0.5% 4/6/23 (b)
  
2,010,000
2,012,380
 0.5% 11/17/23 (b)
  
5,000,000
5,002,546
Health Care Service Corp. 1.5% 6/1/25 (b)
  
1,375,000
1,402,502
Lincoln National Corp. 4% 9/1/23
 
270,000
288,723
MassMutual Global Funding II 0.85% 6/9/23 (b)
  
10,000,000
10,098,175
Metropolitan Life Global Funding I:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.62% 1/13/23 (b)(c)(d)
  
6,940,000
6,978,795
 0.9% 6/8/23 (b)
  
4,918,000
4,966,822
Metropolitan Tower Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.6% 1/17/23 (b)(c)(d)
  
5,000,000
5,027,175
 0.55% 7/13/22 (b)
  
6,000,000
6,018,924
New York Life Global Funding:
  
  
  
 3 month U.S. LIBOR + 0.280% 0.399% 1/10/23 (b)(c)(d)
  
6,945,000
6,963,160
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.27% 2/2/23 (b)(c)(d)
  
10,000,000
10,010,045
 1.1% 5/5/23 (b)
  
725,000
733,861
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.38% 3/25/24 (b)(c)(d)
  
4,063,000
4,074,608
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.43% 4/12/24 (b)(c)(d)
  
10,000,000
10,013,200
Principal Life Global Funding II:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.5% 4/12/24 (b)(c)(d)
  
1,763,000
1,766,711
 0.75% 4/12/24 (b)
  
930,000
932,765
Trinity Acquisition PLC 4.625% 8/15/23
 
359,000
385,579
 
  
  
110,876,502
Thrifts & Mortgage Finance - 0.0%
  
  
  
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (b)
  
370,000
381,569
Nationwide Building Society:
  
  
  
 3.622% 4/26/23 (b)(c)
  
1,035,000
1,056,422
 3.766% 3/8/24 (b)(c)
  
500,000
522,783
 
  
  
1,960,774
TOTAL FINANCIALS
  
  
829,085,298
HEALTH CARE - 1.2%
 
  
  
Biotechnology - 0.4%
  
  
  
AbbVie, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.650% 0.7808% 11/21/22 (c)(d)
  
7,100,000
7,149,558
 2.15% 11/19/21
 
11,244,000
11,290,384
 2.6% 11/21/24
 
3,500,000
3,687,814
 3.2% 11/6/22
 
170,000
174,805
 3.25% 10/1/22
 
850,000
870,548
 3.45% 3/15/22
 
615,000
622,175
Baxalta, Inc. 3.6% 6/23/22
 
265,000
270,640
Gilead Sciences, Inc. 0.75% 9/29/23
 
2,070,000
2,070,607
 
  
  
26,136,531
Health Care Equipment & Supplies - 0.0%
  
  
  
Becton, Dickinson & Co.:
  
  
  
 3.363% 6/6/24
 
551,000
588,357
 3.734% 12/15/24
 
128,000
138,954
Stryker Corp. 0.6% 12/1/23
 
325,000
325,042
 
  
  
1,052,353
Health Care Providers & Services - 0.5%
  
  
  
Aetna, Inc. 2.8% 6/15/23
 
885,000
918,216
AmerisourceBergen Corp. 0.737% 3/15/23
 
1,855,000
1,858,041
Anthem, Inc.:
  
  
  
 0.45% 3/15/23
 
4,094,000
4,098,500
 2.375% 1/15/25
 
410,000
428,998
Cardinal Health, Inc.:
  
  
  
 2.616% 6/15/22
 
79,000
80,330
 3.079% 6/15/24
 
695,000
735,975
 3.2% 3/15/23
 
875,000
910,757
 3.5% 11/15/24
 
1,180,000
1,267,261
Cigna Corp.:
  
  
  
 0.613% 3/15/24
 
6,302,000
6,303,267
 3% 7/15/23
 
715,000
745,507
 3.75% 7/15/23
 
401,000
424,696
CommonSpirit Health 1.547% 10/1/25
 
670,000
678,764
CVS Health Corp.:
  
  
  
 2.625% 8/15/24
 
335,000
353,236
 3.7% 3/9/23
 
369,000
386,211
Humana, Inc.:
  
  
  
 0.65% 8/3/23
 
4,706,000
4,709,380
 1.35% 2/3/27
 
120,000
119,559
 2.9% 12/15/22
 
160,000
164,777
 3.15% 12/1/22
 
315,000
323,691
 3.85% 10/1/24
 
745,000
807,367
 4.5% 4/1/25
 
1,205,000
1,344,213
PeaceHealth Obligated Group 1.375% 11/15/25
 
190,000
192,862
 
  
  
26,851,608
Life Sciences Tools & Services - 0.0%
  
  
  
Thermo Fisher Scientific, Inc. 4.133% 3/25/25
 
385,000
425,140
Pharmaceuticals - 0.3%
  
  
  
AstraZeneca Finance LLC:
  
  
  
 0.7% 5/28/24
 
995,000
996,283
 1.2% 5/28/26
 
1,390,000
1,397,349
AstraZeneca PLC:
  
  
  
 0.3% 5/26/23
 
1,425,000
1,423,421
 3.5% 8/17/23
 
365,000
385,963
Bristol-Myers Squibb Co. 3.25% 2/20/23
 
178,000
185,327
EMD Finance LLC 2.95% 3/19/22 (b)
  
430,000
434,484
Perrigo Finance PLC 3.9% 12/15/24
 
3,840,000
4,102,781
Royalty Pharma PLC 0.75% 9/2/23
 
870,000
873,801
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23
 
1,845,000
1,926,490
Viatris, Inc. 1.125% 6/22/22 (b)
  
8,114,000
8,158,294
 
  
  
19,884,193
TOTAL HEALTH CARE
  
  
74,349,825
INDUSTRIALS - 1.3%
 
  
  
Aerospace & Defense - 0.1%
  
  
  
DAE Funding LLC 1.55% 8/1/24 (b)
  
465,000
462,908
The Boeing Co. 1.167% 2/4/23
 
2,790,000
2,792,021
 
  
  
3,254,929
Airlines - 0.0%
  
  
  
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27
 
543,412
524,995
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29
 
367,272
361,286
 
  
  
886,281
Building Products - 0.0%
  
  
  
Carrier Global Corp. 2.242% 2/15/25
 
1,860,000
1,938,046
Commercial Services & Supplies - 0.0%
  
  
  
HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S)
 
400,000
420,200
Republic Services, Inc. 2.5% 8/15/24
 
880,000
923,816
 
  
  
1,344,016
Construction & Engineering - 0.0%
  
  
  
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S)
 
1,384,000
1,397,840
Industrial Conglomerates - 0.4%
  
  
  
General Electric Co. 3.45% 5/15/24
 
530,000
564,696
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.4954% 8/8/22 (c)(d)
  
9,078,000
9,112,524
Roper Technologies, Inc.:
  
  
  
 0.45% 8/15/22
 
706,000
707,213
 1% 9/15/25
 
235,000
234,455
 2.35% 9/15/24
 
365,000
381,865
 3.125% 11/15/22
 
1,505,000
1,544,365
 3.65% 9/15/23
 
270,000
286,716
Siemens Financieringsmaatschappij NV:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 3/11/24 (b)(c)(d)
  
10,290,000
10,364,566
 0.65% 3/11/24 (b)
  
690,000
693,967
 
  
  
23,890,367
Machinery - 0.5%
  
  
  
Caterpillar Financial Services Corp.:
  
  
  
 3 month U.S. LIBOR + 0.200% 0.3228% 11/12/21 (c)(d)
  
5,000,000
5,000,333
 3 month U.S. LIBOR + 0.280% 0.4108% 9/7/21 (c)(d)
  
6,190,000
6,190,278
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (c)(d)
  
5,000,000
5,002,150
 0.25% 3/1/23
 
10,000,000
9,995,731
Otis Worldwide Corp. 3 month U.S. LIBOR + 0.450% 0.5948% 4/5/23 (c)(d)
  
3,299,000
3,300,165
 
  
  
29,488,657
Professional Services - 0.0%
  
  
  
Equifax, Inc. 3.95% 6/15/23
 
1,090,000
1,152,397
IHS Markit Ltd. 3.625% 5/1/24
 
640,000
681,952
 
  
  
1,834,349
Road & Rail - 0.1%
  
  
  
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S)
 
1,670,000
1,669,486
Guangzhou Metro Investment Finance (BVI) Ltd. 1.507% 9/17/25 (Reg. S)
 
1,300,000
1,279,018
Penske Truck Leasing Co. LP:
  
  
  
 2.7% 3/14/23 (b)
  
175,000
180,390
 4.25% 1/17/23 (b)
  
285,000
299,244
SMBC Aviation Capital Finance:
  
  
  
 3.55% 4/15/24 (b)
  
325,000
345,436
 4.125% 7/15/23 (b)
  
200,000
211,945
 
  
  
3,985,519
Trading Companies & Distributors - 0.1%
  
  
  
Air Lease Corp.:
  
  
  
 2.25% 1/15/23
 
810,000
829,500
 3.5% 1/15/22
 
5,560,000
5,623,099
GATX Corp. 3.9% 3/30/23
 
820,000
860,800
 
  
  
7,313,399
Transportation Infrastructure - 0.1%
  
  
  
Avolon Holdings Funding Ltd.:
  
  
  
 2.125% 2/21/26 (b)
  
1,035,000
1,032,752
 2.875% 2/15/25 (b)
  
