UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22811
Bridge Builder Trust
(Exact name of registrant as specified in charter)
Bridge Builder Trust
12555 Manchester Road
Des Peres, MO, 63131
(Address of principal executive offices)
Helge Lee, Secretary
Bridge Builder Trust
c/o 12555 Manchester Road
Des Peres, MO 63131
(Name and address of Agent for service)
Registrant’s telephone number, including area code: (314) 515-5242
Date of fiscal year end: June 30
Date of reporting period: December 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORT TO SHAREHOLDERS
The following is a copy of the Registrant’s semiannual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”)(17 CFR 270.30e-1).
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| Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds’ semiannual report for the six-month period ended December 31, 2019. In this report you will find fund performance information, summaries of portfolio holdings, financial statements and other important information about each of the Bridge Builder Mutual Funds.
The Bridge Builder Mutual Funds are available exclusively through Edward Jones Advisory Solutions®, an asset allocation program providing investment advisory services. Each Bridge Builder Fund uses a multi-manager sub-advised structure, where several asset management firms are selected to invest a portion of the mutual fund’s assets. Each manager within the mutual fund brings a unique perspective and investment approach. The mutual funds are managed according to the key tenets of our investment philosophy: diversification, high quality and a long-term approach.
Over the course of the past six-months, one sub-adviser has been removed from the Bridge Builder Mutual Funds’ lineup of sub-advisers. Manning & Napier Advisors, LLC was removed as a sub-adviser to the Bridge Builder International Equity Fund, effective in October of 2019.
All of the Bridge Builder Mutual Funds’ sub-advisers are selected by Olive Street Investment Advisers, LLC (“Olive Street”, or “Adviser”), an affiliate of Edward Jones, and approved by the Funds’ Board of Trustees. Olive Street strives to combine complementary investment styles, performance patterns and portfolio characteristics that have generally demonstrated a track record of success.
For additional information about the funds, visit www.bridgebuildermutualfunds.com.
We look forward to playing an important role in helping you pursue your financial goals.
Sincerely,
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| Bill Fiala
Chairman, Bridge Builder Trust | ||
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| Ryan Robson
President, Olive Street Investment Advisers, LLC | ||
| Semiannual Report • December 31, 2019 | 1 |
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Summary of the Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities or U.S. corporate issuers. The Fund also invests in asset-backed securities, privately-issued securities, floating rate securities and mortgage-related and mortgage-backed securities. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Robert W. Baird & Co. Inc. utilizes a structured, risk-controlled philosophy with a disciplined duration approach to invest its allocated portion of the Fund’s assets. |
J.P. Morgan Investment Management, Inc. incorporates a bottom-up, value-oriented approach in managing its allocated portion of the Fund’s assets. | Loomis, Sayles & Company, L.P. employs an investment philosophy that focuses on relative value investing on a risk-adjusted basis, seeking to add value for clients primarily through security selection while managing top-down risks in the portfolio. | PGIM, Inc. uses a team approach to attempt to add value by tilting toward fixed-income sectors that it believes are attractive and by utilizing its extensive research capabilities to choose attractive fixed-income securities within sectors. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | 5 Years | Since Inception (10/28/2013) | ||||||||||
| Bridge Builder Core Bond Fund |
9.14 | % | 3.46 | % | 3.59 | % | ||||||
| Bloomberg Barclays U.S. Aggregate Bond Index |
8.72 | % | 3.05 | % | 3.26 | % | ||||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.34%(1) and 0.14%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| 2 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Plus Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Summary of the Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities or U.S. corporate issuers. The Fund also invests in asset-backed securities, privately-issued securities, floating rate securities, and mortgage-related and may invest in mortgage-backed securities. The Fund also invests, under normal market conditions, in a “plus” portfolio of high-yield securities deemed below investment grade, and securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Pacific Investment Management Company LLC seeks to achieve the Fund’s investment objective by investing in a multi-sector portfolio of fixed-income instruments of varying maturities, which may be represented by derivatives such as futures, forward foreign currency exchange contracts or swap contracts. |
Loomis, Sayles & Company, L.P. generally seeks fixed-income securities of issuers whose credit profiles it believes are improving. Loomis Sayles relies primarily on issue selection as the key driver to investment performance. Loomis Sayles also analyzes different sectors of the economy and differences in the yields of various fixed-income securities in an effort to find securities that it believes may produce attractive returns in comparison to these securities’ risks. |
Metropolitan West Asset Management, LLC employs a value-oriented fixed-income management philosophy and an investment process predicated on a long-term economic outlook. | T. Rowe Price Associates, Inc. emphasizes the value of in-depth fundamental research, diversification and risk management practices. T. Rowe Price’s strategy integrates top-down sector allocation with bottom-up security selection in pursuit of the Fund’s investment objective. |
Average Annual Total Returns of December 31, 2019
| 1 Year | Since Inception (7/13/2015) | |||||||
| Bridge Builder Core Plus Bond Fund |
9.38 | % | 3.86 | % | ||||
| Bloomberg Barclays U.S. Aggregate Bond Index |
8.72 | % | 3.52 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.47%(1) and 0.24%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| Semiannual Report • December 31, 2019 | 3 |
Bridge Builder Municipal Bond Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Municipal Bond Fund (the “Fund”) is to provide current income exempt from federal tax, with a secondary goal of preservation of investment principal.
Summary of the Investment Strategy
The Fund invests, under normal conditions, at least 80% of its net assets in municipal securities of any maturity or duration whose interest is exempt from federal income tax. These municipal securities include debt obligations issued by or on behalf of a governmental entity or other qualifying issuer that pay interest that is generally excludable from gross income for federal income tax purposes. Interest may be includable in taxable income for certain non-corporate taxpayers subject to the federal alternative minimum tax. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
| FlAM LLC allocates assets across different market sectors and maturities, normally investing in investment-grade municipal securities. When selecting investments, FlAM analyzes issuer credit quality, security-specific features, current and potential future valuation and trading opportunities. | T. Rowe Price Associates Inc.’s investment approach emphasizes in-depth fundamental research, diversification, and strict risk management practices in the pursuit of the Fund’s investment objective. Investment decisions reflect the portfolio managers’ outlook for interest rates and the economy, as well as the prices, yields and credit quality of various municipal securities. |
Wells Capital Management, Inc. starts its investment process with a top-down, macroeconomic outlook. Wells Capital Management’s security selection is based on several factors including improving financial trends, positive industry and sector dynamics, improving economic conditions, specific demographic trends and value relative to other securities. |
BlackRock Investment Management, LLC takes a top-down, bottom-up approach with a flexible investment framework. Their security selection process is based on the relative value outlook and the quantitative assessment of the security and portfolio. BlackRock seeks total return derived primarily from coupon interest, and secondarily, capital appreciation. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (9/14/2015) | |||||||
| Bridge Builder Municipal Bond Fund |
7.12 | % | 3.53 | % | ||||
| Bloomberg Barclays Municipal 1-15 Year Index |
6.44 | % | 3.31 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.39%(1) and 0.17%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| 4 | Semiannual Report • December 31, 2019 |
Bridge Builder Large Cap Growth Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Lazard Asset Management LLC invests primarily in equity securities of U.S. companies that have strong and/or improving financial productivity and are undervalued based on their earnings, cash flow or asset values. |
Sustainable Growth Advisers, LP seeks to identify large- capitalization companies that exhibit characteristics such as pricing power, repeat revenue streams and global reach that seem to have the potential for long-term earnings growth within the context of low business risk. |
Jennison Associates LLC invests in companies that have strong capital appreciation potential. It follows a highly disciplined investment selection and management process of identifying companies that show superior absolute and relative earnings growth and are believed to be attractively valued. |
BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Growth Index. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (4/27/2015) | |||||||
| Bridge Builder Large Cap Growth Fund |
33.30 | % | 12.52 | % | ||||
| Russell 1000® Growth Index |
36.39 | % | 14.22 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.46%(1) and 0.22%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| Semiannual Report • December 31, 2019 | 5 |
Bridge Builder Large Cap Value Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Value Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Artisan Partners Limited Partnership employs a fundamental investment process to construct a diversified portfolio of equity securities that are undervalued, in solid financial condition and have attractive business economics. |
Barrow, Hanley, Mewhinney & Strauss, LLC believes that equity market inefficiencies can best be exploited through adherence to a value-oriented investment process dedicated to the selection of securities on a bottom-up basis. Barrow Hanley implements this strategy by seeking to construct portfolios of individual stocks that reflect three value characteristics: price/earnings and price/book ratios below the market and dividend yields above the market (as measured by the S&P 500 Index). |
Wellington Management Company, LLP uses substantial proprietary, fundamental research resources to identify companies with superior prospects for dividend growth and capital appreciation that sell at reasonable valuation levels. Wellington Management believes that above-average growth in dividends is an effective and often overlooked indicator of higher quality, shareholder-oriented companies that have the ability to produce consistent, above-average returns over the long-term. |
BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Value Index. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (4/27/2015) | |||||||
| Bridge Builder Large Cap Value Fund |
28.48 | % | 9.38 | % | ||||
| Russell 1000® Value Index |
26.54 | % | 8.72 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.46%(1) and 0.25%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| 6 | Semiannual Report • December 31, 2019 |
Bridge Builder Small/Mid Cap Growth Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of small-and mid-capitalization companies, which are defined as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors growth investments and employs a multi- manager sub-advised structure.
Investment Sub-advisers
| Eagle Asset Management, Inc. invests primarily in small-capitalization companies. The team generally focuses on investing in small-capitalization companies that demonstrate growth potential at a price that does not appear to reflect the company’s true underlying value. The portfolio managers use a three-pronged investment philosophy: quality, valuation and balance. | Champlain Investment Partners, LLC seeks capital appreciation by investing mainly in common stocks of medium-sized companies that it believes have strong long-term fundamentals, superior capital appreciation potential and attractive valuations. Champlain expects to identify a diversified universe of medium-sized companies that trade at a discount to their estimated or intrinsic fair values. | ClearBridge Investments, LLC invests primarily in mid-capitalization companies. The team normally invests in stocks selected for their long-term growth potential. The portfolio managers conduct bottom-up, fundamental research and look for attractive valuations, favorable growth and attractive risk/reward profiles, and strong free cash flow and balance sheets. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell Midcap® Growth Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Growth Index, which tracks the performance of small-capitalization companies. | Stephens Investment Management Group, LLC employs a disciplined, bottom-up investment selection process that combines rigorous fundamental analysis with quantitative screening in an effort to identify companies that exhibit potential for superior earnings growth that is unrecognized by the markets. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (4/27/2015) | |||||||
| Bridge Builder Small/Mid Cap Growth Fund |
29.03 | % | 10.72 | % | ||||
| Russell 2500® Growth Index |
32.65 | % | 9.85 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.67%(1) and 0.39%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| Semiannual Report • December 31, 2019 | 7 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of small-and mid-capitalization companies, which are defined as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Vaughan Nelson Investment Management, LP uses a bottom- up value-oriented investment process. Vaughan Nelson seeks companies than typically possess one or more of the following attributes: companies earning a positive return on capital with stable-to-improving returns, valued at a discount to their asset value and/or having an attractive and sustainable dividend level. | Boston Partners Global Investors, Inc. primarily invests in medium-capitalization companies and uses bottom-up fundamental analysis to make investment decisions. Boston Partners’ strategy seeks to add value through bottom-up stock selection. The strategy is designed to identify companies with attractive valuation, sound business fundamentals and improving business momentum. | Silvercrest Asset Management Group LLC invests in small- capitalization companies that typically possess one or more of the following attributes: business that results in relatively consistent longer-term earnings and cash flow growth, franchise/asset value that may make the company attractive to potential acquirers, cyclically depressed earnings and/or cash flow that has potential for improvement, or a catalyst that will promote recognition of the company’s undervalued status. | Advisory Research, Inc. uses a bottom-up approach that seeks to identify companies with attractive valuations relative to net asset value. The strategy invests in stocks that Advisory Research believes are profitable, undervalued on a price-to-book basis and exhibit low levels of leverage. | |||
| BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell Midcap® Value Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Value Index, which tracks the performance of small-capitalization companies. | LSV Asset Management primarily invests in medium-capitalization companies. LSV uses a bottom-up investment style, seeking to identify companies that are trading at prices substantially below their intrinsic value. LSV follows an active investment strategy, focusing on using data and financial information and combining such information with the rigor of a quantitative model. |
Diamond Hill Capital Management, Inc. typically invests in U.S. equity securities of small to medium market capitalization companies measured at the time of purchase. Diamond Hill’s objective is to seek long-term capital appreciation by investing in companies selling for less than Diamond Hill’s estimate of intrinsic value. |
MFS Investment Management primary invests in securities of companies with small capitalizations. MFS focuses on investing in the stocks of companies that it believes are undervalued compared to their perceived worth (value companies). MFS uses an active bottom-up investment approach to buying and selling investments. Investments are selected primarily based on fundamental analysis of individual issuers and their potential in light of their Financial condition, and market, economic, political, and regulatory conditions. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (4/27/2015) | |||||||
| Bridge Builder Small/Mid Cap Value Fund |
28.05 | % | 6.61 | % | ||||
| Russell 2500® Value Index |
23.56 | % | 7.02 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.70%(1) and 0.46%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
| 8 | Semiannual Report • December 31, 2019 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
| Semiannual Report • December 31, 2019 | 9 |
Bridge Builder International Equity Fund
Fund Characteristics and Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder International Equity Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in non-U.S. dollar denominated securities of large-capitalization companies that derive a majority of their revenues or profits from a country or countries other than the United States. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
| Baillie Gifford Overseas Limited primarily uses proprietary, fundamental research to identify companies for investment that can exhibit sustained, above-average growth with attractive financial characteristics and sustainable competitive advantages. When evaluating individual companies for investment, Baillie Gifford normally focuses on growth/quality, management, valuation and sell discipline. | BlackRock Investment Management, LLC’s equity index strategies invest in portfolios of international equity securities with the objective of approximating as closely as practicable the capitalization weighted total rates of return of the markets in certain countries for value and growth equity securities traded outside the United States, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. | Edinburgh Partners Limited employs a disciplined, value-oriented, global investment strategy to select stocks. Edinburgh Partners aims to identify and buy undervalued non-U.S. companies, including those in the emerging markets, and hold them until share prices reflect their long-term earnings potential. | ||
| Pzena Investment Management, LLC focuses on deep value investing, seeking to identify international securities that are trading at prices substantially below their intrinsic value but have solid long term prospects. | Mondrian Investment Partners Limited employs an active, value-oriented approach to managing international equities, and invests in securities where rigorous dividend discount analysis identifies value in terms of the long-term flow of income. The philosophy is built upon the assumption that dividend yield and future real growth are critical in determining a company’s total expected return and that the dividend component will be a meaningful portion of the expected return over time. | WCM Investment Management uses a bottom-up approach that seeks to identify companies with attractive fundamentals, such as long-term growth in revenue and earnings, and that show a high probability for superior future growth. WCM’s investment process focuses on seeking industry-leading companies that WCM believes possess growing competitive advantages; corporate cultures emphasizing strong, quality and experienced management; low or no debt; and attractive relative valuations. |
Average Annual Total Returns as of December 31, 2019
| 1 Year | Since Inception (7/06/2015) | |||||||
| Bridge Builder International Equity Fund |
23.13 | % | 6.36 | % | ||||
| MSCI EAFE Index |
22.01 | % | 5.36 | % | ||||
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.64%(1) and 0.36%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
| 10 | Semiannual Report • December 31, 2019 |
Bridge Builder International Equity Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
ADR American Depositary Receipt
| Semiannual Report • December 31, 2019 | 11 |
Fund Characteristics and Performance (Unaudited)
Disclosures
| (1) | The Gross Expense Ratio, per the Fund’s prospectus, includes all categories of expenses before any expense reductions or fee waivers. |
| (2) | Olive Street has contractually agreed, until at least October 28, 2020, to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Fund is required to pay the Fund’s sub-advisers. This contractual agreement may only be changed or eliminated with the approval of the Board of Trustees. Such waivers are not subject to recoupment by Olive Street. |
| (3) | Fund holdings, sector and portfolio characteristics are subject to change at any time and are not recommendations to buy or sell any security. |
Mutual fund investing involves risk. The value of your investment in a Fund could go down as well as up. Investing in the bond market is subject to certain risks including market, credit, interest-rate and liquidity. Investments in asset-backed, mortgage-related and mortgage-backed securities may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security.
Investments in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The risks to the municipal bond market can include unusual volatility, liquidity issues, the inability of the issuer to repay the obligation and a tax risk to the investor if the municipal obligation fails to meet requirements. There is no guarantee that all of the municipal bond income will remain exempt from federal or state income taxes. Investments in municipal securities may be adversely affected by unfavorable legislative or political developments and economic developments that impact the financial condition of municipal issuers. Investments in large cap companies may be unable to respond quickly to new competitive challenges, such as changes in technology. They may also not be able to attain the high growth rate of successful smaller companies. Investments in small-and mid-cap companies may involve additional risks such as limited liquidity and greater volatility than larger companies. Investments in non-U.S. dollar-denominated foreign securities (including emerging market securities) may be more sensitive to currency fluctuations, political and economic instability, differing government regulations and liquidity risk. Multi-manager and multi-style management may lead to overlapping securities transactions and higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisers and adviser and the allocation of assets amongst them.
You cannot invest directly in an index.
DEFINITIONS
Bloomberg Barclays U.S. Aggregate Bond Index measures the performance of the U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
Bloomberg Barclays Municipal 1-15 Year Index (1-17) is a subset of the Bloomberg Barclays Municipal Bond Index covering only maturities between 1 and 17 years. The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of tax-exempt bonds with maturities greater than one year and a minimum credit rating of Baa.
Duration is a measure of the sensitivity of the price of a fixed-income security (or a portfolio of fixed-income securities) to changes in interest rates.
Free Cash Flow is a measure of financial performance calculated as operating cash flow minus capital expenditures. Free cash flow represents the cash that a company is able to generate after laying out the money required to maintain or expand its asset base. Free cash flow is important because it allows a company to pursue opportunities that enhance shareholder value. Without cash, it is difficult to develop new products, make acquisitions, pay dividends and reduce debt.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index is an unmanaged index of over 900 companies, and is a generally accepted benchmark for major overseas markets.
Price to Earnings Ratio is a valuation ratio of a company’s current share price compared to its per-share earnings. It is calculated by dividing the current closing price of the stock by the earnings per share of the last four quarters.
Price to Book Ratio is a ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
The Russell 1000® Index consists of the largest 1,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.
The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
| 12 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Fund Characteristics and Performance (Unaudited) (Continued)
The Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2500® Growth Index measures the performance of the small-to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500® Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2500® Value Index measures the performance of the small-to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500® Index companies with lower price-to-book and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest publicly held companies incorporated in the U.S. based on market capitalization.
The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe.
The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell Midcap® Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, an unmanaged index, consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value.
| Semiannual Report • December 31, 2019 | 13 |
Fund Expense Examples (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees and other Fund expenses; and (2) Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The Examples are based on $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 to December 31, 2019.
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs of owning shares of a Fund only and do not reflect annual Edward Jones Advisory Solutions® program and administrative fees. If fees of Edward Jones Advisory Solutions® had been included, your costs would have been higher. The second line of the table for each Fund is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Beginning account value |
Ending account value |
Annualized Expense Ratio |
Expenses paid during the period* |
|||||||||||||||||
| Bridge Builder Core Bond Fund |
0.13 | % | ||||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,013.80 | $ | 0.66 | ||||||||||||||
| Hypothetical | 1,000.00 | 1,024.48 | 0.66 | |||||||||||||||||
| Bridge Builder Core Plus Bond Fund |
0.16 | |||||||||||||||||||
| Actual | 1,000.00 | 1,011.90 | 0.81 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,024.33 | 0.81 | |||||||||||||||||
| Bridge Builder Municipal Bond Fund |
0.16 | |||||||||||||||||||
| Actual | 1,000.00 | 1,011.30 | 0.81 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,024.33 | 0.81 | |||||||||||||||||
| Bridge Builder Large Cap Growth Fund |
0.22 | |||||||||||||||||||
| Actual | 1,000.00 | 1,103.60 | 1.16 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,024.03 | 1.12 | |||||||||||||||||
| Bridge Builder Large Cap Value Fund |
0.24 | |||||||||||||||||||
| Actual | 1,000.00 | 1,088.50 | 1.26 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,023.93 | 1.22 | |||||||||||||||||
| Bridge Builder Small/Mid Cap Growth Fund |
0.38 | |||||||||||||||||||
| Actual | 1,000.00 | 1,048.50 | 1.96 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,023.23 | 1.93 | |||||||||||||||||
| Bridge Builder Small/Mid Cap Value Fund |
0.43 | |||||||||||||||||||
| Actual | 1,000.00 | 1,084.30 | 2.25 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,022.97 | 2.19 | |||||||||||||||||
| Bridge Builder International Equity Fund |
0.34 | |||||||||||||||||||
| Actual | 1,000.00 | 1,077.70 | 1.78 | |||||||||||||||||
| Hypothetical | 1,000.00 | 1,023.43 | 1.73 | |||||||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
| 14 | Semiannual Report • December 31, 2019 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Summary Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| BONDS & NOTES – 97.25% |
||||||||
| Asset-Backed Obligations – 12.09% |
||||||||
| Volt 2018-FTI, 3.13%, Mar. 2021 (1) |
$ | 925,665 | $ | 921,477 | ||||
| Zais CLO 8 Ltd., 2.95%, (3 Month LIBOR USD + 0.95%), Apr. 2029 (2)(3) |
40,000,000 | 39,719,280 | ||||||
| Other Securities (2)(3)(4)(5)(14) |
1,858,732,787 | 1,864,186,055 | ||||||
|
|
|
|||||||
| Total Asset-Backed Obligations |
1,904,826,812 | |||||||
|
|
|
|||||||
| Corporate Bonds – 29.39% |
||||||||
| Basic Materials – 1.05% | ||||||||
| Various Securities (2)(3)(6) |
150,382,000 | 165,989,246 | ||||||
|
|
|
|||||||
| Total Basic Materials |
|
165,989,246 | ||||||
|
|
|
|||||||
| Communications – 2.43% | ||||||||
| Various Securities (3) |
337,722,000 | 381,845,439 | ||||||
|
|
|
|||||||
| Total Communications |
|
381,845,439 | ||||||
|
|
|
|||||||
| Consumer, Cyclical – 1.55% | ||||||||
| Various Securities (2)(3) |
235,748,236 | 244,317,415 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
|
244,317,415 | ||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 4.09% | ||||||||
| Cigna Corp., 4.38%, Oct. 2028 |
30,325,000 | 33,553,704 | ||||||
| Other Securities (2)(3) |
564,258,545 | 609,677,943 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
|
643,231,647 | ||||||
|
|
|
|||||||
| Diversified – 0.02% | ||||||||
| Various Securities (3) |
3,657,310 | 3,727,110 | ||||||
|
|
|
|||||||
| Total Diversified |
|
3,727,110 | ||||||
|
|
|
|||||||
| Energy – 3.09% | ||||||||
| Various Securities (2)(3) |
447,746,000 | 487,290,924 | ||||||
|
|
|
|||||||
| Total Energy |
|
487,290,924 | ||||||
|
|
|
|||||||
| Financials – 11.43% | ||||||||
| Various Securities (2)(3)(4) |
1,707,384,000 | 1,800,894,294 | ||||||
|
|
|
|||||||
| Total Financials |
|
1,800,894,294 | ||||||
|
|
|
|||||||
| Industrials – 1.35% | ||||||||
| Various Securities (3)(4) |
199,470,000 | 213,158,874 | ||||||
|
|
|
|||||||
| Total Industrials |
|
213,158,874 | ||||||
|
|
|
|||||||
| Technology – 1.08% | ||||||||
| Various Securities (3) |
157,924,000 | 169,716,241 | ||||||
|
|
|
|||||||
| Total Technology |
|
169,716,241 | ||||||
|
|
|
|||||||
| Utilities – 3.30% | ||||||||
| Various Securities (3) |
482,249,034 | 519,066,555 | ||||||
|
|
|
|||||||
| Total Utilities |
|
519,066,555 | ||||||
|
|
|
|||||||
| Total Corporate Bonds |
4,629,237,745 | |||||||
|
|
|
|||||||
| Government Related – 18.93% |
||||||||
| Other Government Related – 1.98% | ||||||||
| Various Securities (2)(3)(5)(7)(8) |
283,741,000 | 311,794,753 | ||||||
|
|
|
|||||||
| Total Other Government Related |
|
311,794,753 | ||||||
|
|
|
|||||||
| U.S. Treasury Obligations – 16.95% | ||||||||
| U.S. Treasury Note/Bond, 1.63%, Dec. 2022 |
52,796,000 | 52,816,945 | ||||||
| U.S. Treasury Note/Bond, 1.75%, Feb. 2022 |
57,900,000 | 58,096,469 | ||||||
| U.S. Treasury Note/Bond, 1.75%, Mar. 2022 |
108,150,000 | 108,514,671 | ||||||
| U.S. Treasury Note/Bond, 1.75%, Dec. 2024 |
26,778,000 | 26,836,134 | ||||||
| U.S. Treasury Note/Bond, 1.75%, Nov. 2029 |
56,815,000 | 55,912,840 | ||||||
The accompanying notes are an integral part of these financial statements.
| 16 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Principal Amount |
Value | |||||||
| U.S. Treasury Obligations – 16.95% – (continued) | ||||||||
| U.S. Treasury Note/Bond, 1.88%, Mar. 2022 |
$ | 89,300,000 | $ | 89,835,053 | ||||
| U.S. Treasury Note/Bond, 2.00%, Nov. 2026 |
55,000,000 | 55,571,814 | ||||||
| U.S. Treasury Note/Bond, 2.13%, May 2025 |
37,000,000 | 37,724,599 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Nov. 2025 |
88,171,000 | 90,474,664 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Nov. 2027 |
39,300,000 | 40,365,381 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Aug. 2046 |
27,157,800 | 26,359,152 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Aug. 2049 |
48,071,000 | 46,576,290 | ||||||
| U.S. Treasury Note/Bond, 2.50%, May 2024 |
66,638,000 | 68,892,477 | ||||||
| U.S. Treasury Note/Bond, 2.50%, Feb. 2045 |
83,300,000 | 84,886,768 | ||||||
| U.S. Treasury Note/Bond, 2.75%, May 2023 |
26,085,000 | 27,029,192 | ||||||
| U.S. Treasury Note/Bond, 2.88%, May 2043 |
170,150,000 | 185,140,356 | ||||||
| U.S. Treasury Note/Bond, 2.88%, May 2049 |
31,686,000 | 34,885,831 | ||||||
| U.S. Treasury Note/Bond, 3.13%, Nov. 2028 |
76,050,000 | 83,561,738 | ||||||
| U.S. Treasury Note/Bond, 3.13%, May 2048 |
26,063,000 | 29,975,606 | ||||||
| U.S. Treasury Note/Bond, 3.38%, Nov. 2048 |
30,304,000 | 36,524,246 | ||||||
| U.S. Treasury Note/Bond, 3.50%, Feb. 2039 |
40,394,100 | 48,353,249 | ||||||
| U.S. Treasury Note/Bond, 3.63%, Feb. 2044 |
40,750,000 | 50,017,271 | ||||||
| U.S. Treasury Note/Bond, 3.75%, Nov. 2043 |
88,150,000 | 110,103,135 | ||||||
| U.S. Treasury Note/Bond, 4.75%, Feb. 2037 |
37,619,000 | 51,708,446 | ||||||
| U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 |
34,113,000 | 33,767,759 | ||||||
| U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 |
33,917,000 | 32,742,398 | ||||||
| U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 |
61,562,000 | 58,471,506 | ||||||
| U.S. Treasury Strip Coupon, 0.00%, May 2023 |
30,855,000 | 29,125,472 | ||||||
| U.S. Treasury Note/Bond, 1.13%-8.75%, May 2020-Feb. 2049 |
676,819,900 | 714,856,140 | ||||||
| U.S. Treasury Strip Coupon, 0.00%, Feb. 2021-Nov. 2043 (7) |
353,928,000 | 293,581,390 | ||||||
| Other Securities (9) |
5,771,508 | 6,425,559 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
|
2,669,132,551 | ||||||
|
|
|
|||||||
| Total Government Related |
2,980,927,304 | |||||||
|
|
|
|||||||
| Mortgage-Backed Obligations – 36.84% |
||||||||
| Benchmark 2018-B1 Mortgage Trust, 2.67%, Dec. 2072 |
30,000,000 | 29,762,715 | ||||||
| Fannie Mae, 3.00%, Jan. 2049 (10) |
31,675,000 | 32,104,261 | ||||||
| Fannie Mae, 4.50%, Jan. 2050 (10) |
33,745,000 | 35,522,724 | ||||||
| Fannie Mae Pool, 3.00%, Dec. 2047 |
29,413,388 | 30,154,213 | ||||||
| Fannie Mae Pool, 3.00%, Nov. 2049 |
45,542,008 | 46,246,361 | ||||||
| Fannie Mae Pool, 3.00%, Dec. 2049 |
47,779,270 | 48,459,761 | ||||||
| Fannie Mae Pool, 4.00%, Jan. 2048 |
49,404,048 | 52,039,687 | ||||||
| Fannie Mae-Aces, 2.59%, Dec. 2026 (5) |
43,307,000 | 44,055,691 | ||||||
| Fannie Mae-Aces, 3.06%, May 2027 (5) |
29,130,000 | 30,363,256 | ||||||
| Fannie Mae-Aces, 3.38%, Jul. 2028 (5) |
43,053,329 | 45,925,415 | ||||||
| Freddie Mac Gold Pool, 3.00%, Oct. 2046 |
29,816,000 | 30,646,919 | ||||||
| Freddie Mac Gold Pool, 3.50%, Oct. 2047 |
35,518,216 | 36,886,653 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates, 3.19%, Sep. 2027 (5) |
35,150,000 | 37,121,128 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates, 3.36%, Dec. 2026 (5) |
27,000,000 | 28,497,223 | ||||||
| Freddie Mac Pool, 3.00%, Oct. 2049 |
35,307,930 | 35,857,219 | ||||||
| Ginnie Mae, 3.00%, Jan. 2049 (10) |
27,440,000 | 28,167,671 | ||||||
| Ginnie Mae II Pool, 3.50%, Sep. 2049 |
44,628,720 | 46,231,280 | ||||||
| Ginnie Mae II Pool, 4.00%, Sep. 2047 |
32,213,127 | 33,777,715 | ||||||
| GS Mortgage Securities Corp. II, 4.26%, Jul. 2051 (5) |
28,521,000 | 30,827,636 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23, 3.45%, Jul. 2050 |
27,200,000 | 28,511,715 | ||||||
| Fannie Mae, 3.69%, Sep. 2028 |
4,742,218 | 5,144,593 | ||||||
| Fannie Mae Pool, 2.00%-8.50%, Feb. 2020-Dec. 2049 (2) |
1,568,446,648 | 1,643,817,726 | ||||||
| Fannie Mae-Aces, 2.10%-4.33%, Mar. 2020-Aug. 2030 (2)(5) |
169,337,475 | 175,421,018 | ||||||
| Freddie Mac Gold Pool, 2.00%-10.00%, Apr. 2020-Dec. 2048 |
525,594,958 | 553,217,869 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates, 0.82%-4.05%, Jun. 2020-Oct. 2033 (2)(5) |
506,855,468 | 388,506,851 | ||||||
| Ginnie Mae, 0.00%-20.80%, Apr. 2023-Aug. 2067 (2)(5)(8)(10) |
221,278,710 | 189,319,773 | ||||||
| Ginnie Mae II Pool, 2.50%-8.50%, Mar. 2025-May 2063 (5) |
452,616,572 | 474,694,341 | ||||||
| Other Securities (2)(3)(4)(5)(8)(10)(14) |
1,658,572,813 | 1,641,575,267 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Obligations |
5,802,856,681 | |||||||
|
|
|
|||||||
| Total Bonds & Notes |
15,317,848,542 | |||||||
|
|
|
|||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 17 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Shares | Value | |||||||
| PREFERRED STOCKS – 0.02% |
||||||||
| Financials – 0.02% | ||||||||
| State Street Corp. 5.35% (2) |
95,000 | $ | 2,647,650 | |||||
|
|
|
|||||||
| Total Preferred Stocks |
2,647,650 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 3.58% |
||||||||
| Money Market Funds – 3.57% | ||||||||
| Fidelity Institutional Money Market Government Fund – Class I, 1.53% (11)(12) |
561,854,869 | 561,854,869 | ||||||
|
|
|
|||||||
| Total Money Market Funds |
561,854,869 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| U.S. Treasury Bills – 0.01% | ||||||||
| Various Securities |
$ | 2,000,000 | 1,987,398 | |||||
|
|
|
|||||||
| Total U.S. Treasury Bills |
1,987,398 | |||||||
|
|
|
|||||||
| Time Deposits – 0.00% (13) | ||||||||
| Banco Santander, Frankfurt, 1.81% due 01/02/2020 |
244,852 | 244,852 | ||||||
|
|
|
|||||||
| Total Time Deposits |
244,852 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
564,087,119 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 100.85% |
15,884,583,311 | |||||||
|
|
|
|||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.85)% |
(134,013,054 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 15,750,570,257 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
| (1) | Security that is restricted at December 31, 2019. The value of the restricted security totals $921,477, which represents 0.01% of total net assets. |
| (2) | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (3) | Security or includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $2,924,847,680, which represents 18.57% of total net assets. |
| (4) | Includes step-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 2019. |
| (5) | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2019. |
| (6) | Includes security in default as of December 31, 2019. The value of this security totals $362,475, which represents 0.00% of total net assets. |
| (7) | Partially assigned as collateral for certain future contracts. The value of these pledged issues total $7,529,228, which represents 0.05% of total net assets. |
| (8) | Includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (9) | Includes inflation protected securities. The value of these securities totals $6,425,559, which represents 0.04% of total net assets. |
| (10) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $170,891,552, which represents 1.08% of total net assets. |
| (11) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
| 18 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| (12) | Partially assigned as collateral for certain delayed delivery securities. |
| (13) | Amount calculated is less than 0.005%. |
| (14) | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $79,549,424 or 0.51% of the Fund’s net assets. |
Open Futures Contracts
| Number of Contracts Purchased |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
| 1,168 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2020 | $ | 251,797,004 | $ | 251,704,000 | $ | (93,004 | ) | ||||||||||||
| 4,691 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2020 | 558,080,354 | 556,396,578 | (1,683,776 | ) | |||||||||||||||
| 558 | U.S. 10 Year Note Future | J.P. Morgan | Mar. 2020 | 71,713,549 | 71,659,406 | (54,143 | ) | |||||||||||||||
| 2 | U.S. 10 Year Ultra Future | J.P. Morgan | Mar. 2020 | 281,312 | 281,406 | 94 | ||||||||||||||||
| 829 | U.S. Ultra Bond Future | J.P. Morgan | Mar. 2020 | 154,647,187 | 150,593,031 | (4,054,156 | ) | |||||||||||||||
| 254 | U.S. Long Bond Future | J.P. Morgan | Mar. 2020 | 40,135,729 | 39,600,188 | (535,541 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (6,420,526 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Fixed Annual Rate |
Floating Rate Index |
Floating Rate Paid or Received |
Payment Frequency |
Maturity Date |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||
| 1.38% | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | $ | 14,385,000 | $ | (1,884 | ) | $ | (71,889 | ) | $ | (73,773 | ) | |||||||||||
| 1.48 | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 7,490,000 | 6,363 | (32,552 | ) | (26,189 | ) | ||||||||||||||||
| 1.60 | 3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 5,370,000 | 22,137 | (29,798 | ) | (7,661 | ) | ||||||||||||||||
| 1.61 | U.S. Federal Funds Effective Rate Index | Received | Annually | 8/15/2029 | 281,000 | 285 | 823 | 1,108 | ||||||||||||||||||
| 2.49 | U.S. Federal Funds Effective Rate Index | Received | Annually | 10/31/2025 | 250,315,000 | (1,070,883 | ) | (12,928,306 | ) | (13,999,189 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (1,043,982 | ) | $ | (13,061,722 | ) | $ | (14,105,704 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 19 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| BONDS & NOTES – 97.38% |
||||||||
| Asset-Backed Obligations – 12.06% |
||||||||
| St Paul’s CLO VI DAC, 0.85%, (3 month EURIBOR + 0.85%), Aug. 2030 (1)(2) |
EUR | 38,000,000 | $ | 42,604,523 | ||||
| Other Securities *(1)(2)(3)(4)(5) |
2,332,040,464 | 2,261,797,277 | ||||||
|
|
|
|||||||
| Total Asset-Backed Obligations |
2,304,401,800 | |||||||
|
|
|
|||||||
| Corporate Bonds – 31.13% |
||||||||
| Basic Materials – 0.91% | ||||||||
| Various Securities *(2) |
162,571,000 | 173,492,520 | ||||||
|
|
|
|||||||
| Total Basic Materials |
173,492,520 | |||||||
|
|
|
|||||||
| Communications – 3.62% | ||||||||
| Various Securities *(1)(2)(14) |
647,559,363 | 692,636,898 | ||||||
|
|
|
|||||||
| Total Communications |
692,636,898 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 3.02% | ||||||||
| Various Securities *(1)(2)(5) |
562,025,323 | 577,691,422 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
577,691,422 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 5.23% | ||||||||
| Various Securities *(1)(2)(6) |
928,975,385 | 999,885,936 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
999,885,936 | |||||||
|
|
|
|||||||
| Diversified – 0.05% | ||||||||
| Various Securities (2) |
$ | 9,053,719 | 9,543,548 | |||||
|
|
|
|||||||
| Total Diversified |
9,543,548 | |||||||
|
|
|
|||||||
| Energy – 3.45% | ||||||||
| Various Securities *(1)(2)(7)(14) |
812,036,062 | 660,385,145 | ||||||
|
|
|
|||||||
| Total Energy |
660,385,145 | |||||||
|
|
|
|||||||
| Financials – 10.20% | ||||||||
| GE Capital International Funding Co. Unlimited Co., 4.42%, Nov. 2035 |
$ | 58,340,000 | 62,119,024 | |||||
| Other Securities *(1)(2)(5) |
1,855,231,360 | 1,887,801,998 | ||||||
|
|
|
|||||||
| Total Financials |
1,949,921,022 | |||||||
|
|
|
|||||||
| Industrials – 1.56% | ||||||||
| Various Securities *(1)(2)(5) |
285,816,890 | 297,229,407 | ||||||
|
|
|
|||||||
| Total Industrials |
297,229,407 | |||||||
|
|
|
|||||||
| Technology – 1.45% | ||||||||
| Various Securities *(1)(2) |
267,014,000 | 277,015,872 | ||||||
|
|
|
|||||||
| Total Technology |
277,015,872 | |||||||
|
|
|
|||||||
| Utilities – 1.64% | ||||||||
| Various Securities (1)(2)(7) |
$ | 300,265,000 | 312,621,520 | |||||
|
|
|
|||||||
| Total Utilities |
312,621,520 | |||||||
|
|
|
|||||||
| Total Corporate Bonds |
5,950,423,290 | |||||||
|
|
|
|||||||
| Convertible Securities – 0.11% |
||||||||
| Communications – 0.03% | ||||||||
| Various Securities |
7,580,000 | 6,924,226 | ||||||
|
|
|
|||||||
| Total Communications |
6,924,226 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 0.02% | ||||||||
| Caesars Entertainment Corp., 5.00%, Oct. 2024 |
1,634,430 | 3,140,149 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
3,140,149 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 0.04% | ||||||||
| BioMarin Pharmaceutical, Inc., 0.60%, Aug. 2024 |
6,980,000 | 7,374,361 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
7,374,361 | |||||||
|
|
|
|||||||
The accompanying notes are an integral part of these financial statements.
| 20 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Principal Amount |
Value | |||||||
| Energy – 0.01% | ||||||||
| Various Securities |
$ | 4,098,000 | $ | 2,031,175 | ||||
|
|
|
|||||||
| Total Energy |
2,031,175 | |||||||
|
|
|
|||||||
| Industrials – 0.01% | ||||||||
| Greenbrier Cos, Inc., 2.88%, Feb. 2024 |
1,993,000 | 1,923,885 | ||||||
|
|
|
|||||||
| Total Industrials |
1,923,885 | |||||||
|
|
|
|||||||
| Total Convertible Securities |
21,393,796 | |||||||
|
|
|
|||||||
| Government Related – 21.21% |
||||||||
| Other Government Related – 1.92% | ||||||||
| Various Securities *(1)(2)(3)(7) |
3,268,371,413 | 366,575,880 | ||||||
|
|
|
|||||||
| Total Other Government Related |
366,575,880 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligations – 19.29% | ||||||||
| U.S. Treasury Inflation Indexed Bonds, 0.25%, Jul. 2029 (8) |
$ | 104,722,832 | 105,727,544 | |||||
| U.S. Treasury Inflation Indexed Bonds, 1.00%, Feb. 2049 (8) |
58,727,973 | 65,237,552 | ||||||
| U.S. Treasury Inflation Indexed Note, 0.13%, Oct. 2024 (8) |
45,583,153 | 45,843,045 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Sep. 2021 |
55,840,000 | 55,740,902 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Oct. 2021 |
58,356,000 | 58,260,230 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Nov. 2021 |
119,150,000 | 118,956,331 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Sep. 2022 (15) |
220,645,000 | 220,024,429 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Oct. 2024 |
313,951,000 | 311,034,747 | ||||||
| U.S. Treasury Note/Bond, 1.50%, Nov. 2024 |
278,915,000 | 276,386,125 | ||||||
| U.S. Treasury Note/Bond, 1.63%, Nov. 2022 |
251,170,000 | 251,217,039 | ||||||
| U.S. Treasury Note/Bond, 1.63%, Nov. 2026 |
139,227,000 | 137,297,580 | ||||||
| U.S. Treasury Note/Bond, 1.75%, Nov. 2029 |
192,169,000 | 189,117,568 | ||||||
| U.S. Treasury Note/Bond, 2.00%, Nov. 2026 (15) |
44,737,000 | 45,202,113 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Feb. 2027 (15) |
141,695,000 | 145,499,100 | ||||||
| U.S. Treasury Note/Bond, 2.25%, Aug. 2049 (9) |
232,090,000 | 224,873,440 | ||||||
| U.S. Treasury Note/Bond, 2.38%, May 2029 (9) |
90,230,000 | 93,710,680 | ||||||
| U.S. Treasury Note/Bond, 2.38%, Nov. 2049 |
302,020,000 | 300,662,761 | ||||||
| U.S. Treasury Note/Bond, 2.50%, Feb. 2045 |
62,700,000 | 63,894,362 | ||||||
| U.S. Treasury Note/Bond, 2.63%, Aug. 2020 |
46,770,000 | 47,068,686 | ||||||
| U.S. Treasury Note/Bond, 2.75%, Sep. 2020 |
62,290,000 | 62,789,157 | ||||||
| U.S. Treasury Note/Bond, 2.88%, May 2025 |
167,200,000 | 176,932,312 | ||||||
| U.S. Treasury Note/Bond, 2.88%, Aug. 2028 |
44,165,000 | 47,568,410 | ||||||
| U.S. Treasury Note/Bond, 2.88%, May 2049 |
52,917,900 | 58,261,849 | ||||||
| U.S. Treasury Note/Bond, 3.00%, Aug. 2048 |
91,040,000 | 102,409,833 | ||||||
| U.S. Treasury Note/Bond, 3.00%, Feb. 2049 |
124,310,000 | 140,077,277 | ||||||
| U.S. Treasury Note/Bond, 4.25%, Nov. 2040 |
55,600,000 | 73,496,047 | ||||||
| U.S. Treasury Inflation Indexed Bonds, 0.13%, Jul. 2024 (8) |
8,730,090 | 8,781,537 | ||||||
| U.S. Treasury Note/Bond, 1.38%-4.63%, Aug. 2021-May 2048 (9)(15) |
236,100,000 | 261,817,502 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
3,687,888,158 | |||||||
|
|
|
|||||||
| Total Government Related |
4,054,464,038 | |||||||
|
|
|
|||||||
| Mortgage-Backed Obligations – 32.87% |
||||||||
| Fannie Mae, 3.00%, Jan. 2049 (10) |
66,550,000 | 67,451,889 | ||||||
| Fannie Mae Pool, 2.50%, Dec. 2034 |
53,953,131 | 54,410,755 | ||||||
| Fannie Mae Pool, 2.50%, Jan. 2035 |
58,630,000 | 59,127,308 | ||||||
| Fannie Mae Pool, 2.50%, Nov. 2049 |
112,659,012 | 111,351,377 | ||||||
| Fannie Mae Pool, 2.50%, Dec. 2049 |
99,439,040 | 98,284,861 | ||||||
| Fannie Mae Pool, 3.00%, Jan. 2047 |
42,253,764 | 43,231,539 | ||||||
| Fannie Mae Pool, 3.00%, Oct. 2049 |
62,590,507 | 63,465,223 | ||||||
| Fannie Mae Pool, 4.00%, Dec. 2048 |
290,693,810 | 302,151,623 | ||||||
| Fannie Mae Pool, 4.00%, Mar. 2049 |
143,500,454 | 149,287,045 | ||||||
| Freddie Mac Gold Pool, 3.50%, Mar. 2048 |
112,815,554 | 118,665,745 | ||||||
| Freddie Mac Gold Pool, 4.00%, Sep. 2048 |
220,234,797 | 229,465,403 | ||||||
| Freddie Mac Gold Pool, 4.00%, Nov. 2048 |
49,243,727 | 52,533,666 | ||||||
| Freddie Mac Pool, 2.50%, Jan. 2050 |
239,054,411 | 236,279,685 | ||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 21 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Principal Amount |
Value | |||||||
| Mortgage-Backed Obligations – 32.87% – (continued) |
||||||||
| Freddie Mac Pool, 4.00%, Dec. 2048 |
$ | 164,003,016 | $ | 170,705,419 | ||||
| Freddie Mac Pool, 4.00%, Jun. 2049 |
53,399,318 | 55,470,055 | ||||||
| Freddie Mac Strips, 3.00%, Sep. 2044 |
86,331,292 | 88,019,262 | ||||||
| Ginnie Mae, 3.00%, Jan. 2049 (10) |
52,025,000 | 53,404,631 | ||||||
| Towd Point Mortgage Funding 2019-Granite4 Plc, 1.82%, (3 Month LIBOR GBP + 1.03%), Oct. 2051 (1)(2) |
31,868,040 | 42,243,837 | ||||||
| Towd Point Mortgage Funding, 1.61%, (3 Month Sterling Overnight Interbank Average Rate + 0.90%), Jul. 2045 (1)(2) |
GBP | 99,500,000 | 131,411,662 | |||||
| Towd Point Mortgage Trust 2019-4, 2.90%, Oct. 2059 (2)(4) |
$ | 114,569,291 | 115,158,956 | |||||
| Fannie Mae Pool, 2.50%-6.50%, Dec. 2026-Nov. 2049 |
864,155,119 | 905,465,507 | ||||||
| Freddie Mac Gold Pool, 2.50%-8.00%, Jul. 2030-Nov. 2048 |
536,632,268 | 560,924,578 | ||||||
| Freddie Mac Pool, 3.00%-5.00%, Mar. 2042-Sep. 2049 |
3,384,146 | 3,534,767 | ||||||
| Ginnie Mae II Pool, 3.00%-5.50%, Jul. 2036-Oct. 2049 |
518,680,997 | 539,852,568 | ||||||
| Other Securities *(1)(2)(3)(4)(10) |
2,312,889,366 | 2,031,091,250 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Obligations |
6,282,988,611 | |||||||
|
|
|
|||||||
| Total Bonds & Notes |
18,613,671,535 | |||||||
|
|
|
|||||||
| BANK LOANS – 2.56% |
||||||||
| Various Securities *(1)(5) |
492,306,522 | 490,090,606 | ||||||
|
|
|
|||||||
| Total Bank Loans |
490,090,606 | |||||||
|
|
|
|||||||
| Shares | Value | |||||||
| COMMON STOCKS – 0.07% |
||||||||
| Communications – 0.04% | ||||||||
| Various Securities (11)(14) |
2,206,286 | 8,291,371 | ||||||
|
|
|
|||||||
| Total Communications |
8,291,371 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 0.03% | ||||||||
| Caesars Entertainment Corp. (11) |
338,983 | 4,610,169 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
4,610,169 | |||||||
|
|
|
|||||||
| Total Common Stocks |
12,901,540 | |||||||
|
|
|
|||||||
| CONVERTIBLE PREFERRED STOCKS – 0.04% |
||||||||
| Consumer, Non-cyclical – 0.04% | ||||||||
| Bunge Ltd. 4.88% |
68,719 | 7,134,407 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
7,134,407 | |||||||
|
|
|
|||||||
| Total Convertible Preferred Stocks |
7,134,407 | |||||||
|
|
|
|||||||
| WARRANTS – 0.06% |
||||||||
| iHeartMedia, Inc., expires 05/01/2039 (11)(14) |
723,037 | 12,219,325 | ||||||
| Total Warrants |
12,219,325 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 3.74% |
||||||||
| Money Market Funds – 1.29% | ||||||||
| Fidelity Institutional Money Market Government Fund-Class I, 1.53% (12)(13) |
247,370,044 | 247,370,044 | ||||||
|
|
|
|||||||
| Total Money Market Funds |
247,370,044 | |||||||
|
|
|
|||||||
| Government Related – 0.58% | ||||||||
| Federal Home Loan Bank Discount Notes, Jan. 2020-Feb. 2020 |
112,000,000 | 111,865,554 | ||||||
|
|
|
|||||||
| Total Government Related |
111,865,554 | |||||||
|
|
|
|||||||
The accompanying notes are an integral part of these financial statements.
| 22 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Principal Amount |
Value | |||||||
| Commercial Paper – 0.09% | ||||||||
| Ford Motor Credit Co. LLC, 3.20%, Oct. 2020 |
$ | 17,380,000 | $ | 16,964,270 | ||||
|
|
|
|||||||
| Total Commercial Paper |
16,964,270 | |||||||
|
|
|
|||||||
| Repurchase Agreements – 1.32% | ||||||||
| Bank of America Securities, Inc., 1.59% dated 12/31/2019, due 01/03/2020, repurchase price $116,610,300 (collateralized by U.S. Treasury Bond, value $120,218,111, 2.50%, 05/15/2046) |
116,600,000 | 116,600,000 | ||||||
| J.P. Morgan Securities, 1.65% dated 12/31/2019, due 01/02/2020, repurchase price $26,401,210 (collateralized by U.S. Treasury Bond, value $26,805,405, 3.00%, 11/15/2045) |
26,400,000 | 26,400,000 | ||||||
| J.P. Morgan Securities, 1.85% dated 12/30/2019, due 01/02/2020, repurchase price $109,011,203 (collateralized by U.S. Treasury Bond, value $110,584,834, 3.00%, 11/15/2044) |
109,000,000 | 109,000,000 | ||||||
|
|
|
|||||||
| Total Repurchase Agreements |
252,000,000 | |||||||
|
|
|
|||||||
| U.S. Treasury Bills – 0.42% | ||||||||
| U.S. Treasury Bill, 0.00%, Jan. 2020-May 2020 (15) |
80,142,500 | 79,776,300 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Bills |
79,776,300 | |||||||
|
|
|
|||||||
| Time Deposits – 0.04% | ||||||||
| Brown Brothers Harriman, -7.75% due 01/02/2020 |
SEK | 387 | 41 | |||||
| Brown Brothers Harriman, -1.70% due 01/03/2020 |
CHF | 120,869 | 124,890 | |||||
| Brown Brothers Harriman, -0.68% due 01/02/2020 |
EUR | 7,738 | 8,680 | |||||
| Brown Brothers Harriman, -0.24% due 01/06/2020 |
JPY | 85,014 | 782 | |||||
| Brown Brothers Harriman, 0.32% due 01/02/2020 |
AUD | 1,368,864 | 960,601 | |||||
| Brown Brothers Harriman, 0.50% due 01/03/2020 |
NZD | 295 | 198 | |||||
| Brown Brothers Harriman, 0.87% due 01/02/2020 |
CAD | 272 | 209 | |||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
$ | 8,235 | 8,235 | |||||
| Citibank, London, -0.68% due 01/02/2020 |
EUR | 525,131 | 589,040 | |||||
| Citibank, London, 0.36% due 01/02/2020 |
GBP | 655,904 | 868,810 | |||||
| Citibank, New York, 1.81% due 01/02/2020 |
$ | 1,756,314 | 1,756,314 | |||||
| JP Morgan, New York, 1.81% due 01/02/2020 |
2,690,813 | 2,690,813 | ||||||
| Royal Bank of Canada, Toronto, 0.87% due 01/02/2020 |
CAD | 95,025 | 73,178 | |||||
|
|
|
|||||||
| Total Time Deposits |
7,081,791 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
715,057,959 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 103.85% |
19,851,075,372 | |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (3.85)% |
(736,487,290 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 19,114,588,082 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
| * | Includes securities whose principal amounts are denominated in a currency other than the U.S. dollar. |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 23 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| (1) | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (2) | Security or includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $4,358,983,363, which represents 22.80% of total net assets. |
| (3) | Includes step-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 2019. |
| (4) | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2019. |
| (5) | Includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (6) | Includes payment in-kind securities for which part of the income earned may be paid as additional principal. |
| (7) | Includes securities in default as of December 31, 2019. The value of these securities total $49,564,665, which represents 0.26% of total net assets. |
| (8) | Inflation protected security. The value of these securities total $225,589,678, which represents 1.18% of total net assets. |
| (9) | All or a portion of U.S. Treasuries purchased in a sale-buyback transaction. The value of these securities total $211,306,580, which represents 1.11% of total net assets. |
| (10) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $164,387,646, which represents 0.86% of total net assets. |
| (11) | Non-income producing security or includes securities that are non-income producing. |
| (12) | Represents annualized seven-day yield as of the close of the reporting period. |
| (13) | Partially assigned as collateral for certain delayed delivery securities. |
| (14) | Security or includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $15,225,628 or 0.08% of the Fund’s net assets. |
| (15) | Partially assigned as collateral for certain future, swap and forward contracts. The value of these pledged issues totals $50,701,919, which represents 0.27% of total net assets. |
Open Futures Contracts
| Number of Contracts Purchased |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||
| 275 | Australian 10 Year Bond Future | Goldman Sachs | Mar. 2020 | AUD | 40,097,474 | $ | 27,588,239 | $ | (550,162 | ) | ||||||||||
| 1,580 | U.S. 2 Year Note Future | Citigroup Global Markets |
Mar. 2020 | $ | 340,656,959 | 340,490,000 | (166,959 | ) | ||||||||||||
| 5,100 | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2020 | 1,099,166,533 | 1,099,050,000 | (116,533 | ) | |||||||||||||
| 4,232 | U.S. 5 Year Note Future | Citigroup Global Markets |
Mar. 2020 | 502,817,213 | 501,954,875 | (862,338 | ) | |||||||||||||
| 4,422 | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2020 | 527,185,313 | 524,490,656 | (2,694,657 | ) | |||||||||||||
| 8,008 | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2020 | 1,038,197,078 | 1,028,402,375 | (9,794,703 | ) | |||||||||||||
| 136 | U.S. Long Bond Future | Goldman Sachs | Mar. 2020 | 21,662,216 | 21,203,250 | (458,966 | ) | |||||||||||||
| 3 | U.S. Ultra Long-Term Bond Future | Citigroup Global Markets |
Mar. 2020 | 561,844 | 544,969 | (16,875 | ) | |||||||||||||
| 1,031 | U.S. Ultra Long-Term Bond Future | Goldman Sachs | Mar. 2020 | 192,838,813 | 187,287,594 | (5,551,219 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| (20,212,412 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| 24 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Open Futures Contracts (Continued)
| Number of Contracts Sold |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
| (213) | Euro-Bobl Future | |
Citigroup Global Markets |
|
Mar. 2020 | EUR | (28,579,050 | ) | $ | (31,927,160 | ) | $ | 129,960 | |||||||||
| (10) | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2020 | $ | (1,297,741 | ) | (1,284,219 | ) | 13,522 | |||||||||||||
| (799) | U.S. Long Bond Future | Goldman Sachs | Mar. 2020 | (125,926,415 | ) | (124,569,094 | ) | 1,357,321 | ||||||||||||||
| (2,136) | U.S. Ultra 10 Year Note Future | Goldman Sachs | Mar. 2020 | (304,121,933 | ) | (300,541,875 | ) | 3,580,058 | ||||||||||||||
|
|
|
|||||||||||||||||||||
| 5,080,861 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (15,131,551 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Over-the-Counter Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Settlement Date |
Counterparty |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
| AUD | 2,305,000 | USD | 1,565,948 | 01/10/20 | Bank Of America | $ | 51,874 | |||||||||||||||
| CAD | 1,347,000 | USD | 1,024,994 | 02/14/20 | Goldman Sachs | 12,510 | ||||||||||||||||
| CAD | 1,451,000 | USD | 1,099,105 | 02/14/20 | Morgan Stanley | 18,504 | ||||||||||||||||
| CLP | 116,217,000 | USD | 148,000 | 01/09/20 | Goldman Sachs | 6,573 | ||||||||||||||||
| CLP | 454,338,000 | USD | 587,000 | 01/27/20 | BNP Paribas | 17,416 | ||||||||||||||||
| EUR | 4,272,000 | USD | 4,772,414 | 01/10/20 | BNP Paribas | 21,579 | ||||||||||||||||
| EUR | 1,036,000 | USD | 1,159,530 | 01/10/20 | J.P. Morgan | 3,058 | ||||||||||||||||
| EUR | 1,821,322 | USD | 2,022,861 | 02/21/20 | Citigroup Global Markets | 26,397 | ||||||||||||||||
| EUR | 1,431,908 | USD | 1,590,907 | 02/21/20 | HSBC Bank | 20,202 | ||||||||||||||||
| EUR | 2,560,162 | USD | 2,855,201 | 02/21/20 | UBS | 25,361 | ||||||||||||||||
| GBP | 1,768,000 | USD | 2,289,033 | 01/10/20 | Morgan Stanley | 53,337 | ||||||||||||||||
| IDR* | 1,475,948,000 | USD | 103,256 | 03/18/20 | Deutsche Bank | 2,782 | ||||||||||||||||
| MXN | 844,845,000 | USD | 42,775,229 | 01/16/20 | BNP Paribas | 1,821,597 | ||||||||||||||||
| RUB | 3,067,075,789 | USD | 47,840,821 | 02/18/20 | Goldman Sachs | 1,293,449 | ||||||||||||||||
| RUB | 249,817,460 | USD | 3,844,499 | 03/16/20 | Morgan Stanley | 144,900 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Unrealized Appreciation | 3,519,539 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| GBP | 1,445,000 | USD | 1,934,086 | 01/10/20 | Bank Of America | (19,649 | ) | |||||||||||||||
| TRY | 31,948,835 | USD | 5,536,675 | 01/13/20 | J.P. Morgan | (180,761 | ) | |||||||||||||||
| TRY | 18,454,846 | USD | 3,200,277 | 01/13/20 | Morgan Stanley | (106,500 | ) | |||||||||||||||
| TRY | 69,569,484 | USD | 12,044,970 | 01/14/20 | J.P. Morgan | (385,399 | ) | |||||||||||||||
| TRY | 42,620,922 | USD | 7,388,237 | 01/14/20 | Morgan Stanley | (245,139 | ) | |||||||||||||||
| USD | 4,339,310 | AUD | 6,391,000 | 01/10/20 | Bank Of America | (146,373 | ) | |||||||||||||||
| USD | 135,104 | JPY | 14,700,000 | 01/10/20 | Bank Of America | (243 | ) | |||||||||||||||
| USD | 1,635,761 | AUD | 2,374,000 | 01/10/20 | BNP Paribas | (30,491 | ) | |||||||||||||||
| USD | 374,197,335 | GBP | 288,932,000 | 01/10/20 | BNP Paribas | (8,600,022 | ) | |||||||||||||||
| USD | 301,195,166 | EUR | 272,291,000 | 01/10/20 | Goldman Sachs | (4,366,967 | ) | |||||||||||||||
| USD | 22,076,899 | GBP | 17,034,000 | 01/10/20 | J.P. Morgan | (490,938 | ) | |||||||||||||||
| USD | 11,472,046 | ILS | 39,959,430 | 01/14/20 | Bank Of America | (105,190 | ) | |||||||||||||||
| USD | 14,238,545 | ILS | 49,721,000 | 01/14/20 | Citigroup Global Markets | (166,858 | ) | |||||||||||||||
| USD | 8,483,657 | PEN* | 28,785,047 | 02/10/20 | BNP Paribas | (193,315 | ) | |||||||||||||||
| USD | 16,534,820 | CAD | 21,924,000 | 02/14/20 | BNP Paribas | (351,774 | ) | |||||||||||||||
| USD | 21,243,434 | NZD | 33,217,000 | 02/14/20 | Morgan Stanley | (1,132,103 | ) | |||||||||||||||
| USD | 19,093,985 | EUR | 17,226,151 | 02/21/20 | Citigroup Global Markets | (287,984 | ) | |||||||||||||||
| USD | 11,941,948 | EUR | 10,738,380 | 02/21/20 | UBS | (140,318 | ) | |||||||||||||||
| USD | 13,787,553 | CAD | 18,245,000 | 03/18/20 | Bank Of America | (266,468 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Unrealized Depreciation | (17,216,492 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Net Unrealized Depreciation | $ | (13,696,953 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| * | Non-deliverable forward |
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 25 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Centrally Cleared Credit Default Swaps – Buy Protection
| Reference Entity | Fixed Annual |
Maturity Date |
Implied Credit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | |||||||||||||||||||
| CDX.NA.HY.33 | 5.00% | 12/20/2024 | 2.80% | $ | 4,356,000 | $ | (243,107 | ) | $ | (183,907 | ) | $ | (427,014 | ) | ||||||||||||
| CDX.NA.IG.33 | 1.00 | 12/20/2024 | 0.45 | 39,900,000 | (684,127 | ) | (363,874 | ) | (1,048,001 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (927,234 | ) | $ | (547,781 | ) | $ | (1,475,015 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Centrally Cleared Credit Default Swaps – Sell Protection
| Reference Entity | Fixed Annual |
Maturity Date |
Implied Credit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | |||||||||||||||||||
| CDX.EM.28 | 1.00% | 12/20/2022 | 1.24% | $ | 9,894,000 | $ | (252,070 | ) | $ | 187,528 | $ | (64,542 | ) | |||||||||||||
| CDX.EM.29 | 1.00 | 6/20/2023 | 1.67 | 2,000,000 | (29,939 | ) | (13,157 | ) | (43,096 | ) | ||||||||||||||||
| CDX.EM.30 | 1.00 | 12/20/2023 | 1.66 | 10,500,000 | (396,246 | ) | 140,867 | (255,379 | ) | |||||||||||||||||
| CDX.EM.31 | 1.00 | 6/20/2024 | 1.64 | 12,200,000 | (407,386 | ) | 88,410 | (318,976 | ) | |||||||||||||||||
| CDX.EM.32 | 1.00 | 12/20/2024 | 1.74 | 16,700,000 | (760,477 | ) | 204,795 | (555,682 | ) | |||||||||||||||||
| CDX.NA.HY.33 | 5.00 | 12/20/2024 | 2.80 | 11,632,500 | 845,101 | 295,221 | 1,140,322 | |||||||||||||||||||
| CDX.NA.IG.33 | 1.00 | 12/20/2024 | 0.45 | 185,800,000 | 3,902,847 | 977,319 | 4,880,166 | |||||||||||||||||||
| CDX.NA.IG.33 | 1.00 | 12/20/2024 | 0.45 | 165,500,000 | 3,466,105 | 880,868 | 4,346,973 | |||||||||||||||||||
| AT&T Inc. | 1.00 | 12/20/2024 | 0.60 | 12,100,000 | 113,269 | 98,449 | 211,718 | |||||||||||||||||||
| General Electric Co. | 1.00 | 12/20/2023 | 0.65 | 700,000 | (26,860 | ) | 36,410 | 9,550 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 6,454,344 | $ | 2,896,710 | $ | 9,351,054 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Over-the-Counter Credit Default Swaps – Sell Protection
| Counterparty | Reference Entity |
Fixed Annual Rate Received by Fund |
Maturity Date |
ImpliedCredit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||
| J.P. Morgan | Argentine Republic | 5.00% | 6/20/2023 | 40.43% | $ | 200,000 | $ | 1,063 | $ | (110,074 | ) | $ | (109,011 | ) | ||||||||||||
| J.P. Morgan | Barclays Bank Plc | 1.00 | 6/20/2024 | 0.40 | EUR | 1,000,000 | 11,368 | 19,472 | 30,840 | |||||||||||||||||
| Goldman Sachs | Brazilian Government International | 1.00 | 12/20/2024 | 0.99 | $ | 3,200,000 | (47,305 | ) | 49,718 | 2,413 | ||||||||||||||||
| Barclays Bank | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,180,000 | (16,497 | ) | 18,783 | 2,286 | |||||||||||||||||
| Barclays Bank | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,035,000 | (16,291 | ) | 18,296 | 2,005 | |||||||||||||||||
| Barclays Bank | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 590,000 | (8,098 | ) | 7,749 | (349 | ) | ||||||||||||||||
| J.P. Morgan | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 445,000 | (6,220 | ) | 5,957 | (263 | ) | ||||||||||||||||
| Morgan Stanley | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,325,000 | (25,208 | ) | 27,775 | 2,567 | |||||||||||||||||
| Morgan Stanley | Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 2,005,000 | (42,636 | ) | 46,520 | 3,884 | |||||||||||||||||
| Deutsche Bank | CMBX.NA.AAA.10 | 0.50 | 11/17/2059 | 0.00 | 16,450,000 | (271,263 | ) | 451,773 | 180,510 | |||||||||||||||||
| Bank of America |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 10,335,000 | 47,782 | 89,789 | 137,571 | ||||||||||||||||||
| Goldman Sachs | Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 21,350,000 | 81,885 | 256,275 | 338,160 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| 26 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Over-the-Counter Credit Default Swaps – Sell Protection (Continued)
| Counterparty | Reference Entity |
Fixed Annual Rate Received by Fund |
Maturity Date |
ImpliedCredit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||
| Goldman Sachs |
Colombia Government International | 1.00 % | 12/20/2024 | 0.72 % | $ | 21,495,000 | $ | 82,442 | $ | 258,015 | $ | 340,457 | ||||||||||||||
| Morgan Stanley |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 6,940,000 | 22,930 | 86,991 | 109,921 | ||||||||||||||||||
| Morgan Stanley |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 11,000,000 | 44,930 | 129,298 | 174,228 | ||||||||||||||||||
| Barclays Bank |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 305,000 | 0 | 5,211 | 5,211 | ||||||||||||||||||
| Barclays Bank |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 455,000 | 206 | 7,569 | 7,775 | ||||||||||||||||||
| Bank of America |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 605,000 | (3,550 | ) | 13,887 | 10,337 | |||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 525,000 | 0 | 8,972 | 8,972 | ||||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 1,915,000 | (11,262 | ) | 43,983 | 32,721 | |||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 915,000 | (2,072 | ) | 17,707 | 15,635 | |||||||||||||||||
| Goldman Sachs |
Federative Republic of Brazil | 1.00 | 6/20/2024 | 0.88 | 300,000 | (6,009 | ) | 8,371 | 2,362 | |||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 6,065,000 | 38,866 | 85,349 | 124,215 | ||||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 4,057,181 | 25,006 | 58,087 | 83,093 | ||||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 7,000,000 | 38,000 | 105,363 | 143,363 | ||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 17,932,741 | 118,614 | 248,657 | 367,271 | ||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 12,982,980 | 78,517 | 187,381 | 265,898 | ||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 465,000 | 3,611 | 5,912 | 9,523 | ||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 9,737,235 | 61,166 | 138,258 | 199,424 | ||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 23,489,863 | 142,059 | 339,025 | 481,084 | ||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 1,865,000 | 14,809 | 23,387 | 38,196 | ||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 35,000,000 | 432,985 | 334,542 | 767,527 | ||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 6,530,000 | 33,932 | 99,805 | 133,737 | ||||||||||||||||||
| Morgan Stanley |
Mexico Government International | 1.00 | 12/20/2024 | 0.78 | 2,800,000 | (20,902 | ) | 57,557 | 36,655 | |||||||||||||||||
| Goldman Sachs |
Republic of South Africa | 1.00 | 6/20/2024 | 1.51 | 4,700,000 | (174,354 | ) | 76,621 | (97,733 | ) | ||||||||||||||||
| J.P. Morgan |
Republic of South Africa | 1.00 | 6/20/2023 | 1.23 | 9,400,000 | (473,397 | ) | 428,386 | (45,011 | ) | ||||||||||||||||
| Barclays Bank |
Republic Of South Africa Gover | 1.00 | 12/20/2024 | 1.63 | 19,000,000 | (667,634 | ) | 123,141 | (544,493 | ) | ||||||||||||||||
| Goldman Sachs |
Republic Of South Africa Gover | 1.00 | 12/20/2024 | 1.63 | 3,975,931 | (146,147 | ) | 42,257 | (103,890 | ) | ||||||||||||||||
| Goldman Sachs |
Russia Emerging Markets SPMYC | 1.00 | 12/20/2022 | 0.25 | 1,500,000 | (20,136 | ) | 53,483 | 33,347 | |||||||||||||||||
| J.P. Morgan |
Russia Emerging Markets SPMYC | 1.00 | 6/20/2023 | 0.33 | 18,200,000 | (385,446 | ) | 806,455 | 421,009 | |||||||||||||||||
| Goldman Sachs |
Russian Foreign Bond-Eurobon | 1.00 | 12/20/2024 | 0.55 | 20,600,000 | 126,960 | 315,957 | 442,917 | ||||||||||||||||||
| Goldman Sachs |
Teva Pharmaceutical Finance Ne | 1.00 | 6/20/2022 | 2.33 | 210,000 | (10,650 | ) | 4,221 | (6,429 | ) | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 27 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Over-the-Counter Credit Default Swaps – Sell Protection (Continued)
| Counterparty | Reference Entity |
Fixed Annual Rate Received by Fund |
Maturity Date |
ImpliedCredit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||||||
| Goldman Sachs |
United Mexican States | 1.00 % | 6/20/2023 | 0.49 % | $ | 29,900,000 | $ | (170,968 | ) | $ | 692,190 | $ | 521,222 | |||||||||||||||||
| Goldman Sachs |
United Mexican States | 1.00 | 12/20/2023 | 0.56 | 9,100,000 | (147,939 | ) | 305,160 | 157,221 | |||||||||||||||||||||
| J.P. Morgan |
United Mexican States | 1.00 | 12/20/2023 | 0.56 | 5,400,000 | (92,543 | ) | 185,839 | 93,296 | |||||||||||||||||||||
| J.P. Morgan |
United Mexican States | 1.00 | 6/20/2024 | 0.68 | 300,000 | (4,054 | ) | 8,219 | 4,165 | |||||||||||||||||||||
| Morgan Stanley |
United Mexican States | 1.00 | 12/20/2022 | 0.41 | 3,800,000 | 2,841 | 63,996 | 66,837 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (1,360,609 | ) | $ | 6,251,285 | $ | 4,890,676 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Fixed Annual Rate | Floating Rate Index |
Floating Rate Paid or Received |
Payment Frequency |
Maturity Date |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||||||
| 2.25% | 3 Month USD LIBOR | Received | Quarterly | 3/12/2050 | $ | 51,700,000 | $ | (163,068 | ) | $ | (1,691,383 | ) | $ | (1,854,451 | ) | |||||||||||||||
| 2.50 | 3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 107,900,000 | (1,168,430 | ) | 6,552,566 | 5,384,136 | |||||||||||||||||||||
| 2.50 | 3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 94,300,000 | 1,840,143 | 2,865,362 | 4,705,505 | ||||||||||||||||||||||
| 2.54 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | 0 | (483,222 | ) | (483,222 | ) | ||||||||||||||||||||
| 2.55 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | 0 | (486,871 | ) | (486,871 | ) | ||||||||||||||||||||
| 2.56 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | 0 | (491,693 | ) | (491,693 | ) | ||||||||||||||||||||
| 2.57 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 6,000,000 | 0 | (249,040 | ) | (249,040 | ) | ||||||||||||||||||||
| 2.58 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 17,900,000 | 0 | (749,577 | ) | (749,577 | ) | ||||||||||||||||||||
| 2.61 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 18,000,000 | 0 | (773,900 | ) | (773,900 | ) | ||||||||||||||||||||
| 2.61 | 3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 6,000,000 | 0 | (258,292 | ) | (258,292 | ) | ||||||||||||||||||||
| 3.00 | 3 Month USD LIBOR | Paid | Quarterly | 6/19/2029 | 47,200,000 | 3,531,269 | 1,080,849 | 4,612,118 | ||||||||||||||||||||||
| 3.00 | 6 Month Australian Bank Bill | Paid | Semi-Annual | 3/21/2027 | AUD | 109,400,000 | 662,378 | 8,557,275 | 9,219,653 | |||||||||||||||||||||
| (0.15) | 6 Month EURIBOR | Received | Semi-Annual | 3/18/2030 | EUR | 16,100,000 | 287,087 | 394,539 | 681,626 | |||||||||||||||||||||
| 0.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2030 | GBP | 18,700,000 | 189,056 | 470,062 | 659,118 | |||||||||||||||||||||
| 0.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2050 | 6,000,000 | 144,774 | 611,724 | 756,498 | ||||||||||||||||||||||
| 7.15 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 6/11/2027 | MXN | 25,800,000 | (18,539 | ) | 51,727 | 33,188 | ||||||||||||||||||||
| 7.36 | Mexico Interbank TIIE 28 Day | Received | Lunar | 8/21/2037 | 900,000 | 3,325 | (4,756 | ) | (1,431 | ) | ||||||||||||||||||||
| 7.37 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 10/11/2027 | 40,300,000 | (2,019 | ) | 84,118 | 82,099 | |||||||||||||||||||||
| 7.38 | Mexico Interbank TIIE 28 Day | Received | Lunar | 8/14/2037 | 1,300,000 | 4,688 | (6,925 | ) | (2,237 | ) | ||||||||||||||||||||
| 7.61 | Mexico Interbank TIIE 28 Day | Received | Lunar | 1/23/2023 | 222,400,000 | 144,180 | (483,444 | ) | (339,264 | ) | ||||||||||||||||||||
| 7.75 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 1/5/2023 | 1,400,000 | 0 | 2,375 | 2,375 | ||||||||||||||||||||||
| 7.81 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | 0 | 5,143 | 5,143 | ||||||||||||||||||||||
| 7.82 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | (390 | ) | 5,597 | 5,207 | |||||||||||||||||||||
| 7.87 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 3,400,000 | 0 | 6,326 | 6,326 | ||||||||||||||||||||||
| 7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/16/2022 | 2,000,000 | 0 | 3,710 | 3,710 | ||||||||||||||||||||||
| 7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 36,000,000 | 10,505 | 57,266 | 67,771 | ||||||||||||||||||||||
| 7.91 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/30/2027 | 800,000 | 0 | (3,122 | ) | (3,122 | ) | ||||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| 28 | Semiannual Report • December 31, 2019 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Centrally Cleared Interest Rate Swaps (Continued)
| Fixed Annual Rate | Floating Rate Index |
Floating Rate Paid or Received |
Payment Frequency |
Maturity Date |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||||||
| 7.98 % | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/10/2027 | $ | 3,300,000 | $ | (23 | ) | $ | (13,623 | ) | $ | (13,646 | ) | |||||||||||||||
| 7.99 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 100,000 | 0 | (416 | ) | (416 | ) | ||||||||||||||||||||
| 8.01 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 20,200,000 | (9,390 | ) | (75,759 | ) | (85,149 | ) | |||||||||||||||||||
| 8.03 | Mexico Interbank TIIE 280 Day | Received | Lunar | 1/31/2028 | 1,600,000 | 13 | (6,953 | ) | (6,940 | ) | ||||||||||||||||||||
| 8.05 | Mexico Interbank TIIE 28 Day | Received | Lunar | 1/31/2028 | 2,400,000 | 619 | (11,195 | ) | (10,576 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 5,456,178 | $ | 14,958,468 | $ | 20,414,646 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Lunar | - payment frequency equal periods of 28 days (a lunar month). |
Sale-Buyback Transactions
| Counterparty | Borrowing Date |
Maturity Date |
Borrowing Rate |
Amount Borrowed |
||||||||||||||
| Goldman Sachs | 11/25/2019 | 1/15/2020 | 1.80% | $ | 175,539,704 | |||||||||||||
| Goldman Sachs | 12/12/2019 | 1/13/2020 | 2.15 | 6,092,781 | ||||||||||||||
| Goldman Sachs | 12/16/2019 | 1/3/2020 | 2.30 | 16,412,460 | ||||||||||||||
| Goldman Sachs | 12/20/2019 | 1/13/2020 | 2.15 | 1,285,944 | ||||||||||||||
| Goldman Sachs | 12/20/2019 | 1/15/2020 | 1.80 | 8,802,852 | ||||||||||||||
| Morgan Stanley | 11/1/2019 | 2/3/2020 | 1.90 | 3,172,839 | ||||||||||||||
|
|
|
|||||||||||||||||
| $ | 211,306,580 | |||||||||||||||||
|
|
|
|||||||||||||||||
Buy-Saleback Transactions
| Counterparty | Lending Date |
Maturity Date |
Lending Rate |
Amount Lent | ||||||||||||||
| Goldman Sachs | 12/26/2019 | 1/15/2020 | 1.80% | $ | 79,630,448 | |||||||||||||
| Morgan Stanley | 12/27/2019 | 2/3/2020 | 1.90 | 3,096,624 | ||||||||||||||
|
|
|
|||||||||||||||||
| $ | 82,727,072 | |||||||||||||||||
|
|
|
|||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 29 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| MUNICIPAL BONDS – 97.59% |
||||||||
| Education – 8.01% | ||||||||
| School District of Philadelphia, 4.00%, Mar. 2020 |
$ | 23,510,000 | $ | 23,677,391 | ||||
| Tennessee State School Bond Authority, 5.00%, Nov. 2040 |
25,000,000 | 29,325,750 | ||||||
| District of Columbia, 5.00%, Jun. 2046 (1) |
3,370,000 | 3,767,289 | ||||||
| Illinois Finance Authority, 1.75%-5.00%, Aug. 2021-Aug. 2049 (1)(2) |
14,500,000 | 15,764,300 | ||||||
| New York State Dormitory Authority, 5.00%, Oct. 2028-Oct. 2041 (1) |
17,280,000 | 19,162,813 | ||||||
| Other Securities (2)(3) |
367,585,000 | 420,004,812 | ||||||
|
|
|
|||||||
| Total Education |
|
511,702,355 | ||||||
|
|
|
|||||||
| General Obligation – 19.80% | ||||||||
| City of Columbus OH, 5.00%, Apr. 2035 |
12,245,000 | 15,489,068 | ||||||
| Commonwealth of Massachusetts, 5.00%, Jul. 2036 |
12,630,000 | 14,890,770 | ||||||
| County of Pima AZ, 4.00%, Jul. 2022 |
13,160,000 | 14,092,518 | ||||||
| County of Travis TX, 5.00%, Mar. 2038 |
12,555,000 | 15,698,270 | ||||||
| District of Columbia, 5.00%, Jun. 2034 (1) |
13,100,000 | 15,254,875 | ||||||
| Northside Independent School District, 1.60%, Aug. 2049 (2) |
14,745,000 | 14,807,371 | ||||||
| State of Hawaii, 5.00%, Jan. 2030 |
15,500,000 | 19,436,845 | ||||||
| State of Illinois, 5.00%, Nov. 2025 (1) |
18,190,000 | 20,603,620 | ||||||
| State of Illinois, 5.25%, Dec. 2030 (1) |
18,185,000 | 21,269,722 | ||||||
| State of Texas, 5.00%, Apr. 2039 (1) |
20,000,000 | 22,776,200 | ||||||
| Washington & Multnomah Counties School District No 48J Beaverton, 5.00%, Jun. 2035 |
12,780,000 | 15,644,509 | ||||||
| District of Columbia, 5.00%, Jun. 2031-Jun. 2035 (1) |
17,580,000 | 21,244,972 | ||||||
| Illinois Finance Authority, 3.00%, Jul. 2035 (1) |
2,250,000 | 2,279,272 | ||||||
| State of Illinois, 4.00%-5.50%, Nov. 2020-Jul. 2038 (1) |
81,890,000 | 89,110,658 | ||||||
| State of Texas, 1.85%-5.50%, Aug. 2021-Apr. 2042 (1)(2)(4) |
40,280,000 | 44,275,730 | ||||||
| Other Securities (2)(3)(4) |
811,595,000 | 918,701,362 | ||||||
|
|
|
|||||||
| Total General Obligation |
|
1,265,575,762 | ||||||
|
|
|
|||||||
| General Revenue – 27.47% | ||||||||
| Central Plains Energy Project, 4.00%, Dec. 2049 (2) |
37,500,000 | 41,961,750 | ||||||
| Chandler Industrial Development Authority, 5.00%, Jun. 2049 (2) |
14,600,000 | 16,721,818 | ||||||
| City of Phoenix Civic Improvement Corp., 5.00%, Jul. 2029 |
12,865,000 | 14,329,166 | ||||||
| City of Whiting IN, 5.00%, Dec. 2044 (2) |
19,230,000 | 22,724,860 | ||||||
| Illinois Finance Authority, 5.25%, Jul. 2035 (1) |
20,085,000 | 25,711,612 | ||||||
| Indianapolis Local Public Improvement Bond Bank, 5.00%, Feb. 2044 |
12,000,000 | 14,699,640 | ||||||
| Industrial Development Authority of the City of Phoenix, 1.45%, Dec. 2035 (2) |
19,400,000 | 19,399,806 | ||||||
| Kentucky Public Energy Authority, 4.00%, Dec. 2049 (2) |
21,620,000 | 23,954,724 | ||||||
| Main Street Natural Gas, Inc., 4.00%, Aug. 2049 (2) |
17,670,000 | 19,707,704 | ||||||
| Main Street Natural Gas, Inc., 4.00%, Mar. 2050 (2) |
20,000,000 | 22,632,800 | ||||||
| Metropolitan Pier & Exposition Authority, 5.00%, Jun. 2050 |
13,285,000 | 15,287,050 | ||||||
| New Hampshire Business Finance Authority, 2.00%, Jun. 2049 (2)(3) |
25,000,000 | 25,070,250 | ||||||
| New York State Dormitory Authority, 5.00%, Mar. 2035 (1) |
18,190,000 | 22,733,862 | ||||||
| New York State Dormitory Authority, 5.25%, Mar. 2037 (1) |
13,815,000 | 17,426,517 | ||||||
| Patriots Energy Group Financing Agency, 4.00%, Oct. 2048 (2) |
31,410,000 | 34,241,297 | ||||||
| State of Texas, 4.00%, Aug. 2020 (1) |
55,000,000 | 56,026,850 | ||||||
| District of Columbia, 5.00%, Dec. 2022-Dec. 2036 (1) |
9,440,000 | 9,815,724 | ||||||
| Illinois Finance Authority, 4.00%-8.00%, May 2023-May 2047 (1) |
5,500,000 | 5,670,886 | ||||||
| Main Street Natural Gas, Inc., 1.90%-5.00%, May 2027-Aug. 2048 (2)(4) |
29,695,000 | 32,734,258 | ||||||
| Metropolitan Transportation Authority, 2.06%, Nov. 2026 (1)(4) |
2,530,000 | 2,530,961 | ||||||
| New Jersey Transportation Trust Fund Authority, 0.00%-5.50%, Dec. 2022-Jun. 2043 (1) |
57,315,000 | 62,413,075 | ||||||
| New York State Dormitory Authority, 5.00%-5.25%, Dec. 2023-Mar. 2038 (1) |
15,130,000 | 17,983,187 | ||||||
| State of Illinois, 5.00%, Jun. 2024-Jun. 2025 (1) |
6,395,000 | 6,945,060 | ||||||
| Other Securities (2)(3)(4) |
1,150,076,000 | 1,224,678,273 | ||||||
|
|
|
|||||||
| Total General Revenue |
|
1,755,401,130 | ||||||
|
|
|
|||||||
| Healthcare – 14.67% | ||||||||
| Colorado Health Facilities Authority, 5.00%, Aug. 2049 (2) |
13,830,000 | 16,317,187 | ||||||
| County of Franklin OH, 5.00%, Nov. 2033 (2) |
12,780,000 | 14,273,215 | ||||||
| Illinois Finance Authority, 5.00%, May 2028 (1) |
12,620,000 | 15,669,875 | ||||||
| Michigan State Hospital Finance Authority, 4.00%, Nov. 2047 (2) |
14,255,000 | 15,642,421 | ||||||
| District of Columbia, 1.67%-5.00%, Aug. 2038-Jul. 2052 (1)(2) |
15,390,000 | 15,502,739 | ||||||
| Illinois Finance Authority, 0.60%-5.25%, Feb. 2022-Jul. 2057 (1)(2) |
88,295,000 | 99,571,846 | ||||||
The accompanying notes are an integral part of these financial statements.
| 30 | Semiannual Report • December 31, 2019 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
| Principal Amount |
Value | |||||||
| Healthcare – 14.67% – (Continued) | ||||||||
| New York State Dormitory Authority, 5.00%, Dec. 2022-May 2048 (1)(2)(3) |
$ | 14,400,000 | $ | 16,355,091 | ||||
| Other Securities (2)(3)(4)(5) |
662,051,250 | 744,159,731 | ||||||
|
|
|
|||||||
| Total Healthcare |
|
937,492,105 | ||||||
|
|
|
|||||||
| Housing – 4.14% | ||||||||
| Alamito Public Facility Corp., 2.50%, Nov. 2021 (2) |
15,000,000 | 15,188,100 | ||||||
| District of Columbia Housing Finance Agency, 2.45%, Nov. 2021 (2) |
13,750,000 | 13,871,550 | ||||||
| Macon-Bibb County Housing Authority, 2.04%, Apr. 2021 (2) |
15,000,000 | 15,023,400 | ||||||
| New York State Housing Finance Agency, 1.55%, Nov. 2023 |
14,705,000 | 14,712,058 | ||||||
| Other Securities (2)(3)(4) |
197,662,308 | 205,994,350 | ||||||
|
|
|
|||||||
| Total Housing |
|
264,789,458 | ||||||
|
|
|
|||||||
| Transportation – 15.30% | ||||||||
| Chicago O’Hare International Airport, 5.00%, Jan. 2032 |
12,665,000 | 14,734,024 | ||||||
| City of Los Angeles Department of Airports, 5.00%, May 2040 |
22,575,000 | 22,898,500 | ||||||
| Commonwealth of Massachusetts Transportation Fund Revenue, 3.75%, Jun. 2040 |
45,000,000 | 46,062,000 | ||||||
| Hillsborough County Aviation Authority, 5.00%, Oct. 2040 |
12,500,000 | 14,306,000 | ||||||
| Metropolitan Transportation Authority, 4.00%, Sep. 2020 (1) |
20,000,000 | 20,364,800 | ||||||
| Metropolitan Transportation Authority, 5.00%, Sep. 2021 (1) |
25,000,000 | 26,497,750 | ||||||
| Port Authority of New York & New Jersey, 5.00%, Jul. 2035 |
25,000,000 | 25,491,250 | ||||||
| Triborough Bridge & Tunnel Authority, 1.53% (Secured Overnight Financing Rate + 0.50%), Nov. 2038 (4) |
20,000,000 | 20,001,000 | ||||||
| Metropolitan Transportation Authority, 0.00%-5.25%, May 2020-Nov. 2045 (1)(2)(4) |
35,155,000 | 37,918,493 | ||||||
| New Jersey Transportation Trust Fund Authority, 5.00%, Jun. 2029-Jun. 2032 (1) |
2,525,000 | 2,708,602 | ||||||
| Port Authority of New York & New Jersey, 5.00%-5.25%, Sep. 2024-Oct. 2033 |
37,970,000 | 41,473,153 | ||||||
| Other Securities (2)(4) |
633,140,000 | 705,287,200 | ||||||
|
|
|
|||||||
| Total Transportation |
|
977,742,772 | ||||||
|
|
|
|||||||
| Utilities – 8.20% | ||||||||
| Boston Water & Sewer Commission, 3.75%, Nov. 2037 |
13,450,000 | 14,131,377 | ||||||
| City of Atlanta GA Water & Wastewater Revenue, 5.00%, Nov. 2040 |
14,595,000 | 16,982,596 | ||||||
| Indiana Finance Authority, 5.25%, Oct. 2038 |
15,010,000 | 15,964,186 | ||||||
| Louisville & Jefferson County Metropolitan Government, 1.85%, Oct. 2033 (2) |
15,900,000 | 15,991,743 | ||||||
| Utility Debt Securitization Authority, 5.00%, Dec. 2033 |
12,000,000 | 14,397,120 | ||||||
| Illinois Finance Authority, 5.00%, Jul. 2022-Jul. 2031 (1) |
4,070,000 | 4,851,729 | ||||||
| New York City Water & Sewer System, 1.60%-5.00%, Jun. 2029-Jun. 2048 (2) |
71,875,000 | 78,587,901 | ||||||
| Other Securities (2)(4)(5) |
328,505,000 | 363,208,544 | ||||||
|
|
|
|||||||
| Total Utilities |
|
524,115,196 | ||||||
|
|
|
|||||||
| Total Municipal Bonds |
6,236,818,778 | |||||||
|
|
|
|||||||
| Shares | Value | |||||||
| SHORT-TERM INVESTMENTS – 1.67% |
||||||||
| Money Market Funds – 1.67% | ||||||||
| Fidelity Institutional Money Market Government Fund – Class I, 1.53% (6) |
106,628,587 | 106,628,587 | ||||||
|
|
|
|||||||
| Total Money Market Funds |
106,628,587 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.00% (7) | ||||||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
$ | 7,882 | 7,882 | |||||
| J.P. Morgan, New York, 1.81% due 01/02/2020 |
25,000 | 25,000 | ||||||
|
|
|
|||||||
| Total Time Deposits |
32,882 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
106,661,469 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.26% |
6,343,480,247 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.74% |
47,561,206 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 6,391,041,453 | ||||||
|
|
|
|||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 31 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
| (1) | Issuer includes securities in multiple categories. The market value of the issuer as a whole is greater than 1% of the Fund’s total net assets. |
| (2) | Adjustable rate security or includes adjustable rate securities. The rate reported is the rate in effect as of December 31, 2019. |
| (3) | Security or includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $162,168,886, which represents 2.54% of total net assets. |
| (4) | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (5) | Includes securities in default as of December 31, 2019. The value of these securities totals $8,587,321, which represents 0.13% of total net assets. |
| (6) | Represents annualized seven-day yield as of the close of the reporting period. |
| (7) | Amount calculated is less than 0.005%. |
Open Futures Contracts
| Number of Contracts Sold |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||
| (200) | U.S. 10 Year Note Future | Bank of America | Mar. 2020 | $ | (25,953,125 | ) | $ | (25,684,375 | ) | $ | 268,750 | |||||||||
|
|
|
|||||||||||||||||||
| $ | 268,750 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
| 32 | Semiannual Report • December 31, 2019 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 33 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
| ADR | American Depositary Receipt |
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities that were purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $16,904,348, which represents 0.21% of total net assets. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
| 34 | Semiannual Report • December 31, 2019 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 35 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
| ADR | American Depositary Receipt |
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
| 36 | Semiannual Report • December 31, 2019 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 37 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
CVR Contingent Value Right
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security or includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $5,260, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of these financial statements.
| 38 | Semiannual Report • December 31, 2019 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 39 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security or includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities total $189, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of these financial statements.
| 40 | Semiannual Report • December 31, 2019 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited)
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 41 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
The accompanying notes are an integral part of these financial statements.
| 42 | Semiannual Report • December 31, 2019 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2019 (Unaudited) (Continued)
Over-the-Counter Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Settlement Date |
Counterparty |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
| JPY | 134,769,996 | USD | 1,234,926 | 01/07/20 | Brown Brothers Harriman & Co. | $ | 5,716 | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Unrealized Appreciation | 5,716 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Net Unrealized Appreciation | $ | 5,716 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| JPY | Japanese Yen |
| USD | United States Dollar |
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 43 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2019 (Unaudited)
| Bridge Builder Core Bond Fund |
Bridge Builder Core Plus Bond Fund |
Bridge Builder Municipal Bond Fund |
Bridge Builder Large Cap Growth Fund |
|||||||||||||
| Assets |
||||||||||||||||
| Investments, at value (1) |
$ | 15,884,583,311 | $ | 19,851,075,372 | $ | 6,343,480,247 | $ | 7,922,168,333 | ||||||||
| Foreign currency, at value (2) |
— | 7,951,441 | — | — | ||||||||||||
| Cash |
57,795 | 6,238 | 20,685 | 738 | ||||||||||||
| Over-the-counter credit default swap contracts, at value |
— | 5,797,855 | — | — | ||||||||||||
| Receivable for buy-saleback transactions |
— | 82,727,072 | — | — | ||||||||||||
| Receivable for investments sold |
185,402,394 | 95,813,039 | — | — | ||||||||||||
| Receivable for fund shares sold |
28,430,812 | 55,198,229 | 27,486,025 | 14,730,370 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
— | 3,519,539 | — | — | ||||||||||||
| Unrealized appreciation on unfunded loan commitments |
— | 21,804 | — | — | ||||||||||||
| Dividend and interest receivable |
82,280,476 | 111,502,797 | 62,019,336 | 3,596,877 | ||||||||||||
| Tax reclaim receivable |
— | 43,862 | — | 916,521 | ||||||||||||
| Deposits at broker for futures contracts |
— | — | 233,000 | — | ||||||||||||
| Variation margin on futures contracts |
— | — | 21,875 | — | ||||||||||||
| Deposits at broker for centrally cleared swap contracts |
— | 1,876,000 | — | — | ||||||||||||
| Variation margin on centrally cleared swap contracts |
506,771 | 3,542,086 | — | — | ||||||||||||
| Prepaid expenses and other assets |
160,557 | 249,098 | 111,873 | 106,255 | ||||||||||||
| Total Assets |
16,181,422,116 | 20,219,324,432 | 6,433,373,041 | 7,941,519,094 | ||||||||||||
| Liabilities |
||||||||||||||||
| Over-the-counter credit default swap contracts, at value |
— | 907,179 | — | — | ||||||||||||
| Variation margin on futures contracts |
1,161,979 | 493,209 | — | — | ||||||||||||
| Due to broker for swap contracts |
— | 1,300,000 | — | — | ||||||||||||
| Due to broker for TBA commitments |
— | 820,000 | — | — | ||||||||||||
| Due to Bank |
3,860,423 | 4,083,900 | 2,043,938 | — | ||||||||||||
| Payable for investments purchased |
413,991,114 | 854,174,630 | 34,518,224 | — | ||||||||||||
| Payable for fund shares redeemed |
9,679,204 | 11,247,815 | 4,767,140 | 12,039,946 | ||||||||||||
| Payable for swap contracts |
— | 16,468 | — | — | ||||||||||||
| Interest payable |
— | 14,941 | — | — | ||||||||||||
| Payable for sale-buyback transactions |
— | 211,306,580 | — | — | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
— | 17,216,492 | — | — | ||||||||||||
| Payable to Custodian |
96,325 | 108,487 | 455 | 38,204 | ||||||||||||
| Payable to Sub-advisers for Investment advisory fee |
1,501,342 | 2,099,257 | 757,076 | 1,309,740 | ||||||||||||
| Payable to Trustees |
29,484 | 95,806 | 7,665 | 9,417 | ||||||||||||
| Accrued expenses and other liabilities |
531,988 | 851,586 | 237,090 | 145,099 | ||||||||||||
| Total Liabilities |
430,851,859 | 1,104,736,350 | 42,331,588 | 13,542,406 | ||||||||||||
| Net Assets |
$ | 15,750,570,257 | $ | 19,114,588,082 | $ | 6,391,041,453 | $ | 7,927,976,688 | ||||||||
| Net Assets Consist of |
||||||||||||||||
| Paid in capital ($0.00 par value common stock unlimited authorized shares) |
$ | 15,219,796,117 | $ | 18,770,523,248 | $ | 6,173,525,790 | $ | 5,513,291,485 | ||||||||
| Total distributable earnings/(loss) |
530,774,140 | 344,064,834 | 217,515,663 | 2,414,685,203 | ||||||||||||
| Net Assets |
$ | 15,750,570,257 | $ | 19,114,588,082 | $ | 6,391,041,453 | $ | 7,927,976,688 | ||||||||
| Net Assets |
$ | 15,750,570,257 | $ | 19,114,588,082 | $ | 6,391,041,453 | $ | 7,927,976,688 | ||||||||
| Shares Outstanding |
1,512,275,123 | 1,879,151,944 | 605,709,698 | 500,888,816 | ||||||||||||
| Net Asset Value |
$ | 10.42 | $ | 10.17 | $ | 10.55 | $ | 15.83 | ||||||||
| (1) Cost of investments |
$ | 15,325,778,237 | $ | 19,455,356,783 | $ | 6,117,967,551 | $ | 5,555,682,653 | ||||||||
| (2) Cost of foreign currency |
— | 8,447,015 | — | — | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| 44 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2019 (Unaudited) (Continued)
| Bridge Builder Large Cap Value Fund |
Bridge Builder Small/Mid Cap Growth Fund |
Bridge Builder Small/Mid Cap Value Fund |
Bridge Builder International Equity Fund |
|||||||||||||
| Assets |
||||||||||||||||
| Investments, at value (1) |
$ | 10,233,561,525 | $ | 4,284,450,707 | $ | 5,366,929,557 | $ | 12,590,190,273 | ||||||||
| Foreign currency, at value (2) |
— | — | — | 186,975 | ||||||||||||
| Cash |
1,845 | 2,445 | 3,857 | 1,646 | ||||||||||||
| Receivable for foreign currency transactions |
— | — | 438 | 986 | ||||||||||||
| Receivable for investments sold |
23,115,144 | 580,385 | 428,704 | 1,959,526 | ||||||||||||
| Receivable for fund shares sold |
20,752,611 | 8,388,859 | 10,154,006 | 30,312,072 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 5,716 | ||||||||||||
| Dividend and interest receivable |
13,658,017 | 1,880,345 | 7,537,636 | 15,823,920 | ||||||||||||
| Tax reclaim receivable |
888,913 | 8,010 | 11,578 | 18,658,898 | ||||||||||||
| Prepaid expenses and other assets |
136,629 | 73,544 | 82,354 | 191,710 | ||||||||||||
| Total Assets |
10,292,114,684 | 4,295,384,295 | 5,385,148,130 | 12,657,331,722 | ||||||||||||
| Liabilities |
||||||||||||||||
| Due to Bank |
— | 350,456 | 302,926 | 980,617 | ||||||||||||
| Payable for investments purchased |
13,341,247 | 3,113,079 | 8,103,146 | 8,929,870 | ||||||||||||
| Payable for fund shares redeemed |
12,556,985 | 4,265,011 | 6,324,622 | 18,131,083 | ||||||||||||
| Payable to Custodian |
104,283 | 82,804 | 77,140 | 648,632 | ||||||||||||
| Foreign withholding tax payable |
— | — | — | 2,729,120 | ||||||||||||
| Payable to Sub-advisers for Investment advisory fee |
1,872,984 | 1,292,549 | 1,786,941 | 3,123,762 | ||||||||||||
| Payable to Trustees |
13,827 | 6,852 | 7,506 | 14,171 | ||||||||||||
| Accrued expenses and other liabilities |
350,880 | 138,355 | 204,622 | 515,147 | ||||||||||||
| Total Liabilities |
28,240,206 | 9,249,106 | 16,806,903 | 35,072,402 | ||||||||||||
| Net Assets |
$ | 10,263,874,478 | $ | 4,286,135,189 | $ | 5,368,341,227 | $ | 12,622,259,320 | ||||||||
| Net Assets Consist of |
||||||||||||||||
| Paid in capital ($0.00 par value common stock unlimited authorized shares) |
$ | 8,350,776,231 | $ | 3,218,615,104 | $ | 4,585,291,790 | $ | 11,390,520,136 | ||||||||
| Total distributable earnings/(loss) |
1,913,098,247 | 1,067,520,085 | 783,049,437 | 1,231,739,184 | ||||||||||||
| Net Assets |
$ | 10,263,874,478 | $ | 4,286,135,189 | $ | 5,368,341,227 | $ | 12,622,259,320 | ||||||||
| Net Assets |
$ | 10,263,874,478 | $ | 4,286,135,189 | $ | 5,368,341,227 | $ | 12,622,259,320 | ||||||||
| Shares Outstanding |
748,917,399 | 298,601,241 | 434,199,766 | 1,052,759,843 | ||||||||||||
| Net Asset Value |
$ | 13.70 | $ | 14.35 | $ | 12.36 | $ | 11.99 | ||||||||
| (1) Cost of investments |
$ | 8,291,969,043 | $ | 3,212,791,357 | $ | 4,526,083,142 | $ | 11,241,464,166 | ||||||||
| (2) Cost of foreign currency |
— | — | — | 169,309 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 45 |
Bridge Builder Mutual Funds
Six Months Ended December 31, 2019 (Unaudited)
| Bridge Builder Core Bond Fund |
Bridge Builder Core Plus Bond Fund |
Bridge Builder Municipal Bond Fund |
Bridge Builder Large Cap Growth Fund |
|||||||||||||
| Investment Income |
||||||||||||||||
| Dividend income |
$ | 5,923,320 | $ | 5,259,236 | $ | 968,122 | $ | 43,330,141 | ||||||||
| Less: Foreign taxes withheld and issuance fees |
— | — | — | (76,854 | ) | |||||||||||
| Interest |
237,688,485 | 309,582,242 | 75,389,808 | 38,280 | ||||||||||||
| Other Income |
101,276 | 11,606 | — | — | ||||||||||||
| Total investment income |
243,713,081 | 314,853,084 | 76,357,930 | 43,291,567 | ||||||||||||
| Expenses |
||||||||||||||||
| Investment advisory fee |
24,955,650 | 33,504,979 | 10,360,309 | 16,118,995 | ||||||||||||
| Professional fees |
157,358 | 197,177 | 75,715 | 76,529 | ||||||||||||
| Fund Accounting & Administration fees |
588,233 | 670,416 | 205,511 | 124,374 | ||||||||||||
| Transfer agent fees and expenses |
13,003 | 14,395 | 10,148 | 10,908 | ||||||||||||
| Trustee fees and expenses |
160,915 | 207,241 | 56,820 | 70,972 | ||||||||||||
| Printing and mailing expense |
41,985 | 54,346 | 20,692 | 22,018 | ||||||||||||
| Custody fees |
169,610 | 185,422 | 36,802 | 56,607 | ||||||||||||
| Insurance expenses |
34,776 | 31,280 | 8,464 | 13,248 | ||||||||||||
| Interest expense |
147 | 998,126 | — | — | ||||||||||||
| Registration fees |
168,705 | 391,066 | 181,408 | 118,603 | ||||||||||||
| Other expenses |
114,725 | 169,764 | 38,345 | 43,374 | ||||||||||||
| Total expenses before fee waivers |
26,405,107 | 36,424,212 | 10,994,214 | 16,655,628 | ||||||||||||
| Fee waivers by Adviser |
(16,134,760 | ) | (21,261,507 | ) | (6,302,500 | ) | (8,743,683 | ) | ||||||||
| Net expenses |
10,270,347 | 15,162,705 | 4,691,714 | 7,911,945 | ||||||||||||
| Net Investment Income |
233,442,734 | 299,690,379 | 71,666,216 | 35,379,622 | ||||||||||||
| Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
|
|||||||||||||||
| Net realized gain/(loss) on: |
||||||||||||||||
| Investments |
83,477,237 | 172,608,443 | 7,592,421 | 158,495,339 | ||||||||||||
| TBA sales commitments |
(275,195 | ) | — | — | — | |||||||||||
| Forward foreign currency exchange contracts |
— | 10,195,073 | — | — | ||||||||||||
| Foreign currency transactions |
— | (13,153,484 | ) | — | (4,019 | ) | ||||||||||
| Futures contracts |
33,396,364 | 49,309,022 | (1,787,031 | ) | — | |||||||||||
| Swap contracts |
(294,893 | ) | (5,048,347 | ) | — | — | ||||||||||
| Net realized gain/(loss) |
116,303,513 | 213,910,707 | 5,805,390 | 158,491,320 | ||||||||||||
| Net change in net unrealized appreciation/(depreciation) on: |
||||||||||||||||
| Investments |
57,412,734 | (38,523,708 | ) | 38,348,979 | 546,971,599 | |||||||||||
| Forward foreign currency exchange contracts |
— | (5,406,990 | ) | — | — | |||||||||||
| Foreign currency transactions |
— | (423,403 | ) | — | (1,096 | ) | ||||||||||
| Futures contracts |
(20,566,420 | ) | (55,055,781 | ) | 1,254,687 | — | ||||||||||
| Swap contracts |
(9,268 | ) | 13,668,923 | — | — | |||||||||||
| Unfunded loan commitments |
— | 2,250 | — | — | ||||||||||||
| Net change in unrealized appreciation/(depreciation) |
36,837,046 | (85,738,709 | ) | 39,603,666 | 546,970,503 | |||||||||||
| Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) |
153,140,559 | 128,171,998 | 45,409,056 | 705,461,823 | ||||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations |
$ | 386,583,293 | $ | 427,862,377 | $ | 117,075,272 | $ | 740,841,445 | ||||||||
The accompanying notes are an integral part of these financial statements.
| 46 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Statements of Operations
Six Months Ended December 31, 2019 (Unaudited) (Continued)
| Bridge Builder Large Cap Value Fund |
Bridge Builder Small/Mid Cap Growth Fund |
Bridge Builder Small/Mid Cap Value Fund |
Bridge Builder International Equity Fund |
|||||||||||||
| Investment Income |
||||||||||||||||
| Dividend income |
$ | 98,318,302 | $ | 15,816,522 | $ | 49,573,937 | $ | 128,258,150 | ||||||||
| Less: Foreign taxes withheld and issuance fees |
(356,738 | ) | (25,085 | ) | (59,510 | ) | (8,996,647 | ) | ||||||||
| Interest |
38,692 | 38,844 | 56,973 | 69,523 | ||||||||||||
| Less: Foreign taxes withheld |
(120,793 | ) | — | — | (180,870 | ) | ||||||||||
| Total investment income |
97,879,463 | 15,830,281 | 49,571,400 | 119,150,156 | ||||||||||||
| Expenses |
||||||||||||||||
| Investment advisory fee |
20,451,717 | 13,059,212 | 16,042,035 | 34,466,870 | ||||||||||||
| Professional fees |
82,711 | 55,051 | 76,824 | 108,519 | ||||||||||||
| Fund Accounting & Administration fees |
150,569 | 91,815 | 116,325 | 270,215 | ||||||||||||
| Transfer agent fees and expenses |
12,493 | 9,872 | 10,198 | 11,774 | ||||||||||||
| Trustee fees and expenses |
92,593 | 40,983 | 49,489 | 108,950 | ||||||||||||
| Printing and mailing expense |
32,275 | 23,688 | 22,492 | 38,318 | ||||||||||||
| Custody fees |
67,777 | 78,862 | 64,235 | 805,445 | ||||||||||||
| Insurance expenses |
16,744 | 7,360 | 9,016 | 17,480 | ||||||||||||
| Registration fees |
326,137 | 83,939 | 184,621 | 482,975 | ||||||||||||
| Other expenses |
61,752 | 23,647 | 30,678 | 83,551 | ||||||||||||
| Total expenses before fee waivers |
21,294,768 | 13,474,429 | 16,605,913 | 36,394,097 | ||||||||||||
| Fee waivers by Adviser |
(10,102,140 | ) | (5,651,455 | ) | (5,894,295 | ) | (17,352,334 | ) | ||||||||
| Net expenses |
11,192,628 | 7,822,974 | 10,711,618 | 19,041,763 | ||||||||||||
| Net Investment Income |
86,686,835 | 8,007,307 | 38,859,782 | 100,108,393 | ||||||||||||
| Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
|
|||||||||||||||
| Net realized gain/(loss) on: |
||||||||||||||||
| Investments |
47,298,804 | 41,886,138 | 38,169,921 | 27,630,117 | ||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 27,395 | ||||||||||||
| Foreign currency transactions |
(33,217 | ) | — | 1,458 | (1,197,475 | ) | ||||||||||
| Net realized gain/(loss) |
47,265,587 | 41,886,138 | 38,171,379 | 26,460,037 | ||||||||||||
| Net change in net unrealized appreciation/(depreciation) on: |
||||||||||||||||
| Investments |
676,958,485 | 148,972,034 | 341,172,878 | 781,565,286 | ||||||||||||
| Forward foreign currency exchange contracts |
— | — | — | 5,716 | ||||||||||||
| Foreign currency transactions |
(4,828 | ) | — | (2,327 | ) | 61,729 | ||||||||||
| Net change in unrealized appreciation/(depreciation) |
676,953,657 | 148,972,034 | 341,170,551 | 781,632,731 | ||||||||||||
| Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) |
724,219,244 | 190,858,172 | 379,341,930 | 808,092,768 | ||||||||||||
| Net Increase/(Decrease) in Net Assets Resulting from Operations |
$ | 810,906,079 | $ | 198,865,479 | $ | 418,201,712 | $ | 908,201,161 | ||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 47 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Unaudited)
| Bridge Builder Core Bond Fund |
Bridge Builder Core Plus Bond Fund |
|||||||||||||||
| Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
|||||||||||||
| Operations |
||||||||||||||||
| Net investment income |
$ | 233,442,734 | $ | 495,644,448 | $ | 299,690,379 | $ | 535,072,634 | ||||||||
| Net realized gain/(loss) |
116,303,513 | 39,087,207 | 213,910,707 | 202,673,715 | ||||||||||||
| Net change in unrealized appreciation/(depreciation) |
36,837,046 | 683,327,007 | (85,738,709 | ) | 588,531,291 | |||||||||||
| Net increase/(decrease) in net assets resulting from operations |
386,583,293 | 1,218,058,662 | 427,862,377 | 1,326,277,640 | ||||||||||||
| Distributions to Shareholders |
||||||||||||||||
| Total distributable earnings |
(282,384,501 | ) | (507,218,573 | ) | (607,930,022 | ) | (570,931,619 | ) | ||||||||
| Total distributions |
(282,384,501 | ) | (507,218,573 | ) | (607,930,022 | ) | (570,931,619 | ) | ||||||||
| Capital Transactions |
||||||||||||||||
| Proceeds from shares sold |
1,243,421,819 | 2,324,777,474 | 1,908,705,951 | 8,247,855,226 | ||||||||||||
| Reinvestment of dividends |
282,384,501 | 507,218,573 | 607,930,022 | 570,931,619 | ||||||||||||
| Cost of shares redeemed |
(1,038,988,922 | ) | (4,188,593,514 | ) | (1,185,323,622 | ) | (2,673,327,221 | ) | ||||||||
| Net increase/(decrease) from capital transactions |
486,817,398 | (1,356,597,467 | ) | 1,331,312,351 | 6,145,459,624 | |||||||||||
| Net increase/(decrease) in net assets |
591,016,190 | (645,757,378 | ) | 1,151,244,706 | 6,900,805,645 | |||||||||||
| Net Assets |
||||||||||||||||
| Beginning of period |
15,159,554,067 | 15,805,311,445 | 17,963,343,376 | 11,062,537,731 | ||||||||||||
| End of period |
$ | 15,750,570,257 | $ | 15,159,554,067 | $ | 19,114,588,082 | $ | 17,963,343,376 | ||||||||
| Change in Shares Outstanding |
||||||||||||||||
| Shares outstanding, beginning of period |
1,465,655,895 | 1,601,019,411 | 1,749,665,169 | 1,127,345,265 | ||||||||||||
| Shares sold |
118,869,868 | 234,039,906 | 184,949,641 | 835,453,422 | ||||||||||||
| Shares issued to holders in reinvestments of dividends |
26,947,830 | 50,835,229 | 59,206,783 | 57,581,068 | ||||||||||||
| Shares redeemed |
(99,198,470 | ) | (420,238,651 | ) | (114,669,649 | ) | (270,714,586 | ) | ||||||||
| Shares outstanding, end of period |
1,512,275,123 | 1,465,655,895 | 1,879,151,944 | 1,749,665,169 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| 48 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Unaudited) (Continued)
| Bridge Builder Municipal Bond Fund |
Bridge Builder Large Cap Growth Fund |
|||||||||||||||
| Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
|||||||||||||
| Operations |
||||||||||||||||
| Net investment income |
$ | 71,666,216 | $ | 113,899,837 | $ | 35,379,622 | $ | 68,895,560 | ||||||||
| Net realized gain/(loss) |
5,805,390 | (6,646,797 | ) | 158,491,320 | 40,340,543 | |||||||||||
| Net change in unrealized appreciation/(depreciation) |
39,603,666 | 186,942,977 | 546,970,503 | 740,238,399 | ||||||||||||
| Net increase/(decrease) in net assets resulting from operations |
117,075,272 | 294,196,017 | 740,841,445 | 849,474,502 | ||||||||||||
| Distributions to Shareholders |
||||||||||||||||
| Total distributable earnings |
(71,636,474 | ) | (114,260,331 | ) | (159,430,743 | ) | (292,945,669 | ) | ||||||||
| Total distributions |
(71,636,474 | ) | (114,260,331 | ) | (159,430,743 | ) | (292,945,669 | ) | ||||||||
| Capital Transactions |
||||||||||||||||
| Proceeds from shares sold |
1,377,615,543 | 2,213,263,379 | 802,870,890 | 1,671,695,810 | ||||||||||||
| Reinvestment of dividends |
71,636,474 | 114,260,331 | 159,430,743 | 292,945,669 | ||||||||||||
| Cost of shares redeemed |
(356,404,708 | ) | (729,020,439 | ) | (614,166,257 | ) | (1,658,826,246 | ) | ||||||||
| Net increase/(decrease) from capital transactions |
1,092,847,309 | 1,598,503,271 | 348,135,376 | 305,815,233 | ||||||||||||
| Net increase/(decrease) in net assets |
1,138,286,107 | 1,778,438,957 | 929,546,078 | 862,344,066 | ||||||||||||
| Net Assets |
||||||||||||||||
| Beginning of period |
5,252,755,346 | 3,474,316,389 | 6,998,430,610 | 6,136,086,544 | ||||||||||||
| End of period |
$ | 6,391,041,453 | $ | 5,252,755,346 | $ | 7,927,976,688 | $ | 6,998,430,610 | ||||||||
| Change in Shares Outstanding |
||||||||||||||||
| Shares outstanding, beginning of period |
502,003,522 | 344,193,751 | 478,108,620 | 453,379,922 | ||||||||||||
| Shares sold |
130,690,397 | 218,300,194 | 53,344,930 | 120,575,375 | ||||||||||||
| Shares issued to holders in reinvestments of dividends |
6,787,230 | 11,172,557 | 10,118,059 | 23,452,719 | ||||||||||||
| Shares redeemed |
(33,771,451 | ) | (71,662,980 | ) | (40,682,793 | ) | (119,299,396 | ) | ||||||||
| Shares outstanding, end of period |
605,709,698 | 502,003,522 | 500,888,816 | 478,108,620 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 49 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Unaudited) (Continued)
| Bridge Builder Large Cap Value Fund |
Bridge Builder Small/Mid Cap Growth Fund |
|||||||||||||||
| Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
|||||||||||||
| Operations |
||||||||||||||||
| Net investment income |
$ | 86,686,835 | $ | 154,781,494 | $ | 8,007,307 | $ | 15,012,715 | ||||||||
| Net realized gain/(loss) |
47,265,587 | 41,929,115 | 41,886,138 | 157,518,302 | ||||||||||||
| Net change in unrealized appreciation/(depreciation) |
676,953,657 | 464,405,374 | 148,972,034 | 252,730,487 | ||||||||||||
| Net increase/(decrease) in net assets resulting from operations |
810,906,079 | 661,115,983 | 198,865,479 | 425,261,504 | ||||||||||||
| Distributions to Shareholders |
||||||||||||||||
| Total distributable earnings |
(93,697,380 | ) | (261,262,694 | ) | (167,829,928 | ) | (188,711,939 | ) | ||||||||
| Total distributions |
(93,697,380 | ) | (261,262,694 | ) | (167,829,928 | ) | (188,711,939 | ) | ||||||||
| Capital Transactions |
||||||||||||||||
| Proceeds from shares sold |
1,423,996,622 | 2,113,925,665 | 384,754,501 | 712,366,764 | ||||||||||||
| Reinvestment of dividends |
93,697,380 | 261,262,694 | 167,829,928 | 188,711,939 | ||||||||||||
| Cost of shares redeemed |
(702,104,520 | ) | (1,146,111,437 | ) | (321,557,711 | ) | (735,635,960 | ) | ||||||||
| Net increase/(decrease) from capital transactions |
815,589,482 | 1,229,076,922 | 231,026,718 | 165,442,743 | ||||||||||||
| Net increase/(decrease) in net assets |
1,532,798,181 | 1,628,930,211 | 262,062,269 | 401,992,308 | ||||||||||||
| Net Assets |
||||||||||||||||
| Beginning of period |
8,731,076,297 | 7,102,146,086 | 4,024,072,920 | 3,622,080,612 | ||||||||||||
| End of period |
$ | 10,263,874,478 | $ | 8,731,076,297 | $ | 4,286,135,189 | $ | 4,024,072,920 | ||||||||
| Change in Shares Outstanding |
||||||||||||||||
| Shares outstanding, beginning of period |
686,911,070 | 585,931,695 | 282,304,411 | 267,895,333 | ||||||||||||
| Shares sold |
108,698,095 | 172,651,795 | 27,082,603 | 52,748,730 | ||||||||||||
| Shares issued to holders in reinvestments of dividends |
7,051,434 | 22,201,836 | 11,804,558 | 15,753,297 | ||||||||||||
| Shares redeemed |
(53,743,200 | ) | (93,874,256 | ) | (22,590,331 | ) | (54,092,949 | ) | ||||||||
| Shares outstanding, end of period |
748,917,399 | 686,911,070 | 298,601,241 | 282,304,411 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| 50 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Unaudited) (Continued)
| Bridge Builder Small/Mid Cap Value Fund |
Bridge Builder International Equity Fund |
|||||||||||||||
| Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
Period Ended December 31, 2019 (Unaudited) |
Year Ended June 30, 2019 |
|||||||||||||
| Operations |
||||||||||||||||
| Net investment income |
$ | 38,859,782 | $ | 65,487,081 | $ | 100,108,393 | $ | 220,008,848 | ||||||||
| Net realized gain/(loss) |
38,171,379 | (35,001,216 | ) | 26,460,037 | (70,817,356 | ) | ||||||||||
| Net change in unrealized appreciation/(depreciation) |
341,170,551 | 30,937,304 | 781,632,731 | 51,604,056 | ||||||||||||
| Net increase/(decrease) in net assets resulting from operations |
418,201,712 | 61,423,169 | 908,201,161 | 200,795,548 | ||||||||||||
| Distributions to Shareholders |
||||||||||||||||
| Total distributable earnings |
(69,918,971 | ) | (188,494,227 | ) | (282,965,029 | ) | (274,598,118 | ) | ||||||||
| Total distributions |
(69,918,971 | ) | (188,494,227 | ) | (282,965,029 | ) | (274,598,118 | ) | ||||||||
| Capital Transactions |
||||||||||||||||
| Proceeds from shares sold |
472,401,838 | 1,169,018,286 | 1,764,432,399 | 3,914,930,395 | ||||||||||||
| Reinvestment of dividends |
69,918,971 | 188,494,227 | 282,965,029 | 274,598,118 | ||||||||||||
| Cost of shares redeemed |
(331,906,330 | ) | (606,616,491 | ) | (695,730,610 | ) | (1,005,677,864 | ) | ||||||||
| Net increase/(decrease) from capital transactions |
210,414,479 | 750,896,022 | 1,351,666,818 | 3,183,850,649 | ||||||||||||
| Net increase/(decrease) in net assets |
558,697,220 | 623,824,964 | 1,976,902,950 | 3,110,048,079 | ||||||||||||
| Net Assets |
||||||||||||||||
| Beginning of period |
4,809,644,007 | 4,185,819,043 | 10,645,356,370 | 7,535,308,291 | ||||||||||||
| End of period |
$ | 5,368,341,227 | $ | 4,809,644,007 | $ | 12,622,259,320 | $ | 10,645,356,370 | ||||||||
| Change in Shares Outstanding |
||||||||||||||||
| Shares outstanding, beginning of period |
416,449,124 | 349,571,673 | 935,579,086 | 649,332,631 | ||||||||||||
| Shares sold |
40,217,331 | 101,075,626 | 154,244,035 | 350,104,118 | ||||||||||||
| Shares issued to holders in reinvestments of dividends |
5,661,455 | 18,620,999 | 23,521,615 | 27,294,795 | ||||||||||||
| Shares redeemed |
(28,128,144 | ) | (52,819,174 | ) | (60,584,893 | ) | (91,152,458 | ) | ||||||||
| Shares outstanding, end of period |
434,199,766 | 416,449,124 | 1,052,759,843 | 935,579,086 | ||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 51 |
Financial Highlights (Unaudited)
| Per Share Operating Performance | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income |
Net realized and unrealized gain/(loss) |
Net increase/ (decrease) in net asset value from operations |
Distributions from net investment income |
Distributions from net realized gains |
Total Distributions |
||||||||||||||||||||||
| Bridge Builder Core Bond Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 10.34 | 0.16 | 0.11 | 0.27 | (0.16 | ) | (0.03 | ) | (0.19 | ) | |||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 9.87 | 0.31 | 0.48 | 0.79 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
| For the year ended June 30, 2018 |
$ | 10.17 | 0.27 | (0.28 | ) | (0.01 | ) | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||
| For the year ended June 30, 2017 |
$ | 10.47 | 0.25 | (0.22 | ) | 0.03 | (0.26 | ) | (0.07 | ) | (0.33 | ) | ||||||||||||||||
| For the year ended June 30, 2016 |
$ | 10.10 | 0.24 | 0.41 | 0.65 | (0.26 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||||||
| For the year ended June 30, 2015 |
$ | 10.14 | 0.24 | (0.04 | ) | 0.20 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
| Bridge Builder Core Plus Bond Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 10.27 | 0.17 | 0.06 | 0.23 | (0.19 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 9.81 | 0.35 | 0.48 | 0.83 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
| For the year ended June 30, 2018 |
$ | 10.09 | 0.29 | (0.27 | ) | 0.02 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 10.28 | 0.24 | (0.15 | ) | 0.09 | (0.25 | ) | (0.03 | ) | (0.28 | ) | ||||||||||||||||
| For the period 7/13/15(6) - 6/30/16 |
$ | 10.00 | 0.22 | 0.31 | 0.53 | (0.23 | ) | (0.02 | ) | (0.25 | ) | |||||||||||||||||
| Bridge Builder Municipal Bond Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 10.46 | 0.13 | 0.09 | 0.22 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 10.09 | 0.27 | 0.37 | 0.64 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
| For the year ended June 30, 2018 |
$ | 10.14 | 0.21 | (0.05 | ) | 0.16 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 10.38 | 0.19 | (0.23 | ) | (0.04 | ) | (0.19 | ) | (0.01 | ) | (0.20 | ) | |||||||||||||||
| For the period 9/14/15(6) - 6/30/16 |
$ | 10.00 | 0.16 | 0.38 | 0.54 | (0.15 | ) | (0.01 | ) | (0.16 | ) | |||||||||||||||||
| Bridge Builder Large Cap Growth Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 14.64 | 0.07 | 1.44 | 1.51 | (0.14 | ) | (0.18 | ) | (0.32 | ) | |||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 13.53 | 0.15 | 1.60 | 1.75 | (0.14 | ) | (0.50 | ) | (0.64 | ) | |||||||||||||||||
| For the year ended June 30, 2018 |
$ | 11.59 | 0.12 | 1.92 | 2.04 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
| For the year ended June 30, 2017 |
$ | 9.89 | 0.10 | 1.69 | 1.79 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
| For the year ended June 30, 2016 |
$ | 9.83 | 0.09 | 0.02 | 0.11 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
| For the period 4/27/15(6) - 6/30/15 |
$ | 10.00 | 0.01 | (0.18 | ) | (0.17 | ) | — | — | — | ||||||||||||||||||
| Bridge Builder Large Cap Value Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 12.71 | 0.12 | 1.00 | 1.12 | (0.12 | ) | (0.01 | ) | (0.13 | ) | |||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 12.12 | 0.24 | 0.74 | 0.98 | (0.23 | ) | (0.16 | ) | (0.39 | ) | |||||||||||||||||
| For the year ended June 30, 2018 |
$ | 11.38 | 0.20 | 0.82 | 1.02 | (0.19 | ) | (0.09 | ) | (0.28 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 9.86 | 0.18 | 1.52 | 1.70 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
| For the year ended June 30, 2016 |
$ | 9.81 | 0.17 | 0.05 | 0.22 | (0.17 | ) | 0.00 | (7) | (0.17 | ) | |||||||||||||||||
| For the period 4/27/15(6) - 6/30/15 |
$ | 10.00 | 0.03 | (0.19 | ) | (0.16 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
| Bridge Builder Small/Mid Cap Growth Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 14.25 | 0.03 | 0.65 | 0.68 | (0.05 | ) | (0.53 | ) | (0.58 | ) | |||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 13.52 | 0.05 | 1.39 | 1.44 | (0.05 | ) | (0.66 | ) | (0.71 | ) | |||||||||||||||||
| For the year ended June 30, 2018 |
$ | 11.49 | 0.05 | 2.12 | 2.17 | (0.04 | ) | (0.10 | ) | (0.14 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 9.62 | 0.03 | 1.88 | 1.91 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
| For the year ended June 30, 2016 |
$ | 9.96 | 0.03 | (0.35 | ) | (0.32 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||
| For the period 4/27/15(6) - 6/30/15 |
$ | 10.00 | 0.01 | (0.05 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||
| Bridge Builder Small/Mid Cap Value Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 11.55 | 0.09 | 0.88 | 0.97 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 11.97 | 0.17 | (0.10 | ) | 0.07 | (0.14 | ) | (0.35 | ) | (0.49 | ) | ||||||||||||||||
| For the year ended June 30, 2018 |
$ | 11.15 | 0.15 | 0.81 | 0.96 | (0.13 | ) | (0.01 | ) | (0.14 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 9.50 | 0.11 | 1.63 | 1.74 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
| For the year ended June 30, 2016 |
$ | 9.87 | 0.08 | (0.38 | ) | (0.30 | ) | (0.06 | ) | (0.01 | ) | (0.07 | ) | |||||||||||||||
| For the period 4/27/15(6) - 6/30/15 |
$ | 10.00 | 0.02 | (0.15 | ) | (0.13 | ) | — | — | — | ||||||||||||||||||
| Bridge Builder International Equity Fund |
||||||||||||||||||||||||||||
| Six months ended December 31, 2019 (Unaudited) |
$ | 11.38 | 0.10 | 0.79 | 0.89 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
| For the year ended June 30, 2019(8) |
$ | 11.60 | 0.28 | (0.14 | ) | 0.14 | (0.22 | ) | (0.14 | ) | (0.36 | ) | ||||||||||||||||
| For the year ended June 30, 2018 |
$ | 11.07 | 0.21 | 0.56 | 0.77 | (0.19 | ) | (0.05 | ) | (0.24 | ) | |||||||||||||||||
| For the year ended June 30, 2017 |
$ | 9.45 | 0.15 | 1.60 | 1.75 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
| For the period 7/6/15(6) - 6/30/16 |
$ | 10.00 | 0.16 | (0.67 | ) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
| (1) | Annualized for periods less than one year. |
| (2) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| (3) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (4) | Ratios do not include the impact of the expenses of the underlying funds in which the fund invests. |
| (5) | Portfolio turnover is not annualized for periods less than one year. |
| (6) | Inception Date. |
| (7) | Less than $0.005. |
| (8) | Per share amounts based on average number of shares outstanding during the year |
The accompanying notes are an integral part of these financial statements.
| 52 | Semiannual Report • December 31, 2019 |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||
| Ratios to Average Net Assets of:(1) |
||||||||||||||||||||||||||
| Net asset value, end of period |
Total return(2)(3) |
Net assets, end of period (millions) |
Expenses, before waivers(4) |
Expenses, net of waivers |
Net investment income/ (loss) |
Portfolio turnover rate(5) |
||||||||||||||||||||
| $ | 10.42 | 1.38 | % | $ | 15,751 | 0.34 | % | 0.13 | % | 2.99 | % | 66 | % | |||||||||||||
| $ | 10.34 | 8.18 | % | $ | 15,160 | 0.34 | % | 0.14 | % | 3.15 | % | 153 | % | |||||||||||||
| $ | 9.87 | (0.15 | )% | $ | 15,805 | 0.35 | % | 0.14 | % | 2.71 | % | 236 | % | |||||||||||||
| $ | 10.17 | 0.33 | % | $ | 13,596 | 0.35 | % | 0.15 | % | 2.44 | % | 232 | % | |||||||||||||
| $ | 10.47 | 6.51 | % | $ | 10,762 | 0.36 | % | 0.16 | % | 2.32 | % | 238 | % | |||||||||||||
| $ | 10.10 | 2.01 | % | $ | 8,612 | 0.38 | % | 0.18 | % | 2.17 | % | 115 | % | |||||||||||||
| $ | 10.17 | 1.19 | % | $ | 19,115 | 0.39 | % | 0.16 | % | 3.22 | % | 67 | % | |||||||||||||
| $ | 10.27 | 8.66 | % | $ | 17,963 | 0.47 | % | 0.24 | % | 3.50 | % | 242 | % | |||||||||||||
| $ | 9.81 | 0.18 | % | $ | 11,063 | 0.41 | % | 0.18 | % | 2.93 | % | 193 | % | |||||||||||||
| $ | 10.09 | 0.87 | % | $ | 6,423 | 0.40 | % | 0.18 | % | 2.34 | % | 198 | % | |||||||||||||
| $ | 10.28 | 5.43 | % | $ | 4,410 | 0.43 | % | 0.23 | % | 2.23 | % | 197 | % | |||||||||||||
| $ | 10.55 | 1.13 | % | $ | 6,391 | 0.38 | % | 0.16 | % | 2.49 | % | 13 | % | |||||||||||||
| $ | 10.46 | 6.42 | % | $ | 5,253 | 0.39 | % | 0.17 | % | 2.64 | % | 42 | % | |||||||||||||
| $ | 10.09 | 1.62 | % | $ | 3,474 | 0.39 | % | 0.19 | % | 2.11 | % | 27 | % | |||||||||||||
| $ | 10.14 | (0.36 | )% | $ | 2,565 | 0.40 | % | 0.21 | % | 1.88 | % | 23 | % | |||||||||||||
| $ | 10.38 | 5.46 | % | $ | 1,972 | 0.43 | % | 0.25 | % | 1.76 | % | 21 | % | |||||||||||||
| $ | 15.83 | 10.36 | % | $ | 7,928 | 0.45 | % | 0.22 | % | 0.97 | % | 14 | % | |||||||||||||
| $ | 14.64 | 13.76 | % | $ | 6,998 | 0.46 | % | 0.22 | % | 1.07 | % | 31 | % | |||||||||||||
| $ | 13.53 | 17.66 | % | $ | 6,136 | 0.47 | % | 0.24 | % | 1.01 | % | 54 | % | |||||||||||||
| $ | 11.59 | 18.26 | % | $ | 4,202 | 0.47 | % | 0.28 | % | 1.11 | % | 44 | % | |||||||||||||
| $ | 9.89 | 1.14 | % | $ | 2,323 | 0.49 | % | 0.31 | % | 0.89 | % | 45 | % | |||||||||||||
| $ | 9.83 | (1.70 | )% | $ | 2,587 | 0.54 | % | 0.37 | % | 0.86 | % | 7 | % | |||||||||||||
| $ | 13.70 | 8.85 | % | $ | 10,264 | 0.46 | % | 0.24 | % | 1.87 | % | 10 | % | |||||||||||||
| $ | 12.71 | 8.46 | % | $ | 8,731 | 0.46 | % | 0.25 | % | 1.95 | % | 24 | % | |||||||||||||
| $ | 12.12 | 9.01 | % | $ | 7,102 | 0.47 | % | 0.27 | % | 1.72 | % | 23 | % | |||||||||||||
| $ | 11.38 | 17.38 | % | $ | 5,039 | 0.47 | % | 0.30 | % | 1.82 | % | 23 | % | |||||||||||||
| $ | 9.86 | 2.35 | % | $ | 2,595 | 0.49 | % | 0.34 | % | 1.83 | % | 33 | % | |||||||||||||
| $ | 9.81 | (1.62 | )% | $ | 2,150 | 0.54 | % | 0.40 | % | 2.14 | % | 7 | % | |||||||||||||
| $ | 14.35 | 4.85 | % | $ | 4,286 | 0.66 | % | 0.38 | % | 0.39 | % | 11 | % | |||||||||||||
| $ | 14.25 | 11.66 | % | $ | 4,024 | 0.67 | % | 0.39 | % | 0.41 | % | 23 | % | |||||||||||||
| $ | 13.52 | 18.96 | % | $ | 3,622 | 0.67 | % | 0.41 | % | 0.38 | % | 26 | % | |||||||||||||
| $ | 11.49 | 19.87 | % | $ | 2,530 | 0.68 | % | 0.43 | % | 0.34 | % | 27 | % | |||||||||||||
| $ | 9.62 | (3.16 | )% | $ | 1,647 | 0.71 | % | 0.47 | % | 0.41 | % | 49 | % | |||||||||||||
| $ | 9.96 | (0.40 | )% | $ | 1,424 | 0.77 | % | 0.49 | % | 0.51 | % | 12 | % | |||||||||||||
| $ | 12.36 | 8.43 | % | $ | 5,368 | 0.66 | % | 0.43 | % | 1.55 | % | 14 | % | |||||||||||||
| $ | 11.55 | 1.22 | % | $ | 4,810 | 0.67 | % | 0.43 | % | 1.47 | % | 38 | % | |||||||||||||
| $ | 11.97 | 8.62 | % | $ | 4,186 | 0.67 | % | 0.45 | % | 1.32 | % | 38 | % | |||||||||||||
| $ | 11.15 | 18.33 | % | $ | 3,245 | 0.69 | % | 0.47 | % | 1.10 | % | 48 | % | |||||||||||||
| $ | 9.50 | (3.08 | )% | $ | 1,877 | 0.73 | % | 0.54 | % | 1.19 | % | 49 | % | |||||||||||||
| $ | 9.87 | (1.30 | )% | $ | 887 | 0.81 | % | 0.62 | % | 1.21 | % | 8 | % | |||||||||||||
| $ | 11.99 | 7.77 | % | $ | 12,622 | 0.65 | % | 0.34 | % | 1.77 | % | 16 | % | |||||||||||||
| $ | 11.38 | 1.57 | % | $ | 10,645 | 0.64 | % | 0.36 | % | 2.49 | % | 16 | % | |||||||||||||
| $ | 11.60 | 6.85 | % | $ | 7,535 | 0.65 | % | 0.38 | % | 2.15 | % | 20 | % | |||||||||||||
| $ | 11.07 | 18.78 | % | $ | 5,164 | 0.67 | % | 0.42 | % | 2.17 | % | 22 | % | |||||||||||||
| $ | 9.45 | (5.06 | )% | $ | 2,466 | 0.69 | % | 0.46 | % | 1.99 | % | 18 | % | |||||||||||||
The accompanying notes are an integral part of these financial statements.
| Semiannual Report • December 31, 2019 | 53 |
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2019, the Trust consisted of nine series, of which the eight active series identified below are presented in this report (each a “Fund,” and collectively, the “Funds”). The one remaining series is inactive and currently not available for purchase.
