NPORT-EX 2 QTLY_1976_20211130.htm US_QtlyFinancialStatementsCoverMaster
Quarterly Holdings Report
for
Strategic Advisers® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
November 30, 2021
SSC-NPRT3-0122
1.912893.111
Unclassified - 0.9%
 
  
Shares
Value ($)
 
U.S. Treasury Bills, yield at date of purchase 0.04% to 0.05% 12/14/21 to 2/17/22
 
 (Cost $429,468,719)
 
  
429,495,000
429,465,578
 
  
  
  
Nonconvertible Bonds - 10.4%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 1.0%
 
  
  
Diversified Telecommunication Services - 0.4%
  
  
  
Altice France SA:
  
  
  
 5.125% 1/15/29 (b)
  
300,000
284,079
 5.125% 7/15/29 (b)
  
275,000
261,355
 8.125% 2/1/27 (b)
  
135,000
143,998
AT&T, Inc.:
  
  
  
 1.7% 3/25/26
 
700,000
698,995
 2.55% 12/1/33
 
8,298,000
8,021,048
 3.5% 6/1/41
 
4,880,000
5,013,729
 3.5% 9/15/53
 
648,000
654,555
 3.55% 9/15/55
 
1,590,000
1,598,326
 3.65% 9/15/59
 
8,915,000
9,024,041
 3.8% 12/1/57
 
31,378,000
32,768,682
 4.3% 2/15/30
 
3,709,000
4,186,104
 4.5% 5/15/35
 
1,980,000
2,282,783
 4.5% 3/9/48
 
6,650,000
7,851,742
 4.75% 5/15/46
 
14,210,000
17,298,002
 4.9% 6/15/42
 
7,000,000
8,486,837
 6.2% 3/15/40
 
2,433,000
3,257,304
 6.3% 1/15/38
 
2,523,000
3,430,811
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b)
  
305,000
318,725
Cablevision Lightpath LLC 3.875% 9/15/27 (b)
  
10,000
9,713
Cellnex Telecom SA 1.75% 10/23/30 (Reg. S)
EUR
5,500,000
6,009,256
Cogent Communications Group, Inc. 3.5% 5/1/26 (b)
  
165,000
165,413
Frontier Communications Holdings LLC:
  
  
  
 5% 5/1/28 (b)
  
215,000
215,604
 5.875% 10/15/27 (b)
  
95,000
98,104
Holdco SASU:
  
  
  
 6.5% 10/15/26 (b)
  
475,000
485,773
 7% 10/15/28 (b)
  
450,000
461,250
Iliad SA 1.5% 10/14/24 (Reg. S)
EUR
3,100,000
3,494,117
Level 3 Financing, Inc.:
  
  
  
 3.4% 3/1/27 (b)
  
2,605,000
2,670,125
 3.625% 1/15/29 (b)
  
3,349,000
3,097,825
 3.875% 11/15/29 (b)
  
2,945,000
3,040,595
 4.25% 7/1/28 (b)
  
1,520,000
1,482,000
 5.375% 5/1/25
 
400,000
408,412
Lumen Technologies, Inc.:
  
  
  
 4.5% 1/15/29 (b)
  
235,000
220,968
 5.125% 12/15/26 (b)
  
185,000
185,324
 5.625% 4/1/25
 
175,000
182,294
 6.875% 1/15/28
 
15,000
16,459
 7.6% 9/15/39
 
1,464,000
1,566,480
 7.65% 3/15/42
 
1,000,000
1,075,840
Qwest Corp. 7.25% 9/15/25
 
203,000
237,585
Sable International Finance Ltd. 5.75% 9/7/27 (b)
  
526,000
541,780
Sprint Capital Corp.:
  
  
  
 6.875% 11/15/28
 
1,695,000
2,092,596
 8.75% 3/15/32
 
555,000
820,512
Sprint Spectrum Co. LLC:
  
  
  
 4.738% 9/20/29 (b)
  
1,198,750
1,250,260
 5.152% 9/20/29 (b)
  
14,655,000
16,424,489
Telecom Italia SpA 5.303% 5/30/24 (b)
  
370,000
383,779
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b)
  
400,000
412,200
Verizon Communications, Inc.:
  
  
  
 2.1% 3/22/28
 
790,000
787,943
 2.355% 3/15/32 (b)
  
10,150,000
10,046,433
 2.65% 11/20/40
 
1,265,000
1,207,733
 3.4% 3/22/41
 
5,550,000
5,899,315
 4.016% 12/3/29
 
4,471,000
5,013,261
 4.272% 1/15/36
 
4,090,000
4,805,423
 4.5% 8/10/33
 
945,000
1,114,873
Virgin Media Finance PLC 5% 7/15/30 (b)
  
270,000
261,900
Zayo Group Holdings, Inc. 4% 3/1/27 (b)
  
3,150,000
3,000,375
 
  
  
184,767,125
Entertainment - 0.0%
  
  
  
Netflix, Inc.:
  
  
  
 4.375% 11/15/26
 
165,000
181,913
 4.875% 4/15/28
 
145,000
164,133
 4.875% 6/15/30 (b)
  
70,000
81,060
 5.375% 11/15/29 (b)
  
120,000
141,950
 5.875% 11/15/28
 
635,000
760,413
 6.375% 5/15/29
 
55,000
68,460
Roblox Corp. 3.875% 5/1/30 (b)
  
280,000
280,700
The Walt Disney Co. 3.6% 1/13/51
 
3,415,000
3,904,536
 
  
  
5,583,165
Interactive Media & Services - 0.0%
  
  
  
Tencent Holdings Ltd. 3.84% 4/22/51 (b)
  
2,435,000
2,618,015
Media - 0.4%
  
  
  
Altice Financing SA:
  
  
  
 5% 1/15/28 (b)
  
200,000
186,969
 5.75% 8/15/29 (b)
  
585,000
557,163
Altice France Holding SA:
  
  
  
 4% 2/15/28 (Reg. S)
EUR
4,800,000
5,104,702
 8% 5/15/27 (Reg. S)
EUR
4,800,000
5,729,016
CCO Holdings LLC/CCO Holdings Capital Corp.:
  
  
  
 4% 3/1/23 (b)
  
2,450,000
2,451,642
 4.5% 8/15/30 (b)
  
180,000
181,430
 4.5% 5/1/32
 
3,822,000
3,806,253
 4.5% 6/1/33 (b)
  
2,110,000
2,078,350
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
  
  
  
 3.7% 4/1/51
 
2,530,000
2,452,636
 3.9% 6/1/52
 
12,063,000
12,188,343
 4.464% 7/23/22
 
11,002,000
11,196,360
 4.908% 7/23/25
 
7,565,000
8,346,099
 5.375% 4/1/38
 
450,000
540,853
 5.375% 5/1/47
 
32,024,000
38,431,467
 6.384% 10/23/35
 
3,285,000
4,257,633
 6.484% 10/23/45
 
1,645,000
2,248,074
Comcast Corp.:
  
  
  
 2.937% 11/1/56 (b)
  
1,940,000
1,885,396
 2.987% 11/1/63 (b)
  
1,667,000
1,610,773
 3.75% 4/1/40
 
670,000
754,859
 3.999% 11/1/49
 
10,000
11,609
COX Communications, Inc.:
  
  
  
 1.8% 10/1/30 (b)
  
975,000
926,386
 2.6% 6/15/31 (b)
  
275,000
275,211
 3.15% 8/15/24 (b)
  
1,550,000
1,624,559
CSC Holdings LLC:
  
  
  
 3.375% 2/15/31 (b)
  
3,000,000
2,740,140
 4.125% 12/1/30 (b)
  
215,000
205,749
 4.5% 11/15/31 (b)
  
220,000
212,850
 4.625% 12/1/30 (b)
  
170,000
158,100
 5.75% 1/15/30 (b)
  
1,000,000
979,380
 6.5% 2/1/29 (b)
  
1,500,000
1,585,860
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b)
  
2,275,000
1,006,688
Discovery Communications LLC:
  
  
  
 3.625% 5/15/30
 
4,338,000
4,640,829
 4% 9/15/55
 
1,620,000
1,734,310
 4.65% 5/15/50
 
11,727,000
13,903,657
 5.3% 5/15/49
 
7,795,000
9,920,717
DISH DBS Corp.:
  
  
  
 5.875% 11/15/24
 
200,000
202,292
 7.75% 7/1/26
 
550,000
565,125
Fox Corp.:
  
  
  
 5.476% 1/25/39
 
2,474,000
3,197,244
 5.576% 1/25/49
 
1,641,000
2,243,954
Gray Television, Inc. 4.75% 10/15/30 (b)
  
100,000
96,375
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S)
EUR
800,000
930,361
LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b)
  
200,000
199,206
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b)
  
345,000
342,854
SES Global Americas Holdings GP 5.3% 3/25/44 (b)
  
2,000,000
2,312,654
Sinclair Television Group, Inc. 4.125% 12/1/30 (b)
  
1,950,000
1,769,625
Sirius XM Radio, Inc.:
  
  
  
 3.875% 9/1/31 (b)
  
370,000
350,575
 4.125% 7/1/30 (b)
  
65,000
63,500
 5.5% 7/1/29 (b)
  
1,000,000
1,060,740
Tegna, Inc. 4.75% 3/15/26 (b)
  
225,000
231,750
Time Warner Cable LLC:
  
  
  
 5.5% 9/1/41
 
2,591,000
3,174,286
 5.875% 11/15/40
 
5,543,000
7,023,550
 6.55% 5/1/37
 
8,522,000
11,413,062
 7.3% 7/1/38
 
6,393,000
9,171,841
ViacomCBS, Inc.:
  
  
  
 3.875% 4/1/24
 
1,730,000
1,823,909
 4.2% 5/19/32
 
650,000
735,863
 4.6% 1/15/45
 
5,565,000
6,729,914
 5.85% 9/1/43
 
420,000
569,189
Virgin Media Secured Finance PLC:
  
  
  
 4.25% 1/15/30 (Reg. S)
GBP
1,500,000
1,971,983
 4.5% 8/15/30 (b)
  
1,932,000
1,888,202
 5.5% 5/15/29 (b)
  
175,000
181,827
Ziggo BV:
  
  
  
 2.875% 1/15/30 (Reg. S)
EUR
1,100,000
1,234,586
 4.875% 1/15/30 (b)
  
115,000
116,366
 5.5% 1/15/27 (b)
  
477,000
490,967
 
  
  
204,025,863
Wireless Telecommunication Services - 0.2%
  
  
  
Digicel International Finance Ltd. / Digicel International Holdings Ltd.:
  
  
  
 8% 12/31/26 (b)
  
2,650,000
2,577,125
 8.75% 5/25/24 (b)
  
300,000
308,213
 8.75% 5/25/24 (b)
  
400,000
410,325
 13% 12/31/25 pay-in-kind (b)(c)
  
2,070,000
2,115,669
Intelsat Jackson Holdings SA:
  
  
  
 5.5% 8/1/23 (d)
  
2,500,000
1,212,500
 9.75% 7/15/25 (b)(d)
  
5,500,000
2,695,000
Millicom International Cellular SA:
  
  
  
 4.5% 4/27/31 (b)
  
200,000
199,100
 5.125% 1/15/28 (b)
  
346,500
357,068
Rogers Communications, Inc. 3% 3/15/23
 
150,000
153,066
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S)
 
200,000
202,000
Sprint Corp.:
  
  
  
 7.125% 6/15/24
 
2,950,000
3,305,564
 7.875% 9/15/23
 
5,977,000
6,567,229
T-Mobile U.S.A., Inc.:
  
  
  
 2.05% 2/15/28
 
1,450,000
1,428,443
 2.25% 2/15/26
 
3,450,000
3,407,651
 2.625% 4/15/26
 
220,000
220,039
 2.625% 2/15/29
 
275,000
265,375
 3% 2/15/41
 
3,095,000
2,953,837
 3.3% 2/15/51
 
6,575,000
6,392,470
 3.75% 4/15/27
 
14,515,000
15,605,189
 3.875% 4/15/30
 
18,689,000
20,312,028
 4.375% 4/15/40
 
200,000
227,110
 4.5% 4/15/50
 
3,381,000
3,954,251
Vodafone Group PLC:
  
  
  
 4.25% 9/17/50
 
3,525,000
4,060,163
 4.875% 10/3/78 (Reg. S) (c)
GBP
600,000
843,853
 6.25% 10/3/78 (Reg. S) (c)
  
805,000
863,073
 
  
  
80,636,341
TOTAL COMMUNICATION SERVICES
  
  
477,630,509
CONSUMER DISCRETIONARY - 0.5%
 
  
  
Auto Components - 0.0%
  
  
  
Adient Global Holdings Ltd. 4.875% 8/15/26 (b)
  
2,000,000
2,002,500
Dana, Inc.:
  
  
  
 4.5% 2/15/32
 
115,000
112,138
 5.625% 6/15/28
 
500,000
526,250
IHO Verwaltungs GmbH 3.75% 9/15/26 pay-in-kind(Reg. S) (c)
EUR
2,500,000
2,871,212
Patrick Industries, Inc. 4.75% 5/1/29 (b)
  
110,000
107,492
Valeo SA 1% 8/3/28 (Reg. S)
EUR
600,000
655,991
ZF Finance GmbH 2% 5/6/27 (Reg. S)
EUR
800,000
901,383
 
  
  
7,176,966
Automobiles - 0.1%
  
  
  
Ford Motor Co.:
  
  
  
 3.25% 2/12/32
 
1,675,000
1,677,848
 4.75% 1/15/43
 
2,000,000
2,140,000
 5.291% 12/8/46
 
1,925,000
2,173,575
General Motors Co.:
  
  
  
 6.25% 10/2/43
 
8,395,000
11,433,542
 6.6% 4/1/36
 
575,000
772,468
 6.75% 4/1/46
 
1,850,000
2,675,747
General Motors Financial Co., Inc.:
  
  
  
 2.4% 4/10/28
 
1,895,000
1,889,709
 3.45% 4/10/22
 
4,650,000
4,675,155
 3.7% 5/9/23
 
11,800,000
12,207,272
 4% 1/15/25
 
3,280,000
3,492,329
 4.25% 5/15/23
 
1,875,000
1,962,121
Thor Industries, Inc. 4% 10/15/29 (b)
  
150,000
146,925
 
  
  
45,246,691
Diversified Consumer Services - 0.0%
  
  
  
Adtalem Global Education, Inc. 5.5% 3/1/28 (b)
  
1,225,000
1,179,932
California Institute of Technology 3.65% 9/1/19
 
535,000
644,584
ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b)
  
8,865,000
9,462,982
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23
 
425,000
446,035
Massachusetts Institute of Technology 2.989% 7/1/50
 
1,215,000
1,380,726
President and Fellows of Harvard College:
  
  
  
 3.15% 7/15/46
 
190,000
217,467
 3.3% 7/15/56
 
190,000
224,361
Service Corp. International 5.125% 6/1/29
 
270,000
287,550
Trustees of Boston University 4.061% 10/1/48
 
450,000
560,807
University of Pennsylvania Trustees:
  
  
  
 2.396% 10/1/50
 
495,000
491,177
 3.61% 2/15/2119
 
285,000
343,281
University of Southern California 3.841% 10/1/47
 
705,000
864,426
Yale University 2.402% 4/15/50
 
1,815,000
1,828,909
 
  
  
17,932,237
Hotels, Restaurants & Leisure - 0.1%
  
  
  
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
  
  
  
 4% 10/15/30 (b)
  
5,000,000
4,777,700
 4.375% 1/15/28 (b)
  
280,000
278,600
 5.75% 4/15/25 (b)
  
90,000
93,425
Accor SA 2.375% 11/29/28 (Reg. S)
EUR
700,000
788,027
Aramark Services, Inc. 5% 2/1/28 (b)
  
1,990,000
1,999,950
Brinker International, Inc. 3.875% 5/15/23
 
1,066,000
1,095,315
Caesars Entertainment, Inc. 6.25% 7/1/25 (b)
  
380,000
395,116
Carnival Corp.:
  
  
  
 4% 8/1/28 (b)
  
225,000
218,144
 7.625% 3/1/26 (b)
  
75,000
76,896
Hilton Domestic Operating Co., Inc.:
  
  
  
 3.625% 2/15/32 (b)
  
325,000
315,468
 3.75% 5/1/29 (b)
  
255,000
252,636
 4% 5/1/31 (b)
  
970,000
971,947
 5.375% 5/1/25 (b)
  
350,000
361,991
Hyatt Hotels Corp. 1.8% 10/1/24
 
3,020,000
3,022,866
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)
GBP
2,735,000
3,849,468
International Game Technology PLC 6.5% 2/15/25 (b)
  
800,000
868,000
Marriott International, Inc.:
  
  
  
 3.125% 6/15/26
 
1,090,000
1,145,170
 3.6% 4/15/24
 
1,110,000
1,166,094
McDonald's Corp. 4.7% 12/9/35
 
1,910,000
2,360,275
MGM Resorts International:
  
  
  
 4.625% 9/1/26
 
500,000
505,000
 6.75% 5/1/25
 
100,000
104,125
NCL Finance Ltd. 6.125% 3/15/28 (b)
  
40,000
38,980
Royal Caribbean Cruises Ltd.:
  
  
  
 5.5% 8/31/26 (b)
  
280,000
273,000
 9.125% 6/15/23 (b)
  
55,000
58,336
 11.5% 6/1/25 (b)
  
95,000
105,806
Starbucks Corp. 1.3% 5/7/22
 
3,742,000
3,755,324
Whitbread PLC:
  
  
  
 2.375% 5/31/27 (Reg. S)
GBP
1,320,000
1,758,230
 3.375% 10/16/25 (Reg. S)
GBP
1,870,000
2,592,534
Yum! Brands, Inc.:
  
  
  
 3.625% 3/15/31
 
145,000
140,602
 7.75% 4/1/25 (b)
  
330,000
347,840
 
  
  
33,716,865
Household Durables - 0.2%
  
  
  
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b)
  
500,000
498,054
Century Communities, Inc.:
  
  
  
 3.875% 8/15/29 (b)
  
135,000
132,993
 6.75% 6/1/27
 
275,000
288,485
Lennar Corp.:
  
  
  
 4.75% 11/29/27
 
9,350,000
10,626,182
 5% 6/15/27
 
12,100,000
13,799,082
 5.25% 6/1/26
 
2,920,000
3,312,302
Newell Brands, Inc. 5.875% 4/1/36
 
30,000
36,621
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b)
  
298,000
308,803
Tempur Sealy International, Inc.:
  
  
  
 3.875% 10/15/31 (b)
  
120,000
115,933
 4% 4/15/29 (b)
  
1,525,000
1,513,852
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)
GBP
1,015,000
1,314,597
Toll Brothers Finance Corp.:
  
  
  
 4.35% 2/15/28
 
29,675,000
32,067,695
 4.375% 4/15/23
 
5,000,000
5,150,250
 4.875% 11/15/25
 
35,000
38,325
 4.875% 3/15/27
 
7,917,000
8,728,493
TopBuild Corp. 4.125% 2/15/32 (b)
  
815,000
816,536
 
  
  
78,748,203
Internet & Direct Marketing Retail - 0.0%
  
  
  
Match Group Holdings II LLC:
  
  
  
 3.625% 10/1/31 (b)
  
170,000
160,259
 4.125% 8/1/30 (b)
  
70,000
69,388
 
  
  
229,647
Leisure Products - 0.0%
  
  
  
Hasbro, Inc. 3% 11/19/24
 
5,655,000
5,909,036
Mattel, Inc. 5.45% 11/1/41
 
20,000
23,572
 
  
  
5,932,608
Multiline Retail - 0.0%
  
  
  
John Lewis PLC 6.125% 1/21/25
GBP
586,000
863,108
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S)
GBP
1,500,000
2,084,956
 
  
  
2,948,064
Specialty Retail - 0.1%
  
  
  
Adient U.S. LLC 9% 4/15/25 (b)
  
1,000,000
1,060,000
Asbury Automotive Group, Inc.:
  
  
  
 4.625% 11/15/29 (b)
  
75,000
75,474
 5% 2/15/32 (b)
  
80,000
80,509
AutoNation, Inc. 4.75% 6/1/30
 
953,000
1,102,396
AutoZone, Inc.:
  
  
  
 1.65% 1/15/31
 
255,000
239,317
 3.75% 4/18/29
 
1,400,000
1,538,657
 4% 4/15/30
 
6,924,000
7,741,663
Bath & Body Works, Inc. 6.625% 10/1/30 (b)
  
345,000
382,729
Foot Locker, Inc. 4% 10/1/29 (b)
  
60,000
59,400
Gap, Inc. 3.875% 10/1/31 (b)
  
115,000
110,057
LCM Investments Holdings 4.875% 5/1/29 (b)
  
50,000
49,807
Michaels Companies, Inc.:
  
  
  
 5.25% 5/1/28 (b)
  
110,000
108,832
 7.875% 5/1/29 (b)
  
1,000,000
992,500
O'Reilly Automotive, Inc.:
  
  
  
 1.75% 3/15/31
 
420,000
399,987
 3.9% 6/1/29
 
500,000
554,656
Sally Holdings LLC 8.75% 4/30/25 (b)
  
3,067,000
3,274,023
The Home Depot, Inc.:
  
  
  
 4.875% 2/15/44
 
1,175,000
1,563,221
 5.875% 12/16/36
 
300,000
425,665
VIA Outlets 1.75% 11/15/28 (Reg. S)
EUR
700,000
792,663
 
  
  
20,551,556
Textiles, Apparel & Luxury Goods - 0.0%
  
  
  
Crocs, Inc. 4.125% 8/15/31 (b)
  
120,000
119,400
Kontoor Brands, Inc. 4.125% 11/15/29 (b)
  
40,000
39,901
Levi Strauss & Co. 3.5% 3/1/31 (b)
  
170,000
172,763
Tapestry, Inc. 3.05% 3/15/32 (e)
  
14,311,000
14,465,265
The William Carter Co. 5.625% 3/15/27 (b)
  
875,000
900,848
Wolverine World Wide, Inc. 4% 8/15/29 (b)
  
170,000
164,900
 
  
  
15,863,077
TOTAL CONSUMER DISCRETIONARY
  
  
228,345,914
CONSUMER STAPLES - 0.6%
 
  
  
Beverages - 0.3%
  
  
  
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.:
  
  
  
 4.7% 2/1/36
 
2,765,000
3,324,913
 4.9% 2/1/46
 
13,910,000
17,658,259
Anheuser-Busch InBev Finance, Inc.:
  
  
  
 4.7% 2/1/36
 
9,871,000
11,836,121
 4.9% 2/1/46
 
12,306,000
15,485,231
Anheuser-Busch InBev Worldwide, Inc.:
  
  
  
 3.5% 6/1/30
 
8,175,000
8,940,210
 4.35% 6/1/40
 
4,618,000
5,424,571
 4.375% 4/15/38
 
2,500,000
2,911,793
 4.5% 6/1/50
 
8,175,000
10,116,845
 4.6% 6/1/60
 
5,007,000
6,222,718
 4.75% 1/23/29
 
1,190,000
1,387,337
 5.45% 1/23/39
 
5,390,000
7,064,241
 5.55% 1/23/49
 
15,352,000
21,175,241
 5.8% 1/23/59 (Reg. S)
 
6,509,000
9,544,732
Bacardi Ltd.:
  
  
  
 4.45% 5/15/25 (b)
  
2,060,000
2,237,998
 4.7% 5/15/28 (b)
  
563,000
641,067
 5.3% 5/15/48 (b)
  
1,050,000
1,394,768
Constellation Brands, Inc.:
  
  
  
 2.25% 8/1/31
 
1,285,000
1,252,221
 3.7% 12/6/26
 
1,200,000
1,299,002
 4.4% 11/15/25
 
805,000
886,770
 4.75% 11/15/24
 
5,595,000
6,142,634
Diageo Capital PLC 2.125% 4/29/32
 
390,000
389,536
PepsiCo, Inc.:
  
  
  
 2.625% 3/19/27
 
839,000
883,604
 2.75% 3/5/22
 
900,000
905,679
 3.1% 7/17/22
 
260,000
263,439
Primo Water Holdings, Inc. 4.375% 4/30/29 (b)
  
220,000
217,738
 
  
  
137,606,668
Food & Staples Retailing - 0.0%
  
  
  
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
  
  
  
 3.5% 3/15/29 (b)
  
645,000
639,227
 4.875% 2/15/30 (b)
  
615,000
653,640
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b)
  
1,800,000
1,875,461
Bellis Acquisition Co. PLC 4.5% 2/16/26 (b)
GBP
975,000
1,272,717
Bellis Finco PLC 4% 2/16/27 (b)
GBP
9,000,000
11,099,747
C&S Group Enterprises LLC 5% 12/15/28 (b)
  
2,000,000
1,863,400
Co-Operative Group Ltd. 5.125% 5/17/24 (Reg. S)
GBP
725,000
1,000,484
Kroger Co. 2.65% 10/15/26
 
430,000
446,001
U.S. Foods, Inc.:
  
  
  
 4.625% 6/1/30 (b)
  
55,000
55,275
 6.25% 4/15/25 (b)
  
185,000
192,530
 
  
  
19,098,482
Food Products - 0.2%
  
  
  
Darling Ingredients, Inc. 5.25% 4/15/27 (b)
  
300,000
310,106
Hormel Foods Corp. 0.65% 6/3/24
 
895,000
887,677
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b)
  
6,105,000
6,053,718
JBS U.S.A. Lux SA / JBS Food Co.:
  
  
  
 3% 5/15/32 (b)(e)
  
5,020,000
4,965,332
 5.5% 1/15/30 (b)
  
15,375,000
16,492,609
 6.5% 4/15/29 (b)
  
19,275,000
21,106,125
JDE Peet's BV 2.25% 9/24/31 (b)
  
1,400,000
1,366,255
Kraft Heinz Foods Co.:
  
  
  
 3.75% 4/1/30
 
653,000
711,514
 3.875% 5/15/27
 
235,000
254,069
 4.25% 3/1/31
 
7,220,000
8,259,553
 4.375% 6/1/46
 
8,790,000
10,172,999
 4.875% 10/1/49
 
250,000
311,689
 5% 7/15/35
 
920,000
1,140,051
 5.2% 7/15/45
 
4,602,000
5,857,177
 7.125% 8/1/39 (b)
  
9,093,000
13,646,793
Lamb Weston Holdings, Inc.:
  
  
  
 4.125% 1/31/30 (b)
  
900,000
897,476
 4.375% 1/31/32 (b)
  
900,000
895,032
 4.875% 5/15/28 (b)
  
345,000
366,131
Pilgrim's Pride Corp.:
  
  
  
 3.5% 3/1/32 (b)
  
3,000,000
3,015,000
 4.25% 4/15/31 (b)
  
2,825,000
2,959,188
 5.875% 9/30/27 (b)
  
500,000
525,000
Post Holdings, Inc.:
  
  
  
 4.625% 4/15/30 (b)
  
2,880,000
2,844,000
 5.5% 12/15/29 (b)
  
270,000
279,304
TreeHouse Foods, Inc. 4% 9/1/28
 
505,000
478,796
Tyson Foods, Inc. 4% 3/1/26
 
2,520,000
2,736,060
 
  
  
106,531,654
Household Products - 0.0%
  
  
  
Central Garden & Pet Co. 4.125% 4/30/31 (b)
  
1,325,000
1,328,313
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (b)
  
2,500,000
2,400,000
 
  
  
3,728,313
Tobacco - 0.1%
  
  
  
Altria Group, Inc.:
  
  
  
 2.45% 2/4/32
 
6,000,000
5,648,269
 3.4% 2/4/41
 
6,025,000
5,575,595
 4.25% 8/9/42
 
490,000
497,311
BAT Capital Corp.:
  
  
  
 3.215% 9/6/26
 
740,000
768,606
 3.557% 8/15/27
 
2,540,000
2,658,037
 4.39% 8/15/37
 
1,000,000
1,061,850
 4.54% 8/15/47
 
11,635,000
12,202,927
 4.7% 4/2/27
 
325,000
358,537
BAT International Finance PLC:
  
  
  
 2.25% 6/26/28 (Reg. S)
GBP
3,970,000
5,196,062
 3.95% 6/15/25 (b)
  
6,600,000
7,079,763
Imperial Tobacco Finance PLC:
  
  
  
 3.125% 7/26/24 (b)
  
4,250,000
4,406,169
 4.25% 7/21/25 (b)
  
1,500,000
1,615,717
Philip Morris International, Inc.:
  
  
  
 1.125% 5/1/23
 
955,000
960,728
 3.875% 8/21/42
 
730,000
799,187
Reynolds American, Inc. 5.7% 8/15/35
 
635,000
756,336
 
  
  
49,585,094
TOTAL CONSUMER STAPLES
  
  
316,550,211
ENERGY - 1.2%
 
  
  
Energy Equipment & Services - 0.0%
  
  
  
Halliburton Co.:
  
  
  
 4.75% 8/1/43
 
445,000
521,272
 6.7% 9/15/38
 
170,000
234,679
Precision Drilling Corp. 7.125% 1/15/26 (b)
  
115,000
115,769
Technip Energies NV 1.125% 5/28/28
EUR
855,000
978,345
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b)
  
122,500
122,500
Transocean Poseidon Ltd. 6.875% 2/1/27 (b)
  
120,000
114,000
Transocean Proteus Ltd. 6.25% 12/1/24 (b)
  
2,200,000
2,178,000
Transocean, Inc. 11.5% 1/30/27 (b)
  
140,000
131,600
U.S.A. Compression Partners LP 6.875% 9/1/27
 
2,575,000
2,640,894
 
  
  
7,037,059
Oil, Gas & Consumable Fuels - 1.2%
  
  
  
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b)
  
125,000
132,188
Aker BP ASA 2.875% 1/15/26 (b)
  
7,120,000
7,404,911
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 3/1/27 (b)
  
1,250,000
1,256,863
Antero Resources Corp. 8.375% 7/15/26 (b)
  
1,104,000
1,224,060
Apache Corp.:
  
  
  
 4.25% 1/15/30
 
575,000
600,875
 5.25% 2/1/42
 
210,000
232,050
Cenovus Energy, Inc.:
  
  
  
 3.75% 2/15/52
 
1,600,000
1,570,141
 5.25% 6/15/37
 
3,195,000
3,780,250
 5.4% 6/15/47
 
385,000
474,682
Cheniere Energy Partners LP:
  
  
  
 3.25% 1/31/32 (b)
  
115,000
111,694
 4% 3/1/31 (b)
  
220,000
224,400
Chesapeake Energy Corp.:
  
  
  
 5.5% 2/1/26 (b)
  
330,000
342,375
 5.875% 2/1/29 (b)
  
105,000
111,300
Chevron Corp. 2.355% 12/5/22
 
840,000
851,048
CNOOC Finance (2013) Ltd. 2.875% 9/30/29
 
1,615,000
1,671,323
CNX Midstream Partners LP 4.75% 4/15/30 (b)
  
45,000
44,325
Colgate Energy Partners III LLC 5.875% 7/1/29 (b)
  
60,000
59,550
Columbia Pipeline Group, Inc. 4.5% 6/1/25
 
1,418,000
1,552,847
Comstock Resources, Inc. 6.75% 3/1/29 (b)
  
130,000
135,200
ConocoPhillips Co.:
  
  
  
 2.4% 2/15/31 (b)
  
410,000
413,200
 3.75% 10/1/27 (b)
  
915,000
999,472
 4.3% 8/15/28 (b)
  
2,915,000
3,303,230
 6.95% 4/15/29
 
425,000
559,221
Continental Resources, Inc.:
  
  
  
 2.875% 4/1/32 (b)
  