980,000
1,010,597
 3.625% 5/1/22 (b)
  
1,560,000
1,587,439
 3.95% 7/1/24 (b)
  
265,000
282,682
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S)
 
1,235,000
1,256,033
Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (b)
  
1,133,000
1,187,000
 
  
  
6,356,503
TOTAL INDUSTRIALS
  
  
81,689,906
INFORMATION TECHNOLOGY - 0.6%
 
  
  
Electronic Equipment & Components - 0.0%
  
  
  
Amphenol Corp. 2.05% 3/1/25
 
910,000
943,426
Avnet, Inc. 4.875% 12/1/22
 
325,000
341,045
 
  
  
1,284,471
IT Services - 0.3%
  
  
  
CDW LLC/CDW Finance Corp. 5.5% 12/1/24
 
270,000
298,539
Fidelity National Information Services, Inc.:
  
  
  
 0.375% 3/1/23
 
1,160,000
1,159,306
 0.6% 3/1/24
 
555,000
555,141
Global Payments, Inc. 2.65% 2/15/25
 
800,000
840,835
HCL America, Inc. 1.375% 3/10/26 (b)
  
1,800,000
1,796,963
IBM Corp. 2.85% 5/13/22
 
10,000,000
10,187,785
PayPal Holdings, Inc. 1.35% 6/1/23
 
2,224,000
2,262,214
The Western Union Co. 2.85% 1/10/25
 
1,280,000
1,348,862
 
  
  
18,449,645
Semiconductors & Semiconductor Equipment - 0.2%
  
  
  
Analog Devices, Inc. 2.95% 4/1/25
 
295,000
315,411
Microchip Technology, Inc.:
  
  
  
 0.972% 2/15/24 (b)
  
1,165,000
1,166,375
 0.983% 9/1/24 (b)
  
970,000
969,230
 2.67% 9/1/23
 
1,110,000
1,152,306
Micron Technology, Inc.:
  
  
  
 2.497% 4/24/23
 
2,585,000
2,665,238
 4.64% 2/6/24
 
690,000
749,513
NXP BV/NXP Funding LLC:
  
  
  
 3.875% 9/1/22 (b)
  
1,355,000
1,398,457
 4.625% 6/1/23 (b)
  
1,175,000
1,254,138
 4.875% 3/1/24 (b)
  
195,000
213,480
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (b)
  
205,000
215,684
Skyworks Solutions, Inc. 0.9% 6/1/23
 
305,000
305,783
 
  
  
10,405,615
Software - 0.1%
  
  
  
Fortinet, Inc. 1% 3/15/26
 
675,000
670,797
Oracle Corp. 2.4% 9/15/23
 
1,280,000
1,325,943
VMware, Inc. 0.6% 8/15/23
 
4,644,000
4,649,120
 
  
  
6,645,860
TOTAL INFORMATION TECHNOLOGY
  
  
36,785,591
MATERIALS - 0.1%
 
  
  
Chemicals - 0.0%
  
  
  
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (b)
  
582,000
583,562
LYB International Finance III LLC 1.25% 10/1/25
 
705,000
705,708
Westlake Chemical Corp. 0.875% 8/15/24
 
180,000
180,124
 
  
  
1,469,394
Construction Materials - 0.0%
  
  
  
Boral Finance Pty Ltd. 3% 11/1/22 (b)
  
135,000
137,827
Martin Marietta Materials, Inc. 0.65% 7/15/23
 
405,000
405,942
 
  
  
543,769
Metals & Mining - 0.1%
  
  
  
ArcelorMittal SA 3.6% 7/16/24
 
275,000
292,875
Nucor Corp. 2% 6/1/25
 
350,000
362,583
POSCO 2.375% 1/17/23 (b)
  
1,870,000
1,909,887
 
  
  
2,565,345
Paper & Forest Products - 0.0%
  
  
  
Celulosa Arauco y Constitucion SA 4.5% 8/1/24
 
635,000
684,943
TOTAL MATERIALS
  
  
5,263,451
REAL ESTATE - 0.1%
 
  
  
Equity Real Estate Investment Trusts (REITs) - 0.1%
  
  
  
American Campus Communities Operating Partnership LP 3.75% 4/15/23
 
910,000
949,313
Crown Castle International Corp. 1.05% 7/15/26
 
1,005,000
990,471
Highwoods/Forsyth LP 3.625% 1/15/23
 
1,620,000
1,671,730
Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 4/23/24 (c)(d)
  
495,000
495,777
Simon Property Group LP:
  
  
  
 2% 9/13/24
 
380,000
393,691
 3.375% 10/1/24
 
985,000
1,057,851
 
  
  
5,558,833
UTILITIES - 1.7%
 
  
  
Electric Utilities - 1.3%
  
  
  
American Electric Power Co., Inc. 3.65% 12/1/21
 
180,000
181,532
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.299% 6/10/23 (c)(d)
  
3,003,000
3,006,132
Edison International:
  
  
  
 2.95% 3/15/23
 
455,000
467,445
 3.125% 11/15/22
 
650,000
668,311
ENEL Finance International NV:
  
  
  
 1.375% 7/12/26 (b)
  
1,105,000
1,108,078
 2.65% 9/10/24 (b)
  
880,000
926,335
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (c)(d)
  
5,000,000
5,005,950
FirstEnergy Corp. 3.35% 7/15/22
 
885,000
893,939
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 5/10/23 (c)(d)
  
3,574,000
3,574,822
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b)
  
1,365,000
1,521,866
Korea Hydro & Nuclear Power Co. Ltd. 1.25% 4/27/26 (b)
  
1,421,000
1,420,659
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/28/24 (c)(d)
  
5,297,000
5,313,589
NextEra Energy Capital Holdings, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.270% 0.4008% 2/22/23 (c)(d)
  
10,000,000
10,000,958
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (c)(d)
  
3,472,000
3,484,095
 2.403% 9/1/21
 
11,475,000
11,475,000
NRG Energy, Inc. 3.75% 6/15/24 (b)
  
535,000
570,602
Pacific Gas & Electric Co.:
  
  
  
 3 month U.S. LIBOR + 1.370% 1.4998% 11/15/21 (c)(d)
  
2,070,000
2,071,324
 1.75% 6/16/22
 
3,820,000
3,818,315
 3.5% 6/15/25
 
955,000
991,514
PPL Electric Utilities Corp.:
  
  
  
 3 month U.S. LIBOR + 0.250% 0.396% 9/28/23 (c)(d)
  
1,780,000
1,780,224
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.38% 6/24/24 (c)(d)
  
4,059,000
4,061,872
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S)
 
2,200,000
2,242,460
Southern California Edison Co.:
  
  
  
 3 month U.S. LIBOR + 0.270% 0.3985% 12/3/21 (c)(d)
  
2,687,000
2,687,495
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.69% 4/3/23 (c)(d)
  
5,000,000
5,015,953
Southern Co. 0.6% 2/26/24
 
2,230,000
2,229,039
Vistra Operations Co. LLC 3.55% 7/15/24 (b)
  
3,435,000
3,633,540
 
  
  
78,151,049
Gas Utilities - 0.2%
  
  
  
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5031% 3/9/23 (c)(d)
  
2,617,000
2,614,868
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6314% 3/2/23 (c)(d)
  
3,494,000
3,495,070
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.7348% 3/11/23 (c)(d)
  
5,000,000
5,000,642
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.469% 9/14/23 (c)(d)
  
902,000
902,139
 
  
  
12,012,719
Independent Power and Renewable Electricity Producers - 0.0%
  
  
  
Alexander Funding Trust 1.841% 11/15/23 (b)
  
920,000
937,588
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S)
 
1,650,000
1,650,422
The AES Corp. 3.3% 7/15/25 (b)
  
820,000
876,145
 
  
  
3,464,155
Multi-Utilities - 0.2%
  
  
  
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.7% 5/13/24 (c)(d)
  
2,893,000
2,897,224
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.6489% 9/15/23 (c)(d)
  
2,327,000
2,327,319
DTE Energy Co. 0.55% 11/1/22
 
5,000,000
5,012,564
San Diego Gas & Electric Co. 1.914% 2/1/22
 
34,289
34,433
Sempra Energy 2.875% 10/1/22
 
535,000
545,284
 
  
  
10,816,824
TOTAL UTILITIES
  
  
104,444,747
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $1,384,803,041)
  
  
  
1,394,978,311
 
  
  
  
U.S. Government and Government Agency Obligations - 2.6%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Government Agency Obligations - 0.3%
 
  
  
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (c)(d)
  
20,000,000
20,025,456
 
  
  
  
U.S. Treasury Obligations - 2.3%
 
  
  
U.S. Treasury Notes:
  
  
  
 0.125% 11/30/22
 
9,935,000
9,937,329
 0.125% 1/31/23
 
28,300,000
28,295,578
 0.125% 4/30/23 (e)
  
30,830,000
30,809,527
 0.125% 5/31/23
 
3,860,000
3,856,683
 0.125% 6/30/23
 
31,945,000
31,921,291
 0.125% 7/31/23
 
7,205,000
7,196,557
 0.375% 3/31/22
 
30,000,000
30,053,906
TOTAL U.S. TREASURY OBLIGATIONS
  
  
142,070,871
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $162,025,361)
  
  
  
162,096,327
 
  
  
  
U.S. Government Agency - Mortgage Securities - 0.4%
 
  
Principal
Amount (a)
 
Value ($)
 
Fannie Mae - 0.2%
 
  
  