Olive Street Investment Advisers, LLC (the “Adviser”) acts as investment adviser to the Funds.
| Fund | Investment Objective | |
| Bridge Builder Core Bond Fund (“Core Bond Fund”) |
To provide total return (capital appreciation plus income) | |
| Bridge Builder Core Plus Bond Fund (“Core Plus Bond Fund”) |
To provide total return (capital appreciation plus income) | |
| Bridge Builder Municipal Bond Fund (“Municipal Bond Fund”) | To provide current income exempt from federal tax, with a secondary goal of preservation of investment principal | |
| Bridge Builder Large Cap Growth Fund (“Large Cap Growth Fund”) |
To provide capital appreciation | |
| Bridge Builder Large Cap Value Fund (“Large Cap Value Fund”) |
To provide capital appreciation | |
| Bridge Builder Small/Mid Cap Growth Fund (“Small/Mid Cap Growth Fund”) |
To provide capital appreciation | |
| Bridge Builder Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”) |
To provide capital appreciation | |
| Bridge Builder International Equity Fund (“International Equity Fund”) |
To provide capital appreciation |
The Funds are diversified and each currently offers a single class of shares. The Funds are available for investment exclusively through Edward Jones Advisory Solutions®.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America.
The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 – Investment Companies, which is part of GAAP.
a) Use of Estimates – The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.
b) Investment Valuation – All securities and other investments are recorded at their estimated fair value, as described in Note 4.
c) Federal Income Taxes – Each Fund is treated as a separate taxable entity for federal income tax purposes. The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and to distribute substantially all of their net investment income and capital gains to shareholders. As a result, no provision for federal income tax is recorded in the financial statements.
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The Adviser has reviewed the Funds’ tax positions for all open tax years (the prior three years of tax filings or since inception, if shorter, are considered open for examination) and has concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
As of December 31, 2019, the Funds had no tax examinations or audits in progress.
d) Distributions to Shareholders – Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income for the Core Bond, Core Plus Bond and Municipal Bond Funds are generally declared daily and paid monthly. The Large Cap Value Fund will generally declare and pay distributions of net investment income quarterly. The Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds will generally declare and pay distributions of net investment income annually, as necessary. Realized capital gains, if any, are distributed by each Fund at least annually, as necessary. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature, these amounts are reclassified within the capital accounts in the financial statements to reflect their tax character.
e) Indemnifications – In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims against the Trust that have not yet occurred.
f) Investment Transactions, Income and Expense Allocation – Investment transactions are recorded on trade date. Securities gains and losses, net of foreign taxes withheld, if any, are calculated on the basis of identified cost. Dividend income (expense), net of foreign taxes withheld, if any, is recognized on ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as the information becomes available, which may be after the published ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Issuance fees, if any, are custodial fees on American Depositary Receipts (“ADRs”) charged by ADR agents on ADR dividends and are recorded when paid. Interest income is recognized on an accrual basis, while discounts and premiums on securities purchased are amortized or accreted, respectively, using the constant yield method over the life of the security. Expenses common to multiple Funds are allocated among the respective Funds based upon their relative net asset values or other reasonable allocation methods.
g) Foreign Currency Translation and Transactions – The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains/(losses) are included in the reported net realized gains/(losses) on investments in securities and derivatives and net change in unrealized appreciation/(depreciation) on investment securities and derivatives on the Statements of Operations.
3. SECURITIES AND OTHER INVESTMENTS
a) Delayed Delivery Securities – Certain Funds may enter into contracts to purchase mortgage securities for a fixed price at a future date beyond customary settlement time if the Fund sets aside on its books liquid assets in an amount sufficient to meet the purchase price, or if the Fund enters into offsetting contracts for the forward sale of
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
other securities it owns. In the case of delayed delivery mortgage purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a contract, with the actual principal amount being within a specified range of the estimate. For these obligations, the Fund will earmark liquid assets in an amount sufficient to cover its obligations. Forward commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. This risk is in addition to the risk of decline in the value of the Fund’s other assets. Where such purchases are made through dealers, the Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in a loss to the Fund of an advantageous yield or price. Although the Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment prior to settlement if it deems it appropriate to do so.
A Fund may enter into delayed delivery sale commitments to hedge its portfolio positions or to sell securities it owns under delayed delivery arrangements. Proceeds of the sale commitments are not received until the contractual settlement date. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realizes a gain or (loss) on the commitment without regard to any unrealized appreciation/(depreciation) on the underlying security. If the Fund delivers securities under the commitment, the Fund realizes a gain or (loss) from the sale of the securities based upon the unit price established at the date the commitment was entered into.
b) Derivatives – The Funds invest in derivatives as permitted by their investment strategies and policies. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument.
Futures Contracts – Certain Funds may enter into futures contracts, which are agreements between two parties to buy or sell a specified underlying instrument for a fixed price on a specified future date. The Funds buy and sell futures contracts to gain or hedge exposure to certain risk factors. Upon entering into a futures contract, the Funds are required to deposit with the broker cash or securities, which are referred to as initial margin. Securities deposited as initial margin are designated on the Summary Schedule of Investments, and cash deposited is recorded as Deposits at broker for futures contracts on the Statements of Assets and Liabilities. Exchange traded futures are marked to market daily based on the price movement of the contract. This change in value creates either a payable or receivable for the Fund as either more or less margin is required by the clearing agent. This change in value, known as variation margin, is moved daily between the Fund and its counterparty. A change in the market value of an open futures contract is recorded as unrealized appreciation/(depreciation) until the contract is closed. When a contract is closed, the Fund will record a realized gain or (loss) equal to the difference between the proceeds of the closing transaction and the Fund’s basis in the contract. Futures contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Forward Foreign Currency Exchange Contracts – Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short-term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation/ (depreciation). When the contract is closed in its foreign currency, the Funds record a realized gain or (loss) equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Forward foreign currency exchange contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
| 56 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Repurchase Agreements – In a repurchase agreement, a Fund buys a security from another party (the counterparty), usually a financial institution, with the agreement that it be sold back in the future. Repurchase agreements subject a Fund to counterparty risk, meaning that the Fund could lose money if the other party fails to perform under the terms of the agreement. A Fund mitigates this risk by ensuring that the Fund’s repurchase agreements are collateralized by cash and/or U.S. government securities. All collateral is held by a Fund’s custodian (or, with multiparty agreements, the agent’s bank) and is monitored daily to ensure that its market value is at least equal to the repurchase price under the agreement. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed or limited and the value of the collateral may decline. Investments in repurchase agreements are also based on a review of the credit quality of the repurchase agreement counterparty. Certain Funds may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian under a Master Repurchase Agreement for investment companies and other clients advised by the Sub-adviser (as defined below) and its affiliates. A Fund may participate with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities. Repurchase agreements are subject to master netting agreements, which are agreements between a Fund and its counterparties that provide for the net settlement of all transactions and collateral with the Fund through a single payment, in the event of default or termination. Repurchase agreement amounts, if any, presented on the Summary Schedule of Investments are gross settlement amounts.
Swap Contracts – Certain Funds may invest in swap contracts. Swap contracts are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap contracts may be privately negotiated in the over-the-counter market (“OTC Swaps”) or may be cleared through a third-party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into credit default, interest rate and/or total return swap contracts to manage the Fund’s exposure to credit, interest rate and equity risk. Securities or cash may be used as collateral or margin in accordance with the terms of the swap contract in order to provide assets in the event of a default or bankruptcy.
Centrally Cleared Swaps are marked to market daily and the change, if any, is recorded as variation margin on centrally cleared swap contracts on the Statements of Assets and Liabilities. OTC Swaps are marked to market daily and the change, if any, is included in the over-the-counter swap contracts, at value line item on the Statements of Assets and Liabilities. Both OTC and Centrally Cleared Swaps show this component as change in unrealized appreciation/(depreciation) on the Statements of Operations. Swap variation margin is accounted for as unrealized appreciation/(depreciation) until the contract is closed, at which time the gains or (losses) are realized. Upfront premiums received/(paid) represent cash payments made upon the opening of the swap contract to compensate for differences between the stated terms of the contract and the current market value contract. These upfront payments are recorded as assets/(liabilities) and are included within the market value of the swap contract. Upon liquidation or termination of the swap contract, these payments are recorded as realized gain/(loss) on the Statements of Operations. Net periodic payments received/(paid) by the Fund are also included in the realized gain/ (loss) on swap contracts on the Statements of Operations. Swap contracts outstanding, including their respective notional amounts at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Interest Rate Swaps – Certain Funds may enter into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
Credit Default Swap Contracts – Certain Funds may enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default swap contract,
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Notes to Financial Statements (Unaudited) (Continued)
the protection buyer typically makes an upfront payment and a periodic stream of payments to the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or other equally ranked obligations of the reference entity. As a seller of protection on a credit default swap contract, the Fund will generally receive from the protection buyer a fixed rate of income throughout the term of the swap provided there is no credit event. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or (loss).
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Summary Schedule of Investments. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Summary Schedule of Investments.
Total Return Swap Contracts – Certain Funds may enter into total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in unrealized appreciation/(depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as net realized gain/(loss) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Summary Schedule of Investments.
c) Loan Participation, Assignments and Unfunded Commitments – Certain Funds may enter into loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
unfunded portion of the investment is determined using pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked daily and any unrealized appreciation/ (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of the loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments, and certain loan participations and assignments which were liquid, when purchased, may become illiquid. The following table summarizes the Fund’s unfunded loan positions as of December 31, 2019.
| Fund |
Borrower |
Unfunded Bank Loan Commitment |
Value of Underlying Bank Loan Commitment |
Unrealized Appreciation/ (Depreciation) |
||||||||||
| Core Plus Bond Fund |
McDermott International, Inc. |
$ | 816,988 | $ | 831,531 | $ | 14,543 | |||||||
| Core Plus Bond Fund |
Pacific Gas and Electric Company |
4,796,720 | 4,803,981 | 7,261 | ||||||||||
|
|
|
|||||||||||||
| $ | 21,804 | |||||||||||||
|
|
|
|||||||||||||
d) Restricted Securities – The Funds may own investment securities that are unregistered or have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued after giving due consideration to pertinent factors, including recent private sales, market conditions and the issuer’s financial performance. Where future disposition of these securities requires registration under the Securities Act of 1933, a Fund may have the right to include these securities in such registration, generally without cost to the Fund. A Fund generally has no right to require registration of the unregistered securities it holds. The Adviser has determined, as of December 31, 2019, the restricted securities held by the following Fund to be liquid and illiquid pursuant to the Fund’s liquidity risk management program.
| Restricted Securities | ||||||||
| Fund |
Illiquid | Liquid | ||||||
| Core Bond Fund |
$ | — | $ | 921,477 | ||||
e) Defaulted Securities – Certain Funds may hold defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. Debt obligations may be placed on non-accrual status and the related interest income, amortization or accretion may be reduced or stopped entirely. Additionally, current income accruals and interest receivables may be written off when the collection of the interest income has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
f) Sale-buyback and Buy-saleback Transactions – A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.
As of December 31, 2019, the Core Plus Bond Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions were $211,306,580, with an average amount borrowed of $272,957,003 and incurred interest expense of $945,963 with a weighted average interest rate of 1.81%.
A buy-saleback lending transaction consists of a purchase of a security by a Fund from a counterparty, with a simultaneous agreement to sell the same or substantially the same security at an agreed-upon price and date. The
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
party who sold the security is not entitled to receive principal and interest payments, if any, made on the security during the term of the agreement. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under buy-saleback transactions.
As of December 31, 2019, the Core Plus Bond Fund participated in buy-saleback transactions. The receivable for investments sold related to buy-saleback transactions were $82,727,072, with an average amount loaned of $3,596,142 and received interest income of $90,408 with a weighted average interest rate of 1.85%.
Sale-buyback and buy-saleback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of any pending sale-buyback and buy-saleback transactions as of period end is disclosed in each Fund’s Summary Schedule of Investments.
4. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
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b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
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Notes to Financial Statements (Unaudited) (Continued)
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange-traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
| 62 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented in the Summary Schedule of Investments.
| Core Bond Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Asset-Backed Obligations |
$ | — | $ | 1,850,891,061 | $ | 53,935,751 | $ | 1,904,826,812 | ||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 165,989,246 | — | 165,989,246 | ||||||||||||
| Communications |
— | 381,845,439 | — | 381,845,439 | ||||||||||||
| Consumer, Cyclical |
— | 244,317,415 | — | 244,317,415 | ||||||||||||
| Consumer, Non-cyclical |
— | 643,231,647 | — | 643,231,647 | ||||||||||||
| Diversified |
— | 3,727,110 | — | 3,727,110 | ||||||||||||
| Energy |
— | 487,290,924 | — | 487,290,924 | ||||||||||||
| Financials |
— | 1,800,894,294 | — | 1,800,894,294 | ||||||||||||
| Industrials |
— | 213,158,874 | — | 213,158,874 | ||||||||||||
| Technology |
— | 169,716,241 | — | 169,716,241 | ||||||||||||
| Utilities |
— | 519,066,555 | — | 519,066,555 | ||||||||||||
| Government Related |
— | 2,980,927,304 | — | 2,980,927,304 | ||||||||||||
| Mortgage-Backed Obligations |
— | 5,777,243,008 | 25,613,673 | 5,802,856,681 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| Financials |
2,647,650 | — | — | 2,647,650 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
561,854,869 | — | — | 561,854,869 | ||||||||||||
| U.S. Treasury Bills |
— | 1,987,398 | — | 1,987,398 | ||||||||||||
| Time Deposits |
— | 244,852 | — | 244,852 | ||||||||||||
| Futures Contracts (1) |
94 | — | — | 94 | ||||||||||||
| Swap Contracts (1) |
— | 1,108 | — | 1,108 | ||||||||||||
| Total Assets |
$ | 564,502,613 | $ | 15,240,532,476 | $ | 79,549,424 | $ | 15,884,584,513 | ||||||||
| Liabilities |
||||||||||||||||
| Futures Contracts (1) |
$ | (6,420,620 | ) | $ | — | $ | — | $ | (6,420,620 | ) | ||||||
| Swap Contracts (1) |
— | (14,106,812 | ) | — | (14,106,812 | ) | ||||||||||
| Total Liabilities |
$ | (6,420,620 | ) | $ | (14,106,812 | ) | $ | — | $ | (20,527,432 | ) | |||||
| Semiannual Report • December 31, 2019 | 63 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| Core Plus Bond Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Asset-Backed Obligations |
$ | — | $ | 2,304,401,800 | $ | — | $ | 2,304,401,800 | ||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 173,492,520 | — | 173,492,520 | ||||||||||||
| Communications |
— | 692,622,517 | 14,381 | 692,636,898 | ||||||||||||
| Consumer, Cyclical |
— | 577,691,422 | — | 577,691,422 | ||||||||||||
| Consumer, Non-cyclical |
— | 999,885,936 | — | 999,885,936 | ||||||||||||
| Diversified |
— | 9,543,548 | — | 9,543,548 | ||||||||||||
| Energy |
— | 657,420,403 | 2,964,742 | 660,385,145 | ||||||||||||
| Financials |
— | 1,949,921,022 | — | 1,949,921,022 | ||||||||||||
| Industrials |
— | 297,229,407 | — | 297,229,407 | ||||||||||||
| Technology |
— | 277,015,872 | — | 277,015,872 | ||||||||||||
| Utilities |
— | 312,621,520 | — | 312,621,520 | ||||||||||||
| Convertible Securities |
||||||||||||||||
| Communications |
— | 6,924,226 | — | 6,924,226 | ||||||||||||
| Consumer, Cyclical |
— | 3,140,149 | — | 3,140,149 | ||||||||||||
| Consumer, Non-cyclical |
— | 7,374,361 | — | 7,374,361 | ||||||||||||
| Energy |
— | 2,031,175 | — | 2,031,175 | ||||||||||||
| Industrials |
— | 1,923,885 | — | 1,923,885 | ||||||||||||
| Government Related |
— | 4,054,464,038 | — | 4,054,464,038 | ||||||||||||
| Mortgage-Backed Obligations |
— | 6,282,988,611 | — | 6,282,988,611 | ||||||||||||
| Bank Loans |
— | 490,090,606 | — | 490,090,606 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Communications |
8,264,191 | — | 27,180 | 8,291,371 | ||||||||||||
| Consumer, Cyclical |
4,610,169 | — | — | 4,610,169 | ||||||||||||
| Convertible Preferred Stocks |
||||||||||||||||
| Consumer, Non-cyclical |
7,134,407 | — | — | 7,134,407 | ||||||||||||
| Warrants |
— | — | 12,219,325 | 12,219,325 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
247,370,044 | — | — | 247,370,044 | ||||||||||||
| Government Related |
— | 111,865,554 | — | 111,865,554 | ||||||||||||
| Commercial Paper |
— | 16,964,270 | — | 16,964,270 | ||||||||||||
| Repurchase Agreements |
— | 252,000,000 | — | 252,000,000 | ||||||||||||
| U.S. Treasury Bills |
— | 79,776,300 | — | 79,776,300 | ||||||||||||
| Time Deposits |
— | 7,081,791 | — | 7,081,791 | ||||||||||||
| Futures Contracts (1) |
5,080,861 | — | — | 5,080,861 | ||||||||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | 3,519,539 | — | 3,519,539 | ||||||||||||
| Swap Contracts (1) |
— | 42,611,057 | — | 42,611,057 | ||||||||||||
| Total Assets |
$ | 272,459,672 | $ | 19,614,601,529 | $ | 15,225,628 | $ | 19,902,286,829 | ||||||||
| Liabilities |
||||||||||||||||
| Futures Contracts (1) |
$ | (20,212,412 | ) | $ | — | $ | — | $ | (20,212,412 | ) | ||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | (17,216,492 | ) | — | (17,216,492 | ) | ||||||||||
| Swap Contracts (1) |
— | (9,429,696 | ) | — | (9,429,696 | ) | ||||||||||
| Total Liabilities |
$ | (20,212,412 | ) | $ | (26,646,188 | ) | $ | — | $ | (46,858,600 | ) | |||||
| 64 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| Municipal Bond Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Municipal Bonds |
||||||||||||||||
| Education |
$ | — | $ | 511,702,355 | $ | — | $ | 511,702,355 | ||||||||
| General Obligation |
— | 1,265,575,762 | — | 1,265,575,762 | ||||||||||||
| General Revenue |
— | 1,755,401,130 | — | 1,755,401,130 | ||||||||||||
| Healthcare |
— | 937,492,105 | — | 937,492,105 | ||||||||||||
| Housing |
— | 264,789,458 | — | 264,789,458 | ||||||||||||
| Transportation |
— | 977,742,772 | — | 977,742,772 | ||||||||||||
| Utilities |
— | 524,115,196 | — | 524,115,196 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
106,628,587 | — | — | 106,628,587 | ||||||||||||
| Time Deposits |
— | 32,882 | — | 32,882 | ||||||||||||
| Futures Contracts (1) |
268,750 | — | — | 268,750 | ||||||||||||
| Total Assets |
$ | 106,897,337 | $ | 6,236,851,660 | $ | — | $ | 6,343,748,997 | ||||||||
| Large Cap Growth Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 692,518,997 | $ | — | $ | — | $ | 692,518,997 | ||||||||
| Consumer Discretionary |
1,227,635,090 | 57,081,891 | — | 1,284,716,981 | ||||||||||||
| Consumer Staples |
509,246,386 | — | — | 509,246,386 | ||||||||||||
| Energy |
122,642,875 | — | — | 122,642,875 | ||||||||||||
| Financials |
413,664,705 | — | — | 413,664,705 | ||||||||||||
| Healthcare |
1,391,579,284 | — | — | 1,391,579,284 | ||||||||||||
| Industrials |
472,123,954 | 55,314,347 | — | 527,438,301 | ||||||||||||
| Information Technology |
2,439,641,114 | 16,904,348 | — | 2,456,545,462 | ||||||||||||
| Materials |
175,071,177 | — | — | 175,071,177 | ||||||||||||
| Real Estate |
157,582,712 | — | — | 157,582,712 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
188,354,922 | — | — | 188,354,922 | ||||||||||||
| Time Deposits |
— | 2,806,531 | — | 2,806,531 | ||||||||||||
| Total Assets |
$ | 7,790,061,216 | $ | 132,107,117 | $ | — | $ | 7,922,168,333 | ||||||||
| Large Cap Value Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 514,551,858 | $ | — | $ | — | $ | 514,551,858 | ||||||||
| Consumer Discretionary |
1,207,492,849 | 71,741,131 | — | 1,279,233,980 | ||||||||||||
| Consumer Staples |
730,131,085 | 45,909,745 | — | 776,040,830 | ||||||||||||
| Energy |
547,105,290 | — | — | 547,105,290 | ||||||||||||
| Financials |
1,897,129,774 | — | — | 1,897,129,774 | ||||||||||||
| Healthcare |
1,176,321,868 | 52,165,173 | — | 1,228,487,041 | ||||||||||||
| Industrials |
1,503,380,300 | — | — | 1,503,380,300 | ||||||||||||
| Information Technology |
1,038,839,371 | 78,569,867 | — | 1,117,409,238 | ||||||||||||
| Materials |
591,681,866 | — | — | 591,681,866 | ||||||||||||
| Real Estate |
287,729,022 | — | — | 287,729,022 | ||||||||||||
| Utilities |
216,198,092 | — | — | 216,198,092 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
271,094,308 | — | — | 271,094,308 | ||||||||||||
| Time Deposits |
— | 3,519,926 | — | 3,519,926 | ||||||||||||
| Total Assets |
$ | 9,981,655,683 | $ | 251,905,842 | $ | — | $ | 10,233,561,525 | ||||||||
| Semiannual Report • December 31, 2019 | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| Small/Mid Cap Growth Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 132,393,298 | $ | — | $ | — | $ | 132,393,298 | ||||||||
| Consumer Discretionary |
476,178,028 | — | — | 476,178,028 | ||||||||||||
| Consumer Staples |
242,448,561 | — | — | 242,448,561 | ||||||||||||
| Energy |
34,064,025 | — | — | 34,064,025 | ||||||||||||
| Financials |
394,193,833 | — | — | 394,193,833 | ||||||||||||
| Healthcare |
892,414,405 | — | — | 892,414,405 | ||||||||||||
| Industrials |
679,453,703 | — | — | 679,453,703 | ||||||||||||
| Information Technology |
1,055,443,954 | — | — | 1,055,443,954 | ||||||||||||
| Materials |
149,761,292 | — | — | 149,761,292 | ||||||||||||
| Real Estate |
138,145,642 | — | — | 138,145,642 | ||||||||||||
| Utilities |
6,562,964 | — | — | 6,562,964 | ||||||||||||
| Rights |
||||||||||||||||
| Healthcare |
— | — | 1,752 | 1,752 | ||||||||||||
| Materials |
— | — | 3,508 | 3,508 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
81,363,317 | — | — | 81,363,317 | ||||||||||||
| Time Deposits |
— | 2,022,425 | — | 2,022,425 | ||||||||||||
| Total Assets |
$ | 4,282,423,022 | $ | 2,022,425 | $ | 5,260 | $ | 4,284,450,707 | ||||||||
| Small/Mid Cap Value Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 144,876,470 | $ | — | $ | — | $ | 144,876,470 | ||||||||
| Consumer Discretionary |
529,109,906 | — | — | 529,109,906 | ||||||||||||
| Consumer Staples |
166,822,365 | — | — | 166,822,365 | ||||||||||||
| Energy |
244,418,639 | — | — | 244,418,639 | ||||||||||||
| Financials |
1,213,873,554 | — | — | (2) | 1,213,873,554 | |||||||||||
| Healthcare |
349,241,713 | — | — | 349,241,713 | ||||||||||||
| Industrials |
898,672,213 | — | — | 898,672,213 | ||||||||||||
| Information Technology |
650,083,931 | — | — | 650,083,931 | ||||||||||||
| Materials |
290,407,404 | — | — | 290,407,404 | ||||||||||||
| Real Estate |
415,620,172 | — | — | 415,620,172 | ||||||||||||
| Utilities |
364,763,404 | — | — | 364,763,404 | ||||||||||||
| Rights |
||||||||||||||||
| Healthcare |
— | — | 189 | 189 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
94,695,730 | — | — | 94,695,730 | ||||||||||||
| Time Deposits |
— | 4,343,867 | — | 4,343,867 | ||||||||||||
| Total Assets |
$ | 5,362,585,501 | $ | 4,343,867 | $ | 189 | $ | 5,366,929,557 | ||||||||
| 66 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| International Equity Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 60,177,091 | $ | 1,120,689,908 | $ | — | $ | 1,180,866,999 | ||||||||
| Consumer Discretionary |
214,880,762 | 1,482,840,688 | — | 1,697,721,450 | ||||||||||||
| Consumer Staples |
61,348,272 | 929,670,129 | — | 991,018,401 | ||||||||||||
| Energy |
28,380,141 | 679,810,878 | — | 708,191,019 | ||||||||||||
| Financials |
158,260,897 | 1,925,315,249 | — | 2,083,576,146 | ||||||||||||
| Healthcare |
215,116,243 | 1,452,648,817 | — | 1,667,765,060 | ||||||||||||
| Industrials |
155,626,329 | 1,610,432,268 | — | 1,766,058,597 | ||||||||||||
| Information Technology |
489,257,358 | 958,450,354 | — | 1,447,707,712 | ||||||||||||
| Materials |
— | 288,432,936 | — | 288,432,936 | ||||||||||||
| Real Estate |
1,546,890 | 68,213,692 | — | 69,760,582 | ||||||||||||
| Utilities |
1,493,055 | 322,132,932 | — | 323,625,987 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| Consumer Discretionary |
— | 27,591,914 | — | 27,591,914 | ||||||||||||
| Consumer Staples |
— | 744,900 | — | 744,900 | ||||||||||||
| Healthcare |
— | 308,459 | — | 308,459 | ||||||||||||
| Materials |
— | 188,549 | — | 188,549 | ||||||||||||
| Rights |
||||||||||||||||
| Energy |
27,562 | — | — | 27,562 | ||||||||||||
| Industrials |
— | 3,856 | — | 3,856 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
332,819,135 | — | — | 332,819,135 | ||||||||||||
| Time Deposits |
— | 3,781,009 | — | 3,781,009 | ||||||||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | 5,716 | — | 5,716 | ||||||||||||
| Total Assets |
$ | 1,718,933,735 | $ | 10,871,262,254 | $ | — | $ | 12,590,195,989 | ||||||||
| (1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
| (2) | Includes a security valued at $0. |
The Core Bond, Core Plus Bond, Small/Mid Cap Growth, and Small/Mid Cap Value all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Core Plus Bond, Small/Mid Cap Growth, and Small/Mid Cap Value have been deemed immaterial.
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
| Investment Type | Fair Value at 12/31/19 |
Valuation Methodology |
Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
| Asset-Backed Obligations |
$ | 5,700,000 | Cost Basis | Purchase Price | $100.00 | $ | 100.00 | |||||||
| Mortgage-Backed Obligations |
$ | 6,455,318 | Cost Basis | Purchase Price | $99.90 | $ | 99.90 | |||||||
*The table above does not include Level 3 securities that are valued by brokers. At December 31, 2019, the value of these securities was $67,394,106 for the Core Bond Fund. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.
| Semiannual Report • December 31, 2019 | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The realized and unrealized gains/(losses) from Level 3 transactions are included with the net realized gain/(loss) on investments and net change in unrealized appreciation/(depreciation) on investments on the Statements of Operations, respectively. The net change in unrealized appreciation/(depreciation) on investments related to Level 3 securities held by the Core Bond Fund at December 31, 2019 totals $(43,940).
5. DERIVATIVE INSTRUMENTS
Certain Funds use derivative instruments as part of their investment strategy to achieve their stated investment objective. The Funds’ derivative contracts held at period end are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities across derivative types that are subject to master netting arrangements in the Statements of Assets and Liabilities. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.
The following table lists the fair value of derivative instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at period end.
| Assets | Liabilities | |||||||||||||||||||||||
| Unrealized Appreciation on Futures Contracts* |
Swaps at Value * |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts |
Unrealized Depreciation on Futures Contracts* |
Swaps at Value* |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts |
|||||||||||||||||||
| Interest Rate Risk: |
||||||||||||||||||||||||
| Core Bond Fund |
$ | 94 | $ | 1,108 | $ | — | $ | (6,420,620 | ) | $ | (14,106,812 | ) | $ | — | ||||||||||
| Core Plus Bond Fund |
5,080,861 | 26,224,473 | — | (20,212,412 | ) | (5,809,827 | ) | — | ||||||||||||||||
| Municipal Bond Fund |
268,750 | — | — | — | — | — | ||||||||||||||||||
| Foreign Exchange Risk: |
||||||||||||||||||||||||
| Core Plus Bond Fund |
— | — | 3,519,539 | — | — | (17,216,492 | ) | |||||||||||||||||
| International Equity Fund |
— | — | 5,716 | — | — | — | ||||||||||||||||||
| Credit Risk: |
||||||||||||||||||||||||
| Core Plus Bond Fund |
— | 16,386,584 | — | — | (3,619,869 | ) | — | |||||||||||||||||
| * | May include cumulative unrealized appreciation/(deprecation) as reported on the Summary Schedule of Investments. Only current day’s variation margin is reported on the Statements of Assets and Liabilities for exchange-traded derivatives and centrally-cleared derivatives. |
The following table lists the effect of derivative instruments held by the Funds, by primary underlying risk and contract type, on the Statements of Operations for the period ended December 31, 2019.
| Realized Gain/(Loss) on Derivatives recognized as a result of Operations |
Net Change in Unrealized Appreciation / (Depreciation) on Derivatives recognized as a result of Operations |
|||||||||||||||||||||||
| Futures Contracts | Forward Foreign Currency Exchange Contracts |
Swaps | Futures Contracts | Forward Foreign Currency Exchange Contracts |
Swaps | |||||||||||||||||||
| Interest Rate Risk: |
||||||||||||||||||||||||
| Core Bond Fund |
$ | 33,396,364 | $ | — | $ | (294,893) | $ | (20,566,420 | ) | $ | — | $ | (9,268 | ) | ||||||||||
| Core Plus Bond Fund |
49,309,022 | — | (9,926,577 | ) | (55,055,781 | ) | — | 10,167,194 | ||||||||||||||||
| Municipal Bond Fund |
(1,787,031 | ) | — | — | 1,254,687 | — | — | |||||||||||||||||
| Foreign Exchange Risk: |
||||||||||||||||||||||||
| Core Plus Bond Fund |
— | 10,195,073 | — | — | (5,406,990 | ) | — | |||||||||||||||||
| International Equity Fund |
— | 27,395 | — | — | 5,716 | — | ||||||||||||||||||
| Credit Risk: |
||||||||||||||||||||||||
| Core Plus Bond Fund |
— | — | 4,878,230 | — | — | 3,501,729 | ||||||||||||||||||
| 68 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2019:
| Core Plus Bond Fund | ||||||||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Assets Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts |
Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Received |
||||||||||||||||||||||||
| Bank of America |
Credit Default Swap Contracts |
$ | 147,908 | $ | — | $ | 147,908 | $ | — | $ | — | $ | 147,908 | |||||||||||||
| Bank of America |
Forward Foreign Currency Exchange Contracts |
51,874 | (51,874 | ) | — | — | — | — | ||||||||||||||||||
| Barclays Bank |
Credit Default Swap Contracts |
367,948 | (367,948 | ) | — | — | — | — | ||||||||||||||||||
| BNP Paribas |
Forward Foreign Currency Exchange Contracts |
1,860,592 | (1,860,592 | ) | — | — | — | — | ||||||||||||||||||
| Citigroup Global Markets |
Forward Foreign Currency Exchange Contracts |
26,397 | (26,397 | ) | — | — | — | — | ||||||||||||||||||
| Deutsche Bank |
Credit Default Swap Contracts |
180,510 | — | 180,510 | — | (180,510 | ) | — | ||||||||||||||||||
| Deutsche Bank |
Forward Foreign Currency Exchange Contracts |
2,782 | — | 2,782 | — | — | 2,782 | |||||||||||||||||||
| Goldman Sachs |
Credit Default Swap Contracts |
2,480,791 | (208,052 | ) | 2,272,739 | — | (1,100,000 | ) | 1,172,739 | |||||||||||||||||
| Goldman Sachs |
Forward Foreign Currency Exchange Contracts |
1,312,532 | (1,312,532 | ) | — | — | — | — | ||||||||||||||||||
| HSBC Bank |
Forward Foreign Currency Exchange Contracts |
20,202 | — | 20,202 | — | — | 20,202 | |||||||||||||||||||
| J.P. Morgan |
Credit Default Swap Contracts |
549,310 | (154,285 | ) | 395,025 | — | — | 395,025 | ||||||||||||||||||
| Semiannual Report • December 31, 2019 | 69 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| Core Plus Bond Fund (Continued) | ||||||||||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Assets Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts |
Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Received |
||||||||||||||||||||||||||
| J.P. Morgan |
|
Forward Foreign Currency Exchange Contracts |
|
$ | 3,058 | $ | (3,058 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| Morgan Stanley |
|
Credit Default Swap Contracts |
|
2,071,388 | — | 2,071,388 | — | — | 2,071,388 | |||||||||||||||||||
| Morgan Stanley |
|
Forward Foreign Currency Exchange Contracts |
|
216,741 | (216,741 | ) | — | — | — | — | ||||||||||||||||||
| UBS |
|
Forward Foreign Currency Exchange Contracts |
|
25,361 | (25,361 | ) | — | — | — | — | ||||||||||||||||||
| Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement |
9,317,394 | (4,226,840 | ) | 5,090,554 | — | (1,280,510 | ) | 3,810,044 | ||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Liabilities Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts |
Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Pledged |
||||||||||||||||||||||||||
| Bank Of America |
|
Forward Foreign Currency Exchange Contracts |
|
$ | 537,923 | $ | (51,874) | $ | 486,049 | $ | — | $ | — | $ | 486,049 | |||||||||||||
| Barclays Bank |
|
Credit Default Swap Contracts |
|
544,842 | (367,948 | ) | 176,894 | — | — | 176,894 | ||||||||||||||||||
| BNP Paribas |
|
Forward Foreign Currency Exchange Contracts |
|
9,175,602 | (1,860,592 | ) | 7,315,010 | — | — | 7,315,010 | ||||||||||||||||||
| Citigroup Global Markets |
|
Forward Foreign Currency Exchange Contracts |
|
454,842 | (26,397 | ) | 428,445 | — | — | 428,445 | ||||||||||||||||||
| Goldman Sachs |
|
Credit Default Swap Contracts |
|
208,052 | (208,052 | ) | — | — | — | — | ||||||||||||||||||
| 70 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| Core Plus Bond Fund (Continued) | ||||||||||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Liabilities Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Pledged |
||||||||||||||||||||||||||
| Goldman Sachs |
|
Forward Foreign Currency Exchange Contracts |
|
$ | 4,366,967 | $ | (1,312,532 | ) | $ | 3,054,435 | $ | — | $ | — | 3,054,435 | |||||||||||||
| J.P. Morgan |
|
Credit Default Swap Contracts |
|
154,285 | (154,285 | ) | — | — | — | — | ||||||||||||||||||
| J.P. Morgan |
|
Forward Foreign Currency Exchange Contracts |
|
1,057,098 | (3,058 | ) | 1,054,040 | — | — | 1,054,040 | ||||||||||||||||||
| Morgan Stanley |
|
Forward Foreign Currency Exchange Contracts |
|
1,483,742 | (216,741 | ) | 1,267,001 | — | — | 1,267,001 | ||||||||||||||||||
| UBS |
|
Forward Foreign Currency Exchange Contracts |
|
140,318 | (25,361 | ) | 114,957 | — | — | 114,957 | ||||||||||||||||||
| Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement |
18,123,671 | (4,226,840 | ) | 13,896,831 | — | — | 13,896,831 | |||||||||||||||||||||
| International Equity Fund | ||||||||||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Assets Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts |
Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Received |
||||||||||||||||||||||||||
| Brown Brothers Harriman & Co. |
|
Forward Foreign Currency Exchange Contracts |
|
$ | 5,716 | $ | — | $ | 5,716 | $ | — | $ | — | $ | 5,716 | |||||||||||||
| Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement |
5,716 | — | 5,716 | — | — | 5,716 | ||||||||||||||||||||||
| (1) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. |
| Semiannual Report • December 31, 2019 | 71 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
| International Equity Fund (Continued) | ||||||||||||||||||||||||||||
| Investment Type |
Gross Amounts of Recognized Liabilities Presented in the Statements of Assets & Liabilities |
Gross Amounts Available for Offset |
Net Amounts |
Gross Amounts not offset in the Statements of Assets & Liabilities |
Net Amount |
|||||||||||||||||||||||
| Counterparty | Financial Instruments |
Collateral Pledged |
||||||||||||||||||||||||||
| Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
The Funds’ average monthly notional amount of derivatives during the period ended December 31, 2019 were as follows:
| Core Bond Fund |
Core Plus Bond Fund* |
Municipal Bond Fund |
International Equity Fund |
|||||||||||||
| Futures Contracts | ||||||||||||||||
| Average Notional Balance – Long | $ | 884,870,999 | $ | 3,584,039,811 | $ | — | $ | — | ||||||||
| Average Notional Balance – Short | (39,710,812 | ) | (326,208,042 | ) | (62,974,934 | ) | — | |||||||||
| Forward Foreign Currency Exchange Contracts | — | |||||||||||||||
| Average Amounts – Purchased | — | 1,200,516,571 | — | — | ||||||||||||
| Average Amounts – Sold | — | (579,224,264 | ) | — | (176,418 | ) | ||||||||||
| Credit Default Swaps | — | |||||||||||||||
| Average Amounts – Buy Protection | — | 19,293,714 | — | — | ||||||||||||
| Average Amounts – Sell Protection | — | (578,230,167 | ) | — | — | |||||||||||
| Interest Rate Swaps | — | |||||||||||||||
| Average Amounts – Pays Fixed Rate | 250,355,143 | 428,757,143 | — | — | ||||||||||||
| Average Amounts – Receives Fixed Rate | (11,676,429 | ) | (473,300,000 | ) | — | — | ||||||||||
| Total Return Swaps | — | |||||||||||||||
| Average Amounts – Long | — | 2,314,286 | — | — | ||||||||||||
| Average Amounts – Short | — | — | — | — | ||||||||||||
| * | Notional amounts shown have been converted to USD. |
6. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser acts as investment adviser to the Funds pursuant to an investment advisory agreement (the “Advisory Agreement”) with the Trust. The Adviser is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. Under the Advisory Agreement, the Adviser furnishes, at its own expense, all services, facilities and personnel necessary in connection with managing the Funds’ investments.
The Adviser provides the Trust with such investment research, advice and investment supervision as the Trust may from time to time consider necessary for the proper management of the assets of the Funds, and furnishes continuously an investment program for the Funds. In fulfilling this obligation, the Adviser, among other things, recommends the hiring and termination of, and monitors the ongoing performance of, one or more investment advisers (the “Sub-advisers”) and allocates Fund assets among the Sub-advisers.
In consideration of the services provided by the Adviser pursuant to the Advisory Agreement, the Funds pay the Adviser an investment advisory fee at an annual rate based on a percentage of each Fund’s average daily net assets. In an effort to pass along lower fund expenses to shareholders, the Adviser does not retain any portion of the advisory fees. The Adviser has contractually agreed to waive its advisory fees for each Fund to the extent
| 72 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
advisory fees paid to the Adviser exceed the aggregate advisory fees the Fund is required to pay its Sub-advisers. The annual advisory fee and amounts of advisory fees waived by the Adviser during the period ended December 31, 2019 are noted in the table below:
| Fund |
Annual Management Fee |
Management Fees Waived by Adviser |
||||||
| Core Bond Fund |
0.32 | % | $ | (16,134,760 | ) | |||
| Core Plus Bond Fund |
0.36 | (21,261,507 | ) | |||||
| Municipal Bond Fund |
0.36 | (6,302,500 | ) | |||||
| Large Cap Growth Fund |
0.44 | (8,743,683 | ) | |||||
| Large Cap Value Fund |
0.44 | (10,102,140 | ) | |||||
| Small/Mid Cap Growth Fund |
0.64 | (5,651,455 | ) | |||||
| Small/Mid Cap Value Fund |
0.64 | (5,894,295 | ) | |||||
| International Equity Fund |
0.60 | (17,352,334 | ) | |||||
None of the advisory fees waived by the Adviser pursuant to the agreement described above are subject to recoupment by the Adviser.
The Adviser has selected and the Board has approved the following Sub-advisers to sub-advise discrete portions of each of the Fund’s assets:
| Fund | Sub-advisers | |
| Core Bond Fund | Robert W. Baird & Co., Inc. J.P. Morgan Investment Management, Inc. Loomis, Sayles & Company, L.P. PGIM, Inc. | |
| Core Plus Bond Fund | Pacific Investment Management Company LLC Loomis Sayles & Company, L.P. Metropolitan West Asset Management, LLC T. Rowe Price Associates, Inc. | |
| Municipal Bond Fund | FIAM, LLC T. Rowe Price Associates, Inc. Wells Capital Management, Inc. BlackRock Investment Management, LLC | |
| Large Cap Growth Fund | Lazard Asset Management LLC Sustainable Growth Advisers, LP Jennison Associates LLC BlackRock Investment Management, LLC | |
| Large Cap Value Fund | Barrow, Hanley, Mewhinney & Strauss LLC Wellington Management Company LLP Artisan Partners Limited Partnership BlackRock Investment Management, LLC | |
| Small/Mid Cap Growth Fund | Champlain Investment Partners, LLC ClearBridge Investments, LLC Eagle Asset Management, Inc. Stephens Investment Management Group, LLC BlackRock Investment Management, LLC | |
| Small/Mid Cap Value Fund | Boston Partners Global Investors, Inc. Vaughan Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC Advisory Research, Inc. BlackRock Investment Management, LLC LSV Asset Management MFS Investment Management Diamond Hill Capital Management, Inc. | |
| International Equity Fund | Baillie Gifford Overseas Limited Edinburgh Partners Limited Mondrian Investment Partners Limited WCM Investment Management BlackRock Investment Management, LLC Pzena Investment Management, LLC |
| Semiannual Report • December 31, 2019 | 73 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Subject to the supervision of the Adviser, the Sub-advisers provide the Funds, among other services, a continuous investment program and determine from time to time which securities or other investments shall be purchased, sold or exchanged for the Funds, including providing or obtaining such services as may be necessary in managing, acquiring or disposing of securities, cash or other investments. For their services as Sub-advisers to the Funds, each Sub-adviser is entitled to receive fees directly from each Fund it serves.
Pursuant to an operating expense limitation agreement between the Adviser and the Funds, effective until October 28, 2020, the Adviser has contractually agreed to waive its fees and/or reimburse Fund expenses (excluding acquired fund fees and expenses, portfolio transaction expenses, interest expense in connection with investment activities, taxes and non-routine expenses) to limit total annual fund operating expenses after fee waivers and/or expense reimbursements to each of the amounts listed below (each an “Expense Cap”).
| Fund | Expense Cap | |
| Core Bond Fund | 0.48% | |
| Core Plus Bond Fund | 0.42 | |
| Municipal Bond Fund | 0.48 | |
| Large Cap Growth Fund | 0.51 | |
| Large Cap Value Fund | 0.51 | |
| Small/Mid Cap Growth Fund | 0.73 | |
| Small/Mid Cap Value Fund | 0.73 | |
| International Equity Fund | 0.67 |
The Trust has agreed to repay the expense reimbursement to the Adviser. However, the repayment of previously waived expenses is limited to amounts that do not cause the aggregate operating expenses of the Fund to exceed the current expense cap or the expense cap in place at the time the waiver was generated. The Adviser has up to three fiscal years from the time the expenses were reimbursed to request reimbursement from a Fund. During the period ended December 31, 2019, the Funds did not exceed the Expense Cap, and there are no expense reimbursements currently available for recoupment in future periods.
Administrator – Brown Brothers Harriman & Co. (“BBH”) acts as Administrator to the Trust pursuant to an Administrative Agency Agreement. As Administrator, BBH provides certain services to the Trust, including, among other responsibilities, administrative, tax, legal, accounting services, portfolio compliance monitoring, and financial reporting for the maintenance and operations of the Funds. In addition, BBH makes available the personnel and facilities to provide such services. In its capacity as Administrator, BBH does not have any responsibility or authority for the portfolio management of the Funds, the determination of investment policy, or for any matter pertaining to the distribution of Fund shares. Pursuant to the Administrative Agency Agreement, the Trust has agreed to pay such compensation as is mutually agreed from time to time and such out-of-pocket expenses as incurred by BBH in the performance of its duties. The amounts paid directly to the Administrator by the Funds for administrative services are included in the Administration fee in the Statements of Operations.
Custodian – BBH also acts as Custodian to the Trust. In this capacity, BBH holds all cash and, directly or through a book entry system or an agent, securities of each Fund, delivers and receives payment for securities sold by such Fund, collects income from investments of each Fund and performs other duties as set forth in the Custodian Agreement between the Trust, on behalf of the Funds, and BBH. Custodian fees are paid monthly and based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses. The amounts paid directly to the Custodian by the Funds for custody services are included in Custody fees in the Statements of Operations.
Trustees – Trustee fees and expenses displayed in the Statements of Operations include amounts accrued by the Funds to pay remuneration to each Trustee who is not an “interested person” as defined by the 1940 Act (an “Independent Trustee”) of the Trust. The Trustees who are not Independent Trustees of the Trust are not compensated by the Trust.
| 74 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Affiliated Transactions – The Funds may participate in purchase and sale transactions with other Funds or accounts that have a common investment adviser or Sub-adviser, commonly referred to as “cross trades.” These cross trades are executed in accordance with procedures adopted by the Trust’s Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at the independent current market price of the security. During the period ended December 31, 2019, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
| Purchases | Sales | |||||||
| Core Bond Fund |
$ | — | $ | — | ||||
| Core Plus Bond Fund |
— | — | ||||||
| Municipal Bond Fund |
— | — | ||||||
| Large Cap Growth Fund |
3,999,088 | 677,911 | ||||||
| Large Cap Value Fund |
6,372,348 | 1,066,994 | ||||||
| Small/Mid Cap Growth Fund |
279,022 | 1,398,367 | ||||||
| Small/Mid Cap Value Fund |
158,424 | 1,166,278 | ||||||
| International Equity Fund |
— | 147,531 | ||||||
7. INTERFUND LENDING AGREEMENT
On June 1, 2016, the Funds received exemptive relief from the SEC to enter into a master interfund lending agreement with each other that permits each Fund to lend money directly to and borrow money directly from other Funds for temporary purposes. Each Fund may lend to another Fund, in aggregate, up to 15% of its current net assets at the time of the loan and a Fund’s loans, in aggregate, to any one Fund under the agreement may not exceed 5% of the lending Fund’s net assets. A loan under the agreement will not exceed duration of seven days and interest is charged on borrowings at a rate determined based on current short-term market interest rates and short-term lending rates available to the Funds. As of December 31, 2019, the Funds have yet to lend under this agreement.
8. INVESTMENT TRANSACTIONS
For the period ended December 31, 2019, purchases and sales of investment securities, other than short-term investments, were as follows:
| Core Bond Fund | Core Plus Bond Fund |
Municipal Bond Fund |
Large Cap Growth Fund |
Large Cap Value Fund |
Small/Mid Cap Growth Fund |
Small/Mid Cap Value Fund |
International Equity Fund |
|||||||||||||||||||||||||
| Purchases: |
||||||||||||||||||||||||||||||||
| U.S. Government |
$ | 3,816,913,256 | $ | 7,628,624,336 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
| Other |
6,394,370,434 | 6,132,319,477 | 1,736,413,005 | 1,205,753,518 | 1,721,494,065 | 529,335,154 | 939,546,865 | 2,933,789,481 | ||||||||||||||||||||||||
| Sales: |
||||||||||||||||||||||||||||||||
| U.S. Government |
3,472,264,857 | 6,980,742,035 | — | — | — | — | — | — | ||||||||||||||||||||||||
| Other |
6,406,490,854 | 5,388,691,774 | 701,280,971 | 1,001,732,029 | 865,445,401 | 442,911,069 | 694,545,036 | 1,728,273,713 | ||||||||||||||||||||||||
9. FEDERAL INCOME TAX INFORMATION
GAAP requires that certain components of net assets be reclassified between financial and tax reporting. Temporary differences do not require reclassification. Temporary differences and permanent reclassifications have no effect on net assets. For the fiscal year ended June 30, 2019, the Funds made permanent book-to-tax reclassifications primarily related to the treatment of foreign currency, partnership taxable income, passive foreign investment company sales adjustments, paydowns, dividend re-designations and difference between book and tax accretion methods for market premium.
| Semiannual Report • December 31, 2019 | 75 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
For the fiscal year ended June 30, 2019, the Funds made the following reclassifications between total distributable earnings and paid-in capital:
| Total Distributable Earnings/(Loss) |
Paid-In Capital |
|||||||
| Core Bond Fund |
$ | (5,670 | ) | $ | 5,670 | |||
| Core Plus Bond Fund |
— | — | ||||||
| Municipal Bond Fund |
22,022 | (22,022 | ) | |||||
| Large Cap Growth Fund |
47 | (47 | ) | |||||
| Large Cap Value Fund |
(235 | ) | 235 | |||||
| Small/Mid Cap Growth Fund |
— | — | ||||||
| Small/Mid Cap Value Fund |
— | — | ||||||
| International Equity Fund |
(988 | ) | 988 | |||||
At June 30, 2019, gross unrealized appreciation and (depreciation) of investments and derivative contracts based on cost for federal income tax purposes were as follows:
| Core Bond Fund |
Core Plus Bond Fund |
Municipal Bond Fund |
Large Cap Growth Fund |
Large Cap Value Fund |
Small/Mid Cap Growth Fund |
Small/Mid Cap Value Fund |
International Equity Fund |
|||||||||||||||||||||||||
| Tax cost of Portfolio |
$ | 14,914,710,680 | $ | 18,121,530,168 | $ | 5,059,440,278 | $ | 5,180,994,351 | $ | 7,473,084,641 | $ | 3,108,244,189 | $ | 4,340,164,972 | $ | 10,102,151,201 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Gross Unrealized Appreciation |
535,428,175 | 605,370,659 | 190,486,678 | 1,862,512,772 | 1,503,354,345 | 1,067,147,715 | 716,130,633 | 1,338,555,656 | ||||||||||||||||||||||||
| Gross Unrealized Depreciation |
(67,977,298 | ) | (184,860,171 | ) | (3,418,319 | ) | (56,392,710 | ) | (292,038,891 | ) | (158,467,443 | ) | (255,704,267 | ) | (845,569,182 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net Unrealized Appreciation/ |
$ | 467,450,877 | $ | 420,510,488 | $ | 187,068,359 | $ | 1,806,120,062 | $ | 1,211,315,454 | $ | 908,680,272 | $ | 460,426,366 | $ | 492,986,474 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
The differences between book basis and tax basis appreciation/(depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of mark to market on passive foreign investment companies, mark to market on derivatives, non-REIT return of capital, outstanding partnership basis and the amortization of premiums.
As of June 30, 2019, the components of total distributable earnings/(losses) on a tax basis were as follows:
| Core Bond Fund |
Core Plus Bond Fund |
Municipal Bond Fund |
Large Cap Growth Fund |
Large Cap Value Fund |
Small/Mid Cap Growth Fund |
Small/Mid Cap Value Fund |
International Equity Fund |
|||||||||||||||||||||||||
| Accumulated Capital and |
||||||||||||||||||||||||||||||||
| Other Losses (1) |
$ | (34,528,730) | $ | — | $ | (14,947,150) | $ | (7,374,479) | $ | (18,823,126) | $ | — | $ (58,196,901) | $ | (59,015,712) | |||||||||||||||||
| Other Gains/(Losses) (2) |
(7,362,192 | ) | (9,672,893 | ) | (22,322 | ) | (3,686 | ) | (2,328 | ) | (227 | ) | — | (17,038 | ) | |||||||||||||||||
| Undistributed Net Ordinary Income |
1,009,723 | 92,697,422 | — | 34,527,086 | 3,399,313 | 22,438,433 | 32,537,231 | 172,548,340 | ||||||||||||||||||||||||
| Undistributed Long Term Capital Gain |
— | 20,597,462 | — | 5,565 | — | 105,366,056 | — | — | ||||||||||||||||||||||||
| Unrealized Appreciation/ (Depreciation) |
467,450,877 | 420,510,488 | 187,068,359 | 1,806,120,062 | 1,211,315,454 | 908,680,272 | 460,426,366 | 492,986,474 | ||||||||||||||||||||||||
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| Total Distributable Earnings/(Losses) |
$ | 426,569,678 | $ | 524,132,479 | $ | 172,098,887 | $ | 1,833,274,548 | $ | 1,195,889,313 | $ | 1,036,484,534 | $ | 434,766,696 | $ | 606,502,064 | ||||||||||||||||
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| (1) | Includes capital loss carryforwards and late year loss deferrals. |
| (2) | Includes straddle loss deferrals and organizational costs. |
The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including paydowns, organizational costs, straddle loss deferrals, and capital loss carryforwards.
| 76 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
At June 30, 2019, the Funds had the following capital loss carryforwards. The capital loss carryforwards do not have an expiration date and will retain their character as either short-term or long-term capital losses. The ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
| Core Bond Fund |
Core Plus Bond Fund |
Municipal Bond Fund |
Large Cap Growth Fund |
Large Cap Value Fund |
Small/Mid Cap Growth Fund |
Small/Mid Cap Value Fund |
International Equity Fund |
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| Short-Term |
$ | 16,947,333 | $ | — | $ | 6,489,970 | $ | — | $ | — | $ | — | $ | — | $ | 19,006,006 | ||||||||||||||||
| Long-Term |
17,581,397 | — | 8,457,180 | — | — | — | — | 40,009,706 | ||||||||||||||||||||||||
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| $ | 34,528,730 | $ | — | $ | 14,947,150 | $ | — | $ | — | $ | — | $ | — | $ | 59,015,712 | |||||||||||||||||
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At June 30, 2019 the Large Cap Growth, Large Cap Value and Small/Mid Cap Value Funds deferred, on a tax basis, post-October capital losses of $7,374,479, $18,823,126 and $58,196,901, respectively. Under current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of a Fund’s next taxable year.
The tax character of distributions paid by the Funds during the fiscal periods ended June 30, 2019 and June 30, 2018 were as follows:
| Core Bond Fund | Core Plus Bond Fund |
Municipal Bond Fund |
Large Cap Growth Fund |
|||||||||||||||||||||||||||||
| 2019 | 2018 | 2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
| Distributions paid from: |
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| Net Ordinary Income (1) |
$ | 507,218,573 | $ | 415,158,732 | $ | 570,931,619 | $ | 234,531,198 | $ | 1,838,066 | $ | 828,001 | $ | 89,835,036 | $ | 41,291,958 | ||||||||||||||||
| Tax Exempt Income |
— | — | — | — | 112,422,265 | 63,301,187 | — | — | ||||||||||||||||||||||||
| Net Long-term Capital Gains |
— | — | — | — | — | — | 203,110,633 | — | ||||||||||||||||||||||||
| Return of Capital |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
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| Total Distributions Paid |
$ | 507,218,573 | $ | 415,158,732 | $ | 570,931,619 | $ | 234,531,198 | $ | 114,260,331 | $ | 64,129,188 | $ | 292,945,669 | $ | 41,291,958 | ||||||||||||||||
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| Large Cap Value Fund |
Small/Mid Cap Growth Fund |
Small/Mid Cap Value Fund |
International Equity Fund |
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| 2019 | 2018 | 2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
| Distributions paid from: |
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| Net Ordinary Income (1) |
$ | 162,988,789 | $ | 114,323,830 | $ | 53,634,791 | $ | 18,817,616 | $ | 64,175,282 | $ | 42,170,781 | $ | 199,914,003 | $ | 104,606,458 | ||||||||||||||||
| Tax Exempt Income |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Net Long-term Capital Gains |
98,273,905 | 30,311,007 | 135,077,148 | 13,939,090 | 124,318,945 | 2,212,232 | 74,684,115 | 24,280,569 | ||||||||||||||||||||||||
| Return of Capital |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
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| Total Distributions Paid |
$ | 261,262,694 | $ | 144,634,837 | $ | 188,711,939 | $ | 32,756,706 | $ | 188,494,227 | $ | 44,383,013 | $ | 274,598,118 | $ | 128,887,027 | ||||||||||||||||
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| (1) | Net Ordinary Income includes net short-term capital gains, if any. |
10. RISKS
Investing in the Funds may involve certain risks including, but not limited to, those described below. Please refer to the Funds’ prospectus and statement of additional information for more information on risks associated with investing in the Funds.
a) Interest Rate Risk – Certain Funds invest in fixed-income securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Alternatively, if rates fall, the
| Semiannual Report • December 31, 2019 | 77 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
value of these investments generally increases. A rise in interest rates may, in turn, increase volatility and reduce liquidity in the fixed-income markets and result in a decline in the value of the fixed-income investments held by the Funds. The value of a fixed-income security with greater duration will be more sensitive to changes in interest rates than a similar security with shorter duration. Duration is a measure of the sensitivity of the price of a fixed-income security (or a portfolio of fixed-income securities) to changes in interest rates. The prices of fixed-income securities with shorter duration generally will be less affected by changes in interest rates than the prices of fixed-income securities with greater duration. For example, a five-year duration means the fixed-income security is expected to decrease in value by 5% if interest rates rise 1% and increase in value by 5% if interest rates fall 1%, holding other factors constant. Usually, the changes in the value of fixed-income securities will not affect cash income generated, but may affect the value of an investment in the Fund. Floating rate instruments also react to interest rate changes in a similar manner although generally to a lesser degree (depending, however, on the characteristics of the reset terms, including the benchmark rate chosen, frequency of reset and reset caps or floors, among other things). Zero coupon bonds have longer durations than coupon-bearing bonds with comparable maturities and generally experience greater volatility in response to changing interest rates. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed-income securities with similar durations.
b) Liquidity Risk – Low trading volume, a lack of a market maker, or contractual or legal restrictions may limit or prevent a Fund from selling securities or closing derivative positions at desirable times or prices. During times of significant market or economic turmoil, usually liquid markets for certain of a Fund’s investments may experience extreme reductions in buy-side demand, which may result in values of a Fund’s portfolio securities declining significantly over short or extended periods of time. These reductions in value may occur regardless of whether there has been a change in interest rates or a change in the credit rating of the issuer of the security. Under certain adverse market or economic conditions, Fund investments previously determined to be liquid may be deemed to be illiquid, and, because of regulatory limitations on investments in illiquid securities, a Fund may not be able to make or gain the desired level of exposure to certain investments that it otherwise would.
c) Redemption Risk – A Fund may experience losses when selling securities to meet redemption requests. This risk is greater for larger redemption requests or redemption requests during adverse market conditions. Because the Funds currently are available only to participants in a single asset allocation program, a reduction in the allocation of program assets to the Funds could result in one or more large redemption requests. Moreover, as a result of the requirement that a Fund satisfy redemption requests even during times of significant market or economic turmoil, a Fund may be forced to sell portfolio securities during periods of reduced liquidity when prices are rapidly declining. This may require a Fund to realize investment losses at times that a Sub-adviser believes that it would have been advisable to hold a particular investment until a more orderly sale could occur or the market recovers.
d) Credit Risk – There is a risk that issuers and counterparties will not make payments on securities, repurchase agreements or other investments held by a Fund. Such defaults could result in losses to a Fund. In addition, the credit quality of securities held by a Fund may be lowered if an issuer’s financial condition changes. Lower credit quality may lead to greater volatility in the price of a security and in shares of a Fund. Lower credit quality also may affect liquidity and make it difficult for the Fund to sell the security. A Fund may invest in securities that are rated in the lowest investment grade category. Such securities may exhibit speculative characteristics similar to high yield securities, and issuers of such securities may be more vulnerable to changes in economic conditions than issuers of higher grade securities.
e) Counterparty Risk – When a Fund enters into an investment contract, such as a derivative or a repurchase agreement, the Fund is exposed to the risk that the other party will not fulfill its contractual obligations. For example, in a repurchase agreement, there exists the risk that a Fund buys a security from a seller (counterparty) that agrees to repurchase the security at an agreed upon price and time, but the counterparty later fails to repurchase the security.
| 78 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
f) Market Risk – Various market risks can affect the price or liquidity of an issuer’s securities in which a Fund may invest. Returns from the securities in which a Fund invests may underperform returns from the various general securities markets or different asset classes. Different types of securities tend to go through cycles of outperformance and underperformance in comparison to the general securities markets. Adverse events occurring with respect to an issuer’s performance or financial position can depress the value of the issuer’s securities. The liquidity in a market for a particular security will affect its value and may be affected by factors relating to the issuer, as well as the depth of the market for that security. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed-income markets. As a result, a Fund’s value may fluctuate and/or a Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market. Other market risks that can affect value include a market’s current attitudes about types of securities, market reactions to political or economic events, including litigation, and tax and regulatory effects (including lack of adequate regulations for a market or particular type of instrument).
g) Equity Risk – Since certain Funds purchase equity securities, those Funds are subject to equity risk. This is the risk that stock prices will fall over short or extended periods of time. Although the stock market has historically outperformed other asset classes over the long term, the stock market tends to move in cycles. Individual stock prices may fluctuate drastically from day-to-day and may underperform other asset classes over an extended period of time. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These price movements may result from factors affecting individual companies, industries or the securities market as a whole.
h) Multi-Manager and Multi-Style Management Risk – Fund performance is dependent upon the success of the Adviser and the Sub-advisers in implementing a Fund’s investment strategies in pursuit of its objective. To a significant extent, a Fund’s performance will depend on the success of the Adviser’s methodology in allocating the Fund’s assets to Sub-advisers and its selection and oversight of the Sub-advisers and on a Sub-adviser’s skill in executing the relevant strategy and selecting investments for the Fund. There can be no assurance that the Adviser or Sub-advisers will be successful in this regard. In addition, because portions of each Fund’s assets are managed by different Sub-advisers using different styles/strategies, a Fund could experience overlapping security transactions. Certain Sub-advisers may be purchasing securities at the same time that other Sub-advisers may be selling those same securities, which may lead to higher transaction expenses compared to a fund using a single investment management style. The Adviser’s and the Sub-advisers’ judgments about the attractiveness, value and potential appreciation of a particular asset class or individual security in which a Fund invests may prove to be incorrect, and there is no guarantee that the Adviser’s or a Sub-adviser’s judgment will produce the desired results. In addition, a Fund may allocate its assets so as to under- or over-emphasize certain strategies or investments under market conditions that are not optimal, in which case a Fund’s value may be adversely affected.
i) Foreign Securities Risk – The securities of foreign issuers, including ADRs and GDRs, may be less liquid and more volatile than securities of comparable U.S. issuers. The costs associated with securities transactions are often higher in foreign countries than the United States. Additionally, investments in securities of foreign issuers, even those publicly traded in the United States, may involve risks which are in addition to those inherent in domestic investments. Foreign companies may not be subject to the same regulatory requirements of U.S. companies, and as a consequence, there may be less publicly available information about such companies. Also, foreign companies may not be subject to uniform accounting, and financial reporting standards and requirements comparable to those applicable to U.S. companies. Foreign governments and foreign economies, particularly in emerging markets, may be less stable than the U.S. Government and the U.S. economy.
j) Currency Risk – While the Funds’ net assets are valued in U.S. dollars, the securities of foreign companies are frequently denominated in foreign currencies. Thus, a change in the value of a foreign currency against the U.S. dollar will result in a corresponding change in value of securities denominated in that currency. Some of the factors
| Semiannual Report • December 31, 2019 | 79 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
that may impair the investments denominated in a foreign currency are: (1) it may be expensive to convert foreign currencies into U.S. dollars and vice versa; (2) complex political and economic factors may significantly affect the values of various currencies, including U.S. dollars, and their exchange rates; (3) government intervention may increase risks involved in purchasing or selling foreign currency options, forward foreign currency exchange contracts and futures contracts, since exchange rates may not be free to fluctuate in response to other market forces; (4) there may be no systematic reporting of last sale information for foreign currencies or regulatory requirement that quotations available through dealers or other market sources be firm or revised on a timely basis; (5) available quotation information is generally representative of very large round-lot transactions in the inter-bank market and thus may not reflect exchange rates for smaller odd-lot transactions (less than $1 million) where rates may be less favorable; and (6) the inter-bank market in foreign currencies is a global, around-the-clock market. To the extent that a market is closed while the markets for the underlying currencies remain open, certain markets may not always reflect significant price and rate movements.
k) Geographic Focus Risk – To the extent that a significant portion of a Fund’s portfolio is invested in the securities of companies in a particular country or region, a Fund may be more susceptible to economic, political, regulatory or other events or conditions affecting issuers within that country or region. As a result, a Fund may be subject to greater price volatility and risk of loss than a fund holding more geographically diverse investments.
l) High Yield Securities Risk – High yield, or “junk,” securities involve greater risks of default or downgrade and are more volatile than investment grade securities. Junk bonds involve greater risk of price declines than investment grade securities due to actual or perceived changes in the issuer’s credit worthiness.
m) Cybersecurity Risk – The Funds and their service providers may be susceptible to operational, information, security and related risks. While the Funds’ service providers have established business continuity plans in the event of such cyber incidents, there are inherent limitations in such plans and systems. Additionally, the Funds cannot control the cybersecurity plans and systems put in place by their service providers or any other third parties whose operations may affect the Funds or their shareholders.
11. SUBSEQUENT EVENTS
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.
| 80 | Semiannual Report • December 31, 2019 |
Trustees and Officers (Unaudited)
Independent Trustees of the Trust (1)
| Name | Role | Term | Principal Occupation | Number of in Fund Complex (3) Overseen by Trustees |
Other Directorships Held During Past Five Years | |||||
| Jean E. Carter (Born: 1957) |
Trustee | Indefinite Term; Since Inception | Retired; Director of Investment Management Group for Russell Investment Group (1982-2005) |
9 | Trustee, Brandes U.S. registered mutual funds (eight funds). | |||||
| Janice L. Innis-Thompson (Born: 1966) |
Trustee, Chair of the Governance and Nominating Committee |
Indefinite Term; Since Inception | Chief Compliance & Ethics Officer, Samsung Electronics America (since 2017); Retired (2016-2017); Senior Vice President, Chief Compliance & Ethics Officer, TIAA-CREF (2006-2016) |
9 | None. | |||||
| Michelle M. Keeley (Born: 1964) |
Trustee | Indefinite Term; Since August 2015 |
Retired; Executive Vice President, Ameriprise Financial Services, Inc. (2002-2010) |
9 | Independent Director, Federal Home Loan Bank of Des Moines. | |||||
| William N. Scheffel (Born: 1953) |
Trustee, Chair of the Audit Committee |
Indefinite Term; Since Inception | Retired; Executive Vice President, Chief Financial Officer and Treasurer, Centene Corporation (2003-2016) |
9 | None. | |||||
| John M. Tesoro (Born: 1952) |
Lead Independent Trustee |
Indefinite Term; Since Inception | Retired; Partner, KPMG LLP (2002-2012) |
9 | Director; Teton Advisors, Inc. (registered investment adviser). Independent Trustee, BBH Trust (seven funds). |
| Semiannual Report • December 31, 2019 | 81 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
Interested Trustees of the Trust (2)
| Name | Role | Term | Principal Occupation | Number of in Fund Complex (3) |
Other Past Five Years | |||||
| William E. Fiala* (Born: 1967) |
Trustee, Chair | Indefinite Term; Since Inception as Trustee, Chair Since January 2020 |
Principal, Edward Jones, and General Partner, The Jones Financial Companies, LLLP (1994-Present) |
9 | None. | |||||
| Merry L. Mosbacher* (Born: 1958) |
Trustee | Indefinite Term; Since January 2020 |
Subordinated Limited Partner, The Jones Financial Companies, LLLP (since 2020); Principal, Edward Jones, and General Partner, The Jones Financial Companies, LLLP (1986-2019); Associate, Edward Jones (1982-1985). | 9 | None. |
Officers of the Trust
| Name | Role | Term | Principal Occupation | |||
| Julius A. Drelick, III (Born: 1966) |
President | Indefinite Term; Since August 2019 |
Director of Fund Administration and Strategic Products, Edward Jones (since 2016); Previously, Vice President of the Trust (2017-2019); Senior Vice President and Chief Compliance Officer at Voya Investment Management, LLC (2013-2016); Vice President, Head of Mutual Fund Product Development and Strategic Planning, Voya Investment Management, LLC (2007-2013) | |||
| Aaron J. Masek (Born: 1974) |
Treasurer | Indefinite Term; Since July 2016 |
Director, Finance, Edward Jones (since 2015); Vice President and Treasurer, AQR Funds (2010-2015) | |||
| Paul W. Felsch** (Born: 1982) |
Chief Compliance Officer and Vice President | Indefinite Term; Since January 2020 |
Senior Compliance Counsel, Edward Jones (since December 2016); Associate Compliance Counsel, Edward Jones (December 2013-November 2016). | |||
| Helge K. Lee (Born: 1946) |
Secretary | Indefinite Term; Since July 2016 |
Associate General Counsel, Edward Jones (since 2014); Special Counsel, Godfrey & Kahn (2005-2014) | |||
| Evan S. Posner (Born: 1979) |
Assistant Secretary |
Indefinite Term; Since February 2019 |
Associate General Counsel at Edward Jones (since October 2018); Previously, Vice President, Counsel at Voya Investment Management (March 2012-September 2018) |
| 82 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
| (1) | The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”). |
| (2) | Mr. Fiala and Ms. Mosbacher are “interested persons” of the Trust as defined by the 1940 Act by virtue of the fact that they are affiliated persons of the Adviser’s parent company, The Jones Financial Companies, L.L.L.P. |
| (3) | The “Fund Complex” is comprised of each Fund offered by the Trust, one of which is not included in this Annual Report, and the Edward Jones Money Market Fund. No Trustee oversees, nor receives compensation from, the Edward Jones Money Market Fund, which is advised by Passport Research, Ltd., an affiliate of the Adviser. |
| * | Effective December 31, 2019, the Board accepted the retirement of William H. Broderick III as a Trustee of the Trust. Effective January 1, 2020 the Board appointed William E. Fiala as Chair of the Board. Additionally, effective January 1, 2020, the Board appointed Merry L. Mosbacher as a Trustee of the Trust. |
| ** | Effective December 31, 2019, the Board accepted the resignation of Alan J. Herzog as the Chief Compliance Officer and Vice President of the Trust. Effective January 1, 2020, the Board appointed Paul W. Felsch as Chief Compliance Officer and Vice President of the Trust. |
The business address of the Trustees and Officers is the address of the Trust: 12555 Manchester Road, St. Louis, MO 63131.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
| Semiannual Report • December 31, 2019 | 83 |
Bridge Builder Mutual Funds
Board Considerations of Sub-advisory Agreements (Unaudited)
Pursuant to Section 15 of the 1940 Act, a sub-advisory agreement for the Bridge Builder Small/Mid Cap Value Fund (the “Fund”), a series of Bridge Builder Trust (the “Trust”), must be approved: (i) by a vote of a majority of the shareholders of the Fund; and (ii) by a vote of a majority of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreement or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.
At the August 2019 in person Meeting of the Board (the “August 2019 Meeting”), the Board, including a majority of the Independent Trustees, considered and approved a new Investment Sub-Advisory Agreement among Olive Street Investment Advisers, LLC (the “Adviser” or “Olive Street”), Advisory Research, Inc. (“ARI” or the “Subadviser”) and the Trust, on behalf of the Fund (the “New Sub-advisory Agreement”) for an initial two-year term. In connection with its approval, the Board considered materials provided in advance of the August 2019 Meeting that detailed, among other things, the terms of the transaction that would result in the change of control of ARI (the “Transaction”), the post-Transaction ownership structure of ARI, the outsourcing of certain compliance functions to Foreside Consulting Services, LLC, and the continuity of services expected to be provided by ARI after the Transaction. The Board also considered the terms of the New Sub-advisory Agreement and noted that the terms of the New Sub-advisory Agreement were materially the same as those of the current sub-advisory agreement between the Adviser, ARI and the Trust with respect to the Fund (the “Prior Sub-advisory Agreement”). The Board further noted that the New Sub-advisory Agreement would go into effect upon the closing of the Transaction. The Board also determined that it was reasonable to take into account the conclusions the Board made when considering and evaluating the most recent renewal of the Prior Sub-advisory Agreement for the Subadviser, which occurred at an in-person Board meeting held on May 14-15, 2019 (the “May 2019 In-Person Meeting”), as part of its considerations to approve the New Sub-Advisory Agreement.
The discussion immediately below outlines the materials and information presented to the Board in connection with the Board’s renewal of the Prior Sub-advisory Agreement at the May 2019 In-Person Meeting, and the conclusions made by the Board when determining to renew the Prior Sub-advisory Agreement for an additional one-year term.
In connection with the annual review process and in advance of the May 2019 In-Person Meeting, the Adviser and the Subadviser provided information to the Board in response to requests for information by the Independent Trustees to facilitate the Board’s evaluation of the Sub-Advisory Agreement. The information furnished by the Adviser and Subadviser is included in materials describing, among other matters: (i) the nature, extent, and quality of the services provided by the Subadviser; (ii) the Fund’s historical investment performance and the historical investment performance of the Subadviser; (iii) the Subadviser’s personnel, including portfolio managers; (iv) the investment practices and techniques used by the Subadviser in managing the Fund; (v) the Fund’s overall fees and operating expenses, compared with those of a category and a peer group of mutual funds; (vi) the sub-advisory fees payable to the Subadviser; (vii) the Subadviser’s compliance policies and procedures; and (viii) other “fall-out” benefits the Subadviser may receive based on its relationships with the Fund. At a telephonic Board meeting held on May 7, 2019 and at the May 2019 In-Person Meeting (collectively, the “May Meetings”), representatives of the Adviser made presentations and responded to questions regarding services, fees, and other aspects of the Fund’s advisory relationships with the Adviser and the Subadviser.
In addition to the May Meetings, the Board met periodically over the course of the year since the most recent annual renewal of the Prior Sub-advisory Agreement. At these meetings, representatives of the Adviser furnished reports and other information to the Board regarding the performance of the Fund, the services provided to the Fund by the Adviser and the Subadviser, and compliance and operations matters related to the Trust, the Fund, the Adviser, and the Subadviser.
At the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received additional advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of Prior Sub-advisory Agreement. The Independent Trustees met in executive
| 84 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
Board Considerations of Sub-advisory Agreements (Unaudited) (Continued)
session, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Subadviser, to discuss the Prior Sub-advisory Agreement and the services provided by the Subadviser.
In considering the approval of the renewal of the Prior Sub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services provided by the Subadviser. The Trustees considered the nature, extent and quality of the services provided to the Fund by the Subadviser, including its responsibilities for management of the Fund. In this regard, the Board considered the Subadviser’s role in the day-to-day management of the Fund’s portfolio. The Board also contemplated the Adviser’s oversight of the Subadviser, which includes continuous analysis of, and regular discussions with the Subadviser about, the investment strategies and performance of the Fund and of the portion of the Fund’s assets allocated to the Subadviser (the “Allocated Portion”), periodic on-site and other meetings with the Subadviser.
The Board also noted the Subadviser’s operations, including resources devoted to support such operations. The Board considered the Subadviser’s ability to attract and retain qualified investment professionals and the experience and skills of management and investment personnel of the Subadviser. The Board also noted the compliance program and compliance record of the Subadviser.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Subadviser is capable of continuing to provide services of the nature, extent and quality contemplated by the terms of the Prior Sub-advisory Agreement.
2. Fees and Other Expenses. The Board received and reviewed reports prepared by Broadridge Financial Solutions (“Broadridge”), an independent provider of mutual fund industry data, comparing the Fund’s advisory fees and gross and net expense ratios (net of fee and expense waivers and reimbursements) to those paid by an independently-selected category and peer group of mutual funds. The Board noted that the Fund’s’ advisory fees and net expenses were below their respective peer group medians. The Board reviewed the information provided by the Subadviser regarding fees charged to other similarly managed accounts. The Board reviewed information about the differences, including the range of services provided and different regulatory requirements, between such similarly managed accounts and the portion of the Fund’s assets allocated to the Subadviser.
The Board noted that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees payable to the Adviser exceed the sub-advisory fees paid to the Subadviser for management of its allocated portion of a Fund. The Board noted that the Adviser may terminate this waiver arrangement without Board approval effective upon the end of the then current one-year period, by providing at least ninety (90) days’ prior written notice of such termination. The Board further noted that the Adviser has irrevocably agreed not to exercise its right to terminate the waiver arrangement upon the end of the current one-year period, resulting in the arrangement continuing until at least October 28, 2020.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the sub-advisory fee was reasonable in light of the nature, extent and quality of the services rendered by the Subadviser.
3. The Fund’s Investment Performance Record. The Board reviewed the investment performance of the Fund on an absolute basis and in comparison to the Fund’s benchmark index and Morningstar category and peer group as independently selected by Broadridge. The Board observed the Fund underperformed its peer group median and benchmark index for the one- and three-year periods ended March 31, 2019. The Board also reviewed the performance of the Subadviser as well, observing that ARI underperformed its benchmark index for the three-year period, but outperformed its benchmark index for the one-year period.
| Semiannual Report • December 31, 2019 | 85 |
Bridge Builder Mutual Funds
Board Considerations of Sub-advisory Agreements (Unaudited) (Continued)
Taking into account the performance information referenced above and other performance information deemed relevant by the Board, the Board concluded that the investment performance generated by the Subadviser was generally satisfactory.
4. Profitability and Economies of Scale. The Board did not consider the profitability of the Subadviser to be a material factor, given that the Subadviser is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. Further, the Board was satisfied that the Adviser employed a rigorous sub-advisory fee negotiation process.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program (asset-based fee program) sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board received and considered information about asset-based fees received by Edward Jones from participants in Edward Jones Advisory Solutions in connection with their investments in the Fund as an indirect or “fall-out” benefit. In addition, the Board considered that the Adviser, Edward Jones and the Subadviser may derive a benefit to their reputations and standing in the investment community from their relationship with the Fund. The Board also noted that the Subadviser may use soft dollars generated from executing Fund portfolio trades to purchase research, which could be viewed as a fall-out benefit to the Subadviser to the extent the Subadviser uses the research generated from such trading activities across its client base.
CONCLUSION
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board concluded, in the exercise of its reasonable judgment, that the terms of the New Sub-advisory Agreement, which the Board noted were materially the same as those of the Prior Sub-advisory Agreement, were reasonable in relation to the services expected to be provided by the Subadviser to the Fund and that the approval of the New Sub-advisory Agreement would be in the best interests of the Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the New Sub-advisory Agreement. In considering the approval of the New-Subadvisory Agreement, the Board considered not only the specific information presented in connection with the August 2019 Meeting, but also information from the May 2019 Meetings. The Board did not identify any particular information or consideration that was all important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
| 86 | Semiannual Report • December 31, 2019 |
Bridge Builder Mutual Funds
General Information (Unaudited)
Proxy Voting Procedures and Proxy Voting Record
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available, free of charge, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the 12-month period ending June 30 is available without charge, upon request, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.
Form N-PORT Disclosure
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT filings are available on the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding the Trust’s Form N-PORT filings is also available, without charge, by calling, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Funds may mail only one copy of the prospectus, Statement of Additional Information and each annual and semiannual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
Each Fund’s complete schedule of investments in securities of unaffiliated issuers is available without charge, upon request, by calling 1-855-823-3611, and on the Securities and Exchange Commission website at http://www.sec.gov as a part of Form N-CSR.
| Semiannual Report • December 31, 2019 | 87 |
Bridge Builder Mutual Funds
Revised February 2020
| FACTS |
What Does the Bridge Builder Trust (“Bridge Builder”) Do with Your Personal Information? | |||
|
Why? |
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. | |||
|
What? |
The types of personal information we collect and share depend on the product or service you have with us. This information can include: | |||
| * Social Security number | * Investment experience | |||
| * Account balances | * Income and risk tolerance | |||
| * Transaction history | * Assets and account transactions | |||
| When you are no longer our customer, we continue to share your information as described in this notice. | ||||
|
How? |
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Bridge Builder chooses to share; and whether you can limit this sharing. | |||
| REASONS WE CAN SHARE YOUR PERSONAL INFORMATION | DOES BRIDGE BUILDER SHARE? |
CAN YOU LIMIT THIS SHARING? | ||
| For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
| For our marketing purposes – to offer our products and services to you | No | We don’t share | ||
| For joint marketing with other financial companies | No | We don’t share | ||
| For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | ||
| For our affiliates’ everyday business purposes – information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share | ||
|
WHO WE ARE |
||
|
Who is providing this notice? |
Bridge Builder Trust | |
|
WHAT WE DO |
||
|
How does Bridge Builder protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
|
How does Bridge Builder collect my personal information? |
We collect your personal information, for example, when you deposit money with us, if you ever were to give us your contact information, open an account with us, provide us account information or make a wire transfer. We also collect your personal information from others, such as credit bureaus, affiliates or other companies. | |
|
Why can’t I limit all sharing? |
Federal law gives you the right to limit only:
* Sharing for affiliates’ everyday business purposes – information about your creditworthiness * Affiliates from using your information to market to you * Sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See the Other Important Information section for your rights under state law. |
|
DEFINITIONS |
||
|
Affiliates |
Companies related by common ownership or control. They can be financial and nonfinancial companies.
* Olive Street Investment Advisers, LLC (“Olive Street”), our investment adviser, may be deemed to be affiliated with us. Olive Street is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. (“JFC”), and is affiliated with other subsidiaries of JFC, including Edward D. Jones & Co., L.P. and Edward Jones Trust Company. | |
|
Nonaffiliates |
Companies not related by common ownership or control. They can be financial and nonfinancial companies.
* Bridge Builder does not share with non-affiliates so they can market to you. | |
|
Joint Marketing |
A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
Bridge Builder does not currently engage in joint marketing efforts. |
| OTHER IMPORTANT INFORMATION | ||
| California residents | We will not share information we collect about you with companies outside of Bridge Builder, unless permitted by law. We also limit sharing among Bridge Builder and our affiliate companies to the extent required by California law. | |
| Nevada residents | We are providing this notice to you pursuant to state law. Nevada law requires us to disclose that you may request to be placed on our internal “Do Not Call” list at any time by calling 800-441-2357, and that you may obtain further information by contacting the Nevada Attorney General, 555 E. Washington Ave., Suite 3900, Las Vegas, NV 89101; phone 702-486-3132; email BCPINFO@ag.state.nv.us. | |
| Vermont residents | As a resident of Vermont, we will automatically limit sharing of your information outside of Bridge Builder, unless otherwise permitted by law. We may share information with your consent to service your accounts or under joint marketing agreements. | |
| Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
| 88 | Semiannual Report • December 31, 2019 |
Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator & Fund Accountant
Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
BBH & Co.
140 Broadway
New York, NY 10005
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
ITEM 2. CODE OF ETHICS.
Not Applicable for semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable for semi-annual reports
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
ITEM 6. INVESTMENTS.
