NPORT-EX 2 QTLY_2387_20220228.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Strategic Advisers® Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
February 28, 2022
ASD-NPRT3-0422
1.934462.110
Nonconvertible Bonds - 22.9%
 
  
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 1.1%
 
  
  
Diversified Telecommunication Services - 0.5%
  
  
  
AT&T, Inc. 0.9% 3/25/24
 
2,145,000
2,108,060
NBN Co. Ltd. 1.45% 5/5/26 (b)
  
1,765,000
1,682,624
NTT Finance Corp.:
  
  
  
 0.373% 3/3/23 (b)
  
5,265,000
5,208,850
 0.583% 3/1/24 (b)
  
2,184,000
2,121,280
SBA Tower Trust 3.448% 3/15/48 (b)
  
880,000
882,646
Verizon Communications, Inc.:
  
  
  
 3 month U.S. LIBOR + 1.000% 1.2109% 3/16/22 (c)(d)
  
15,233,000
15,238,501
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (c)(d)
  
2,563,000
2,569,501
 0.85% 11/20/25
 
710,000
675,339
 1.45% 3/20/26
 
1,155,000
1,115,633
 2.625% 8/15/26
 
640,000
639,070
 
  
  
32,241,504
Entertainment - 0.1%
  
  
  
The Walt Disney Co.:
  
  
  
 1.75% 1/13/26
 
505,000
495,663
 3% 9/15/22
 
4,273,000
4,318,426
 
  
  
4,814,089
Interactive Media & Services - 0.0%
  
  
  
Baidu, Inc. 3.5% 11/28/22
 
780,000
789,025
Media - 0.3%
  
  
  
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
  
  
  
 4.464% 7/23/22
 
3,670,000
3,696,853
 4.908% 7/23/25
 
3,030,000
3,211,898
COX Communications, Inc.:
  
  
  
 2.95% 6/30/23 (b)
  
1,950,000
1,974,708
 3.15% 8/15/24 (b)
  
796,000
811,827
RELX Capital, Inc. 3.5% 3/16/23
 
575,000
584,673
SES SA 3.6% 4/4/23 (b)
  
1,850,000
1,874,837
SKY PLC 3.75% 9/16/24 (b)
  
3,870,000
4,019,791
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.5701% 3/4/22 (c)(d)
  
5,000,000
5,000,122
 
  
  
21,174,709
Wireless Telecommunication Services - 0.2%
  
  
  
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23
 
2,615,000
2,670,605
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (c)(d)
  
5,520,000
5,520,877
T-Mobile U.S.A., Inc. 3.5% 4/15/25
 
1,005,000
1,033,160
 
  
  
9,224,642
TOTAL COMMUNICATION SERVICES
  
  
68,243,969
CONSUMER DISCRETIONARY - 1.4%
 
  
  
Auto Components - 0.0%
  
  
  
Aptiv PLC / Aptiv Corp. 2.396% 2/18/25
 
815,000
815,252
Automobiles - 1.0%
  
  
  
American Honda Finance Corp.:
  
  
  
 3 month U.S. LIBOR + 0.150% 0.6296% 2/22/23 (c)(d)
  
3,342,000
3,343,850
 0.4% 10/21/22
 
2,775,000
2,764,699
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5792% 4/1/24 (b)(c)(d)
  
5,925,000
5,958,507
Daimler Finance North America LLC:
  
  
  
 3 month U.S. LIBOR + 0.840% 1.1506% 5/4/23 (b)(c)(d)
  
3,240,000
3,259,390
 1.75% 3/10/23 (b)
  
1,800,000
1,801,921
General Motors Co.:
  
  
  
 4.875% 10/2/23
 
730,000
762,076
 5.4% 10/2/23
 
1,130,000
1,187,188
General Motors Financial Co., Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.6689% 10/15/24 (c)(d)
  
4,200,000
4,185,945
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8093% 3/8/24 (c)(d)
  
4,061,000
4,070,001
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (c)(d)
  
5,000,000
5,046,826
 2.9% 2/26/25
 
2,035,000
2,046,652
 3.25% 1/5/23
 
5,000,000
5,066,765
Harley-Davidson Financial Services, Inc. 2.55% 6/9/22 (b)
  
375,000
376,229
Hyundai Capital Services, Inc. 2.125% 4/24/25 (b)
  
380,000
371,383
Nissan Motor Acceptance Corp.:
  
  
  
 2.6% 9/28/22 (b)
  
1,610,000
1,620,226
 2.65% 7/13/22 (b)
  
560,000
562,432
Nissan Motor Co. Ltd. 3.043% 9/15/23 (b)
  
1,800,000
1,816,897
Stellantis Finance U.S., Inc. 1.711% 1/29/27 (b)
  
675,000
641,996
Volkswagen Group of America Finance LLC:
  
  
  
 0.75% 11/23/22 (b)
  
10,620,000
10,550,413
 0.875% 11/22/23 (b)
  
590,000
577,778
 2.7% 9/26/22 (b)
  
650,000
653,822
 2.9% 5/13/22 (b)
  
5,663,000
5,683,597
 3.125% 5/12/23 (b)
  
355,000
360,127
 
  
  
62,708,720
Distributors - 0.0%
  
  
  
Genuine Parts Co. 1.75% 2/1/25
 
410,000
403,032
Hotels, Restaurants & Leisure - 0.1%
  
  
  
Expedia, Inc. 3.6% 12/15/23
 
1,270,000
1,298,100
Hyatt Hotels Corp. 1.3% 10/1/23
 
565,000
556,029
Marriott International, Inc.:
  
  
  
 3.125% 2/15/23
 
290,000
292,530
 3.6% 4/15/24
 
1,750,000
1,796,468
 4.15% 12/1/23
 
175,000
180,524
Starbucks Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.420% 0.47% 2/14/24 (c)(d)
  
4,193,000
4,196,224
 2.7% 6/15/22
 
435,000
435,852
 
  
  
8,755,727
Household Durables - 0.0%
  
  
  
Panasonic Corp. 2.536% 7/19/22 (b)
  
785,000
787,491
Internet & Direct Marketing Retail - 0.1%
  
  
  
QVC, Inc. 4.375% 3/15/23
 
3,565,000
3,627,352
Leisure Products - 0.0%
  
  
  
Brunswick Corp. 0.85% 8/18/24
 
1,190,000
1,144,557
Hasbro, Inc. 3% 11/19/24
 
1,915,000
1,947,682
 
  
  
3,092,239
Multiline Retail - 0.0%
  
  
  
Nordstrom, Inc. 2.3% 4/8/24
 
150,000
144,375
Specialty Retail - 0.1%
  
  
  
AutoZone, Inc. 3.625% 4/15/25
 
485,000
501,803
O'Reilly Automotive, Inc. 3.8% 9/1/22
 
385,000
387,484
Ross Stores, Inc.:
  
  
  
 0.875% 4/15/26
 
450,000
425,577
 4.6% 4/15/25
 
2,310,000
2,464,340
Triton Container International Ltd. 0.8% 8/1/23 (b)
  
1,350,000
1,325,357
 
  
  
5,104,561
Textiles, Apparel & Luxury Goods - 0.1%
  
  
  
VF Corp. 2.05% 4/23/22
 
3,386,000
3,391,925
TOTAL CONSUMER DISCRETIONARY
  
  
88,830,674
CONSUMER STAPLES - 0.7%
 
  
  
Beverages - 0.0%
  
  
  
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65% 2/1/26
 
495,000
517,080
Coca-Cola European Partners PLC 0.8% 5/3/24 (b)
  
2,005,000
1,950,656
Diageo Capital PLC 1.375% 9/29/25
 
680,000
657,633
 
  
  
3,125,369
Food & Staples Retailing - 0.0%
  
  
  
7-Eleven, Inc.:
  
  
  
 0.625% 2/10/23 (b)
  
1,072,000
1,063,419
 0.8% 2/10/24 (b)
  
1,448,000
1,413,273
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S)
 
600,000
622,238
 
  
  
3,098,930
Food Products - 0.2%
  
  
  
Bunge Ltd. Finance Corp.:
  
  
  
 3% 9/25/22
 
3,375,000
3,401,260
 4.35% 3/15/24
 
130,000
135,064
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S)
 
2,004,000
1,950,393
JDE Peet's BV 0.8% 9/24/24 (b)
  
515,000
493,261
Mondelez International, Inc. 0.625% 7/1/22
 
6,350,000
6,338,859
 
  
  
12,318,837
Tobacco - 0.5%
  
  
  
BAT International Finance PLC 1.668% 3/25/26
 
885,000
840,462
Imperial Tobacco Finance PLC:
  
  
  
 3.125% 7/26/24 (b)
  
1,865,000
1,885,688
 3.5% 2/11/23 (b)
  
14,424,000
14,551,409
 3.75% 7/21/22 (b)
  
3,390,000
3,404,004
Philip Morris International, Inc. 1.125% 5/1/23
 
8,991,000
8,959,705
 
  
  
29,641,268
TOTAL CONSUMER STAPLES
  
  
48,184,404
ENERGY - 1.1%
 
  
  
Energy Equipment & Services - 0.0%
  
  
  
Baker Hughes Co. 1.231% 12/15/23
 
1,215,000
1,202,720
Schlumberger Finance Canada Ltd. 1.4% 9/17/25
 
290,000
281,526
Schlumberger Holdings Corp.:
  
  
  
 3.75% 5/1/24 (b)
  
1,515,000
1,557,584
 4% 12/21/25 (b)
  
375,000
391,573
 
  
  
3,433,403
Oil, Gas & Consumable Fuels - 1.1%
  
  
  
Aker BP ASA 3% 1/15/25 (b)
  
995,000
1,005,435
Canadian Natural Resources Ltd. 2.05% 7/15/25
 
1,430,000
1,404,388
Cheniere Corpus Christi Holdings LLC:
  
  
  
 5.875% 3/31/25
 
1,470,000
1,587,425
 7% 6/30/24
 
2,000,000
2,162,807
Chevron Corp.:
  
  
  
 3 month U.S. LIBOR + 0.480% 0.6546% 3/3/22 (c)(d)
  
4,700,000
4,700,047
 1.141% 5/11/23
 
4,174,000
4,158,750
ConocoPhillips Co. 2.125% 3/8/24 (e)
  
10,000,000
10,005,510
Devon Energy Corp. 8.25% 8/1/23
 
525,000
564,741
Diamondback Energy, Inc.:
  
  
  
 2.875% 12/1/24
 
2,720,000
2,752,267
 4.75% 5/31/25
 
1,080,000
1,149,467
Enbridge, Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 0.68% 2/16/24 (c)(d)
  
4,149,000
4,159,622
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (c)(d)
  
1,892,000
1,890,106
 0.55% 10/4/23
 
5,000,000
4,894,207
 2.5% 1/15/25
 
1,115,000
1,116,297
 2.5% 2/14/25
 
615,000
617,027
 4% 10/1/23
 
1,605,000
1,646,440
Energy Transfer LP:
  
  
  
 2.9% 5/15/25
 
255,000
256,140
 3.45% 1/15/23
 
110,000
111,255
 4.2% 9/15/23
 
280,000
287,930
 4.25% 3/15/23
 
1,795,000
1,829,353
 4.25% 4/1/24
 
70,000
72,057
 4.9% 2/1/24
 
620,000
645,284
 5.875% 1/15/24
 
2,375,000
2,509,944
Eni SpA 4% 9/12/23 (b)
  
1,610,000
1,656,701
EOG Resources, Inc. 2.625% 3/15/23
 
291,000
293,321
EQT Corp. 3% 10/1/22
 
2,275,000
2,294,110
Gray Oak Pipeline LLC:
  
  
  
 2% 9/15/23 (b)
  
605,000
603,668
 2.6% 10/15/25 (b)
  
385,000
380,689
Kinder Morgan Energy Partners LP 3.95% 9/1/22
 
135,000
135,831
Pioneer Natural Resources Co. 0.55% 5/15/23
 
3,792,000
3,743,070
Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23
 
1,275,000
1,284,445
Sabine Pass Liquefaction LLC:
  
  
  
 5.625% 4/15/23 (c)
  
2,530,000
2,612,598
 5.625% 3/1/25
 
510,000
550,319
 5.75% 5/15/24
 
100,000
106,387
Saudi Arabian Oil Co. 2.75% 4/16/22 (b)
  
1,815,000
1,820,445
Suncor Energy, Inc. 2.8% 5/15/23
 
975,000
985,572
The Williams Companies, Inc.:
  
  
  
 3.35% 8/15/22
 
200,000
200,940
 3.7% 1/15/23
 
2,205,000
2,235,794
 4.3% 3/4/24
 
305,000
316,254
Western Gas Partners LP 4% 7/1/22
 
1,800,000
1,800,000
 
  
  
70,546,643
TOTAL ENERGY
  
  
73,980,046
FINANCIALS - 12.9%
 
  
  
Banks - 7.1%
  
  
  
AIB Group PLC 4.75% 10/12/23 (b)
  
1,115,000
1,154,743
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23
 
2,000,000
1,971,530
Banco del Estado de Chile 2.704% 1/9/25 (b)
  
665,000
663,462
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S)
 
1,750,000
1,774,500
Banco Santander SA 0.701% 6/30/24 (c)
  