12 month U.S. LIBOR + 1.560% 1.841% 7/1/35 (c)(d)
  
3,573
3,759
12 month U.S. LIBOR + 1.590% 2.043% 12/1/35 (c)(d)
  
5,307
5,591
12 month U.S. LIBOR + 1.650% 1.905% 8/1/37 (c)(d)
  
1,564
1,648
12 month U.S. LIBOR + 1.690% 1.94% 5/1/38 (c)(d)
  
21,773
22,954
12 month U.S. LIBOR + 1.780% 2.163% 5/1/38 (c)(d)
  
5,896
6,195
12 month U.S. LIBOR + 1.830% 2.098% 4/1/38 (c)(d)
  
14,201
14,966
12 month U.S. LIBOR + 1.850% 2.103% 8/1/38 (c)(d)
  
7,618
8,068
12 month U.S. LIBOR + 1.880% 2.149% 5/1/38 (c)(d)
  
9,674
10,181
12 month U.S. LIBOR + 2.040% 2.415% 12/1/36 (c)(d)
  
1,263
1,339
6 month U.S. LIBOR + 1.360% 1.612% 10/1/33 (c)(d)
  
27,049
28,024
3% 9/1/28 to 7/1/50
 
2,033,812
2,152,337
3.5% 11/1/26 to 7/1/50
 
1,149,766
1,219,692
4% 1/1/47 to 12/1/49
 
473,125
510,191
4.5% 8/1/24 to 1/1/50
 
2,401,903
2,615,640
5% 3/1/23 to 7/1/45
 
1,108,456
1,246,427
5.5% 5/1/22 to 5/1/40
 
1,462,806
1,691,715
6% to 6% 1/1/22 to 2/1/49
 
1,424,030
1,677,909
6.5% 7/1/32 to 12/1/32
 
68,800
79,701
TOTAL FANNIE MAE
  
  
11,296,337
Freddie Mac - 0.1%
 
  
  
12 month U.S. LIBOR + 1.590% 2.216% 9/1/35 (c)(d)
  
2,807
2,956
12 month U.S. LIBOR + 1.620% 1.875% 6/1/38 (c)(d)
  
14,392
15,137
12 month U.S. LIBOR + 1.620% 1.875% 7/1/38 (c)(d)
  
22,407
23,538
12 month U.S. LIBOR + 1.720% 1.976% 7/1/35 (c)(d)
  
6,819
7,189
12 month U.S. LIBOR + 1.730% 2.027% 10/1/36 (c)(d)
  
17,282
18,224
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (c)(d)
  
3,062
3,238
12 month U.S. LIBOR + 1.740% 2.074% 5/1/38 (c)(d)
  
6,545
6,913
12 month U.S. LIBOR + 1.770% 2.025% 5/1/37 (c)(d)
  
3,086
3,261
12 month U.S. LIBOR + 1.820% 2.203% 2/1/37 (c)(d)
  
2,768
2,937
12 month U.S. LIBOR + 1.920% 2.314% 12/1/36 (c)(d)
  
4,995
5,278
12 month U.S. LIBOR + 2.020% 2.448% 11/1/36 (c)(d)
  
2,804
2,960
12 month U.S. LIBOR + 2.080% 2.457% 2/1/38 (c)(d)
  
15,709
16,703
12 month U.S. LIBOR + 2.160% 2.537% 2/1/37 (c)(d)
  
5,351
5,675
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (c)(d)
  
10,024
10,597
2% 1/1/36
 
973,246
1,009,399
3% 11/1/34
 
310,737
332,172
3.5% 12/1/47
 
971,658
1,029,505
4% 12/1/49
 
201,962
219,513
4.5% 5/1/50
 
211,816
230,957
5% 10/1/22 to 12/1/41
 
440,649
494,922
5.5% 4/1/23 to 10/1/38
 
8,050
8,624
6% 8/1/22 to 9/1/35
 
89,292
104,373
7% 3/1/39
 
136,324
160,139
7.5% 6/1/38
 
134,431
156,125
TOTAL FREDDIE MAC
  
  
3,870,335
Freddie Mac STACR REMIC Trust - 0.0%
 
  
  
U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.7% 1/25/51 (b)(c)(d)
  
273,186
273,186
 
  
  
  
Ginnie Mae - 0.1%
 
  
  
6% 7/15/36
 
165,913
191,808
2% 9/20/51 (f)
  
285,000
290,633
2.5% 6/20/51
 
267,905
278,111
3.5% 8/20/44 to 11/20/50
 
4,450,203
4,687,342
4% 3/20/48 to 8/20/50
 
909,774
978,691
4.5% 9/20/40 to 8/20/47
 
701,642
773,984
5% 12/20/34 to 5/20/48
 
840,185
926,113
5.5% 9/15/45 to 2/20/49
 
640,590
722,265
TOTAL GINNIE MAE
  
  
8,848,947
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $23,825,274)
  
  
  
24,288,805
 
  
  
  
Asset-Backed Securities - 6.8%
 
  
Principal
Amount (a)
 
Value ($)
 
Aimco:
  
  
  
 Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.1706% 7/22/32 (b)(c)(d)
  
4,100,000
4,100,730
 Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2261% 1/15/32 (b)(c)(d)
  
4,342,000
4,342,369
Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24
 
600,000
612,952
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25
 
740,000
754,073
AmeriCredit Automobile Receivables Trust:
  
  
  
 Series 2017-1 Class D, 3.13% 1/18/23
 
1,141,392
1,148,865
 Series 2017-3:
 
  
  
Class C, 2.69% 6/19/23
 
  
174,662
175,484
Class D, 3.18% 7/18/23
 
  
1,355,000
1,374,438
 Series 2018-1 Class D, 3.82% 3/18/24
 
1,645,000
1,695,967
 Series 2019-3 Class B, 2.13% 7/18/25
 
985,000
1,000,011
 Series 2020-1:
 
  
  
Class C, 1.59% 10/20/25
 
  
705,000
718,034
Class D, 1.8% 12/18/25
 
  
690,000
705,615
 Series 2020-3 Class C, 1.06% 8/18/26
 
420,000
423,854
 Series 2021-1:
 
  
  
Class C, 0.89% 10/19/26
 
  
755,000
754,673
Class D, 1.21% 12/18/26
 
  
470,000
471,396
 Series 2021-2:
 
  
  
Class A2, 0.26% 11/18/24
 
  
4,514,000
4,515,480
Class D, 1.29% 6/18/27
 
  
995,000
998,287
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (b)
  
1,617,775
1,644,614
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.1883% 4/22/31 (b)(c)(d)
  
3,577,000
3,578,273
Ares LVII CLO Ltd. / Ares LVII CLO LLC Series 2020-57A Class A, 3 month U.S. LIBOR + 1.320% 1.4453% 10/25/31 (b)(c)(d)
  
895,000
895,284
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (b)
  
770,000
785,868
Avis Budget Rental Car Funding (AESOP) LLC:
  
  
  
 Series 2017-1A Class B, 3.41% 9/20/23 (b)
  
540,000
551,041
 Series 2017-2A Class A, 2.97% 3/20/24 (b)
  
905,000
935,824
 Series 2018-2A Class C, 4.95% 3/20/25 (b)
  
430,000
464,848
 Series 2019-1A Class B, 3.7% 3/20/23 (b)
  
245,000
247,523
 Series 2019-2A Class A, 3.35% 9/22/25 (b)
  
650,000
695,936
 Series 2020-1A Class A, 2.33% 8/20/26 (b)
  
540,000
565,245
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 0.9343% 1/20/28 (b)(c)(d)
  
901,013
901,236
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26
 
4,768,000
4,760,108
Bayview Opportunity Master Fund Trust:
  
  
  
 Series 2017-RT3 Class A, 3.5% 1/28/58 (b)(c)
  
696,322
703,608
 Series 2017-SPL4 Class A, 3.5% 1/28/55 (b)
  
208,775
212,708
 Series 2017-SPL5 Class A, 3.5% 6/28/57 (b)
  
601,270
614,685
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 1.0639% 7/18/27 (b)(c)(d)
  
699,837
700,050
BMW Vehicle Owner Trust Series 2020-A Class A2, 0.39% 2/27/23
 
1,247,603
1,248,050
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b)
  
211,572
221,907
Capital Auto Receivables Asset Trust Series 2018-2 Class C, 3.69% 12/20/23 (b)
  
74,697
74,830
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1316% 7/28/28 (b)(c)(d)
  
468,001
468,075
CarMax Auto Owner Trust:
  
  
  
 Series 2017-4 Class C, 2.7% 10/16/23
 
205,000
206,297
 Series 2019-2 Class B, 3.01% 12/16/24
 
1,935,000
2,010,591
 Series 2019-4 Class A2A, 2.01% 3/15/23
 
35,595
35,619
 Series 2020-1 Class A2, 1.87% 4/17/23
 
548,800
549,817
 Series 2020-3 Class A2A, 0.49% 6/15/23
 
3,019,455
3,020,997
 Series 2020-4:
 
  
  
Class A2, 0.31% 1/16/24
 
  
4,850,109
4,852,567
Class D, 1.75% 4/15/27
 
  
540,000
547,965
 Series 2021-1 Class A3, 0.34% 12/15/25
 
2,373,000
2,371,558
 Series 2021-2 Class C, 1.34% 2/16/27
 
545,000
546,889
Carvana Auto Receivables Trust Series 2021-P2 Class A2, 0.3% 7/10/24
 
6,833,000
6,834,880
Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.1878% 7/15/33 (b)(c)(d)
  