Bridge Builder Core Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| BONDS & NOTES – 97.25% |
||||||||
| Asset-Backed Obligations – 12.09% |
||||||||
| ABFC 2005-AQ1 Trust |
||||||||
| 4.69%, 01/25/2034(1) |
$ | 195,764 | $ | 198,507 | ||||
| ABFC 2006-OPT1 Trust |
||||||||
| 1.94% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 09/25/2036(2) |
2,991,762 | 2,942,653 | ||||||
| Academic Loan Funding Trust 2013-1 |
||||||||
| 2.59% (1 Month LIBOR USD + 0.80%), 12/26/2044(2)(3) |
784,049 | 772,290 | ||||||
| Allegro CLO VII Ltd. |
||||||||
| 3.10% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031(2)(3) |
12,000,000 | 11,882,016 | ||||||
| Ally Auto Receivables Trust 2019-4 |
||||||||
| 1.93%, 10/17/2022 |
7,553,000 | 7,550,198 | ||||||
| 1.84%, 06/17/2024 |
6,027,000 | 6,014,576 | ||||||
| 1.92%, 01/15/2025 |
1,987,000 | 1,978,758 | ||||||
| American Credit Acceptance Receivables Trust 2016-4 |
||||||||
| 2.91%, 02/13/2023(3) |
42,525 | 42,529 | ||||||
| American Credit Acceptance Receivables Trust 2017-2 |
||||||||
| 2.86%, 06/12/2023(3) |
1,042,068 | 1,042,901 | ||||||
| 3.69%, 06/12/2023(3) |
3,660,000 | 3,688,129 | ||||||
| American Credit Acceptance Receivables Trust 2018-3 |
||||||||
| 3.49%, 06/13/2022(3) |
1,172,895 | 1,174,887 | ||||||
| American Credit Acceptance Receivables Trust 2019-2 |
||||||||
| 2.85%, 07/12/2022(3) |
2,707,530 | 2,712,959 | ||||||
| American Credit Acceptance Receivables Trust 2019-4 |
||||||||
| 2.18%, 02/13/2023(3) |
13,203,353 | 13,201,938 | ||||||
| American Express Credit Account Master Trust |
||||||||
| 1.93%, 09/15/2022 |
11,564,000 | 11,563,475 | ||||||
| 2.04%, 05/15/2023 |
14,026,000 | 14,047,049 | ||||||
| 1.98% (1 Month LIBOR USD + 0.24%), 04/15/2024(2) |
8,760,000 | 8,769,498 | ||||||
| 2.00%, 04/15/2025 |
15,947,000 | 15,978,251 | ||||||
| American Homes 4 Rent 2014-SFR2 Trust |
||||||||
| 3.79%, 10/17/2036(3) |
3,778,622 | 3,944,463 | ||||||
| 4.29%, 10/17/2036(3) |
300,000 | 314,401 | ||||||
| 6.23%, 10/17/2036(3) |
1,000,000 | 1,111,509 | ||||||
| American Homes 4 Rent 2014-SFR3 Trust |
||||||||
| 4.60%, 12/17/2036(3) |
600,000 | 634,619 | ||||||
| 6.42%, 12/17/2036(3) |
1,000,000 | 1,122,852 | ||||||
| American Homes 4 Rent 2015-SFR1 |
||||||||
| 3.47%, 04/17/2052(3) |
2,058,187 | 2,119,397 | ||||||
| 5.64%, 04/17/2052(3) |
3,900,000 | 4,196,914 | ||||||
| American Homes 4 Rent 2015-SFR2 Trust |
||||||||
| 3.73%, 10/17/2052(3) |
1,789,322 | 1,872,688 | ||||||
| AmeriCredit Automobile Receivables Trust 2016-4 |
||||||||
| 1.83%, 12/08/2021 |
559,695 | 559,534 | ||||||
| AmeriCredit Automobile Receivables Trust 2017-1 |
||||||||
| 2.30%, 02/18/2022 |
1,153,000 | 1,153,816 | ||||||
| 2.71%, 08/18/2022 |
618,000 | 621,698 | ||||||
| 3.13%, 01/18/2023 |
1,387,000 | 1,402,718 | ||||||
| AmeriCredit Automobile Receivables Trust 2017-2 |
||||||||
| 3.42%, 04/18/2023 |
6,000,000 | 6,097,807 | ||||||
| AmeriCredit Automobile Receivables Trust 2017-4 |
||||||||
| 2.36%, 12/19/2022 |
5,355,000 | 5,367,312 | ||||||
| AmeriCredit Automobile Receivables Trust 2018-1 |
||||||||
| 2.71%, 07/19/2021 |
41,039 | 41,049 | ||||||
| 3.50%, 01/18/2024 |
6,000,000 | 6,150,101 | ||||||
| AmeriCredit Automobile Receivables Trust 2018-2 |
||||||||
| 3.45%, 06/18/2024 |
7,636,000 | 7,803,034 | ||||||
| AmeriCredit Automobile Receivables Trust 2019-1 |
||||||||
| 3.13%, 02/18/2025 |
3,400,000 | 3,460,249 | ||||||
| 3.36%, 02/18/2025 |
3,500,000 | 3,588,886 | ||||||
| AmeriCredit Automobile Receivables Trust 2019-3 |
||||||||
| 2.17%, 01/18/2023 |
1,715,000 | 1,716,840 | ||||||
| Amortizing Residential Collateral Trust 2002-BC5 |
||||||||
| 2.83% (1 Month LIBOR USD + 1.04%, 0.69% Floor), 07/25/2032(2) |
1,969,399 | 1,958,984 | ||||||
| Anchorage Capital CLO 2013-1 Ltd. |
||||||||
| 3.24% (3 Month LIBOR USD + 1.25%), 10/13/2030(2)(3) |
2,500,000 | 2,498,732 | ||||||
| Apidos CLO XXIII |
||||||||
| 2.82% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 01/15/2027(2)(3) |
10,000,000 | 9,982,320 | ||||||
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3 |
||||||||
| 2.13% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 11/25/2035(2) |
1,486,908 | 1,488,284 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6 |
||||||||
| 2.47% (1 Month LIBOR USD + 0.68%, 0.34% Floor), 11/25/2033(2) |
1,862,969 | 1,832,802 | ||||||
| Asset Backed Securities Corp. Home Equity Loan Trust Series AEG 2006-HE1 |
||||||||
| 2.01% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(2) |
2,453,249 | 2,449,306 | ||||||
| Asset-Backed Pass-Through Certificates Series 2004-R2 |
||||||||
| 2.57% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 04/25/2034(2) |
217,124 | 217,017 | ||||||
| Atlas Senior Loan Fund III Ltd. |
||||||||
| 2.73% (3 Month LIBOR USD + 0.83%), 11/17/2027(2)(3) |
6,500,000 | 6,473,174 | ||||||
| Atlas Senior Loan Fund Ltd. |
||||||||
| 3.30% (3 Month LIBOR USD + 1.30%), 01/16/2030(2)(3) |
3,750,000 | 3,743,490 | ||||||
| Atlas Senior Loan Fund V Ltd. |
||||||||
| 3.26% (3 Month LIBOR USD + 1.26%), 07/16/2029(2)(3) |
4,250,000 | 4,247,883 | ||||||
| Avis Budget Rental Car Funding AESOP LLC |
||||||||
| 2.50%, 07/20/2021(3) |
4,000,000 | 4,004,703 | ||||||
| 3.70%, 09/20/2024(3) |
6,200,000 | 6,440,080 | ||||||
| 4.00%, 03/20/2025(3) |
5,800,000 | 6,122,313 | ||||||
| 2.36%, 03/20/2026(3) |
12,000,000 | 11,883,936 | ||||||
| B2R Mortgage Trust 2015-2 |
||||||||
| 3.34%, 11/15/2048(3) |
691,844 | 693,824 | ||||||
| Bain Capital Credit CLO 2018-1 |
||||||||
| 2.89% (3 Month LIBOR USD + 0.96%), 04/23/2031(2)(3) |
10,000,000 | 9,915,000 | ||||||
| Bayview Financial Mortgage Pass-Through Trust 2007-B |
||||||||
| 6.83%, 08/28/2047(1) |
168,264 | 163,469 | ||||||
| Bayview Opportunity Master Fund IVa Trust 2019-RN2 |
||||||||
| 3.97%, 03/28/2034(1)(3) |
777,709 | 778,508 | ||||||
| Bayview Opportunity Master Fund Trust IVb 2019-RN1 |
||||||||
| 4.09%, 02/28/2034(1)(3) |
443,995 | 443,265 | ||||||
| Bear Stearns Asset Backed Securities Trust 2003-2 |
||||||||
| 3.29% (1 Month LIBOR USD + 1.50%, 0.75% Floor, 11.00% Cap), 03/25/2043(2) |
3,765,325 | 3,786,554 | ||||||
| BlueMountain CLO 2015-1 Ltd. |
||||||||
| 3.33% (3 Month LIBOR USD + 1.33%), 04/13/2027(2)(3) |
538,115 | 537,863 | ||||||
| BMW Floorplan Master Owner Trust |
||||||||
| 2.06% (1 Month LIBOR USD + 0.32%), 05/15/2023(2)(3) |
6,407,000 | 6,416,480 | ||||||
| Business Jet Securities 2019-1 LLC |
||||||||
| 4.21%, 07/15/2034(3) |
9,809,024 | 10,063,775 | ||||||
| Business Jet Securities LLC |
||||||||
| 4.34%, 02/15/2033(3) |
3,219,584 | 3,254,071 | ||||||
| Business Jet Securities LLC 2018-2 |
||||||||
| 4.45%, 06/15/2033(3) |
5,993,170 | 6,080,436 | ||||||
| BXG Receivables Note Trust 2012-A |
||||||||
| 2.66%, 12/02/2027(3) |
97,526 | 97,520 | ||||||
| Camillo Issuer LLC 2016-SFR1 A |
||||||||
| 5.00%, 12/05/2023(3)(14) |
4,987,613 | 4,976,702 | ||||||
| Capital Auto Receivables Asset Trust 2018-1 |
||||||||
| 2.79%, 01/20/2022(3) |
5,970,169 | 5,983,828 | ||||||
| Capital One Multi-Asset Execution Trust |
||||||||
| 1.99%, 07/17/2023 |
4,469,000 | 4,473,644 | ||||||
| 1.72%, 08/15/2024 |
12,577,000 | 12,533,013 | ||||||
| Capital One Prime Auto Receivables Trust 2019-2 |
||||||||
| 1.92%, 05/15/2024 |
3,455,000 | 3,449,172 |
| Carlyle Global Market Strategies CLO 2014-1 Ltd. |
||||||||
| 2.97% (3 Month LIBOR USD + 0.97%, 0.97% Floor), 04/17/2031(2)(3) |
12,000,000 | 11,887,704 | ||||||
| Carlyle US Clo 2017-1 Ltd. |
||||||||
| 3.20% (3 Month LIBOR USD + 1.23%), 04/20/2031(2)(3) |
5,500,000 | 5,497,277 | ||||||
| Carlyle US Clo 2017-2 Ltd. |
||||||||
| 3.19% (3 Month LIBOR USD + 1.22%), 07/20/2031(2)(3) |
3,000,000 | 2,992,923 | ||||||
| CarMax Auto Owner Trust 2018-2 |
||||||||
| 3.16%, 07/17/2023 |
2,635,000 | 2,692,310 | ||||||
| CarMax Auto Owner Trust 2019-1 |
||||||||
| 3.26%, 08/15/2024 |
9,831,000 | 10,118,486 | ||||||
| Carmax Auto Owner Trust 2019-4 |
||||||||
| 2.02%, 11/15/2024 |
6,315,000 | 6,326,651 | ||||||
| Carnow Auto Receivables Trust 2019-1 |
||||||||
| 3.36%, 06/17/2024(3) |
3,710,000 | 3,698,791 | ||||||
| Carvana Auto Receivables Trust 2019-3 |
||||||||
| 3.04%, 04/15/2025(3) |
11,005,000 | 10,968,104 | ||||||
| Catamaran CLO 2014-2 Ltd. |
||||||||
| 3.40% (3 Month LIBOR USD + 1.40%), 10/18/2026(2)(3) |
567,552 | 567,310 | ||||||
| Chase Funding Trust Series 2003-4 |
||||||||
| 5.12%, 05/25/2033(1) |
127,561 | 130,365 | ||||||
| Chase Funding Trust Series 2003-6 |
||||||||
| 5.02%, 11/25/2034(1) |
172,484 | 179,830 | ||||||
| 5.02%, 11/25/2034(1) |
293,675 | 304,260 | ||||||
| CIFC Funding 2018-II Ltd. |
||||||||
| 3.01% (3 Month LIBOR USD + 1.04%), 04/20/2031(2)(3) |
10,000,000 | 9,910,300 | ||||||
| Citibank Credit Card Issuance Trust |
||||||||
| 2.41% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 04/22/2026(2) |
8,600,000 | 8,662,664 | ||||||
| 3.96%, 10/13/2030 |
22,000,000 | 24,395,567 | ||||||
| Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
| 3.95%, 04/25/2032(1)(3) |
1,818 | 1,789 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 2.55% (1 Month LIBOR USD + 0.76%, 0.38% Floor), 12/25/2033(2) |
2,946 | 2,947 | ||||||
| CLUB Credit Trust |
||||||||
| 3.82%, 01/15/2026(3) |
3,324,521 | 3,352,818 | ||||||
| CLUB Credit Trust 2017-P2 |
||||||||
| 2.61%, 01/15/2024(3) |
66,319 | 66,323 | ||||||
| Colony American Finance 2016-2 Ltd. |
||||||||
| 2.55%, 11/15/2048(3) |
852,206 | 850,644 | ||||||
| Commonbond Student Loan Trust 2017-B-GS |
||||||||
| 2.68%, 09/25/2042(3) |
7,639,859 | 7,623,536 | ||||||
| Commonbond Student Loan Trust 2018-A-GS |
||||||||
| 3.21%, 02/25/2044(3) |
6,102,266 | 6,171,779 | ||||||
| Commonbond Student Loan Trust 2018-C-GS |
||||||||
| 2.59% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 02/25/2046(2)(3) |
2,714,949 | 2,674,600 | ||||||
| 3.87%, 02/25/2046(3) |
2,344,179 | 2,399,049 | ||||||
| Conseco Finance Corp. |
||||||||
| 6.24%, 12/01/2028 |
1,874 | 1,876 | ||||||
| 6.22%, 03/01/2030 |
34,669 | 35,733 | ||||||
| 6.18%, 04/01/2030 |
11,928 | 12,266 | ||||||
| Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-HP1 |
||||||||
| 2.59%, 12/15/2026(3) |
4,539,000 | 4,540,516 | ||||||
| Consumer Loan Underlying Bond Credit Trust 2019-P1 |
||||||||
| 2.94%, 07/15/2026(3) |
2,901,159 | 2,911,924 | ||||||
| COOF Securitization Trust 2014-1 Ltd. |
||||||||
| 2.83%, 06/25/2040(3)(4) |
784,717 | 70,605 | ||||||
| Corevest American Finance 2019-1 Trust |
||||||||
| 3.88%, 03/15/2052(3) |
4,860,000 | 5,087,070 | ||||||
| Corevest American Finance 2019-3 Trust |
||||||||
| 2.71%, 10/15/2052(3) |
5,598,039 | 5,592,901 | ||||||
| 3.16%, 10/15/2052(3) |
2,250,000 | 2,233,962 |
| 3.27%, 10/15/2052(3) |
5,862,000 | 5,831,312 | ||||||
| Countrywide Asset-Backed Certificates |
||||||||
| 5.43%, 02/25/2033(4) |
46,475 | 41,093 | ||||||
| 5.12%, 02/25/2035(1) |
18,210 | 18,170 | ||||||
| 4.41%, 02/25/2036(4) |
65,675 | 66,898 | ||||||
| 5.97%, 09/25/2046(4) |
58,579 | 54,992 | ||||||
| CPS Auto Receivables Trust 2014-D |
||||||||
| 4.35%, 11/16/2020(3) |
56,369 | 56,411 | ||||||
| CPS Auto Receivables Trust 2015-A |
||||||||
| 4.00%, 02/16/2021(3) |
133,871 | 134,127 | ||||||
| CPS Auto Receivables Trust 2015-B |
||||||||
| 4.20%, 05/17/2021(3) |
1,067,279 | 1,072,987 | ||||||
| CPS Auto Receivables Trust 2015-C |
||||||||
| 4.63%, 08/16/2021(3) |
1,101,600 | 1,109,992 | ||||||
| CPS Auto Receivables Trust 2016-C |
||||||||
| 3.27%, 06/15/2022(3) |
216,847 | 217,040 | ||||||
| CPS Auto Receivables Trust 2017-B |
||||||||
| 2.92%, 02/15/2022(3) |
1,089,816 | 1,091,843 | ||||||
| 3.95%, 03/15/2023(3) |
3,485,000 | 3,533,026 | ||||||
| CPS Auto Receivables Trust 2017-C |
||||||||
| 2.86%, 06/15/2023(3) |
2,030,765 | 2,032,732 | ||||||
| 3.79%, 06/15/2023(3) |
791,000 | 802,292 | ||||||
| CPS Auto Receivables Trust 2018-D |
||||||||
| 3.06%, 01/18/2022(3) |
2,338,408 | 2,342,253 | ||||||
| CPS Auto Receivables Trust 2019-A |
||||||||
| 3.18%, 06/15/2022(3) |
4,471,893 | 4,488,134 | ||||||
| CPS Auto Receivables Trust 2019-B |
||||||||
| 2.89%, 05/16/2022(3) |
1,172,491 | 1,175,948 | ||||||
| CPS Auto Receivables Trust 2019-C |
||||||||
| 2.55%, 09/15/2022(3) |
5,501,795 | 5,514,285 | ||||||
| CPS Auto Receivables Trust 2019-D |
||||||||
| 2.17%, 12/15/2022(3) |
3,567,269 | 3,566,362 | ||||||
| Credit Acceptance Auto Loan Trust 2017-1 |
||||||||
| 2.56%, 10/15/2025(3) |
58,472 | 58,478 | ||||||
| 3.04%, 12/15/2025(3) |
871,000 | 872,606 | ||||||
| 3.48%, 02/17/2026(3) |
730,000 | 733,279 | ||||||
| Credit Acceptance Auto Loan Trust 2017-2 |
||||||||
| 3.35%, 06/15/2026(3) |
811,000 | 816,708 | ||||||
| Credit Acceptance Auto Loan Trust 2018-1 |
||||||||
| 3.01%, 02/16/2027(3) |
6,684,000 | 6,708,786 | ||||||
| Credit Acceptance Auto Loan Trust 2018-3 |
||||||||
| 3.55%, 08/15/2027(3) |
3,090,000 | 3,138,595 | ||||||
| Credit Acceptance Auto Loan Trust 2019-1 |
||||||||
| 3.33%, 02/15/2028(3) |
7,351,000 | 7,479,690 | ||||||
| CSMC 2018-RPL8 Trust |
||||||||
| 4.13%, 07/25/2058(3)(4) |
6,501,644 | 6,542,744 | ||||||
| CWABS Asset-Backed Certificates Trust 2004-15 |
||||||||
| 4.61%, 04/25/2035(4) |
2,237 | 2,247 | ||||||
| CWABS Asset-Backed Certificates Trust 2005-1 |
||||||||
| 5.03%, 07/25/2035(4) |
5,278 | 5,337 | ||||||
| CWABS Asset-Backed Certificates Trust 2005-17 |
||||||||
| 5.56%, 05/25/2036(4) |
19,023 | 19,236 | ||||||
| CWABS, Inc. Asset-Backed Certificates Series 2004-1 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 03/25/2034(2) |
25,886 | 25,993 | ||||||
| 2.62% (1 Month LIBOR USD + 0.83%, 0.55% Floor), 03/25/2034(2) |
6,897 | 6,873 | ||||||
| 2.35% (1 Month LIBOR USD + 0.56%, 0.28% Floor), 04/25/2034(2) |
1,112 | 1,066 | ||||||
| CWABS, Inc. Asset-Backed Certificates Trust 2004-6 |
||||||||
| 2.69% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 10/25/2034(2) |
10,345 | 9,985 | ||||||
| 2.57% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 11/25/2034(2) |
639,595 | 626,152 | ||||||
| Delta Air Lines 2015-1 Class AA Pass Through Trust |
| 3.63%, 07/30/2027 |
1,074,820 | 1,139,722 | ||||||
| Diamond Resorts Owner Trust |
||||||||
| 3.27%, 10/22/2029(3) |
1,397,764 | 1,411,141 | ||||||
| Diamond Resorts Owner Trust 2018-1 |
||||||||
| 3.70%, 01/21/2031(3) |
3,316,896 | 3,393,373 | ||||||
| Diamond Resorts Owner Trust 2019-1 |
||||||||
| 3.53%, 02/20/2032(3) |
8,221,129 | 8,211,434 | ||||||
| Discover Card Execution Note Trust |
||||||||
| 2.01% (1 Month LIBOR USD + 0.27%), 12/15/2023(2) |
4,368,000 | 4,372,339 | ||||||
| 3.04%, 07/15/2024 |
3,302,000 | 3,379,782 | ||||||
| Drive Auto Receivables Trust |
||||||||
| 3.36%, 10/17/2022 |
4,328,687 | 4,335,291 | ||||||
| 3.66%, 11/15/2024 |
7,634,000 | 7,705,133 | ||||||
| Drive Auto Receivables Trust 2016-C |
||||||||
| 4.18%, 03/15/2024(3) |
2,836,885 | 2,871,079 | ||||||
| Drive Auto Receivables Trust 2017-1 |
||||||||
| 2.84%, 04/15/2022 |
108,618 | 108,645 | ||||||
| 3.84%, 03/15/2023 |
5,373,000 | 5,427,565 | ||||||
| Drive Auto Receivables Trust 2017-2 |
||||||||
| 2.75%, 09/15/2023 |
421,983 | 422,005 | ||||||
| Drive Auto Receivables Trust 2017-3 |
||||||||
| 2.80%, 07/15/2022 |
494,546 | 494,711 | ||||||
| 3.53%, 12/15/2023(3) |
12,000,000 | 12,110,173 | ||||||
| Drive Auto Receivables Trust 2017-A |
||||||||
| 2.98%, 01/18/2022(3) |
81,792 | 81,813 | ||||||
| 4.16%, 05/15/2024(3) |
1,724,000 | 1,747,466 | ||||||
| Drive Auto Receivables Trust 2017-B |
||||||||
| 3.72%, 10/17/2022(3) |
1,875,334 | 1,883,067 | ||||||
| Drive Auto Receivables Trust 2019-1 |
||||||||
| 3.08%, 09/15/2021 |
122,577 | 122,626 | ||||||
| 4.09%, 06/15/2026 |
2,645,000 | 2,722,548 | ||||||
| Drive Auto Receivables Trust 2019-2 |
||||||||
| 3.17%, 11/15/2023 |
4,747,000 | 4,794,790 | ||||||
| Drive Auto Receivables Trust 2019-3 |
||||||||
| 2.65%, 02/15/2024 |
4,200,000 | 4,228,617 | ||||||
| Drive Auto Receivables Trust 2019-4 |
||||||||
| 2.23%, 01/16/2024 |
6,016,000 | 6,017,002 | ||||||
| DT Auto Owner Trust 2017-1 |
||||||||
| 3.55%, 11/15/2022(3) |
3,844,449 | 3,865,406 | ||||||
| DT Auto Owner Trust 2017-3 |
||||||||
| 3.58%, 05/15/2023(3) |
1,662,000 | 1,671,864 | ||||||
| DT Auto Owner Trust 2018-2 |
||||||||
| 3.43%, 05/16/2022(3) |
4,914,141 | 4,921,027 | ||||||
| 3.67%, 03/15/2024(3) |
8,250,000 | 8,327,344 | ||||||
| DT Auto Owner Trust 2018-3 |
||||||||
| 3.02%, 02/15/2022(3) |
3,451,041 | 3,458,065 | ||||||
| DT Auto Owner Trust 2019-1 |
||||||||
| 3.08%, 09/15/2022(3) |
5,096,042 | 5,114,348 | ||||||
| DT Auto Owner Trust 2019-2 |
||||||||
| 2.85%, 09/15/2022(3) |
2,013,385 | 2,020,039 | ||||||
| DT Auto Owner Trust 2019-3 |
||||||||
| 2.55%, 08/15/2022(3) |
2,524,124 | 2,529,984 | ||||||
| DT Auto Owner Trust 2019-4 |
||||||||
| 2.17%, 05/15/2023(3) |
8,005,541 | 8,008,468 | ||||||
| 2.73%, 07/15/2025(3) |
7,080,000 | 7,068,132 | ||||||
| DTAT Asset Trust 2017-B |
||||||||
| 5.84%, 12/16/2020(3)(14) |
3,400,000 | 3,402,777 | ||||||
| Engs Commercial Finance Trust 2016-1 |
||||||||
| 2.63%, 02/22/2022(3) |
136,622 | 136,691 | ||||||
| Exeter Automobile Receivables Trust 2016-1 |
| 5.52%, 10/15/2021(3) |
471,654 | 473,091 | ||||||
| Exeter Automobile Receivables Trust 2017-1 |
||||||||
| 3.95%, 12/15/2022(3) |
835,000 | 842,246 | ||||||
| Exeter Automobile Receivables Trust 2017-2 |
||||||||
| 2.82%, 05/16/2022(3) |
2,491,313 | 2,494,327 | ||||||
| Exeter Automobile Receivables Trust 2017-3 |
||||||||
| 3.68%, 07/17/2023(3) |
3,836,000 | 3,894,600 | ||||||
| Exeter Automobile Receivables Trust 2018-3 |
||||||||
| 2.90%, 01/18/2022(3) |
137,442 | 137,475 | ||||||
| Exeter Automobile Receivables Trust 2018-4 |
||||||||
| 3.64%, 11/15/2022(3) |
2,743,000 | 2,756,140 | ||||||
| Exeter Automobile Receivables Trust 2019-2 |
||||||||
| 2.93%, 07/15/2022(3) |
2,212,057 | 2,219,004 | ||||||
| Exeter Automobile Receivables Trust 2019-4 |
||||||||
| 2.18%, 01/17/2023(3) |
5,363,264 | 5,364,854 | ||||||
| First Investors Auto Owner Trust 2015-2 |
||||||||
| 4.22%, 12/15/2021(3) |
280,000 | 281,535 | ||||||
| First Investors Auto Owner Trust 2017-1 |
||||||||
| 2.67%, 04/17/2023(3) |
2,767,000 | 2,770,493 | ||||||
| 3.60%, 04/17/2023(3) |
2,847,000 | 2,889,800 | ||||||
| First Investors Auto Owner Trust 2018-1 |
||||||||
| 2.84%, 05/16/2022(3) |
393,740 | 393,907 | ||||||
| First Investors Auto Owner Trust 2019-2 |
||||||||
| 2.21%, 09/16/2024(3) |
5,733,630 | 5,731,079 | ||||||
| Flagship Credit Auto Trust 2015-3 |
||||||||
| 4.65%, 03/15/2022(3) |
563,418 | 567,893 | ||||||
| Flagship Credit Auto Trust 2016-1 |
||||||||
| 6.22%, 06/15/2022(3) |
3,000,000 | 3,077,951 | ||||||
| Flagship Credit Auto Trust 2016-4 |
||||||||
| 2.71%, 11/15/2022(3) |
1,743,000 | 1,744,789 | ||||||
| Flagship Credit Auto Trust 2017-2 |
||||||||
| 2.96%, 07/15/2023(3) |
5,195,000 | 5,228,036 | ||||||
| 3.62%, 07/15/2023(3) |
2,995,000 | 3,031,838 | ||||||
| Flagship Credit Auto Trust 2018-3 |
||||||||
| 3.79%, 12/16/2024(3) |
7,710,000 | 7,905,807 | ||||||
| Flagship Credit Auto Trust 2019-1 |
||||||||
| 3.11%, 08/15/2023(3) |
6,685,877 | 6,742,303 | ||||||
| Flagship Credit Auto Trust 2019-2 |
||||||||
| 2.83%, 10/16/2023(3) |
10,703,115 | 10,766,953 | ||||||
| Flagship Credit Auto Trust 2019-4 |
||||||||
| 2.17%, 06/17/2024(3) |
13,483,049 | 13,486,513 | ||||||
| 3.12%, 01/15/2026(3) |
9,275,000 | 9,255,035 | ||||||
| Ford Credit Auto Owner Trust 2016-REV1 |
||||||||
| 2.31%, 08/15/2027(3) |
7,000,000 | 7,024,898 | ||||||
| Ford Credit Auto Owner Trust 2016-REV2 |
||||||||
| 2.03%, 12/15/2027(3) |
10,000,000 | 9,999,862 | ||||||
| Ford Credit Auto Owner Trust 2017-C |
||||||||
| 2.01%, 03/15/2022 |
2,796,802 | 2,798,103 | ||||||
| Ford Credit Auto Owner Trust 2018-REV1 |
||||||||
| 3.19%, 07/15/2031(3) |
24,024,000 | 24,956,871 | ||||||
| Ford Credit Auto Owner Trust 2019-A |
||||||||
| 2.85%, 08/15/2024 |
4,688,000 | 4,770,593 | ||||||
| Ford Credit Auto Owner Trust 2019-C |
||||||||
| 1.93%, 04/15/2025 |
11,052,000 | 11,025,602 | ||||||
| Ford Credit Auto Owner Trust 2019-REV1 |
||||||||
| 3.52%, 07/15/2030(3) |
2,150,000 | 2,255,570 | ||||||
| FORT CRE 2018-1 LLC |
||||||||
| 4.62% (1 Month LIBOR USD + 2.83%, 2.83% Floor), 11/16/2035(2)(3) |
11,800,000 | 11,875,673 | ||||||
| Foundation Finance Trust 2017-1 |
||||||||
| 3.30%, 07/15/2033(3) |
1,924,744 | 1,933,074 |
| Foundation Finance Trust 2019-1 |
||||||||
| 3.86%, 11/15/2034(3) |
3,582,463 | 3,634,549 | ||||||
| Foursight Capital Automobile Receivables Trust 2017-1 |
||||||||
| 3.05%, 12/15/2022(3) |
4,000,000 | 4,019,088 | ||||||
| FREED ABS TRUST 2018-1 |
||||||||
| 3.61%, 07/18/2024(3) |
1,371,281 | 1,377,246 | ||||||
| FREED ABS TRUST 2018-2 |
||||||||
| 3.99%, 10/20/2025(3) |
3,063,546 | 3,084,649 | ||||||
| FREED ABS TRUST 2019-2 |
||||||||
| 2.62%, 11/18/2026(3) |
4,182,938 | 4,182,764 | ||||||
| FTF 2019-1 A FRN |
||||||||
| 5.50%, 8/15/2020(4)(14) |
9,741,600 | 9,744,910 | ||||||
| Galaxy XXIX CLO Ltd. |
||||||||
| 2.70% (3 Month LIBOR USD + 0.79%), 11/15/2026(2)(3) |
5,449,928 | 5,447,133 | ||||||
| GE Capital Mortgage Services, Inc. 1999-HE1 Trust |
||||||||
| 6.27%, 04/25/2029 |
19 | 19 | ||||||
| 6.71%, 04/25/2029(4) |
21,631 | 18,354 | ||||||
| GM Financial Consumer Automobile 2017-1 |
||||||||
| 1.78%, 10/18/2021(3) |
2,629,268 | 2,627,896 | ||||||
| GM Financial Consumer Automobile Receivables Trust 2018-1 |
||||||||
| 2.32%, 07/18/2022 |
4,870,971 | 4,883,780 | ||||||
| GM Financial Consumer Automobile Receivables Trust 2018-4 |
||||||||
| 3.62%, 06/17/2024 |
1,400,000 | 1,436,848 | ||||||
| GMAT 2013-1 Trust |
||||||||
| 6.97%, 11/25/2043(1)(3) |
13,387 | 13,384 | ||||||
| GMF Floorplan Owner Revolving Trust |
||||||||
| 2.90%, 04/15/2026(3) |
17,200,000 | 17,569,759 | ||||||
| Gold Key Resorts 2014-A LLC |
||||||||
| 3.22%, 03/17/2031(3) |
298,581 | 298,738 | ||||||
| Golden Bear 2016-R LLC |
||||||||
| 5.65%, 09/20/2047(3) |
1,407,136 | 1,414,534 | ||||||
| Goodgreen 2017-1 Trust |
||||||||
| 3.74%, 10/15/2052(3) |
1,390,486 | 1,432,588 | ||||||
| Goodgreen 2017-2 Trust |
||||||||
| 3.26%, 10/15/2053(3) |
3,794,017 | 3,846,088 | ||||||
| Goodgreen 2017-R1 Trust |
||||||||
| 5.00%, 10/20/2051(3)(4) |
6,408,046 | 6,319,709 | ||||||
| Goodgreen 2019-2 Trust |
||||||||
| 2.76%, 10/15/2054(3) |
5,452,440 | 5,403,336 | ||||||
| Greenwood Park CLO Ltd. |
||||||||
| 3.01% (3 Month LIBOR USD + 1.01%), 04/15/2031(2)(3) |
23,000,000 | 22,866,255 | ||||||
| Greywolf CLO VI Ltd. |
||||||||
| 2.97% (3 Month LIBOR USD + 1.03%), 04/26/2031(2)(3) |
14,000,000 | 13,869,296 | ||||||
| GSAMP Trust 2005-WMC2 |
||||||||
| 2.41% (1 Month LIBOR USD + 0.62%, 0.31% Floor), 11/25/2035(2) |
1,197,178 | 1,199,464 | ||||||
| GSAMP Trust 2006-HE7 |
||||||||
| 2.02% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2046(2) |
1,107,695 | 1,103,286 | ||||||
| Headlands Residential 2018-RPL1 LLC |
||||||||
| 4.25%, 06/25/2023(1)(3) |
8,245,000 | 8,313,906 | ||||||
| HERO Funding 2017-3 |
||||||||
| 3.95%, 09/20/2048(3) |
3,298,473 | 3,367,667 | ||||||
| HERO Funding II 2016-3B |
||||||||
| 5.24%, 09/20/2042(3) |
745,787 | 756,820 | ||||||
| HERO Funding Trust 2016-2 |
||||||||
| 3.75%, 09/20/2041(3) |
1,878,605 | 1,913,679 | ||||||
| HERO Funding Trust 2016-3 |
||||||||
| 3.08%, 09/20/2042(3) |
822,213 | 825,283 | ||||||
| HERO Funding Trust 2016-4A |
||||||||
| 3.57%, 09/20/2047(3) |
2,534,160 | 2,594,243 | ||||||
| HERO Funding Trust 2017-1A |
| 4.46%, 09/20/2047(3) |
4,445,945 | 4,639,052 | ||||||
| HERO Funding Trust 2017-2 |
||||||||
| 3.28%, 09/20/2048(3) |
4,168,816 | 4,213,341 | ||||||
| Hilton Grand Vacations Trust 2017-A |
||||||||
| 2.66%, 12/26/2028(3) |
1,274,717 | 1,279,526 | ||||||
| Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A |
||||||||
| 1.99% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 03/25/2036(2) |
28,983 | 28,652 | ||||||
| Honda Auto Receivables 2017-4 Owner Trust |
||||||||
| 2.05%, 11/22/2021 |
2,757,203 | 2,758,758 | ||||||
| Hyundai Auto Receivables Trust 2019-A |
||||||||
| 2.66%, 06/15/2023 |
3,452,000 | 3,488,432 | ||||||
| Hyundai Auto Receivables Trust 2019-B |
||||||||
| 2.00%, 04/15/2025 |
3,822,000 | 3,815,378 | ||||||
| Imc Home Equity Loan Trust 1997-5 |
||||||||
| 6.88%, 11/20/2028 |
44 | 43 | ||||||
| JP Morgan Mortgage Acquisition Trust 2006-CH1 |
||||||||
| 1.92% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 07/25/2036(2) |
467,714 | 467,491 | ||||||
| Kabbage Funding LLC |
||||||||
| 3.83%, 03/15/2024(3) |
13,684,000 | 13,833,589 | ||||||
| 4.07%, 03/15/2024(3) |
7,519,000 | 7,592,217 | ||||||
| KGS-Alpha SBA COOF Trust |
||||||||
| 0.62%, 05/25/2039(3)(4) |
2,349,798 | 36,008 | ||||||
| KGS-Alpha SBA COOF Trust 2012-2 |
||||||||
| 0.83%, 08/25/2038(3)(4) |
2,843,826 | 62,308 | ||||||
| KGS-Alpha SBA COOF Trust 2014-2 |
||||||||
| 2.92%, 04/25/2040(3)(4) |
901,864 | 72,904 | ||||||
| KKR CLO 11 Ltd. |
||||||||
| 3.18% (3 Month LIBOR USD + 1.18%), 01/15/2031(2)(3) |
6,250,000 | 6,207,537 | ||||||
| KVK CLO 2018-1 Ltd. |
||||||||
| 2.83% (3 Month LIBOR USD + 0.93%), 05/20/2029(2)(3) |
25,000,000 | 24,867,875 | ||||||
| Laurel Road Prime Student Loan Trust 2017-C |
||||||||
| 2.81%, 11/25/2042(3) |
4,963,665 | 4,977,430 | ||||||
| Laurel Road Prime Student Loan Trust 2018-B |
||||||||
| 3.54%, 05/26/2043(3) |
9,733,006 | 9,949,715 | ||||||
| Legacy Mortgage Asset Trust 2019-GS4 |
||||||||
| 3.44%, 05/25/2059(1)(3) |
4,333,543 | 4,351,944 | ||||||
| Lendingpoint 2019-2 Asset Securitization Trust |
||||||||
| 3.07%, 11/10/2025(3) |
8,669,375 | 8,666,593 | ||||||
| Lendmark Funding Trust 2018-1 |
||||||||
| 5.03%, 12/21/2026(3) |
1,900,000 | 1,942,324 | ||||||
| LL ABS Trust 2019-1 |
||||||||
| 2.87%, 03/15/2027(3) |
6,015,000 | 6,014,494 | ||||||
| Long Beach Mortgage Loan Trust 2004-1 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 02/25/2034(2) |
166,577 | 165,032 | ||||||
| Long Beach Mortgage Loan Trust 2004-3 |
||||||||
| 2.65% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034(2) |
38,284 | 37,375 | ||||||
| LV Tower 52 Issuer 2013-1 |
||||||||
| 5.75%, 02/15/2023(3)(14) |
3,346,658 | 3,363,391 | ||||||
| 7.75%, 02/15/2023(3)(14) |
1,269,758 | 1,282,418 | ||||||
| Magnetite XVI Ltd. |
||||||||
| 2.80% (3 Month LIBOR USD + 0.80%), 01/18/2028(2)(3) |
12,000,000 | 11,975,964 | ||||||
| Man GLG US CLO 2018-2 Ltd. |
||||||||
| 3.24% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 10/15/2028(2)(3) |
8,000,000 | 7,988,416 | ||||||
| Mariner Finance Issuance Trust 2019-A |
||||||||
| 3.51%, 07/20/2032(3) |
5,235,000 | 5,240,860 | ||||||
| Marlette Funding Trust 2018-2 |
||||||||
| 3.06%, 07/17/2028(3) |
584,388 | 584,742 | ||||||
| MASTR Asset Backed Securities Trust 2006-NC1 |
||||||||
| 2.39% (1 Month LIBOR USD + 0.60%, 0.30% Floor), 01/25/2036(2) |
963,495 | 964,633 | ||||||
| MidOcean Credit CLO III |
| 3.09% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031(2)(3) |
15,400,000 | 15,234,866 | ||||||
| MidOcean Credit CLO IX |
||||||||
| 3.12% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/20/2031(2)(3) |
4,000,000 | 3,961,208 | ||||||
| MidOcean Credit CLO VIII |
||||||||
| 3.05% (3 Month LIBOR USD + 1.15%), 02/20/2031(2)(3) |
18,000,000 | 17,837,946 | ||||||
| Mid-State Capital Corp. 2006-1 Trust |
||||||||
| 6.08%, 10/15/2040(3) |
685,595 | 758,059 | ||||||
| Mid-State Capital Trust 2010-1 |
||||||||
| 3.50%, 12/15/2045(3) |
185,565 | 189,379 | ||||||
| 5.25%, 12/15/2045(3) |
333,916 | 346,571 | ||||||
| MMAF Equipment Finance LLC 2019-B |
||||||||
| 2.29%, 11/12/2041(3) |
7,200,000 | 7,103,125 | ||||||
| Mountain View CLO 2015-9 Ltd. |
||||||||
| 3.12% (3 Month LIBOR USD + 1.12%), 07/15/2031(2)(3) |
20,000,000 | 19,708,420 | ||||||
| MRA ISSUANCE TR 2019-3 REGD |
||||||||
| 0.00%, 1/31/2020 |
3,900,000 | 3,896,281 | ||||||
| Navient Private Education Refi Loan Trust 2018-A |
||||||||
| 3.19%, 02/18/2042(3) |
15,200,000 | 15,290,198 | ||||||
| Navient Private Education Refi Loan Trust 2018-C |
||||||||
| 3.52%, 06/16/2042(3) |
5,700,000 | 5,788,135 | ||||||
| Navient Private Education Refi Loan Trust 2019-C |
||||||||
| 3.13%, 02/15/2068(3) |
6,600,000 | 6,630,133 | ||||||
| Navient Student Loan Trust 2018-EA |
||||||||
| 4.00%, 12/15/2059(3) |
6,200,000 | 6,416,870 | ||||||
| New Century Home Equity Loan Trust Series 2003-5 |
||||||||
| 5.04%, 11/25/2033(1) |
162,361 | 164,282 | ||||||
| New Residential Mortgage Loan Trust 2018-1 |
||||||||
| 4.00%, 12/25/2057(3)(4) |
8,377,089 | 8,678,907 | ||||||
| Nissan Auto Receivables 2019-A Owner Trust |
||||||||
| 2.82%, 01/18/2022 |
6,935,193 | 6,958,541 | ||||||
| Nissan Auto Receivables 2019-C Owner Trust |
||||||||
| 1.93%, 07/15/2024 |
5,270,000 | 5,270,253 | ||||||
| Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-FM1 |
||||||||
| 2.02% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 11/25/2035(2) |
8,214,630 | 8,164,646 | ||||||
| Oakwood Mortgage Investors, Inc. |
||||||||
| 6.45%, 12/15/2023 |
1,565 | 1,587 | ||||||
| OCP CLO 2017-13 Ltd. |
||||||||
| 3.26% (3 Month LIBOR USD + 1.26%), 07/15/2030(2)(3) |
4,250,000 | 4,247,900 | ||||||
| OL SP 2018-B LLC |
||||||||
| 4.16%, 02/09/2030 |
2,604,906 | 2,638,617 | ||||||
| 4.61%, 02/09/2030 |
566,284 | 575,477 | ||||||
| OnDeck Asset Securitization Trust LLC |
||||||||
| 3.50%, 04/18/2022(3) |
5,796,000 | 5,801,009 | ||||||
| OneMain Direct Auto Receivables Trust 2017-2 |
||||||||
| 2.55%, 11/14/2023(3) |
17,900,000 | 17,911,807 | ||||||
| 2.82%, 07/15/2024(3) |
4,300,000 | 4,309,455 | ||||||
| OneMain Direct Auto Receivables Trust 2018-1 |
||||||||
| 3.43%, 12/16/2024(3) |
19,400,000 | 19,655,036 | ||||||
| OneMain Financial Issuance Trust 2016-1 |
||||||||
| 3.66%, 02/20/2029(3) |
401,832 | 402,630 | ||||||
| 6.00%, 02/20/2029(3) |
1,900,000 | 1,932,883 | ||||||
| OneMain Financial Issuance Trust 2017-1 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.80%), 09/14/2032(2)(3) |
8,905,332 | 8,910,079 | ||||||
| Onemain Financial Issuance Trust 2018-1 |
||||||||
| 3.30%, 03/14/2029(3) |
3,060,000 | 3,104,673 | ||||||
| Oportun Funding VI LLC |
||||||||
| 3.23%, 06/08/2023(3) |
1,957,000 | 1,957,187 | ||||||
| 3.97%, 06/08/2023(3)(4) |
5,150,000 | 5,153,049 | ||||||
| Oportun Funding VII LLC |
||||||||
| 3.22%, 10/10/2023(3) |
1,691,000 | 1,694,024 |
| Oportun Funding VIII LLC |
||||||||
| 3.61%, 03/08/2024(3) |
2,978,000 | 3,004,030 | ||||||
| Oportun Funding X LLC |
||||||||
| 4.10%, 10/08/2024(3) |
5,900,000 | 6,055,892 | ||||||
| Oportun Funding XII LLC |
||||||||
| 4.15%, 12/09/2024(3) |
4,200,000 | 4,292,908 | ||||||
| Option One Mortgage Loan Trust 2004-3 |
||||||||
| 2.69% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 11/25/2034(2) |
1,691,802 | 1,618,884 | ||||||
| OZLM Funding IV Ltd. |
||||||||
| 3.20% (3 Month LIBOR USD + 1.25%), 10/22/2030(2)(3) |
10,000,000 | 9,930,870 | ||||||
| OZLM XI Ltd. |
||||||||
| 3.19% (3 Month LIBOR USD + 1.25%), 10/30/2030(2)(3) |
5,000,000 | 4,967,030 | ||||||
| OZLM XV Ltd. |
||||||||
| 3.46% (3 Month LIBOR USD + 1.49%), 01/20/2029(2)(3) |
7,750,000 | 7,746,109 | ||||||
| OZLM XXII Ltd. |
||||||||
| 3.07% (3 Month LIBOR USD + 1.07%), 01/17/2031(2)(3) |
7,000,000 | 6,942,593 | ||||||
| P4 SFR 2019-STL A 7.5 11 OCT 2026 |
||||||||
| 7.50%, 10/11/2022(14) |
5,700,000 | 5,700,000 | ||||||
| Palmer Square CLO 2014-1 Ltd. |
||||||||
| 3.13% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031(2)(3) |
4,000,000 | 3,984,708 | ||||||
| Palmer Square CLO 2015-2 Ltd. |
||||||||
| 3.24% (3 Month LIBOR USD + 1.27%), 07/20/2030(2)(3) |
13,925,000 | 13,925,585 | ||||||
| Palmer Square CLO 2018-2 Ltd. |
||||||||
| 3.10% (3 Month LIBOR USD + 1.10%), 07/16/2031(2)(3) |
20,000,000 | 19,871,300 | ||||||
| Park Avenue Institutional Advisers CLO Ltd. 2018-1 |
||||||||
| 3.25% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/20/2031(2)(3) |
21,500,000 | 21,418,687 | ||||||
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCH |
||||||||
| 2.63% (1 Month LIBOR USD + 0.84%, 0.56% Floor), 01/25/2036(2) |
495,332 | 495,510 | ||||||
| Pretium Mortgage Credit Partners I 2018-NPL4 LLC |
||||||||
| 4.83%, 09/25/2058(1)(3) |
3,375,712 | 3,392,047 | ||||||
| Progress Residential 2015-SFR3 Trust |
||||||||
| 3.07%, 11/12/2032(3) |
5,188,367 | 5,181,632 | ||||||
| 4.67%, 11/12/2032(3) |
295,000 | 294,661 | ||||||
| 5.66%, 11/12/2032(3) |
1,000,000 | 999,000 | ||||||
| Progress Residential 2017-SFR1 Trust |
||||||||
| 3.02%, 08/17/2034(3) |
2,000,000 | 1,996,858 | ||||||
| Progress Residential 2018-SFR2 Trust |
||||||||
| 4.34%, 08/17/2035(3) |
2,390,000 | 2,431,149 | ||||||
| 4.66%, 08/17/2035(3) |
3,853,000 | 3,935,555 | ||||||
| PRPM LLC |
||||||||
| 3.35%, 11/25/2024(1)(3) |
6,423,000 | 6,422,929 | ||||||
| Purchasing Power Funding 2018-A LLC |
||||||||
| 3.34%, 08/15/2022(3) |
10,875,000 | 10,890,972 | ||||||
| RAMP Series 2005-RS1 Trust |
||||||||
| 4.71%, 11/25/2034 |
854 | 857 | ||||||
| Regional Management Issuance Trust 2018-1 |
||||||||
| 4.28%, 07/15/2027(3) |
3,100,000 | 3,123,595 | ||||||
| Renaissance Home Equity Loan Trust |
||||||||
| 5.61%, 04/25/2037(1) |
299,041 | 130,804 | ||||||
| Renew 2017-1 |
||||||||
| 3.67%, 09/20/2052(3) |
1,787,093 | 1,832,664 | ||||||
| Rice Park Financing Trust 2016-A |
||||||||
| 4.63%, 10/31/2041(3) |
3,006,376 | 3,075,075 | ||||||
| Santander Drive Auto Receivables Trust 2015-5 |
||||||||
| 4.67%, 02/15/2023(3) |
9,500,000 | 9,526,353 | ||||||
| Santander Drive Auto Receivables Trust 2017-1 |
||||||||
| 2.58%, 05/16/2022 |
1,796,167 | 1,797,449 | ||||||
| 3.17%, 04/17/2023 |
5,074,000 | 5,116,830 | ||||||
| Santander Drive Auto Receivables Trust 2017-2 |
||||||||
| 2.79%, 08/15/2022 |
7,457,654 | 7,469,488 |
| 3.49%, 07/17/2023 |
1,633,000 | 1,651,074 | ||||||
| Santander Drive Auto Receivables Trust 2018-5 |
||||||||
| 3.81%, 12/16/2024 |
8,470,000 | 8,596,010 | ||||||
| Santander Drive Auto Receivables Trust 2019-1 |
||||||||
| 3.21%, 09/15/2023 |
5,212,000 | 5,255,275 | ||||||
| Santander Drive Auto Receivables Trust 2019-3 |
||||||||
| 2.49%, 10/15/2025 |
5,800,000 | 5,821,447 | ||||||
| Santander Retail Auto Lease Trust 2018-A |
||||||||
| 2.93%, 05/20/2021(3) |
4,180,901 | 4,192,377 | ||||||
| Santander Revolving Auto Loan Trust 2019-A |
||||||||
| 2.51%, 01/26/2032(3) |
4,186,000 | 4,165,710 | ||||||
| SART 2017-1 |
||||||||
| 4.75%, 07/15/2024(14) |
8,463,559 | 8,632,831 | ||||||
| SART 2018-1 |
||||||||
| 4.76%, 06/15/2025(14) |
9,639,924 | 9,832,722 | ||||||
| Securitized Asset Backed Receivables LLC Trust 2006-CB1 |
||||||||
| 3.29%, 01/25/2036(1) |
59,806 | 53,362 | ||||||
| Sierra Timeshare 2019-3 Receivables Funding LLC |
||||||||
| 2.75%, 08/20/2036(3) |
4,969,272 | 4,968,344 | ||||||
| Silvermore CLO Ltd. |
||||||||
| 3.08% (3 Month LIBOR USD + 1.17%), 05/15/2026(2)(3) |
4,085,327 | 4,087,439 | ||||||
| SoFi Consumer Loan Program 2016-2 LLC |
||||||||
| 3.09%, 10/27/2025(3) |
192,209 | 192,669 | ||||||
| Sofi Consumer Loan Program 2018-1 Trust |
||||||||
| 3.14%, 02/25/2027(3) |
8,373,578 | 8,414,376 | ||||||
| SoFi Consumer Loan Program 2019-3 Trust |
||||||||
| 2.90%, 05/25/2028(3) |
4,497,983 | 4,525,754 | ||||||
| SoFi Professional Loan Program 2017-F LLC |
||||||||
| 2.84%, 01/25/2041(3) |
18,200,000 | 18,337,013 | ||||||
| Sofi Professional Loan Program 2018-B Trust |
||||||||
| 2.64%, 08/25/2047(3) |
3,399,378 | 3,404,382 | ||||||
| 3.34%, 08/25/2047(3) |
6,200,000 | 6,299,512 | ||||||
| SoFi Professional Loan Program 2019-C LLC |
||||||||
| 2.37%, 11/16/2048(3) |
7,800,000 | 7,649,393 | ||||||
| Sound Point CLO II Ltd. |
||||||||
| 3.01% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031(2)(3) |
9,000,000 | 8,933,166 | ||||||
| Sound Point CLO XVI Ltd. |
||||||||
| 3.22% (3 Month LIBOR USD + 1.28%), 07/25/2030(2)(3) |
7,750,000 | 7,745,660 | ||||||
| Specialty Underwriting & Residential Finance Trust Series 2004-BC4 |
||||||||
| 2.46% (1 Month LIBOR USD + 0.67%, 0.34% Floor), 10/25/2035(2) |
143,894 | 143,760 | ||||||
| Springleaf Funding Trust 2017-A |
||||||||
| 2.68%, 07/15/2030(3) |
9,900,000 | 9,904,931 | ||||||
| Structured Asset Securities Corp. Mortgage Loan Trust 2005-7XS |
||||||||
| 5.44%, 04/25/2035(1) |
1,169 | 1,199 | ||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2004-6XS |
||||||||
| 6.03%, 03/25/2034(1) |
93,073 | 95,010 | ||||||
| 6.05%, 03/25/2034(1) |
74,435 | 75,982 | ||||||
| Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1 |
||||||||
| 3.45%, 02/25/2032 |
24,491 | 23,652 | ||||||
| 3.45%, 02/25/2032 |
57,761 | 55,832 | ||||||
| Synchrony Card Funding LLC |
||||||||
| 2.95%, 03/15/2025 |
12,384,000 | 12,624,422 | ||||||
| Synchrony Card Issuance Trust |
||||||||
| 3.38%, 09/15/2024 |
5,500,000 | 5,621,582 | ||||||
| Towd Point Mortgage Trust 2017-2 |
||||||||
| 2.75%, 04/25/2057(3)(4) |
5,733,050 | 5,769,765 | ||||||
| Towd Point Mortgage Trust 2017-6 |
||||||||
| 2.75%, 10/25/2057(3)(4) |
5,081,906 | 5,110,769 | ||||||
| Towd Point Mortgage Trust 2018-1 |
||||||||
| 3.00%, 01/25/2058(3)(4) |
7,243,257 | 7,317,281 |
| Towd Point Mortgage Trust 2019-1 |
||||||||
| 3.75%, 03/25/2058(3)(4) |
8,438,085 | 8,755,617 | ||||||
| Towd Point Mortgage Trust 2019-HY3 |
||||||||
| 2.79% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2059(2)(3) |
2,570,905 | 2,574,041 | ||||||
| Toyota Auto Loan Extended Note Trust 2019-1 |
||||||||
| 2.56%, 11/25/2031(3) |
22,125,000 | 22,452,561 | ||||||
| Toyota Auto Receivables 2019-D Owner Trust |
||||||||
| 1.92%, 01/16/2024 |
6,404,000 | 6,399,054 | ||||||
| Trafigura Securitisation Finance Plc 2018-1 |
||||||||
| 3.73%, 03/15/2022(3) |
12,666,667 | 12,919,622 | ||||||
| Tricolor Auto Securitization Trust 2018-1 |
||||||||
| 5.05%, 12/15/2020(3) |
1,638,592 | 1,649,469 | ||||||
| Trinitas CLO IV Ltd. |
||||||||
| 3.18% (3 Month LIBOR USD + 1.18%), 10/18/2031(2)(3) |
7,500,000 | 7,478,520 | ||||||
| Upgrade Receivables Trust 2018-1 |
||||||||
| 3.76%, 11/15/2024(3) |
667,659 | 669,123 | ||||||
| US Auto Funding 2018-1 LLC |
||||||||
| 5.50%, 07/15/2023(3) |
3,575,762 | 3,643,353 | ||||||
| USAA Auto Owner Trust 2019-1 |
||||||||
| 2.14%, 11/15/2024 |
4,004,000 | 4,018,006 | ||||||
| USASF Receivables 2017-A LLC |
||||||||
| 5.75%, 09/15/2030(3) |
760,201 | 759,036 | ||||||
| Venture 32 CLO Ltd. |
||||||||
| 3.10% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031(2)(3) |
6,000,000 | 5,938,476 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL3 |
||||||||
| 3.97%, 03/25/2049(1)(3) |
757,105 | 760,991 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL5 |
||||||||
| 3.35%, 09/25/2049(1)(3) |
5,667,888 | 5,665,057 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL8 |
||||||||
| 3.28%, 11/25/2049(1)(3) |
16,578,053 | 16,537,344 | ||||||
| Verizon Owner Trust 2017-2 |
||||||||
| 1.92%, 12/20/2021(3) |
2,802,380 | 2,802,075 | ||||||
| Verizon Owner Trust 2017-3 |
||||||||
| 2.06%, 04/20/2022(3) |
4,407,374 | 4,408,825 | ||||||
| Verizon Owner Trust 2019-A |
||||||||
| 2.93%, 09/20/2023 |
5,473,000 | 5,561,093 | ||||||
| Verizon Owner Trust 2019-B |
||||||||
| 2.33%, 12/20/2023 |
10,525,000 | 10,597,291 | ||||||
| VM DEBT 2019-1 TR |
||||||||
| 7.50%, 6/15/2024(14) |
7,000,000 | 7,000,000 | ||||||
| Volt 2018-FTI |
||||||||
| 3.13%, 03/29/2021(5) |
925,665 | 921,477 | ||||||
| Volt LXIV LLC |
||||||||
| 3.38%, 10/25/2047(1)(3) |
2,999,423 | 3,001,251 | ||||||
| Volt LXXII LLC |
||||||||
| 4.21%, 10/26/2048(1)(3) |
8,273,202 | 8,263,969 | ||||||
| Volt LXXV LLC |
||||||||
| 4.34%, 01/25/2049(1)(3) |
10,905,595 | 10,970,134 | ||||||
| VOLT LXXXIII LLC |
||||||||
| 3.33%, 11/26/2049(1)(3) |
12,801,695 | 12,793,966 | ||||||
| Voya CLO 2015-1 Ltd. |
||||||||
| 2.90% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029(2)(3) |
6,000,000 | 5,972,970 | ||||||
| VSE 2018-A Voi Mortgage LLC |
||||||||
| 3.56%, 02/20/2036(3) |
2,414,607 | 2,490,686 | ||||||
| Westgate Resorts 2017-1 LLC |
||||||||
| 3.05%, 12/20/2030(3) |
854,511 | 857,780 | ||||||
| 4.05%, 12/20/2030(3) |
1,520,843 | 1,533,189 | ||||||
| Westlake Automobile Receivables Trust 2017-1 |
||||||||
| 2.70%, 10/17/2022(3) |
235,734 | 235,870 | ||||||
| 3.46%, 10/17/2022(3) |
1,202,000 | 1,209,594 |
| Westlake Automobile Receivables Trust 2017-2 |
||||||||
| 2.59%, 12/15/2022(3) |
618,049 | 618,724 | ||||||
| Westlake Automobile Receivables Trust 2019-1 |
||||||||
| 3.06%, 05/16/2022(3) |
8,855,479 | 8,887,132 | ||||||
| Westlake Automobile Receivables Trust 2019-3 |
||||||||
| 2.15%, 02/15/2023(3) |
9,267,000 | 9,266,989 | ||||||
| World Financial Network Credit Card Master Trust |
||||||||
| 3.14%, 12/15/2025 |
5,660,000 | 5,779,796 | ||||||
| World Omni Auto Receivables Trust 2018-D |
||||||||
| 3.33%, 04/15/2024 |
15,916,000 | 16,216,728 | ||||||
| World Omni Auto Receivables Trust 2019-B |
||||||||
| 2.59%, 07/15/2024 |
6,018,000 | 6,085,297 | ||||||
| World Omni Auto Receivables Trust 2019-C |
||||||||
| 1.96%, 12/16/2024 |
5,525,000 | 5,518,753 | ||||||
| Zais CLO 7 Ltd. |
||||||||
| 3.29% (3 Month LIBOR USD + 1.29%), 04/15/2030(2)(3) |
9,600,000 | 9,500,419 | ||||||
| Zais CLO 8 Ltd. |
||||||||
| 2.95% (3 Month LIBOR USD + 0.95%), 04/15/2029(2)(3) |
40,000,000 | 39,719,280 | ||||||
|
|
|
|||||||
| Total Asset-Backed Obligations (Cost: $1,893,917,679) |
1,904,826,812 | |||||||
|
|
|
|||||||
| Corporate Bonds – 29.39% |
||||||||
| Basic Materials – 1.05% |
||||||||
| Air Liquide Finance SA |
||||||||
| 2.25%, 09/27/2023(3) |
550,000 | 547,285 | ||||||
| Albemarle Corp. |
||||||||
| 5.45%, 12/01/2044 |
600,000 | 686,241 | ||||||
| Anglo American Capital Plc |
||||||||
| 3.63%, 09/11/2024(3) |
630,000 | 653,008 | ||||||
| 4.00%, 09/11/2027(3) |
1,020,000 | 1,067,647 | ||||||
| ArcelorMittal |
||||||||
| 6.25%, 02/25/2022 |
6,500,000 | 7,006,328 | ||||||
| Barrick Gold Corp. |
||||||||
| 6.45%, 10/15/2035 |
203,000 | 260,545 | ||||||
| Barrick North America Finance LLC |
||||||||
| 5.75%, 05/01/2043 |
4,480,000 | 5,689,360 | ||||||
| BHP Billiton Finance USA Ltd. |
||||||||
| 6.25% (5 Year Swap Rate USD + 4.97%), 10/19/2075(2)(3) |
985,000 | 1,015,535 | ||||||
| Braskem Netherlands Finance BV |
||||||||
| 5.88%, 01/31/2050(3) |
1,575,000 | 1,565,156 | ||||||
| CF Industries, Inc. |
||||||||
| 5.38%, 03/15/2044 |
2,040,000 | 2,223,600 | ||||||
| CNAC HK Finbridge Co. Ltd. |
||||||||
| 4.13%, 03/14/2021 |
4,255,000 | 4,324,867 | ||||||
| Dow Chemical Co. |
||||||||
| 4.55%, 11/30/2025 |
6,660,000 | 7,350,530 | ||||||
| 5.55%, 11/30/2048 |
3,005,000 | 3,746,333 | ||||||
| DuPont de Nemours, Inc. |
||||||||
| 4.49%, 11/15/2025 |
1,600,000 | 1,760,370 | ||||||
| 5.32%, 11/15/2038 |
3,865,000 | 4,602,877 | ||||||
| 5.42%, 11/15/2048 |
1,200,000 | 1,481,451 | ||||||
| Eastman Chemical Co. |
||||||||
| 4.50%, 01/15/2021 |
352,000 | 358,389 | ||||||
| 4.65%, 10/15/2044 |
2,575,000 | 2,763,816 | ||||||
| Ecolab, Inc. |
||||||||
| 3.25%, 01/14/2023 |
452,000 | 466,185 | ||||||
| FMC Corp. |
||||||||
| 3.95%, 02/01/2022 |
1,725,000 | 1,776,865 | ||||||
| Freeport-McMoRan, Inc. |
||||||||
| 3.55%, 03/01/2022 |
4,971,000 | 5,033,137 | ||||||
| Georgia-Pacific LLC |
| 3.73%, 07/15/2023(3) |
5,380,000 | 5,629,143 | ||||||
| Glencore Finance Canada Ltd. |
||||||||
| 4.25%, 10/25/2022(3) |
5,000,000 | 5,235,130 | ||||||
| Glencore Funding LLC |
||||||||
| 4.13%, 05/30/2023(3) |
54,000 | 56,274 | ||||||
| 4.63%, 04/29/2024(3) |
1,500,000 | 1,590,300 | ||||||
| 4.00%, 03/27/2027(3) |
6,300,000 | 6,541,131 | ||||||
| 3.88%, 10/27/2027(3) |
875,000 | 903,682 | ||||||
| Indonesia Asahan Aluminium Persero PT |
||||||||
| 5.23%, 11/15/2021(3) |
3,561,000 | 3,731,928 | ||||||
| 5.71%, 11/15/2023(3) |
3,478,000 | 3,836,037 | ||||||
| 6.76%, 11/15/2048(3) |
1,140,000 | 1,469,046 | ||||||
| International Flavors & Fragrances, Inc. |
||||||||
| 4.45%, 09/26/2028 |
720,000 | 786,458 | ||||||
| 5.00%, 09/26/2048 |
782,000 | 885,227 | ||||||
| International Paper Co. |
||||||||
| 3.00%, 02/15/2027 |
714,000 | 735,480 | ||||||
| 5.00%, 09/15/2035 |
200,000 | 234,885 | ||||||
| 8.70%, 06/15/2038 |
350,000 | 516,794 | ||||||
| 6.00%, 11/15/2041 |
3,150,000 | 3,922,059 | ||||||
| LYB International Finance BV |
||||||||
| 4.88%, 03/15/2044 |
610,000 | 685,464 | ||||||
| LyondellBasell Industries NV |
||||||||
| 6.00%, 11/15/2021 |
2,628,000 | 2,791,039 | ||||||
| 5.75%, 04/15/2024 |
2,550,000 | 2,875,427 | ||||||
| Mosaic Co. |
||||||||
| 4.25%, 11/15/2023 |
8,533,000 | 9,096,859 | ||||||
| 5.45%, 11/15/2033 |
814,000 | 922,443 | ||||||
| 4.88%, 11/15/2041 |
52,000 | 54,371 | ||||||
| 5.63%, 11/15/2043 |
4,055,000 | 4,756,285 | ||||||
| Newmont Goldcorp Corp. |
||||||||
| 3.63%, 06/09/2021 |
1,810,000 | 1,844,327 | ||||||
| 2.80%, 10/01/2029 |
1,130,000 | 1,117,875 | ||||||
| Nucor Corp. |
||||||||
| 6.40%, 12/01/2037 |
800,000 | 1,081,369 | ||||||
| Nutrien Ltd. |
||||||||
| 3.15%, 10/01/2022 |
875,000 | 893,616 | ||||||
| 4.20%, 04/01/2029 |
420,000 | 462,566 | ||||||
| 4.13%, 03/15/2035 |
1,960,000 | 2,046,538 | ||||||
| 6.13%, 01/15/2041 |
2,850,000 | 3,506,995 | ||||||
| 5.25%, 01/15/2045 |
1,900,000 | 2,234,924 | ||||||
| 5.00%, 04/01/2049 |
600,000 | 713,390 | ||||||
| Orbia Advance Corp. SAB de CV |
||||||||
| 4.88%, 09/19/2022(3) |
3,425,000 | 3,604,847 | ||||||
| Rio Tinto Alcan, Inc. |
||||||||
| 5.75%, 06/01/2035 |
54,000 | 69,568 | ||||||
| Samarco Mineracao SA |
||||||||
| 5.75%, 10/24/2023(3)(6) |
537,000 | 362,475 | ||||||
| SASOL Financing USA LLC |
||||||||
| 5.88%, 03/27/2024 |
3,249,000 | 3,515,428 | ||||||
| 6.50%, 09/27/2028 |
1,555,000 | 1,727,703 | ||||||
| Sherwin-Williams Co. |
||||||||
| 3.13%, 06/01/2024 |
401,000 | 414,222 | ||||||
| Solvay Finance America LLC |
||||||||
| 4.45%, 12/03/2025(3) |
7,000,000 | 7,567,076 | ||||||
| Southern Copper Corp. |
||||||||
| 5.25%, 11/08/2042 |
1,000,000 | 1,147,981 | ||||||
| Steel Dynamics, Inc. |
||||||||
| 3.45%, 04/15/2030 |
1,773,000 | 1,791,367 | ||||||
| Syngenta Finance NV |
| 4.89%, 04/24/2025(3) |
7,000,000 | 7,486,490 | ||||||
| 5.68%, 04/24/2048(3) |
791,000 | 822,502 | ||||||
| Union Carbide Corp. |
||||||||
| 7.50%, 06/01/2025 |
624,000 | 757,963 | ||||||
| 7.75%, 10/01/2096 |
681,000 | 973,280 | ||||||
| Vale Overseas Ltd. |
||||||||
| 6.25%, 08/10/2026 |
5,000,000 | 5,869,000 | ||||||
| 8.25%, 01/17/2034 |
984,000 | 1,381,290 | ||||||
| 6.88%, 11/21/2036 |
167,000 | 217,100 | ||||||
| 6.88%, 11/10/2039 |
2,107,000 | 2,744,367 | ||||||
|
|
|
|||||||
| Total Basic Materials |
165,989,246 | |||||||
|
|
|
|||||||
| Communications – 2.43% |
||||||||
| Amazon.com, Inc. |
||||||||
| 3.88%, 08/22/2037 |
1,700,000 | 1,927,542 | ||||||
| America Movil SAB de CV |
||||||||
| 3.13%, 07/16/2022 |
374,000 | 382,409 | ||||||
| 3.63%, 04/22/2029 |
1,935,000 | 2,034,923 | ||||||
| 4.38%, 04/22/2049 |
1,214,000 | 1,394,109 | ||||||
| AT&T, Inc. |
||||||||
| 2.45%, 06/30/2020 |
4,649,000 | 4,664,760 | ||||||
| 3.20%, 03/01/2022 |
11,089,000 | 11,354,170 | ||||||
| 3.90%, 03/11/2024 |
3,750,000 | 3,986,074 | ||||||
| 3.55%, 06/01/2024 |
2,300,000 | 2,416,842 | ||||||
| 3.95%, 01/15/2025 |
811,000 | 869,229 | ||||||
| 3.40%, 05/15/2025 |
22,556,000 | 23,625,773 | ||||||
| 3.60%, 07/15/2025 |
8,578,000 | 9,071,791 | ||||||
| 4.13%, 02/17/2026 |
3,541,000 | 3,834,642 | ||||||
| 2.95%, 07/15/2026 |
2,000,000 | 2,036,778 | ||||||
| 3.80%, 02/15/2027 |
2,850,000 | 3,034,917 | ||||||
| 4.30%, 02/15/2030 |
1,702,000 | 1,890,870 | ||||||
| 4.50%, 05/15/2035 |
6,175,000 | 6,866,700 | ||||||
| 5.25%, 03/01/2037 |
7,667,000 | 9,140,444 | ||||||
| 4.90%, 08/15/2037 |
5,669,000 | 6,512,749 | ||||||
| 4.85%, 03/01/2039 |
13,085,000 | 15,056,434 | ||||||
| 6.00%, 08/15/2040 |
4,381,000 | 5,597,894 | ||||||
| 5.35%, 09/01/2040 |
776,000 | 934,275 | ||||||
| 6.38%, 03/01/2041 |
7,828,000 | 10,354,033 | ||||||
| 5.38%, 10/15/2041 |
181,000 | 214,848 | ||||||
| 5.15%, 03/15/2042 |
40,000 | 46,618 | ||||||
| 4.30%, 12/15/2042 |
444,000 | 474,357 | ||||||
| 4.65%, 06/01/2044 |
2,145,000 | 2,338,292 | ||||||
| 4.80%, 06/15/2044 |
915,000 | 1,041,067 | ||||||
| 4.35%, 06/15/2045 |
511,000 | 550,071 | ||||||
| 5.15%, 11/15/2046 |
5,722,000 | 6,832,435 | ||||||
| 4.50%, 03/09/2048 |
836,000 | 922,347 | ||||||
| 4.55%, 03/09/2049 |
3,150,000 | 3,487,731 | ||||||
| Booking Holdings, Inc. |
||||||||
| 2.75%, 03/15/2023 |
857,000 | 875,147 | ||||||
| 3.55%, 03/15/2028 |
1,500,000 | 1,596,486 | ||||||
| British Telecommunications Plc |
||||||||
| 9.63%, 12/15/2030 |
101,000 | 155,120 | ||||||
| CBS Corp. |
||||||||
| 3.70%, 08/15/2024 |
848,000 | 897,085 | ||||||
| 4.00%, 01/15/2026 |
1,000,000 | 1,071,620 | ||||||
| 3.70%, 06/01/2028 |
870,000 | 912,762 | ||||||
| 4.90%, 08/15/2044 |
315,000 | 355,516 | ||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital |
||||||||
| 4.91%, 07/23/2025 |
10,000,000 | 11,007,570 | ||||||
| 5.05%, 03/30/2029 |
560,000 | 634,578 | ||||||
| 6.38%, 10/23/2035 |
5,867,000 | 7,389,572 |
| 5.38%, 04/01/2038 |
835,000 | 955,375 | ||||||
| 5.38%, 05/01/2047 |
4,610,000 | 5,157,563 | ||||||
| 4.80%, 03/01/2050 |
10,578,000 | 11,115,745 | ||||||
| 6.83%, 10/23/2055 |
1,745,000 | 2,274,473 | ||||||
| Comcast Cable Holdings LLC |
||||||||
| 10.13%, 04/15/2022 |
186,000 | 218,095 | ||||||
| Comcast Corp. |
||||||||
| 3.60%, 03/01/2024 |
542,000 | 574,286 | ||||||
| 3.95%, 10/15/2025 |
1,614,000 | 1,760,186 | ||||||
| 3.15%, 03/01/2026 |
1,716,000 | 1,797,329 | ||||||
| 3.15%, 02/15/2028 |
1,500,000 | 1,570,622 | ||||||
| 3.55%, 05/01/2028 |
886,000 | 952,228 | ||||||
| 2.65%, 02/01/2030 |
1,977,000 | 1,982,427 | ||||||
| 4.25%, 01/15/2033 |
3,107,000 | 3,593,082 | ||||||
| 4.20%, 08/15/2034 |
555,000 | 632,189 | ||||||
| 6.50%, 11/15/2035 |
2,370,000 | 3,353,354 | ||||||
| 3.90%, 03/01/2038 |
455,000 | 502,902 | ||||||
| 4.60%, 10/15/2038 |
3,293,000 | 3,916,814 | ||||||
| 3.25%, 11/01/2039 |
1,595,000 | 1,615,953 | ||||||
| 3.97%, 11/01/2047 |
154,000 | 169,371 | ||||||
| 4.70%, 10/15/2048 |
7,762,000 | 9,553,815 | ||||||
| 4.00%, 11/01/2049 |
638,000 | 708,609 | ||||||
| 4.05%, 11/01/2052 |
300,000 | 336,272 | ||||||
| 4.95%, 10/15/2058 |
4,495,000 | 5,836,438 | ||||||
| Corning, Inc. |
||||||||
| 3.90%, 11/15/2049 |
2,672,000 | 2,705,628 | ||||||
| Cox Communications, Inc. |
||||||||
| 3.25%, 12/15/2022(3) |
348,000 | 357,788 | ||||||
| 3.85%, 02/01/2025(3) |
1,250,000 | 1,323,780 | ||||||
| 3.35%, 09/15/2026(3) |
369,000 | 380,816 | ||||||
| 3.50%, 08/15/2027(3) |
8,245,000 | 8,612,770 | ||||||
| 4.80%, 02/01/2035(3) |
6,000,000 | 6,633,193 | ||||||
| 8.38%, 03/01/2039(3) |
1,500,000 | 2,250,918 | ||||||
| 4.60%, 08/15/2047(3) |
588,000 | 650,999 | ||||||
| Crown Castle Towers LLC |
||||||||
| 3.22%, 05/15/2022(3) |
589,000 | 595,090 | ||||||
| 3.66%, 05/15/2025(3) |
955,000 | 990,434 | ||||||
| Deutsche Telekom International Finance BV |
||||||||
| 2.23%, 01/17/2020(3) |
4,602,000 | 4,602,255 | ||||||
| 3.60%, 01/19/2027(3) |
508,000 | 534,427 | ||||||
| 8.75%, 06/15/2030 |
49,000 | 71,916 | ||||||
| 4.88%, 03/06/2042(3) |
240,000 | 282,582 | ||||||
| Discovery Communications LLC |
||||||||
| 4.38%, 06/15/2021 |
752,000 | 776,464 | ||||||
| 3.95%, 03/20/2028 |
631,000 | 672,785 | ||||||
| 6.35%, 06/01/2040 |
1,161,000 | 1,473,954 | ||||||
| Fox Corp. |
||||||||
| 4.71%, 01/25/2029(3) |
1,040,000 | 1,184,452 | ||||||
| Grupo Televisa SAB |
||||||||
| 6.13%, 01/31/2046 |
382,000 | 458,888 | ||||||
| Level 3 Financing, Inc. |
||||||||
| 3.40%, 03/01/2027(3) |
7,000,000 | 7,049,210 | ||||||
| NBCUniversal Media LLC |
||||||||
| 5.95%, 04/01/2041 |
527,000 | 723,644 | ||||||
| 4.45%, 01/15/2043 |
15,000 | 17,459 | ||||||
| Qwest Corp. |
||||||||
| 6.75%, 12/01/2021 |
3,866,000 | 4,159,363 | ||||||
| Rogers Communications, Inc. |
||||||||
| 4.35%, 05/01/2049 |
1,335,000 | 1,489,863 | ||||||
| Sky Ltd. |
| 3.75%, 09/16/2024(3) |
287,000 | 307,168 | ||||||
| TCI Communications, Inc. |
||||||||
| 7.13%, 02/15/2028 |
138,000 | 182,865 | ||||||
| Telecom Italia Capital SA |
||||||||
| 7.20%, 07/18/2036 |
1,644,000 | 1,947,811 | ||||||
| Telefonica Emisiones SA |
||||||||
| 5.13%, 04/27/2020 |
500,000 | 504,733 | ||||||
| 5.46%, 02/16/2021 |
233,000 | 241,787 | ||||||
| 4.10%, 03/08/2027 |
4,775,000 | 5,163,292 | ||||||
| 4.67%, 03/06/2038 |
1,175,000 | 1,302,770 | ||||||
| 4.90%, 03/06/2048 |
1,075,000 | 1,227,196 | ||||||
| Tencent Holdings Ltd. |
||||||||
| 2.88%, 02/11/2020(3) |
4,517,000 | 4,520,072 | ||||||
| Time Warner Cable LLC |
||||||||
| 6.55%, 05/01/2037 |
375,000 | 459,074 | ||||||
| 7.30%, 07/01/2038 |
1,418,000 | 1,845,951 | ||||||
| 6.75%, 06/15/2039 |
539,000 | 682,998 | ||||||
| 5.88%, 11/15/2040 |
1,275,000 | 1,459,996 | ||||||
| 5.50%, 09/01/2041 |
6,815,000 | 7,594,584 | ||||||
| Time Warner Entertainment Co. LP |
||||||||
| 8.38%, 07/15/2033 |
529,000 | 740,785 | ||||||
| TWDC Enterprises 18 Corp. |
||||||||
| 3.00%, 07/30/2046 |
160,000 | 157,693 | ||||||
| Verizon Communications, Inc. |
||||||||
| 4.13%, 03/16/2027 |
2,800,000 | 3,105,189 | ||||||
| 3.88%, 02/08/2029 |
765,000 | 843,600 | ||||||
| 4.02%, 12/03/2029 |
712,000 | 795,301 | ||||||
| 4.50%, 08/10/2033 |
7,079,000 | 8,260,123 | ||||||
| 4.40%, 11/01/2034 |
4,843,000 | 5,603,379 | ||||||
| 4.27%, 01/15/2036 |
6,470,000 | 7,305,350 | ||||||
| 5.25%, 03/16/2037 |
731,000 | 916,012 | ||||||
| 4.81%, 03/15/2039 |
7,941,000 | 9,562,392 | ||||||
| 4.86%, 08/21/2046 |
10,285,000 | 12,729,044 | ||||||
| 4.52%, 09/15/2048 |
2,549,000 | 3,048,800 | ||||||
| 4.67%, 03/15/2055 |
4,210,000 | 5,192,803 | ||||||
| Viacom, Inc. |
||||||||
| 6.88%, 04/30/2036 |
750,000 | 1,002,252 | ||||||
| 4.38%, 03/15/2043 |
2,073,000 | 2,192,325 | ||||||
| Vodafone Group Plc |
||||||||
| 6.15%, 02/27/2037 |
4,600,000 | 5,927,962 | ||||||
| 5.25%, 05/30/2048 |
938,000 | 1,127,427 | ||||||
| 4.88%, 06/19/2049 |
6,666,000 | 7,706,493 | ||||||
| Walt Disney Co. |
||||||||
| 8.88%, 04/26/2023 |
108,000 | 131,045 | ||||||
| 9.50%, 07/15/2024 |
175,000 | 225,509 | ||||||
| 3.70%, 10/15/2025 |
380,000 | 410,910 | ||||||
| 7.63%, 11/30/2028 |
310,000 | 428,785 | ||||||
| 6.20%, 12/15/2034 |
150,000 | 210,243 | ||||||
| 6.40%, 12/15/2035 |
1,703,000 | 2,415,334 | ||||||
|
|
|
|||||||
| Total Communications |
381,845,439 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 1.55% |
||||||||
| Air Canada 2013-1 Class A Pass Through Trust |
||||||||
| 4.13%, 05/15/2025(3) |
1,622,545 | 1,723,950 | ||||||
| Air Canada 2015-1 Class A Pass Through Trust |
||||||||
| 3.60%, 03/15/2027(3) |
733,947 | 765,531 | ||||||
| Air Canada 2015-2 Class AA Pass Through Trust |
||||||||
| 3.75%, 12/15/2027(3) |
1,184,494 | 1,255,044 | ||||||
| Air Canada 2017-1 Class A Pass Through Trust |
||||||||
| 3.55%, 01/15/2030(3) |
2,801,806 | 2,835,719 | ||||||
| Air Canada 2017-1 Class AA Pass Through Trust |
| 3.30%, 01/15/2030(3) |
1,599,677 | 1,629,428 | ||||||
| American Airlines 2011-1 Class A Pass Through Trust |
||||||||
| 5.25%, 01/31/2021 |
62,317 | 64,086 | ||||||
| American Airlines 2013-1 Class A Pass Through Trust |
||||||||
| 4.00%, 07/15/2025 |
873,552 | 915,003 | ||||||
| American Airlines 2013-2 Class A Pass Through Trust |
||||||||
| 4.95%, 01/15/2023 |
2,554,558 | 2,662,256 | ||||||
| American Airlines 2014-1 Class A Pass Through Trust |
||||||||
| 3.70%, 10/01/2026 |
363,265 | 381,896 | ||||||
| American Airlines 2015-1 Class A Pass Through Trust |
||||||||
| 3.38%, 05/01/2027 |
3,292,763 | 3,413,291 | ||||||
| American Airlines 2015-2 Class AA Pass Through Trust |
||||||||
| 3.60%, 09/22/2027 |
592,307 | 624,605 | ||||||
| American Airlines 2016-2 Class A Pass Through Trust |
||||||||
| 3.65%, 06/15/2028 |
208,498 | 217,840 | ||||||
| American Airlines 2016-2 Class AA Pass Through Trust |
||||||||
| 3.20%, 06/15/2028 |
1,298,840 | 1,334,889 | ||||||
| American Airlines 2016-3 Class AA Pass Through Trust |
||||||||
| 3.00%, 10/15/2028 |
2,430,747 | 2,476,278 | ||||||
| American Airlines 2017-1 Class AA Pass Through Trust |
||||||||
| 3.65%, 02/15/2029 |
2,039,034 | 2,147,653 | ||||||
| American Airlines 2019-1 Class A Pass Through Trust |
||||||||
| 3.50%, 02/15/2032 |
3,960,000 | 4,054,548 | ||||||
| American Honda Finance Corp. |
||||||||
| 2.90%, 02/16/2024 |
300,000 | 309,276 | ||||||
| 2.30%, 09/09/2026 |
185,000 | 184,567 | ||||||
| BMW US Capital LLC |
||||||||
| 2.41% (3 Month LIBOR USD + 0.41%), 04/12/2021(2)(3) |
1,675,000 | 1,677,691 | ||||||
| 2.25%, 09/15/2023(3) |
894,000 | 895,438 | ||||||
| British Airways 2018-1 Class A Pass Through Trust |
||||||||
| 4.13%, 09/20/2031(3) |
2,554,004 | 2,678,600 | ||||||
| British Airways 2018-1 Class AA Pass Through Trust |
||||||||
| 3.80%, 09/20/2031(3) |
1,208,693 | 1,279,758 | ||||||
| British Airways 2019-1 Class AA Pass Through Trust |
||||||||
| 3.30%, 12/15/2032(3) |
1,564,852 | 1,621,336 | ||||||
| CK Hutchison International 19 Ltd. |
||||||||
| 3.63%, 04/11/2029(3) |
1,615,000 | 1,697,530 | ||||||
| Continental Airlines 1999-2 Class A-1 Pass Through Trust |
||||||||
| 7.26%, 03/15/2020 |
2,688 | 2,709 | ||||||
| Continental Airlines 2007-1 Class A Pass Through Trust |
||||||||
| 5.98%, 04/19/2022 |
4,885,783 | 5,138,633 | ||||||
| Continental Airlines 2012-1 Class A Pass Through Trust |
||||||||
| 4.15%, 04/11/2024 |
1,122,129 | 1,178,397 | ||||||
| Continental Airlines 2012-2 Class A Pass Through Trust |
||||||||
| 4.00%, 10/29/2024 |
4,648,273 | 4,902,207 | ||||||
| Daimler Finance North America LLC |
||||||||
| 2.88%, 03/10/2021(3) |
700,000 | 705,967 | ||||||
| 3.35%, 02/22/2023(3) |
1,000,000 | 1,027,820 | ||||||
| 8.50%, 01/18/2031 |
155,000 | 230,375 | ||||||
| Delta Air Lines 2007-1 Class A Pass Through Trust |
||||||||
| 6.82%, 08/10/2022 |
3,580,234 | 3,885,555 | ||||||
| Delta Air Lines 2012-1 Class A Pass Through Trust |
||||||||
| 4.75%, 05/07/2020 |
137,885 | 139,025 | ||||||
| Delta Air Lines, Inc. |
||||||||
| 2.88%, 03/13/2020 |
8,200,000 | 8,201,274 | ||||||
| Dollar General Corp. |
||||||||
| 4.13%, 05/01/2028 |
835,000 | 910,892 | ||||||
| Dollar Tree, Inc. |
||||||||
| 4.20%, 05/15/2028 |
3,695,000 | 3,958,917 | ||||||
| Ford Motor Co. |
| 5.29%, 12/08/2046 |
280,000 | 265,517 | ||||||
| Ford Motor Credit Co. LLC |
||||||||
| 3.16%, 08/04/2020 |
1,000,000 | 1,003,952 | ||||||
| 3.34%, 03/18/2021 |
4,321,000 | 4,352,653 | ||||||
| 5.88%, 08/02/2021 |
9,695,000 | 10,147,443 | ||||||
| 3.81%, 10/12/2021 |
6,200,000 | 6,313,167 | ||||||
| 3.34%, 03/28/2022 |
3,000,000 | 3,028,856 | ||||||
| 4.25%, 09/20/2022 |
3,800,000 | 3,929,042 | ||||||
| 3.35%, 11/01/2022 |
620,000 | 625,969 | ||||||
| 4.54%, 08/01/2026 |
7,704,000 | 7,875,253 | ||||||
| General Motors Co. |
||||||||
| 4.00%, 04/01/2025 |
1,765,000 | 1,859,410 | ||||||
| 6.60%, 04/01/2036 |
685,000 | 806,947 | ||||||
| 5.15%, 04/01/2038 |
500,000 | 510,375 | ||||||
| 6.25%, 10/02/2043 |
2,057,000 | 2,305,489 | ||||||
| 5.95%, 04/01/2049 |
1,768,000 | 1,954,716 | ||||||
| General Motors Financial Co., Inc. |
||||||||
| 2.65%, 04/13/2020 |
1,300,000 | 1,301,611 | ||||||
| 2.45%, 11/06/2020 |
9,004,000 | 9,025,257 | ||||||
| 2.86% (3 Month LIBOR USD + 0.85%), 04/09/2021(2) |
3,590,000 | 3,597,058 | ||||||
| 3.55%, 04/09/2021 |
2,725,000 | 2,776,284 | ||||||
| 4.38%, 09/25/2021 |
5,000,000 | 5,179,962 | ||||||
| 3.45%, 01/14/2022 |
6,500,000 | 6,644,043 | ||||||
| 3.45%, 04/10/2022 |
6,502,000 | 6,648,172 | ||||||
| 3.70%, 05/09/2023 |
5,249,000 | 5,409,478 | ||||||
| 3.95%, 04/13/2024 |
7,785,000 | 8,133,818 | ||||||
| 3.50%, 11/07/2024 |
1,230,000 | 1,266,592 | ||||||
| 4.00%, 01/15/2025 |
1,140,000 | 1,197,583 | ||||||
| 4.35%, 04/09/2025 |
1,355,000 | 1,451,061 | ||||||
| 4.30%, 07/13/2025 |
580,000 | 619,516 | ||||||
| Hasbro, Inc. |
||||||||
| 3.55%, 11/19/2026 |
5,899,000 | 5,933,893 | ||||||
| Home Depot, Inc. |
||||||||
| 4.20%, 04/01/2043 |
655,000 | 757,916 | ||||||
| 4.40%, 03/15/2045 |
268,000 | 319,335 | ||||||
| Hyundai Capital America |
||||||||
| 2.75%, 09/18/2020(3) |
4,000,000 | 4,013,770 | ||||||
| 3.45%, 03/12/2021(3) |
4,170,000 | 4,220,665 | ||||||
| 3.10%, 04/05/2022(3) |
2,500,000 | 2,531,369 | ||||||
| 3.40%, 06/20/2024(3) |
1,500,000 | 1,529,364 | ||||||
| Hyundai Capital Services, Inc. |
||||||||
| 3.00%, 03/06/2022(3) |
3,725,000 | 3,765,193 | ||||||
| Lowe’s Cos, Inc. |
||||||||
| 3.65%, 04/05/2029 |
1,701,000 | 1,816,761 | ||||||
| 4.65%, 04/15/2042 |
449,000 | 513,530 | ||||||
| 4.55%, 04/05/2049 |
1,450,000 | 1,706,507 | ||||||
| Magna International, Inc. |
||||||||
| 3.63%, 06/15/2024 |
1,658,000 | 1,743,461 | ||||||
| McDonald’s Corp. |
||||||||
| 4.70%, 12/09/2035 |
216,000 | 255,637 | ||||||
| 6.30%, 10/15/2037 |
679,000 | 920,257 | ||||||
| 4.45%, 03/01/2047 |
360,000 | 412,582 | ||||||
| 4.45%, 09/01/2048 |
1,874,000 | 2,141,079 | ||||||
| 3.63%, 09/01/2049 |
3,471,000 | 3,518,828 | ||||||
| O’Reilly Automotive, Inc. |
||||||||
| 3.55%, 03/15/2026 |
500,000 | 528,568 | ||||||
| 3.60%, 09/01/2027 |
802,000 | 855,078 | ||||||
| Spirit Airlines Pass Through Trust 2017-1AA |
||||||||
| 3.38%, 02/15/2030 |
905,866 | 932,575 | ||||||
| United Airlines 2013-1 Class A Pass Through Trust |
| 4.30%, 08/15/2025 |
602,118 | 644,941 | ||||||
| United Airlines 2014-1 Class A Pass Through Trust |
||||||||
| 4.00%, 04/11/2026 |
843,366 | 896,199 | ||||||
| United Airlines 2016-1 Class A Pass Through Trust |
||||||||
| 3.45%, 07/07/2028 |
788,923 | 803,713 | ||||||
| United Airlines 2016-1 Class AA Pass Through Trust |
||||||||
| 3.10%, 07/07/2028 |
7,146,791 | 7,319,402 | ||||||
| United Airlines 2016-1 Class B Pass Through Trust |
||||||||
| 3.65%, 01/07/2026 |
428,792 | 435,382 | ||||||
| United Airlines 2016-2 Class AA Pass Through Trust |
||||||||
| 2.88%, 10/07/2028 |
1,609,697 | 1,629,135 | ||||||
| United Airlines 2018-1 Class A Pass Through Trust |
||||||||
| 3.70%, 03/01/2030 |
1,297,832 | 1,330,662 | ||||||
| United Airlines 2018-1 Class AA Pass Through Trust |
||||||||
| 3.50%, 03/01/2030 |
2,421,342 | 2,492,582 | ||||||
| United Airlines 2018-1 Class B Pass Through Trust |
||||||||
| 4.60%, 03/01/2026 |
539,354 | 557,453 | ||||||
| United Airlines 2019-1 Class A Pass Through Trust |
||||||||
| 4.55%, 08/25/2031 |
2,300,000 | 2,484,595 | ||||||
| United Airlines 2019-1 Class AA Pass Through Trust |
||||||||
| 4.15%, 08/25/2031 |
2,635,000 | 2,842,568 | ||||||
| United Airlines 2019-2 Class AA Pass Through Trust |
||||||||
| 2.70%, 05/01/2032 |
2,904,000 | 2,909,053 | ||||||
| US Airways 2012-1 Class A Pass Through Trust |
||||||||
| 5.90%, 10/01/2024 |
380,264 | 422,100 | ||||||
| Volkswagen Group of America Finance LLC |
||||||||
| 3.88%, 11/13/2020(3) |
3,795,000 | 3,856,764 | ||||||
| 4.00%, 11/12/2021(3) |
5,045,000 | 5,216,530 | ||||||
| Walgreens Boots Alliance, Inc. |
||||||||
| 4.50%, 11/18/2034 |
5,323,000 | 5,542,783 | ||||||
| WW Grainger, Inc. |
||||||||
| 4.60%, 06/15/2045 |
973,000 | 1,159,977 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
244,317,415 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 4.09% |
||||||||
| Abbott Laboratories |
||||||||
| 4.75%, 11/30/2036 |
5,000,000 | 6,240,167 | ||||||
| 4.90%, 11/30/2046 |
2,755,000 | 3,614,676 | ||||||
| AbbVie, Inc. |
||||||||
| 2.30%, 11/21/2022(3) |
4,612,000 | 4,633,876 | ||||||
| 2.85%, 05/14/2023 |
4,900,000 | 4,994,842 | ||||||
| 2.60%, 11/21/2024(3) |
18,895,000 | 19,003,172 | ||||||
| 3.60%, 05/14/2025 |
12,060,000 | 12,719,122 | ||||||
| 2.95%, 11/21/2026(3) |
2,275,000 | 2,309,020 | ||||||
| 3.20%, 11/21/2029(3) |
6,172,000 | 6,274,914 | ||||||
| 4.05%, 11/21/2039(3) |
6,685,000 | 7,064,769 | ||||||
| 4.40%, 11/06/2042 |
1,700,000 | 1,834,585 | ||||||
| 4.70%, 05/14/2045 |
4,415,000 | 4,939,948 | ||||||
| 4.45%, 05/14/2046 |
425,000 | 453,873 | ||||||
| 4.88%, 11/14/2048 |
1,030,000 | 1,179,489 | ||||||
| 4.25%, 11/21/2049(3) |
13,141,000 | 13,830,157 | ||||||
| Advocate Health & Hospitals Corp. |
||||||||
| 3.39%, 10/15/2049 |
792,000 | 787,561 | ||||||
| Aetna, Inc. |
||||||||
| 6.75%, 12/15/2037 |
341,000 | 459,365 | ||||||
| 4.50%, 05/15/2042 |
4,205,000 | 4,523,953 | ||||||
| 4.75%, 03/15/2044 |
1,800,000 | 2,005,207 | ||||||
| Ahold Finance USA LLC |
||||||||
| 6.88%, 05/01/2029 |
3,280,000 | 4,236,869 | ||||||
| Allergan Finance LLC |
||||||||
| 3.25%, 10/01/2022 |
4,000,000 | 4,086,414 |
| Allergan Funding SCS |
||||||||
| 3.45%, 03/15/2022 |
1,238,000 | 1,265,929 | ||||||
| 3.85%, 06/15/2024 |
1,198,000 | 1,257,411 | ||||||
| 3.80%, 03/15/2025 |
3,000,000 | 3,149,768 | ||||||
| 4.55%, 03/15/2035 |
6,025,000 | 6,572,082 | ||||||
| Allergan Sales LLC |
||||||||
| 5.00%, 12/15/2021(3) |
3,500,000 | 3,659,779 | ||||||
| Allergan, Inc. |
||||||||
| 2.80%, 03/15/2023 |
971,000 | 978,082 | ||||||
| AmerisourceBergen Corp. |
||||||||
| 4.30%, 12/15/2047 |
1,080,000 | 1,118,315 | ||||||
| Amgen, Inc. |
||||||||
| 2.70%, 05/01/2022 |
5,600,000 | 5,674,996 | ||||||
| Anheuser-Busch InBev Finance, Inc. |
||||||||
| 4.63%, 02/01/2044 |
455,000 | 514,644 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. |
||||||||
| 4.75%, 01/23/2029 |
2,345,000 | 2,714,706 | ||||||
| 4.70%, 02/01/2036 |
12,132,000 | 13,992,464 | ||||||
| 4.38%, 04/15/2038 |
2,240,000 | 2,510,392 | ||||||
| 5.45%, 01/23/2039 |
7,035,000 | 8,832,338 | ||||||
| 4.95%, 01/15/2042 |
2,735,000 | 3,228,908 | ||||||
| 4.90%, 02/01/2046 |
12,946,000 | 15,310,435 | ||||||
| 4.60%, 04/15/2048 |
3,701,000 | 4,210,763 | ||||||
| 4.44%, 10/06/2048 |
590,000 | 661,141 | ||||||
| 4.75%, 04/15/2058 |
1,345,000 | 1,567,508 | ||||||
| Anthem, Inc. |
||||||||
| 3.13%, 05/15/2022 |
484,000 | 495,940 | ||||||
| 3.30%, 01/15/2023 |
271,000 | 280,249 | ||||||
| 3.50%, 08/15/2024 |
694,000 | 727,029 | ||||||
| 4.10%, 03/01/2028 |
920,000 | 998,462 | ||||||
| 4.63%, 05/15/2042 |
400,000 | 450,182 | ||||||
| 4.65%, 01/15/2043 |
391,000 | 439,953 | ||||||
| 5.10%, 01/15/2044 |
1,690,000 | 2,017,033 | ||||||
| 4.65%, 08/15/2044 |
395,000 | 446,479 | ||||||
| 4.38%, 12/01/2047 |
4,500,000 | 4,953,168 | ||||||
| Ascension Health |
||||||||
| 3.11%, 11/15/2039 |
2,670,000 | 2,624,276 | ||||||
| AstraZeneca Plc |
||||||||
| 6.45%, 09/15/2037 |
500,000 | 705,786 | ||||||
| 4.00%, 09/18/2042 |
540,000 | 591,344 | ||||||
| BAT Capital Corp. |
||||||||
| 3.22%, 08/15/2024 |
7,145,000 | 7,302,192 | ||||||
| 4.39%, 08/15/2037 |
822,000 | 830,654 | ||||||
| Baxalta, Inc. |
||||||||
| 3.60%, 06/23/2022 |
110,000 | 112,881 | ||||||
| 5.25%, 06/23/2045 |
50,000 | 64,409 | ||||||
| Bayer US Finance II LLC |
||||||||
| 2.58% (3 Month LIBOR USD + 0.63%), 06/25/2021(2)(3) |
4,135,000 | 4,148,048 | ||||||
| 3.50%, 06/25/2021(3) |
1,650,000 | 1,679,729 | ||||||
| Baylor Scott & White Holdings |
||||||||
| 4.19%, 11/15/2045 |
1,800,000 | 2,007,040 | ||||||
| 3.97%, 11/15/2046 |
3,700,000 | 4,010,081 | ||||||
| Becton Dickinson & Co. |
||||||||
| 3.73%, 12/15/2024 |
1,972,000 | 2,088,793 | ||||||
| Boston Scientific Corp. |
||||||||
| 3.75%, 03/01/2026 |
765,000 | 819,208 | ||||||
| 4.00%, 03/01/2029 |
2,545,000 | 2,812,847 | ||||||
| 4.55%, 03/01/2039 |
725,000 | 850,809 | ||||||
| Bristol-Myers Squibb Co. |
||||||||
| 3.25%, 02/20/2023(3) |
2,000,000 | 2,070,188 |
| 3.20%, 06/15/2026(3) |
2,246,000 | 2,355,306 | ||||||
| 3.40%, 07/26/2029(3) |
2,468,000 | 2,637,418 | ||||||
| 4.13%, 06/15/2039(3) |
7,109,000 | 8,184,627 | ||||||
| 5.70%, 10/15/2040(3) |
302,000 | 401,660 | ||||||
| 4.63%, 05/15/2044(3) |
2,640,000 | 3,191,505 | ||||||
| 5.00%, 08/15/2045(3) |
860,000 | 1,100,032 | ||||||
| 4.35%, 11/15/2047(3) |
7,950,000 | 9,457,245 | ||||||
| 4.55%, 02/20/2048(3) |
1,770,000 | 2,162,079 | ||||||
| 4.25%, 10/26/2049(3) |
1,737,000 | 2,055,408 | ||||||
| Bunge Ltd. Finance Corp. |
||||||||
| 3.50%, 11/24/2020 |
283,000 | 286,515 | ||||||
| Campbell Soup Co. |
||||||||
| 4.80%, 03/15/2048 |
775,000 | 894,992 | ||||||
| Cargill, Inc. |
||||||||
| 3.30%, 03/01/2022(3) |
800,000 | 817,877 | ||||||
| 3.25%, 03/01/2023(3) |
345,000 | 356,232 | ||||||
| Cigna Corp. |
||||||||
| 3.40%, 09/17/2021 |
9,818,000 | 10,047,586 | ||||||
| 4.75%, 11/15/2021(3) |
4,000,000 | 4,191,905 | ||||||
| 3.05%, 11/30/2022(3) |
9,105,000 | 9,301,917 | ||||||
| 3.25%, 04/15/2025(3) |
970,000 | 1,005,061 | ||||||
| 4.50%, 02/25/2026(3) |
755,000 | 827,675 | ||||||
| 4.38%, 10/15/2028 |
30,325,000 | 33,553,704 | ||||||
| 4.80%, 07/15/2046(3) |
218,000 | 252,308 | ||||||
| 4.90%, 12/15/2048 |
2,487,000 | 2,961,545 | ||||||
| Coca-Cola Femsa SAB de CV |
||||||||
| 3.88%, 11/26/2023 |
550,000 | 580,682 | ||||||
| Conagra Brands, Inc. |
||||||||
| 4.95%, 08/15/2020 |
40,000 | 40,616 | ||||||
| 9.75%, 03/01/2021 |
1,750,000 | 1,877,984 | ||||||
| 4.30%, 05/01/2024 |
10,207,000 | 10,984,584 | ||||||
| 4.60%, 11/01/2025 |
685,000 | 756,014 | ||||||
| 7.00%, 10/01/2028 |
3,250,000 | 4,093,864 | ||||||
| 5.30%, 11/01/2038 |
530,000 | 627,989 | ||||||
| 5.40%, 11/01/2048 |
1,859,000 | 2,263,872 | ||||||
| Constellation Brands, Inc. |
||||||||
| 4.40%, 11/15/2025 |
760,000 | 829,636 | ||||||
| 4.65%, 11/15/2028 |
4,780,000 | 5,372,452 | ||||||
| 5.25%, 11/15/2048 |
460,000 | 557,862 | ||||||
| CVS Health Corp. |
||||||||
| 4.00%, 12/05/2023 |
6,000,000 | 6,345,446 | ||||||
| 4.30%, 03/25/2028 |
5,268,000 | 5,748,628 | ||||||
| 3.25%, 08/15/2029 |
6,539,000 | 6,636,342 | ||||||
| 4.88%, 07/20/2035 |
2,515,000 | 2,885,775 | ||||||
| 4.78%, 03/25/2038 |
4,305,000 | 4,879,533 | ||||||
| 5.30%, 12/05/2043 |
3,260,000 | 3,883,123 | ||||||
| 5.13%, 07/20/2045 |
4,430,000 | 5,240,584 | ||||||
| 5.05%, 03/25/2048 |
9,082,000 | 10,730,211 | ||||||
| CVS Pass-Through Trust |
||||||||
| 7.51%, 01/10/2032(3) |
865,698 | 1,069,584 | ||||||
| 5.77%, 01/10/2033(3) |
779,809 | 878,559 | ||||||
| 5.93%, 01/10/2034(3) |
579,181 | 674,361 | ||||||
| CVS Pass-Through Trust Series 2009 |
||||||||
| 8.35%, 07/10/2031(3) |
873,989 | 1,113,715 | ||||||
| CVS Pass-Through Trust Series 2014 |
||||||||
| 4.16%, 08/11/2036(3) |
2,631,353 | 2,687,443 | ||||||
| DH Europe Finance II Sarl |
||||||||
| 3.25%, 11/15/2039 |
431,000 | 433,252 | ||||||
| Diageo Investment Corp. |
||||||||
| 8.00%, 09/15/2022 |
516,000 | 593,292 |
| DP World Plc |
||||||||
| 4.70%, 09/30/2049(3) |
1,689,000 | 1,697,445 | ||||||
| Eli Lilly & Co. |
||||||||
| 4.15%, 03/15/2059 |
400,000 | 470,619 | ||||||
| ERAC USA Finance LLC |
||||||||
| 4.50%, 08/16/2021(3) |
400,000 | 415,294 | ||||||
| 6.70%, 06/01/2034(3) |
508,000 | 684,628 | ||||||
| 5.63%, 03/15/2042(3) |
357,000 | 451,905 | ||||||
| 4.50%, 02/15/2045(3) |
300,000 | 329,959 | ||||||
| Experian Finance Plc |
||||||||
| 2.75%, 03/08/2030(3) |
9,240,000 | 9,089,227 | ||||||
| Fomento Economico Mexicano SAB de CV |
||||||||
| 4.38%, 05/10/2043 |
526,000 | 579,908 | ||||||
| General Mills, Inc. |
||||||||
| 4.00%, 04/17/2025 |
925,000 | 999,601 | ||||||
| 4.55%, 04/17/2038 |
3,250,000 | 3,757,622 | ||||||
| Gilead Sciences, Inc. |
||||||||
| 4.60%, 09/01/2035 |
4,225,000 | 5,034,579 | ||||||
| 4.00%, 09/01/2036 |
313,000 | 345,764 | ||||||
| Global Payments Inc. |
||||||||
| 4.15%, 08/15/2049 |
1,800,000 | 1,919,560 | ||||||
| Grupo Bimbo SAB de CV |
||||||||
| 3.88%, 06/27/2024(3) |
5,000,000 | 5,212,824 | ||||||
| 4.70%, 11/10/2047(3) |
4,500,000 | 4,697,775 | ||||||
| HCA, Inc. |
||||||||
| 5.25%, 06/15/2026 |
2,000,000 | 2,238,605 | ||||||
| 5.13%, 06/15/2039 |
1,715,000 | 1,892,706 | ||||||
| 5.25%, 06/15/2049 |
2,984,000 | 3,326,144 | ||||||
| Highmark, Inc. |
||||||||
| 4.75%, 05/15/2021(3) |
3,322,000 | 3,417,012 | ||||||
| JM Smucker Co. |
||||||||
| 3.00%, 03/15/2022 |
4,750,000 | 4,832,456 | ||||||
| Johnson & Johnson |
||||||||
| 4.38%, 12/05/2033 |
1,070,000 | 1,265,775 | ||||||
| 3.40%, 01/15/2038 |
1,852,000 | 1,981,592 | ||||||
| Kellogg Co. |
||||||||
| 3.40%, 11/15/2027 |
1,200,000 | 1,252,615 | ||||||
| Keurig Dr Pepper, Inc. |
||||||||
| 4.06%, 05/25/2023 |
4,575,000 | 4,822,150 | ||||||
| 3.13%, 12/15/2023 |
925,000 | 950,420 | ||||||
| 4.42%, 05/25/2025 |
447,000 | 487,726 | ||||||
| 3.43%, 06/15/2027 |
1,802,000 | 1,875,624 | ||||||
| 4.99%, 05/25/2038 |
646,000 | 761,073 | ||||||
| 4.42%, 12/15/2046 |
4,032,000 | 4,333,094 | ||||||
| 5.09%, 05/25/2048 |
500,000 | 600,594 | ||||||
| Kraft Heinz Foods Co. |
||||||||
| 2.80%, 07/02/2020 |
541,000 | 541,858 | ||||||
| 3.00%, 06/01/2026 |
3,625,000 | 3,622,087 | ||||||
| 3.75%, 04/01/2030(3) |
4,035,000 | 4,151,771 | ||||||
| 5.00%, 07/15/2035 |
4,415,000 | 4,895,372 | ||||||
| 5.00%, 06/04/2042 |
505,000 | 538,279 | ||||||
| 4.38%, 06/01/2046 |
5,760,000 | 5,661,524 | ||||||
| 4.88%, 10/01/2049(3) |
7,752,000 | 8,157,817 | ||||||
| Kroger Co. |
||||||||
| 5.40%, 07/15/2040 |
95,000 | 110,307 | ||||||
| 4.45%, 02/01/2047 |
1,010,000 | 1,071,403 | ||||||
| Laboratory Corp. of America Holdings |
||||||||
| 3.20%, 02/01/2022 |
1,127,000 | 1,152,270 | ||||||
| 2.95%, 12/01/2029 |
7,795,000 | 7,804,635 | ||||||
| Magellan Health, Inc. |
| 4.90%, 09/22/2024 |
273,000 | 279,825 | ||||||
| Mars, Inc. |
||||||||
| 3.95%, 04/01/2049(3) |
5,320,000 | 6,002,036 | ||||||
| Massachusetts Institute of Technology |
||||||||
| 4.68%, 07/01/2114 |
1,645,000 | 2,111,002 | ||||||
| 3.89%, 07/01/2116 |
2,906,000 | 3,148,215 | ||||||
| McCormick & Co., Inc. |
||||||||
| 3.15%, 08/15/2024 |
299,000 | 310,233 | ||||||
| 3.40%, 08/15/2027 |
594,000 | 618,813 | ||||||
| Mead Johnson Nutrition Co. |
||||||||
| 4.13%, 11/15/2025 |
891,000 | 972,959 | ||||||
| Medtronic, Inc. |
||||||||
| 3.50%, 03/15/2025 |
5,546,000 | 5,939,355 | ||||||
| 4.38%, 03/15/2035 |
662,000 | 782,745 | ||||||
| Memorial Health Services |
||||||||
| 3.45%, 11/01/2049 |
3,040,000 | 2,979,954 | ||||||
| Mount Sinai Hospitals Group, Inc. |
||||||||
| 3.98%, 07/01/2048 |
999,000 | 1,009,679 | ||||||
| Mylan NV |
||||||||
| 3.95%, 06/15/2026 |
532,000 | 554,080 | ||||||
| Mylan, Inc. |
||||||||
| 3.13%, 01/15/2023(3) |
5,000,000 | 5,070,791 | ||||||
| 4.55%, 04/15/2028 |
700,000 | 752,691 | ||||||
| 5.20%, 04/15/2048 |
715,000 | 798,233 | ||||||
| New York & Presbyterian Hospital |
||||||||
| 4.02%, 08/01/2045 |
125,000 | 139,160 | ||||||
| Northwell Healthcare, Inc. |
||||||||
| 3.81%, 11/01/2049 |
1,650,000 | 1,655,719 | ||||||
| Orlando Health Obligated Group |
||||||||
| 4.09%, 10/01/2048 |
2,605,000 | 2,852,710 | ||||||
| Pfizer, Inc. |
||||||||
| 5.80%, 08/12/2023 |
4,000,000 | 4,516,909 | ||||||
| 4.40%, 05/15/2044 |
3,464,000 | 4,124,804 | ||||||
| Philip Morris International, Inc. |
||||||||
| 2.50%, 11/02/2022 |
1,300,000 | 1,318,543 | ||||||
| President & Fellows of Harvard College |
||||||||
| 3.30%, 07/15/2056 |
5,599,000 | 5,770,334 | ||||||
| Procter & Gamble – Esop |
||||||||
| 9.36%, 01/01/2021 |
52,515 | 53,987 | ||||||
| Providence St Joseph Health Obligated Group |
||||||||
| 2.75%, 10/01/2026 |
1,200,000 | 1,210,474 | ||||||
| Quest Diagnostics, Inc. |
||||||||
| 3.50%, 03/30/2025 |
4,820,000 | 5,073,939 | ||||||
| 3.45%, 06/01/2026 |
223,000 | 234,084 | ||||||
| Reckitt Benckiser Treasury Services Plc |
||||||||
| 2.38%, 06/24/2022(3) |
1,200,000 | 1,208,361 | ||||||
| Reynolds American, Inc. |
||||||||
| 4.45%, 06/12/2025 |
5,000,000 | 5,379,226 | ||||||
| 5.70%, 08/15/2035 |
1,100,000 | 1,276,215 | ||||||
| Shire Acquisitions Investments Ireland DAC |
||||||||
| 2.40%, 09/23/2021 |
13,135,000 | 13,206,263 | ||||||
| 2.88%, 09/23/2023 |
668,000 | 680,227 | ||||||
| 3.20%, 09/23/2026 |
3,626,000 | 3,733,055 | ||||||
| Smithfield Foods, Inc. |
||||||||
| 3.35%, 02/01/2022(3) |
14,000,000 | 14,035,955 | ||||||
| Texas Health Resources |
||||||||
| 4.33%, 11/15/2055 |
1,000,000 | 1,167,738 | ||||||
| Thermo Fisher Scientific, Inc. |
||||||||
| 3.00%, 04/15/2023 |
227,000 | 233,255 | ||||||
| 2.95%, 09/19/2026 |
476,000 | 489,005 |
| Tyson Foods, Inc. |
||||||||
| 4.50%, 06/15/2022 |
2,485,000 | 2,615,487 | ||||||
| 3.95%, 08/15/2024 |
1,100,000 | 1,178,592 | ||||||
| 4.88%, 08/15/2034 |
400,000 | 474,631 | ||||||
| Unilever Capital Corp. |
||||||||
| 3.38%, 03/22/2025 |
800,000 | 847,022 | ||||||
| UnitedHealth Group, Inc. |
||||||||
| 3.10%, 03/15/2026 |
550,000 | 575,456 | ||||||
| 4.63%, 07/15/2035 |
427,000 | 517,593 | ||||||
| 3.50%, 08/15/2039 |
3,171,000 | 3,321,383 | ||||||
| Verisk Analytics, Inc. |
||||||||
| 4.00%, 06/15/2025 |
7,000,000 | 7,530,613 | ||||||
| Zimmer Biomet Holdings, Inc. |
||||||||
| 3.38%, 11/30/2021 |
3,650,000 | 3,725,044 | ||||||
| 3.70%, 03/19/2023 |
407,000 | 423,950 | ||||||
| 3.55%, 04/01/2025 |
6,000,000 | 6,321,634 | ||||||
| Zoetis, Inc. |
||||||||
| 3.00%, 09/12/2027 |
4,685,000 | 4,811,629 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
643,231,647 | |||||||
|
|
|
|||||||
| Diversified – 0.02% |
||||||||
| CK Hutchison International 16 Ltd. |
||||||||
| 1.88%, 10/03/2021(3) |
402,000 | 398,704 | ||||||
| 2.75%, 10/03/2026(3) |
600,000 | 594,464 | ||||||
| CK Hutchison International 17 II Ltd. |
||||||||
| 2.75%, 03/29/2023(3) |
500,000 | 502,598 | ||||||
| CK Hutchison International 17 Ltd. |
||||||||
| 2.88%, 04/05/2022(3) |
800,000 | 808,235 | ||||||
| CVS Pass-Through Trust |
||||||||
| 4.70%, 01/10/2036(3) |
905,310 | 962,149 | ||||||
| Hutchison Whampoa International 12 II Ltd. |
||||||||
| 3.25%, 11/08/2022(3) |
450,000 | 460,960 | ||||||
|
|
|
|||||||
| Total Diversified |
3,727,110 | |||||||
|
|
|
|||||||
| Energy – 3.09% |
||||||||
| Abu Dhabi Crude Oil Pipeline LLC |
||||||||
| 4.60%, 11/02/2047(3) |
2,718,000 | 3,139,290 | ||||||
| ANR Pipeline Co. |
||||||||
| 9.63%, 11/01/2021 |
337,000 | 379,195 | ||||||
| Apache Corp. |
||||||||
| 3.25%, 04/15/2022 |
40,000 | 40,743 | ||||||
| 5.10%, 09/01/2040 |
600,000 | 609,417 | ||||||
| 4.75%, 04/15/2043 |
416,000 | 400,908 | ||||||
| APT Pipelines Ltd. |
||||||||
| 4.20%, 03/23/2025(3) |
2,100,000 | 2,231,521 | ||||||
| 4.25%, 07/15/2027(3) |
1,098,000 | 1,179,167 | ||||||
| Baker Hughes a GE Co. LLC |
||||||||
| 5.13%, 09/15/2040 |
600,000 | 705,177 | ||||||
| Boardwalk Pipelines LP |
||||||||
| 4.80%, 05/03/2029 |
960,000 | 1,025,531 | ||||||
| BP Capital Markets America, Inc. |
||||||||
| 3.25%, 05/06/2022 |
262,000 | 270,320 | ||||||
| 3.79%, 02/06/2024 |
9,145,000 | 9,725,368 | ||||||
| 3.22%, 04/14/2024 |
2,262,000 | 2,359,807 | ||||||
| 3.02%, 01/16/2027 |
1,052,000 | 1,088,805 | ||||||
| BP Capital Markets Plc |
||||||||
| 3.81%, 02/10/2024 |
1,615,000 | 1,722,836 | ||||||
| 3.54%, 11/04/2024 |
700,000 | 744,584 | ||||||
| 3.51%, 03/17/2025 |
45,000 | 47,869 | ||||||
| 3.28%, 09/19/2027 |
1,101,000 | 1,157,211 | ||||||
| Buckeye Partners LP |
||||||||
| 4.88%, 02/01/2021 |
704,000 | 716,430 |
| 5.85%, 11/15/2043 |
591,000 | 531,879 | ||||||
| 5.60%, 10/15/2044 |
2,000,000 | 1,747,019 | ||||||
| Cameron LNG LLC |
||||||||
| 3.30%, 01/15/2035(3) |
2,770,000 | 2,791,576 | ||||||
| Canadian Natural Resources Ltd. |
||||||||
| 7.20%, 01/15/2032 |
41,000 | 54,773 | ||||||
| 6.45%, 06/30/2033 |
1,153,000 | 1,472,154 | ||||||
| 5.85%, 02/01/2035 |
200,000 | 245,921 | ||||||
| 6.50%, 02/15/2037 |
118,000 | 153,928 | ||||||
| 6.75%, 02/01/2039 |
206,000 | 278,613 | ||||||
| Cenovus Energy, Inc. |
||||||||
| 5.25%, 06/15/2037 |
5,270,000 | 5,828,585 | ||||||
| 6.75%, 11/15/2039 |
1,130,000 | 1,436,463 | ||||||
| 5.40%, 06/15/2047 |
322,000 | 375,149 | ||||||
| CNOOC Finance 2013 Ltd. |
||||||||
| 3.00%, 05/09/2023 |
2,000,000 | 2,032,819 | ||||||
| 2.88%, 09/30/2029 |
6,325,000 | 6,327,606 | ||||||
| CNOOC Finance 2015 Australia Pty Ltd. |
||||||||
| 2.63%, 05/05/2020 |
1,583,000 | 1,584,678 | ||||||
| Columbia Pipeline Group, Inc. |
||||||||
| 5.80%, 06/01/2045 |
2,700,000 | 3,412,624 | ||||||
| ConocoPhillips Co. |
||||||||
| 4.95%, 03/15/2026 |
598,000 | 687,539 | ||||||
| Continental Resources, Inc. |
||||||||
| 4.90%, 06/01/2044 |
2,659,000 | 2,815,619 | ||||||
| Ecopetrol SA |
||||||||
| 5.88%, 09/18/2023 |
395,000 | 437,056 | ||||||
| 4.13%, 01/16/2025 |
383,000 | 402,154 | ||||||
| 5.38%, 06/26/2026 |
537,000 | 601,445 | ||||||
| Enable Midstream Partners LP |
||||||||
| 4.40%, 03/15/2027 |
900,000 | 897,888 | ||||||
| 4.95%, 05/15/2028 |
615,000 | 622,226 | ||||||
| Enbridge Energy Partners LP |
||||||||
| 7.50%, 04/15/2038 |
1,000,000 | 1,431,964 | ||||||
| Enbridge, Inc. |
||||||||
| 3.70%, 07/15/2027 |
538,000 | 569,225 | ||||||
| 4.50%, 06/10/2044 |
500,000 | 551,459 | ||||||
| 6.25% (3 Month LIBOR USD + 3.64%), 03/01/2078(2) |
950,000 | 1,030,360 | ||||||
| Encana Corp. |
||||||||
| 8.13%, 09/15/2030 |
400,000 | 515,146 | ||||||
| 7.20%, 11/01/2031 |
500,000 | 610,808 | ||||||
| 7.38%, 11/01/2031 |
274,000 | 333,771 | ||||||
| 6.50%, 08/15/2034 |
268,000 | 314,516 | ||||||
| Energy Transfer Operating LP |
||||||||
| 4.75%, 01/15/2026 |
497,000 | 537,684 | ||||||
| 6.05%, 06/01/2041 |
500,000 | 563,276 | ||||||
| 6.13%, 12/15/2045 |
810,000 | 937,019 | ||||||
| 6.25%, 04/15/2049 |
3,840,000 | 4,621,437 | ||||||
| Energy Transfer Partners LP |
||||||||
| 5.88%, 03/01/2022 |
5,000,000 | 5,304,872 | ||||||
| 5.00%, 10/01/2022 |
3,300,000 | 3,498,832 | ||||||
| 4.50%, 11/01/2023 |
7,082,000 | 7,498,281 | ||||||
| ENI SpA |
||||||||
| 4.25%, 05/09/2029(3) |
2,825,000 | 3,098,164 | ||||||
| 5.70%, 10/01/2040(3) |
557,000 | 671,275 | ||||||
| ENI USA, Inc. |
||||||||
| 7.30%, 11/15/2027 |
400,000 | 515,486 | ||||||
| EnLink Midstream Partners LP |
||||||||
| 4.15%, 06/01/2025 |
1,000,000 | 940,000 | ||||||
| Enterprise Products Operating LLC |
| 3.90%, 02/15/2024 |
3,400,000 | 3,608,005 | ||||||
| 3.75%, 02/15/2025 |
515,000 | 549,250 | ||||||
| 3.70%, 02/15/2026 |
304,000 | 323,348 | ||||||
| 5.75%, 03/01/2035 |
1,075,000 | 1,292,954 | ||||||
| 5.95%, 02/01/2041 |
201,000 | 258,777 | ||||||
| 4.85%, 08/15/2042 |
4,000,000 | 4,633,358 | ||||||
| 4.20%, 01/31/2050 |
1,335,000 | 1,428,006 | ||||||
| 4.95%, 10/15/2054 |
177,000 | 203,729 | ||||||
| EOG Resources, Inc. |
||||||||
| 2.63%, 03/15/2023 |
249,000 | 253,488 | ||||||
| EQM Midstream Partners LP |
||||||||
| 4.75%, 07/15/2023 |
5,000,000 | 5,012,674 | ||||||
| 4.00%, 08/01/2024 |
3,500,000 | 3,403,289 | ||||||
| EQT Corp. |
||||||||
| 3.90%, 10/01/2027 |
805,000 | 752,944 | ||||||
| Equinor ASA |
||||||||
| 2.65%, 01/15/2024 |
663,000 | 679,553 | ||||||
| 3.25%, 11/10/2024 |
508,000 | 534,984 | ||||||
| Exxon Mobil Corp. |
||||||||
| 3.00%, 08/16/2039 |
2,035,000 | 2,034,872 | ||||||
| 3.10%, 08/16/2049 |
2,540,000 | 2,526,807 | ||||||
| Gazprom OAO Via Gaz Capital SA |
||||||||
| 6.51%, 03/07/2022(3) |
1,140,000 | 1,236,900 | ||||||
| 4.95%, 07/19/2022(3) |
610,000 | 645,093 | ||||||
| Halliburton Co. |
||||||||
| 3.25%, 11/15/2021 |
12,079,000 | 12,320,360 | ||||||
| 4.85%, 11/15/2035 |
200,000 | 225,821 | ||||||
| 4.75%, 08/01/2043 |
565,000 | 626,398 | ||||||
| 7.60%, 08/15/2096(3) |
258,000 | 356,553 | ||||||
| Helmerich & Payne, Inc. |
||||||||
| 4.65%, 03/15/2025 |
4,710,000 | 5,143,028 | ||||||
| Hess Corp. |
||||||||
| 7.88%, 10/01/2029 |
2,520,000 | 3,292,956 | ||||||
| 5.60%, 02/15/2041 |
1,455,000 | 1,699,812 | ||||||
| Husky Energy, Inc. |
||||||||
| 6.80%, 09/15/2037 |
2,100,000 | 2,728,856 | ||||||
| KazMunayGas National Co. JSC |
||||||||
| 4.75%, 04/24/2025(3) |
1,590,000 | 1,742,885 | ||||||
| Kinder Morgan Energy Partners LP |
||||||||
| 5.00%, 10/01/2021 |
4,875,000 | 5,080,487 | ||||||
| 4.30%, 05/01/2024 |
3,700,000 | 3,954,704 | ||||||
| 7.30%, 08/15/2033 |
1,650,000 | 2,205,182 | ||||||
| 6.95%, 01/15/2038 |
2,242,000 | 2,964,056 | ||||||
| 7.50%, 11/15/2040 |
483,000 | 667,041 | ||||||
| Kinder Morgan, Inc. |
||||||||
| 4.30%, 03/01/2028 |
2,000,000 | 2,179,422 | ||||||
| 7.80%, 08/01/2031 |
4,600,000 | 6,323,254 | ||||||
| 5.20%, 03/01/2048 |
600,000 | 694,713 | ||||||
| Magellan Midstream Partners LP |
||||||||
| 4.25%, 02/01/2021 |
502,000 | 514,112 | ||||||
| 3.20%, 03/15/2025 |
386,000 | 394,464 | ||||||
| 4.20%, 12/01/2042 |
417,000 | 424,672 | ||||||
| 5.15%, 10/15/2043 |
441,000 | 515,137 | ||||||
| 4.20%, 03/15/2045 |
5,725,000 | 5,780,033 | ||||||
| 4.20%, 10/03/2047 |
1,050,000 | 1,117,290 | ||||||
| Marathon Oil Corp. |
||||||||
| 2.80%, 11/01/2022 |
700,000 | 711,426 | ||||||
| Marathon Petroleum Corp. |
||||||||
| 3.40%, 12/15/2020 |
2,544,000 | 2,572,826 | ||||||
| 3.63%, 09/15/2024 |
1,241,000 | 1,302,489 |
| 4.50%, 04/01/2048 |
3,000,000 | 3,182,558 | ||||||
| MPLX LP |
||||||||
| 4.88%, 12/01/2024 |
3,000,000 | 3,258,742 | ||||||
| 5.25%, 01/15/2025(3) |
5,103,000 | 5,355,253 | ||||||
| 4.13%, 03/01/2027 |
622,000 | 652,674 | ||||||
| 4.80%, 02/15/2029 |
1,393,000 | 1,526,976 | ||||||
| 4.50%, 04/15/2038 |
8,016,000 | 8,138,157 | ||||||
| 5.20%, 03/01/2047 |
1,573,000 | 1,696,118 | ||||||
| 5.50%, 02/15/2049 |
5,722,000 | 6,482,101 | ||||||
| Newfield Exploration Co. |
||||||||
| 5.75%, 01/30/2022 |
1,320,000 | 1,402,693 | ||||||
| Nexen, Inc. |
||||||||
| 6.40%, 05/15/2037 |
4,408,000 | 6,043,528 | ||||||
| Noble Energy, Inc. |
||||||||
| 3.25%, 10/15/2029 |
1,155,000 | 1,163,223 | ||||||
| 6.00%, 03/01/2041 |
3,602,000 | 4,338,308 | ||||||
| 5.25%, 11/15/2043 |
3,975,000 | 4,467,147 | ||||||
| 5.05%, 11/15/2044 |
3,740,000 | 4,163,957 | ||||||
| Occidental Petroleum Corp. |
||||||||
| 4.85%, 03/15/2021 |
4,327,000 | 4,456,523 | ||||||
| 6.95%, 07/01/2024 |
127,000 | 149,578 | ||||||
| 5.55%, 03/15/2026 |
9,021,000 | 10,237,148 | ||||||
| 3.20%, 08/15/2026 |
3,000,000 | 3,035,402 | ||||||
| 7.15%, 05/15/2028 |
170,000 | 211,062 | ||||||
| 7.50%, 05/01/2031 |
206,000 | 267,838 | ||||||
| 7.88%, 09/15/2031 |
900,000 | 1,206,665 | ||||||
| 6.45%, 09/15/2036 |
2,685,000 | 3,292,738 | ||||||
| 0.00%, 10/10/2036 |
4,000,000 | 2,011,346 | ||||||
| 4.30%, 08/15/2039 |
1,540,000 | 1,566,504 | ||||||
| 4.63%, 06/15/2045 |
158,000 | 163,015 | ||||||
| 4.20%, 03/15/2048 |
800,000 | 792,289 | ||||||
| Oleoducto Central SA |
||||||||
| 4.00%, 05/07/2021(3) |
225,000 | 228,940 | ||||||
| ONEOK Partners LP |
||||||||
| 3.38%, 10/01/2022 |
151,000 | 155,333 | ||||||
| 5.00%, 09/15/2023 |
3,923,000 | 4,253,787 | ||||||
| 6.65%, 10/01/2036 |
1,050,000 | 1,337,707 | ||||||
| 6.20%, 09/15/2043 |
2,500,000 | 3,157,982 | ||||||
| ONEOK, Inc. |
||||||||
| 3.40%, 09/01/2029 |
925,000 | 938,585 | ||||||
| 4.95%, 07/13/2047 |
1,850,000 | 2,034,122 | ||||||
| 5.20%, 07/15/2048 |
1,400,000 | 1,584,237 | ||||||
| Petroleos Mexicanos |
||||||||
| 5.50%, 01/21/2021 |
5,220,000 | 5,363,550 | ||||||
| 6.88%, 08/04/2026 |
3,480,000 | 3,821,214 | ||||||
| 6.49%, 01/23/2027(3) |
4,816,000 | 5,121,142 | ||||||
| 6.50%, 03/13/2027 |
4,000,000 | 4,246,880 | ||||||
| 5.35%, 02/12/2028 |
847,000 | 842,765 | ||||||
| 6.50%, 01/23/2029 |
970,000 | 1,020,440 | ||||||
| 6.84%, 01/23/2030(3) |
371,000 | 395,612 | ||||||
| 6.63%, 06/15/2035 |
1,647,000 | 1,687,351 | ||||||
| 6.75%, 09/21/2047 |
10,531,000 | 10,550,798 | ||||||
| 6.35%, 02/12/2048 |
6,057,000 | 5,845,005 | ||||||
| 7.69%, 01/23/2050(3) |
7,496,000 | 8,180,685 | ||||||
| Phillips 66 |
||||||||
| 5.88%, 05/01/2042 |
3,000,000 | 4,043,017 | ||||||
| 4.88%, 11/15/2044 |
70,000 | 84,266 | ||||||
| Phillips 66 Partners LP |
||||||||
| 3.61%, 02/15/2025 |
560,000 | 586,453 | ||||||
| 3.55%, 10/01/2026 |
190,000 | 198,846 |
| 3.15%, 12/15/2029 |
1,205,000 | 1,198,965 | ||||||
| 4.90%, 10/01/2046 |
412,000 | 466,822 | ||||||
| Plains All American Pipeline LP / PAA Finance Corp. |
||||||||
| 4.65%, 10/15/2025 |
16,794,000 | 17,976,784 | ||||||
| 3.55%, 12/15/2029 |
2,800,000 | 2,755,917 | ||||||
| 5.15%, 06/01/2042 |
1,540,000 | 1,550,063 | ||||||
| 4.70%, 06/15/2044 |
3,880,000 | 3,763,325 | ||||||
| Reliance Holding USA, Inc. |
||||||||
| 5.40%, 02/14/2022(3) |
1,115,000 | 1,178,437 | ||||||
| Rockies Express Pipeline LLC |
||||||||
| 5.63%, 04/15/2020(3) |
215,000 | 217,278 | ||||||
| Sabal Trail Transmission LLC |
||||||||
| 4.68%, 05/01/2038(3) |
10,000,000 | 11,226,965 | ||||||
| Sabine Pass Liquefaction LLC |
||||||||
| 5.88%, 06/30/2026 |
10,000,000 | 11,474,453 | ||||||
| Schlumberger Holdings Corp. |
||||||||
| 3.75%, 05/01/2024(3) |
780,000 | 821,362 | ||||||
| 3.90%, 05/17/2028(3) |
852,000 | 906,567 | ||||||
| Schlumberger Investment SA |
||||||||
| 3.30%, 09/14/2021(3) |
337,000 | 344,393 | ||||||
| Shell International Finance BV |
||||||||
| 2.00%, 11/07/2024 |
2,101,000 | 2,095,364 | ||||||
| 3.13%, 11/07/2049 |
5,588,000 | 5,499,850 | ||||||
| Sinopec Group Overseas Development 2015 Ltd. |
||||||||
| 2.50%, 04/28/2020(3) |
8,000,000 | 8,005,644 | ||||||
| Sinopec Group Overseas Development 2016 Ltd. |
||||||||
| 3.50%, 05/03/2026(3) |
2,000,000 | 2,076,042 | ||||||
| Sinopec Group Overseas Development 2018 Ltd. |
||||||||
| 3.68%, 08/08/2049(3) |
4,318,000 | 4,416,489 | ||||||
| Southern Natural Gas Co. LLC |
||||||||
| 8.00%, 03/01/2032 |
446,000 | 645,359 | ||||||
| 4.80%, 03/15/2047(3) |
428,000 | 486,331 | ||||||
| Spectra Energy Partners LP |
||||||||
| 3.50%, 03/15/2025 |
787,000 | 823,009 | ||||||
| 5.95%, 09/25/2043 |
207,000 | 259,497 | ||||||
| 4.50%, 03/15/2045 |
3,000,000 | 3,300,694 | ||||||
| Suncor Energy, Inc. |
||||||||
| 7.88%, 06/15/2026 |
543,000 | 693,837 | ||||||
| 5.95%, 12/01/2034 |
1,048,000 | 1,365,979 | ||||||
| 5.95%, 05/15/2035 |
350,000 | 453,680 | ||||||
| 6.80%, 05/15/2038 |
423,000 | 601,316 | ||||||
| Sunoco Logistics Partners Operations LP |