200,000
196,542
Bank of America Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 0.7093% 2/4/25 (c)(d)
  
10,000,000
10,006,900
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7389% 4/22/25 (c)(d)
  
10,000,000
10,022,700
 0.523% 6/14/24 (c)
  
1,210,000
1,188,000
 0.81% 10/24/24 (c)
  
755,000
736,898
 0.976% 4/22/25 (c)
  
1,050,000
1,017,567
 1.734% 7/22/27 (c)
  
765,000
730,240
 1.843% 2/4/25 (c)
  
850,000
841,718
Bank of Ireland Group PLC 4.5% 11/25/23 (b)
  
2,655,000
2,743,927
Bank of Montreal:
  
  
  
 3 month U.S. LIBOR + 0.570% 0.7898% 3/26/22 (c)(d)
  
5,000,000
5,002,298
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3142% 9/15/23 (c)(d)
  
10,000,000
9,986,804
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3189% 4/14/23 (c)(d)
  
8,000,000
7,986,283
Bank of Nova Scotia:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3092% 9/15/23 (c)(d)
  
5,000,000
4,995,341
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4294% 7/31/24 (c)(d)
  
5,000,000
4,993,899
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4939% 4/15/24 (c)(d)
  
10,000,000
10,011,769
 1.45% 1/10/25
 
1,720,000
1,681,591
Banque Federative du Credit Mutuel SA:
  
  
  
 0.65% 2/27/24 (b)
  
860,000
833,110
 0.998% 2/4/25 (b)
  
1,145,000
1,099,443
 2.125% 11/21/22 (b)
  
4,457,000
4,479,721
Barclays Bank PLC 1.7% 5/12/22
 
650,000
650,562
Barclays PLC 4.338% 5/16/24 (c)
  
660,000
678,226
BNP Paribas SA:
  
  
  
 2.591% 1/20/28 (b)(c)
  
1,150,000
1,118,084
 3.5% 3/1/23 (b)
  
10,000,000
10,159,782
BPCE SA:
  
  
  
 3 month U.S. LIBOR + 1.220% 1.6996% 5/22/22 (b)(c)(d)
  
1,605,000
1,608,630
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6189% 1/14/25 (b)(c)(d)
  
3,533,000
3,527,910
 3% 5/22/22 (b)
  
5,508,000
5,528,048
 5.7% 10/22/23 (b)
  
2,910,000
3,055,750
Canadian Imperial Bank of Commerce:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3891% 6/22/23 (c)(d)
  
5,885,000
5,880,233
 0.95% 6/23/23
 
7,200,000
7,125,015
Citigroup, Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7436% 1/25/26 (c)(d)
  
10,000,000
10,010,100
 0.981% 5/1/25 (c)
  
1,880,000
1,826,110
 2.7% 10/27/22
 
15,130,000
15,257,446
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.2789% 4/24/23 (b)(c)(d)
  
675,000
680,228
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22
 
10,000,000
10,129,594
Danske Bank A/S:
  
  
  
 1.226% 6/22/24 (b)
  
1,610,000
1,575,531
 5.375% 1/12/24 (b)
  
775,000
816,851
Discover Bank 4.2% 8/8/23
 
1,075,000
1,106,427
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (b)(c)(d)
  
5,316,000
5,313,364
Fifth Third Bancorp 1.625% 5/5/23
 
10,625,000
10,610,567
First Republic Bank 2.5% 6/6/22
 
6,050,000
6,063,777
HSBC Holdings PLC:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (c)(d)
  
10,000,000
10,010,088
 0.976% 5/24/25 (c)
  
245,000
236,812
 1.162% 11/22/24 (c)
  
750,000
733,623
 1.645% 4/18/26 (c)
  
850,000
819,403
 2.099% 6/4/26 (c)
  
645,000
628,811
 3.262% 3/13/23 (c)
  
15,300,000
15,307,967
 3.803% 3/11/25 (c)
  
425,000
435,310
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.3698% 3/29/22 (c)(d)
  
735,000
735,528
Intesa Sanpaolo SpA 3.125% 7/14/22 (b)
  
7,500,000
7,538,578
JPMorgan Chase & Co.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.585% 6/1/25 (c)(d)
  
10,000,000
9,962,462
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6292% 3/16/24 (c)(d)
  
5,000,000
5,007,809
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.880% 0.9337% 4/22/27 (c)(d)
  
747,000
749,962
 0.824% 6/1/25 (c)
  
965,000
933,644
 2.083% 4/22/26 (c)
  
1,870,000
1,842,024
 2.776% 4/25/23 (c)
  
5,200,000
5,209,169
KeyBank NA:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (c)(d)
  
10,000,000
9,964,175
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.39% 1/3/24 (c)(d)
  
6,000,000
5,992,977
Lloyds Banking Group PLC:
  
  
  
 0.695% 5/11/24 (c)
  
2,698,000
2,655,436
 1.326% 6/15/23 (c)
  
1,803,000
1,800,745
 4.5% 11/4/24
 
480,000
500,837
Mitsubishi UFJ Financial Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.700% 0.8876% 3/7/22 (c)(d)
  
10,000,000
10,000,778
 3 month U.S. LIBOR + 0.740% 0.9133% 3/2/23 (c)(d)
  
4,624,000
4,646,462
 0.953% 7/19/25 (c)
  
1,660,000
1,603,055
 2.623% 7/18/22
 
10,441,000
10,506,129
 3.218% 3/7/22
 
1,090,000
1,090,383
Mizuho Financial Group Cayman 2 Ltd. 4.2% 7/18/22 (Reg. S)
 
1,625,000
1,640,506
Mizuho Financial Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.850% 1.0509% 9/13/23 (c)(d)
  
10,000,000
10,028,733
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.960% 1.01% 5/22/26 (c)(d)
  
5,000,000
5,003,200
Morgan Stanley Domestic Hold 2.95% 8/24/22
 
8,277,000
8,338,024
National Bank of Canada 0.9% 8/15/23 (c)
  
7,000,000
6,977,796
NatWest Group PLC 3.875% 9/12/23
 
1,085,000
1,111,233
NatWest Markets PLC:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 8/12/24 (b)(c)(d)
  
5,905,000
5,907,945
 0.8% 8/12/24 (b)
  
370,000
354,721
 2.375% 5/21/23 (b)
  
1,525,000
1,535,312
 3.625% 9/29/22 (b)
  
5,000,000
5,069,571
QNB Finance Ltd.:
  
  
  
 2.625% 5/12/25 (Reg. S)
 
500,000
498,750
 3.5% 3/28/24 (Reg. S)
 
1,000,000
1,020,188
Rabobank Nederland 3.95% 11/9/22
 
10,000,000
10,183,892
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (c)(d)
  
15,000,000
15,004,080
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c)
  
760,000
738,242
Societe Generale:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.050% 1.0995% 1/21/26 (b)(c)(d)
  
10,000,000
10,030,171
 2.625% 10/16/24 (b)
  
365,000
363,440
Standard Chartered PLC:
  
  
  
 0.991% 1/12/25 (b)(c)
  
375,000
363,607
 1.214% 3/23/25 (b)(c)
  
200,000
194,711
 1.319% 10/14/23 (b)(c)
  
200,000
199,071
 1.822% 11/23/25 (b)(c)
  
475,000
461,965
 3.885% 3/15/24 (b)(c)
  
365,000
371,045
 3.95% 1/11/23 (b)
  
1,840,000
1,865,884
Svenska Handelsbanken AB:
  
  
  
 0.55% 6/11/24 (b)
  
720,000
696,883
 1.418% 6/11/27 (b)(c)
  
695,000
662,891
Swedbank AB:
  
  
  
 0.6% 9/25/23 (b)
  
500,000
490,659
 1.3% 6/2/23 (b)
  
1,150,000
1,144,305
Synchrony Bank 3% 6/15/22
 
10,395,000
10,438,707
Synovus Financial Corp. 3.125% 11/1/22
 
5,000,000
5,030,476
The Toronto-Dominion Bank:
  
  
  
 3 month U.S. LIBOR + 0.530% 0.7009% 12/1/22 (c)(d)
  
5,000,000
5,012,144
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2693% 6/2/23 (c)(d)
  
10,000,000
9,982,274
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (c)(d)
  
5,000,000
5,009,571
 0.25% 1/6/23
 
4,000,000
3,967,023
 0.55% 3/4/24
 
1,790,000
1,738,360
 0.7% 9/10/24
 
1,430,000
1,382,162
Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2489% 1/17/24 (c)(d)
  
10,000,000
9,987,618
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4493% 6/9/25 (c)(d)
  
10,710,000
10,677,249
UniCredit SpA 3.75% 4/12/22 (b)
  
1,740,000
1,744,531
Wells Fargo & Co.:
  
  
  
 1.654% 6/2/24 (c)
  
5,935,000
5,914,403
 2.188% 4/30/26 (c)
  
840,000
828,907
 3.5% 3/8/22
 
123,000
123,052
 
  
  
457,846,690
Capital Markets - 2.7%
  
  
  
Credit Suisse AG:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4295% 8/9/23 (c)(d)
  
5,000,000
4,991,295
 0.495% 2/2/24
 
810,000
784,250
 1% 5/5/23
 
6,590,000
6,539,780
 2.8% 4/8/22
 
2,340,000
2,345,287
Credit Suisse Group AG 2.997% 12/14/23 (b)(c)
  
250,000
252,092
Deutsche Bank AG New York Branch:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5496% 11/8/23 (c)(d)
  
10,000,000
9,979,233
 2.222% 9/18/24 (c)
  
10,000,000
9,976,283
 3.3% 11/16/22
 
7,072,000
7,147,482
Goldman Sachs Group, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.750% 1.2139% 2/23/23 (c)(d)
  
5,000,000
5,017,485
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 11/17/23 (c)(d)
  
10,000,000
10,005,057
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7495% 1/24/25 (c)(d)
  
10,000,000
10,007,600
 0.523% 3/8/23
 
3,300,000
3,276,842
 0.657% 9/10/24 (c)
  
725,000
707,790
 0.673% 3/8/24 (c)
  
1,180,000
1,164,603
 0.925% 10/21/24 (c)
  
555,000
543,029
 1.757% 1/24/25 (c)
  
1,115,000
1,102,468
 2.905% 7/24/23 (c)
  
10,000,000
10,051,824
 2.908% 6/5/23 (c)
  
11,000,000
11,043,269
 3.5% 4/1/25
 
1,005,000
1,033,031
Intercontinental Exchange, Inc. 0.7% 6/15/23
 
1,130,000
1,116,390
Morgan Stanley:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6743% 1/24/25 (c)(d)
  
8,000,000
8,008,160
 0.529% 1/25/24 (c)
  
3,994,000
3,947,400
 0.56% 11/10/23 (c)
  
6,170,000
6,121,772
 0.731% 4/5/24 (c)
  
985,000
971,380
 1.164% 10/21/25 (c)
  
1,035,000
998,639
 2.63% 2/18/26 (c)
  
1,070,000
1,070,251
 2.75% 5/19/22
 
1,095,000
1,099,329
 3.737% 4/24/24 (c)
  
5,000,000
5,093,253
 4.1% 5/22/23
 
275,000
282,212
 4.875% 11/1/22
 
8,160,000
8,345,506
NASDAQ, Inc. 0.445% 12/21/22
 
2,417,000
2,401,656
State Street Corp. 2.825% 3/30/23 (c)
  
330,000
330,290
UBS AG London Branch:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.4095% 2/9/24 (b)(c)(d)
  
10,000,000
9,982,126
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5194% 1/13/25 (b)(c)(d)
  
5,000,000
4,998,100
 1.75% 4/21/22 (b)
  
7,000,000
7,004,926
UBS Group AG:
  
  
  
 1.008% 7/30/24 (b)(c)
  
7,118,000
7,016,477
 1.494% 8/10/27 (b)(c)
  
375,000
353,706
 3.491% 5/23/23 (b)
  
5,000,000
5,021,970
 
  
  
170,132,243
Consumer Finance - 1.2%
  
  
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (c)(d)
  
9,823,000
9,796,576
 1.65% 10/29/24
 
1,690,000
1,640,143
 4.125% 7/3/23
 
1,025,000
1,047,889
 4.5% 9/15/23
 
1,450,000
1,493,586
 4.875% 1/16/24
 
850,000
882,198
American Express Co.:
  
  
  
 2.65% 12/2/22
 
9,500,000
9,604,528
 2.75% 5/20/22
 
5,000,000
5,012,197
Capital One Financial Corp.:
  
  
  
 1.343% 12/6/24 (c)
  
5,000,000
4,924,731
 3.2% 1/30/23
 
8,016,000
8,128,381
 3.5% 6/15/23
 
555,000
567,374
 3.9% 1/29/24
 
505,000
521,070
Discover Financial Services 3.85% 11/21/22
 
3,500,000
3,560,765
Hyundai Capital America:
  
  
  
 0.8% 1/8/24 (b)
  
910,000
883,743
 0.875% 6/14/24 (b)
  
1,035,000
994,293
 1% 9/17/24 (b)
  
445,000
427,930
 2.375% 2/10/23 (b)
  
1,925,000
1,930,438
 2.85% 11/1/22 (b)
  