5,722,000
5,724,987
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.0989% 7/27/30 (b)(c)(d)
  
4,090,000
4,090,703
Chesapeake Funding II LLC:
  
  
  
 Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.5755% 1/15/31 (b)(c)(d)
  
979,125
981,398
 Series 2019-1A Class A1, 2.94% 4/15/31 (b)
  
1,436,350
1,456,665
 Series 2020-1A Class A1, 0.87% 8/16/32 (b)
  
2,815,306
2,831,336
 Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 0.3255% 4/15/33 (b)(c)(d)
  
3,433,524
3,437,626
CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 1.1438% 7/15/33 (b)(c)(d)
  
1,360,000
1,361,070
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b)
  
294,434
300,836
CNH Equipment Trust:
  
  
  
 Series 2018-A Class B, 3.47% 10/15/25
 
380,000
386,589
 Series 2020-A Class A4, 1.51% 4/15/27
 
590,000
604,776
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27
 
1,820,000
1,833,006
Dell Equipment Finance Trust:
  
  
  
 Series 2019-2 Class A3, 1.91% 10/22/24 (b)
  
1,661,962
1,672,835
 Series 2020-2:
 
  
  
Class A2, 0.47% 10/24/22 (b)
 
  
1,168,814
1,170,107
Class A3, 0.57% 10/23/23 (b)
 
  
1,915,000
1,922,409
 Series 2021-1 Class A3, 0.43% 5/22/26 (b)
  
1,601,000
1,604,336
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b)
  
1,091,192
1,097,654
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b)
  
2,882,000
2,882,607
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 0.4251% 12/11/34 (b)(c)(d)
  
4,058,000
4,063,195
Drive Auto Receivables Trust:
  
  
  
 Series 2021-1 Class D, 1.45% 1/16/29
 
630,000
633,623
 Series 2021-2:
 
  
  
Class A2, 0.36% 5/15/24
 
  
4,100,000
4,099,954
Class D, 1.39% 3/15/29
 
  
785,000
785,170
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 1.2339% 7/17/34 (b)(c)(d)
  
1,055,000
1,055,591
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2261% 4/15/31 (b)(c)(d)
  
3,935,000
3,939,482
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b)
  
531,497
546,593
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (b)
  
331,526
335,866
Enterprise Fleet Financing LLC:
  
  
  
 Series 2019-1 Class A2, 2.98% 10/20/24 (b)
  
884,734
890,398
 Series 2019-3 Class A2, 2.06% 5/20/25 (b)
  
453,809
459,336
 Series 2020-1 Class A2, 1.78% 12/22/25 (b)
  
4,915,877
4,976,092
 Series 2020-2 Class A2, 0.61% 7/20/26 (b)
  
3,603,818
3,616,563
 Series 2021-1 Class A2, 0.44% 12/21/26 (b)
  
1,410,000
1,411,876
 Series 2021-2 Class A2, 0.48% 5/20/27 (b)
  
3,480,000
3,479,393
Exeter Automobile Receivables Trust:
  
  
  
 Series 2021-2A Class A2, 0.27% 1/16/24
 
6,159,154
6,160,351
 Series 2021-3A Class A2, 0.34% 1/16/24
 
2,161,000
2,160,976
Ford Credit Auto Lease Trust Series 2020-B Class A3, 0.62% 8/15/23
 
4,531,000
4,544,219
Ford Credit Auto Owner Trust:
  
  
  
 Series 2020-2 Class C, 1.74% 4/15/33 (b)
  
570,000
574,016
 Series 2020-B Class C, 2.04% 12/15/26
 
1,270,000
1,311,511
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25
 
5,274,000
5,303,175
GM Financial Automobile Leasing Trust:
  
  
  
 Series 2020-2 Class C, 2.56% 7/22/24
 
445,000
458,372
 Series 2020-3 Class A2A, 0.35% 11/21/22
 
4,730,189
4,732,200
 Series 2021-2 Class A2, 0.22% 7/20/23
 
4,138,000
4,138,825
 Series 2021-3 Class A2, 0.24% 12/20/23
 
5,000,000
5,000,493
GM Financial Consumer Automobile Receivables Trust:
  
  
  
 Series 2020-2 Class A3, 1.49% 12/16/24
 
335,000
338,379
 Series 2020-3 Class A2, 0.35% 7/17/23
 
1,763,727
1,764,507
 Series 2020-4:
 
  
  
Class A2, 0.26% 11/16/23
 
  
5,450,320
5,452,233
Class C, 1.05% 5/18/26
 
  
420,000
422,021
GMF Floorplan Owner Revolving Trust:
  
  
  
 Series 2020-1 Class A, 0.68% 8/15/25 (b)
  
1,480,000
1,487,807
 Series 2020-2 Class A, 0.69% 10/15/25 (b)
  
3,238,000
3,253,348
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 1.2843% 10/20/28 (b)(c)(d)
  
569,945
569,983
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (b)
  
213,950
228,689
Hilton Grand Vacations Trust:
  
  
  
 Series 2017-AA:
 
  
  
Class A, 2.66% 12/26/28 (b)
 
  
160,786
164,432
Class B, 2.96% 12/26/28 (b)
 
  
204,742
208,750
 Series 2020-AA Class A, 2.74% 2/25/39 (b)
  
596,237
622,465
HPEFS Equipment Trust:
  
  
  
 Series 2020-1A Class A2, 1.73% 2/20/30 (b)
  
898,110
899,983
 Series 2020-2A Class A2, 0.65% 7/22/30 (b)
  
2,562,142
2,564,508
 Series 2021-2A Class A2, 0.3% 9/20/28 (b)
  
2,780,000
2,780,968
Hyundai Auto Lease Securitization Trust:
  
  
  
 Series 2020-A Class A3, 1.95% 7/17/23 (b)
  
2,265,592
2,278,211
 Series 2021-A Class A2, 0.25% 4/17/23 (b)
  
6,951,465
6,954,060
 Series 2021-B Class A2, 0.19% 10/16/23 (b)
  
5,140,000
5,139,521
Hyundai Auto Receivables Trust:
  
  
  
 Series 2019-A Class B, 2.94% 5/15/25
 
635,000
655,692
 Series 2020-A Class A3, 1.41% 11/15/24
 
735,000
743,889
 Series 2020-C Class A2, 0.26% 9/15/23
 
6,103,403
6,105,257
John Deere Owner Trust:
  
  
  
 Series 2020-A Class A2, 1.01% 1/17/23
 
399,649
400,037
 Series 2020-B Class A2, 0.41% 3/15/23
 
2,931,272
2,932,647
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 1.3261% 1/15/32 (b)(c)(d)
  
1,250,000
1,249,533
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 0.9264% 1/16/28 (b)(c)(d)
  
1,004,408
1,004,539
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.0955% 12/15/37 (b)(c)(d)
  
1,415,000
1,415,000
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (b)
  
380,000
386,380
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c)
  
1,768,000
1,806,961
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 1.3243% 10/21/30 (b)(c)(d)
  
1,165,000
1,165,904
Madison Park Funding XXIII, Ltd. Series 2021-23A:
  
  
  
 Class AR, 3 month U.S. LIBOR + 0.970% 1.0989% 7/27/31 (b)(c)(d)
  
4,376,000
4,377,256
 Class BR, 3 month U.S. LIBOR + 1.550% 1.6789% 7/27/31 (b)(c)(d)
  
800,000
800,227
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1383% 1/22/31 (b)(c)(d)
  
3,229,000
3,229,039
Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 1.1243% 4/20/32 (b)(c)(d)
  
1,650,000
1,650,738
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 0.9339% 1/18/28 (b)(c)(d)
  
1,966,196
1,965,290
Mercedes-Benz Auto Lease Trust:
  
  
  
 Series 2019-B Class A3, 2% 10/17/22
 
5,029,235
5,056,330
 Series 2020-B Class A2, 0.31% 2/15/23
 
2,719,436
2,720,746
 Series 2021-B Class A2, 0.22% 1/16/24
 
10,000,000
10,002,817
Mercedes-Benz Auto Receivables Trust Series 2020-1 Class A2, 0.46% 3/15/23
 
1,796,803
1,797,865
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c)
  
518,223
518,117
MMAF Equipment Finance LLC Series 2019-B Class A2, 2.07% 10/12/22 (b)
  
505,755
507,174
MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (b)
  
533,631
549,686
MVW Owner Trust:
  
  
  
 Series 2017-1A:
 
  
  
Class A, 2.42% 12/20/34 (b)
 
  
378,883
386,675
Class B, 2.75% 12/20/34 (b)
 
  
22,287
22,700
Class C, 2.99% 12/20/34 (b)
 
  
53,489
54,248
 Series 2021-1WA Class C, 1.94% 1/22/41 (b)
  
314,863
317,043
Navient Private Education Loan Trust:
  
  
  
 Series 2019-D Class A2A, 3.01% 12/15/59 (b)
  
461,490
483,005
 Series 2020-A Class A2A, 2.46% 11/15/68 (b)
  
840,000
865,984
 Series 2020-CA Class A2A, 2.15% 11/15/68 (b)
  
2,610,000
2,687,114
 Series 2020-IA Class A1A, 1.33% 4/15/69 (b)
  
640,071
639,869
Navient Private Education Refi Loan Trust:
  
  
  
 Series 2019-A Class A2A, 3.42% 1/15/43 (b)
  
1,691,146
1,732,264
 Series 2019-GA Class A, 2.4% 10/15/68 (b)
  