||||||||
| 5.50%, 02/15/2020 |
410,000 | 411,340 | ||||||
| 4.95%, 01/15/2043 |
1,482,000 | 1,464,236 | ||||||
| 5.30%, 04/01/2044 |
200,000 | 212,329 | ||||||
| 5.40%, 10/01/2047 |
1,500,000 | 1,626,532 | ||||||
| TC PipeLines LP |
||||||||
| 4.38%, 03/13/2025 |
8,465,000 | 9,006,056 | ||||||
| 3.90%, 05/25/2027 |
5,457,000 | 5,704,343 | ||||||
| Texas Eastern Transmission LP |
||||||||
| 2.80%, 10/15/2022(3) |
714,000 | 720,784 | ||||||
| 3.50%, 01/15/2028(3) |
450,000 | 461,763 | ||||||
| Total Capital International SA |
||||||||
| 3.46%, 07/12/2049 |
1,905,000 | 1,997,390 | ||||||
| TransCanada PipeLines Ltd. |
||||||||
| 4.88%, 01/15/2026 |
792,000 | 886,125 | ||||||
| 6.20%, 10/15/2037 |
573,000 | 746,607 | ||||||
| 4.75%, 05/15/2038 |
1,000,000 | 1,140,409 | ||||||
| Valero Energy Corp. |
||||||||
| 7.50%, 04/15/2032 |
175,000 | 243,005 |
| 6.63%, 06/15/2037 |
5,000,000 | 6,612,721 | ||||||
| Williams Cos, Inc. |
||||||||
| 4.30%, 03/04/2024 |
2,500,000 | 2,666,094 | ||||||
| 3.90%, 01/15/2025 |
700,000 | 736,489 | ||||||
| 8.75%, 03/15/2032 |
7,457,000 | 10,709,690 | ||||||
| 6.30%, 04/15/2040 |
333,000 | 412,196 | ||||||
| 5.40%, 03/04/2044 |
2,750,000 | 3,091,945 | ||||||
| 5.75%, 06/24/2044 |
2,500,000 | 2,955,297 | ||||||
| 4.90%, 01/15/2045 |
7,000,000 | 7,537,379 | ||||||
| 4.85%, 03/01/2048 |
3,890,000 | 4,246,124 | ||||||
| Woodside Finance Ltd. |
||||||||
| 3.65%, 03/05/2025(3) |
3,300,000 | 3,415,912 | ||||||
|
|
|
|||||||
| Total Energy |
487,290,924 | |||||||
|
|
|
|||||||
| Financials – 11.43% |
||||||||
| ABN AMRO Bank NV |
||||||||
| 2.45%, 06/04/2020(3) |
1,594,000 | 1,596,448 | ||||||
| 2.65%, 01/19/2021(3) |
1,000,000 | 1,006,000 | ||||||
| 4.75%, 07/28/2025(3) |
6,031,000 | 6,566,677 | ||||||
| AerCap Ireland Capital DAC |
||||||||
| 3.30%, 01/23/2023 |
701,000 | 718,150 | ||||||
| 3.50%, 01/15/2025 |
1,500,000 | 1,545,109 | ||||||
| AIA Group Ltd. |
||||||||
| 3.20%, 03/11/2025(3) |
7,455,000 | 7,643,253 | ||||||
| 3.90%, 04/06/2028(3) |
1,000,000 | 1,067,495 | ||||||
| 3.60%, 04/09/2029(3) |
795,000 | 833,234 | ||||||
| AIB Group Plc |
||||||||
| 4.75%, 10/12/2023(3) |
3,500,000 | 3,757,046 | ||||||
| AIG SunAmerica Global Financing X |
||||||||
| 6.90%, 03/15/2032(3) |
955,000 | 1,337,479 | ||||||
| Air Lease Corp. |
||||||||
| 3.25%, 03/01/2025 |
710,000 | 730,364 | ||||||
| 3.25%, 10/01/2029 |
3,950,000 | 3,923,691 | ||||||
| Aircastle Ltd. |
||||||||
| 4.40%, 09/25/2023 |
1,480,000 | 1,563,786 | ||||||
| Alexandria Real Estate Equities, Inc. |
||||||||
| 3.80%, 04/15/2026 |
338,000 | 361,010 | ||||||
| 4.00%, 02/01/2050 |
1,451,000 | 1,584,768 | ||||||
| American Express Co. |
||||||||
| 4.20%, 11/06/2025 |
1,400,000 | 1,541,976 | ||||||
| American Financial Group, Inc. |
||||||||
| 3.50%, 08/15/2026 |
1,435,000 | 1,476,921 | ||||||
| American International Group, Inc. |
||||||||
| 3.38%, 08/15/2020 |
4,639,000 | 4,681,458 | ||||||
| 6.40%, 12/15/2020 |
5,100,000 | 5,310,392 | ||||||
| 4.13%, 02/15/2024 |
879,000 | 943,266 | ||||||
| 3.75%, 07/10/2025 |
444,000 | 474,761 | ||||||
| 3.90%, 04/01/2026 |
1,370,000 | 1,467,063 | ||||||
| 3.88%, 01/15/2035 |
376,000 | 398,410 | ||||||
| 4.50%, 07/16/2044 |
1,608,000 | 1,849,535 | ||||||
| American Tower Corp. |
||||||||
| 2.25%, 01/15/2022 |
600,000 | 601,711 | ||||||
| 3.50%, 01/31/2023 |
341,000 | 353,325 | ||||||
| 3.38%, 10/15/2026 |
506,000 | 525,570 | ||||||
| 3.70%, 10/15/2049 |
2,065,000 | 2,051,168 | ||||||
| American Tower Trust |
||||||||
| 3.07%, 03/15/2023(3) |
2,900,000 | 2,936,489 | ||||||
| AmSouth Bancorp |
||||||||
| 6.75%, 11/01/2025 |
527,000 | 622,393 | ||||||
| ANZ New Zealand Int’l Ltd. |
||||||||
| 2.85%, 08/06/2020(3) |
250,000 | 251,220 |
| 3.45%, 01/21/2028(3) |
500,000 | 526,924 | ||||||
| Aon Plc |
||||||||
| 4.00%, 11/27/2023 |
5,000,000 | 5,290,781 | ||||||
| 3.50%, 06/14/2024 |
815,000 | 854,129 | ||||||
| ASB Bank Ltd. |
||||||||
| 3.13%, 05/23/2024(3) |
2,050,000 | 2,115,887 | ||||||
| Assurant, Inc. |
||||||||
| 4.20%, 09/27/2023 |
1,210,000 | 1,262,384 | ||||||
| Athene Global Funding |
||||||||
| 2.75%, 04/20/2020(3) |
1,407,000 | 1,409,928 | ||||||
| 2.95%, 11/12/2026(3) |
8,370,000 | 8,351,000 | ||||||
| Australia & New Zealand Banking Group Ltd. |
||||||||
| 4.50%, 03/19/2024(3) |
9,000,000 | 9,575,620 | ||||||
| 4.40%, 05/19/2026(3) |
226,000 | 240,669 | ||||||
| Avolon Holdings Funding Ltd. |
||||||||
| 5.25%, 05/15/2024(3) |
1,220,000 | 1,331,728 | ||||||
| 4.38%, 05/01/2026(3) |
790,000 | 834,477 | ||||||
| Banco del Estado de Chile |
||||||||
| 2.67%, 01/08/2021(3) |
8,788,000 | 8,792,046 | ||||||
| Banco Santander SA |
||||||||
| 3.50%, 04/11/2022 |
5,000,000 | 5,134,376 | ||||||
| 3.13%, 02/23/2023 |
2,200,000 | 2,244,275 | ||||||
| 3.12% (3 Month LIBOR USD + 1.12%), 04/12/2023(2) |
1,000,000 | 1,006,420 | ||||||
| 3.85%, 04/12/2023 |
2,400,000 | 2,502,114 | ||||||
| 5.18%, 11/19/2025 |
1,500,000 | 1,679,059 | ||||||
| Bank of America Corp. |
||||||||
| 2.63%, 04/19/2021 |
2,500,000 | 2,523,372 | ||||||
| 2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021(2) |
2,500,000 | 2,505,435 | ||||||
| 3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(2) |
19,029,000 | 19,407,070 | ||||||
| 2.50%, 10/21/2022 |
931,000 | 940,108 | ||||||
| 3.30%, 01/11/2023 |
3,800,000 | 3,927,749 | ||||||
| 3.12% (3 Month LIBOR USD + 1.16%), 01/20/2023(2) |
951,000 | 969,730 | ||||||
| 2.88% (3 Month LIBOR USD + 1.02%), 04/24/2023(2) |
1,640,000 | 1,668,370 | ||||||
| 3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) |
10,960,000 | 11,224,121 | ||||||
| 3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2) |
1,985,000 | 2,060,088 | ||||||
| 4.00%, 04/01/2024 |
2,390,000 | 2,559,143 | ||||||
| 3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(2) |
4,717,000 | 4,963,537 | ||||||
| 4.20%, 08/26/2024 |
1,750,000 | 1,878,424 | ||||||
| 4.00%, 01/22/2025 |
5,349,000 | 5,702,786 | ||||||
| 3.95%, 04/21/2025 |
5,201,000 | 5,545,942 | ||||||
| 3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2) |
5,055,000 | 5,214,954 | ||||||
| 2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(2) |
2,000,000 | 2,011,494 | ||||||
| 3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(2) |
1,500,000 | 1,568,219 | ||||||
| 4.45%, 03/03/2026 |
7,140,000 | 7,835,580 | ||||||
| 4.25%, 10/22/2026 |
544,000 | 592,830 | ||||||
| 3.56% (3 Month LIBOR USD + 1.06%), 04/23/2027(2) |
13,393,000 | 14,144,960 | ||||||
| 3.25%, 10/21/2027 |
5,800,000 | 6,039,691 | ||||||
| 3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(2) |
6,750,000 | 7,259,540 | ||||||
| 3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2) |
4,500,000 | 4,806,431 | ||||||
| 3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2) |
7,800,000 | 8,259,220 | ||||||
| 3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028(2) |
700,000 | 734,084 | ||||||
| 3.97% (3 Month LIBOR USD + 1.07%), 03/05/2029(2) |
3,900,000 | 4,244,827 | ||||||
| 4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) |
1,500,000 | 1,665,124 | ||||||
| 3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(2) |
7,610,000 | 8,359,877 | ||||||
| 2.88% (3 Month LIBOR USD + 0.01%), 10/22/2030(2) |
5,130,000 | 5,167,038 | ||||||
| 6.11%, 01/29/2037 |
3,580,000 | 4,829,376 | ||||||
| 7.75%, 05/14/2038 |
137,000 | 215,520 | ||||||
| 4.08% (3 Month LIBOR USD + 1.32%), 04/23/2040(2) |
1,615,000 | 1,827,184 | ||||||
| 4.33% (3 Month LIBOR USD + 1.52%), 03/15/2050(2) |
1,615,000 | 1,933,292 | ||||||
| Bank of Montreal |
| 3.30%, 02/05/2024 |
1,200,000 | 1,249,888 | ||||||
| 3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(2) |
7,167,000 | 7,474,823 | ||||||
| Bank of New York Mellon Corp. |
||||||||
| 2.95%, 01/29/2023 |
1,000,000 | 1,026,395 | ||||||
| 2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023(2) |
355,000 | 360,309 | ||||||
| 3.25%, 09/11/2024 |
650,000 | 682,515 | ||||||
| 3.00%, 02/24/2025 |
5,360,000 | 5,569,638 | ||||||
| 2.80%, 05/04/2026 |
305,000 | 313,387 | ||||||
| Bank of New Zealand |
||||||||
| 3.50%, 02/20/2024(3) |
950,000 | 992,364 | ||||||
| Banque Federative du Credit Mutuel SA |
||||||||
| 2.13%, 11/21/2022(3) |
2,995,000 | 2,997,507 | ||||||
| 3.75%, 07/20/2023(3) |
1,650,000 | 1,729,327 | ||||||
| Barclays Plc |
||||||||
| 3.68%, 01/10/2023 |
10,650,000 | 10,917,219 | ||||||
| 4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(2) |
2,300,000 | 2,401,452 | ||||||
| 4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024(2) |
4,267,000 | 4,496,192 | ||||||
| 3.65%, 03/16/2025 |
2,522,000 | 2,625,086 | ||||||
| 5.20%, 05/12/2026 |
500,000 | 546,871 | ||||||
| 4.34%, 01/10/2028 |
2,360,000 | 2,529,777 | ||||||
| 4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2) |
2,450,000 | 2,759,234 | ||||||
| BB&T Corp. |
||||||||
| 2.50%, 08/01/2024 |
14,412,000 | 14,584,728 | ||||||
| 2.85%, 10/26/2024 |
1,000,000 | 1,033,260 | ||||||
| Berkshire Hathaway Finance Corp. |
||||||||
| 4.40%, 05/15/2042 |
1,524,000 | 1,788,164 | ||||||
| 4.30%, 05/15/2043 |
322,000 | 371,235 | ||||||
| Berkshire Hathaway, Inc. |
||||||||
| 3.13%, 03/15/2026 |
8,130,000 | 8,560,810 | ||||||
| Blackstone Holdings Finance Co. LLC |
||||||||
| 4.45%, 07/15/2045(3) |
170,000 | 191,142 | ||||||
| BNP Paribas SA |
||||||||
| 3.50%, 03/01/2023(3) |
430,000 | 444,720 | ||||||
| 3.80%, 01/10/2024(3) |
1,600,000 | 1,679,505 | ||||||
| 3.38%, 01/09/2025(3) |
10,725,000 | 11,128,709 | ||||||
| 2.82% (3 Month LIBOR USD + 1.11%), 11/19/2025(2)(3) |
16,669,000 | 16,851,081 | ||||||
| 4.40%, 08/14/2028(3) |
725,000 | 804,635 | ||||||
| BNZ International Funding Ltd. |
||||||||
| 2.10%, 09/14/2021(3) |
400,000 | 400,446 | ||||||
| 2.65%, 11/03/2022(3) |
10,091,000 | 10,209,056 | ||||||
| 3.38%, 03/01/2023(3) |
6,000,000 | 6,201,227 | ||||||
| BOC Aviation Ltd. |
||||||||
| 2.38%, 09/15/2021(3) |
3,550,000 | 3,536,687 | ||||||
| 2.75%, 09/18/2022(3) |
780,000 | 782,737 | ||||||
| Boston Properties LP |
||||||||
| 3.13%, 09/01/2023 |
300,000 | 309,411 | ||||||
| 3.20%, 01/15/2025 |
1,139,000 | 1,181,298 | ||||||
| 3.65%, 02/01/2026 |
557,000 | 589,674 | ||||||
| BPCE SA |
||||||||
| 2.75%, 01/11/2023(3) |
1,000,000 | 1,015,691 | ||||||
| 5.70%, 10/22/2023(3) |
3,645,000 | 4,025,574 | ||||||
| 4.63%, 07/11/2024(3) |
1,300,000 | 1,397,851 | ||||||
| 5.15%, 07/21/2024(3) |
2,800,000 | 3,070,886 | ||||||
| 4.50%, 03/15/2025(3) |
2,000,000 | 2,153,782 | ||||||
| 3.38%, 12/02/2026 |
500,000 | 524,021 | ||||||
| 3.25%, 01/11/2028(3) |
7,815,000 | 8,107,467 | ||||||
| Brixmor Operating Partnership LP |
||||||||
| 3.85%, 02/01/2025 |
1,100,000 | 1,154,358 | ||||||
| Brookfield Finance, Inc. |
||||||||
| 3.90%, 01/25/2028 |
770,000 | 827,721 |
| 4.85%, 03/29/2029 |
1,905,000 | 2,178,565 | ||||||
| 4.70%, 09/20/2047 |
769,000 | 881,832 | ||||||
| Capital One Bank USA N.A. |
||||||||
| 3.38%, 02/15/2023 |
6,000,000 | 6,195,436 | ||||||
| Capital One Financial Corp. |
||||||||
| 3.90%, 01/29/2024 |
3,600,000 | 3,815,487 | ||||||
| 3.75%, 04/24/2024 |
824,000 | 867,136 | ||||||
| 3.20%, 02/05/2025 |
726,000 | 751,389 | ||||||
| 4.20%, 10/29/2025 |
400,000 | 431,351 | ||||||
| 3.75%, 07/28/2026 |
960,000 | 1,010,425 | ||||||
| Capital One N.A. |
||||||||
| 2.95%, 07/23/2021 |
4,120,000 | 4,178,283 | ||||||
| 2.25%, 09/13/2021 |
7,005,000 | 7,034,676 | ||||||
| Charles Schwab Corp. |
||||||||
| 3.23%, 09/01/2022 |
165,000 | 170,285 | ||||||
| 3.20%, 03/02/2027 |
1,700,000 | 1,777,497 | ||||||
| Citigroup, Inc. |
||||||||
| 2.40%, 02/18/2020 |
2,000,000 | 2,000,804 | ||||||
| 2.75%, 04/25/2022 |
13,420,000 | 13,624,899 | ||||||
| 3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2) |
1,111,000 | 1,133,611 | ||||||
| 2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) |
15,799,000 | 16,072,953 | ||||||
| 4.40%, 06/10/2025 |
12,181,000 | 13,228,862 | ||||||
| 3.70%, 01/12/2026 |
9,150,000 | 9,748,922 | ||||||
| 3.40%, 05/01/2026 |
1,000,000 | 1,049,470 | ||||||
| 3.20%, 10/21/2026 |
905,000 | 938,031 | ||||||
| 4.30%, 11/20/2026 |
5,442,000 | 5,919,112 | ||||||
| 4.45%, 09/29/2027 |
12,734,000 | 14,013,424 | ||||||
| 3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2) |
4,100,000 | 4,413,321 | ||||||
| 6.63%, 01/15/2028 |
387,000 | 488,901 | ||||||
| 3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) |
4,625,000 | 4,924,917 | ||||||
| 3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2) |
7,000,000 | 7,361,305 | ||||||
| 2.98% (Secured Overnight Financing Rate + 1.42%), 11/05/2030(2) |
10,800,000 | 10,951,411 | ||||||
| 3.88% (3 Month LIBOR USD + 1.17%), 01/24/2039(2) |
500,000 | 548,587 | ||||||
| 8.13%, 07/15/2039 |
164,000 | 274,100 | ||||||
| 4.75%, 05/18/2046 |
1,200,000 | 1,437,917 | ||||||
| 4.65%, 07/23/2048 |
1,712,000 | 2,134,531 | ||||||
| Citizens Bank N.A./Providence RI |
||||||||
| 3.70%, 03/29/2023 |
1,370,000 | 1,431,832 | ||||||
| Citizens Financial Group, Inc. |
||||||||
| 2.38%, 07/28/2021 |
188,000 | 188,877 | ||||||
| 4.30%, 12/03/2025 |
343,000 | 368,258 | ||||||
| CNA Financial Corp. |
||||||||
| 7.25%, 11/15/2023 |
7,470,000 | 8,729,188 | ||||||
| 3.95%, 05/15/2024 |
303,000 | 323,584 | ||||||
| 3.45%, 08/15/2027 |
820,000 | 853,594 | ||||||
| Comerica, Inc. |
||||||||
| 4.00%, 02/01/2029 |
1,900,000 | 2,073,101 | ||||||
| Commonwealth Bank of Australia |
||||||||
| 2.00%, 09/06/2021(3) |
450,000 | 450,870 | ||||||
| 2.50%, 09/18/2022(3) |
800,000 | 810,242 | ||||||
| 3.45%, 03/16/2023(3) |
1,300,000 | 1,354,140 | ||||||
| 4.50%, 12/09/2025(3) |
778,000 | 840,554 | ||||||
| 2.85%, 05/18/2026(3) |
1,300,000 | 1,325,502 | ||||||
| 3.74%, 09/12/2039(3) |
6,585,000 | 6,595,075 | ||||||
| Compass Bank |
||||||||
| 3.88%, 04/10/2025 |
7,840,000 | 8,228,503 | ||||||
| Cooperatieve Rabobank UA |
||||||||
| 3.88%, 02/08/2022 |
5,323,000 | 5,541,590 | ||||||
| 3.88%, 09/26/2023(3) |
1,400,000 | 1,479,279 | ||||||
| 4.63%, 12/01/2023 |
5,927,000 | 6,427,601 |
| 4.38%, 08/04/2025 |
570,000 | 617,961 | ||||||
| 3.75%, 07/21/2026 |
688,000 | 716,065 | ||||||
| 5.80%, 09/30/2110(3) |
361,000 | 535,894 | ||||||
| Credit Agricole SA |
||||||||
| 3.75%, 04/24/2023(3) |
575,000 | 601,120 | ||||||
| 4.38%, 03/17/2025(3) |
305,000 | 326,983 | ||||||
| 4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(2)(3) |
5,000,000 | 5,271,014 | ||||||
| Credit Suisse AG |
||||||||
| 3.63%, 09/09/2024 |
560,000 | 595,240 | ||||||
| Credit Suisse Group AG |
||||||||
| 3.57%, 01/09/2023(3) |
3,216,000 | 3,302,688 | ||||||
| 2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(2)(3) |
1,450,000 | 1,454,062 | ||||||
| 4.28%, 01/09/2028(3) |
3,973,000 | 4,318,353 | ||||||
| 3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(2)(3) |
2,499,000 | 2,659,796 | ||||||
| Credit Suisse Group Funding Guernsey Ltd. |
||||||||
| 2.75%, 03/26/2020 |
541,000 | 541,670 | ||||||
| 3.80%, 06/09/2023 |
8,500,000 | 8,893,364 | ||||||
| 3.75%, 03/26/2025 |
1,900,000 | 2,009,271 | ||||||
| 4.55%, 04/17/2026 |
1,500,000 | 1,663,714 | ||||||
| Crown Castle International Corp. |
||||||||
| 4.88%, 04/15/2022 |
1,112,000 | 1,177,552 | ||||||
| 5.25%, 01/15/2023 |
400,000 | 434,329 | ||||||
| 4.00%, 03/01/2027 |
261,000 | 281,526 | ||||||
| Dai-ichi Life Insurance Co. Ltd. |
||||||||
| 4.00% (3 Month LIBOR USD + 3.66%), 01/24/2168(2)(3) |
1,179,000 | 1,223,212 | ||||||
| Daiwa Securities Group, Inc. |
||||||||
| 3.13%, 04/19/2022(3) |
854,000 | 870,193 | ||||||
| Danske Bank |
||||||||
| 2.00%, 09/08/2021(3) |
558,000 | 555,521 | ||||||
| 2.70%, 03/02/2022(3) |
542,000 | 545,875 | ||||||
| Deutsche Bank AG |
||||||||
| 3.15%, 01/22/2021 |
5,000,000 | 5,021,896 | ||||||
| 4.25%, 10/14/2021 |
4,165,000 | 4,282,464 | ||||||
| 3.30%, 11/16/2022 |
3,000,000 | 3,029,427 | ||||||
| 3.70%, 05/30/2024 |
850,000 | 862,011 | ||||||
| 3.70%, 05/30/2024 |
2,063,000 | 2,097,870 | ||||||
| Deutsche Bank AG/New York NY |
||||||||
| 3.95%, 02/27/2023 |
5,000,000 | 5,124,726 | ||||||
| Dexia Credit Local SA |
||||||||
| 3.25%, 09/26/2023(3) |
500,000 | 523,962 | ||||||
| Digital Realty Trust LP |
||||||||
| 3.70%, 08/15/2027 |
462,000 | 489,019 | ||||||
| Discover Bank |
||||||||
| 3.35%, 02/06/2023 |
2,000,000 | 2,063,134 | ||||||
| 4.20%, 08/08/2023 |
7,156,000 | 7,605,057 | ||||||
| 3.45%, 07/27/2026 |
1,951,000 | 2,024,398 | ||||||
| 4.65%, 09/13/2028 |
4,000,000 | 4,503,469 | ||||||
| Discover Financial Services |
||||||||
| 3.75%, 03/04/2025 |
2,920,000 | 3,089,314 | ||||||
| Duke Realty LP |
||||||||
| 3.63%, 04/15/2023 |
7,744,000 | 8,045,370 | ||||||
| 3.25%, 06/30/2026 |
203,000 | 210,118 | ||||||
| Fifth Third Bancorp |
||||||||
| 3.65%, 01/25/2024 |
1,420,000 | 1,496,262 | ||||||
| 3.95%, 03/14/2028 |
1,000,000 | 1,098,454 | ||||||
| FMR LLC |
||||||||
| 4.95%, 02/01/2033(3) |
250,000 | 306,017 | ||||||
| 6.45%, 11/15/2039(3) |
258,000 | 361,830 | ||||||
| GAIF Bond Issuer Pty Ltd. |
||||||||
| 3.40%, 09/30/2026(3) |
1,000,000 | 1,014,025 |
| GE Capital International Funding Co. Unlimited Co. |
||||||||
| 2.34%, 11/15/2020 |
17,078,000 | 17,090,892 | ||||||
| 4.42%, 11/15/2035 |
16,383,000 | 17,444,223 | ||||||
| Globe Life, Inc. |
||||||||
| 4.55%, 09/15/2028 |
3,000,000 | 3,330,857 | ||||||
| Goldman Sachs Capital I |
||||||||
| 6.35%, 02/15/2034 |
127,000 | 164,666 | ||||||
| Goldman Sachs Group, Inc. |
||||||||
| 5.38%, 03/15/2020 |
2,985,000 | 3,005,703 | ||||||
| 2.60%, 04/23/2020 |
5,030,000 | 5,036,542 | ||||||
| 2.35%, 11/15/2021 |
2,657,000 | 2,666,937 | ||||||
| 5.75%, 01/24/2022 |
12,000,000 | 12,877,102 | ||||||
| 3.00%, 04/26/2022 |
1,653,000 | 1,673,342 | ||||||
| 2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2) |
14,157,000 | 14,354,659 | ||||||
| 2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023(2) |
3,076,000 | 3,125,640 | ||||||
| 2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(2) |
8,773,000 | 8,928,034 | ||||||
| 3.50%, 01/23/2025 |
6,509,000 | 6,824,244 | ||||||
| 3.75%, 05/22/2025 |
1,305,000 | 1,383,981 | ||||||
| 3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) |
5,590,000 | 5,782,104 | ||||||
| 3.75%, 02/25/2026 |
9,005,000 | 9,522,953 | ||||||
| 3.50%, 11/16/2026 |
1,700,000 | 1,786,691 | ||||||
| 3.85%, 01/26/2027 |
2,975,000 | 3,163,975 | ||||||
| 3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2) |
3,488,000 | 3,702,648 | ||||||
| 4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2) |
8,400,000 | 9,249,991 | ||||||
| 6.75%, 10/01/2037 |
2,170,000 | 3,007,884 | ||||||
| 4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(2) |
6,226,000 | 7,077,748 | ||||||
| 4.80%, 07/08/2044 |
1,535,000 | 1,855,906 | ||||||
| 5.15%, 05/22/2045 |
4,000,000 | 4,903,325 | ||||||
| Goodman US Finance Four LLC |
||||||||
| 4.50%, 10/15/2037(3) |
200,000 | 214,527 | ||||||
| Goodman US Finance Three LLC |
||||||||
| 3.70%, 03/15/2028(3) |
862,000 | 884,085 | ||||||
| Great-West Lifeco Finance 2018 LP |
||||||||
| 4.58%, 05/17/2048(3) |
650,000 | 749,390 | ||||||
| GTP Acquisition Partners I LLC |
||||||||
| 2.35%, 06/15/2020(3) |
271,000 | 271,043 | ||||||
| 3.48%, 06/16/2025(3) |
1,824,000 | 1,871,180 | ||||||
| Guardian Life Insurance Co. of America |
||||||||
| 4.85%, 01/24/2077(3) |
5,854,000 | 7,104,636 | ||||||
| Harborwalk Funding Trust |
||||||||
| 5.08% (3 Month LIBOR USD + 3.19%), 02/15/2069(2)(3) |
2,400,000 | 2,836,721 | ||||||
| Hartford Financial Services Group, Inc. |
||||||||
| 5.50%, 03/30/2020 |
4,118,000 | 4,152,655 | ||||||
| 4.30%, 04/15/2043 |
1,080,000 | 1,195,645 | ||||||
| 3.60%, 08/19/2049 |
1,000,000 | 1,026,050 | ||||||
| HCP, Inc. |
||||||||
| 4.20%, 03/01/2024 |
241,000 | 257,519 | ||||||
| 3.88%, 08/15/2024 |
1,981,000 | 2,105,856 | ||||||
| 3.40%, 02/01/2025 |
662,000 | 690,765 | ||||||
| 3.50%, 07/15/2029 |
1,742,000 | 1,814,560 | ||||||
| HSBC Holdings Plc |
||||||||
| 5.10%, 04/05/2021 |
4,650,000 | 4,821,576 | ||||||
| 2.50% (3 Month LIBOR USD + 0.60%), 05/18/2021(2) |
7,250,000 | 7,257,382 | ||||||
| 2.65%, 01/05/2022 |
2,618,000 | 2,645,844 | ||||||
| 4.00%, 03/30/2022 |
780,000 | 812,553 | ||||||
| 3.60%, 05/25/2023 |
1,000,000 | 1,042,592 | ||||||
| 3.03% (3 Month LIBOR USD + 0.92%), 11/22/2023(2) |
1,784,000 | 1,824,637 | ||||||
| 4.25%, 03/14/2024 |
2,795,000 | 2,967,664 | ||||||
| 3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2) |
1,301,000 | 1,368,015 | ||||||
| 3.80% (3 Month LIBOR USD + 1.21%), 03/11/2025(2) |
16,021,000 | 16,806,442 |
| 4.25%, 08/18/2025 |
1,009,000 | 1,078,156 | ||||||
| 4.30%, 03/08/2026 |
1,000,000 | 1,087,999 | ||||||
| 4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) |
7,000,000 | 7,562,816 | ||||||
| 4.38%, 11/23/2026 |
559,000 | 605,052 | ||||||
| 4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(2) |
1,533,000 | 1,638,433 | ||||||
| 3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(2) |
5,072,000 | 5,461,798 | ||||||
| HSBC USA, Inc. |
||||||||
| 5.00%, 09/27/2020 |
3,000,000 | 3,062,764 | ||||||
| 9.13%, 05/15/2021 |
75,000 | 81,622 | ||||||
| Huntington Bancshares, Inc. |
||||||||
| 3.15%, 03/14/2021 |
225,000 | 227,752 | ||||||
| 2.30%, 01/14/2022 |
4,220,000 | 4,241,515 | ||||||
| Huntington National Bank |
||||||||
| 2.88%, 08/20/2020 |
4,534,000 | 4,556,760 | ||||||
| Industrial & Commercial Bank of China Ltd. |
||||||||
| 2.45%, 10/20/2021 |
1,150,000 | 1,150,275 | ||||||
| ING Bank NV |
||||||||
| 5.80%, 09/25/2023(3) |
4,800,000 | 5,326,847 | ||||||
| ING Groep NV |
||||||||
| 3.15%, 03/29/2022 |
4,000,000 | 4,089,108 | ||||||
| 4.10%, 10/02/2023 |
3,175,000 | 3,375,429 | ||||||
| Intercontinental Exchange, Inc. |
||||||||
| 4.00%, 10/15/2023 |
578,000 | 616,431 | ||||||
| International Lease Finance Corp. |
||||||||
| 8.63%, 01/15/2022 |
1,200,000 | 1,349,767 | ||||||
| 5.88%, 08/15/2022 |
438,000 | 476,970 | ||||||
| Intesa Sanpaolo SpA |
||||||||
| 4.00%, 09/23/2029(3) |
10,590,000 | 10,737,315 | ||||||
| Invesco Finance Plc |
||||||||
| 4.00%, 01/30/2024 |
2,889,000 | 3,068,683 | ||||||
| 3.75%, 01/15/2026 |
4,249,000 | 4,525,726 | ||||||
| Jackson National Life Global Funding |
||||||||
| 2.50%, 06/27/2022(3) |
800,000 | 810,875 | ||||||
| 3.25%, 01/30/2024(3) |
460,000 | 476,909 | ||||||
| 3.05%, 04/29/2026(3) |
473,000 | 487,978 | ||||||
| Jefferies Group LLC |
||||||||
| 5.13%, 01/20/2023 |
2,600,000 | 2,806,290 | ||||||
| 6.45%, 06/08/2027 |
428,000 | 501,552 | ||||||
| 6.25%, 01/15/2036 |
155,000 | 184,813 | ||||||
| John Hancock Life Insurance Co. |
||||||||
| 7.38%, 02/15/2024(3) |
731,000 | 854,042 | ||||||
| JPMorgan Chase & Co. |
||||||||
| 2.30%, 08/15/2021 |
3,600,000 | 3,607,924 | ||||||
| 3.38%, 05/01/2023 |
3,800,000 | 3,946,799 | ||||||
| 3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(2) |
8,000,000 | 8,332,304 | ||||||
| 3.13%, 01/23/2025 |
4,000,000 | 4,173,112 | ||||||
| 3.30%, 04/01/2026 |
1,870,000 | 1,966,549 | ||||||
| 3.20%, 06/15/2026 |
11,090,000 | 11,575,512 | ||||||
| 2.95%, 10/01/2026 |
5,000,000 | 5,148,376 | ||||||
| 4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(2) |
2,320,000 | 2,545,063 | ||||||
| 4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(2) |
9,660,000 | 10,979,339 | ||||||
| 2.74% (Secured Overnight Financing Rate + 1.51%), 10/15/2030(2) |
6,147,000 | 6,138,190 | ||||||
| 4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(2) |
5,140,000 | 6,083,796 | ||||||
| 3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(2) |
9,794,000 | 11,083,005 | ||||||
| 5.00% (Secured Overnight Financing Rate + 3.38%), 02/01/2168(2) |
5,010,000 | 5,210,400 | ||||||
| KeyBank N.A. |
||||||||
| 3.18%, 05/22/2022 |
567,000 | 578,232 | ||||||
| KeyCorp |
||||||||
| 5.10%, 03/24/2021 |
211,000 | 218,950 | ||||||
| 4.15%, 10/29/2025 |
950,000 | 1,040,293 |
| Kilroy Realty LP |
||||||||
| 3.05%, 02/15/2030 |
10,561,000 | 10,400,283 | ||||||
| Kimco Realty Corp. |
||||||||
| 4.45%, 09/01/2047 |
3,195,000 | 3,494,585 | ||||||
| LeasePlan Corp. NV |
||||||||
| 2.88%, 10/24/2024(3) |
7,774,000 | 7,764,157 | ||||||
| Liberty Mutual Group, Inc. |
||||||||
| 4.25%, 06/15/2023(3) |
72,000 | 76,463 | ||||||
| 4.57%, 02/01/2029(3) |
2,301,000 | 2,568,049 | ||||||
| 3.95%, 10/15/2050(3) |
6,769,000 | 7,017,243 | ||||||
| Liberty Mutual Insurance Co. |
||||||||
| 8.50%, 05/15/2025(3) |
700,000 | 871,143 | ||||||
| 7.70%, 10/15/2097(3) |
100,000 | 141,946 | ||||||
| Liberty Property LP |
||||||||
| 3.25%, 10/01/2026 |
303,000 | 316,222 | ||||||
| Life Storage LP |
||||||||
| 4.00%, 06/15/2029 |
1,831,000 | 1,958,235 | ||||||
| Lincoln National Corp. |
||||||||
| 4.20%, 03/15/2022 |
873,000 | 909,717 | ||||||
| 3.80%, 03/01/2028 |
900,000 | 958,256 | ||||||
| 3.05%, 01/15/2030 |
7,255,000 | 7,290,655 | ||||||
| 7.00%, 06/15/2040 |
1,715,000 | 2,434,688 | ||||||
| Lloyds Bank Plc |
||||||||
| 5.80%, 01/13/2020(3) |
172,000 | 172,177 | ||||||
| 2.40%, 03/17/2020 |
1,200,000 | 1,200,950 | ||||||
| 3.30%, 05/07/2021 |
11,200,000 | 11,379,815 | ||||||
| Lloyds Banking Group Plc |
||||||||
| 4.05%, 08/16/2023 |
3,000,000 | 3,178,875 | ||||||
| 2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) |
8,950,000 | 9,079,843 | ||||||
| 4.45%, 05/08/2025 |
855,000 | 933,159 | ||||||
| 4.58%, 12/10/2025 |
550,000 | 595,053 | ||||||
| 3.75%, 01/11/2027 |
2,000,000 | 2,100,400 | ||||||
| 4.38%, 03/22/2028 |
949,000 | 1,045,243 | ||||||
| 3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) |
1,000,000 | 1,043,414 | ||||||
| Macquarie Bank Ltd. |
||||||||
| 2.40%, 01/21/2020(3) |
1,600,000 | 1,600,184 | ||||||
| 4.00%, 07/29/2025(3) |
500,000 | 534,829 | ||||||
| Macquarie Group Ltd. |
||||||||
| 6.00%, 01/14/2020(3) |
1,975,000 | 1,977,378 | ||||||
| 6.25%, 01/14/2021(3) |
1,111,000 | 1,156,768 | ||||||
| 3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(2)(3) |
6,000,000 | 6,131,999 | ||||||
| 4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(2)(3) |
2,000,000 | 2,100,633 | ||||||
| 3.76% (3 Month LIBOR USD + 1.37%), 11/28/2028(2)(3) |
2,565,000 | 2,680,374 | ||||||
| 5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(2)(3) |
4,445,000 | 5,062,283 | ||||||
| Manulife Financial Corp. |
||||||||
| 4.06% (5 Year 1100 Run ICE Swap Rate USD + 1.65%), 02/24/2032(2) |
1,910,000 | 1,981,644 | ||||||
| Markel Corp. |
||||||||
| 3.63%, 03/30/2023 |
400,000 | 418,107 | ||||||
| 5.00%, 04/05/2046 |
1,265,000 | 1,447,564 | ||||||
| 4.15%, 09/17/2050 |
655,000 | 672,970 | ||||||
| Marsh & McLennan Cos, Inc. |
||||||||
| 2.35%, 03/06/2020 |
3,769,000 | 3,770,352 | ||||||
| 4.80%, 07/15/2021 |
5,000,000 | 5,179,845 | ||||||
| Massachusetts Mutual Life Insurance Co. |
||||||||
| 7.63%, 11/15/2023(3) |
550,000 | 627,071 | ||||||
| 3.73%, 10/15/2070(3) |
3,109,000 | 2,994,027 | ||||||
| 4.90%, 04/01/2077(3) |
5,000,000 | 6,011,852 | ||||||
| MassMutual Global Funding II |
||||||||
| 2.50%, 10/17/2022(3) |
386,000 | 391,414 | ||||||
| 2.75%, 06/22/2024(3) |
700,000 | 717,614 |
| MBIA Insurance Corp. |
||||||||
| 13.26% (3 Month LIBOR USD + 11.26%), 01/15/2033(3) |
86,000 | 58,850 | ||||||
| MDGH – GMTN BV |
||||||||
| 3.70%, 11/07/2049(3) |
3,834,000 | 3,982,951 | ||||||
| MetLife, Inc. |
||||||||
| 6.40%, 12/15/2036 |
3,265,000 | 3,999,625 | ||||||
| 4.88%, 11/13/2043 |
3,000,000 | 3,709,637 | ||||||
| Metropolitan Life Global Funding I |
||||||||
| 3.88%, 04/11/2022(3) |
1,480,000 | 1,541,458 | ||||||
| 3.00%, 01/10/2023(3) |
407,000 | 418,550 | ||||||
| 3.00%, 09/19/2027(3) |
1,180,000 | 1,222,721 | ||||||
| Mid-America Apartments LP |
||||||||
| 4.00%, 11/15/2025 |
1,500,000 | 1,622,126 | ||||||
| Mitsubishi UFJ Financial Group, Inc. |
||||||||
| 2.95%, 03/01/2021 |
330,000 | 333,513 | ||||||
| 3.00%, 02/22/2022 |
206,000 | 209,862 | ||||||
| 3.22%, 03/07/2022 |
2,034,000 | 2,083,148 | ||||||
| 2.67%, 07/25/2022 |
800,000 | 811,424 | ||||||
| 3.46%, 03/02/2023 |
4,000,000 | 4,146,707 | ||||||
| 2.53%, 09/13/2023 |
481,000 | 485,959 | ||||||
| 3.41%, 03/07/2024 |
2,520,000 | 2,626,246 | ||||||
| 3.20%, 07/18/2029 |
5,364,000 | 5,551,614 | ||||||
| 3.75%, 07/18/2039 |
1,615,000 | 1,765,876 | ||||||
| Mitsubishi UFJ Lease & Finance Co. Ltd. |
||||||||
| 2.65%, 09/19/2022(3) |
764,000 | 769,114 | ||||||
| 3.96%, 09/19/2023(3) |
2,730,000 | 2,857,644 | ||||||
| Mizuho Bank Ltd. |
||||||||
| 3.60%, 09/25/2024(3) |
1,250,000 | 1,317,197 | ||||||
| Mizuho Financial Group, Inc. |
||||||||
| 2.95%, 02/28/2022 |
2,000,000 | 2,035,880 | ||||||
| 2.60%, 09/11/2022 |
3,500,000 | 3,544,673 | ||||||
| 2.87% (3 Month LIBOR USD + 1.31%), 09/13/2030(2) |
1,620,000 | 1,616,243 | ||||||
| Morgan Stanley |
||||||||
| 5.50%, 07/24/2020 |
360,000 | 367,259 | ||||||
| 5.75%, 01/25/2021 |
10,000,000 | 10,385,711 | ||||||
| 2.50%, 04/21/2021 |
2,000,000 | 2,015,141 | ||||||
| 5.50%, 07/28/2021 |
1,437,000 | 1,513,729 | ||||||
| 2.63%, 11/17/2021 |
3,860,000 | 3,905,112 | ||||||
| 2.75%, 05/19/2022 |
8,390,000 | 8,540,979 | ||||||
| 3.13%, 01/23/2023 |
1,735,000 | 1,783,322 | ||||||
| 3.75%, 02/25/2023 |
1,882,000 | 1,970,374 | ||||||
| 4.10%, 05/22/2023 |
3,460,000 | 3,652,591 | ||||||
| 3.74% (3 Month LIBOR USD + 0.85%), 04/24/2024(2) |
1,468,000 | 1,533,496 | ||||||
| 3.88%, 04/29/2024 |
2,050,000 | 2,179,401 | ||||||
| 3.70%, 10/23/2024 |
1,167,000 | 1,238,998 | ||||||
| 4.00%, 07/23/2025 |
5,039,000 | 5,448,527 | ||||||
| 5.00%, 11/24/2025 |
4,959,000 | 5,581,423 | ||||||
| 3.88%, 01/27/2026 |
3,125,000 | 3,353,691 | ||||||
| 4.35%, 09/08/2026 |
930,000 | 1,016,331 | ||||||
| 3.63%, 01/20/2027 |
9,804,000 | 10,427,855 | ||||||
| 3.95%, 04/23/2027 |
14,190,000 | 15,207,854 | ||||||
| 3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(2) |
5,882,000 | 6,247,028 | ||||||
| 3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(2) |
4,371,000 | 4,699,330 | ||||||
| 4.30%, 01/27/2045 |
1,479,000 | 1,734,506 | ||||||
| MUFG Bank Ltd. |
||||||||
| 4.10%, 09/09/2023(3) |
239,000 | 254,499 | ||||||
| 3.75%, 03/10/2024(3) |
3,215,000 | 3,395,802 | ||||||
| National Australia Bank Ltd. |
||||||||
| 3.38%, 01/14/2026 |
2,768,000 | 2,909,086 | ||||||
| 3.93% (5 Year CMT Index + 1.88%), 08/02/2034(2)(3) |
2,330,000 | 2,418,349 |
| National Retail Properties, Inc. |
||||||||
| 3.90%, 06/15/2024 |
1,310,000 | 1,386,162 | ||||||
| 3.60%, 12/15/2026 |
700,000 | 734,557 | ||||||
| 3.50%, 10/15/2027 |
400,000 | 417,585 | ||||||
| Nationwide Building Society |
||||||||
| 6.25%, 02/25/2020(3) |
1,000,000 | 1,006,011 | ||||||
| 4.00%, 09/14/2026(3) |
7,250,000 | 7,624,005 | ||||||
| Nationwide Financial Services, Inc. |
||||||||
| 5.38%, 03/25/2021(3) |
2,000,000 | 2,077,047 | ||||||
| Nationwide Mutual Insurance Co. |
||||||||
| 9.38%, 08/15/2039(3) |
7,150,000 | 12,130,411 | ||||||
| NatWest Markets Plc |
||||||||
| 3.63%, 09/29/2022(3) |
3,360,000 | 3,479,148 | ||||||
| New York Life Global Funding |
||||||||
| 3.25%, 08/06/2021(3) |
7,451,000 | 7,620,528 | ||||||
| 3.00%, 01/10/2028(3) |
2,022,000 | 2,093,555 | ||||||
| New York Life Insurance Co. |
||||||||
| 4.45%, 05/15/2069(3) |
4,225,000 | 4,823,629 | ||||||
| Nomura Holdings, Inc. |
||||||||
| 6.70%, 03/04/2020 |
5,000,000 | 5,038,704 | ||||||
| Nordea Bank Abp |
||||||||
| 2.50%, 09/17/2020(3) |
450,000 | 452,029 | ||||||
| 4.25%, 09/21/2022(3) |
12,865,000 | 13,500,428 | ||||||
| 3.75%, 08/30/2023(3) |
4,000,000 | 4,175,507 | ||||||
| Northern Trust Corp. |
||||||||
| 3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(2) |
411,000 | 421,976 | ||||||
| Office Properties Income Trust |
||||||||
| 3.60%, 02/01/2020 |
2,400,000 | 2,400,000 | ||||||
| 4.00%, 07/15/2022 |
1,255,000 | 1,284,114 | ||||||
| OneBeacon US Holdings, Inc. |
||||||||
| 4.60%, 11/09/2022 |
1,500,000 | 1,581,269 | ||||||
| Ontario Teachers’ Cadillac Fairview Properties Trust |
||||||||
| 3.13%, 03/20/2022(3) |
1,003,000 | 1,022,847 | ||||||
| 3.88%, 03/20/2027(3) |
1,044,000 | 1,116,099 | ||||||
| ORIX Corp. |
||||||||
| 2.90%, 07/18/2022 |
604,000 | 615,459 | ||||||
| 3.25%, 12/04/2024 |
1,500,000 | 1,562,721 | ||||||
| 3.70%, 07/18/2027 |
700,000 | 742,424 | ||||||
| Pacific Life Insurance Co. |
||||||||
| 4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(2)(3) |
743,000 | 793,152 | ||||||
| People’s United Bank N.A. |
||||||||
| 4.00%, 07/15/2024 |
4,350,000 | 4,541,249 | ||||||
| PNC Bank N.A. |
||||||||
| 2.95%, 01/30/2023 |
6,500,000 | 6,649,814 | ||||||
| 4.20%, 11/01/2025 |
322,000 | 353,861 | ||||||
| PNC Financial Services Group, Inc. |
||||||||
| 2.85%, 11/09/2022(1) |
575,000 | 588,407 | ||||||
| Principal Financial Group, Inc. |
||||||||
| 3.13%, 05/15/2023 |
380,000 | 389,840 | ||||||
| Principal Life Global Funding II |
||||||||
| 3.00%, 04/18/2026(3) |
2,000,000 | 2,066,184 | ||||||
| Private Export Funding Corp. |
||||||||
| 2.65%, 02/16/2021(3) |
6,750,000 | 6,818,380 | ||||||
| 2.80%, 05/15/2022 |
1,200,000 | 1,227,815 | ||||||
| 3.55%, 01/15/2024 |
2,489,000 | 2,656,470 | ||||||
| 3.25%, 06/15/2025 |
1,280,000 | 1,362,749 | ||||||
| Progressive Corp. |
||||||||
| 5.38% (3 Month LIBOR USD + 2.54%), 09/15/2167(2) |
780,000 | 819,749 | ||||||
| Protective Life Corp. |
||||||||
| 4.30%, 09/30/2028(3) |
4,500,000 | 4,865,243 |
| Prudential Financial, Inc. |
||||||||
| 6.63%, 06/21/2040 |
5,995,000 | 8,408,570 | ||||||
| 3.91%, 12/07/2047 |
1,231,000 | 1,321,328 | ||||||
| Prudential Insurance Co. of America |
||||||||
| 8.30%, 07/01/2025(3) |
1,691,000 | 2,169,368 | ||||||
| Realty Income Corp. |
||||||||
| 3.25%, 10/15/2022 |
1,490,000 | 1,538,023 | ||||||
| 3.88%, 04/15/2025 |
1,055,000 | 1,136,740 | ||||||
| Regency Centers LP |
||||||||
| 2.95%, 09/15/2029 |
2,200,000 | 2,195,469 | ||||||
| Regions Financial Corp. |
||||||||
| 2.75%, 08/14/2022 |
326,000 | 331,731 | ||||||
| Reliance Standard Life Global Funding II |
||||||||
| 3.85%, 09/19/2023(3) |
2,305,000 | 2,415,614 | ||||||
| Royal Bank of Canada |
||||||||
| 2.25%, 11/01/2024 |
12,778,000 | 12,837,000 | ||||||
| 4.65%, 01/27/2026 |
531,000 | 588,488 | ||||||
| Royal Bank of Scotland Group Plc |
||||||||
| 4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) |
555,000 | 589,222 | ||||||
| 4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2) |
2,490,000 | 2,813,243 | ||||||
| 3.75% (5 Year CMT Index + 2.10%), 11/01/2029(2) |
1,833,000 | 1,870,383 | ||||||
| 5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) |
7,000,000 | 8,042,038 | ||||||
| 4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(2) |
1,500,000 | 1,655,227 | ||||||
| Santander Holdings USA, Inc. |
||||||||
| 3.50%, 06/07/2024 |
7,925,000 | 8,147,057 | ||||||
| Santander UK Group Holdings Plc |
||||||||
| 3.13%, 01/08/2021 |
308,000 | 310,632 | ||||||
| 4.75%, 09/15/2025(3) |
1,810,000 | 1,942,572 | ||||||
| 3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) |
800,000 | 842,919 | ||||||
| Santander UK Plc |
||||||||
| 5.00%, 11/07/2023(3) |
4,150,000 | 4,462,346 | ||||||
| Scentre Group Trust 1 / Scentre Group Trust 2 |
||||||||
| 3.50%, 02/12/2025(3) |
1,390,000 | 1,441,503 | ||||||
| Senior Housing Properties Trust |
||||||||
| 6.75%, 04/15/2020 |
600,000 | 602,139 | ||||||
| 4.75%, 02/15/2028 |
1,300,000 | 1,310,903 | ||||||
| Simon Property Group LP |
||||||||
| 2.45%, 09/13/2029 |
2,957,000 | 2,906,523 | ||||||
| 3.25%, 09/13/2049 |
6,013,000 | 5,830,246 | ||||||
| SITE Centers Corp. |
||||||||
| 4.70%, 06/01/2027 |
368,000 | 397,421 | ||||||
| Skandinaviska Enskilda Banken AB |
||||||||
| 2.45%, 05/27/2020(3) |
3,000,000 | 3,004,698 | ||||||
| Societe Generale SA |
||||||||
| 3.25%, 01/12/2022(3) |
7,000,000 | 7,141,820 | ||||||
| 3.88%, 03/28/2024(3) |
1,000,000 | 1,050,902 | ||||||
| 4.25%, 04/14/2025(3) |
800,000 | 839,963 | ||||||
| SouthTrust Bank |
||||||||
| 7.69%, 05/15/2025 |
253,000 | 311,455 | ||||||
| Standard Chartered Plc |
||||||||
| 2.74% (3 Month LIBOR USD + 1.20%), 09/10/2022(2)(3) |
800,000 | 804,996 | ||||||
| 4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(2)(3) |
3,230,000 | 3,342,441 | ||||||
| 5.20%, 01/26/2024(3) |
609,000 | 658,205 | ||||||
| 4.31% (3 Month LIBOR USD + 1.91%), 05/21/2030(2)(3) |
700,000 | 761,470 | ||||||
| 4.87% (5 Year 1100 Run ICE Swap Rate USD + 1.97%), 03/15/2033(2)(3) |
800,000 | 863,808 | ||||||
| State Bank of India |
||||||||
| 4.38%, 01/24/2024(3) |
6,475,000 | 6,818,566 | ||||||
| State Street Corp. |
||||||||
| 3.10%, 05/15/2023 |
321,000 | 331,025 | ||||||
| 3.78% (3 Month LIBOR USD + 0.77%), 12/03/2024(2) |
1,000,000 | 1,057,478 |
| Stifel Financial Corp. |
||||||||
| 3.50%, 12/01/2020 |
5,000,000 | 5,063,179 | ||||||
| Sumitomo Life Insurance Co. |
||||||||
| 4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(2)(3) |
1,000,000 | 1,056,250 | ||||||
| Sumitomo Mitsui Banking Corp. |
||||||||
| 2.45%, 01/16/2020 |
2,725,000 | 2,725,580 | ||||||
| 3.95%, 07/19/2023 |
250,000 | 263,582 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
||||||||
| 2.44%, 10/19/2021 |
531,000 | 535,694 | ||||||
| 2.85%, 01/11/2022 |
1,100,000 | 1,116,780 | ||||||
| 2.78%, 07/12/2022 |
1,500,000 | 1,525,210 | ||||||
| 2.78%, 10/18/2022 |
6,718,000 | 6,839,227 | ||||||
| 3.10%, 01/17/2023 |
1,033,000 | 1,058,921 | ||||||
| 2.70%, 07/16/2024 |
12,560,000 | 12,729,318 | ||||||
| 2.63%, 07/14/2026 |
644,000 | 643,922 | ||||||
| 3.01%, 10/19/2026 |
297,000 | 304,022 | ||||||
| 3.04%, 07/16/2029 |
2,955,000 | 3,011,079 | ||||||
| SunTrust Bank |
||||||||
| 3.30%, 05/15/2026 |
1,000,000 | 1,040,754 | ||||||
| SunTrust Banks, Inc. |
||||||||
| 2.90%, 03/03/2021 |
324,000 | 327,332 | ||||||
| 2.70%, 01/27/2022 |
4,210,000 | 4,266,214 | ||||||
| 4.00%, 05/01/2025 |
424,000 | 459,294 | ||||||
| Svenska Handelsbanken AB |
||||||||
| 2.45%, 03/30/2021 |
550,000 | 553,572 | ||||||
| Synchrony Financial |
||||||||
| 2.70%, 02/03/2020 |
1,017,000 | 1,017,349 | ||||||
| 3.75%, 08/15/2021 |
6,000,000 | 6,134,815 | ||||||
| 4.50%, 07/23/2025 |
4,000,000 | 4,311,795 | ||||||
| 3.70%, 08/04/2026 |
1,100,000 | 1,135,523 | ||||||
| 3.95%, 12/01/2027 |
1,500,000 | 1,574,751 | ||||||
| Teachers Insurance & Annuity Association of America |
||||||||
| 6.85%, 12/16/2039(3) |
218,000 | 317,037 | ||||||
| 4.90%, 09/15/2044(3) |
200,000 | 245,270 | ||||||
| 4.27%, 05/15/2047(3) |
3,360,000 | 3,809,862 | ||||||
| Trinity Acquisition Plc |
||||||||
| 4.40%, 03/15/2026 |
2,300,000 | 2,498,256 | ||||||
| 6.13%, 08/15/2043 |
5,000,000 | 6,425,416 | ||||||
| Truist Bank |
||||||||
| 2.15%, 12/06/2024 |
11,550,000 | 11,520,636 | ||||||
| Truist Financial Corp. |
||||||||
| 4.80% (5 Year CMT Index + 3.00%), 12/31/2099(2) |
5,630,000 | 5,812,975 | ||||||
| UBS Group AG |
||||||||
| 3.13% (3 Month LIBOR USD + 1.47%), 08/13/2030(2)(3) |
600,000 | 610,366 | ||||||
| UBS Group Funding Switzerland AG |
||||||||
| 2.95%, 09/24/2020(3) |
1,250,000 | 1,258,714 | ||||||
| 3.49%, 05/23/2023(3) |
9,790,000 | 10,070,624 | ||||||
| 2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(2)(3) |
7,367,000 | 7,481,848 | ||||||
| 4.13%, 09/24/2025(3) |
800,000 | 869,511 | ||||||
| 4.25%, 03/23/2028(3) |
3,000,000 | 3,277,165 | ||||||
| UDR, Inc. |
||||||||
| 2.95%, 09/01/2026 |
276,000 | 280,732 | ||||||
| 3.20%, 01/15/2030 |
1,565,000 | 1,598,411 | ||||||
| 3.00%, 08/15/2031 |
415,000 | 415,098 | ||||||
| United Overseas Bank Ltd. |
||||||||
| 3.20%, 04/23/2021(3) |
765,000 | 776,265 | ||||||
| Ventas Realty LP |
||||||||
| 3.10%, 01/15/2023 |
13,500,000 | 13,810,458 | ||||||
| 3.75%, 05/01/2024 |
382,000 | 400,942 | ||||||
| 3.50%, 02/01/2025 |
251,000 | 261,893 |
| 4.13%, 01/15/2026 |
449,000 | 480,544 | ||||||
| 3.85%, 04/01/2027 |
677,000 | 714,235 | ||||||
| Vornado Realty LP |
||||||||
| 3.50%, 01/15/2025 |
800,000 | 831,582 | ||||||
| WEA Finance LLC |
||||||||
| 3.15%, 04/05/2022(3) |
5,228,000 | 5,342,336 | ||||||
| 2.88%, 01/15/2027(3) |
20,692,000 | 20,605,972 | ||||||
| WEA Finance LLC / Westfield UK & Europe Finance Plc |
||||||||
| 3.25%, 10/05/2020(3) |
7,331,000 | 7,389,733 | ||||||
| Wells Fargo & Co. |
||||||||
| 3.50%, 03/08/2022 |
1,929,000 | 1,991,882 | ||||||
| 2.63%, 07/22/2022 |
20,507,000 | 20,803,118 | ||||||
| 3.07%, 01/24/2023 |
2,655,000 | 2,709,522 | ||||||
| 3.75%, 01/24/2024 |
1,690,000 | 1,784,997 | ||||||
| 3.30%, 09/09/2024 |
1,900,000 | 1,991,886 | ||||||
| 3.55%, 09/29/2025 |
700,000 | 740,700 | ||||||
| 3.00%, 04/22/2026 |
7,375,000 | 7,575,817 | ||||||
| 4.10%, 06/03/2026 |
3,749,000 | 4,039,538 | ||||||
| 3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(2) |
3,145,000 | 3,259,934 | ||||||
| 4.30%, 07/22/2027 |
729,000 | 798,068 | ||||||
| 5.38%, 11/02/2043 |
317,000 | 405,977 | ||||||
| 4.65%, 11/04/2044 |
675,000 | 791,580 | ||||||
| 4.90%, 11/17/2045 |
3,642,000 | 4,442,026 | ||||||
| 4.40%, 06/14/2046 |
626,000 | 716,560 | ||||||
| 4.75%, 12/07/2046 |
1,343,000 | 1,607,966 | ||||||
| Wells Fargo Bank N.A. |
||||||||
| 2.08% (3 Month LIBOR USD + 0.65%), 09/09/2022(2) |
11,524,000 | 11,541,165 | ||||||
| Welltower, Inc. |
||||||||
| 2.70%, 02/15/2027 |
497,000 | 498,541 | ||||||
| 4.25%, 04/15/2028 |
500,000 | 547,785 | ||||||
| 3.10%, 01/15/2030 |
1,085,000 | 1,097,149 | ||||||
| Western Union Co. |
||||||||
| 3.60%, 03/15/2022 |
1,300,000 | 1,337,607 | ||||||
| Westpac Banking Corp. |
||||||||
| 2.75%, 01/11/2023 |
1,000,000 | 1,018,478 | ||||||
| 2.85%, 05/13/2026 |
1,200,000 | 1,228,123 | ||||||
| 4.32% (5 Year 1100 Run ICE Swap Rate USD + 2.24%), 11/23/2031(2) |
1,500,000 | 1,586,733 | ||||||
| 4.42%, 07/24/2039 |
1,010,000 | 1,108,298 | ||||||
| Weyerhaeuser Co. |
||||||||
| 7.38%, 03/15/2032 |
500,000 | 692,380 | ||||||
| Willis North America, Inc. |
||||||||
| 5.05%, 09/15/2048 |
7,500,000 | 8,821,678 | ||||||
| WR Berkley Corp. |
||||||||
| 4.75%, 08/01/2044 |
3,445,000 | 3,836,097 | ||||||
| XLIT Ltd. |
||||||||
| 5.25%, 12/15/2043 |
2,700,000 | 3,477,772 | ||||||
|
|
|
|||||||
| Total Financials |
1,800,894,294 | |||||||
|
|
|
|||||||
| Industrials – 1.35% |
||||||||
| Airbus Finance BV |
||||||||
| 2.70%, 04/17/2023(3) |
376,000 | 382,074 | ||||||
| Airbus SE |
||||||||
| 3.15%, 04/10/2027(3) |
736,000 | 763,903 | ||||||
| 3.95%, 04/10/2047(3) |
150,000 | 165,728 | ||||||
| Allegion US Holding Co., Inc. |
||||||||
| 3.20%, 10/01/2024 |
2,000,000 | 2,055,161 | ||||||
| Amphenol Corp. |
||||||||
| 3.20%, 04/01/2024 |
8,135,000 | 8,434,416 | ||||||
| Arrow Electronics, Inc. |
||||||||
| 3.50%, 04/01/2022 |
965,000 | 987,767 | ||||||
| 4.50%, 03/01/2023 |
183,000 | 193,054 |
| 3.25%, 09/08/2024 |
219,000 | 225,004 | ||||||
| 3.88%, 01/12/2028 |
221,000 | 226,190 | ||||||
| Aviation Capital Group LLC |
||||||||
| 3.88%, 05/01/2023(3) |
780,000 | 805,468 | ||||||
| 3.50%, 11/01/2027(3) |
700,000 | 703,909 | ||||||
| BAE Systems Holdings, Inc. |
||||||||
| 3.80%, 10/07/2024(3) |
770,000 | 813,486 | ||||||
| BAE Systems Plc |
||||||||
| 5.80%, 10/11/2041(3) |
400,000 | 515,835 | ||||||
| Boeing Co. |
||||||||
| 3.30%, 03/01/2035 |
1,410,000 | 1,412,786 | ||||||
| 3.95%, 08/01/2059 |
6,575,000 | 6,996,344 | ||||||
| Burlington Northern Santa Fe LLC |
||||||||
| 7.29%, 06/01/2036 |
134,000 | 197,312 | ||||||
| 6.15%, 05/01/2037 |
320,000 | 447,573 | ||||||
| 5.75%, 05/01/2040 |
373,000 | 502,385 | ||||||
| 5.40%, 06/01/2041 |
542,000 | 699,444 | ||||||
| 4.38%, 09/01/2042 |
462,000 | 535,474 | ||||||
| 5.15%, 09/01/2043 |
389,000 | 495,141 | ||||||
| 4.05%, 06/15/2048 |
1,000,000 | 1,130,340 | ||||||
| 3.55%, 02/15/2050 |
725,000 | 761,317 | ||||||
| Canadian Pacific Railway Co. |
||||||||
| 2.90%, 02/01/2025 |
644,000 | 660,856 | ||||||
| 6.13%, 09/15/2115 |
678,000 | 991,528 | ||||||
| Carlisle Cos, Inc. |
||||||||
| 3.50%, 12/01/2024 |
3,025,000 | 3,139,506 | ||||||
| Caterpillar Financial Services Corp. |
||||||||
| 2.75%, 08/20/2021 |
420,000 | 425,639 | ||||||
| 2.85%, 06/01/2022 |
446,000 | 454,894 | ||||||
| 3.45%, 05/15/2023 |
650,000 | 680,491 | ||||||
| 3.75%, 11/24/2023 |
2,175,000 | 2,319,957 | ||||||
| 3.25%, 12/01/2024 |
1,429,000 | 1,508,910 | ||||||
| Caterpillar, Inc. |
||||||||
| 2.60%, 06/26/2022 |
220,000 | 223,796 | ||||||
| CH Robinson Worldwide, Inc. |
||||||||
| 4.20%, 04/15/2028 |
6,000,000 | 6,544,036 | ||||||
| CRH America Finance, Inc. |
||||||||
| 3.40%, 05/09/2027(3) |
200,000 | 207,715 | ||||||
| CRH America, Inc. |
||||||||
| 3.88%, 05/18/2025(3) |
354,000 | 377,906 | ||||||
| 5.13%, 05/18/2045(3) |
230,000 | 267,837 | ||||||
| CSX Corp. |
||||||||
| 5.50%, 04/15/2041 |
402,000 | 508,532 | ||||||
| 4.75%, 05/30/2042 |
175,000 | 206,102 | ||||||
| 4.75%, 11/15/2048 |
1,280,000 | 1,548,431 | ||||||
| 3.35%, 09/15/2049 |
305,000 | 299,784 | ||||||
| 4.65%, 03/01/2068 |
2,000,000 | 2,288,411 | ||||||
| Deere & Co. |
||||||||
| 2.88%, 09/07/2049 |
3,745,000 | 3,550,017 | ||||||
| Eaton Corp. |
||||||||
| 7.63%, 04/01/2024 |
206,000 | 238,963 | ||||||
| 4.00%, 11/02/2032 |
143,000 | 161,947 | ||||||
| 5.80%, 03/15/2037 |
500,000 | 622,278 | ||||||
| Embraer Netherlands Finance BV |
||||||||
| 5.05%, 06/15/2025 |
3,102,000 | 3,400,599 | ||||||
| Embraer Overseas Ltd. |
||||||||
| 5.70%, 09/16/2023(3) |
4,000,000 | 4,390,040 | ||||||
| FedEx Corp. |
||||||||
| 4.95%, 10/17/2048 |
6,989,000 | 7,618,211 | ||||||
| FLIR Systems, Inc. |
| 3.13%, 06/15/2021 |
3,025,000 | 3,048,913 | ||||||
| General Electric Co. |
||||||||
| 5.50%, 01/08/2020 |
581,000 | 581,210 | ||||||
| 5.55%, 05/04/2020 |
191,000 | 193,050 | ||||||
| 4.38%, 09/16/2020 |
5,743,000 | 5,831,884 | ||||||
| 5.30%, 02/11/2021 |
184,000 | 189,750 | ||||||
| 4.65%, 10/17/2021 |
514,000 | 535,751 | ||||||
| 3.15%, 09/07/2022 |
7,800,000 | 7,970,261 | ||||||
| 2.70%, 10/09/2022 |
1,917,000 | 1,942,468 | ||||||
| 5.55%, 01/05/2026 |
1,384,000 | 1,587,514 | ||||||
| 5.88%, 01/14/2038 |
289,000 | 349,649 | ||||||
| Illinois Tool Works, Inc. |
||||||||
| 4.88%, 09/15/2041 |
87,000 | 110,317 | ||||||
| Ingersoll-Rand Luxembourg Finance SA |
||||||||
| 2.63%, 05/01/2020 |
360,000 | 360,452 | ||||||
| JB Hunt Transport Services, Inc. |
||||||||
| 3.85%, 03/15/2024 |
650,000 | 685,129 | ||||||
| 3.88%, 03/01/2026 |
1,380,000 | 1,481,516 | ||||||
| John Deere Capital Corp. |
||||||||
| 2.65%, 06/24/2024 |
1,000,000 | 1,027,702 | ||||||
| 2.25%, 09/14/2026 |
970,000 | 969,450 | ||||||
| 2.80%, 09/08/2027 |
700,000 | 719,603 | ||||||
| Johnson Controls International Plc |
||||||||
| 3.75%, 12/01/2021 |
12,000 | 12,395 | ||||||
| 4.95%, 07/02/2064(1) |
928,000 | 978,468 | ||||||
| Keysight Technologies, Inc. |
||||||||
| 4.60%, 04/06/2027 |
8,000,000 | 8,863,620 | ||||||
| L3Harris Technologies, Inc. |
||||||||
| 3.83%, 04/27/2025 |
1,820,000 | 1,940,532 | ||||||
| 4.85%, 04/27/2035 |
1,000,000 | 1,178,191 | ||||||
| Lockheed Martin Corp. |
||||||||
| 3.10%, 01/15/2023 |
346,000 | 356,745 | ||||||
| Martin Marietta Materials, Inc. |
||||||||
| 4.25%, 07/02/2024 |
1,705,000 | 1,824,019 | ||||||
| 3.45%, 06/01/2027 |
811,000 | 829,247 | ||||||
| 3.50%, 12/15/2027 |
6,165,000 | 6,393,945 | ||||||
| 6.25%, 05/01/2037 |
107,000 | 130,431 | ||||||
| Masco Corp. |
||||||||
| 6.50%, 08/15/2032 |
1,240,000 | 1,522,780 | ||||||
| Mexico City Airport Trust |
||||||||
| 3.88%, 04/30/2028(3) |
3,950,000 | 4,033,977 | ||||||
| 5.50%, 07/31/2047(3) |
2,102,000 | 2,167,709 | ||||||
| Norfolk Southern Corp. |
||||||||
| 2.90%, 02/15/2023 |
294,000 | 301,188 | ||||||
| 5.59%, 05/17/2025 |
6,000 | 6,977 | ||||||
| 7.80%, 05/15/2027 |
1,705,000 | 2,272,862 | ||||||
| 3.95%, 10/01/2042 |
332,000 | 353,500 | ||||||
| 4.80%, 08/15/2043 |
1,273,000 | 1,454,537 | ||||||
| 4.05%, 08/15/2052 |
1,100,000 | 1,206,865 | ||||||
| Northrop Grumman Corp. |
||||||||
| 3.20%, 02/01/2027 |
849,000 | 882,589 | ||||||
| 3.25%, 01/15/2028 |
250,000 | 260,589 | ||||||
| 3.85%, 04/15/2045 |
195,000 | 209,585 | ||||||
| nVent Finance Sarl |
||||||||
| 4.55%, 04/15/2028 |
3,625,000 | 3,758,503 | ||||||
| Packaging Corp. of America |
||||||||
| 4.05%, 12/15/2049 |
1,925,000 | 1,994,734 | ||||||
| Pactiv LLC |
||||||||
| 7.95%, 12/15/2025 |
34,000 | 38,845 | ||||||
| Parker-Hannifin Corp. |
| 3.30%, 11/21/2024 |
149,000 | 155,958 | ||||||
| 4.45%, 11/21/2044 |
333,000 | 376,059 | ||||||
| 4.10%, 03/01/2047 |
583,000 | 634,081 | ||||||
| Penske Truck Leasing Co. LP / PTL Finance Corp. |
||||||||
| 2.70%, 03/14/2023(3) |
220,000 | 222,213 | ||||||
| 4.13%, 08/01/2023(3) |
2,011,000 | 2,121,442 | ||||||
| 3.95%, 03/10/2025(3) |
7,000,000 | 7,430,561 | ||||||
| Precision Castparts Corp. |
||||||||
| 4.20%, 06/15/2035 |
75,000 | 83,146 | ||||||
| 4.38%, 06/15/2045 |
415,000 | 478,549 | ||||||
| Republic Services, Inc. |
||||||||
| 2.90%, 07/01/2026 |
245,000 | 250,730 | ||||||
| Rockwell Collins, Inc. |
||||||||
| 3.20%, 03/15/2024 |
409,000 | 425,357 | ||||||
| 4.35%, 04/15/2047 |
259,000 | 304,079 | ||||||
| Roper Technologies, Inc. |
||||||||
| 3.00%, 12/15/2020 |
208,000 | 209,756 | ||||||
| Ryder System, Inc. |
||||||||
| 2.50%, 05/11/2020 |
1,020,000 | 1,021,141 | ||||||
| 2.88%, 09/01/2020 |
345,000 | 346,550 | ||||||
| Siemens Financieringsmaatschappij NV |
||||||||
| 2.90%, 05/27/2022(3) |
553,000 | 565,360 | ||||||
| 3.13%, 03/16/2024(3) |
800,000 | 830,411 | ||||||
| 2.35%, 10/15/2026(3) |
700,000 | 695,522 | ||||||
| 4.40%, 05/27/2045(3) |
513,000 | 608,350 | ||||||
| 3.30%, 09/15/2046(3) |
980,000 | 989,342 | ||||||
| Textron, Inc. |
||||||||
| 3.65%, 03/01/2021 |
11,600,000 | 11,809,076 | ||||||
| 3.65%, 03/15/2027 |
4,975,000 | 5,167,806 | ||||||
| Timken Co. |
||||||||
| 3.88%, 09/01/2024 |
1,000,000 | 1,040,512 | ||||||
| TTX Co. |
||||||||
| 3.60%, 01/15/2025(3) |
2,000,000 | 2,107,287 | ||||||
| Union Pacific Corp. |
||||||||
| 4.38%, 09/10/2038 |
2,469,000 | 2,824,153 | ||||||
| 4.10%, 09/15/2067 |
200,000 | 202,207 | ||||||
| United Parcel Service, Inc. |
||||||||
| 3.40%, 09/01/2049 |
2,731,000 | 2,757,630 | ||||||
| United Technologies Corp. |
||||||||
| 3.65%, 08/16/2023 |
524,000 | 551,998 | ||||||
| 3.95%, 08/16/2025 |
2,455,000 | 2,676,015 | ||||||
| 6.13%, 07/15/2038 |
2,000,000 | 2,772,982 | ||||||
| 4.45%, 11/16/2038 |
455,000 | 537,431 | ||||||
| 4.50%, 06/01/2042 |
1,823,000 | 2,179,534 | ||||||
| 4.15%, 05/15/2045 |
785,000 | 897,393 | ||||||
| 3.75%, 11/01/2046 |
3,641,000 | 3,953,778 | ||||||
| Vulcan Materials Co. |
||||||||
| 4.70%, 03/01/2048 |
2,054,000 | 2,305,321 | ||||||
| Wabtec Corp. |
||||||||
| 4.38%, 08/15/2023 |
322,000 | 338,552 | ||||||
| 3.45%, 11/15/2026 |
5,000,000 | 5,053,354 | ||||||
| Waste Management, Inc. |
||||||||
| 3.45%, 06/15/2029 |
940,000 | 1,005,281 | ||||||
| WestRock MWV LLC |
||||||||
| 9.75%, 06/15/2020 |
17,000 | 17,540 | ||||||
| 8.20%, 01/15/2030 |
537,000 | 739,887 | ||||||
| WRKCo, Inc. |
||||||||
| 3.00%, 09/15/2024 |
1,200,000 | 1,223,552 | ||||||
| 3.75%, 03/15/2025 |
1,300,000 | 1,372,115 | ||||||
| Xylem, Inc. |
| 3.25%, 11/01/2026 |
1,192,000 | 1,232,914 | ||||||
|
|
|
|||||||
| Total Industrials |
213,158,874 | |||||||
|
|
|
|||||||
| Technology – 1.08% |
||||||||
| Analog Devices, Inc. |
||||||||
| 3.13%, 12/05/2023 |
476,000 | 491,680 | ||||||
| 4.50%, 12/05/2036 |
1,020,000 | 1,099,313 | ||||||
| Apple, Inc. |
||||||||
| 3.20%, 05/13/2025 |
1,010,000 | 1,066,162 | ||||||
| 2.45%, 08/04/2026 |
1,111,000 | 1,125,692 | ||||||
| 3.35%, 02/09/2027 |
2,020,000 | 2,149,326 | ||||||
| 3.20%, 05/11/2027 |
743,000 | 783,133 | ||||||
| 3.00%, 06/20/2027 |
1,462,000 | 1,530,874 | ||||||
| 2.90%, 09/12/2027 |
1,643,000 | 1,709,512 | ||||||
| 3.45%, 02/09/2045 |
1,357,000 | 1,425,877 | ||||||
| 3.85%, 08/04/2046 |
776,000 | 875,744 | ||||||
| 3.75%, 09/12/2047 |
2,300,000 | 2,553,541 | ||||||
| 2.95%, 09/11/2049 |
989,000 | 957,742 | ||||||
| Broadcom Corp. / Broadcom Cayman Finance Ltd. |
||||||||
| 3.00%, 01/15/2022 |
3,000,000 | 3,043,223 | ||||||
| 3.63%, 01/15/2024 |
1,988,000 | 2,058,871 | ||||||
| 3.13%, 01/15/2025 |
7,000,000 | 7,081,391 | ||||||
| 3.88%, 01/15/2027 |
1,200,000 | 1,245,188 | ||||||
| Broadcom, Inc. |
||||||||
| 3.13%, 04/15/2021(3) |
5,120,000 | 5,181,098 | ||||||
| 3.13%, 10/15/2022(3) |
3,945,000 | 4,017,000 | ||||||
| 4.75%, 04/15/2029(3) |
4,340,000 | 4,745,439 | ||||||
| Dell International LLC / EMC Corp. |
||||||||
| 5.45%, 06/15/2023(3) |
9,782,000 | 10,604,263 | ||||||
| 6.02%, 06/15/2026(3) |
2,361,000 | 2,715,440 | ||||||
| 8.35%, 07/15/2046(3) |
2,019,000 | 2,775,450 | ||||||
| DXC Technology Co. |
||||||||
| 4.25%, 04/15/2024 |
9,435,000 | 10,014,676 | ||||||
| 4.75%, 04/15/2027 |
1,500,000 | 1,613,901 | ||||||
| Fidelity National Information Services, Inc. |
||||||||
| 3.50%, 04/15/2023 |
1,281,000 | 1,332,890 | ||||||
| 3.88%, 06/05/2024 |
582,000 | 618,935 | ||||||
| 3.00%, 08/15/2026 |
1,300,000 | 1,343,854 | ||||||
| Fiserv, Inc. |
||||||||
| 4.75%, 06/15/2021 |
5,231,000 | 5,438,684 | ||||||
| 3.85%, 06/01/2025 |
5,000,000 | 5,329,968 | ||||||
| 3.20%, 07/01/2026 |
890,000 | 920,586 | ||||||
| 4.40%, 07/01/2049 |
7,050,000 | 7,978,011 | ||||||
| Genpact Luxembourg Sarl |
||||||||
| 3.38%, 12/01/2024 |
2,000,000 | 2,007,429 | ||||||
| Hewlett Packard Enterprise Co. |
||||||||
| 4.40%, 10/15/2022 |
7,500,000 | 7,920,760 | ||||||
| IBM Credit LLC |
||||||||
| 3.00%, 02/06/2023 |
1,700,000 | 1,748,313 | ||||||
| Intel Corp. |
||||||||
| 3.25%, 11/15/2049 |
4,245,000 | 4,264,297 | ||||||
| International Business Machines Corp. |
||||||||
| 2.25%, 02/19/2021 |
1,670,000 | 1,675,779 | ||||||
| 3.30%, 05/15/2026 |
3,690,000 | 3,888,578 | ||||||
| 6.50%, 01/15/2028 |
120,000 | 152,807 | ||||||
| 3.50%, 05/15/2029 |
6,670,000 | 7,166,055 | ||||||
| Microsoft Corp. |
||||||||
| 2.40%, 08/08/2026 |
600,000 | 607,284 | ||||||
| 3.50%, 02/12/2035 |
318,000 | 349,593 | ||||||
| 4.20%, 11/03/2035 |
231,000 | 274,193 | ||||||
| 4.10%, 02/06/2037 |
1,468,000 | 1,731,764 |
| 3.75%, 02/12/2045 |
7,945,000 | 9,007,766 | ||||||
| 4.45%, 11/03/2045 |
1,385,000 | 1,728,976 | ||||||
| 4.00%, 02/12/2055 |
1,513,000 | 1,787,323 | ||||||
| 3.95%, 08/08/2056 |
713,000 | 841,757 | ||||||
| NXP BV |
||||||||
| 5.35%, 03/01/2026(3) |
7,000,000 | 7,883,227 | ||||||
| 4.30%, 06/18/2029(3) |
3,536,000 | 3,818,570 | ||||||
| Oracle Corp. |
||||||||
| 2.80%, 07/08/2021 |
766,000 | 777,523 | ||||||
| 2.40%, 09/15/2023 |
757,000 | 769,154 | ||||||
| 2.95%, 11/15/2024 |
1,500,000 | 1,557,841 | ||||||
| 2.95%, 05/15/2025 |
2,000,000 | 2,080,219 | ||||||
| 4.30%, 07/08/2034 |
3,581,000 | 4,181,614 | ||||||
| 3.90%, 05/15/2035 |
936,000 | 1,041,816 | ||||||
| 3.85%, 07/15/2036 |
1,065,000 | 1,165,074 | ||||||
| 3.80%, 11/15/2037 |
600,000 | 654,186 | ||||||
| 4.00%, 11/15/2047 |
995,000 | 1,110,401 | ||||||
| 4.38%, 05/15/2055 |
400,000 | 473,256 | ||||||
| Seagate HDD Cayman |
||||||||
| 4.75%, 06/01/2023 |
1,500,000 | 1,593,927 | ||||||
| VMware, Inc. |
||||||||
| 2.95%, 08/21/2022 |
2,321,000 | 2,365,169 | ||||||
| Xerox Corp. |
||||||||
| 2.75%, 09/01/2020 |
1,268,000 | 1,264,126 | ||||||
|
|
|
|||||||
| Total Technology |
169,716,241 | |||||||
|
|
|
|||||||
| Utilities – 3.30% |
||||||||
| AEP Texas, Inc. |
||||||||
| 3.80%, 10/01/2047 |
3,715,000 | 3,885,135 | ||||||
| AEP Transmission Co. LLC |
||||||||
| 4.00%, 12/01/2046 |
2,020,000 | 2,241,761 | ||||||
| 3.75%, 12/01/2047 |
2,600,000 | 2,789,539 | ||||||
| 4.25%, 09/15/2048 |
4,790,000 | 5,485,163 | ||||||
| 3.15%, 09/15/2049 |
1,330,000 | 1,282,303 | ||||||
| Alabama Power Co. |
||||||||
| 2.80%, 04/01/2025 |
2,025,000 | 2,067,386 | ||||||
| 6.13%, 05/15/2038 |
219,000 | 298,158 | ||||||
| 4.10%, 01/15/2042 |
233,000 | 249,567 | ||||||
| 4.15%, 08/15/2044 |
205,000 | 227,904 | ||||||
| 3.75%, 03/01/2045 |
182,000 | 192,354 | ||||||
| Ameren Corp. |
||||||||
| 2.50%, 09/15/2024 |
5,710,000 | 5,754,429 | ||||||
| Ameren Illinois Co. |
||||||||
| 3.25%, 03/15/2050 |
2,007,000 | 2,025,246 | ||||||
| American Water Capital Corp. |
||||||||
| 3.85%, 03/01/2024 |
500,000 | 529,975 | ||||||
| 3.40%, 03/01/2025 |
592,000 | 620,276 | ||||||
| 6.59%, 10/15/2037 |
386,000 | 543,777 | ||||||
| 4.00%, 12/01/2046 |
2,350,000 | 2,548,596 | ||||||
| Appalachian Power Co. |
||||||||
| 6.70%, 08/15/2037 |
430,000 | 585,680 | ||||||
| Arizona Public Service Co. |
||||||||
| 3.35%, 06/15/2024 |
676,000 | 705,924 | ||||||
| 5.05%, 09/01/2041 |
349,000 | 423,430 | ||||||
| 3.75%, 05/15/2046 |
2,290,000 | 2,403,974 | ||||||
| Atmos Energy Corp. |
||||||||
| 4.15%, 01/15/2043 |
830,000 | 929,058 | ||||||
| 4.13%, 10/15/2044 |
1,860,000 | 2,089,711 | ||||||
| 4.13%, 03/15/2049 |
1,600,000 | 1,832,856 | ||||||
| Ausgrid Finance Pty Ltd. |
||||||||
| 4.35%, 08/01/2028(3) |
10,275,000 | 11,182,516 |
| Avangrid, Inc. |
||||||||
| 3.15%, 12/01/2024 |
610,000 | 629,214 | ||||||
| Baltimore Gas & Electric Co. |
||||||||
| 2.80%, 08/15/2022 |
509,000 | 516,911 | ||||||
| 3.50%, 08/15/2046 |
375,000 | 380,792 | ||||||
| 3.20%, 09/15/2049 |
1,105,000 | 1,079,188 | ||||||
| Berkshire Hathaway Energy Co. |
||||||||
| 3.50%, 02/01/2025 |
625,000 | 663,050 | ||||||
| 6.13%, 04/01/2036 |
366,000 | 503,734 | ||||||
| Boston Gas Co. |
||||||||
| 4.49%, 02/15/2042(3) |
253,000 | 287,773 | ||||||
| Brooklyn Union Gas Co. |
||||||||
| 3.87%, 03/04/2029(3) |
1,125,000 | 1,220,095 | ||||||
| 4.50%, 03/10/2046(3) |
2,000,000 | 2,287,204 | ||||||
| 4.27%, 03/15/2048(3) |
1,100,000 | 1,243,631 | ||||||
| CenterPoint Energy Houston Electric LLC |
||||||||
| 3.95%, 03/01/2048 |
717,000 | 802,852 | ||||||
| CenterPoint Energy Resources Corp. |
||||||||
| 4.50%, 01/15/2021 |
158,000 | 161,037 | ||||||
| China Southern Power Grid International Finance BVI Co. Ltd. |
||||||||
| 3.50%, 05/08/2027(3) |
1,910,000 | 1,992,405 | ||||||
| Cleveland Electric Illuminating Co. |
||||||||
| 3.50%, 04/01/2028(3) |
1,333,000 | 1,386,674 | ||||||
| CMS Energy Corp. |
||||||||
| 3.88%, 03/01/2024 |
550,000 | 578,601 | ||||||
| 3.00%, 05/15/2026 |
110,000 | 112,929 | ||||||
| 2.95%, 02/15/2027 |
348,000 | 351,315 | ||||||
| 3.45%, 08/15/2027 |
350,000 | 365,870 | ||||||
| Comision Federal de Electricidad |
||||||||
| 4.88%, 05/26/2021(3) |
551,000 | 567,536 | ||||||
| 4.88%, 01/15/2024(3) |
322,000 | 346,153 | ||||||
| Commonwealth Edison Co. |
||||||||
| 3.65%, 06/15/2046 |
364,000 | 385,386 | ||||||
| 3.75%, 08/15/2047 |
1,000,000 | 1,077,287 | ||||||
| 4.00%, 03/01/2048 |
4,615,000 | 5,181,494 | ||||||
| Connecticut Light & Power Co. |
||||||||
| 3.20%, 03/15/2027 |
600,000 | 633,169 | ||||||
| 4.00%, 04/01/2048 |
472,000 | 540,297 | ||||||
| Consolidated Edison Co. of New York, Inc. |
||||||||
| 5.70%, 06/15/2040 |
318,000 | 417,767 | ||||||
| 3.85%, 06/15/2046 |
2,940,000 | 3,158,560 | ||||||
| 4.65%, 12/01/2048 |
5,900,000 | 7,158,750 | ||||||
| 4.30%, 12/01/2056 |
3,050,000 | 3,432,330 | ||||||
| 4.50%, 05/15/2058 |
538,000 | 623,343 | ||||||
| Consumers Energy Co. |
||||||||
| 3.25%, 08/15/2046 |
190,000 | 190,423 | ||||||
| 4.35%, 08/31/2064 |
191,000 | 223,067 | ||||||
| Delmarva Power & Light Co. |
||||||||
| 4.00%, 06/01/2042 |
170,000 | 180,309 | ||||||
| Dominion Energy Gas Holdings LLC |
||||||||
| 2.80%, 11/15/2020 |
264,000 | 265,839 | ||||||
| 4.60%, 12/15/2044 |
1,300,000 | 1,446,990 | ||||||
| 3.90%, 11/15/2049 |
1,791,000 | 1,782,944 | ||||||
| Dominion Energy Inc. |
||||||||
| 2.75%, 09/15/2022 |
529,000 | 536,899 | ||||||
| 2.45%, 01/15/2023(3) |
7,054,000 | 7,074,375 | ||||||
| 2.85%, 08/15/2026 |
304,000 | 306,876 | ||||||
| 5.25%, 08/01/2033 |
1,161,000 | 1,397,255 | ||||||
| 5.95%, 06/15/2035 |
3,389,000 | 4,304,316 | ||||||
| 7.00%, 06/15/2038 |
124,000 | 171,267 |
| 4.90%, 08/01/2041 |
212,000 | 248,131 | ||||||
| DTE Electric Co. |
||||||||
| 2.65%, 06/15/2022 |
194,000 | 196,951 | ||||||
| 3.70%, 03/15/2045 |
463,000 | 498,334 | ||||||
| DTE Energy Co. |
||||||||
| 2.53%, 10/01/2024 |
6,316,000 | 6,340,769 | ||||||
| Duke Energy Carolinas LLC |
||||||||
| 6.00%, 12/01/2028 |
235,000 | 292,267 | ||||||
| 6.00%, 01/15/2038 |
161,000 | 217,158 | ||||||
| 4.25%, 12/15/2041 |
141,000 | 160,781 | ||||||
| Duke Energy Corp. |
||||||||
| 3.55%, 09/15/2021 |
306,000 | 312,539 | ||||||
| 3.75%, 09/01/2046 |
5,300,000 | 5,465,311 | ||||||
| 3.95%, 08/15/2047 |
6,740,000 | 7,117,150 | ||||||
| Duke Energy Indiana LLC |
||||||||
| 6.35%, 08/15/2038 |
320,000 | 453,626 | ||||||
| 3.75%, 05/15/2046 |
600,000 | 642,662 | ||||||
| Duke Energy Progress LLC |
||||||||
| 3.25%, 08/15/2025 |
158,000 | 165,826 | ||||||
| 4.10%, 05/15/2042 |
217,000 | 244,819 | ||||||
| 4.10%, 03/15/2043 |
181,000 | 202,215 | ||||||
| 4.38%, 03/30/2044 |
132,000 | 152,917 | ||||||
| 4.15%, 12/01/2044 |
129,000 | 145,398 | ||||||
| 4.20%, 08/15/2045 |
325,000 | 369,043 | ||||||
| 3.70%, 10/15/2046 |
506,000 | 540,014 | ||||||
| Duquesne Light Holdings, Inc. |
||||||||
| 3.62%, 08/01/2027(3) |
1,675,000 | 1,693,322 | ||||||
| Edison International |
||||||||
| 3.55%, 11/15/2024 |
4,947,000 | 5,062,972 | ||||||
| 5.75%, 06/15/2027 |
8,645,000 | 9,696,223 | ||||||
| 4.13%, 03/15/2028 |
900,000 | 922,398 | ||||||
| EDP Finance BV |
||||||||
| 3.63%, 07/15/2024(3) |
700,000 | 727,335 | ||||||
| Electricite de France SA |
||||||||
| 4.75%, 10/13/2035(3) |
5,000,000 | 5,710,660 | ||||||
| Emera US Finance LP |
||||||||
| 2.70%, 06/15/2021 |
3,799,000 | 3,833,388 | ||||||
| 3.55%, 06/15/2026 |
3,895,000 | 4,042,392 | ||||||
| 4.75%, 06/15/2046 |
1,500,000 | 1,731,646 | ||||||
| Enel Finance International NV |
||||||||
| 2.65%, 09/10/2024(3) |
2,940,000 | 2,947,230 | ||||||
| 4.63%, 09/14/2025(3) |
530,000 | 577,777 | ||||||
| 3.63%, 05/25/2027(3) |
12,505,000 | 12,942,130 | ||||||
| 3.50%, 04/06/2028(3) |
5,845,000 | 5,976,076 | ||||||
| 4.88%, 06/14/2029(3) |
215,000 | 242,436 | ||||||
| 6.00%, 10/07/2039(3) |
307,000 | 385,920 | ||||||
| 4.75%, 05/25/2047(3) |
5,575,000 | 6,260,190 | ||||||
| Entergy Arkansas LLC |
||||||||
| 3.50%, 04/01/2026 |
307,000 | 323,561 | ||||||
| Entergy Corp. |
||||||||
| 2.95%, 09/01/2026 |
310,000 | 314,683 | ||||||
| Entergy Louisiana LLC |
||||||||
| 2.40%, 10/01/2026 |
650,000 | 640,907 | ||||||
| 3.12%, 09/01/2027 |
370,000 | 383,552 | ||||||
| 3.05%, 06/01/2031 |
440,000 | 454,504 | ||||||
| 4.00%, 03/15/2033 |
2,610,000 | 2,948,209 | ||||||
| Entergy Mississippi LLC |
||||||||
| 2.85%, 06/01/2028 |
497,000 | 507,770 | ||||||
| Entergy Texas, Inc. |
||||||||
| 4.50%, 03/30/2039 |
11,000,000 | 12,609,270 |
| Evergy, Inc. |
||||||||
| 2.90%, 09/15/2029 |
2,190,000 | 2,176,451 | ||||||
| Eversource Energy |
||||||||
| 2.75%, 03/15/2022 |
10,262,000 | 10,411,170 | ||||||
| Exelon Corp. |
||||||||
| 3.50%, 06/01/2022 |
10,180,000 | 10,450,500 | ||||||
| 4.95%, 06/15/2035 |
1,500,000 | 1,735,307 | ||||||
| 5.10%, 06/15/2045 |
1,667,000 | 2,004,054 | ||||||
| Exelon Generation Co. LLC |
||||||||
| 3.40%, 03/15/2022 |
1,180,000 | 1,210,678 | ||||||
| 4.25%, 06/15/2022 |
313,000 | 327,253 | ||||||
| 6.25%, 10/01/2039 |
300,000 | 361,220 | ||||||
| 5.75%, 10/01/2041 |
192,000 | 221,627 | ||||||
| FirstEnergy Corp. |
||||||||
| 4.25%, 03/15/2023 |
3,893,000 | 4,102,075 | ||||||
| 3.90%, 07/15/2027 |
3,280,000 | 3,504,559 | ||||||
| 4.85%, 07/15/2047 |
263,000 | 311,931 | ||||||
| FirstEnergy Transmission LLC |
||||||||
| 5.45%, 07/15/2044(3) |
4,430,000 | 5,574,002 | ||||||
| 4.55%, 04/01/2049(3) |
2,946,000 | 3,366,697 | ||||||
| Florida Power & Light Co. |
||||||||
| 5.40%, 09/01/2035 |
700,000 | 881,279 | ||||||
| 5.95%, 02/01/2038 |
103,000 | 143,685 | ||||||
| 3.15%, 10/01/2049 |
648,000 | 653,117 | ||||||
| Fortis, Inc. |
||||||||
| 3.06%, 10/04/2026 |
2,291,000 | 2,337,637 | ||||||
| Indiana Michigan Power Co. |
||||||||
| 3.20%, 03/15/2023 |
991,000 | 1,019,956 | ||||||
| Israel Electric Corp. Ltd. |
||||||||
| 9.38%, 01/28/2020(3) |
4,648,000 | 4,673,564 | ||||||
| 6.88%, 06/21/2023(3) |
2,340,000 | 2,652,741 | ||||||
| 5.00%, 11/12/2024(3) |
982,000 | 1,079,022 | ||||||
| ITC Holdings Corp. |
||||||||
| 2.70%, 11/15/2022 |
10,512,000 | 10,637,698 | ||||||
| Jersey Central Power & Light Co. |
||||||||
| 4.30%, 01/15/2026(3) |
740,000 | 805,025 | ||||||
| 6.15%, 06/01/2037 |
400,000 | 516,296 | ||||||
| John Sevier Combined Cycle Generation LLC |
||||||||
| 4.63%, 01/15/2042 |
432,958 | 508,022 | ||||||
| Kansas City Power & Light Co. |
||||||||
| 3.15%, 03/15/2023 |
375,000 | 386,312 | ||||||
| 5.30%, 10/01/2041 |
1,032,000 | 1,302,116 | ||||||
| 4.20%, 03/15/2048 |
500,000 | 571,665 | ||||||
| KeySpan Gas East Corp. |
||||||||
| 2.74%, 08/15/2026(3) |
538,000 | 538,771 | ||||||
| Massachusetts Electric Co. |
||||||||
| 4.00%, 08/15/2046(3) |
624,000 | 663,176 | ||||||
| Mega Advance Investments Ltd. |
||||||||
| 5.00%, 05/12/2021(3) |
591,000 | 609,190 | ||||||
| MidAmerican Energy Co. |
||||||||
| 3.50%, 10/15/2024 |
317,000 | 335,837 | ||||||
| 4.25%, 07/15/2049 |
3,287,000 | 3,932,970 | ||||||
| Mid-Atlantic Interstate Transmission LLC |
||||||||
| 4.10%, 05/15/2028(3) |
9,900,000 | 10,821,930 | ||||||
| National Rural Utilities Cooperative Finance Corp. |
||||||||
| 2.95%, 02/07/2024 |
341,000 | 351,370 | ||||||
| 3.05%, 04/25/2027 |
462,000 | 478,445 | ||||||
| 8.00%, 03/01/2032 |
791,000 | 1,187,912 | ||||||
| Nevada Power Co. |
||||||||
| 3.70%, 05/01/2029 |
1,790,000 | 1,936,503 |
| 5.38%, 09/15/2040 |
261,000 | 316,845 | ||||||
| 5.45%, 05/15/2041 |
386,000 | 492,248 | ||||||
| New England Power Co. |
||||||||
| 3.80%, 12/05/2047(3) |
6,995,000 | 7,324,606 | ||||||
| New York State Electric & Gas Corp. |
||||||||
| 3.25%, 12/01/2026(3) |
804,000 | 833,095 | ||||||
| NextEra Energy Capital Holdings Inc. |
||||||||
| 2.40%, 09/01/2021 |
6,599,000 | 6,644,840 | ||||||
| NextEra Energy Capital Holdings, Inc. |
||||||||
| 3.34%, 09/01/2020 |
15,940,000 | 16,079,209 | ||||||
| 2.80%, 01/15/2023 |
3,671,000 | 3,750,500 | ||||||
| 3.55%, 05/01/2027 |
403,000 | 427,708 | ||||||
| Niagara Mohawk Power Corp. |
||||||||
| 3.51%, 10/01/2024(3) |
258,000 | 271,179 | ||||||
| NiSource, Inc. |
||||||||
| 2.65%, 11/17/2022 |
11,730,000 | 11,867,493 | ||||||
| 3.85%, 02/15/2023 |
283,000 | 294,815 | ||||||
| 2.95%, 09/01/2029 |
1,520,000 | 1,512,687 | ||||||
| 6.25%, 12/15/2040 |
550,000 | 726,161 | ||||||
| 5.80%, 02/01/2042 |
3,455,000 | 4,319,211 | ||||||
| 3.95%, 03/30/2048 |
4,480,000 | 4,709,375 | ||||||
| Northern States Power Co. |
||||||||
| 6.25%, 06/01/2036 |
458,000 | 632,870 | ||||||
| 4.13%, 05/15/2044 |
1,480,000 | 1,695,355 | ||||||
| 3.60%, 09/15/2047 |
2,395,000 | 2,552,300 | ||||||
| 2.90%, 03/01/2050 |
1,560,000 | 1,485,940 | ||||||
| NRG Energy, Inc. |
||||||||
| 4.45%, 06/15/2029(3) |
1,155,000 | 1,208,350 | ||||||
| Ohio Power Co. |
||||||||
| 4.15%, 04/01/2048 |
1,190,000 | 1,342,774 | ||||||
| Oncor Electric Delivery Co. LLC |
||||||||
| 5.75%, 03/15/2029 |
124,000 | 152,918 | ||||||
| 3.10%, 09/15/2049 |
2,437,000 | 2,409,151 | ||||||
| PECO Energy Co. |
||||||||
| 2.38%, 09/15/2022 |
578,000 | 583,459 | ||||||
| 4.15%, 10/01/2044 |
353,000 | 397,143 | ||||||
| 3.70%, 09/15/2047 |
2,120,000 | 2,314,710 | ||||||
| 3.90%, 03/01/2048 |
5,235,000 | 5,884,722 | ||||||
| Pennsylvania Electric Co. |
||||||||
| 3.25%, 03/15/2028(3) |
2,386,000 | 2,442,976 | ||||||
| Pepco Holdings LLC |
||||||||
| 7.45%, 08/15/2032 |
222,000 | 292,765 | ||||||
| Perusahaan Listrik Negara PT |
||||||||
| 5.50%, 11/22/2021(3) |
1,959,000 | 2,071,642 | ||||||
| 4.88%, 07/17/2049(3) |
1,001,000 | 1,083,582 | ||||||
| Pinnacle West Capital Corp. |
||||||||
| 2.25%, 11/30/2020 |
3,954,000 | 3,959,624 | ||||||
| PNM Resources, Inc. |
||||||||
| 3.25%, 03/09/2021 |
165,000 | 166,900 | ||||||
| Potomac Electric Power Co. |
||||||||
| 6.50%, 11/15/2037 |
136,000 | 192,597 | ||||||
| PPL Capital Funding, Inc. |
||||||||
| 3.10%, 05/15/2026 |
5,226,000 | 5,324,542 | ||||||
| 4.70%, 06/01/2043 |
895,000 | 998,163 | ||||||
| 4.00%, 09/15/2047 |
4,972,000 | 5,075,826 | ||||||
| PPL Electric Utilities Corp. |
||||||||
| 2.50%, 09/01/2022 |
178,000 | 179,761 | ||||||
| 4.13%, 06/15/2044 |
208,000 | 233,554 | ||||||
| 3.00%, 10/01/2049 |
2,105,000 | 2,005,390 | ||||||
| Progress Energy, Inc. |
| 4.40%, 01/15/2021 |
390,000 | 397,557 | ||||||
| 3.15%, 04/01/2022 |
389,000 | 396,438 | ||||||
| 7.75%, 03/01/2031 |
3,184,000 | 4,477,603 | ||||||
| PSEG Power LLC |
||||||||
| 5.13%, 04/15/2020 |
430,000 | 433,828 | ||||||
| 3.00%, 06/15/2021 |
2,310,000 | 2,335,844 | ||||||
| Public Service Co. of Colorado |
||||||||
| 3.55%, 06/15/2046 |
353,000 | 366,710 | ||||||
| 4.10%, 06/15/2048 |
2,515,000 | 2,893,304 | ||||||
| Public Service Co. of Oklahoma |
||||||||
| 4.40%, 02/01/2021 |
203,000 | 207,791 | ||||||
| 6.63%, 11/15/2037 |
649,000 | 894,962 | ||||||
| Public Service Electric & Gas Co. |
||||||||
| 3.15%, 08/15/2024 |
1,000,000 | 1,038,145 | ||||||
| 5.38%, 11/01/2039 |
117,000 | 152,118 | ||||||
| 3.60%, 12/01/2047 |
1,605,000 | 1,734,471 | ||||||
| Puget Energy, Inc. |
||||||||
| 3.65%, 05/15/2025 |
1,200,000 | 1,241,829 | ||||||
| Puget Sound Energy, Inc. |
||||||||
| 3.25%, 09/15/2049 |
3,890,000 | 3,862,562 | ||||||
| RGS I&M Funding Corp. |
||||||||
| 9.82%, 06/07/2022 |
82,076 | 88,133 | ||||||
| San Diego Gas & Electric Co. |
||||||||
| 6.00%, 06/01/2026 |
213,000 | 252,500 | ||||||
| 5.35%, 05/15/2040 |
3,430,000 | 4,036,074 | ||||||
| 3.95%, 11/15/2041 |
310,000 | 313,635 | ||||||
| 4.30%, 04/01/2042 |
2,045,000 | 2,193,758 | ||||||
| 3.75%, 06/01/2047 |
1,594,000 | 1,653,365 | ||||||
| 4.15%, 05/15/2048 |
1,693,000 | 1,857,995 | ||||||
| Sempra Energy |
||||||||
| 4.05%, 12/01/2023 |
10,325,000 | 10,974,305 | ||||||
| 6.00%, 10/15/2039 |
4,463,000 | 5,776,668 | ||||||
| Southern California Edison Co. |
||||||||
| 1.85%, 02/01/2022 |
120,000 | 118,521 | ||||||
| 3.50%, 10/01/2023 |
328,000 | 341,688 | ||||||
| 3.65%, 03/01/2028 |
1,200,000 | 1,285,367 | ||||||
| 6.05%, 03/15/2039 |
253,000 | 329,321 | ||||||
| 3.90%, 12/01/2041 |
392,000 | 388,664 | ||||||
| 4.05%, 03/15/2042 |
800,000 | 826,619 | ||||||
| 4.13%, 03/01/2048 |
3,278,000 | 3,491,507 | ||||||
| 4.88%, 03/01/2049 |
829,000 | 980,453 | ||||||
| Southern Co. |
||||||||
| 3.25%, 07/01/2026 |
218,000 | 226,878 | ||||||
| Southern Co. Gas Capital Corp. |
||||||||
| 3.50%, 09/15/2021 |
530,000 | 540,775 | ||||||
| 2.45%, 10/01/2023 |
230,000 | 231,455 | ||||||
| 3.25%, 06/15/2026 |
225,000 | 234,051 | ||||||
| 5.88%, 03/15/2041 |
1,210,000 | 1,524,780 | ||||||
| 4.40%, 06/01/2043 |
160,000 | 174,001 | ||||||
| 3.95%, 10/01/2046 |
282,000 | 290,848 | ||||||
| Southern Power Co. |
||||||||
| 5.15%, 09/15/2041 |
746,000 | 843,344 | ||||||
| Southwest Gas Corp. |
||||||||
| 3.80%, 09/29/2046 |
508,000 | 513,079 | ||||||
| Southwestern Public Service Co. |
||||||||
| 4.50%, 08/15/2041 |
350,000 | 408,098 | ||||||
| Talent Yield Investments Ltd. |
||||||||
| 4.50%, 04/25/2022(3) |
715,000 | 742,776 | ||||||
| Tampa Electric Co. |
||||||||
| 4.45%, 06/15/2049 |
2,500,000 | 2,954,830 |
| Toledo Edison Co. |
||||||||
| 6.15%, 05/15/2037 |
680,000 | 931,748 | ||||||
| Tri-State Generation & Transmission Association, Inc. |
||||||||
| 4.25%, 06/01/2046 |
371,000 | 397,509 | ||||||
| Union Electric Co. |
||||||||
| 2.95%, 06/15/2027 |
715,000 | 736,070 | ||||||
| 3.65%, 04/15/2045 |
1,370,000 | 1,445,849 | ||||||
| Virginia Electric & Power Co. |
||||||||
| 2.75%, 03/15/2023 |
159,000 | 161,833 | ||||||
| 3.45%, 02/15/2024 |
191,000 | 200,038 | ||||||
| 3.50%, 03/15/2027 |
4,955,000 | 5,294,584 | ||||||
| 3.80%, 04/01/2028 |
1,370,000 | 1,488,976 | ||||||
| 4.65%, 08/15/2043 |
3,500,000 | 4,174,807 | ||||||
| 4.45%, 02/15/2044 |
126,000 | 145,978 | ||||||
| 4.60%, 12/01/2048 |
1,705,000 | 2,083,908 | ||||||
| Vistra Operations Co. LLC |
||||||||
| 3.55%, 07/15/2024(3) |
8,460,000 | 8,562,844 | ||||||
| WEC Energy Group, Inc. |
||||||||
| 3.55%, 06/15/2025 |
865,000 | 917,592 | ||||||
| Westar Energy, Inc. |
||||||||
| 4.13%, 03/01/2042 |
4,175,000 | 4,632,360 | ||||||
| Wisconsin Electric Power Co. |
||||||||
| 3.10%, 06/01/2025 |
285,000 | 297,131 | ||||||
| Xcel Energy, Inc. |
||||||||
| 2.40%, 03/15/2021 |
7,410,000 | 7,438,086 | ||||||
| 3.35%, 12/01/2026 |
5,105,000 | 5,352,890 | ||||||
| 6.50%, 07/01/2036 |
131,000 | 177,866 | ||||||
|
|
|
|||||||
| Total Utilities |
519,066,555 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost: $4,372,707,304) |
4,629,237,745 | |||||||
|
|
|
|||||||
| Government Related – 18.93% |
||||||||
| Abu Dhabi Government International Bond |
||||||||
| 2.13%, 09/30/2024(3) |
4,278,000 | 4,263,241 | ||||||
| 3.13%, 09/30/2049(3) |
4,972,000 | 4,847,700 | ||||||
| Alabama Economic Settlement Authority |
||||||||
| 4.26%, 09/15/2032 |
610,000 | 676,283 | ||||||
| American Municipal Power, Inc. |
||||||||
| 7.50%, 02/15/2050 |
1,350,000 | 2,084,683 | ||||||
| Atlanta Independent School System |
||||||||
| 5.56%, 03/01/2026 |
535,000 | 629,615 | ||||||
| Bay Area Toll Authority |
||||||||
| 2.57%, 04/01/2031 |
6,700,000 | 6,661,073 | ||||||
| 6.26%, 04/01/2049 |
1,650,000 | 2,520,309 | ||||||
| California Qualified School Bond Joint Powers Authority |
||||||||
| 7.16%, 03/01/2027 |
805,000 | 961,202 | ||||||
| City of Houston TX Combined Utility System Revenue |
||||||||
| 3.83%, 05/15/2028 |
1,850,000 | 2,012,300 | ||||||
| City of Los Angeles Department of Airports |
||||||||
| 6.58%, 05/15/2039 |
1,650,000 | 2,189,434 | ||||||
| Clark County School District |
||||||||
| 5.51%, 06/15/2024 |
3,000,000 | 3,262,440 | ||||||
| Colombia Government International Bond |
||||||||
| 4.38%, 07/12/2021 |
1,000,000 | 1,031,260 | ||||||
| 4.00%, 02/26/2024 |
737,000 | 776,385 | ||||||
| 4.50%, 01/28/2026 |
1,192,000 | 1,297,409 | ||||||
| 7.38%, 09/18/2037 |
2,150,000 | 3,053,000 | ||||||
| 5.63%, 02/26/2044 |
200,000 | 248,500 | ||||||
| 5.00%, 06/15/2045 |
2,872,000 | 3,335,828 | ||||||
| Corp. Andina de Fomento |
||||||||
| 2.13%, 09/27/2021 |
2,740,000 | 2,732,438 |
| 3.25%, 02/11/2022 |
1,230,000 | 1,250,381 | ||||||
| 4.38%, 06/15/2022 |
2,735,000 | 2,868,687 | ||||||
| 2.75%, 01/06/2023 |
1,125,000 | 1,137,307 | ||||||
| County of Cuyahoga OH |
||||||||
| 9.13%, 10/01/2023 |
105,000 | 118,507 | ||||||
| CPPIB Capital, Inc. |
||||||||
| 2.75%, 11/02/2027(3) |
750,000 | 780,380 | ||||||
| District of Columbia Water & Sewer Authority |
||||||||
| 4.81%, 10/01/2114 |
875,000 | 1,149,627 | ||||||
| Eaton Community City School District |
||||||||
| 5.39%, 08/25/2027 |
275,000 | 277,139 | ||||||
| Export-Import Bank of India |
||||||||
| 3.88%, 02/01/2028(3) |
3,480,000 | 3,636,032 | ||||||
| Export-Import Bank of Korea |
||||||||
| 2.25%, 01/21/2020 |
1,800,000 | 1,800,216 | ||||||
| Fannie Mae Principal Strip |
||||||||
| 0.00%, 05/15/2030 |
929,000 | 725,595 | ||||||
| Federal Home Loan Banks |
||||||||
| 4.00%, 10/24/2029 |
2,000,000 | 2,315,516 | ||||||
| Federal Home Loan Mortgage Corp. |
||||||||
| 6.75%, 09/15/2029 |
625,000 | 874,863 | ||||||
| 6.25%, 07/15/2032 |
3,709,000 | 5,333,446 | ||||||
| Federal National Mortgage Association |
||||||||
| 2.25%, 04/12/2022 |
6,542,000 | 6,636,891 | ||||||
| 2.38%, 01/19/2023 |
3,040,000 | 3,106,039 | ||||||
| 2.50%, 02/05/2024 |
3,495,000 | 3,600,215 | ||||||
| 2.63%, 09/06/2024 |
5,221,000 | 5,430,442 | ||||||
| 1.88%, 09/24/2026 |
725,000 | 722,891 | ||||||
| 6.25%, 05/15/2029 |
630,000 | 850,872 | ||||||
| 7.13%, 01/15/2030(4)(7) |
1,500,000 | 2,169,077 | ||||||
| 6.63%, 11/15/2030(7) |
2,300,000 | 3,273,910 | ||||||
| Finnvera OYJ |
||||||||
| 2.38%, 06/04/2025(3) |
600,000 | 612,648 | ||||||
| Hydro-Quebec |
||||||||
| 9.40%, 02/01/2021 |
186,000 | 200,860 | ||||||
| 8.40%, 01/15/2022 |
826,000 | 930,674 | ||||||
| 8.05%, 07/07/2024 |
638,000 | 802,240 | ||||||
| Indonesia Government International Bond |
||||||||
| 5.88%, 01/15/2024(3) |
1,300,000 | 1,468,660 | ||||||
| 4.45%, 02/11/2024 |
1,130,000 | 1,216,692 | ||||||
| 4.13%, 01/15/2025(3) |
1,325,000 | 1,420,586 | ||||||
| Iowa Tobacco Settlement Authority |
||||||||
| 6.50%, 06/01/2023 |
675,000 | 685,030 | ||||||
| Israel Government AID Bond |
||||||||
| 0.00%, 09/15/2023 |
1,837,000 | 1,702,733 | ||||||
| 0.00%, 11/01/2023 |
413,000 | 381,791 | ||||||
| 0.00%, 11/01/2024 |
1,000,000 | 904,764 | ||||||
| 0.00%, 11/01/2024 |
17,739,000 | 16,054,025 | ||||||
| 0.00%, 11/15/2026 |
258,000 | 220,832 | ||||||
| 5.50%, 09/18/2033 |
619,000 | 843,922 | ||||||
| Japan Bank for International Cooperation |
||||||||
| 3.38%, 10/31/2023 |
1,400,000 | 1,471,610 | ||||||
| Japan Finance Organization for Municipalities |
||||||||
| 2.00%, 09/08/2020(3) |
1,600,000 | 1,601,167 | ||||||
| 2.13%, 04/13/2021(3) |
400,000 | 400,800 | ||||||
| 2.63%, 04/20/2022(3) |
6,000,000 | 6,081,225 | ||||||
| 3.25%, 04/24/2023(3) |
1,000,000 | 1,039,457 | ||||||
| 2.13%, 10/25/2023(3) |
3,400,000 | 3,405,827 | ||||||
| 1.75%, 09/05/2024(3) |
200,000 | 196,568 | ||||||
| Korea Gas Corp. |
| 4.25%, 11/02/2020(3) |
279,000 | 283,746 | ||||||
| Los Angeles Department of Water & Power Power System Revenue |
||||||||
| 6.60%, 07/01/2050 |
2,400,000 | 3,851,832 | ||||||
| Mexico Government International Bond |
||||||||
| 3.60%, 01/30/2025 |
868,000 | 907,286 | ||||||
| 4.13%, 01/21/2026 |
1,014,000 | 1,082,952 | ||||||
| 3.75%, 01/11/2028 |
3,517,000 | 3,654,163 | ||||||
| 4.75%, 03/08/2044 |
450,000 | 497,250 | ||||||
| 4.60%, 01/23/2046 |
1,494,000 | 1,620,990 | ||||||
| 4.35%, 01/15/2047 |
42,000 | 44,310 | ||||||
| 4.60%, 02/10/2048 |
1,482,000 | 1,622,805 | ||||||
| 5.75%, 10/12/2110 |
588,000 | 695,604 | ||||||
| New Hampshire Housing Finance Authority |
||||||||
| 3.05%, 01/01/2021 |
95,000 | 96,059 | ||||||
| 3.75%, 07/01/2034 |
95,000 | 96,737 | ||||||
| New Jersey Transportation Trust Fund Authority |
||||||||
| 5.75%, 12/15/2028 |
5,100,000 | 5,863,011 | ||||||
| 4.13%, 06/15/2042 |
2,830,000 | 2,807,134 | ||||||
| New Jersey Turnpike Authority |
||||||||
| 7.10%, 01/01/2041 |
5,870,000 | 8,951,985 | ||||||
| New York State Dormitory Authority |
||||||||
| 5.60%, 03/15/2040 |
260,000 | 329,085 | ||||||
| 3.19%, 02/15/2043 |
8,125,000 | 8,154,656 | ||||||
| New York State Urban Development Corp. |
||||||||
| 5.84%, 03/15/2040 |
2,000,000 | 2,536,340 | ||||||
| North American Development Bank |
||||||||
| 4.38%, 02/11/2020 |
2,500,000 | 2,506,999 | ||||||
| 2.40%, 10/26/2022 |
2,595,000 | 2,618,184 | ||||||
| North Carolina Housing Finance Agency |
||||||||
| 3.00%, 01/01/2033 |
2,145,000 | 2,158,942 | ||||||
| North Carolina State Education Assistance Authority |
||||||||
| 0.00% (3 Month LIBOR USD + 0.80%), 07/25/2036(2)(8) |
8,600,000 | 8,526,728 | ||||||
| Ohio State University |
||||||||
| 4.05%, 12/01/2056 |
406,000 | 468,678 | ||||||
| 4.80%, 06/01/2111 |
1,102,000 | 1,396,906 | ||||||
| Ontario Teachers’ Finance Trust |
||||||||
| 2.75%, 04/16/2021(3) |
1,000,000 | 1,012,145 | ||||||
| Panama Government International Bond |
||||||||
| 4.50%, 04/16/2050 |
1,610,000 | 1,905,435 | ||||||
| Peruvian Government International Bond |
||||||||
| 5.63%, 11/18/2050 |
190,000 | 277,639 | ||||||
| Port Authority of New York & New Jersey |
||||||||
| 5.65%, 11/01/2040 |
1,260,000 | 1,681,911 | ||||||
| 5.65%, 11/01/2040 |
435,000 | 580,660 | ||||||
| 4.46%, 10/01/2062 |
2,065,000 | 2,530,864 | ||||||
| Province of Alberta Canada |
||||||||
| 2.20%, 07/26/2022 |
1,170,000 | 1,180,483 | ||||||
| 3.30%, 03/15/2028 |
4,955,000 | 5,357,003 | ||||||
| Province of Manitoba Canada |
||||||||
| 2.60%, 04/16/2024 |
110,000 | 112,972 | ||||||
| 2.13%, 06/22/2026 |
400,000 | 400,881 | ||||||
| Province of Ontario Canada |
||||||||
| 3.40%, 10/17/2023 |
1,030,000 | 1,088,496 | ||||||
| Province of Quebec Canada |
||||||||
| 2.75%, 04/12/2027 |
2,160,000 | 2,250,457 | ||||||
| Qatar Government International Bond |
||||||||
| 2.38%, 06/02/2021(3) |
3,200,000 | 3,208,294 | ||||||
| 5.10%, 04/23/2048(3) |
3,140,000 | 4,032,055 | ||||||
| 4.82%, 03/14/2049(3) |
2,138,000 | 2,645,775 | ||||||
| Republic of South Africa Government International Bond |
| 5.88%, 09/16/2025 |
403,000 | 443,546 | ||||||
| Resolution Funding Corp. Interest Strip |
||||||||
| 0.00%, 01/15/2026 |
979,000 | 857,500 | ||||||
| 0.00%, 10/15/2027 |
1,295,000 | 1,083,442 | ||||||
| Rhode Island Housing & Mortgage Finance Corp. |
||||||||
| 4.00%, 10/01/2023 |
3,270,000 | 3,368,002 | ||||||
| Romanian Government International Bond |
||||||||
| 6.75%, 02/07/2022 |
250,000 | 273,225 | ||||||
| 5.13%, 06/15/2048(3) |
5,000,000 | 5,747,500 | ||||||
| Saudi Government International Bond |
||||||||
| 2.88%, 03/04/2023(3) |
5,560,000 | 5,657,745 | ||||||
| 4.00%, 04/17/2025(3) |
3,200,000 | 3,449,600 | ||||||
| State of California |
||||||||
| 7.50%, 04/01/2034 |
5,540,000 | 8,342,354 | ||||||
| 7.30%, 10/01/2039 |
275,000 | 419,930 | ||||||
| State of Illinois |
||||||||
| 5.00%, 10/01/2022 |
685,000 | 740,136 | ||||||
| 5.00%, 11/01/2022 |
10,340,000 | 11,161,203 | ||||||
| 5.10%, 06/01/2033 |
5,585,000 | 6,020,798 | ||||||
| Tennessee Valley Authority |
||||||||
| 2.88%, 02/01/2027 |
1,000,000 | 1,048,491 | ||||||
| 7.13%, 05/01/2030 |
1,615,000 | 2,325,729 | ||||||
| 5.88%, 04/01/2036 |
2,967,000 | 4,182,813 | ||||||
| 5.50%, 06/15/2038 |
57,000 | 78,852 | ||||||
| 4.63%, 09/15/2060 |
1,308,000 | 1,790,905 | ||||||
| 4.25%, 09/15/2065 |
1,720,000 | 2,229,272 | ||||||
| Tennessee Valley Authority Generic Strip |
||||||||
| 0.00%, 07/15/2028 |
2,000,000 | 1,633,238 | ||||||
| 0.00%, 03/15/2032 |
1,514,000 | 1,103,667 | ||||||
| Tennessee Valley Authority Principal Strip |
||||||||
| 0.00%, 11/01/2025 |
1,847,000 | 1,631,001 | ||||||
| 0.00%, 06/15/2035 |
258,000 | 164,942 | ||||||
| Texas Private Activity Bond Surface Transportation Corp. |
||||||||
| 3.92%, 12/31/2049 |
1,810,000 | 1,819,484 | ||||||
| Three Rivers Local School District |
||||||||
| 5.21%, 09/15/2027 |
285,000 | 292,330 | ||||||
| Tokyo Metropolitan Government |
||||||||
| 2.00%, 05/17/2021(3) |
2,400,000 | 2,397,287 | ||||||
| 2.50%, 06/08/2022(3) |
5,000,000 | 5,051,795 | ||||||
| 3.25%, 06/01/2023(3) |
1,200,000 | 1,246,967 | ||||||
| Turkey Government International Bond |
||||||||
| 7.00%, 06/05/2020 |
3,910,000 | 3,981,827 | ||||||
| U.S. Treasury Inflation Indexed Bonds |
||||||||
| 1.38%, 01/15/2020(9) |
353,448 | 353,450 | ||||||
| 0.13%, 01/15/2022(9) |
2,526,458 | 2,525,034 | ||||||
| 1.75%, 01/15/2028(9) |
737,040 | 827,894 | ||||||
| 3.63%, 04/15/2028(9) |
1,659,528 | 2,122,647 | ||||||
| 2.50%, 01/15/2029(9) |
495,034 | 596,534 | ||||||
| U.S. Treasury Note |
||||||||
| 1.13%, 09/30/2021 |
14,200,000 | 14,082,039 | ||||||
| 1.88%, 11/30/2021 |
11,500,000 | 11,563,615 | ||||||
| 1.75%, 12/31/2024 |
26,778,000 | 26,836,134 | ||||||
| 1.75%, 12/31/2026 |
15,062,000 | 14,972,548 | ||||||
| U.S. Treasury Note/Bond |
||||||||
| 3.50%, 05/15/2020 |
1,300,000 | 1,308,684 | ||||||
| 1.50%, 05/31/2020 |
2,375,000 | 2,373,690 | ||||||
| 2.63%, 08/15/2020 |
3,709,000 | 3,731,260 | ||||||
| 8.75%, 08/15/2020 |
6,304,000 | 6,572,814 | ||||||
| 1.38%, 08/31/2020 |
10,000,000 | 9,983,005 | ||||||
| 1.38%, 10/31/2020 |
1,050,000 | 1,047,528 |
| 2.63%, 11/15/2020 |
4,596,000 | 4,634,330 | ||||||
| 2.00%, 11/30/2020 |
1,000,000 | 1,003,175 | ||||||
| 1.13%, 02/28/2021 |
8,000,000 | 7,952,197 | ||||||
| 2.25%, 04/30/2021 |
1,800,000 | 1,814,948 | ||||||
| 2.63%, 05/15/2021 |
5,277,800 | 5,349,527 | ||||||
| 3.13%, 05/15/2021 |
4,592,000 | 4,685,077 | ||||||
| 8.13%, 05/15/2021 |
1,718,000 | 1,869,513 | ||||||
| 2.13%, 08/15/2021 |
2,805,000 | 2,827,875 | ||||||
| 8.00%, 11/15/2021 |
4,414,000 | 4,928,598 | ||||||
| 1.50%, 01/31/2022 |
1,250,000 | 1,247,716 | ||||||
| 1.75%, 02/28/2022 |
57,900,000 | 58,096,469 | ||||||
| 1.75%, 03/31/2022 |
108,150,000 | 108,514,671 | ||||||
| 1.88%, 03/31/2022 |
89,300,000 | 89,835,053 | ||||||
| 1.88%, 04/30/2022 |
2,000,000 | 2,012,174 | ||||||
| 1.63%, 08/31/2022 |
20,750,000 | 20,756,775 | ||||||
| 1.63%, 12/15/2022 |
52,796,000 | 52,816,945 | ||||||
| 2.13%, 12/31/2022 |
20,000,000 | 20,292,984 | ||||||
| 1.75%, 01/31/2023 |
12,000,000 | 12,042,350 | ||||||
| 2.50%, 03/31/2023 |
17,997,000 | 18,484,614 | ||||||
| 1.75%, 05/15/2023 |
17,221,000 | 17,275,878 | ||||||
| 2.75%, 05/31/2023 |
26,085,000 | 27,029,192 | ||||||
| 2.75%, 07/31/2023 |
22,957,000 | 23,822,841 | ||||||
| 1.38%, 08/31/2023 |
12,000,000 | 11,880,297 | ||||||
| 2.75%, 08/31/2023 |
20,436,000 | 21,220,707 | ||||||
| 1.63%, 10/31/2023 |
25,000,000 | 24,957,648 | ||||||
| 2.88%, 10/31/2023 |
16,040,000 | 16,752,346 | ||||||
| 2.63%, 12/31/2023 |
4,830,000 | 5,006,171 | ||||||
| 2.50%, 01/31/2024 |
19,914,000 | 20,552,903 | ||||||
| 2.75%, 02/15/2024 |
1,000,000 | 1,042,234 | ||||||
| 2.13%, 02/29/2024 |
10,842,000 | 11,033,821 | ||||||
| 2.38%, 02/29/2024 |
24,721,000 | 25,404,654 | ||||||
| 2.13%, 03/31/2024 |
18,758,000 | 19,090,349 | ||||||
| 2.25%, 04/30/2024 |
12,723,000 | 13,017,834 | ||||||
| 2.50%, 05/15/2024 |
66,638,000 | 68,892,477 | ||||||
| 2.00%, 05/31/2024 |
5,272,000 | 5,340,345 | ||||||
| 1.75%, 06/30/2024 |
10,081,000 | 10,103,647 | ||||||
| 2.00%, 06/30/2024 |
543,000 | 550,032 | ||||||
| 1.75%, 07/31/2024 |
10,525,000 | 10,548,913 | ||||||
| 2.38%, 08/15/2024 |
20,000,000 | 20,593,772 | ||||||
| 1.25%, 08/31/2024 |
22,103,000 | 21,659,933 | ||||||
| 1.50%, 09/30/2024 |
13,662,000 | 13,535,265 | ||||||
| 1.50%, 10/31/2024 |
11,231,000 | 11,126,677 | ||||||
| 2.25%, 11/15/2024 |
20,529,000 | 21,047,074 | ||||||
| 1.50%, 11/30/2024 |
10,531,000 | 10,435,517 | ||||||
| 2.88%, 04/30/2025 |
840,000 | 888,641 | ||||||
| 2.13%, 05/15/2025 |
37,000,000 | 37,724,599 | ||||||
| 2.88%, 05/31/2025 |
5,392,000 | 5,705,855 | ||||||
| 2.00%, 08/15/2025 |
150,100 | 151,997 | ||||||
| 2.25%, 11/15/2025 |
88,171,000 | 90,474,664 | ||||||
| 2.00%, 11/15/2026 |
55,000,000 | 55,571,814 | ||||||
| 2.25%, 11/15/2027 |
39,300,000 | 40,365,381 | ||||||
| 3.13%, 11/15/2028 |
76,050,000 | 83,561,738 | ||||||
| 1.63%, 08/15/2029 |
8,867,000 | 8,631,326 | ||||||
| 1.75%, 11/15/2029 |
56,815,000 | 55,912,840 | ||||||
| 4.75%, 02/15/2037 |
37,619,000 | 51,708,446 | ||||||
| 5.00%, 05/15/2037 |
8,604,000 | 12,165,694 | ||||||
| 3.50%, 02/15/2039 |
40,394,100 | 48,353,249 | ||||||
| 4.38%, 11/15/2039 |
17,169,000 | 22,950,928 | ||||||
| 4.63%, 02/15/2040 |
3,000,000 | 4,142,939 | ||||||
| 4.38%, 05/15/2040 |
7,600,000 | 10,192,589 |
| 3.88%, 08/15/2040 |
4,380,000 | 5,513,962 | ||||||
| 4.25%, 11/15/2040 |
4,500,000 | 5,948,421 | ||||||
| 4.75%, 02/15/2041 |
3,500,000 | 4,931,550 | ||||||
| 4.38%, 05/15/2041 |
1,500,000 | 2,019,660 | ||||||
| 2.75%, 08/15/2042 |
293,000 | 312,532 | ||||||
| 2.75%, 11/15/2042 |
1,200,000 | 1,279,073 | ||||||
| 3.13%, 02/15/2043 |
18,100,000 | 20,502,320 | ||||||
| 2.88%, 05/15/2043 |
170,150,000 | 185,140,356 | ||||||
| 3.63%, 08/15/2043 |
20,800,000 | 25,477,158 | ||||||
| 3.75%, 11/15/2043 |
88,150,000 | 110,103,135 | ||||||
| 3.63%, 02/15/2044 |
40,750,000 | 50,017,271 | ||||||
| 2.50%, 02/15/2045 |
83,300,000 | 84,886,768 | ||||||
| 2.88%, 08/15/2045 |
7,800,000 | 8,516,140 | ||||||
| 2.25%, 08/15/2046 |
27,157,800 | 26,359,152 | ||||||
| 3.00%, 05/15/2047 |
13,861,000 | 15,554,501 | ||||||
| 2.75%, 08/15/2047 |
16,887,000 | 18,087,764 | ||||||
| 2.75%, 11/15/2047 |
16,648,000 | 17,831,481 | ||||||
| 3.00%, 02/15/2048 |
870,000 | 976,890 | ||||||
| 3.13%, 05/15/2048 |
26,063,000 | 29,975,606 | ||||||
| 3.38%, 11/15/2048 |
30,304,000 | 36,524,246 | ||||||
| 3.00%, 02/15/2049 |
10,240,000 | 11,538,825 | ||||||
| 2.88%, 05/15/2049 |
31,686,000 | 34,885,831 | ||||||
| 2.25%, 08/15/2049 |
48,071,000 | 46,576,290 | ||||||
| U.S. Treasury Strip Coupon |
||||||||
| 0.00%, 08/15/2020 |
34,113,000 | 33,767,759 | ||||||
| 0.00%, 02/15/2021 |
16,205,000 | 15,912,882 | ||||||
| 0.00%, 05/15/2021 |
13,188,000 | 12,901,969 | ||||||
| 0.00%, 08/15/2021 |
9,469,000 | 9,226,715 | ||||||
| 0.00%, 11/15/2021 |
14,679,000 | 14,238,331 | ||||||
| 0.00%, 02/15/2022 |
33,917,000 | 32,742,398 | ||||||
| 0.00%, 05/15/2022 |
18,154,000 | 17,448,941 | ||||||
| 0.00%, 08/15/2022 |
4,975,000 | 4,764,030 | ||||||
| 0.00%, 11/15/2022 |
17,400,000 | 16,597,130 | ||||||
| 0.00%, 02/15/2023 |
61,562,000 | 58,471,506 | ||||||
| 0.00%, 05/15/2023 |
30,855,000 | 29,125,472 | ||||||
| 0.00%, 08/15/2023 |
22,550,000 | 21,199,129 | ||||||
| 0.00%, 11/15/2023 |
3,218,000 | 3,007,217 | ||||||
| 0.00%, 02/15/2024 |
12,206,000 | 11,349,403 | ||||||
| 0.00%, 05/15/2024 |
1,322,000 | 1,223,123 | ||||||
| 0.00%, 08/15/2024 |
1,834,000 | 1,687,943 | ||||||
| 0.00%, 11/15/2024 |
6,105,000 | 5,596,065 | ||||||
| 0.00%, 02/15/2025 |
799,000 | 728,423 | ||||||
| 0.00%, 05/15/2025 |
3,279,000 | 2,969,949 | ||||||
| 0.00%, 08/15/2027 |
4,314,000 | 3,715,941 | ||||||
| 0.00%, 11/15/2027 |
4,607,000 | 3,944,004 | ||||||
| 0.00%, 08/15/2030 |
2,210,000 | 1,765,876 | ||||||
| 0.00%, 02/15/2031(7) |
14,635,000 | 11,558,419 | ||||||
| 0.00%, 05/15/2031 |
14,225,000 | 11,143,840 | ||||||
| 0.00%, 08/15/2031 |
16,262,000 | 12,644,412 | ||||||
| 0.00%, 11/15/2031 |
13,399,000 | 10,350,624 | ||||||
| 0.00%, 02/15/2032 |
20,909,000 | 16,037,409 | ||||||
| 0.00%, 08/15/2032 |
10,925,000 | 8,266,371 | ||||||
| 0.00%, 02/15/2033 |
10,000,000 | 7,465,290 | ||||||
| 0.00%, 08/15/2033 |
4,212,000 | 3,100,013 | ||||||
| 0.00%, 11/15/2033 |
13,216,000 | 9,658,161 | ||||||
| 0.00%, 02/15/2034 |
17,759,000 | 12,881,513 | ||||||
| 0.00%, 05/15/2034 |
31,500,000 | 22,706,892 | ||||||