6,280,000
6,081,866
 5.75% 1/15/31 (b)
  
770,000
896,881
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25
 
1,657,000
1,661,896
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b)
  
40,000
40,237
CVR Energy, Inc.:
  
  
  
 5.25% 2/15/25 (b)
  
330,000
314,358
 5.75% 2/15/28 (b)
  
40,000
37,780
DCP Midstream Operating LP:
  
  
  
 3.875% 3/15/23
 
17,626,000
17,934,455
 5.125% 5/15/29
 
355,000
393,660
 5.375% 7/15/25
 
345,000
368,081
 5.6% 4/1/44
 
3,773,000
4,488,738
 5.625% 7/15/27
 
260,000
290,391
 5.85% 5/21/43 (b)(c)
  
16,392,000
15,668,457
Devon Energy Corp. 5.6% 7/15/41
 
800,000
1,006,558
Diamondback Energy, Inc.:
  
  
  
 3.125% 3/24/31
 
4,710,000
4,801,168
 3.25% 12/1/26
 
4,500,000
4,722,698
 3.5% 12/1/29
 
1,250,000
1,311,135
Ecopetrol SA:
  
  
  
 5.375% 6/26/26
 
1,340,000
1,401,975
 5.875% 9/18/23
 
2,218,000
2,338,881
EG Global Finance PLC:
  
  
  
 4.375% 2/7/25 (Reg. S)
EUR
4,000,000
4,450,707
 6.25% 10/30/25 (Reg. S)
EUR
5,600,000
6,405,959
 6.75% 2/7/25 (b)
  
220,000
221,650
 8.5% 10/30/25 (b)
  
380,000
390,689
Enable Midstream Partners LP 3.9% 5/15/24 (c)
  
1,210,000
1,269,854
Enbridge, Inc.:
  
  
  
 4% 10/1/23
 
3,799,000
3,978,040
 4.25% 12/1/26
 
1,943,000
2,131,599
Endeavor Energy Resources LP/EER Finance, Inc.:
  
  
  
 5.75% 1/30/28 (b)
  
180,000
187,200
 6.625% 7/15/25 (b)
  
45,000
47,306
Energean Israel Finance Ltd.:
  
  
  
 4.5% 3/30/24 (Reg. S) (b)
  
900,000
900,000
 4.875% 3/30/26 (Reg. S) (b)
  
296,000
291,116
 5.375% 3/30/28 (Reg. S) (b)
  
1,315,000
1,285,413
Energy Transfer LP:
  
  
  
 3.75% 5/15/30
 
2,964,000
3,120,257
 3.9% 7/15/26
 
1,005,000
1,080,663
 4.2% 9/15/23
 
1,452,000
1,521,549
 4.25% 3/15/23
 
1,373,000
1,417,662
 4.5% 4/15/24
 
1,723,000
1,834,878
 4.75% 1/15/26
 
850,000
931,053
 4.95% 6/15/28
 
4,954,000
5,600,641
 5% 5/15/50
 
11,610,000
13,340,840
 5.15% 3/15/45
 
2,260,000
2,578,224
 5.25% 4/15/29
 
2,803,000
3,205,828
 5.3% 4/15/47
 
225,000
260,082
 5.35% 5/15/45
 
1,950,000
2,263,852
 5.4% 10/1/47
 
8,931,000
10,631,336
 5.8% 6/15/38
 
2,762,000
3,352,012
 6% 6/15/48
 
2,449,000
3,074,047
 6.25% 4/15/49
 
1,925,000
2,499,178
 6.625% 10/15/36
 
900,000
1,160,870
EnLink Midstream LLC 5.625% 1/15/28 (b)
  
220,000
225,500
Enterprise Products Operating LP:
  
  
  
 3.125% 7/31/29
 
1,225,000
1,298,330
 3.2% 2/15/52
 
275,000
269,111
 3.7% 1/31/51
 
65,000
68,587
 4.85% 3/15/44
 
2,725,000
3,299,022
EOG Resources, Inc. 3.9% 4/1/35
 
205,000
231,534
EQM Midstream Partners LP:
  
  
  
 6.5% 7/1/27 (b)
  
125,000
135,000
 6.5% 7/15/48
 
220,000
255,354
EQT Corp.:
  
  
  
 3.9% 10/1/27
 
180,000
187,657
 5% 1/15/29
 
70,000
76,650
Equinor ASA:
  
  
  
 3.7% 4/6/50
 
920,000
1,065,436
 3.95% 5/15/43
 
300,000
350,283
Exxon Mobil Corp.:
  
  
  
 2.397% 3/6/22
 
1,575,000
1,577,882
 3.452% 4/15/51
 
4,000,000
4,369,274
 4.114% 3/1/46
 
705,000
838,667
Galaxy Pipeline Assets BidCo Ltd. 2.16% 3/31/34 (b)
  
565,000
547,485
Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b)
  
3,640,000
4,226,143
Hess Corp.:
  
  
  
 4.3% 4/1/27
 
1,117,000
1,213,075
 5.6% 2/15/41
 
2,846,000
3,507,770
 5.8% 4/1/47
 
4,517,000
5,932,877
 7.125% 3/15/33
 
1,335,000
1,784,267
 7.3% 8/15/31
 
1,849,000
2,466,844
 7.875% 10/1/29
 
5,583,000
7,519,610
Hess Midstream Partners LP:
  
  
  
 5.125% 6/15/28 (b)
  
110,000
112,475
 5.625% 2/15/26 (b)
  
669,000
684,053
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b)
  
375,000
373,125
KazMunaiGaz National Co.:
  
  
  
 3.5% 4/14/33 (b)
  
1,420,000
1,446,980
 3.5% 4/14/33 (Reg. S)
 
400,000
407,600
 5.375% 4/24/30 (Reg. S)
 
200,000
229,050
Kinder Morgan Energy Partners LP:
  
  
  
 4.15% 3/1/22
 
885,000
893,122
 4.15% 2/1/24
 
425,000
449,028
Lundin Energy Finance BV 3.1% 7/15/31 (b)
  
1,295,000
1,308,545
Magellan Midstream Partners LP:
  
  
  
 3.25% 6/1/30
 
475,000
499,786
 3.95% 3/1/50
 
1,210,000
1,302,987
 4.2% 10/3/47
 
695,000
770,654
 4.25% 9/15/46
 
190,000
213,436
Marathon Petroleum Corp. 3.8% 4/1/28
 
5,590,000
6,007,076
MEG Energy Corp.:
  
  
  
 5.875% 2/1/29 (b)
  
300,000
297,660
 7.125% 2/1/27 (b)
  
220,000
224,950
MPLX LP:
  
  
  
 2.65% 8/15/30
 
725,000
718,802
 4.125% 3/1/27
 
505,000
549,308
 4.5% 7/15/23
 
160,000
167,306
 4.5% 4/15/38
 
1,125,000
1,248,499
 4.7% 4/15/48
 
1,550,000
1,787,316
 4.8% 2/15/29
 
2,785,000
3,158,995
 4.875% 12/1/24
 
2,489,000
2,705,876
 5.2% 3/1/47
 
3,275,000
3,994,003
 5.5% 2/15/49
 
4,516,000
5,703,701
Occidental Petroleum Corp.:
  
  
  
 3.5% 8/15/29
 
2,729,000
2,672,537
 4.1% 2/15/47
 
265,000
252,413
 4.2% 3/15/48
 
125,000
120,081
 4.3% 8/15/39
 
439,000
428,025
 4.4% 4/15/46
 
200,000
196,532
 4.4% 8/15/49
 
1,809,000
1,777,343
 5.55% 3/15/26
 
6,488,000
6,935,899
 6.2% 3/15/40
 
65,000
77,025
 6.45% 9/15/36
 
4,545,000
5,643,708
 6.6% 3/15/46
 
6,475,000
8,241,704
 7.5% 5/1/31
 
8,596,000
10,834,699
 7.875% 9/15/31
 
40,000
52,100
 8.875% 7/15/30
 
145,000
190,410
ONEOK Partners LP 6.65% 10/1/36
 
400,000
533,242
ONEOK, Inc.:
  
  
  
 3.1% 3/15/30
 
2,900,000
2,982,233
 4.45% 9/1/49
 
8,455,000
9,406,770
 4.95% 7/13/47
 
590,000
689,993
Ovintiv Exploration, Inc. 5.375% 1/1/26
 
310,000
341,660
Ovintiv, Inc.:
  
  
  
 5.15% 11/15/41
 
3,000,000
3,310,668
 8.125% 9/15/30
 
6,179,000
8,127,220
Parsley Energy LLC/Parsley Finance Corp. 5.625% 10/15/27 (b)
  
1,920,000
2,006,400
PBF Holding Co. LLC/PBF Finance Corp.:
  
  
  
 6% 2/15/28
 
190,000
113,335
 9.25% 5/15/25 (b)
  
475,000
439,375
Petrobras Global Finance BV:
  
  
  
 5.093% 1/15/30
 
445,000
449,365
 5.6% 1/3/31
 
3,234,000
3,348,872
 5.75% 2/1/29
 
635,000
669,647
 6.25% 12/14/26
GBP
800,000
1,158,586
 7.375% 1/17/27
 
1,160,000
1,336,900
Petroleos Mexicanos:
  
  
  
 3.75% 2/21/24 (Reg. S)
EUR
2,300,000
2,631,254
 4.75% 2/26/29 (Reg. S)
EUR
3,400,000
3,653,503
 5.35% 2/12/28
 
253,000
242,032
 6.5% 3/13/27
 
37,757,000
38,578,215
 6.5% 1/23/29
 
1,190,000
1,182,533
 6.75% 9/21/47
 
11,150,000
9,116,798
 6.84% 1/23/30
 
10,852,000
10,835,722
 7.69% 1/23/50
 
85,755,000
76,948,819
Petronas Capital Ltd.:
  
  
  
 2.48% 1/28/32 (b)
  
200,000
199,862
 3.5% 4/21/30 (b)
  
1,000,000
1,084,600
Phillips 66 Co. 2.15% 12/15/30
 
300,000
287,584
Phillips 66 Partners LP:
  
  
  
 3.75% 3/1/28
 
595,000
640,355
 4.9% 10/1/46
 
750,000
921,964
Pioneer Natural Resources Co.:
  
  
  
 0.75% 1/15/24
 
495,000
491,313
 1.9% 8/15/30
 
1,570,000
1,486,814
 2.15% 1/15/31
 
325,000
312,141
Plains All American Pipeline LP/PAA Finance Corp.:
  
  
  
 3.55% 12/15/29
 
2,689,000
2,786,446
 3.6% 11/1/24
 
1,877,000
1,964,926
 3.65% 6/1/22
 
10,550,000
10,623,540
 3.8% 9/15/30
 
260,000
272,740
 4.5% 12/15/26
 
1,095,000
1,197,045
 5.15% 6/1/42
 
4,285,000
4,750,338
PT Pertamina Persero 3.1% 8/27/30 (b)
  
600,000
605,316
Qatar Petroleum:
  
  
  
 1.375% 9/12/26 (b)
  
1,000,000
980,000
 3.125% 7/12/41 (b)
  
1,145,000
1,147,290
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22
 
2,310,000
2,310,000
Rockies Express Pipeline LLC:
  
  
  
 4.8% 5/15/30 (b)
  
1,331,000
1,377,585
 4.95% 7/15/29 (b)
  
2,375,000
2,490,781
Sabine Pass Liquefaction LLC 4.5% 5/15/30
 
9,948,000
11,253,558
Santos Finance Ltd. 3.649% 4/29/31 (b)
  
4,800,000
4,911,212
Saudi Arabian Oil Co. 1.625% 11/24/25 (Reg. S)
 
800,000
795,000
Schlumberger Investment SA 3.65% 12/1/23
 
210,000
219,756
Shell International Finance BV 3.25% 5/11/25
 
1,465,000
1,560,470
SM Energy Co. 6.625% 1/15/27
 
300,000
301,500
Spectra Energy Partners LP 4.75% 3/15/24
 
6,000,000
6,427,519
Suncor Energy, Inc.:
  
  
  
 3.75% 3/4/51
 
3,940,000
4,276,385
 6.8% 5/15/38
 
350,000
494,301
Sunoco LP/Sunoco Finance Corp.:
  
  
  
 4.5% 5/15/29
 
255,000
251,558
 5.875% 3/15/28
 
55,000
57,475
 6% 4/15/27
 
5,000
5,181
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
  
  
  
 6% 12/31/30 (b)
  
2,450,000
2,420,937
 6% 9/1/31 (b)
  
225,000
217,688
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
  
  
  
 4.875% 2/1/31
 
290,000
311,025
 5.5% 3/1/30
 
55,000
59,813
 5.875% 4/15/26
 
400,000
414,500
The Williams Companies, Inc.:
  
  
  
 3.5% 11/15/30
 
10,592,000
11,236,502
 3.6% 3/15/22
 
660,000
662,392
 3.7% 1/15/23
 
2,512,000
2,574,930
 3.75% 6/15/27
 
1,635,000
1,769,485
 4.85% 3/1/48
 
100,000
121,687
 4.9% 1/15/45
 
670,000
802,241
Total Capital International SA:
  
  
  
 2.7% 1/25/23
 
1,375,000
1,406,145
 2.829% 1/10/30
 
800,000
840,262
Transcontinental Gas Pipe Line Co. LLC:
  
  
  
 3.25% 5/15/30
 
2,185,000
2,303,316
 4.6% 3/15/48
 
350,000
427,361
TransMontaigne Partners LP 6.125% 2/15/26
 
233,000
226,010
Valero Energy Corp. 4% 4/1/29
 
1,120,000
1,216,867
Venture Global Calcasieu Pass LLC:
  
  
  
 3.875% 8/15/29 (b)
  
340,000
341,411
 3.875% 11/1/33 (b)
  
115,000
115,288
 4.125% 8/15/31 (b)
  
335,000
342,591
Western Gas Partners LP:
  
  
  
 3.95% 6/1/25
 
1,126,000
1,164,245
 4.65% 7/1/26
 
2,085,000
2,225,738
 4.75% 8/15/28
 
1,465,000
1,595,019
 5.3% 2/1/30
 
785,000
844,896
 
  
  
562,598,138
TOTAL ENERGY
  
  
569,635,197
FINANCIALS - 3.9%
 
  
  
Banks - 2.0%
  
  
  
AIB Group PLC 1.875% 11/19/29 (Reg. S) (c)
EUR
1,510,000
1,734,884
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c)
EUR
390,000
423,501
Banco Santander SA 3.49% 5/28/30
 
1,000,000
1,056,834
Bank Ireland Group PLC:
  
  
  
 1.375% 8/11/31 (Reg. S) (c)
EUR
2,365,000
2,634,361
 2.029% 9/30/27 (b)(c)
  
1,400,000
1,382,272
Bank of America Corp.:
  
  
  
 3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(f)
  
1,554,000
1,574,437
 1.658% 3/11/27 (c)
  
8,135,000
8,072,800
 1.734% 7/22/27 (c)
  
13,095,000
12,976,703
 2.087% 6/14/29 (c)
  
7,865,000
7,758,508
 2.496% 2/13/31 (c)
  
5,430,000
5,439,455
 2.651% 3/11/32 (c)
  
16,000,000
16,171,211
 2.676% 6/19/41 (c)
  
3,550,000
3,447,125
 2.687% 4/22/32 (c)
  
2,615,000
2,648,033
 3.093% 10/1/25 (c)
  
746,000
778,763
 3.3% 1/11/23
 
3,572,000
3,677,355
 3.419% 12/20/28 (c)
  
8,640,000
9,204,940
 3.5% 4/19/26
 
5,358,000
5,769,895
 3.95% 4/21/25
 
12,493,000
13,404,803
 3.97% 3/5/29 (c)
  
10,565,000
11,611,678
 4% 1/22/25
 
43,905,000
46,963,738
 4.078% 4/23/40 (c)
  
7,865,000
9,087,523
 4.1% 7/24/23
 
13,989,000
14,772,689
 4.2% 8/26/24
 
2,028,000
2,179,274
 4.25% 10/22/26
 
10,727,000
11,824,289
 4.271% 7/23/29 (c)
  
3,660,000
4,104,564
 4.45% 3/3/26
 
2,065,000
2,272,336
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.8615% 7/20/22 (b)(c)(f)
  
8,041,000
8,074,285
Barclays PLC:
  
  
  
 2.645% 6/24/31 (c)
  
2,215,000
2,205,996
 2.667% 3/10/32 (c)
  
10,165,000
10,062,498
 2.852% 5/7/26 (c)
  
10,143,000
10,468,263
 4.337% 1/10/28
 
250,000
273,686
 4.836% 5/9/28
 
6,667,000
7,349,944
 4.95% 1/10/47
 
1,435,000
1,865,165
 4.972% 5/16/29 (c)
  
15,000,000
17,196,858
 5.088% 6/20/30 (c)
  
13,438,000
15,272,511
 5.2% 5/12/26
 
1,701,000
1,910,002
BNP Paribas SA:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (b)(c)(f)
  
9,875,000
9,620,552
 2.159% 9/15/29 (b)(c)
  
1,870,000
1,836,940
 2.219% 6/9/26 (b)(c)
  
9,163,000
9,302,407
BPCE SA 1.5% 1/13/42 (Reg. S) (c)
EUR
1,200,000
1,348,536
CIT Group, Inc.:
  
  
  
 3.929% 6/19/24 (c)
  
1,375,000
1,416,132
 4.75% 2/16/24
 
2,480,000
2,616,400
 5% 8/1/23
 
7,000,000
7,385,000
 6.125% 3/9/28
 
4,840,000
5,711,200
Citigroup, Inc.:
  
  
  
 1.281% 11/3/25 (c)
  
3,045,000
3,037,087
 1.462% 6/9/27 (c)
  
4,910,000
4,816,112
 2.561% 5/1/32 (c)
  
1,695,000
1,702,339
 2.572% 6/3/31 (c)
  
3,100,000
3,117,315
 2.666% 1/29/31 (c)
  
16,830,000
17,084,620
 2.904% 11/3/42 (c)
  
470,000
467,598
 4.075% 4/23/29 (c)
  
26,430,000
29,167,575
 4.3% 11/20/26
 
2,129,000
2,347,987
 4.4% 6/10/25
 
17,376,000
18,871,181
 4.412% 3/31/31 (c)
  
13,726,000
15,657,160
 4.45% 9/29/27
 
4,630,000
5,148,998
 4.6% 3/9/26
 
3,500,000
3,867,312
 4.65% 7/30/45
 
350,000
448,323
 4.75% 5/18/46
 
10,000,000
12,571,275
 5.5% 9/13/25
 
8,267,000
9,355,875
Citizens Financial Group, Inc. 2.638% 9/30/32
 
9,574,000
9,579,581
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c)
  
3,419,000
3,586,230
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c)
GBP
980,000
1,312,904
DNB Bank ASA 1.605% 3/30/28 (b)(c)
  
4,560,000
4,479,005
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b)
  
145,000
142,644
HSBC Holdings PLC:
  
  
  
 0.976% 5/24/25 (c)
  
235,000
232,355
 1.589% 5/24/27 (c)
  
860,000
840,222
 2.013% 9/22/28 (c)
  
5,085,000
4,968,113
 2.099% 6/4/26 (c)
  
2,295,000
2,309,371
 2.206% 8/17/29 (c)
  
6,795,000
6,651,861
 2.251% 11/22/27 (c)
  
900,000
902,077
 4.041% 3/13/28 (c)
  
3,380,000
3,649,881
 4.25% 3/14/24
 
1,872,000
1,985,349
 4.292% 9/12/26 (c)
  
3,000,000
3,248,817
 4.95% 3/31/30
 
1,855,000
2,181,132
ING Groep NV 1.726% 4/1/27 (c)
  
5,935,000
5,910,277
Intesa Sanpaolo SpA:
  
  
  
 5.017% 6/26/24 (b)
  
31,005,000
33,145,504
 5.71% 1/15/26 (b)
  
8,398,000
9,308,818
Japan Bank International Cooperation 3.25% 7/20/23
 
400,000
417,066
JPMorgan Chase & Co.:
  
  
  
 1.47% 9/22/27 (c)
  
4,565,000
4,477,620
 1.578% 4/22/27 (c)
  
3,395,000
3,353,997
 1.764% 11/19/31 (c)
  
4,860,000
4,594,733
 2.005% 3/13/26 (c)
  
7,285,000
7,384,188
 2.522% 4/22/31 (c)
  
1,525,000
1,539,274
 2.525% 11/19/41 (c)
  
22,775,000
21,625,519
 2.545% 11/8/32 (c)
  
735,000
738,711
 2.58% 4/22/32 (c)
  
6,200,000
6,252,258
 2.776% 4/25/23 (c)
  
2,000,000
2,016,207
 2.956% 5/13/31 (c)
  
5,386,000
5,563,023
 3.509% 1/23/29 (c)
  
4,150,000
4,461,459
 3.875% 9/10/24
 
250,000
266,757
 3.882% 7/24/38 (c)
  
4,990,000
5,717,747
 3.964% 11/15/48 (c)
  
1,270,000
1,510,583
 4.005% 4/23/29 (c)
  
2,290,000
2,528,803
 4.125% 12/15/26
 
4,475,000
4,946,176
Lloyds Banking Group PLC:
  
  
  
 1.627% 5/11/27 (c)
  
2,000,000
1,967,926
 1.985% 12/15/31 (c)
GBP
665,000
868,299
 2.907% 11/7/23 (c)
  
4,735,000
4,821,253
 3.87% 7/9/25 (c)
  
5,375,000
5,707,738
 4.375% 3/22/28
 
1,365,000
1,533,237
NatWest Group PLC:
  
  
  
 3.073% 5/22/28 (c)
  
5,799,000
6,040,561
 3.622% 8/14/30 (Reg. S) (c)
GBP
1,900,000
2,635,334
 4.269% 3/22/25 (c)
  
7,301,000
7,761,824
 4.8% 4/5/26
 
15,438,000
17,206,318
 5.125% 5/28/24
 
25,198,000
27,273,372
 6% 12/19/23
 
40,605,000
44,277,110
 6.1% 6/10/23
 
35,526,000
38,061,058
 6.125% 12/15/22
 
5,889,000
6,195,921
NatWest Markets PLC 2.375% 5/21/23 (b)
  
10,828,000
11,068,591
Peoples United Bank 4% 7/15/24
 
40,000
42,109
PNC Financial Services Group, Inc. 3.9% 4/29/24
 
375,000
399,270
Rabobank Nederland 4.375% 8/4/25
 
7,713,000
8,385,047
Santander UK Group Holdings PLC:
  
  
  
 1.089% 3/15/25 (c)
  
6,685,000
6,625,944
 1.673% 6/14/27 (c)
  
4,715,000
4,624,555
 4.796% 11/15/24 (c)
  
4,025,000
4,303,251
Societe Generale:
  
  
  
 1.488% 12/14/26 (b)(c)
  
9,875,000
9,650,668
 4.25% 4/14/25 (b)
  
21,901,000
23,328,140
 4.75% 11/24/25 (b)
  
830,000
903,460
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23
 
250,000
262,917
Synchrony Bank 3% 6/15/22
 
5,477,000
5,538,449
Truist Financial Corp. 2.7% 1/27/22
 
540,000
540,921
UniCredit SpA:
  
  
  
 2.731% 1/15/32 (Reg. S) (c)
EUR
1,880,000
2,150,312
 3.127% 6/3/32 (b)(c)
  
2,515,000
2,489,824
 6.572% 1/14/22 (b)
  
7,600,000
7,649,096
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c)
GBP
600,000
864,098
Wells Fargo & Co.:
  
  
  
 2.164% 2/11/26 (c)
  
5,410,000
5,520,284
 2.188% 4/30/26 (c)
  
4,250,000
4,339,676
 2.406% 10/30/25 (c)
  
5,834,000
5,990,024
 2.572% 2/11/31 (c)
  
585,000
593,518
 2.879% 10/30/30 (c)
  
12,690,000
13,162,368
 3% 2/19/25
 
4,715,000
4,919,523
 4.125% 8/15/23
 
280,000
294,705
 4.3% 7/22/27
 
21,880,000
24,327,748
 4.478% 4/4/31 (c)
  
24,095,000
27,843,541
 4.65% 11/4/44
 
1,385,000
1,692,491
 5.013% 4/4/51 (c)
  
2,285,000
3,160,724
Westpac Banking Corp. 4.11% 7/24/34 (c)
  
4,937,000
5,353,819
 
  
  
964,752,389
Capital Markets - 1.0%
  
  
  
Affiliated Managers Group, Inc. 4.25% 2/15/24
 
1,847,000
1,971,557
Ares Capital Corp.:
  
  
  
 3.875% 1/15/26
 
13,816,000
14,543,133
 4.2% 6/10/24
 
12,032,000
12,676,531
Bank of New York Mellon Corp. 3.4% 5/15/24
 
750,000
793,562
Coinbase Global, Inc.:
  
  
  
 3.375% 10/1/28 (b)
  
285,000
267,900
 3.625% 10/1/31 (b)
  
285,000
264,338
Credit Suisse Group AG:
  
  
  
 1.305% 2/2/27 (b)(c)
  
6,900,000
6,678,767
 2.125% 11/15/29 (Reg. S) (c)
GBP
700,000
922,084
 2.193% 6/5/26 (b)(c)
  
4,965,000
5,011,527
 2.593% 9/11/25 (b)(c)
  
13,060,000
13,354,070
 3.091% 5/14/32 (b)(c)
  
12,305,000
12,470,738
 3.75% 3/26/25
 
15,667,000
16,699,240
 4.194% 4/1/31 (b)(c)
  
13,355,000
14,689,536
 4.282% 1/9/28 (b)
  
1,250,000
1,363,077
 4.55% 4/17/26
 
7,159,000
7,906,389
CyrusOne LP/CyrusOne Finance Corp.:
  
  
  
 2.15% 11/1/30
 
1,000,000
980,900
 2.9% 11/15/24
 
4,000,000
4,148,720
Deutsche Bank AG 4.5% 4/1/25
 
13,996,000
14,933,917
Deutsche Bank AG New York Branch:
  
  
  
 3.3% 11/16/22
 
10,180,000
10,423,515
 5% 2/14/22
 
14,609,000
14,737,423
Goldman Sachs Group, Inc.:
  
  
  
 1.431% 3/9/27 (c)
  
15,505,000
15,201,191
 1.948% 10/21/27 (c)
  
3,030,000
3,022,973
 1.992% 1/27/32 (c)
  
4,895,000
4,686,471
 2.383% 7/21/32 (c)
  
10,590,000
10,390,815
 3.814% 4/23/29 (c)
  
7,695,000
8,380,477
 4.017% 10/31/38 (c)
  
6,495,000
7,415,462
 4.223% 5/1/29 (c)
  
3,475,000
3,853,115
 6.75% 10/1/37
 
50,999,000
72,024,852
Intercontinental Exchange, Inc. 3.75% 12/1/25
 
3,162,000
3,424,803
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b)
  
65,000
64,903
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. 2.625% 10/15/31
 
5,530,000
5,424,166
Jefferies Group, Inc. 2.75% 10/15/32
 
1,255,000
1,250,193
LPL Holdings, Inc. 4% 3/15/29 (b)
  
445,000
446,865
Macquarie Group Ltd.:
  
  
  
 1.34% 1/12/27 (b)(c)
  
5,861,000
5,732,961
 2.871% 1/14/33 (b)(c)
  
1,690,000
1,693,513
 3.189% 11/28/23 (b)(c)
  
1,885,000
1,929,380
Morgan Stanley:
  
  
  
 1.512% 7/20/27 (c)
  
10,390,000
10,191,213
 1.593% 5/4/27 (c)
  
5,800,000
5,734,547
 1.794% 2/13/32 (c)
  
6,365,000
6,029,152
 2.239% 7/21/32 (c)
  
875,000
857,464
 2.511% 10/20/32 (c)
  
3,820,000
3,832,411
 2.699% 1/22/31 (c)
  
21,825,000
22,409,322
 3.125% 7/27/26
 
37,616,000
39,855,507
 3.622% 4/1/31 (c)
  
13,084,000
14,284,915
 3.7% 10/23/24
 
21,259,000
22,660,818
 3.772% 1/24/29 (c)
  
4,085,000
4,458,224
 3.875% 1/27/26
 
625,000
678,167
 4% 7/23/25
 
1,000,000
1,084,814
 4.35% 9/8/26
 
2,070,000
2,291,163
 4.431% 1/23/30 (c)
  
2,525,000
2,879,019
 5% 11/24/25
 
40,891,000
45,713,372
MSCI, Inc. 3.25% 8/15/33 (b)
  
90,000
89,744
Nomura Holdings, Inc.:
  
  
  
 2.608% 7/14/31
 
955,000
941,287
 2.648% 1/16/25
 
875,000
904,815
State Street Corp.:
  
  
  
 2.2% 3/3/31
 
12,290,000
12,207,540
 2.825% 3/30/23 (c)
  
887,000
893,466
 2.901% 3/30/26 (c)
  
833,000
876,119
UBS AG London Branch 0.7% 8/9/24 (b)
  
4,415,000
4,368,072
 
  
  
503,020,215
Consumer Finance - 0.5%
  
  
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
  
  
  
 1.65% 10/29/24
 
10,272,000
10,253,474
 2.45% 10/29/26
 
3,749,000
3,758,432
 2.875% 8/14/24
 
7,954,000
8,209,939
 3% 10/29/28
 
11,826,000
11,908,816
 3.15% 2/15/24
 
2,065,000
2,132,014
 3.3% 1/30/32
 
4,200,000
4,232,046
 3.5% 5/26/22
 
393,000
397,561
 4.125% 7/3/23
 
5,132,000
5,351,604
 4.45% 4/3/26
 
4,282,000
4,645,333
 4.875% 1/16/24
 
11,491,000
12,278,456
 6.5% 7/15/25
 
4,320,000
4,941,765
Ally Financial, Inc.:
  
  
  
 1.45% 10/2/23
 
2,261,000
2,270,999
 3.05% 6/5/23
 
11,748,000
12,061,839
 3.875% 5/21/24
 
6,322,000
6,666,857
 5.125% 9/30/24
 
2,688,000
2,945,214
 5.75% 11/20/25
 
1,765,000
1,998,829
 5.8% 5/1/25
 
6,894,000
7,791,222
 8% 11/1/31
 
305,000
431,463
Capital One Financial Corp.:
  
  
  
 3.65% 5/11/27
 
15,820,000
17,107,167
 3.8% 1/31/28
 
7,795,000
8,533,098
Discover Financial Services:
  
  
  
 3.95% 11/6/24
 
8,102,000
8,654,824
 4.1% 2/9/27
 
645,000
702,678
 4.5% 1/30/26
 
6,463,000
7,089,765
Ford Motor Credit Co. LLC:
  
  
  
 2.9% 2/16/28
 
275,000
270,361
 3.339% 3/28/22
 
6,970,000
6,994,047
 4% 11/13/30
 
345,000
361,819
 4.063% 11/1/24
 
22,139,000
23,090,977
 4.125% 8/17/27
 
185,000
195,160
 4.271% 1/9/27
 
85,000
89,853
 4.687% 6/9/25
 
180,000
190,844
 5.113% 5/3/29
 
400,000
442,840
 5.125% 6/16/25
 
135,000
145,919
 5.584% 3/18/24
 
8,575,000
9,147,810
 5.596% 1/7/22
 
14,820,000
14,873,352
GE Capital International Funding Co. 4.418% 11/15/35
 
5,751,000
6,950,841
John Deere Capital Corp. 2.65% 6/24/24
 
615,000
642,031
OneMain Finance Corp.:
  
  
  