511,000
514,616
 3% 6/20/22 (b)
  
1,060,000
1,063,208
LeasePlan Corp. NV 2.875% 10/24/24 (b)
  
750,000
753,688
Synchrony Financial:
  
  
  
 2.85% 7/25/22
 
3,758,000
3,777,644
 4.25% 8/15/24
 
1,960,000
2,031,303
Toyota Motor Credit Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (c)(d)
  
5,450,000
5,450,293
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 6/13/23 (c)(d)
  
5,000,000
5,000,000
 0.45% 7/22/22
 
7,207,000
7,191,890
 
  
  
77,198,484
Diversified Financial Services - 0.4%
  
  
  
Athene Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (b)(c)(d)
  
8,000,000
8,008,080
 0.95% 1/8/24 (b)
  
3,469,000
3,390,339
 1.716% 1/7/25 (b)
  
1,905,000
1,858,277
GA Global Funding Trust 1.25% 12/8/23 (b)
  
5,000,000
4,908,288
Jackson Financial, Inc. 1.125% 11/22/23 (b)
  
5,631,000
5,539,597
LSEGA Financing PLC 0.65% 4/6/24 (b)
  
1,355,000
1,315,144
Park Aerospace Holdings Ltd.:
  
  
  
 4.5% 3/15/23 (b)
  
660,000
673,714
 5.25% 8/15/22 (b)
  
880,000
890,872
 
  
  
26,584,311
Insurance - 1.5%
  
  
  
ACE INA Holdings, Inc. 2.875% 11/3/22
 
2,500,000
2,523,260
American International Group, Inc. 2.5% 6/30/25
 
1,000,000
1,004,414
Aon Corp. 2.2% 11/15/22
 
1,592,000
1,600,584
Brighthouse Financial Global Funding:
  
  
  
 0.6% 6/28/23 (b)
  
845,000
832,040
 1% 4/12/24 (b)
  
1,105,000
1,075,702
CNO Global Funding:
  
  
  
 1.65% 1/6/25 (b)
  
1,300,000
1,270,553
 1.75% 10/7/26 (b)
  
850,000
810,945
Equitable Financial Life Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4383% 4/6/23 (b)(c)(d)
  
10,000,000
9,998,886
 0.5% 4/6/23 (b)
  
2,010,000
1,986,008
 0.5% 11/17/23 (b)
  
5,000,000
4,894,735
 1.1% 11/12/24 (b)
  
1,378,000
1,331,651
Health Care Service Corp. 1.5% 6/1/25 (b)
  
1,800,000
1,748,041
Jackson National Life Global Funding 1.75% 1/12/25 (b)
  
1,145,000
1,125,891
Lincoln National Corp. 4% 9/1/23
 
270,000
278,762
MassMutual Global Funding II 0.85% 6/9/23 (b)
  
10,000,000
9,906,446
Metropolitan Life Global Funding I:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.619% 1/13/23 (b)(c)(d)
  
6,940,000
6,961,306
 0.9% 6/8/23 (b)
  
4,918,000
4,879,520
Metropolitan Tower Global Funding:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5989% 1/17/23 (b)(c)(d)
  
5,000,000
5,016,634
 0.55% 7/13/22 (b)
  
6,000,000
5,994,282
New York Life Global Funding:
  
  
  
 3 month U.S. LIBOR + 0.280% 0.5113% 1/10/23 (b)(c)(d)
  
6,945,000
6,950,785
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2696% 2/2/23 (b)(c)(d)
  
10,000,000
9,998,704
 1.1% 5/5/23 (b)
  
725,000
721,891
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3792% 3/25/24 (b)(c)(d)
  
4,063,000
4,065,533
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4281% 4/12/24 (b)(c)(d)
  
10,000,000
10,004,272
Principal Life Global Funding II:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (b)(c)(d)
  
1,763,000
1,766,390
 0.75% 4/12/24 (b)
  
930,000
905,341
Trinity Acquisition PLC 4.625% 8/15/23
 
1,054,000
1,092,756
 
  
  
98,745,332
Thrifts & Mortgage Finance - 0.0%
  
  
  
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (b)
  
370,000
372,778
Nationwide Building Society:
  
  
  
 3.622% 4/26/23 (b)(c)
  
1,035,000
1,038,001
 3.766% 3/8/24 (b)(c)
  
500,000
508,023
 
  
  
1,918,802
TOTAL FINANCIALS
  
  
832,425,862
HEALTH CARE - 1.5%
 
  
  
Biotechnology - 0.4%
  
  
  
AbbVie, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.650% 1.1296% 11/21/22 (c)(d)
  
7,100,000
7,125,633
 2.6% 11/21/24
 
3,500,000
3,533,211
 2.9% 11/6/22
 
5,000,000
5,049,502
 2.95% 11/21/26
 
1,565,000
1,593,321
 3.2% 11/6/22
 
170,000
171,376
 3.2% 5/14/26
 
175,000
179,450
 3.25% 10/1/22
 
5,850,000
5,888,963
Baxalta, Inc. 3.6% 6/23/22
 
265,000
265,906
Gilead Sciences, Inc. 0.75% 9/29/23
 
1,553,000
1,530,444
 
  
  
25,337,806
Health Care Equipment & Supplies - 0.0%
  
  
  
Baxter International, Inc. 0.868% 12/1/23 (b)
  
1,460,000
1,433,026
Becton, Dickinson & Co.:
  
  
  
 3.363% 6/6/24
 
551,000
564,523
 3.734% 12/15/24
 
200,000
206,785
Stryker Corp. 0.6% 12/1/23
 
325,000
317,344
 
  
  
2,521,678
Health Care Providers & Services - 0.4%
  
  
  
Aetna, Inc. 2.8% 6/15/23
 
885,000
896,733
AmerisourceBergen Corp. 0.737% 3/15/23
 
1,855,000
1,839,934
Anthem, Inc.:
  
  
  
 0.45% 3/15/23
 
4,094,000
4,050,430
 2.375% 1/15/25
 
410,000
411,503
Cardinal Health, Inc.:
  
  
  
 3.079% 6/15/24
 
695,000
706,022
 3.2% 3/15/23
 
875,000
888,807
 3.5% 11/15/24
 
1,180,000
1,212,571
Cigna Corp.:
  
  
  
 0.613% 3/15/24
 
6,302,000
6,141,402
 3% 7/15/23
 
715,000
725,618
 3.05% 11/30/22
 
1,729,000
1,750,667
 3.75% 7/15/23
 
401,000
411,379
CommonSpirit Health 1.547% 10/1/25
 
670,000
646,599
CVS Health Corp.:
  
  
  
 2.625% 8/15/24
 
335,000
339,023
 2.875% 6/1/26
 
475,000
480,680
 3% 8/15/26
 
415,000
422,346
Humana, Inc.:
  
  
  
 0.65% 8/3/23
 
4,706,000
4,632,481
 1.35% 2/3/27
 
120,000
113,148
 2.9% 12/15/22
 
160,000
161,564
 3.15% 12/1/22
 
315,000
317,945
 3.85% 10/1/24
 
1,045,000
1,083,284
 4.5% 4/1/25
 
1,205,000
1,279,072
PeaceHealth Obligated Group 1.375% 11/15/25
 
190,000
183,214
 
  
  
28,694,422
Life Sciences Tools & Services - 0.3%
  
  
  
PerkinElmer, Inc.:
  
  
  
 0.55% 9/15/23
 
10,675,000
10,491,242
 0.85% 9/15/24
 
1,290,000
1,244,545
Thermo Fisher Scientific, Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.5789% 10/18/24 (c)(d)
  
2,411,000
2,412,779
 0.797% 10/18/23
 
1,865,000
1,839,839
 
  
  
15,988,405
Pharmaceuticals - 0.4%
  
  
  
AstraZeneca Finance LLC:
  
  
  
 0.7% 5/28/24
 
995,000
968,448
 1.2% 5/28/26
 
1,390,000
1,332,090
AstraZeneca PLC:
  
  
  
 0.3% 5/26/23
 
1,425,000
1,404,762
 3.5% 8/17/23
 
365,000
374,558
Bayer U.S. Finance II LLC 3.875% 12/15/23 (b)
  
750,000
770,333
Bristol-Myers Squibb Co. 3.25% 2/20/23
 
178,000
181,082
Perrigo Finance PLC 3.9% 12/15/24
 
2,790,000
2,783,042
Royalty Pharma PLC 0.75% 9/2/23
 
870,000
853,635
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23
 
1,845,000
1,868,780
Viatris, Inc. 1.125% 6/22/22
 
13,114,000
13,119,558
 
  
  
23,656,288
TOTAL HEALTH CARE
  
  
96,198,599
INDUSTRIALS - 1.3%
 
  
  
Aerospace & Defense - 0.1%
  
  
  
DAE Funding LLC 1.55% 8/1/24 (b)
  
465,000
446,981
The Boeing Co. 1.167% 2/4/23
 
2,790,000
2,778,687
 
  
  
3,225,668
Airlines - 0.0%
  
  
  
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27
 
503,980
480,253
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29
 
342,590
327,193
 
  
  
807,446
Building Products - 0.0%
  
  
  
Carrier Global Corp. 2.242% 2/15/25
 
1,860,000
1,854,759
Commercial Services & Supplies - 0.0%
  
  
  
HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S)
 
400,000
404,200
Republic Services, Inc. 2.5% 8/15/24
 
880,000
887,931
 
  
  
1,292,131
Construction & Engineering - 0.0%
  
  
  
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S)
 
944,000
921,099
Industrial Conglomerates - 0.4%
  
  
  
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.709% 8/8/22 (c)(d)
  
9,078,000
9,089,995
Roper Technologies, Inc.:
  
  
  
 0.45% 8/15/22
 
205,000
204,309
 1% 9/15/25
 
235,000
223,529
 2.35% 9/15/24
 
365,000
366,890
 3.125% 11/15/22
 
1,505,000
1,518,977
 3.65% 9/15/23
 
270,000
277,087
Siemens Financieringsmaatschappij NV:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/11/24 (b)(c)(d)
  
10,290,000
10,308,405
 0.65% 3/11/24 (b)
  
690,000
674,538
 
  
  
22,663,730
Machinery - 0.4%
  
  
  
Caterpillar Financial Services Corp.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (c)(d)
  
5,000,000
4,998,207
 0.25% 3/1/23
 
10,000,000
9,896,334
Daimler Trucks Finance North America LLC:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5493% 6/14/23 (b)(c)(d)
  
8,000,000
7,998,105
 1.625% 12/13/24 (b)
  
1,065,000
1,044,529
Otis Worldwide Corp. 2.056% 4/5/25
 
1,000,000
992,450
 
  
  
24,929,625
Professional Services - 0.0%
  
  
  
Equifax, Inc. 3.95% 6/15/23
 
1,090,000
1,116,198
IHS Markit Ltd. 3.625% 5/1/24
 
985,000
1,017,515
 
  
  
2,133,713
Road & Rail - 0.2%
  
  
  
Canadian Pacific Railway Co.:
  
  
  
 1.35% 12/2/24
 
7,739,000
7,550,080
 1.75% 12/2/26
 
580,000
562,522
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S)
 
1,670,000
1,646,307
Guangzhou Metro Investment Finance (BVI) Ltd. 1.507% 9/17/25 (Reg. S)
 
1,300,000
1,247,220
Kansas City Southern/Old 3% 5/15/23
 
1,030,000
1,040,081
Penske Truck Leasing Co. LP:
  
  
  
 2.7% 3/14/23 (b)
  
1,751,000
1,768,744
 4.25% 1/17/23 (b)
  
285,000
290,989
SMBC Aviation Capital Finance:
  
  
  
 3.55% 4/15/24 (b)
  
815,000
834,690
 4.125% 7/15/23 (b)
  
900,000
923,945
 
  
  
15,864,578
Trading Companies & Distributors - 0.1%
  
  
  
Air Lease Corp. 2.25% 1/15/23
 
3,810,000
3,829,192
GATX Corp.:
  
  
  
 3.9% 3/30/23
 
820,000
837,113
 4.35% 2/15/24
 
965,000
1,005,363
 
  
  
5,671,668
Transportation Infrastructure - 0.1%
  
  
  
Avolon Holdings Funding Ltd.:
  
  
  
 2.125% 2/21/26 (b)
  
1,035,000
1,000,469
 2.875% 2/15/25 (b)
  
980,000
971,142
 3.625% 5/1/22 (b)
  
1,560,000
1,562,781
 3.95% 7/1/24 (b)
  
265,000
271,125
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S)
 
1,650,000
1,655,635
Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (b)
  
1,133,000
1,156,838
 
  
  
6,617,990
TOTAL INDUSTRIALS
  
  
85,982,407
INFORMATION TECHNOLOGY - 0.7%
 
  
  
Electronic Equipment & Components - 0.0%
  
  
  
Amphenol Corp. 2.05% 3/1/25
 
910,000
901,927
Avnet, Inc. 4.875% 12/1/22
 
325,000
332,712
 
  
  
1,234,639
IT Services - 0.3%
  
  
  
CDW LLC/CDW Finance Corp. 5.5% 12/1/24
 
320,000
334,883
Fidelity National Information Services, Inc.:
  
  
  