| 0.00%, 08/15/2034 |
6,895,000 | 4,930,438 | ||||||
| 0.00%, 11/15/2034 |
2,487,000 | 1,766,152 | ||||||
| 0.00%, 02/15/2035 |
1,824,000 | 1,286,630 |
| 0.00%, 05/15/2035 |
1,920,000 | 1,345,246 | ||||||
| 0.00%, 08/15/2035 |
175,000 | 121,753 | ||||||
| 0.00%, 05/15/2036 |
121,000 | 82,289 | ||||||
| 0.00%, 05/15/2039 |
7,545,000 | 4,726,450 | ||||||
| 0.00%, 08/15/2041 |
1,225,000 | 717,826 | ||||||
| 0.00%, 05/15/2043 |
1,175,000 | 655,001 | ||||||
| 0.00%, 11/15/2043 |
7,005,000 | 3,859,590 | ||||||
| University of Missouri |
||||||||
| 5.96%, 11/01/2039 |
3,445,000 | 4,415,835 | ||||||
| University of Virginia |
||||||||
| 4.18%, 09/01/2117 |
1,540,000 | 1,818,879 | ||||||
| Uruguay Government International Bond |
||||||||
| 5.10%, 06/18/2050 |
1,600,000 | 1,919,520 | ||||||
| 4.98%, 04/20/2055 |
2,590,000 | 3,051,797 | ||||||
| West Contra Costa Unified School District |
||||||||
| 6.25%, 08/01/2030 |
215,000 | 281,988 | ||||||
| Westlake City School District |
||||||||
| 5.23%, 12/01/2026 |
430,000 | 442,457 | ||||||
|
|
|
|||||||
| Total Government Related (Cost: $2,843,730,705) |
2,980,927,304 | |||||||
|
|
|
|||||||
| Mortgage-Backed Obligations – 36.84% |
||||||||
| 20 Times Square Trust 2018-20TS |
||||||||
| 3.10%, 05/15/2035(3)(4) |
5,204,000 | 5,190,109 | ||||||
| ACRC Holdings LLC |
||||||||
| 7.08% (1 Month LIBOR USD + 4.60%), 12/22/2021(2)(14) |
6,515,000 | 6,515,000 | ||||||
| Alternative Loan Trust 2003-22CB |
||||||||
| 6.00%, 12/25/2033 |
2,071,411 | 2,095,436 | ||||||
| Alternative Loan Trust 2004-2CB |
||||||||
| 5.75%, 03/25/2034 |
545,363 | 560,348 | ||||||
| Alternative Loan Trust 2004-8CB |
||||||||
| 2.06% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2034(2) |
641,228 | 643,019 | ||||||
| Alternative Loan Trust 2005-1CB |
||||||||
| 5.31% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035(2)(8) |
159,040 | 22,437 | ||||||
| Alternative Loan Trust 2005-20CB |
||||||||
| 2.96% (1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035(2)(8) |
526,746 | 58,524 | ||||||
| Alternative Loan Trust 2005-22T1 |
||||||||
| 3.28% (1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035(2)(8) |
605,968 | 80,992 | ||||||
| Alternative Loan Trust 2005-28CB |
||||||||
| 5.50%, 08/25/2035 |
219,171 | 218,402 | ||||||
| 6.00%, 08/25/2035 |
7,606 | 5,353 | ||||||
| Alternative Loan Trust 2005-37T1 |
||||||||
| 3.26% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035(2)(8) |
2,086,384 | 267,123 | ||||||
| Alternative Loan Trust 2005-50CB |
||||||||
| 5.00%, 11/25/2020 |
7,978 | 7,986 | ||||||
| Alternative Loan Trust 2005-54CB |
||||||||
| 3.06% (1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035(2)(8) |
869,271 | 108,910 | ||||||
| 5.50%, 11/25/2035 |
3,022 | 2,986 | ||||||
| 5.50%, 11/25/2035 |
220,023 | 206,993 | ||||||
| Alternative Loan Trust 2005-64CB |
||||||||
| 5.50%, 12/25/2035 |
91,429 | 90,281 | ||||||
| Alternative Loan Trust 2005-J1 |
||||||||
| 3.31% (1 Month LIBOR USD + 5.10%, 5.10% Cap), 02/25/2035(2)(8) |
37,572 | 859 | ||||||
| Alternative Loan Trust 2006-28CB |
||||||||
| 6.00%, 10/25/2036 |
68,942 | 54,388 | ||||||
| Alternative Loan Trust 2006-43CB |
||||||||
| 6.00%, 02/25/2022 |
5,739 | 5,744 | ||||||
| Alternative Loan Trust 2006-7CB |
||||||||
| 5.25%, 05/25/2021 |
43,964 | 43,449 | ||||||
| Alternative Loan Trust 2006-J5 |
||||||||
| 4.13%, 07/25/2021(4) |
15,852 | 15,331 |
| American General Mortgage Loan Trust 2006-1 |
||||||||
| 5.75%, 12/25/2035(3)(4) |
3,600 | 3,728 | ||||||
| Antler Mortgage Trust 2018-RTL1 |
||||||||
| 4.34%, 07/25/2022(3) |
13,580,000 | 13,667,988 | ||||||
| ASG Resecuritization Trust 2011-1 |
||||||||
| 6.00%, 09/28/2036(3) |
171,919 | 119,890 | ||||||
| Assurant Commercial Mortgage Trust 2016-1 |
||||||||
| 3.17%, 05/15/2049(3) |
9,100,000 | 9,122,607 | ||||||
| BAMLL Commercial Mortgage Securities Trust 2012-PARK |
||||||||
| 2.96%, 12/10/2030(3) |
809,000 | 827,327 | ||||||
| BAMLL Commercial Mortgage Securities Trust 2014-520M |
||||||||
| 4.21%, 08/15/2046(3)(4) |
1,200,000 | 1,254,800 | ||||||
| BAMLL Re-REMIC Trust 2013-FRR2 |
||||||||
| 0.00%, 09/26/2022(3) |
4,000,000 | 3,463,093 | ||||||
| BAMLL Re-REMIC Trust 2014-FRR5 |
||||||||
| 0.00%, 06/27/2045(3) |
6,300,000 | 5,434,599 | ||||||
| Banc of America Alternative Loan Trust 2004-6 |
||||||||
| 0.00%, 07/25/2049 |
988 | 828 | ||||||
| Banc of America Alternative Loan Trust 2005-10 |
||||||||
| 5.25%, 11/25/2020 |
2,152 | 2,161 | ||||||
| Banc of America Alternative Loan Trust 2005-11 |
||||||||
| 5.50%, 12/25/2035 |
10,047 | 9,895 | ||||||
| Banc of America Alternative Loan Trust 2005-5 |
||||||||
| 5.50%, 06/25/2035 |
36,273 | 36,064 | ||||||
| Banc of America Alternative Loan Trust 2005-9 |
||||||||
| 5.50%, 10/25/2035 |
15,771 | 15,890 | ||||||
| Banc of America Alternative Loan Trust 2006-5 |
||||||||
| 6.00%, 06/25/2046 |
34,221 | 33,842 | ||||||
| Banc of America Alternative Loan Trust 2007-1 |
||||||||
| 5.21%, 04/25/2022(4) |
25,485 | 25,196 | ||||||
| Banc of America Commercial Mortgage Trust 2006-5 |
||||||||
| 0.68%, 09/10/2047(3)(4) |
115,300 | 1 | ||||||
| Banc of America Funding 2004-1 Trust |
||||||||
| 0.00%, 03/25/2034 |
27,464 | 24,032 | ||||||
| Banc of America Funding 2004-2 Trust |
||||||||
| 5.75%, 09/20/2034 |
1,909,758 | 2,051,401 | ||||||
| Banc of America Funding 2004-C Trust |
||||||||
| 4.38%, 12/20/2034(4) |
40,867 | 41,507 | ||||||
| Banc of America Funding 2005-6 Trust |
||||||||
| 5.50%, 10/25/2035 |
25,710 | 24,885 | ||||||
| Banc of America Funding 2005-7 Trust |
||||||||
| 0.00%, 11/25/2035 |
24,922 | 21,713 | ||||||
| Banc of America Funding 2005-8 Trust |
||||||||
| 0.00%, 01/25/2036 |
8,974 | 6,909 | ||||||
| Banc of America Funding 2005-C Trust |
||||||||
| 2.00% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035(2) |
1,959,567 | 1,960,811 | ||||||
| Banc of America Funding 2005-E Trust |
||||||||
| 4.48%, 03/20/2035(4) |
8,547 | 8,591 | ||||||
| Banc of America Funding 2006-1 Trust |
||||||||
| 0.00%, 01/25/2036 |
14,797 | 10,769 | ||||||
| Banc of America Mortgage 2003-C Trust |
||||||||
| 5.12%, 04/25/2033(4) |
11,722 | 12,000 | ||||||
| BANK 2017-BNK4 |
||||||||
| 3.63%, 05/15/2050 |
6,790,000 | 7,271,702 | ||||||
| BANK 2017-BNK8 |
||||||||
| 3.49%, 11/15/2050 |
12,745,000 | 13,552,134 | ||||||
| BANK 2017-BNK9 |
||||||||
| 3.54%, 11/15/2054 |
6,100,000 | 6,506,051 | ||||||
| BANK 2018-BNK13 |
||||||||
| 4.22%, 08/15/2061(4) |
3,582,000 | 4,004,151 |
| BANK 2019-BNK21 |
||||||||
| 2.85%, 10/17/2052 |
2,743,000 | 2,784,638 | ||||||
| BANK 2019-BNK24 |
||||||||
| 2.96%, 11/15/2062 |
1,834,000 | 1,878,643 | ||||||
| BBCMS Mortgage Trust 2018-C2 |
||||||||
| 4.05%, 12/15/2051 |
20,000,000 | 22,047,656 | ||||||
| 4.31%, 12/15/2051 |
2,652,000 | 2,980,471 | ||||||
| BB-UBS Trust |
||||||||
| 2.89%, 06/05/2030(3) |
568,000 | 567,936 | ||||||
| BB-UBS Trust 2012-SHOW |
||||||||
| 3.43%, 11/05/2036(3) |
4,602,000 | 4,773,070 | ||||||
| BCAP LLC 2009-RR5 Trust |
||||||||
| 5.50%, 11/26/2034(3)(4) |
63,910 | 64,726 | ||||||
| Bear Stearns ALT-A Trust 2005-7 |
||||||||
| 2.33% (1 Month LIBOR USD + 0.54%, 0.27% Floor, 11.50% Cap), 08/25/2035(2) |
662,983 | 664,548 | ||||||
| Bear Stearns ARM Trust 2003-2 |
||||||||
| 4.09%, 01/25/2033(3)(4) |
106,321 | 110,074 | ||||||
| Bear Stearns ARM Trust 2003-7 |
||||||||
| 4.31%, 10/25/2033(4) |
9,543 | 9,709 | ||||||
| Bear Stearns ARM Trust 2004-2 |
||||||||
| 4.39%, 05/25/2034(4) |
50,908 | 51,022 | ||||||
| Bear Stearns ARM Trust 2006-1 |
||||||||
| 3.84% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036(2) |
162,647 | 166,403 | ||||||
| Bear Stearns Asset Backed Securities I Trust 2004-AC2 |
||||||||
| 5.00%, 05/25/2034 |
19,074 | 19,437 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 |
||||||||
| 0.31%, 12/11/2038(3)(4) |
609,933 | 600 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 |
||||||||
| 0.01%, 01/12/2045(3)(4) |
10,881,413 | 4,766 | ||||||
| Bellemeade Re 2018-1 Ltd. |
||||||||
| 3.39% (1 Month LIBOR USD + 1.60%), 04/25/2028(2)(3) |
3,396,020 | 3,400,659 | ||||||
| Bellemeade Re 2018-2 Ltd. |
||||||||
| 2.74% (1 Month LIBOR USD + 0.95%), 08/25/2028(2)(3) |
301,419 | 301,443 | ||||||
| 3.14% (1 Month LIBOR USD + 1.35%), 08/25/2028(2)(3) |
1,640,000 | 1,644,132 | ||||||
| 3.39% (1 Month LIBOR USD + 1.60%), 08/25/2028(2)(3) |
1,350,000 | 1,354,686 | ||||||
| Bellemeade Re 2018-3 Ltd. |
||||||||
| 2.99% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 10/25/2028(2)(3) |
583,777 | 583,903 | ||||||
| 3.64% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028(2)(3) |
3,360,000 | 3,366,369 | ||||||
| Bellemeade Re 2019-2 Ltd. |
||||||||
| 2.79% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 04/25/2029(2)(3) |
2,276,631 | 2,276,527 | ||||||
| Bellemeade Re 2019-3 Ltd. |
||||||||
| 2.89% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 07/25/2029(2)(3) |
4,324,000 | 4,327,706 | ||||||
| 3.39% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 07/25/2029(2)(3) |
3,600,000 | 3,603,831 | ||||||
| Benchmark 2018-B1 Mortgage Trust |
||||||||
| 2.67%, 12/15/2072 |
30,000,000 | 29,762,715 | ||||||
| 2.93%, 12/15/2072 |
3,124,000 | 3,188,801 | ||||||
| Benchmark 2019-B13 Mortgage Trust |
||||||||
| 2.95%, 08/15/2057 |
2,680,000 | 2,741,349 | ||||||
| CD 2006-CD3 Mortgage Trust |
||||||||
| 0.61%, 10/15/2048(3)(4) |
2,334,488 | 15,688 | ||||||
| CD 2007-CD4 Commercial Mortgage Trust |
||||||||
| 1.30%, 12/11/2049(3)(4) |
16,620 | 682 | ||||||
| CD 2019-CD8 Mortgage Trust |
||||||||
| 2.66%, 08/15/2057 |
20,000,000 | 19,992,958 | ||||||
| Chase Mortgage Finance Trust Series 2006-A1 |
||||||||
| 4.30%, 09/25/2036(4) |
121,775 | 115,779 | ||||||
| Chase Mortgage Finance Trust Series 2007-A1 |
||||||||
| 4.53%, 02/25/2037(4) |
10,956 | 11,218 | ||||||
| 4.57%, 02/25/2037(4) |
36,705 | 37,386 | ||||||
| 4.67%, 02/25/2037(4) |
34,119 | 34,432 |
| 4.69%, 02/25/2037(4) |
65,044 | 67,368 | ||||||
| Chase Mortgage Finance Trust Series 2007-A2 |
||||||||
| 4.15%, 07/25/2037(4) |
51,766 | 52,160 | ||||||
| 4.79%, 07/25/2037(4) |
37,129 | 37,940 | ||||||
| CHL Mortgage Pass-Through Trust 2002-18 |
||||||||
| 0.00%, 11/25/2032 |
10,597 | 9,908 | ||||||
| CHL Mortgage Pass-Through Trust 2004-3 |
||||||||
| 5.50%, 04/25/2034 |
28,152 | 28,852 | ||||||
| 5.75%, 04/25/2034 |
19,180 | 19,712 | ||||||
| CHL Mortgage Pass-Through Trust 2004-5 |
||||||||
| 5.50%, 06/25/2034 |
129,916 | 132,995 | ||||||
| CHL Mortgage Pass-Through Trust 2004-7 |
||||||||
| 4.59%, 06/25/2034(4) |
7,028 | 7,302 | ||||||
| CHL Mortgage Pass-Through Trust 2004-8 |
||||||||
| 4.50%, 06/25/2020 |
1,517 | 1,520 | ||||||
| CHL Mortgage Pass-Through Trust 2004-HYB1 |
||||||||
| 3.75%, 05/20/2034(4) |
9,678 | 9,708 | ||||||
| CHL Mortgage Pass-Through Trust 2004-HYB3 |
||||||||
| 3.85%, 06/20/2034(4) |
59,650 | 61,071 | ||||||
| CHL Mortgage Pass-Through Trust 2004-HYB6 |
||||||||
| 3.94%, 11/20/2034(4) |
36,498 | 37,381 | ||||||
| CHL Mortgage Pass-Through Trust 2005-14 |
||||||||
| 5.50%, 07/25/2035 |
21,371 | 18,588 | ||||||
| CHL Mortgage Pass-Through Trust 2005-16 |
||||||||
| 5.50%, 09/25/2035 |
10,695 | 9,785 | ||||||
| CHL Mortgage Pass-Through Trust 2005-22 |
||||||||
| 3.61%, 11/25/2035(4) |
150,477 | 136,245 | ||||||
| CIM Trust 2017-6 |
||||||||
| 3.02%, 06/25/2057(3)(4) |
4,404,805 | 4,404,827 | ||||||
| CIM Trust 2017-8 |
||||||||
| 3.00%, 12/25/2065(3)(4) |
8,280,969 | 8,275,840 | ||||||
| Citicorp Mortgage Securities Trust Series 2006-1 |
||||||||
| 5.00%, 02/25/2021 |
1,974 | 1,982 | ||||||
| Citicorp Mortgage Securities Trust Series 2006-4 |
||||||||
| 6.00%, 08/25/2036 |
53,502 | 54,018 | ||||||
| Citigroup Commercial Mortgage Trust 2014-GC19 |
||||||||
| 3.75%, 03/10/2047 |
3,953,470 | 4,158,127 | ||||||
| Citigroup Commercial Mortgage Trust 2014-GC21 |
||||||||
| 3.58%, 05/10/2047 |
3,329,849 | 3,474,019 | ||||||
| Citigroup Commercial Mortgage Trust 2014-GC23 |
||||||||
| 3.36%, 07/10/2047 |
10,326,453 | 10,775,875 | ||||||
| Citigroup Commercial Mortgage Trust 2015-GC29 |
||||||||
| 2.94%, 04/10/2048 |
10,000,000 | 10,247,825 | ||||||
| Citigroup Commercial Mortgage Trust 2015-GC33 |
||||||||
| 3.78%, 09/10/2058 |
717,000 | 765,915 | ||||||
| Citigroup Commercial Mortgage Trust 2016-C1 |
||||||||
| 2.94%, 05/10/2049 |
10,100,000 | 10,370,950 | ||||||
| Citigroup Commercial Mortgage Trust 2016-C3 |
||||||||
| 3.15%, 11/15/2049 |
2,764,000 | 2,872,199 | ||||||
| Citigroup Commercial Mortgage Trust 2016-GC37 |
||||||||
| 3.05%, 04/10/2049 |
13,750,000 | 14,189,484 | ||||||
| Citigroup Commercial Mortgage Trust 2016-P6 |
||||||||
| 3.72%, 12/10/2049(4) |
2,783,000 | 2,992,543 | ||||||
| Citigroup Commercial Mortgage Trust 2017-P7 |
||||||||
| 3.44%, 04/14/2050 |
16,000,000 | 16,912,542 | ||||||
| Citigroup Commercial Mortgage Trust 2017-P8 |
||||||||
| 3.20%, 09/15/2050 |
21,000,000 | 21,916,520 | ||||||
| Citigroup Commercial Mortgage Trust 2018-B2 |
||||||||
| 3.74%, 03/10/2051 |
22,000,000 | 23,754,067 | ||||||
| Citigroup Commercial Mortgage Trust 2019-C7 |
| 2.86%, 12/15/2072 |
10,000,000 | 10,045,449 | ||||||
| 3.10%, 12/15/2072 |
5,196,000 | 5,368,189 | ||||||
| Citigroup Commercial Mortgage Trust 2019-GC43 |
||||||||
| 3.04%, 11/10/2052 |
2,583,000 | 2,659,857 | ||||||
| Citigroup Global Markets Mortgage Securities VII, Inc. |
||||||||
| 0.00%, 06/25/2033 |
146 | 127 | ||||||
| 7.00%, 06/25/2033(1) |
15,340 | 15,664 | ||||||
| 4.24%, 09/25/2033(4) |
55,837 | 57,076 | ||||||
| Citigroup Mortgage Loan Trust 2009-10 |
||||||||
| 4.32%, 09/25/2033(3)(4) |
193,598 | 197,641 | ||||||
| Citigroup Mortgage Loan Trust 2015-A |
||||||||
| 4.50%, 06/25/2058(3)(4) |
442,501 | 465,719 | ||||||
| Citigroup Mortgage Loan Trust 2018-A |
||||||||
| 4.00%, 01/25/2068(3)(4) |
2,320,871 | 2,327,851 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 0.00%, 09/25/2033 |
4,382 | 4,124 | ||||||
| 7.00%, 09/25/2033 |
3,213 | 3,268 | ||||||
| 0.00%, 10/25/2033 |
3,545 | 3,154 | ||||||
| 5.25%, 10/25/2033 |
21,399 | 21,848 | ||||||
| 4.58%, 08/25/2034(4) |
14,304 | 14,116 | ||||||
| 2.81%, 02/25/2035(4) |
22,186 | 19,143 | ||||||
| 5.50%, 05/25/2035 |
104,952 | 107,547 | ||||||
| 3.98%, 08/25/2035(4) |
66,275 | 53,628 | ||||||
| 5.50%, 11/25/2035 |
2,440 | 2,439 | ||||||
| 6.00%, 11/25/2035 |
2,402,012 | 2,469,784 | ||||||
| COBALT CMBS Commercial Mortgage Trust 2006-C1 |
||||||||
| 0.87%, 08/15/2048(4) |
461,098 | 1,789 | ||||||
| COMM 2012-CCRE1 Mortgage Trust |
||||||||
| 3.39%, 05/15/2045 |
3,783,014 | 3,868,527 | ||||||
| COMM 2012-CCRE2 Mortgage Trust |
||||||||
| 1.64%, 08/15/2045(4) |
2,694,803 | 90,246 | ||||||
| 3.15%, 08/15/2045 |
9,614,464 | 9,817,086 | ||||||
| COMM 2013-300P Mortgage Trust |
||||||||
| 4.35%, 08/10/2030(3) |
516,000 | 545,894 | ||||||
| COMM 2013-CCRE10 Mortgage Trust |
||||||||
| 3.92%, 08/10/2046 |
4,113,981 | 4,333,552 | ||||||
| COMM 2013-CCRE11 Mortgage Trust |
||||||||
| 4.26%, 08/10/2050 |
8,100,000 | 8,605,434 | ||||||
| COMM 2013-CCRE12 Mortgage Trust |
||||||||
| 3.77%, 10/10/2046 |
9,777,000 | 10,198,643 | ||||||
| COMM 2013-CCRE7 Mortgage Trust |
||||||||
| 3.21%, 03/10/2046 |
1,488,845 | 1,527,189 | ||||||
| COMM 2013-CCRE9 Mortgage Trust |
||||||||
| 4.02%, 07/10/2045 |
3,059,736 | 3,180,861 | ||||||
| COMM 2013-SFS Mortgage Trust |
||||||||
| 2.99%, 04/12/2035(3)(4) |
708,000 | 721,492 | ||||||
| COMM 2014-CCRE15 Mortgage Trust |
||||||||
| 2.93%, 02/10/2047 |
1,799,555 | 1,799,710 | ||||||
| COMM 2014-CCRE16 Mortgage Trust |
||||||||
| 4.05%, 04/10/2047 |
2,535,000 | 2,688,879 | ||||||
| COMM 2014-CCRE19 Mortgage Trust |
||||||||
| 3.80%, 08/10/2047 |
17,769,300 | 18,826,333 | ||||||
| COMM 2014-CCRE20 Mortgage Trust |
||||||||
| 3.33%, 11/10/2047 |
12,000,000 | 12,505,817 | ||||||
| COMM 2014-UBS4 Mortgage Trust |
||||||||
| 2.96%, 08/10/2047 |
417,521 | 418,889 | ||||||
| COMM 2015-CCRE24 Mortgage Trust |
||||||||
| 3.43%, 08/10/2048 |
7,500,000 | 7,846,442 | ||||||
| 3.70%, 08/10/2048 |
770,833 | 819,478 | ||||||
| COMM 2015-CCRE25 Mortgage Trust |
| 3.51%, 08/10/2048 |
11,371,448 | 11,910,256 | ||||||
| 3.76%, 08/10/2048 |
2,437,000 | 2,597,738 | ||||||
| COMM 2015-LC23 Mortgage Trust |
||||||||
| 3.77%, 10/10/2048 |
4,039,090 | 4,316,136 | ||||||
| COMM 2016-CR28 Mortgage Trust |
||||||||
| 3.76%, 02/10/2049 |
4,205,375 | 4,485,598 | ||||||
| COMM 2018-HOME Mortgage Trust |
||||||||
| 3.82%, 04/10/2033(3)(4) |
10,975,000 | 11,782,385 | ||||||
| Commercial Mortgage Trust 2006-GG7 |
||||||||
| 5.62%, 07/10/2038(4) |
47,980 | 48,247 | ||||||
| Credit Suisse Commercial Mortgage Trust Series 2007-C2 |
||||||||
| 0.02%, 01/15/2049(3)(4) |
1,924,520 | 19 | ||||||
| Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
| 6.73%, 02/25/2033(4) |
69,977 | 72,404 | ||||||
| 4.33%, 06/25/2033(4) |
23,691 | 23,885 | ||||||
| 5.25%, 07/25/2033 |
1,297,352 | 1,322,364 | ||||||
| 5.25%, 09/25/2033 |
50,353 | 51,407 | ||||||
| 0.00%, 10/25/2033 |
42,518 | 36,421 | ||||||
| 4.34%, 03/25/2034(4) |
1,025,545 | 1,051,173 | ||||||
| 5.25%, 09/25/2034 |
9,388 | 8,623 | ||||||
| CSAIL 2015-C4 Commercial Mortgage Trust |
||||||||
| 3.54%, 11/15/2048 |
7,500,000 | 7,886,021 | ||||||
| CSAIL 2016-C7 Commercial Mortgage Trust |
||||||||
| 3.50%, 11/15/2049 |
1,882,000 | 1,971,711 | ||||||
| CSAIL 2017-C8 Commercial Mortgage Trust |
||||||||
| 3.13%, 06/15/2050 |
15,525,000 | 15,928,127 | ||||||
| CSAIL 2019-C16 Commercial Mortgage Trust |
||||||||
| 3.33%, 06/15/2052 |
2,653,000 | 2,780,547 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 |
||||||||
| 5.25%, 11/25/2033 |
66,348 | 68,062 | ||||||
| 5.25%, 11/25/2033 |
36,501 | 37,267 | ||||||
| 5.75%, 11/25/2033 |
250,089 | 256,984 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 |
||||||||
| 5.50%, 09/25/2034 |
42,210 | 43,545 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8 |
||||||||
| 5.50%, 12/25/2034 |
89,622 | 92,225 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 |
||||||||
| 0.00%, 11/25/2035 |
8,105 | 5,882 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 |
||||||||
| 0.00%, 10/25/2035 |
16,873 | 13,603 | ||||||
| 5.50%, 10/25/2035 |
184,226 | 2,247 | ||||||
| CSMA SFR Holdings II A-1 |
||||||||
| 3.50%, 7/25/2023(14) |
6,461,780 | 6,455,318 | ||||||
| CSMC 2014-USA OA LLC |
||||||||
| 4.37%, 09/15/2037(3) |
3,000,000 | 2,946,138 | ||||||
| CSMC 2018-RPL7 Trust |
||||||||
| 4.00%, 08/26/2058(3) |
3,510,165 | 3,538,459 | ||||||
| CSMC 2018-RPL9 Trust |
||||||||
| 3.85%, 09/25/2057(3)(4) |
12,912,204 | 13,446,841 | ||||||
| CSMC Series 2010-17R |
||||||||
| 4.25%, 06/26/2036(3)(4) |
12,062 | 12,086 | ||||||
| CSMC Series 2019-11R |
||||||||
| 0.00% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 09/25/2045(2)(3)(8) |
7,140,000 | 7,138,358 | ||||||
| CSMCM 2018-RPL4 Trust |
||||||||
| 3.75%, 05/25/2058(3) |
3,661,178 | 3,730,193 | ||||||
| CSMCM 2018-RPL9 Trust |
||||||||
| 3.91%, 09/25/2057(3)(14) |
3,294,436 | 3,198,897 | ||||||
| DBJPM 16-C1 Mortgage Trust |
||||||||
| 3.02%, 05/10/2049 |
15,000,000 | 15,419,767 | ||||||
| DBUBS 2011-LC2 Mortgage Trust |
| 1.03%, 07/10/2044(3)(4) |
2,257,005 | 22,041 | ||||||
| Deephaven Residential Mortgage Trust 2017-1 |
||||||||
| 3.49%, 12/26/2046(3)(4) |
291,646 | 291,346 | ||||||
| Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-1 |
||||||||
| 5.20%, 02/25/2020(4) |
12,982 | 12,931 | ||||||
| Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-3 |
||||||||
| 4.32%, 06/25/2020(4) |
16,977 | 16,890 | ||||||
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 |
||||||||
| 6.15%, 04/25/2034(1) |
141 | 143 | ||||||
| Eagle RE 2018-1 Ltd. |
||||||||
| 3.49% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/25/2028(2)(3) |
2,995,891 | 3,000,054 | ||||||
| Eagle RE 2019-1 Ltd. |
||||||||
| 3.04% (1 Month LIBOR USD + 1.25%), 04/25/2029(2)(3) |
599,324 | 599,108 | ||||||
| 3.59% (1 Month LIBOR USD + 1.80%), 04/25/2029(2)(3) |
1,440,000 | 1,442,021 | ||||||
| Fannie Mae Grantor Trust 1999-T2 |
||||||||
| 7.50%, 01/19/2039(4) |
67,781 | 73,483 | ||||||
| Fannie Mae Grantor Trust 2001-T3 |
||||||||
| 7.50%, 11/25/2040 |
106,816 | 117,595 | ||||||
| Fannie Mae Grantor Trust 2002-T16 |
||||||||
| 7.00%, 07/25/2042 |
119,502 | 139,771 | ||||||
| Fannie Mae Grantor Trust 2004-T1 |
||||||||
| 6.50%, 01/25/2044 |
23,813 | 27,153 | ||||||
| Fannie Mae Grantor Trust 2004-T2 |
||||||||
| 4.57%, 07/25/2043(4) |
105,767 | 111,237 | ||||||
| 7.50%, 11/25/2043 |
205,416 | 237,609 | ||||||
| Fannie Mae Grantor Trust 2004-T3 |
||||||||
| 10.26%, 01/25/2044(4) |
23,804 | 28,146 | ||||||
| 6.50%, 02/25/2044 |
294,943 | 337,242 | ||||||
| 7.00%, 02/25/2044 |
121,981 | 141,709 | ||||||
| Fannie Mae Grantor Trust 2017-T1 |
||||||||
| 2.90%, 06/25/2027 |
6,534,251 | 6,698,591 | ||||||
| Fannie Mae Interest Strip |
||||||||
| 4.50%, 11/25/2020 |
57 | 1 | ||||||
| 7.50%, 04/25/2023 |
512 | 49 | ||||||
| 9.00%, 03/25/2024 |
411 | 454 | ||||||
| 0.00%, 09/25/2024 |
43,827 | 42,060 | ||||||
| 0.00%, 01/25/2033 |
8,465 | 7,629 | ||||||
| 5.00%, 12/25/2033(4) |
11,530 | 1,748 | ||||||
| 5.50%, 05/25/2036 |
44,187 | 9,717 | ||||||
| 5.50%, 08/25/2036 |
30,312 | 5,755 | ||||||
| 5.50%, 04/25/2037 |
13,398 | 2,251 | ||||||
| 6.00%, 01/25/2038 |
29,453 | 5,869 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042(2) |
658,971 | 656,975 | ||||||
| 2.34% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042(2) |
1,622,996 | 1,623,840 | ||||||
| Fannie Mae |
||||||||
| 2.50%, 01/01/2034(10) |
2,315,000 | 2,334,559 | ||||||
| 3.00%, 01/01/2034(10) |
8,720,000 | 8,933,981 | ||||||
| 3.50%, 01/01/2049(10) |
20,200,000 | 20,768,641 | ||||||
| 4.00%, 01/01/2049(10) |
4,380,000 | 4,554,547 | ||||||
| 4.50%, 01/01/2050(10) |
33,745,000 | 35,522,724 | ||||||
| 3.69%, 09/01/2028 |
4,742,218 | 5,144,593 | ||||||
| 3.00%, 01/01/2049(10) |
31,675,000 | 32,104,261 | ||||||
| 5.00%, 01/01/2049(10) |
8,340,000 | 8,916,889 | ||||||
| Fannie Mae Pool |
||||||||
| 4.40%, 02/01/2020 |
556,228 | 556,230 | ||||||
| 4.38%, 04/01/2020 |
881,206 | 884,434 | ||||||
| 2.01%, 06/01/2020 |
9,288,000 | 9,269,395 | ||||||
| 5.50%, 06/01/2020 |
277 | 277 | ||||||
| 5.50%, 06/01/2020 |
1 | 1 | ||||||
| 4.07%, 07/01/2020 |
2,897,181 | 2,910,639 |
| 5.50%, 07/01/2020 |
1 | 1 | ||||||
| 6.50%, 08/01/2020 |
147 | 148 | ||||||
| 3.59%, 10/01/2020 |
915,189 | 918,134 | ||||||
| 2.00%, 12/01/2020 |
1,548,000 | 1,547,797 | ||||||
| 3.54%, 12/01/2020 |
167,009 | 169,019 | ||||||
| 3.62%, 12/01/2020 |
548,575 | 548,135 | ||||||
| 3.70%, 12/01/2020 |
343,628 | 346,194 | ||||||
| 3.56%, 01/01/2021 |
821,204 | 831,487 | ||||||
| 3.87%, 01/01/2021 |
1,104,882 | 1,116,047 | ||||||
| 4.28%, 01/01/2021 |
431,616 | 441,457 | ||||||
| 4.33%, 02/01/2021 |
463,278 | 470,169 | ||||||
| 6.00%, 03/01/2021 |
3,419 | 3,461 | ||||||
| 8.00%, 03/01/2021 |
16 | 16 | ||||||
| 4.25%, 04/01/2021 |
1,032,000 | 1,051,965 | ||||||
| 4.25%, 04/01/2021 |
784,000 | 798,533 | ||||||
| 4.33%, 04/01/2021 |
671,371 | 684,106 | ||||||
| 6.00%, 04/01/2021 |
1,343 | 1,349 | ||||||
| 6.00%, 04/01/2021 |
1,236 | 1,247 | ||||||
| 3.97%, 06/01/2021 |
589,666 | 601,189 | ||||||
| 4.02%, 06/01/2021 |
691,000 | 705,041 | ||||||
| 4.10%, 06/01/2021 |
630,443 | 643,563 | ||||||
| 4.19%, 06/01/2021 |
509,995 | 521,104 | ||||||
| 4.26%, 06/01/2021 |
455,287 | 468,726 | ||||||
| 4.30%, 06/01/2021 |
1,171,460 | 1,205,027 | ||||||
| 4.34%, 06/01/2021 |
1,858,000 | 1,901,745 | ||||||
| 3.86%, 07/01/2021 |
883,783 | 901,675 | ||||||
| 3.94%, 07/01/2021 |
1,032,000 | 1,056,766 | ||||||
| 3.99%, 07/01/2021 |
154,010 | 157,323 | ||||||
| 4.06%, 07/01/2021 |
945,034 | 966,226 | ||||||
| 4.26%, 07/01/2021 |
2,139,441 | 2,192,073 | ||||||
| 4.31%, 07/01/2021 |
558,006 | 575,030 | ||||||
| 6.00%, 07/01/2021 |
210 | 211 | ||||||
| 4.05%, 08/01/2021 |
156,999 | 160,729 | ||||||
| 4.50%, 08/01/2021 |
2,838,000 | 2,921,506 | ||||||
| 6.00%, 08/01/2021 |
8,114 | 8,224 | ||||||
| 3.85%, 09/01/2021 |
797,971 | 816,562 | ||||||
| 3.92%, 09/01/2021 |
609,738 | 624,403 | ||||||
| 3.95%, 09/01/2021 |
611,858 | 631,540 | ||||||
| 3.40%, 10/01/2021 |
321,678 | 327,797 | ||||||
| 3.43%, 11/01/2021 |
922,485 | 941,788 | ||||||
| 5.00%, 11/01/2021 |
766 | 791 | ||||||
| 3.03%, 12/01/2021 |
871,757 | 884,853 | ||||||
| 3.31%, 12/01/2021 |
356,251 | 363,514 | ||||||
| 6.00%, 12/01/2021 |
3,518 | 3,564 | ||||||
| 2.97%, 01/01/2022 |
700,067 | 711,547 | ||||||
| 3.03%, 01/01/2022 |
774,411 | 787,644 | ||||||
| 3.09%, 01/01/2022 |
1,224,495 | 1,246,851 | ||||||
| 3.20%, 01/01/2022 |
786,395 | 802,257 | ||||||
| 3.06%, 02/01/2022 |
863,000 | 879,802 | ||||||
| 3.14%, 02/01/2022 |
439,479 | 448,363 | ||||||
| 2.59% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 100.00% Cap), 03/01/2022(2) |
872,326 | 874,435 | ||||||
| 2.75%, 03/01/2022 |
159,517 | 162,248 | ||||||
| 3.08%, 03/01/2022 |
384,243 | 392,026 | ||||||
| 3.14%, 03/01/2022 |
273,985 | 279,823 | ||||||
| 3.21%, 03/01/2022 |
310,000 | 317,177 | ||||||
| 3.08%, 04/01/2022 |
947,321 | 967,867 | ||||||
| 6.50%, 04/01/2022 |
5,204 | 5,274 | ||||||
| 2.94%, 05/01/2022 |
973,999 | 993,304 | ||||||
| 3.02%, 05/01/2022 |
619,280 | 632,502 | ||||||
| 6.50%, 05/01/2022 |
1,626 | 1,805 |
| 2.60%, 06/01/2022 |
777,074 | 790,411 | ||||||
| 2.76%, 06/01/2022 |
1,590,479 | 1,616,851 | ||||||
| 2.67%, 07/01/2022 |
624,000 | 634,769 | ||||||
| 2.71%, 07/01/2022 |
956,844 | 973,850 | ||||||
| 2.82%, 07/01/2022 |
1,001,990 | 1,022,124 | ||||||
| 2.65%, 08/01/2022 |
1,032,000 | 1,049,966 | ||||||
| 4.03%, 09/01/2022 |
1,153,446 | 1,212,043 | ||||||
| 2.39%, 10/01/2022 |
599,827 | 606,444 | ||||||
| 2.64%, 10/01/2022 |
630,525 | 641,644 | ||||||
| 2.37%, 11/01/2022 |
443,665 | 446,708 | ||||||
| 2.38%, 11/01/2022 |
807,976 | 813,750 | ||||||
| 2.41%, 11/01/2022 |
145,764 | 146,922 | ||||||
| 2.44%, 11/01/2022 |
765,777 | 772,467 | ||||||
| 2.45%, 11/01/2022 |
1,398,705 | 1,414,252 | ||||||
| 2.55%, 11/01/2022 |
1,171,284 | 1,184,998 | ||||||
| 2.55%, 11/01/2022 |
374,148 | 378,529 | ||||||
| 7.50%, 11/01/2022 |
508 | 512 | ||||||
| 2.28%, 12/01/2022 |
959,938 | 964,409 | ||||||
| 2.32%, 12/01/2022 |
352,120 | 354,122 | ||||||
| 2.34%, 12/01/2022 |
2,215,149 | 2,225,997 | ||||||
| 2.38%, 12/01/2022 |
465,443 | 468,903 | ||||||
| 2.39%, 12/01/2022 |
986,897 | 994,441 | ||||||
| 2.42%, 12/01/2022 |
1,096,085 | 1,105,438 | ||||||
| 6.50%, 12/01/2022 |
5,820 | 6,461 | ||||||
| 2.05% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 97.76% Cap), 01/01/2023(2) |
1,455,141 | 1,452,429 | ||||||
| 2.34%, 01/01/2023 |
1,279,447 | 1,287,854 | ||||||
| 2.37%, 01/01/2023 |
1,021,911 | 1,028,432 | ||||||
| 2.45%, 01/01/2023 |
686,957 | 693,587 | ||||||
| 2.45%, 02/01/2023 |
1,290,000 | 1,303,395 | ||||||
| 6.00%, 02/01/2023 |
74,446 | 76,733 | ||||||
| 2.49%, 03/01/2023 |
752,983 | 761,521 | ||||||
| 2.50%, 04/01/2023 |
1,445,000 | 1,462,893 | ||||||
| 2.64%, 04/01/2023 |
333,973 | 339,379 | ||||||
| 2.71%, 04/01/2023 |
567,912 | 577,654 | ||||||
| 2.52%, 05/01/2023 |
3,302,000 | 3,345,934 | ||||||
| 5.00%, 05/01/2023 |
5,853 | 6,054 | ||||||
| 2.42%, 06/01/2023 |
839,787 | 848,060 | ||||||
| 2.77%, 06/01/2023 |
906,192 | 925,729 | ||||||
| 2.79%, 06/01/2023 |
1,455,450 | 1,485,052 | ||||||
| 2.64%, 07/01/2023 |
413,000 | 420,022 | ||||||
| 3.67%, 07/01/2023 |
4,850,000 | 5,102,960 | ||||||
| 3.74%, 07/01/2023 |
541,144 | 570,409 | ||||||
| 3.59%, 08/01/2023 |
1,135,000 | 1,192,429 | ||||||
| 3.38%, 12/01/2023 |
2,419,643 | 2,529,969 | ||||||
| 3.50%, 12/01/2023 |
2,201,919 | 2,313,845 | ||||||
| 3.45%, 01/01/2024 |
1,718,623 | 1,802,968 | ||||||
| 6.00%, 01/01/2024 |
67,985 | 70,552 | ||||||
| 6.00%, 01/01/2024 |
23,555 | 24,477 | ||||||
| 7.00%, 01/01/2024 |
226 | 241 | ||||||
| 6.50%, 02/01/2024 |
34,651 | 36,404 | ||||||
| 3.76%, 03/01/2024 |
1,265,000 | 1,347,325 | ||||||
| 8.00%, 05/01/2024 |
184 | 196 | ||||||
| 6.00%, 07/01/2024 |
16,990 | 17,712 | ||||||
| 6.50%, 07/01/2024 |
13,709 | 15,220 | ||||||
| 8.50%, 07/01/2024 |
763 | 826 | ||||||
| 5.00%, 08/01/2024 |
25,614 | 26,592 | ||||||
| 2.18% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(2) |
3,479,437 | 3,470,472 | ||||||
| 7.50%, 10/01/2024 |
305 | 324 | ||||||
| 2.90%, 12/01/2024 |
2,000,000 | 2,068,026 | ||||||
| 2.92%, 12/01/2024 |
1,000,000 | 1,034,515 |
| 3.08%, 12/01/2024 |
1,862,617 | 1,938,019 | ||||||
| 3.11%, 12/01/2024 |
2,500,000 | 2,608,405 | ||||||
| 2.93%, 01/01/2025 |
1,874,789 | 1,939,485 | ||||||
| 3.64%, 01/01/2025 |
539,631 | 574,695 | ||||||
| 3.07%, 02/01/2025 |
4,995,000 | 5,198,406 | ||||||
| 2.70%, 04/01/2025 |
4,845,434 | 4,965,788 | ||||||
| 2.81%, 04/01/2025 |
2,900,000 | 2,980,231 | ||||||
| 6.50%, 04/01/2025 |
1,769 | 1,964 | ||||||
| 2.68%, 05/01/2025 |
1,837,922 | 1,881,560 | ||||||
| 8.50%, 05/01/2025 |
56 | 56 | ||||||
| 5.50%, 07/01/2025 |
37,320 | 40,112 | ||||||
| 3.10%, 09/01/2025 |
4,907,902 | 5,127,901 | ||||||
| 3.77%, 12/01/2025 |
3,445,749 | 3,715,838 | ||||||
| 7.00%, 04/01/2026 |
4,302 | 4,425 | ||||||
| 6.00%, 07/01/2026 |
25,390 | 27,949 | ||||||
| 3.29%, 08/01/2026 |
1,491,631 | 1,576,542 | ||||||
| 3.29%, 08/01/2026 |
3,000,000 | 3,172,451 | ||||||
| 4.55%, 08/01/2026 |
882,994 | 979,214 | ||||||
| 4.76%, 08/01/2026 |
986,319 | 1,105,395 | ||||||
| 4.77%, 08/01/2026 |
627,476 | 703,371 | ||||||
| 6.50%, 08/01/2026 |
46,670 | 51,813 | ||||||
| 3.25%, 09/01/2026 |
1,468,122 | 1,548,020 | ||||||
| 3.68%, 09/01/2026 |
3,437,973 | 3,703,757 | ||||||
| 2.29%, 10/01/2026 |
10,112,853 | 10,087,790 | ||||||
| 3.24%, 10/01/2026 |
1,816,933 | 1,913,123 | ||||||
| 3.12%, 11/01/2026 |
965,641 | 1,010,956 | ||||||
| 3.14%, 12/01/2026 |
1,814,757 | 1,900,904 | ||||||
| 3.24%, 12/01/2026 |
1,500,000 | 1,577,931 | ||||||
| 3.26%, 12/01/2026 |
949,128 | 1,001,859 | ||||||
| 4.66%, 12/01/2026 |
1,073,936 | 1,185,444 | ||||||
| 3.25%, 02/01/2027 |
5,699,399 | 5,998,944 | ||||||
| 3.34%, 02/01/2027 |
1,500,000 | 1,590,216 | ||||||
| 2.91%, 03/01/2027 |
9,873,214 | 10,223,991 | ||||||
| 3.13%, 03/01/2027 |
6,835,000 | 7,147,535 | ||||||
| 3.50%, 03/01/2027 |
1,454,790 | 1,510,208 | ||||||
| 3.66%, 03/01/2027 |
2,305,919 | 2,469,879 | ||||||
| 8.00%, 03/01/2027 |
5,688 | 6,198 | ||||||
| 3.00%, 04/01/2027 |
469,342 | 481,498 | ||||||
| 3.03%, 04/01/2027 |
1,500,000 | 1,565,975 | ||||||
| 2.79%, 05/01/2027 |
2,000,000 | 2,056,686 | ||||||
| 2.81%, 05/01/2027 |
1,943,663 | 2,000,375 | ||||||
| 2.83%, 05/01/2027 |
8,000,000 | 8,250,288 | ||||||
| 3.00%, 05/01/2027 |
2,679,894 | 2,749,334 | ||||||
| 3.00%, 06/01/2027 |
2,000,000 | 2,085,727 | ||||||
| 8.00%, 06/01/2027 |
4,737 | 5,180 | ||||||
| 3.50%, 07/01/2027 |
2,065,375 | 2,147,486 | ||||||
| 6.00%, 07/01/2027 |
35,424 | 39,005 | ||||||
| 2.50%, 09/01/2027 |
399,564 | 404,618 | ||||||
| 2.82% (11th District Cost of Funds Index + 1.25%, 1.89% Floor, 12.68% Cap), 09/01/2027(2) |
3,165 | 3,186 | ||||||
| 7.00%, 09/01/2027 |
605 | 672 | ||||||
| 6.00%, 11/01/2027 |
16,085 | 17,712 | ||||||
| 2.50%, 12/01/2027 |
859,984 | 870,891 | ||||||
| 2.91%, 12/01/2027 |
9,400,000 | 9,752,314 | ||||||
| 6.00%, 12/01/2027 |
48,993 | 53,944 | ||||||
| 3.08%, 01/01/2028 |
8,000,000 | 8,378,012 | ||||||
| 3.10%, 01/01/2028 |
6,750,000 | 7,098,204 | ||||||
| 6.00%, 01/01/2028 |
85,966 | 94,664 | ||||||
| 2.50%, 04/01/2028 |
3,713,266 | 3,760,484 | ||||||
| 3.61%, 04/01/2028 |
2,982,007 | 3,217,013 | ||||||
| 5.00%, 05/01/2028 |
17,281 | 18,436 |
| 2.97%, 06/01/2028 |
3,089,931 | 3,201,787 | ||||||
| 3.57%, 06/01/2028 |
8,361,000 | 9,002,401 | ||||||
| 3.59%, 06/01/2028 |
8,000,000 | 8,625,957 | ||||||
| 8.00%, 06/01/2028 |
2,899 | 3,147 | ||||||
| 3.57%, 07/01/2028 |
9,816,597 | 10,591,571 | ||||||
| 2.57%, 08/01/2028 |
5,400,000 | 5,471,157 | ||||||
| 2.64%, 08/01/2028 |
3,398,841 | 3,461,599 | ||||||
| 3.00%, 08/01/2028 |
1,213,762 | 1,249,255 | ||||||
| 3.53%, 08/01/2028 |
4,700,000 | 5,045,611 | ||||||
| 2.58%, 09/01/2028 |
3,830,000 | 3,882,964 | ||||||
| 2.59%, 09/01/2028 |
7,552,000 | 7,661,862 | ||||||
| 3.00%, 09/01/2028 |
1,846,651 | 1,904,008 | ||||||
| 8.00%, 09/01/2028 |
9,412 | 10,531 | ||||||
| 2.55%, 10/01/2028 |
9,300,000 | 9,407,000 | ||||||
| 2.62%, 10/01/2028 |
9,389,830 | 9,549,260 | ||||||
| 6.00%, 10/01/2028 |
62,029 | 68,289 | ||||||
| 8.00%, 11/01/2028 |
20,235 | 23,169 | ||||||
| 2.69%, 12/01/2028 |
4,567,000 | 4,665,206 | ||||||
| 3.00%, 12/01/2028 |
709,429 | 730,127 | ||||||
| 3.81%, 12/01/2028 |
7,000,000 | 7,680,166 | ||||||
| 6.00%, 12/01/2028 |
2,415 | 2,664 | ||||||
| 6.00%, 01/01/2029 |
3,068 | 3,436 | ||||||
| 7.00%, 01/01/2029 |
3,185 | 3,407 | ||||||
| 3.22%, 02/01/2029 |
9,000,000 | 9,513,708 | ||||||
| 3.28%, 02/01/2029 |
8,200,000 | 8,655,264 | ||||||
| 3.21%, 03/01/2029 |
10,000,000 | 10,567,735 | ||||||
| 3.30%, 03/01/2029 |
4,000,000 | 4,247,606 | ||||||
| 3.32%, 03/01/2029 |
2,870,317 | 3,043,585 | ||||||
| 4.07% (11th District Cost of Funds Index + 1.25%, 3.89% Floor, 13.50% Cap), 03/01/2029(2) |
2,226 | 2,259 | ||||||
| 6.50%, 03/01/2029 |
12,753 | 14,163 | ||||||
| 3.26%, 04/01/2029 |
13,520,000 | 14,351,888 | ||||||
| 3.34%, 04/01/2029 |
4,981,641 | 5,174,021 | ||||||
| 3.20%, 06/01/2029 |
3,473,354 | 3,667,463 | ||||||
| 2.99%, 07/01/2029 |
9,677,000 | 10,127,284 | ||||||
| 3.02%, 07/01/2029 |
8,200,000 | 8,602,400 | ||||||
| 2.99%, 08/01/2029 |
7,240,000 | 7,576,619 | ||||||
| 4.50%, 08/01/2029 |
141,572 | 150,826 | ||||||
| 3.09%, 09/01/2029 |
7,484,000 | 7,903,561 | ||||||
| 4.50%, 09/01/2029 |
162,439 | 173,497 | ||||||
| 6.00%, 09/01/2029 |
42,559 | 46,861 | ||||||
| 2.90%, 10/01/2029 |
3,454,187 | 3,587,100 | ||||||
| 3.63%, 10/01/2029 |
1,384,183 | 1,499,492 | ||||||
| 2.49%, 11/01/2029 |
4,645,000 | 4,661,064 | ||||||
| 2.52%, 11/01/2029 |
14,750,000 | 14,859,763 | ||||||
| 6.50%, 11/01/2029 |
426,530 | 473,526 | ||||||
| 3.50%, 12/01/2029 |
3,194,477 | 3,319,729 | ||||||
| 3.23%, 01/01/2030 |
7,590,000 | 8,061,940 | ||||||
| 3.23%, 01/01/2030 |
4,503,416 | 4,755,925 | ||||||
| 4.50%, 01/01/2030 |
251,049 | 267,595 | ||||||
| 3.55%, 02/01/2030 |
1,500,000 | 1,623,888 | ||||||
| 2.50%, 04/01/2030 |
1,930,378 | 1,961,357 | ||||||
| 3.03%, 04/01/2030 |
3,500,000 | 3,633,641 | ||||||
| 3.08%, 04/01/2030 |
1,942,330 | 2,032,008 | ||||||
| 2.50%, 05/01/2030 |
2,423,167 | 2,454,061 | ||||||
| 2.92%, 05/01/2030 |
4,000,000 | 4,142,031 | ||||||
| 2.94%, 05/01/2030 |
2,500,000 | 2,574,814 | ||||||
| 3.00%, 05/01/2030 |
1,876,319 | 1,930,176 | ||||||
| 3.50%, 05/01/2030 |
571,700 | 593,625 | ||||||
| 2.96%, 06/01/2030 |
1,889,647 | 1,957,036 | ||||||
| 3.13%, 06/01/2030 |
1,000,000 | 1,049,420 |
| 3.20%, 06/01/2030 |
992,016 | 1,043,736 | ||||||
| 3.30%, 07/01/2030 |
1,005,000 | 1,068,753 | ||||||
| 3.34%, 07/01/2030 |
1,500,000 | 1,597,711 | ||||||
| 3.56%, 07/01/2030 |
8,484,000 | 9,152,550 | ||||||
| 3.68%, 07/01/2030 |
3,355,000 | 3,638,037 | ||||||
| 3.82%, 07/01/2030 |
8,317,000 | 9,177,591 | ||||||
| 3.85%, 07/01/2030 |
13,900,000 | 15,361,063 | ||||||
| 3.00%, 09/01/2030 |
7,707,535 | 7,942,660 | ||||||
| 3.39%, 09/01/2030 |
1,854,339 | 1,979,240 | ||||||
| 3.26%, 10/01/2030 |
4,863,530 | 5,159,856 | ||||||
| 3.50%, 12/01/2030 |
1,878,489 | 1,952,518 | ||||||
| 3.00%, 02/01/2031 |
3,967,971 | 4,064,619 | ||||||
| 5.00%, 04/01/2031 |
114,561 | 123,094 | ||||||
| 2.00%, 08/01/2031 |
2,635,037 | 2,617,810 | ||||||
| 6.50%, 08/01/2031 |
9,854 | 11,355 | ||||||
| 2.50%, 11/01/2031 |
3,287,751 | 3,329,721 | ||||||
| 4.00%, 11/01/2031 |
4,367,686 | 4,650,805 | ||||||
| 6.50%, 02/01/2032 |
54,343 | 60,331 | ||||||
| 3.00%, 04/01/2032 |
116,615 | 119,807 | ||||||
| 3.32%, 04/01/2032 |
6,045,556 | 6,437,168 | ||||||
| 3.00%, 05/01/2032 |
782,850 | 804,292 | ||||||
| 3.00%, 06/01/2032 |
762,057 | 783,011 | ||||||
| 7.00%, 06/01/2032 |
4,871 | 5,160 | ||||||
| 3.00%, 07/01/2032 |
267,997 | 274,982 | ||||||
| 3.50%, 07/01/2032 |
125,586 | 131,288 | ||||||
| 3.22%, 09/01/2032 |
6,000,000 | 6,191,685 | ||||||
| 3.50%, 11/01/2032 |
901,698 | 942,178 | ||||||
| 5.50%, 11/01/2032 |
52,574 | 58,773 | ||||||
| 3.50%, 12/01/2032 |
280,074 | 290,188 | ||||||
| 3.50%, 12/01/2032 |
12,986,533 | 13,615,536 | ||||||
| 5.00%, 12/01/2032 |
603 | 616 | ||||||
| 6.00%, 12/01/2032 |
23,308 | 26,133 | ||||||
| 6.00%, 12/01/2032 |
131,535 | 150,846 | ||||||
| 3.19%, 01/01/2033 |
4,617,191 | 4,800,108 | ||||||
| 3.50%, 02/01/2033 |
639,803 | 665,295 | ||||||
| 3.50%, 02/01/2033 |
532,782 | 552,023 | ||||||
| 5.50%, 02/01/2033 |
1,652 | 1,829 | ||||||
| 7.00%, 02/01/2033 |
1,372 | 1,441 | ||||||
| 3.00%, 03/01/2033 |
9,016,557 | 9,264,204 | ||||||
| 3.50%, 03/01/2033 |
3,025,659 | 3,152,392 | ||||||
| 5.50%, 03/01/2033 |
71,133 | 79,208 | ||||||
| 6.00%, 03/01/2033 |
4,559 | 5,228 | ||||||
| 6.00%, 03/01/2033 |
7,122 | 7,937 | ||||||
| 6.00%, 03/01/2033 |
3,304 | 3,653 | ||||||
| 6.00%, 03/01/2033 |
3,792 | 4,225 | ||||||
| 6.00%, 03/01/2033 |
1,077 | 1,186 | ||||||
| 3.00%, 04/01/2033 |
6,603,212 | 6,784,324 | ||||||
| 5.50%, 04/01/2033 |
48,004 | 53,545 | ||||||
| 6.00%, 05/01/2033 |
18,406 | 21,099 | ||||||
| 3.50%, 06/01/2033 |
209,964 | 217,568 | ||||||
| 4.00%, 06/01/2033 |
1,380,365 | 1,446,680 | ||||||
| 5.00%, 06/01/2033 |
13,666 | 15,064 | ||||||
| 7.00%, 06/01/2033 |
80,067 | 92,515 | ||||||
| 2.50%, 07/01/2033 |
12,514,383 | 12,673,811 | ||||||
| 3.72%, 07/01/2033 |
11,178,000 | 12,255,573 | ||||||
| 5.00%, 07/01/2033 |
16,487 | 18,175 | ||||||
| 5.00%, 07/01/2033 |
14,269 | 15,729 | ||||||
| 5.50%, 07/01/2033 |
11,558 | 12,953 | ||||||
| 4.31% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 9.24% Cap), 08/01/2033(2) |
27,123 | 28,281 | ||||||
| 6.00%, 08/01/2033 |
4,321 | 4,764 |
| 3.77% (6 Month LIBOR USD + 1.41%, 1.41% Floor, 9.28% Cap), 09/01/2033(2) |
29,735 | 30,525 | ||||||
| 4.06% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 9.13% Cap), 09/01/2033(2) |
10,525 | 11,091 | ||||||
| 5.50%, 09/01/2033 |
182,551 | 199,591 | ||||||
| 6.00%, 09/01/2033 |
8,822 | 9,887 | ||||||
| 6.00%, 09/01/2033 |
13,873 | 15,221 | ||||||
| 3.50%, 10/01/2033 |
9,679,997 | 10,136,536 | ||||||
| 4.50%, 10/01/2033 |
4,164,590 | 4,477,745 | ||||||
| 3.49% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 10.29% Cap), 11/01/2033(2) |
30,731 | 32,013 | ||||||
| 4.50%, 11/01/2033 |
13,432 | 14,336 | ||||||
| 5.00%, 11/01/2033 |
4,643 | 5,118 | ||||||
| 5.00%, 11/01/2033 |
39,301 | 43,325 | ||||||
| 5.00%, 11/01/2033 |
3,063,263 | 3,376,774 | ||||||
| 5.50%, 11/01/2033 |
3,498 | 3,850 | ||||||
| 4.00%, 12/01/2033 |
48,013 | 50,120 | ||||||
| 5.50%, 12/01/2033 |
77,417 | 87,134 | ||||||
| 4.26% (1 Year LIBOR USD + 1.65%, 1.65% Floor, 8.85% Cap), 01/01/2034(2) |
9,866 | 10,304 | ||||||
| 5.50%, 01/01/2034 |
7,306 | 8,217 | ||||||
| 5.50%, 03/01/2034 |
6,674 | 7,271 | ||||||
| 5.00%, 04/01/2034 |
96,042 | 106,736 | ||||||
| 5.00%, 05/01/2034 |
31,835 | 35,157 | ||||||
| 4.80% (1 Year CMT Index + 2.30%, 2.30% Floor, 9.20% Cap), 06/01/2034(2) |
33,309 | 35,248 | ||||||
| 3.50%, 07/01/2034 |
2,750,612 | 2,868,028 | ||||||
| 3.87% (1 Year CMT Index + 2.05%, 2.05% Floor, 9.06% Cap), 07/01/2034(2) |
1,526 | 1,542 | ||||||
| 2.50%, 08/01/2034 |
12,493,047 | 12,598,789 | ||||||
| 3.66% (6 Month LIBOR USD + 1.20%, 1.20% Floor, 10.38% Cap), 08/01/2034(2) |
29,012 | 29,582 | ||||||
| 3.75% (1 Year LIBOR USD + 1.62%, 1.62% Floor, 9.95% Cap), 08/01/2034(2) |
14,583 | 15,181 | ||||||
| 4.11% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 10.00% Cap), 08/01/2034(2) |
7,738 | 8,122 | ||||||
| 3.84% (1 Year LIBOR USD + 1.59%, 1.59% Floor, 11.00% Cap), 09/01/2034(2) |
1,476 | 1,542 | ||||||
| 4.50%, 09/01/2034 |
26,395 | 28,257 | ||||||
| 5.50%, 09/01/2034 |
16,592 | 18,669 | ||||||
| 3.68% (1 Year LIBOR USD + 1.46%, 1.46% Floor, 10.13% Cap), 10/01/2034(2) |
11,005 | 11,374 | ||||||
| 4.57% (1 Year CMT Index + 2.38%, 2.38% Floor, 10.16% Cap), 10/01/2034(2) |
32,321 | 34,328 | ||||||
| 5.50%, 10/01/2034 |
13,637 | 13,966 | ||||||
| 3.57%, 11/01/2034 |
1,318,914 | 1,420,352 | ||||||
| 3.61% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 9.88% Cap), 11/01/2034(2) |
6,057 | 6,293 | ||||||
| 3.61%, 11/01/2034 |
1,370,360 | 1,489,673 | ||||||
| 3.81% (1 Year CMT Index + 2.00%, 2.00% Floor, 9.13% Cap), 11/01/2034(2) |
4,551 | 4,700 | ||||||
| 6.00%, 11/01/2034 |
4,509 | 5,170 | ||||||
| 2.50%, 12/01/2034 |
22,710,111 | 22,958,977 | ||||||
| 5.00%, 12/01/2034 |
25,488 | 28,097 | ||||||
| 3.76% (6 Month LIBOR USD + 1.51%, 1.51% Floor, 10.84% Cap), 01/01/2035(2) |
164,997 | 170,423 | ||||||
| 4.62% (1 Year LIBOR USD + 1.50%, 1.50% Floor, 10.36% Cap), 01/01/2035(2) |
9,917 | 10,291 | ||||||
| 5.00%, 01/01/2035 |
20,144 | 21,719 | ||||||
| 7.50%, 01/01/2035 |
36,805 | 42,698 | ||||||
| 3.96% (6 Month LIBOR USD + 1.55%, 1.55% Floor, 10.93% Cap), 02/01/2035(2) |
5,969 | 6,164 | ||||||
| 5.00%, 02/01/2035 |
2,768,771 | 3,051,731 | ||||||
| 5.00%, 02/01/2035 |
553,004 | 609,407 | ||||||
| 5.50%, 02/01/2035 |
56,422 | 63,470 | ||||||
| 4.05% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 9.70% Cap), 03/01/2035(2) |
15,707 | 16,362 | ||||||
| 7.50%, 03/01/2035 |
41,102 | 48,248 | ||||||
| 3.45%, 04/01/2035 |
1,850,823 | 1,982,041 | ||||||
| 4.71% (1 Year CMT Index + 2.22%, 2.22% Floor, 9.60% Cap), 04/01/2035(2) |
29,184 | 30,301 | ||||||
| 6.00%, 04/01/2035 |
84,165 | 96,483 | ||||||
| 4.15% (1 Year LIBOR USD + 1.27%, 1.27% Floor, 9.95% Cap), 05/01/2035(2) |
14,034 | 14,392 | ||||||
| 4.52% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.89% Cap), 05/01/2035(2) |
5,823 | 6,076 | ||||||
| 3.12%, 06/01/2035 |
3,400,000 | 3,469,048 | ||||||
| 5.00%, 06/01/2035 |
481,290 | 530,441 | ||||||
| 4.25% (1 Year CMT Index + 1.91%, 1.90% Floor, 10.23% Cap), 07/01/2035(2) |
8,901 | 9,241 | ||||||
| 5.00%, 07/01/2035 |
2,287,471 | 2,521,125 | ||||||
| 5.00%, 07/01/2035 |
15,473 | 17,036 |
| 5.00%, 07/01/2035 |
2,599,615 | 2,864,939 | ||||||
| 3.73% (1 Year LIBOR USD + 1.55%, 1.55% Floor, 10.40% Cap), 09/01/2035(2) |
20,636 | 21,653 | ||||||
| 5.00%, 09/01/2035 |
55,223 | 61,568 | ||||||
| 4.95% (1 Year CMT Index + 2.47%, 2.47% Floor, 10.47% Cap), 10/01/2035(2) |
46,115 | 48,701 | ||||||
| 5.00%, 10/01/2035 |
233,243 | 257,104 | ||||||
| 5.00%, 11/01/2035 |
533,567 | 588,401 | ||||||
| 5.50%, 12/01/2035 |
24,512 | 26,720 | ||||||
| 4.28% (12 Month U.S. Treasury Average + 1.98%, 1.98% Floor, 8.59% Cap), 01/01/2036(2) |
94,936 | 98,534 | ||||||
| 4.53% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.67% Cap), 01/01/2036(2) |
28,784 | 30,364 | ||||||
| 5.00%, 01/01/2036 |
44,502 | 49,040 | ||||||
| 6.50%, 01/01/2036 |
258,532 | 289,043 | ||||||
| 4.75% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 10.93% Cap), 02/01/2036(2) |
8,122 | 8,532 | ||||||
| 5.00%, 02/01/2036 |
35,389 | 39,014 | ||||||
| 6.00%, 02/01/2036 |
4,627 | 5,083 | ||||||
| 7.00%, 02/01/2036 |
42,613 | 49,503 | ||||||
| 3.19%, 03/01/2036 |
2,576,018 | 2,715,571 | ||||||
| 4.86% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 11.26% Cap), 03/01/2036(2) |
252,839 | 270,356 | ||||||
| 7.00%, 03/01/2036 |
2,068 | 2,340 | ||||||
| 5.50%, 04/01/2036 |
62,996 | 70,873 | ||||||
| 6.50%, 04/01/2036 |
979 | 986 | ||||||
| 4.70% (1 Year LIBOR USD + 1.83%, 1.83% Floor, 11.15% Cap), 05/01/2036(2) |
15,185 | 15,996 | ||||||
| 5.50%, 05/01/2036 |
53,203 | 59,864 | ||||||
| 5.50%, 05/01/2036 |
84,737 | 95,012 | ||||||
| 4.42% (1 Year LIBOR USD + 1.55%, 1.55% Floor, 11.17% Cap), 06/01/2036(2) |
7,558 | 7,879 | ||||||
| 4.61% (1 Year LIBOR USD + 1.84%, 1.84% Floor, 11.20% Cap), 06/01/2036(2) |
133,331 | 140,915 | ||||||
| 4.75% (1 Year LIBOR USD + 1.92%, 1.92% Floor, 10.50% Cap), 06/01/2036(2) |
25,823 | 27,356 | ||||||
| 4.40% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.03% Cap), 07/01/2036(2) |
42,429 | 44,706 | ||||||
| 6.50%, 07/01/2036 |
4,282 | 4,866 | ||||||
| 4.11% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 10.76% Cap), 08/01/2036(2) |
55,877 | 59,148 | ||||||
| 4.22% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.53% Cap), 08/01/2036(2) |
17,012 | 17,235 | ||||||
| 4.51% (1 Year CMT Index + 2.12%, 2.12% Floor, 10.49% Cap), 08/01/2036(2) |
21,301 | 22,384 | ||||||
| 6.50%, 08/01/2036 |
158,260 | 177,482 | ||||||
| 3.59% (6 Month LIBOR USD + 1.31%, 1.31% Floor, 12.81% Cap), 09/01/2036(2) |
115,511 | 118,717 | ||||||
| 3.85% (6 Month LIBOR USD + 1.60%, 1.60% Floor, 10.27% Cap), 09/01/2036(2) |
28,325 | 29,421 | ||||||
| 3.88% (1 Year LIBOR USD + 1.63%, 1.63% Floor, 11.27% Cap), 09/01/2036(2) |
37,740 | 39,256 | ||||||
| 3.96% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.15% Cap), 09/01/2036(2) |
91,470 | 95,862 | ||||||
| 4.07% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 10.97% Cap), 09/01/2036(2) |
36,667 | 38,336 | ||||||
| 6.00%, 09/01/2036 |
307,703 | 352,679 | ||||||
| 3.97% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.62% Cap), 10/01/2036(2) |
28,878 | 30,143 | ||||||
| 4.27% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.64% Cap), 10/01/2036(2) |
64,110 | 68,102 | ||||||
| 4.33% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 11.40% Cap), 10/01/2036(2) |
65,277 | 69,268 | ||||||
| 6.50%, 10/01/2036 |
34,244 | 38,455 | ||||||
| 3.00%, 11/01/2036 |
6,842,095 | 7,019,792 | ||||||
| 3.75% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 12.47% Cap), 11/01/2036(2) |
6,835 | 7,152 | ||||||
| 4.23% (1 Year LIBOR USD + 2.28%, 2.28% Floor, 10.49% Cap), 11/01/2036(2) |
15,764 | 16,683 | ||||||
| 5.50%, 11/01/2036 |
20,645 | 23,226 | ||||||
| 6.00%, 11/01/2036 |
54,274 | 62,192 | ||||||
| 2.50%, 12/01/2036 |
4,237,911 | 4,259,507 | ||||||
| 3.89% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 10.86% Cap), 12/01/2036(2) |
70,365 | 73,765 | ||||||
| 3.94% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.72% Cap), 12/01/2036(2) |
22,267 | 23,346 | ||||||
| 7.00%, 12/01/2036 |
7,531 | 8,326 | ||||||
| 3.81% (6 Month LIBOR USD + 1.42%, 1.44% Floor, 12.52% Cap), 01/01/2037(2) |
46,574 | 48,054 | ||||||
| 4.80% (1 Year LIBOR USD + 1.93%, 1.96% Floor, 10.95% Cap), 01/01/2037(2) |
32,087 | 34,001 | ||||||
| 6.50%, 01/01/2037 |
91,232 | 105,024 | ||||||
| 3.91% (6 Month LIBOR USD + 1.48%, 1.48% Floor, 12.68% Cap), 02/01/2037(2) |
47,550 | 49,177 | ||||||
| 4.51% (6 Month LIBOR USD + 2.03%, 2.03% Floor, 10.80% Cap), 02/01/2037(2) |
44,464 | 46,887 | ||||||
| 5.50%, 03/01/2037 |
417,193 | 468,660 | ||||||
| 6.00%, 03/01/2037 |
81,610 | 90,796 | ||||||
| 7.00%, 03/01/2037 |
7,121 | 7,691 | ||||||
| 4.64% (1 Year LIBOR USD + 1.62%, 1.62% Floor, 11.00% Cap), 04/01/2037(2) |
54,004 | 56,724 |
| 5.50%, 04/01/2037 |
137,828 | 153,390 | ||||||
| 7.00%, 04/01/2037 |
9,501 | 10,613 | ||||||
| 4.00%, 05/01/2037 |
10,667,937 | 11,301,667 | ||||||
| 5.50%, 05/01/2037 |
169,589 | 190,306 | ||||||
| 7.50%, 05/01/2037 |
30,676 | 37,454 | ||||||
| 3.80% (6 Month LIBOR USD + 1.28%, 1.29% Floor, 12.00% Cap), 07/01/2037(2) |
58,115 | 59,659 | ||||||
| 4.09% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 10.72% Cap), 07/01/2037(2) |
8,016 | 8,347 | ||||||
| 4.11% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 11.04% Cap), 07/01/2037(2) |
133,987 | 140,519 | ||||||
| 4.56% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 10.21% Cap), 07/01/2037(2) |
34,200 | 36,173 | ||||||
| 5.00%, 07/01/2037 |
668,606 | 737,032 | ||||||
| 4.99% (1 Year LIBOR USD + 2.37%, 2.37% Floor, 11.21% Cap), 08/01/2037(2) |
58,551 | 62,415 | ||||||
| 6.50%, 08/01/2037 |
26,199 | 29,474 | ||||||
| 6.50%, 08/01/2037 |
28,953 | 32,417 | ||||||
| 3.71% (1 Year LIBOR USD + 1.46%, 1.46% Floor, 10.61% Cap), 09/01/2037(2) |
24,710 | 25,830 | ||||||
| 3.74% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 11.86% Cap), 09/01/2037(2) |
3,638 | 3,615 | ||||||
| 4.14% (1 Year LIBOR USD + 1.89%, 1.89% Floor, 12.04% Cap), 09/01/2037(2) |
28,793 | 29,934 | ||||||
| 4.54% (1 Year CMT Index + 2.32%, 2.32% Floor, 11.02% Cap), 09/01/2037(2) |
14,880 | 15,833 | ||||||
| 6.00%, 09/01/2037 |
75,101 | 86,049 | ||||||
| 7.00%, 09/01/2037 |
44,369 | 51,231 | ||||||
| 4.00%, 10/01/2037 |
2,073,794 | 2,196,205 | ||||||
| 6.50%, 10/01/2037 |
60,993 | 70,524 | ||||||
| 7.50%, 10/01/2037 |
148,403 | 176,268 | ||||||
| 3.75% (1 Year LIBOR USD + 1.39%, 1.39% Floor, 11.18% Cap), 11/01/2037(2) |
111,229 | 115,480 | ||||||
| 4.21% (1 Year CMT Index + 2.06%, 2.06% Floor, 10.61% Cap), 11/01/2037(2) |
60,618 | 63,993 | ||||||
| 7.50%, 11/01/2037 |
48,965 | 57,338 | ||||||
| 8.00%, 11/01/2037 |
9,413 | 10,138 | ||||||
| 4.17% (1 Year CMT Index + 2.26%, 2.26% Floor, 10.75% Cap), 12/01/2037(2) |
81,645 | 86,732 | ||||||
| 4.91% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.19% Cap), 01/01/2038(2) |
17,844 | 18,357 | ||||||
| 5.50%, 01/01/2038 |
122,765 | 138,147 | ||||||
| 8.00%, 01/01/2038 |
4,160 | 4,803 | ||||||
| 6.00%, 04/01/2038 |
25,662 | 28,371 | ||||||
| 5.50%, 05/01/2038 |
16,553 | 17,771 | ||||||
| 6.00%, 05/01/2038 |
210,671 | 241,640 | ||||||
| 5.50%, 06/01/2038 |
864,035 | 969,679 | ||||||
| 5.50%, 06/01/2038 |
1,606 | 1,802 | ||||||
| 5.50%, 06/01/2038 |
121,590 | 136,434 | ||||||
| 5.50%, 09/01/2038 |
735,998 | 828,274 | ||||||
| 7.00%, 09/01/2038 |
52,320 | 64,182 | ||||||
| 6.50%, 10/01/2038 |
297,788 | 336,609 | ||||||
| 6.50%, 10/01/2038 |
76,215 | 86,142 | ||||||
| 7.00%, 10/01/2038 |
85,867 | 105,761 | ||||||
| 6.00%, 11/01/2038 |
56,089 | 64,270 | ||||||
| 7.00%, 11/01/2038 |
49,322 | 55,337 | ||||||
| 7.50%, 11/01/2038 |
41,073 | 49,089 | ||||||
| 7.00%, 12/01/2038 |
154,181 | 184,798 | ||||||
| 5.00%, 01/01/2039 |
2,099,626 | 2,308,921 | ||||||
| 7.00%, 01/01/2039 |
252,738 | 301,820 | ||||||
| 4.50%, 04/01/2039 |
6,366,655 | 6,932,751 | ||||||
| 7.50%, 04/01/2039 |
149,669 | 188,492 | ||||||
| 5.50%, 06/01/2039 |
17,989 | 19,031 | ||||||
| 5.00%, 09/01/2039 |
113,830 | 125,561 | ||||||
| 5.50%, 09/01/2039 |
94,040 | 104,416 | ||||||
| 4.50%, 11/01/2039 |
22,688 | 24,611 | ||||||
| 5.50%, 12/01/2039 |
74,831 | 82,969 | ||||||
| 6.00%, 12/01/2039 |
1,025,705 | 1,176,526 | ||||||
| 5.50%, 01/01/2040 |
549,305 | 609,686 | ||||||
| 5.00%, 04/01/2040 |
264,819 | 292,225 | ||||||
| 4.00%, 07/01/2040 |
4,861,973 | 5,211,060 | ||||||
| 4.00%, 08/01/2040 |
166,474 | 178,405 | ||||||
| 4.50%, 08/01/2040 |
3,472,778 | 3,769,957 |
| 4.50%, 08/01/2040 |
3,478,127 | 3,775,806 | ||||||
| 5.00%, 08/01/2040 |
298,277 | 329,793 | ||||||
| 5.00%, 08/01/2040 |
607,473 | 670,255 | ||||||
| 4.00%, 09/01/2040 |
1,242,868 | 1,332,820 | ||||||
| 4.00%, 10/01/2040 |
1,422,633 | 1,525,274 | ||||||
| 6.00%, 10/01/2040 |
1,374,622 | 1,575,555 | ||||||
| 3.50%, 12/01/2040 |
110,197 | 116,079 | ||||||
| 4.00%, 12/01/2040 |
1,264,437 | 1,355,327 | ||||||
| 4.00%, 12/01/2040 |
258,214 | 276,894 | ||||||
| 4.50%, 12/01/2040 |
1,571,823 | 1,706,885 | ||||||
| 4.50%, 12/01/2040 |
5,144,416 | 5,584,097 | ||||||
| 4.00%, 01/01/2041 |
1,555,313 | 1,667,578 | ||||||
| 4.00%, 01/01/2041 |
1,006,098 | 1,078,969 | ||||||
| 4.00%, 01/01/2041 |
518,236 | 555,777 | ||||||
| 4.00%, 01/01/2041 |
249,231 | 267,240 | ||||||
| 4.00%, 01/01/2041 |
1,699,898 | 1,823,195 | ||||||
| 4.00%, 01/01/2041 |
714,062 | 765,742 | ||||||
| 4.00%, 01/01/2041 |
1,698,104 | 1,820,699 | ||||||
| 3.50%, 02/01/2041 |
9,173,108 | 9,662,954 | ||||||
| 4.00%, 02/01/2041 |
1,408,509 | 1,510,388 | ||||||
| 4.00%, 02/01/2041 |
58,786 | 63,018 | ||||||
| 4.00%, 02/01/2041 |
2,206,667 | 2,366,054 | ||||||
| 4.00%, 03/01/2041 |
7,657,224 | 8,211,999 | ||||||
| 4.50%, 03/01/2041 |
1,181,678 | 1,283,236 | ||||||
| 4.50%, 04/01/2041 |
955,413 | 1,037,351 | ||||||
| 4.50%, 05/01/2041 |
6,226,178 | 6,759,812 | ||||||
| 4.50%, 05/01/2041 |
1,631,725 | 1,771,346 | ||||||
| 5.00%, 05/01/2041 |
127,992 | 141,065 | ||||||
| 4.50%, 07/01/2041 |
383,665 | 416,646 | ||||||
| 6.00%, 07/01/2041 |
3,593,027 | 4,121,765 | ||||||
| 4.50%, 08/01/2041 |
2,349,182 | 2,546,040 | ||||||
| 4.00%, 09/01/2041 |
258,664 | 277,376 | ||||||
| 4.00%, 10/01/2041 |
539,523 | 566,949 | ||||||
| 4.00%, 10/01/2041 |
1,102,009 | 1,182,041 | ||||||
| 3.50%, 11/01/2041 |
366,446 | 386,072 | ||||||
| 3.50%, 11/01/2041 |
3,800,353 | 4,003,904 | ||||||
| 3.50%, 12/01/2041 |
273,786 | 288,450 | ||||||
| 3.50%, 12/01/2041 |
706,902 | 744,763 | ||||||
| 3.50%, 12/01/2041 |
7,260,529 | 7,649,389 | ||||||
| 4.00%, 12/01/2041 |
1,456,706 | 1,560,043 | ||||||
| 4.00%, 12/01/2041 |
2,164,125 | 2,319,008 | ||||||
| 4.00%, 01/01/2042 |
2,897,719 | 3,106,226 | ||||||
| 4.50%, 01/01/2042 |
2,389,485 | 2,594,103 | ||||||
| 3.50%, 02/01/2042 |
474,602 | 499,941 | ||||||
| 3.50%, 02/01/2042 |
254,993 | 268,869 | ||||||
| 4.00%, 03/01/2042 |
121,960 | 126,402 | ||||||
| 3.50%, 04/01/2042 |
286,622 | 301,939 | ||||||
| 3.00%, 05/01/2042 |
555,655 | 572,097 | ||||||
| 3.50%, 05/01/2042 |
7,593,276 | 7,997,308 | ||||||
| 5.00%, 05/01/2042 |
2,093,865 | 2,308,470 | ||||||
| 3.50%, 06/01/2042 |
1,718,963 | 1,810,483 | ||||||
| 3.50%, 07/01/2042 |
18,553,546 | 19,619,564 | ||||||
| 3.50%, 07/01/2042 |
3,864,931 | 4,071,386 | ||||||
| 3.50%, 07/01/2042 |
1,225,639 | 1,291,282 | ||||||
| 4.00%, 07/01/2042 |
400,770 | 426,771 | ||||||
| 4.00%, 07/01/2042 |
468,542 | 498,883 | ||||||
| 4.00%, 07/01/2042 |
437,681 | 465,795 | ||||||
| 4.00%, 07/01/2042 |
682,701 | 726,513 | ||||||
| 3.50%, 08/01/2042 |
703,822 | 741,518 | ||||||
| 4.00%, 08/01/2042 |
6,252,141 | 6,706,085 |
| 3.50%, 09/01/2042 |
676,569 | 712,635 | ||||||
| 3.50%, 09/01/2042 |
5,314,812 | 5,599,470 | ||||||
| 3.50%, 09/01/2042 |
894,988 | 940,307 | ||||||
| 3.50%, 09/01/2042 |
913,145 | 962,003 | ||||||
| 3.00%, 10/01/2042 |
5,134,664 | 5,287,338 | ||||||
| 3.50%, 10/01/2042 |
397,577 | 418,760 | ||||||
| 3.50%, 10/01/2042 |
663,134 | 698,654 | ||||||
| 3.50%, 10/01/2042 |
1,297,832 | 1,367,197 | ||||||
| 3.50%, 10/01/2042 |
460,566 | 485,234 | ||||||
| 3.00%, 11/01/2042 |
2,085,685 | 2,147,060 | ||||||
| 3.50%, 11/01/2042 |
7,249,833 | 7,638,155 | ||||||
| 3.50%, 11/01/2042 |
2,816,905 | 2,971,266 | ||||||
| 4.50%, 11/01/2042 |
7,951,196 | 8,630,694 | ||||||
| 3.00%, 12/01/2042 |
1,204,160 | 1,239,578 | ||||||
| 3.00%, 12/01/2042 |
110,652 | 113,885 | ||||||
| 4.00%, 12/01/2042 |
500,293 | 535,105 | ||||||
| 2.50%, 01/01/2043 |
2,530,859 | 2,517,164 | ||||||
| 3.00%, 01/01/2043 |
1,787,926 | 1,840,539 | ||||||
| 3.00%, 01/01/2043 |
1,475,696 | 1,517,779 | ||||||
| 3.00%, 01/01/2043 |
1,628,347 | 1,676,187 | ||||||
| 3.00%, 01/01/2043 |
1,035,480 | 1,065,885 | ||||||
| 3.50%, 01/01/2043 |
1,074,679 | 1,132,227 | ||||||
| 3.50%, 01/01/2043 |
730,512 | 767,525 | ||||||
| 2.50%, 02/01/2043 |
1,120,716 | 1,114,651 | ||||||
| 3.00%, 02/01/2043 |
834,590 | 858,403 | ||||||
| 3.50%, 02/01/2043 |
68,517 | 72,184 | ||||||
| 3.50%, 02/01/2043 |
55,962 | 58,955 | ||||||
| 3.50%, 03/01/2043 |
536,057 | 563,238 | ||||||
| 3.50%, 03/01/2043 |
4,392,721 | 4,627,950 | ||||||
| 3.50%, 03/01/2043 |
1,534,713 | 1,616,894 | ||||||
| 3.00%, 04/01/2043 |
2,910,439 | 2,995,649 | ||||||
| 3.00%, 04/01/2043 |
1,239,962 | 1,276,394 | ||||||
| 3.50%, 04/01/2043 |
1,907,939 | 2,008,546 | ||||||
| 3.50%, 04/01/2043 |
4,297,857 | 4,521,152 | ||||||
| 4.00%, 04/01/2043 |
6,351,727 | 6,921,202 | ||||||
| 3.00%, 05/01/2043 |
10,502,993 | 10,810,191 | ||||||
| 3.00%, 05/01/2043 |
368,214 | 378,958 | ||||||
| 3.00%, 05/01/2043 |
121,320 | 124,635 | ||||||
| 3.50%, 05/01/2043 |
82,676 | 87,429 | ||||||
| 3.50%, 05/01/2043 |
1,350,944 | 1,419,452 | ||||||
| 3.50%, 05/01/2043 |
684,612 | 719,311 | ||||||
| 3.50%, 05/01/2043 |
1,898,033 | 1,994,278 | ||||||
| 3.00%, 06/01/2043 |
99,637 | 102,549 | ||||||
| 3.00%, 06/01/2043 |
661,960 | 681,442 | ||||||
| 3.00%, 06/01/2043 |
281,441 | 289,672 | ||||||
| 3.00%, 06/01/2043 |
2,562,578 | 2,639,390 | ||||||
| 3.00%, 06/01/2043 |
7,371,801 | 7,586,878 | ||||||
| 3.50%, 06/01/2043 |
1,723,343 | 1,810,734 | ||||||
| 3.00%, 07/01/2043 |
1,547,006 | 1,590,074 | ||||||
| 3.00%, 07/01/2043 |
400,141 | 411,384 | ||||||
| 3.00%, 07/01/2043 |
395,813 | 407,239 | ||||||
| 3.00%, 07/01/2043 |
82,123 | 84,514 | ||||||
| 3.00%, 07/01/2043 |
7,785,907 | 8,016,918 | ||||||
| 3.50%, 07/01/2043 |
8,920,681 | 9,395,066 | ||||||
| 4.00%, 07/01/2043 |
988,272 | 1,052,105 | ||||||
| 3.00%, 08/01/2043 |
3,826,804 | 3,940,020 | ||||||
| 3.00%, 08/01/2043 |
979,282 | 1,008,004 | ||||||
| 5.00%, 09/01/2043 |
1,168,527 | 1,281,155 | ||||||
| 2.50%, 10/01/2043 |
2,320,923 | 2,308,364 | ||||||
| 3.00%, 10/01/2043 |
13,239,467 | 13,615,776 |
| 3.00%, 10/01/2043 |
96,311 | 98,968 | ||||||
| 4.00%, 11/01/2043 |
3,673,058 | 3,911,464 | ||||||
| 4.00%, 12/01/2043 |
1,511,906 | 1,624,686 | ||||||
| 4.00%, 12/01/2043 |
157,193 | 167,282 | ||||||
| 3.00%, 02/01/2044 |
7,081,706 | 7,291,407 | ||||||
| 3.50%, 06/01/2044 |
8,926,308 | 9,403,227 | ||||||
| 4.00%, 06/01/2044 |
4,750,268 | 5,078,121 | ||||||
| 4.00%, 07/01/2044 |
2,503,197 | 2,678,836 | ||||||
| 4.00%, 08/01/2044 |
6,688,031 | 7,142,512 | ||||||
| 4.00%, 09/01/2044 |
1,397,265 | 1,480,151 | ||||||
| 4.00%, 01/01/2045 |
9,770,720 | 10,350,336 | ||||||
| 3.50%, 02/01/2045 |
7,830,210 | 8,247,647 | ||||||
| 3.00%, 04/01/2045 |
7,696,743 | 7,894,432 | ||||||
| 3.50%, 04/01/2045 |
13,113,943 | 13,686,392 | ||||||
| 3.50%, 06/01/2045 |
10,327,061 | 10,776,934 | ||||||
| 3.50%, 06/01/2045 |
2,834,396 | 2,957,822 | ||||||
| 4.00%, 07/01/2045 |
7,481,533 | 7,959,184 | ||||||
| 3.50%, 08/01/2045 |
551,251 | 575,186 | ||||||
| 4.00%, 10/01/2045 |
992,601 | 1,051,568 | ||||||
| 4.00%, 10/01/2045 |
6,676,228 | 7,075,902 | ||||||
| 3.50%, 11/01/2045 |
3,260,207 | 3,402,431 | ||||||
| 3.50%, 12/01/2045 |
393,261 | 410,365 | ||||||
| 3.50%, 12/01/2045 |
740,362 | 772,564 | ||||||
| 4.00%, 12/01/2045 |
1,435,103 | 1,519,546 | ||||||
| 4.00%, 12/01/2045 |
6,517,202 | 6,903,916 | ||||||
| 4.00%, 12/01/2045 |
862,274 | 914,988 | ||||||
| 3.50%, 01/01/2046 |
10,571,387 | 11,032,503 | ||||||
| 4.00%, 01/01/2046 |
4,020,815 | 4,259,517 | ||||||
| 4.00%, 02/01/2046 |
2,931,182 | 3,070,940 | ||||||
| 4.50%, 02/01/2046 |
8,434,939 | 9,149,546 | ||||||
| 4.00%, 03/01/2046 |
110,912 | 117,217 | ||||||
| 3.50%, 04/01/2046 |
1,266,554 | 1,337,075 | ||||||
| 2.50%, 05/01/2046 |
1,457,615 | 1,449,725 | ||||||
| 3.00%, 05/01/2046 |
9,647,429 | 9,880,433 | ||||||
| 3.50%, 05/01/2046 |
596,993 | 622,839 | ||||||
| 2.50%, 07/01/2046 |
3,003,185 | 2,986,928 | ||||||
| 4.50%, 07/01/2046 |
281,091 | 297,113 | ||||||
| 3.50%, 08/01/2046 |
6,945,529 | 7,231,484 | ||||||
| 4.00%, 08/01/2046 |
6,404,993 | 6,740,048 | ||||||
| 3.00%, 09/01/2046 |
1,061,475 | 1,086,471 | ||||||
| 3.50%, 09/01/2046 |
3,162,116 | 3,306,661 | ||||||
| 2.50%, 10/01/2046 |
1,100,985 | 1,095,025 | ||||||
| 3.00%, 11/01/2046 |
4,825,885 | 4,939,387 | ||||||
| 3.00%, 11/01/2046 |
6,953,955 | 7,157,188 | ||||||
| 3.50%, 11/01/2046 |
994,229 | 1,042,152 | ||||||
| 3.50%, 11/01/2046 |
14,449,576 | 15,078,908 | ||||||
| 3.50%, 12/01/2046 |
8,583,323 | 9,039,345 | ||||||
| 3.50%, 12/01/2046 |
3,963,695 | 4,116,488 | ||||||
| 3.00%, 01/01/2047 |
5,850,979 | 5,983,377 | ||||||
| 3.50%, 01/01/2047 |
5,096,758 | 5,290,180 | ||||||
| 3.50%, 02/01/2047 |
12,373,994 | 12,910,446 | ||||||
| 3.50%, 02/01/2047 |
9,820,869 | 10,264,223 | ||||||
| 4.00%, 02/01/2047 |
10,380,136 | 10,836,284 | ||||||
| 3.00%, 03/01/2047 |
903,322 | 924,583 | ||||||
| 4.00%, 03/01/2047 |
8,446,870 | 9,041,362 | ||||||
| 4.00%, 03/01/2047 |
385,212 | 408,749 | ||||||
| 4.00%, 03/01/2047 |
8,946,892 | 9,470,171 | ||||||
| 3.50%, 06/01/2047 |
778,448 | 815,676 | ||||||
| 4.00%, 06/01/2047 |
3,255,059 | 3,484,483 | ||||||
| 4.00%, 08/01/2047 |
11,043,455 | 11,648,420 |
| 4.50%, 08/01/2047 |
1,717,847 | 1,812,568 | ||||||
| 3.50%, 10/01/2047 |
1,545,708 | 1,603,891 | ||||||
| 3.50%, 11/01/2047 |
1,828,398 | 1,897,526 | ||||||
| 3.50%, 11/01/2047 |
15,069,028 | 15,664,750 | ||||||
| 4.00%, 11/01/2047 |
591,279 | 621,543 | ||||||
| 3.00%, 12/01/2047 |
29,413,388 | 30,154,213 | ||||||
| 4.00%, 12/01/2047 |
4,975,196 | 5,219,795 | ||||||
| 4.00%, 01/01/2048 |
3,300,923 | 3,463,828 | ||||||
| 4.00%, 01/01/2048 |
29,665,138 | 31,156,704 | ||||||
| 4.00%, 01/01/2048 |
8,408,776 | 8,997,071 | ||||||
| 4.00%, 01/01/2048 |
8,029,211 | 8,422,084 | ||||||
| 5.00%, 01/01/2048 |
1,286,904 | 1,376,860 | ||||||
| 3.50%, 02/01/2048 |
1,018,957 | 1,054,452 | ||||||
| 3.50%, 02/01/2048 |
10,027,822 | 10,402,111 | ||||||
| 4.00%, 02/01/2048 |
510,884 | 541,082 | ||||||
| 4.00%, 03/01/2048 |
4,158,265 | 4,356,451 | ||||||
| 4.00%, 03/01/2048 |
10,186,715 | 10,902,338 | ||||||
| 4.00%, 04/01/2048 |
3,544,770 | 3,715,301 | ||||||
| 5.00%, 04/01/2048 |
788,201 | 844,109 | ||||||
| 4.50%, 05/01/2048 |
5,437,050 | 5,786,254 | ||||||
| 5.00%, 05/01/2048 |
4,421,393 | 4,728,868 | ||||||
| 4.50%, 06/01/2048 |
5,573,528 | 5,886,566 | ||||||
| 4.50%, 06/01/2048 |
9,740,527 | 10,287,699 | ||||||
| 4.00%, 07/01/2048 |
1,114,696 | 1,165,437 | ||||||
| 4.50%, 07/01/2048 |
720,984 | 761,032 | ||||||
| 4.50%, 07/01/2048 |
85,169 | 89,895 | ||||||
| 4.50%, 07/01/2048 |
680,125 | 739,016 | ||||||
| 4.50%, 07/01/2048 |
567,964 | 614,363 | ||||||
| 4.50%, 07/01/2048 |
439,960 | 480,207 | ||||||
| 4.50%, 08/01/2048 |
780,033 | 846,141 | ||||||
| 4.50%, 08/01/2048 |
8,009,102 | 8,452,185 | ||||||
| 3.50%, 09/01/2048 |
1,891,511 | 1,948,938 | ||||||
| 4.00%, 09/01/2048 |
6,719,192 | 7,002,165 | ||||||
| 4.50%, 09/01/2048 |
601,224 | 656,224 | ||||||
| 4.50%, 09/01/2048 |
466,471 | 506,578 | ||||||
| 4.50%, 09/01/2048 |
2,851,524 | 3,014,705 | ||||||
| 4.50%, 09/01/2048 |
590,691 | 641,466 | ||||||
| 3.50%, 10/01/2048 |
7,935,024 | 8,298,965 | ||||||
| 4.50%, 10/01/2048 |
1,179,350 | 1,246,106 | ||||||
| 3.50%, 11/01/2048 |
979,843 | 1,016,274 | ||||||
| 6.00%, 11/01/2048 |
34,060 | 36,346 | ||||||
| 4.50%, 01/01/2049 |
4,512,484 | 4,744,733 | ||||||
| 5.00%, 01/01/2049 |
9,468,786 | 10,440,482 | ||||||
| 4.50%, 02/01/2049 |
1,375,861 | 1,446,947 | ||||||
| 3.50%, 06/01/2049 |
9,565,249 | 9,824,788 | ||||||
| 3.50%, 07/01/2049 |
17,768,322 | 18,254,485 | ||||||
| 4.00%, 07/01/2049 |
4,537,339 | 4,768,930 | ||||||
| 4.50%, 07/01/2049 |
12,024,736 | 12,910,901 | ||||||
| 4.00%, 08/01/2049 |
14,823,525 | 15,420,713 | ||||||
| 4.00%, 09/01/2049 |
14,329,288 | 14,949,288 | ||||||
| 4.50%, 09/01/2049 |
9,054,313 | 9,553,446 | ||||||
| 4.00%, 10/01/2049 |
7,216,992 | 7,598,760 | ||||||
| 4.00%, 10/01/2049 |
7,756,986 | 8,190,102 | ||||||
| 3.00%, 11/01/2049 |
6,876,437 | 7,046,786 | ||||||
| 3.00%, 11/01/2049 |
38,665,571 | 39,199,575 | ||||||
| 3.50%, 11/01/2049 |
3,763,268 | 3,940,953 | ||||||
| 3.00%, 12/01/2049 |
45,898,150 | 46,532,039 | ||||||
| 3.00%, 12/01/2049 |
1,881,120 | 1,927,722 | ||||||
| 3.50%, 12/01/2049 |
3,119,985 | 3,257,160 | ||||||
| Fannie Mae REMIC Trust 2003-W1 |
| 5.29%, 12/25/2042(4) |
100,133 | 108,673 | ||||||
| 5.81%, 12/25/2042(4) |
26,702 | 28,783 | ||||||
| Fannie Mae REMIC Trust 2003-W4 |
||||||||
| 5.78%, 10/25/2042(4) |
13,247 | 14,778 | ||||||
| Fannie Mae REMIC Trust 2004-W10 |
||||||||
| 5.75%, 08/25/2034 |
586,882 | 650,923 | ||||||
| Fannie Mae REMIC Trust 2004-W11 |
||||||||
| 6.00%, 05/25/2044 |
76,677 | 89,172 | ||||||
| Fannie Mae REMIC Trust 2005-W1 |
||||||||
| 6.50%, 10/25/2044 |
142,853 | 165,587 | ||||||
| Fannie Mae REMIC Trust 2006-W3 |
||||||||
| 6.00%, 09/25/2046 |
112,945 | 123,718 | ||||||
| Fannie Mae REMIC Trust 2007-W1 |
||||||||
| 6.32%, 08/25/2047(4) |
13,594 | 15,093 | ||||||
| Fannie Mae REMIC Trust 2007-W3 |
||||||||
| 6.75%, 04/25/2037 |
28,980 | 32,053 | ||||||
| Fannie Mae REMIC Trust 2007-W5 |
||||||||
| 0.00%, 06/25/2037 |
24,220 | 21,875 | ||||||
| Fannie Mae REMIC Trust 2007-W7 |
||||||||
| 28.93% (1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037(2)(8) |
18,709 | 31,519 | ||||||
| Fannie Mae REMIC Trust 2009-W1 |
||||||||
| 6.00%, 12/25/2049 |
525,154 | 599,107 | ||||||
| Fannie Mae REMICS |
||||||||
| 7.00%, 05/25/2020 |
5 | 5 | ||||||
| 5.50%, 06/25/2020 |
4 | 4 | ||||||
| 9.50%, 06/25/2020 |
26 | 26 | ||||||
| 7.00%, 07/25/2020 |
53 | 53 | ||||||
| 5.50%, 08/25/2020 |
14 | 14 | ||||||
| 6.50%, 08/25/2020 |
247 | 248 | ||||||
| 6.50%, 09/25/2020 |
70 | 71 | ||||||
| 7.00%, 09/25/2020 |
14 | 14 | ||||||
| 18.91% (1 Month LIBOR USD + 21.60%, 4.50% Floor, 21.60% Cap), 11/25/2020(2)(8) |
16 | 17 | ||||||
| 7.00%, 01/25/2021 |
43 | 44 | ||||||
| 5.00%, 03/25/2021 |
67 | 67 | ||||||
| 7.00%, 03/25/2021 |
1,829 | 1,847 | ||||||
| 14.54% (1 Month LIBOR USD + 17.68%, 17.68% Cap), 05/25/2021(2)(8) |
36 | 39 | ||||||
| 8.50%, 06/25/2021 |
36 | 37 | ||||||
| 8.75%, 06/25/2021 |
131 | 134 | ||||||
| 6.50%, 07/25/2021 |
297 | 304 | ||||||
| 6.50%, 09/25/2021 |
22,599 | 23,061 | ||||||
| 13.31% (1 Month LIBOR USD + 15.10%, 5.00% Floor, 15.10% Cap), 09/25/2021(2)(8) |
6 | 6 | ||||||
| 8.75%, 10/25/2021 |
138 | 140 | ||||||
| 25.19% (7 Year CMT Index + 30.01%, 29.59% Cap), 12/25/2021(2)(8) |
19 | 22 | ||||||
| 6.00%, 02/25/2022 |
24,212 | 24,772 | ||||||
| 6.50%, 02/25/2022 |
4,193 | 4,292 | ||||||
| 0.00%, 03/25/2022 |
8,878 | 8,710 | ||||||
| 7.50%, 06/25/2022 |
50 | 53 | ||||||
| 7.00%, 07/25/2022 |
305 | 312 | ||||||
| 7.50%, 07/25/2022 |
4,092 | 4,265 | ||||||
| 8.00%, 07/25/2022 |
259 | 269 | ||||||
| 8.00%, 07/25/2022 |
5,951 | 6,279 | ||||||
| 6.00%, 08/25/2022 |
1,023 | 1,062 | ||||||
| 6.50%, 08/25/2022 |
1,262 | 1,314 | ||||||
| 1.73% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022(2) |
426 | 426 | ||||||
| 5.50%, 09/25/2022 |
586 | 602 | ||||||
| 6.00%, 09/25/2022 |
39,280 | 40,472 | ||||||
| 7.50%, 09/25/2022 |
2,421 | 2,511 | ||||||
| 7.75%, 09/25/2022 |
1,704 | 1,796 | ||||||
| 8.00%, 09/25/2022 |
6,495 | 6,850 | ||||||
| 0.00%, 10/25/2022 |
657 | 641 |
| 1.80% (11th District Cost of Funds Index + 0.70%, 0.70% Floor, 10.00% Cap), 10/25/2022(2) |
377 | 379 | ||||||
| 7.00%, 10/25/2022 |
910 | 949 | ||||||
| 7.50%, 10/25/2022 |
3,837 | 4,029 | ||||||
| 7.90%, 01/25/2023 |
3,481 | 3,693 | ||||||
| 6.50%, 02/25/2023 |
1,723 | 1,800 | ||||||
| 7.00%, 02/25/2023 |
16,953 | 17,829 | ||||||
| 15.50% (1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023(2)(8) |
613 | 732 | ||||||
| 5.50%, 03/25/2023 |
71,119 | 73,946 | ||||||
| 6.50%, 03/25/2023 |
1,249 | 1,312 | ||||||
| 7.00%, 03/25/2023 |
11,800 | 12,343 | ||||||
| 7.50%, 03/25/2023 |
3,845 | 4,062 | ||||||
| 7.70%, 03/25/2023 |
1,684 | 1,780 | ||||||
| 0.00%, 04/25/2023 |
758 | 734 | ||||||
| 5.50%, 04/25/2023 |
4,515 | 4,681 | ||||||
| 5.50%, 04/25/2023 |
136,572 | 141,614 | ||||||
| 6.00% (1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023(2)(8) |
2,718 | 2,882 | ||||||
| 7.00%, 04/25/2023 |
3,650 | 3,811 | ||||||
| 17.97% (11th District Cost of Funds Index + 20.53%, 20.53% Cap), 04/25/2023(2)(8) |
1,751 | 1,962 | ||||||
| 18.33% (7 Year CMT Index + 22.30%, 21.83% Cap), 04/25/2023(2)(8) |
3,432 | 733 | ||||||
| 5.50%, 05/25/2023 |
32,294 | 33,378 | ||||||
| 7.00%, 05/25/2023 |
41,588 | 43,986 | ||||||
| 4.71% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/25/2023(2)(8) |
11,873 | 320 | ||||||
| 4.50%, 07/25/2023 |
48,178 | 50,963 | ||||||
| 6.00%, 07/25/2023(4) |
17,529 | 18,499 | ||||||
| 6.50%, 07/25/2023 |
883 | 930 | ||||||
| 7.00%, 07/25/2023 |
20,552 | 21,689 | ||||||
| 7.00%, 07/25/2023 |
13,333 | 14,018 | ||||||
| 2.67% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023(2) |
2,149 | 2,171 | ||||||
| 6.26% (1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023(2)(8) |
664 | 47 | ||||||
| 6.88%, 08/25/2023 |
19,823 | 20,815 | ||||||
| 7.00%, 08/25/2023 |
34,009 | 35,828 | ||||||
| 8.98% (10 Year CMT Index + 10.75%, 10.00% Cap), 08/25/2023(2)(8) |
18,001 | 1,992 | ||||||
| 0.00%, 09/25/2023 |
1,571 | 1,518 | ||||||
| 0.00%, 09/25/2023 |
528 | 514 | ||||||
| 2.44% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 999999.00% Cap), 09/25/2023(2) |
191 | 191 | ||||||
| 6.50%, 09/25/2023 |
1,863 | 1,976 | ||||||
| 12.52% (11th District Cost of Funds Index + 14.86%, 14.86% Cap), 09/25/2023(2)(8) |
1,036 | 1,110 | ||||||
| 6.50%, 10/25/2023 |
27,190 | 28,894 | ||||||
| 6.50%, 10/25/2023 |
10,710 | 11,344 | ||||||
| 10.50% (11th District Cost of Funds Index + 63.39%, 10.50% Cap), 10/25/2023(2)(8) |
579 | 654 | ||||||
| 18.36% (1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023(2)(8) |
1,615 | 1,985 | ||||||
| 24.94% (11th District Cost of Funds Index + 29.75%, 29.75% Cap), 10/25/2023(2)(8) |
869 | 1,018 | ||||||
| 0.00%, 11/25/2023 |
169 | 164 | ||||||
| 6.50%, 11/25/2023 |
10,625 | 11,284 | ||||||
| 2.31% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023(2) |
863 | 857 | ||||||
| 2.79% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023(2) |
2,240 | 2,257 | ||||||
| 6.50%, 12/25/2023 |
2,904 | 3,107 | ||||||
| 11.85% (11th District Cost of Funds Index + 12.95%, 4.00% Floor, 12.95% Cap), 12/25/2023(2)(8) |
1,042 | 1,158 | ||||||
| 18.23% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023(2)(8) |
2,240 | 2,747 | ||||||
| 26.14% (11th District Cost of Funds Index + 31.01%, 31.01% Cap), 12/25/2023(2)(8) |
2,754 | 3,260 | ||||||
| 5.00%, 02/25/2024 |
3,423 | 27 | ||||||
| 5.00%, 03/25/2024 |
712 | 8 | ||||||
| 5.00%, 03/25/2024 |
91 | 1 | ||||||
| 6.50%, 03/25/2024 |
8,532 | 9,047 | ||||||
| 6.50%, 03/25/2024 |
54,006 | 57,646 | ||||||
| 7.00%, 04/25/2024 |
34,304 | 36,868 | ||||||
| 7.00%, 04/25/2024 |
79,551 | 84,350 | ||||||
| 5.50%, 07/25/2024 |
8,782 | 9,178 | ||||||
| 5.50%, 08/25/2024 |
93,569 | 98,432 | ||||||
| 5.00%, 11/25/2024 |
146,028 | 153,895 |
| 8.50%, 01/25/2025 |
2,017 | 2,230 | ||||||
| 8.80%, 01/25/2025 |
2,882 | 3,243 | ||||||
| 5.50%, 08/25/2025 |
99,456 | 105,894 | ||||||
| 5.50%, 01/25/2026 |
62,714 | 66,484 | ||||||
| 24.29% (1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026(2)(8) |
13,840 | 18,759 | ||||||
| 7.00%, 11/25/2026 |
19,775 | 21,364 | ||||||
| 1.84%, 03/25/2027(4) |
2,509 | 58 | ||||||
| 1.84%, 03/25/2027(4) |
7,071 | 163 | ||||||
| 7.50%, 04/18/2027 |
4,155 | 4,711 | ||||||
| 7.50%, 04/20/2027 |
6,134 | 6,964 | ||||||
| 6.50%, 04/25/2027 |
14,053 | 15,604 | ||||||
| 7.50%, 05/20/2027 |
26,267 | 29,754 | ||||||
| 6.50%, 07/18/2027 |
1,253 | 1,377 | ||||||
| 7.00%, 12/18/2027 |
6,471 | 617 | ||||||
| 6.00%, 07/18/2028 |
7,213 | 7,924 | ||||||
| 5.81% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028(2)(8) |
213,018 | 22,667 | ||||||
| 3.00%, 12/25/2028 |
1,237,521 | 1,237,441 | ||||||
| 6.00%, 12/25/2028 |
3,558 | 3,753 | ||||||
| 6.36% (1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028(2)(8) |
5,274 | 283 | ||||||
| 5.00%, 03/25/2029 |
173,981 | 184,331 | ||||||
| 5.50%, 04/18/2029 |
13,465 | 14,354 | ||||||
| 6.35%, 04/25/2029 |
4,560 | 4,971 | ||||||
| 7.50%, 12/18/2029 |
7,080 | 8,012 | ||||||
| 7.50%, 02/25/2030 |
40,823 | 46,781 | ||||||
| 7.31% (1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030(2)(8) |
12,571 | 1,521 | ||||||
| 8.50%, 01/25/2031 |
2,024 | 424 | ||||||
| 7.00%, 03/25/2031 |
4,884 | 5,646 | ||||||
| 3.50%, 04/25/2031 |
956,779 | 1,000,991 | ||||||
| 6.00%, 07/25/2031 |
27,128 | 4,613 | ||||||
| 7.00%, 07/25/2031 |
15,808 | 18,384 | ||||||
| 7.00%, 08/25/2031 |
34,959 | 39,856 | ||||||
| 6.50%, 09/25/2031 |
7,060 | 7,987 | ||||||
| 7.00%, 09/25/2031 |
8,462 | 9,731 | ||||||
| 7.00%, 09/25/2031 |
6,856 | 7,952 | ||||||
| 7.00%, 09/25/2031 |
39,151 | 45,366 | ||||||
| 18.23% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031(2)(8) |
20,117 | 27,588 | ||||||
| 6.50%, 10/25/2031 |
5,310 | 5,840 | ||||||
| 17.57% (1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031(2)(8) |
13,155 | 19,849 | ||||||
| 6.00%, 11/25/2031 |
50,246 | 56,396 | ||||||
| 7.00%, 11/25/2031 |
52,857 | 61,380 | ||||||
| 12.01% (1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031(2)(8) |
15,272 | 19,966 | ||||||
| 13.29% (1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031(2)(8) |
1,452 | 1,884 | ||||||
| 0.00%, 01/25/2032 |
1,905 | 1,792 | ||||||
| 19.36% (1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032(2)(8) |
3,923 | 5,339 | ||||||
| 1.60% (1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032(2)(8) |
48,723 | 1,835 | ||||||
| 10.00% (1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032(2)(8) |
682 | 836 | ||||||
| 0.00%, 04/25/2032 |
1,636 | 1,503 | ||||||
| 6.00%, 04/25/2032 |
123,408 | 137,183 | ||||||
| 6.50%, 04/25/2032 |
22,294 | 25,293 | ||||||
| 6.50%, 05/25/2032 |
45,707 | 51,792 | ||||||
| 6.50%, 06/25/2032 |
19,929 | 22,317 | ||||||
| 6.50%, 07/25/2032 |
84,079 | 14,985 | ||||||
| 6.50%, 08/25/2032 |
54,866 | 61,911 | ||||||
| 2.59% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032(2) |
255,273 | 257,740 | ||||||
| 5.00%, 11/25/2032 |
12,136 | 12,976 | ||||||
| 6.00%, 11/25/2032 |
363,825 | 413,456 | ||||||
| 8.50% (1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032(2)(8) |
16,667 | 19,183 | ||||||
| 0.00%, 12/25/2032 |
10,581 | 9,577 | ||||||
| 5.50%, 12/25/2032 |
117,187 | 131,003 | ||||||
| 11.20% (1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032(2)(8) |
8,686 | 10,544 |
| 6.50%, 02/25/2033 |
19,823 | 22,167 | ||||||
| 5.00%, 03/25/2033 |
20,084 | 1,679 | ||||||
| 4.00%, 04/25/2033 |
194,862 | 207,770 | ||||||
| 0.00%, 05/25/2033 |
5,510 | 4,945 | ||||||
| 4.00%, 05/25/2033 |
12,352 | 13,194 | ||||||
| 6.00%, 05/25/2033(4) |
8,969 | 1,681 | ||||||
| 6.00%, 05/25/2033 |
34,485 | 39,086 | ||||||
| 6.00%, 05/25/2033 |
153,748 | 173,680 | ||||||
| 6.00%, 05/25/2033 |
73,790 | 81,513 | ||||||
| 6.50%, 05/25/2033 |
81,986 | 18,507 | ||||||
| 7.00%, 05/25/2033 |
144,733 | 17,121 | ||||||
| 5.31% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033(2)(8) |
46,073 | 2,142 | ||||||
| 5.75%, 06/25/2033 |
59,292 | 66,524 | ||||||
| 10.62% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033(2)(8) |
34,272 | 37,104 | ||||||
| 9.52% (1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033(2)(8) |
21,578 | 25,006 | ||||||
| 10.62% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 07/25/2033(2)(8) |
886 | 890 | ||||||
| 0.00%, 08/25/2033 |
4,104 | 3,858 | ||||||
| 5.21% (1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033(2)(8) |
86,416 | 93,118 | ||||||
| 5.50%, 08/25/2033 |
98,210 | 109,894 | ||||||
| 5.50%, 08/25/2033 |
205,123 | 38,301 | ||||||
| 6.94% (1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033(2)(8) |
9,385 | 10,767 | ||||||
| 12.77% (1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033(2)(8) |
28,615 | 33,006 | ||||||
| 3.50%, 09/25/2033 |
1,500,000 | 1,598,921 | ||||||
| 9.51% (1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033(2)(8) |
14,564 | 17,130 | ||||||
| 3.00%, 10/25/2033 |
908,000 | 921,905 | ||||||
| 5.50%, 10/25/2033 |
705,453 | 789,305 | ||||||
| 5.81% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033(2)(8) |
105,402 | 18,555 | ||||||
| 0.00%, 12/25/2033 |
82,778 | 74,652 | ||||||
| 10.52% (1 Month LIBOR USD + 14.10%, 14.10% Cap), 12/25/2033(2)(8) |
2,795 | 2,880 | ||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034(2) |
126,713 | 128,291 | ||||||
| 8.83% (1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034(2)(8) |
3,435 | 3,980 | ||||||
| 12.62% (1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034(2)(8) |
10,530 | 12,350 | ||||||
| 0.00%, 03/25/2034 |
92,832 | 87,985 | ||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034(2) |
85,144 | 85,020 | ||||||
| 5.50%, 04/25/2034 |
211,937 | 240,078 | ||||||
| 14.60% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034(2)(8) |
46,879 | 62,992 | ||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034(2) |
226,228 | 225,790 | ||||||
| 11.57% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034(2)(8) |
12,382 | 15,540 | ||||||
| 14.60% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034(2)(8) |
96,724 | 136,684 | ||||||
| 16.83% (1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034(2)(8) |
19,523 | 27,166 | ||||||
| 5.50%, 07/25/2034 |
368,500 | 404,995 | ||||||
| 10.66% (1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034(2)(8) |
13,814 | 16,463 | ||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034(2) |
48,992 | 49,044 | ||||||
| 14.87% (1 Month LIBOR USD + 19.80%, 19.80% Cap), 11/25/2034(2)(8) |
9,800 | 10,313 | ||||||
| 0.00%, 04/25/2035 |
19,046 | 18,867 | ||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035(2) |
101,542 | 101,110 | ||||||
| 12.52% (1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035(2)(8) |
5,688 | 6,721 | ||||||
| 15.09% (1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035(2)(8) |
96,728 | 118,092 | ||||||
| 15.20% (1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035(2)(8) |
66,497 | 81,656 | ||||||
| 18.18% (1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035(2)(8) |
22,205 | 27,376 | ||||||
| 5.00%, 06/25/2035 |
3,441 | 3,443 | ||||||
| 16.54% (1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035(2)(8) |
29,392 | 43,507 | ||||||
| 4.92% (1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035(2)(8) |
72,249 | 14,579 | ||||||
| 5.75%, 07/25/2035 |
1,556,590 | 1,804,027 | ||||||
| 12.90% (1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035(2)(8) |
28,416 | 38,156 | ||||||
| 5.50%, 08/25/2035 |
92,967 | 102,575 | ||||||
| 5.50%, 08/25/2035 |
595,745 | 664,199 | ||||||
| 12.22% (1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035(2)(8) |
36,041 | 45,152 | ||||||
| 12.40% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035(2)(8) |
33,374 | 42,142 | ||||||
| 0.00%, 09/25/2035 |
11,335 | 10,871 |
| 17.03% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035(2)(8) |
8,928 | 12,114 | ||||||
| 0.00%, 10/25/2035 |
22,254 | 20,631 | ||||||
| 5.75%, 10/25/2035 |
82,424 | 91,234 | ||||||
| 12.40% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035(2)(8) |
39,179 | 50,371 | ||||||
| 18.00% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035(2)(8) |
178,020 | 244,981 | ||||||
| 5.50%, 12/25/2035 |
46,935 | 50,028 | ||||||
| 5.50%, 12/25/2035 |
465,640 | 521,125 | ||||||
| 6.00%, 12/25/2035 |
14,677 | 16,065 | ||||||
| 6.00%, 12/25/2035 |
369,125 | 382,319 | ||||||
| 0.00%, 01/25/2036 |
2,191 | 2,168 | ||||||
| 5.50%, 01/25/2036 |
29,165 | 31,209 | ||||||
| 0.00%, 03/25/2036 |
18,547 | 16,681 | ||||||
| 0.00%, 03/25/2036 |
172,251 | 148,225 | ||||||
| 4.91% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036(2)(8) |
631,585 | 125,602 | ||||||
| 5.50%, 03/25/2036 |
71,512 | 79,282 | ||||||
| 5.50%, 03/25/2036 |
214,798 | 235,668 | ||||||
| 5.50%, 03/25/2036 |
242,204 | 269,302 | ||||||
| 18.00% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036(2)(8) |
16,472 | 24,386 | ||||||
| 0.00%, 04/25/2036 |
21,819 | 20,104 | ||||||
| 0.00%, 04/25/2036 |
58,202 | 52,519 | ||||||
| 0.00%, 04/25/2036 |
44,605 | 40,763 | ||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036(2) |
82,758 | 82,315 | ||||||
| 22.09% (1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036(2)(8) |
18,954 | 29,802 | ||||||
| 0.00%, 06/25/2036 |
133,919 | 124,525 | ||||||
| 0.00%, 06/25/2036 |
111,763 | 99,882 | ||||||
| 0.00%, 06/25/2036 |
31,119 | 28,035 | ||||||
| 0.00%, 06/25/2036 |
15,839 | 14,765 | ||||||
| 0.00%, 06/25/2036 |
49,356 | 43,682 | ||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036(2) |
36,475 | 36,228 | ||||||
| 4.79% (1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036(2)(8) |
133,783 | 21,357 | ||||||
| 17.63% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036(2)(8) |
5,825 | 8,490 | ||||||
| 2.17% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036(2) |
373,421 | 366,909 | ||||||
| 0.00%, 07/25/2036 |
9,762 | 9,609 | ||||||
| 0.00%, 07/25/2036 |
19,214 | 17,290 | ||||||
| 0.00%, 07/25/2036 |
36,336 | 32,905 | ||||||
| 0.00%, 07/25/2036 |
10,520 | 9,362 | ||||||
| 2.08% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036(2) |
296,266 | 294,403 | ||||||
| 2.25% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036(2) |
31,018 | 31,030 | ||||||
| 4.73% (1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036(2)(8) |
53,469 | 8,267 | ||||||
| 6.00%, 07/25/2036 |
410,170 | 463,805 | ||||||
| 6.50%, 07/25/2036 |
234,110 | 272,303 | ||||||
| 6.50%, 07/25/2036 |
176,632 | 202,659 | ||||||
| 21.63% (1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036(2)(8) |
18,270 | 28,376 | ||||||
| 29.15% (1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036(2)(8) |
13,791 | 26,892 | ||||||
| 0.00%, 08/25/2036 |
64,942 | 60,437 | ||||||
| 0.00%, 08/25/2036 |
26,400 | 24,614 | ||||||
| 0.00%, 08/25/2036 |
12,974 | 11,444 | ||||||
| 0.00%, 08/25/2036 |
37,586 | 35,579 | ||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036(2) |
111,377 | 110,897 | ||||||
| 4.71% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036(2)(8) |
93,197 | 27,012 | ||||||
| 6.50%, 08/25/2036 |
30,158 | 33,954 | ||||||
| 6.50%, 08/25/2036 |
118,679 | 133,546 | ||||||
| 0.00%, 09/25/2036 |
35,878 | 32,359 | ||||||
| 0.00%, 09/25/2036 |
14,306 | 12,733 | ||||||
| 0.00%, 09/25/2036 |
30,599 | 27,933 | ||||||
| 6.50%, 09/25/2036 |
11,991 | 13,456 | ||||||
| 4.50%, 10/25/2036 |
163,388 | 177,034 | ||||||
| 19.03% (1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036(2)(8) |
20,703 | 30,464 | ||||||
| 0.00%, 11/25/2036 |
25,353 | 22,620 | ||||||
| 0.00%, 11/25/2036 |
8,992 | 7,949 |
| 0.00%, 11/25/2036 |
56,570 | 50,801 | ||||||
| 0.00%, 12/25/2036 |
31,015 | 27,222 | ||||||
| 0.00%, 12/25/2036 |
12,821 | 11,740 | ||||||
| 1.77% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) |
59,574 | 59,213 | ||||||
| 1.77% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) |
267,218 | 264,532 | ||||||
| 4.86% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036(2)(8) |
113,896 | 16,944 | ||||||
| 19.39% (1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036(2)(8) |
4,849 | 7,013 | ||||||
| 0.00%, 01/25/2037 |
83,737 | 75,232 | ||||||
| 0.00%, 01/25/2037 |
31,984 | 28,279 | ||||||
| 5.50%, 01/25/2037 |
22,865 | 24,482 | ||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037(2) |
80,938 | 81,058 | ||||||
| 28.25% (1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037(2)(8) |
8,374 | 22,582 | ||||||
| 0.00%, 03/25/2037 |
25,825 | 23,509 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037(2) |
61,004 | 61,128 | ||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037(2) |
40,815 | 42,248 | ||||||
| 4.29% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037(2)(8) |
3,775 | 130 | ||||||
| 4.65% (1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037(2)(8) |
218,786 | 34,888 | ||||||
| 5.00%, 03/25/2037 |
4,953 | 5,368 | ||||||
| 6.00%, 03/25/2037 |
295,808 | 325,061 | ||||||
| 0.00%, 04/25/2037 |
81,202 | 75,937 | ||||||
| 4.31% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037(2)(8) |
55,010 | 4,266 | ||||||
| 16.69% (1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037(2)(8) |
41,264 | 62,295 | ||||||
| 0.00%, 05/25/2037 |
9,607 | 8,711 | ||||||
| 2.09% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037(2) |
41,447 | 41,390 | ||||||
| 6.00%, 05/25/2037 |
133,310 | 149,394 | ||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037(2) |
228,050 | 227,545 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 6.50% Cap), 06/25/2037(2) |
21,365 | 22,121 | ||||||
| 3.99% (1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037(2)(8) |
42,911 | 5,136 | ||||||
| 4.31% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(8) |
49,468 | 8,246 | ||||||
| 4.31% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037(2)(8) |
129,465 | 17,340 | ||||||
| 6.50%, 06/25/2037 |
25,738 | 28,643 | ||||||
| 0.00%, 07/25/2037 |
59,211 | 52,824 | ||||||
| 2.16% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037(2) |
55,208 | 55,290 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037(2) |
32,741 | 32,803 | ||||||
| 4.61% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037(2)(8) |
364,427 | 65,000 | ||||||
| 4.83% (1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037(2)(8) |
145,677 | 19,439 | ||||||
| 5.36% (1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037(2)(8) |
616,355 | 142,848 | ||||||
| 5.50%, 07/25/2037 |
156,195 | 171,451 | ||||||
| 12.02% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037(2)(8) |
32,935 | 39,710 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/25/2037(2) |
83,223 | 83,424 | ||||||
| 5.50%, 08/25/2037 |
37,081 | 41,018 | ||||||
| 6.00%, 08/25/2037 |
70,140 | 78,299 | ||||||
| 6.00%, 08/25/2037 |
66,484 | 73,116 | ||||||
| 6.00%, 08/25/2037 |
14,539 | 16,448 | ||||||
| 6.00%, 08/25/2037 |
52,675 | 59,173 | ||||||
| 17.45% (1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037(2)(8) |
54,397 | 85,823 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2037(2) |
613,097 | 614,569 | ||||||
| 4.75% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037(2)(8) |
198,926 | 37,589 | ||||||
| 11.67% (1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037(2)(8) |
13,093 | 16,421 | ||||||
| 0.00%, 10/25/2037 |
529,332 | 488,807 | ||||||
| 4.66% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037(2)(8) |
155,754 | 26,198 | ||||||
| 4.67% (1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037(2)(8) |
213,979 | 38,118 | ||||||
| 6.18%, 10/25/2037(4) |
54,624 | 60,475 | ||||||
| 4.57% (1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037(2)(8) |
6,848 | 744 | ||||||
| 4.61% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037(2)(8) |
180,233 | 21,537 | ||||||
| 4.66% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037(2)(8) |
200,440 | 31,864 | ||||||
| 6.50%, 12/25/2037 |
157,374 | 180,668 | ||||||
| 1.71%, 01/25/2038(4) |
334,752 | 14,949 | ||||||
| 4.12% (1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038(2)(8) |
167,487 | 25,955 | ||||||
| 4.21% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038(2)(8) |
391,287 | 57,083 |
| 2.69% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038(2) |
38,883 | 39,827 | ||||||
| 4.41% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038(2)(8) |
44,412 | 4,496 | ||||||
| 4.44% (1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038(2)(8) |
62,973 | 10,725 | ||||||
| 5.20% (1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038(2)(8) |
92,624 | 17,633 | ||||||
| 10.42% (1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038(2)(8) |
21,219 | 24,524 | ||||||
| 5.06% (1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038(2)(8) |
41,436 | 4,300 | ||||||
| 5.11% (1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038(2)(8) |
68,700 | 11,388 | ||||||
| 6.50%, 04/25/2038 |
25,729 | 26,397 | ||||||
| 15.32% (1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038(2)(8) |
24,993 | 34,270 | ||||||
| 0.00%, 05/25/2038 |
1,742 | 1,495 | ||||||
| 2.34%, 06/25/2038(4) |
131,236 | 8,216 | ||||||
| 5.00%, 07/25/2038 |
45,905 | 50,508 | ||||||
| 5.00%, 07/25/2038 |
46,151 | 50,016 | ||||||
| 5.41% (1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038(2)(8) |
53,245 | 7,186 | ||||||
| 5.50%, 07/25/2038 |
180,585 | 201,152 | ||||||
| 4.06% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(8) |
177,888 | 26,021 | ||||||
| 4.06% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038(2)(8) |
132,209 | 10,003 | ||||||
| 4.00%, 02/25/2039 |
63,695 | 64,440 | ||||||
| 4.50%, 02/25/2039 |
5,620 | 5,961 | ||||||
| 4.76% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039(2)(8) |
131,075 | 22,733 | ||||||
| 4.86% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039(2)(8) |
50,708 | 7,253 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039(2) |
204,917 | 205,030 | ||||||
| 5.00%, 07/25/2039 |
83,834 | 15,082 | ||||||
| 7.00%, 07/25/2039 |
2,724 | 3,101 | ||||||
| 5.00%, 08/25/2039 |
303,864 | 332,652 | ||||||
| 6.00%, 08/25/2039 |
380,019 | 432,502 | ||||||
| 5.00%, 09/25/2039 |
189,309 | 197,348 | ||||||
| 6.03%, 09/25/2039(4) |
150,306 | 168,859 | ||||||
| 4.11% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039(2)(8) |
52,191 | 5,793 | ||||||
| 5.50%, 10/25/2039 |
188,767 | 33,317 | ||||||
| 4.39% (1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039(2)(8) |
60,590 | 6,946 | ||||||
| 4.41%, 12/25/2039(4) |
179,598 | 187,147 | ||||||
| 6.30%, 12/25/2039(4) |
297,140 | 333,035 | ||||||
| 0.00%, 01/25/2040 |
46,282 | 41,323 | ||||||
| 4.46% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040(2)(8) |
135,453 | 25,515 | ||||||
| 6.20%, 02/25/2040(4) |
60,349 | 67,004 | ||||||
| 6.21%, 03/25/2040(4) |
210,442 | 240,943 | ||||||
| 6.44%, 03/25/2040(4) |
231,585 | 265,187 | ||||||
| 9.08% (1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040(2)(8) |
297,317 | 353,592 | ||||||
| 2.39% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040(2) |
55,121 | 55,491 | ||||||
| 4.63% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040(2)(8) |
90,919 | 11,571 | ||||||
| 11.69% (1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040(2)(8) |
136,787 | 172,668 | ||||||
| 2.39% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040(2) |
81,320 | 81,804 | ||||||
| 4.61% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040(2)(8) |
61,240 | 9,862 | ||||||
| 0.00%, 06/25/2040 |
76,063 | 68,132 | ||||||
| 5.00%, 06/25/2040 |
566,708 | 613,824 | ||||||
| 5.50%, 06/25/2040 |
880,916 | 965,255 | ||||||
| 5.50%, 07/25/2040 |