 4% 9/15/30
 
500,000
482,500
 5.375% 11/15/29
 
1,679,000
1,766,887
 6.875% 3/15/25
 
1,165,000
1,281,500
Synchrony Financial:
  
  
  
 2.85% 7/25/22
 
2,029,000
2,056,117
 3.95% 12/1/27
 
8,719,000
9,413,204
 4.25% 8/15/24
 
6,050,000
6,440,801
 4.375% 3/19/24
 
7,165,000
7,596,442
 5.15% 3/19/29
 
13,451,000
15,636,380
 
  
  
252,433,080
Diversified Financial Services - 0.2%
  
  
  
1MDB Global Investments Ltd. 4.4% 3/9/23
 
2,500,000
2,502,250
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31
 
940,000
946,167
Athene Global Funding 1.608% 6/29/26 (b)
  
3,350,000
3,299,146
Brixmor Operating Partnership LP:
  
  
  
 2.5% 8/16/31
 
1,070,000
1,041,819
 4.05% 7/1/30
 
12,288,000
13,500,667
 4.125% 6/15/26
 
5,706,000
6,219,866
 4.125% 5/15/29
 
6,724,000
7,485,045
Equitable Holdings, Inc. 3.9% 4/20/23
 
827,000
860,028
Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 2.3611% 5/31/25 (b)(c)(f)(g)
  
7,700,000
7,700,000
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
  
  
  
 5.25% 5/15/27
 
140,000
142,450
 6.25% 5/15/26
 
914,000
939,135
 6.375% 12/15/25
 
205,000
207,462
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)
EUR
1,145,000
1,313,595
M&G PLC 5.625% 10/20/51 (Reg. S) (c)
GBP
830,000
1,279,041
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b)
  
8,593,000
9,257,483
Pine Street Trust I 4.572% 2/15/29 (b)
  
7,798,000
8,895,238
Pine Street Trust II 5.568% 2/15/49 (b)
  
7,800,000
10,511,951
Power Finance Corp. Ltd. 6.15% 12/6/28 (b)
  
3,050,000
3,602,431
Sasol Financing International PLC 4.5% 11/14/22
 
1,790,000
1,808,204
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b)
  
495,000
473,581
 
  
  
81,985,559
Insurance - 0.2%
  
  
  
ACE INA Holdings, Inc.:
  
  
  
 2.7% 3/13/23
 
145,000
148,775
 3.15% 3/15/25
 
1,765,000
1,875,871
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c)
EUR
395,000
442,509
American International Group, Inc. 4.5% 7/16/44
 
3,135,000
3,837,445
Aon Corp. 2.8% 5/15/30
 
3,670,000
3,762,752
Arch Capital Finance LLC 4.011% 12/15/26
 
2,320,000
2,561,892
Arthur J. Gallagher & Co. 3.05% 3/9/52
 
3,030,000
2,978,752
Baylor Scott & White Holdings:
  
  
  
 Series 2021, 2.839% 11/15/50
 
120,000
124,040
 1.777% 11/15/30
 
870,000
847,143
CNA Financial Corp.:
  
  
  
 3.9% 5/1/29
 
1,400,000
1,557,487
 3.95% 5/15/24
 
1,400,000
1,486,605
Credit Agricole Assurances SA 4.75% 9/27/48 (c)
EUR
1,200,000
1,613,768
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c)
  
3,225,000
3,620,450
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50
 
1,255,000
1,334,548
Fairfax Financial Holdings Ltd. 3.375% 3/3/31
 
4,595,000
4,732,647
Farmers Exchange Capital II 6.151% 11/1/53 (b)(c)
  
1,500,000
1,906,873
Farmers Exchange Capital III 5.454% 10/15/54 (b)(c)
  
3,335,000
4,046,071
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c)
EUR
500,000
576,333
Five Corners Funding Trust II 2.85% 5/15/30 (b)
  
11,420,000
11,827,269
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b)
  
9,380,000
10,892,842
Lincoln National Corp.:
  
  
  
 3.05% 1/15/30
 
130,000
137,743
 4.35% 3/1/48
 
165,000
201,628
 6.3% 10/9/37
 
110,000
155,531
Markel Corp.:
  
  
  
 3.45% 5/7/52
 
690,000
733,319
 4.15% 9/17/50
 
445,000
525,647
 4.3% 11/1/47
 
650,000
777,868
Marsh & McLennan Companies, Inc. 3.5% 6/3/24
 
1,140,000
1,203,493
Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 2.406% 12/15/24 (b)(c)(f)
  
5,490,000
5,496,689
New York Life Insurance Co. 3.75% 5/15/50 (b)
  
2,630,000
3,028,323
Pricoa Global Funding I 5.375% 5/15/45 (c)
  
5,278,000
5,649,466
Protective Life Global Funding 1.9% 7/6/28 (b)
  
2,595,000
2,570,847
Prudential PLC 2.95% 11/3/33 (Reg. S) (c)
  
2,100,000
2,064,405
QBE Insurance Group Ltd.:
  
  
  
 2.5% 9/13/38 (Reg. S) (c)
GBP
950,000
1,217,895
 6.75% 12/2/44 (Reg. S) (c)
  
2,025,000
2,241,136
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c)
  
3,200,000
3,568,000
Teachers Insurance & Annuity Association of America:
  
  
  
 3.3% 5/15/50 (b)
  
3,310,000
3,485,639
 4.375% 9/15/54 (b)(c)
  
2,100,000
2,193,852
The Chubb Corp. 6% 5/11/37
 
130,000
187,244
Unum Group:
  
  
  
 4% 6/15/29
 
5,961,000
6,600,573
 5.75% 8/15/42
 
2,238,000
2,824,180
Willis Group North America, Inc. 2.95% 9/15/29
 
4,385,000
4,546,595
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c)
  
900,000
880,875
 
  
  
110,465,020
Thrifts & Mortgage Finance - 0.0%
  
  
  
Home Point Capital, Inc. 5% 2/1/26 (b)
  
275,000
254,532
Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b)
  
500,000
516,265
Nationwide Building Society:
  
  
  
 3.622% 4/26/23 (b)(c)
  
3,265,000
3,301,378
 3.766% 3/8/24 (b)(c)
  
1,970,000
2,037,726
 4.363% 8/1/24 (b)(c)
  
1,250,000
1,315,393
PennyMac Financial Services, Inc. 4.25% 2/15/29 (b)
  
1,200,000
1,104,000
 
  
  
8,529,294
TOTAL FINANCIALS
  
  
1,921,185,557
HEALTH CARE - 0.9%
 
  
  
Biotechnology - 0.1%
  
  
  
AbbVie, Inc.:
  
  
  
 4.05% 11/21/39
 
18,245,000
20,878,868
 4.4% 11/6/42
 
3,405,000
4,080,119
 4.55% 3/15/35
 
400,000
477,539
 4.7% 5/14/45
 
4,650,000
5,778,447
 4.875% 11/14/48
 
335,000
433,882
Amgen, Inc.:
  
  
  
 2.6% 8/19/26
 
3,925,000
4,074,041
 2.8% 8/15/41
 
1,870,000
1,810,290
 3% 1/15/52
 
3,650,000
3,564,089
 4.4% 5/1/45
 
1,450,000
1,743,287
 4.663% 6/15/51
 
175,000
224,299
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)
  
84,000
79,775
Gilead Sciences, Inc. 4.5% 2/1/45
 
565,000
693,666
Grifols Escrow Issuer SA 4.75% 10/15/28 (b)
  
1,200,000
1,188,000
Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50
 
505,000
475,581
 
  
  
45,501,883
Health Care Equipment & Supplies - 0.0%
  
  
  
Avantor Funding, Inc. 3.875% 7/15/28 (Reg. S)
EUR
2,500,000
2,938,141
Becton, Dickinson & Co.:
  
  
  
 1.957% 2/11/31
 
3,000,000
2,886,300
 3.7% 6/6/27
 
118,000
127,678
 3.734% 12/15/24
 
1,734,000
1,849,951
Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b)
  
4,787,000
4,933,760
Hologic, Inc. 3.25% 2/15/29 (b)
  
225,000
220,781
Mozart Debt Merger Sub, Inc.:
  
  
  
 3.875% 4/1/29 (b)
  
965,000
952,938
 5.25% 10/1/29 (b)
  
425,000
424,469
Stryker Corp.:
  
  
  
 3.375% 5/15/24
 
535,000
560,762
 3.375% 11/1/25
 
430,000
459,466
 3.5% 3/15/26
 
675,000
724,676
Teleflex, Inc. 4.25% 6/1/28 (b)
  
60,000
60,600
 
  
  
16,139,522
Health Care Providers & Services - 0.5%
  
  
  
180 Medical, Inc. 3.875% 10/15/29 (b)
  
200,000
196,392
AHS Hospital Corp. 2.78% 7/1/51
 
315,000
323,132
AmerisourceBergen Corp. 2.7% 3/15/31
 
5,980,000
6,044,288
Anthem, Inc.:
  
  
  
 3.125% 5/15/50
 
3,750,000
3,886,589
 3.3% 1/15/23
 
3,395,000
3,491,124
 3.65% 12/1/27
 
2,965,000
3,228,952
 4.625% 5/15/42
 
1,250,000
1,557,782
Ascension Health:
  
  
  
 2.532% 11/15/29
 
295,000
307,916
 3.106% 11/15/39
 
610,000
663,918
BayCare Health System, Inc. 3.831% 11/15/50
 
2,320,000
2,863,498
Centene Corp.:
  
  
  
 2.45% 7/15/28
 
7,280,000
7,143,500
 2.625% 8/1/31
 
2,980,000
2,883,150
 3% 10/15/30
 
1,638,000
1,635,375
 3.375% 2/15/30
 
5,670,000
5,710,495
 4.25% 12/15/27
 
5,825,000
6,043,438
 4.625% 12/15/29
 
7,750,000
8,292,500
Children's Health System of Texas 2.511% 8/15/50
 
360,000
347,255
Childrens Hospital Corp. 4.115% 1/1/47
 
265,000
337,933
Cigna Corp.:
  
  
  
 2.375% 3/15/31
 
655,000
656,552
 2.4% 3/15/30
 
3,220,000
3,225,910
 3.25% 4/15/25
 
355,000
373,481
 3.4% 3/15/50
 
1,755,000
1,844,470
 3.4% 3/15/51
 
4,490,000
4,758,397
 4.375% 10/15/28
 
14,599,000
16,540,891
 4.5% 2/25/26
 
4,775,000
5,282,508
 4.8% 7/15/46
 
2,375,000
3,003,628
CommonSpirit Health:
  
  
  
 2.76% 10/1/24
 
575,000
595,253
 2.782% 10/1/30
 
695,000
714,103
 3.347% 10/1/29
 
1,500,000
1,600,097
 4.35% 11/1/42
 
2,500,000
2,913,787
Community Health Systems, Inc. 4.75% 2/15/31 (b)
  
560,000
551,601
CVS Health Corp.:
  
  
  
 2.7% 8/21/40
 
9,385,000
8,983,470
 3.625% 4/1/27
 
2,341,000
2,530,911
 4.3% 3/25/28
 
653,000
735,259
 4.78% 3/25/38
 
1,320,000
1,608,364
 5.05% 3/25/48
 
7,330,000
9,685,385
 5.125% 7/20/45
 
1,670,000
2,185,735
 5.3% 12/5/43
 
905,000
1,197,364
DaVita HealthCare Partners, Inc.:
  
  
  
 3.75% 2/15/31 (b)
  
1,900,000
1,761,728
 4.625% 6/1/30 (b)
  
125,000
123,438
Fresenius Medical Care U.S. Finance II, Inc. 5.875% 1/31/22 (b)
  
1,800,000
1,814,406
Fresenius Medical Care U.S. Finance III, Inc. 1.875% 12/1/26 (b)
  
660,000
652,969
HCA Holdings, Inc.:
  
  
  
 2.375% 7/15/31
 
1,040,000
1,014,989
 3.5% 9/1/30
 
525,000
546,512
 3.5% 7/15/51
 
5,360,000
5,476,673
 4.125% 6/15/29
 
5,911,000
6,496,818
 4.5% 2/15/27
 
1,050,000
1,155,092
 4.75% 5/1/23
 
205,000
215,325
 5% 3/15/24
 
875,000
944,157
 5.25% 6/15/49
 
5,250,000
6,804,129
 5.375% 2/1/25
 
305,000
332,641
 5.875% 2/15/26
 
1,135,000
1,271,824
 7.75% 7/15/36
 
2,700,000
3,729,375
HealthEquity, Inc. 4.5% 10/1/29 (b)
  
45,000
44,438
Humana, Inc.:
  
  
  
 2.15% 2/3/32
 
670,000
646,153
 3.125% 8/15/29
 
2,600,000
2,738,672
Kaiser Foundation Hospitals:
  
  
  
 2.81% 6/1/41
 
6,570,000
6,706,256
 4.15% 5/1/47
 
200,000
250,982
Laboratory Corp. of America Holdings 3.25% 9/1/24
 
1,020,000
1,071,308
Memorial Sloan-Kettring Cancer Center:
  
  
  
 2.955% 1/1/50
 
290,000
299,238
 4.2% 7/1/55
 
140,000
182,671
 5% 7/1/42
 
225,000
304,933
Methodist Hospital 2.705% 12/1/50
 
820,000
818,653
Molina Healthcare, Inc.:
  
  
  
 3.875% 11/15/30 (b)
  
4,745,000
4,768,725
 3.875% 5/15/32 (b)
  
155,000
151,532
Mount Sinai Hospital 3.737% 7/1/49
 
460,000
517,025
New York & Presbyterian Hospital:
  
  
  
 4.024% 8/1/45
 
600,000
766,887
 4.063% 8/1/56
 
390,000
507,509
Nidda Healthcare Holding AG 3.5% 9/30/24 (Reg. S)
EUR
3,000,000
3,371,666
NYU Hospitals Center 4.368% 7/1/47
 
810,000
970,929
OhioHealth Corp. 2.297% 11/15/31
 
8,505,000
8,643,958
Owens & Minor, Inc. 4.5% 3/31/29 (b)
  
65,000
65,883
PeaceHealth Obligated Group 1.375% 11/15/25
 
165,000
164,361
Piedmont Healthcare, Inc.:
  
  
  
 2.719% 1/1/42
 
1,780,000
1,755,382
 2.864% 1/1/52
 
1,055,000
1,054,637
Prime Healthcare Services 7.25% 11/1/25 (b)
  
1,325,000
1,394,828
Providence St. Joseph Health Obligated Group:
  
  
  
 2.532% 10/1/29
 
2,405,000
2,495,989
 2.746% 10/1/26
 
180,000
188,479
Quest Diagnostics, Inc.:
  
  
  
 4.7% 3/30/45
 
100,000
126,904
 5.75% 1/30/40
 
68,000
86,856
Sabra Health Care LP 3.2% 12/1/31
 
8,499,000
8,339,131
Sentara Healthcare 2.927% 11/1/51
 
565,000
595,122
Stanford Health Care 3.027% 8/15/51
 
680,000
732,696
Sutter Health 4.091% 8/15/48
 
1,140,000
1,402,855
Tenet Healthcare Corp.:
  
  
  
 4.625% 7/15/24
 
99,000
99,862
 4.875% 1/1/26 (b)
  
1,160,000
1,186,100
 5.125% 11/1/27 (b)
  
5,000,000
5,134,150
Toledo Hospital 5.325% 11/15/28
 
2,792,000
3,115,469
UnitedHealth Group, Inc.:
  
  
  
 3.05% 5/15/41
 
1,105,000
1,151,755
 3.25% 5/15/51
 
2,592,000
2,818,560
 3.875% 8/15/59
 
30,000
36,246
 4.25% 4/15/47
 
770,000
959,051
 4.25% 6/15/48
 
575,000
717,422
 6.875% 2/15/38
 
700,000
1,079,714
 
  
  
223,747,466
Health Care Technology - 0.0%
  
  
  
IQVIA, Inc.:
  
  
  
 1.75% 3/15/26 (b)
EUR
625,000
711,458
 5% 10/15/26 (b)
  
230,000
235,175
 
  
  
946,633
Life Sciences Tools & Services - 0.0%
  
  
  
Agilent Technologies, Inc. 2.3% 3/12/31
 
1,245,000
1,233,079
Charles River Laboratories International, Inc.:
  
  
  
 3.75% 3/15/29 (b)
  
75,000
74,156
 4.25% 5/1/28 (b)
  
330,000
334,526
Thermo Fisher Scientific, Inc.:
  
  
  
 2.8% 10/15/41
 
520,000
524,815
 4.133% 3/25/25
 
540,000
584,565
 
  
  
2,751,141
Pharmaceuticals - 0.3%
  
  
  
AstraZeneca Finance LLC 2.25% 5/28/31
 
635,000
641,557
Bausch Health Companies, Inc.:
  
  
  
 5% 2/15/29 (b)
  
400,000
343,000
 5.25% 2/15/31 (b)
  
5,621,000
4,823,998
 6.25% 2/15/29 (b)
  
500,000
453,213
Bayer AG 2.375% 4/2/75 (Reg. S) (c)
EUR
2,285,000
2,608,677
Bayer U.S. Finance II LLC:
  
  
  
 2.2% 7/15/22 (b)
  
2,100,000
2,109,320
 4.25% 12/15/25 (b)
  
54,704,000
59,548,628
 4.4% 7/15/44 (b)
  
2,131,000
2,431,812
 4.625% 6/25/38 (b)
  
570,000
679,355
 4.875% 6/25/48 (b)
  
4,430,000
5,594,315
Bristol-Myers Squibb Co.:
  
  
  
 4.25% 10/26/49
 
3,280,000
4,090,039
 5% 8/15/45
 
672,000
903,339
Catalent Pharma Solutions:
  
  
  
 3.125% 2/15/29 (b)
  
275,000
262,199
 3.5% 4/1/30 (b)
  
220,000
213,708
Elanco Animal Health, Inc.:
  
  
  
 5.272% 8/28/23 (c)
  
4,020,000
4,246,849
 5.9% 8/28/28 (c)
  
1,693,000
1,936,572
GlaxoSmithKline Capital PLC 2.85% 5/8/22
 
710,000
717,605
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23
 
875,000
898,189
Jazz Securities DAC 4.375% 1/15/29 (b)
  
95,000
96,788
Johnson & Johnson 3.625% 3/3/37
 
1,260,000
1,453,592
Merck & Co., Inc. 3.4% 3/7/29
 
1,400,000
1,531,600
Mylan NV:
  
  
  
 4.2% 11/29/23
 
1,100,000
1,158,990
 5.2% 4/15/48
 
1,780,000
2,202,609
 5.4% 11/29/43
 
1,380,000
1,719,733
Organon & Co. / Organon Foreign Debt Co-Issuer BV:
  
  
  
 4.125% 4/30/28 (b)
  
65,000
64,851
 5.125% 4/30/31 (b)
  
1,190,000
1,215,288
Pfizer, Inc. 2.55% 5/28/40
 
1,410,000
1,404,333
Takeda Pharmaceutical Co. Ltd.:
  
  
  
 2.05% 3/31/30
 
3,775,000
3,669,499
 3.025% 7/9/40
 
910,000
924,955
Utah Acquisition Sub, Inc.:
  
  
  
 3.95% 6/15/26
 
2,804,000
3,014,957
 5.25% 6/15/46
 
190,000
232,672
Viatris, Inc.:
  
  
  
 1.65% 6/22/25
 
1,160,000
1,157,684
 2.7% 6/22/30
 
5,898,000
5,889,161
 3.85% 6/22/40
 
12,189,000
12,982,372
 4% 6/22/50
 
6,572,000
7,081,516
Wyeth LLC 6.45% 2/1/24
 
1,875,000
2,098,610
Zoetis, Inc. 3.25% 2/1/23
 
5,975,000
6,103,174
 
  
  
146,504,759
TOTAL HEALTH CARE
  
  
435,591,404
INDUSTRIALS - 0.5%
 
  
  
Aerospace & Defense - 0.2%
  
  
  
BAE Systems Holdings, Inc. 3.85% 12/15/25 (b)
  
5,718,000
6,167,737
BAE Systems PLC 3.4% 4/15/30 (b)
  
2,985,000
3,194,557
Bombardier, Inc.:
  
  
  
 6% 2/15/28 (b)
  
3,750,000
3,721,875
 7.125% 6/15/26 (b)
  
2,780,000
2,867,987
 7.875% 4/15/27 (b)
  
485,000
499,075
BWX Technologies, Inc.:
  
  
  
 4.125% 6/30/28 (b)
  
200,000
200,000
 4.125% 4/15/29 (b)
  
325,000
324,891
General Dynamics Corp.:
  
  
  
 2.25% 11/15/22
 
650,000
657,502
 3.25% 4/1/25
 
1,905,000
2,019,789
Howmet Aerospace, Inc.:
  
  
  
 5.95% 2/1/37
 
575,000
674,188
 6.75% 1/15/28
 
345,000
402,788
Lockheed Martin Corp. 2.9% 3/1/25
 
1,345,000
1,412,403
Moog, Inc. 4.25% 12/15/27 (b)
  
360,000
365,643
Northrop Grumman Corp. 4.75% 6/1/43
 
545,000
693,343
Raytheon Technologies Corp. 4.125% 11/16/28
 
490,000
550,664
Rolls-Royce PLC 3.375% 6/18/26
GBP
1,085,000
1,443,717
Textron, Inc. 2.45% 3/15/31
 
2,145,000
2,123,438
The Boeing Co.:
  
  
  
 1.167% 2/4/23
 
4,000,000
4,001,496
 1.433% 2/4/24
 
1,000,000
1,000,078
 2.196% 2/4/26
 
2,575,000
2,569,697
 2.25% 6/15/26
 
810,000
811,958
 3.6% 5/1/34
 
2,200,000
2,275,158
 3.625% 2/1/31
 
12,650,000
13,438,374
 4.508% 5/1/23
 
1,500,000
1,566,021
 4.875% 5/1/25
 
2,035,000
2,230,351
 5.04% 5/1/27
 
4,430,000
4,987,924
 5.15% 5/1/30
 
4,430,000
5,138,767
 5.805% 5/1/50
 
5,935,000
8,005,187
 5.93% 5/1/60
 
4,430,000
6,123,345
TransDigm, Inc.:
  
  
  
 4.875% 5/1/29
 
220,000
214,001
 6.25% 3/15/26 (b)
  
915,000
949,313
 7.5% 3/15/27
 
40,000
41,700
 8% 12/15/25 (b)
  
465,000
489,994
 
  
  
81,162,961
Air Freight & Logistics - 0.0%
  
  
  
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b)
  
160,000
162,600
Airlines - 0.0%
  
  
  
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29
 
424,980
431,298
Mexico City Airport Trust:
  
  
  
 4.25% 10/31/26 (b)
  
4,270,000
4,473,626
 5.5% 7/31/47 (b)
  
2,250,000
2,160,000
Southwest Airlines Co.:
  
  
  
 2.625% 2/10/30
 
735,000
737,015
 4.75% 5/4/23
 
2,025,000
2,125,626
 5.125% 6/15/27
 
5,340,000
6,081,967
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27
 
133,857
140,492
United Airlines, Inc.:
  
  
  
 4.15% 10/11/25
 
497,303
519,500
 4.375% 4/15/26 (b)
  
1,740,000
1,746,925
 4.625% 4/15/29 (b)
  
370,000
368,032
 
  
  
18,784,481
Building Products - 0.0%
  
  
  
Advanced Drain Systems, Inc. 5% 9/30/27 (b)
  
400,000
413,568
Carlisle Companies, Inc. 2.2% 3/1/32
 
1,890,000
1,829,222
Owens Corning:
  
  
  
 3.95% 8/15/29
 
150,000
164,236
 4.3% 7/15/47
 
5,310,000
6,248,418
Standard Industries, Inc./New Jersey 4.75% 1/15/28 (b)
  
3,618,000
3,645,135
 
  
  
12,300,579
Commercial Services & Supplies - 0.0%
  
  
  
ADT Corp.:
  
  
  
 4.125% 8/1/29 (b)
  
115,000
111,909
 4.875% 7/15/32 (b)
  
615,000
608,733
Advocate Health & Hospitals Corp. 3.387% 10/15/49
 
510,000
585,134
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (b)
  
1,175,000
1,116,250
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.:
  
  
  
 4.625% 6/1/28 (b)
  
830,000
803,025
 4.625% 6/1/28 (b)
  
520,000
503,100
Cintas Corp. No. 2 3.7% 4/1/27
 
1,035,000
1,130,076
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b)
  
60,000
60,582
Madison IAQ LLC 4.125% 6/30/28 (b)
  
85,000
82,238
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b)
  
115,000
116,438
Nielsen Finance LLC/Nielsen Finance Co.:
  
  
  
 5.625% 10/1/28 (b)
  
205,000
209,260
 5.875% 10/1/30 (b)
  
205,000
213,278
Pitney Bowes, Inc.:
  
  
  
 6.875% 3/15/27 (b)
  
55,000
56,527
 7.25% 3/15/29 (b)
  
110,000
112,866
PowerTeam Services LLC 9.033% 12/4/25 (b)
  
108,000
108,540
Stericycle, Inc. 3.875% 1/15/29 (b)
  
530,000
516,750
Waste Management, Inc. 2.9% 9/15/22
 
375,000
379,603
 
  
  
6,714,309
Construction & Engineering - 0.0%
  
  
  
AECOM 5.125% 3/15/27
 
1,730,000
1,854,231
Arcosa, Inc. 4.375% 4/15/29 (b)
  
65,000
65,591
Dycom Industries, Inc. 4.5% 4/15/29 (b)
  
165,000
166,124
 
  
  
2,085,946
Electrical Equipment - 0.0%
  
  
  
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22
 
115,000
116,171
Sensata Technologies BV:
  
  
  
 4% 4/15/29 (b)
  
170,000
172,380
 4.875% 10/15/23 (b)
  
300,000
316,055
Vertiv Group Corp. 4.125% 11/15/28 (b)
  
280,000
279,300
Wesco Distribution, Inc.:
  
  
  
 7.125% 6/15/25 (b)
  
1,500,000
1,584,480
 7.25% 6/15/28 (b)
  
1,250,000
1,359,375
 
  
  
3,827,761
Machinery - 0.1%
  
  
  
Flowserve Corp. 2.8% 1/15/32
 
405,000
398,641
Fortive Corp. 3.15% 6/15/26
 
275,000
293,204
Pentair Finance SA 4.5% 7/1/29
 
7,920,000
9,050,984
Westinghouse Air Brake Tech Co.:
  
  
  
 3.45% 11/15/26
 
1,140,000
1,208,341
 4.95% 9/15/28
 
8,835,000
10,050,890
 
  
  
21,002,060
Marine - 0.0%
  
  
  
Seaspan Corp. 5.5% 8/1/29 (b)
  
115,000
114,103
Professional Services - 0.0%
  
  
  
ASGN, Inc. 4.625% 5/15/28 (b)
  
110,000
112,827
Booz Allen Hamilton, Inc.:
  
  
  
 3.875% 9/1/28 (b)
  
320,000
321,603
 4% 7/1/29 (b)
  
45,000
45,225
Equifax, Inc.:
  
  
  
 2.35% 9/15/31
 
475,000
467,467
 2.6% 12/1/24
 
1,845,000
1,912,567
IHS Markit Ltd.:
  
  
  
 4% 3/1/26 (b)
  
1,195,000
1,298,069
 4.125% 8/1/23
 
365,000
381,425
 5% 11/1/22 (b)
  
11,013,000
11,326,871
TriNet Group, Inc. 3.5% 3/1/29 (b)
  
165,000
163,020
Verisk Analytics, Inc. 4.125% 9/12/22
 
690,000
707,263
 
  
  
16,736,337
Road & Rail - 0.0%
  
  
  
Alpha Trains Finance SA 2.064% 6/30/30
EUR
950,000
1,123,096
CSX Corp. 6.15% 5/1/37
 
1,375,000
1,946,821
Union Pacific Corp.:
  
  
  
 2.973% 9/16/62
 
200,000
200,662
 3.25% 2/5/50
 
1,885,000
2,034,732
 3.6% 9/15/37
 
1,040,000
1,169,536
 3.799% 4/6/71
 
315,000
371,283
XPO Logistics, Inc. 6.25% 5/1/25 (b)
  
1,810,000
1,881,929
 
  
  
8,728,059
Trading Companies & Distributors - 0.1%
  
  
  
Air Lease Corp.:
  
  
  
 2.25% 1/15/23
 
1,711,000
1,737,550
 3% 9/15/23
 
800,000
822,621
 3.375% 7/1/25
 
7,608,000
7,975,135
 3.75% 2/1/22
 
4,752,000
4,752,000
 4.25% 2/1/24
 
7,846,000
8,305,529
 4.25% 9/15/24
 
9,907,000
10,598,031
Travis Perkins PLC 3.75% 2/17/26 (Reg. S)
GBP
600,000
823,904
United Rentals North America, Inc.:
  
  
  
 3.75% 1/15/32
 
825,000
812,625
 3.875% 2/15/31
 
400,000
401,303
 4.875% 1/15/28
 
2,000,000
2,095,000
 
  
  
38,323,698
Transportation Infrastructure - 0.1%
  
  
  
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S)
EUR
745,000
864,221
Avolon Holdings Funding Ltd.:
  
  
  
 2.528% 11/18/27 (b)
  
4,546,000
4,433,258
 3.625% 5/1/22 (b)
  
2,155,000
2,176,042
 3.95% 7/1/24 (b)
  
2,862,000
2,999,656
 4.375% 5/1/26 (b)
  
3,477,000
3,725,807
 5.25% 5/15/24 (b)
  
4,140,000
4,455,131
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S)
GBP
1,985,000
2,638,736
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)
EUR
300,000
335,848
 
  
  
21,628,699
TOTAL INDUSTRIALS
  
  
231,571,593
INFORMATION TECHNOLOGY - 0.4%
 
  
  
Communications Equipment - 0.0%
  
  
  
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)
EUR
1,600,000
1,761,067
Cisco Systems, Inc. 3% 6/15/22
 
310,000
314,754
Viavi Solutions, Inc. 3.75% 10/1/29 (b)
  
230,000
224,825
 
  
  
2,300,646
Electronic Equipment & Components - 0.1%
  
  
  
Dell International LLC/EMC Corp.:
  
  
  
 5.45% 6/15/23
 
3,660,000
3,882,025
 6.02% 6/15/26
 
2,112,000
2,458,349
Sensata Technologies, Inc. 3.75% 2/15/31 (b)
  
590,000
579,675
TD SYNNEX Corp. 1.75% 8/9/26 (b)
  
6,930,000
6,770,261
Teledyne Technologies, Inc.:
  
  
  
 2.25% 4/1/28
 
1,675,000
1,687,018
 2.75% 4/1/31
 
4,505,000
4,598,801
TTM Technologies, Inc. 4% 3/1/29 (b)
  
130,000
126,123
 
  
  
20,102,252
IT Services - 0.1%
  
  
  
Austin BidCo, Inc. 7.125% 12/15/28 (b)
  
60,000
61,592
Automatic Data Processing, Inc. 1.7% 5/15/28
 
695,000
693,894
Fidelity National Information Services, Inc. 3.1% 3/1/41
 
3,540,000
3,534,403
Fiserv, Inc.:
  
  
  
 2.75% 7/1/24
 
105,000
108,663
 3.5% 7/1/29
 
7,395,000
7,880,160
 3.85% 6/1/25
 
1,490,000
1,595,858
Gartner, Inc.:
  
  
  
 3.625% 6/15/29 (b)
  
65,000
64,594
 3.75% 10/1/30 (b)
  
105,000
104,738
 4.5% 7/1/28 (b)
  