 0.375% 3/1/23
 
1,160,000
1,145,109
 0.6% 3/1/24
 
555,000
538,558
Fiserv, Inc. 3.8% 10/1/23
 
2,340,000
2,407,036
HCL America, Inc. 1.375% 3/10/26 (b)
  
1,800,000
1,706,963
IBM Corp. 2.85% 5/13/22
 
10,000,000
10,044,989
PayPal Holdings, Inc. 1.35% 6/1/23
 
2,224,000
2,216,960
The Western Union Co. 2.85% 1/10/25
 
1,280,000
1,295,926
 
  
  
19,690,424
Semiconductors & Semiconductor Equipment - 0.2%
  
  
  
Analog Devices, Inc.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (c)(d)
  
2,353,000
2,352,554
 2.95% 4/1/25
 
295,000
302,085
Marvell Technology, Inc. 4.2% 6/22/23
 
1,050,000
1,078,695
Microchip Technology, Inc.:
  
  
  
 0.972% 2/15/24
 
1,165,000
1,135,293
 0.983% 9/1/24 (b)
  
1,220,000
1,173,925
 2.67% 9/1/23
 
1,110,000
1,119,930
NXP BV/NXP Funding LLC:
  
  
  
 4.625% 6/1/23 (b)
  
3,640,000
3,754,399
 4.875% 3/1/24 (b)
  
750,000
786,290
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (b)
  
205,000
206,177
Qorvo, Inc. 1.75% 12/15/24 (b)
  
510,000
494,154
Skyworks Solutions, Inc. 0.9% 6/1/23
 
305,000
300,865
 
  
  
12,704,367
Software - 0.1%
  
  
  
Fortinet, Inc. 1% 3/15/26
 
675,000
632,893
Oracle Corp. 2.4% 9/15/23
 
1,280,000
1,289,304
VMware, Inc. 0.6% 8/15/23
 
4,644,000
4,559,641
 
  
  
6,481,838
Technology Hardware, Storage & Peripherals - 0.1%
  
  
  
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c)
  
3,269,000
3,316,643
TOTAL INFORMATION TECHNOLOGY
  
  
43,427,911
MATERIALS - 0.1%
 
  
  
Chemicals - 0.1%
  
  
  
Cytec Industries, Inc. 3.5% 4/1/23
 
919,000
928,330
Ecolab, Inc. 1.65% 2/1/27
 
400,000
388,865
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (b)
  
582,000
580,112
LYB International Finance III LLC 1.25% 10/1/25
 
692,000
660,954
Westlake Corp. 0.875% 8/15/24
 
180,000
174,485
 
  
  
2,732,746
Construction Materials - 0.0%
  
  
  
Boral Finance Pty Ltd. 3% 11/1/22 (b)
  
135,000
135,874
Martin Marietta Materials, Inc. 0.65% 7/15/23
 
405,000
398,628
 
  
  
534,502
Metals & Mining - 0.0%
  
  
  
ArcelorMittal SA 3.6% 7/16/24
 
390,000
396,987
Nucor Corp. 2% 6/1/25
 
350,000
346,173
POSCO 2.375% 1/17/23 (b)
  
1,870,000
1,879,070
 
  
  
2,622,230
Paper & Forest Products - 0.0%
  
  
  
Celulosa Arauco y Constitucion SA 4.5% 8/1/24
 
635,000
655,955
TOTAL MATERIALS
  
  
6,545,433
REAL ESTATE - 0.2%
 
  
  
Equity Real Estate Investment Trusts (REITs) - 0.2%
  
  
  
American Campus Communities Operating Partnership LP:
  
  
  
 3.75% 4/15/23
 
1,449,000
1,470,729
 4.125% 7/1/24
 
2,000,000
2,074,982
American Tower Corp.:
  
  
  
 2.4% 3/15/25
 
665,000
662,815
 5% 2/15/24
 
375,000
394,535
Crown Castle International Corp.:
  
  
  
 1.05% 7/15/26
 
1,005,000
936,254
 3.15% 7/15/23
 
985,000
1,000,070
Highwoods/Forsyth LP 3.625% 1/15/23
 
1,770,000
1,793,741
Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5187% 4/23/24 (c)(d)
  
495,000
495,003
Simon Property Group LP:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.4794% 1/11/24 (c)(d)
  
3,589,000
3,592,139
 2% 9/13/24
 
380,000
378,779
 3.375% 10/1/24
 
985,000
1,013,316
 
  
  
13,812,363
UTILITIES - 1.9%
 
  
  
Electric Utilities - 1.4%
  
  
  
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (b)(c)(d)
  
3,377,000
3,374,851
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (c)(d)
  
3,003,000
2,996,063
Edison International:
  
  
  
 2.95% 3/15/23
 
455,000
457,560
 3.125% 11/15/22
 
650,000
655,719
ENEL Finance International NV:
  
  
  
 1.375% 7/12/26 (b)
  
1,105,000
1,043,866
 2.65% 9/10/24 (b)
  
1,775,000
1,783,290
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (c)(d)
  
5,000,000
4,992,664
FirstEnergy Corp. 3.35% 7/15/22
 
885,000
882,611
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2995% 5/10/23 (c)(d)
  
3,574,000
3,574,000
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b)
  
1,365,000
1,445,931
Korea Hydro & Nuclear Power Co. Ltd. 1.25% 4/27/26 (b)
  
1,421,000
1,361,465
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.3493% 6/28/24 (c)(d)
  
5,297,000
5,248,559
NextEra Energy Capital Holdings, Inc.:
  
  
  
 3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (c)(d)
  
10,000,000
9,989,270
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4496% 11/3/23 (c)(d)
  
6,000,000
6,000,036
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (c)(d)
  
3,472,000
3,479,687
 1.875% 1/15/27
 
1,255,000
1,214,020
NRG Energy, Inc. 3.75% 6/15/24 (b)
  
535,000
545,478
Pacific Gas & Electric Co.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.150% 2.1927% 11/14/22 (c)(d)
  
180,000
179,936
 1.75% 6/16/22
 
6,280,000
6,274,182
 3.5% 6/15/25
 
955,000
965,741
PPL Electric Utilities Corp.:
  
  
  
 3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (c)(d)
  
1,780,000
1,775,242
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3793% 6/24/24 (c)(d)
  
4,059,000
4,044,805
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S)
 
2,200,000
2,167,000
Southern California Edison Co.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (c)(d)
  
10,000,000
10,007,624
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6892% 4/3/23 (c)(d)
  
5,000,000
5,001,283
Southern Co.:
  
  
  
 U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (c)(d)
  
3,257,000
3,254,231
 0.6% 2/26/24
 
2,230,000
2,162,779
Vistra Operations Co. LLC 3.55% 7/15/24 (b)
  
4,595,000
4,654,255
 
  
  
89,532,148
Gas Utilities - 0.2%
  
  
  
APT Pipelines Ltd. 4.2% 3/23/25 (b)
  
1,895,000
1,971,511
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (c)(d)
  
6,117,000
6,111,446
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (c)(d)
  
2,009,000
2,009,024
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.8109% 3/11/23 (c)(d)
  
2,500,000
2,500,108
 
  
  
12,592,089
Independent Power and Renewable Electricity Producers - 0.1%
  
  
  
Alexander Funding Trust 1.841% 11/15/23 (b)
  
920,000
913,157
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S)
 
1,650,000
1,619,829
The AES Corp. 3.3% 7/15/25 (b)
  
820,000
823,936
 
  
  
3,356,922
Multi-Utilities - 0.2%
  
  
  
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (c)(d)
  
2,893,000
2,893,535
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (c)(d)
  
2,327,000
2,327,213
DTE Energy Co. 0.55% 11/1/22
 
5,000,000
4,975,270
Puget Energy, Inc. 5.625% 7/15/22
 
5,000,000
5,026,997
 
  
  
15,223,015
TOTAL UTILITIES
  
  
120,704,174
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $1,485,496,079)
  
  
  
1,478,335,842
 
  
  
  
U.S. Government and Government Agency Obligations - 3.4%
 
  
Principal
Amount (a)
 
Value ($)
 
U.S. Government Agency Obligations - 0.3%
 
  
  
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (c)(d)
  
20,000,000
20,011,577
U.S. Treasury Obligations - 3.1%
 
  
  
U.S. Treasury Notes:
  
  
  
 0.125% 4/30/23 (f)
  
11,810,000
11,663,298
 0.125% 5/31/23
 
3,860,000
3,807,076
 0.125% 6/30/23
 
31,945,000
31,467,073
 0.125% 7/31/23
 
7,205,000
7,086,512
 0.125% 8/31/23
 
1,820,000
1,787,795
 0.25% 9/30/23
 
20,000,000
19,653,906
 0.375% 3/31/22
 
30,000,000
30,004,715
 0.375% 10/31/23
 
32,000,000
31,455,000
 0.5% 11/30/23
 
3,425,000
3,370,280
 0.75% 12/31/23
 
7,650,000
7,554,375
 0.875% 1/31/24
 
43,730,000
43,256,828
 1.5% 2/29/24
 
7,955,000
7,961,526
TOTAL U.S. TREASURY OBLIGATIONS
  
  
199,068,384
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $220,714,679)
  
  
  
219,079,961
 
  
  
  
U.S. Government Agency - Mortgage Securities - 0.4%
 
  
Principal
Amount (a)
 
Value ($)
 
Fannie Mae - 0.2%
 
  
  
12 month U.S. LIBOR + 1.560% 1.818% 7/1/35 (c)(d)
  
3,458
3,616
12 month U.S. LIBOR + 1.590% 1.839% 12/1/35 (c)(d)
  
4,802
5,015
12 month U.S. LIBOR + 1.650% 1.905% 8/1/37 (c)(d)
  
1,493
1,566
12 month U.S. LIBOR + 1.690% 1.94% 5/1/38 (c)(d)
  
16,014
16,816
12 month U.S. LIBOR + 1.780% 2.163% 5/1/38 (c)(d)
  
2,487
2,596
12 month U.S. LIBOR + 1.830% 2.098% 4/1/38 (c)(d)
  
13,839
14,549
12 month U.S. LIBOR + 1.850% 2.103% 8/1/38 (c)(d)
  
7,433
7,834
12 month U.S. LIBOR + 1.880% 2.191% 5/1/38 (c)(d)
  
8,205
8,627
12 month U.S. LIBOR + 2.040% 2.29% 12/1/36 (c)(d)
  
1,214
1,275
6 month U.S. LIBOR + 1.360% 1.495% 10/1/33 (c)(d)
  
24,058
24,859
2% 2/1/52
 
309,176
296,777
2.5% 1/1/52
 
937,211
927,847
3% 9/1/28 to 11/1/51
 
3,936,554
4,004,927
3.5% 11/1/26 to 3/1/52
 
1,184,025
1,225,849
4% 1/1/47 to 12/1/49
 
356,292
374,399
4.5% 8/1/24 to 1/1/50
 
1,847,436
1,965,940
5% 3/1/23 to 7/1/45
 
945,629
1,031,023
5.5% 5/1/22 to 5/1/40
 
1,255,626
1,406,742
6% to 6% 2/1/23 to 2/1/49
 
1,235,251
1,403,171
6.5% 7/1/32 to 12/1/32
 
60,536
68,385
TOTAL FANNIE MAE
  
  
12,791,813
Freddie Mac - 0.1%
 
  
  
12 month U.S. LIBOR + 1.620% 1.875% 6/1/38 (c)(d)
  
14,020
14,684
12 month U.S. LIBOR + 1.620% 1.875% 7/1/38 (c)(d)
  
21,918
22,882
12 month U.S. LIBOR + 1.720% 1.976% 7/1/35 (c)(d)
  
6,236
6,533
12 month U.S. LIBOR + 1.730% 2.006% 10/1/36 (c)(d)
  
12,151
12,731
12 month U.S. LIBOR + 1.730% 2.046% 5/1/38 (c)(d)
  
5,412
5,688
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (c)(d)
  
2,980
3,116
12 month U.S. LIBOR + 1.770% 2.025% 5/1/37 (c)(d)
  
2,534
2,666
12 month U.S. LIBOR + 1.830% 2.204% 2/1/37 (c)(d)
  
2,685
2,815
12 month U.S. LIBOR + 1.920% 2.185% 12/1/36 (c)(d)
  
4,858
5,083
12 month U.S. LIBOR + 2.020% 2.275% 11/1/36 (c)(d)
  
2,728
2,852
12 month U.S. LIBOR + 2.080% 2.457% 2/1/38 (c)(d)
  
10,922
11,524
12 month U.S. LIBOR + 2.160% 2.489% 2/1/37 (c)(d)
  
5,249
5,510
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (c)(d)
  
6,856
7,186
2.5% 1/1/52
 
1,013,587
1,003,460
3% 11/1/34
 
274,003
283,263
3.5% 12/1/47
 
756,906
787,573
4% 12/1/49
 
161,922
170,284
4.5% 5/1/50
 
159,235
168,974
5% 10/1/22 to 12/1/41
 
343,807
377,342
5.5% 4/1/23 to 10/1/38
 
4,930
5,262
6% 8/1/22 to 9/1/35
 
79,756
89,928
7% 3/1/39
 
122,524
141,014
7.5% 6/1/38
 
120,029
136,355
TOTAL FREDDIE MAC
  
  
3,266,725
Ginnie Mae - 0.1%
 
  
  