357,438 | 404,469 | ||||||
| 5.00%, 09/25/2040 |
206,000 | 231,010 | ||||||
| 5.50%, 10/25/2040 |
1,357,132 | 1,546,581 | ||||||
| 2.65% (1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040(2)(8) |
627,150 | 58,177 | ||||||
| 4.50%, 12/25/2040 |
5,359,402 | 6,033,968 | ||||||
| 2.34% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041(2) |
116,777 | 117,501 | ||||||
| 4.74% (1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041(2)(8) |
655,545 | 134,094 | ||||||
| 2.37%, 04/25/2041(4) |
607,955 | 34,221 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041(2) |
63,474 | 63,566 | ||||||
| 2.34% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041(2) |
156,612 | 157,988 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041(2) |
242,574 | 242,943 | ||||||
| 7.00%, 11/25/2041 |
1,241,367 | 1,462,825 | ||||||
| 7.00%, 11/25/2041 |
1,092,782 | 1,260,954 |
| 7.00%, 11/25/2041 |
1,023,712 | 1,212,497 | ||||||
| 4.50%, 01/25/2042 |
2,427,858 | 2,656,792 | ||||||
| 3.50%, 03/25/2042 |
1,000,000 | 1,036,837 | ||||||
| 4.50%, 04/25/2042 |
1,500,000 | 1,682,382 | ||||||
| 6.50%, 06/25/2042 |
56,755 | 64,882 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042(2) |
402,354 | 400,750 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) |
192,687 | 193,046 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) |
1,404,658 | 1,406,531 | ||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042(2) |
558,355 | 558,532 | ||||||
| 3.00%, 02/25/2043 |
1,000,000 | 1,013,519 | ||||||
| 3.50%, 02/25/2043 |
391,018 | 411,201 | ||||||
| 0.00%, 09/25/2043 |
1,296,320 | 1,112,648 | ||||||
| 0.00%, 10/25/2043 |
918,000 | 795,023 | ||||||
| 0.00%, 12/25/2043 |
2,428,925 | 2,125,774 | ||||||
| 3.50%, 06/25/2044 |
4,306,693 | 4,388,489 | ||||||
| 3.00%, 06/25/2045 |
2,047,650 | 2,085,179 | ||||||
| 2.50%, 11/25/2045 |
6,415,884 | 6,487,295 | ||||||
| 3.00%, 01/25/2046 |
1,935,074 | 1,987,971 | ||||||
| 3.00%, 04/25/2046 |
5,724,498 | 5,844,889 | ||||||
| 3.00%, 06/25/2046 |
5,298,187 | 5,408,473 | ||||||
| 3.00%, 02/25/2047 |
1,920,396 | 1,962,450 | ||||||
| 4.31% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049(2)(8) |
86,700 | 6,670 | ||||||
| 5.86%, 02/25/2051(4) |
98,595 | 108,027 | ||||||
| 5.43%, 07/25/2051(4) |
30,523 | 33,838 | ||||||
| Fannie Mae REMICS SER 1990-140 CL K |
||||||||
| 652.15%, 12/25/2020 |
3 | 10 | ||||||
| Fannie Mae REMICS SER 1993-165 CL SK V/R |
||||||||
| 12.50% (1 Month LIBOR USD + 77.31%, 12.50% Cap), 09/25/2023(2)(8) |
1,286 | 1,382 | ||||||
| Fannie Mae REMICS SER 2019 CL BA |
||||||||
| 1.99%, 12/25/2029 |
25,784,000 | 25,410,563 | ||||||
| Fannie Mae REMICS SER G92-35 CL G |
||||||||
| 1184.78%, 07/25/2022 |
2 | 21 | ||||||
| Fannie Mae Trust 2003-W2 |
||||||||
| 5.90%, 07/25/2042 |
53,545 | 60,124 | ||||||
| 6.50%, 07/25/2042 |
91,864 | 104,391 | ||||||
| Fannie Mae Trust 2003-W6 |
||||||||
| 5.20%, 09/25/2042 |
340,762 | 372,436 | ||||||
| 6.50%, 09/25/2042 |
127,313 | 144,769 | ||||||
| Fannie Mae Trust 2003-W8 |
||||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042(2) |
29,090 | 29,026 | ||||||
| 7.00%, 10/25/2042 |
140,843 | 163,206 | ||||||
| Fannie Mae Trust 2004-W1 |
||||||||
| 7.00%, 12/25/2033 |
211,270 | 241,833 | ||||||
| Fannie Mae Trust 2004-W15 |
||||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044(2) |
134,115 | 133,347 | ||||||
| Fannie Mae Trust 2004-W2 |
||||||||
| 7.00%, 02/25/2044 |
45,365 | 51,825 | ||||||
| Fannie Mae Trust 2004-W8 |
||||||||
| 7.50%, 06/25/2044 |
46,004 | 53,505 | ||||||
| Fannie Mae Trust 2005-W3 |
||||||||
| 2.01% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045(2) |
1,062,522 | 1,058,454 | ||||||
| Fannie Mae Trust 2005-W4 |
||||||||
| 6.00%, 08/25/2045 |
58,516 | 65,502 | ||||||
| Fannie Mae Trust 2006-W2 |
||||||||
| 4.23%, 11/25/2045(4) |
146,636 | 155,003 | ||||||
| 2.01% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046(2) |
491,860 | 491,810 | ||||||
| Fannie Mae Whole Loan |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046(2) |
1,133,946 | 1,117,432 | ||||||
| Fannie Mae-Aces |
||||||||
| 4.33%, 03/25/2020(4) |
108,524 | 108,649 |
| 3.66%, 11/25/2020 |
97,270 | 97,862 | ||||||
| 3.76%, 06/25/2021 |
503,626 | 510,917 | ||||||
| 2.92%, 08/25/2021 |
503,169 | 507,033 | ||||||
| 2.78% (1 Month LIBOR USD + 0.93%), 11/25/2022(2) |
614,907 | 616,008 | ||||||
| 2.28%, 12/27/2022 |
896,287 | 899,999 | ||||||
| 2.39%, 01/25/2023(4) |
785,026 | 790,857 | ||||||
| 3.51%, 12/25/2023(4) |
2,175,010 | 2,277,185 | ||||||
| 3.48%, 01/25/2024(4) |
12,389,696 | 12,952,214 | ||||||
| 3.10%, 07/25/2024(4) |
1,066,000 | 1,103,855 | ||||||
| 3.02%, 08/25/2024(4) |
1,273,000 | 1,311,243 | ||||||
| 2.53%, 09/25/2024 |
1,390,000 | 1,411,664 | ||||||
| 2.72%, 10/25/2024 |
13,450,000 | 13,716,539 | ||||||
| 2.59%, 12/25/2024 |
1,624,240 | 1,647,221 | ||||||
| 3.04%, 12/25/2024(4) |
2,602,764 | 2,698,279 | ||||||
| 2.83%, 01/25/2025(4) |
1,381,396 | 1,426,910 | ||||||
| 2.90%, 01/25/2025(4) |
2,000,000 | 2,053,516 | ||||||
| 2.93%, 11/25/2025(4) |
8,800,000 | 9,075,328 | ||||||
| 2.38%, 09/25/2026 |
5,500,000 | 5,486,719 | ||||||
| 2.42%, 10/25/2026(4) |
5,335,000 | 5,374,432 | ||||||
| 2.48%, 12/25/2026(4) |
8,000,000 | 8,086,905 | ||||||
| 2.59%, 12/25/2026(4) |
43,307,000 | 44,055,691 | ||||||
| 2.96%, 02/25/2027(4) |
3,535,000 | 3,666,779 | ||||||
| 3.09%, 04/25/2027(4) |
23,211,000 | 24,173,630 | ||||||
| 3.06%, 05/25/2027(4) |
29,130,000 | 30,363,256 | ||||||
| 3.08%, 06/25/2027(4) |
5,513,000 | 5,766,900 | ||||||
| 3.04%, 03/25/2028(4) |
3,891,000 | 4,067,826 | ||||||
| 3.33%, 06/25/2028(4) |
5,160,000 | 5,483,044 | ||||||
| 3.38%, 07/25/2028(4) |
35,477,000 | 37,865,968 | ||||||
| 3.38%, 07/25/2028(4) |
7,576,329 | 8,059,447 | ||||||
| 3.55%, 09/25/2028(4) |
7,310,000 | 7,896,883 | ||||||
| 3.63%, 11/25/2028(4) |
12,600,000 | 13,706,138 | ||||||
| 3.18%, 04/25/2029(4) |
4,540,000 | 4,771,813 | ||||||
| 2.10%, 08/25/2029 |
20,479,219 | 20,199,045 | ||||||
| 2.98%, 08/25/2029 |
2,200,000 | 2,287,309 | ||||||
| 3.09%, 02/25/2030(4) |
2,791,000 | 2,930,786 | ||||||
| 3.64%, 08/25/2030(4) |
7,611,341 | 8,317,530 | ||||||
| FHLMC-Ginnie Mae |
||||||||
| 7.00%, 03/25/2023 |
5,387 | 5,614 | ||||||
| 6.25%, 11/25/2023 |
4,327 | 4,572 | ||||||
| 7.50%, 04/25/2024 |
30,023 | 32,208 | ||||||
| First Horizon Alternative Mortgage Securities Trust 2005-FA8 |
||||||||
| 5.50%, 11/25/2035 |
93,859 | 75,481 | ||||||
| First Horizon Alternative Mortgage Securities Trust 2006-FA6 |
||||||||
| 5.75%, 11/25/2021 |
7,525 | 7,400 | ||||||
| First Horizon Alternative Mortgage Securities Trust 2006-FA8 |
||||||||
| 5.75%, 02/25/2037 |
21,136 | 16,674 | ||||||
| First Horizon Alternative Mortgage Securities Trust 2007-FA4 |
||||||||
| 3.86% (1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037(2)(8) |
790,106 | 153,743 | ||||||
| Freddie Mac Gold Pool |
||||||||
| 5.50%, 04/01/2020 |
3 | 3 | ||||||
| 6.00%, 06/01/2020 |
161 | 162 | ||||||
| 6.00%, 08/01/2020 |
171 | 172 | ||||||
| 6.00%, 07/01/2021 |
689 | 691 | ||||||
| 6.00%, 07/01/2021 |
37 | 37 | ||||||
| 6.00%, 03/01/2022 |
40 | 41 | ||||||
| 6.50%, 03/01/2022 |
803 | 811 | ||||||
| 5.50%, 02/01/2024 |
4,784 | 4,926 | ||||||
| 8.00%, 08/01/2024 |
434 | 474 | ||||||
| 8.00%, 11/01/2024 |
292 | 312 | ||||||
| 7.50%, 08/01/2025 |
822 | 889 |
| 10.00%, 03/17/2026 |
741 | 742 | ||||||
| 7.00%, 04/01/2026 |
1,019 | 1,117 | ||||||
| 4.00%, 05/01/2026 |
853,241 | 892,628 | ||||||
| 3.50%, 01/01/2027 |
162,916 | 169,704 | ||||||
| 6.50%, 01/01/2028 |
36,319 | 39,875 | ||||||
| 2.50%, 03/01/2028 |
7,209,538 | 7,305,151 | ||||||
| 2.50%, 04/01/2028 |
1,938,980 | 1,964,704 | ||||||
| 2.50%, 06/01/2028 |
755,508 | 768,031 | ||||||
| 3.00%, 07/01/2028 |
1,492,068 | 1,537,137 | ||||||
| 8.50%, 07/01/2028 |
2,285 | 2,577 | ||||||
| 3.00%, 08/01/2028 |
859,895 | 888,779 | ||||||
| 3.00%, 09/01/2028 |
3,087,376 | 3,185,304 | ||||||
| 3.00%, 10/01/2028 |
1,279,596 | 1,325,699 | ||||||
| 7.00%, 12/01/2028 |
38,212 | 43,198 | ||||||
| 3.00%, 05/01/2029 |
1,203,396 | 1,246,700 | ||||||
| 6.50%, 06/01/2029 |
11,462 | 12,732 | ||||||
| 7.00%, 07/01/2029 |
897 | 980 | ||||||
| 6.50%, 08/01/2029 |
82,014 | 92,282 | ||||||
| 6.00%, 10/01/2029 |
10,744 | 11,937 | ||||||
| 2.50%, 03/01/2030 |
1,479,309 | 1,501,773 | ||||||
| 2.50%, 07/01/2030 |
3,365,396 | 3,416,473 | ||||||
| 10.00%, 10/01/2030 |
13,381 | 14,182 | ||||||
| 7.00%, 01/01/2031 |
30,856 | 34,365 | ||||||
| 3.00%, 04/01/2031 |
5,672,239 | 5,848,793 | ||||||
| 2.50%, 07/01/2031 |
2,924,060 | 2,965,429 | ||||||
| 2.50%, 08/01/2031 |
1,792,517 | 1,817,861 | ||||||
| 3.00%, 09/01/2031 |
1,239,220 | 1,278,335 | ||||||
| 2.00%, 01/01/2032 |
5,788,444 | 5,753,800 | ||||||
| 3.50%, 01/01/2032 |
518,239 | 542,072 | ||||||
| 7.50%, 01/01/2032 |
86,539 | 96,841 | ||||||
| 3.00%, 02/01/2032 |
9,028,079 | 9,314,850 | ||||||
| 3.00%, 02/01/2032 |
6,242,973 | 6,437,357 | ||||||
| 3.50%, 03/01/2032 |
211,988 | 221,738 | ||||||
| 7.00%, 07/01/2032 |
3,156 | 3,496 | ||||||
| 7.00%, 08/01/2032 |
4,904 | 5,631 | ||||||
| 5.50%, 01/01/2033 |
56,854 | 63,182 | ||||||
| 3.50%, 02/01/2033 |
156,430 | 162,205 | ||||||
| 3.50%, 05/01/2033 |
207,230 | 214,869 | ||||||
| 3.50%, 05/01/2033 |
731,883 | 758,902 | ||||||
| 5.50%, 10/01/2033 |
37,060 | 41,699 | ||||||
| 6.00%, 12/01/2033 |
11,646 | 12,885 | ||||||
| 3.50%, 01/01/2034 |
7,822,960 | 8,181,703 | ||||||
| 5.00%, 01/01/2034 |
27,067 | 29,862 | ||||||
| 6.00%, 01/01/2034 |
6,440 | 6,669 | ||||||
| 6.00%, 01/01/2034 |
25,762 | 29,502 | ||||||
| 5.00%, 06/01/2034 |
72,153 | 79,498 | ||||||
| 5.00%, 09/01/2034 |
79,530 | 87,794 | ||||||
| 6.50%, 11/01/2034 |
6,263 | 7,145 | ||||||
| 6.50%, 01/01/2035 |
89,714 | 99,885 | ||||||
| 5.00%, 03/01/2035 |
33,929 | 37,035 | ||||||
| 5.50%, 07/01/2035 |
76,709 | 85,183 | ||||||
| 5.00%, 08/01/2035 |
1,200,440 | 1,330,550 | ||||||
| 4.50%, 11/01/2035 |
10,648 | 11,529 | ||||||
| 6.50%, 12/01/2035 |
57,064 | 64,748 | ||||||
| 6.50%, 12/01/2035 |
17,802 | 19,172 | ||||||
| 5.50%, 01/01/2036 |
18,373 | 20,667 | ||||||
| 5.00%, 03/01/2036 |
2,504,995 | 2,761,995 | ||||||
| 5.00%, 07/01/2036 |
2,388 | 2,635 | ||||||
| 5.00%, 11/01/2036 |
70,195 | 77,456 | ||||||
| 6.00%, 11/01/2036 |
8,983 | 9,713 |
| 6.50%, 11/01/2036 |
19,727 | 22,163 | ||||||
| 6.50%, 11/01/2036 |
108,558 | 120,884 | ||||||
| 6.50%, 11/01/2036 |
196,559 | 221,397 | ||||||
| 5.50%, 12/01/2036 |
33,752 | 37,983 | ||||||
| 6.00%, 12/01/2036 |
16,210 | 18,606 | ||||||
| 6.00%, 12/01/2036 |
6,409 | 7,158 | ||||||
| 6.50%, 12/01/2036 |
100,217 | 115,034 | ||||||
| 6.50%, 12/01/2036 |
229,276 | 259,511 | ||||||
| 7.50%, 12/01/2036 |
271,661 | 302,236 | ||||||
| 3.00%, 01/01/2037 |
2,851,295 | 2,927,042 | ||||||
| 6.50%, 01/01/2037 |
6,179 | 6,341 | ||||||
| 6.50%, 01/01/2037 |
17,138 | 18,744 | ||||||
| 6.50%, 02/01/2037 |
8,499 | 8,937 | ||||||
| 7.00%, 02/01/2037 |
7,269 | 8,488 | ||||||
| 5.00%, 03/01/2037 |
189,000 | 208,407 | ||||||
| 5.00%, 06/01/2037 |
218,589 | 241,019 | ||||||
| 6.50%, 06/01/2037 |
8,173 | 8,720 | ||||||
| 5.00%, 08/01/2037 |
202,764 | 223,769 | ||||||
| 3.50%, 11/01/2037 |
2,910,902 | 3,034,951 | ||||||
| 6.50%, 11/01/2037 |
41,470 | 48,159 | ||||||
| 3.00%, 12/01/2037 |
812,436 | 831,936 | ||||||
| 3.00%, 01/01/2038 |
1,227,200 | 1,259,647 | ||||||
| 7.50%, 01/01/2038 |
35,078 | 42,278 | ||||||
| 7.50%, 01/01/2038 |
61,825 | 72,752 | ||||||
| 5.00%, 02/01/2038 |
229,063 | 252,333 | ||||||
| 5.00%, 03/01/2038 |
242,548 | 267,389 | ||||||
| 5.00%, 03/01/2038 |
266,800 | 294,216 | ||||||
| 5.00%, 03/01/2038 |
63,876 | 70,465 | ||||||
| 5.00%, 03/01/2038 |
220,242 | 243,020 | ||||||
| 6.50%, 03/01/2038 |
52,889 | 61,151 | ||||||
| 5.00%, 04/01/2038 |
150,456 | 165,782 | ||||||
| 5.50%, 05/01/2038 |
55,294 | 62,079 | ||||||
| 5.50%, 08/01/2038 |
69,903 | 78,527 | ||||||
| 5.00%, 09/01/2038 |
174,624 | 192,534 | ||||||
| 5.00%, 09/01/2038 |
30,242 | 33,345 | ||||||
| 7.50%, 09/01/2038 |
27,595 | 31,718 | ||||||
| 5.00%, 11/01/2038 |
65,950 | 72,376 | ||||||
| 5.00%, 11/01/2038 |
1,278 | 1,410 | ||||||
| 5.00%, 12/01/2038 |
708 | 780 | ||||||
| 5.00%, 12/01/2038 |
206,155 | 227,264 | ||||||
| 5.50%, 01/01/2039 |
2,611,607 | 2,939,987 | ||||||
| 5.00%, 02/01/2039 |
430,047 | 474,187 | ||||||
| 5.00%, 05/01/2039 |
8,085 | 9,064 | ||||||
| 4.50%, 07/01/2039 |
203,005 | 220,479 | ||||||
| 4.50%, 10/01/2039 |
1,593,724 | 1,730,546 | ||||||
| 5.00%, 10/01/2039 |
471,176 | 519,499 | ||||||
| 4.50%, 11/01/2039 |
1,824,834 | 1,982,024 | ||||||
| 4.50%, 11/01/2039 |
2,445,004 | 2,656,302 | ||||||
| 5.00%, 01/01/2040 |
116,248 | 128,232 | ||||||
| 5.00%, 03/01/2040 |
192,449 | 211,550 | ||||||
| 5.00%, 03/01/2040 |
2,277,913 | 2,514,513 | ||||||
| 5.50%, 03/01/2040 |
24,950 | 27,974 | ||||||
| 4.50%, 05/01/2040 |
854,142 | 926,909 | ||||||
| 5.50%, 05/01/2040 |
1,748,487 | 1,962,685 | ||||||
| 4.50%, 08/01/2040 |
395,601 | 428,476 | ||||||
| 5.00%, 08/01/2040 |
1,211,530 | 1,337,385 | ||||||
| 5.00%, 08/01/2040 |
325,797 | 359,641 | ||||||
| 5.50%, 08/01/2040 |
715,662 | 803,212 | ||||||
| 4.00%, 09/01/2040 |
718,313 | 770,630 | ||||||
| 4.50%, 09/01/2040 |
1,281,267 | 1,392,009 |
| 4.50%, 09/01/2040 |
315,464 | 342,720 | ||||||
| 4.00%, 11/01/2040 |
2,181,149 | 2,340,243 | ||||||
| 4.00%, 11/01/2040 |
38,099 | 40,874 | ||||||
| 4.00%, 12/01/2040 |
1,393,847 | 1,495,520 | ||||||
| 4.00%, 12/01/2040 |
1,110,139 | 1,191,167 | ||||||
| 4.00%, 12/01/2040 |
402,696 | 432,042 | ||||||
| 4.00%, 12/01/2040 |
926,233 | 993,780 | ||||||
| 4.00%, 12/01/2040 |
1,308,379 | 1,403,846 | ||||||
| 4.00%, 01/01/2041 |
739,946 | 786,267 | ||||||
| 4.50%, 03/01/2041 |
249,912 | 271,506 | ||||||
| 5.00%, 04/01/2041 |
864,154 | 939,111 | ||||||
| 4.50%, 05/01/2041 |
1,788,836 | 1,943,237 | ||||||
| 5.00%, 06/01/2041 |
347,296 | 382,670 | ||||||
| 4.50%, 08/01/2041 |
648,871 | 704,952 | ||||||
| 4.00%, 10/01/2041 |
4,330,393 | 4,645,420 | ||||||
| 4.00%, 11/01/2041 |
12,261 | 13,146 | ||||||
| 4.00%, 01/01/2042 |
226,932 | 243,209 | ||||||
| 3.50%, 05/01/2042 |
890,257 | 937,747 | ||||||
| 4.00%, 05/01/2042 |
14,513 | 15,538 | ||||||
| 3.50%, 06/01/2042 |
2,686,356 | 2,824,840 | ||||||
| 3.50%, 06/01/2042 |
445,979 | 470,146 | ||||||
| 4.00%, 06/01/2042 |
2,030,299 | 2,161,276 | ||||||
| 3.00%, 08/01/2042 |
1,889,152 | 1,946,441 | ||||||
| 3.50%, 08/01/2042 |
809,800 | 853,685 | ||||||
| 3.50%, 09/01/2042 |
2,994,199 | 3,156,469 | ||||||
| 3.50%, 09/01/2042 |
5,780,567 | 6,100,975 | ||||||
| 3.00%, 10/01/2042 |
4,786,938 | 4,931,322 | ||||||
| 3.50%, 10/01/2042 |
2,619,895 | 2,761,587 | ||||||
| 3.50%, 10/01/2042 |
10,801,657 | 11,387,020 | ||||||
| 4.00%, 10/01/2042 |
101,452 | 105,279 | ||||||
| 3.00%, 11/01/2042 |
5,895,400 | 6,074,257 | ||||||
| 3.50%, 11/01/2042 |
2,967,142 | 3,127,947 | ||||||
| 3.50%, 11/01/2042 |
1,121,568 | 1,182,311 | ||||||
| 3.50%, 11/01/2042 |
94,717 | 99,599 | ||||||
| 3.50%, 12/01/2042 |
3,415,148 | 3,598,784 | ||||||
| 3.50%, 01/01/2043 |
7,765,961 | 8,186,761 | ||||||
| 4.00%, 01/01/2043 |
252,628 | 268,987 | ||||||
| 3.00%, 02/01/2043 |
407,428 | 419,636 | ||||||
| 3.00%, 03/01/2043 |
5,242,044 | 5,399,137 | ||||||
| 3.00%, 03/01/2043 |
2,589,216 | 2,666,871 | ||||||
| 3.50%, 03/01/2043 |
800,566 | 843,739 | ||||||
| 3.00%, 04/01/2043 |
94,748 | 97,576 | ||||||
| 3.00%, 04/01/2043 |
11,966,251 | 12,324,552 | ||||||
| 3.50%, 05/01/2043 |
285,211 | 299,902 | ||||||
| 3.00%, 06/01/2043 |
37,337 | 38,409 | ||||||
| 3.50%, 06/01/2043 |
1,618,184 | 1,705,595 | ||||||
| 3.50%, 06/01/2043 |
950,485 | 998,542 | ||||||
| 4.00%, 06/01/2043 |
21,441 | 23,028 | ||||||
| 3.00%, 07/01/2043 |
27,124 | 27,928 | ||||||
| 3.00%, 07/01/2043 |
367,858 | 378,811 | ||||||
| 3.50%, 07/01/2043 |
567,000 | 597,432 | ||||||
| 3.00%, 08/01/2043 |
6,937,843 | 7,142,393 | ||||||
| 3.00%, 08/01/2043 |
509,354 | 524,096 | ||||||
| 4.00%, 09/01/2043 |
149,425 | 157,079 | ||||||
| 4.00%, 09/01/2043 |
6,796,129 | 7,292,747 | ||||||
| 3.50%, 10/01/2043 |
221,602 | 233,155 | ||||||
| 4.00%, 11/01/2043 |
177,788 | 189,301 | ||||||
| 4.00%, 11/01/2043 |
84,992 | 90,570 | ||||||
| 4.00%, 12/01/2043 |
1,671,921 | 1,778,829 | ||||||
| 4.00%, 12/01/2043 |
236,517 | 251,328 |
| 4.00%, 12/01/2043 |
908,357 | 964,210 | ||||||
| 4.50%, 12/01/2043 |
6,839,708 | 7,435,932 | ||||||
| 4.00%, 01/01/2044 |
519,224 | 552,429 | ||||||
| 4.00%, 01/01/2044 |
149,867 | 159,266 | ||||||
| 4.00%, 03/01/2044 |
2,851,911 | 3,027,177 | ||||||
| 4.50%, 03/01/2044 |
620,918 | 668,137 | ||||||
| 3.50%, 05/01/2044 |
14,780,806 | 15,638,698 | ||||||
| 4.00%, 05/01/2044 |
120,877 | 128,132 | ||||||
| 4.50%, 05/01/2044 |
938,428 | 1,009,211 | ||||||
| 4.50%, 07/01/2044 |
35,622 | 37,859 | ||||||
| 4.50%, 07/01/2044 |
284,688 | 306,250 | ||||||
| 4.50%, 09/01/2044 |
1,801,207 | 1,937,726 | ||||||
| 4.00%, 10/01/2044 |
7,750,204 | 8,301,855 | ||||||
| 3.50%, 01/01/2045 |
12,635,816 | 13,319,077 | ||||||
| 4.00%, 01/01/2045 |
457,691 | 485,199 | ||||||
| 3.00%, 05/01/2045 |
1,151,891 | 1,187,166 | ||||||
| 3.00%, 05/01/2045 |
2,453,680 | 2,525,790 | ||||||
| 3.00%, 06/01/2045 |
596,498 | 611,388 | ||||||
| 3.50%, 06/01/2045 |
1,510,076 | 1,583,810 | ||||||
| 3.50%, 08/01/2045 |
5,831,557 | 6,116,060 | ||||||
| 3.00%, 10/01/2045 |
4,944,260 | 5,091,657 | ||||||
| 4.00%, 10/01/2045 |
667,790 | 707,949 | ||||||
| 4.00%, 10/01/2045 |
8,578,205 | 9,093,424 | ||||||
| 4.00%, 11/01/2045 |
12,844,379 | 13,616,403 | ||||||
| 3.50%, 12/01/2045 |
5,536,566 | 5,784,380 | ||||||
| 3.50%, 01/01/2046 |
9,447,305 | 9,953,598 | ||||||
| 3.50%, 01/01/2046 |
844,077 | 885,207 | ||||||
| 4.00%, 01/01/2046 |
3,536,515 | 3,775,583 | ||||||
| 3.50%, 05/01/2046 |
3,532,265 | 3,683,395 | ||||||
| 4.00%, 05/01/2046 |
334,394 | 353,630 | ||||||
| 4.00%, 06/01/2046 |
10,836,588 | 11,487,437 | ||||||
| 3.50%, 07/01/2046 |
3,941,068 | 4,098,895 | ||||||
| 3.50%, 07/01/2046 |
2,219,128 | 2,311,015 | ||||||
| 3.50%, 08/01/2046 |
7,453,774 | 7,886,697 | ||||||
| 3.50%, 08/01/2046 |
10,955,152 | 11,531,340 | ||||||
| 4.00%, 08/01/2046 |
2,592,678 | 2,746,998 | ||||||
| 4.50%, 09/01/2046 |
4,168,892 | 4,424,011 | ||||||
| 3.00%, 10/01/2046 |
8,781,535 | 8,993,738 | ||||||
| 3.00%, 10/01/2046 |
21,034,465 | 21,653,181 | ||||||
| 4.50%, 10/01/2046 |
3,453,118 | 3,659,715 | ||||||
| 4.50%, 11/01/2046 |
12,664,385 | 13,740,726 | ||||||
| 3.50%, 12/01/2046 |
407,219 | 423,155 | ||||||
| 3.50%, 12/01/2046 |
8,114,037 | 8,510,265 | ||||||
| 3.50%, 01/01/2047 |
3,943,521 | 4,104,489 | ||||||
| 4.00%, 01/01/2047 |
13,551,403 | 14,567,796 | ||||||
| 4.50%, 03/01/2047 |
1,139,346 | 1,223,523 | ||||||
| 4.00%, 04/01/2047 |
1,750,169 | 1,840,312 | ||||||
| 3.00%, 05/01/2047 |
16,093,217 | 16,516,677 | ||||||
| 3.50%, 07/01/2047 |
11,924,342 | 12,373,142 | ||||||
| 4.50%, 07/01/2047 |
4,814,436 | 5,141,080 | ||||||
| 4.50%, 07/01/2047 |
1,842,574 | 1,949,310 | ||||||
| 3.50%, 08/01/2047 |
2,507,668 | 2,603,852 | ||||||
| 4.00%, 09/01/2047 |
8,311,471 | 8,836,348 | ||||||
| 3.50%, 10/01/2047 |
24,996,589 | 25,958,934 | ||||||
| 3.50%, 10/01/2047 |
10,521,627 | 10,927,719 | ||||||
| 4.00%, 10/01/2047 |
781,551 | 821,643 | ||||||
| 4.50%, 11/01/2047 |
1,384,969 | 1,470,746 | ||||||
| 5.00%, 12/01/2047 |
5,882,760 | 6,300,478 | ||||||
| 3.50%, 01/01/2048 |
3,445,332 | 3,582,373 | ||||||
| 3.50%, 01/01/2048 |
10,108,905 | 10,535,373 |
| 4.50%, 02/01/2048 |
3,313,163 | 3,501,636 | ||||||
| 5.00%, 02/01/2048 |
2,108,876 | 2,261,393 | ||||||
| 3.50%, 03/01/2048 |
6,922,124 | 7,210,515 | ||||||
| 4.00%, 04/01/2048 |
5,517,887 | 5,798,147 | ||||||
| 4.00%, 06/01/2048 |
1,464,340 | 1,528,644 | ||||||
| 4.00%, 06/01/2048 |
4,919,462 | 5,133,056 | ||||||
| 4.00%, 07/01/2048 |
5,050,760 | 5,301,078 | ||||||
| 3.50%, 08/01/2048 |
3,660,992 | 3,764,791 | ||||||
| 5.00%, 08/01/2048 |
5,184,360 | 5,560,725 | ||||||
| 4.50%, 09/01/2048 |
575,348 | 625,230 | ||||||
| 4.50%, 09/01/2048 |
398,222 | 430,053 | ||||||
| 4.50%, 09/01/2048 |
448,834 | 487,197 | ||||||
| 4.50%, 09/01/2048 |
424,491 | 448,251 | ||||||
| 4.50%, 09/01/2048 |
376,553 | 411,495 | ||||||
| 4.50%, 12/01/2048 |
772,451 | 843,198 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
| 1.48%, 06/25/2020(4) |
46,215,816 | 44,862 | ||||||
| 2.60%, 09/25/2020 |
32,124 | 32,134 | ||||||
| 1.37%, 05/25/2022(4) |
49,817,745 | 1,368,643 | ||||||
| 2.36%, 08/25/2022 |
2,116,550 | 2,118,575 | ||||||
| 2.86%, 08/25/2022 |
5,814,279 | 5,911,791 | ||||||
| 3.07%, 08/25/2022 |
2,438,000 | 2,489,606 | ||||||
| 2.40% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 09/25/2022(2) |
631,940 | 631,817 | ||||||
| 2.84%, 09/25/2022 |
2,277,224 | 2,317,421 | ||||||
| 0.82%, 10/25/2022(4) |
21,065,349 | 418,722 | ||||||
| 2.31%, 12/25/2022 |
4,929,636 | 4,970,454 | ||||||
| 2.52%, 01/25/2023 |
1,936,089 | 1,951,967 | ||||||
| 2.62%, 01/25/2023 |
8,500,000 | 8,614,328 | ||||||
| 3.11%, 02/25/2023 |
13,450,000 | 13,854,649 | ||||||
| 3.32%, 02/25/2023 |
5,550,000 | 5,754,160 | ||||||
| 3.49%, 01/25/2024 |
18,300,000 | 19,234,420 | ||||||
| 3.10%, 02/25/2024(4) |
11,250,000 | 11,625,941 | ||||||
| 3.39%, 03/25/2024 |
4,286,000 | 4,499,108 | ||||||
| 2.91%, 04/25/2024 |
9,500,000 | 9,757,207 | ||||||
| 3.04%, 07/25/2024 |
10,000,000 | 10,342,683 | ||||||
| 2.81%, 09/25/2024 |
6,287,000 | 6,428,333 | ||||||
| 2.77%, 05/25/2025 |
4,250,000 | 4,368,866 | ||||||
| 3.33%, 08/25/2025(4) |
10,000,000 | 10,572,426 | ||||||
| 1.36%, 03/25/2026(4) |
27,466,716 | 1,969,830 | ||||||
| 2.57%, 07/25/2026 |
10,075,000 | 10,276,182 | ||||||
| 3.17%, 09/25/2026(4) |
9,915,000 | 10,416,245 | ||||||
| 3.36%, 12/25/2026(4) |
27,000,000 | 28,497,223 | ||||||
| 3.41%, 12/25/2026 |
15,125,000 | 16,165,511 | ||||||
| 3.51%, 01/25/2027(4) |
23,250,000 | 24,880,283 | ||||||
| 3.22%, 03/25/2027 |
8,625,000 | 9,121,042 | ||||||
| 3.24%, 04/25/2027 |
7,030,000 | 7,449,225 | ||||||
| 3.33%, 05/25/2027 |
1,779,000 | 1,888,469 | ||||||
| 3.12%, 06/25/2027 |
4,263,000 | 4,481,062 | ||||||
| 3.24%, 08/25/2027 |
2,846,000 | 3,017,234 | ||||||
| 3.19%, 09/25/2027(4) |
35,150,000 | 37,121,128 | ||||||
| 3.25%, 09/25/2027(4) |
4,900,000 | 5,175,571 | ||||||
| 3.30%, 11/25/2027(4) |
4,589,000 | 4,882,004 | ||||||
| 3.36%, 11/25/2027(4) |
18,922,000 | 20,088,312 | ||||||
| 3.36%, 12/25/2027 |
3,332,000 | 3,546,884 | ||||||
| 3.35%, 01/25/2028 |
5,167,000 | 5,511,718 | ||||||
| 3.21%, 04/25/2028(4) |
12,045,000 | 12,607,306 | ||||||
| 3.90%, 04/25/2028 |
8,575,000 | 9,413,825 | ||||||
| 3.85%, 05/25/2028(4) |
3,550,000 | 3,889,340 | ||||||
| 3.85%, 05/25/2028(4) |
6,340,000 | 6,975,881 | ||||||
| 3.93%, 06/25/2028 |
4,761,000 | 5,271,966 |
| 3.90%, 08/25/2028(4) |
9,874,000 | 10,919,680 | ||||||
| 3.92%, 09/25/2028(4) |
16,096,000 | 17,831,205 | ||||||
| 4.05%, 09/25/2028(4) |
3,480,000 | 3,889,061 | ||||||
| 4.03%, 10/25/2028(4) |
5,600,000 | 6,224,954 | ||||||
| 3.92%, 12/25/2028(4) |
4,100,000 | 4,526,712 | ||||||
| 3.76%, 01/25/2029(4) |
11,600,000 | 12,675,784 | ||||||
| 2.79%, 06/25/2029 |
4,472,000 | 4,606,858 | ||||||
| 2.90%, 06/25/2029 |
3,104,000 | 3,225,554 | ||||||
| 3.08%, 01/25/2031 |
4,126,000 | 4,248,246 | ||||||
| 3.99%, 05/25/2033(4) |
16,700,000 | 18,750,155 | ||||||
| 3.90%, 10/25/2033(4) |
6,500,000 | 7,272,639 | ||||||
| Freddie Mac Non Gold Pool |
||||||||
| 4.50% (1 Year CMT Index + 2.13%, 2.13% Floor, 12.13% Cap), 07/01/2026(2) |
3,223 | 3,244 | ||||||
| 4.15% (1 Year CMT Index + 2.11%, 2.11% Floor, 12.21% Cap), 01/01/2027(2) |
3,671 | 3,810 | ||||||
| 4.42% (1 Year CMT Index + 2.26%, 2.26% Floor, 11.85% Cap), 04/01/2030(2) |
1,160 | 1,216 | ||||||
| 4.37% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.25% Cap), 09/01/2032(2) |
4,009 | 4,223 | ||||||
| 4.78% (1 Year CMT Index + 2.24%, 2.24% Floor, 10.21% Cap), 05/01/2033(2) |
133,252 | 140,555 | ||||||
| 3.98% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.36% Cap), 12/01/2033(2) |
21,317 | 22,425 | ||||||
| 4.69% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 9.14% Cap), 04/01/2034(2) |
17,020 | 17,822 | ||||||
| 4.55% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.60% Cap), 09/01/2034(2) |
87,671 | 92,866 | ||||||
| 4.92% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.07% Cap), 01/01/2035(2) |
48,528 | 51,069 | ||||||
| 4.95% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.04% Cap), 01/01/2035(2) |
118,570 | 124,687 | ||||||
| 3.92% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.29% Cap), 08/01/2035(2) |
6,007 | 6,273 | ||||||
| 4.65% (6 Month LIBOR USD + 2.13%, 2.13% Floor, 11.64% Cap), 12/01/2035(2) |
28,536 | 30,031 | ||||||
| 4.29% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.98% Cap), 02/01/2036(2) |
58,543 | 61,904 | ||||||
| 4.31% (1 Year LIBOR USD + 1.70%, 1.71% Floor, 10.13% Cap), 02/01/2036(2) |
13,379 | 14,026 | ||||||
| 5.07% (1 Year LIBOR USD + 2.47%, 2.47% Floor, 11.84% Cap), 03/01/2036(2) |
42,094 | 45,254 | ||||||
| 5.17% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.67% Cap), 03/01/2036(2) |
63,849 | 67,486 | ||||||
| 4.75% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.59% Cap), 05/01/2036(2) |
46,242 | 48,925 | ||||||
| 4.76% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.66% Cap), 05/01/2036(2) |
48,107 | 50,601 | ||||||
| 5.22% (1 Year LIBOR USD + 2.33%, 2.33% Floor, 10.81% Cap), 05/01/2036(2) |
15,237 | 16,285 | ||||||
| 4.88% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.92% Cap), 06/01/2036(2) |
183,199 | 193,739 | ||||||
| 4.92% (1 Year LIBOR USD + 1.99%, 1.99% Floor, 10.91% Cap), 06/01/2036(2) |
75,039 | 78,919 | ||||||
| 4.18% (6 Month LIBOR USD + 1.75%, 1.75% Floor, 12.56% Cap), 07/01/2036(2) |
34,941 | 36,430 | ||||||
| 4.64% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.83% Cap), 07/01/2036(2) |
22,683 | 24,035 | ||||||
| 4.64% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.18% Cap), 07/01/2036(2) |
33,840 | 35,762 | ||||||
| 3.93% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 13.10% Cap), 08/01/2036(2) |
155,752 | 161,924 | ||||||
| 4.06% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.80% Cap), 08/01/2036(2) |
43,857 | 45,643 | ||||||
| 4.25% (6 Month LIBOR USD + 1.63%, 1.63% Floor, 11.75% Cap), 08/01/2036(2) |
1,930 | 1,997 | ||||||
| 4.34% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.39% Cap), 09/01/2036(2) |
59,385 | 62,488 | ||||||
| 4.73% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.04% Cap), 09/01/2036(2) |
105,232 | 111,138 | ||||||
| 3.85% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 11.32% Cap), 10/01/2036(2) |
13,995 | 14,763 | ||||||
| 3.85% (6 Month LIBOR USD + 1.81%, 1.81% Floor, 12.46% Cap), 10/01/2036(2) |
36,323 | 37,977 | ||||||
| 3.91% (6 Month LIBOR USD + 1.73%, 1.73% Floor, 13.09% Cap), 10/01/2036(2) |
78,363 | 81,670 | ||||||
| 3.98% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.34% Cap), 10/01/2036(2) |
41,441 | 42,925 | ||||||
| 4.21% (1 Year LIBOR USD + 2.20%, 2.20% Floor, 10.78% Cap), 10/01/2036(2) |
24,743 | 26,234 | ||||||
| 4.36% (1 Year CMT Index + 2.36%, 2.36% Floor, 11.18% Cap), 10/01/2036(2) |
41,325 | 43,194 | ||||||
| 3.77% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.92% Cap), 11/01/2036(2) |
52,900 | 55,114 | ||||||
| 4.05% (1 Year LIBOR USD + 1.76%, 1.76% Floor, 11.43% Cap), 11/01/2036(2) |
38,990 | 40,547 | ||||||
| 4.06% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.06% Cap), 11/01/2036(2) |
16,400 | 17,184 | ||||||
| 4.35% (1 Year CMT Index + 2.25%, 2.25% Floor, 11.17% Cap), 11/01/2036(2) |
109,105 | 115,253 | ||||||
| 4.40% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.84% Cap), 11/01/2036(2) |
35,293 | 37,272 | ||||||
| 3.64% (1 Year LIBOR USD + 1.59%, 1.59% Floor, 11.26% Cap), 12/01/2036(2) |
208,821 | 217,826 | ||||||
| 4.09% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 12.03% Cap), 12/01/2036(2) |
165,251 | 173,286 | ||||||
| 4.10% (1 Year LIBOR USD + 2.13%, 2.13% Floor, 11.19% Cap), 12/01/2036(2) |
1,966 | 2,107 | ||||||
| 4.13% (1 Year LIBOR USD + 1.69%, 1.69% Floor, 11.33% Cap), 12/01/2036(2) |
6,801 | 7,146 | ||||||
| 4.65% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 11.09% Cap), 12/01/2036(2) |
52,058 | 54,744 | ||||||
| 3.67% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 10.68% Cap), 01/01/2037(2) |
14,650 | 15,244 | ||||||
| 5.05% (1 Year LIBOR USD + 1.93%, 1.92% Floor, 10.89% Cap), 01/01/2037(2) |
33,493 | 35,402 | ||||||
| 4.57% (6 Month LIBOR USD + 2.11%, 2.11% Floor, 12.44% Cap), 02/01/2037(2) |
54,323 | 57,250 |
| 4.77% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.06% Cap), 02/01/2037(2) |
9,322 | 9,769 | ||||||
| 4.92% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 10.80% Cap), 02/01/2037(2) |
4,569 | 4,802 | ||||||
| 5.02% (1 Year LIBOR USD + 1.89%, 1.89% Floor, 10.97% Cap), 02/01/2037(2) |
32,195 | 33,388 | ||||||
| 5.48% (1 Year LIBOR USD + 2.36%, 2.36% Floor, 10.67% Cap), 02/01/2037(2) |
5,649 | 5,977 | ||||||
| 4.28% (6 Month LIBOR USD + 1.88%, 1.88% Floor, 12.44% Cap), 03/01/2037(2) |
117,935 | 123,496 | ||||||
| 5.21% (1 Year LIBOR USD + 2.29%, 2.29% Floor, 11.32% Cap), 03/01/2037(2) |
13,035 | 13,788 | ||||||
| 5.48% (1 Year LIBOR USD + 2.35%, 2.35% Floor, 10.85% Cap), 03/01/2037(2) |
12,412 | 13,004 | ||||||
| 4.91% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 10.91% Cap), 04/01/2037(2) |
1,765 | 1,816 | ||||||
| 5.00% (1 Year LIBOR USD + 1.98%, 1.98% Floor, 10.62% Cap), 04/01/2037(2) |
28,078 | 29,576 | ||||||
| 3.65% (6 Month LIBOR USD + 1.53%, 1.54% Floor, 11.81% Cap), 05/01/2037(2) |
72,144 | 74,737 | ||||||
| 4.05% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.47% Cap), 05/01/2037(2) |
49,977 | 52,404 | ||||||
| 4.09% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.19% Cap), 05/01/2037(2) |
25,010 | 26,350 | ||||||
| 4.14% (6 Month LIBOR USD + 2.12%, 2.12% Floor, 10.96% Cap), 05/01/2037(2) |
4,360 | 4,562 | ||||||
| 5.06% (1 Year LIBOR USD + 2.18%, 2.18% Floor, 11.07% Cap), 05/01/2037(2) |
39,354 | 41,743 | ||||||
| 5.08% (1 Year LIBOR USD + 2.04%, 2.03% Floor, 10.98% Cap), 05/01/2037(2) |
85,980 | 90,930 | ||||||
| 4.68% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 11.71% Cap), 07/01/2037(2) |
12,242 | 12,800 | ||||||
| 4.00% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.75% Cap), 11/01/2037(2) |
5,396 | 5,611 | ||||||
| 4.96% (1 Year LIBOR USD + 2.07%, 2.07% Floor, 10.96% Cap), 04/01/2038(2) |
44,769 | 47,592 | ||||||
| 4.94% (1 Year LIBOR USD + 1.90%, 1.90% Floor, 10.67% Cap), 05/01/2038(2) |
23,659 | 25,245 | ||||||
| 4.37% (1 Year LIBOR USD + 1.85%, 1.85% Floor, 9.02% Cap), 07/01/2040(2) |
46,399 | 49,024 | ||||||
| Freddie Mac Pool |
||||||||
| 3.50%, 04/01/2032 |
800,325 | 830,817 | ||||||
| 3.50%, 05/01/2034 |
3,447,549 | 3,594,971 | ||||||
| 3.50%, 02/01/2042 |
2,597,736 | 2,736,374 | ||||||
| 4.00%, 12/01/2044 |
5,084,529 | 5,444,445 | ||||||
| 3.50%, 07/01/2045 |
10,843,973 | 11,420,174 | ||||||
| 4.50%, 12/01/2045 |
1,260,274 | 1,355,023 | ||||||
| 4.00%, 02/01/2046 |
10,948,314 | 11,724,333 | ||||||
| 4.00%, 03/01/2046 |
1,208,971 | 1,273,110 | ||||||
| 3.50%, 10/01/2046 |
14,552,442 | 15,253,657 | ||||||
| 3.50%, 06/01/2047 |
506,241 | 530,493 | ||||||
| 3.50%, 01/01/2048 |
1,763,423 | 1,836,699 | ||||||
| 4.00%, 01/01/2048 |
373,698 | 397,815 | ||||||
| 3.50%, 03/01/2048 |
4,231,952 | 4,405,582 | ||||||
| 3.50%, 03/01/2048 |
492,838 | 515,818 | ||||||
| 4.00%, 06/01/2048 |
237,623 | 252,322 | ||||||
| 4.50%, 09/01/2048 |
461,467 | 486,982 | ||||||
| 3.50%, 10/01/2048 |
4,822,174 | 4,960,212 | ||||||
| 4.50%, 11/01/2048 |
6,843,241 | 7,220,854 | ||||||
| 4.00%, 03/01/2049 |
13,493,735 | 14,250,864 | ||||||
| 3.50%, 08/01/2049 |
7,308,470 | 7,602,760 | ||||||
| 5.00%, 08/01/2049 |
6,835,117 | 7,331,283 | ||||||
| 3.00%, 10/01/2049 |
3,769,281 | 3,844,036 | ||||||
| 3.00%, 10/01/2049 |
31,538,649 | 32,013,183 | ||||||
| 3.50%, 10/01/2049 |
3,745,939 | 3,857,884 | ||||||
| 3.50%, 12/01/2049 |
6,183,479 | 6,447,829 | ||||||
| 3.50%, 12/01/2049 |
3,635,632 | 3,802,246 | ||||||
| Freddie Mac Reference REMIC |
||||||||
| 6.00%, 04/15/2036 |
303,069 | 348,481 | ||||||
| 6.00%, 05/15/2036 |
401,972 | 460,553 | ||||||
| Freddie Mac REMICS |
||||||||
| 0.00%, 02/15/2020 |
8 | 8 | ||||||
| 5.00%, 02/15/2020 |
2 | — | ||||||
| 6.50%, 03/15/2020 |
156 | 156 | ||||||
| 9.00%, 10/15/2020 |
19 | 19 | ||||||
| 9.00%, 04/15/2021 |
67 | 69 | ||||||
| 2.69% (1 Month LIBOR USD + 0.95%, 0.95% Floor, 11.00% Cap), 05/15/2021(2) |
22 | 22 | ||||||
| 5.00%, 05/15/2021 |
3 | 3 | ||||||
| 7.00%, 05/15/2021 |
951 | 969 | ||||||
| 28.08% (1 Month LIBOR USD + 34.00%, 34.00% Cap), 05/15/2021(2)(8) |
13 | 13 |
| 37.40% (1 Month LIBOR USD + 45.23%, 45.23% Cap), 05/15/2021(2)(8) |
16 | 17 | ||||||
| 6.00%, 07/15/2021(4) |
85 | 85 | ||||||
| 5.50%, 08/15/2021 |
20 | 20 | ||||||
| 7.00%, 09/15/2021 |
40 | 40 | ||||||
| 8.50%, 09/15/2021 |
707 | 738 | ||||||
| 7.02%, 11/15/2021(4) |
11,317 | 11,474 | ||||||
| 5.00%, 03/15/2022 |
12,176 | 12,205 | ||||||
| 7.00%, 03/15/2022 |
290 | 298 | ||||||
| 7.00%, 05/15/2022 |
411 | 427 | ||||||
| 7.50%, 08/15/2022 |
689 | 725 | ||||||
| 8.00%, 08/15/2022 |
1,727 | 1,823 | ||||||
| 2.89% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022(2) |
1,061 | 1,073 | ||||||
| 5.50%, 10/15/2022 |
27,235 | 28,256 | ||||||
| 3.79% (1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022(2)(8) |
1,147 | 1,172 | ||||||
| 5.50%, 12/15/2022 |
8,883 | 9,104 | ||||||
| 2.13% (11th District Cost of Funds Index + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023(2) |
180 | 182 | ||||||
| 7.50%, 02/15/2023 |
9,153 | 9,668 | ||||||
| 5.50%, 03/15/2023 |
100,167 | 104,284 | ||||||
| 2.89% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023(2) |
6,253 | 6,335 | ||||||
| 5.50%, 04/15/2023 |
127,083 | 132,192 | ||||||
| 7.00%, 04/15/2023 |
9,747 | 10,256 | ||||||
| 7.50%, 04/15/2023 |
1,919 | 2,032 | ||||||
| 5.00%, 05/15/2023 |
9,734 | 10,036 | ||||||
| 7.00%, 05/15/2023 |
1,087 | 1,151 | ||||||
| 7.35% (3 Months CMT Index + 8.90%, 8.90% Cap), 05/15/2023(2)(8) |
4,310 | 4,605 | ||||||
| 5.60%, 06/15/2023 |
21,083 | 21,948 | ||||||
| 1.16% (10 Year CMT Index + -0.70%, 10.00% Cap), 07/15/2023(2) |
4,289 | 4,232 | ||||||
| 6.86% (1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023(2)(8) |
6,877 | 7,115 | ||||||
| 23.05% (11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023(2)(8) |
901 | 1,049 | ||||||
| 2.60% (11th District Cost of Funds Index + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023(2) |
247 | 252 | ||||||
| 6.50%, 09/15/2023 |
29,741 | 31,611 | ||||||
| 7.00%, 09/15/2023 |
7,236 | 7,680 | ||||||
| 27.00% (1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023(2)(8) |
3,351 | 4,424 | ||||||
| 6.25%, 10/15/2023 |
4,387 | 4,625 | ||||||
| 17.01% (1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023(2)(8) |
3,786 | 4,407 | ||||||
| 5.00%, 11/15/2023 |
131,200 | 136,825 | ||||||
| 5.50%, 11/15/2023 |
28,513 | 29,396 | ||||||
| 6.00%, 11/15/2023 |
11,541 | 12,129 | ||||||
| 5.00%, 12/15/2023 |
13,674 | 14,237 | ||||||
| 6.50%, 12/15/2023 |
7,142 | 7,592 | ||||||
| 6.50%, 12/15/2023 |
9,439 | 9,999 | ||||||
| 7.00%, 01/15/2024 |
4,175 | 4,452 | ||||||
| 0.00%, 02/15/2024 |
5,959 | 5,732 | ||||||
| 0.00%, 02/15/2024 |
2,494 | 2,446 | ||||||
| 7.00%, 02/15/2024 |
1,655 | 1,769 | ||||||
| 10.00% (11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024(2)(8) |
2,165 | 2,492 | ||||||
| 15.27% (1 Month LIBOR USD + 10.13%, 19.24% Cap), 02/15/2024(2) |
472 | 557 | ||||||
| 0.92% (10 Year CMT Index + -0.85%, 10.00% Cap), 03/15/2024(2) |
326 | 324 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024(2) |
739 | 734 | ||||||
| 7.00%, 03/15/2024 |
21,456 | 22,826 | ||||||
| 7.00%, 03/15/2024 |
3,673 | 3,909 | ||||||
| 26.49% (11th District Cost of Funds Index + 31.43%, 31.43% Cap), 03/15/2024(2)(8) |
2,407 | 448 | ||||||
| 7.50%, 04/15/2024 |
12,648 | 13,475 | ||||||
| 0.00%, 05/15/2024 |
3,213 | 3,100 | ||||||
| 8.83% (10 Year CMT Index + 10.60%, 10.00% Cap), 05/15/2024(2)(8) |
7,692 | 1,033 | ||||||
| 6.00%, 06/15/2024 |
13,983 | 14,917 | ||||||
| 7.50%, 08/15/2024 |
4,493 | 4,899 | ||||||
| 4.00%, 12/15/2024 |
167,427 | 173,042 | ||||||
| 5.00%, 12/15/2024 |
39,494 | 41,657 | ||||||
| 24.26% (1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025(2)(8) |
12,050 | 14,595 |
| 4.50%, 06/15/2025 |
573,813 | 599,773 | ||||||
| 12.53% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025(2)(8) |
5,213 | 6,045 | ||||||
| 20.37% (1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025(2)(8) |
15,177 | 19,835 | ||||||
| 3.50%, 01/15/2026 |
1,592,344 | 1,649,049 | ||||||
| 5.00%, 03/15/2026 |
76,594 | 76,747 | ||||||
| 6.50%, 03/15/2026 |
1,837 | 1,950 | ||||||
| 6.50%, 07/15/2026 |
14,182 | 15,055 | ||||||
| 7.50%, 09/15/2026 |
2,386 | 2,652 | ||||||
| 8.00%, 09/15/2026 |
6,091 | 6,928 | ||||||
| 6.50%, 01/15/2027 |
10,370 | 11,510 | ||||||
| 7.50%, 01/15/2027 |
6,094 | 6,882 | ||||||
| 7.50%, 01/15/2027 |
16,838 | 18,903 | ||||||
| 2.44% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027(2) |
437 | 441 | ||||||
| 6.00%, 05/15/2027 |
13,424 | 14,411 | ||||||
| 7.25%, 07/15/2027 |
711 | 799 | ||||||
| 7.50%, 09/15/2027 |
5,407 | 6,195 | ||||||
| 6.50%, 12/15/2027 |
7,607 | 8,361 | ||||||
| 7.00%, 03/15/2028 |
9,823 | 1,566 | ||||||
| 7.50%, 03/15/2028 |
29,397 | 33,526 | ||||||
| 7.50%, 05/15/2028 |
10,515 | 11,920 | ||||||
| 6.50%, 06/15/2028 |
15,555 | 17,453 | ||||||
| 7.00%, 06/15/2028 |
1,798 | 2,031 | ||||||
| 6.00%, 07/15/2028 |
8,164 | 8,933 | ||||||
| 6.25%, 08/15/2028 |
33,536 | 36,416 | ||||||
| 6.50%, 08/15/2028 |
31,327 | 34,810 | ||||||
| 6.00%, 09/15/2028 |
5,972 | 6,552 | ||||||
| 7.00%, 10/15/2028 |
12,129 | 1,275 | ||||||
| 6.00%, 11/15/2028 |
27,561 | 30,281 | ||||||
| 6.00%, 12/15/2028 |
53,838 | 59,150 | ||||||
| 2.34% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029(2) |
12,241 | 12,290 | ||||||
| 6.00%, 01/15/2029 |
71,194 | 78,627 | ||||||
| 6.00%, 02/15/2029 |
15,837 | 17,169 | ||||||
| 6.25%, 02/15/2029 |
80,175 | 87,658 | ||||||
| 23.22% (1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029(2)(8) |
1,892 | 2,837 | ||||||
| 7.00%, 04/15/2029 |
1,065 | 110 | ||||||
| 7.00%, 06/15/2029 |
61,441 | 69,229 | ||||||
| 7.50%, 06/15/2029 |
5,074 | 565 | ||||||
| 7.00%, 07/15/2029 |
33,654 | 38,406 | ||||||
| 7.00%, 08/15/2029 |
15,485 | 17,637 | ||||||
| 4.00%, 11/15/2029 |
80,023 | 2,108 | ||||||
| 7.50%, 11/15/2029 |
84 | 97 | ||||||
| 8.00%, 11/15/2029 |
13,045 | 14,732 | ||||||
| 7.00%, 01/15/2030 |
32,646 | 37,477 | ||||||
| 8.00%, 01/15/2030 |
8,307 | 9,686 | ||||||
| 8.00%, 01/15/2030 |
31,855 | 37,506 | ||||||
| 8.00%, 03/15/2030 |
7,279 | 8,552 | ||||||
| 5.00%, 04/15/2030 |
702,000 | 781,034 | ||||||
| 8.00%, 04/15/2030 |
9,426 | 10,961 | ||||||
| 7.50%, 05/15/2030 |
7,471 | 8,683 | ||||||
| 7.50%, 08/15/2030 |
7,309 | 8,372 | ||||||
| 7.25%, 09/15/2030 |
18,500 | 21,552 | ||||||
| 7.00%, 10/15/2030 |
21,299 | 24,477 | ||||||
| 7.50%, 10/15/2030 |
2,179 | 2,552 | ||||||
| 4.00%, 12/15/2030 |
3,207,598 | 3,409,233 | ||||||
| 7.25%, 12/15/2030 |
23,493 | 27,118 | ||||||
| 7.00%, 03/15/2031 |
13,053 | 14,960 | ||||||
| 6.50%, 05/15/2031 |
4,966 | 5,646 | ||||||
| 7.00%, 06/15/2031 |
11,334 | 13,076 | ||||||
| 8.50%, 06/15/2031 |
26,505 | 31,488 | ||||||
| 6.00%, 07/15/2031 |
9,466 | 10,646 |
| 7.00%, 07/15/2031 |
26,859 | 30,916 | ||||||
| 6.50%, 08/15/2031 |
11,118 | 12,630 | ||||||
| 6.50%, 08/15/2031 |
14,287 | 16,020 | ||||||
| 6.50%, 08/15/2031 |
17,700 | 19,617 | ||||||
| 6.50%, 08/15/2031 |
160,606 | 188,904 | ||||||
| 6.50%, 10/15/2031 |
14,422 | 15,970 | ||||||
| 6.50%, 01/15/2032 |
23,332 | 26,529 | ||||||
| 6.50%, 01/15/2032 |
19,245 | 21,846 | ||||||
| 2.64% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032(2) |
62,495 | 63,155 | ||||||
| 6.26% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032(2)(8) |
64,673 | 10,924 | ||||||
| 6.38%, 02/15/2032 |
15,672 | 16,893 | ||||||
| 6.50%, 02/15/2032 |
25,903 | 29,444 | ||||||
| 6.50%, 02/15/2032 |
31,646 | 35,958 | ||||||
| 6.91% (1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032(2)(8) |
13,485 | 2,913 | ||||||
| 12.62% (1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032(2)(8) |
36,483 | 46,875 | ||||||
| 14.98% (1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032(2)(8) |
32,590 | 46,835 | ||||||
| 6.21% (1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032(2)(8) |
27,408 | 4,749 | ||||||
| 6.26% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032(2)(8) |
17,880 | 3,004 | ||||||
| 6.50%, 03/15/2032 |
40,994 | 45,550 | ||||||
| 6.50%, 03/15/2032 |
41,933 | 48,145 | ||||||
| 7.00%, 03/15/2032 |
24,432 | 28,120 | ||||||
| 7.00%, 03/15/2032 |
29,186 | 33,751 | ||||||
| 6.50%, 04/15/2032 |
92,418 | 102,871 | ||||||
| 6.50%, 04/15/2032 |
9,969 | 11,335 | ||||||
| 6.50%, 04/15/2032 |
67,494 | 76,594 | ||||||
| 7.00%, 04/15/2032 |
50,146 | 57,577 | ||||||
| 7.00%, 04/15/2032 |
17,032 | 19,141 | ||||||
| 6.50%, 05/15/2032 |
30,112 | 34,443 | ||||||
| 7.00%, 05/15/2032 |
26,875 | 31,331 | ||||||
| 6.50%, 06/15/2032 |
17,796 | 19,856 | ||||||
| 6.50%, 06/15/2032 |
33,736 | 38,303 | ||||||
| 6.50%, 06/15/2032 |
27,410 | 30,266 | ||||||
| 6.50%, 07/15/2032 |
32,763 | 36,974 | ||||||
| 6.50%, 07/15/2032 |
41,872 | 48,655 | ||||||
| 0.00%, 09/15/2032 |
1,016,405 | 949,426 | ||||||
| 6.00%, 09/15/2032 |
39,931 | 45,073 | ||||||
| 0.00%, 12/15/2032 |
19,837 | 17,888 | ||||||
| 2.49% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032(2) |
39,231 | 39,703 | ||||||
| 6.00%, 12/15/2032 |
39,987 | 45,590 | ||||||
| 6.00%, 12/15/2032 |
77,465 | 85,480 | ||||||
| 14.42% (1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032(2)(8) |
23,129 | 30,844 | ||||||
| 6.00%, 01/15/2033 |
48,227 | 54,766 | ||||||
| 6.00%, 02/15/2033 |
40,592 | 46,229 | ||||||
| 6.00%, 02/15/2033 |
185,248 | 207,978 | ||||||
| 6.00%, 03/15/2033 |
32,640 | 35,282 | ||||||
| 6.50%, 03/15/2033 |
20,626 | 4,103 | ||||||
| 11.66% (1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033(2)(8) |
73,900 | 91,360 | ||||||
| 5.00%, 07/15/2033 |
461,578 | 509,864 | ||||||
| 5.95% (1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033(2)(8) |
462 | 527 | ||||||
| 9.81% (1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033(2)(8) |
24,696 | 29,972 | ||||||
| 3.00%, 08/15/2033 |
495,000 | 507,398 | ||||||
| 11.57% (1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033(2)(8) |
19,866 | 25,915 | ||||||
| 6.44% (1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033(2)(8) |
576,009 | 629,090 | ||||||
| 12.67% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033(2)(8) |
9,874 | 12,466 | ||||||
| 2.34% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033(2) |
166,192 | 167,379 | ||||||
| 5.00%, 01/15/2034 |
259,532 | 288,081 | ||||||
| 5.50%, 02/15/2034 |
3,607 | 3,759 | ||||||
| 6.00%, 05/15/2034 |
134,424 | 147,098 | ||||||
| 18.11% (1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034(2)(8) |
42,961 | 52,395 | ||||||
| 0.00%, 07/15/2034 |
106,831 | 96,717 |
| 3.96% (1 Month LIBOR USD + 2.22%, 8.32% Cap), 07/15/2034(2) |
41,741 | 44,330 | ||||||
| 0.00%, 02/15/2035 |
32,948 | 29,391 | ||||||
| 20.51% (1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035(2)(8) |
42,219 | 55,912 | ||||||
| 0.00%, 04/15/2035 |
48,622 | 45,781 | ||||||
| 6.00%, 04/15/2035 |
1,057,000 | 1,194,528 | ||||||
| 2.14% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035(2) |
54,775 | 54,668 | ||||||
| 2.04% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035(2) |
71,354 | 71,063 | ||||||
| 12.47% (1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035(2)(8) |
1,713 | 2,142 | ||||||
| 0.00%, 08/15/2035 |
7,231 | 6,261 | ||||||
| 2.54% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035(2) |
54,281 | 55,032 | ||||||
| 0.00%, 09/15/2035 |
19,458 | 18,294 | ||||||
| 14.20% (1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035(2)(8) |
32,176 | 44,016 | ||||||
| 6.00%, 01/15/2036 |
126,614 | 144,556 | ||||||
| 18.19% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036(2)(8) |
7,997 | 11,235 | ||||||
| 0.00%, 02/15/2036 |
27,636 | 24,648 | ||||||
| 0.00%, 02/15/2036 |
77,268 | 71,794 | ||||||
| 0.00%, 02/15/2036 |
24,083 | 21,528 | ||||||
| 0.00%, 02/15/2036 |
25,476 | 23,357 | ||||||
| 0.00%, 03/15/2036 |
6,783 | 6,189 | ||||||
| 0.00%, 03/15/2036 |
44,751 | 41,613 | ||||||
| 0.00%, 03/15/2036 |
47,452 | 42,986 | ||||||
| 6.00%, 03/15/2036 |
2,546 | 3,844 | ||||||
| 0.00%, 04/15/2036 |
92,063 | 85,641 | ||||||
| 0.00%, 04/15/2036 |
65,808 | 57,597 | ||||||
| 0.00%, 04/15/2036 |
120,740 | 108,892 | ||||||
| 0.00%, 04/15/2036 |
33,432 | 30,017 | ||||||
| 6.00%, 04/15/2036 |
657,675 | 751,350 | ||||||
| 6.00%, 04/15/2036 |
66,296 | 14,073 | ||||||
| 6.00%, 04/15/2036 |
79,215 | 90,405 | ||||||
| 0.00%, 05/15/2036 |
36,208 | 32,446 | ||||||
| 0.00%, 05/15/2036 |
13,867 | 11,717 | ||||||
| 0.00%, 05/15/2036 |
50,994 | 45,065 | ||||||
| 0.00%, 05/15/2036 |
9,768 | 8,757 | ||||||
| 2.19% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036(2) |
402,162 | 402,931 | ||||||
| 2.24% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 05/15/2036(2) |
59,659 | 59,724 | ||||||
| 0.00%, 06/15/2036 |
93,357 | 85,975 | ||||||
| 6.00%, 06/15/2036 |
19,518 | 21,704 | ||||||
| 14.88% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036(2)(8) |
20,202 | 25,682 | ||||||
| 0.00%, 07/15/2036 |
25,571 | 23,103 | ||||||
| 5.36% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036(2)(8) |
10,119 | 1,972 | ||||||
| 6.50%, 07/15/2036 |
95,280 | 107,292 | ||||||
| 6.50%, 07/15/2036 |
72,090 | 81,157 | ||||||
| 0.00%, 08/15/2036 |
33,797 | 30,586 | ||||||
| 4.91% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036(2)(8) |
527,030 | 79,270 | ||||||
| 5.50%, 08/15/2036 |
154,834 | 173,823 | ||||||
| 5.50%, 08/15/2036 |
55,207 | 61,685 | ||||||
| 0.00%, 09/15/2036 |
16,121 | 13,232 | ||||||
| 0.00%, 09/15/2036 |
18,921 | 16,472 | ||||||
| 0.00%, 10/15/2036 |
40,059 | 35,750 | ||||||
| 4.96% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036(2)(8) |
51,198 | 6,646 | ||||||
| 7.50%, 11/15/2036 |
519,615 | 613,472 | ||||||
| 0.00%, 12/15/2036 |
20,082 | 17,851 | ||||||
| 7.00%, 12/15/2036 |
1,224,396 | 1,434,216 | ||||||
| 7.50%, 12/15/2036 |
446,322 | 534,788 | ||||||
| 0.00%, 01/15/2037 |
21,610 | 18,998 | ||||||
| 4.40% (1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037(2)(8) |
33,618 | 5,296 | ||||||
| 0.00%, 02/15/2037 |
57,314 | 51,902 | ||||||
| 0.00%, 02/15/2037 |
6,021 | 5,536 | ||||||
| 2.18% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037(2) |
38,542 | 38,609 | ||||||
| 6.00%, 02/15/2037 |
43,521 | 48,216 |
| 0.00%, 03/15/2037 |
7,640 | 7,334 | ||||||
| 4.50%, 03/15/2037 |
2,000,000 | 2,155,985 | ||||||
| 4.71% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037(2)(8) |
56,252 | 8,914 | ||||||
| 0.00%, 04/15/2037 |
25,042 | 22,170 | ||||||
| 6.00%, 04/15/2037 |
59,573 | 67,530 | ||||||
| 0.00%, 05/15/2037 |
1,383 | 1,249 | ||||||
| 0.00%, 05/15/2037 |
223,773 | 197,724 | ||||||
| 0.00%, 05/15/2037 |
38,275 | 35,659 | ||||||
| 6.00%, 05/15/2037 |
64,194 | 69,179 | ||||||
| 0.00%, 06/15/2037 |
21,300 | 19,123 | ||||||
| 0.00%, 06/15/2037 |
4,182 | 3,731 | ||||||
| 0.00%, 07/15/2037 |
300,368 | 259,927 | ||||||
| 2.18% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9999.00% Cap), 07/15/2037(2) |
751,340 | 749,956 | ||||||
| 4.86% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037(2)(8) |
42,534 | 6,380 | ||||||
| 0.00%, 09/15/2037 |
30,967 | 26,964 | ||||||
| 2.34% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037(2) |
15,881 | 15,974 | ||||||
| 2.42% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037(2) |
612,146 | 618,396 | ||||||
| 4.68% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037(2)(8) |
237,508 | 39,232 | ||||||
| 4.71% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037(2)(8) |
158,279 | 27,791 | ||||||
| 4.26% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038(2)(8) |
296,412 | 43,229 | ||||||
| 13.10% (1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038(2)(8) |
11,585 | 13,544 | ||||||
| 5.50%, 03/15/2038 |
407,049 | 454,847 | ||||||
| 5.06% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038(2)(8) |
126,486 | 17,508 | ||||||
| 5.50%, 05/15/2038 |
31,978 | 34,904 | ||||||
| 4.46% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038(2)(8) |
128,708 | 18,988 | ||||||
| 6.00%, 06/15/2038 |
349,675 | 388,512 | ||||||
| 6.00%, 06/15/2038 |
13,386 | 15,016 | ||||||
| 4.11% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038(2)(8) |
212,982 | 34,190 | ||||||
| 5.70%, 10/15/2038(4) |
108,030 | 118,787 | ||||||
| 5.50%, 01/15/2039 |
176,009 | 196,700 | ||||||
| 4.01%, 02/15/2039(4) |
62,423 | 63,945 | ||||||
| 4.26% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039(2)(8) |
87,001 | 13,623 | ||||||
| 2.14% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039(2) |
304,258 | 305,668 | ||||||
| 2.19% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 05/15/2039(2) |
270,724 | 271,208 | ||||||
| 4.36% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039(2)(8) |
19,923 | 1,289 | ||||||
| 4.56% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039(2)(8) |
109,657 | 7,449 | ||||||
| 2.94% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039(2) |
26,686 | 27,323 | ||||||
| 4.50%, 07/15/2039 |
488,522 | 514,803 | ||||||
| 2.19% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 08/15/2039(2) |
73,615 | 73,880 | ||||||
| 3.50%, 08/15/2039 |
381,576 | 389,600 | ||||||
| 0.00%, 10/15/2039 |
106,942 | 94,217 | ||||||
| 5.00%, 10/15/2039 |
239,135 | 21,371 | ||||||
| 4.50%, 12/15/2039 |
3,109,316 | 3,340,101 | ||||||
| 4.51% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039(2)(8) |
90,717 | 15,187 | ||||||
| 0.00%, 01/15/2040 |
98,714 | 88,248 | ||||||
| 2.39%, 01/15/2040(4) |
661,165 | 36,005 | ||||||
| 11.70% (1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040(2)(8) |
319,567 | 412,030 | ||||||
| 2.24% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040(2) |
126,018 | 126,145 | ||||||
| 4.26% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(8) |
327,763 | 44,638 | ||||||
| 4.26% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040(2)(8) |
437,608 | 66,365 | ||||||
| 2.29% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040(2) |
1,311,152 | 1,316,008 | ||||||
| 3.00%, 12/15/2040 |
1,164,812 | 1,184,976 | ||||||
| 5.00%, 12/15/2040 |
1,168,047 | 1,308,525 | ||||||
| 2.29% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041(2) |
994,145 | 998,872 | ||||||
| 4.50%, 05/15/2041 |
1,000,000 | 1,077,328 | ||||||
| 5.00%, 05/15/2041 |
1,302,882 | 1,489,443 | ||||||
| 5.50% (1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041(2)(8) |
708,027 | 776,463 | ||||||
| 5.50% (1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041(2)(8) |
242,311 | 253,703 | ||||||
| 2.14% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041(2) |
662,727 | 663,706 | ||||||
| 4.00%, 11/15/2041 |
531,435 | 562,179 |
| 4.00%, 12/15/2041 |
318,374 | 342,920 | ||||||
| 3.50%, 01/15/2042 |
1,700,000 | 1,784,303 | ||||||
| 2.24% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042(2) |
785,145 | 785,521 | ||||||
| 2.24% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042(2) |
372,638 | 374,539 | ||||||
| 2.19% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042(2) |
1,997,099 | 1,986,164 | ||||||
| 2.14% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042(2) |
720,585 | 714,549 | ||||||
| 3.00%, 06/15/2043 |
206,000 | 211,427 | ||||||
| 4.50%, 09/15/2043 |
1,000,000 | 1,169,489 | ||||||
| 4.00%, 12/15/2043 |
1,500,000 | 1,559,119 | ||||||
| 3.00%, 04/15/2045 |
2,427,181 | 2,485,317 | ||||||
| 3.50%, 10/15/2045 |
17,015,092 | 17,577,097 | ||||||
| 3.75%, 02/15/2046(1) |
431,126 | 435,174 | ||||||
| 7.35%, 11/15/2046(4) |
605,243 | 710,861 | ||||||
| 3.00%, 12/15/2047 |
3,001,894 | 3,091,028 | ||||||
| 3.50%, 06/15/2048 |
3,453,017 | 3,540,761 | ||||||
| 0.00%, 10/15/2049 |
353,506 | 326,042 | ||||||
| 3.50%, 10/15/2053 |
8,401,362 | 8,696,377 | ||||||
| Freddie Mac REMICS SER 3443 CL SY V/R |
||||||||
| 9.00% (1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037(2)(8) |
19,682 | 23,414 | ||||||
| Freddie Mac STACR Trust 2019-HRP1 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 02/25/2049(2)(3) |
2,308,073 | 2,308,072 | ||||||
| Freddie Mac Strips |
||||||||
| 4.50%, 11/15/2020 |
847 | 5 | ||||||
| 4.50%, 12/15/2020 |
407 | 3 | ||||||
| 0.00%, 04/01/2028 |
55,819 | 52,068 | ||||||
| 5.00%, 09/15/2035 |
120,032 | 24,128 | ||||||
| 5.00%, 09/15/2035 |
101,925 | 19,163 | ||||||
| 5.00%, 09/15/2035 |
190,648 | 37,776 | ||||||
| 5.96% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036(2)(8) |
349,771 | 78,882 | ||||||
| 2.29% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042(2) |
2,167,742 | 2,160,751 | ||||||
| 3.50%, 07/15/2042 |
5,469,356 | 5,719,715 | ||||||
| 2.24% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042(2) |
1,379,568 | 1,383,645 | ||||||
| 2.29% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042(2) |
1,228,679 | 1,235,779 | ||||||
| 3.00%, 08/15/2042 |
1,719,593 | 1,756,731 | ||||||
| 3.00%, 01/15/2043 |
424,248 | 439,108 | ||||||
| 0.00%, 09/15/2043 |
864,152 | 746,228 | ||||||
| Freddie Mac Structured Pass-Through Certificates |
||||||||
| 5.42%, 07/25/2032(4) |
54,673 | 60,107 | ||||||
| 4.90%, 07/25/2033(4) |
161,296 | 173,102 | ||||||
| 2.28%, 10/25/2037(4) |
1,135,638 | 1,211,192 | ||||||
| 7.50%, 02/25/2042 |
224,376 | 269,993 | ||||||
| 7.50%, 08/25/2042(4) |
38,025 | 46,589 | ||||||
| 6.50%, 02/25/2043 |
227,714 | 264,852 | ||||||
| 7.00%, 02/25/2043 |
74,054 | 87,280 | ||||||
| 5.23%, 05/25/2043 |
524,125 | 581,182 | ||||||
| 0.00%, 07/25/2043 |
19,511 | 16,274 | ||||||
| 7.50%, 07/25/2043 |
52,556 | 64,291 | ||||||
| 0.00%, 09/25/2043 |
21,897 | 18,219 | ||||||
| 7.50%, 09/25/2043 |
288,707 | 331,953 | ||||||
| 0.00%, 10/25/2043 |
25,794 | 17,374 | ||||||
| 7.00%, 10/25/2043 |
296,330 | 353,817 | ||||||
| 3.44% (12 Month U.S. Treasury Average + 1.20%, 1.20% Floor), 10/25/2044(2) |
473,661 | 480,297 | ||||||
| FREMF 2013-K25 Mortgage Trust |
||||||||
| 3.62%, 11/25/2045(3)(4) |
2,000,000 | 2,036,696 | ||||||
| FREMF 2013-K35 Mortgage Trust |
||||||||
| 3.94%, 12/25/2046(3)(4) |
2,951,000 | 3,074,507 | ||||||
| FREMF 2014-K40 Mortgage Trust |
||||||||
| 4.07%, 11/25/2047(3)(4) |
2,273,000 | 2,371,730 | ||||||
| FREMF 2014-K41 Mortgage Trust |
||||||||
| 3.83%, 11/25/2047(3)(4) |
6,000,000 | 6,307,765 |
| FREMF 2015-K44 Mortgage Trust |
||||||||
| 3.68%, 01/25/2048(3)(4) |
3,510,000 | 3,604,072 | ||||||
| FREMF 2015-K45 Mortgage Trust |
||||||||
| 3.59%, 04/25/2048(3)(4) |
2,135,000 | 2,189,728 | ||||||
| FREMF 2015-K49 Mortgage Trust |
||||||||
| 3.72%, 10/25/2048(3)(4) |
4,000,000 | 4,064,124 | ||||||
| FREMF 2015-K51 Mortgage Trust |
||||||||
| 3.95%, 10/25/2048(3)(4) |
1,500,000 | 1,537,818 | ||||||
| FREMF 2015-K720 Mortgage Trust |
||||||||
| 3.39%, 07/25/2022(3)(4) |
4,000,000 | 4,016,390 | ||||||
| FREMF 2016-K52 Mortgage Trust |
||||||||
| 3.92%, 01/25/2049(3)(4) |
4,750,000 | 4,928,196 | ||||||
| FREMF 2016-K59 Mortgage Trust |
||||||||
| 3.58%, 11/25/2049(3)(4) |
2,450,000 | 2,477,671 | ||||||
| FREMF 2016-K722 Mortgage Trust |
||||||||
| 3.84%, 07/25/2049(3)(4) |
1,845,000 | 1,907,711 | ||||||
| Ginnie Mae |
||||||||
| 3.50%, 01/01/2049(10) |
12,915,000 | 13,308,086 | ||||||
| 4.00%, 01/01/2049(10) |
15,730,000 | 16,280,193 | ||||||
| 5.00%, 04/16/2023 |
905 | 905 | ||||||
| 6.50%, 10/16/2024 |
68,612 | 68,562 | ||||||
| 6.00%, 02/20/2029 |
83,320 | 83,273 | ||||||
| 9.00%, 10/20/2030 |
16,685 | 16,667 | ||||||
| 9.00%, 11/16/2030 |
1,151 | 1 | ||||||
| 6.51% (1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031(2)(8) |
13,906 | 36 | ||||||
| 6.50%, 07/20/2032 |
65,375 | 65,333 | ||||||
| 11.51% (1 Month LIBOR USD + 14.70%, 14.70% Cap), 11/17/2032(2)(8) |
11,840 | 13,073 | ||||||
| 6.00%, 11/20/2032 |
132,234 | 138,730 | ||||||
| 0.00%, 12/20/2032 |
25,873 | 25,634 | ||||||
| 5.50%, 01/16/2033 |
360,210 | 396,200 | ||||||
| 6.50%, 01/20/2033 |
94,960 | 105,931 | ||||||
| 5.96% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/16/2033(2)(8) |
34,743 | 725 | ||||||
| 0.00%, 02/17/2033 |
14,830 | 14,707 | ||||||
| 5.94% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033(2)(8) |
21,223 | 3,517 | ||||||
| 0.00%, 03/16/2033 |
6,938 | 6,558 | ||||||
| 6.50%, 03/20/2033 |
181,558 | 201,970 | ||||||
| 6.50%, 03/20/2033 |
53,276 | 58,297 | ||||||
| 5.50%, 04/20/2033 |
200,952 | 217,514 | ||||||
| 6.50%, 05/20/2033 |
70,367 | 78,434 | ||||||
| 0.00%, 06/16/2033 |
37,384 | 33,593 | ||||||
| 6.00%, 09/16/2033 |
110,170 | 122,338 | ||||||
| 0.00%, 10/20/2033 |
5,666 | 5,268 | ||||||
| 5.82%, 10/20/2033(4) |
137,607 | 154,890 | ||||||
| 4.81% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033(2)(8) |
75,183 | 8,382 | ||||||
| 4.81% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033(2)(8) |
71,545 | 9,635 | ||||||
| 5.50%, 03/16/2034 |
2,999,871 | 3,285,247 | ||||||
| 14.88% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034(2)(8) |
37,101 | 52,240 | ||||||
| 12.89% (1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034(2)(8) |
2,981 | 3,499 | ||||||
| 0.00%, 06/20/2034 |
65,021 | 61,065 | ||||||
| 6.00%, 06/20/2034 |
243,205 | 269,651 | ||||||
| 11.27% (1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034(2)(8) |
20,917 | 22,742 | ||||||
| 5.71%, 08/20/2034(4) |
73,858 | 82,233 | ||||||
| 4.81% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034(2)(8) |
253,837 | 41,649 | ||||||
| 7.00% (1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034(2)(8) |
28,336 | 30,450 | ||||||
| 20.80% (1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034(2)(8) |
28,336 | 39,955 | ||||||
| 10.50% (1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034(2)(8) |
2,716 | 2,971 | ||||||
| 18.00% (1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034(2)(8) |
24,130 | 33,173 | ||||||
| 4.34% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034(2)(8) |
376,872 | 50,567 | ||||||
| 8.67% (1 Month LIBOR USD + 12.20%, 12.20% Cap), 10/20/2034(2)(8) |
1,513 | 1,534 | ||||||
| 4.32% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034(2)(8) |
195,798 | 4,559 |
| 4.99% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035(2)(8) |
257,074 | 57,069 | ||||||
| 12.24% (1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035(2)(8) |
87,552 | 105,288 | ||||||
| 5.04% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035(2)(8) |
133,085 | 142,232 | ||||||
| 5.50%, 07/20/2035 |
26,584 | 5,017 | ||||||
| 15.03% (1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035(2)(8) |
14,800 | 21,861 | ||||||
| 0.00%, 08/20/2035 |
154,730 | 138,989 | ||||||
| 16.05% (1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035(2)(8) |
3,093 | 5,341 | ||||||
| 4.54% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035(2)(8) |
530,418 | 104,431 | ||||||
| 5.50%, 09/20/2035 |
151,771 | 165,072 | ||||||
| 0.00%, 10/20/2035 |
33,269 | 28,965 | ||||||
| 0.00%, 11/20/2035 |
48,198 | 43,317 | ||||||
| 6.00%, 12/20/2035 |
51,609 | 8,685 | ||||||
| 5.75%, 02/20/2036 |
26,418 | 27,792 | ||||||
| 0.00%, 03/20/2036 |
42,308 | 38,181 | ||||||
| 0.00%, 05/20/2036 |
59,376 | 56,089 | ||||||
| 4.74% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036(2)(8) |
6,845 | 470 | ||||||
| 0.00%, 07/20/2036 |
8,237 | 7,625 | ||||||
| 6.50%, 07/20/2036 |
248,467 | 285,466 | ||||||
| 6.50%, 08/20/2036 |
330,775 | 369,729 | ||||||
| 4.94% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036(2)(8) |
79,827 | 13,620 | ||||||
| 5.56%, 10/20/2036 |
148,845 | 160,084 | ||||||
| 5.04% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036(2)(8) |
130,334 | 15,818 | ||||||
| 5.88%, 02/20/2037(4) |
48,030 | 54,669 | ||||||
| 0.00%, 03/20/2037 |
142,175 | 133,097 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037(2)(8) |
135,588 | 19,073 | ||||||
| 0.00%, 04/16/2037 |
78,429 | 67,961 | ||||||
| 5.07% (1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037(2)(8) |
202,126 | 36,119 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037(2)(8) |
78,058 | 7,866 | ||||||
| 5.98%, 04/20/2037(4) |
92,170 | 102,491 | ||||||
| 2.04% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037(2) |
56,212 | 56,126 | ||||||
| 0.00%, 05/20/2037 |
12,141 | 10,867 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(8) |
150,417 | 16,200 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037(2)(8) |
154,804 | 21,351 | ||||||
| 0.00%, 06/16/2037 |
224,648 | 203,221 | ||||||
| 0.00%, 06/16/2037 |
21,197 | 18,689 | ||||||
| 4.73% (1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037(2)(8) |
90,895 | 10,829 | ||||||
| 4.49% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037(2)(8) |
122,350 | 12,280 | ||||||
| 4.88% (1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037(2)(8) |
176,765 | 20,225 | ||||||
| 4.92% (1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037(2)(8) |
175,326 | 30,807 | ||||||
| 4.99% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037(2)(8) |
120,572 | 18,162 | ||||||
| 5.01% (1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037(2)(8) |
42,586 | 7,604 | ||||||
| 0.00%, 09/20/2037 |
17,904 | 17,447 | ||||||
| 4.79% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037(2)(8) |
122,302 | 16,494 | ||||||
| 14.91% (1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037(2)(8) |
29,968 | 37,351 | ||||||
| 5.50%, 10/16/2037 |
157,887 | 12,683 | ||||||
| 9.87% (1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037(2)(8) |
21,141 | 23,898 | ||||||
| 0.00%, 11/16/2037 |
237,020 | 216,563 | ||||||
| 4.80% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037(2)(8) |
133,207 | 21,153 | ||||||
| 4.24% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037(2)(8) |
138,563 | 14,468 | ||||||
| 4.74% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037(2)(8) |
267,589 | 30,900 | ||||||
| 4.75% (1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037(2)(8) |
151,486 | 15,453 | ||||||
| 4.79% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037(2)(8) |
122,011 | 21,555 | ||||||
| 14.66% (1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037(2)(8) |
14,923 | 19,417 | ||||||
| 4.79% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037(2)(8) |
187,651 | 22,413 | ||||||
| 0.00%, 01/20/2038 |
8,522 | 7,649 | ||||||
| 5.50%, 01/20/2038(4) |
639,349 | 725,588 | ||||||
| 4.24% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038(2)(8) |
1,199,954 | 154,589 | ||||||
| 5.50%, 02/20/2038 |
29,849 | 3,204 | ||||||
| 5.96% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038(2)(8) |
71,433 | 11,463 | ||||||
| 4.54% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038(2)(8) |
188,888 | 8,173 |
| 4.66% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038(2)(8) |
623,302 | 93,872 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038(2)(8) |
45,071 | 6,878 | ||||||
| 6.00%, 06/20/2038 |
94,152 | 107,876 | ||||||
| 2.58% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038(2) |
368,160 | 374,890 | ||||||
| 4.39% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038(2)(8) |
159,412 | 17,175 | ||||||
| 5.75%, 07/20/2038 |
147,311 | 155,983 | ||||||
| 4.24% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038(2)(8) |
56,909 | 6,498 | ||||||
| 5.56%, 08/20/2038(4) |
227,539 | 259,243 | ||||||
| 4.14% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038(2)(8) |
192,638 | 31,346 | ||||||
| 4.44% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038(2)(8) |
396,144 | 38,773 | ||||||
| 5.84% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038(2)(8) |
83,235 | 10,957 | ||||||
| 6.12%, 11/20/2038(4) |
158,164 | 180,028 | ||||||
| 3.94% (1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038(2)(8) |
201,185 | 20,855 | ||||||
| 4.24% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038(2)(8) |
111,273 | 9,865 | ||||||
| 5.54% (1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038(2)(8) |
353,439 | 69,675 | ||||||
| 5.86%, 12/20/2038(4) |
519,374 | 590,320 | ||||||
| 6.00%, 12/20/2038 |
35,971 | 2,674 | ||||||
| 5.40%, 01/20/2039(4) |
726,120 | 802,306 | ||||||
| 4.36% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039(2)(8) |
93,057 | 10,027 | ||||||
| 4.41% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039(2)(8) |
142,133 | 13,176 | ||||||
| 4.19% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039(2)(8) |
159,680 | 18,184 | ||||||
| 4.28% (1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039(2)(8) |
97,585 | 8,323 | ||||||
| 4.54% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039(2)(8) |
10,266 | 69 | ||||||
| 4.54% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039(2)(8) |
148,728 | 10,542 | ||||||
| 6.50%, 03/20/2039 |
51,584 | 9,660 | ||||||
| 6.50%, 03/20/2039 |
115,624 | 28,280 | ||||||
| 4.51% (1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039(2)(8) |
280,823 | 29,139 | ||||||
| 5.50%, 05/20/2039 |
34,145 | 5,295 | ||||||
| 6.00%, 05/20/2039 |
46,704 | 10,229 | ||||||
| 4.66% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 06/16/2039(2)(8) |
69,938 | 1,436 | ||||||
| 4.19% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039(2)(8) |
152,960 | 17,693 | ||||||
| 4.32% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039(2)(8) |
218,008 | 23,063 | ||||||
| 4.36% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039(2)(8) |
248,970 | 31,311 | ||||||
| 4.51% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039(2)(8) |
241,663 | 44,013 | ||||||
| 7.00%, 08/16/2039 |
125,043 | 137,658 | ||||||
| 4.33% (1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039(2)(8) |
387,917 | 72,695 | ||||||
| 5.50%, 09/20/2039 |
317,000 | 376,869 | ||||||
| 5.50%, 10/20/2039 |
858,358 | 966,381 | ||||||
| 4.66% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039(2)(8) |
310,588 | 40,624 | ||||||
| 5.16%, 06/20/2040(4) |
156,343 | 172,593 | ||||||
| 5.57%, 07/20/2040(4) |
230,418 | 261,294 | ||||||
| 7.00%, 10/16/2040 |
437,699 | 511,364 | ||||||
| 0.00%, 12/20/2040 |
585,777 | 521,511 | ||||||
| 4.84% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041(2)(8) |
303,989 | 50,184 | ||||||
| 4.67%, 09/20/2041(4) |
344,479 | 376,129 | ||||||
| 4.61%, 10/20/2041(4) |
627,884 | 681,639 | ||||||
| 4.53%, 11/16/2041(4) |
369,507 | 408,931 | ||||||
| 3.00%, 12/20/2041 |
1,000,000 | 1,044,724 | ||||||
| 3.69%, 01/20/2042(4) |
350,844 | 373,660 | ||||||
| 3.98%, 09/16/2042(4) |
226,094 | 242,193 | ||||||
| 4.65%, 10/20/2042(4) |
1,189,294 | 1,284,001 | ||||||
| 4.78%, 11/20/2042(4) |
192,906 | 211,477 | ||||||
| 4.48%, 04/20/2043(4) |
212,420 | 225,889 | ||||||
| 3.00%, 10/20/2045 |
1,353,411 | 1,384,804 | ||||||
| 3.50%, 07/20/2046 |
4,381,352 | 4,501,146 | ||||||
| 3.50%, 09/20/2046 |
1,266,381 | 1,318,777 | ||||||
| 3.00%, 02/20/2047 |
4,230,360 | 4,269,371 | ||||||
| 2.50%, 07/20/2047 |
4,512,107 | 4,539,848 | ||||||
| 3.00%, 09/20/2047 |
2,313,927 | 2,350,427 | ||||||
| 3.00%, 11/20/2047 |
8,133,256 | 8,239,198 |
| 3.00%, 01/01/2049(10) |
27,440,000 | 28,167,671 | ||||||
| 2.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060(2) |
19,113 | 18,992 | ||||||
| 2.20% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060(2) |
41,307 | 41,228 | ||||||
| 5.25%, 07/20/2060(4) |
56,225 | 60,590 | ||||||
| 2.07% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060(2) |
2,049 | 2,039 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061(2) |
1,760,042 | 1,757,963 | ||||||
| 2.42% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061(2) |
51,919 | 52,000 | ||||||
| 2.47% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061(2) |
50,911 | 51,030 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061(2) |
505,147 | 504,253 | ||||||
| 2.32% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061(2) |
31,312 | 31,311 | ||||||
| 2.32% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 10.50% Cap), 12/20/2061(2) |
5,163,629 | 5,163,430 | ||||||
| 2.32% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062(2) |
12,519 | 12,518 | ||||||
| 2.47% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062(2) |
855,942 | 859,911 | ||||||
| 2.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062(2) |
3,718 | 3,716 | ||||||
| 2.32% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062(2) |
49,111 | 49,109 | ||||||
| 2.35% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062(2) |
156,573 | 156,590 | ||||||
| 2.29% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062(2) |
2,080,119 | 2,078,680 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062(2) |
53,992 | 54,009 | ||||||
| 2.07% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062(2) |
6,718 | 6,683 | ||||||
| 2.11% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062(2) |
1,970,193 | 1,959,677 | ||||||
| 1.65%, 01/20/2063 |
911,944 | 908,311 | ||||||
| 2.09% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063(2) |
1,086,597 | 1,081,392 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063(2) |
24,682 | 24,665 | ||||||
| 1.65%, 02/20/2063 |
1,330,890 | 1,325,217 | ||||||
| 2.19% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063(2) |
222,028 | 221,014 | ||||||
| 2.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 02/20/2063(2) |
1,188,052 | 1,185,275 | ||||||
| 2.18% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063(2) |
875,588 | 872,739 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063(2) |
269,844 | 269,367 | ||||||
| 1.65%, 04/20/2063 |
531,161 | 527,882 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063(2) |
2,264,916 | 2,261,121 | ||||||
| 2.42% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064(2) |
2,553,449 | 2,559,229 | ||||||
| 2.42% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064(2) |
5,196,989 | 5,209,098 | ||||||
| 2.46% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064(2) |
2,598,639 | 2,611,630 | ||||||
| 2.42% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064(2) |
2,389,518 | 2,394,652 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064(2) |
3,251,383 | 3,255,000 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064(2) |
2,790,149 | 2,795,004 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064(2) |
5,108,309 | 5,117,440 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064(2) |
2,212,942 | 2,208,533 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064(2) |
3,273,708 | 3,267,769 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) |
1,699,494 | 1,696,189 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) |
2,301,634 | 2,297,144 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064(2) |
3,655,150 | 3,645,092 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064(2) |
1,288,165 | 1,286,058 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064(2) |
2,873,979 | 2,870,742 | ||||||
| 2.25% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065(2) |
3,549,397 | 3,540,262 | ||||||
| 2.47% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065(2) |
1,817,806 | 1,814,845 | ||||||
| 2.25% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065(2) |
7,061,962 | 7,044,274 | ||||||
| 2.25% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065(2) |
5,193,436 | 5,179,721 | ||||||
| 2.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065(2) |
1,506,015 | 1,501,923 | ||||||
| 2.21% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065(2) |
3,328,459 | 3,314,695 | ||||||
| 2.24% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065(2) |
534,518 | 532,894 | ||||||
| 2.37% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 11/20/2065(2) |
6,276,564 | 6,287,883 | ||||||
| 2.77% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 12/20/2066(2) |
2,064,098 | 2,092,903 | ||||||
| 2.33% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067(2) |
6,016,153 | 6,017,871 | ||||||
| 2.30% (1 Year LIBOR USD + 0.00%), 05/20/2067(2) |
13,900,453 | 1,888,365 | ||||||
| 1.66% (1 Year LIBOR USD + 0.00%), 06/20/2067(2) |
13,773,854 | 1,210,723 | ||||||
| 2.27% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067(2) |
5,936,585 | 5,925,478 | ||||||
| 2.22% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067(2) |
3,187,284 | 3,181,377 | ||||||
| Ginnie Mae I Pool |
||||||||
| 7.50%, 11/15/2022 |
27 | 27 |
| 7.50%, 03/15/2023 |
161 | 164 | ||||||
| 7.00%, 08/15/2023 |
180 | 182 | ||||||
| 7.00%, 09/15/2023 |
7,332 | 7,656 | ||||||
| 7.00%, 11/15/2023 |
416 | 437 | ||||||
| 6.50%, 01/15/2024 |
2,497 | 2,755 | ||||||
| 7.00%, 02/15/2024 |
2,113 | 2,131 | ||||||
| 9.50%, 10/15/2024 |
2,835 | 2,907 | ||||||
| 9.00%, 11/15/2024 |
119 | 119 | ||||||
| 9.50%, 12/15/2025 |
502 | 504 | ||||||
| 7.50%, 11/15/2026 |
847 | 859 | ||||||
| 7.50%, 07/15/2027 |
836 | 840 | ||||||
| 6.50%, 03/15/2028 |
6,823 | 7,528 | ||||||
| 7.50%, 07/15/2028 |
620 | 629 | ||||||
| 8.00%, 08/15/2028 |
1,093 | 1,096 | ||||||
| 6.50%, 09/15/2028 |
14,468 | 15,964 | ||||||
| 7.50%, 09/15/2028 |
2,660 | 2,868 | ||||||
| 6.50%, 10/15/2028 |
871 | 961 | ||||||
| 6.00%, 11/15/2028 |
9,019 | 9,935 | ||||||
| 7.00%, 09/15/2031 |
72,036 | 83,880 | ||||||
| 6.50%, 01/15/2032 |
57,048 | 64,671 | ||||||
| 6.50%, 07/15/2032 |
2,280 | 2,516 | ||||||
| 6.50%, 02/15/2033 |
9,791 | 10,803 | ||||||
| 7.00%, 02/15/2033 |
5,552 | 6,194 | ||||||
| 5.50%, 04/15/2033 |
249,812 | 280,327 | ||||||
| 6.50%, 04/15/2033 |
5,907 | 6,518 | ||||||
| 5.50%, 06/15/2033 |
2,733 | 3,033 | ||||||
| 7.00%, 06/15/2033 |
17,598 | 20,789 | ||||||
| 5.50%, 12/15/2033 |
10,157 | 11,399 | ||||||
| 5.50%, 07/15/2034 |
6,711 | 7,483 | ||||||
| 5.50%, 09/15/2034 |
14,951 | 16,257 | ||||||
| 7.00%, 06/15/2035 |
186,228 | 214,823 | ||||||
| 6.50%, 12/15/2035 |
63,952 | 73,028 | ||||||
| 7.00%, 04/15/2037 |
31,572 | 36,270 | ||||||
| 7.50%, 10/15/2037 |
34,930 | 42,764 | ||||||
| 4.00%, 06/15/2039 |
431,308 | 458,935 | ||||||
| 4.50%, 04/15/2040 |
2,190,109 | 2,381,323 | ||||||
| 4.00%, 10/15/2040 |
236,265 | 251,592 | ||||||
| 3.50%, 01/15/2042 |
4,633,102 | 4,874,622 | ||||||
| 3.50%, 03/15/2043 |
1,174,421 | 1,237,515 | ||||||
| 3.50%, 04/15/2043 |
4,130,432 | 4,345,111 | ||||||
| 3.00%, 05/15/2043 |
568,373 | 586,885 | ||||||
| 3.50%, 06/15/2043 |
1,550,742 | 1,631,133 | ||||||
| 3.50%, 07/15/2043 |
599,369 | 631,528 | ||||||
| Ginnie Mae II Pool |
||||||||
| 8.50%, 03/20/2025 |
203 | 208 | ||||||
| 8.50%, 04/20/2025 |
1,154 | 1,248 | ||||||
| 8.50%, 05/20/2025 |
2,694 | 2,902 | ||||||
| 8.00%, 12/20/2025 |
464 | 503 | ||||||
| 8.00%, 06/20/2026 |
1,066 | 1,167 | ||||||
| 8.00%, 08/20/2026 |
835 | 944 | ||||||
| 8.00%, 09/20/2026 |
1,003 | 1,143 | ||||||
| 8.00%, 11/20/2026 |
814 | 918 | ||||||
| 8.00%, 10/20/2027 |
1,992 | 2,216 | ||||||
| 8.00%, 11/20/2027 |
1,922 | 2,132 | ||||||
| 8.00%, 12/20/2027 |
897 | 994 | ||||||
| 7.50%, 02/20/2028 |
1,122 | 1,237 | ||||||
| 6.00%, 03/20/2028 |
5,335 | 5,929 | ||||||
| 8.00%, 06/20/2028 |
497 | 502 | ||||||
| 8.00%, 08/20/2028 |
117 | 121 | ||||||
| 7.50%, 09/20/2028 |
3,699 | 4,124 |
| 8.00%, 09/20/2028 |
299 | 305 | ||||||
| 6.50%, 07/20/2029 |
64,340 | 72,630 | ||||||
| 6.00%, 11/20/2033 |
4,323 | 4,935 | ||||||
| 5.00%, 10/20/2037 |
279,447 | 309,065 | ||||||
| 7.00%, 08/20/2038 |
21,643 | 24,620 | ||||||
| 6.00%, 09/20/2038 |
432,671 | 494,338 | ||||||
| 6.00%, 11/20/2038 |
5,073 | 5,643 | ||||||
| 6.00%, 08/20/2039 |
228,596 | 258,193 | ||||||
| 5.50%, 09/20/2039 |
115,045 | 127,547 | ||||||
| 4.50%, 06/20/2040 |
760,812 | 821,788 | ||||||
| 5.00%, 07/20/2040 |
192,123 | 212,410 | ||||||
| 4.00%, 10/20/2040 |
2,229,565 | 2,364,421 | ||||||
| 4.50%, 01/20/2041 |
612,747 | 661,893 | ||||||
| 4.50%, 03/20/2041 |
574,618 | 620,762 | ||||||
| 4.50%, 05/20/2041 |
285,983 | 308,916 | ||||||
| 4.50%, 06/20/2041 |
2,011,536 | 2,173,059 | ||||||
| 4.50%, 09/20/2041 |
633,365 | 684,261 | ||||||
| 3.00%, 06/20/2042 |
329,455 | 341,094 | ||||||
| 4.00%, 06/20/2042 |
2,822,399 | 2,995,379 | ||||||
| 3.00%, 08/20/2042 |
4,400,815 | 4,556,292 | ||||||
| 3.50%, 10/20/2042 |
4,965,254 | 5,226,130 | ||||||
| 4.00%, 10/20/2042 |
5,959,036 | 6,325,693 | ||||||
| 3.00%, 11/20/2042 |
2,439,856 | 2,526,054 | ||||||
| 3.50%, 11/20/2042 |
1,707,315 | 1,802,903 | ||||||
| 3.00%, 12/20/2042 |
1,246,216 | 1,290,244 | ||||||
| 4.00%, 12/20/2042 |
2,893,490 | 3,071,564 | ||||||
| 3.00%, 01/20/2043 |
1,259,137 | 1,303,621 | ||||||
| 4.00%, 02/20/2043 |
1,287,705 | 1,367,005 | ||||||
| 3.00%, 04/20/2043 |
3,169,763 | 3,281,754 | ||||||
| 3.50%, 05/20/2043 |
1,154,602 | 1,215,105 | ||||||
| 3.00%, 09/20/2043 |
965,402 | 999,005 | ||||||
| 4.50%, 09/20/2043 |
1,627,305 | 1,746,521 | ||||||
| 3.00%, 10/20/2043 |
144,920 | 149,981 | ||||||
| 4.00%, 10/20/2043 |
4,304,241 | 4,567,709 | ||||||
| 4.50%, 10/20/2043 |
3,097,868 | 3,324,233 | ||||||
| 4.50%, 12/20/2043 |
1,637,365 | 1,757,015 | ||||||
| 3.00%, 01/20/2044 |
835,825 | 865,014 | ||||||
| 5.00%, 06/20/2044 |
775,546 | 856,980 | ||||||
| 3.00%, 07/20/2044 |
381,919 | 394,810 | ||||||
| 5.00%, 07/20/2044 |
678,757 | 745,850 | ||||||
| 4.00%, 11/20/2044 |
2,376,689 | 2,517,463 | ||||||
| 3.00%, 12/20/2044 |
741,715 | 767,081 | ||||||
| 4.00%, 12/20/2044 |
1,678,513 | 1,777,687 | ||||||
| 3.50%, 03/20/2045 |
1,638,073 | 1,707,511 | ||||||
| 4.00%, 03/20/2045 |
434,714 | 460,447 | ||||||
| 3.00%, 04/20/2045 |
6,885,543 | 7,106,776 | ||||||
| 3.50%, 04/20/2045 |
12,958,837 | 13,477,493 | ||||||
| 3.00%, 05/20/2045 |
1,201,638 | 1,243,593 | ||||||
| 4.00%, 05/20/2045 |
5,537,350 | 5,857,722 | ||||||
| 3.00%, 07/20/2045 |
2,737,505 | 2,825,558 | ||||||
| 5.00%, 08/20/2045 |
893,072 | 966,026 | ||||||
| 3.00%, 10/20/2045 |
3,078,273 | 3,177,305 | ||||||
| 3.50%, 10/20/2045 |
10,638,867 | 11,128,712 | ||||||
| 3.00%, 11/20/2045 |
728,164 | 751,619 | ||||||
| 4.00%, 11/20/2045 |
4,604,708 | 4,851,300 | ||||||
| 4.00%, 01/20/2046 |
1,080,626 | 1,137,015 | ||||||
| 4.50%, 01/20/2046 |
2,625,063 | 2,801,864 | ||||||
| 4.00%, 03/20/2046 |
1,177,597 | 1,245,709 | ||||||
| 3.00%, 04/20/2046 |
7,437,822 | 7,675,043 | ||||||
| 3.50%, 04/20/2046 |
22,567,307 | 23,497,617 |
| 4.00%, 04/20/2046 |
3,119,830 | 3,280,129 | ||||||
| 3.00%, 05/20/2046 |
307,462 | 317,069 | ||||||
| 3.50%, 05/20/2046 |
10,289,284 | 10,718,691 | ||||||
| 4.00%, 05/20/2046 |
5,295,590 | 5,542,814 | ||||||
| 3.50%, 06/20/2046 |
4,276,678 | 4,468,162 | ||||||
| 4.00%, 06/20/2046 |
2,483,223 | 2,616,227 | ||||||
| 3.00%, 07/20/2046 |
5,888,607 | 6,074,761 | ||||||
| 3.50%, 07/20/2046 |
12,553,196 | 13,038,343 | ||||||
| 4.50%, 07/20/2046 |
1,384,406 | 1,479,923 | ||||||
| 3.00%, 08/20/2046 |
6,835,591 | 7,051,788 | ||||||
| 3.00%, 09/20/2046 |
2,014,454 | 2,079,221 | ||||||
| 3.50%, 09/20/2046 |
1,389,089 | 1,444,515 | ||||||
| 4.50%, 09/20/2046 |
2,384,368 | 2,546,214 | ||||||
| 5.00%, 09/20/2046 |
2,199,984 | 2,431,947 | ||||||
| 4.00%, 11/20/2046 |
2,311,426 | 2,412,297 | ||||||
| 4.50%, 11/20/2046 |
4,203,002 | 4,501,646 | ||||||
| 2.50%, 12/20/2046 |
2,973,567 | 2,996,632 | ||||||
| 3.50%, 12/20/2046 |
8,822,152 | 9,155,205 | ||||||
| 3.00%, 01/20/2047 |
4,551,517 | 4,693,285 | ||||||
| 3.50%, 01/20/2047 |
702,529 | 728,042 | ||||||
| 3.00%, 02/20/2047 |
6,283,853 | 6,471,494 | ||||||
| 3.50%, 02/20/2047 |
8,139,551 | 8,455,059 | ||||||
| 4.00%, 02/20/2047 |
4,070,805 | 4,233,059 | ||||||
| 3.00%, 03/20/2047 |
686,930 | 707,761 | ||||||
| 3.50%, 03/20/2047 |
10,469,002 | 10,890,677 | ||||||
| 4.00%, 03/20/2047 |
8,697,772 | 9,086,998 | ||||||
| 4.50%, 03/20/2047 |
907,022 | 959,698 | ||||||
| 4.00%, 05/20/2047 |
742,144 | 775,212 | ||||||
| 3.50%, 06/20/2047 |
6,228,440 | 6,439,607 | ||||||
| 4.00%, 06/20/2047 |
2,602,481 | 2,722,087 | ||||||
| 4.00%, 07/20/2047 |
3,435,806 | 3,589,972 | ||||||
| 4.50%, 07/20/2047 |
9,341,369 | 9,947,655 | ||||||
| 4.50%, 08/20/2047 |
2,477,768 | 2,630,821 | ||||||
| 4.00%, 09/20/2047 |
32,213,127 | 33,777,715 | ||||||
| 4.50%, 09/20/2047 |
12,906,359 | 13,663,828 | ||||||
| 5.00%, 10/20/2047 |
459,366 | 489,924 | ||||||
| 3.50%, 11/20/2047 |
14,833,549 | 15,393,091 | ||||||
| 5.00%, 11/20/2047 |
2,083,417 | 2,236,311 | ||||||
| 3.50%, 12/20/2047 |
3,230,375 | 3,355,269 | ||||||
| 4.25%, 12/20/2047 |
1,736,473 | 1,845,024 | ||||||
| 4.00%, 01/20/2048 |
2,262,028 | 2,352,150 | ||||||
| 4.50%, 01/20/2048 |
2,020,073 | 2,121,580 | ||||||
| 4.50%, 02/20/2048 |
9,532,134 | 10,062,999 | ||||||
| 4.50%, 03/20/2048 |
1,066,798 | 1,123,528 | ||||||
| 4.50%, 04/20/2048 |
4,241,184 | 4,578,978 | ||||||
| 4.50%, 04/20/2048 |
1,997,176 | 2,130,035 | ||||||
| 4.50%, 04/20/2048 |
2,854,820 | 3,029,008 | ||||||
| 4.50%, 04/20/2048 |
997,269 | 1,051,000 | ||||||
| 4.50%, 05/20/2048 |
6,088,978 | 6,544,719 | ||||||
| 4.50%, 05/20/2048 |
9,382,763 | 9,917,477 | ||||||
| 4.50%, 05/20/2048 |
2,438,517 | 2,567,248 | ||||||
| 5.00%, 06/20/2048 |
4,172,932 | 4,451,063 | ||||||
| 5.00%, 07/20/2048 |
1,416,921 | 1,533,565 | ||||||
| 5.00%, 07/20/2048 |
5,189,106 | 5,476,823 | ||||||
| 4.50%, 09/20/2048 |
2,587,543 | 2,720,848 | ||||||
| 3.50%, 11/20/2048 |
8,851,326 | 9,125,148 | ||||||
| 4.00%, 06/20/2049 |
3,746,060 | 3,880,673 | ||||||
| 4.00%, 07/20/2049 |
24,697,243 | 25,593,035 | ||||||
| 5.00%, 07/20/2049 |
1,689,889 | 1,846,111 | ||||||
| 5.00%, 08/20/2049 |
8,932,868 | 9,669,236 |
| 3.50%, 09/20/2049 |
44,628,720 | 46,231,280 | ||||||
| 3.50%, 11/20/2049 |
6,314,619 | 6,573,375 | ||||||
| 4.50%, 11/20/2049 |
11,010,554 | 11,793,470 | ||||||
| 4.41%, 05/20/2063(4) |
225,067 | 227,243 | ||||||
| GMACM Mortgage Loan Trust 2005-AR3 |
||||||||
| 3.88%, 06/19/2035(4) |
74,383 | 74,212 | ||||||
| Gosforth Funding 2018-1 Plc |
||||||||
| 2.36% (3 Month LIBOR USD + 0.45%), 08/25/2060(2)(3) |
5,685,908 | 5,681,905 | ||||||
| GS Mortgage Securities Corp. II |
||||||||
| 4.26%, 07/10/2051(4) |
28,521,000 | 30,827,636 | ||||||
| GS Mortgage Securities Corp. Trust 2012-ALOHA |
||||||||
| 3.55%, 04/10/2034(3) |
4,200,000 | 4,292,426 | ||||||
| GS Mortgage Securities Trust 2006-GG8 |
||||||||
| 1.05%, 11/10/2039(3)(4) |
1,200,464 | 5,941 | ||||||
| GS Mortgage Securities Trust 2012-GCJ9 |
||||||||
| 2.77%, 11/10/2045 |
13,050,100 | 13,210,435 | ||||||
| GS Mortgage Securities Trust 2013-GC13 |
||||||||
| 3.87%, 07/10/2046(4) |
5,880,000 | 6,136,595 | ||||||
| GS Mortgage Securities Trust 2013-GC16 |
||||||||
| 1.03%, 11/10/2046(4) |
16,694,369 | 570,849 | ||||||
| GS Mortgage Securities Trust 2013-GCJ12 |
||||||||
| 3.14%, 06/10/2046 |
1,260,000 | 1,290,608 | ||||||
| GS Mortgage Securities Trust 2014-GC18 |
||||||||
| 3.80%, 01/10/2047 |
4,486,700 | 4,659,808 | ||||||
| 4.07%, 01/10/2047 |
4,338,000 | 4,606,598 | ||||||
| GS Mortgage Securities Trust 2014-GC26 |
||||||||
| 3.36%, 11/10/2047 |
8,000,000 | 8,323,950 | ||||||
| GS Mortgage Securities Trust 2015-GC28 |
||||||||
| 3.14%, 02/10/2048 |
9,000,000 | 9,294,701 | ||||||
| GS Mortgage Securities Trust 2016-GS4 |
||||||||
| 3.18%, 11/10/2049 |
12,000,000 | 12,468,641 | ||||||
| 3.44%, 11/10/2049(4) |
1,317,000 | 1,389,127 | ||||||
| GSMPS Mortgage Loan Trust 2004-4 |
||||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034(2)(3) |
52,952 | 49,525 | ||||||
| GSMPS Mortgage Loan Trust 2005-RP2 |
||||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035(2)(3) |
94,480 | 87,853 | ||||||
| GSMPS Mortgage Loan Trust 2005-RP3 |
||||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035(2)(3) |
604,479 | 534,744 | ||||||
| 2.77%, 09/25/2035(3)(4) |
445,661 | 51,865 | ||||||
| GSR Mortgage Loan Trust 2003-3F |
||||||||
| 5.75%, 04/25/2033 |
20,295 | 20,853 | ||||||
| GSR Mortgage Loan Trust 2003-6F |
||||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 09/25/2032(2) |
4,729 | 4,719 | ||||||
| GSR Mortgage Loan Trust 2004-13F |
||||||||
| 6.00%, 11/25/2034 |
64,389 | 66,324 | ||||||
| GSR Mortgage Loan Trust 2004-6F |
||||||||
| 5.50%, 05/25/2034 |
77,633 | 80,096 | ||||||
| 6.50%, 05/25/2034 |
47,209 | 50,673 | ||||||
| GSR Mortgage Loan Trust 2005-5F |
||||||||
| 2.29% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035(2) |
22,019 | 20,861 | ||||||
| GSR Mortgage Loan Trust 2005-7F |
||||||||
| 6.00%, 09/25/2035 |
104,145 | 109,890 | ||||||
| GSR Mortgage Loan Trust 2005-AR6 |
||||||||
| 4.46%, 09/25/2035(4) |
5,865 | 5,956 | ||||||
| GSR Mortgage Loan Trust 2006-1F |
||||||||
| 5.50%, 02/25/2036 |
51,410 | 64,509 | ||||||
| 6.00%, 02/25/2036 |
294,329 | 235,481 | ||||||
| Headlands Residential LLC |
||||||||
| 3.88%, 08/25/2022(1)(3) |
6,170,000 | 6,167,348 | ||||||
| 3.97%, 06/25/2024(1)(3) |
9,000,000 | 9,036,301 |
| Home Re 2018-1 Ltd. |
||||||||
| 3.39% (1 Month LIBOR USD + 1.60%), 10/25/2028(2)(3) |
1,230,874 | 1,231,247 | ||||||
| Home RE 2019-1 Ltd. |
||||||||
| 3.44% (1 Month LIBOR USD + 1.65%), 05/25/2029(2)(3) |
1,452,038 | 1,452,990 | ||||||
| HomeBanc Mortgage Trust 2005-3 |
||||||||
| 2.03% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap), 07/25/2035(2) |
318,834 | 318,871 | ||||||
| Impac CMB Trust Series 2004-4 |
||||||||
| 4.85%, 09/25/2034(1) |
8,687 | 8,939 | ||||||
| Impac CMB Trust Series 2004-7 |
||||||||
| 2.53% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034(2) |
795,500 | 808,995 | ||||||
| Impac CMB Trust Series 2005-4 |
||||||||
| 2.39% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 10.25% Cap), 05/25/2035(2) |
96,110 | 93,608 | ||||||
| Impac Secured Assets CMN Owner Trust |
||||||||
| 5.50%, 08/25/2033 |
68,782 | 68,908 | ||||||
| Impac Secured Assets Trust 2006-1 |
||||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 05/25/2036(2) |
234,520 | 227,704 | ||||||
| Impac Secured Assets Trust 2006-2 |
||||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 08/25/2036(2) |
140,043 | 139,890 | ||||||
| Independence Plaza Trust 2018-INDP |
||||||||
| 3.76%, 07/10/2035(3) |
5,445,000 | 5,682,098 | ||||||
| JP Morgan Alternative Loan Trust |
||||||||
| 4.13%, 03/25/2036(4) |
29,025 | 27,486 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Corp. |
||||||||
| 2.74% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 09/15/2029(2)(3) |
9,200,000 | 9,199,863 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 |
||||||||
| 0.12%, 08/12/2037(3)(4) |
1,252,412 | 158 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 |
||||||||
| 0.15%, 06/12/2043(4) |
2,219,117 | 2,917 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 |
||||||||
| 0.00%, 02/15/2051(4) |
1,029,401 | 10 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 |
||||||||
| 2.96%, 04/15/2046 |
7,152,087 | 7,310,152 | ||||||
| JP Morgan Mortgage Trust 2004-A3 |
||||||||
| 4.91%, 07/25/2034(4) |
8,741 | 8,988 | ||||||
| JP Morgan Mortgage Trust 2004-A4 |
||||||||
| 4.78%, 09/25/2034(4) |
29,646 | 30,882 | ||||||
| JP Morgan Mortgage Trust 2004-S1 |
||||||||
| 5.00%, 09/25/2034 |
4,197 | 4,193 | ||||||
| JP Morgan Mortgage Trust 2005-A1 |
||||||||
| 4.51%, 02/25/2035(4) |
78,925 | 81,399 | ||||||
| JP Morgan Mortgage Trust 2005-A4 |
||||||||
| 4.11%, 07/25/2035(4) |
81,283 | 82,204 | ||||||
| JP Morgan Mortgage Trust 2006-A2 |
||||||||
| 4.09%, 11/25/2033(4) |
259,272 | 267,745 | ||||||
| 4.69%, 08/25/2034(4) |
465,432 | 483,927 | ||||||
| JP Morgan Mortgage Trust 2006-A3 |
||||||||
| 4.16%, 08/25/2034(4) |
65,792 | 66,192 | ||||||
| JP Morgan Mortgage Trust 2006-A7 |
||||||||
| 3.83%, 01/25/2037(4) |
60,682 | 58,951 | ||||||
| 3.83%, 01/25/2037(4) |
106,446 | 103,408 | ||||||
| JP Morgan Mortgage Trust 2007-A1 |
||||||||
| 4.31%, 07/25/2035(4) |
57,252 | 58,391 | ||||||
| 4.31%, 07/25/2035(4) |
873,334 | 891,905 | ||||||
| JP Morgan Mortgage Trust 2007-A2 |
||||||||
| 4.32%, 04/25/2037(4) |
212,480 | 198,010 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2013-C17 |
||||||||
| 3.93%, 01/15/2047 |
2,288,937 | 2,415,451 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2014-C19 |
||||||||
| 3.67%, 04/15/2047 |
2,010,000 | 2,041,648 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2014-C25 |
| 3.41%, 11/15/2047 |
13,000,000 | 13,589,260 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2015-C28 |
||||||||
| 2.77%, 10/15/2048 |
1,243,848 | 1,243,342 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2016-C1 |
||||||||
| 3.31%, 03/15/2049 |
10,000,000 | 10,463,760 | ||||||
| JPMCC Commercial Mortgage Securities Trust 2017-JP5 |
||||||||
| 3.46%, 03/15/2050 |
20,000,000 | 21,115,640 | ||||||
| JPMCC Commercial Mortgage Securities Trust 2017-JP7 |
||||||||
| 3.19%, 09/15/2050 |
20,000,000 | 20,818,072 | ||||||
| JPMDB Commercial Mortgage Securities Trust 2019-COR6 |
||||||||
| 3.06%, 11/13/2052 |
1,218,000 | 1,253,765 | ||||||
| Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust |
||||||||
| 3.99%, 02/15/2036(3) |
1,027,000 | 1,112,235 | ||||||
| LB-UBS Commercial Mortgage Trust 2007-C2 |
||||||||
| 0.16%, 02/15/2040(4) |
307,700 | 31 | ||||||
| LCCM 2017-LC26 |
||||||||
| 3.29%, 07/12/2050(3) |
20,300,000 | 20,995,529 | ||||||
| Legacy Mortgage Asset Trust 2019-GS6 |
||||||||
| 3.00%, 06/25/2059(1)(3) |
969,613 | 967,819 | ||||||