165,000
171,485
Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26
 
960,000
961,280
Global Payments, Inc. 1.5% 11/15/24
 
3,500,000
3,494,171
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b)
  
330,000
313,856
IBM Corp. 2.85% 5/15/40
 
480,000
474,542
MasterCard, Inc. 3.375% 4/1/24
 
870,000
919,120
Nexi SpA 2.125% 4/30/29 (Reg. S)
EUR
3,350,000
3,678,229
Square, Inc. 2.75% 6/1/26 (b)
  
110,000
109,465
Tempo Acquisition LLC 5.75% 6/1/25 (b)
  
5,000,000
5,193,750
Twilio, Inc.:
  
  
  
 3.625% 3/15/29
 
80,000
80,475
 3.875% 3/15/31
 
85,000
84,363
Visa, Inc. 2.7% 4/15/40
 
145,000
148,141
 
  
  
29,672,779
Semiconductors & Semiconductor Equipment - 0.1%
  
  
  
Broadcom, Inc.:
  
  
  
 1.95% 2/15/28 (b)
  
1,620,000
1,580,592
 2.45% 2/15/31 (b)
  
12,129,000
11,673,122
 2.6% 2/15/33 (b)
  
12,129,000
11,603,495
 3.137% 11/15/35 (b)
  
1,213,000
1,192,345
 3.419% 4/15/33 (b)
  
3,022,000
3,114,107
 3.5% 2/15/41 (b)
  
19,161,000
19,111,541
 3.75% 2/15/51 (b)
  
5,224,000
5,433,979
 4.11% 9/15/28
 
2,135,000
2,335,066
Entegris, Inc.:
  
  
  
 3.625% 5/1/29 (b)
  
275,000
272,938
 4.375% 4/15/28 (b)
  
325,000
331,094
Intel Corp. 3.05% 8/12/51
 
2,688,000
2,784,025
NXP BV/NXP Funding LLC 3.875% 9/1/22 (b)
  
1,969,000
2,011,311
ON Semiconductor Corp. 3.875% 9/1/28 (b)
  
125,000
127,174
Qorvo, Inc. 4.375% 10/15/29
 
200,000
211,240
Teledyne FLIR LLC 2.5% 8/1/30
 
245,000
246,008
 
  
  
62,028,037
Software - 0.1%
  
  
  
CDK Global, Inc. 4.875% 6/1/27
 
500,000
515,000
Crowdstrike Holdings, Inc. 3% 2/15/29
 
125,000
120,543
Fair Isaac Corp. 4% 6/15/28 (b)
  
500,000
498,750
Intuit, Inc. 1.35% 7/15/27
 
200,000
195,083
Microsoft Corp. 2.921% 3/17/52
 
2,892,000
3,079,274
NortonLifeLock, Inc. 5% 4/15/25 (b)
  
370,000
373,700
Nuance Communications, Inc. 5.625% 12/15/26
 
600,000
618,117
Open Text Corp.:
  
  
  
 3.875% 2/15/28 (b)
  
490,000
485,100
 3.875% 12/1/29 (b)
  
55,000
54,674
Oracle Corp.:
  
  
  
 2.5% 4/1/25
 
6,499,000
6,689,473
 2.8% 4/1/27
 
9,449,000
9,789,822
 2.95% 5/15/25
 
1,185,000
1,239,089
 3.6% 4/1/50
 
1,300,000
1,315,564
 3.85% 4/1/60
 
6,500,000
6,747,689
 3.95% 3/25/51
 
5,494,000
5,920,016
 4.125% 5/15/45
 
850,000
929,791
ServiceNow, Inc. 1.4% 9/1/30
 
1,005,000
937,743
SS&C Technologies, Inc. 5.5% 9/30/27 (b)
  
775,000
805,516
 
  
  
40,314,944
Technology Hardware, Storage & Peripherals - 0.0%
  
  
  
Apple, Inc.:
  
  
  
 2.7% 8/5/51
 
2,700,000
2,700,090
 3.25% 2/23/26
 
7,150,000
7,647,425
 3.85% 8/4/46
 
1,455,000
1,735,991
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c)
  
5,700,000
5,850,057
 
  
  
17,933,563
TOTAL INFORMATION TECHNOLOGY
  
  
172,352,221
MATERIALS - 0.2%
 
  
  
Chemicals - 0.1%
  
  
  
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b)
  
240,000
248,028
CF Industries Holdings, Inc.:
  
  
  
 4.95% 6/1/43
 
285,000
342,869
 5.15% 3/15/34
 
300,000
359,562
 5.375% 3/15/44
 
525,000
664,141
CNAC HK Finbridge Co. Ltd. 1.75% 6/14/22 (Reg. S)
EUR
900,000
1,026,942
Consolidated Energy Finance SA 6.5% 5/15/26 (b)
  
375,000
385,313
DuPont de Nemours, Inc. 4.493% 11/15/25
 
2,625,000
2,903,521
FMC Corp. 4.5% 10/1/49
 
1,325,000
1,632,815
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b)
  
275,000
273,625
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b)
  
3,285,000
3,227,699
LSB Industries, Inc. 6.25% 10/15/28 (b)
  
70,000
72,279
LYB International Finance BV:
  
  
  
 4.875% 3/15/44
 
845,000
1,051,350
 5.25% 7/15/43
 
5,455,000
7,050,731
LYB International Finance III LLC:
  
  
  
 3.375% 5/1/30
 
2,495,000
2,702,272
 3.375% 10/1/40
 
490,000
509,761
 4.2% 5/1/50
 
150,000
173,519
Methanex Corp.:
  
  
  
 5.125% 10/15/27
 
320,000
334,400
 5.25% 12/15/29
 
155,000
161,975
 5.65% 12/1/44
 
105,000
105,938
Nutrien Ltd. 4.9% 6/1/43
 
1,225,000
1,575,549
OCI NV:
  
  
  
 3.125% 11/1/24 (Reg. S)
EUR
1,071,429
1,227,501
 3.625% 10/15/25 (Reg. S)
EUR
3,082,000
3,595,590
Olin Corp.:
  
  
  
 5% 2/1/30
 
195,000
203,775
 5.125% 9/15/27
 
700,000
721,000
 5.625% 8/1/29
 
195,000
210,313
Sasol Financing U.S.A. LLC:
  
  
  
 4.375% 9/18/26
 
810,000
799,875
 5.875% 3/27/24
 
1,500,000
1,545,750
Sherwin-Williams Co. 4.5% 6/1/47
 
210,000
262,700
SPCM SA 3.125% 3/15/27 (b)
  
115,000
112,413
The Chemours Co. LLC 4.625% 11/15/29 (b)
  
530,000
512,113
The Dow Chemical Co.:
  
  
  
 3.625% 5/15/26
 
3,020,000
3,258,771
 4.625% 10/1/44
 
295,000
365,312
The Scotts Miracle-Gro Co.:
  
  
  
 4% 4/1/31 (b)
  
1,575,000
1,531,081
 4.5% 10/15/29
 
1,971,000
2,035,058
Valvoline, Inc. 4.25% 2/15/30 (b)
  
2,270,000
2,250,478
W.R. Grace Holding LLC:
  
  
  
 4.875% 6/15/27 (b)
  
125,000
124,023
 5.625% 10/1/24 (b)
  
400,000
425,642
Westlake Chemical Corp. 3.125% 8/15/51
 
1,920,000
1,872,183
 
  
  
45,855,867
Construction Materials - 0.0%
  
  
  
Martin Marietta Materials, Inc.:
  
  
  
 2.4% 7/15/31
 
1,055,000
1,050,746
 2.5% 3/15/30
 
755,000
761,151
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (b)
  
1,000,000
1,040,820
Vulcan Materials Co. 4.5% 6/15/47
 
440,000
554,051
 
  
  
3,406,768
Containers & Packaging - 0.0%
  
  
  
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:
  
  
  
 4.125% 8/15/26 (b)
  
10,000
10,113
 4.75% 7/15/27 (Reg. S)
GBP
3,650,000
4,848,250
 5.25% 8/15/27 (b)
  
310,000
303,800
Ball Corp. 3.125% 9/15/31
 
395,000
380,110
Berry Global, Inc.:
  
  
  
 0.95% 2/15/24
 
965,000
953,439
 1.57% 1/15/26
 
1,675,000
1,639,524
 4.875% 7/15/26 (b)
  
7,055,000
7,319,986
Graphic Packaging International, Inc. 3.75% 2/1/30 (b)
  
55,000
54,663
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b)
  
40,000
40,500
Sealed Air Corp. 1.573% 10/15/26 (b)
  
2,750,000
2,681,049
Trivium Packaging Finance BV 5.5% 8/15/26 (b)
  
205,000
211,626
Verallia SA 1.625% 5/14/28 (Reg. S)
EUR
1,500,000
1,726,667
 
  
  
20,169,727
Metals & Mining - 0.1%
  
  
  
Alcoa Nederland Holding BV 4.125% 3/31/29 (b)
  
110,000
112,200
Barrick North America Finance LLC:
  
  
  
 5.7% 5/30/41
 
1,580,000
2,155,466
 5.75% 5/1/43
 
560,000
773,046
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39
 
1,240,000
1,707,755
Cleveland-Cliffs, Inc.:
  
  
  
 4.625% 3/1/29 (b)
  
110,000
110,741
 4.875% 3/1/31 (b)
  
110,000
110,812
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b)
  
5,000
5,181
Freeport-McMoRan, Inc. 5.4% 11/14/34
 
570,000
678,300
HudBay Minerals, Inc. 4.5% 4/1/26 (b)
  
55,000
54,038
Indonesia Asahan Aluminium Tbk PT:
  
  
  
 4.75% 5/15/25 (Reg. S)
 
500,000
531,930
 6.53% 11/15/28 (b)
  
1,950,000
2,330,104
 6.53% 11/15/28 (Reg. S)
 
488,000
583,123
Kaiser Aluminum Corp. 4.625% 3/1/28 (b)
  
415,000
406,463
Kinross Gold Corp. 4.5% 7/15/27
 
9,090,000
10,186,114
Newmont Corp.:
  
  
  
 2.25% 10/1/30
 
1,025,000
1,002,241
 2.8% 10/1/29
 
1,895,000
1,949,328
 5.45% 6/9/44
 
185,000
249,096
Novelis Corp. 3.875% 8/15/31 (b)
  
115,000
110,975
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b)
  
30,000
29,933
Southern Copper Corp. 5.875% 4/23/45
 
455,000
609,691
Steel Dynamics, Inc.:
  
  
  
 2.4% 6/15/25
 
790,000
810,907
 3.45% 4/15/30
 
9,495,000
10,118,659
Teck Resources Ltd.:
  
  
  
 6% 8/15/40
 
1,255,000
1,615,660
 6.25% 7/15/41
 
2,050,000
2,704,925
Thyssenkrupp AG 1.875% 3/6/23 (Reg. S)
EUR
2,650,000
3,020,001
Vale Overseas Ltd. 6.25% 8/10/26
 
700,000
796,740
 
  
  
42,763,429
Paper & Forest Products - 0.0%
  
  
  
Celulosa Arauco y Constitucion SA 4.5% 8/1/24
 
1,850,000
1,964,746
Clearwater Paper Corp. 4.75% 8/15/28 (b)
  
1,500,000
1,515,000
Glatfelter Corp. 4.75% 11/15/29 (b)
  
90,000
91,125
Suzano Austria GmbH 6% 1/15/29
 
1,263,000
1,428,200
 
  
  
4,999,071
TOTAL MATERIALS
  
  
117,194,862
REAL ESTATE - 0.7%
 
  
  
Equity Real Estate Investment Trusts (REITs) - 0.5%
  
  
  
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30
 
5,395,000
6,505,014
American Campus Communities Operating Partnership LP 3.625% 11/15/27
 
5,645,000
6,092,002
American Homes 4 Rent LP:
  
  
  
 2.375% 7/15/31
 
704,000
696,372
 3.375% 7/15/51
 
1,089,000
1,124,569
ARGAN SA 1.011% 11/17/26 (Reg. S)
EUR
500,000
568,201
Boston Properties, Inc. 4.5% 12/1/28
 
5,210,000
5,925,880
Corporate Office Properties LP:
  
  
  
 2.25% 3/15/26
 
1,775,000
1,796,230
 2.75% 4/15/31
 
5,797,000
5,812,634
 2.9% 12/1/33
 
490,000
482,606
CubeSmart LP 2.25% 12/15/28
 
4,085,000
4,100,074
Duke Realty LP 3.25% 6/30/26
 
805,000
860,611
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b)
  
275,000
267,666
GLP Capital LP/GLP Financing II, Inc.:
  
  
  
 5.25% 6/1/25
 
1,200,000
1,320,336
 5.375% 11/1/23
 
2,000,000
2,127,540
 5.375% 4/15/26
 
11,435,000
12,685,303
Healthcare Realty Trust, Inc. 3.875% 5/1/25
 
2,750,000
2,937,690
Healthcare Trust of America Holdings LP:
  
  
  
 3.1% 2/15/30
 
1,715,000
1,780,123
 3.5% 8/1/26
 
1,786,000
1,917,677
Healthpeak Properties, Inc. 3% 1/15/30
 
1,175,000
1,235,492
Hudson Pacific Properties LP:
  
  
  
 3.25% 1/15/30
 
1,750,000
1,831,450
 4.65% 4/1/29
 
12,773,000
14,555,887
Kimco Realty Corp.:
  
  
  
 1.9% 3/1/28
 
1,190,000
1,175,246
 3.375% 10/15/22
 
472,000
479,829
Kite Realty Group Trust:
  
  
  
 4% 3/15/25
 
6,865,000
7,214,003
 4.75% 9/15/30
 
10,799,000
11,964,536
Lexington Corporate Properties Trust:
  
  
  
 2.7% 9/15/30
 
894,000
899,342
 4.4% 6/15/24
 
1,319,000
1,399,009
MGM Growth Properties Operating Partnership LP:
  
  
  
 4.5% 9/1/26
 
400,000
429,000
 4.625% 6/15/25 (b)
  
65,000
69,225
 5.625% 5/1/24
 
1,185,000
1,267,263
MPT Operating Partnership LP/MPT Finance Corp.:
  
  
  
 2.5% 3/24/26
GBP
4,400,000
5,885,170
 5% 10/15/27
 
2,650,000
2,770,522
Omega Healthcare Investors, Inc.:
  
  
  
 3.25% 4/15/33
 
5,000,000
4,864,698
 3.375% 2/1/31
 
3,399,000
3,422,675
 3.625% 10/1/29
 
7,647,000
8,000,131
 4.375% 8/1/23
 
1,368,000
1,432,981
 4.5% 1/15/25
 
2,793,000
2,999,631
 4.5% 4/1/27
 
1,500,000
1,649,216
 4.75% 1/15/28
 
7,569,000
8,390,763
 4.95% 4/1/24
 
1,152,000
1,236,617
 5.25% 1/15/26
 
5,841,000
6,524,164
Park Intermediate Holdings LLC 5.875% 10/1/28 (b)
  
1,100,000
1,134,095
Piedmont Operating Partnership LP 2.75% 4/1/32
 
1,374,000
1,355,527
Realty Income Corp.:
  
  
  
 2.2% 6/15/28
 
791,000
798,262
 2.85% 12/15/32
 
1,553,000
1,620,015
 3% 1/15/27
 
985,000
1,043,501
 3.1% 12/15/29
 
6,235,000
6,698,926
 3.25% 1/15/31
 
1,177,000
1,264,781
 3.4% 1/15/28
 
1,880,000
2,021,034
Retail Opportunity Investments Partnership LP:
  
  
  
 4% 12/15/24
 
877,000
925,836
 5% 12/15/23
 
626,000
665,496
SBA Communications Corp.:
  
  
  
 3.125% 2/1/29 (b)
  
220,000
209,000
 3.875% 2/15/27
 
400,000
409,431
Senior Housing Properties Trust 4.75% 2/15/28
 
2,917,000
2,761,378
Service Properties Trust:
  
  
  
 4.375% 2/15/30
 
200,000
180,000
 4.95% 2/15/27
 
485,000
462,685
 4.95% 10/1/29
 
100,000
93,410
 5.5% 12/15/27
 
100,000
100,952
Simon Property Group LP:
  
  
  
 1.75% 2/1/28
 
1,265,000
1,239,484
 2.45% 9/13/29
 
360,000
365,224
 3.375% 10/1/24
 
2,945,000
3,114,620
 3.5% 9/1/25
 
55,000
58,850
 3.75% 2/1/24
 
375,000
394,586
SITE Centers Corp.:
  
  
  
 3.625% 2/1/25
 
2,396,000
2,519,570
 4.25% 2/1/26
 
5,582,000
5,972,441
Spirit Realty LP 2.7% 2/15/32
 
6,505,000
6,487,062
Store Capital Corp.:
  
  
  
 2.75% 11/18/30
 
1,957,000
1,967,466
 4.625% 3/15/29
 
2,475,000
2,796,904
Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b)
  
95,000
92,625
Uniti Group, Inc. 7.875% 2/15/25 (b)
  
2,800,000
2,927,736
Ventas Realty LP:
  
  
  
 3% 1/15/30
 
10,008,000
10,346,518
 3.25% 10/15/26
 
1,900,000
2,027,365
 3.85% 4/1/27
 
1,300,000
1,417,641
 4% 3/1/28
 
2,712,000
2,993,235
 4.125% 1/15/26
 
1,628,000
1,782,057
 4.75% 11/15/30
 
13,000,000
15,229,842
VICI Properties, Inc.:
  
  
  
 3.5% 2/15/25 (b)
  
125,000
126,364
 4.25% 12/1/26 (b)
  
670,000
691,775
 4.625% 12/1/29 (b)
  
250,000
265,565
Vornado Realty LP:
  
  
  
 2.15% 6/1/26
 
1,762,000
1,768,795
 3.4% 6/1/31
 
6,373,000
6,569,768
Welltower, Inc.:
  
  
  
 2.7% 2/15/27
 
590,000
613,452
 2.75% 1/15/31
 
6,560,000
6,747,277
 2.8% 6/1/31
 
2,305,000
2,357,807
Weyerhaeuser Co. 4% 4/15/30
 
1,900,000
2,131,028
WP Carey, Inc.:
  
  
  
 2.25% 4/1/33
 
4,960,000
4,742,955
 3.85% 7/15/29
 
1,725,000
1,913,475
 4% 2/1/25
 
5,544,000
5,938,300
 4.6% 4/1/24
 
7,436,000
7,936,220
 
  
  
271,977,714
Real Estate Management & Development - 0.2%
  
  
  
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)
EUR
815,000
761,616
ADLER Group SA:
  
  
  
 1.875% 1/14/26 (Reg. S)
EUR
300,000
277,287
 2.25% 4/27/27 (Reg. S)
EUR
3,100,000
2,830,147
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c)
EUR
720,000
849,402
Blackstone Property Partners Europe LP:
  
  
  
 1% 5/4/28 (Reg. S)
EUR
2,355,000
2,606,773
 2.625% 10/20/28 (Reg. S)
GBP
350,000
472,034
Brandywine Operating Partnership LP:
  
  
  
 3.95% 2/15/23
 
4,006,000
4,117,850
 3.95% 11/15/27
 
5,608,000
6,049,797
 4.1% 10/1/24
 
4,892,000
5,209,171
 4.55% 10/1/29
 
1,707,000
1,898,388
CBRE Group, Inc. 4.875% 3/1/26
 
12,670,000
14,242,285
Essex Portfolio LP:
  
  
  
 1.7% 3/1/28
 
5,465,000
5,335,038
 3.875% 5/1/24
 
2,685,000
2,839,573
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)
EUR
775,000
866,561
Heimstaden AB 4.375% 3/6/27 (Reg. S)
EUR
800,000
901,555
Host Hotels & Resorts LP 2.9% 12/15/31
 
590,000
572,196
Howard Hughes Corp.:
  
  
  
 4.125% 2/1/29 (b)
  
300,000
295,677
 5.375% 8/1/28 (b)
  
850,000
888,250
Kennedy-Wilson, Inc. 4.75% 2/1/30
 
225,000
226,125
Mattamy Group Corp. 4.625% 3/1/30 (b)
  
1,500,000
1,486,965
Mid-America Apartments LP 4% 11/15/25
 
1,296,000
1,413,019
Post Apartment Homes LP 3.375% 12/1/22
 
900,000
917,930
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)
EUR
400,000
450,501
SL Green Realty Corp. 3.25% 10/15/22
 
7,000,000
7,099,409
Sun Communities Operating LP:
  
  
  
 2.3% 11/1/28
 
1,550,000
1,546,887
 2.7% 7/15/31
 
4,027,000
4,033,272
Tanger Properties LP:
  
  
  
 2.75% 9/1/31
 
4,140,000
3,970,504
 3.125% 9/1/26
 
3,497,000
3,633,559
 3.875% 7/15/27
 
13,369,000
14,366,417
Taylor Morrison Communities, Inc./Monarch Communities, Inc.:
  
  
  
 5.125% 8/1/30 (b)
  
2,500,000
2,681,250
 5.75% 1/15/28 (b)
  
280,000
307,030
 5.875% 6/15/27 (b)
  
1,500,000
1,655,625
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)
EUR
780,000
888,951
 
  
  
95,691,044
TOTAL REAL ESTATE
  
  
367,668,758
UTILITIES - 0.5%
 
  
  
Electric Utilities - 0.3%
  
  
  
AEP Texas, Inc.:
  
  
  
 2.1% 7/1/30
 
1,400,000
1,349,829
 3.45% 5/15/51
 
560,000
586,042
 3.8% 10/1/47
 
925,000
1,029,957
AEP Transmission Co. LLC:
  
  
  
 3.75% 12/1/47
 
850,000
977,634
 4% 12/1/46
 
375,000
445,146
Alabama Power Co.:
  
  
  
 3.75% 3/1/45
 
650,000
730,354
 3.85% 12/1/42
 
700,000
798,136
 4.1% 1/15/42
 
225,000
255,420
Alliant Energy Finance LLC 1.4% 3/15/26 (b)
  
2,300,000
2,228,690
Arizona Public Service Co. 2.6% 8/15/29
 
340,000
347,866
Atlantic City Electric Co. 2.3% 3/15/31
 
425,000
426,192
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c)
EUR
760,000
860,839
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48
 
1,235,000
1,488,194
Clearway Energy Operating LLC 4.75% 3/15/28 (b)
  
60,000
63,000
Cleco Corporate Holdings LLC 3.375% 9/15/29
 
4,448,000
4,518,193
Commonwealth Edison Co.:
  
  
  
 3.7% 8/15/28
 
250,000
277,434
 3.7% 3/1/45
 
315,000
364,587
 4.35% 11/15/45
 
205,000
255,663
Dominion Energy South Carolina:
  
  
  
 5.1% 6/1/65
 
275,000
405,787
 5.45% 2/1/41
 
285,000
389,683
DPL, Inc. 4.35% 4/15/29
 
2,480,000
2,628,800
DTE Electric Co.:
  
  
  
 2.25% 3/1/30
 
275,000
278,003
 3.75% 8/15/47
 
1,050,000
1,214,990
Duke Energy Carolinas LLC:
  
  
  
 2.95% 12/1/26
 
370,000
391,221
 4% 9/30/42
 
1,750,000
2,041,210
 4.25% 12/15/41
 
2,100,000
2,501,664
 6.1% 6/1/37
 
775,000
1,066,864
Duke Energy Florida LLC:
  
  
  
 2.4% 12/15/31
 
1,645,000
1,655,419
 6.35% 9/15/37
 
675,000
969,540
Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b)
  
4,273,000
4,270,729
ENEL Finance International NV 2.25% 7/12/31 (b)
  
5,660,000
5,533,260
Enel SpA 3.375% (Reg. S) (c)(h)
EUR
1,035,000
1,275,033
Entergy Louisiana LLC 2.4% 10/1/26
 
1,070,000
1,100,285
Entergy, Inc. 1.75% 3/15/31
 
1,475,000
1,391,384
Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b)
  
1,000,000
1,021,250
Evergy Kansas Central 4.125% 3/1/42
 
655,000
767,397
Eversource Energy 1.65% 8/15/30
 
645,000
605,129
Exelon Corp. 5.625% 6/15/35
 
150,000
192,465
FirstEnergy Corp.:
  
  
  
 3.4% 3/1/50
 
3,431,000
3,396,690
 4.75% 3/15/23
 
12,580,000
12,932,617
 7.375% 11/15/31
 
9,948,000
13,304,555
Florida Power & Light Co.:
  
  
  
 3.8% 12/15/42
 
900,000
1,050,372
 5.25% 2/1/41
 
250,000
339,984
Fortis, Inc. 3.055% 10/4/26
 
301,000
315,012
Hydro-Quebec 8.05% 7/7/24
 
1,455,000
1,709,232
InterGen NV 7% 6/30/23 (b)
  
230,000
225,400
IPALCO Enterprises, Inc. 3.7% 9/1/24
 
2,644,000
2,779,978
Jersey Central Power & Light Co.:
  
  
  
 2.75% 3/1/32 (b)
  
3,560,000
3,628,527
 4.3% 1/15/26 (b)
  
2,000,000
2,179,106
Louisville Gas & Electric Co. 5.125% 11/15/40
 
345,000
442,432
Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S)
 
250,000
242,938
NextEra Energy Capital Holdings, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.270% 0.4296% 2/22/23 (c)(f)
  
5,000,000
4,991,900
 2.25% 6/1/30
 
840,000
835,074
 2.75% 11/1/29
 
1,700,000
1,754,180
NextEra Energy Partners LP 4.25% 9/15/24 (b)
  
27,000
28,195
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c)
EUR
1,150,000
1,300,694
Northern States Power Co.:
  
  
  
 3.6% 9/15/47
 
20,000
22,767
 6.25% 6/1/36
 
370,000
534,435
NRG Energy, Inc.:
  
  
  
 2% 12/2/25 (b)
  
3,120,000
3,148,297
 3.375% 2/15/29 (b)
  
45,000
43,429
 3.625% 2/15/31 (b)
  
645,000
612,750
 3.875% 2/15/32 (b)
  
1,000,000
959,850
 5.75% 1/15/28
 
245,000
256,025
 6.625% 1/15/27
 
122,000
126,118
Pacific Gas & Electric Co.:
  
  
  
 1.75% 6/16/22
 
1,025,000
1,024,362
 3.95% 12/1/47
 
1,700,000
1,681,482
 4% 12/1/46
 
685,000
677,856
 4.5% 7/1/40
 
445,000
465,802
 4.55% 7/1/30
 
3,080,000
3,361,401
 4.95% 7/1/50
 
785,000
881,156
PacifiCorp:
  
  
  
 2.9% 6/15/52
 
1,025,000
1,019,980
 5.25% 6/15/35
 
1,375,000
1,744,264
 5.75% 4/1/37
 
900,000
1,204,105
Pattern Energy Operations LP 4.5% 8/15/28 (b)
  
90,000
91,569
PECO Energy Co.:
  
  
  
 2.8% 6/15/50
 
380,000
379,449
 3.9% 3/1/48
 
885,000
1,059,609
PG&E Corp.:
  
  
  
 5% 7/1/28
 
1,155,000
1,189,650
 5.25% 7/1/30
 
735,000
753,375
PPL Electric Utilities Corp.:
  
  
  
 4.125% 6/15/44
 
800,000
953,587
 4.15% 10/1/45
 
555,000
676,747
 6.25% 5/15/39
 
350,000
505,159
PT Perusahaan Listrik Negara 1.875% 11/5/31 (b)
EUR
1,500,000
1,637,357
Public Service Electric & Gas Co.:
  
  
  
 3.6% 12/1/47
 
410,000
473,490
 3.65% 9/1/28
 
685,000
758,733
 3.65% 9/1/42
 
225,000
251,753
 3.95% 5/1/42
 
505,000
587,546
Puget Sound Energy, Inc. 5.764% 7/15/40
 
285,000
391,369
Southern California Edison Co.:
  
  
  
 3.5% 10/1/23
 
675,000
701,625
 3.6% 2/1/45
 
2,335,000
2,431,702
 3.9% 12/1/41
 
295,000
310,006
 5.55% 1/15/37
 
430,000
535,050
Southern Co. 1.875% 9/15/81 (c)
EUR
1,600,000
1,756,494
SSE PLC 4.75% 9/16/77 (Reg. S) (c)
  
3,570,000
3,632,475
Tampa Electric Co. 4.45% 6/15/49
 
700,000
893,769
Virginia Electric & Power Co.:
  
  
  
 6% 1/15/36
 
470,000
643,957
 6% 5/15/37
 
950,000
1,322,011
Vistra Operations Co. LLC:
  
  
  
 3.7% 1/30/27 (b)
  
2,900,000
3,026,989
 4.375% 5/1/29 (b)
  
1,000,000
981,150
 5% 7/31/27 (b)
  
195,000
197,059
 5.5% 9/1/26 (b)
  
770,000
788,880
 5.625% 2/15/27 (b)
  
5,625,000
5,776,284
Wisconsin Power & Light Co. 4.1% 10/15/44
 
240,000
279,633
Xcel Energy, Inc.:
  
  
  
 0.5% 10/15/23
 
155,000
153,740
 1.75% 3/15/27
 
880,000
874,090
 4% 6/15/28
 
2,700,000
3,007,263
 
  
  
152,945,824
Gas Utilities - 0.0%
  
  
  
AmeriGas Partners LP/AmeriGas Finance Corp.:
  
  
  
 5.75% 5/20/27
 
679,000
733,320
 5.875% 8/20/26
 
5,200,000
5,674,552
Nakilat, Inc. 6.067% 12/31/33 (b)
  
648,784
792,449
Southern Co. Gas Capital Corp. 4.4% 6/1/43
 
890,000
1,035,282
 
  
  
8,235,603
Independent Power and Renewable Electricity Producers - 0.1%
  
  
  
Calpine Corp.:
  
  
  
 5% 2/1/31 (b)
  
3,365,000
3,237,635
 5.125% 3/15/28 (b)
  
1,375,000
1,361,195
TerraForm Power Operating LLC 5% 1/31/28 (b)
  
645,000
670,800
The AES Corp.:
  
  
  
 3.3% 7/15/25 (b)
  
10,697,000
11,189,918
 3.95% 7/15/30 (b)
  
9,327,000
10,055,345
 
  
  
26,514,893
Multi-Utilities - 0.1%
  
  
  
Ameren Illinois Co.:
  
  
  
 4.15% 3/15/46
 
1,160,000
1,414,286
 4.5% 3/15/49
 
295,000
386,119
Berkshire Hathaway Energy Co.:
  
  
  
 3.7% 7/15/30
 
1,280,000
1,424,867
 4.05% 4/15/25
 
16,081,000
17,497,863
 6.125% 4/1/36
 
3,050,000
4,167,276
CenterPoint Energy, Inc. 2.95% 3/1/30
 
525,000
541,145
Consolidated Edison Co. of New York, Inc.:
  
  
  
 3.7% 11/15/59
 
1,650,000
1,792,900
 3.95% 4/1/50
 
1,808,000
2,108,413
 4.3% 12/1/56
 
300,000
360,067
Dominion Energy, Inc. 7% 6/15/38
 
150,000
218,713
Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S)
 
400,000
376,700
NiSource, Inc.:
  
  
  
 2.95% 9/1/29
 
11,346,000
11,757,701
 4.8% 2/15/44
 
190,000
238,209
 5.95% 6/15/41
 
640,000
882,171
Puget Energy, Inc.:
  
  
  
 2.379% 6/15/28
 
835,000
827,050
 3.65% 5/15/25
 
324,000
343,106
 4.1% 6/15/30
 
5,059,000
5,494,179
 5.625% 7/15/22
 
4,555,000
4,639,447
San Diego Gas & Electric Co.:
  
  
  