6% 7/15/36
 
147,569
164,586
3% 9/20/47
 
2,509,662
2,577,125
3.5% 8/20/44 to 11/20/50
 
3,259,548
3,371,893
4% 3/20/48 to 8/20/50
 
726,707
765,106
4.5% 9/20/40 to 8/20/47
 
575,056
620,220
5% 12/20/34 to 5/20/48
 
654,909
709,630
5.5% 9/15/45 to 2/20/49
 
527,733
575,762
TOTAL GINNIE MAE
  
  
8,784,322
 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
 (Cost $25,046,920)
  
  
  
24,842,860
 
  
  
  
Asset-Backed Securities - 5.8%
 
  
Principal
Amount (a)
 
Value ($)
 
Aimco:
  
  
  
 Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (b)(c)(d)
  
4,100,000
4,075,449
 Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (b)(c)(d)
  
4,342,000
4,319,964
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (b)(c)(d)
  
4,835,000
4,833,825
Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24
 
600,000
604,073
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25
 
740,000
744,267
AmeriCredit Automobile Receivables Trust:
  
  
  
 Series 2017-3 Class D, 3.18% 7/18/23
 
1,187,362
1,188,928
 Series 2018-1 Class D, 3.82% 3/18/24
 
1,645,000
1,662,253
 Series 2019-3 Class B, 2.13% 7/18/25
 
985,000
990,056
 Series 2020-1:
 
  
  
Class C, 1.59% 10/20/25
 
  
705,000
701,572
Class D, 1.8% 12/18/25
 
  
690,000
681,157
 Series 2020-3 Class C, 1.06% 8/18/26
 
420,000
414,136
 Series 2021-1:
 
  
  
Class C, 0.89% 10/19/26
 
  
755,000
735,177
Class D, 1.21% 12/18/26
 
  
470,000
457,240
 Series 2021-2:
 
  
  
Class A2, 0.26% 11/18/24
 
  
2,920,375
2,914,120
Class D, 1.29% 6/18/27
 
  
995,000
962,203
 Series 2021-3 Class A2, 0.41% 2/18/25
 
7,839,000
7,791,918
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/5/49 (b)
  
1,613,700
1,609,488
Arbor Realty Collateralized Loan Obligation Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.070% 1.2611% 8/15/34 (b)(c)(d)
  
1,100,000
1,086,287
Arbor Realty Commercial Real Estate Notes, Ltd. Series 2021-FL4 Class A, 1 month U.S. LIBOR + 1.350% 1.5411% 11/15/36 (b)(c)(d)
  
845,000
840,117
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (b)(c)(d)
  
3,577,000
3,574,535
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (b)
  
770,000
767,997
Avis Budget Rental Car Funding (AESOP) LLC:
  
  
  
 Series 2017-1A Class B, 3.41% 9/20/23 (b)
  
540,000
543,737
 Series 2017-2A Class A, 2.97% 3/20/24 (b)
  
905,000
917,527
 Series 2018-2A Class C, 4.95% 3/20/25 (b)
  
430,000
446,487
 Series 2019-1A Class B, 3.7% 3/20/23 (b)
  
40,833
40,893
 Series 2019-2A Class A, 3.35% 9/22/25 (b)
  
650,000
668,228
 Series 2020-1A Class A, 2.33% 8/20/26 (b)
  
540,000
540,553
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.054% 1/20/28 (b)(c)(d)
  
801,992
800,561
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26
 
4,768,000
4,656,525
Bayview Opportunity Master Fund Trust:
  
  
  
 Series 2017-RT3 Class A, 3.5% 1/28/58 (b)(c)
  
549,774
547,054
 Series 2017-SPL4 Class A, 3.5% 1/28/55 (b)
  
172,094
172,577
 Series 2017-SPL5 Class A, 3.5% 6/28/57 (b)
  
483,338
485,779
BDS, Ltd. / BDS LLC Series 2021-FL10 Class A, 1 month U.S. LIBOR + 1.350% 1.4867% 12/16/36 (b)(c)(d)
  
770,000
766,419
Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (b)(c)
  
554,167
543,451
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b)
  
184,027
186,247
BSPRT Issuer, Ltd. / BSPRT CO-Issuer LLC Series 2022-FL8 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.55% 2/15/37 (b)(c)(d)
  
1,510,000
1,504,859
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2776% 7/28/28 (b)(c)(d)
  
396,301
396,301
CarMax Auto Owner Trust:
  
  
  
 Series 2019-2 Class B, 3.01% 12/16/24
 
1,935,000
1,966,567
 Series 2020-4:
 
  
  
Class A2, 0.31% 1/16/24
 
  
1,815,691
1,814,459
Class D, 1.75% 4/15/27
 
  
540,000
530,577
 Series 2021-1 Class A3, 0.34% 12/15/25
 
2,373,000
2,324,918
 Series 2021-2 Class C, 1.34% 2/16/27
 
545,000
528,042
Carvana Auto Receivables Trust:
  
  
  
 Series 2021-P2 Class A2, 0.3% 7/10/24
 
4,327,983
4,320,211
 Series 2021-P3 Class A2, 0.38% 1/10/25
 
3,039,656
3,014,151
 Series 2021-P4 Class B, 1.98% 2/10/28
 
445,000
436,390
Cedar Funding Ltd.:
  
  
  
 Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (b)(c)(d)
  
1,089,000
1,081,865
 Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (b)(c)(d)
  
5,722,000
5,686,701
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (b)(c)(d)
  
4,090,000
4,050,110
Chesapeake Funding II LLC:
  
  
  
 Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.6711% 1/15/31 (b)(c)(d)
  
548,248
548,500
 Series 2019-1A Class A1, 2.94% 4/15/31 (b)
  
804,279
806,470
 Series 2020-1A Class A1, 0.87% 8/15/32 (b)
  
2,214,251
2,199,773
 Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 0.4211% 4/15/33 (b)(c)(d)
  
2,832,731
2,810,290
CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 1.2913% 7/15/33 (b)(c)(d)
  
1,360,000
1,357,491
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b)
  
223,951
221,903
CNH Equipment Trust:
  
  
  
 Series 2018-A Class B, 3.47% 10/15/25
 
380,000
380,394
 Series 2020-A Class A4, 1.51% 4/15/27
 
590,000
586,729
 Series 2021-C Class A2, 0.33% 1/15/25
 
4,124,000
4,084,657
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27
 
1,820,000
1,820,444
Dell Equipment Finance Trust:
  
  
  
 Series 2019-2 Class A3, 1.91% 10/22/24 (b)
  
627,402
625,841
 Series 2020-2:
 
  
  
Class A2, 0.47% 10/24/22 (b)
 
  
453,508
453,315
Class A3, 0.57% 10/23/23 (b)
 
  
1,915,000
1,906,187
 Series 2021-1 Class A3, 0.43% 5/22/26 (b)
  
1,601,000
1,579,955
 Series 2021-2 Class A2, 0.33% 12/22/26 (b)
  
4,976,000
4,919,027
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b)
  
275,120
275,502
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b)
  
2,836,824
2,807,486
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (b)
  
7,674,000
7,622,380
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 0.4557% 12/11/34 (b)(c)(d)
  
3,703,127
3,695,913
Drive Auto Receivables Trust:
  
  
  
 Series 2021-1 Class D, 1.45% 1/16/29
 
630,000
617,446
 Series 2021-2:
 
  
  
Class A2, 0.36% 5/15/24
 
  
2,251,953
2,247,929
Class D, 1.39% 3/15/29
 
  
785,000
757,075
 Series 2021-3 Class A2, 0.52% 1/15/25
 
5,000,000
4,986,124
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 1.3413% 7/17/34 (b)(c)(d)
  
1,055,000
1,046,509
Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.5987% 4/25/34 (b)(c)(d)
  
460,000
456,338
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (b)(c)(d)
  
3,935,000
3,933,642
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b)
  
438,884
441,560
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (b)
  
206,563
206,854
Enterprise Fleet Financing LLC:
  
  
  
 Series 2019-1 Class A2, 2.98% 10/20/24 (b)
  
30,214
30,270
 Series 2019-3 Class A2, 2.06% 5/20/25 (b)
  
293,391
294,514
 Series 2020-1 Class A2, 1.78% 12/22/25 (b)
  
3,459,468
3,469,741
 Series 2020-2 Class A2, 0.61% 7/20/26 (b)
  
2,834,902
2,806,964
 Series 2021-1 Class A2, 0.44% 12/21/26 (b)
  
1,221,504
1,204,640
 Series 2021-2 Class A2, 0.48% 5/20/27 (b)
  
3,480,000
3,405,594
Exeter Automobile Receivables Trust:
  
  
  
 Series 2021-2A Class A2, 0.27% 1/16/24
 
760,049
759,935
 Series 2021-3A Class A2, 0.34% 1/16/24
 
1,035,819
1,035,140
 Series 2022-1A Class D, 3.02% 6/15/28
 
1,350,000
1,355,191
Ford Credit Auto Lease Trust Series 2020-B Class A3, 0.62% 8/15/23
 
3,043,305
3,043,385
Ford Credit Auto Owner Trust:
  
  
  
 Series 2020-2 Class C, 1.74% 4/15/33 (b)
  
570,000
552,052
 Series 2020-B Class C, 2.04% 12/15/26
 
1,270,000
1,274,602
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25
 
5,274,000
5,187,029
GM Financial Automobile Leasing Trust:
  
  
  
 Series 2020-2 Class C, 2.56% 7/22/24
 
445,000
450,040
 Series 2021-2 Class A2, 0.22% 7/20/23
 
2,899,110
2,893,386
 Series 2021-3 Class A2, 0.24% 12/20/23
 
4,850,503
4,826,351
GM Financial Consumer Automobile Receivables Trust:
  
  
  
 Series 2020-2 Class A3, 1.49% 12/16/24
 
244,582
244,983
 Series 2020-4:
 
  
  
Class A2, 0.26% 11/16/23
 
  
1,540,652
1,540,101
Class C, 1.05% 5/18/26
 
  
420,000
412,624
GMF Floorplan Owner Revolving Trust:
  
  
  
 Series 2020-1 Class A, 0.68% 8/15/25 (b)
  
1,480,000
1,456,318
 Series 2020-2 Class A, 0.69% 10/15/25 (b)
  
3,238,000
3,188,206
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (b)
  
212,850
219,780
Hilton Grand Vacations Trust:
  
  
  
 Series 2017-AA:
 
  
  
Class A, 2.66% 12/26/28 (b)
 
  
128,744
129,607
Class B, 2.96% 12/26/28 (b)
 
  
196,358
197,205
 Series 2020-AA:
 
  
  
Class A, 2.74% 2/25/39 (b)
 
  
532,394
533,113
Class B, 4.22% 2/25/39 (b)
 
  
820,258
842,768
HPEFS Equipment Trust Series 2021-2A Class A2, 0.3% 9/20/28 (b)
  
2,763,673
2,751,773
Hyundai Auto Lease Securitization Trust:
  
  
  
 Series 2020-A Class A3, 1.95% 7/17/23 (b)
  
593,756
594,533
 Series 2021-A Class A2, 0.25% 4/17/23 (b)
  
3,505,856
3,503,895
 Series 2021-B Class A2, 0.19% 10/16/23 (b)
  
4,262,546
4,240,975
Hyundai Auto Receivables Trust:
  
  
  
 Series 2019-A Class B, 2.94% 5/15/25
 
635,000
643,006
 Series 2020-A Class A3, 1.41% 11/15/24
 
677,697
678,443
 Series 2020-C Class A2, 0.26% 9/15/23
 
2,204,779
2,203,553
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 1.4413% 1/15/32 (b)(c)(d)
  
1,250,000
1,239,641
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.0413% 1/16/28 (b)(c)(d)
  
581,785
580,424
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.1911% 12/15/37 (b)(c)(d)
  
1,061,250
1,036,691
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (b)
  
328,577
329,010
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c)
  
1,768,000
1,777,376
Madison Park Funding XXIII, Ltd. Series 2021-23A:
  
  
  
 Class AR, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/31 (b)(c)(d)
  
1,240,000
1,233,046
 Class BR, 3 month U.S. LIBOR + 1.550% 1.8176% 7/27/31 (b)(c)(d)
  
800,000
795,782
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (b)(c)(d)
  
3,229,000
3,214,767
Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.290% 1.4488% 10/15/32 (b)(c)(d)
  
1,910,000
1,909,631
Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 1.244% 4/20/32 (b)(c)(d)
  
1,650,000
1,635,706
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0413% 1/18/28 (b)(c)(d)
  
1,877,328
1,874,427
Magnetite XXV Ltd. Series 2020-25A Class A, 3 month U.S. LIBOR + 1.200% 1.4577% 1/25/32 (b)(c)(d)
  
765,000
761,780
Mercedes-Benz Auto Lease Trust:
  
  
  
 Series 2019-B Class A3, 2% 10/17/22
 
419,569
419,847
 Series 2020-B Class A2, 0.31% 2/15/23
 
414,744
414,643
 Series 2021-B Class A2, 0.22% 1/16/24
 
8,558,920
8,534,548
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 1.2057% 10/16/36 (b)(c)(d)
  