456,059
465,591
 Series 2020-DA Class A, 1.69% 5/15/69 (b)
  
687,833
695,280
Navient Student Loan Trust:
  
  
  
 Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.6844% 7/26/66 (b)(c)(d)
  
3,585,471
3,594,611
 Series 2017-A Class A2A, 2.88% 12/16/58 (b)
  
912,771
925,147
 Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 0.3544% 2/27/68 (b)(c)(d)
  
35,076
35,076
 Series 2019-EA Class A2A, 2.64% 5/15/68 (b)
  
1,248,256
1,275,227
Nelnet Student Loan Trust:
  
  
  
 Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.3149% 3/22/32 (c)(d)
  
632,007
612,901
 Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.8244% 3/26/68 (b)(c)(d)
  
352,051
351,263
 Series 2021-CA Class AFX, 1.32% 4/20/62 (b)
  
1,840,000
1,841,603
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 1.1239% 1/20/32 (b)(c)(d)
  
1,570,000
1,570,766
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 1.1864% 4/16/33 (b)(c)(d)
  
455,000
455,925
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.1339% 7/17/32 (b)(c)(d)
  
4,100,000
4,101,443
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24
 
425,000
429,446
Nissan Master Owner Trust Receivables Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.6555% 2/15/24 (c)(d)
  
1,350,000
1,353,157
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.2543% 7/20/29 (b)(c)(d)
  
2,530,000
2,531,222
OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 0% 7/15/30 (b)
  
1,320,000
1,320,000
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 1.3039% 10/17/29 (b)(c)(d)
  
610,198
610,318
Palmer Square CLO Ltd. / Palmer Square CLO LLC Series 2020-2A Class A1A, 3 month U.S. LIBOR + 1.700% 1.8261% 7/15/31 (b)(c)(d)
  
860,000
860,780
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 0.9309% 5/20/29 (b)(c)(d)
  
3,992,589
3,994,174
Reese Park CLO Ltd. / Reese Park CLO LLC Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.320% 1.4461% 10/15/32 (b)(c)(d)
  
830,000
830,246
Santander Consumer Auto Receivables Trust:
  
  
  
 Series 2021-AA Class A2, 0.23% 11/15/23 (b)
  
6,147,459
6,148,350
 1.57% 1/15/27 (b)
  
801,000
808,339
Santander Drive Auto Receivables Trust:
  
  
  
 Series 2020-4 Class C, 1.01% 1/15/26
 
675,000
680,256
 Series 2021-2 Class A2, 0.28% 4/15/24
 
7,968,604
7,971,761
 Series 2021-3 Class A2, 0.29% 5/15/24
 
5,882,000
5,886,082
Santander Retail Auto Lease Trust:
  
  
  
 Series 2019-B Class C, 2.77% 8/21/23 (b)
  
690,000
701,533
 Series 2019-C:
 
  
  
Class B, 2.17% 11/20/23 (b)
 
  
495,000
503,443
Class C, 2.39% 11/20/23 (b)
 
  
830,000
844,886
Class D, 2.88% 6/20/24 (b)
 
  
870,000
891,705
 Series 2020-A:
 
  
  
Class A2, 1.69% 1/20/23 (b)
 
  
3,842,468
3,857,982
Class D, 2.52% 11/20/24 (b)
 
  
720,000
739,472
 Series 2020-B Class A2, 0.42% 11/20/23 (b)
  
6,803,627
6,815,330
 Series 2021-A:
 
  
  
Class A2, 0.32% 2/20/24 (b)
 
  
5,106,231
5,110,459
Class C, 1.14% 3/20/26 (b)
 
  
1,815,000
1,815,710
 Series 2021-B Class A2, 0.31% 1/22/24 (b)
  
3,593,000
3,593,689
SBA Tower Trust:
  
  
  
 Series 2019, 2.836% 1/15/50 (b)
  
990,000
1,034,551
 1.631% 5/15/51 (b)
  
495,000
499,402
 1.884% 7/15/50 (b)
  
365,000
372,865
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (b)
  
824,192
825,866
Sierra Receivables Funding Co. LLC:
  
  
  
 Series 2019-1A Class A, 3.2% 1/20/36 (b)
  
178,324
184,373
 Series 2019-2A Class A, 2.59% 5/20/36 (b)
  
1,096,627
1,125,501
Sierra Timeshare Receivables Funding Co. LLC Series 2017-1A Class A, 2.91% 3/20/34 (b)
  
254,497
256,530
Sierra Timeshare Receivables Funding LLC:
  
  
  
 Series 2019-3A Class A, 2.34% 8/20/36 (b)
  
268,433
274,172
 Series 2020-2A Class C, 3.51% 7/20/37 (b)
  
364,875
375,567
 Series 2021-1A Class B, 1.34% 11/20/37 (b)
  
389,858
391,031
SLM Student Loan Trust:
  
  
  
 Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.5889% 12/15/27 (b)(c)(d)
  
1,184,339
1,184,473
 Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.6689% 12/15/25 (b)(c)(d)
  
870,050
869,969
 Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 0.4553% 1/25/22 (c)(d)
  
522,462
513,000
 Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 0.7753% 1/25/22 (c)(d)
  
1,243,124
1,218,389
 Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.4844% 3/25/25 (c)(d)
  
739,272
727,290
SMB Private Education Loan Trust:
  
  
  
 Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.5955% 4/15/32 (b)(c)(d)
  
1,382,422
1,394,462
 Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.0955% 6/15/27 (b)(c)(d)
  
58,049
58,135
 Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.1931% 9/15/34 (b)(c)(d)
  
714,090
718,009
 Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.8131% 1/15/37 (b)(c)(d)
  
1,330,880
1,335,994
 Series 2020-BA Class A1A, 1.29% 7/15/53 (b)
  
432,080
433,687
 Series 2020-PTB Class A2A, 1.6% 9/15/54 (b)
  
2,733,153
2,766,351
 Series 2021-B Class A, 1.31% 7/17/51 (b)
  
1,643,294
1,647,889
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b)
  
468,147
470,232
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1861% 7/15/32 (b)(c)(d)
  
3,117,000
3,118,085
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.2143% 4/20/33 (b)(c)(d)
  
465,000
464,628
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.0843% 11/18/30 (b)(c)(d)
  
4,292,000
4,292,270
Tesla Series 2020-A:
  
  
  
 Class A2, 0.55% 5/22/23 (b)
  
1,270,335
1,271,838
 Class A3, 0.68% 12/20/23 (b)
  
2,527,000
2,539,012
Tesla Auto Lease Trust:
  
  
  
 Series 2019-A Class A2, 2.13% 4/20/22 (b)
  
1,671,932
1,677,247
 Series 2021-A Class A2, 0.36% 3/20/25 (b)
  
5,000,000
5,004,343
Towd Point Mortgage Trust:
  
  
  
 Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c)
  
273,171
277,057
 Series 2017-4 Class A1, 2.75% 6/25/57 (b)
  
178,603
182,664
 Series 2019-1 Class A1, 3.7158% 3/25/58 (b)(c)
  
737,348
778,561
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24
 
9,912,000
9,935,713
Verizon Owner Trust:
  
  
  
 Series 2018-A:
 
  
  
Class A1A, 3.23% 4/20/23
 
  
929,097
934,300
Class A1B, 1 month U.S. LIBOR + 0.240% 0.3284% 4/20/23 (c)(d)
 
  
724,160
724,389
 Series 2020-A Class A1A, 1.85% 7/22/24
 
4,951,000
5,025,174
Volkswagen Auto Lease Trust:
  
  
  
 Series 2019-A Class A3, 1.99% 11/21/22
 
2,180,434
2,190,613
 Series 2020-A Class A2, 0.27% 4/20/23
 
8,834,463
8,838,911
Volkswagen Auto Loan Enhanced Trust Series 2020-1 Class A4, 1.26% 8/20/26
 
545,000
555,332
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (b)
  
2,435,000
2,458,428
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.0839% 4/17/30 (b)(c)(d)
  
4,486,000
4,486,529
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.3684% 8/20/29 (b)(c)(d)
  
3,553,314
3,556,989
World Omni Auto Receivables Trust:
  
  
  
 Series 2019-C Class C, 2.4% 6/15/26
 
895,000
919,540
 Series 2020-A:
 
  
  
Class A2A, 1.02% 6/15/23
 
  
648,490
649,087
Class C, 1.64% 8/17/26
 
  
480,000
487,912
 Series 2020-C Class A2, 0.35% 12/15/23
 
2,750,134
2,751,750
World Omni Automobile Lease Securitization Trust:
  
  
  
 Series 2019-B Class A3, 2.03% 11/15/22
 
2,032,697
2,043,615
 Series 2020-A Class A2, 1.71% 11/15/22
 
3,151,367
3,162,377
 Series 2020-B Class A2, 0.32% 9/15/23
 
2,873,910
2,875,888
World Omni Select Auto Trust Series 2020-A:
  
  
  
 Class B, 0.84% 6/15/26
 
510,000
511,377
 Class C, 1.25% 10/15/26
 
585,000
591,232
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $420,219,368)
  
  
421,640,994
 
  
  
  
Collateralized Mortgage Obligations - 1.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Private Sponsor - 0.9%
 
  
  
Angel Oak Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-4 Class A3, 3.301% 7/26/49 (b)
 
  
380,030
380,414
Series 2020-6 Class A1, 1.261% 5/25/65 (b)
 
  
446,310
449,009
Series 2021-1:
 
  
  
  
Class A1, 0.909% 1/25/66 (b)
 