 3.32% 4/15/50
 
910,000
978,918
 3.6% 9/1/23
 
100,000
104,299
 3.75% 6/1/47
 
860,000
982,739
Sempra Energy:
  
  
  
 4% 2/1/48
 
940,000
1,079,162
 4.125% 4/1/52 (c)
  
3,845,000
3,802,236
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2685% 5/15/67 (c)(f)
  
1,012,000
941,160
 
  
  
62,358,726
TOTAL UTILITIES
  
  
250,055,046
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $4,894,217,741)
  
  
  
5,087,781,272
 
  
  
  
U.S. Government and Government Agency Obligations - 8.8%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Government Agency Obligations - 0.2%
 
  
  
Fannie Mae:
  
  
  
 0.5% 6/17/25
 
1,685,000
1,652,386
 0.625% 4/22/25
 
1,625,000
1,605,114
 0.75% 10/8/27
 
980,000
946,463
 0.875% 8/5/30
 
705,000
665,800
 1.625% 10/15/24
 
1,295,000
1,323,127
 1.625% 1/7/25
 
475,000
485,137
 1.875% 9/24/26
 
220,000
226,869
 2.5% 2/5/24
 
665,000
692,266
 2.875% 9/12/23
 
505,000
526,056
 6.25% 5/15/29
 
255,000
340,205
 6.625% 11/15/30
 
670,000
950,207
Federal Home Loan Bank:
  
  
  
 1.04% 6/14/24 (e)
  
30,220,000
30,227,189
 1.2% 12/23/24 (e)
  
31,205,000
31,238,207
 3.25% 11/16/28
 
1,815,000
2,027,580
Freddie Mac:
  
  
  
 0.375% 4/20/23
 
885,000
884,443
 0.375% 5/5/23
 
3,065,000
3,062,577
 6.25% 7/15/32
 
40,000
58,005
Tennessee Valley Authority:
  
  
  
 0.75% 5/15/25
 
845,000
838,128
 1.5% 9/15/31
 
780,000
770,781
 2.875% 2/1/27
 
1,060,000
1,140,793
 5.25% 9/15/39
 
150,000
215,824
 7.125% 5/1/30
 
460,000
663,521
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
  
  
80,540,678
U.S. Treasury Inflation-Protected Obligations - 0.0%
 
  
  
U.S. Treasury Inflation-Indexed Bonds 0.125% 2/15/51
 
6,230,000
7,895,711
U.S. Treasury Obligations - 8.6%
 
  
  
U.S. Treasury Bonds:
  
  
  
 1.375% 11/15/40
 
42,214,600
38,926,479
 1.375% 8/15/50
 
82,430,000
74,389,855
 1.625% 11/15/50
 
91,414,400
87,654,269
 1.75% 8/15/41
 
56,300,200
55,270,962
 1.875% 2/15/41
 
88,090,000
88,375,605
 1.875% 11/15/51
 
116,835,000
119,135,189
 2% 8/15/51
 
65,468,700
68,558,004
 2.25% 5/15/41
 
76,230,000
81,137,306
 2.375% 5/15/51
 
472,725,500
536,174,126
 2.5% 2/15/46
 
99,960,000
112,693,186
 3.375% 11/15/48
 
11,280,000
15,122,250
 3.625% 8/15/43
 
31,048,100
40,875,551
 6.25% 8/15/23
 
11,080,000
12,175,448
 stripped coupon:
 
  
  
0% 2/15/29
 
  
1,020,000
918,706
0% 2/15/36
 
  
1,100,000
860,729
0% 11/15/36
 
  
1,975,000
1,521,366
0% 5/15/39
 
  
5,425,000
3,908,557
0% 8/15/39
 
  
8,745,000
6,266,866
0% 8/15/40
 
  
31,315,000
21,749,825
0% 2/15/41
 
  
1,890,000
1,299,186
0% 5/15/41
 
  
41,450,000
28,168,986
0% 11/15/41
 
  
850,000
569,163
0% 5/15/42
 
  
2,635,000
1,751,912
0% 8/15/42
 
  
490,000
322,567
0% 11/15/42
 
  
1,280,000
838,117
0% 5/15/44
 
  
7,670,000
4,904,054
U.S. Treasury Notes:
  
  
  
 0.125% 8/31/23
 
43,985,000
43,713,530
 0.125% 9/15/23
 
51,800,000
51,464,109
 0.25% 9/30/23
 
340,190,000
338,635,226
 0.25% 9/30/25
 
52,345,000
50,833,947
 0.375% 10/31/23
 
244,870,000
244,200,432
 0.375% 4/30/25
 
13,755,000
13,489,034
 0.375% 12/31/25
 
37,840,000
36,783,141
 0.375% 1/31/26
 
8,470,000
8,223,179
 0.5% 3/15/23
 
34,900,000
34,972,254
 0.5% 11/30/23
 
8,725,000
8,715,798
 0.5% 2/28/26
 
39,520,000
38,542,806
 0.75% 3/31/26
 
46,200,000
45,508,805
 0.75% 4/30/26
 
71,811,200
70,683,540
 0.875% 6/30/26
 
13,340,000
13,188,883
 0.875% 9/30/26
 
178,725,000
176,421,124
 0.875% 11/15/30
 
252,700,000
241,595,020
 1.125% 10/31/26
 
238,135,000
237,800,123
 1.125% 2/15/31
 
84,723,000
82,707,519
 1.25% 11/30/26
 
34,505,000
34,658,655
 1.25% 4/30/28
 
326,095,000
324,693,809
 1.25% 6/30/28
 
19,335,000
19,223,220
 1.25% 9/30/28
 
54,580,000
54,179,178
 1.25% 8/15/31
 
79,600,000
78,318,938
 1.375% 2/15/23
 
6,950,000
7,039,047
 1.375% 10/31/28
 
12,805,000
12,815,004
 1.375% 11/30/28
 
11,360,000
11,459,400
 1.375% 11/15/31
 
202,766,000
201,530,395
 1.625% 11/15/22
 
42,535,000
43,088,287
 1.625% 4/30/23
 
21,075,000
21,445,459
 1.75% 9/30/22
 
8,805,000
8,917,126
 1.875% 9/30/22
 
1,213,000
1,229,726
 2% 10/31/22
 
39,230,000
39,856,760
 2% 8/15/25
 
6,760,000
7,004,258
 2.125% 7/31/24
 
45,715,000
47,368,597
 2.125% 5/15/25
 
33,680,000
35,021,938
 2.625% 2/15/29
 
88,910,000
96,581,960
 2.875% 5/15/28
 
18,690,000
20,491,833
 3.125% 11/15/28
 
14,283,500
15,966,833
TOTAL U.S. TREASURY OBLIGATIONS
  
  
4,221,937,157
Other Government Related - 0.0%
 
  
  
Private Export Funding Corp. Secured:
  
  
  
 1.4% 7/15/28
 
2,605,000
2,584,349
 3.55% 1/15/24
 
755,000
801,664
TOTAL OTHER GOVERNMENT RELATED
  
  
3,386,013
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $4,212,961,119)
  
  
  
4,313,759,559
 
  
  
  
U.S. Government Agency - Mortgage Securities - 7.9%
 
  
Principal
Amount (a)
 
Value ($)
 
Fannie Mae - 2.1%
 
  
  
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (c)(f)
  
2,765
2,902
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (c)(f)
  
25,665
27,120
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (c)(f)
  
7,718
8,195
1.5% 9/1/50 to 6/1/51
 
25,437,490
24,627,005
2% 8/1/31 to 11/1/51
 
226,963,147
228,560,888
2.5% 6/1/28 to 12/1/51
 
238,092,016
245,401,682
3% 2/1/27 to 11/1/51 (e)(i)(j)(k)
  
221,049,557
232,234,012
3.5% 5/1/29 to 1/1/51 (i)(j)
  
113,543,619
121,106,849
4% 9/1/38 to 11/1/49
 
86,424,696
93,590,373
4.5% 6/1/24 to 9/1/49
 
43,915,328
47,997,787
5% 6/1/24 to 2/1/49
 
29,380,300
32,674,407
5.237% 8/1/41 (c)
  
254,567
283,507
5.5% 11/1/36 to 1/1/40
 
1,503,756
1,728,734
6% to 6% 2/1/34 to 1/1/42 (j)
  
10,111,017
11,704,949
6.5% 2/1/36
 
1,307
1,552
6.623% 2/1/39 (c)
  
177,667
195,596
TOTAL FANNIE MAE
  
  
1,040,145,558
Freddie Mac - 1.4%
 
  
  
6 month U.S. LIBOR + 2.680% 2.812% 10/1/35 (c)(f)
  
3,704
3,916
1.5% 11/1/50 to 6/1/51
 
4,951,319
4,795,004
2% 1/1/32 to 11/1/51
 
135,815,790
136,540,339
2.5% 3/1/28 to 12/1/51
 
141,132,107
145,549,397
3% 10/1/28 to 8/1/50
 
165,534,235
174,099,448
3.5% 2/1/29 to 11/1/48
 
111,307,405
119,122,425
3.5% 8/1/47
 
5,882,515
6,279,206
4% 1/1/36 to 6/1/48
 
56,846,429
61,681,038
4.5% 7/1/25 to 12/1/48
 
23,349,964
25,537,527
5% 10/1/33 to 12/1/47
 
4,610,824
5,176,300
6% 7/1/37 to 9/1/38
 
130,423
152,343
6.5% 9/1/39
 
366,904
440,046
TOTAL FREDDIE MAC
  
  
679,376,989
Ginnie Mae - 1.6%
 
  
  
3.5% 9/20/40 to 11/20/50
 
67,868,641
71,991,375
4.5% 5/15/39 to 3/20/49
 
17,623,804
19,368,357
5.5% 6/15/36 to 3/20/41
 
153,010
173,421
2% 3/20/51 to 7/20/51
 
4,297,123
4,355,689
2% 12/1/51 (e)
  
10,400,000
10,532,911
2% 12/1/51 (e)
  
9,300,000
9,418,853
2% 12/1/51 (e)
  
20,900,000
21,167,100
2% 12/1/51 (e)
  
11,150,000
11,292,496
2% 12/1/51 (e)
  
10,050,000
10,178,438
2% 12/1/51 (e)
  
7,800,000
7,899,683
2% 12/1/51 (e)
  
7,000,000
7,089,459
2% 12/1/51 (e)
  
5,000,000
5,063,900
2% 12/1/51 (e)
  
5,550,000
5,620,928
2% 12/1/51 (e)
  
3,400,000
3,443,452
2% 12/1/51 (e)
  
3,000,000
3,038,340
2% 12/1/51 (e)
  
3,750,000
3,797,925
2% 12/1/51 (e)
  
3,325,000
3,367,493
2% 1/1/52 (e)
  
15,175,000
15,342,260
2% 1/1/52 (e)
  
14,600,000
14,760,923
2.5% 8/20/46 to 8/20/51
 
32,655,858
33,575,136
2.5% 12/1/51 (e)
  
2,500,000
2,568,403
2.5% 12/1/51 (e)
  
14,750,000
15,153,575
2.5% 12/1/51 (e)
  
6,175,000
6,343,954
2.5% 12/1/51 (e)
  
3,875,000
3,981,024
2.5% 12/1/51 (e)
  
14,750,000
15,153,575
2.5% 12/1/51 (e)
  
2,250,000
2,311,562
2.5% 12/1/51 (e)
  
6,700,000
6,883,319
2.5% 12/1/51 (e)
  
6,500,000
6,677,847
2.5% 12/1/51 (e)
  
5,075,000
5,213,857
2.5% 12/1/51 (e)
  
4,950,000
5,085,437
2.5% 12/1/51 (e)
  
4,100,000
4,212,180
2.5% 12/1/51 (e)
  
3,975,000
4,083,760
2.5% 12/1/51 (e)
  
2,000,000
2,054,722
2.5% 1/1/52 (e)
  
14,750,000
15,123,615
2.5% 1/1/52 (e)
  
12,050,000
12,355,224
2.5% 1/1/52 (e)
  
18,800,000
19,276,200
2.5% 1/1/52 (e)
  
6,175,000
6,331,412
2.5% 1/1/52 (e)
  
14,750,000
15,123,615
3% 8/20/42 to 6/20/51
 
96,213,282
100,144,805
3% 12/1/51 (e)
  
3,300,000
3,419,852
3% 12/1/51 (e)
  
5,000,000
5,181,594
3% 12/1/51 (e)
  
4,300,000
4,456,170
3% 12/1/51 (e)
  
2,000,000
2,072,637
3% 12/1/51 (e)
  
1,100,000
1,139,951
3% 12/1/51 (e)
  
1,050,000
1,088,135
3% 12/1/51 (e)
  
2,350,000
2,435,349
3% 12/1/51 (e)
  
2,150,000
2,228,085
3.5% 12/1/51 (e)
  
1,600,000
1,670,932
3.5% 12/1/51 (e)
  
1,350,000
1,409,849
3.5% 12/1/51 (e)
  
1,350,000
1,409,849
3.5% 12/1/51 (e)
  
9,000,000
9,398,991
3.5% 12/1/51 (e)
  
5,450,000
5,691,611
3.5% 12/1/51 (e)
  
9,000,000
9,398,991
3.5% 12/1/51 (e)
  
5,800,000
6,057,127
3.5% 12/1/51 (e)
  
3,500,000
3,655,163
3.5% 12/1/51 (e)
  
5,750,000
6,004,911
3.5% 12/1/51 (e)
  
1,150,000
1,200,982
3.5% 12/1/51 (e)
  
1,850,000
1,932,015
3.5% 12/1/51 (e)
  
1,800,000
1,879,798
3.5% 12/1/51 (e)
  
1,150,000
1,200,982
3.5% 12/1/51 (e)
  
5,400,000
5,639,394
3.5% 12/1/51 (e)
  
3,500,000
3,655,163
3.5% 12/1/51 (e)
  
2,300,000
2,401,964
3.5% 12/1/51 (e)
  
3,600,000
3,759,596
3.5% 12/1/51 (e)
  
2,300,000
2,401,964
3.5% 12/1/51 (e)
  
3,600,000
3,759,596
3.5% 12/1/51 (e)
  
1,150,000
1,200,982
3.5% 12/1/51 (e)
  
1,800,000
1,879,798
3.5% 12/1/51 (e)
  
2,300,000
2,401,964
3.5% 12/1/51 (e)
  
3,600,000
3,759,596
3.5% 12/1/51 (e)
  
1,750,000
1,827,582
3.5% 12/1/51 (e)
  
2,700,000
2,819,697
3.5% 12/1/51 (e)
  
2,050,000
2,140,881
3.5% 12/1/51 (e)
  
3,200,000
3,341,863
3.5% 1/1/52 (e)
  
3,450,000
3,599,173
3.5% 1/1/52 (e)
  
5,400,000
5,633,488
3.5% 1/1/52 (e)
  
4,400,000
4,590,249
3.5% 1/1/52 (e)
  
6,850,000
7,146,184
3.5% 1/1/52 (e)
  
5,550,000
5,789,974
3.5% 1/1/52 (e)
  
5,400,000
5,633,488
3.5% 1/1/52 (e)
  
3,550,000
3,703,497
3.5% 1/1/52 (e)
  
3,450,000
3,599,173
4% 5/20/40 to 5/20/49
 
80,871,699
87,128,763
5% 6/20/34 to 6/20/48
 
13,880,152
15,211,222
TOTAL GINNIE MAE
  
  
765,514,450
Uniform Mortgage Backed Securities - 2.8%
 
  
  
1.5% 1/1/37 (e)
  
13,950,000
13,996,797
1.5% 1/1/37 (e)
  
9,675,000
9,707,456
1.5% 1/1/37 (e)
  
16,950,000
17,006,860
1.5% 12/1/51 (e)
  
3,300,000
3,191,079
1.5% 12/1/51 (e)
  
1,800,000
1,740,588
1.5% 12/1/51 (e)
  
15,150,000
14,649,952
1.5% 12/1/51 (e)
  
18,250,000
17,647,631
1.5% 12/1/51 (e)
  
12,650,000
12,232,468
1.5% 12/1/51 (e)
  
9,050,000
8,751,291
1.5% 12/1/51 (e)
  
10,550,000
10,201,781
1.5% 12/1/51 (e)
  
7,500,000
7,252,451
2% 12/1/36 (e)
  
3,000,000
3,076,207
2% 12/1/36 (e)
  
2,000,000
2,050,805
2% 1/1/37 (e)
  
7,525,000
7,702,044
2% 1/1/37 (e)
  
4,800,000
4,912,932
2% 1/1/37 (e)
  
1,775,000
1,816,761
2% 1/1/37 (e)
  
12,225,000
12,512,622
2% 1/1/37 (e)
  
10,525,000
10,772,626
2% 12/1/51 (e)
  
1,800,000
1,801,628
2% 12/1/51 (e)
  
6,500,000
6,505,878
2% 12/1/51 (e)
  
5,000,000
5,004,522
2% 12/1/51 (e)
  
24,650,000
24,672,291
2% 12/1/51 (e)
  
14,350,000
14,362,977
2% 12/1/51 (e)
  
20,875,000
20,893,877
2% 12/1/51 (e)
  
13,550,000
13,562,253
2% 12/1/51 (e)
  
3,775,000
3,778,414
2% 12/1/51 (e)
  
900,000
900,814
2% 12/1/51 (e)
  
200,000
200,181
2% 12/1/51 (e)
  
900,000
900,814
2% 12/1/51 (e)
  
14,800,000
14,813,384
2% 12/1/51 (e)
  
2,650,000
2,652,396
2% 12/1/51 (e)
  
11,550,000
11,560,445
2% 12/1/51 (e)
  
1,000,000
1,000,904
2% 12/1/51 (e)
  
2,650,000
2,652,396
2% 12/1/51 (e)
  
4,800,000
4,804,341
2% 12/1/51 (e)
  
31,600,000
31,628,576
2% 12/1/51 (e)
  
7,200,000
7,206,511
2% 12/1/51 (e)
  
19,775,000
19,792,883
2% 12/1/51 (e)
  
7,400,000
7,406,692
2% 12/1/51 (e)
  
3,700,000
3,703,346
2% 12/1/51 (e)
  
6,275,000
6,280,674
2% 12/1/51 (e)
  
7,500,000
7,506,782
2% 12/1/51 (e)
  
2,000,000
2,001,809
2% 12/1/51 (e)
  
3,500,000
3,503,165
2% 12/1/51 (e)
  
14,500,000
14,513,112
2% 12/1/51 (e)
  
13,700,000
13,712,389
2% 12/1/51 (e)
  
14,600,000
14,613,203
2% 12/1/51 (e)
  
13,800,000
13,812,479
2% 12/1/51 (e)
  
12,100,000
12,110,942
2% 12/1/51 (e)
  
11,400,000
11,410,309
2% 12/1/51 (e)
  
3,500,000
3,503,165
2% 12/1/51 (e)
  
3,375,000
3,378,052
2% 12/1/51 (e)
  
5,100,000
5,104,612
2% 1/1/52 (e)
  
14,650,000
14,634,635
2% 1/1/52 (e)
  
14,650,000
14,634,635
2% 1/1/52 (e)
  
3,000,000
2,996,854
2% 1/1/52 (e)
  
20,350,000
20,328,657
2% 1/1/52 (e)
  
32,525,000
32,490,888
2% 1/1/52 (e)
  
1,325,000
1,323,610
2% 1/1/52 (e)
  
17,075,000
17,057,092
2% 1/1/52 (e)
  
18,950,000
18,930,125
2% 1/1/52 (e)
  
29,525,000
29,494,034
2% 1/1/52 (e)
  
21,050,000
21,027,923
2% 1/1/52 (e)
  
2,975,000
2,971,880
2% 1/1/52 (e)
  
20,000,000
19,979,024
2% 1/1/52 (e)
  
39,000,000
38,959,097
2% 1/1/52 (e)
  
40,575,000
40,532,445
2% 1/1/52 (e)
  
21,000,000
20,977,975
2% 1/1/52 (e)
  
14,350,000
14,334,950
2% 1/1/52 (e)
  
13,550,000
13,535,789
2.5% 12/1/51 (e)
  
11,500,000
11,787,500
2.5% 12/1/51 (e)
  
3,750,000
3,843,750
2.5% 12/1/51 (e)
  
3,850,000
3,946,250
2.5% 12/1/51 (e)
  
3,700,000
3,792,500
2.5% 12/1/51 (e)
  
8,000,000
8,200,000
2.5% 12/1/51 (e)
  
4,100,000
4,202,500
2.5% 12/1/51 (e)
  
2,050,000
2,101,250
2.5% 12/1/51 (e)
  
2,900,000
2,972,500
2.5% 12/1/51 (e)
  
13,200,000
13,530,000
2.5% 12/1/51 (e)
  
3,100,000
3,177,500
2.5% 12/1/51 (e)
  
33,025,000
33,850,625
2.5% 12/1/51 (e)
  
5,400,000
5,535,000
2.5% 12/1/51 (e)
  
31,225,000
32,005,625
2.5% 12/1/51 (e)
  
16,150,000
16,553,750
2.5% 12/1/51 (e)
  
3,000,000
3,075,000
2.5% 12/1/51 (e)
  
12,000,000
12,300,000
2.5% 12/1/51 (e)
  
11,800,000
12,095,000
2.5% 12/1/51 (e)
  
1,650,000
1,691,250
2.5% 12/1/51 (e)
  
650,000
666,250
2.5% 12/1/51 (e)
  
6,900,000
7,072,500
2.5% 12/1/51 (e)
  
4,650,000
4,766,250
2.5% 12/1/51 (e)
  
8,100,000
8,302,500
2.5% 12/1/51 (e)
  
5,450,000
5,586,250
2.5% 1/1/52 (e)
  
7,600,000
7,771,000
2.5% 1/1/52 (e)
  
8,000,000
8,180,000
2.5% 1/1/52 (e)
  
3,000,000
3,067,500
2.5% 1/1/52 (e)
  
6,000,000
6,135,000
2.5% 1/1/52 (e)
  
6,000,000
6,135,000
2.5% 1/1/52 (e)
  
5,500,000
5,623,750
2.5% 1/1/52 (e)
  
27,425,000
28,042,063
2.5% 1/1/52 (e)
  
18,775,000
19,197,438
2.5% 1/1/52 (e)
  
13,500,000
13,803,750
2.5% 1/1/52 (e)
  
10,950,000
11,196,375
2.5% 1/1/52 (e)
  
8,375,000
8,563,438
2.5% 1/1/52 (e)
  
23,000,000
23,517,500
2.5% 1/1/52 (e)
  
7,800,000
7,975,500
2.5% 1/1/52 (e)
  
23,450,000
23,977,625
2.5% 1/1/52 (e)
  
22,850,000
23,364,125
2.5% 1/1/52 (e)
  
13,200,000
13,497,000
2.5% 1/1/52 (e)
  
11,350,000
11,605,375
2.5% 1/1/52 (e)
  
12,450,000
12,730,125
2.5% 1/1/52 (e)
  
7,775,000
7,949,938
2.5% 1/1/52 (e)
  
24,750,000
25,306,875
2.5% 1/1/52 (e)
  
5,100,000
5,214,750
2.5% 1/1/52 (e)
  
5,500,000
5,623,750
3% 12/1/51 (e)
  
9,900,000
10,278,211
3% 12/1/51 (e)
  
2,600,000
2,699,328
3% 12/1/51 (e)
  
7,300,000
7,578,883
3% 12/1/51 (e)
  
2,600,000
2,699,328
3% 12/1/51 (e)
  
5,100,000
5,294,836
3% 12/1/51 (e)
  
1,400,000
1,453,484
3% 12/1/51 (e)
  
9,000,000
9,343,828
3% 12/1/51 (e)
  
3,050,000
3,166,519
3% 12/1/51 (e)
  
2,600,000
2,699,328
3% 12/1/51 (e)
  
3,900,000
4,048,992
3% 12/1/51 (e)
  
4,200,000
4,360,453
3% 1/1/52 (e)
  
12,500,000
12,962,403
3% 1/1/52 (e)
  
7,000,000
7,258,945
3% 1/1/52 (e)
  
3,000,000
3,110,977
3% 1/1/52 (e)
  
12,475,000
12,936,478
3% 1/1/52 (e)
  
12,250,000
12,703,154
3% 1/1/52 (e)
  
4,500,000
4,666,465
3% 1/1/52 (e)
  
5,500,000
5,703,457
3.5% 12/1/51 (e)
  
3,000,000
3,153,867
3.5% 12/1/51 (e)
  
5,300,000
5,571,832
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
  
  
1,395,910,575
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $3,858,306,296)
  
  
  
3,880,947,572
 
  
  
  
Asset-Backed Securities - 2.2%
 
  
Principal
Amount (a)
 
Value ($)
 
AASET Trust:
  
  
  
 Series 2018-1A Class A, 3.844% 1/16/38 (b)
  
2,857,618
2,517,709
 Series 2019-1 Class A, 3.844% 5/15/39 (b)
  
4,363,770
4,144,268
 Series 2019-2:
 
  
  
Class A, 3.376% 10/16/39 (b)
 
  
7,219,443
6,952,011
Class B, 4.458% 10/16/39 (b)
 
  
1,333,003
1,110,479
 Series 2021-1A Class A, 2.95% 11/16/41 (b)
  
6,124,296
6,040,320
Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 0.5843% 4/25/36 (c)(f)
  
2,414,000
2,296,609
Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 0.7366% 12/25/35 (f)
  
11,165,000
10,960,292
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b)
  
2,207,000
2,208,309
AIG CLO LLC Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.120% 1.2515% 4/20/32 (b)(c)(f)
  
7,500,000
7,510,530
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 1/15/32 (b)(c)(f)
  
1,584,000
1,584,103
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.14% 10/17/34 (b)(c)(f)
  
3,880,000
3,880,000
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.4615% 1/20/33 (b)(c)(f)
  
3,880,000
3,881,579
Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 7/20/32 (b)(c)(f)
  
16,000,000
16,009,472
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.2715% 7/20/34 (b)(c)(f)
  
4,673,000
4,674,514
Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 1.2916% 11/25/34 (c)(f)
  
3,108,480
3,102,617
Anchorage Capital CLO 17, Ltd. Series 2021-17A Class A1, 3 month U.S. LIBOR + 1.170% 1.3197% 7/15/34 (b)(c)(f)
  
10,500,000
10,482,140
Apollo Aviation Securitization Equity Trust Series 2020-1A:
  
  
  
 Class A, 3.351% 1/16/40 (b)
  
3,498,061
3,315,728
 Class B, 4.335% 1/16/40 (b)
  
609,253
437,515
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 10/15/32 (b)(c)(f)
  
7,102,000
7,104,969
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.2538% 7/15/34 (b)(c)(f)
  
5,889,000
5,892,810
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.3723% 4/17/33 (b)(c)(f)
  
15,169,000
15,173,611
Argent Securities, Inc. pass-thru certificates Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 0.7316% 1/25/36 (c)(f)
  
2,882,890
2,815,212
Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 1.4015% 1/20/34 (b)(c)(f)
  
2,000,000
2,001,594
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/36 (b)(c)(f)
  
3,908,000
3,905,671
Bain Capital Credit CLO, Ltd. Series 2021-2A Class AR, 1.2223% 10/17/32 (b)
  
7,500,000
7,497,038
Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 1.2939% 1/25/35 (b)(c)(f)
  
12,000,000
11,980,752
Battalion CLO XI Ltd. / Battalion CLO XI LLC Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.150% 1.2739% 4/24/34 (b)(c)(f)
  
22,750,000
22,765,857
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.4523% 1/17/33 (b)(c)(f)
  
5,190,000
5,192,595
Bellemeade Re Ltd.:
  
  
  
 Series 2019-4A Class M1A, 1 month U.S. LIBOR + 1.400% 1.4916% 10/25/29 (b)(c)(f)
  
3,882,508
3,882,495
 Series 2021-1A:
 
  
  
Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.750% 1.7997% 3/25/31 (b)(c)(f)
 
  
4,850,000
4,859,380
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.950% 2.9997% 3/25/31 (b)(c)(f)
 
  
2,140,000
2,210,814
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (b)(c)(f)
  
5,907,000
5,906,970
Blackbird Capital Aircraft:
  
  
  
 Series 2016-1A:
 
  
  
Class A, 4.213% 12/16/41 (b)
 
  
7,693,722
7,706,235
Class AA, 2.487% 12/16/41 (b)(c)
 
  
1,093,688
1,097,440
 Series 2021-1A Class A, 2.443% 7/15/46 (b)
  
8,411,042
8,350,971
BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 1.8315% 4/20/33 (b)(c)(f)
  
8,500,000
8,505,823
BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 1.3838% 4/15/34 (b)(c)(f)
  
3,000,000
3,008,691
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1138% 4/15/29 (b)(c)(f)
  
8,338,000
8,320,474
CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27
 
200,000
198,282
Carrington Mortgage Loan Trust Series 2005-FRE1:
  
  
  
 Class M1, 1 month U.S. LIBOR + 0.700% 0.7966% 12/25/35 (c)(f)
  
2,855,034
2,873,471
 Class M2, 1 month U.S. LIBOR + 0.730% 0.8266% 12/25/35 (f)
  
10,000,000
9,838,752
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b)
  
4,729,416
4,726,334
Castlelake Aircraft Securitization Trust Series 2019-1A:
  
  
  
 Class A, 3.967% 4/15/39 (b)
  
6,668,934
6,648,389
 Class B, 5.095% 4/15/39 (b)
  
2,927,377
2,781,544
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b)
  
5,396,686
5,334,990
Cedar Funding Ltd. Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.1% 10/20/32 (b)(c)(f)
  
4,327,000
4,325,196
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.13% 10/25/34 (b)(c)(f)
  
3,624,000
3,621,855
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.3244% 10/20/34 (b)(c)(f)
  
5,895,000
5,880,946
Chase Auto Credit Linked Notes Series 2021-3 Class E, 2.102% 2/26/29 (b)
  
714,361
711,231
CIFC Funding Ltd. Series 2021-7A Class B, 3 month U.S. LIBOR + 1.600% 0% 1/23/35 (b)(c)(f)
  
7,600,000
7,600,000
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.442% 10/25/37 (b)(c)(f)
  
1,357,948
1,367,499
Citibank Credit Card Issuance Trust:
  
  
  
 Series 2018-A3 Class A3, 3.29% 5/23/25
 
700,000
727,468
 Series 2018-A7 Class A7, 3.96% 10/13/30
 
2,100,000
2,403,936
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (b)
  
1,261,536
1,267,129
CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b)
  
3,200,000
3,454,117
Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, 3 month U.S. LIBOR + 1.060% 1.1838% 10/15/31 (b)(c)(f)
  
25,000,000
24,983,275
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b)
  
7,037,800
7,339,799
Dryden CLO, Ltd. Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.15% 10/20/34 (b)(c)(f)
  
3,910,000
3,910,000
Dryden Senior Loan Fund:
  
  
  
 Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3023% 4/17/33 (b)(c)(f)
  
5,400,000
5,402,684
 Series 2021-72A Class BR, 3 month U.S. LIBOR + 1.650% 1.806% 5/15/32 (b)(c)(f)
  
6,000,000
6,000,810
 Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/35 (b)(c)(f)
  
5,160,000
5,156,894
 Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.13% 2/20/35 (b)(c)(e)(f)
  
3,054,000
3,054,000
Eaton Vance CLO, Ltd.:
  
  
  
 Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.4938% 10/15/32 (b)(c)(f)
  
5,900,000
5,901,982
 Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 4/15/31 (b)(c)(f)
  
2,460,000
2,461,690
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.3738% 1/15/34 (b)(c)(f)
  