800,000
793,458
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c)
  
375,872
365,937
MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (b)
  
408,211
408,626
MVW Owner Trust:
  
  
  
 Series 2017-1A:
 
  
  
Class A, 2.42% 12/20/34 (b)
 
  
307,746
308,642
Class B, 2.75% 12/20/34 (b)
 
  
18,103
18,090
Class C, 2.99% 12/20/34 (b)
 
  
43,447
43,274
 Series 2021-1WA Class C, 1.94% 1/22/41 (b)
  
268,904
262,285
Navient Private Education Loan Trust:
  
  
  
 Series 2019-D Class A2A, 3.01% 12/15/59 (b)
  
413,664
421,403
 Series 2020-A Class A2A, 2.46% 11/15/68 (b)
  
788,899
774,057
 Series 2020-CA Class A2A, 2.15% 11/15/68 (b)
  
2,610,000
2,571,709
 Series 2020-IA Class A1A, 1.33% 4/15/69 (b)
  
552,487
534,168
Navient Private Education Refi Loan Trust:
  
  
  
 Series 2019-A Class A2A, 3.42% 1/15/43 (b)
  
1,259,404
1,274,049
 Series 2019-GA Class A, 2.4% 10/15/68 (b)
  
342,327
342,731
 Series 2020-DA Class A, 1.69% 5/15/69 (b)
  
531,243
526,430
 Series 2022-A Class A, 2.23% 7/15/70 (b)
  
1,795,000
1,780,177
Navient Student Loan Trust:
  
  
  
 Series 2017-A Class A2A, 2.88% 12/16/58 (b)
  
648,209
652,066
 Series 2019-EA Class A2A, 2.64% 5/15/68 (b)
  
954,123
951,618
Nelnet Student Loan Trust:
  
  
  
 Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.3943% 3/22/32 (c)(d)
  
580,146
560,039
 Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.9269% 3/26/68 (b)(c)(d)
  
321,610
319,260
 Series 2021-CA Class AFX, 1.32% 4/20/62 (b)
  
1,607,244
1,536,677
 Series 2021-DA Class AFX, 1.63% 4/20/62 (b)
  
558,307
545,160
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 1.238% 1/20/32 (b)(c)(d)
  
1,570,000
1,554,870
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 1.3013% 4/16/33 (b)(c)(d)
  
455,000
452,457
Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class BR, 3 month U.S. LIBOR + 1.400% 1.6413% 10/18/30 (b)(c)(d)
  
890,000
886,086
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (b)(c)(d)
  
4,100,000
4,065,572
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24
 
337,267
337,146
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.374% 7/20/29 (b)(c)(d)
  
2,530,000
2,521,441
OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 1.7913% 7/15/30 (b)(c)
  
1,320,000
1,308,352
Octane Receivables Trust Series 2021-2A Class A, 1.21% 9/20/28 (b)
  
655,245
645,163
Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, 3 month U.S. LIBOR + 1.080% 0.1855% 11/15/31 (b)(c)(d)
  
1,925,000
1,913,656
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (b)(c)(d)
  
3,339,475
3,333,310
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (b)(c)(d)
  
4,210,000
4,208,998
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (b)
  
1,504,463
1,526,322
Santander Bank, N.A. Series 2021-1A Class B, 1.833% 12/15/31 (b)
  
266,682
264,360
Santander Consumer Auto Receivables Trust:
  
  
  
 Series 2021-AA Class A2, 0.23% 11/15/23 (b)
  
2,056,028
2,054,805
 1.57% 1/15/27 (b)
  
801,000
777,413
Santander Drive Auto Receivables Trust:
  
  
  
 Series 2020-4 Class C, 1.01% 1/15/26
 
675,000
669,577
 Series 2021-2 Class A2, 0.28% 4/15/24
 
1,768,882
1,768,522
 Series 2021-3 Class A2, 0.29% 5/15/24
 
2,621,065
2,617,332
 Series 2021-4:
 
  
  
Class A2, 0.37% 8/15/24
 
  
4,272,647
4,263,240
Class D, 1.67% 10/15/27
 
  
1,310,000
1,274,979
 Series 2022-1 Class C, 2.56% 4/17/28
 
1,630,000
1,634,492
Santander Retail Auto Lease Trust:
  
  
  
 Series 2019-B Class C, 2.77% 8/21/23 (b)
  
690,000
693,015
 Series 2019-C:
 
  
  
Class B, 2.17% 11/20/23 (b)
 
  
495,000
497,186
Class C, 2.39% 11/20/23 (b)
 
  
830,000
834,226
Class D, 2.88% 6/20/24 (b)
 
  
870,000
876,781
 Series 2020-A Class D, 2.52% 11/20/24 (b)
  
720,000
722,549
 Series 2020-B Class A2, 0.42% 11/20/23 (b)
  
4,035,902
4,027,739
 Series 2021-A:
 
  
  
Class A2, 0.32% 2/20/24 (b)
 
  
3,409,351
3,391,687
Class C, 1.14% 3/20/26 (b)
 
  
1,815,000
1,775,818
 Series 2021-B Class A2, 0.31% 1/22/24 (b)
  
2,797,321
2,782,154
 Series 2021-C:
 
  
  
Class A2, 0.29% 4/22/24 (b)
 
  
3,611,356
3,595,611
Class C, 1.11% 3/20/26 (b)
 
  
630,000
611,370
SBA Tower Trust:
  
  
  
 Series 2019, 2.836% 1/15/50 (b)
  
990,000
1,002,336
 1.631% 5/15/51 (b)
  
495,000
476,182
 1.884% 7/15/50 (b)
  
365,000
356,774
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (b)
  
565,670
565,300
Sierra Receivables Funding Co. LLC:
  
  
  
 Series 2019-1A Class A, 3.2% 1/20/36 (b)
  
141,074
142,938
 Series 2019-2A Class A, 2.59% 5/20/36 (b)
  
865,410
862,110
Sierra Timeshare Receivables Funding LLC:
  
  
  
 Series 2019-3A Class A, 2.34% 8/20/36 (b)
  
211,539
210,977
 Series 2020-2A Class C, 3.51% 7/20/37 (b)
  
284,074
285,146
 Series 2021-1A Class B, 1.34% 11/20/37 (b)
  
295,507
288,008
SLM Student Loan Trust:
  
  
  
 Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6728% 12/15/27 (b)(c)(d)
  
528,303
528,187
 Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7528% 12/15/25 (b)(c)(d)
  
575,625
575,020
SMB Private Education Loan Trust:
  
  
  
 Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6911% 4/15/32 (b)(c)(d)
  
1,076,802
1,083,387
 Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2911% 9/15/34 (b)(c)(d)
  
603,602
606,371
 Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.9111% 1/15/37 (b)(c)(d)
  
1,147,434
1,132,245
 Series 2020-BA Class A1A, 1.29% 7/15/53 (b)
  
354,739
346,808
 Series 2020-PTB Class A2A, 1.6% 9/15/54 (b)
  
2,269,395
2,227,685
 Series 2021-B Class A, 1.31% 7/17/51 (b)
  
1,430,844
1,396,360
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (b)(c)(d)
  
3,117,000
3,105,738
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (b)(c)(d)
  
6,116,000
6,080,313
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.334% 4/20/33 (b)(c)(d)
  
465,000
460,681
Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 1.5791% 10/25/29 (b)(c)(d)
  
1,385,000
1,375,299
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (b)(c)(d)
  
4,292,000
4,267,501
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (b)(c)(d)
  
4,588,000
4,558,596
Tesla Series 2020-A:
  
  
  
 Class A2, 0.55% 5/22/23 (b)
  
363,866
363,786
 Class A3, 0.68% 12/20/23 (b)
  
2,527,000
2,516,337
Tesla Auto Lease Trust:
  
  
  
 Series 2021-A Class A2, 0.36% 3/20/25 (b)
  
3,836,418
3,806,892
 Series 2021-B Class A2, 0.36% 9/22/25 (b)
  
4,737,000
4,725,801
Towd Point Mortgage Trust:
  
  
  
 Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c)
  
173,715
174,761
 Series 2017-4 Class A1, 2.75% 6/25/57 (b)
  
140,545
141,052
 Series 2019-1 Class A1, 3.6411% 3/25/58 (b)(c)
  
621,667
635,233
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24
 
9,135,991
9,087,117
Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24
 
4,435,550
4,453,250
Volkswagen Auto Lease Trust:
  
  
  
 Series 2019-A Class A3, 1.99% 11/21/22
 
223,848
224,022
 Series 2020-A Class A2, 0.27% 4/20/23
 
4,123,608
4,120,348
Volkswagen Auto Loan Enhanced Trust:
  
  
  
 Series 2020-1 Class A4, 1.26% 8/20/26
 
545,000
542,455
 Series 2021-1 Class A2, 0.49% 10/21/24
 
8,000,000
7,943,822
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (b)
  
1,317,173
1,322,052
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (b)(c)(d)
  
4,486,000
4,470,178
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (b)(c)(d)
  
2,892,085
2,887,416
World Omni Auto Receivables Trust:
  
  
  
 Series 2019-C Class C, 2.4% 6/15/26
 
895,000
902,055
 Series 2020-A Class C, 1.64% 8/17/26
 
480,000
476,882
 Series 2020-C Class A2, 0.35% 12/15/23
 
783,508
783,118
 Series 2021-D Class A2, 0.35% 12/16/24
 
4,626,000
4,602,337
 Series 2022-A Class C, 2.55% 9/15/28
 
600,000
600,656
World Omni Automobile Lease Securitization Trust Series 2020-B Class A2, 0.32% 9/15/23
 
1,238,096
1,237,269
World Omni Select Auto Trust Series 2020-A:
  
  
  
 Class B, 0.84% 6/15/26
 
510,000
506,569
 Class C, 1.25% 10/15/26
 
585,000
578,770
 
TOTAL ASSET-BACKED SECURITIES
 (Cost $379,357,324)
  
  
376,960,946
 
  
  
  
Collateralized Mortgage Obligations - 1.4%
 
  
Principal
Amount (a)
 
Value ($)
 
Private Sponsor - 1.2%
 
  
  
Angel Oak Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-4 Class A3, 3.301% 7/26/49 (b)
 
  
168,485
168,352
Series 2020-6 Class A1, 1.261% 5/25/65 (b)
 
  
313,336
308,058
Series 2021-1:
 
  
  
  
Class A1, 0.909% 1/25/66 (b)
 
  
785,740
770,010
Class A2, 1.115% 1/25/66 (b)
 
  
229,788
225,176
Series 2021-2 Class A1, 0.985% 4/25/66 (b)
 
  
634,977
624,248
 Series 2019-2 Class M1, 4.065% 3/25/49 (b)
  
545,000
543,894
 Series 2021-3 Class A1, 1.068% 5/25/66 (b)
  
499,731
490,745
 Series 2021-6 Class A3, 1.714% 9/25/66 (b)
  
487,587
469,686
Angel Oak Mortgage Trust LLC:
  
  
  
 sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (b)
  
465,842
462,149
 Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c)
  
755,466
752,464
Barclays Mortgage Loan Trust sequential payer Series 2021-NQM1 Class A1, 1.747% 9/25/51 (b)
  
1,283,729
1,256,185
Bayview MSR Opportunity Master Fund Trust sequential payer:
  
  
  
 Series 2021-1 Class A5, 2.5% 12/25/51 (b)
  
907,835
888,306
 Series 2021-5 Class A5, 2.5% 11/25/51 (b)
  
1,827,970
1,795,624
BINOM Securitization Trust sequential payer Series 2021-INV1:
  
  
  
 Class A2, 2.37% 6/25/56 (b)
  
1,396,313
1,362,529
 Class A3, 2.625% 6/25/56 (b)
  
438,059
427,540
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
  
826,224
814,386
BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (b)
  
820,068
802,638
CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b)
  
453,161
445,142
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b)
  
251,932
251,814
Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b)
  
592,611
574,980
COLT Funding LLC Series 2021-3 Class A3, 1.419% 9/27/66 (b)(c)
  
407,293
398,246
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b)
  
121,168
120,642
Connecticut Avenue Securities Trust floater:
  
  
  
 Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.0487% 12/25/41 (b)(c)(d)
  
1,100,371
1,101,017
 Series 2022-R02 Class 2M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.2487% 1/25/42 (b)(c)(d)
  
1,787,256
1,785,686
Deephaven Residential Mortgage Trust:
  
  
  
 sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (b)
  
165,282
164,790
 Series 2021-1 Class A2, 0.973% 5/25/65 (b)
  
165,246
160,984
 Series 2021-2:
 
  
  
Class A1, 0.899% 4/25/66 (b)
 
  
266,644
258,593
Class A3, 1.26% 4/25/66 (b)
 
  
297,117
288,291
Ellington Financial Mortgage Trust:
  
  
  
 Series 2019-2 Class A3, 3.046% 11/25/59 (b)
  
132,683
132,719
 Series 2020-1 Class A1, 2.006% 5/25/65 (b)
  
339,614
338,957
 Series 2020-2 Class A1, 1.178% 10/25/65 (b)
  
425,706
417,798
 Series 2021-1:
 
  
  
Class A1, 0.797% 2/25/66 (b)
 