  
1,208,743
1,210,865
Class A2, 1.115% 1/25/66 (b)
 
  
353,493
353,894
Series 2021-2 Class A1, 0.985% 4/25/66 (b)
 
  
931,330
934,157
 Series 2019-2 Class M1, 4.065% 3/25/49 (b)
  
545,000
550,891
 Series 2021-3 Class A1, 1.068% 5/25/66 (b)
  
657,783
658,716
Angel Oak Mortgage Trust LLC:
  
  
  
 sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (b)
  
717,331
724,427
 Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c)
  
1,163,313
1,182,835
 Series 2021-4 Class M1, 2.29% 1/20/65 (b)
  
230,000
231,886
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
  
948,898
949,529
CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b)
  
500,000
512,441
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b)
  
350,875
356,720
Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b)
  
702,162
704,536
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b)
  
235,285
236,150
Deephaven Residential Mortgage Trust:
  
  
  
 sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (b)
  
400,088
401,913
 Series 2021-1 Class A2, 0.973% 5/25/65 (b)
  
253,616
253,239
 Series 2021-2:
 
  
  
Class A1, 0.899% 4/25/66 (b)
 
  
332,178
332,589
Class A3, 1.26% 4/25/66 (b)
 
  
370,141
370,318
Ellington Financial Mortgage Trust:
  
  
  
 Series 2019-2 Class A3, 3.046% 11/25/59 (b)
  
212,951
215,343
 Series 2020-1 Class A1, 2.006% 5/25/65 (b)
  
616,934
621,692
 Series 2020-2 Class A1, 1.178% 10/25/65 (b)
  
659,455
660,768
 Series 2021-1:
 
  
  
Class A1, 0.797% 2/25/66 (b)
 
  
251,564
251,877
Class A3, 1.106% 2/25/66 (b)
 
  
209,636
209,749
 Series 2021-2:
 
  
  
Class A1, 0.931% 6/25/66 (b)(c)
 
  
431,611
431,578
Class A3, 1.291% 6/25/66 (b)
 
  
417,382
418,098
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 0.9344% 3/25/50 (b)(c)(d)
  
394,085
394,085
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (b)
  
1,049,642
1,067,602
Galton Funding Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-H1 Class M1, 3.339% 10/25/59 (b)
 
  
600,000
618,371
Series 2020-H1 Class M1, 2.832% 1/25/60 (b)
 
  
625,000
631,031
 Series 2019-1:
 
  
  
Class A21, 4.5% 2/25/59 (b)
 
  
220,187
224,864
Class A32, 4% 2/25/59 (b)
 
  
111,303
113,168
 Series 2020-H1 Class A1, 2.31% 1/25/60 (b)
  
680,153
691,168
GMRF Mortgage Acquisition Co., LLC:
  
  
  
 Series 2018-1 Class A33, 3.5% 11/25/57 (b)
  
166,092
168,573
 Series 2019-2 Class A42, 3.5% 6/25/59 (b)
  
47,147
47,199
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.5793% 8/25/60 (b)(c)(d)
  
541,075
541,657
GS Mortgage Securities Trust sequential payer Series 2021-NQM1 Class A1, 1.017% 7/25/61 (b)
  
504,546
505,863
GS Mortgage-Backed Securites Trust:
  
  
  
 Series 2014-EB1A Class 2A1, 1.6597% 7/25/44 (b)(c)
  
13,881
13,840
 Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c)
  
1,085,000
1,111,885
GS Mortgage-Backed Securities Trust Series 2021-PJ5 Class A8, 2.5% 10/25/51 (b)(c)
  
1,488,228
1,524,329
Homeward Opportunities Fund I Trust sequential payer Series 2019-3 Class A1, 2.675% 11/25/59 (b)
  
247,026
248,531
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (b)(c)
  
419,920
422,202
Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (b)(c)
  
986,983
1,016,477
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b)
  
625,000
625,517
J.P. Morgan Mortgage Trust:
  
  
  
 sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (b)
  
102,971
103,132
 Series 2020-INV1 Class A15, 3.5% 8/25/50 (b)
  
325,571
331,594
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (b)
  
245,632
252,517
MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b)
  
415,000
416,225
Mill City Mortgage Loan Trust:
  
  
  
 Series 2016-1 Class A1, 2.5% 4/25/57 (b)
  
23,604
23,665
 Series 2017-2 Class A1, 2.75% 7/25/59 (b)
  
230,083
233,592
New Residential Mortgage Loan Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (b)
 
  
653,986
663,912
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (b)
 
  
366,826
370,540
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (b)
 
  
895,506
899,254
 Series 2021-INV1 Class A6, 2.5% 6/25/51 (b)
  
660,000
677,041
NMLT Trust sequential payer Series 2021-INV2:
  
  
  
 Class A1, 1.162% 8/25/56 (b)
  
1,928,024
1,933,712
 Class A3, 1.52% 8/25/56 (b)
  
496,913
497,860
OBX Trust:
  
  
  
 floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.0344% 2/25/60 (b)(c)(d)
  
469,142
469,631
 sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b)
  
500,000
500,855
 Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c)
  
582,450
595,486
 Series 2020-EXP2:
 
  
  
Class A8, 3% 5/25/60 (b)
 
  
824,955
836,291
Class A9, 3% 5/25/60 (b)
 
  
202,944
205,370
 Series 2020-INV1 Class A5, 3.5% 12/25/49 (b)
  
184,616
188,066
Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b)
  
997,131
1,025,993
Onslow Bay Financial LLC:
  
  
  
 floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.2844% 6/25/59 (b)(c)(d)
  
493,515
494,206
 floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 0.9844% 6/25/59 (b)(c)(d)
  
142,928
143,033
 sequential payer:
 
  
  
Series 2021-J1 Class A4, 2.5% 5/25/51 (b)
 
  
1,140,605
1,173,737
Series 2021-NQM1:
 
  
  
  
Class A1, 1.072% 2/25/66 (b)
 
  
1,121,537
1,125,811
Class A2, 1.175% 2/25/66 (b)
 
  
597,016
598,242
Permanent Master Issuer PLC floater Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.6761% 7/15/58 (b)(c)(d)
  
672,000
672,262
PSMC Trust sequential payer:
  
  
  
 Series 2021-1 Class A11, 2.5% 3/25/51 (b)(c)
  
1,699,449
1,738,843
 Series 2021-2 Class A3, 2.5% 5/25/51 (b)
  
1,273,788
1,307,020
Sequoia Mortgage Trust:
  
  
  
 sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b)
  
288,023
293,183
 Series 2018-CH2 Class A21, 4% 6/25/48 (b)
  
128,526
130,690
 Series 2018-CH3 Class A19, 4.5% 8/25/48 (b)
  
65,785
66,994
 Series 2018-CH4 Class A2, 4% 10/25/48 (b)
  
96,398
97,742
SG Residential Mortgage Trust Series 2020-2 Class A1, 1.381% 5/25/65 (b)
  
377,017
378,653
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7043% 1/21/70 (b)(c)(d)
  
2,758,250
2,759,657
Starwood Mortgage Residential Trust:
  
  
  
 sequential payer Series 2019-INV1:
 
  
  
Class A1, 2.61% 9/27/49 (b)
 
  
65,223
66,091
Class A3, 2.916% 9/27/49 (b)
 
  
388,376
392,759
 Series 2020-1 Class A2, 2.408% 2/25/50 (b)
  
467,069
470,722
 Series 2021-2 Class A1, 0.943% 5/25/65 (b)
  
625,553
625,450
Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b)
  
318,672
318,925
Towd Point Mortgage Trust:
  
  
  
 Series 2016-1:
 
  
  
Class A1B, 2.75% 2/25/55 (b)
 
  
8,995
8,993
Class A3B, 3% 2/25/55 (b)
 
  
71,374
71,858
 Series 2016-2 Class A1A, 2.75% 8/25/55 (b)
  
62,419
62,746
 Series 2016-3 Class A1, 2.25% 4/25/56 (b)
  
9,982
10,017
 Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c)
  
176,625
178,844
 Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c)
  
430,966
437,796
Verus Securitization Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-INV3 Class A3, 3.1% 11/25/59 (b)
 
  
706,301
716,106
Series 2020-1 Class A3, 2.724% 1/25/60 (b)
 
  
669,609
675,807
Series 2020-2 Class A1, 2.226% 5/25/60 (b)
 
  
1,034,397
1,043,907
Series 2020-INV1 Class A1, 1.977% 3/25/60 (b)
 
  
142,400
143,807
 Series 2019-3 Class A3, 3.04% 7/25/59 (b)
  
1,132,737
1,142,917
 Series 2019-4 Class A3, 3% 11/25/59 (b)
  
352,039
356,300
 Series 2019-INV2 Class A2, 3.117% 7/25/59 (b)
  
854,285
865,087
 Series 2020-5 Class A3, 1.733% 5/25/65 (b)
  
301,075
301,609
 Series 2021-1:
 
  
  
Class A2, 1.052% 1/25/66 (b)
 
  
424,346
425,554
Class A3, 1.155% 1/25/66 (b)
 
  
250,750
251,009
 Series 2021-2 Class A1, 1.031% 2/25/66 (b)
  
573,379
576,088
 Series 2021-R1 Class A2, 1.057% 10/25/63 (b)
  
263,819
263,518
 Series 2021-R2 Class A1, 0.918% 2/25/64 (b)
  
671,504
671,644
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b)
  
283,363
287,653
Wells Fargo Mortgage Backed Securities Trust Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c)
  