7,240,000
7,244,083
ECMC Group Student Loan Trust Series 2021-1A Class A1B, 1 month U.S. LIBOR + 0.570% 0.6772% 11/25/70 (b)(c)(f)
  
1,208,051
1,207,511
EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 1.442% 3/25/36 (b)(c)(f)
  
1,109,141
1,132,526
Elevation CLO, Ltd. Series 2021-13A Class A1, 3 month U.S. LIBOR + 1.190% 1.3396% 7/15/34 (b)(c)(f)
  
8,500,000
8,495,053
Elmwood CLO II Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 4/20/34 (b)(c)(f)
  
35,000,000
35,024,185
Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 0.9916% 1/25/36 (c)(f)
  
4,800,000
4,770,915
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b)
  
6,011,142
5,986,123
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(c)
  
3,636,372
3,634,466
Flatiron CLO Ltd. Series 2021-1A:
  
  
  
 Class A1, 3 month U.S. LIBOR + 1.110% 1.2613% 7/19/34 (b)(c)(f)
  
4,210,000
4,215,355
 Class AR, 3 month U.S. LIBOR + 1.080% 0% 11/16/34 (b)(c)(f)
  
5,750,000
5,750,000
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4596% 11/20/33 (b)(c)(f)
  
5,700,000
5,706,133
Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/33 (b)
  
1,190,000
1,181,140
Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, 3 month U.S. LIBOR + 1.140% 1.2638% 4/15/34 (b)(c)(f)
  
35,000,000
35,019,215
Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 0.9% 4/25/34 (b)(c)(f)
EUR
2,000,000
2,264,589
Home Re, Ltd.:
  
  
  
 Series 2021-1:
 
  
  
Class M1A, 1 month U.S. LIBOR + 1.050% 1.1416% 7/25/33 (b)(c)(f)
 
  
305,000
304,152
Class M1B, 1 month U.S. LIBOR + 1.550% 1.6416% 7/25/33 (b)(c)(f)
 
  
165,000
164,222
Class M1C, 1 month U.S. LIBOR + 2.300% 2.3916% 7/25/33 (b)(c)(f)
 
  
745,000
740,439
 Series 2021-2:
 
  
  
Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.600% 1.6497% 1/25/34 (b)(c)(f)
 
  
665,000
662,962
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.800% 2.8497% 1/25/34 (b)(c)(f)
 
  
990,000
990,212
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b)
  
3,278,313
3,243,414
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)
  
4,108,668
4,073,192
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 0.2316% 1/25/37 (c)(f)
  
2,864,007
2,501,384
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.13% 10/22/34 (b)(c)(e)(f)
  
4,148,000
4,148,000
Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 0.65% 7/15/31 (b)(c)(f)
EUR
10,000,000
11,289,172
Jamestown CLO XIV Ltd. Series 2021-14A:
  
  
  
 Class A1AR, 3 month U.S. LIBOR + 1.200% 1.3315% 10/20/34 (b)(c)(f)
  
13,000,000
12,999,961
 Class A2R, 3 month U.S. LIBOR + 1.750% 1.8815% 10/20/34 (b)(c)(f)
  
10,600,000
10,583,962
JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 1.4023% 7/17/29 (b)(c)(f)
  
1,872,079
1,872,199
JPMorgan Chase Bank NA - CACLN Series 2021-2 Class E, 2.28% 12/26/28 (b)
  
995,704
993,157
KKR Financial CLO Ltd. Series 2021-33A Class A, 3 month U.S. LIBOR + 1.170% 1.3015% 7/20/34 (b)(c)(f)
  
13,000,000
13,010,582
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c)
  
6,383,000
6,473,096
LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 1.1115% 3/20/30 (b)(c)(f)
  
7,500,000
7,504,125
Lendmark Funding Trust Series 2021-1A:
  
  
  
 Class A, 1.9% 11/20/31 (b)
  
4,200,000
4,180,533
 Class B, 2.47% 11/20/31 (b)
  
150,000
151,471
Loan Revolving Advance Investment Trust Series 2021-1 Class A1X, 1 month U.S. LIBOR + 2.750% 2.8396% 12/31/22 (b)(c)(f)
  
7,400,000
7,288,549
Logan CLO I, Ltd. / Logan CLO I LLC Series 2021-1A Class A, 3 month U.S. LIBOR + 1.160% 1.3125% 7/20/34 (b)(c)(f)
  
12,500,000
12,505,975
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.120% 1.13% 1/22/35 (b)(c)(e)(f)
  
6,180,000
6,179,672
Madison Park Funding Ltd. Series 2021-10A Class AR3, 3 month U.S. LIBOR + 1.010% 1.1415% 1/20/29 (b)(c)(f)
  
2,937,966
2,938,625
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.2438% 7/15/34 (b)(c)(f)
  
4,233,000
4,230,604
Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 1.1295% 7/21/30 (b)(c)(f)
  
7,000,000
6,995,191
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 10/15/32 (b)(c)(f)
  
3,846,000
3,848,604
Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, 3 month U.S. LIBOR + 1.120% 1.2439% 4/25/32 (b)(c)(f)
  
20,000,000
20,008,840
Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, 3 month U.S. LIBOR + 1.120% 1.2543% 7/17/34 (b)(c)(f)
  
12,500,000
12,492,713
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.2715% 10/20/34 (b)(c)(f)
  
1,417,000
1,416,155
Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 0.9238% 1/15/28 (b)(c)(f)
  
6,832,553
6,839,611
Magnetite XXI Ltd. Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 1/15/33 (b)(c)(f)
  
17,576,000
17,579,515
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 0% 1/25/35 (b)(c)(f)
  
4,904,000
4,904,000
Marlette Funding Trust:
  
  
  
 Series 2019-4A Class A, 2.39% 12/17/29 (b)
  
253,525
253,888
 Series 2021-3A Class A, 0.65% 12/15/31 (b)
  
6,200,000
6,184,341
MASTR Asset Backed Securities Trust:
  
  
  
 Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 0.7916% 11/25/35 (c)(f)
  
10,768,576
7,920,587
 Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 1.8166% 6/25/35 (c)(f)
  
1,816,559
1,831,515
MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 1.2736% 4/19/33 (b)(c)(f)
  
5,000,000
5,008,135
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b)
  
1,856,799
1,907,151
MidOcean Credit CLO V Series 2018-5A Class AR, 3 month U.S. LIBOR + 1.120% 1.2436% 7/19/28 (b)(c)(f)
  
779,344
779,417
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2015% 10/20/30 (b)(c)(f)
  
8,353,000
8,353,217
Morgan Stanley ABS Capital I Trust:
  
  
  
 Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 0.5716% 6/25/36 (f)
  
4,014,847
2,596,953
 Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 0.3516% 5/25/37 (c)(f)
  
2,443,720
2,141,577
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0911% 8/10/23 (b)(c)(f)
  
12,613,000
12,641,909
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (b)
  
6,632,978
6,618,591
Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 0.4516% 9/25/36 (c)(f)
  
8,141,000
7,833,267
Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b)
  
100,000
99,404
Navient Student Loan Trust:
  
  
  
 Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 4/25/40 (c)(f)
  
445,138
443,128
 Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 1.592% 6/25/65 (b)(c)(f)
  
1,475,000
1,526,701
 Series 2017-3A Class A3, 1 month U.S. LIBOR + 1.050% 1.142% 7/26/66 (b)(c)(f)
  
9,093,000
9,114,369
Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 0.3216% 4/25/37 (f)
  
3,621,597
3,570,419
Northwoods Capital XV, Ltd. Series 2021-15A Class A1R, 3 month U.S. LIBOR + 1.210% 1.332% 6/20/34 (b)(c)(f)
  
23,750,000
23,753,634
OCP CLO Ltd. / OCP CLO LLC Series 2021-18A Class AR, 3 month U.S. LIBOR + 1.090% 1.2215% 7/20/32 (b)(c)(f)
  
18,000,000
18,015,426
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.1815% 7/20/30 (b)(c)(f)
  
3,000,000
2,996,817
Oportun Funding XIV, LLC Series 2021-A:
  
  
  
 Class A, 1.21% 3/8/28 (b)
  
600,000
599,476
 Class B, 1.76% 3/8/28 (b)
  
400,000
399,620
Oportun Funding, LLC Series 2020-1 Class B, 3.45% 5/15/24 (b)
  
2,000,000
2,023,194
Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 1.3215% 4/20/34 (b)(c)(f)
  
6,000,000
6,002,478
Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, 3 month U.S. LIBOR + 1.000% 1.1315% 10/20/31 (b)(c)(f)
  
12,750,000
12,756,477
Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 1.396% 2/14/34 (b)(c)(f)
  
2,000,000
1,994,624
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2682% 10/20/34 (b)(c)(f)
  
2,337,000
2,335,624
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b)
  
6,106,238
6,332,901
PMT Credit Risk Transfer Trust Series 2021-1R Class A, 1 month U.S. LIBOR + 2.900% 2.9868% 2/27/24 (b)(c)(f)
  
4,600,269
4,664,318
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
  
3,160,926
3,153,871
Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 1.2115% 4/20/34 (b)(c)(f)
  
4,700,000
4,703,252
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.2515% 4/20/34 (b)(c)(f)
  
7,250,000
7,255,017
Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, 3 month U.S. LIBOR + 1.170% 1.3203% 7/10/34 (b)(c)(f)
  
13,250,000
13,252,001
Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26
 
2,800,000
2,788,946
Sapphire Aviation Finance Series 2020-1A:
  
  
  
 Class A, 3.228% 3/15/40 (b)
  
6,490,636
6,367,697
 Class B, 4.335% 3/15/40 (b)
  
665,815
582,347
Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 1.4515% 4/20/33 (b)(c)(f)
  
12,000,000
11,991,696
SBA Tower Trust:
  
  
  
 Series 2019, 2.836% 1/15/50 (b)
  
8,004,000
8,256,653
 1.884% 7/15/50 (b)
  
2,753,000
2,764,448
 2.328% 7/15/52 (b)
  
2,105,000
2,152,743
Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 0.3716% 6/25/36 (c)(f)
  
2,582,076
2,026,890
Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 1.3715% 1/20/34 (b)(c)(f)
  
5,000,000
5,009,010
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b)
  
355,171
355,801
Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, 3 month U.S. LIBOR + 1.070% 1.1939% 10/23/31 (b)(c)(f)
  
10,250,000
10,250,133
Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 0.3916% 1/25/37 (c)(f)
  
7,309,000
7,067,160
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b)
  
1,496,875
1,480,663
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1836% 7/15/32 (b)(c)(f)
  
768,000
768,094
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 1/15/34 (b)(c)(f)
  
3,410,000
3,410,000
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1315% 1/20/29 (b)(c)(f)
  
5,538,000
5,557,499
TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, 3 month U.S. LIBOR + 1.160% 1.3337% 4/20/34 (b)(c)(f)
  
5,500,000
5,501,513
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (c)(f)
  
3,983
3,731
TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 2.8916% 6/25/24 (b)(c)(f)
  
1,250,000
1,246,104
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c)
  
9,546,318
9,529,068
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)
  
9,746,721
9,722,372
Towd Point Mortgage Trust:
  
  
  
 Series 2019-1 Class A1, 3.6777% 3/25/58 (b)(c)
  
1,725,536
1,790,501
 Series 2020-4 Class A1, 1.75% 10/25/60 (b)
  
2,560,463
2,562,409
Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 1.4439% 4/25/34 (b)(c)(f)
  
12,000,000
11,967,204
Upstart Securitization Trust:
  
  
  
 Series 2021-1 Class A, 0.87% 3/20/31 (b)
  
514,180
512,672
 Series 2021-2 Class A, 0.91% 6/20/31 (b)
  
7,468,852
7,462,100
 Series 2021-3 Class A, 0.83% 7/20/31 (b)
  
11,739,639
11,712,873
 Series 2021-4 Class A, 0.84% 9/20/31 (b)
  
10,782,813
10,693,255
Venture 43 CLO, Ltd. Series 2021-43A Class A1, 3 month U.S. LIBOR + 1.240% 1.3638% 4/15/34 (b)(c)(f)
  
15,200,000
15,184,724
VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b)
  
13,616,098
13,586,663
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.4015% 7/20/32 (b)(c)(f)
  
8,868,000
8,870,394
Voya CLO Ltd./Voya CLO LLC:
  
  
  
 Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.2836% 7/19/34 (b)(c)(f)
  
15,930,000
15,920,904
 Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 10/20/34 (b)(c)(f)
  
7,430,000
7,425,579
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2723% 7/16/34 (b)(c)(f)
  
3,924,000
3,923,988
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $1,070,913,157)
  
  
1,069,514,586
 
  
  
  
Collateralized Mortgage Obligations - 0.6%
 
  
Principal
Amount (a)
 
Value ($)
 
Private Sponsor - 0.4%
 
  
  
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b)
  
1,944,032
1,949,865
Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.220% 0.3116% 9/25/47 (f)
  
2,185,107
2,110,193
BCAP LLC Trust sequential payer Series 2010-RR4 Class 31A6, 6.461% 1/26/37 (b)(c)
  
3,861,618
3,630,560
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
  
3,678,074
3,678,320
Cascade Funding Mortgage Trust:
  
  
  
 Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
  
6,310,057
6,302,183
 Series 2021-HB5 Class A, 0.8006% 2/25/31 (b)
  
4,407,308
4,404,242
 Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
  
5,464,000
5,455,900
Central Park Funding Trust floater:
  
  
  
 Series 2021-1 Class PT, 1 month U.S. LIBOR + 2.750% 2.8404% 8/29/22 (b)(c)(f)
  
12,163,228
12,426,404
 Series 2021-2 Class PT, 3.093% 10/27/22 (b)(c)
  
15,312,570
15,360,023
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b)
  
3,157,291
3,160,686
CIM Trust:
  
  
  
 sequential payer:
 
  
  
Series 2021-R1 Class A2, 2.4% 8/25/56 (b)
 
  
7,891,990
7,822,430
Series 2021-R3 Class A1A, 1.951% 6/25/57 (b)
 
  
10,153,994
10,146,022
Series 2021-R4 Class A1A, 2% 5/1/61 (b)
 
  
10,071,658
10,020,319
 Series 2021-R5 Class A1A, 2% 8/25/61 (b)(c)
  
8,305,100
8,209,124
Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35
 
1,560,592
1,576,366
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b)
  
4,723,853
4,727,693
Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 2.142% 1/25/40 (b)(c)(f)
  
608,175
610,142
Credit Suisse Mortgage Trust 0% 10/1/61 (b)(e)
  
10,500,000
11,005,050
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.3921% 5/27/37 (b)(c)(f)
  
308,809
303,686
CSMC Trust sequential payer:
  
  
  
 Series 2020-RPL2 Class A12, 3.4253% 2/25/60 (b)(c)
  
726,747
745,388
 Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c)
  
4,812,546
4,828,608
 Series 2020-RPL4 Class A1, 2% 1/25/60 (b)
  
2,452,044
2,466,517
CSMCM Trust Certificates 0% 10/1/61 (b)(e)
  
450,000
471,645
CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35
 
2,318,417
2,290,999
Eagle Re Ltd. floater Series 2021-1:
  
  
  
 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.1997% 10/25/33 (b)(c)(f)
  
1,125,000
1,132,660
 Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.700% 2.7497% 10/25/33 (b)(c)(f)
  
1,735,000
1,771,721
GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.0914% 11/19/35 (c)
  
1,792,701
1,735,891
GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 0.5316% 8/25/46 (c)(f)
  
18,829,758
5,854,360
J.P. Morgan Mortgage Trust Series 2021-13 Class A3, 2.5% 4/25/52 (b)
  
14,620,333
14,673,445
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(c)
  
5,800,000
5,855,158
Legacy Mortgage Asset Trust sequential payer Series 2021-SL1 Class A, 1.991% 9/25/60 (b)
  
2,521,716
2,524,211
Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 0.2716% 2/25/36 (f)
  
6,687,506
4,438,688
MRA Issuance Trust floater:
  
  
  
 Series 2021-10 Class A1X, 1 month U.S. LIBOR + 1.500% 1.5864% 2/22/23 (b)(c)(f)
  
14,920,000
14,933,891
 Series 2021-EBO3:
 
  
  
Class A1X, 1 month U.S. LIBOR + 1.750% 1.8364% 3/31/23 (b)(c)(f)
 
  
5,570,000
5,565,087
Class A2, 1 month U.S. LIBOR + 2.750% 2.8364% 3/31/23 (b)(c)(f)
 
  
6,430,000
6,424,309
New Residential Mortgage Loan Trust:
  
  
  
 Series 2019-5A Class A1B, 3.5% 8/25/59 (b)
  
1,497,141
1,549,698
 Series 2020-1A Class A1B, 3.5% 10/25/59 (b)
  
2,682,135
2,821,914
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)
  
5,246,846
5,205,859
NMLT Trust Series 2021-INV3 2.2769% 11/25/56 (b)
  
6,815,957
7,295,204
Preston Ridge Partners Mortgage Trust:
  
  
  
 Series 2021-1 Class A1, 2.115% 1/25/26 (b)
  
4,538,082
4,537,646
 Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)
  
2,507,049
2,484,872
RALI Trust:
  
  
  
 Series 2006-QS4 Class A4, 6% 4/25/36
 
1,787,854
1,771,138
 Series 2007-QS3 Class A5, 6.25% 2/25/37
 
2,876,068
2,766,809
 Series 2007-QS8 Class A5, 6% 6/25/37
 
1,043,210
1,001,337
Retiro Mortgage Securities floater Series 2021-1A Class A1, 2.000% x 3 month EURIBOR 1.444% 7/30/75 (b)(c)(f)
EUR
1,796,276
2,026,708
RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b)
  
1,599,649
1,598,893
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 (c)(f)
  
917
898
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.732% 9/25/43 (c)(f)
  
1,611,823
1,591,639
WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 0.832% 1/25/45 (f)
  
1,781,984
1,774,384
TOTAL PRIVATE SPONSOR
  
  
225,038,785
U.S. Government Agency - 0.2%
 
  
  
Fannie Mae:
  
  
  
 planned amortization class Series 2012-149:
 
  
  
Class DA, 1.75% 1/25/43
 
  
790,176
797,588
Class GA, 1.75% 6/25/42
 
  
856,698
866,234
 Series 2005-79 Class ZC, 5.9% 9/25/35
 
216,386
244,895
 Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.453% 8/25/37 (c)(l)(m)
  
729,278
149,962
 Series 2010-135 Class ZA, 4.5% 12/25/40
 
408,842
458,066
 Series 2010-150 Class ZC, 4.75% 1/25/41
 
673,739
758,980
 Series 2010-95 Class ZC, 5% 9/25/40
 
1,465,242
1,644,595
 Series 2011-4 Class PZ, 5% 2/25/41
 
238,634
259,375
 Series 2012-100 Class WI, 3% 9/25/27 (l)
  
363,072
24,740
 Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.558% 12/25/30 (c)(l)(m)
  
71,113
3,458
 Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.458% 6/25/41 (c)(l)(m)
  
57,213
2,143
 Series 2013-133 Class IB, 3% 4/25/32 (l)
  
158,522
5,479
 Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.958% 1/25/44 (c)(l)(m)
  
116,902
21,953
 Series 2013-44 Class DJ, 1.85% 5/25/33
 
7,520,755
7,614,322
 Series 2013-51 Class GI, 3% 10/25/32 (l)
  
556,971
39,183
 Series 2015-42 Class IL, 6% 6/25/45 (l)
  
723,371
137,075
 Series 2015-70 Class JC, 3% 10/25/45
 
604,850
634,146
 Series 2017-30 Class AI, 5.5% 5/25/47 (l)
  
410,833
79,137
Freddie Mac:
  
  
  
 planned amortization class:
 
  
  
Series 2020-4960 Class PB, 1.5% 10/25/49
 
  
3,496,322
3,544,041
Series 4135 Class AB, 1.75% 6/15/42
 
  
644,056
651,810
 sequential payer Series 3871 Class KB, 5.5% 6/15/41
 
515,427
590,227
 Series 2017-4683 Class LM, 3% 5/15/47
 
874,285
913,514
 Series 2933 Class ZM, 5.75% 2/15/35
 
450,836
508,138
 Series 2996 Class ZD, 5.5% 6/15/35
 
286,170
324,693
 Series 3237 Class C, 5.5% 11/15/36
 
403,498
451,146
 Series 3980 Class EP, 5% 1/15/42
 
2,199,276
2,452,330
 Series 4055 Class BI, 3.5% 5/15/31 (l)
  
173,752
7,310
 Series 4149 Class IO, 3% 1/15/33 (l)
  
285,474
25,597
 Series 4314 Class AI, 5% 3/15/34 (l)
  
60,931
3,255
 Series 4427 Class LI, 3.5% 2/15/34 (l)
  
385,231
29,398
 Series 4471 Class PA 4% 12/15/40
 
334,476
354,551
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40
 
610,038
671,454
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57
 
2,244,086
2,401,077
Freddie Mac STACR REMIC Trust floater:
  
  
  
 Series 2019-DNA4 Class B1, 1 month U.S. LIBOR + 2.700% 2.792% 10/25/49 (b)(c)(f)
  
9,700,000
9,750,198
 Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.0497% 12/25/50 (b)(c)(f)
  
3,910,000
3,956,514
 Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.400% 3.4497% 8/25/33 (b)(c)(f)
  
4,380,000
4,497,753
 Series 2021-HQA1:
 
  
  
Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.0497% 8/25/33 (b)(c)(f)
 
  
2,700,000
2,705,950
Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.250% 2.2997% 8/25/33 (b)(c)(f)
 
  
3,900,000
3,928,966
Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, 1 month U.S. LIBOR + 2.300% 2.392% 1/25/50 (b)(c)(f)
  
6,600,000
6,584,182
Ginnie Mae guaranteed REMIC pass-thru certificates:
  
  
  
 floater:
 
  
  
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4553% 12/20/60 (c)(f)(n)
 
  
827,731
828,024
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6253% 9/20/61 (c)(f)(n)
 
  
3,447,149
3,460,160
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.5953% 8/20/62 (c)(f)(n)
 
  
576,686
578,777
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7253% 5/20/61 (c)(f)(n)
 
  
5,758
5,798
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.6753% 8/20/63 (c)(f)(n)
 
  
1,609,690
1,614,234
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.5911% 10/20/49 (c)(f)
 
  
332,928
335,115
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5411% 12/20/49 (c)(f)
 
  
4,005,537
4,045,833
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5411% 2/20/49 (c)(f)
 
  
1,647,076
1,660,218
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.5911% 8/20/49 (c)(f)
 
  
476,040
481,698
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.4911% 3/20/50 (c)(f)
 
  
3,705,882
3,728,718
 planned amortization class:
 
  
  
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8177% 12/20/40 (c)(m)
 
  
615,248
701,411
Series 2016-69 Class WA, 3% 2/20/46
 
  
387,498
404,926
Series 2017-134 Class BA, 2.5% 11/20/46
 
  
943,844
976,445
 sequential payer:
 
  
  
Series 2010-160 Class DY, 4% 12/20/40
 
  
1,264,747
1,349,814
Series 2010-170 Class B, 4% 12/20/40
 
  
284,700
303,911
Series 2017-139 Class BA, 3% 9/20/47
 
  
3,994,869
4,195,731
 Series 2010-116 Class QB, 4% 9/16/40
 
2,203,655
2,358,060
 Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8609% 2/16/40 (c)(l)(m)
  
384,386
59,002
 Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0089% 7/20/41 (c)(l)(m)
  
94,234
17,255
 Series 2013-149 Class MA, 2.5% 5/20/40
 
1,242,158
1,266,559
 Series 2015-H13 Class HA, 2.5% 8/20/64 (n)
  
9,057
9,292
 Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.44% 8/20/66 (c)(f)(n)
  
2,434,962
2,413,244
TOTAL U.S. GOVERNMENT AGENCY
  
  
88,887,660
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $314,643,174)
  
  
  
313,926,445
 
  
  
  
Commercial Mortgage Securities - 2.2%
 
  
Principal
Amount (a)
 
Value ($)
 
3650R Commercial Mortgage Trust sequential payer Series 2021-PF1 Class A4, 2.253% 11/15/54
 
4,200,000
4,197,883
Arbor Multifamily Mortgage Securities Trust sequential payer Series 2021-MF2 Class A4, 2.2515% 6/15/54 (b)
  
9,500,000
9,569,057
Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 0.99% 4/15/35 (b)(c)(f)
  
3,546,916
3,536,360
BAMLL Commercial Mortgage Securities Trust:
  
  
  
 floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.84% 11/15/30 (b)(c)(f)
  
5,954,000
6,032,646
 sequential payer Series 2019-BPR:
 
  
  
Class AMP, 3.287% 11/5/32 (b)
 
  
6,500,000
6,676,285
Class ANM, 3.112% 11/5/32 (b)
 
  
4,963,000
5,085,801
 Series 2019-BPR:
 
  
  
Class BNM, 3.465% 11/5/32 (b)
 
  
1,113,000
1,126,193
Class CNM, 3.8425% 11/5/32 (b)(c)
 
  
461,000
462,159
BANK:
  
  
  
 sequential payer:
 
  
  
Series 2019-BN21:
 
  
  
  
 Class A4, 2.6% 10/17/52
 
4,400,000
4,535,900
 Class A5, 2.851% 10/17/52
 
838,000
881,816
Series 2020-BN28 Class A3, 1.584% 3/15/63
 
  
9,000,000
8,640,185
Series 2021-BN31 Class A3, 1.771% 2/15/54
 
  
2,000,000
1,942,234
Series 2021-BN32 Class A4, 2.349% 4/15/54
 
  
20,000,000
20,331,112
Series 2021-BN33 Class A4, 2.27% 5/15/64
 
  
9,000,000
9,097,876
 Series 2020-BN25 Class XB, 0.5326% 1/15/63 (c)(l)
  
5,200,000
177,118
 Series 2021-BN31 Class XB, 0.9764% 2/15/54 (c)(l)
  
7,000,000
512,312
 Series 2021-BN33 Class XA, 1.1754% 5/15/64 (c)(l)
  
8,991,852
698,398
 Series 2021-BN34 Class XB, 0.6267% 6/15/63 (c)(l)
  
171,794,000
7,948,204
Bayview Commercial Asset Trust floater:
  
  
  
 Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 11/25/35 (b)(c)(f)
  
18,519
17,745
 Series 2005-4A:
 
  
  
Class A2, 1 month U.S. LIBOR + 0.580% 0.6766% 1/25/36 (b)(c)(f)
 
  
45,858
44,323
Class M1, 1 month U.S. LIBOR + 0.670% 0.7666% 1/25/36 (b)(c)(f)
 
  
14,802
14,302
 Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.400% 0.4966% 12/25/36 (b)(c)(f)
  
103,083
98,657
 Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3616% 3/25/37 (b)(c)(f)
  
25,969
24,911
 Series 2007-2A:
 
  
  
Class A1, 1 month U.S. LIBOR + 0.270% 0.3616% 7/25/37 (b)(c)(f)
 
  
75,850
72,920
Class A2, 1 month U.S. LIBOR + 0.320% 0.4116% 7/25/37 (b)(c)(f)
 
  
71,015
66,141
Class M1, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(f)
 
  
24,172
23,425
 Series 2007-3:
 
  
  
Class A2, 1 month U.S. LIBOR + 0.290% 0.3816% 7/25/37 (b)(c)(f)
 
  
27,052
25,681
Class M1, 1 month U.S. LIBOR + 0.310% 0.4016% 7/25/37 (b)(c)(f)
 
  
14,336
13,534
Class M2, 1 month U.S. LIBOR + 0.340% 0.4316% 7/25/37 (b)(c)(f)
 
  
15,334
14,322
Class M3, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(f)
 
  
24,559
22,445
Class M4, 1 month U.S. LIBOR + 0.500% 0.5916% 7/25/37 (b)(c)(f)
 
  
38,770
35,206
Class M5, 1 month U.S. LIBOR + 0.600% 0.6916% 7/25/37 (b)(c)(f)
 
  
16,313
18,773
BBCMS Mortgage Trust sequential payer:
  
  
  
 Series 2019-C4 Class A4, 2.661% 8/15/52
 
4,000,000
4,112,259
 Series 2021-C9 Class A4, 2.021% 2/15/54
 
10,000,000
9,901,835
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51
 
1,700,000
1,795,086
Benchmark Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2018-B4 Class A5, 4.121% 7/15/51
 
  
949,000
1,067,758
Series 2019-B10 Class A4, 3.717% 3/15/62
 
  
1,673,000
1,858,626
Series 2019-B13 Class A4, 2.952% 8/15/57
 
  
7,629,000
8,066,336
Series 2020-B18 Class A4, 1.672% 7/15/53
 
  
10,000,000
9,682,028
Series 2020-B19:
 
  
  
  
 Class A3, 1.787% 9/15/53
 
5,800,000
5,800,338
 Class A4, 1.546% 9/15/53
 
12,500,000
12,083,249
Series 2020-B22 Class A4, 1.685% 1/15/54
 
  
3,175,000
3,065,423
Series 2021-B23 Class A4A1, 1.823% 2/15/54
 
  
2,000,000
1,950,629
Series 2021-B24 Class A4, 2.2638% 3/15/54
 
  
17,600,000
17,669,460
Series 2021-B26 Class A4, 2.295% 6/15/54
 
  
8,800,000
8,915,008
 Series 2019-B12 Class XA, 1.2% 8/15/52 (c)(l)
  
39,929,079
2,335,875
 Series 2019-B14 Class XA, 0.9093% 12/15/62 (c)(l)
  
22,826,238
1,017,459
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.14% 11/15/28 (b)(c)(f)
  
7,501,000
7,510,031
BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 1.3395% 7/15/35 (b)(c)(f)
  
10,931,821
10,935,523
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.84% 9/15/26 (b)(c)(f)
  
8,921,000
8,906,280
BX Commercial Mortgage Trust:
  
  
  
 floater:
 
  
  
Series 2020-BXLP:
 
  
  
  
 Class B, 1 month U.S. LIBOR + 1.000% 1.09% 12/15/36 (b)(c)(f)
  
3,716,768
3,707,451
 Class C, 1 month U.S. LIBOR + 1.120% 1.21% 12/15/36 (b)(c)(f)
  
3,080,465
3,070,888
 Class D, 1 month U.S. LIBOR + 1.250% 1.34% 12/15/36 (b)(c)(f)
  
4,257,874
4,239,202
 Class G, 1 month U.S. LIBOR + 2.500% 2.59% 12/15/36 (b)(c)(f)
  
5,427,767
5,366,817
Series 2021-PAC:
 
  
  
  
 Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (b)(c)(f)
  
8,026,000
8,003,427
 Class B, 1 month U.S. LIBOR + 0.890% 0.9888% 10/15/36 (b)(c)(f)
  
1,201,000
1,198,098
 Class C, 1 month U.S. LIBOR + 1.090% 1.1886% 10/15/36 (b)(c)(f)
  
1,607,000
1,603,121
 Class D, 1 month U.S. LIBOR + 1.290% 1.3883% 10/15/36 (b)(c)(f)
  
1,560,000
1,556,231
 Class E, 1 month U.S. LIBOR + 1.940% 2.0375% 10/15/36 (b)(c)(f)
  
5,425,000
5,411,897
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7423% 5/15/38 (b)(c)(f)
 
  
5,200,000
5,184,169
 floater sequential payer:
 
  
  
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.966% 11/15/32 (b)(c)(f)
 
  
1,900,000
1,900,000
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (b)(c)(f)
 
  
7,358,381
7,351,462
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.09% 11/15/32 (b)(c)(f)
 
  
4,342,967
4,337,741
BX Trust:
  
  
  
 floater:
 
  
  
Series 2018-EXCL:
 
  
  
  
 Class A, 1 month U.S. LIBOR + 1.088% 1.1776% 9/15/37 (b)(c)(f)
  