  
165,197
162,503
Class A3, 1.106% 2/25/66 (b)
 
  
137,664
135,224
 Series 2021-2:
 
  
  
Class A1, 0.931% 6/25/66 (b)(c)
 
  
341,009
330,701
Class A3, 1.291% 6/25/66 (b)
 
  
329,767
318,566
 Series 2021-3:
 
  
  
Class A1, 1.241% 9/25/66 (b)
 
  
455,323
441,641
Class A3, 1.55% 9/25/66 (b)
 
  
323,890
313,116
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (b)(c)
  
4,457,000
4,456,997
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 1.0369% 3/25/50 (b)(c)(d)
  
285,426
285,271
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (b)
  
676,188
673,663
Galton Funding Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-H1 Class M1, 3.339% 10/25/59 (b)
 
  
600,000
597,886
Series 2020-H1 Class M1, 2.832% 1/25/60 (b)
 
  
625,000
609,447
 Series 2019-1:
 
  
  
Class A21, 4.5% 2/25/59 (b)
 
  
123,898
124,949
Class A32, 4% 2/25/59 (b)
 
  
62,630
62,977
 Series 2020-H1 Class A1, 2.31% 1/25/60 (b)
  
171,196
170,407
GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (b)
  
103,047
103,282
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.9476% 8/25/60 (b)(c)(d)
  
261,310
261,440
GS Mortgage Securities Trust sequential payer Series 2021-NQM1 Class A1, 1.017% 7/25/61 (b)
  
366,342
360,673
GS Mortgage-Backed Securites Trust:
  
  
  
 sequential payer Series 2021-HP1 Class A6, 2.5% 1/25/52 (b)(c)
  
563,026
553,063
 Series 2014-EB1A Class 2A1, 1.6251% 7/25/44 (b)(c)
  
9,505
9,430
 Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c)
  
1,005,785
988,616
GS Mortgage-Backed Securities Trust:
  
  
  
 Series 2021-PJ5 Class A8, 2.5% 10/25/51 (b)(c)
  
1,333,448
1,306,518
 Series 2022-GR1 Class A5, 2.5% 6/25/52 (b)
  
1,901,572
1,876,243
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (b)(c)
  
175,873
175,085
Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (b)(c)
  
904,500
888,495
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b)
  
578,339
559,917
J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (b)
  
233,611
233,065
Mello Mortgage Capital Acceptance sequential payer Series 2021-INV3 Class A4, 2.5% 10/25/51 (b)
  
766,928
751,919
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (b)
  
212,971
214,651
MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b)
  
305,237
296,106
Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (b)
  
143,431
143,978
New Residential Mortgage Loan Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (b)
 
  
445,272
445,826
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (b)
 
  
225,514
225,545
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (b)
 
  
609,488
604,106
 Series 2021-INV1 Class A6, 2.5% 6/25/51 (b)
  
605,183
594,096
NMLT Trust sequential payer Series 2021-INV2:
  
  
  
 Class A1, 1.162% 8/25/56 (b)
  
1,774,499
1,753,849
 Class A3, 1.52% 8/25/56 (b)
  
457,346
442,064
OBX Trust:
  
  
  
 floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.1369% 2/25/60 (b)(c)(d)
  
294,002
293,935
 sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b)
  
439,306
421,650
 Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c)
  
421,921
423,621
 Series 2020-EXP2:
 
  
  
Class A8, 3% 5/25/60 (b)
 
  
567,474
566,174
Class A9, 3% 5/25/60 (b)
 
  
139,602
139,283
 Series 2020-INV1 Class A5, 3.5% 12/25/49 (b)
  
127,863
129,178
Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b)
  
908,977
892,892
Onslow Bay Financial LLC:
  
  
  
 floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3869% 6/25/59 (b)(c)(d)
  
321,070
321,070
 floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0869% 6/25/59 (b)(c)(d)
  
5,632
5,632
 sequential payer:
 
  
  
Series 2021-J1 Class A4, 2.5% 5/25/51 (b)
 
  
1,020,031
1,000,706
Series 2021-NQM1:
 
  
  
  
Class A1, 1.072% 2/25/66 (b)
 
  
805,125
783,428
Class A2, 1.175% 2/25/66 (b)
 
  
428,584
416,123
PSMC Trust sequential payer:
  
  
  
 Series 2021-1 Class A11, 2.5% 3/25/51 (b)(c)
  
1,426,290
1,408,525
 Series 2021-2 Class A3, 2.5% 5/25/51 (b)
  
1,086,527
1,065,263
Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (b)
  
1,739,913
1,708,038
Sequoia Mortgage Trust:
  
  
  
 sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b)
  
158,632
160,034
 Series 2018-CH2 Class A21, 4% 6/25/48 (b)
  
70,787
71,353
 Series 2018-CH3 Class A19, 4.5% 8/25/48 (b)
  
25,986
26,153
 Series 2018-CH4 Class A2, 4% 10/25/48 (b)
  
39,516
39,633
SG Residential Mortgage Trust Series 2020-2 Class A1, 1.381% 5/25/65 (b)
  
249,008
248,266
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.42% 1/21/70 (b)(c)(d)
  
10,000,000
9,983,430
Starwood Mortgage Residential Trust:
  
  
  
 sequential payer Series 2019-INV1:
 
  
  
Class A1, 2.61% 9/27/49 (b)
 
  
19,956
19,971
Class A3, 2.916% 9/27/49 (b)
 
  
388,376
388,155
 Series 2020-1 Class A2, 2.408% 2/25/50 (b)
  
467,069
466,720
 Series 2021-2 Class A1, 0.943% 5/25/65 (b)
  
695,014
684,756
 Series 2021-4 Class A1, 1.162% 8/25/56 (b)
  
1,448,595
1,405,124
Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b)
  
276,453
265,979
Towd Point Mortgage Trust:
  
  
  
 Series 2016-1 Class A3B, 3% 2/25/55 (b)
  
34,513
34,623
 Series 2016-2 Class A1A, 2.75% 8/25/55 (b)
  
15,944
15,953
 Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c)
  
111,759
112,141
 Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c)
  
301,928
303,583
United Wholesale Mortgage LLC sequential payer Series 2021-INV2 Class A4, 2.5% 9/25/51 (b)
  
299,658
294,168
Verus Securitization Trust:
  
  
  
 sequential payer:
 
  
  
Series 2019-INV3 Class A3, 3.1% 11/25/59 (b)
 
  
512,882
512,848
Series 2020-1 Class A3, 2.724% 1/25/60 (b)
 
  
630,698
629,809
Series 2020-2 Class A1, 2.226% 5/25/60 (b)
 
  
535,679
535,062
Series 2020-INV1 Class A1, 1.977% 3/25/60 (b)
 
  
244,378
242,994
 Series 2019-3 Class A3, 3.04% 7/25/59 (b)
  
732,642
732,315
 Series 2019-4 Class A3, 3% 11/25/59 (b)
  
250,927
250,890
 Series 2019-INV2 Class A2, 3.117% 7/25/59 (b)
  
558,660
559,345
 Series 2020-5 Class A3, 1.733% 5/25/65 (b)
  
218,633
215,083
 Series 2021-1:
 
  
  
Class A2, 1.052% 1/25/66 (b)
 
  
312,752
308,705
Class A3, 1.155% 1/25/66 (b)
 
  
184,808
182,178
 Series 2021-2 Class A1, 1.031% 2/25/66 (b)
  
438,521
431,948
 Series 2021-5 Class A3, 1.373% 9/25/66 (b)
  
478,676
459,915
 Series 2021-7 Class A1, 1.829% 10/25/66 (b)
  
1,746,459
1,710,704
 Series 2021-R1 Class A2, 1.057% 10/25/63 (b)
  
173,789
172,459
 Series 2021-R2 Class A1, 0.918% 2/25/64 (b)
  
472,812
468,809
 Series 2022-1 Class A3, 3.288% 1/25/67 (b)
  
1,900,000
1,889,179
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b)
  
192,933
191,334
Wells Fargo Mortgage Backed Securities Trust:
  
  
  
 Series 2021-INV2 Class A4, 2.5% 9/25/51 (b)
  
1,039,266
1,020,876
 Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c)
  
1,195,909
1,172,505
ZH Trust sequential payer Series 2021-1 Class A, 2.2525% 2/18/27 (b)
  
595,000
591,408
TOTAL PRIVATE SPONSOR
  
  
76,446,890
U.S. Government Agency - 0.2%
 
  
  
Fannie Mae Series 2017-90 Class KA, 3% 11/25/47
 
569,640
582,484
Fannie Mae Connecticut Avenue Securities floater:
  
  
  
 Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.5369% 9/25/29 (c)(d)
  
71,950
72,462
 Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2869% 11/25/29 (c)(d)
  
1,278,361
1,276,133
 Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3869% 1/25/30 (c)(d)
  
425,319
424,856
 Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.0369% 7/25/30 (c)(d)
  
754,228
749,541
FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1869% 8/25/24 (c)(d)
  
160,084
162,581
Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40
 
248,549
253,254
Freddie Mac STACR REMIC Trust:
  
  
  
 floater:
 
  
  
Series 2020-DNA6 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.900% 0.9487% 12/25/50 (b)(c)(d)
 
  
40,152
40,147
Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.800% 0.8487% 8/25/33 (b)(c)(d)
 
  
379,559
379,113
Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.1487% 10/25/33 (b)(c)(d)
 
  
690,000
686,062
Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.650% 1.6987% 1/25/34 (b)(c)(d)
 
  
440,000
432,273
Series 2021-DNA6 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.5487% 10/25/41 (b)(c)(d)
 
  
575,000
555,040
Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.800% 1.8487% 11/25/41 (b)(c)(d)
 
  
555,000
534,188
Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7487% 8/25/33 (b)(c)(d)
 
  
488,505
488,326
Series 2021-HQA3 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.850% 0.8987% 9/25/41 (b)(c)(d)
 
  
510,000
507,461
Series 2021-HQA4 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.950% 0.9987% 12/25/41 (b)(c)(d)
 
  
1,915,000
1,888,512
Series 2022-DNA2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.300% 1.3487% 2/25/42 (b)(c)(d)
 
  
650,000
650,000
 U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6987% 1/25/51 (b)(c)(d)
  
44,187
44,184
Freddie Mac STACR Trust floater:
  
  
  
 Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9369% 10/25/48 (b)(c)(d)
  
64,207
64,207
 Series 2018-DNA2:
 
  
  
Class M1, 1 month U.S. LIBOR + 0.800% 0.9869% 12/25/30 (b)(c)(d)
 
  
98,745
98,758
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.1369% 12/25/30 (b)(c)(d)
 
  
450,000
447,884
 Series 2018-DNA3 Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0869% 9/25/48 (b)(c)(d)
  
550,205
549,371
 Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.4369% 2/25/47 (b)(c)(d)
  
304,493
304,682
 Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5869% 2/25/49 (b)(c)(d)
  
591,242
592,763
Freddie Mac Whole Loan Securities Trust:
  
  
  
 Series 2016-SC02 Class M1, 3.6621% 10/25/46 (c)
  
13,718
13,677
 Series 2017-SC02 Class M1, 3.8426% 5/25/47 (b)(c)
  
66,404
67,181
TOTAL U.S. GOVERNMENT AGENCY
  
  
11,865,140
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 (Cost $89,769,267)
  
  
  
88,312,030
 
  
  
  
Commercial Mortgage Securities - 1.7%
 
  
Principal
Amount (a)
 
Value ($)
 
ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 1.341% 4/15/34 (b)(c)(d)
  
595,000
581,768
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 1.4911% 11/15/37 (b)(c)(d)
  
1,705,489
1,684,129
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.121% 12/15/36 (b)(c)(d)
  
1,395,000
1,377,495
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.241% 9/15/32 (b)(c)(d)
  
615,000
608,092
BAMLL Commercial Mortgage Securities Trust floater:
  
  
  
 Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 2.191% 9/15/38 (b)(c)(d)
  
805,000
793,507
 Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (b)(c)(d)
  
1,014,000
1,005,272
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 1.041% 9/15/34 (b)(c)(d)
  
970,000
959,104
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61
 
340,003
337,886
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 0.99% 6/15/38 (b)(c)(d)
  
500,000
492,618
Big Commercial Mortgage Trust floater Series 2022-BIG Class C, CME TERM SOFR 1 MONTH INDEX + 2.340% 2.3904% 2/15/39 (b)(c)(d)
  
410,000
406,947
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (b)(c)(d)
  
2,040,000
2,000,455
BPR Trust floater Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 1.341% 9/15/38 (b)(c)(d)
  
780,000
768,282
BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/38 (b)(c)(d)
  
340,000
332,781
BX Commercial Mortgage Trust floater:
  
  
  
 Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (b)(c)(d)
  
1,872,000
1,829,818
 Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (b)(c)(d)
  
1,600,000
1,566,027
 Series 2022-AHP Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.990% 1.04% 2/15/39 (b)(c)(d)
  
760,000
752,847
 Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (b)(c)(d)
  
2,598,000
2,571,992
BX Trust:
  
  
  
 floater:
 
  
  
Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (b)(c)(d)
 
  
382,500
379,124
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (b)(c)(d)
 
  
1,838,000
1,818,479
Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 1.837% 10/15/36 (b)(c)(d)
 