1,498,060
1,539,081
ZH Trust sequential payer Series 2021-1 Class A, 2.2525% 2/18/27 (b)
  
595,000
595,708
TOTAL PRIVATE SPONSOR
  
  
57,274,801
U.S. Government Agency - 0.2%
 
  
  
Fannie Mae:
  
  
  
 Series 2017-90 Class KA, 3% 11/25/47
 
650,644
694,814
 Series 2018-44 Class PC, 4% 6/25/44
 
135,766
136,369
Fannie Mae Connecticut Avenue Securities floater:
  
  
  
 Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.4344% 9/25/29 (c)(d)
  
895,966
899,237
 Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.1844% 11/25/29 (c)(d)
  
1,316,433
1,286,932
 Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.2844% 1/25/30 (c)(d)
  
548,914
540,434
 Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 0.9344% 7/25/30 (c)(d)
  
876,980
863,778
FHLMC Structured Agency Credit Risk Debt Notes floater:
  
  
  
 Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.0844% 8/25/24 (c)(d)
  
219,415
223,676
 Series 2015-DNA3 Class M3, 1 month U.S. LIBOR + 4.700% 4.7844% 4/25/28 (c)(d)
  
1,061,268
1,095,613
 Series 2016-DNA2 Class M3, 1 month U.S. LIBOR + 4.650% 4.7344% 10/25/28 (c)(d)
  
728,559
755,669
 Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.2844% 10/25/29 (c)(d)
  
185,614
185,614
 Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.8344% 3/25/30 (c)(d)
  
77,100
77,106
Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40
 
323,779
329,027
Freddie Mac STACR REMIC Trust floater:
  
  
  
 Series 2020-DNA5 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.300% 1.35% 10/25/50 (b)(c)(d)
  
7,077
7,077
 Series 2020-DNA6 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.900% 0.95% 12/25/50 (b)(c)(d)
  
173,737
173,816
 Series 2020-HQA5 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.100% 1.15% 11/25/50 (b)(c)(d)
  
149,890
149,988
 Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.800% 0.85% 8/25/33 (b)(c)(d)
  
850,000
850,741
 Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.15% 10/25/33 (b)(c)(d)
  
690,000
704,214
 Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.650% 1.7% 1/25/34 (b)(c)(d)
  
440,000
443,053
 Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 8/25/33 (b)(c)(d)
  
1,155,003
1,154,453
Freddie Mac STACR Trust floater:
  
  
  
 Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.8344% 10/25/48 (b)(c)(d)
  
64,207
64,207
 Series 2018-DNA2:
 
  
  
Class M1, 1 month U.S. LIBOR + 0.800% 0.8844% 12/25/30 (b)(c)(d)
 
  
232,179
232,224
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.0344% 12/25/30 (b)(c)(d)
 
  
450,000
449,254
 Series 2018-DNA3:
 
  
  
Class M1, 1 month U.S. LIBOR + 0.750% 0.8344% 9/25/48 (b)(c)(d)
 
  
1,831
1,830
Class M2A/S, 1 month U.S. LIBOR + 0.900% 0.9844% 9/25/48 (b)(c)(d)
 
  
600,000
598,719
 Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.3344% 2/25/47 (b)(c)(d)
  
466,141
467,066
 Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.4844% 2/25/49 (b)(c)(d)
  
628,406
632,109
Freddie Mac Whole Loan Securities Trust:
  
  
  
 Series 2016-SC02 Class M1, 3.6379% 10/25/46 (c)
  
312,438
310,913
 Series 2017-SC02 Class M1, 3.8441% 5/25/47 (b)(c)
  
69,294
69,141
TOTAL U.S. GOVERNMENT AGENCY
  
  
13,397,074
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $70,492,138)
  
  
  
70,671,875
 
  
  
  
Commercial Mortgage Securities - 1.5%
 
  
Principal
Amount (a)
 
Value ($)
 
ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 1.246% 4/15/34 (b)(c)(d)
  
595,000
596,126
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 1.3955% 11/15/37 (b)(c)(d)
  
1,705,489
1,709,225
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.026% 12/15/36 (b)(c)(d)
  
1,395,000
1,395,037
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.146% 9/15/32 (b)(c)(d)
  
615,000
615,000
BAMLL Commercial Mortgage Securities Trust floater Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 2.1% 9/15/38 (b)(c)(d)
  
805,000
805,019
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 0.946% 9/15/34 (b)(c)(d)
  
970,000
970,012
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61
 
367,309
375,561
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 0.895% 6/15/38 (b)(c)(d)
  
500,000
496,419
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.85% 9/15/26 (b)(c)(d)
  
2,040,000
2,040,000
BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 2% 8/15/38 (b)(c)(d)
  
340,000
340,204
BX Commercial Mortgage Trust:
  
  
  
 floater:
 
  
  
Series 2020-BXLP:
 
  
  
  
 Class C, 1 month U.S. LIBOR + 1.120% 1.216% 12/15/36 (b)(c)(d)
  
749,841
749,616
 Class D, 1 month U.S. LIBOR + 1.250% 1.346% 12/15/36 (b)(c)(d)
  
716,829
716,614
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7483% 5/15/38 (b)(c)(d)
 
  
1,600,000
1,601,005
 floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.896% 12/15/36 (b)(c)(d)
  
2,200,476
2,203,361
BX Trust:
  
  
  
 floater:
 
  
  
Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.176% 10/15/36 (b)(c)(d)
 
  
402,151
402,655
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 1.496% 6/15/38 (b)(c)(d)
 
  
665,000
666,065
 floater sequential payer Series 2021-SOAR Class A, 0.766% 6/15/38 (b)(c)
  
1,777,000
1,779,847
 floater, sequential payer:
 
  
  
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.096% 4/15/34 (b)(c)(d)
 
  
2,135,000
2,135,000
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.016% 10/15/36 (b)(c)(d)
 
  
5,420,108
5,428,805
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.950% 1.0455% 11/15/36 (b)(c)(d)
  
1,033,000
1,033,000
 Class D, 1 month U.S. LIBOR + 1.650% 1.7455% 11/15/36 (b)(c)(d)
  
1,545,000
1,543,155
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.216% 6/15/34 (b)(c)(d)
  
3,715,877
3,715,876
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.496% 8/15/36 (b)(c)(d)
  
1,166,000
1,167,412
Citigroup Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (b)
  
2,157,000
2,203,562
 Series 2013-375P Class C, 3.6348% 5/10/35 (b)(c)
  
560,000
573,332
COMM Mortgage Trust:
  
  
  
 sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (b)
  
620,000
654,565
 Series 2014-CR15 Class B, 4.8134% 2/10/47 (c)
  
920,000
994,737
 Series 2014-CR19 Class AM, 4.08% 8/10/47
 
860,000
930,785
 Series 2014-UBS2 Class B, 4.701% 3/10/47
 
915,000
982,430
 Series 2015-CR22 Class B, 3.926% 3/10/48 (c)
  
405,000
436,217
 Series 2020-CMB Class D, 3.7538% 2/10/37 (b)(c)
  
560,000
572,303
Credit Suisse Mortgage Trust:
  
  
  
 floater Series 2019-ICE4:
 
  
  
Class A, 1 month U.S. LIBOR + 0.980% 1.076% 5/15/36 (b)(c)(d)
 
  
5,485,000
5,501,097
Class C, 1 month U.S. LIBOR + 1.430% 1.526% 5/15/36 (b)(c)(d)
 
  
1,015,000
1,018,693
Class D, 1 month U.S. LIBOR + 1.600% 1.696% 5/15/36 (b)(c)(d)
 
  
780,000
781,475
 sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
  
455,000
472,125
 Series 2020-NET Class D, 3.8277% 8/15/37 (b)(c)
  
985,000
1,036,191
CSAIL Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48
 
670,000
731,250
 Series 2019-C16 Class A1, 2.3595% 6/15/52
 
430,669
439,881
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 1.000% 1.096% 7/15/32 (b)(c)(d)
  
4,189,000
4,179,119
Extended Stay America Trust floater Series 2021-ESH:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.080% 1.176% 7/15/38 (b)(c)(d)
  
863,000
865,665
 Class C, 1 month U.S. LIBOR + 1.700% 1.796% 7/15/38 (b)(c)(d)
  
815,000
819,084
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 0.896% 2/15/38 (b)(c)(d)
  
555,000
555,593
Great Wolf Trust floater Series 2019-WOLF:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.030% 1.13% 12/15/36 (b)(c)(d)
  
1,906,000
1,907,188
 Class C, 1 month U.S. LIBOR + 1.630% 1.729% 12/15/36 (b)(c)(d)
  
600,000
598,871
GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 1.696% 5/15/26 (b)(c)(d)
  
685,000
685,304
Intown Hotel Portfolio Trust Series 2018-STAY:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.950% 1.046% 1/15/33 (b)(c)(d)
  
245,000
245,607
 Class C, 1 month U.S. LIBOR + 1.500% 1.596% 1/15/33 (b)(c)(d)
  
205,000
205,448
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M:
  
  
  
 Class B, 1 month U.S. LIBOR + 1.770% 1.866% 10/15/33 (b)(c)(d)
  
995,000
997,501
 Class C, 1 month U.S. LIBOR + 2.170% 2.266% 10/15/33 (b)(c)(d)
  
805,000
807,261
JPMorgan Chase Commercial Mortgage Securities Trust floater:
  
  
  
 Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.896% 5/15/35 (b)(c)(d)
  
2,440,000
2,439,306
 Series 2019-BKWD:
 
  
  