3,531,998
3,516,850
 Class B, 1 month U.S. LIBOR + 1.320% 1.415% 9/15/37 (b)(c)(f)
  
4,037,040
3,938,422
 Class D, 1 month U.S. LIBOR + 2.620% 2.715% 9/15/37 (b)(c)(f)
  
2,297,817
1,955,859
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.89% 11/15/35 (b)(c)(f)
 
  
2,713,900
2,703,698
Series 2019-IMC:
 
  
  
  
 Class B, 1 month U.S. LIBOR + 1.300% 1.389% 4/15/34 (b)(c)(f)
  
4,464,000
4,433,232
 Class C, 1 month U.S. LIBOR + 1.600% 1.689% 4/15/34 (b)(c)(f)
  
2,952,000
2,918,863
 Class D, 1 month U.S. LIBOR + 1.900% 1.989% 4/15/34 (b)(c)(f)
  
3,099,000
3,056,292
Series 2019-XL:
 
  
  
  
 Class B, 1 month U.S. LIBOR + 1.080% 1.17% 10/15/36 (b)(c)(f)
  
3,409,350
3,401,876
 Class C, 1 month U.S. LIBOR + 1.250% 1.34% 10/15/36 (b)(c)(f)
  
4,286,550
4,274,510
 Class D, 1 month U.S. LIBOR + 1.450% 1.54% 10/15/36 (b)(c)(f)
  
6,070,700
6,050,003
 Class E, 1 month U.S. LIBOR + 1.800% 1.89% 10/15/36 (b)(c)(f)
  
8,530,600
8,495,857
 Class G, 1 month U.S. LIBOR + 2.300% 2.39% 10/15/36 (b)(c)(f)
  
15,725,000
15,587,034
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.69% 12/15/36 (b)(c)(f)
 
  
3,905,487
3,885,907
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 0.95% 11/15/26 (b)(c)(f)
 
  
7,885,000
7,865,347
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.7259% 10/15/26 (b)(c)(f)
 
  
7,377,000
7,319,670
 floater sequential payer:
 
  
  
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.7895% 1/15/34 (b)(c)(f)
 
  
3,562,000
3,547,497
Series 2021-SOAR Class A, 0.76% 6/15/38 (b)(c)
 
  
7,620,000
7,577,243
 floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.089% 4/15/34 (b)(c)(f)
  
6,200,000
6,186,407
BXMT, Ltd. floater Series 2020-FL3 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.400% 1.5622% 3/15/37 (b)(f)
  
20,100,000
20,134,170
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50
 
2,500,000
2,574,223
CF Hippolyta Issuer LLC sequential payer:
  
  
  
 Series 2020-1:
 
  
  
Class A1, 1.69% 7/15/60 (b)
 
  
17,177,027
17,105,610
Class A2, 1.99% 7/15/60 (b)
 
  
6,837,482
6,755,071
 Series 2021-1A Class A1, 1.53% 3/15/61 (b)
  
8,739,322
8,594,757
CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49
 
939,742
972,570
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.950% 1.0395% 11/15/36 (b)(c)(f)
  
3,687,000
3,677,762
 Class B, 1 month U.S. LIBOR + 1.250% 1.3395% 11/15/36 (b)(c)(f)
  
1,400,000
1,391,297
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b)
  
4,982,000
5,003,647
CHC Commercial Mortgage Trust floater Series 2019-CHC:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (b)(c)(f)
  
13,955,140
13,928,888
 Class B, 1 month U.S. LIBOR + 1.500% 1.59% 6/15/34 (b)(c)(f)
  
2,103,645
2,087,817
 Class C, 1 month U.S. LIBOR + 1.750% 1.84% 6/15/34 (b)(c)(f)
  
2,376,653
2,346,854
CIM Retail Portfolio Trust floater Series 2021-RETL:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (b)(c)(f)
  
5,048,000
5,038,485
 Class B, 1 month U.S. LIBOR + 1.900% 1.99% 8/15/36 (b)(c)(f)
  
1,554,000
1,548,152
 Class C, 1 month U.S. LIBOR + 2.300% 2.39% 8/15/36 (b)(c)(f)
  
1,156,000
1,150,923
 Class D, 1 month U.S. LIBOR + 3.050% 3.14% 8/15/36 (b)(c)(f)
  
1,427,000
1,419,844
Citigroup Commercial Mortgage Trust:
  
  
  
 floater Series 2020-WSS Class A, 1 month U.S. LIBOR + 1.950% 2.0395% 2/15/39 (b)(c)(f)
  
6,045,385
6,090,304
 sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49
 
3,106,002
3,199,181
 Series 2015-GC29 Class XA, 1.1711% 4/10/48 (c)(l)
  
29,487,284
873,997
 Series 2015-GC33 Class XA, 1.0347% 9/10/58 (c)(l)
  
18,112,247
526,519
 Series 2016-C2 Class A3, 2.575% 8/10/49
 
2,800,000
2,866,215
 Series 2016-GC36 Class A4, 3.349% 2/10/49
 
2,500,000
2,613,122
 Series 2016-P6 Class XA, 0.7802% 12/10/49 (c)(l)
  
13,948,163
323,763
COMM Mortgage Trust:
  
  
  
 floater Series 2021-LBA Class E, 1 month U.S. LIBOR + 1.800% 1.89% 3/15/38 (b)(c)(f)
  
3,975,000
3,965,320
 sequential payer:
 
  
  
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b)
 
  
1,700,000
1,743,652
Series 2014-CR18 Class A5, 3.828% 7/15/47
 
  
1,610,000
1,702,269
Series 2016-COR1 Class A3, 2.826% 10/10/49
 
  
7,520,414
7,749,077
 Series 2014-CR17 Class XA, 1.1207% 5/10/47 (c)(l)
  
17,866,928
346,479
 Series 2014-CR20 Class XA, 1.1497% 11/10/47 (c)(l)
  
16,705,853
406,906
 Series 2014-LC17 Class XA, 0.8567% 10/10/47 (c)(l)
  
34,902,392
584,496
 Series 2014-UBS6:
 
  
  
Class A5, 3.644% 12/10/47
 
  
3,900,000
4,127,176
Class XA, 1.0107% 12/10/47 (c)(l)
 
  
10,319,199
222,168
 Series 2015-CR23 Class A3, 3.23% 5/10/48
 
2,500,000
2,594,801
 Series 2015-CR24 Class A4, 3.432% 8/10/48
 
1,401,442
1,455,708
 Series 2015-PC1 Class A4, 3.62% 7/10/50
 
1,462,650
1,506,395
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.97% 12/15/31 (b)(c)(f)
  
424,204
422,607
Credit Suisse Mortgage Trust:
  
  
  
 floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.07% 5/15/36 (b)(c)(f)
  
5,263,000
5,262,999
 sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
  
2,253,000
2,278,418
 Series 2018-SITE:
 
  
  
Class A, 4.284% 4/15/36 (b)
 
  
5,237,000
5,399,161
Class B, 4.5349% 4/15/36 (b)
 
  
1,543,000
1,576,173
Class C, 4.9414% 4/15/36 (b)(c)
 
  
1,033,000
1,045,939
Class D, 4.9414% 4/15/36 (b)(c)
 
  
2,066,000
2,037,391
CSAIL Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2021-C20 Class A2, 2.4862% 3/15/54
 
16,000,000
16,377,482
 Series 2016-C7 Class A4, 3.21% 11/15/49
 
3,186,022
3,333,537
CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49
 
2,000,000
2,166,867
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5442% 8/10/44 (b)(c)
  
778,557
779,772
DBWF Mortgage Trust Series 2018-AMXP Class B, 4.122% 5/5/35 (b)(c)
  
762,000
761,789
DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b)
  
13,500,000
14,146,465
ELP Commercial Mortgage Trust floater Series 2021-ELP:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (b)(c)(f)
  
10,980,000
10,928,454
 Class B, 1 month U.S. LIBOR + 1.120% 1.2202% 11/15/38 (b)(c)(f)
  
975,000
970,424
Extended Stay America Trust floater Series 2021-ESH:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (b)(c)(f)
  
3,677,866
3,675,661
 Class B, 1 month U.S. LIBOR + 1.380% 1.47% 7/15/38 (b)(c)(f)
  
2,094,106
2,092,793
 Class C, 1 month U.S. LIBOR + 1.700% 1.79% 7/15/38 (b)(c)(f)
  
1,543,968
1,543,504
 Class D, 1 month U.S. LIBOR + 2.250% 2.34% 7/15/38 (b)(c)(f)
  
3,119,770
3,119,767
Freddie Mac:
  
  
  
 floater:
 
  
  
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 1/25/31 (c)(f)
 
  
3,800,000
3,796,553
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 2/25/31 (c)(f)
 
  
11,600,000
11,605,749
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f)
 
  
12,800,000
12,806,317
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f)
 
  
9,300,000
9,291,643
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f)
 
  
7,799,323
7,792,229
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 4/25/31 (c)(f)
 
  
17,400,000
17,400,000
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 5/25/28 (c)(f)
 
  
15,011,373
15,011,373
Series 2021-F114 Class A/S, 0.2677% 5/25/31 (c)
 
  
23,610,000
23,588,860
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2577% 6/25/31 (c)(f)
 
  
20,923,000
20,883,022
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.2277% 8/25/28 (c)(f)
 
  
5,804,000
5,792,510
 floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2677% 10/25/31 (c)(f)
  
32,351,000
32,291,778
 Series 2019-K095 Class X1, 1.0824% 6/25/29 (c)(l)
  
13,952,300
884,231
 Series 2020-K106 Class X1, 1.4773% 1/25/30 (c)(l)
  
60,789,599
5,830,841
 Series 2020-K111 Class X1, 1.6809% 5/25/30 (c)(l)
  
24,937,013
2,876,021
 Series 2021-K124 Class X1, 0.8119% 12/25/30 (c)(l)
  
6,494,445
375,893
 Series 2021-K741 Class X1, 0.6573% 12/25/27 (c)(l)
  
140,860,729
4,440,973
Greystone Commercial Capital Trust floater Series 2021-3 Class A, 1 month U.S. LIBOR + 2.230% 2.3159% 8/17/23 (b)(c)(f)(g)
  
7,000,000
6,999,300
GS Mortgage Securities Corp. Trust floater Series 2019-BOCA Class A, 1 month U.S. LIBOR + 1.200% 1.29% 6/15/38 (b)(c)(f)
  
6,630,000
6,625,931
GS Mortgage Securities Trust:
  
  
  
 floater:
 
  
  
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.789% 9/15/31 (b)(c)(f)
 
  
12,410,727
12,368,120
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.18% 10/15/31 (b)(c)(f)
 
  
4,013,000
4,004,026
Series 2021-IP:
 
  
  
  
 Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (b)(c)(f)
  
4,720,000
4,721,401
 Class B, 1 month U.S. LIBOR + 1.150% 1.24% 10/15/36 (b)(c)(f)
  
730,000
730,219
 Class C, 1 month U.S. LIBOR + 1.550% 1.64% 10/15/36 (b)(c)(f)
  
601,000
601,178
Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 1.6411% 11/21/35 (b)(c)(f)
 
  
3,525,000
3,509,517
 sequential payer:
 
  
  
Series 2014-GC18 Class A3, 3.801% 1/10/47
 
  
868,155
892,297
Series 2015-GS1 Class A3, 3.734% 11/10/48
 
  
13,884,000
14,920,077
Series 2020-GSA2 Class A4, 1.721% 12/12/53
 
  
4,940,000
4,777,587
 Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c)
  
13,074,039
13,127,917
 Series 2015-GC30 Class A3, 3.119% 5/10/50
 
1,940,264
2,018,707
 Series 2015-GC34 Class XA, 1.3754% 10/10/48 (c)(l)
  
5,585,660
218,824
 Series 2019-GC40 Class A3, 2.904% 7/10/52
 
2,000,000
2,102,608
 Series 2021-RENT:
 
  
  
Class D, 1 month U.S. LIBOR + 1.850% 1.9411% 11/21/35 (b)(c)(f)
 
  
2,175,000
2,165,446
Class XCP, 2.8236% 11/21/35 (b)(c)(g)(l)
 
  
72,804,200
11,394
JP Morgan Chase Commercial Mortgage Securities Trust floater Series 2018-PHH Class A, 1 month U.S. LIBOR + 1.060% 2.56% 6/15/35 (b)(c)(f)
  
2,936,330
2,921,742
JPMBB Commercial Mortgage Securities Trust:
  
  
  
 sequential payer Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b)
  
2,889,645
3,002,274
 Series 2013-C14 Class A/S, 4.4093% 8/15/46
 
3,088,000
3,189,924
 Series 2014-C19 Class XA, 0.8119% 4/15/47 (c)(l)
  
2,829,152
38,493
 Series 2015-C30 Class A4, 3.5508% 7/15/48
 
1,900,000
1,998,055
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b)
  
750,000
761,196
JPMorgan Chase Commercial Mortgage Securities Trust:
  
  
  
 floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.09% 9/15/29 (b)(c)(f)
  
6,300,000
6,288,007
 sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46
 
1,800,000
1,835,865
 Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b)
  
2,000,000
2,024,677
 Series 2012-CBX Class A/S, 4.2707% 6/15/45
 
2,477,000
2,508,167
 Series 2018-WPT:
 
  
  
Class AFX, 4.2475% 7/5/33 (b)
 
  
2,700,000
2,815,031
Class CFX, 4.9498% 7/5/33 (b)
 
  
919,000
953,596
Class DFX, 5.3503% 7/5/33 (b)
 
  
1,414,000
1,462,664
Class EFX, 5.5422% 7/5/33 (b)
 
  
1,934,000
1,975,905
Class XAFX, 1.2948% 7/5/33 (b)(c)(l)
 
  
10,000,000
154,855
 Series 2019-COR4 Class A3, 3.7629% 3/10/52
 
5,400,000
5,828,913
 Series 2021-MHC Class XCP, 1 month U.S. LIBOR + 0.000% 1.4212% 4/15/38 (b)(c)(f)(l)
  
164,060,500
3,189,795
LIFE Mortgage Trust floater Series 2021-BMR:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (b)(c)(f)
  
6,931,000
6,916,943
 Class B, 1 month U.S. LIBOR + 0.880% 0.97% 3/15/38 (b)(c)(f)
  
1,672,000
1,659,956
 Class C, 1 month U.S. LIBOR + 1.100% 1.19% 3/15/38 (b)(c)(f)
  
1,052,000
1,043,145
MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 0.850% 1.19% 11/15/36 (b)(c)(f)
  
6,000,000
5,992,447
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.24% 8/15/37 (b)(c)(f)
  
1,982,257
1,979,155
MHC Commercial Mortgage Trust:
  
  
  
 floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.100% 2.1905% 4/15/38 (b)(c)(f)
  
5,425,000
5,413,114
 floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.8905% 4/15/38 (b)(c)(f)
  
4,900,000
4,887,744
Morgan Stanley BAML Trust:
  
  
  
 sequential payer:
 
  
  
Series 2015-C21 Class A3, 3.077% 3/15/48
 
  
3,704,791
3,772,547
Series 2016-C28 Class A3, 3.272% 1/15/49
 
  
3,841,468
3,994,748
Series 2016-C29 Class ASB, 3.14% 5/15/49
 
  
449,808
467,768
 Series 2015-C25:
 
  
  
Class A4, 3.372% 10/15/48
 
  
2,800,000
2,956,434
Class XA, 1.1981% 10/15/48 (c)(l)
 
  
9,933,675
310,727
 Series 2015-C26 Class A4, 3.252% 10/15/48
 
3,200,000
3,338,741
 Series 2016-C32 Class A3, 3.459% 12/15/49
 
4,836,809
5,122,036
Morgan Stanley Capital I Trust:
  
  
  
 floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.94% 8/15/33 (b)(c)(f)
  
6,888,548
6,884,346
 floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(c)(f)
  
5,200,000
5,202,739
 sequential payer:
 
  
  
Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
 
  
13,482,000
13,855,109
Series 2021-L6 Class A3, 2.196% 6/15/54
 
  
7,000,000
6,961,075
 Series 2015-UBS8 Class A3, 3.54% 12/15/48
 
3,000,000
3,182,973
 Series 2016-UB12 Class A3, 3.337% 12/15/49
 
2,000,000
2,091,139
 Series 2018-H4 Class A4, 4.31% 12/15/51
 
3,237,000
3,691,874
 Series 2019-MEAD:
 
  
  
Class B, 3.283% 11/10/36 (b)(c)
 
  
1,558,000
1,576,562
Class C, 3.283% 11/10/36 (b)(c)
 
  
1,495,000
1,493,630
Class D, 3.283% 11/10/36 (b)(c)
 
  
2,340,000
2,299,382
 Series 2021-L6 Class XA, 1.3542% 6/15/54 (c)(l)
  
12,623,418
1,070,636
MRA Issuance Trust Series 2021-9 1 month U.S. LIBOR + 1.300% 0% 7/15/22 (b)(c)(f)
  
7,400,000
7,400,000
ONE Mortgage Trust floater Series 2021-PARK Class E, 1 month U.S. LIBOR + 1.750% 1.84% 3/15/36 (b)(c)(f)
  
5,759,000
5,701,290
Prima Capital Ltd. floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.8911% 12/15/37 (b)(c)(f)
  
2,053,000
2,052,998
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 4/15/36 (b)(c)(f)
  
1,900,000
1,900,503
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE:
  
  
  
 Class A1, 3.872% 1/5/43 (b)(c)
  
740,000
783,811
 Class A2A, 3.659% 1/5/43 (b)(c)
  
9,930,000
10,841,324
SREIT Trust floater:
  
  
  
 Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 0.79% 10/15/38 (b)(c)(f)
  
5,800,000
5,745,240
 Series 2021-MFP:
 
  
  
Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (b)(c)(f)
 
  
7,394,000
7,351,619
Class B, 1 month U.S. LIBOR + 1.070% 1.1798% 11/15/38 (b)(c)(f)
 
  
4,235,000
4,210,736
Class C, 1 month U.S. LIBOR + 1.320% 1.429% 11/15/38 (b)(c)(f)
 
  
2,630,000
2,614,926
Class D, 1 month U.S. LIBOR + 1.570% 1.6782% 11/15/38 (b)(c)(f)
 
  
1,728,000
1,718,092
U.S. sequential payer Series 2018-USDC Class A, 4.106% 5/13/38 (b)
  
4,000,000
4,313,297
UBS Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2018-C12 Class A5, 4.2962% 8/15/51
 
3,000,000
3,395,382
 Series 2012-C1 Class A/S, 4.171% 5/10/45
 
6,570,000
6,585,364
 Series 2017-C1 Class A3, 3.283% 11/15/50
 
5,500,000
5,820,304
 Series 2017-C7 Class XA, 1.1691% 12/15/50 (c)(l)
  
17,038,551
793,197
 Series 2018-C11 Class A3, 4.3124% 6/15/51
 
4,100,000
4,301,969
 Series 2018-C13 Class A3, 4.0694% 10/15/51
 
6,000,000
6,536,690
 Series 2018-C9 Class ASB, 4.09% 3/15/51
 
3,300,000
3,594,193
UBS-Barclays Commercial Mortgage Trust:
  
  
  
 floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8795% 4/10/46 (b)(c)(f)
  
5,086,617
5,076,160
 Series 2012-C3 Class A/S, 3.814% 8/10/49 (b)
  
1,400,000
1,428,846
VLS Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)
  
3,760,000
3,732,869
 Series 2020-LAB:
 
  
  
Class B, 2.453% 10/10/42 (b)
 
  
300,000
299,396
Class X, 0.5162% 10/10/42 (b)(c)(l)
 
  
8,700,000
290,937
Wells Fargo Commercial Mortgage Trust:
  
  
  
 floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.29% 5/15/31 (b)(c)(f)
  
4,470,000
4,468,664
 sequential payer:
 
  
  
Series 2015-C29 Class ASB, 3.4% 6/15/48
 
  
1,049,157
1,087,404
Series 2016-C34 Class A4, 3.096% 6/15/49
 
  
6,124,000
6,388,044
Series 2016-LC24 Class A3, 2.684% 10/15/49
 
  
3,300,000
3,404,537
Series 2021-C59 Class A4, 2.343% 4/15/54
 
  
5,000,000
5,067,989
Series 2021-C61 Class A3, 2.406% 11/15/54
 
  
7,300,000
7,417,610
 Series 2015-C31 Class XA, 1.1229% 11/15/48 (c)(l)
  
6,613,349
210,769
 Series 2017-C42 Class XA, 1.0213% 12/15/50 (c)(l)
  
35,282,300
1,637,011
 Series 2018-C46 Class XA, 1.1013% 8/15/51 (c)(l)
  
15,099,328
630,448
 Series 2018-C48 Class A5, 4.302% 1/15/52
 
3,181,000
3,616,896
WF-RBS Commercial Mortgage Trust:
  
  
  
 Series 2012-C9 Class A/S, 3.388% 11/15/45
 
400,000
406,601
 Series 2014-C24 Class XA, 0.9962% 11/15/47 (c)(l)
  
6,072,019
127,962
 Series 2014-LC14 Class XA, 1.4247% 3/15/47 (c)(l)
  
8,346,360
183,016
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $1,093,840,428)
  
  
1,095,521,784
 
  
  
  
Municipal Securities - 0.2%
 
  
Principal
Amount (a)
 
Value ($)
 
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49
 
3,140,000
5,271,886
California Gen. Oblig. Series 2009, 7.5% 4/1/34
 
205,000
315,697
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50
 
45,000
72,347
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35
 
75,000
98,565
Illinois Gen. Oblig.:
  
  
  
 Series 2003:
 
  
  
4.95% 6/1/23
 
  
3,899,636
4,078,841
5.1% 6/1/33
 
  
22,850,000
26,715,683
 Series 2010-1, 6.63% 2/1/35
 
3,845,000
4,776,274
 Series 2010-3:
 
  
  
6.725% 4/1/35
 
  
2,510,000
3,143,291
7.35% 7/1/35
 
  
4,655,000
5,960,989
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38
 
325,000
344,443
Los Angeles Dept. Arpt. Rev. Series C:
  
  
  
 2.063% 5/15/34
 
500,000
484,809
 2.163% 5/15/35
 
500,000
485,422
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39
 
190,000
272,266
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series C, 6.008% 7/1/39
 
1,465,000
1,963,435
Los Angeles Unified School District Series KRY, 5.75% 7/1/34
 
1,535,000
2,042,479
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40
 
150,000
207,876
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40
 
545,000
604,077
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)
 
9,315,000
11,838,896
New Jersey Tpk. Auth. Tpk. Rev.:
  
  
  
 Series 2009 E, 7.414% 1/1/40
 
1,620,000
2,666,900
 Series 2010 A, 7.102% 1/1/41
 
855,000
1,371,890
 Series 2021 B:
 
  
  
1.963% 1/1/32
 
  
1,000,000
981,130
2.113% 1/1/33
 
  
1,050,000
1,036,833
New York City Gen. Oblig. Series A3, 2.8% 8/1/30
 
3,250,000
3,400,590
New York City Transitional Fin. Auth. Rev.:
  
  
  
 Series 2010 C2, 5.767% 8/1/36
 
900,000
1,143,913
 Series 2021 E3, 1.97% 2/1/33
 
2,015,000
1,964,716
 Series A3, 3.88% 8/1/31
 
1,170,000
1,295,906
 Series A5, 2.69% 5/1/33
 
2,015,000
2,093,359
 Series B2, 3.14% 8/1/28
 
2,735,000
2,949,203
New York State Dorm. Auth.:
  
  
  
 Series 2019 F, 3.11% 2/15/39
 
3,250,000
3,496,971
 Series 2021 C, 2.202% 3/15/34
 
945,000
944,269
Ohio State Univ. Gen. Receipts:
  
  
  
 Series 2010 C, 4.91% 6/1/40
 
140,000
195,654
 Series 2011 A, 4.8% 6/1/11
 
1,403,000
2,235,927
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62
 
515,000
705,346
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41
 
750,000
1,012,063
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49
 
555,000
641,212
Univ. of California Revs. Series 2015 J, 4.131% 5/15/45
 
1,750,000
2,110,838
Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40
 
1,050,000
1,070,960
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51
 
1,320,000
1,372,629
 
TOTAL MUNICIPAL SECURITIES
 (Cost $92,031,022)
  
  
101,367,585
 
  
  
  
Foreign Government and Government Agency Obligations - 0.2%
 
  
Principal
Amount (a)
 
Value ($)
 
Arab Republic of Egypt 7.6003% 3/1/29 (b)
  
632,000
602,770
Brazil Minas SPE 5.333% 2/15/28 (Reg. S)
 
2,786,000
2,898,833
Brazilian Federative Republic:
  
  
  
 2.875% 6/6/25
 
1,000,000
1,001,500
 3.875% 6/12/30
 
990,000
927,692
 4.5% 5/30/29
 
200,000
198,475
 4.625% 1/13/28
 
200,000
203,163
CBB International Sukuk Co. 7 SPC 6.875% 10/5/25 (Reg. S)
 
700,000
784,000
Chilean Republic 3.24% 2/6/28
 
1,050,000
1,103,025
Colombian Republic:
  
  
  
 3% 1/30/30
 
1,800,000
1,632,150
 4.5% 1/28/26
 
550,000
576,228
 10.375% 1/28/33
 
1,350,000
1,913,034
Dominican Republic:
  
  
  
 4.5% 1/30/30 (b)
  
1,500,000
1,491,375
 5.95% 1/25/27 (b)
  
1,100,000
1,212,637
 6% 7/19/28 (b)
  
1,250,000
1,375,000
Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S)
 
1,200,000
1,240,500
Hungarian Republic:
  
  
  
 1.75% 6/5/35 (Reg. S)
EUR
1,370,000
1,609,775
 2.125% 9/22/31 (b)
  
1,000,000
964,524
 3.125% 9/21/51 (b)
  
920,000
871,630
 7.625% 3/29/41
 
580,000
943,012
Indonesian Republic:
  
  
  
 1.1% 3/12/33
EUR
3,500,000
3,815,538
 2.8% 6/23/30 (b)
  
1,300,000
1,330,713
 2.85% 2/14/30
 
400,000
412,200
 3.4% 9/18/29
 
420,000
450,004
 3.5% 1/11/28
 
4,450,000
4,801,272
Israeli State:
  
  
  
 3.875% 7/3/50
 
1,750,000
2,010,292
 4% 6/30/22
 
1,700,000
1,733,864
 4.5% 1/30/43
 
200,000
251,856
Italian Republic 2.375% 10/17/24
 
3,800,000
3,906,839
Kingdom of Saudi Arabia:
  
  
  
 3.25% 10/26/26 (Reg. S)
 
550,000
585,475
 3.25% 11/17/51 (b)
  
7,910,000
7,682,588
 3.625% 3/4/28 (Reg. S)
 
1,000,000
1,085,000
Panamanian Republic:
  
  
  
 3.16% 1/23/30
 
3,020,000
3,087,573
 3.875% 3/17/28
 
200,000
214,038
 4.3% 4/29/53
 
615,000
640,100
 4.5% 4/16/50
 
400,000
427,825
Peruvian Republic:
  
  
  
 2.783% 1/23/31
 
772,000
765,631
 2.844% 6/20/30
 
1,630,000
1,644,059
 4.125% 8/25/27
 
200,000
219,038
Philippine Republic:
  
  
  
 1.648% 6/10/31
 
400,000
379,044
 2.457% 5/5/30
 
600,000
612,066
 3.7% 3/1/41
 
1,010,000
1,077,418
Quebec Province yankee 7.125% 2/9/24
 
645,000
730,450
Republic of Paraguay:
  
  
  
 2.739% 1/29/33 (b)
  
400,000
374,700
 4.95% 4/28/31 (b)
  
400,000
440,200
Republic of Serbia:
  
  
  
 1.5% 6/26/29 (Reg. S)
EUR
794,000
848,698
 1.65% 3/3/33 (b)
EUR
1,200,000
1,207,817
 2.125% 12/1/30 (b)
  
1,430,000
1,303,088
 3.125% 5/15/27 (Reg. S)
EUR
712,000
849,872
Romanian Republic:
  
  
  
 3% 2/14/31 (Reg. S)
 
864,000
851,040
 3.875% 10/29/35 (b)
EUR
1,210,000
1,458,027
 4.125% 3/11/39
EUR
2,740,000
3,289,996
South African Republic 4.85% 9/30/29
 
1,940,000
1,955,520
State of Qatar:
  
  
  
 3.4% 4/16/25 (b)
  
3,165,000
3,364,395
 3.75% 4/16/30 (Reg. S)
 
400,000
444,800
 4.5% 4/23/28 (Reg. S)
 
1,400,000
1,601,600
 5.103% 4/23/48 (b)
  
2,200,000
2,926,000
Sultanate of Oman 5.625% 1/17/28 (Reg. S)
 
825,000
848,719
Turkish Republic 7.25% 12/23/23
 
2,200,000
2,277,413
Ukraine Government:
  
  
  
 4.375% 1/27/30 (b)
EUR
1,800,000
1,742,318
 6.75% 6/20/26 (Reg. S)
EUR
1,450,000
1,633,756
 7.75% 9/1/22 (b)
  
2,800,000
2,823,800
 8.994% 2/1/24 (Reg. S)
 
2,250,000
2,311,875
United Kingdom, Great Britain and Northern Ireland 1.25% 10/22/41 (Reg. S) (i)
GBP
2,098,000
2,910,913
United Mexican States:
  
  
  
 2.659% 5/24/31
 
4,288,000
4,137,384
 3.75% 1/11/28
 
1,670,000
1,791,910
 4.15% 3/28/27
 
275,000
303,463
 4.28% 8/14/41
 
400,000
409,075
 4.5% 4/22/29
 
200,000
222,163
 4.75% 4/27/32
 
400,000
446,325
 4.75% 3/8/44
 
2,366,000
2,539,457
 6.05% 1/11/40
 
400,000
490,700
Uruguay Republic:
  
  
  
 4.375% 1/23/31
 
610,000
699,708
 4.975% 4/20/55
 
525,000
668,489
 5.1% 6/18/50
 
2,185,000
2,826,571
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $113,288,860)
  
  
109,411,998
 
  
  
  
Bank Loan Obligations - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 0.0%
 
  
  
Diversified Telecommunication Services - 0.0%
  
  
  
Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 3/1/27 (c)(f)(o)
  
2,000,000
1,951,260
Lumen Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.337% 3/15/27 (c)(f)(o)
  
3,225,379
3,158,871
 
  
  
5,110,131
Media - 0.0%
  
  
  
CSC Holdings LLC Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.500% 2.5893% 4/15/27 (c)(f)(o)
  
795,949
780,317
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.35% 8/24/26 (c)(f)(o)
  
497,462
207,939
DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 8/2/27 (c)(f)(o)
  
500,000
498,750
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0904% 5/1/26 (c)(f)(o)
  
538,996
531,924
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.3393% 7/17/25 (c)(f)(o)
  
593,782
581,628
Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6% 9/30/26 (c)(f)(o)
  
595,443
580,557
Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.5893% 1/31/28 (c)(f)(o)
  
2,000,000
1,972,500
 
  
  
5,153,615
Wireless Telecommunication Services - 0.0%
  
  
  
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.96% 5/25/24 (c)(f)(o)
  
646,633
629,258
TOTAL COMMUNICATION SERVICES
  
  
10,893,004
CONSUMER DISCRETIONARY - 0.0%
 
  
  
Diversified Consumer Services - 0.0%
  
  
  
Adtalem Global Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 8/12/28 (c)(f)(o)
  
375,000
374,063
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 3/4/28 (c)(f)(o)
  
845,750
844,693
 
  
  
1,218,756
Hotels, Restaurants & Leisure - 0.0%
  
  
  