| Legacy Mortgage Asset Trust 2019-PR1 |
||||||||
| 3.86%, 09/25/2059(1)(3)(14) |
9,444,458 | 9,444,458 | ||||||
| Lehman Mortgage Trust 2006-2 |
||||||||
| 5.78%, 04/25/2036(4) |
52,121 | 45,475 | ||||||
| Lehman Mortgage Trust 2007-6 |
||||||||
| 6.00%, 07/25/2037 |
31,348 | 29,026 | ||||||
| Lehman Mortgage Trust 2008-2 |
||||||||
| 6.00%, 03/25/2038 |
304,766 | 194,405 | ||||||
| LHOME Mortgage Trust 2019-RTL3 |
||||||||
| 3.87%, 07/25/2024(3) |
9,210,000 | 9,191,106 | ||||||
| Luminent Mortgage Trust 2005-1 |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap), 11/25/2035(2) |
1,386,534 | 1,371,161 | ||||||
| MASTR Adjustable Rate Mortgages Trust 2004-13 |
||||||||
| 4.61%, 04/21/2034(4) |
114,083 | 116,357 | ||||||
| MASTR Adjustable Rate Mortgages Trust 2004-15 |
||||||||
| 4.32%, 12/25/2034(4) |
37,976 | 37,530 | ||||||
| MASTR Adjustable Rate Mortgages Trust 2004-3 |
||||||||
| 3.93%, 04/25/2034(4) |
29,748 | 28,093 | ||||||
| MASTR Alternative Loan Trust 2003-9 |
||||||||
| 6.00%, 12/25/2033 |
26,958 | 27,780 | ||||||
| 6.00%, 01/25/2034 |
22,922 | 23,607 | ||||||
| MASTR Alternative Loan Trust 2004-10 |
||||||||
| 4.50%, 09/25/2020 |
1,136 | 1,139 | ||||||
| MASTR Alternative Loan Trust 2004-13 |
||||||||
| 5.50%, 01/25/2020 |
26,075 | 26,119 | ||||||
| MASTR Alternative Loan Trust 2004-3 |
||||||||
| 6.00%, 04/25/2034 |
188,607 | 194,247 | ||||||
| 6.25%, 04/25/2034 |
40,274 | 41,532 | ||||||
| MASTR Alternative Loan Trust 2004-6 |
||||||||
| 0.00%, 07/25/2034 |
25,613 | 21,780 | ||||||
| 6.00%, 07/25/2034 |
16,854 | 17,449 | ||||||
| MASTR Alternative Loan Trust 2004-7 |
||||||||
| 0.00%, 08/25/2034 |
19,226 | 16,593 | ||||||
| MASTR Alternative Loan Trust 2004-8 |
||||||||
| 5.50%, 09/25/2020 |
322 | 330 | ||||||
| MASTR Alternative Loan Trust 2005-6 |
||||||||
| 5.50%, 11/25/2020 |
20,401 | 19,747 | ||||||
| MASTR Asset Securitization Trust 2003-12 |
||||||||
| 0.00%, 12/25/2033 |
3,094 | 2,919 | ||||||
| 5.00%, 12/25/2033 |
10,083 | 10,152 | ||||||
| MASTR Asset Securitization Trust 2004-1 |
| 0.00%, 02/25/2034 |
2,121 | 1,836 | ||||||
| MASTR Asset Securitization Trust 2004-4 |
||||||||
| 5.25%, 12/26/2033 |
50,976 | 51,074 | ||||||
| MASTR Asset Securitization Trust 2004-6 |
||||||||
| 0.00%, 07/25/2020 |
37 | 37 | ||||||
| MASTR Asset Securitization Trust 2004-8 |
||||||||
| 0.00%, 07/25/2020 |
170 | 119 | ||||||
| 4.75%, 08/25/2020 |
163 | — | ||||||
| MASTR Reperforming Loan Trust 2005-2 |
||||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035(2)(3) |
842,367 | 587,783 | ||||||
| MASTR Reperforming Loan Trust 2006-2 |
||||||||
| 4.36%, 05/25/2036(3)(4) |
99,809 | 95,603 | ||||||
| MASTR Resecuritization Trust 2005-PO |
||||||||
| 0.00%, 05/28/2035(3) |
20,959 | 15,297 | ||||||
| Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 |
||||||||
| 3.13%, 06/25/2037(4) |
72,144 | 70,396 | ||||||
| Merrill Lynch Mortgage Investors Trust Series 2003-A5 |
||||||||
| 4.17%, 08/25/2033(4) |
36,515 | 36,986 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E |
||||||||
| 2.41% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.75% Cap), 10/25/2028(2) |
77,748 | 78,392 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F |
||||||||
| 2.43% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.75% Cap), 10/25/2028(2) |
95,416 | 95,523 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 |
||||||||
| 3.94%, 12/25/2034(4) |
71,480 | 72,148 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A |
||||||||
| 2.25% (1 Month LIBOR USD + 0.46%, 0.23% Floor, 11.75% Cap), 04/25/2029(2) |
29,925 | 29,217 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C |
||||||||
| 2.52% (6 Month LIBOR USD + 0.60%, 0.30% Floor, 11.75% Cap), 07/25/2029(2) |
53,587 | 52,816 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 |
||||||||
| 4.35%, 08/25/2034(4) |
63,461 | 65,410 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 |
||||||||
| 4.36%, 02/25/2035(4) |
115,119 | 116,587 | ||||||
| Metlife Securitization Trust 2018-1 |
||||||||
| 3.75%, 03/25/2057(3)(4) |
3,038,565 | 3,154,419 | ||||||
| Mill City Mortgage Loan Trust 2019-1 |
||||||||
| 3.25%, 10/25/2069(3)(4) |
3,282,311 | 3,341,187 | ||||||
| ML Trust XLVII |
||||||||
| 8.99%, 10/20/2020 |
3 | 3 | ||||||
| ML-CFC Commercial Mortgage Trust 2006-4 |
||||||||
| 0.56%, 12/12/2049(3)(4) |
575,854 | 6 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 |
||||||||
| 2.86%, 11/15/2045 |
7,639,764 | 7,746,260 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 |
||||||||
| 3.67%, 02/15/2047 |
3,035,205 | 3,063,291 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 |
||||||||
| 3.25%, 02/15/2048 |
3,415,000 | 3,542,415 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 |
||||||||
| 3.45%, 07/15/2050 |
27,200,000 | 28,511,715 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 |
||||||||
| 3.48%, 05/15/2048 |
5,000,000 | 5,249,941 | ||||||
| 3.73%, 05/15/2048 |
6,507,000 | 6,924,238 | ||||||
| Morgan Stanley Capital I Trust 2006-IQ12 |
||||||||
| 0.71%, 12/15/2043(3)(4) |
312,803 | 3 | ||||||
| Morgan Stanley Capital I Trust 2007-HQ11 |
||||||||
| 0.22%, 02/12/2044(3)(4) |
257,675 | 82 | ||||||
| Morgan Stanley Capital I Trust 2007-HQ13 |
||||||||
| 0.00%, 12/15/2044(3)(4) |
178,220 | 2 | ||||||
| Morgan Stanley Capital I Trust 2007-IQ13 |
||||||||
| 0.46%, 03/15/2044(3)(4) |
473,328 | 2,002 | ||||||
| Morgan Stanley Capital I Trust 2012-C4 |
| 2.99%, 03/15/2045 |
231,594 | 232,418 | ||||||
| Morgan Stanley Capital I Trust 2014-CPT |
||||||||
| 3.35%, 07/13/2029(3) |
4,241,000 | 4,301,849 | ||||||
| Morgan Stanley Capital I Trust 2016-UB11 |
||||||||
| 2.53%, 08/15/2049 |
20,000,000 | 19,994,688 | ||||||
| Morgan Stanley Mortgage Loan Trust 2004-3 |
||||||||
| 5.61%, 04/25/2034(4) |
176,436 | 190,539 | ||||||
| Morgan Stanley Mortgage Loan Trust 2004-9 |
||||||||
| 3.07%, 10/25/2020(4) |
13,684 | 13,245 | ||||||
| MortgageIT Trust 2005-2 |
||||||||
| 2.31% (1 Month LIBOR USD + 0.52%, 0.26% Floor, 11.50% Cap), 05/25/2035(2) |
609,971 | 618,683 | ||||||
| MRCD 2019-MARK Mortgage Trust |
||||||||
| 2.72%, 12/15/2036(3) |
6,990,000 | 7,018,484 | ||||||
| 2.72%, 12/15/2036(3) |
6,108,000 | 5,890,796 | ||||||
| MRFC Mortgage Pass-Through Trust Series 1999-TBC2 |
||||||||
| 2.22% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030(2) |
201,779 | 201,269 | ||||||
| MRFC Mortgage Pass-Through Trust Series 2000-TBC3 |
||||||||
| 2.18% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030(2) |
44,564 | 43,541 | ||||||
| NACC Reperforming Loan REMIC Trust 2004-R2 |
||||||||
| 6.50%, 10/25/2034(3)(4) |
54,065 | 53,834 | ||||||
| NCUA Guaranteed Notes Trust 2010-R3 |
||||||||
| 2.27% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 8.00% Cap), 12/08/2020(2) |
1,110,127 | 1,111,077 | ||||||
| 2.40%, 12/08/2020 |
43,109 | 43,459 | ||||||
| New Residential Mortgage Loan Trust 2017-2 |
||||||||
| 4.00%, 03/25/2057(3)(4) |
3,380,747 | 3,524,680 | ||||||
| New Residential Mortgage Loan Trust 2017-3 |
||||||||
| 4.00%, 04/25/2057(3)(4) |
5,651,078 | 5,868,839 | ||||||
| New Residential Mortgage Loan Trust 2017-4 |
||||||||
| 4.00%, 05/25/2057(3)(4) |
3,829,045 | 3,989,356 | ||||||
| New Residential Mortgage Loan Trust 2018-RPL1 |
||||||||
| 3.50%, 12/25/2057(3)(4) |
24,320,892 | 24,947,410 | ||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A1 |
||||||||
| 7.00%, 04/25/2033 |
7,954 | 8,231 | ||||||
| 5.50%, 05/25/2033 |
8,938 | 8,974 | ||||||
| 6.00%, 05/25/2033 |
19,651 | 20,140 | ||||||
| Oaktown Re II Ltd. |
||||||||
| 3.34% (1 Month LIBOR USD + 1.55%), 07/25/2028(2)(3) |
1,564,846 | 1,565,155 | ||||||
| Oaktown Re III Ltd. |
||||||||
| 3.19% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/25/2029(2)(3) |
2,484,540 | 2,487,678 | ||||||
| Park Avenue Funding Trust 2019-4 |
||||||||
| 0.00% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 05/27/2021(2)(3)(8) |
23,150,000 | 23,150,000 | ||||||
| Prime Mortgage Trust 2004-CL1 |
||||||||
| 6.00%, 02/25/2034 |
67,145 | 71,456 | ||||||
| Provident Funding Mortgage Loan Trust 2005-1 |
||||||||
| 4.68%, 05/25/2035(4) |
1,765 | 1,762 | ||||||
| Radnor Re 2018-1 Ltd. |
||||||||
| 3.19% (1 Month LIBOR USD + 1.40%), 03/25/2028(2)(3) |
2,191,190 | 2,191,189 | ||||||
| RALI Series 2002-QS16 Trust |
||||||||
| 12.88% (1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2049(2)(8) |
118 | 129 | ||||||
| RALI Series 2003-QS14 Trust |
||||||||
| 5.00%, 07/25/2020 |
1,087 | 1,061 | ||||||
| RALI Series 2003-QS9 Trust |
||||||||
| 5.76% (1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2049(2)(8) |
1,019 | 0 | ||||||
| RALI Series 2004-QS6 Trust |
||||||||
| 5.00%, 05/25/2023 |
956 | 924 | ||||||
| RALI Series 2005-QA6 Trust |
||||||||
| 5.28%, 05/25/2035(4) |
103,124 | 76,904 | ||||||
| RALI Series 2007-QS1 Trust |
||||||||
| 6.00%, 01/25/2037 |
15,454 | 14,505 | ||||||
| RBS Commercial Funding, Inc. 2013-SMV Trust |
| 3.26%, 03/11/2031(3) |
512,000 | 522,402 | ||||||
| RBSSP Resecuritization Trust 2009-1 |
||||||||
| 6.50%, 02/26/2036(3)(4) |
165,831 | 171,482 | ||||||
| RBSSP Resecuritization Trust 2009-12 |
||||||||
| 5.46%, 11/25/2033(3)(4) |
186,170 | 191,854 | ||||||
| Reperforming Loan REMIC Trust 2005-R1 |
||||||||
| 0.00%, 03/25/2035(3) |
6,674 | 4,830 | ||||||
| Residential Asset Securitization Trust 2003-A14 |
||||||||
| 4.75%, 02/25/2020 |
13 | 9 | ||||||
| Residential Asset Securitization Trust 2003-A8 |
||||||||
| 4.25%, 10/25/2021 |
1,399 | 1,393 | ||||||
| Residential Asset Securitization Trust 2004-A7 |
||||||||
| 5.50%, 10/25/2034 |
1,856,846 | 1,895,577 | ||||||
| Residential Asset Securitization Trust 2005-A2 |
||||||||
| 3.26% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035(2)(8) |
671,583 | 55,603 | ||||||
| Residential Asset Securitization Trust 2006-A4IP |
||||||||
| 6.00%, 05/25/2036 |
60,091 | 58,904 | ||||||
| RFMSI Series 2005-SA4 Trust |
||||||||
| 4.03%, 09/25/2035(4) |
35,389 | 32,679 | ||||||
| Seasoned Credit Risk Transfer Trust 2017-4 |
||||||||
| 3.50%, 06/25/2057 |
4,520,315 | 4,689,412 | ||||||
| Seasoned Credit Risk Transfer Trust Series 2019-1 |
||||||||
| 3.50%, 07/25/2058 |
11,185,329 | 11,763,823 | ||||||
| Seasoned Credit Risk Transfer Trust Series 2019-3 |
||||||||
| 3.50%, 10/25/2058 |
3,880,000 | 4,051,960 | ||||||
| Seasoned Credit Risk Transfer Trust Series 2019-4 |
||||||||
| 4.00%, 02/25/2059 |
8,508,113 | 8,956,116 | ||||||
| Sequoia Mortgage Trust 2004-10 |
||||||||
| 2.38% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.50% Cap), 11/20/2034(2) |
40,348 | 39,998 | ||||||
| Sequoia Mortgage Trust 2004-11 |
||||||||
| 2.36% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 12/20/2034(2) |
113,137 | 113,338 | ||||||
| Sequoia Mortgage Trust 2004-12 |
||||||||
| 2.22% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035(2) |
105,727 | 100,577 | ||||||
| Sequoia Mortgage Trust 2004-8 |
||||||||
| 2.46% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 11.50% Cap), 09/20/2034(2) |
746,149 | 738,876 | ||||||
| 2.76% (6 Month LIBOR USD + 0.74%, 0.37% Floor, 11.50% Cap), 09/20/2034(2) |
114,772 | 114,394 | ||||||
| Series RR 2014-1 Trust |
||||||||
| 0.00%, 05/25/2047(3) |
1,603,000 | 1,369,196 | ||||||
| Station Place Securitization Trust Series 2019-WL1 |
||||||||
| 2.44% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 08/25/2052(2)(3) |
7,025,000 | 7,026,054 | ||||||
| Structured Asset Mortgage Investments II Trust 2004-AR5 |
||||||||
| 2.42% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.00% Cap), 10/19/2034(2) |
113,545 | 113,964 | ||||||
| Structured Asset Mortgage Investments II Trust 2005-AR5 |
||||||||
| 2.01% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 11.00% Cap), 07/19/2035(2) |
422,930 | 420,408 | ||||||
| Structured Asset Mortgage Investments Trust 2003-CL1 |
||||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032(2) |
247,417 | 242,229 | ||||||
| Structured Asset Securities Corp. |
||||||||
| 4.06%, 12/25/2033(4) |
1,135,701 | 1,134,153 | ||||||
| 4.17%, 12/25/2033(4) |
127,488 | 130,450 | ||||||
| 5.14%, 02/25/2034(1) |
183,680 | 189,059 | ||||||
| 2.14% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035(2)(3) |
69,798 | 62,506 | ||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2003-34A |
||||||||
| 4.01%, 11/25/2033(4) |
28,802 | 29,209 | ||||||
| Tharaldson Hotel Portfolio Trust 2018-THPT |
||||||||
| 2.46% (1 Month LIBOR USD + 0.75%, 0.85% Floor), 11/11/2034(2)(3) |
1,117,101 | 1,115,907 | ||||||
| Thornburg Mortgage Securities Trust 2003-4 |
||||||||
| 2.43% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.50% Cap), 09/25/2043(2) |
511,933 | 517,475 | ||||||
| Thornburg Mortgage Securities Trust 2003-5 |
||||||||
| 3.99%, 10/25/2043(4) |
2,535,645 | 2,602,709 | ||||||
| Thornburg Mortgage Securities Trust 2004-4 |
| 3.65%, 12/25/2044(4) |
281,941 | 287,828 | ||||||
| Thornburg Mortgage Securities Trust 2005-1 |
||||||||
| 4.46%, 04/25/2045(4) |
713,921 | 715,701 | ||||||
| Toorak Mortgage Corp. 2019-2 Ltd. |
||||||||
| 3.72%, 09/25/2022(1) |
6,665,000 | 6,673,796 | ||||||
| Towd Point Mortgage Trust 2019-4 |
||||||||
| 2.90%, 10/25/2059(3)(4) |
3,999,323 | 4,019,907 | ||||||
| UBS Commercial Mortgage Trust 2012-C1 |
||||||||
| 2.08%, 05/10/2045(3)(4) |
1,496,026 | 53,921 | ||||||
| UBS Commercial Mortgage Trust 2017-C2 |
||||||||
| 3.26%, 08/15/2050 |
10,114,000 | 10,480,416 | ||||||
| UBS Commercial Mortgage Trust 2017-C5 |
||||||||
| 3.21%, 11/15/2050 |
21,500,000 | 22,401,759 | ||||||
| UBS Commercial Mortgage Trust 2018-C9 |
||||||||
| 3.85%, 03/15/2051 |
9,650,000 | 10,500,770 | ||||||
| UBS-BAMLL Trust |
||||||||
| 3.66%, 06/10/2030(3) |
1,787,000 | 1,826,773 | ||||||
| UBS-Barclays Commercial Mortgage Trust 2012-C2 |
||||||||
| 1.31%, 05/10/2063(3)(4) |
5,243,364 | 143,522 | ||||||
| 3.53%, 05/10/2063 |
1,073,000 | 1,100,803 | ||||||
| UBS-Barclays Commercial Mortgage Trust 2013-C6 |
||||||||
| 3.24%, 04/10/2046 |
271,000 | 278,656 | ||||||
| Vendee Mortgage Trust 1993-1 |
||||||||
| 7.25%, 02/15/2023 |
145,550 | 155,077 | ||||||
| Vendee Mortgage Trust 1994-1 |
||||||||
| 5.29%, 02/15/2024(4) |
49,011 | 51,330 | ||||||
| 6.50%, 02/15/2024 |
131,530 | 140,895 | ||||||
| Vendee Mortgage Trust 1996-1 |
||||||||
| 6.75%, 02/15/2026 |
86,201 | 95,669 | ||||||
| Vendee Mortgage Trust 1996-2 |
||||||||
| 6.75%, 06/15/2026 |
38,975 | 43,107 | ||||||
| Vendee Mortgage Trust 1997-1 |
||||||||
| 7.50%, 02/15/2027 |
131,396 | 146,487 | ||||||
| Vendee Mortgage Trust 1998-1 |
||||||||
| 7.00%, 03/15/2028 |
85,484 | 96,396 | ||||||
| VNDO 2012-6AVE Mortgage Trust |
||||||||
| 3.00%, 11/15/2030(3) |
2,283,000 | 2,322,448 | ||||||
| VNDO 2013-PENN Mortgage Trust |
||||||||
| 3.81%, 12/13/2029(3) |
2,500,000 | 2,524,705 | ||||||
| Wachovia Bank Commercial Mortgage Trust Series 2006-C24 |
||||||||
| 0.07%, 03/15/2045(3)(4) |
369,615 | 4 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust |
||||||||
| 4.13%, 10/25/2033(4) |
199,264 | 202,558 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust |
||||||||
| 4.43%, 08/25/2033(4) |
58,026 | 58,590 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust |
||||||||
| 4.32%, 09/25/2033(4) |
361,946 | 368,194 | ||||||
| 4.40%, 09/25/2033(4) |
65,801 | 66,938 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust |
||||||||
| 5.50%, 04/25/2033 |
72,381 | 74,175 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-S4 |
||||||||
| 12.53% (1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033(2)(8) |
20,746 | 25,645 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust |
||||||||
| 0.00%, 10/25/2033 |
3,133 | 2,849 | ||||||
| 5.25%, 10/25/2033 |
260,074 | 265,576 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust |
||||||||
| 3.94%, 01/25/2035(4) |
1,954,143 | 2,014,977 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust |
||||||||
| 4.50%, 06/25/2034(4) |
2,072,386 | 2,107,598 | ||||||
| 4.50%, 06/25/2034(4) |
116,776 | 118,467 |
| WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust |
||||||||
| 6.00%, 08/25/2034 |
656,371 | 709,705 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust |
||||||||
| 6.50%, 10/25/2034 |
2,022,752 | 2,105,609 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-RS2 |
||||||||
| 5.00%, 11/25/2033 |
43,245 | 44,302 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust |
||||||||
| 5.50%, 06/25/2034 |
275,854 | 291,426 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust |
||||||||
| 5.00%, 07/25/2034 |
38,383 | 39,029 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust |
||||||||
| 3.86%, 09/25/2036(4) |
6,608 | 5,722 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust |
||||||||
| 3.88%, 08/25/2046(4) |
50,685 | 48,937 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust |
||||||||
| 0.00%, 03/25/2035 |
10,259 | 8,339 | ||||||
| 5.50%, 03/25/2035 |
86,829 | 87,576 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust |
||||||||
| 3.21% (1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035(2)(8) |
220,455 | 28,622 | ||||||
| 3.26% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035(2)(8) |
640,036 | 72,973 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust |
||||||||
| 5.50%, 06/25/2035 |
229,849 | 226,179 | ||||||
| 5.50%, 06/25/2035 |
232,242 | 47,186 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust |
||||||||
| 5.50%, 08/25/2035 |
40,007 | 39,274 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust |
||||||||
| 5.75%, 02/25/2036 |
17,498 | 16,606 | ||||||
| Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust |
||||||||
| 0.00%, 03/25/2033 |
102 | 93 | ||||||
| Wells Fargo Alternative Loan 2003-1 Trust |
||||||||
| 0.00%, 09/25/2033 |
4,657 | 4,342 | ||||||
| Wells Fargo Alternative Loan 2007-PA3 Trust |
||||||||
| 5.75%, 07/25/2037 |
20,032 | 19,412 | ||||||
| Wells Fargo Commercial Mortgage Trust 2013-120B |
||||||||
| 2.71%, 03/18/2028(3)(4) |
1,548,000 | 1,546,211 | ||||||
| Wells Fargo Commercial Mortgage Trust 2014-LC16 |
||||||||
| 2.82%, 08/15/2050 |
64,430 | 64,366 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-C26 |
||||||||
| 2.99%, 02/15/2048 |
9,300,000 | 9,475,803 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-C29 |
||||||||
| 3.37%, 06/15/2048 |
10,000,000 | 10,465,908 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-C30 |
||||||||
| 3.66%, 09/15/2058 |
729,000 | 775,438 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-C31 |
||||||||
| 3.70%, 11/15/2048 |
3,280,000 | 3,497,322 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-NXS2 |
||||||||
| 3.50%, 07/15/2058 |
15,000,000 | 15,787,568 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-P2 |
||||||||
| 3.81%, 12/15/2048 |
1,862,631 | 1,997,688 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-C34 |
||||||||
| 3.10%, 06/15/2049 |
3,698,000 | 3,803,488 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-LC25 |
||||||||
| 3.64%, 12/15/2059 |
2,834,000 | 3,029,394 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-NXS6 |
||||||||
| 2.64%, 11/15/2049 |
20,000,000 | 20,190,008 | ||||||
| Wells Fargo Commercial Mortgage Trust 2017-C38 |
||||||||
| 3.19%, 07/15/2050 |
13,800,000 | 14,381,531 | ||||||
| Wells Fargo Commercial Mortgage Trust 2017-C42 |
||||||||
| 3.59%, 12/15/2050 |
4,300,000 | 4,599,414 | ||||||
| Wells Fargo Commercial Mortgage Trust 2017-RC1 |
| 3.63%, 01/15/2060 |
10,000,000 | 10,679,584 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C49 |
||||||||
| 3.76%, 03/15/2052 |
1,085,000 | 1,176,206 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C54 |
||||||||
| 3.15%, 12/15/2052 |
3,079,000 | 3,189,884 | ||||||
| Wells Fargo Mortgage Backed Securities 2007-7 Trust |
||||||||
| 6.00%, 06/25/2037 |
16,791 | 16,428 | ||||||
| WFRBS Commercial Mortgage Trust 2011-C3 |
||||||||
| 4.38%, 03/15/2044(3) |
1,059,000 | 1,077,046 | ||||||
| WFRBS Commercial Mortgage Trust 2012-C6 |
||||||||
| 3.44%, 04/15/2045 |
9,470,780 | 9,626,236 | ||||||
| WFRBS Commercial Mortgage Trust 2013-C11 |
||||||||
| 4.26%, 03/15/2045(3)(4) |
300,000 | 306,427 | ||||||
| WFRBS Commercial Mortgage Trust 2013-C14 |
||||||||
| 3.34%, 06/15/2046 |
229,750 | 237,280 | ||||||
| WFRBS Commercial Mortgage Trust 2014-C21 |
||||||||
| 3.68%, 08/15/2047 |
7,000,000 | 7,382,306 | ||||||
| WFRBS Commercial Mortgage Trust 2014-C23 |
||||||||
| 3.64%, 10/15/2057 |
3,388,682 | 3,494,679 | ||||||
| WFRBS Commercial Mortgage Trust 2014-C25 |
||||||||
| 3.63%, 11/15/2047 |
3,846,000 | 4,058,457 | ||||||
| WFRBS Commercial Mortgage Trust 2014-LC14 |
||||||||
| 3.77%, 03/15/2047 |
10,000,000 | 10,512,190 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Obligations (Cost: $5,648,962,347) |
5,802,856,681 | |||||||
|
|
|
|||||||
| Total Bonds & Notes (Cost: $14,759,318,035) |
15,317,848,542 | |||||||
|
|
|
|||||||
| Shares | Value | |||||||
| PREFERRED STOCKS – 0.02% |
||||||||
| Financials – 0.02% |
||||||||
| State Street Corp., 5.35%(2) |
95,000 | 2,647,650 | ||||||
|
|
|
|||||||
| Total Financials |
2,647,650 | |||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost: $2,375,000) |
2,647,650 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 3.58% |
||||||||
| Money Market Funds – 3.57% |
||||||||
| Fidelity Institutional Money Market Government Fund – Class I, 1.53%(11)(12) |
561,854,869 | 561,854,869 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $561,854,869) |
561,854,869 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| U.S. Treasury Bills – 0.01% |
||||||||
| U.S. Treasury Bill, 0.00%, 02/27/2020 |
$ | 1,250,000 | 1,247,064 | |||||
| U.S. Treasury Bill, 0.00%, 11/05/2020 |
750,000 | 740,334 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Bills (Cost: $1,985,481) |
1,987,398 | |||||||
|
|
|
|||||||
| Time Deposits – 0.00%(13) |
||||||||
| Banco Santander, Frankfurt, 1.81% due 01/02/2020 |
244,852 | 244,852 | ||||||
|
|
|
|||||||
| Total Time Deposits (Cost: $244,852) |
244,852 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $564,085,202) |
564,087,119 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 100.85% |
||||||||
| (Cost: $15,325,778,237) |
15,884,583,311 | |||||||
|
|
|
|||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.85)% |
(134,013,054 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 15,750,570,257 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
| (1) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 2019. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (3) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,924,847,680, which represents 18.57% of total net assets. |
| (4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2019. |
| (5) | Security that is restricted at December 31, 2019. The value of the restricted security totals $921,477, which represents 0.01% of total net assets. |
| (6) | Security in default as of December 31, 2019. The value of these securities total $362,475, which represents 0.00% of total net assets. |
| (7) | Partially assigned as collateral for certain future contracts. The value of these pledged issues total $7,529,228, which represents 0.05% of total net assets. |
| (8) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (9) | Inflation protected security. The value of these securities total $6,425,559, which represents 0.04% of total net assets. |
| (10) | Delayed delivery purchase commitment security. The value of these securities total $170,891,552, which represents 1.08% of total net assets. |
| (11) | Represents annualized seven-day yield as of the close of the reporting period. |
| (12) | Partially assigned as collateral for certain delayed delivery securities. |
| (13) | Amount calculated is less than 0.005%. |
| (14) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $79,549,424 or 0.51% of the Fund’s net assets. |
The accompanying notes are an integral part of this Schedule of Investments
Open Futures Contracts
| Number of |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
| 1,168 |
U.S. 2 Year Note Future | J.P. Morgan | Mar. 2020 | $ | 251,797,004 | $ | 251,704,000 | $ | (93,004 | ) | ||||||||||||
| 4,691 |
U.S. 5 Year Note Future | J.P. Morgan | Mar. 2020 | 558,080,354 | 556,396,578 | (1,683,776 | ) | |||||||||||||||
| 558 |
U.S. 10 Year Note Future | J.P. Morgan | Mar. 2020 | 71,713,549 | 71,659,406 | (54,143 | ) | |||||||||||||||
| 2 |
U.S. 10 Year Ultra Future | J.P. Morgan | Mar. 2020 | 281,312 | 281,406 | 94 | ||||||||||||||||
| 829 |
U.S. Ultra Bond Future | J.P. Morgan | Mar. 2020 | 154,647,187 | 150,593,031 | (4,054,156 | ) | |||||||||||||||
| 254 |
U.S. Long Bond Future | J.P. Morgan | Mar. 2020 | 40,135,729 | 39,600,188 | (535,541 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (6,420,526 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Fixed Annual |
Floating Rate Index |
Floating Rate Paid or Received |
Payment Frequency |
Maturity Date |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||
| 1.38% |
3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | $ | 14,385,000 | $ | (1,884 | ) | $ | (71,889 | ) | $ | (73,773 | ) | |||||||||
| 1.48 |
3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 7,490,000 | 6,363 | (32,552 | ) | (26,189 | ) | ||||||||||||||
| 1.60 |
3 Month USD LIBOR | Paid | Quarterly | 9/15/2021 | 5,370,000 | 22,137 | (29,798 | ) | (7,661 | ) | ||||||||||||||
| 1.61 |
U.S. Federal Funds Effective Rate Index | Received | Annually | 8/15/2029 | 281,000 | 285 | 823 | 1,108 | ||||||||||||||||
| 2.49 |
U.S. Federal Funds Effective Rate Index | Received | Annually | 10/31/2025 | 250,315,000 | (1,070,883 | ) | (12,928,306 | ) | (13,999,189 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (1,043,982 | ) | $ | (13,061,722 | ) | $ | (14,105,704 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
Bridge Builder Core Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
| Assets |
||||||||||||||||||||
| Asset-Backed Obligations |
$ | — | $ | 1,850,891,061 | $ | 53,935,751 | $ | 1,904,826,812 | ||||||||||||
| Corporate Bonds |
||||||||||||||||||||
| Basic Materials |
— | 165,989,246 | — | 165,989,246 | ||||||||||||||||
| Communications |
— | 381,845,439 | — | 381,845,439 | ||||||||||||||||
| Consumer, Cyclical |
— | 244,317,415 | — | 244,317,415 | ||||||||||||||||
| Consumer, Non-cyclical |
— | 643,231,647 | — | 643,231,647 | ||||||||||||||||
| Diversified |
— | 3,727,110 | — | 3,727,110 | ||||||||||||||||
| Energy |
— | 487,290,924 | — | 487,290,924 | ||||||||||||||||
| Financials |
— | 1,800,894,294 | — | 1,800,894,294 | ||||||||||||||||
| Industrials |
— | 213,158,874 | — | 213,158,874 | ||||||||||||||||
| Technology |
— | 169,716,241 | — | 169,716,241 | ||||||||||||||||
| Utilities |
— | 519,066,555 | — | 519,066,555 | ||||||||||||||||
| Government Related |
— | 2,980,927,304 | — | 2,980,927,304 | ||||||||||||||||
| Mortgage-Backed Obligations |
— | 5,777,243,008 | 25,613,673 | 5,802,856,681 | ||||||||||||||||
| Preferred Stocks |
||||||||||||||||||||
| Financials |
2,647,650 | — | — | 2,647,650 | ||||||||||||||||
| Short-Term Investments |
||||||||||||||||||||
| Money Market Funds |
561,854,869 | — | — | 561,854,869 | ||||||||||||||||
| U.S. Treasury Bills |
— | 1,987,398 | — | 1,987,398 | ||||||||||||||||
| Time Deposits |
— | 244,852 | — | 244,852 | ||||||||||||||||
| Futures Contracts (1) |
94 | — | — | 94 | ||||||||||||||||
| Swap Contracts (1) |
— | 1,108 | — | 1,108 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Assets |
$ | 564,502,613 | $ | 15,240,532,476 | $ | 79,549,424 | $ | 15,884,584,513 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Liabilities |
||||||||||||||||||||
| Futures Contracts (1) |
$ | (6,420,620 | ) | $ | — | $ | — | $ | (6,420,620 | ) | ||||||||||
| Swap Contracts (1) |
— | (14,106,812 | ) | — | (14,106,812 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Liabilities |
$ | (6,420,620 | ) | $ | (14,106,812 | ) | $ | — | $ | (20,527,432 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| (1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
Quantitative Information about Level 3 Fair Value Measurements*
| Investment Type |
Fair Value at | Valuation | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||||
| 12/31/2019 | Methodology | |||||||||||||||
| Asset-Backed Obligations |
$ | 5,700,000 | Cost Basis | Purchase Price | $ | 100.00 | $ | 100.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mortgage-Backed Obligations |
$ | 6,455,318 | Cost Basis | Purchase Price | $ | 99.90 | $ | 99.90 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | The table above does not include Level 3 securities that are valued by brokers. At December 31, 2019, the value of these securities was $67,394,106 for the Core Bond Fund. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
Bridge Builder Core Plus Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| BONDS & NOTES – 97.38% |
||||||||
| Asset-Backed Obligations – 12.06% |
||||||||
| ABFC 2005-WMC1 Trust |
||||||||
| 2.53% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 06/25/2035(1) |
$ | 7,005,762 | $ | 6,869,551 | ||||
| ABFC 2007-NC1 Trust |
||||||||
| 2.09% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037(1)(2) |
6,771,366 | 6,637,092 | ||||||
| ACC Trust 2018-1 |
||||||||
| 3.70%, 12/21/2020(2) |
18,760 | 18,772 | ||||||
| Accredited Mortgage Loan Trust 2003-2 |
||||||||
| 2.49% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 13.00% Cap), 10/25/2033(1) |
1,456,773 | 1,442,825 | ||||||
| Accredited Mortgage Loan Trust 2006-2 |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 09/25/2036(1) |
601,048 | 587,914 | ||||||
| ACE Securities Corp. Home Equity Loan Trust Series 2004-HE3 |
||||||||
| 2.72% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 11/25/2034(1) |
3,288,335 | 3,303,040 | ||||||
| ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3 |
||||||||
| 2.50% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 05/25/2035(1) |
7,185,000 | 7,186,351 | ||||||
| Adams Outdoor Advertising LP |
||||||||
| 5.65%, 11/15/2048(2) |
1,475,000 | 1,523,348 | ||||||
| Aegis Asset Backed Securities Trust 2005-5 |
||||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 12/25/2035(1) |
2,517,884 | 2,517,937 | ||||||
| Ajax Mortgage Loan Trust 2019-F |
||||||||
| 2.86%, 07/25/2059(2)(3) |
27,828,778 | 27,737,688 | ||||||
| Allegro CLO III Ltd. |
||||||||
| 2.78% (3 Month LIBOR USD + 0.84%), 07/25/2027(1)(2) |
1,246,522 | 1,245,886 | ||||||
| Ally Auto Receivables Trust 2018-2 |
||||||||
| 2.92%, 11/15/2022 |
5,510,000 | 5,543,423 | ||||||
| Ally Auto Receivables Trust 2019-2 |
||||||||
| 2.23%, 01/16/2024 |
10,000,000 | 10,034,592 | ||||||
| Ally Auto Receivables Trust 2019-4 |
||||||||
| 1.84%, 06/17/2024 |
6,540,000 | 6,526,518 | ||||||
| ALME Loan Funding II DAC |
||||||||
| 0.75% (3 Month EURIBOR + 0.75%), 01/15/2031(1)(2) |
EUR | 23,900,000 | 26,641,076 | |||||
| Ambac LSNI LLC |
||||||||
| 6.94% (3 Month LIBOR USD + 5.00%), 02/12/2023(1)(2) |
$ | 4,512,047 | 4,568,447 | |||||
| American Credit Acceptance Receivables Trust 2019-3 |
||||||||
| 2.89%, 09/12/2025(2) |
3,810,000 | 3,801,256 | ||||||
| American Express Credit Account Master Trust |
||||||||
| 1.77%, 11/15/2022 |
8,415,000 | 8,411,893 | ||||||
| 2.04%, 05/15/2023 |
100,000 | 100,150 | ||||||
| 3.06%, 02/15/2024 |
14,966,000 | 15,234,807 | ||||||
| 2.67%, 11/15/2024 |
2,690,000 | 2,736,401 | ||||||
| 2.00%, 04/15/2025 |
11,290,000 | 11,312,125 | ||||||
| American Homes 4 Rent 2014-SFR2 Trust |
||||||||
| 6.23%, 10/17/2036(2) |
515,000 | 572,427 | ||||||
| American Homes 4 Rent 2015-SFR1 |
||||||||
| 5.64%, 04/17/2052(2) |
6,400,000 | 6,887,243 | ||||||
| 5.89%, 04/17/2052(2) |
2,378,000 | 2,557,604 | ||||||
| AmeriCredit Automobile Receivables 2016-1 |
||||||||
| 3.59%, 02/08/2022 |
916,000 | 923,513 | ||||||
| AmeriCredit Automobile Receivables Trust 2015-3 |
||||||||
| 3.34%, 08/08/2021 |
1,124,807 | 1,125,770 | ||||||
| AmeriCredit Automobile Receivables Trust 2016-2 |
||||||||
| 3.65%, 05/09/2022 |
605,000 | 611,836 | ||||||
| AmeriCredit Automobile Receivables Trust 2016-3 |
||||||||
| 2.24%, 04/08/2022 |
2,000,000 | 2,000,577 | ||||||
| Americredit Automobile Receivables Trust 2016-4 |
||||||||
| 2.74%, 12/08/2022 |
1,795,000 | 1,806,332 | ||||||
| Americredit Automobile Receivables Trust 2018-2 |
||||||||
| 3.59%, 06/18/2024 |
5,970,000 | 6,143,142 | ||||||
| 4.01%, 07/18/2024 |
2,940,000 | 3,060,437 | ||||||
| Americredit Automobile Receivables Trust 2018-3 |
||||||||
| 4.04%, 11/18/2024 |
4,310,000 | 4,499,244 | ||||||
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2004-R8 |
||||||||
| 2.75% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 09/25/2034(1) |
202,961 | 203,015 | ||||||
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2005-R5 |
||||||||
| 2.53% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 07/25/2035(1) |
4,284,043 | 4,280,574 | ||||||
| Ammc Clo 19 Ltd. |
||||||||
| 3.14% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 10/16/2028(1)(2) |
7,275,000 | 7,271,355 | ||||||
| AMSR 2019-SFR1 Trust |
||||||||
| 2.77%, 01/19/2039(2) |
6,510,000 | 6,507,149 | ||||||
| Applebee’s Funding LLC / IHOP Funding LLC |
||||||||
| 4.19%, 06/07/2049(2) |
6,740,000 | 6,832,742 | ||||||
| Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. |
||||||||
| 2.89% (1 Month LIBOR USD + 1.15%), 05/15/2037(1)(2) |
5,000,000 | 4,999,999 | ||||||
| Arbour CLO IV DAC |
||||||||
| 0.87% (3 Month EURIBOR + 0.87%), 01/15/2030(1)(2) |
EUR | 2,400,000 | 2,691,000 | |||||
| Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC 2006-HE3 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036(1) |
$ | 1,800,869 | 1,791,129 | |||||
| Atrium XII |
||||||||
| 2.78% (3 Month LIBOR USD + 0.83%), 04/22/2027(1)(2) |
10,570,000 | 10,566,586 | ||||||
| Aurium CLO CLO III DAC |
||||||||
| 0.67% (3 Month EURIBOR + 0.67%), 04/16/2030(1)(2) |
EUR | 900,000 | 1,006,464 | |||||
| Avis Budget Rental Car Funding AESOP LLC |
||||||||
| 2.72%, 11/20/2022(2) |
$ | 1,545,000 | 1,554,394 | |||||
| 2.97%, 03/20/2024(2) |
19,773,000 | 20,107,721 | ||||||
| Ayresome CDO I Ltd. |
||||||||
| 2.16% (3 Month LIBOR USD + 0.27%), 12/08/2045(1)(2) |
811,983 | 798,585 | ||||||
| BA Credit Card Trust |
||||||||
| 3.10%, 12/15/2023 |
20,675,000 | 21,058,945 | ||||||
| Barings BDC Static CLO Ltd. 2019-1 |
||||||||
| 3.02% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/15/2027(1)(2) |
10,938,038 | 10,896,583 | ||||||
| Barings CLO Ltd. 2013-I |
||||||||
| 2.77% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028(1)(2) |
5,130,000 | 5,120,540 | ||||||
| Barings CLO Ltd. 2016-II |
||||||||
| 3.05% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 07/20/2028(1)(2) |
3,710,000 | 3,708,149 | ||||||
| Bayview Koitere Fund Trust 2019-RN3 |
||||||||
| 3.97%, 07/28/2033(2)(3) |
501,901 | 502,133 | ||||||
| Bayview Opportunity Master Fund IVa Trust 2017-RT1 |
||||||||
| 3.00%, 03/28/2057(2)(4) |
150,078 | 151,130 | ||||||
| Bayview Opportunity Master Fund IVa Trust 2017-SPL5 |
||||||||
| 3.50%, 06/28/2057(2)(4) |
273,424 | 277,628 | ||||||
| Bayview Opportunity Master Fund IVa Trust 2019-RN2 |
||||||||
| 3.97%, 03/28/2034(2)(3) |
610,972 | 611,600 | ||||||
| Bayview Opportunity Master Fund IVb Trust 2017-RT2 |
||||||||
| 3.50%, 08/28/2057(2)(4) |
975,172 | 986,052 | ||||||
| Bayview Opportunity Master Fund IVb Trust 2019-RN4 |
||||||||
| 3.28%, 10/28/2034(2)(3) |
3,034,094 | 3,027,229 | ||||||
| Bayview Opportunity Master Fund Trust IVb 2019-RN1 |
||||||||
| 4.09%, 02/28/2034(2)(3) |
649,713 | 648,644 | ||||||
| BCMSC Trust 1999-B |
||||||||
| 6.61%, 12/15/2029(4) |
3,594,315 | 975,263 | ||||||
| Bear Stearns Asset Backed Securities I Trust 2007-HE2 |
||||||||
| 1.95% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037(1) |
16,969,610 | 17,335,998 | ||||||
| Benefit Street Partners CLO IV Ltd. |
||||||||
| 3.72% (3 Month LIBOR USD + 1.75%, 1.75% Floor), 01/20/2029(1)(2) |
4,280,000 | 4,284,909 | ||||||
| Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 |
||||||||
| 4.21%, 12/16/2041(2)(3) |
1,218,385 | 1,242,832 | ||||||
| BlueMountain CLO 2013-1 Ltd. |
||||||||
| 3.20% (3 Month LIBOR USD + 1.23%, 1.23% Floor), 01/20/2029(1)(2) |
3,520,000 | 3,520,060 | ||||||
| BlueMountain CLO 2015-2 Ltd. |
| 2.93% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/18/2027(1)(2) |
3,395,000 | 3,396,280 | ||||||
| 3.50% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/18/2027(1)(2) |
1,915,000 | 1,898,366 | ||||||
| BMW Canada Auto Trust |
||||||||
| 2.15%, 10/20/2021(2) |
CAD | 1,466,157 | 1,129,012 | |||||
| BRE Grand Islander Timeshare Issuer 2019-A LLC |
||||||||
| 3.28%, 09/26/2033(2) |
$ | 2,875,005 | 2,932,251 | |||||
| California Republic Auto Receivables Trust 2017-1 |
||||||||
| 3.76%, 12/15/2023 |
1,300,000 | 1,316,109 | ||||||
| California Republic Auto Receivables Trust 2018-1 |
||||||||
| 4.33%, 04/15/2025 |
2,050,000 | 2,120,264 | ||||||
| Capital One Multi-Asset Execution Trust |
||||||||
| 1.99%, 07/17/2023 |
3,135,000 | 3,138,258 | ||||||
| 2.05%, 08/15/2023 |
12,515,000 | 12,533,785 | ||||||
| 2.43%, 01/15/2025 |
8,440,000 | 8,543,832 | ||||||
| 2.06%, 08/15/2028 |
5,365,000 | 5,262,467 | ||||||
| Capitalsource Real Estate Loan Trust |
||||||||
| 2.67% (3 Month LIBOR USD + 0.39%), 01/20/2037(1)(2) |
1,088,129 | 1,063,872 | ||||||
| 2.93% (3 Month LIBOR USD + 0.65%), 01/20/2037(1)(2) |
3,400,000 | 3,224,448 | ||||||
| 3.03% (3 Month LIBOR USD + 0.75%), 01/20/2037(1)(2) |
1,200,000 | 1,105,301 | ||||||
| 3.13% (3 Month LIBOR USD + 0.85%), 01/20/2037(1)(2) |
700,000 | 540,470 | ||||||
| Carlyle Global Market Strategies CLO 2015-3 Ltd. |
||||||||
| 2.94% (3 Month LIBOR USD + 1.00%), 07/28/2028(1)(2) |
11,615,000 | 11,611,643 | ||||||
| Carlyle Global Market Strategies Euro CLO 2016-2 DAC |
||||||||
| 0.87% (3 Month EURIBOR + 0.87%), 01/18/2030(1)(2) |
EUR | 3,900,000 | 4,374,149 | |||||
| Carmax Auto Owner Trust 2019-2 |
||||||||
| 3.41%, 10/15/2025 |
$ | 2,055,000 | 2,090,745 | |||||
| Carmax Auto Owner Trust 2019-3 |
||||||||
| 2.85%, 01/15/2026 |
1,120,000 | 1,121,301 | ||||||
| Castlelake Aircraft Securitization Trust |
||||||||
| 3.97%, 07/15/2042 |
914,343 | 926,648 | ||||||
| Castlelake Aircraft Securitization Trust 2018-1 |
||||||||
| 4.13%, 06/15/2043(2) |
6,107,229 | 6,204,783 | ||||||
| CBAM 2019-9 Ltd. |
||||||||
| 3.28% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 02/12/2030(1)(2) |
9,410,000 | 9,406,556 | ||||||
| CCG Receivables Trust 2017-1 |
||||||||
| 1.84%, 11/14/2023(2) |
136,159 | 136,063 | ||||||
| Cent CLO 24 Ltd. |
||||||||
| 3.07% (3 Month LIBOR USD + 1.07%), 10/15/2026(1)(2) |
19,150,000 | 19,136,710 | ||||||
| Centex Home Equity Loan Trust 2005-B |
||||||||
| 2.44% (1 Month LIBOR USD + 0.65%, 0.43% Floor), 03/25/2035(1) |
5,182,714 | 5,140,848 | ||||||
| Chase Issuance Trust |
||||||||
| 1.84%, 04/15/2022 |
4,085,000 | 4,084,057 | ||||||
| CHEC Loan Trust 2004-2 |
||||||||
| 2.43% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 06/25/2034(1) |
1,210,831 | 1,205,287 | ||||||
| CIFC Funding 2015-IV Ltd. |
||||||||
| 3.12% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2027(1)(2) |
3,920,000 | 3,920,886 | ||||||
| CIFC Funding 2015-V Ltd. |
||||||||
| 2.80% (3 Month LIBOR USD + 0.86%), 10/25/2027(1)(2) |
2,990,000 | 2,981,084 | ||||||
| Citibank Credit Card Issuance Trust |
||||||||
| 1.92%, 04/07/2022 |
12,310,000 | 12,309,339 | ||||||
| 1.86%, 08/08/2022 |
2,060,000 | 2,059,879 | ||||||
| Citigroup Mortgage Loan Trust 2007-AHL1 |
||||||||
| 1.93% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036(1) |
3,066,549 | 3,048,695 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 2.42% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 02/25/2035(1) |
2,698,772 | 2,659,968 | ||||||
| 2.69% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2035(1) |
7,900,000 | 7,772,172 | ||||||
| 2.39% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 10/25/2035(1) |
14,327,000 | 12,684,490 | ||||||
| CNH Equipment Trust 2017-C |
||||||||
| 2.54%, 05/15/2025 |
60,000 | 60,509 |
| Coinstar Funding LLC Series 2017-1 |
||||||||
| 5.22%, 04/25/2047(2) |
11,778,000 | 12,077,431 | ||||||
| Cole Park CLO Ltd. 2015-1 |
||||||||
| 3.02% (3 Month LIBOR USD + 1.05%), 10/20/2028(1)(2) |
6,820,000 | 6,816,665 | ||||||
| College Ave Student Loans 2018-A LLC |
||||||||
| 2.99% (1 Month LIBOR USD + 1.20%), 12/26/2047(1)(2) |
2,363,689 | 2,315,431 | ||||||
| 4.13%, 12/26/2047(2) |
3,223,213 | 3,338,933 | ||||||
| College Avenue Student Loans LLC |
||||||||
| 3.44% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046(1)(2) |
4,996,531 | 4,986,336 | ||||||
| Colony American Finance 2015-1 Ltd. |
||||||||
| 4.83%, 10/15/2047(2) |
725,000 | 728,350 | ||||||
| Conseco Finance Securitizations Corp. |
||||||||
| 8.06%, 09/01/2029(4) |
13,058,516 | 5,331,062 | ||||||
| 7.97%, 05/01/2032 |
734,816 | 290,624 | ||||||
| 8.31%, 05/01/2032(4) |
8,514,713 | 3,511,280 | ||||||
| Conseco Financial Corp. |
||||||||
| 7.70%, 05/15/2027 |
7,637,218 | 7,353,565 | ||||||
| Continental Airlines 2000-1 Class A-1 Pass Through Trust |
||||||||
| 8.05%, 11/01/2020 |
159,127 | 161,947 | ||||||
| CoreVest American Finance 2018-1 Trust |
||||||||
| 3.80%, 06/15/2051(2) |
1,749,592 | 1,804,401 | ||||||
| Corevest American Finance 2019-3 Trust |
||||||||
| 2.71%, 10/15/2052(2) |
2,766,560 | 2,764,021 | ||||||
| 3.16%, 10/15/2052(2) |
1,470,000 | 1,459,522 | ||||||
| Countrywide Asset-Backed Certificates |
||||||||
| 2.04% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/25/2036(1) |
990,000 | 928,836 | ||||||
| 2.03% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 03/25/2036(1) |
2,818,758 | 2,657,513 | ||||||
| 2.18% (1 Month LIBOR USD + 0.39%, 0.39% Floor), 04/25/2036(1) |
1,000,000 | 904,898 | ||||||
| 2.21% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 06/25/2036(1) |
2,000,000 | 1,900,234 | ||||||
| 1.96% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2037(1) |
4,456,045 | 4,173,974 | ||||||
| 1.97% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 06/25/2047(1) |
42,645,524 | 40,853,367 | ||||||
| CPS Auto Receivables Trust 2016-C |
||||||||
| 5.92%, 06/15/2022(2) |
1,985,000 | 2,021,753 | ||||||
| CPS Auto Receivables Trust 2017-C |
||||||||
| 3.79%, 06/15/2023(2) |
1,530,000 | 1,551,842 | ||||||
| CPS Auto Receivables Trust 2017-D |
||||||||
| 3.73%, 09/15/2023(2) |
645,000 | 653,887 | ||||||
| CPS Auto Receivables Trust 2018-B |
||||||||
| 4.26%, 03/15/2024(2) |
1,715,000 | 1,763,600 | ||||||
| CPS Auto Receivables Trust 2019-A |
||||||||
| 4.35%, 12/16/2024(2) |
1,970,000 | 2,034,012 | ||||||
| CPS Auto Receivables Trust 2019-D |
||||||||
| 2.72%, 09/15/2025(2) |
2,550,000 | 2,538,185 | ||||||
| CPS Auto Trust |
||||||||
| 4.53%, 01/17/2023(2) |
1,465,000 | 1,486,943 | ||||||
| Credit Acceptance Auto Loan Trust 2017-3 |
||||||||
| 3.48%, 10/15/2026(2) |
1,980,000 | 2,007,912 | ||||||
| Credit Acceptance Auto Loan Trust 2018-1 |
||||||||
| 3.77%, 06/15/2027(2) |
2,255,000 | 2,298,100 | ||||||
| Credit Acceptance Auto Loan Trust 2018-2 |
||||||||
| 4.16%, 09/15/2027(2) |
3,045,000 | 3,143,356 | ||||||
| Credit Acceptance Auto Loan Trust 2018-3 |
||||||||
| 4.04%, 12/15/2027(2) |
3,110,000 | 3,200,894 | ||||||
| Credit Acceptance Auto Loan Trust 2019-1 |
||||||||
| 3.94%, 06/15/2028(2) |
9,810,000 | 10,129,822 | ||||||
| CVS Pass-Through Trust |
||||||||
| 6.94%, 01/10/2030 |
1,021,538 | 1,195,597 | ||||||
| CWABS Asset-Backed Certificates Trust 2007-12 |
||||||||
| 2.53% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 08/25/2047(1) |
6,091,038 | 6,020,030 | ||||||
| CWABS Revolving Home Equity Loan Trust Series 2004-T |
||||||||
| 1.98% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 16.00% Cap), 02/15/2030(1) |
8,584,313 | 8,438,397 |
| DB Master Finance LLC |
||||||||
| 4.03%, 11/20/2047(2) |
1,582,700 | 1,619,545 | ||||||
| 4.35%, 05/20/2049(2) |
3,303,400 | 3,422,421 | ||||||
| Delta Air Lines 2002-1 Class G-1 Pass Through Trust |
||||||||
| 6.72%, 01/02/2023 |
1,571,755 | 1,651,916 | ||||||
| Denali Capital CLO X LLC |
||||||||
| 2.99% (3 Month LIBOR USD + 1.05%), 10/26/2027(1)(2) |
6,500,000 | 6,492,902 | ||||||
| Discover Card Execution Note Trust |
||||||||
| 1.90%, 10/17/2022 |
11,715,000 | 11,716,409 | ||||||
| 3.11%, 01/16/2024 |
8,520,000 | 8,683,377 | ||||||
| Domino’s Pizza Master Issuer LLC |
||||||||
| 4.12%, 07/25/2047(2) |
3,283,000 | 3,400,663 | ||||||
| 4.12%, 07/25/2048(2) |
1,639,250 | 1,685,837 | ||||||
| 4.33%, 07/25/2048(2) |
2,458,875 | 2,560,795 | ||||||
| 3.67%, 10/25/2049(2) |
2,025,000 | 2,025,344 | ||||||
| Drive Auto Receivables Trust |
||||||||
| 4.30%, 09/16/2024 |
3,195,000 | 3,273,730 | ||||||
| Drive Auto Receivables Trust 2018-2 |
||||||||
| 4.14%, 08/15/2024 |
1,715,000 | 1,749,346 | ||||||
| Drive Auto Receivables Trust 2018-5 |
||||||||
| 4.30%, 04/15/2026 |
2,685,000 | 2,772,004 | ||||||
| Drive Auto Receivables Trust 2019-1 |
||||||||
| 4.09%, 06/15/2026 |
3,590,000 | 3,695,254 | ||||||
| Driven Brands Funding LLC |
||||||||
| 4.74%, 04/20/2048(2) |
1,374,075 | 1,424,586 | ||||||
| 4.64%, 04/20/2049(2) |
4,411,663 | 4,561,262 | ||||||
| Dryden 30 Senior Loan Fund |
||||||||
| 2.73% (3 Month LIBOR USD + 0.82%), 11/15/2028(1)(2) |
1,200,000 | 1,196,978 | ||||||
| Dryden 35 EURO CLO 2014 BV |
||||||||
| 0.62% (6 Month EURIBOR + 0.95%), 05/17/2027(1)(2)(5) |
EUR | 8,983,279 | 10,071,506 | |||||
| Dryden 46 Euro CLO 2016 BV |
||||||||
| 0.88% (3 Month EURIBOR + 0.88%), 01/15/2030(1)(2) |
3,700,000 | 4,139,470 | ||||||
| Dryden 71 CLO Ltd. |
||||||||
| 3.15% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 01/15/2029(1)(2) |
$ | 11,500,000 | 11,494,284 | |||||
| Dryden XXVI Senior Loan Fund |
||||||||
| 2.90% (3 Month LIBOR USD + 0.90%), 04/15/2029(1)(2) |
4,500,000 | 4,493,839 | ||||||
| DT Auto Owner Trust 2017-2 |
||||||||
| 3.89%, 01/15/2023(2) |
4,501,223 | 4,532,748 | ||||||
| DT Auto Owner Trust 2018-2 |
||||||||
| 4.15%, 03/15/2024(2) |
1,435,000 | 1,470,964 | ||||||
| DT Auto Owner Trust 2019-3 |
||||||||
| 2.96%, 04/15/2025(2) |
1,635,000 | 1,635,199 | ||||||
| Eaton Vance CLO 2013-1 Ltd. |
||||||||
| 3.85% (3 Month LIBOR USD + 1.85%), 01/15/2028(1)(2) |
6,855,000 | 6,848,186 | ||||||
| ECAF I Ltd. |
||||||||
| 3.47%, 06/15/2040(2) |
664,663 | 664,565 | ||||||
| ECMC Group Student Loan Trust |
||||||||
| 2.79% (1 Month LIBOR USD + 1.00%), 07/25/2069(1)(2) |
1,161,569 | 1,154,908 | ||||||
| ECMC Group Student Loan Trust 2017-2 |
||||||||
| 2.84% (1 Month LIBOR USD + 1.05%), 05/25/2067(1)(2) |
8,569,197 | 8,534,671 | ||||||
| ELFI Graduate Loan Program 2019-A LLC |
||||||||
| 2.54%, 03/25/2044(2) |
5,902,767 | 5,823,931 | ||||||
| Ellington Loan Acquisition Trust 2007-1 |
||||||||
| 2.89% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 05/25/2037(1)(2) |
1,018,685 | 1,017,330 | ||||||
| Enterprise Fleet Financing LLC |
||||||||
| 2.04%, 02/22/2022(2) |
1,426,817 | 1,426,254 | ||||||
| 1.97%, 01/20/2023(2) |
197,063 | 196,987 | ||||||
| Euro Galaxy III CLO BV |
||||||||
| 0.75% (3 Month EURIBOR + 0.75%), 01/17/2031(1)(2) |
EUR | 600,000 | 669,864 | |||||
| Exeter Automobile Receivables Trust 2018-1 |
| 3.53%, 11/15/2023(2) |
$ | 3,640,000 | 3,693,839 | |||||
| Fairstone Financial Issuance Trust I |
||||||||
| 3.95%, 03/21/2033(2) |
CAD | 9,840,000 | 7,612,767 | |||||
| Fieldstone Mortgage Investment Trust Series 2005-1 |
||||||||
| 2.92% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 12.25% Cap), 03/25/2035(1) |
$ | 4,281,336 | 4,152,692 | |||||
| Fieldstone Mortgage Investment Trust Series 2006-3 |
||||||||
| 1.85% (1 Month LIBOR USD + 0.14%, 0.14% Floor, 12.25% Cap), 11/25/2036(1) |
7,956,143 | 7,287,216 | ||||||
| First Franklin Mortgage Loan Trust 2004-FF7 |
||||||||
| 3.97% (1 Month LIBOR USD + 2.18%, 1.45% Floor), 09/25/2034(1) |
854,074 | 860,608 | ||||||
| First Franklin Mortgage Loan Trust 2006-FF16 |
||||||||
| 2.00% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036(1) |
6,800,257 | 3,946,235 | ||||||
| First Investors Auto Owner Trust 2016-2 |
||||||||
| 3.35%, 11/15/2022(2) |
850,000 | 857,025 | ||||||
| First Investors Auto Owner Trust 2017-2 |
||||||||
| 3.56%, 09/15/2023(2) |
975,000 | 986,665 | ||||||
| First Investors Auto Owner Trust 2018-1 |
||||||||
| 4.11%, 06/17/2024(2) |
605,000 | 617,638 | ||||||
| Five Guys Funding LLC |
||||||||
| 4.60%, 07/25/2047(2) |
4,198,275 | 4,353,653 | ||||||
| Flagship Credit Auto Trust 2016-3 |
||||||||
| 3.89%, 11/15/2022(2) |
810,000 | 824,509 | ||||||
| Flagship Credit Auto Trust 2017-1 |
||||||||
| 4.23%, 05/15/2023(2) |
260,000 | 266,940 | ||||||
| Flagship Credit Auto Trust 2018-1 |
||||||||
| 3.86%, 04/15/2024(2) |
1,285,000 | 1,311,568 | ||||||
| Flagship Credit Auto Trust 2018-2 |
||||||||
| 4.23%, 09/16/2024(2) |
1,580,000 | 1,635,537 | ||||||
| Flagship Credit Auto Trust 2019-3 |
||||||||
| 2.86%, 12/15/2025(2) |
2,235,000 | 2,217,552 | ||||||
| Flatiron CLO 2015-1 Ltd. |
||||||||
| 2.89% (3 Month LIBOR USD + 0.89%), 04/15/2027(1)(2) |
4,322,432 | 4,320,819 | ||||||
| Ford Auto Securitization Trust |
||||||||
| 2.20%, 03/15/2021(2) |
CAD | 5,304,502 | 4,085,392 | |||||
| 2.55%, 09/15/2024(2) |
5,725,000 | 4,426,928 | ||||||
| 2.47%, 02/15/2025(2) |
4,925,000 | 3,796,219 | ||||||
| Ford Credit Auto Owner Trust 2016-C |
||||||||
| 1.22%, 03/15/2021 |
$ | 247,972 | 247,803 | |||||
| Ford Credit Auto Owner Trust 2017-B |
||||||||
| 1.69%, 11/15/2021 |
2,019,614 | 2,017,625 | ||||||
| Ford Credit Auto Owner Trust 2017-C |
||||||||
| 2.01%, 03/15/2022 |
1,007,706 | 1,008,174 | ||||||
| Ford Credit Auto Owner Trust 2018-A |
||||||||
| 3.16%, 10/15/2023 |
8,225,000 | 8,407,575 | ||||||
| Ford Credit Auto Owner Trust 2019-REV1 |
||||||||
| 3.52%, 07/15/2030(2) |
9,385,000 | 9,845,827 | ||||||
| Fremont Home Loan Trust 2004-C |
||||||||
| 2.77% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 08/25/2034(1) |
5,209,087 | 5,129,905 | ||||||
| Fremont Home Loan Trust 2005-2 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 06/25/2035(1) |
5,175,000 | 5,156,365 | ||||||
| Fremont Home Loan Trust 2005-C |
||||||||
| 2.72% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035(1) |
6,220,773 | 5,740,778 | ||||||
| Galaxy XXIX CLO Ltd. |
||||||||
| 3.31% (3 Month LIBOR USD + 1.40%), 11/15/2026(1)(2) |
985,000 | 984,059 | ||||||
| Gallatin CLO IX 2018-1 Ltd. |
||||||||
| 3.02% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028(1)(2) |
11,900,000 | 11,876,938 | ||||||
| GCAT 2019-3 LLC |
||||||||
| 3.35%, 10/25/2049(2)(3) |
3,848,781 | 3,843,921 | ||||||
| GLS Auto Receivables Issuer Trust 2019-3 |
||||||||
| 2.58%, 07/17/2023(2) |
16,078,251 | 16,085,092 |
| GM Financial Automobile Leasing Trust 2018-1 |
||||||||
| 3.11%, 12/20/2021 |
3,500,000 | 3,516,907 | ||||||
| GM Financial Automobile Leasing Trust 2019-4 |
||||||||
| 1.75%, 07/16/2024 |
5,540,000 | 5,506,894 | ||||||
| 2.04%, 02/18/2025 |
2,645,000 | 2,617,105 | ||||||
| GM Financial Consumer Automobile 2017-1 |
||||||||
| 2.45%, 07/17/2023(2) |
100,000 | 100,265 | ||||||
| GM Financial Consumer Automobile Receivables Trust 2017-3 |
||||||||
| 1.97%, 05/16/2022(2) |
5,108,407 | 5,109,431 | ||||||
| 2.33%, 03/16/2023(2) |
155,000 | 155,396 | ||||||
| GM Financial Consumer Automobile Receivables Trust 2018-2 |
||||||||
| 2.81%, 12/16/2022 |
4,300,000 | 4,335,647 | ||||||
| 3.31%, 12/18/2023 |
1,615,000 | 1,643,042 | ||||||
| GM Financial Consumer Automobile Receivables Trust 2018-3 |
||||||||
| 3.02%, 05/16/2023 |
4,420,000 | 4,473,917 | ||||||
| GMF Floorplan Owner Revolving Trust |
||||||||
| 3.06%, 04/15/2024(2) |
3,180,000 | 3,226,397 | ||||||
| 3.30%, 04/15/2026(2) |
6,875,000 | 6,992,160 | ||||||
| GoldenTree Loan Opportunities IX Ltd. |
||||||||
| 3.04% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029(1)(2) |
11,000,000 | 10,995,270 | ||||||
| Golub Capital Partners CLO 39B Ltd. |
||||||||
| 3.12% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2028(1)(2) |
5,295,000 | 5,292,432 | ||||||
| GreatAmerica Leasing Receivables Funding LLC Series 2018-1 |
||||||||
| 2.99%, 06/17/2024(2) |
1,685,000 | 1,702,648 | ||||||
| Greystone Commercial Real Estate Notes |
||||||||
| 3.44% (1 Month LIBOR USD + 1.18%, 1.18% Floor), 09/15/2037(1)(2) |
1,900,000 | 1,898,822 | ||||||
| GSAMP Trust 2005-AHL |
||||||||
| 2.77% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 04/25/2035(1) |
6,327,867 | 6,250,915 | ||||||
| GSAMP Trust 2007-FM2 |
||||||||
| 1.85% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2037(1) |
2,076,430 | 1,372,881 | ||||||
| Halcyon Loan Advisors Funding 2014-3 Ltd. |
||||||||
| 3.05% (3 Month LIBOR USD + 1.10%), 10/22/2025(1)(2) |
689,657 | 689,438 | ||||||
| Hardee’s Funding LLC |
||||||||
| 4.25%, 06/20/2048(2) |
8,280,188 | 8,328,213 | ||||||
| 4.96%, 06/20/2048(2) |
4,256,125 | 4,356,655 | ||||||
| Harley Marine Financing LLC |
||||||||
| 5.68%, 05/15/2043(2) |
946,973 | 825,326 | ||||||
| Harvest SBA Loan Trust 2018-1 |
||||||||
| 3.96% (1 Month LIBOR USD + 2.25%), 08/25/2044(1)(2) |
9,338,709 | 9,320,510 | ||||||
| Hilton Grand Vacations Trust 2017-A |
||||||||
| 2.66%, 12/26/2028(2) |
186,958 | 187,664 | ||||||
| 2.96%, 12/26/2028(2) |
84,981 | 85,272 | ||||||
| Home Equity Asset Trust 2006-3 |
||||||||
| 1.99% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 07/25/2036(1) |
2,018,953 | 2,017,541 | ||||||
| Home Equity Asset Trust 2007-1 |
||||||||
| 1.90% (1 Month LIBOR USD + 0.11%, 0.11% Floor), 05/25/2037(1) |
4,734,526 | 4,723,587 | ||||||
| Home Partners of America 2019-1 Trust |
||||||||
| 3.41%, 09/17/2039(2) |
1,416,258 | 1,398,320 | ||||||
| Home Partners of America 2019-2 Trust |
||||||||
| 3.12%, 10/19/2039(2) |
1,288,671 | 1,262,897 | ||||||
| Honda Auto Receivables 2017-4 Owner Trust |
||||||||
| 2.05%, 11/22/2021 |
5,453,197 | 5,456,272 | ||||||
| Honda Auto Receivables 2018-1 Owner Trust |
||||||||
| 2.64%, 02/15/2022 |
4,178,170 | 4,195,581 | ||||||
| Honda Auto Receivables 2018-3 Owner Trust |
||||||||
| 2.95%, 08/22/2022 |
10,095,000 | 10,196,320 | ||||||
| Horizon Aircraft Finance I Ltd. |
||||||||
| 4.46%, 12/15/2038(2) |
5,092,045 | 5,224,673 | ||||||
| Horizon Aircraft Finance II Ltd. |
||||||||
| 3.72%, 07/15/2039(2) |
1,389,006 | 1,386,600 |
| HPEFS Equipment Trust 2019-1 |
||||||||
| 2.49%, 09/20/2029(2) |
970,000 | 969,475 | ||||||
| Invitation Homes 2018-SFR1 Trust |
||||||||
| 3.74% (1 Month LIBOR USD + 2.00%), 03/17/2037(1)(2) |
2,811,616 | 2,814,306 | ||||||
| Invitation Homes 2018-SFR2 Trust |
||||||||
| 3.74% (1 Month LIBOR USD + 2.00%, 2.10% Floor), 06/17/2037(1)(2) |
5,355,000 | 5,368,319 | ||||||
| Invitation Homes 2018-SFR3 Trust |
||||||||
| 3.74% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 07/17/2037(1)(2) |
2,645,000 | 2,653,282 | ||||||
| Invitation Homes 2018-SFR4 Trust |
||||||||
| 3.39% (1 Month LIBOR USD + 1.65%, 1.60% Floor), 01/17/2038(1)(2) |
615,000 | 617,299 | ||||||
| Jack In The Box Funding LLC |
||||||||
| 3.98%, 08/25/2049(2) |
5,030,000 | 5,067,071 | ||||||
| Jamestown CLO IV Ltd. |
||||||||
| 2.69% (3 Month LIBOR USD + 0.69%), 07/15/2026(1)(2) |
5,180,908 | 5,178,359 | ||||||
| Jimmy Johns Funding LLC |
||||||||
| 3.61%, 07/30/2047(2) |
395,888 | 396,533 | ||||||
| JP Morgan Mortgage Acquisition Corp. 2005-FRE1 |
||||||||
| 2.22% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 10/25/2035(1) |
7,044,106 | 6,312,002 | ||||||
| JP Morgan Mortgage Acquisition Corp. 2006-FRE2 |
||||||||
| 2.15% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 02/25/2036(1) |
8,467,499 | 7,483,438 | ||||||
| JP Morgan Mortgage Acquisition Trust 2006-WMC4 |
||||||||
| 1.91% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036(1) |
24,490,252 | 15,254,988 | ||||||
| 1.94% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036(1) |
22,304,419 | 13,975,402 | ||||||
| JP Morgan Mortgage Acquisition Trust 2007-CH3 |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037(1) |
29,750,000 | 29,079,997 | ||||||
| Kestrel Aircraft Funding Ltd. |
||||||||
| 4.25%, 12/15/2038(2) |
3,338,404 | 3,390,913 | ||||||
| KKR CLO 13 Ltd. |
||||||||
| 2.80% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028(1)(2) |
2,745,000 | 2,728,859 | ||||||
| Legacy Mortgage Asset Trust 2019-GS3 |
||||||||
| 3.75%, 04/25/2059(2)(3) |
2,752,177 | 2,773,834 | ||||||
| Legacy Mortgage Asset Trust 2019-GS4 |
||||||||
| 3.44%, 05/25/2059(2)(3) |
235,519 | 236,519 | ||||||
| Lehman XS Trust 2007-6 |
||||||||
| 2.00% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 05/25/2037(1) |
13,355,548 | 11,251,192 | ||||||
| Lendmark Funding Trust 2018-1 |
||||||||
| 3.81%, 12/21/2026(2) |
1,655,000 | 1,676,297 | ||||||
| LoanCore 2019-CRE2 Issuer Ltd. |
||||||||
| 2.87% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 05/15/2036(1)(2) |
3,600,000 | 3,597,750 | ||||||
| Long Beach Mortgage Loan Trust 2005-WL2 |
||||||||
| 2.57% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 08/25/2035(1) |
10,000,000 | 9,921,264 | ||||||
| LP Credit Card ABS Master Trust |
||||||||
| 3.82% (1 Month LIBOR USD + 1.55%), 08/20/2024(1)(2) |
5,032,117 | 4,975,022 | ||||||
| Madison Park Funding XVIII Ltd. |
||||||||
| 3.16% (3 Month LIBOR USD + 1.19%), 10/21/2030(1)(2) |
4,815,000 | 4,812,544 | ||||||
| Madison Park Funding XXXIII Ltd. |
||||||||
| 3.17% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 10/15/2032(1)(2) |
4,180,000 | 4,179,411 | ||||||
| Madison Park Funding XXXVII Ltd. |
||||||||
| 3.60% (3 Month LIBOR USD + 1.30%), 07/15/2032(1)(2) |
2,965,000 | 2,966,613 | ||||||
| Magnetite XVI Ltd. |
||||||||
| 3.20% (3 Month LIBOR USD + 1.20%), 01/18/2028(1)(2) |
2,760,000 | 2,746,084 | ||||||
| Magnetite XXI Ltd. |
||||||||
| 3.25% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 04/20/2030(1)(2) |
6,500,000 | 6,501,541 | ||||||
| MAPS 2018-1 Ltd. |
||||||||
| 4.21%, 05/15/2043(2) |
6,752,091 | 6,869,111 | ||||||
| MAPS 2019-1 Ltd. |
||||||||
| 4.46%, 03/15/2044(2) |
1,733,499 | 1,783,429 | ||||||
| Mariner Finance Issuance Trust 2018-A |
||||||||
| 4.20%, 11/20/2030(2) |
5,575,000 | 5,685,731 | ||||||
| Marlette Funding Trust 2018-3 |
||||||||
| 3.20%, 09/15/2028(2) |
662,139 | 663,424 |
| Marlette Funding Trust 2018-4 |
||||||||
| 3.71%, 12/15/2028(2) |
366,917 | 369,552 | ||||||
| Marlette Funding Trust 2019-1 |
||||||||
| 3.44%, 04/16/2029(2) |
10,464,496 | 10,540,139 | ||||||
| Marlette Funding Trust 2019-2 |
||||||||
| 3.13%, 07/16/2029(2) |
5,288,993 | 5,322,669 | ||||||
| Marlette Funding Trust 2019-4 |
||||||||
| 2.39%, 12/17/2029(2) |
3,256,710 | 3,258,839 | ||||||
| MASTR Asset Backed Securities Trust 2004-WMC1 |
||||||||
| 2.57% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 02/25/2034(1) |
1,715,145 | 1,719,332 | ||||||
| MASTR Specialized Loan Trust |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2036(1)(2) |
927,381 | 915,812 | ||||||
| Merlin Aviation Holdings DAC |
||||||||
| 4.50%, 12/15/2032(2)(3) |
257,006 | 256,701 | ||||||
| Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 |
||||||||
| 2.03% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037(1) |
2,803,030 | 2,083,995 | ||||||
| METAL 2017-1 LLC |
||||||||
| 4.58%, 10/15/2042(2) |
4,027,933 | 4,059,540 | ||||||
| Mill City Mortgage Loan Trust 2016-1 |
||||||||
| 2.50%, 04/25/2057(2)(4) |
219,465 | 219,031 | ||||||
| Mill City Mortgage Loan Trust 2017-2 |
||||||||
| 2.75%, 07/25/2059(2)(4) |
475,250 | 476,478 | ||||||
| Mill City Mortgage Loan Trust 2018-1 |
||||||||
| 3.25%, 05/25/2062(2)(4) |
5,084,925 | 5,163,580 | ||||||
| Mill City Mortgage Loan Trust 2018-3 |
||||||||
| 3.50%, 08/25/2058(2)(4) |
2,632,460 | 2,695,558 | ||||||
| MMAF Equipment Finance LLC 2018-A |
||||||||
| 3.39%, 01/10/2025(2) |
1,180,000 | 1,209,588 | ||||||
| Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC2 |
||||||||
| 2.72% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 02/25/2035(1) |
1,568,504 | 1,515,687 | ||||||
| Morgan Stanley ABS Capital I, Inc. Trust 2006-HE8 |
||||||||
| 1.92% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036(1) |
683,374 | 653,891 | ||||||
| Morgan Stanley Capital I, Inc. Trust 2006-HE1 |
||||||||
| 2.08% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 01/25/2036(1) |
2,295,131 | 2,271,214 | ||||||
| Morgan Stanley Mortgage Loan Trust 2006-15XS |
||||||||
| 6.20%, 11/25/2036(3) |
14,305,803 | 6,048,834 | ||||||
| Morgan Stanley Mortgage Loan Trust 2007-8XS |
||||||||
| 2.32% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037(1) |
24,089,932 | 11,880,152 | ||||||
| 2.33% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037(1) |
2,326,226 | 1,147,169 | ||||||
| Mountain View CLO 2014-1 Ltd. |
||||||||
| 2.80% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026(1)(2) |
8,238,016 | 8,238,321 | ||||||
| Mountain View CLO X Ltd. |
||||||||
| 2.82% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 10/13/2027(1)(2) |
1,300,000 | 1,296,974 | ||||||
| MVW Owner Trust 2015-1 |
||||||||
| 2.52%, 12/20/2032(2) |
412,261 | 411,985 | ||||||
| MVW Owner Trust 2017-1 |
||||||||
| 2.75%, 12/20/2034(2) |
107,024 | 106,954 | ||||||
| National Collegiate Student Loan Trust 2004-2 |
||||||||
| 2.27% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 12/26/2033(1) |
8,529,343 | 8,384,221 | ||||||
| National Collegiate Student Loan Trust 2005-3 |
||||||||
| 2.00% (1 Month LIBOR USD + 0.29%), 10/25/2033(1)(2) |
12,868,293 | 12,423,636 | ||||||
| National Collegiate Student Loan Trust 2007-1 |
||||||||
| 2.03% (1 Month LIBOR USD + 0.24%), 07/25/2030(1) |
2,111,263 | 2,101,406 | ||||||
| Navient Private Education Loan Trust 2017-A |
||||||||
| 2.88%, 12/16/2058(2) |
660,000 | 661,475 | ||||||
| 3.91%, 12/16/2058(2) |
440,000 | 450,430 | ||||||
| Navient Private Education Loan Trust 2018-B |
||||||||
| 3.61%, 12/15/2059(2) |
2,115,000 | 2,177,608 | ||||||
| Navient Private Education Refi Loan Trust 2018-C |
||||||||
| 3.52%, 06/16/2042(2) |
1,215,000 | 1,233,787 |
| Navient Private Education Refi Loan Trust 2019-C |
||||||||
| 3.13%, 02/15/2068(2) |
1,870,000 | 1,878,538 | ||||||
| Navient Private Education Refi Loan Trust 2019-F |
||||||||
| 2.60%, 08/15/2068(2) |
6,965,000 | 6,949,024 | ||||||
| Navient Private Education Refi Loan Trust 2019-G |
||||||||
| 2.40%, 10/15/2068(2) |
2,355,000 | 2,339,179 | ||||||
| Navient Student Loan Trust 2014-2 |
||||||||
| 2.43% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 03/25/2083(1) |
758,578 | 738,716 | ||||||
| Navient Student Loan Trust 2014-3 |
||||||||
| 2.41% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 03/25/2083(1) |
295,452 | 288,481 | ||||||
| Navient Student Loan Trust 2016-1 |
||||||||
| 2.41% (1 Month LIBOR USD + 0.70%), 02/25/2070(1)(2) |
3,072,730 | 3,026,531 | ||||||
| Navient Student Loan Trust 2016-2 |
||||||||
| 3.29% (1 Month LIBOR USD + 1.50%), 06/25/2065(1)(2) |
6,200,000 | 6,328,132 | ||||||
| Navient Student Loan Trust 2017-1 |
||||||||
| 2.94% (1 Month LIBOR USD + 1.15%), 07/26/2066(1)(2) |
4,730,000 | 4,733,229 | ||||||
| Navient Student Loan Trust 2017-3 |
||||||||
| 2.84% (1 Month LIBOR USD + 1.05%), 07/26/2066(1)(2) |
5,000,000 | 4,960,864 | ||||||
| Navient Student Loan Trust 2018-2 |
||||||||
| 2.46% (1 Month LIBOR USD + 0.75%), 03/25/2067(1)(2) |
15,000,000 | 14,767,431 | ||||||
| Navient Student Loan Trust 2018-4 |
||||||||
| 2.04% (1 Month LIBOR USD + 0.25%), 06/27/2067(1)(2) |
1,803,566 | 1,799,559 | ||||||
| Navient Student Loan Trust 2018-EA |
||||||||
| 4.00%, 12/15/2059(2) |
2,790,000 | 2,887,591 | ||||||
| Nelnet Student Loan Trust 2014-2 |
||||||||
| 2.64% (1 Month LIBOR USD + 0.85%), 07/27/2037(1)(2) |
4,250,000 | 4,201,507 | ||||||
| Nelnet Student Loan Trust 2019-4 |
||||||||
| 2.66% (1 Month LIBOR USD + 0.87%, 0.87% Floor), 09/26/2067(1)(2) |
13,592,730 | 13,513,406 | ||||||
| Neuberger Berman CLO XIX Ltd. |
||||||||
| 3.15% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2027(1)(2) |
3,010,000 | 2,964,621 | ||||||
| New Century Home Equity Loan Trust 2005-1 |
||||||||
| 2.47% (1 Month LIBOR USD + 0.68%, 0.45% Floor, 12.50% Cap), 03/25/2035(1) |
13,869,666 | 13,886,785 | ||||||
| New Century Home Equity Loan Trust 2005-3 |
||||||||
| 2.56% (1 Month LIBOR USD + 0.77%, 0.51% Floor, 12.50% Cap), 07/25/2035(1) |
4,728,600 | 4,737,220 | ||||||
| Nissan Auto Receivables 2017-B Owner Trust |
||||||||
| 1.75%, 10/15/2021 |
1,524,515 | 1,523,142 | ||||||
| Nissan Auto Receivables 2017-C Owner Trust |
||||||||
| 2.12%, 04/18/2022 |
6,104,514 | 6,110,719 | ||||||
| Nissan Auto Receivables 2018-A Owner Trust |
||||||||
| 2.65%, 05/16/2022 |
3,192,434 | 3,206,112 | ||||||
| Nissan Auto Receivables 2018-B Owner Trust |
||||||||
| 3.06%, 03/15/2023 |
5,415,000 | 5,487,854 | ||||||
| Nissan Auto Receivables 2019-C Owner Trust |
||||||||
| 1.93%, 07/15/2024 |
3,320,000 | 3,320,159 | ||||||
| Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 |
||||||||
| 2.20% (1 Month LIBOR USD + 0.41%, 0.41% Floor), 02/25/2036(1) |
4,292,748 | 4,287,702 | ||||||
| OAK Hill European Credit Partners V Designated Activity Co |
||||||||
| 0.72% (3 Month EURIBOR + 0.72%), 02/21/2030(1)(2) |
EUR | 34,900,000 | 39,069,074 | |||||
| Ocean Trails CLO VI |
||||||||
| 3.15% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2028(1)(2) |
$ | 500,000 | 499,747 | |||||
| OCP CLO 2014-7 Ltd. |
||||||||
| 3.09% (3 Month LIBOR USD + 1.12%), 07/20/2029(1)(2) |
14,635,000 | 14,600,915 | ||||||
| Octagon Investment Partners XXIII Ltd. |
||||||||
| 2.85% (3 Month LIBOR USD + 0.85%), 07/15/2027(1)(2) |
3,235,000 | 3,230,170 | ||||||
| 3.20% (3 Month LIBOR USD + 1.20%), 07/15/2027(1)(2) |
1,685,000 | 1,652,540 | ||||||
| OFSI Fund VII Ltd. |
||||||||
| 2.90% (3 Month LIBOR USD + 0.90%), 10/18/2026(1)(2) |
2,254,416 | 2,251,188 | ||||||
| OneMain Financial Issuance Trust 2015-3 |
||||||||
| 4.16%, 11/20/2028(2) |
710,000 | 713,210 | ||||||
| OneMain Financial Issuance Trust 2016-1 |
| 4.57%, 02/20/2029(2) |
1,125,000 | 1,132,570 | ||||||
| OneMain Financial Issuance Trust 2017-1 |
||||||||
| 3.35%, 09/14/2032(2) |
1,645,000 | 1,648,594 | ||||||
| Onemain Financial Issuance Trust 2018-1 |
||||||||
| 4.08%, 03/14/2029(2) |
1,220,000 | 1,236,127 | ||||||
| OneMain Financial Issuance Trust 2019-1 |
||||||||
| 4.22%, 02/14/2031(2) |
3,360,000 | 3,476,438 | ||||||
| Option One Mortgage Loan Trust 2005-2 |
||||||||
| 2.45% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 05/25/2035(1) |
578,560 | 579,164 | ||||||
| Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4 |
||||||||
| 2.23% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 11/25/2035(1) |
3,265,890 | 3,268,649 | ||||||
| Option One Mortgage Loan Trust 2006-1 |
||||||||
| 2.01% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(1) |
6,387,933 | 6,352,738 | ||||||
| 2.09% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 01/25/2036(1) |
17,264,521 | 17,228,619 | ||||||
| Option One Mortgage Loan Trust 2006-3 |
||||||||
| 1.93% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037(1) |
21,537,925 | 16,360,869 | ||||||
| OSCAR US Funding Trust V |
||||||||
| 2.99%, 12/15/2023(2) |
486,491 | 488,739 | ||||||
| Oscar US Funding XI LLC |
||||||||
| 2.37%, 08/10/2020(2) |
41,848 | 41,850 | ||||||
| 2.49%, 08/10/2022(2) |
800,000 | 801,388 | ||||||
| OZLM VII Ltd. |
||||||||
| 3.01% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029(1)(2) |
7,365,000 | 7,322,880 | ||||||
| OZLM VIII Ltd. |
||||||||
| 3.17% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/17/2029(1)(2) |
2,915,000 | 2,912,575 | ||||||
| 3.80% (3 Month LIBOR USD + 1.80%, 1.80% Floor), 10/17/2029(1)(2) |
2,955,000 | 2,952,010 | ||||||
| Ozlme BV |
||||||||
| 0.82% (3 Month EURIBOR + 0.82%), 01/18/2030(1)(2) |
EUR | 1,200,000 | 1,330,348 | |||||
| Palmer Square CLO 2015-1 Ltd. |
||||||||
| 4.14% (3 Month LIBOR USD + 2.25%), 05/21/2029(1)(2) |
$ | 4,975,000 | 4,964,911 | |||||
| Palmer Square Loan Funding 2018-4 Ltd. |
||||||||
| 2.81% (3 Month LIBOR USD + 0.90%), 11/15/2026(1)(2) |
569,908 | 569,651 | ||||||
| Palmer Square Loan Funding 2019-4 Ltd. |
||||||||
| 2.84% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 10/24/2027(1)(2) |
1,800,000 | 1,799,336 | ||||||
| Penarth Master Issuer Plc |
||||||||
| 2.19% (1 Month LIBOR USD + 0.45%), 09/18/2022(1)(2) |
4,725,000 | 4,724,999 | ||||||
| Planet Fitness Master Issuer LLC |
||||||||
| 4.26%, 09/05/2048(2) |
10,191,000 | 10,360,374 | ||||||
| 4.67%, 09/05/2048(2) |
1,392,375 | 1,448,488 | ||||||
| Prestige Auto Receivables Trust 2018-1 |
||||||||
| 3.75%, 10/15/2024(2) |
2,765,000 | 2,833,070 | ||||||
| Progress Residential 2015-SFR3 Trust |
||||||||
| 4.67%, 11/12/2032(2) |
635,000 | 634,271 | ||||||
| Progress Residential 2018-SFR3 Trust |
||||||||
| 4.43%, 10/17/2035(2) |
1,500,000 | 1,534,217 | ||||||
| Progress Residential 2019-SFR1 Trust |
||||||||
| 4.17%, 08/17/2035(2) |
1,190,000 | 1,214,820 | ||||||
| Progress Residential 2019-SFR2 Trust |
||||||||
| 3.79%, 05/17/2036(2) |
2,165,000 | 2,196,618 | ||||||
| Progress Residential 2019-SFR4 Trust |
||||||||
| 3.14%, 10/17/2036(2) |
1,915,000 | 1,902,195 | ||||||
| Prosper Marketplace Issuance Trust Series 2018-2 |
||||||||
| 3.35%, 10/15/2024(2) |
1,341,020 | 1,343,631 | ||||||
| PRPM 2019-3 LLC |
||||||||
| 3.35%, 07/25/2024(2)(3) |
1,611,696 | 1,613,583 | ||||||
| PRPM LLC |
||||||||
| 3.35%, 11/25/2024(2)(3) |
2,810,000 | 2,809,969 | ||||||
| RASC Series 2005-KS10 Trust |
||||||||
| 2.23% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 14.00% Cap), 11/25/2035(1) |
10,928,539 | 10,909,271 | ||||||
| RASC Series 2006-KS9 Trust |
| 1.95% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036(1) |
4,831,379 | 4,775,662 | ||||||
| RASC Series 2007-KS3 Trust |
||||||||
| 2.13% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037(1) |
31,155,046 | 30,246,499 | ||||||
| RMF Buyout Issuance Trust 2018-1 |
||||||||
| 3.44%, 11/25/2028(2)(4) |
4,606,539 | 4,608,063 | ||||||
| Santander Drive Auto Receivables Trust 2015-4 |
||||||||
| 3.53%, 08/16/2021 |
552,185 | 553,141 | ||||||
| Santander Drive Auto Receivables Trust 2015-5 |
||||||||
| 3.65%, 12/15/2021 |
147,639 | 147,983 | ||||||
| Santander Drive Auto Receivables Trust 2017-1 |
||||||||
| 2.58%, 05/16/2022 |
138,446 | 138,545 | ||||||
| Santander Drive Auto Receivables Trust 2018-2 |
||||||||
| 3.88%, 02/15/2024 |
1,160,000 | 1,187,682 | ||||||
| Santander Drive Auto Receivables Trust 2018-3 |
||||||||
| 4.07%, 08/15/2024 |
3,770,000 | 3,868,861 | ||||||
| Santander Drive Auto Receivables Trust 2018-4 |
||||||||
| 3.98%, 12/15/2025 |
3,390,000 | 3,468,397 | ||||||
| Santander Drive Auto Receivables Trust 2018-5 |
||||||||
| 4.19%, 12/16/2024 |
3,070,000 | 3,155,660 | ||||||
| Santander Drive Auto Receivables Trust 2019-1 |
||||||||
| 3.65%, 04/15/2025 |
11,435,000 | 11,709,581 | ||||||
| Santander Drive Auto Receivables Trust 2019-3 |
||||||||
| 2.68%, 10/15/2025 |
4,095,000 | 4,078,179 | ||||||
| Santander Retail Auto Lease Trust 2017-A |
||||||||
| 2.96%, 11/21/2022(2) |
1,000,000 | 1,003,902 | ||||||
| Santander Retail Auto Lease Trust 2019-B |
||||||||
| 3.31%, 06/20/2024(2) |
6,610,000 | 6,625,376 | ||||||
| Saxon Asset Securities Trust 2007-3 |
||||||||
| 2.10% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2037(1) |
29,472,843 | 28,231,962 | ||||||
| Securitized Asset Backed Receivables LLC Trust 2004-OP1 |
||||||||
| 2.56% (1 Month LIBOR USD + 0.77%, 0.51% Floor), 02/25/2034(1) |
5,998,225 | 5,963,740 | ||||||
| Securitized Asset Backed Receivables LLC Trust 2006-CB5 |
||||||||
| 1.93% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 06/25/2036(1) |
5,460,009 | 4,176,696 | ||||||
| Shackleton 2016-IX CLO Ltd. |
||||||||
| 3.10% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 10/20/2028(1)(2) |
1,500,000 | 1,498,442 | ||||||
| Sierra Timeshare 2015-2 Receivables Funding LLC |
||||||||
| 2.43%, 06/20/2032(2) |
184,608 | 184,527 | ||||||
| Sierra Timeshare 2016-2 Receivables Funding LLC |
||||||||
| 2.33%, 07/20/2033(2) |
167,565 | 167,138 | ||||||
| Sierra Timeshare 2019-1 Receivables Funding LLC |
||||||||
| 3.20%, 01/20/2036(2) |
2,145,339 | 2,164,024 | ||||||
| Sierra Timeshare Conduit Receivables Funding LLC |
||||||||
| 2.91%, 03/20/2034(2) |
114,834 | 115,630 | ||||||
| S-Jets 2017-1 Ltd. |
||||||||
| 3.97%, 08/15/2042(2) |
14,580,727 | 14,584,760 | ||||||
| SLC Student Loan Trust 2005-2 |
||||||||
| 2.05% (3 Month LIBOR USD + 0.16%), 12/15/2039(1) |
4,900,000 | 4,631,583 | ||||||
| SLC Student Loan Trust 2005-3 |
||||||||
| 2.04% (3 Month LIBOR USD + 0.15%), 12/15/2039(1) |
5,000,000 | 4,669,409 | ||||||
| SLM Private Credit Student Loan Trust 2003-B |
||||||||
| 0.00%, 03/15/2033(4) |
2,954,000 | 2,929,910 | ||||||
| SLM Student Loan Trust 2003-7 |
||||||||
| 3.09% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033(1)(2) |
9,542,368 | 9,413,830 | ||||||
| SLM Student Loan Trust 2004-3 |
||||||||
| 2.49% (3 Month LIBOR USD + 0.55%, 0.55% Floor), 10/25/2064(1)(2) |
17,400,000 | 17,095,213 | ||||||
| SLM Student Loan Trust 2005-4 |
||||||||
| 2.11% (3 Month LIBOR USD + 0.17%), 07/25/2040(1) |
11,000,000 | 10,226,271 | ||||||
| SLM Student Loan Trust 2006-2 |
||||||||
| 2.11% (3 Month LIBOR USD + 0.17%), 01/25/2041(1) |
3,795,449 | 3,618,047 | ||||||
| SLM Student Loan Trust 2007-2 |
| 2.11% (3 Month LIBOR USD + 0.17%), 07/25/2025(1) |
6,950,000 | 6,181,247 | ||||||
| SLM Student Loan Trust 2007-3 |
||||||||
| 2.00% (3 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2022(1) |
3,681,219 | 3,575,318 | ||||||
| SLM Student Loan Trust 2007-7 |
||||||||
| 2.27% (3 Month LIBOR USD + 0.33%), 01/25/2022(1) |
2,680,566 | 2,603,337 | ||||||
| SLM Student Loan Trust 2008-2 |
||||||||
| 2.69% (3 Month LIBOR USD + 0.75%), 04/25/2023(1) |
8,742,681 | 8,579,030 | ||||||
| SLM Student Loan Trust 2008-5 |
||||||||
| 3.64% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023(1) |
4,678,454 | 4,709,703 | ||||||
| 3.79% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073(1) |
7,350,000 | 7,219,973 | ||||||
| SLM Student Loan Trust 2008-6 |
||||||||
| 3.04% (3 Month LIBOR USD + 1.10%), 07/25/2023(1) |
13,488,564 | 13,396,926 | ||||||
| SLM Student Loan Trust 2008-7 |
||||||||
| 2.84% (3 Month LIBOR USD + 0.90%), 07/25/2023(1) |
10,589,187 | 10,448,397 | ||||||
| SLM Student Loan Trust 2009-3 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 01/25/2045(1)(2) |
2,102,440 | 2,062,875 | ||||||
| SLM Student Loan Trust 2012-1 |
||||||||
| 2.74% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028(1) |
12,722,637 | 12,495,067 | ||||||
| SLM Student Loan Trust 2012-2 |
||||||||
| 2.49% (1 Month LIBOR USD + 0.70%), 01/25/2029(1) |
14,833,992 | 14,450,204 | ||||||
| SLM Student Loan Trust 2012-7 |
||||||||
| 2.44% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026(1) |
4,994,752 | 4,824,692 | ||||||
| 3.59% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043(1) |
2,220,000 | 2,110,677 | ||||||
| SLM Student Loan Trust 2014-1 |
||||||||
| 2.39% (1 Month LIBOR USD + 0.60%), 02/26/2029(1) |
3,153,998 | 3,049,834 | ||||||
| SMART ABS Series 2016-2US Trust |
||||||||
| 1.71%, 03/15/2021 |
338,570 | 338,305 | ||||||
| 2.05%, 12/14/2022 |
2,370,000 | 2,363,741 | ||||||
| SMB Private Education Loan Trust 2014-A |
||||||||
| 3.05%, 05/15/2026(2) |
210,471 | 211,497 | ||||||
| SMB Private Education Loan Trust 2015-B |
||||||||
| 2.98%, 07/15/2027(2) |
153,861 | 154,585 | ||||||
| 3.49% (1 Month LIBOR USD + 1.75%), 05/17/2032(1)(2) |
1,685,000 | 1,718,660 | ||||||
| SMB Private Education Loan Trust 2015-C |
||||||||
| 3.50%, 09/15/2043(2) |
1,295,000 | 1,314,326 | ||||||
| SMB Private Education Loan Trust 2016-A |
||||||||
| 2.70%, 05/15/2031(2) |
317,240 | 317,893 | ||||||
| SMB Private Education Loan Trust 2016-B |
||||||||
| 2.43%, 02/17/2032(2) |
1,772,608 | 1,761,945 | ||||||
| SMB Private Education Loan Trust 2016-C |
||||||||
| 2.34%, 09/15/2034(2) |
552,599 | 550,582 | ||||||
| SMB Private Education Loan Trust 2017-A |
||||||||
| 2.88%, 09/15/2034(2) |
1,532,555 | 1,537,999 | ||||||
| SMB Private Education Loan Trust 2018-B |
||||||||
| 2.46% (1 Month LIBOR USD + 0.72%), 01/15/2037(1)(2) |
2,030,000 | 2,014,558 | ||||||
| 3.60%, 01/15/2037(2) |
6,155,000 | 6,322,350 | ||||||
| 4.00%, 07/15/2042(2) |
285,000 | 294,796 | ||||||
| SMB Private Education Loan Trust 2018-C |
||||||||
| 3.63%, 11/15/2035(2) |
6,835,000 | 7,106,824 | ||||||
| 4.00%, 11/17/2042(2) |
770,000 | 791,328 | ||||||
| SMB Private Education Loan Trust 2019-A |
||||||||
| 3.44%, 07/15/2036(2) |
2,190,000 | 2,222,867 | ||||||
| SMB Private Education Loan Trust 2019-B |
||||||||
| 2.84%, 06/15/2037(2) |
7,675,000 | 7,701,635 | ||||||
| SoFi Consumer Loan Program 2017-3 LLC |
||||||||
| 2.77%, 05/25/2026(2) |
3,268,898 | 3,280,178 | ||||||
| SoFi Consumer Loan Program 2017-4 LLC |
||||||||
| 2.50%, 05/26/2026(2) |
3,866,988 | 3,873,081 | ||||||
| SoFi Consumer Loan Program 2017-6 LLC |
||||||||
| 3.52%, 11/25/2026(2) |
1,765,000 | 1,795,498 |
| SoFi Consumer Loan Program 2018-2 Trust |
||||||||
| 3.79%, 04/26/2027(2) |
2,210,000 | 2,250,441 | ||||||
| SoFi Consumer Loan Program 2018-3 Trust |
||||||||
| 3.20%, 08/25/2027(2) |
796,291 | 797,517 | ||||||
| 4.02%, 08/25/2027(2) |
1,375,000 | 1,410,310 | ||||||
| SoFi Consumer Loan Program 2018-4 Trust |
||||||||
| 4.17%, 11/26/2027(2) |
2,745,000 | 2,835,095 | ||||||
| SoFi Consumer Loan Program 2019-1 Trust |
||||||||
| 3.73%, 02/25/2028(2) |
5,690,000 | 5,816,213 | ||||||
| SoFi Consumer Loan Program 2019-2 Trust |
||||||||
| 3.01%, 04/25/2028(2) |
7,569,378 | 7,617,713 | ||||||
| 3.46%, 04/25/2028(2) |
3,145,000 | 3,197,010 | ||||||
| SoFi Consumer Loan Program 2019-3 Trust |
||||||||
| 3.35%, 05/25/2028(2) |
5,965,000 | 6,056,058 | ||||||
| SoFi Professional Loan Program 2015-B LLC |
||||||||
| 3.52%, 03/25/2036(2) |
290,068 | 291,825 | ||||||
| SoFi Professional Loan Program 2015-C LLC |
||||||||
| 3.58%, 08/25/2036(2) |
316,838 | 320,054 | ||||||
| SoFi Professional Loan Program 2015-d LLC |
||||||||
| 3.59%, 10/26/2037(2) |
704,554 | 715,051 | ||||||
| SoFi Professional Loan Program 2016-B LLC |
||||||||
| 3.80%, 04/25/2037(2) |
195,000 | 199,985 | ||||||
| SoFi Professional Loan Program 2016-C LLC |
||||||||
| 3.35%, 05/25/2037(2)(4) |
310,000 | 310,868 | ||||||
| SoFi Professional Loan Program 2016-D LLC |
||||||||
| 3.23%, 01/25/2039(2)(4) |
490,000 | 492,127 | ||||||
| SoFi Professional Loan Program 2016-E LLC |
||||||||
| 3.44%, 07/25/2040(2)(4) |
1,600,000 | 1,624,679 | ||||||
| SoFi Professional Loan Program 2017-A LLC |
||||||||
| 4.43%, 03/26/2040(2)(4) |
165,000 | 174,162 | ||||||
| SoFi Professional Loan Program 2017-C LLC |
||||||||
| 2.39% (1 Month LIBOR USD + 0.60%), 07/25/2040(1)(2) |
2,785,433 | 2,776,280 | ||||||
| SoFi Professional Loan Program 2017-E LLC |
||||||||
| 4.16%, 11/26/2040(2) |
695,000 | 710,685 | ||||||
| SoFi Professional Loan Program 2017-F LLC |
||||||||
| 3.62%, 01/25/2041(2) |
1,405,000 | 1,429,823 | ||||||
| SoFi Professional Loan Program 2018-C Trust |
||||||||
| 4.13%, 01/25/2048(2) |
1,875,000 | 1,918,438 | ||||||
| SoFi Professional Loan Program 2018-D Trust |
||||||||
| 3.12%, 02/25/2048(2) |
6,025,193 | 6,057,783 | ||||||
| 3.60%, 02/25/2048(2) |
5,525,000 | 5,674,802 | ||||||
| SoFi Professional Loan Program 2019-C LLC |
||||||||
| 2.37%, 11/16/2048(2) |
3,980,000 | 3,903,152 | ||||||
| Sound Point Clo XIV Ltd. |
||||||||
| 3.08% (3 Month LIBOR USD + 1.15%), 01/23/2029(1)(2) |
3,400,000 | 3,396,522 | ||||||
| Southwick Park CLO LLC |
||||||||
| 3.47% (3 Month LIBOR USD + 1.30%), 07/20/2032(1)(2) |
11,400,000 | 11,394,061 | ||||||
| SpringCastle Funding Asset-Backed Notes 2019-A |
||||||||
| 3.20%, 05/27/2036(2) |
11,734,316 | 11,772,327 | ||||||
| Springleaf Funding Trust 2017-A |
||||||||
| 2.68%, 07/15/2030(2) |
7,900,000 | 7,903,935 | ||||||
| 3.86%, 07/15/2030(2) |
1,270,000 | 1,278,368 | ||||||
| Sprite 2017-1 Ltd. |
||||||||
| 4.25%, 12/15/2037(2) |
968,533 | 989,212 | ||||||
| St Paul’s CLO VI DAC |
||||||||
| 0.85% (3 Month EURIBOR + 0.85%), 08/20/2030(1)(2) |
EUR | 38,000,000 | 42,604,523 | |||||
| Stack Infrastructure Issuer LLC Series 2019-1 |
||||||||
| 4.54%, 02/25/2044(2) |
$ | 7,382,958 | 7,725,518 | |||||
| Structured Adjustable Rate Mortgage Loan Trust |
||||||||
| 4.08%, 02/25/2035(4) |
7,130,342 | 7,247,759 |
| Structured Asset Mortgage Investments II Trust 2007-AR3 |
||||||||
| 1.98% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047(1) |
12,736,574 | 12,180,689 | ||||||
| Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2 |
||||||||
| 2.79% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037(1) |
593,951 | 595,770 | ||||||
| STWD 2019-FL1 Ltd. |
||||||||
| 2.82% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038(1)(2) |
3,600,000 | 3,597,916 | ||||||
| Symphony CLO XVII Ltd. |
||||||||
| 2.88% (3 Month LIBOR USD + 0.88%), 04/15/2028(1)(2) |
4,030,000 | 4,021,686 | ||||||
| Synchrony Credit Card Master Note Trust |
||||||||
| 2.56%, 06/15/2023 |
1,205,000 | 1,204,652 | ||||||
| 2.62%, 09/15/2023 |
650,000 | 650,688 | ||||||
| 3.36%, 03/15/2024 |
2,835,000 | 2,851,261 | ||||||
| Taco Bell Funding LLC |
||||||||
| 4.32%, 11/25/2048(2) |
11,370,150 | 11,633,710 | ||||||
| TCI-Flatiron CLO 2016-1 Ltd. |
||||||||
| 3.22% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 07/17/2028(1)(2) |
1,800,000 | 1,799,188 | ||||||
| THL Credit Wind River 2016-1 CLO Ltd. |
||||||||
| 3.64% (3 Month LIBOR USD + 1.65%), 07/15/2028(1)(2) |
1,320,000 | 1,315,975 | ||||||
| 4.09% (3 Month LIBOR USD + 2.10%), 07/15/2028(1)(2) |
1,395,000 | 1,382,788 | ||||||
| Tikehau CLO II BV |
||||||||
| 0.88% (3 Month EURIBOR + 0.88%), 12/07/2029(1)(2) |
EUR | 2,300,000 | 2,579,113 | |||||
| Towd Point Mortgage Trust |
||||||||
| 2.50%, 11/25/2060(2)(4) |
$ | 1,991,004 | 1,985,612 | |||||
| Towd Point Mortgage Trust 2015-3 |
||||||||
| 3.00%, 03/25/2054(2)(4) |
128,829 | 128,997 | ||||||
| Towd Point Mortgage Trust 2015-4 |
||||||||
| 2.75%, 04/25/2055(2)(4) |
170,074 | 169,868 | ||||||
| 3.75%, 04/25/2055(2)(4) |
960,000 | 994,458 | ||||||
| Towd Point Mortgage Trust 2015-5 |
||||||||
| 2.75%, 05/25/2055(2)(4) |
177,009 | 176,865 | ||||||
| Towd Point Mortgage Trust 2016-1 |
||||||||
| 2.75%, 02/25/2055(2)(4) |
758,129 | 758,430 | ||||||
| 3.00%, 02/25/2055(2)(4) |
228,170 | 228,612 | ||||||
| Towd Point Mortgage Trust 2016-2 |
||||||||
| 2.75%, 08/25/2055(2)(4) |
161,297 | 161,910 | ||||||
| Towd Point Mortgage Trust 2016-3 |
||||||||
| 2.25%, 04/25/2056(2)(4) |
236,233 | 235,622 | ||||||
| Towd Point Mortgage Trust 2016-4 |
||||||||
| 2.25%, 07/25/2056(2)(4) |
506,834 | 503,734 | ||||||
| Towd Point Mortgage Trust 2016-5 |
||||||||
| 2.50%, 10/25/2056(2)(4) |
1,767,006 | 1,766,683 | ||||||
| Towd Point Mortgage Trust 2017-1 |
||||||||
| 2.75%, 10/25/2056(2)(4) |
427,521 | 430,330 | ||||||
| 3.75%, 10/25/2056(2)(4) |
6,315,000 | 6,526,729 | ||||||
| Towd Point Mortgage Trust 2017-2 |
||||||||
| 2.75%, 04/25/2057(2)(4) |
198,502 | 199,773 | ||||||
| Towd Point Mortgage Trust 2017-3 |
||||||||
| 2.75%, 07/25/2057(2)(4) |
1,181,032 | 1,185,374 | ||||||
| Towd Point Mortgage Trust 2017-4 |
||||||||
| 2.75%, 06/25/2057(2)(4) |
9,745,976 | 9,799,525 | ||||||
| 3.25%, 06/25/2057(2)(4) |
2,465,000 | 2,460,433 | ||||||
| Towd Point Mortgage Trust 2017-5 |
||||||||
| 2.39% (1 Month LIBOR USD + 0.60%), 02/25/2057(1)(2) |
596,749 | 595,275 | ||||||
| Towd Point Mortgage Trust 2017-6 |
||||||||
| 2.75%, 10/25/2057(2)(4) |
1,529,847 | 1,538,536 | ||||||
| Towd Point Mortgage Trust 2018-2 |
||||||||
| 3.25%, 03/25/2058(2)(4) |
6,613,990 | 6,725,220 | ||||||
| Towd Point Mortgage Trust 2018-3 |
||||||||
| 3.75%, 05/25/2058(2)(4) |
6,762,081 | 6,992,666 | ||||||
| Towd Point Mortgage Trust 2018-SJ1 |
| 4.00%, 10/25/2058(2)(4) |
3,290,692 | 3,313,687 | ||||||
| Towd Point Mortgage Trust 2019-1 |
||||||||
| 3.75%, 03/25/2058(2)(4) |
4,979,782 | 5,167,175 | ||||||
| Towd Point Mortgage Trust 2019-MH1 |
||||||||
| 3.00%, 11/25/2058(2)(4) |
652,132 | 655,031 | ||||||
| Towd Point Mortgage Trust 2019-SJ3 |
||||||||
| 3.00%, 11/25/2059(2)(4) |
7,400,000 | 7,412,180 | ||||||
| Toyota Auto Receivables 2017-B Owner Trust |
||||||||
| 1.76%, 07/15/2021 |
5,881,459 | 5,877,952 | ||||||
| Toyota Auto Receivables 2017-C Owner Trust |
||||||||
| 1.78%, 11/15/2021 |
3,237,588 | 3,235,107 | ||||||
| Toyota Auto Receivables 2018-A Owner Trust |
||||||||
| 2.35%, 05/16/2022 |
2,752,269 | 2,759,447 | ||||||
| Toyota Auto Receivables 2018-C Owner Trust |
||||||||
| 3.02%, 12/15/2022 |
15,145,000 | 15,368,010 | ||||||
| Tralee CLO V Ltd. |
||||||||
| 3.08% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/20/2028(1)(2) |
2,000,000 | 1,999,090 | ||||||
| Tricon American Homes 2017-SFR2 Trust |
||||||||
| 2.93%, 01/17/2036(2) |
4,252,935 | 4,280,811 | ||||||
| Tricon American Homes 2019-SFR1 Trust |
||||||||
| 3.20%, 03/17/2038(2) |
1,270,000 | 1,261,815 | ||||||
| Upstart Securitization Trust 2019-2 |
||||||||
| 2.90%, 09/20/2029(2) |
503,410 | 504,782 | ||||||
| Upstart Securitization Trust 2019-3 |
||||||||
| 2.68%, 01/21/2030(2) |
7,100,000 | 7,094,448 | ||||||
| Venture Xxv Clo Ltd. |
||||||||
| 2.99% (3 Month LIBOR USD + 1.23%), 04/20/2029(1)(2) |
25,570,000 | 25,558,366 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL3 |
||||||||
| 3.97%, 03/25/2049(2)(3) |
1,780,918 | 1,790,057 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL5 |
||||||||
| 3.35%, 09/25/2049(2)(3) |
6,348,949 | 6,345,778 | ||||||
| Vericrest Opportunity Loan Trust 2019-NPL8 |
||||||||
| 3.28%, 11/25/2049(2)(3) |
6,622,676 | 6,606,413 | ||||||
| Verizon Owner Trust 2016-2 |
||||||||
| 2.36%, 05/20/2021(2) |
1,245,000 | 1,245,089 | ||||||
| Verizon Owner Trust 2017-3 |
||||||||
| 2.53%, 04/20/2022(2) |
1,360,000 | 1,362,594 | ||||||
| Verizon Owner Trust 2018-1 |
||||||||
| 3.20%, 09/20/2022(2) |
1,105,000 | 1,120,824 | ||||||
| Volt LXXII LLC |
||||||||
| 4.21%, 10/26/2048(2)(3) |
3,891,209 | 3,886,867 | ||||||
| Volt LXXV LLC |
||||||||
| 4.34%, 01/25/2049(2)(3) |
2,228,246 | 2,241,433 | ||||||
| VOLT LXXXIII LLC |
||||||||
| 3.33%, 11/26/2049(2)(3) |
2,472,084 | 2,470,592 | ||||||
| Voya CLO 2014-3 Ltd. |
||||||||
| 2.66% (3 Month LIBOR USD + 0.72%), 07/25/2026(1)(2) |
739,061 | 737,871 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust |
||||||||
| 4.03%, 02/25/2037(4) |
10,168,653 | 10,001,053 | ||||||
| WAVE 2017-1 Trust |
||||||||
| 3.84%, 11/15/2042(2) |
2,278,478 | 2,291,029 | ||||||
| Westlake Automobile Receivables Trust 2018-2 |
||||||||
| 4.00%, 01/16/2024(2) |
1,540,000 | 1,575,272 | ||||||
| Westlake Automobile Receivables Trust 2018-3 |
||||||||
| 4.00%, 10/16/2023(2) |
1,215,000 | 1,242,518 | ||||||
| Westlake Automobile Receivables Trust 2019-1 |
||||||||
| 3.67%, 03/15/2024(2) |
6,545,000 | 6,668,553 | ||||||
| Wingstop Funding 2018-1 LLC |
||||||||
| 4.97%, 12/05/2048(2) |
947,838 | 975,647 | ||||||
| World Omni Select Auto Trust 2019-A |
| 2.17%, 12/15/2025 |
4,785,000 | 4,751,998 | ||||||
| Zais CLO 1 Ltd. |
||||||||
| 3.15% (3 Month LIBOR USD + 1.15%), 04/15/2028(1)(2) |
14,900,000 | 14,879,602 | ||||||
|
|
|
|||||||
| Total Asset-Backed Obligations (Cost: $2,307,977,466) |
2,304,401,800 | |||||||
|
|
|
|||||||
| Corporate Bonds – 31.13% |
||||||||
| Basic Materials – 0.91% |
||||||||
| ABJA Investment Co. Pte Ltd. |
||||||||
| 5.45%, 01/24/2028 |
4,800,000 | 4,681,679 | ||||||
| Anglo American Capital Plc |
||||||||
| 4.13%, 09/27/2022(2) |
3,883,000 | 4,037,100 | ||||||
| 4.75%, 04/10/2027(2) |
985,000 | 1,076,285 | ||||||
| 4.50%, 03/15/2028(2) |
16,035,000 | 17,165,281 | ||||||
| ArcelorMittal |
||||||||
| 3.60%, 07/16/2024 |
312,000 | 320,001 | ||||||
| 6.13%, 06/01/2025 |
565,000 | 648,548 | ||||||
| 4.55%, 03/11/2026 |
6,465,000 | 6,858,529 | ||||||
| Celulosa Arauco y Constitucion SA |
||||||||
| 3.88%, 11/02/2027 |
860,000 | 863,234 | ||||||
| CF Industries, Inc. |
||||||||
| 4.50%, 12/01/2026(2) |
5,145,000 | 5,592,614 | ||||||
| CNAC HK Finbridge Co. Ltd. |
||||||||
| 4.63%, 03/14/2023 |
6,145,000 | 6,459,890 | ||||||
| Corp. Nacional del Cobre de Chile |
||||||||
| 3.63%, 08/01/2027 |
300,000 | 311,916 | ||||||
| DuPont de Nemours, Inc. |
||||||||
| 3.77%, 11/15/2020 |
6,165,000 | 6,250,114 | ||||||
| Equate Petrochemical BV |
||||||||
| 3.00%, 03/03/2022 |
690,000 | 692,719 | ||||||
| 4.25%, 11/03/2026 |
6,910,000 | 7,385,007 | ||||||
| First Quantum Minerals Ltd. |
||||||||
| 6.50%, 03/01/2024(2) |
200,000 | 200,500 | ||||||
| 6.88%, 03/01/2026(2) |
200,000 | 202,500 | ||||||
| FMC Corp. |
||||||||
| 3.45%, 10/01/2029 |
1,850,000 | 1,910,112 | ||||||
| 4.50%, 10/01/2049 |
1,025,000 | 1,114,954 | ||||||
| Glencore Finance Canada Ltd. |
||||||||
| 4.95%, 11/15/2021(2) |
1,170,000 | 1,223,552 | ||||||
| Glencore Funding LLC |
||||||||
| 4.13%, 03/12/2024(2) |
4,920,000 | 5,149,147 | ||||||
| 4.00%, 04/16/2025(2) |
4,450,000 | 4,633,798 | ||||||
| 4.00%, 03/27/2027(2) |
1,000,000 | 1,038,275 | ||||||