  
590,000
576,707
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (b)(c)(d)
 
  
1,715,000
1,676,355
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 1.591% 6/15/38 (b)(c)(d)
 
  
665,000
649,615
 floater sequential payer Series 2021-SOAR Class A, 0.861% 6/15/38 (b)(c)
  
1,777,000
1,736,956
 floater, sequential payer:
 
  
  
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (b)(c)(d)
 
  
2,135,000
2,111,002
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (b)(c)(d)
 
  
5,059,650
5,037,457
CGDB Commercial Mortgage Trust floater Series 2019-MOB:
  
  
  
 Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (b)(c)(d)
  
1,033,000
1,020,053
 Class D, 1 month U.S. LIBOR + 1.650% 1.8411% 11/15/36 (b)(c)(d)
  
1,545,000
1,515,874
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (b)(c)(d)
  
3,715,877
3,674,125
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (b)(c)(d)
  
1,136,342
1,117,019
Citigroup Commercial Mortgage Trust:
  
  
  
 sequential payer:
 
  
  
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (b)
 
  
2,157,000
2,166,833
Series 2015-GC27 Class AAB, 2.944% 2/10/48
 
  
2,998,677
3,027,380
 Series 2013-375P Class C, 3.5176% 5/10/35 (b)(c)
  
560,000
557,777
COMM Mortgage Trust:
  
  
  
 sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (b)
  
620,000
632,766
 Series 2014-CR15 Class B, 4.6397% 2/10/47 (c)
  
920,000
949,776
 Series 2014-CR19 Class AM, 4.08% 8/10/47
 
860,000
884,704
 Series 2014-UBS2 Class B, 4.701% 3/10/47
 
915,000
938,360
 Series 2015-CR22:
 
  
  
Class B, 3.926% 3/10/48 (c)
 
  
405,000
411,982
Class C, 4.1039% 3/10/48 (c)
 
  
740,000
747,578
 Series 2020-CMB Class D, 3.6327% 2/10/37 (b)(c)
  
560,000
540,917
Credit Suisse Mortgage Trust:
  
  
  
 floater Series 2019-ICE4:
 
  
  
Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (b)(c)(d)
 
  
5,485,000
5,440,955
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (b)(c)(d)
 
  
1,015,000
1,004,816
Class D, 1 month U.S. LIBOR + 1.600% 1.791% 5/15/36 (b)(c)(d)
 
  
780,000
772,174
 sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
  
446,398
435,701
 Series 2020-NET Class D, 3.7042% 8/15/37 (b)(c)
  
985,000
959,290
CSAIL Commercial Mortgage Trust:
  
  
  
 sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48
 
670,000
690,097
 Series 2019-C16 Class A1, 2.3595% 6/15/52
 
369,179
369,311
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (b)(c)(d)
  
4,189,000
4,084,274
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (b)(c)(d)
  
2,555,000
2,502,296
Extended Stay America Trust floater Series 2021-ESH:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (b)(c)(d)
  
857,721
849,472
 Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (b)(c)(d)
  
810,015
800,359
Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (b)
  
1,075,000
1,072,613
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 0.991% 2/15/38 (b)(c)(d)
  
555,000
553,197
Great Wolf Trust floater Series 2019-WOLF:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.030% 1.225% 12/15/36 (b)(c)(d)
  
1,906,000
1,880,956
 Class C, 1 month U.S. LIBOR + 1.630% 1.824% 12/15/36 (b)(c)(d)
  
600,000
589,469
GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 1.792% 5/15/26 (b)(c)(d)
  
685,000
676,100
GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (b)(c)(d)
  
1,087,000
1,075,391
Intown Hotel Portfolio Trust Series 2018-STAY:
  
  
  
 Class A, 1 month U.S. LIBOR + 1.100% 1.292% 1/15/33 (b)(c)(d)
  
245,000
244,073
 Class C, 1 month U.S. LIBOR + 1.650% 1.842% 1/15/33 (b)(c)(d)
  
205,000
204,224
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M:
  
  
  
 Class B, 1 month U.S. LIBOR + 1.770% 1.962% 10/15/33 (b)(c)(d)
  
995,000
975,049
 Class C, 1 month U.S. LIBOR + 2.170% 2.362% 10/15/33 (b)(c)(d)
  
805,000
784,827
JPMorgan Chase Commercial Mortgage Securities Trust floater:
  
  
  
 Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.991% 5/15/35 (b)(c)(d)
  
2,440,000
2,412,592
 Series 2019-BKWD:
 
  
  
Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (b)(c)(d)
 
  
1,644,659
1,628,122
Class B, 1 month U.S. LIBOR + 1.350% 1.541% 9/15/29 (b)(c)(d)
 
  
1,830,000
1,797,836
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 9/15/29 (b)(c)(d)
 
  
575,000
562,011
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 1.4411% 12/15/37 (b)(c)(d)
  
198,750
194,021
KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 1.941% 8/15/38 (b)(c)(d)
  
980,000
959,119
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (b)(c)(d)
  
1,631,730
1,599,039
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (b)(c)(d)
  
907,000
887,742
MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 1.292% 4/15/38 (b)(c)(d)
  
710,000
699,337
MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 1.291% 5/15/23 (b)(c)(d)
  
660,000
638,516
Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47
 
370,000
379,512
Morgan Stanley Capital I Trust:
  
  
  
 floater:
 
  
  
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.041% 8/15/33 (b)(c)(d)
 
  
4,683,624
4,651,666
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (b)(c)(d)
 
  
510,000
503,206
 sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b)
  
1,325,000
1,356,778
 Series 2019-MEAD Class D, 3.1771% 11/10/36 (b)(c)
  
1,150,000
1,097,575
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4797% 4/15/32 (b)(c)(d)
  
1,585,000
1,555,180
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (b)(c)(d)
  
4,110,000
3,949,071
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.992% 4/15/36 (b)(c)(d)
  
650,000
641,032
Shelter Growth CRE Issuer Ltd. floater Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.080% 1.2711% 9/15/36 (b)(d)
  
524,897
521,481
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 2.291% 6/15/31 (b)(c)(d)
  
761,362
740,295
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (b)(c)(d)
  
1,753,000
1,717,893
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (b)(c)(d)
  
2,917,076
2,905,915
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (b)
  
534,191
533,579
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58
 
275,793
276,724
 
TOTAL COMMERCIAL MORTGAGE SECURITIES
 (Cost $110,040,615)
  
  
108,412,745
 
  
  
  
Municipal Securities - 0.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Chicago Transit Auth. Series 2020 B:
  
  
  
 1.708% 12/1/22
 
40,000
40,089
 1.838% 12/1/23
 
35,000
34,941
 2.064% 12/1/24
 
105,000
104,409
Connecticut Gen. Oblig. Series A:
  
  
  
 1.998% 7/1/24
 
285,000
286,487
 2% 7/1/23
 
115,000
115,911
 2.098% 7/1/25
 
190,000
190,419
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25
 
245,000
238,213
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24
 
800,000
789,389
Houston Arpt. Sys. Rev. Series 2020 C:
  
  
  
 0.883% 7/1/22
 
70,000
70,051
 1.054% 7/1/23
 
120,000
119,365
 1.272% 7/1/24
 
400,000
393,595
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22
 
1,640,000
1,647,819
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23
 
360,000
358,970
 
TOTAL MUNICIPAL SECURITIES
 (Cost $4,405,305)
  
  
4,389,658
 
  
  
  
Bank Notes - 0.4%
 
  
Principal
Amount (a)
 
Value ($)
 
Capital One NA 2.15% 9/6/22
 
1,370,000
1,377,694
First Republic Bank 1.912% 2/12/24 (c)
  
4,071,000
4,064,043
PNC Bank NA:
  
  
  
 2.875% 6/29/22
 
12,000,000
12,054,418
 2.95% 1/30/23
 
695,000
704,507
Truist Bank 1.25% 3/9/23
 
7,000,000
6,988,860
 
TOTAL BANK NOTES
 (Cost $25,216,192)
  
  
25,189,522
 
  
  
  
Commercial Paper - 1.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Enel Finance America LLC:
  
  
  
 yankee 0.37% 7/11/22
 
7,000,000
6,976,389
 0.4% 8/11/22
 
5,000,000
4,976,995
General Motors Financial Co., Inc.:
  
  
  
 0.38% 3/21/22
 
5,000,000
4,998,571
 0.4% 3/28/22
 
5,000,000
4,997,912
 0.45% 3/22/22
 
5,000,000
4,998,481
HSBC U.S.A., Inc. 0.33% 10/4/22
 
5,000,000
4,967,149
National Bank of Canada yankee 0.22% 8/30/22 (c)(d)
  
8,000,000
7,999,146
NatWest Markets PLC yankee 0.35% 4/19/22
 
10,000,000
9,992,597
Sempra Energy 1% 5/23/22
 
10,000,000
9,981,520
Thermo Fisher Scientific, Inc. 0.51% 6/1/22
 
8,000,000
7,983,550
Viatris, Inc. 0.68% 4/26/22
 
5,000,000
4,993,398
 
TOTAL COMMERCIAL PAPER
 (Cost $72,924,097)
  
  
72,865,708
 
  
  
  
Short-Term Funds - 60.5%
 
  
Shares
Value ($)
 
Short-Term Funds - 60.5%
 
  
  
Baird Short-Term Bond Fund - Institutional Class
 
17,868,967
171,542,088
Baird Ultra Short Bond Fund Institutional Class
 
40,808,874
408,904,920
BlackRock Low Duration Bond Portfolio Investor A Shares
 
26,290,345
247,917,949
Fidelity SAI Short-Term Bond Fund (g)
  
24,086,798
236,050,621
iShares Floating Rate Bond ETF (h)
  
1,477,153
74,847,343
iShares Short Maturity Bond ETF (h)
  
4,526,102
225,083,052
iShares Short Treasury Bond ETF (h)(i)
  
3,199,074
352,825,871
iShares Ultra Short-Term Bond ETF (h)
  
2,934,817
147,591,947
JPMorgan Ultra-Short Income ETF
 
5,544,764
279,262,039
Metropolitan West Low Duration Bond Fund - Class M
 
28,905,864
251,770,075
PIMCO Enhanced Low Duration Active ETF
 
747,550
74,276,568
PIMCO Enhanced Short Maturity Active ETF (h)
  
3,163,695
319,659,743
PIMCO Short-Term Fund Institutional Class
 
86,165,158
837,525,325
T. Rowe Price Ultra Short-Term Bond Fund
 
56,663,317
283,883,217
 
  
  
  
 
TOTAL SHORT-TERM FUNDS
 (Cost $3,929,332,940)
  
  
  
3,911,140,758
 
  
  
  
Money Market Funds - 4.1%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 0.07% (j)
  
92,713,212
92,731,755
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (g)(k)
  
71,497,562
71,497,562
Fidelity Securities Lending Cash Central Fund 0.07% (j)(l)
  
90,689,820
90,698,889
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (k)
  
8,406,539
8,406,539
 
TOTAL MONEY MARKET FUNDS
 (Cost $263,329,771)
  
  
263,334,745
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 101.8%
 (Cost $6,605,633,189)
 
  
 
6,572,864,775
NET OTHER ASSETS (LIABILITIES) - (1.8)%  
(114,008,117)
NET ASSETS - 100.0%
6,458,856,658
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 2-Year U.S. Treasury Note Contracts (United States)
489
Jun 2022
105,245,789
166,406
166,406
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)
17
Jun 2022
2,402,578
21,110
21,110
 
  
  
  
  
  
TOTAL PURCHASED
  
  
  
  
187,516
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 10-Year U.S. Treasury Note Contracts (United States)
6
Jun 2022
764,625
(4,976)
(4,976)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
86
Jun 2022
10,172,188
(44,466)
(44,466)
 
  
  
  
  
  
TOTAL SOLD
  
  
  
  
(49,442)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
138,074
The notional amount of futures purchased as a percentage of Net Assets is 1.6%
The notional amount of futures sold as a percentage of Net Assets is 0.2%
 
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 $813,610,015 or 12.6% of net assets.
 
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(d)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
(f)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $474,037.
 
(g)
Affiliated Fund
 
(h)
Security or a portion of the security is on loan at period end.
 
(i)
Non-income producing
 
(j)
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.
 
(k)
The rate quoted is the annualized seven-day yield of the fund at period end.
 
(l)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
%ownership,
end
of period
Fidelity Cash Central Fund 0.07%
140,618,356
545,519,476
593,406,077
40,763
-
-
92,731,755
0.2%
Fidelity Securities Lending Cash Central Fund 0.07%
83,337,814
1,458,688,526
1,451,327,451
92,874
-
-
90,698,889
0.2%
Total
223,956,170
2,004,208,002
2,044,733,528
133,637
-
-
183,430,644
  
 
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 Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01%
367,658,318
242,540,171
538,700,927
18,471
-
-
71,497,562
Fidelity SAI Short-Term Bond Fund
285,020,885
919,594
44,121,036
919,302
(761,480)
(5,007,342)
236,050,621
 
652,679,203
243,459,765
582,821,963
937,773
(761,480)
(5,007,342)
307,548,183
 
 
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 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Municipal Securities, Bank Notes and Commercial Paper are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.  
 
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
 
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.  
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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