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8404% 12/22/24 (c)(f)(o)
  
3,330
3,293
Churchill Downs, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.35% 12/27/24 (c)(f)(o)
  
1,091,495
1,082,632
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (c)(f)(o)
  
1,982,918
1,973,757
 
  
  
3,059,682
Specialty Retail - 0.0%
  
  
  
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (c)(f)(o)
  
1,745,625
1,732,096
TOTAL CONSUMER DISCRETIONARY
  
  
6,010,534
CONSUMER STAPLES - 0.0%
 
  
  
Food & Staples Retailing - 0.0%
  
  
  
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0893% 2/3/24 (c)(f)(o)
  
503,297
502,094
Food Products - 0.0%
  
  
  
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0916% 5/1/26 (c)(f)(o)
  
2,977,099
2,958,879
TOTAL CONSUMER STAPLES
  
  
3,460,973
ENERGY - 0.0%
 
  
  
Oil, Gas & Consumable Fuels - 0.0%
  
  
  
Buckeye Partners LP 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/1/26 (f)(o)(p)
  
248,125
246,535
FINANCIALS - 0.0%
 
  
  
Diversified Financial Services - 0.0%
  
  
  
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.5% 1/15/25 (c)(f)(o)
  
725,000
721,208
Insurance - 0.0%
  
  
  
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3% 2/19/28 (c)(f)(o)
  
2,978,748
2,934,067
Mortgage Real Estate Investment Trusts - 0.0%
  
  
  
Blackstone Mortgage Trust, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.6536% 4/23/26 (c)(f)(o)
  
497,462
491,244
TOTAL FINANCIALS
  
  
4,146,519
HEALTH CARE - 0.1%
 
  
  
Health Care Providers & Services - 0.0%
  
  
  
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.5% 3/15/28 (c)(f)(o)
  
2,238,750
2,224,355
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (c)(f)(o)
  
1,026,127
1,022,136
 
  
  
3,246,491
Health Care Technology - 0.0%
  
  
  
IQVIA, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.000% 1/18/25 (f)(o)(p)
  
738,938
734,135
Life Sciences Tools & Services - 0.0%
  
  
  
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (c)(f)(o)
  
255,660
254,666
Pharmaceuticals - 0.1%
  
  
  
Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8364% 8/1/27 (c)(f)(o)
  
2,974,718
2,925,843
Grifols, S.A. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0756% 11/15/27 (c)(f)(o)
  
1,736,742
1,702,008
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (c)(f)(o)
  
1,241,888
1,238,634
Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/2/28 (c)(f)(o)
  
1,995,000
1,987,519
Valeant Pharmaceuticals International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.837% 11/27/25 (c)(f)(o)
  
2,645,560
2,613,602
 
  
  
10,467,606
TOTAL HEALTH CARE
  
  
14,702,898
INDUSTRIALS - 0.0%
 
  
  
Airlines - 0.0%
  
  
  
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/21/28 (c)(f)(o)
  
646,750
644,053
Commercial Services & Supplies - 0.0%
  
  
  
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (c)(f)(o)
  
1,178,016
1,120,458
Road & Rail - 0.0%
  
  
  
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1315% 12/30/26 (c)(f)(o)
  
719,521
712,506
TOTAL INDUSTRIALS
  
  
2,477,017
INFORMATION TECHNOLOGY - 0.0%
 
  
  
Communications Equipment - 0.0%
  
  
  
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3404% 4/4/26 (c)(f)(o)
  
1,590,367
1,547,634
IT Services - 0.0%
  
  
  
Peraton Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (c)(f)(o)
  
1,243,750
1,239,310
Software - 0.0%
  
  
  
Change Healthcare Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.2859% 3/1/24 (c)(f)(o)
  
954,197
951,220
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8416% 9/29/24 (c)(f)(o)
  
1,869,448
1,866,981
SS&C Technologies, Inc.:
  
  
  
 Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o)
  
229,786
226,376
 Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o)
  
186,534
183,766
 Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o)
  
586,550
578,620
 
  
  
3,806,963
TOTAL INFORMATION TECHNOLOGY
  
  
6,593,907
MATERIALS - 0.0%
 
  
  
Chemicals - 0.0%
  
  
  
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.092% 10/1/25 (c)(f)(o)
  
2,036,636
2,009,060
Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (f)(o)(p)
  
544,045
535,340
 
  
  
2,544,400
Containers & Packaging - 0.0%
  
  
  
Berry Global, Inc. Tranche Z 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8636% 7/1/26 (c)(f)(o)
  
536,162
530,281
TOTAL MATERIALS
  
  
3,074,681
UTILITIES - 0.0%
 
  
  
Electric Utilities - 0.0%
  
  
  
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8378% 12/31/25 (c)(f)(o)
  
495,846
490,228
Independent Power and Renewable Electricity Producers - 0.0%
  
  
  
Calpine Corp. Tranche B9 1LN, term loan 3 month U.S. LIBOR + 2.000% 4/5/26 (f)(o)(p)
  
3,225,254
3,172,392
TOTAL UTILITIES
  
  
3,662,620
 
TOTAL BANK LOAN OBLIGATIONS
 (Cost $56,007,699)
  
  
  
55,268,688
 
  
  
  
Bank Notes - 0.0%
 
  
Principal
Amount (a)
 
Value ($)
 
Discover Bank:
  
  
  
 3.45% 7/27/26
 
435,000
461,614
 4.682% 8/9/28 (c)
  
3,503,000
3,675,962
Regions Bank 6.45% 6/26/37
 
2,533,000
3,595,130
Truist Bank 2.75% 5/1/23
 
645,000
663,145
 
TOTAL BANK NOTES
 (Cost $6,946,696)
  
  
8,395,851
 
  
  
  
Fixed-Income Funds - 67.4%
 
  
Shares
Value ($)
 
Bank Loan Funds - 0.3%
 
  
  
T. Rowe Price Institutional Floating Rate Fund - F Class
 
12,904,516
125,302,847
High Yield Fixed-Income Funds - 1.4%
 
  
  
iShares iBoxx $ High Yield Corporate Bond ETF
 
810,000
69,368,400
Stone Harbor Emerging Markets Debt Fund
 
33,244,457
310,503,227
TCW Emerging Markets Income Fund Class N
 
31,141,089
305,494,080
TOTAL HIGH YIELD FIXED-INCOME FUNDS
  
  
685,365,707
Intermediate Government Funds - 3.3%
 
  
  
Fidelity SAI U.S. Treasury Bond Index Fund (q)
  
157,884,558
1,599,370,575
Intermediate-Term Bond Funds - 58.9%
 
  
  
American Funds The Bond Fund of America Class F2
 
56,693,333
764,226,126
Baird Aggregate Bond Fund Class Institutional
 
57,113,797
652,810,696
Baird Core Plus Bond Fund - Institutional Class
 
72,048,713
848,733,844
Columbia Mortgage Opportunities Fund Class A
 
10,310,826
108,882,326
DoubleLine Total Return Bond Fund Class N
 
150,084,835
1,569,887,375
Fidelity SAI Total Bond Fund (q)
  
600,215,180
6,308,261,539
Fidelity U.S. Bond Index Fund (q)
  
16,449,675
198,054,089
John Hancock Bond Fund Class R6
 
30,666,915
499,870,717
JPMorgan Core Plus Bond Fund Class A
 
55,933,678
475,436,262
PIMCO Income Fund Institutional Class
 
102,039,729
1,209,170,783
PIMCO Investment Grade Credit Bond Fund Institutional Class
 
67,730,591
731,490,380
PIMCO Mortgage Opportunities Fund Institutional Class
 
122,619,758
1,332,876,764
PIMCO Total Return Fund Institutional Class
 
627,137,171
6,472,055,540
Voya Intermediate Bond Fund Class I
 
144,179,535
1,480,723,823
Western Asset Core Bond Fund Class I
 
191,130,019
2,509,537,155
Western Asset Core Plus Bond Fund Class I
 
292,778,702
3,486,994,340
Western Asset Corporate Bond Fund - Class I
 
13,332,861
175,193,788
TOTAL INTERMEDIATE-TERM BOND FUNDS
  
  
28,824,205,547
Long Government Bond Funds - 3.5%
 
  
  
Fidelity SAI Long-Term Treasury Bond Index Fund (q)
  
49,860,420
579,378,077
iShares 20+ Year Treasury Bond ETF (r)
  
6,072,060
920,463,575
SPDR Portfolio Long Term Treasury ETF (r)
  
5,432,741
234,042,482
TOTAL LONG GOVERNMENT BOND FUNDS
  
  
1,733,884,134
 
TOTAL FIXED-INCOME FUNDS
 (Cost $32,503,670,029)
  
  
  
32,968,128,810
 
  
  
  
Preferred Securities - 0.3%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 0.0%
 
  
  
Diversified Telecommunication Services - 0.0%
  
  
  
Telefonica Europe BV 3.875% (Reg. S) (c)(h)
  
600,000
717,035
CONSUMER DISCRETIONARY - 0.0%
 
  
  
Automobiles - 0.0%
  
  
  
Volkswagen International Finance NV 3.5% (Reg. S) (c)(h)
  
5,100,000
6,152,634
CONSUMER STAPLES - 0.0%
 
  
  
Tobacco - 0.0%
  
  
  
British American Tobacco PLC 3% (Reg. S) (c)(h)
  
2,900,000
3,223,112
ENERGY - 0.0%
 
  
  
Oil, Gas & Consumable Fuels - 0.0%
  
  
  
BP Capital Markets PLC 4.375% (c)(h)
  
6,695,000
6,996,275
Energy Transfer LP:
  
  
  
 6.5% (c)(h)
  
3,770,000
3,854,825
 6.625% (c)(h)
  
730,000
682,090
 
  
  
11,533,190
FINANCIALS - 0.2%
 
  
  
Banks - 0.2%
  
  
  
AIB Group PLC 6.25% (Reg. S) (c)(h)
  
690,000
852,018
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(h)
  
800,000
957,180
Bank of America Corp. 4.3% (c)(h)
  
7,090,000
7,135,943
Bank of Nova Scotia 4.65% (c)(h)
  
12,927,000
12,597,362
Barclays Bank PLC 7.625% 11/21/22
 
27,412,000
28,982,307
Barclays PLC 5.875% (Reg. S) (c)(h)
  
400,000
551,264
BNP Paribas SA 6.625% (Reg. S) (c)(h)
  
830,000
896,400
Citigroup, Inc. 3.875% (c)(h)
  
4,320,000
4,276,800
HSBC Holdings PLC 6.375% (c)(h)
  
820,000
881,418
JPMorgan Chase & Co. 4.6% (c)(h)
  
7,120,000
7,175,963
Societe Generale 7.875% (Reg. S) (c)(h)
  
415,000
452,433
U.S. Bancorp 3.7% (c)(h)
  
4,850,000
4,734,813
 
  
  
69,493,901
Capital Markets - 0.0%
  
  
  
Credit Suisse Group AG 7.5% (Reg. S) (c)(h)
  
2,750,000
2,961,464
Goldman Sachs Group, Inc.:
  
  
  
 3.65% (c)(h)
  
1,750,000
1,681,050
 4.125% (c)(h)
  
2,505,000
2,476,193
 
  
  
7,118,707
Consumer Finance - 0.0%
  
  
  
Ally Financial, Inc. 4.7% (c)(h)
  
350,000
360,938
American Express Co. 3.55% (c)(h)
  
770,000
760,375
 
  
  
1,121,313
Insurance - 0.0%
  
  
  
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(h)
  
2,650,000
2,781,866
TOTAL FINANCIALS
  
  
80,515,787
HEALTH CARE - 0.0%
 
  
  
Pharmaceuticals - 0.0%
  
  
  
Bayer AG 2.375% 11/12/79 (Reg. S) (c)
  
4,700,000
5,288,321
INDUSTRIALS - 0.0%
 
  
  
Road & Rail - 0.0%
  
  
  
National Express Group PLC 4.25% (Reg. S) (c)(h)
  
320,000
431,866
REAL ESTATE - 0.1%
 
  
  
Real Estate Management & Development - 0.1%
  
  
  
Aroundtown SA 3.375% (Reg. S) (c)(h)
  
2,200,000
2,568,382
AT Securities BV 5.25% (Reg. S) (c)(h)
  
2,750,000
2,841,410
CPI Property Group SA 3.75% (Reg. S) (c)(h)
  
1,325,000
1,413,664
Grand City Properties SA 1.5% (Reg. S) (c)(h)
  
2,400,000
2,627,131
Heimstaden Bostad AB:
  
  
  
 3.248% (Reg. S) (c)(h)
  
2,085,000
2,355,755
 3.625% (Reg. S) (c)(h)
  
185,000
207,186
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(h)
  
770,000
854,505
 
  
  
12,868,033
UTILITIES - 0.0%
 
  
  
Electric Utilities - 0.0%
  
  
  
EDF SA 5.625% (Reg. S) (c)(h)
  
3,500,000
3,679,375
SSE PLC 3.74% (Reg. S) (c)(h)
  
635,000
863,520
 
  
  
4,542,895
Multi-Utilities - 0.0%
  
  
  
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(h)
  
290,000
346,156
Veolia Environnement SA 2% (Reg. S) (c)(h)
  
1,300,000
1,459,439
 
  
  
1,805,595
TOTAL UTILITIES
  
  
6,348,490
 
TOTAL PREFERRED SECURITIES
 (Cost $132,023,718)
  
  
  
127,078,468
 
  
  
  
Money Market Funds - 3.6%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 0.06% (s)
  
603,832,554
603,953,320
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (q)(t)
  
561,374,967
561,374,967
Fidelity Securities Lending Cash Central Fund 0.07% (s)(u)
  
378,462,106
378,499,953
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (t)
  
193,130,227
193,130,227
 
TOTAL MONEY MARKET FUNDS
 (Cost $1,736,954,822)
  
  
1,736,958,467
 
  
  
  
Purchased Swaptions - 0.0%
 
Expiration
Date
Notional
Amount (a)
Value ($)
Put Options - 0.0%
  
  
  
  
Option with an exercise rate of 3.125% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly.
 
 (Cost $237,000)
 
2/16/22
EUR
16,350,000
258,867
 
  
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 104.8%
 (Cost $50,515,510,480)
 
  
 
51,297,785,530
NET OTHER ASSETS (LIABILITIES) - (4.8)% (v)
(2,363,689,368)
NET ASSETS - 100.0%
48,934,096,162
 
  
 TBA Sale Commitments
 
Principal
Amount (a)
Value ($)
Ginnie Mae
  
  
3.5% 12/1/51
(5,400,000)
(5,639,394)
3.5% 12/1/51
(6,850,000)
(7,153,676)
3.5% 12/1/51
(4,400,000)
(4,595,062)
3.5% 12/1/51
(5,550,000)
(5,796,044)
3.5% 12/1/51
(5,400,000)
(5,639,394)
3.5% 12/1/51
(3,550,000)
(3,707,380)
3.5% 12/1/51
(3,450,000)
(3,602,946)
3.5% 12/1/51
(3,450,000)
(3,602,946)
 
  
  
TOTAL GINNIE MAE
 
(39,736,842)
 
  
  
Uniform Mortgage Backed Securities
  
  
2% 12/1/51
(14,650,000)
(14,663,248)
2% 12/1/51
(14,650,000)
(14,663,248)
2% 12/1/51
(10,000,000)
(10,009,043)
2% 12/1/51
(10,000,000)
(10,009,043)
2% 12/1/51
(24,650,000)
(24,672,291)
2% 12/1/51
(14,350,000)
(14,362,977)
2% 12/1/51
(20,875,000)
(20,893,877)
2% 12/1/51
(13,550,000)
(13,562,253)
2% 12/1/51
(3,775,000)
(3,778,414)
2% 12/1/51
(900,000)
(900,814)
2% 12/1/51
(900,000)
(900,814)
2% 12/1/51
(1,100,000)
(1,100,995)
2% 12/1/51
(1,200,000)
(1,201,085)
2% 12/1/51
(14,350,000)
(14,362,977)
2% 12/1/51
(13,550,000)
(13,562,253)
2% 1/1/52
(1,500,000)
(1,498,427)
2.5% 12/1/51
(7,600,000)
(7,790,000)
2.5% 12/1/51
(8,000,000)
(8,200,000)
2.5% 12/1/51
(3,750,000)
(3,843,750)
2.5% 12/1/51
(3,850,000)
(3,946,250)
2.5% 12/1/51
(3,700,000)
(3,792,500)
2.5% 12/1/51
(8,000,000)
(8,200,000)
2.5% 12/1/51
(5,700,000)
(5,842,500)
2.5% 12/1/51
(2,600,000)
(2,665,000)
2.5% 12/1/51
(6,100,000)
(6,252,500)
2.5% 12/1/51
(650,000)
(666,250)
2.5% 12/1/51
(3,900,000)
(3,997,500)
2.5% 12/1/51
(4,200,000)
(4,305,000)
2.5% 12/1/51
(8,100,000)
(8,302,500)
2.5% 12/1/51
(6,900,000)
(7,072,500)
2.5% 12/1/51
(4,200,000)
(4,305,000)
2.5% 12/1/51
(3,600,000)
(3,690,000)
2.5% 12/1/51
(4,650,000)
(4,766,250)
2.5% 12/1/51
(5,450,000)
(5,586,250)
2.5% 12/1/51
(650,000)
(666,250)
2.5% 12/1/51
(6,900,000)
(7,072,500)
2.5% 12/1/51
(4,650,000)
(4,766,250)
2.5% 12/1/51
(8,100,000)
(8,302,500)
2.5% 12/1/51
(3,700,000)
(3,792,500)
2.5% 12/1/51
(5,450,000)
(5,586,250)
2.5% 1/1/52
(6,000,000)
(6,135,000)
3% 12/1/51
(2,600,000)
(2,699,328)
3% 12/1/51
(2,600,000)
(2,699,328)
3% 12/1/51
(7,300,000)
(7,578,883)
3% 12/1/51
(2,600,000)
(2,699,328)
3% 12/1/51
(1,400,000)
(1,453,484)
3% 12/1/51
(5,700,000)
(5,917,758)
3% 12/1/51
(2,600,000)
(2,699,328)
3% 12/1/51
(3,900,000)
(4,048,992)
3% 12/1/51
(4,200,000)
(4,360,453)
 
  
  
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
 
(323,843,641)
 
  
  
TOTAL TBA SALE COMMITMENTS
 (Proceeds $362,070,484)
  
  
(363,580,483)
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Bond Index Contracts
  
  
  
  
  
ASX 10 Year Treasury Bond Index Contracts (Australia)
11
Dec 2021
1,093,008
(36,058)
(36,058)
Eurex Euro-Bund Contracts (Germany)
78
Dec 2021
15,247,816
88,727
88,727
Eurex Euro-Buxl 30 Year Bond Contracts (Germany)
23
Dec 2021
5,689,508
261,035
261,035
TME 10 Year Canadian Note Contracts (Canada)
56
Mar 2022
6,188,078
92,358
92,358
 
  
  
  
  
  
TOTAL BOND INDEX CONTRACTS
  
  
  
  
406,062
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 10-Year U.S. Treasury Note Contracts (United States)
490
Mar 2022
64,098,125
569,956
569,956
CBOT 5-Year U.S. Treasury Note Contracts (United States)
197
Mar 2022
23,915,492
78,551
78,551
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)
65
Mar 2022
9,547,891
122,701
122,701
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)
230
Mar 2022
46,129,375
1,543,178
1,543,178
 
  
  
  
  
  
TOTAL TREASURY CONTRACTS
  
  
  
  
2,314,386
 
  
  
  
  
  
TOTAL PURCHASED
  
  
  
  
2,720,448
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Bond Index Contracts
  
  
  
  
  
Eurex Euro-Bobl Contracts (Germany)
93
Dec 2021
14,291,361
(13,199)
(13,199)
ICE Long Gilt Contracts (United Kingdom)
74
Mar 2022
12,428,010
(114,328)
(114,328)
 
  
  
  
  
  
TOTAL BOND INDEX CONTRACTS
  
  
  
  
(127,527)
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 2-Year U.S. Treasury Note Contracts (United States)
720
Mar 2022
157,488,750
(98,967)
(98,967)
CBOT Long Term U.S. Treasury Bond Contracts (United States)
470
Mar 2022
76,198,750
(1,225,986)
(1,225,986)
 
  
  
  
  
  
TOTAL TREASURY CONTRACTS
  
  
  
  
(1,324,953)
 
  
  
  
  
  
TOTAL SOLD
  
  
  
  
(1,452,480)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
1,267,968
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
 
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
  
  
  
  
  
  
USD
62,568
CAD
80,000
JPMorgan Chase Bank, N.A.
12/01/21
(57)
USD
153,203
EUR
136,000
State Street Bank And Trust Co
12/01/21
(1,035)
EUR
83,151,675
USD
93,568,446
BNP Paribas
12/02/21
733,868
EUR
2,452,028
USD
2,755,577
Citibank N.A.
12/02/21
25,268
GBP
20,694,624
USD
27,677,280
Barclays Bank Plc Wholesale
12/02/21
(154,465)
GBP
40,000
USD
52,974
Brown Brothers Harriman & Co.
12/02/21
224
USD
99,399,767
EUR
85,603,703
Barclays Bank Plc Wholesale
12/02/21
2,316,608
USD
126,263
EUR
112,000
JPMorgan Chase Bank, N.A.
12/02/21
(756)
USD
993,119
GBP
727,125
Bank Of America NA
12/02/21
26,079
USD
27,456,589
GBP
19,967,499
Btig Llc (GB)
12/02/21
900,814
USD
93,725,187
EUR
83,151,675
BNP Paribas
1/12/22
(736,672)
USD
27,697,737
GBP
20,694,624
Barclays Bank Plc Wholesale
1/12/22
151,342
EUR
130,000
USD
150,382
Goldman Sachs Bank USA
1/13/22
(2,696)
EUR
63,000
USD
73,778
JPMorgan Chase Bank, N.A.
1/13/22
(2,207)
EUR
95,000
USD
110,184
JPMorgan Chase Bank, N.A.
1/13/22
(2,260)
EUR
401,000
USD
454,797
JPMorgan Chase Bank, N.A.
1/13/22
756
EUR
120,000
USD
139,067
State Street Bank And Trust Co
1/13/22
(2,742)
EUR
158,000
USD
183,494
State Street Bank And Trust Co
1/13/22
(3,999)
EUR
399,000
USD
463,210
State Street Bank And Trust Co
1/13/22
(9,928)
EUR
519,000
USD
585,528
State Street Bank And Trust Co
1/13/22
4,079
EUR
165,000
USD
186,179
State Street Bank And Trust Co
1/13/22
1,268
GBP
114,000
USD
155,826
State Street Bank And Trust Co
1/13/22
(4,082)
GBP
167,000
USD
223,680
State Street Bank And Trust Co
1/13/22
(1,388)
GBP
81,000
USD
108,098
State Street Bank And Trust Co
1/13/22
(280)
USD
112,476
AUD
150,000
BNP Paribas
1/13/22
5,488
USD
121,046
CAD
150,000
Royal Bank Of Canada
1/13/22
3,568
USD
115,832
EUR
101,000
BNP Paribas
1/13/22
1,091
USD
39,677
EUR
35,000
BNP Paribas
1/13/22
(85)
USD
74,518,458
EUR
64,173,000
Citibank NA
1/13/22
1,615,131
USD
300,834
EUR
259,000
Citibank NA
1/13/22
6,598
USD
205,400
EUR
181,000
JPMorgan Chase Bank, N.A.
1/13/22
(224)
USD
749,244
EUR
668,000
Royal Bank Of Canada
1/13/22
(9,634)
USD
165,993
EUR
143,000
State Street Bank And Trust Co
1/13/22
3,538
USD
1,573,907
EUR
1,364,000
State Street Bank And Trust Co
1/13/22
24,344
USD
36,696,561
GBP
26,651,000
BNP Paribas
1/13/22
1,221,687
USD
516,470
GBP
381,000
BNP Paribas
1/13/22
9,325
USD
263,358
GBP
196,000
BNP Paribas
1/13/22
2,465
USD
306,284
GBP
227,000
BNP Paribas
1/13/22
4,126
USD
396,232
GBP
297,000
BNP Paribas
1/13/22
898
USD
132,546
GBP
100,000
Brown Brothers Harriman & Co.
1/13/22
(563)
USD
129,808
GBP
94,000
Goldman Sachs Bank USA
1/13/22
4,685
USD
209,736
GBP
153,000
JPMorgan Chase Bank, N.A.
1/13/22
6,080
USD
197,593
GBP
147,000
JPMorgan Chase Bank, N.A.
1/13/22
1,923
USD
67,860
GBP
51,000
Royal Bank Of Canada
1/13/22
(26)
USD
163,447
GBP
121,000
State Street Bank And Trust Co
1/13/22
2,385
USD
108,511
GBP
80,000
State Street Bank And Trust Co
1/13/22
2,024
USD
935,650
GBP
694,000
State Street Bank And Trust Co
1/13/22
11,874
 
  
  
  
  
  
  
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
  
6,154,437
 
  
  
  
  
  
  
Unrealized Appreciation
  
  
7,087,536
Unrealized Depreciation
  
  
(933,099)
 Credit Default Swaps
Underlying Reference
Maturity
Date
Clearinghouse /
Counterparty
Fixed
Payment
Received/
(Paid)
Payment
Frequency
Notional
Amount(1)
Value ($)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Buy Protection
  
  
  
  
  
  
  
  
  
  
BMW Finance NV
  
Dec 2026
Citibank, N.A.
(1%)
Quarterly
EUR
1,500,000
(49,646)
48,945
(701)
CMBX N.A. AAA Index Series 12
  
Dec 2072
Citigroup Global Markets Ltd.
(0.5%)
Monthly
  
4,250,000
3,025
13,308
16,333
CMBX N.A. AAA Index Series 13
  
Dec 2072
Citigroup Global Markets Ltd.
(0.5%)
Monthly
  
4,360,000
3,103
14,564
17,667
CMBX N.A. AAA Index Series 13
  
Dec 2072
Goldman Sachs & Co. LLC
(0.5%)
Monthly
  
400,000
285
1,083
1,368
Daimler AG
  
Dec 2026
Citibank, N.A.
(1%)
Quarterly
EUR
1,500,000
(44,664)
39,871
(4,793)
Deutsche Bank AG
  
Dec 2026
Citibank, N.A.
(1%)
Quarterly
EUR
1,550,000
(16,737)
23,607
6,870
Intesa Sanpaolo SpA
  
Dec 2026
JPMorgan Chase Bank, N.A.
(1%)
Quarterly
EUR
1,500,000
(31,831)
38,968
7,137
Shell International Finance BV
  
Dec 2026
Citibank, N.A.
(1%)
Quarterly
EUR
1,500,000
(55,398)
55,345
(53)
 
  
  
  
  
  
  
  
  
  
  
TOTAL CREDIT DEFAULT SWAPS
  
  
  
  
  
  
  
(191,863)
235,691
43,828
 
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
 
 
 
 
 Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(2)
Value ($)
 
Upfront
Premium
Received/
(Paid) ($)(3)
Unrealized
Appreciation/
(Depreciation) ($)
 
0.5%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Dec 2023
  
15,309,000
(122,502)
0
(122,502)
1.03%
Semi - annual
3-month LIBOR(4)
Quarterly
CME
Jul 2025
  
59,390,000
(621,824)
0
(621,824)
1.03%
Semi - annual
3-month LIBOR(4)
Quarterly
CME
Jul 2025
  
43,930,000
(454,830)
0
(454,830)
1.07%
Semi - annual
3-month LIBOR(4)
Quarterly
CME
Jul 2025
  
29,695,000
(313,435)
0
(313,435)
1.39%
Semi - annual
3-month LIBOR(4)
Quarterly
CME
Sep 2025
  
99,195,000
(366,551)
0
(366,551)
1.25%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Dec 2026
  
16,012,000
(278,378)
0
(278,378)
1.75%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Dec 2031
  
2,843,000
(43,528)
0
(43,528)
2%
Semi - annual
3-month LIBOR(4)
Quarterly
LCH
Dec 2051
  
668,000
3,811
0
3,811
3-month LIBOR(4)
Quarterly
1.77%
Semi - annual
CME
Jul 2053
  
4,960,000
(75,150)
0
(75,150)
3-month LIBOR(4)
Quarterly
1.79%
Semi - annual
CME
Jul 2053
  
3,675,000
(55,547)
0
(55,547)
3-month LIBOR(4)
Quarterly
1.81%
Semi - annual
CME
Jul 2053
  
2,480,000
(25,504)
0
(25,504)
3-month LIBOR(4)
Quarterly
1.87%
Semi - annual
CME
Sep 2053
  
8,465,000
(353,307)
0
(353,307)
TOTAL INTEREST RATE SWAPS
  
  
  
  
  
  
  
(2,706,745)
0
(2,706,745)
 
(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
 
 
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
 
 
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
 
 
(4)Represents floating rate.
 
 
 
Currency Abbreviations
         AUD
-
Australian dollar
         CAD
-
Canadian dollar
         EUR
-
European Monetary Unit
         GBP
-
British pound
         USD
-
U.S. dollar
 
Security Type Abbreviations
ETF
-
EXCHANGE-TRADED FUND
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,794,261,727 or 5.7% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Non-income producing - Security is in default.
 
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(f)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(g)
Level 3 security
 
(h)
Security is perpetual in nature with no stated maturity date.
 
(i)
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 $3,060,499.
 
(j)
Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $817,289.
 
(k)
Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $872,976.
 
(l)
Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
 
(m)
Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
 
(n)
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
 
(o)
Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower.  Such prepayments cannot be predicted with certainty.
 
(p)
The coupon rate will be determined upon settlement of the loan after period end.
 
(q)
Affiliated Fund
 
(r)
Security or a portion of the security is on loan at period end.
 
(s)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(t)
The rate quoted is the annualized seven-day yield of the fund at period end.
 
(u)
Investment made with cash collateral received from securities on loan.
 
(v)
Includes $2,143,000 of cash collateral to cover margin requirements for futures contracts.
 
 
 
 
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%
499,673,965
1,560,459,422
1,456,180,067
282,556
-
-
603,953,320
1.0%
Fidelity Securities Lending Cash Central Fund 0.07%
815,150,050
4,793,496,866
5,230,146,963
1,556,895
-
-
378,499,953
1.2%
Total
1,314,824,015
6,353,956,288
6,686,327,030
1,839,451
-
-
982,453,273
  
 
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%
289,245,261
2,705,031,698
2,432,902,006
37,200
14
-
561,374,967
Fidelity SAI Long-Term Treasury Bond Index Fund
-
1,328,178,204
750,000,000
3,178,204
(27,519,863)
28,719,736
579,378,077
Fidelity SAI Total Bond Fund
6,210,522,165
131,708,015
10,000,000
131,706,584
(229,446)
(23,739,195)
6,308,261,539
Fidelity SAI U.S. Treasury Bond Index Fund
443,836,473
1,548,797,095
400,010,040
6,575,244
(12,574,667)
19,321,714
1,599,370,575
Fidelity U.S. Bond Index Fund
90,464,916
370,256,051
260,622,879
2,671,867
(4,407,412)
2,363,413
198,054,089
 
7,034,068,815
6,083,971,063
3,853,534,925
144,169,099
(44,731,374)
26,665,668
9,246,439,247
 
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:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported 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 or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
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, Foreign Government and Government Agency Obligations, Bank Loan Obligations, Bank Notes and Preferred Securities 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.
 
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps 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.
 
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
 
Investments in 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):
 
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
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.
 
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 
 
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
 
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.  
 
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.  
 
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
 
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
 
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.
 
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
 
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
 
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
 
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
 
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
 
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
 
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
 
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
 
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
 
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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