Class A, 1 month U.S. LIBOR + 1.000% 1.096% 9/15/29 (b)(c)(d)
 
  
1,911,000
1,913,373
Class B, 1 month U.S. LIBOR + 1.350% 1.446% 9/15/29 (b)(c)(d)
 
  
1,830,000
1,828,985
Class C, 1 month U.S. LIBOR + 1.600% 1.696% 9/15/29 (b)(c)(d)
 
  
575,000
574,336
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 1.3455% 12/15/37 (b)(c)(d)
  
265,000
264,502
KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 1.85% 8/15/26 (b)(c)(d)
  
980,000
980,293
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.796% 3/15/38 (b)(c)(d)
  
1,660,000
1,661,562
Merit floater:
  
  
  
 Series 2020-HILL:
 
  
  
Class A, 1 month U.S. LIBOR + 1.150% 1.246% 8/15/37 (b)(c)(d)
 
  
543,187
544,541
Class B, 1 month U.S. LIBOR + 1.400% 1.496% 8/15/37 (b)(c)(d)
 
  
778,003
780,406
Class C, 1 month U.S. LIBOR + 1.700% 1.796% 8/15/37 (b)(c)(d)
 
  
386,644
388,107
Class D, 1 month U.S. LIBOR + 2.350% 2.446% 8/15/37 (b)(c)(d)
 
  
518,669
520,942
 Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.796% 7/15/38 (b)(c)(d)
  
907,000
907,270
MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 1.1965% 4/15/38 (b)(c)(d)
  
710,000
710,848
MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 1.196% 5/15/23 (b)(c)(d)
  
660,000
661,257
Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47
 
370,000
398,097
Morgan Stanley Capital I Trust:
  
  
  
 floater:
 
  
  
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.946% 8/15/33 (b)(c)(d)
 
  
5,578,279
5,578,278
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (b)(c)(d)
 
  
510,000
511,517
 sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b)
  
1,325,000
1,419,376
 Series 2019-MEAD Class D, 3.283% 11/10/36 (b)(c)
  
1,150,000
1,148,603
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.3847% 4/15/32 (b)(c)(d)
  
1,585,000
1,577,238
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.896% 4/15/36 (b)(c)(d)
  
650,000
650,183
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 2.196% 6/15/31 (b)(c)(d)
  
768,188
761,489
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8865% 4/10/46 (b)(c)(d)
  
3,020,457
3,013,305
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (b)
  
281,049
282,280
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58
 
332,927
339,806
WF-RBS Commercial Mortgage Trust Series 2012-C6 Class B, 4.697% 4/15/45
 
760,000
770,314
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $91,978,696)
  
  
92,306,512
 
  
  
  
Municipal Securities - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Chicago Transit Auth. Series 2020 B:
  
  
  
 1.708% 12/1/22
 
40,000
40,633
 1.838% 12/1/23
 
35,000
35,914
 2.064% 12/1/24
 
105,000
108,854
Connecticut Gen. Oblig. Series A:
  
  
  
 1.998% 7/1/24
 
285,000
296,668
 2% 7/1/23
 
115,000
118,513
 2.098% 7/1/25
 
190,000
199,702
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25
 
245,000
250,162
Houston Arpt. Sys. Rev. Series 2020 C:
  
  
  
 0.883% 7/1/22
 
70,000
70,357
 1.054% 7/1/23
 
120,000
121,353
 1.272% 7/1/24
 
400,000
406,870
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22
 
1,640,000
1,654,378
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23
 
360,000
361,212
 
TOTAL MUNICIPAL SECURITIES
 (Cost $3,605,416)
  
  
3,664,616
 
  
  
  
Bank Notes - 0.4%
 
  
Principal
Amount (a)
 
Value ($)
 
BBVA U.S.A. 2.875% 6/29/22
 
12,000,000
12,231,235
Capital One NA 2.15% 9/6/22
 
1,370,000
1,393,242
Citizens Bank NA 3.25% 2/14/22
 
1,015,000
1,026,363
First Republic Bank 1.912% 2/12/24 (c)
  
2,031,000
2,072,140
KeyBank NA 2.3% 9/14/22
 
355,000
362,728
PNC Bank NA 2.95% 1/30/23
 
695,000
719,141
Truist Bank 1.25% 3/9/23
 
7,000,000
7,101,290
 
TOTAL BANK NOTES
 (Cost $24,711,715)
  
  
24,906,139
 
  
  
  
Commercial Paper - 1.0%
 
  
Principal
Amount (a)
 
Value ($)
 
AT&T, Inc. 0% 12/14/21
 
2,185,000
2,183,821
Enel Finance America LLC:
  
  
  
 yankee 0.37% 7/11/22
 
7,000,000
6,983,087
 0.4% 8/11/22
 
5,000,000
4,986,392
General Motors Financial Co., Inc.:
  
  
  
 0.32% 10/21/21
 
5,000,000
4,996,990
 0.34% 10/22/21
 
7,000,000
6,995,683
HSBC U.S.A., Inc. yankee:
  
  
  
 0.4% 10/5/21
 
10,000,000
9,998,221
 0.4% 2/9/22
 
10,000,000
9,987,220
NatWest Markets PLC yankee 0.35% 4/19/22
 
10,000,000
9,987,359
Syngenta Wilmington, Inc. 0% 9/29/21
 
3,420,000
3,417,807
Viatris, Inc. 0.68% 4/26/22
 
5,000,000
4,981,886
 
TOTAL COMMERCIAL PAPER
 (Cost $64,486,978)
  
  
64,518,466
 
  
  
  
Short-Term Funds - 57.2%
 
  
Shares
Value ($)
 
Short-Term Funds - 57.2%
 
  
  
Baird Short-Term Bond Fund - Institutional Class
 
17,723,515
174,931,098
Baird Ultra Short Bond Fund Institutional Class
 
38,731,355
390,024,746
BlackRock Low Duration Bond Portfolio Investor A Shares
 
28,263,796
275,006,736
Fidelity SAI Short-Term Bond Fund (g)
  
28,498,535
285,270,339
iShares Short Maturity Bond ETF
 
4,226,791
211,952,435
iShares Short Treasury Bond ETF (h)
  
1,120,350
123,765,065
iShares Ultra Short-Term Bond ETF
 
2,140,810
108,089,497
JPMorgan Ultra-Short Income ETF
 
4,405,220
223,520,863
Metropolitan West Low Duration Bond Fund - Class M
 
23,706,678
210,989,437
PIMCO Enhanced Low Duration Active ETF
 
747,550
76,078,164
PIMCO Enhanced Short Maturity Active ETF
 
3,163,695
322,633,616
PIMCO Short-Term Fund Institutional Class
 
85,611,860
839,852,334
Prudential Short-Term Corporate Bond Fund, Inc. Class A
 
1,819,499
20,578,529
T. Rowe Price Ultra Short-Term Bond Fund
 
52,301,459
265,691,410
 
  
  
  
 
TOTAL SHORT-TERM FUNDS
 (Cost $3,498,630,755)
  
  
  
3,528,384,269
 
  
  
  
Money Market Funds - 6.3%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 0.06% (i)
  
101,918,540
101,938,924
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (g)(j)
  
276,912,116
276,912,116
Fidelity Securities Lending Cash Central Fund 0.06% (i)(k)
  
6,178,071
6,178,689
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (j)
  
1,988,092
1,988,092
 
TOTAL MONEY MARKET FUNDS
 (Cost $387,012,847)
  
  
387,017,821
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $6,131,791,589)
 
  
 
6,174,474,135
NET OTHER ASSETS (LIABILITIES) - 0.0%  
(2,702,330)
NET ASSETS - 100.0%
6,171,771,805
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 2-Year U.S. Treasury Note Contracts (United States)
509
Dec 2021
112,147,016
66,879
66,879
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 10-Year U.S. Treasury Note Contracts (United States)
10
Dec 2021
1,334,531
(483)
(483)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
191
Dec 2021
23,630,281
(16,685)
(16,685)
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)
30
Dec 2021
4,440,469
2,770
2,770
 
  
  
  
  
  
TOTAL SOLD
  
  
  
  
(14,398)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
52,481
The notional amount of futures purchased as a percentage of Net Assets is 1.8%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
 
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 $722,763,874 or 11.7% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(e)
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 $273,818.
 
(f)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(g)
Affiliated Fund
 
(h)
Security or a portion of the security is on loan at period end.
 
(i)
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.
 
(j)
The rate quoted is the annualized seven-day yield of the fund at period end.
 
(k)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
%ownership,
end
of period
Fidelity Cash Central Fund 0.06%
140,618,356
153,404,684
192,084,116
12,020
-
-
101,938,924
0.2%
Fidelity Securities Lending Cash Central Fund 0.06%
83,337,814
333,070,305
410,229,430
28,496
-
-
6,178,689
0.0%
Total
223,956,170
486,474,989
602,313,546
40,516
-
-
108,117,613
  
 
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 is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Fund changes its name, the name presented below is the name in effect at period end.
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%
367,658,318
70,939,829
161,686,031
7,836
-
-
276,912,116
Fidelity SAI Short-Term Bond Fund
285,020,885
249,471
-
249,473
-
(17)
285,270,339
 
652,679,203
71,189,300
161,686,031
257,309
-
(17)
562,182,455
 
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 inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
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)
 
Valuation techniques used to value 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. Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Municipal Securities, Bank Notes and Commercial Paper 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. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) 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 and ETNs 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 and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV 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.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.  
 
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
 
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.  
 
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
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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