| 3.88%, 10/27/2027(2) |
11,555,000 | 11,933,773 | ||||||
| 4.88%, 03/12/2029(2) |
4,115,000 | 4,465,383 | ||||||
| Huntsman International LLC |
||||||||
| 5.13%, 11/15/2022 |
1,797,000 | 1,918,538 | ||||||
| Indonesia Asahan Aluminium Persero PT |
||||||||
| 5.23%, 11/15/2021(2) |
800,000 | 838,400 | ||||||
| 5.71%, 11/15/2023(2) |
600,000 | 661,766 | ||||||
| 6.53%, 11/15/2028(2) |
900,000 | 1,103,084 | ||||||
| International Flavors & Fragrances, Inc. |
||||||||
| 5.00%, 09/26/2048 |
7,265,000 | 8,224,011 | ||||||
| Israel Chemicals Ltd. |
||||||||
| 6.38%, 05/31/2038(2) |
10,200,000 | 12,139,734 | ||||||
| LYB International Finance III LLC |
||||||||
| 4.20%, 10/15/2049 |
4,050,000 | 4,213,619 | ||||||
| Minera Mexico SA de CV |
||||||||
| 4.50%, 01/26/2050(2) |
3,650,000 | 3,713,875 | ||||||
| Minmetals Bounteous Finance BVI Ltd. |
||||||||
| 3.50%, 07/30/2020 |
3,400,000 | 3,414,840 | ||||||
| Newcrest Finance Pty Ltd. |
||||||||
| 4.45%, 11/15/2021(2) |
1,800,000 | 1,864,537 | ||||||
| Newmont Goldcorp Corp. |
||||||||
| 3.70%, 03/15/2023 |
3,270,000 | 3,417,424 | ||||||
| Orbia Advance Corp. SAB de CV |
||||||||
| 4.00%, 10/04/2027(2) |
1,255,000 | 1,280,483 | ||||||
| SASOL Financing USA LLC |
||||||||
| 5.88%, 03/27/2024 |
4,300,000 | 4,652,613 | ||||||
| Solvay Finance America LLC |
||||||||
| 4.45%, 12/03/2025(2) |
2,400,000 | 2,594,426 | ||||||
| Suzano Austria GmbH |
||||||||
| 6.00%, 01/15/2029 |
5,035,000 | 5,676,962 | ||||||
| 5.00%, 01/15/2030 |
3,465,000 | 3,642,477 | ||||||
| Syngenta Finance NV |
||||||||
| 3.70%, 04/24/2020(2) |
2,350,000 | 2,357,388 | ||||||
| 3.93%, 04/23/2021(2) |
7,942,000 | 8,075,743 | ||||||
| 4.44%, 04/24/2023(2) |
200,000 | 208,743 | ||||||
| 4.89%, 04/24/2025(2) |
550,000 | 588,224 | ||||||
| 5.18%, 04/24/2028(2) |
500,000 | 538,284 | ||||||
| Vale Overseas Ltd. |
||||||||
| 6.25%, 08/10/2026 |
1,299,000 | 1,524,766 | ||||||
| 6.88%, 11/21/2036 |
1,132,000 | 1,471,600 | ||||||
| 6.88%, 11/10/2039 |
316,000 | 411,590 | ||||||
| Vale SA |
||||||||
| 3.75%, 01/10/2023 |
EUR | 400,000 | 486,526 | |||||
| Westlake Chemical Corp. |
||||||||
| 3.60%, 08/15/2026 |
$ | 1,925,000 | 1,993,646 | |||||
| 1.63%, 07/17/2029 |
EUR | 2,025,000 | 2,264,310 | |||||
|
|
|
|||||||
| Total Basic Materials |
173,492,520 | |||||||
|
|
|
|||||||
| Communications – 3.62% |
||||||||
| Altice Financing SA |
||||||||
| 5.25%, 02/15/2023 |
16,785,000 | 19,221,987 | ||||||
| 6.63%, 02/15/2023(2) |
$ | 18,627,000 | 18,952,972 | |||||
| Altice France SA |
||||||||
| 7.38%, 05/01/2026(2) |
1,400,000 | 1,503,096 | ||||||
| 5.88%, 02/01/2027(2) |
EUR | 1,900,000 | 2,397,634 | |||||
| 8.13%, 02/01/2027(2) |
$ | 900,000 | 1,013,625 | |||||
| 5.50%, 01/15/2028(2) |
5,015,000 | 5,153,163 | ||||||
| AT&T, Inc. |
||||||||
| 4.35%, 03/01/2029 |
1,392,000 | 1,546,560 | ||||||
| 5.25%, 03/01/2037 |
11,932,000 | 14,225,092 | ||||||
| 4.85%, 03/01/2039 |
10,680,000 | 12,289,088 | ||||||
| 4.80%, 06/15/2044 |
9,060,000 | 10,308,268 | ||||||
| 4.35%, 06/15/2045 |
9,496,000 | 10,222,069 | ||||||
| 4.75%, 05/15/2046 |
3,080,000 | 3,475,607 | ||||||
| 5.15%, 11/15/2046 |
3,055,000 | 3,647,866 | ||||||
| 4.50%, 03/09/2048 |
29,464,000 | 32,507,226 | ||||||
| Axtel SAB de CV |
||||||||
| 6.38%, 11/14/2024 |
4,700,000 | 4,946,797 | ||||||
| Baidu, Inc. |
||||||||
| 2.88%, 07/06/2022 |
5,105,000 | 5,142,158 | ||||||
| 3.88%, 09/29/2023 |
11,655,000 | 12,144,678 | ||||||
| 4.38%, 03/29/2028 |
1,850,000 | 2,003,705 | ||||||
| 4.88%, 11/14/2028 |
770,000 | 869,543 | ||||||
| C&W Senior Financing DAC |
||||||||
| 6.88%, 09/15/2027(2) |
200,000 | 213,866 | ||||||
| 6.88%, 09/15/2027 |
300,000 | 320,799 | ||||||
| CBS Corp. |
||||||||
| 2.50%, 02/15/2023 |
1,500,000 | 1,515,447 |
| CCO Holdings LLC / CCO Holdings Capital Corp. |
||||||||
| 5.38%, 06/01/2029(2) |
2,141,000 | 2,285,517 | ||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital |
||||||||
| 3.58%, 07/23/2020 |
10,507,000 | 10,573,808 | ||||||
| 4.46%, 07/23/2022 |
9,852,000 | 10,351,376 | ||||||
| 3.56% (3 Month LIBOR USD + 1.65%), 02/01/2024(1) |
426,000 | 438,212 | ||||||
| 4.50%, 02/01/2024 |
3,510,000 | 3,774,686 | ||||||
| 4.91%, 07/23/2025 |
11,997,000 | 13,205,782 | ||||||
| 6.48%, 10/23/2045 |
2,015,000 | 2,512,867 | ||||||
| 5.75%, 04/01/2048 |
4,575,000 | 5,328,375 | ||||||
| 4.80%, 03/01/2050 |
5,495,000 | 5,774,345 | ||||||
| Cisco Systems, Inc. |
||||||||
| 4.45%, 01/15/2020 |
2,125,000 | 2,126,827 | ||||||
| Clear Channel Worldwide Holdings, Inc. |
||||||||
| 9.25%, 02/15/2024(2) |
5,749,000 | 6,367,017 | ||||||
| Comcast Corp. |
||||||||
| 3.38%, 08/15/2025 |
4,345,000 | 4,607,191 | ||||||
| 3.15%, 03/01/2026 |
4,440,000 | 4,650,431 | ||||||
| 3.30%, 02/01/2027 |
12,230,000 | 12,941,861 | ||||||
| 4.15%, 10/15/2028 |
2,000,000 | 2,249,772 | ||||||
| 3.25%, 11/01/2039 |
4,650,000 | 4,711,085 | ||||||
| Connect Finco SARL / Connect US Finco LLC |
||||||||
| 6.75%, 10/01/2026(2) |
646,000 | 687,990 | ||||||
| Cox Communications, Inc. |
||||||||
| 3.15%, 08/15/2024(2) |
3,400,000 | 3,493,344 | ||||||
| 4.80%, 02/01/2035(2) |
8,725,000 | 9,645,769 | ||||||
| 4.70%, 12/15/2042(2) |
810,000 | 875,866 | ||||||
| 4.50%, 06/30/2043(2) |
950,000 | 986,280 | ||||||
| Crown Castle Towers LLC |
||||||||
| 3.22%, 05/15/2022(2) |
700,000 | 707,237 | ||||||
| 3.66%, 05/15/2025(2) |
1,300,000 | 1,348,235 | ||||||
| CSC Holdings LLC |
||||||||
| 5.50%, 04/15/2027(2) |
2,300,000 | 2,469,855 | ||||||
| 6.50%, 02/01/2029(2) |
656,000 | 731,440 | ||||||
| Deutsche Telekom International Finance BV |
||||||||
| 1.95%, 09/19/2021(2) |
800,000 | 799,809 | ||||||
| 2.82%, 01/19/2022(2) |
2,045,000 | 2,074,863 | ||||||
| Discovery Communications LLC |
||||||||
| 2.80%, 06/15/2020 |
7,200,000 | 7,218,676 | ||||||
| 4.38%, 06/15/2021 |
380,000 | 392,362 | ||||||
| 3.95%, 03/20/2028 |
4,695,000 | 5,005,901 | ||||||
| 5.00%, 09/20/2037 |
5,630,000 | 6,348,757 | ||||||
| DISH DBS Corp. |
||||||||
| 5.13%, 05/01/2020 |
15,493,000 | 15,589,831 | ||||||
| 6.75%, 06/01/2021 |
4,250,000 | 4,468,067 | ||||||
| eBay, Inc. |
||||||||
| 2.60%, 07/15/2022 |
2,279,000 | 2,291,271 | ||||||
| Expedia Group, Inc. |
||||||||
| 4.50%, 08/15/2024 |
5,611,000 | 5,985,328 | ||||||
| 5.00%, 02/15/2026 |
8,790,000 | 9,688,611 | ||||||
| 3.80%, 02/15/2028 |
2,465,000 | 2,511,964 | ||||||
| Fox Corp. |
||||||||
| 4.71%, 01/25/2029(2) |
2,585,000 | 2,944,047 | ||||||
| Frontier Communications Corp. |
||||||||
| 8.00%, 04/01/2027(2) |
864,000 | 902,880 | ||||||
| iHeartCommunications, Inc. |
||||||||
| 6.38%, 05/01/2026 |
4,451,000 | 4,829,335 | ||||||
| 8.38%, 05/01/2027 |
7,014,800 | 7,751,354 | ||||||
| Intelsat Connect Finance SA |
||||||||
| 9.50%, 02/15/2023(2) |
710,000 | 496,787 |
| Intelsat Jackson Holdings SA |
||||||||
| 5.50%, 08/01/2023 |
960,000 | 824,678 | ||||||
| 8.00%, 02/15/2024(2) |
9,655,000 | 9,908,444 | ||||||
| 8.50%, 10/15/2024(2) |
7,082,000 | 6,450,498 | ||||||
| 9.75%, 07/15/2025(2) |
14,050,000 | 12,996,250 | ||||||
| Intelsat Luxembourg SA |
||||||||
| 7.75%, 06/01/2021 |
8,455,000 | 6,679,450 | ||||||
| Interpublic Group of Cos, Inc. |
||||||||
| 3.50%, 10/01/2020 |
1,130,000 | 1,142,053 | ||||||
| 3.75%, 10/01/2021 |
200,000 | 205,514 | ||||||
| 4.00%, 03/15/2022 |
216,000 | 223,928 | ||||||
| Koninklijke KPN NV |
||||||||
| 8.38%, 10/01/2030 |
2,750,000 | 3,824,366 | ||||||
| Level 3 Financing, Inc. |
||||||||
| 5.38%, 01/15/2024 |
600,000 | 609,750 | ||||||
| 5.38%, 05/01/2025 |
1,474,000 | 1,525,590 | ||||||
| 4.63%, 09/15/2027(2) |
1,191,000 | 1,219,346 | ||||||
| MTN Mauritius Investments Ltd. |
||||||||
| 6.50%, 10/13/2026 |
8,200,000 | 9,061,000 | ||||||
| Netflix, Inc. |
||||||||
| 5.50%, 02/15/2022 |
300,000 | 317,625 | ||||||
| 4.63%, 05/15/2029 |
EUR | 4,100,000 | 5,125,552 | |||||
| 5.38%, 11/15/2029(2) |
$ | 481,000 | 512,255 | |||||
| Nokia OYJ |
||||||||
| 3.38%, 06/12/2022 |
280,000 | 283,500 | ||||||
| 4.38%, 06/12/2027 |
4,255,000 | 4,435,837 | ||||||
| Radiate Holdco LLC / Radiate Finance, Inc. |
||||||||
| 6.88%, 02/15/2023(2) |
108,000 | 109,890 | ||||||
| Sprint Communications, Inc. |
||||||||
| 7.00%, 03/01/2020(2) |
11,683,000 | 11,745,154 | ||||||
| 7.00%, 08/15/2020 |
12,097,000 | 12,354,061 | ||||||
| 6.00%, 11/15/2022 |
4,570,000 | 4,792,787 | ||||||
| Sprint Corp. |
||||||||
| 7.25%, 09/15/2021 |
15,923,000 | 16,838,573 | ||||||
| 7.88%, 09/15/2023 |
200,000 | 220,666 | ||||||
| 7.13%, 06/15/2024 |
200,000 | 215,750 | ||||||
| 7.63%, 03/01/2026 |
137,000 | 151,084 | ||||||
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
||||||||
| 3.36%, 09/20/2021(2) |
7,790,563 | 7,859,899 | ||||||
| 4.74%, 03/20/2025(2) |
25,610,000 | 27,120,478 | ||||||
| 5.15%, 03/20/2028(2) |
7,936,000 | 8,650,240 | ||||||
| Telefonica Emisiones SA |
||||||||
| 5.46%, 02/16/2021 |
168,000 | 174,336 | ||||||
| 5.52%, 03/01/2049 |
11,455,000 | 14,328,311 | ||||||
| Tencent Holdings Ltd. |
||||||||
| 3.80%, 02/11/2025 |
7,290,000 | 7,680,183 | ||||||
| 3.58%, 04/11/2026(2) |
1,439,000 | 1,491,567 | ||||||
| Time Warner Cable LLC |
||||||||
| 4.00%, 09/01/2021 |
370,000 | 378,543 | ||||||
| 5.88%, 11/15/2040 |
2,000,000 | 2,290,189 | ||||||
| 5.50%, 09/01/2041 |
9,512,000 | 10,600,100 | ||||||
| 4.50%, 09/15/2042 |
13,180,000 | 13,439,382 | ||||||
| T-Mobile USA, Inc. |
||||||||
| 6.00%, 03/01/2023 |
876,000 | 891,768 | ||||||
| 6.50%, 01/15/2024 |
1,045,000 | 1,075,065 | ||||||
| 6.50%, 01/15/2024(14) |
1,200,000 | 9,327 | ||||||
| 6.00%, 04/15/2024 |
2,329,000 | 2,404,693 | ||||||
| 4.50%, 02/01/2026 |
658,000 | 674,450 | ||||||
| 4.50%, 02/01/2026(14) |
658,000 | 2,031 | ||||||
| 4.75%, 02/01/2028 |
3,143,000 | 3,293,267 |
| 4.75%, 02/01/2028(14) |
1,053,000 | 3,023 | ||||||
| Turk Telekomunikasyon AS |
||||||||
| 6.88%, 02/28/2025(2) |
8,000,000 | 8,540,000 | ||||||
| Twitter, Inc. |
||||||||
| 3.88%, 12/15/2027(2) |
208,000 | 207,892 | ||||||
| United Group BV |
||||||||
| 4.38%, 07/01/2022(2) |
EUR | 200,000 | 228,802 | |||||
| 4.38%, 07/01/2022 |
7,425,000 | 8,494,262 | ||||||
| 4.88%, 07/01/2024 |
8,300,000 | 9,705,790 | ||||||
| 4.88%, 07/01/2024(2) |
200,000 | 233,874 | ||||||
| Univision Communications, Inc. |
||||||||
| 5.13%, 05/15/2023(2) |
$ | 6,215,000 | 6,199,463 | |||||
| 5.13%, 02/15/2025(2) |
7,386,000 | 7,302,908 | ||||||
| Verizon Communications, Inc. |
||||||||
| 4.75%, 11/01/2041 |
685,000 | 826,781 | ||||||
| 4.86%, 08/21/2046 |
11,925,000 | 14,758,760 | ||||||
| 5.01%, 04/15/2049 |
1,625,000 | 2,076,801 | ||||||
| 4.67%, 03/15/2055 |
1,494,000 | 1,842,767 | ||||||
| Viacom, Inc. |
||||||||
| 4.25%, 09/01/2023 |
1,000,000 | 1,064,370 | ||||||
| 3.88%, 04/01/2024 |
5,000,000 | 5,290,884 | ||||||
| ViaSat, Inc. |
||||||||
| 5.63%, 09/15/2025(2) |
175,000 | 180,250 | ||||||
| 5.63%, 04/15/2027(2) |
105,000 | 112,350 | ||||||
| Virgin Media Secured Finance Plc |
||||||||
| 5.50%, 05/15/2029(2) |
2,500,000 | 2,646,875 | ||||||
| Vodafone Group Plc |
||||||||
| 4.38%, 05/30/2028 |
8,820,000 | 9,766,879 | ||||||
| 5.00%, 05/30/2038 |
5,045,000 | 5,828,746 | ||||||
| 5.25%, 05/30/2048 |
10,480,000 | 12,596,410 | ||||||
| 4.88%, 06/19/2049 |
6,363,000 | 7,356,198 | ||||||
| 4.25%, 09/17/2050 |
5,575,000 | 5,800,228 | ||||||
| VTR Finance BV |
||||||||
| 6.88%, 01/15/2024 |
4,476,000 | 4,576,710 | ||||||
| Ziggo BV |
||||||||
| 5.50%, 01/15/2027(2) |
6,675,000 | 7,092,188 | ||||||
|
|
|
|||||||
| Total Communications |
692,636,898 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 3.02% |
||||||||
| 1011778 BC ULC / New Red Finance, Inc. |
||||||||
| 4.25%, 05/15/2024(2) |
132,000 | 135,300 | ||||||
| Air Canada 2013-1 Class B Pass Through Trust |
||||||||
| 5.38%, 05/15/2021(2) |
229,095 | 235,505 | ||||||
| Air Canada 2015-2 Class B Pass Through Trust |
||||||||
| 5.00%, 12/15/2023(2) |
1,653,034 | 1,718,216 | ||||||
| Air Canada 2017-1 Class B Pass Through Trust |
||||||||
| 3.70%, 01/15/2026(2) |
13,342,302 | 13,301,139 | ||||||
| Alimentation Couche-Tard, Inc. |
||||||||
| 2.70%, 07/26/2022(2) |
995,000 | 1,005,453 | ||||||
| 3.55%, 07/26/2027(2) |
3,000,000 | 3,082,354 | ||||||
| America West Airlines 2001-1 Pass Through Trust |
||||||||
| 7.10%, 04/02/2021 |
822,751 | 845,309 | ||||||
| American Airlines 2013-1 Class A Pass Through Trust |
||||||||
| 4.00%, 07/15/2025 |
1,397,684 | 1,464,005 | ||||||
| American Airlines 2014-1 Class A Pass Through Trust |
||||||||
| 3.70%, 10/01/2026 |
1,598,365 | 1,680,343 | ||||||
| American Airlines 2015-1 Class B Pass Through Trust |
||||||||
| 3.70%, 05/01/2023 |
1,913,039 | 1,925,849 | ||||||
| American Airlines 2015-2 Class B Pass Through Trust |
||||||||
| 4.40%, 09/22/2023 |
8,803,122 | 9,115,061 | ||||||
| American Airlines 2016-1 Class AA Pass Through Trust |
||||||||
| 3.58%, 01/15/2028 |
522,691 | 548,463 | ||||||
| American Airlines 2016-1 Class B Pass Through Trust |
||||||||
| 5.25%, 01/15/2024 |
2,522,568 | 2,667,019 | ||||||
| American Airlines 2016-2 Class A Pass Through Trust |
||||||||
| 3.65%, 06/15/2028 |
1,239,879 | 1,295,434 | ||||||
| American Airlines 2016-2 Class B Pass Through Trust |
||||||||
| 4.38%, 06/15/2024(2) |
3,547,800 | 3,635,333 | ||||||
| American Airlines 2016-3 Class B Pass Through Trust |
||||||||
| 3.75%, 10/15/2025 |
6,919,273 | 6,993,062 | ||||||
| American Airlines 2017-1 Class B Pass Through Trust |
||||||||
| 4.95%, 02/15/2025 |
932,595 | 984,159 | ||||||
| American Airlines 2017-2 Class AA Pass Through Trust |
||||||||
| 3.35%, 10/15/2029 |
753,430 | 768,322 | ||||||
| American Airlines 2017-2 Class B Pass Through Trust |
||||||||
| 3.70%, 10/15/2025 |
7,507,815 | 7,585,117 | ||||||
| American Airlines 2019-1 Class B Pass Through Trust |
||||||||
| 3.85%, 02/15/2028 |
13,625,000 | 13,839,926 | ||||||
| AutoNation, Inc. |
||||||||
| 3.35%, 01/15/2021 |
770,000 | 777,910 | ||||||
| BMW Finance NV |
||||||||
| 2.25%, 08/12/2022(2) |
7,300,000 | 7,330,381 | ||||||
| BMW US Capital LLC |
||||||||
| 3.25%, 08/14/2020(2) |
14,250,000 | 14,374,288 | ||||||
| 3.10%, 04/12/2021(2) |
5,495,000 | 5,576,512 | ||||||
| British Airways 2019-1 Class A Pass Through Trust |
||||||||
| 3.35%, 06/15/2029(2) |
3,295,000 | 3,392,661 | ||||||
| Choice Hotels International, Inc. |
||||||||
| 5.75%, 07/01/2022 |
3,000,000 | 3,238,128 | ||||||
| Churchill Downs, Inc. |
||||||||
| 4.75%, 01/15/2028(2) |
2,652,000 | 2,744,820 | ||||||
| Continental Airlines 2007-1 Class A Pass Through Trust |
||||||||
| 5.98%, 04/19/2022 |
4,008,167 | 4,215,599 | ||||||
| Continental Airlines 2012-2 Class A Pass Through Trust |
||||||||
| 4.00%, 10/29/2024 |
1,605,144 | 1,692,832 | ||||||
| Daimler Finance North America LLC |
||||||||
| 2.30%, 01/06/2020(2) |
4,000,000 | 3,999,928 | ||||||
| 3.00%, 02/22/2021(2) |
2,210,000 | 2,231,409 | ||||||
| 3.88%, 09/15/2021(2) |
850,000 | 873,926 | ||||||
| 2.81% (3 Month LIBOR USD + 0.90%), 02/15/2022(1)(2) |
10,370,000 | 10,449,984 | ||||||
| 2.55%, 08/15/2022(2) |
4,700,000 | 4,732,926 | ||||||
| 2.70%, 06/14/2024(2) |
1,250,000 | 1,260,104 | ||||||
| Delta Air Lines 2007-1 Class A Pass Through Trust |
||||||||
| 6.82%, 08/10/2022 |
24,723 | 26,831 | ||||||
| Delta Air Lines, Inc. |
||||||||
| 2.88%, 03/13/2020 |
1,295,000 | 1,295,201 | ||||||
| 3.40%, 04/19/2021 |
350,000 | 354,776 | ||||||
| 3.63%, 03/15/2022 |
3,757,000 | 3,846,083 | ||||||
| Diamond Resorts International, Inc. |
||||||||
| 7.75%, 09/01/2023(2) |
4,234,000 | 4,354,923 | ||||||
| Dillard’s, Inc. |
||||||||
| 7.75%, 07/15/2026 |
135,000 | 152,330 | ||||||
| 7.75%, 05/15/2027 |
85,000 | 97,149 | ||||||
| 7.00%, 12/01/2028 |
380,000 | 421,918 | ||||||
| DR Horton, Inc. |
||||||||
| 4.38%, 09/15/2022 |
10,658,000 | 11,168,637 | ||||||
| Emirates Airline |
||||||||
| 4.50%, 02/06/2025 |
3,142,800 | 3,219,421 | ||||||
| FCE Bank Plc |
||||||||
| 1.88%, 06/24/2021 |
EUR | 300,000 | 343,656 |
| Ford Motor Credit Co. LLC |
||||||||
| 3.01% (3 Month LIBOR USD + 1.00%), 01/09/2020(1) |
$ | 2,575,000 | 2,575,360 | |||||
| 8.13%, 01/15/2020 |
2,605,000 | 2,609,870 | ||||||
| 2.43%, 06/12/2020 |
4,525,000 | 4,522,215 | ||||||
| 2.68% (3 Month LIBOR USD + 0.79%), 06/12/2020(1) |
400,000 | 400,233 | ||||||
| 3.16%, 08/04/2020 |
2,420,000 | 2,429,563 | ||||||
| 2.33% (3 Month LIBOR USD + 0.43%), 11/02/2020(1) |
3,110,000 | 3,093,090 | ||||||
| 2.34%, 11/02/2020 |
7,795,000 | 7,780,290 | ||||||
| 5.09%, 01/07/2021 |
1,405,000 | 1,438,373 | ||||||
| 3.20%, 01/15/2021 |
3,750,000 | 3,770,356 | ||||||
| 5.75%, 02/01/2021 |
1,290,000 | 1,331,423 | ||||||
| 3.34%, 03/18/2021 |
11,810,000 | 11,896,513 | ||||||
| 2.85% (3 Month LIBOR USD + 0.81%), 04/05/2021(1) |
400,000 | 398,135 | ||||||
| 3.47%, 04/05/2021 |
2,915,000 | 2,941,454 | ||||||
| 0.03% (3 Month EURIBOR + 0.43%), 05/14/2021(1)(5) |
EUR | 220,000 | 244,977 | |||||
| 5.88%, 08/02/2021 |
$ | 9,650,000 | 10,100,343 | |||||
| 2.88% (3 Month LIBOR USD + 0.88%), 10/12/2021(1) |
3,390,000 | 3,360,913 | ||||||
| 3.81%, 10/12/2021 |
3,390,000 | 3,451,877 | ||||||
| 0.00% (3 Month EURIBOR + 0.37%), 12/01/2021(1)(5) |
EUR | 610,000 | 671,028 | |||||
| 5.60%, 01/07/2022 |
$ | 13,892,000 | 14,634,918 | |||||
| 3.22%, 01/09/2022 |
3,000,000 | 3,020,982 | ||||||
| 3.23% (3 Month LIBOR USD + 1.27%), 03/28/2022(1) |
350,000 | 347,434 | ||||||
| 3.34%, 03/28/2022 |
4,740,000 | 4,785,592 | ||||||
| 3.55%, 10/07/2022 |
4,200,000 | 4,259,722 | ||||||
| 3.35%, 11/01/2022 |
3,625,000 | 3,659,899 | ||||||
| 3.14% (3 Month LIBOR USD + 1.24%), 02/15/2023(1) |
500,000 | 491,636 | ||||||
| General Motors Co. |
||||||||
| 2.79% (3 Month LIBOR USD + 0.90%), 09/10/2021(1) |
3,000,000 | 3,000,876 | ||||||
| 6.60%, 04/01/2036 |
975,000 | 1,148,574 | ||||||
| 6.25%, 10/02/2043 |
2,080,000 | 2,331,267 | ||||||
| 5.20%, 04/01/2045 |
3,485,000 | 3,510,584 | ||||||
| 5.95%, 04/01/2049 |
6,565,000 | 7,258,322 | ||||||
| General Motors Financial Co., Inc. |
||||||||
| 2.65%, 04/13/2020 |
1,500,000 | 1,501,859 | ||||||
| 3.20%, 07/13/2020 |
6,992,000 | 7,023,931 | ||||||
| 2.86% (3 Month LIBOR USD + 0.85%), 04/09/2021(1) |
10,375,000 | 10,395,397 | ||||||
| 3.55%, 04/09/2021 |
32,590,000 | 33,203,343 | ||||||
| 4.38%, 09/25/2021 |
5,000,000 | 5,179,962 | ||||||
| 0.15% (3 Month EURIBOR + 0.55%), 03/26/2022(1)(5) |
EUR | 450,000 | 501,918 | |||||
| 5.10%, 01/17/2024 |
$ | 13,185,000 | 14,306,844 | |||||
| 4.35%, 04/09/2025 |
1,530,000 | 1,638,467 | ||||||
| 4.30%, 07/13/2025 |
540,000 | 576,790 | ||||||
| 5.25%, 03/01/2026 |
345,000 | 382,859 | ||||||
| 4.00%, 10/06/2026 |
1,900,000 | 1,990,348 | ||||||
| Gohl Capital Ltd. |
||||||||
| 4.25%, 01/24/2027 |
6,600,000 | 6,921,024 | ||||||
| Harley-Davidson Financial Services, Inc. |
||||||||
| 2.85%, 01/15/2021(2) |
3,287,000 | 3,301,192 | ||||||
| Hasbro, Inc. |
||||||||
| 3.00%, 11/19/2024 |
4,910,000 | 4,930,714 | ||||||
| 3.55%, 11/19/2026 |
2,270,000 | 2,283,427 | ||||||
| Hyundai Capital America |
||||||||
| 2.70% (3 Month LIBOR USD + 0.80%), 09/18/2020(1)(2) |
1,170,000 | 1,172,450 | ||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC |
||||||||
| 5.25%, 06/01/2026(2) |
956,000 | 1,008,580 | ||||||
| 4.75%, 06/01/2027(2) |
429,000 | 451,523 | ||||||
| Las Vegas Sands Corp. |
||||||||
| 3.20%, 08/08/2024 |
1,325,000 | 1,366,367 | ||||||
| 3.50%, 08/18/2026 |
1,965,000 | 2,019,412 | ||||||
| Latam Airlines 2015-1 Pass Through Trust A |
| 4.20%, 11/15/2027 |
2,701,166 | 2,781,545 | ||||||
| Latam Airlines 2015-1 Pass Through Trust B |
||||||||
| 4.50%, 11/15/2023 |
339,579 | 340,001 | ||||||
| Lear Corp. |
||||||||
| 5.25%, 01/15/2025 |
7,072,000 | 7,270,088 | ||||||
| Lennar Corp. |
||||||||
| 4.75%, 11/29/2027 |
4,275,000 | 4,606,313 | ||||||
| Magna International, Inc. |
||||||||
| 4.15%, 10/01/2025 |
665,000 | 720,051 | ||||||
| Mitchells & Butlers Finance Plc |
||||||||
| 6.01%, 12/15/2028 |
GBP | 317,418 | 474,405 | |||||
| 2.34% (3 Month LIBOR USD + 0.45%), 12/15/2030(1) |
$ | 9,546,012 | 8,779,739 | |||||
| Mitsubishi Corp. |
||||||||
| 2.63%, 07/14/2022 |
200,000 | 201,516 | ||||||
| Nissan Motor Acceptance Corp. |
||||||||
| 3.15%, 03/15/2021(2) |
400,000 | 403,850 | ||||||
| 1.90%, 09/14/2021(2) |
481,000 | 477,261 | ||||||
| 3.65%, 09/21/2021(2) |
300,000 | 306,170 | ||||||
| 2.89% (3 Month LIBOR USD + 0.89%), 01/13/2022(1)(2) |
700,000 | 703,407 | ||||||
| Panasonic Corp. |
||||||||
| 2.54%, 07/19/2022(2) |
1,385,000 | 1,396,367 | ||||||
| PetSmart, Inc. |
||||||||
| 5.88%, 06/01/2025(2) |
172,000 | 175,225 | ||||||
| QVC, Inc. |
||||||||
| 5.13%, 07/02/2022 |
4,255,000 | 4,475,066 | ||||||
| 4.38%, 03/15/2023 |
4,476,000 | 4,617,494 | ||||||
| 4.85%, 04/01/2024 |
4,485,000 | 4,696,466 | ||||||
| 4.45%, 02/15/2025 |
600,000 | 620,014 | ||||||
| Rite Aid Corp. |
||||||||
| 6.13%, 04/01/2023(2) |
5,382,000 | 4,951,440 | ||||||
| Sands China Ltd. |
||||||||
| 4.60%, 08/08/2023 |
1,200,000 | 1,266,432 | ||||||
| 5.13%, 08/08/2025 |
1,400,000 | 1,536,276 | ||||||
| 5.40%, 08/08/2028 |
2,000,000 | 2,254,360 | ||||||
| Southwest Airlines Co. 2007-1 Pass Through Trust |
||||||||
| 6.65%, 08/01/2022 |
80,191 | 84,147 | ||||||
| Spirit Issuer Plc |
||||||||
| 3.49% (3 Month LIBOR GBP + 2.70%), 12/28/2031(1) |
GBP | 810,000 | 1,051,473 | |||||
| Staples, Inc. |
||||||||
| 7.50%, 04/15/2026(2) |
$ | 111,000 | 115,163 | |||||
| Starbucks Corp. |
||||||||
| 3.80%, 08/15/2025 |
5,465,000 | 5,883,012 | ||||||
| Toyota Motor Credit Corp. |
||||||||
| 2.95%, 04/13/2021 |
14,545,000 | 14,761,348 | ||||||
| 2.65%, 04/12/2022 |
17,580,000 | 17,885,827 | ||||||
| Toyota Motor Finance Netherlands BV |
||||||||
| 2.76%, 04/26/2021 |
1,500,000 | 1,517,215 | ||||||
| United Airlines 2016-1 Class B Pass Through Trust |
||||||||
| 3.65%, 01/07/2026 |
1,468,524 | 1,491,095 | ||||||
| United Airlines 2016-2 Class B Pass Through Trust |
||||||||
| 3.65%, 10/07/2025 |
1,785,856 | 1,810,023 | ||||||
| United Airlines 2018-1 Class A Pass Through Trust |
||||||||
| 3.70%, 03/01/2030 |
612,998 | 628,505 | ||||||
| United Airlines 2018-1 Class B Pass Through Trust |
||||||||
| 4.60%, 03/01/2026 |
6,257,243 | 6,467,216 | ||||||
| United Airlines 2019-2 Class A Pass Through Trust |
||||||||
| 2.90%, 05/01/2028 |
1,495,000 | 1,493,087 | ||||||
| United Airlines 2019-2 Class AA Pass Through Trust |
||||||||
| 2.70%, 05/01/2032 |
930,000 | 931,618 | ||||||
| United Airlines 2019-2 Class B Pass Through Trust |
| 3.50%, 05/01/2028 |
1,540,000 | 1,548,581 | ||||||
| US Airways 2011-1 Class A Pass Through Trust |
||||||||
| 7.13%, 10/22/2023 |
1,502,464 | 1,686,633 | ||||||
| US Airways 2013-1 Class A Pass Through Trust |
||||||||
| 3.95%, 11/15/2025 |
1,477,595 | 1,553,286 | ||||||
| VOC Escrow Ltd. |
||||||||
| 5.00%, 02/15/2028(2) |
91,000 | 95,323 | ||||||
| Volkswagen Bank GmbH |
||||||||
| 0.03% (3 Month EURIBOR + 0.42%), 06/15/2021(1)(5) |
EUR | 1,400,000 | 1,570,496 | |||||
| 0.63%, 09/08/2021 |
7,500,000 | 8,498,358 | ||||||
| 1.88%, 01/31/2024 |
300,000 | 353,814 | ||||||
| Volkswagen Group of America Finance LLC |
||||||||
| 2.67% (3 Month LIBOR USD + 0.77%), 11/13/2020(1)(2) |
$ | 8,300,000 | 8,333,457 | |||||
| 2.50%, 09/24/2021(2) |
2,350,000 | 2,369,933 | ||||||
| 2.79% (3 Month LIBOR USD + 0.86%), 09/24/2021(1)(2) |
4,300,000 | 4,330,080 | ||||||
| 2.84% (3 Month LIBOR USD + 0.94%), 11/12/2021(1)(2) |
8,300,000 | 8,372,284 | ||||||
| 4.00%, 11/12/2021(2) |
8,800,000 | 9,099,200 | ||||||
| 2.70%, 09/26/2022(2) |
6,040,000 | 6,105,786 | ||||||
| 2.85%, 09/26/2024(2) |
2,640,000 | 2,679,478 | ||||||
| 4.63%, 11/13/2025(2) |
6,525,000 | 7,216,937 | ||||||
| 3.20%, 09/26/2026(2) |
2,970,000 | 3,042,662 | ||||||
| Volkswagen Leasing GmbH |
||||||||
| 0.03% (3 Month EURIBOR + 0.45%), 07/06/2021(1)(5) |
EUR | 400,000 | 448,779 | |||||
| 1.63%, 08/15/2025 |
3,095,000 | 3,625,074 | ||||||
| Walgreens Boots Alliance, Inc. |
||||||||
| 3.80%, 11/18/2024 |
$ | 2,550,000 | 2,650,745 | |||||
| 4.80%, 11/18/2044 |
926,000 | 935,973 | ||||||
| WestJet Airlines Ltd. |
||||||||
| 3.50%, 06/16/2021(2) |
3,873,000 | 3,934,386 | ||||||
| Wyndham Destinations, Inc. |
||||||||
| 4.25%, 03/01/2022 |
40,000 | 40,800 | ||||||
| 3.90%, 03/01/2023 |
1,170,000 | 1,181,700 | ||||||
| 5.40%, 04/01/2024 |
72,000 | 76,230 | ||||||
| 6.35%, 10/01/2025 |
1,120,000 | 1,246,000 | ||||||
| 5.75%, 04/01/2027 |
6,035,000 | 6,547,975 | ||||||
| ZF North America Capital, Inc. |
||||||||
| 4.00%, 04/29/2020(2) |
1,910,000 | 1,919,060 | ||||||
| 4.50%, 04/29/2022(2) |
1,050,000 | 1,082,019 | ||||||
| 4.75%, 04/29/2025(2) |
3,190,000 | 3,353,230 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
577,691,422 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 5.23% |
||||||||
| AA Bond Co. Ltd. |
||||||||
| 4.25%, 07/31/2020 |
GBP | 10,080,000 | 13,537,613 | |||||
| 2.88%, 01/31/2022 |
5,547,000 | 7,290,260 | ||||||
| AbbVie, Inc. |
||||||||
| 2.85%, 05/14/2023 |
$ | 1,000,000 | 1,019,355 | |||||
| 3.60%, 05/14/2025 |
7,845,000 | 8,273,757 | ||||||
| 2.95%, 11/21/2026(2) |
2,815,000 | 2,857,096 | ||||||
| 4.50%, 05/14/2035 |
715,000 | 809,150 | ||||||
| 4.05%, 11/21/2039(2) |
4,435,000 | 4,686,949 | ||||||
| 4.40%, 11/06/2042 |
3,994,000 | 4,310,194 | ||||||
| 4.70%, 05/14/2045 |
5,020,000 | 5,616,883 | ||||||
| 4.45%, 05/14/2046 |
1,950,000 | 2,082,475 | ||||||
| 4.88%, 11/14/2048 |
12,355,000 | 14,148,142 | ||||||
| 4.25%, 11/21/2049(2) |
16,290,000 | 17,144,301 | ||||||
| Aetna, Inc. |
||||||||
| 2.80%, 06/15/2023 |
3,388,000 | 3,440,829 | ||||||
| 3.50%, 11/15/2024 |
3,370,000 | 3,525,016 | ||||||
| Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC |
||||||||
| 5.75%, 03/15/2025 |
2,320,000 | 2,401,200 | ||||||
| 7.50%, 03/15/2026(2) |
1,640,000 | 1,840,900 | ||||||
| Allergan Finance LLC |
||||||||
| 3.25%, 10/01/2022 |
9,250,000 | 9,449,833 | ||||||
| Allergan Funding SCS |
||||||||
| 3.45%, 03/15/2022 |
380,000 | 388,573 | ||||||
| 3.80%, 03/15/2025 |
3,618,000 | 3,798,621 | ||||||
| 2.63%, 11/15/2028 |
EUR | 1,510,000 | 1,947,219 | |||||
| Allergan Sales LLC |
||||||||
| 5.00%, 12/15/2021(2) |
$ | 3,000,000 | 3,136,954 | |||||
| Altria Group, Inc. |
||||||||
| 4.80%, 02/14/2029 |
1,390,000 | 1,547,370 | ||||||
| 5.80%, 02/14/2039 |
11,870,000 | 13,935,585 | ||||||
| 5.95%, 02/14/2049 |
400,000 | 483,620 | ||||||
| Amgen, Inc. |
||||||||
| 2.60%, 08/19/2026 |
3,200,000 | 3,235,484 | ||||||
| 4.40%, 05/01/2045 |
3,441,000 | 3,862,727 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. |
||||||||
| 4.90%, 02/01/2046 |
5,620,000 | 6,646,427 | ||||||
| 5.55%, 01/23/2049 |
20,215,000 | 26,186,657 | ||||||
| Anthem, Inc. |
||||||||
| 2.50%, 11/21/2020 |
15,420,000 | 15,487,783 | ||||||
| 3.65%, 12/01/2027 |
2,580,000 | 2,728,941 | ||||||
| 4.65%, 01/15/2043 |
4,400,000 | 4,950,873 | ||||||
| 4.38%, 12/01/2047 |
1,000,000 | 1,100,704 | ||||||
| Ascension Health |
||||||||
| 3.95%, 11/15/2046 |
825,000 | 913,332 | ||||||
| Ashtead Capital, Inc. |
||||||||
| 5.25%, 08/01/2026(2) |
4,585,000 | 4,905,950 | ||||||
| Avon International Capital Plc |
||||||||
| 6.50%, 08/15/2022(2) |
184,000 | 190,900 | ||||||
| B&G Foods, Inc. |
||||||||
| 5.25%, 09/15/2027 |
1,390,000 | 1,403,900 | ||||||
| Bacardi Ltd. |
||||||||
| 4.70%, 05/15/2028(2) |
2,047,000 | 2,228,703 | ||||||
| 5.30%, 05/15/2048(2) |
2,730,000 | 3,162,713 | ||||||
| BAT Capital Corp. |
||||||||
| 2.76%, 08/15/2022 |
3,124,000 | 3,168,491 | ||||||
| 3.56%, 08/15/2027 |
7,240,000 | 7,383,322 | ||||||
| 4.54%, 08/15/2047 |
10,555,000 | 10,584,423 | ||||||
| BAT International Finance Plc |
||||||||
| 3.25%, 06/07/2022(2) |
2,978,000 | 3,042,630 | ||||||
| 3.50%, 06/15/2022(2) |
326,000 | 334,795 | ||||||
| Bausch Health Americas, Inc. |
||||||||
| 8.50%, 01/31/2027(2) |
2,670,000 | 3,040,596 | ||||||
| Bausch Health Cos, Inc. |
||||||||
| 7.00%, 03/15/2024(2) |
900,000 | 936,000 | ||||||
| 5.75%, 08/15/2027(2) |
1,080,000 | 1,171,800 | ||||||
| Baxalta, Inc. |
||||||||
| 4.00%, 06/23/2025 |
1,438,000 | 1,548,061 | ||||||
| Bayer US Finance II LLC |
||||||||
| 2.58% (3 Month LIBOR USD + 0.63%), 06/25/2021(1)(2) |
1,500,000 | 1,504,733 | ||||||
| 3.50%, 06/25/2021(2) |
800,000 | 814,414 | ||||||
| 2.75%, 07/15/2021(2) |
5,312,000 | 5,342,558 | ||||||
| 3.88%, 12/15/2023(2) |
7,420,000 | 7,783,559 | ||||||
| 4.38%, 12/15/2028(2) |
11,120,000 | 12,122,709 | ||||||
| 4.40%, 07/15/2044(2) |
4,200,000 | 4,245,023 | ||||||
| 4.88%, 06/25/2048(2) |
10,215,000 | 11,676,758 | ||||||
| Bayer US Finance LLC |
||||||||
| 3.00%, 10/08/2021(2) |
900,000 | 911,306 |
| 3.38%, 10/08/2024(2) |
5,000,000 | 5,149,452 | ||||||
| BCPE Cycle Merger Sub II, Inc. |
||||||||
| 10.63%, 07/15/2027(2) |
558,000 | 571,950 | ||||||
| Becton Dickinson & Co. |
||||||||
| 3.25%, 11/12/2020 |
2,100,000 | 2,119,566 | ||||||
| 2.89%, 06/06/2022 |
6,000,000 | 6,097,137 | ||||||
| 3.36%, 06/06/2024 |
5,185,000 | 5,397,837 | ||||||
| 3.73%, 12/15/2024 |
2,152,000 | 2,279,453 | ||||||
| 3.70%, 06/06/2027 |
13,027,000 | 13,867,885 | ||||||
| 7.00%, 08/01/2027 |
361,000 | 443,957 | ||||||
| 4.67%, 06/06/2047 |
3,490,000 | 4,148,036 | ||||||
| Becton Dickinson Euro Finance Sarl |
||||||||
| 1.21%, 06/04/2026 |
EUR | 1,960,000 | 2,251,185 | |||||
| Biogen, Inc. |
||||||||
| 2.90%, 09/15/2020 |
$ | 4,000,000 | 4,029,314 | |||||
| 5.20%, 09/15/2045 |
1,175,000 | 1,415,098 | ||||||
| Boston Scientific Corp. |
||||||||
| 3.38%, 05/15/2022 |
600,000 | 619,323 | ||||||
| BRF GmbH |
||||||||
| 4.35%, 09/29/2026 |
673,000 | 694,038 | ||||||
| BRF SA |
||||||||
| 4.88%, 01/24/2030(2) |
4,445,000 | 4,583,951 | ||||||
| 4.88%, 01/24/2030 |
1,410,000 | 1,454,077 | ||||||
| Bristol-Myers Squibb Co. |
||||||||
| 3.55%, 08/15/2022(2) |
975,000 | 1,012,808 | ||||||
| 3.88%, 08/15/2025(2) |
10,861,000 | 11,740,897 | ||||||
| 3.45%, 11/15/2027(2) |
1,600,000 | 1,710,233 | ||||||
| 5.25%, 08/15/2043(2) |
1,940,000 | 2,510,679 | ||||||
| 4.63%, 05/15/2044(2) |
360,000 | 435,205 | ||||||
| Bunge Ltd. Finance Corp. |
||||||||
| 3.75%, 09/25/2027 |
4,565,000 | 4,690,023 | ||||||
| Campbell Soup Co. |
||||||||
| 2.39% (3 Month LIBOR USD + 0.50%), 03/16/2020(1) |
420,000 | 420,125 | ||||||
| 2.52% (3 Month LIBOR USD + 0.63%), 03/15/2021(1) |
1,324,000 | 1,326,782 | ||||||
| 3.30%, 03/15/2021 |
4,380,000 | 4,444,162 | ||||||
| Cardinal Health, Inc. |
||||||||
| 3.75%, 09/15/2025 |
3,935,000 | 4,177,998 | ||||||
| 4.50%, 11/15/2044 |
905,000 | 891,481 | ||||||
| 4.90%, 09/15/2045 |
960,000 | 999,140 | ||||||
| Centene Corp. |
||||||||
| 4.75%, 05/15/2022 |
383,000 | 390,660 | ||||||
| 6.13%, 02/15/2024 |
1,270,000 | 1,317,625 | ||||||
| 5.38%, 06/01/2026(2) |
3,100,000 | 3,289,875 | ||||||
| 4.25%, 12/15/2027(2) |
6,335,000 | 6,517,131 | ||||||
| 4.63%, 12/15/2029(2) |
6,455,000 | 6,802,602 | ||||||
| China Merchants Finance Co. Ltd. |
||||||||
| 3.50%, 08/03/2020 |
700,000 | 703,136 | ||||||
| CHS/Community Health Systems, Inc. |
||||||||
| 5.13%, 08/01/2021 |
9,975,000 | 9,975,000 | ||||||
| 6.25%, 03/31/2023 |
21,661,000 | 21,985,915 | ||||||
| 8.63%, 01/15/2024(2) |
8,720,000 | 9,243,200 | ||||||
| 8.00%, 03/15/2026(2) |
5,303,000 | 5,462,090 | ||||||
| Cigna Corp. |
||||||||
| 3.20%, 09/17/2020 |
11,060,000 | 11,145,815 | ||||||
| 3.05%, 11/30/2022(2) |
800,000 | 817,302 | ||||||
| 4.13%, 11/15/2025 |
2,105,000 | 2,282,017 | ||||||
| 4.50%, 02/25/2026(2) |
8,930,000 | 9,789,592 | ||||||
| 3.40%, 03/01/2027(2) |
4,370,000 | 4,536,786 | ||||||
| 3.05%, 10/15/2027(2) |
4,115,000 | 4,168,299 | ||||||
| 4.38%, 10/15/2028 |
13,715,000 | 15,175,236 |
| 4.80%, 08/15/2038 |
3,350,000 | 3,898,289 | ||||||
| 4.90%, 12/15/2048 |
10,060,000 | 11,979,552 | ||||||
| Cintas Corp. No 2 |
||||||||
| 4.30%, 06/01/2021 |
165,000 | 170,327 | ||||||
| Coca-Cola Co. |
||||||||
| 3.15%, 11/15/2020 |
2,949,000 | 2,983,798 | ||||||
| CVS Health Corp. |
||||||||
| 4.75%, 12/01/2022(2) |
56,000 | 59,741 | ||||||
| 3.70%, 03/09/2023 |
900,000 | 936,922 | ||||||
| 4.10%, 03/25/2025 |
8,335,000 | 8,940,470 | ||||||
| 3.25%, 08/15/2029 |
2,370,000 | 2,405,281 | ||||||
| 5.13%, 07/20/2045 |
3,735,000 | 4,418,415 | ||||||
| 5.05%, 03/25/2048 |
33,015,000 | 39,006,599 | ||||||
| CVS Pass-Through Trust |
||||||||
| 6.04%, 12/10/2028 |
1,378,293 | 1,538,380 | ||||||
| 5.77%, 01/10/2033 |
2,431,386 | 2,739,279 | ||||||
| 5.77%, 01/10/2033(2) |
66,210 | 74,595 | ||||||
| CVS Pass-Through Trust Series 2014 |
||||||||
| 4.16%, 08/11/2036(2) |
10,679,706 | 10,907,357 | ||||||
| Danone SA |
||||||||
| 2.08%, 11/02/2021(2) |
1,949,000 | 1,950,487 | ||||||
| 3.00%, 06/15/2022(2) |
11,845,000 | 12,105,633 | ||||||
| DP World Crescent Ltd. |
||||||||
| 4.85%, 09/26/2028 |
350,000 | 383,687 | ||||||
| DP World Plc |
||||||||
| 2.38%, 09/25/2026(2) |
EUR | 400,000 | 482,054 | |||||
| 4.25%, 09/25/2030(2) |
GBP | 200,000 | 294,479 | |||||
| Eagle Holding Co. II LLC |
||||||||
| 7.75%, 05/15/2022(2)(6) |
$ | 182,000 | 184,799 | |||||
| Elanco Animal Health, Inc. |
||||||||
| 4.27%, 08/28/2023 |
2,840,000 | 2,998,092 | ||||||
| 4.90%, 08/28/2028 |
4,195,000 | 4,559,459 | ||||||
| Encompass Health Corp. |
||||||||
| 4.75%, 02/01/2030 |
2,977,000 | 3,088,637 | ||||||
| Equifax, Inc. |
||||||||
| 3.60%, 08/15/2021 |
4,485,000 | 4,587,541 | ||||||
| ERAC USA Finance LLC |
||||||||
| 2.60%, 12/01/2021(2) |
1,180,000 | 1,188,771 | ||||||
| 3.80%, 11/01/2025(2) |
4,605,000 | 4,863,121 | ||||||
| Fresenius Medical Care US Finance II, Inc. |
||||||||
| 4.13%, 10/15/2020(2) |
114,000 | 115,131 | ||||||
| Fresenius Medical Care US Finance, Inc. |
||||||||
| 5.75%, 02/15/2021(2) |
570,000 | 591,172 | ||||||
| G4S International Finance Plc |
||||||||
| 1.50%, 01/09/2023 |
EUR | 100,000 | 114,474 | |||||
| General Mills, Inc. |
||||||||
| 3.20%, 04/16/2021 |
$ | 1,645,000 | 1,674,285 | |||||
| George Washington University |
||||||||
| 3.55%, 09/15/2046 |
740,000 | 761,197 | ||||||
| Gilead Sciences, Inc. |
||||||||
| 4.60%, 09/01/2035 |
3,961,000 | 4,719,992 | ||||||
| 4.75%, 03/01/2046 |
375,000 | 449,640 | ||||||
| GlaxoSmithKline Capital Plc |
||||||||
| 3.13%, 05/14/2021 |
8,775,000 | 8,924,802 | ||||||
| Global Payments, Inc. |
||||||||
| 2.65%, 02/15/2025 |
319,000 | 320,140 | ||||||
| Greene King Finance Plc |
||||||||
| 1.75% (3 Month LIBOR GBP + 0.95%), 06/15/2031(1) |
GBP | 570,108 | 730,875 | |||||
| 5.11%, 03/15/2034 |
450,000 | 706,580 | ||||||
| 4.06%, 03/15/2035 |
3,808,485 | 5,601,078 |
| HCA, Inc. |
||||||||
| 7.50%, 02/15/2022 |
$ | 4,400,000 | 4,862,000 | |||||
| 5.88%, 05/01/2023 |
844,000 | 932,755 | ||||||
| 5.00%, 03/15/2024 |
1,016,000 | 1,109,778 | ||||||
| 5.25%, 04/15/2025 |
10,979,000 | 12,272,623 | ||||||
| 5.25%, 06/15/2026 |
3,755,000 | 4,202,981 | ||||||
| 4.50%, 02/15/2027 |
12,510,000 | 13,478,120 | ||||||
| 5.88%, 02/01/2029 |
980,000 | 1,133,125 | ||||||
| 7.50%, 11/06/2033 |
1,035,000 | 1,304,100 | ||||||
| 5.13%, 06/15/2039 |
3,000,000 | 3,310,857 | ||||||
| 5.25%, 06/15/2049 |
16,205,000 | 18,063,055 | ||||||
| Hill-Rom Holdings, Inc. |
||||||||
| 4.38%, 09/15/2027(2) |
835,000 | 859,006 | ||||||
| Hologic, Inc. |
||||||||
| 4.63%, 02/01/2028(2) |
3,215,000 | 3,407,900 | ||||||
| Humana, Inc. |
||||||||
| 3.15%, 12/01/2022 |
3,503,000 | 3,593,283 | ||||||
| 3.85%, 10/01/2024 |
6,639,000 | 7,052,081 | ||||||
| 4.95%, 10/01/2044 |
670,000 | 789,299 | ||||||
| 3.95%, 08/15/2049 |
2,725,000 | 2,846,360 | ||||||
| IHS Markit Ltd. |
||||||||
| 5.00%, 11/01/2022(2) |
5,186,000 | 5,525,371 | ||||||
| 4.75%, 02/15/2025(2) |
3,900,000 | 4,260,438 | ||||||
| 4.00%, 03/01/2026(2) |
500,000 | 527,230 | ||||||
| 4.75%, 08/01/2028 |
3,425,000 | 3,814,645 | ||||||
| Imperial Brands Finance Plc |
||||||||
| 3.75%, 07/21/2022(2) |
3,710,000 | 3,818,224 | ||||||
| Japan Tobacco, Inc. |
||||||||
| 2.00%, 04/13/2021 |
5,230,000 | 5,218,259 | ||||||
| JBS USA LUX SA / JBS USA Finance, Inc. |
||||||||
| 5.75%, 06/15/2025(2) |
3,530,000 | 3,653,550 | ||||||
| 6.75%, 02/15/2028(2) |
2,130,000 | 2,353,671 | ||||||
| JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |
||||||||
| 6.50%, 04/15/2029(2) |
735,000 | 816,791 | ||||||
| 5.50%, 01/15/2030(2) |
5,130,000 | 5,510,133 | ||||||
| Keurig Dr Pepper, Inc. |
||||||||
| 3.55%, 05/25/2021 |
9,364,000 | 9,561,887 | ||||||
| 3.20%, 11/15/2021 |
500,000 | 507,884 | ||||||
| Kraft Heinz Foods Co. |
||||||||
| 2.80%, 07/02/2020 |
132,000 | 132,209 | ||||||
| 2.47% (3 Month LIBOR USD + 0.57%), 02/10/2021(1) |
450,000 | 450,640 | ||||||
| 3.38%, 06/15/2021 |
10,130,000 | 10,307,970 | ||||||
| 4.88%, 02/15/2025(2) |
1,503,000 | 1,544,254 | ||||||
| 5.00%, 06/04/2042 |
6,486,000 | 6,913,416 | ||||||
| 5.20%, 07/15/2045 |
3,390,000 | 3,671,421 | ||||||
| 4.38%, 06/01/2046 |
10,326,000 | 10,149,461 | ||||||
| 4.88%, 10/01/2049(2) |
11,935,000 | 12,559,797 | ||||||
| Kroger Co. |
||||||||
| 5.40%, 01/15/2049 |
4,661,000 | 5,677,139 | ||||||
| Molina Healthcare, Inc. |
||||||||
| 5.38%, 11/15/2022 |
1,913,000 | 2,033,481 | ||||||
| Mondelez International Holdings Netherlands BV |
||||||||
| 2.00%, 10/28/2021(2) |
3,420,000 | 3,419,405 | ||||||
| Mylan NV |
||||||||
| 5.25%, 06/15/2046 |
4,800,000 | 5,383,850 | ||||||
| Mylan, Inc. |
||||||||
| 5.40%, 11/29/2043 |
1,290,000 | 1,426,068 | ||||||
| 5.20%, 04/15/2048 |
1,145,000 | 1,278,289 | ||||||
| NBM US Holdings, Inc. |
||||||||
| 7.00%, 05/14/2026(2) |
4,955,000 | 5,366,315 |
| New York & Presbyterian Hospital |
||||||||
| 3.56%, 08/01/2036 |
2,630,000 | 2,686,372 | ||||||
| NYU Langone Hospitals |
||||||||
| 4.43%, 07/01/2042 |
2,000,000 | 2,247,816 | ||||||
| Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA |
||||||||
| 6.63%, 05/15/2022(2) |
3,484,000 | 3,462,225 | ||||||
| Par Pharmaceutical, Inc. |
||||||||
| 7.50%, 04/01/2027(2) |
981,000 | 976,095 | ||||||
| Pernod Ricard SA |
||||||||
| 4.45%, 01/15/2022(2) |
2,700,000 | 2,823,551 | ||||||
| 4.25%, 07/15/2022(2) |
1,600,000 | 1,682,891 | ||||||
| Perrigo Finance Unlimited Co. |
||||||||
| 3.90%, 12/15/2024 |
1,980,000 | 2,033,365 | ||||||
| 4.38%, 03/15/2026 |
5,490,000 | 5,662,657 | ||||||
| Pfizer, Inc. |
||||||||
| 4.40%, 05/15/2044 |
430,000 | 512,028 | ||||||
| Post Holdings, Inc. |
||||||||
| 5.50%, 12/15/2029(2) |
561,000 | 598,194 | ||||||
| Providence St Joseph Health Obligated Group |
||||||||
| 2.75%, 10/01/2026 |
1,968,000 | 1,985,177 | ||||||
| Reckitt Benckiser Treasury Services Plc |
||||||||
| 2.38%, 06/24/2022(2) |
6,030,000 | 6,072,014 | ||||||
| Refinitiv US Holdings, Inc. |
||||||||
| 4.50%, 05/15/2026 |
EUR | 1,200,000 | 1,464,828 | |||||
| RELX Capital, Inc. |
||||||||
| 3.50%, 03/16/2023 |
$ | 1,153,000 | 1,198,188 | |||||
| Reynolds American, Inc. |
||||||||
| 6.88%, 05/01/2020 |
1,000,000 | 1,015,979 | ||||||
| 3.25%, 06/12/2020 |
750,000 | 753,411 | ||||||
| 4.00%, 06/12/2022 |
900,000 | 936,398 | ||||||
| 3.25%, 11/01/2022 |
1,215,000 | 1,239,053 | ||||||
| 4.45%, 06/12/2025 |
10,905,000 | 11,732,092 | ||||||
| 5.85%, 08/15/2045 |
9,235,000 | 10,571,269 | ||||||
| Shire Acquisitions Investments Ireland DAC |
||||||||
| 2.40%, 09/23/2021 |
773,000 | 777,194 | ||||||
| Sigma Alimentos SA de CV |
||||||||
| 4.13%, 05/02/2026 |
3,300,000 | 3,452,658 | ||||||
| Sigma Finance Netherlands BV |
||||||||
| 4.88%, 03/27/2028 |
2,500,000 | 2,696,900 | ||||||
| Smithfield Foods, Inc. |
||||||||
| 4.25%, 02/01/2027(2) |
1,290,000 | 1,325,637 | ||||||
| Spectrum Brands, Inc. |
||||||||
| 6.13%, 12/15/2024 |
500,000 | 516,250 | ||||||
| 5.75%, 07/15/2025 |
2,142,000 | 2,235,755 | ||||||
| Suntory Holdings Ltd. |
||||||||
| 2.55%, 06/28/2022(2) |
810,000 | 814,033 | ||||||
| Takeda Pharmaceutical Co. Ltd. |
||||||||
| 4.00%, 11/26/2021 |
9,350,000 | 9,666,541 | ||||||
| Teleflex, Inc. |
||||||||
| 4.63%, 11/15/2027 |
2,272,000 | 2,407,888 | ||||||
| Tenet Healthcare Corp. |
||||||||
| 4.63%, 07/15/2024 |
820,000 | 839,475 | ||||||
| 4.63%, 09/01/2024(2) |
153,000 | 159,518 | ||||||
| 4.88%, 01/01/2026(2) |
417,000 | 436,766 | ||||||
| 5.13%, 11/01/2027(2) |
2,177,000 | 2,299,456 | ||||||
| Teva Pharmaceutical Finance Co. BV |
||||||||
| 2.95%, 12/18/2022 |
1,350,000 | 1,289,250 | ||||||
| Teva Pharmaceutical Finance Netherlands II BV |
||||||||
| 0.38%, 07/25/2020 |
EUR | 5,215,197 | 5,828,335 | |||||
| 3.25%, 04/15/2022 |
1,300,000 | 1,472,209 |
| 1.25%, 03/31/2023 |
300,000 | 312,786 | ||||||
| Teva Pharmaceutical Finance Netherlands III BV |
||||||||
| 2.20%, 07/21/2021 |
$ | 11,174,000 | 10,821,460 | |||||
| 2.80%, 07/21/2023 |
9,720,000 | 9,015,300 | ||||||
| 3.15%, 10/01/2026 |
5,355,000 | 4,458,037 | ||||||
| Thermo Fisher Scientific, Inc. |
||||||||
| 0.13%, 03/01/2025 |
EUR | 1,290,000 | 1,432,132 | |||||
| 0.50%, 03/01/2028 |
1,190,000 | 1,318,212 | ||||||
| Transurban Finance Co. Pty Ltd. |
||||||||
| 3.38%, 03/22/2027(2) |
$ | 2,635,000 | 2,659,321 | |||||
| Unilever Capital Corp. |
||||||||
| 3.00%, 03/07/2022 |
5,625,000 | 5,759,137 | ||||||
| UnitedHealth Group, Inc. |
||||||||
| 3.85%, 06/15/2028 |
1,125,000 | 1,239,742 | ||||||
| 3.50%, 08/15/2039 |
1,430,000 | 1,497,817 | ||||||
| 4.75%, 07/15/2045 |
1,712,000 | 2,101,943 | ||||||
| 4.20%, 01/15/2047 |
1,288,000 | 1,480,632 | ||||||
| 4.45%, 12/15/2048 |
3,875,000 | 4,619,887 | ||||||
| Universal Health Services, Inc. |
||||||||
| 4.75%, 08/01/2022(2) |
7,595,000 | 7,670,950 | ||||||
| 5.00%, 06/01/2026(2) |
7,497,000 | 7,862,479 | ||||||
| Verisk Analytics, Inc. |
||||||||
| 4.13%, 03/15/2029 |
3,835,000 | 4,206,059 | ||||||
| Zimmer Biomet Holdings, Inc. |
||||||||
| 2.70%, 04/01/2020 |
2,125,000 | 2,126,378 | ||||||
| 2.65% (3 Month LIBOR USD + 0.75%), 03/19/2021(1) |
970,000 | 970,095 | ||||||
| 3.15%, 04/01/2022 |
640,000 | 653,183 | ||||||
| 3.70%, 03/19/2023 |
3,145,000 | 3,275,981 | ||||||
| Zoetis, Inc. |
||||||||
| 3.45%, 11/13/2020 |
600,000 | 606,445 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
999,885,936 | |||||||
|
|
|
|||||||
| Diversified – 0.05% |
||||||||
| CVS Pass-Through Trust |
||||||||
| 4.70%, 01/10/2036(2) |
4,353,719 | 4,627,061 | ||||||
| Hutchison Whampoa International 14 Ltd. |
||||||||
| 3.63%, 10/31/2024 |
4,700,000 | 4,916,487 | ||||||
|
|
|
|||||||
| Total Diversified |
9,543,548 | |||||||
|
|
|
|||||||
| Energy – 3.45% |
||||||||
| Aker BP ASA |
||||||||
| 5.88%, 03/31/2025(2) |
4,870,000 | 5,174,375 | ||||||
| Antero Resources Corp. |
||||||||
| 5.13%, 12/01/2022 |
1,893,000 | 1,689,502 | ||||||
| 5.63%, 06/01/2023 |
1,250,000 | 1,003,125 | ||||||
| 5.00%, 03/01/2025 |
5,461,000 | 4,095,750 | ||||||
| APT Pipelines Ltd. |
||||||||
| 3.88%, 10/11/2022(2) |
1,360,000 | 1,412,545 | ||||||
| 4.25%, 07/15/2027(2) |
11,420,000 | 12,264,196 | ||||||
| BG Energy Capital Plc |
||||||||
| 4.00%, 10/15/2021(2) |
1,100,000 | 1,135,948 | ||||||
| Boardwalk Pipelines LP |
||||||||
| 3.38%, 02/01/2023 |
330,000 | 336,516 | ||||||
| 5.95%, 06/01/2026 |
8,415,000 | 9,453,919 | ||||||
| BP Capital Markets America, Inc. |
||||||||
| 4.74%, 03/11/2021 |
3,025,000 | 3,125,440 | ||||||
| 2.11%, 09/16/2021 |
5,210,000 | 5,233,696 | ||||||
| Cameron LNG LLC |
||||||||
| 2.90%, 07/15/2031(2) |
1,630,000 | 1,631,024 | ||||||
| 3.30%, 01/15/2035(2) |
1,785,000 | 1,798,904 | ||||||
| 3.70%, 01/15/2039(2) |
1,330,000 | 1,355,630 | ||||||
| Canadian Natural Resources Ltd. |
||||||||
| 3.45%, 11/15/2021 |
1,320,000 | 1,352,623 | ||||||
| 3.85%, 06/01/2027 |
890,000 | 948,425 | ||||||
| 6.25%, 03/15/2038 |
1,345,000 | 1,746,380 | ||||||
| Cenovus Energy, Inc. |
||||||||
| 3.80%, 09/15/2023 |
1,955,000 | 2,021,471 | ||||||
| 5.40%, 06/15/2047 |
2,140,000 | 2,493,229 | ||||||
| Centennial Resource Production LLC |
||||||||
| 5.38%, 01/15/2026(2) |
538,000 | 528,585 | ||||||
| Cheniere Corpus Christi Holdings LLC |
||||||||
| 5.13%, 06/30/2027 |
1,300,000 | 1,436,734 | ||||||
| 3.70%, 11/15/2029(2) |
15,535,000 | 15,842,316 | ||||||
| Cheniere Energy Partners LP |
||||||||
| 4.50%, 10/01/2029(2) |
1,905,000 | 1,957,578 | ||||||
| Chevron Corp. |
||||||||
| 2.43%, 06/24/2020 |
1,545,000 | 1,548,332 | ||||||
| 2.42%, 11/17/2020 |
1,550,000 | 1,556,816 | ||||||
| China Shenhua Overseas Capital Co. Ltd. |
||||||||
| 3.13%, 01/20/2020 |
5,200,000 | 5,201,352 | ||||||
| Continental Resources, Inc./OK |
||||||||
| 4.50%, 04/15/2023 |
250,000 | 261,057 | ||||||
| 3.80%, 06/01/2024 |
15,540,000 | 16,060,012 | ||||||
| 4.38%, 01/15/2028 |
1,570,000 | 1,667,542 | ||||||
| DCP Midstream Operating LP |
||||||||
| 8.13%, 08/16/2030 |
205,000 | 251,125 | ||||||
| 6.75%, 09/15/2037(2) |
1,830,000 | 1,921,500 | ||||||
| Diamondback Energy, Inc. |
||||||||
| 2.88%, 12/01/2024 |
4,750,000 | 4,800,989 | ||||||
| 5.38%, 05/31/2025 |
7,025,000 | 7,375,091 | ||||||
| 3.25%, 12/01/2026 |
4,940,000 | 4,994,624 | ||||||
| 3.50%, 12/01/2029 |
17,645,000 | 17,955,552 | ||||||
| Ecopetrol SA |
||||||||
| 4.13%, 01/16/2025 |
8,800,000 | 9,240,088 | ||||||
| Enable Oklahoma Intrastate Transmission LLC |
||||||||
| 6.25%, 03/15/2020(2) |
3,235,000 | 3,258,369 | ||||||
| Energy Transfer Operating LP |
||||||||
| 4.15%, 10/01/2020 |
1,504,000 | 1,519,982 | ||||||
| 4.65%, 06/01/2021 |
860,000 | 885,932 | ||||||
| 5.88%, 01/15/2024 |
4,196,000 | 4,642,177 | ||||||
| 4.50%, 04/15/2024 |
985,000 | 1,047,839 | ||||||
| 4.05%, 03/15/2025 |
4,555,000 | 4,784,543 | ||||||
| 4.75%, 01/15/2026 |
4,720,000 | 5,106,372 | ||||||
| 5.50%, 06/01/2027 |
5,105,000 | 5,733,203 | ||||||
| 4.95%, 06/15/2028 |
1,460,000 | 1,597,956 | ||||||
| 5.25%, 04/15/2029 |
2,155,000 | 2,418,451 | ||||||
| 6.50%, 02/01/2042 |
1,000,000 | 1,186,812 | ||||||
| 5.15%, 03/15/2045 |
700,000 | 735,024 | ||||||
| 6.00%, 06/15/2048 |
3,990,000 | 4,642,975 | ||||||
| 6.25%, 04/15/2049 |
4,815,000 | 5,794,849 | ||||||
| Energy Transfer Partners LP |
||||||||
| 5.88%, 03/01/2022 |
1,521,000 | 1,613,742 | ||||||
| 5.00%, 10/01/2022 |
1,600,000 | 1,696,403 | ||||||
| ENI SpA |
||||||||
| 4.75%, 09/12/2028(2) |
4,075,000 | 4,607,767 | ||||||
| EnLink Midstream Partners LP |
||||||||
| 4.15%, 06/01/2025 |
5,600,000 | 5,264,000 | ||||||
| 5.60%, 04/01/2044 |
7,983,000 | 6,466,230 | ||||||
| 5.05%, 04/01/2045 |
3,141,000 | 2,481,390 | ||||||
| 5.45%, 06/01/2047 |
6,940,000 | 5,604,050 |
| EQM Midstream Partners LP |
||||||||
| 5.50%, 07/15/2028 |
14,782,000 | 14,512,345 | ||||||
| EQT Corp. |
||||||||
| 3.90%, 10/01/2027 |
2,023,000 | 1,892,181 | ||||||
| Gazprom Neft OAO Via GPN Capital SA |
||||||||
| 4.38%, 09/19/2022 |
3,400,000 | 3,536,666 | ||||||
| Gazprom OAO Via Gaz Capital SA |
||||||||
| 6.51%, 03/07/2022 |
4,045,000 | 4,388,825 | ||||||
| 4.95%, 07/19/2022 |
3,000,000 | 3,172,590 | ||||||
| Gulfport Energy Corp. |
||||||||
| 6.38%, 05/15/2025 |
215,000 | 136,525 | ||||||
| Hess Corp. |
||||||||
| 4.30%, 04/01/2027 |
4,305,000 | 4,590,711 | ||||||
| 5.60%, 02/15/2041 |
4,660,000 | 5,444,071 | ||||||
| KazMunayGas National Co. JSC |
||||||||
| 4.75%, 04/19/2027 |
4,600,000 | 5,050,800 | ||||||
| 5.38%, 04/24/2030 |
800,000 | 926,160 | ||||||
| Kinder Morgan Energy Partners LP |
||||||||
| 4.25%, 09/01/2024 |
150,000 | 160,623 | ||||||
| Kinder Morgan, Inc./DE |
||||||||
| 4.30%, 06/01/2025 |
14,500,000 | 15,718,691 | ||||||
| 5.30%, 12/01/2034 |
2,450,000 | 2,881,037 | ||||||
| Marathon Oil Corp. |
||||||||
| 2.80%, 11/01/2022 |
2,990,000 | 3,038,804 | ||||||
| Marathon Petroleum Corp. |
||||||||
| 4.75%, 12/15/2023 |
1,580,000 | 1,715,893 | ||||||
| 5.13%, 12/15/2026 |
14,440,000 | 16,341,484 | ||||||
| 3.80%, 04/01/2028 |
2,245,000 | 2,360,388 | ||||||
| Matador Resources Co. |
||||||||
| 5.88%, 09/15/2026 |
1,250,000 | 1,253,125 | ||||||
| MPLX LP |
||||||||
| 5.25%, 01/15/2025(2) |
390,000 | 409,279 | ||||||
| 4.25%, 12/01/2027(2) |
5,655,000 | 5,947,292 | ||||||
| Newfield Exploration Co. |
||||||||
| 5.63%, 07/01/2024 |
6,745,000 | 7,405,826 | ||||||
| NGL Energy Partners LP / NGL Energy Finance Corp. |
||||||||
| 7.50%, 04/15/2026(2) |
1,850,000 | 1,789,875 | ||||||
| Occidental Petroleum Corp. |
||||||||
| 2.90%, 08/15/2024 |
9,630,000 | 9,778,746 | ||||||
| 5.55%, 03/15/2026 |
2,820,000 | 3,200,173 | ||||||
| 3.20%, 08/15/2026 |
685,000 | 693,084 | ||||||
| 4.20%, 03/15/2048 |
4,345,000 | 4,303,121 | ||||||
| 4.40%, 08/15/2049 |
5,859,000 | 6,031,002 | ||||||
| Odebrecht Drilling Norbe VIII/IX Ltd. |
||||||||
| 6.35%, 12/01/2021 |
172,286 | 171,426 | ||||||
| Odebrecht Offshore Drilling Finance Ltd. |
||||||||
| 6.72%, 12/01/2022 |
50,533 | 49,523 | ||||||
| ONEOK Partners LP |
||||||||
| 3.38%, 10/01/2022 |
1,100,000 | 1,131,567 | ||||||
| ONEOK, Inc. |
||||||||
| 4.25%, 02/01/2022 |
470,000 | 487,543 | ||||||
| Pan American Energy LLC/Argentina |
||||||||
| 41.36% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 11/20/2020(1)(14) |
ARS | 94,653,000 | 1,659,658 | |||||
| Parsley Energy LLC / Parsley Finance Corp. |
||||||||
| 5.38%, 01/15/2025(2) |
$ | 300,000 | 309,000 | |||||
| 5.25%, 08/15/2025(2) |
338,000 | 347,295 | ||||||
| Pertamina Persero PT |
||||||||
| 6.00%, 05/03/2042 |
480,000 | 585,111 | ||||||
| Peru LNG Srl |
||||||||
| 5.38%, 03/22/2030 |
8,700,000 | 8,569,587 |
| Petrobras Global Finance BV |
||||||||
| 6.13%, 01/17/2022 |
7,341,000 | 7,834,242 | ||||||
| 6.25%, 12/14/2026 |
GBP | 4,359,000 | 6,844,996 | |||||
| 7.38%, 01/17/2027 |
$ | 9,600,000 | 11,712,000 | |||||
| 5.75%, 02/01/2029 |
11,300,000 | 12,746,400 | ||||||
| 5.09%, 01/15/2030(2) |
5,497,000 | 5,890,090 | ||||||
| 6.90%, 03/19/2049 |
1,445,000 | 1,694,985 | ||||||
| Petroleos de Venezuela SA |
||||||||
| 9.00%, 11/17/2021(7) |
200,000 | 15,500 | ||||||
| 6.00%, 05/16/2024(7) |
2,312,000 | 179,180 | ||||||
| 6.00%, 11/15/2026(7) |
4,600,000 | 356,500 | ||||||
| 5.38%, 04/12/2027(7) |
2,052,000 | 159,030 | ||||||
| 9.75%, 05/17/2035(7) |
830,000 | 64,325 | ||||||
| 5.50%, 04/12/2037(7) |
2,500,000 | 193,750 | ||||||
| Petroleos del Peru SA |
||||||||
| 4.75%, 06/19/2032 |
500,000 | 547,500 | ||||||
| Petroleos Mexicanos |
||||||||
| 6.49%, 01/23/2027(2) |
1,540,000 | 1,637,574 | ||||||
| 6.50%, 03/13/2027 |
1,566,000 | 1,662,654 | ||||||
| 5.35%, 02/12/2028 |
274,000 | 272,630 | ||||||
| 6.50%, 01/23/2029 |
23,077,000 | 24,277,004 | ||||||
| 6.84%, 01/23/2030(2) |
4,280,000 | 4,563,935 | ||||||
| 6.63%, 06/15/2035 |
940,000 | 963,030 | ||||||
| 6.75%, 09/21/2047 |
13,741,000 | 13,766,833 | ||||||
| 7.69%, 01/23/2050(2) |
9,247,000 | 10,091,621 | ||||||
| Plains All American Pipeline LP / PAA Finance Corp. |
||||||||
| 2.85%, 01/31/2023 |
1,265,000 | 1,277,094 | ||||||
| 4.65%, 10/15/2025 |
1,500,000 | 1,605,643 | ||||||
| 4.50%, 12/15/2026 |
1,168,000 | 1,242,772 | ||||||
| 3.55%, 12/15/2029 |
3,825,000 | 3,764,779 | ||||||
| QEP Resources, Inc. |
||||||||
| 5.25%, 05/01/2023 |
3,410,000 | 3,375,900 | ||||||
| Raizen Fuels Finance SA |
||||||||
| 5.30%, 01/20/2027(2) |
560,000 | 610,400 | ||||||
| Range Resources Corp. |
||||||||
| 4.88%, 05/15/2025 |
1,934,000 | 1,653,570 | ||||||
| Rio Oil Finance Trust Series 2014-1 |
||||||||
| 9.25%, 07/06/2024 |
288,397 | 323,008 | ||||||
| Rio Oil Finance Trust Series 2014-3 |
||||||||
| 9.75%, 01/06/2027 |
242,187 | 285,783 | ||||||
| Rio Oil Finance Trust Series 2018-1 |
||||||||
| 8.20%, 04/06/2028(2) |
500,000 | 577,505 | ||||||
| Rockies Express Pipeline LLC |
||||||||
| 5.63%, 04/15/2020(2) |
5,046,000 | 5,099,476 | ||||||
| 4.95%, 07/15/2029(2) |
2,700,000 | 2,688,514 | ||||||
| 6.88%, 04/15/2040(2) |
2,535,000 | 2,642,737 | ||||||
| Ruby Pipeline LLC |
||||||||
| 6.50%, 04/01/2022(2) |
3,674,242 | 3,797,173 | ||||||
| Sabine Pass Liquefaction LLC |
||||||||
| 5.63%, 02/01/2021 |
5,222,000 | 5,366,947 | ||||||
| 6.25%, 03/15/2022 |
2,600,000 | 2,792,509 | ||||||
| 5.75%, 05/15/2024 |
1,000,000 | 1,114,841 | ||||||
| 5.63%, 03/01/2025 |
4,599,000 | 5,175,227 | ||||||
| 5.88%, 06/30/2026 |
2,130,000 | 2,444,058 | ||||||
| 5.00%, 03/15/2027 |
6,115,000 | 6,724,450 | ||||||
| Saudi Arabian Oil Co. |
||||||||
| 3.50%, 04/16/2029(2) |
6,300,000 | 6,522,514 | ||||||
| 4.38%, 04/16/2049(2) |
4,200,000 | 4,578,411 | ||||||
| Seven Generations Energy Ltd. |
||||||||
| 5.38%, 09/30/2025(2) |
12,535,000 | 12,597,675 |
| Shell International Finance BV |
||||||||
| 2.13%, 05/11/2020 |
1,620,000 | 1,620,945 | ||||||
| 4.38%, 05/11/2045 |
1,000,000 | 1,194,204 | ||||||
| Southern Natural Gas Co. LLC |
||||||||
| 4.80%, 03/15/2047(2) |
1,000,000 | 1,136,287 | ||||||
| Sunoco Logistics Partners Operations LP |
||||||||
| 4.00%, 10/01/2027 |
16,730,000 | 17,288,992 | ||||||
| 5.40%, 10/01/2047 |
9,919,000 | 10,755,713 | ||||||
| Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
||||||||
| 6.88%, 01/15/2029(2) |
2,170,000 | 2,408,700 | ||||||
| TC PipeLines LP |
||||||||
| 4.38%, 03/13/2025 |
6,000,000 | 6,383,501 | ||||||
| 3.90%, 05/25/2027 |
3,325,000 | 3,475,708 | ||||||
| Texas Eastern Transmission LP |
||||||||
| 2.80%, 10/15/2022(2) |
6,320,000 | 6,380,048 | ||||||
| Topaz Solar Farms LLC |
||||||||
| 4.88%, 09/30/2039(2) |
505,418 | 524,381 | ||||||
| 5.75%, 09/30/2039(2) |
3,437,859 | 3,797,693 | ||||||
| Transcontinental Gas Pipe Line Co. LLC |
||||||||
| 4.00%, 03/15/2028 |
5,410,000 | 5,749,148 | ||||||
| 4.60%, 03/15/2048 |
1,025,000 | 1,120,664 | ||||||
| TransMontaigne Partners LP / TLP Finance Corp. |
||||||||
| 6.13%, 02/15/2026 |
540,000 | 529,200 | ||||||
| Transocean Phoenix 2 Ltd. |
||||||||
| 7.75%, 10/15/2024(2) |
1,465,800 | 1,553,748 | ||||||
| Transocean Pontus Ltd. |
||||||||
| 6.13%, 08/01/2025(2) |
2,212,540 | 2,267,853 | ||||||
| Transocean Poseidon Ltd. |
||||||||
| 6.88%, 02/01/2027(2) |
2,280,000 | 2,416,800 | ||||||
| Transocean Proteus Ltd. |
||||||||
| 6.25%, 12/01/2024(2) |
541,800 | 558,054 | ||||||
| Transocean Sentry Ltd. |
||||||||
| 5.38%, 05/15/2023(2) |
500,000 | 508,750 | ||||||
| Transocean, Inc. |
||||||||
| 7.25%, 11/01/2025(2) |
100,000 | 98,000 | ||||||
| Valero Energy Partners LP |
||||||||
| 4.50%, 03/15/2028 |
5,370,000 | 5,909,809 | ||||||
| Viper Energy Partners LP |
||||||||
| 5.38%, 11/01/2027(2) |
940,000 | 977,600 | ||||||
| Williams Cos, Inc. |
||||||||
| 3.35%, 08/15/2022 |
1,000,000 | 1,024,110 | ||||||
| 3.70%, 01/15/2023 |
1,728,000 | 1,788,809 | ||||||
| 4.50%, 11/15/2023 |
2,595,000 | 2,777,088 | ||||||
| 4.30%, 03/04/2024 |
175,000 | 186,627 | ||||||
| 4.55%, 06/24/2024 |
6,435,000 | 6,942,059 | ||||||
| 3.90%, 01/15/2025 |
125,000 | 131,516 | ||||||
| 4.00%, 09/15/2025 |
420,000 | 445,232 | ||||||
| 6.30%, 04/15/2040 |
1,323,000 | 1,637,644 | ||||||
| 4.85%, 03/01/2048 |
5,975,000 | 6,522,004 | ||||||
| Woodside Finance Ltd. |
||||||||
| 3.65%, 03/05/2025(2) |
5,610,000 | 5,807,050 | ||||||
| 3.70%, 09/15/2026(2) |
2,885,000 | 3,001,777 | ||||||
| 3.70%, 03/15/2028(2) |
2,659,000 | 2,750,777 | ||||||
| 4.50%, 03/04/2029(2) |
5,229,000 | 5,724,721 | ||||||
| YPF Sociedad Anonima |
||||||||
| 49.56% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 4.00%), 09/24/2020(1)(14) |
ARS | 80,240,000 | 1,305,084 | |||||
|
|
|
|||||||
| Total Energy |
660,385,145 | |||||||
|
|
|
| Financials – 10.20% |
||||||||
| AerCap Ireland Capital DAC |
||||||||
| 3.50%, 01/15/2025 |
$ | 1,817,000 | 1,871,642 | |||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
||||||||
| 4.63%, 10/30/2020 |
1,880,000 | 1,917,515 | ||||||
| 4.50%, 05/15/2021 |
8,325,000 | 8,590,835 | ||||||
| 5.00%, 10/01/2021 |
2,200,000 | 2,306,145 | ||||||
| 3.95%, 02/01/2022 |
15,362,000 | 15,866,931 | ||||||
| 3.50%, 05/26/2022 |
2,440,000 | 2,507,230 | ||||||
| 4.63%, 07/01/2022 |
1,050,000 | 1,109,027 | ||||||
| 4.13%, 07/03/2023 |
8,300,000 | 8,763,113 | ||||||
| 4.88%, 01/16/2024 |
3,800,000 | 4,116,434 | ||||||
| 4.45%, 10/01/2025 |
1,461,000 | 1,569,467 | ||||||
| AIA Group Ltd. |
||||||||
| 3.90%, 04/06/2028(2) |
2,945,000 | 3,143,773 | ||||||
| AIB Group Plc |
||||||||
| 4.75%, 10/12/2023(2) |
2,219,000 | 2,381,967 | ||||||
| 4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(2) |
8,720,000 | 9,229,864 | ||||||
| Air Lease Corp. |
||||||||
| 2.13%, 01/15/2020 |
1,850,000 | 1,849,894 | ||||||
| 2.50%, 03/01/2021 |
648,000 | 650,865 | ||||||
| 3.88%, 04/01/2021 |
2,540,000 | 2,591,614 | ||||||
| 3.50%, 01/15/2022 |
2,120,000 | 2,177,865 | ||||||
| 3.88%, 07/03/2023 |
4,000,000 | 4,211,984 | ||||||
| Aircastle Ltd. |
||||||||
| 7.63%, 04/15/2020 |
580,000 | 588,582 | ||||||
| 5.13%, 03/15/2021 |
1,060,000 | 1,094,872 | ||||||
| 5.00%, 04/01/2023 |
5,090,000 | 5,440,769 | ||||||
| 4.13%, 05/01/2024 |
5,440,000 | 5,711,423 | ||||||
| Alexandria Real Estate Equities, Inc. |
||||||||
| 3.45%, 04/30/2025 |
2,115,000 | 2,220,356 | ||||||
| 4.30%, 01/15/2026 |
5,995,000 | 6,574,844 | ||||||
| 3.95%, 01/15/2027 |
3,440,000 | 3,700,436 | ||||||
| Allied World Assurance Co. Holdings Ltd. |
||||||||
| 4.35%, 10/29/2025 |
2,490,000 | 2,626,479 | ||||||
| Ally Financial, Inc. |
||||||||
| 8.00%, 03/15/2020 |
1,500,000 | 1,513,125 | ||||||
| 4.13%, 03/30/2020 |
700,000 | 702,625 | ||||||
| 7.50%, 09/15/2020 |
100,000 | 103,500 | ||||||
| 4.25%, 04/15/2021 |
568,000 | 580,780 | ||||||
| 4.13%, 02/13/2022 |
105,000 | 108,412 | ||||||
| 4.63%, 05/19/2022 |
100,000 | 104,750 | ||||||
| 5.13%, 09/30/2024 |
400,000 | 441,116 | ||||||
| 4.63%, 03/30/2025 |
16,640,000 | 18,012,800 | ||||||
| 8.00%, 11/01/2031 |
2,663,000 | 3,696,510 | ||||||
| 8.00%, 11/01/2031 |
5,000 | 6,852 | ||||||
| American Campus Communities Operating Partnership LP |
||||||||
| 3.35%, 10/01/2020 |
10,990,000 | 11,080,882 | ||||||
| 3.75%, 04/15/2023 |
2,000,000 | 2,083,037 | ||||||
| 3.30%, 07/15/2026 |
2,950,000 | 3,054,532 | ||||||
| 3.63%, 11/15/2027 |
3,733,000 | 3,933,133 | ||||||
| American Homes 4 Rent LP |
||||||||
| 4.25%, 02/15/2028 |
73,000 | 77,676 | ||||||
| American International Group, Inc. |
||||||||
| 3.90%, 04/01/2026 |
5,715,000 | 6,119,900 | ||||||
| 4.20%, 04/01/2028 |
2,522,000 | 2,772,642 | ||||||
| American Tower Corp. |
||||||||
| 2.80%, 06/01/2020 |
1,500,000 | 1,504,316 | ||||||
| 3.45%, 09/15/2021 |
1,847,000 | 1,888,981 | ||||||
| 5.90%, 11/01/2021 |
2,200,000 | 2,349,367 | ||||||
| 3.50%, 01/31/2023 |
717,000 | 742,915 | ||||||
| 3.00%, 06/15/2023 |
4,166,000 | 4,263,873 |
| Ardonagh Midco 3 Plc |
||||||||
| 8.38%, 07/15/2023 |
GBP | 1,490,000 | 1,970,693 | |||||
| 8.38%, 07/15/2023(2) |
1,200,000 | 1,587,136 | ||||||
| Athene Holding Ltd. |
||||||||
| 4.13%, 01/12/2028 |
$ | 11,630,000 | 12,028,082 | |||||
| Avolon Holdings Funding Ltd. |
||||||||
| 5.50%, 01/15/2023(2) |
4,325,000 | 4,662,696 | ||||||
| 5.13%, 10/01/2023(2) |
14,068,000 | 15,163,616 | ||||||
| 5.25%, 05/15/2024(2) |
2,587,000 | 2,823,917 | ||||||
| 3.95%, 07/01/2024(2) |
1,230,000 | 1,281,783 | ||||||
| 4.38%, 05/01/2026(2) |
3,202,000 | 3,382,273 | ||||||
| AXA Equitable Holdings, Inc. |
||||||||
| 3.90%, 04/20/2023 |
6,474,000 | 6,780,401 | ||||||
| 4.35%, 04/20/2028 |
1,820,000 | 1,974,205 | ||||||
| 5.00%, 04/20/2048 |
30,000 | 32,196 | ||||||
| Banco Bilbao Vizcaya Argentaria SA |
||||||||
| 6.75% (5 Year Swap Rate EUR + 6.60%), 05/18/2168(1) |
EUR | 2,000,000 | 2,259,840 | |||||
| 8.88% (5 Year Swap Rate EUR + 9.18%), 07/14/2168(1)(5) |
1,000,000 | 1,229,551 | ||||||
| Banco de Bogota SA |
||||||||
| 4.38%, 08/03/2027 |
$ | 4,700,000 | 4,976,172 | |||||
| Banco Santander SA |
||||||||
| 3.85%, 04/12/2023 |
200,000 | 208,510 | ||||||
| 5.18%, 11/19/2025 |
2,400,000 | 2,686,495 | ||||||
| Bank of America Corp. |
||||||||
| 2.74% (3 Month LIBOR USD + 0.37%), 01/23/2022(1) |
8,835,000 | 8,900,901 | ||||||
| 3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(1) |
7,500,000 | 7,649,011 | ||||||
| 2.60% (3 Month LIBOR USD + 0.65%), 06/25/2022(1) |
240,000 | 241,309 | ||||||
| 3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(1) |
11,033,000 | 11,298,880 | ||||||
| 3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(1) |
3,800,000 | 3,943,745 | ||||||
| 4.00%, 04/01/2024 |
3,955,000 | 4,234,900 | ||||||
| 4.25%, 10/22/2026 |
17,295,000 | 18,847,427 | ||||||
| 4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(1) |
12,610,000 | 13,998,142 | ||||||
| Bank of Ireland |
||||||||
| 7.38% (5 Year Swap Rate EUR + 6.96%), 06/18/2168(1) |
EUR | 1,700,000 | 1,964,097 | |||||
| Bank of New York Mellon Corp. |
||||||||
| 2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023(1) |
$ | 6,000,000 | 6,089,729 | |||||
| 3.45%, 08/11/2023 |
5,345,000 | 5,615,216 | ||||||
| Barclays Bank Plc |
||||||||
| 5.14%, 10/14/2020 |
665,000 | 678,881 | ||||||
| 7.63%, 11/21/2022 |
200,000 | 224,750 | ||||||
| 7.63%, 11/21/2022 |
13,576,000 | 15,256,030 | ||||||
| Barclays Plc |
||||||||
| 3.20%, 08/10/2021 |
1,500,000 | 1,520,352 | ||||||
| 3.68%, 01/10/2023 |
7,260,000 | 7,442,161 | ||||||
| 3.34% (3 Month LIBOR USD + 1.43%), 02/15/2023(1) |
1,000,000 | 1,008,066 | ||||||
| 4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(1) |
7,045,000 | 7,355,751 | ||||||
| 1.50%, 09/03/2023 |
EUR | 2,300,000 | 2,690,408 | |||||
| 3.28% (3 Month LIBOR USD + 1.38%), 05/16/2024(1) |
$ | 200,000 | 202,284 | |||||
| 4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024(1) |
4,465,000 | 4,704,827 | ||||||
| 3.65%, 03/16/2025 |
700,000 | 728,612 | ||||||
| 3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(1) |
3,815,000 | 4,007,193 | ||||||
| 4.38%, 01/12/2026 |
3,170,000 | 3,424,551 | ||||||
| 3.25%, 02/12/2027 |
GBP | 6,200,000 | 8,745,492 | |||||
| 4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(1) |
$ | 3,700,000 | 4,167,006 | |||||
| 3.25%, 01/17/2033 |
GBP | 600,000 | 833,379 | |||||
| 5.25%, 08/17/2045 |
$ | 412,000 | 500,662 | |||||
| 5.88% (5 Year Swap Rate GBP + 4.91%), 12/15/2167(1) |
GBP | 2,400,000 | 3,314,499 | |||||
| 7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2167(1) |
$ | 4,850,000 | 5,298,625 | |||||
| 7.88% (5 Year Swap Rate GBP + 6.10%), 12/15/2167(1) |
GBP | 1,200,000 | 1,762,380 | |||||
| 8.00% (5 Year Swap Rate EUR + 6.75%), 03/15/2168(1) |
EUR | 11,700,000 | 13,993,348 |
| 7.25% (5 Year Swap Rate GBP + 6.46%), 06/15/2168(1) |
GBP | 14,283,000 | 20,621,995 | |||||
| 7.13% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 09/15/2168(1) |
900,000 | 1,347,118 | ||||||
| BBVA Bancomer SA/Texas |
||||||||
| 4.38%, 04/10/2024(2) |
$ | 2,800,000 | 2,978,528 | |||||
| Berkshire Hathaway Finance Corp. |
||||||||
| 4.40%, 05/15/2042 |
1,000,000 | 1,173,336 | ||||||
| Berkshire Hathaway, Inc. |
||||||||
| 2.20%, 03/15/2021 |
10,840,000 | 10,879,987 | ||||||
| BGC Partners, Inc. |
||||||||
| 5.38%, 07/24/2023 |
380,000 | 406,172 | ||||||
| BNP Paribas SA |
||||||||
| 4.40%, 08/14/2028(2) |
400,000 | 443,937 | ||||||
| BOC Aviation Ltd. |
||||||||
| 3.00%, 03/30/2020(2) |
750,000 | 750,822 | ||||||
| 2.95% (3 Month LIBOR USD + 1.05%), 05/02/2021(1)(2) |
600,000 | 602,455 | ||||||
| 2.75%, 09/18/2022(2) |
300,000 | 301,053 | ||||||
| 3.07% (3 Month LIBOR USD + 1.13%), 09/26/2023(1)(2) |
700,000 | 703,346 | ||||||
| 4.00%, 01/25/2024 |
400,000 | 417,847 | ||||||
| 3.50%, 10/10/2024(2) |
1,900,000 | 1,960,618 | ||||||
| Boston Properties LP |
||||||||
| 3.85%, 02/01/2023 |
3,245,000 | 3,398,494 | ||||||
| 3.20%, 01/15/2025 |
5,555,000 | 5,761,289 | ||||||
| 2.75%, 10/01/2026 |
2,660,000 | 2,695,255 | ||||||
| Brixmor Operating Partnership LP |
||||||||
| 2.96% (3 Month LIBOR USD + 1.05%), 02/01/2022(1) |
4,860,000 | 4,857,028 | ||||||
| 3.65%, 06/15/2024 |
3,624,000 | 3,787,738 | ||||||
| 3.85%, 02/01/2025 |
1,680,000 | 1,763,020 | ||||||
| 4.13%, 06/15/2026 |
2,980,000 | 3,171,982 | ||||||
| 3.90%, 03/15/2027 |
2,553,000 | 2,675,874 | ||||||
| 4.13%, 05/15/2029 |
10,235,000 | 10,981,360 | ||||||
| Brookfield Finance, Inc. |
||||||||
| 3.90%, 01/25/2028 |
76,000 | 81,697 | ||||||
| 4.70%, 09/20/2047 |
482,000 | 552,722 | ||||||
| Capital One Bank USA N.A. |
||||||||
| 3.38%, 02/15/2023 |
7,443,000 | 7,685,438 | ||||||
| Capital One Financial Corp. |
||||||||
| 0.80%, 06/12/2024 |
EUR | 2,940,000 | 3,349,277 | |||||
| 4.25%, 04/30/2025 |
$ | 2,880,000 | 3,132,724 | |||||
| 4.20%, 10/29/2025 |
195,000 | 210,284 | ||||||
| 3.80%, 01/31/2028 |
8,795,000 | 9,445,163 | ||||||
| Carlyle Holdings Finance LLC |
||||||||
| 3.88%, 02/01/2023(2) |
428,000 | 442,052 | ||||||
| CBL & Associates LP |
||||||||
| 5.95%, 12/15/2026 |
708,000 | 424,800 | ||||||
| CBRE Services, Inc. |
||||||||
| 4.88%, 03/01/2026 |
445,000 | 495,645 | ||||||
| CC Holdings GS V LLC / Crown Castle GS III Corp. |
||||||||
| 3.85%, 04/15/2023 |
3,705,000 | 3,881,762 | ||||||
| China Construction Bank New Zealand Ltd |
||||||||
| 2.66% (3 Month LIBOR USD + 0.75%), 12/20/2021(1) |
7,100,000 | 7,115,414 | ||||||
| CIT Bank N.A. |
||||||||
| 2.97% (Secured Overnight Financing Rate + 1.72%), 09/27/2025(1) |
6,240,000 | 6,224,400 | ||||||
| CIT Group, Inc. |
||||||||
| 4.13%, 03/09/2021 |
148,000 | 150,791 | ||||||
| 5.00%, 08/15/2022 |
250,000 | 265,000 | ||||||
| Citigroup, Inc. |
||||||||
| 2.40%, 02/18/2020 |
2,260,000 | 2,260,909 | ||||||
| 2.90%, 12/08/2021 |
4,720,000 | 4,796,478 | ||||||
| 3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(1) |
4,000,000 | 4,081,409 | ||||||
| 2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(1) |
1,290,000 | 1,312,368 |
| 4.13%, 07/25/2028 |
1,675,000 | 1,825,759 | ||||||
| CNO Financial Group, Inc. |
||||||||
| 5.25%, 05/30/2025 |
6,110,000 | 6,766,825 | ||||||
| 5.25%, 05/30/2029 |
3,840,000 | 4,286,400 | ||||||
| Cooperatieve Rabobank UA |
||||||||
| 4.38%, 08/04/2025 |
1,225,000 | 1,328,074 | ||||||
| 5.50% (5 Year Swap Rate EUR + 5.25%), 06/29/2168(1) |
EUR | 4,500,000 | 5,161,222 | |||||
| 6.63% (5 Year Swap Rate EUR + 6.70%), 06/29/2168(1)(5) |
6,000,000 | 7,302,267 | ||||||
| Credit Agricole SA |
||||||||
| 2.96% (3 Month LIBOR USD + 1.02%), 04/24/2023(1)(2) |
$ | 250,000 | 252,601 | |||||
| 3.75%, 04/24/2023(2) |
250,000 | 261,357 | ||||||
| 4.38%, 03/17/2025(2) |
1,717,000 | 1,840,753 | ||||||
| 4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2) |
13,548,000 | 14,282,339 | ||||||
| Credit Suisse AG |
||||||||
| 6.50%, 08/08/2023(2) |
1,100,000 | 1,225,125 | ||||||
| Credit Suisse Group AG |
||||||||
| 7.50% (5 Year Swap Rate USD + 4.60%), 06/10/2168(1) |
1,400,000 | 1,573,250 | ||||||
| 2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(1)(2) |
8,255,000 | 8,278,126 | ||||||
| 7.50% (5 Year Swap Rate USD + 4.60%), 01/17/2168(1)(2) |
1,400,000 | 1,532,090 | ||||||
| 7.25% (5 Year Swap Rate USD + 4.33%), 03/12/2168(1)(2) |
400,000 | 446,500 | ||||||
| 7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2168(1)(2) |
800,000 | 899,000 | ||||||
| Credit Suisse Group Funding Guernsey Ltd. |
||||||||
| 3.75%, 03/26/2025 |
5,500,000 | 5,816,312 | ||||||
| Crown Castle International Corp. |
||||||||
| 3.40%, 02/15/2021 |
100,000 | 101,344 | ||||||
| 2.25%, 09/01/2021 |
1,510,000 | 1,513,987 | ||||||
| 4.88%, 04/15/2022 |
1,815,000 | 1,921,993 | ||||||
| 5.25%, 01/15/2023 |
200,000 | 217,164 | ||||||
| 4.45%, 02/15/2026 |
7,275,000 | 7,962,979 | ||||||
| 3.65%, 09/01/2027 |
7,580,000 | 8,012,529 | ||||||
| 3.80%, 02/15/2028 |
3,220,000 | 3,428,323 | ||||||
| 4.30%, 02/15/2029 |
11,875,000 | 13,144,038 | ||||||
| CTR Partnership LP / CareTrust Capital Corp. |
||||||||
| 5.25%, 06/01/2025 |
194,000 | 201,760 | ||||||
| CubeSmart LP |
||||||||
| 4.80%, 07/15/2022 |
1,783,000 | 1,880,786 | ||||||
| Danske Bank |
||||||||
| 2.00%, 09/08/2021(2) |
5,705,000 | 5,679,657 | ||||||
| 5.00%, 01/12/2022(2) |
7,540,000 | 7,914,131 | ||||||
| 2.70%, 03/02/2022(2) |
2,224,000 | 2,239,899 | ||||||
| 3.00% (3 Month LIBOR USD + 1.25%), 09/20/2022(1)(2) |
8,535,000 | 8,600,839 | ||||||
| 3.88%, 09/12/2023(2) |
2,003,000 | 2,078,590 | ||||||
| 5.38%, 01/12/2024(2) |
9,455,000 | 10,375,712 | ||||||
| 3.24% (3 Month LIBOR USD + 1.59%), 12/20/2025(1)(2) |
4,210,000 | 4,256,893 | ||||||
| Deutsche Bank AG |
||||||||
| 1.88%, 02/28/2020 |
GBP | 500,000 | 662,353 | |||||
| 0.11% (3 Month EURIBOR + 0.50%), 12/07/2020(1)(5) |
EUR | 4,600,000 | 5,146,817 | |||||
| 0.26% (3 Month EURIBOR + 0.65%), 09/10/2021(1)(5) |
2,200,000 | 2,443,966 | ||||||
| 4.25%, 10/14/2021 |
$ | 3,000,000 | 3,084,608 | |||||
| Deutsche Bank AG/New York NY |
||||||||
| 2.97% (3 Month LIBOR USD + 0.97%), 07/13/2020(1) |
46,000 | 46,038 | ||||||
| 2.77% (3 Month LIBOR USD + 0.82%), 01/22/2021(1) |
21,400,000 | 21,309,927 | ||||||
| 3.19% (3 Month LIBOR USD + 1.29%), 02/04/2021(1) |
31,460,000 | 31,510,065 | ||||||
| 3.95%, 02/27/2023 |
200,000 | 204,989 | ||||||
| 3.96% (Secured Overnight Financing Rate + 2.58%), 11/26/2025(1) |
11,220,000 | 11,459,122 | ||||||
| Dexia Credit Local SA |
||||||||
| 2.25%, 02/18/2020(2) |
7,070,000 | 7,073,051 | ||||||
| Digital Realty Trust LP |
||||||||
| 3.63%, 10/01/2022 |
4,000,000 | 4,133,853 | ||||||
| 2.75%, 02/01/2023 |
1,445,000 | 1,459,404 |
| 4.75%, 10/01/2025 |
1,640,000 | 1,820,832 | ||||||
| Discover Financial Services |
||||||||
| 3.75%, 03/04/2025 |
8,845,000 | 9,357,870 | ||||||
| 4.10%, 02/09/2027 |
2,625,000 | 2,825,577 | ||||||
| Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust |
||||||||
| 5.13%, 11/30/2022(2) |
2,926,187 | 2,990,970 | ||||||
| EPR Properties |
||||||||
| 4.75%, 12/15/2026 |
140,000 | 152,873 | ||||||
| 4.95%, 04/15/2028 |
414,000 | 451,858 | ||||||
| Equinix, Inc. |
||||||||
| 2.88%, 02/01/2026 |
EUR | 200,000 | 232,753 | |||||
| 2.90%, 11/18/2026 |
$ | 3,500,000 | 3,506,125 | |||||
| 3.20%, 11/18/2029 |
8,645,000 | 8,677,159 | ||||||
| ESH Hospitality, Inc. |
||||||||
| 4.63%, 10/01/2027(2) |
400,000 | 405,000 | ||||||
| Essex Portfolio LP |
||||||||
| 3.88%, 05/01/2024 |
4,200,000 | 4,437,091 | ||||||
| 3.63%, 05/01/2027 |
2,785,000 | 2,935,224 | ||||||
| Fairfax Financial Holdings Ltd. |
||||||||
| 4.85%, 04/17/2028 |
138,000 | 150,191 | ||||||
| Farmers Exchange Capital II |
||||||||
| 6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2) |
280,000 | 330,129 | ||||||
| Farmers Exchange Capital III |
||||||||
| 5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2) |
4,000,000 | 4,605,856 | ||||||
| Farmers Insurance Exchange |
||||||||
| 4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2) |
3,000,000 | 3,132,180 | ||||||
| Fidelity National Financial, Inc. |
||||||||
| 4.50%, 08/15/2028 |
15,455,000 | 16,713,942 | ||||||
| First Abu Dhabi Bank PJSC |
||||||||
| 5.25% (5 Year Swap Rate USD + 3.35%), 12/17/2167(1) |
5,500,000 | 5,539,875 | ||||||
| FirstRand Bank Ltd. |
||||||||
| 6.25% (5 Year Swap Rate USD + 3.56%), 04/23/2028(1) |
5,000,000 | 5,298,750 | ||||||
| GE Capital European Funding Unlimited Co. |
||||||||
| 0.00% (3 Month EURIBOR + 0.23%), 05/17/2021(1)(5) |
EUR | 250,000 | 279,803 | |||||
| 0.80%, 01/21/2022 |
400,000 | 454,432 | ||||||
| 2.63%, 03/15/2023 |
100,000 | 120,275 | ||||||
| GE Capital International Funding Co. Unlimited Co. |
||||||||
| 2.34%, 11/15/2020 |
$ | 29,315,000 | 29,337,129 | |||||
| 3.37%, 11/15/2025 |
3,985,000 | 4,147,740 | ||||||
| 4.42%, 11/15/2035 |
58,340,000 | 62,119,024 | ||||||
| GE Capital UK Funding Unlimited Co. |
||||||||
| 5.88%, 11/04/2020 |
GBP | 128,000 | 175,830 | |||||
| 5.13%, 05/24/2023 |
130,000 | 190,119 | ||||||
| 4.13%, 09/13/2023 |
200,000 | 286,413 | ||||||
| Genworth Holdings, Inc. |
||||||||
| 7.70%, 06/15/2020 |
$ | 2,400,000 | 2,454,564 | |||||
| 7.20%, 02/15/2021 |
2,535,000 | 2,611,050 | ||||||
| Global Bank Corp. |
||||||||
| 5.25% (3 Month LIBOR USD + 3.30%), 04/16/2029(1) |
550,000 | 591,250 | ||||||
| GLP Capital LP / GLP Financing II, Inc. |
||||||||
| 4.38%, 04/15/2021 |
1,500,000 | 1,529,130 | ||||||
| 3.35%, 09/01/2024 |
1,140,000 | 1,163,609 | ||||||
| 5.25%, 06/01/2025 |
3,404,000 | 3,736,230 | ||||||
| 5.38%, 04/15/2026 |
3,425,000 | 3,785,995 | ||||||
| 5.75%, 06/01/2028 |
4,034,000 | 4,580,204 | ||||||
| 5.30%, 01/15/2029 |
5,325,000 | 5,914,478 | ||||||
| 4.00%, 01/15/2030 |
3,645,000 | 3,720,452 | ||||||
| Goldman Sachs Group, Inc. |
||||||||
| 2.63%, 04/25/2021 |
3,964,000 | 3,997,811 | ||||||
| 2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(1) |
11,078,000 | 11,232,671 |
| 2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(1) |
1,235,000 | 1,256,825 | ||||||
| 3.50%, 01/23/2025 |
2,622,000 | 2,748,989 | ||||||
| 3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(1) |
3,700,000 | 3,827,153 | ||||||
| 3.50%, 11/16/2026 |
10,179,000 | 10,698,076 | ||||||
| 4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(1) |
6,270,000 | 6,904,457 | ||||||
| Goodman US Finance Three LLC |
||||||||
| 3.70%, 03/15/2028(2) |
463,000 | 474,862 | ||||||
| Growthpoint Properties International Pty Ltd. |
||||||||
| 5.87%, 05/02/2023(2) |
200,000 | 214,245 | ||||||
| HCP, Inc. |
||||||||
| 4.25%, 11/15/2023 |
318,000 | 339,130 | ||||||
| 4.20%, 03/01/2024 |
1,175,000 | 1,255,540 | ||||||
| 3.40%, 02/01/2025 |
2,625,000 | 2,739,062 | ||||||
| 4.00%, 06/01/2025 |
4,375,000 | 4,699,534 | ||||||
| 3.25%, 07/15/2026 |
705,000 | 730,442 | ||||||
| 3.50%, 07/15/2029 |
685,000 | 713,532 | ||||||
| Healthcare Realty Trust, Inc. |
||||||||
| 3.75%, 04/15/2023 |
3,356,000 | 3,463,296 | ||||||
| 3.63%, 01/15/2028 |
4,375,000 | 4,530,582 | ||||||
| Healthcare Trust of America Holdings LP |
||||||||
| 3.70%, 04/15/2023 |
3,425,000 | 3,540,306 | ||||||
| Highwoods Realty LP |
||||||||
| 4.13%, 03/15/2028 |
4,875,000 | 5,214,509 | ||||||
| Host Hotels & Resorts LP |
||||||||
| 3.75%, 10/15/2023 |
2,175,000 | 2,273,956 | ||||||
| 4.50%, 02/01/2026 |
1,600,000 | 1,728,593 | ||||||
| Howard Hughes Corp. |
||||||||
| 5.38%, 03/15/2025(2) |
1,777,000 | 1,852,523 | ||||||
| HSBC Holdings Plc |
||||||||
| 2.50% (3 Month LIBOR USD + 0.60%), 05/18/2021(1) |
1,200,000 | 1,201,222 | ||||||
| 3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023(1) |
1,585,000 | 1,620,548 | ||||||
| 2.90% (3 Month LIBOR USD + 1.00%), 05/18/2024(1) |
400,000 | 403,249 | ||||||
| 3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(1) |
7,615,000 | 8,007,249 | ||||||
| 4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(1) |
10,000,000 | 10,804,024 | ||||||
| 4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(1) |
3,200,000 | 3,573,856 | ||||||
| 3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(1) |
2,600,000 | 2,799,818 | ||||||
| 3.00% (1 Year Swap Rate GBP + 1.77%), 05/29/2030(1) |
GBP | 2,400,000 | 3,346,162 | |||||
| 5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2168(1) |
6,400,000 | 9,322,980 | ||||||
| 6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2168(1) |
EUR | 600,000 | 776,497 | |||||
| 6.50% (5 Year 1100 Run ICE Swap Rate USD + 3.61%), 09/23/2168(1) |
$ | 1,820,000 | 2,002,000 | |||||
| Hudson Pacific Properties LP |
||||||||
| 3.95%, 11/01/2027 |
2,399,000 | 2,509,771 | ||||||
| Hunt Companies, Inc. |
||||||||
| 6.25%, 02/15/2026(2) |
82,000 | 80,975 | ||||||
| ICICI Bank Ltd./Dubai |
||||||||
| 3.50%, 03/18/2020 |
200,000 | 200,362 | ||||||
| ICICI Bank Ltd./Hong Kong |
||||||||
| 5.75%, 11/16/2020(2) |
200,000 | 205,249 | ||||||
| 5.75%, 11/16/2020 |
200,000 | 205,249 | ||||||
| Industrial & Commercial Bank of China Ltd./Dubai DIFC |
||||||||
| 2.68% (3 Month LIBOR USD + 0.75%), 12/21/2021(1) |
3,500,000 | 3,507,011 | ||||||
| Industrial & Commercial Bank of China Ltd./New York NY |
||||||||
| 2.65% (3 Month LIBOR USD + 0.75%), 11/08/2020(1) |
25,826,000 | 25,874,261 | ||||||
| ING Bank NV |
||||||||
| 5.80%, 09/25/2023(2) |
9,795,000 | 10,870,098 | ||||||
| ING Groep NV |
||||||||
| 2.91% (3 Month LIBOR USD + 1.00%), 10/02/2023(1) |
1,300,000 | 1,311,750 | ||||||
| 4.10%, 10/02/2023 |
2,200,000 | 2,338,880 | ||||||
| International Lease Finance Corp. |
||||||||
| 8.25%, 12/15/2020 |
2,500,000 | 2,642,832 |
| 8.63%, 01/15/2022 |
2,150,000 | 2,418,333 | ||||||
| 5.88%, 08/15/2022 |
170,000 | 185,125 | ||||||
| Jefferies Group LLC |
||||||||
| 6.45%, 06/08/2027 |
3,660,000 | 4,288,971 | ||||||
| 6.25%, 01/15/2036 |
1,430,000 | 1,705,052 | ||||||
| Jefferies Group LLC / Jefferies Group Capital Finance, Inc. |
||||||||
| 4.85%, 01/15/2027 |
1,500,000 | 1,655,018 | ||||||
| 4.15%, 01/23/2030 |
7,180,000 | 7,603,071 | ||||||
| Jones Lang LaSalle, Inc. |
||||||||
| 4.40%, 11/15/2022 |
1,270,000 | 1,325,477 | ||||||
| JPMorgan Chase & Co. |
||||||||
| 3.51% (3 Month LIBOR USD + 0.61%), 06/18/2022(1) |
6,380,000 | 6,516,679 | ||||||
| 3.90%, 07/15/2025 |
18,700,000 | 20,179,755 | ||||||
| 2.95%, 10/01/2026 |
2,340,000 | 2,409,440 | ||||||
| Kennedy-Wilson, Inc. |
||||||||
| 5.88%, 04/01/2024 |
224,000 | 229,600 | ||||||
| Kilroy Realty LP |
||||||||
| 3.45%, 12/15/2024 |
1,845,000 | 1,919,455 | ||||||
| 4.38%, 10/01/2025 |
2,345,000 | 2,548,923 | ||||||
| Kimco Realty Corp. |
||||||||
| 3.30%, 02/01/2025 |
880,000 | 915,195 | ||||||
| Kreditanstalt fuer Wiederaufbau |
||||||||
| 1.00%, 10/12/2021 |
NOK | 99,980,000 | 11,245,686 | |||||
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. |
||||||||
| 5.88%, 08/01/2021(2) |
$ | 1,025,000 | 1,039,094 | |||||
| 5.25%, 10/01/2025(2) |
4,265,000 | 4,424,938 | ||||||
| Liberty Property LP |
||||||||
| 4.13%, 06/15/2022 |
2,000,000 | 2,092,166 | ||||||
| Lloyds Bank Plc |
||||||||
| 5.80%, 01/13/2020(2) |
2,000,000 | 2,002,062 | ||||||
| 3.30%, 05/07/2021 |
1,200,000 | 1,219,266 | ||||||
| Lloyds Banking Group Plc |
||||||||
| 2.86% (3 Month LIBOR USD + 1.25%), 03/17/2023(1) |
15,365,000 | 15,551,897 | ||||||
| 4.05%, 08/16/2023 |
2,000,000 | 2,119,250 | ||||||
| 2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(1) |
14,065,000 | 14,269,049 | ||||||
| 4.45%, 05/08/2025 |
4,265,000 | 4,654,882 | ||||||
| 4.38%, 03/22/2028 |
400,000 | 440,566 | ||||||
| 4.55%, 08/16/2028 |
1,600,000 | 1,790,280 | ||||||
| 3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(1) |
420,000 | 438,234 | ||||||
| 7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2167(1) |
3,100,000 | 3,475,875 | ||||||
| 6.38% (5 Year Swap Rate EUR + 5.29%), 06/27/2168(1) |
EUR | 4,881,000 | 5,605,049 | |||||
| 7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2168(1) |
GBP | 1,900,000 | 2,821,316 | |||||
| 7.88% (5 Year Swap Rate GBP + 4.83%), 06/27/2168(1) |
900,000 | 1,503,138 | ||||||
| LoanCore Capital Markets LLC / JLC Finance Corp. |
||||||||
| 6.88%, 06/01/2020(2) |
$ | 500,000 | 500,000 | |||||
| Logicor Financing Sarl |
||||||||
| 3.25%, 11/13/2028 |
EUR | 265,000 | 332,356 | |||||
| MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. |
||||||||
| 5.63%, 05/01/2024 |
$ | 1,079,000 | 1,176,110 | |||||
| Mid-America Apartments LP |
||||||||
| 3.60%, 06/01/2027 |
1,400,000 | 1,484,250 | ||||||
| Mitsubishi UFJ Lease & Finance Co. Ltd. |
||||||||
| 3.41%, 02/28/2022(2) |
200,000 | 204,298 | ||||||
| 2.65%, 09/19/2022(2) |
600,000 | 604,016 | ||||||
| 3.96%, 09/19/2023(2) |
300,000 | 314,027 | ||||||
| Morgan Stanley |
||||||||
| 5.50%, 01/26/2020 |
4,000,000 | 4,008,496 | ||||||
| 3.88%, 04/29/2024 |
14,850,000 | 15,787,366 | ||||||
| 4.00%, 07/23/2025 |
8,000,000 | 8,650,172 | ||||||
| 5.00%, 11/24/2025 |
10,320,000 | 11,615,303 |
| 3.13%, 07/27/2026 |
2,030,000 | 2,093,847 | ||||||
| 4.35%, 09/08/2026 |
8,350,000 | 9,125,123 | ||||||
| 3.95%, 04/23/2027 |
10,130,000 | 10,856,629 | ||||||
| Nationwide Building Society |
||||||||
| 3.62% (3 Month LIBOR USD + 1.18%), 04/26/2023(1)(2) |
4,250,000 | 4,369,886 | ||||||
| 3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2) |
6,600,000 | 6,829,089 | ||||||
| 4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2) |
4,600,000 | 4,876,971 | ||||||
| 4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2) |
8,600,000 | 9,369,168 | ||||||
| 3.96% (3 Month LIBOR USD + 1.86%), 07/18/2030(1)(2) |
5,650,000 | 6,061,441 | ||||||
| Nationwide Mutual Insurance Co. |
||||||||
| 4.18% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2) |
1,790,000 | 1,787,595 | ||||||
| NatWest Markets Plc |
||||||||
| 0.00% (3 Month EURIBOR + 0.40%), 03/02/2020(1)(5) |
EUR | 700,000 | 785,422 | |||||
| 0.63%, 03/02/2022 |
4,750,000 | 5,383,916 | ||||||
| 3.63%, 09/29/2022(2) |
$ | 12,800,000 | 13,253,899 | |||||
| Navient Corp. |
||||||||
| 8.00%, 03/25/2020 |
1,809,000 | 1,827,669 | ||||||
| 5.00%, 10/26/2020 |
300,000 | 304,410 | ||||||
| 5.88%, 03/25/2021 |
9,693,000 | 10,012,869 | ||||||
| 6.63%, 07/26/2021 |
2,490,000 | 2,633,175 | ||||||
| 7.25%, 01/25/2022 |
8,300,000 | 9,017,452 | ||||||
| 6.50%, 06/15/2022 |
442,000 | 479,018 | ||||||
| New York Life Global Funding |
||||||||
| 1.70%, 09/14/2021(2) |
6,775,000 | 6,766,096 | ||||||
| 2.35%, 07/14/2026(2) |
1,000,000 | 1,000,713 | ||||||
| Newmark Group, Inc. |
||||||||
| 6.13%, 11/15/2023 |
602,000 | 663,421 | ||||||
| Old Republic International Corp. |
||||||||
| 4.88%, 10/01/2024 |
335,000 | 367,068 | ||||||
| 3.88%, 08/26/2026 |
5,155,000 | 5,428,373 | ||||||
| Omega Healthcare Investors, Inc. |
||||||||
| 4.50%, 01/15/2025 |
5,050,000 | 5,384,056 | ||||||
| Oppenheimer Holdings, Inc. |
||||||||
| 6.75%, 07/01/2022 |
84,000 | 86,520 | ||||||
| Park Aerospace Holdings Ltd. |
||||||||
| 3.63%, 03/15/2021(2) |
451,000 | 457,116 | ||||||
| 5.25%, 08/15/2022(2) |
17,137,000 | 18,257,760 | ||||||
| 4.50%, 03/15/2023(2) |
7,023,000 | 7,353,081 | ||||||
| 5.50%, 02/15/2024(2) |
1,861,000 | 2,043,211 | ||||||
| Physicians Realty LP |
||||||||
| 3.95%, 01/15/2028 |
177,000 | 185,119 | ||||||
| Pricoa Global Funding I |
||||||||
| 3.45%, 09/01/2023(2) |
11,595,000 | 12,148,635 | ||||||
| Prologis LP |
||||||||
| 3.75%, 11/01/2025 |
1,325,000 | 1,433,324 | ||||||
| QNB Finance Ltd. |
||||||||
| 3.57% (3 Month LIBOR USD + 1.57%), 07/18/2021(1) |
2,400,000 | 2,421,313 | ||||||
| 3.35% (3 Month LIBOR USD + 1.45%), 08/11/2021(1) |
3,400,000 | 3,417,004 | ||||||
| Quicken Loans, Inc. |
||||||||
| 5.75%, 05/01/2025(2) |
3,815,000 | 3,943,756 | ||||||
| 5.25%, 01/15/2028(2) |
2,815,000 | 2,913,525 | ||||||
| Raymond James Financial, Inc. |
||||||||
| 5.63%, 04/01/2024 |
1,617,000 | 1,820,766 | ||||||
| 4.95%, 07/15/2046 |
4,420,000 | 5,152,873 | ||||||
| Reckson Operating Partnership LP |
||||||||
| 7.75%, 03/15/2020 |
1,398,000 | 1,413,400 | ||||||
| Regency Centers LP |
||||||||
| 3.60%, 02/01/2027 |
4,271,000 | 4,477,341 | ||||||
| 4.13%, 03/15/2028 |
970,000 | 1,051,124 | ||||||
| Retail Opportunity Investments Partnership LP |
| 4.00%, 12/15/2024 |
895,000 | 912,682 | ||||||
| Royal Bank of Scotland Group Plc |
||||||||
| 6.13%, 12/15/2022 |
120,000 | 131,279 | ||||||
| 2.00% (3 Month EURIBOR + 2.04%), 03/08/2023(1)(5) |
EUR | 1,100,000 | 1,279,000 | |||||
| 2.50%, 03/22/2023 |
3,600,000 | 4,313,693 | ||||||
| 3.38% (3 Month LIBOR USD + 1.47%), 05/15/2023(1) |
$ | 3,217,000 | 3,252,438 | |||||
| 3.50% (3 Month LIBOR USD + 1.48%), 05/15/2023(1) |
855,000 | 875,498 | ||||||
| 6.10%, 06/10/2023 |
500,000 | 550,179 | ||||||
| 3.88%, 09/12/2023 |
10,543,000 | 11,041,522 | ||||||
| 5.13%, 05/28/2024 |
3,650,000 | 3,951,682 | ||||||
| 3.50% (3 Month LIBOR USD + 1.55%), 06/25/2024(1) |
5,845,000 | 5,933,607 | ||||||
| 4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(1) |
1,600,000 | 1,698,657 | ||||||
| 2.00% (3 Month EURIBOR + 1.74%), 03/04/2025(1) |
EUR | 400,000 | 474,059 | |||||
| 4.27% (3 Month LIBOR USD + 1.76%), 03/22/2025(1) |
$ | 16,200,000 | 17,198,439 | |||||
| 4.80%, 04/05/2026 |
200,000 | 222,017 | ||||||
| 4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(1) |
2,900,000 | 3,276,468 | ||||||
| 5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(1) |
6,600,000 | 7,582,493 | ||||||
| 4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(1) |
4,390,000 | 4,844,297 | ||||||
| 7.50% (5 Year Swap Rate USD + 5.80%), 09/30/2168(1) |
3,460,000 | 3,535,705 | ||||||
| 8.00% (5 Year Swap Rate USD + 5.72%), 09/30/2168(1) |
6,951,000 | 8,002,339 | ||||||
| 8.63% (5 Year Swap Rate USD + 7.60%), 09/30/2168(1) |
3,100,000 | 3,352,030 | ||||||
| Sabra Health Care LP / Sabra Capital Corp. |
||||||||
| 3.90%, 10/15/2029 |
200,000 | 201,140 | ||||||
| Santander Holdings USA, Inc. |
||||||||
| 3.40%, 01/18/2023 |
184,000 | 188,550 | ||||||
| 3.50%, 06/07/2024 |
50,000 | 51,401 | ||||||
| 3.24%, 10/05/2026(2) |
6,342,000 | 6,404,886 | ||||||
| 4.40%, 07/13/2027 |
153,000 | 165,037 | ||||||
| Santander UK Group Holdings Plc |
||||||||
| 2.88%, 10/16/2020 |
2,800,000 | 2,812,376 | ||||||
| 2.88%, 08/05/2021 |
11,450,000 | 11,556,691 | ||||||
| 3.57%, 01/10/2023 |
6,395,000 | 6,544,853 | ||||||
| 0.38% (3 Month EURIBOR + 0.78%), 05/18/2023(1)(5) |
EUR | 200,000 | 225,151 | |||||
| 1.13%, 09/08/2023 |
400,000 | 461,491 | ||||||
| 3.37% (3 Month LIBOR USD + 1.08%), 01/05/2024(1) |
$ | 1,000,000 | 1,024,009 | |||||
| 0.45% (3 Month EURIBOR + 0.85%), 03/27/2024(1)(5) |
EUR | 1,200,000 | 1,350,140 | |||||
| 4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(1) |
$ | 15,930,000 | 17,190,636 | |||||
| 4.75%, 09/15/2025(2) |
1,025,000 | 1,100,075 | ||||||
| 2.92% (1 Year Swap Rate GBP + 1.38%), 05/08/2026(1) |
GBP | 520,000 | 718,457 | |||||
| 3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(1) |
$ | 4,990,000 | 5,257,710 | |||||
| 6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2168(1) |
GBP | 5,800,000 | 8,450,948 | |||||
| 7.38% (5 Year Swap Rate GBP + 5.54%), 09/24/2168(1) |
5,647,000 | 8,151,347 | ||||||
| Santander UK Plc |
||||||||
| 2.13%, 11/03/2020 |
$ | 370,000 | 370,423 | |||||
| 3.40%, 06/01/2021 |
600,000 | 612,347 | ||||||
| SBA Tower Trust |
||||||||
| 2.88%, 07/09/2021(2) |
3,000,000 | 3,009,399 | ||||||
| 3.17%, 04/11/2022(2) |
2,825,000 | 2,852,901 | ||||||
| 3.45%, 03/15/2023(2) |
600,000 | 617,845 | ||||||
| 3.72%, 04/11/2023(2) |
3,515,000 | 3,590,358 | ||||||
| 3.87%, 10/08/2024(2) |
10,376,000 | 10,797,138 | ||||||
| 2.84%, 01/15/2025(2) |
3,250,000 | 3,281,700 | ||||||
| Sberbank of Russia Via SB Capital SA |
||||||||
| 5.72%, 06/16/2021 |
3,720,000 | 3,892,615 | ||||||
| 5.13%, 10/29/2022 |
1,300,000 | 1,374,823 | ||||||
| Service Properties Trust |
||||||||
| 3.95%, 01/15/2028 |
5,605,000 | 5,462,677 | ||||||
| Sirius International Group Ltd. |
||||||||
| 4.60%, 11/01/2026(2) |
1,140,000 | 1,120,620 | ||||||
| SITE Centers Corp. |
| 3.63%, 02/01/2025 |
1,914,000 | 1,972,595 | ||||||
| 4.25%, 02/01/2026 |
2,500,000 | 2,636,223 | ||||||
| 4.70%, 06/01/2027 |
8,000,000 | 8,639,597 | ||||||
| SL Green Operating Partnership LP |
||||||||
| 3.25%, 10/15/2022 |
6,000,000 | 6,144,825 | ||||||
| SL Green Realty Corp. |
||||||||
| 4.50%, 12/01/2022 |
850,000 | 895,511 | ||||||
| Societe Generale SA |
||||||||
| 4.25%, 04/14/2025(2) |
2,340,000 | 2,456,892 | ||||||
| 4.75%, 11/24/2025(2) |
9,285,000 | 10,054,545 | ||||||
| 7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2168(1)(2) |
3,700,000 | 4,042,250 | ||||||
| 6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2168(1)(2) |
400,000 | 441,500 | ||||||
| Springleaf Finance Corp. |
||||||||
| 8.25%, 12/15/2020 |
7,030,000 | 7,376,228 | ||||||
| 7.75%, 10/01/2021 |
5,960,000 | 6,474,050 | ||||||
| 6.13%, 05/15/2022 |
3,548,000 | 3,809,665 | ||||||
| 5.63%, 03/15/2023 |
3,658,000 | 3,941,495 | ||||||
| 6.13%, 03/15/2024 |
2,400,000 | 2,628,000 | ||||||
| 6.88%, 03/15/2025 |
363,000 | 412,913 | ||||||
| Standard Chartered Plc |
||||||||
| 3.09% (3 Month LIBOR USD + 1.20%), 09/10/2022(1)(2) |
3,900,000 | 3,929,367 | ||||||
| 3.12% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) |
6,475,000 | 6,513,200 | ||||||
| 4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) |
7,295,000 | 7,548,950 | ||||||
| Starwood Property Trust, Inc. |
||||||||
| 4.75%, 03/15/2025 |
133,000 | 140,315 | ||||||
| Stichting AK Rabobank Certificaten |
||||||||
| 6.50%, 03/29/2168 |
EUR | 840,000 | 1,196,724 | |||||
| STORE Capital Corp. |
||||||||
| 4.50%, 03/15/2028 |
$ | 128,000 | 139,899 | |||||
| Synchrony Financial |
||||||||
| 2.85%, 07/25/2022 |
3,720,000 | 3,764,159 | ||||||
| 4.38%, 03/19/2024 |
3,220,000 | 3,432,957 | ||||||
| 4.25%, 08/15/2024 |
955,000 | 1,018,472 | ||||||
| 4.50%, 07/23/2025 |
2,778,000 | 2,994,542 | ||||||
| 3.70%, 08/04/2026 |
735,000 | 758,736 | ||||||
| Teachers Insurance & Annuity Association of America |
||||||||
| 4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2) |
4,500,000 | 4,691,376 | ||||||
| TP ICAP Plc |
||||||||
| 5.25%, 01/26/2024 |
GBP | 100,000 | 144,973 | |||||
| UBS AG |
||||||||
| 5.13%, 05/15/2024 |
$ | 200,000 | 215,250 | |||||
| 4.75% (5 Year Swap Rate EUR + 3.40%), 02/12/2026(1) |
EUR | 2,300,000 | 2,705,603 | |||||
| UniCredit SpA |
||||||||
| 7.83%, 12/04/2023(2) |
$ | 13,400,000 | 15,614,216 | |||||
| Unique Pub Finance Co. Plc |
||||||||
| 7.40%, 03/28/2024 |
GBP | 3,107,000 | 4,691,470 | |||||
| 5.66%, 06/30/2027 |
3,373,173 | 5,120,313 | ||||||
| Unum Group |
||||||||
| 3.88%, 11/05/2025 |
$ | 4,925,000 | 5,191,592 | |||||
| Ventas Realty LP |
||||||||
| 3.25%, 10/15/2026 |
7,052,000 | 7,213,392 | ||||||
| 3.85%, 04/01/2027 |
1,485,000 | 1,566,676 | ||||||
| 4.40%, 01/15/2029 |
3,000,000 | 3,303,627 | ||||||
| 3.00%, 01/15/2030 |
1,765,000 | 1,747,260 | ||||||
| VEREIT Operating Partnership LP |
||||||||
| 4.60%, 02/06/2024 |
3,740,000 | 4,038,057 | ||||||
| 4.63%, 11/01/2025 |
10,265,000 | 11,229,564 | ||||||
| 4.88%, 06/01/2026 |
4,800,000 | 5,312,510 | ||||||
| 3.95%, 08/15/2027 |
4,155,000 | 4,364,390 | ||||||
| Voyager Aviation Holdings LLC / Voyager Finance Co. |
| 8.50%, 08/15/2021(2) |
186,000 | 190,561 | ||||||
| WEA Finance LLC |
||||||||
| 3.15%, 04/05/2022(2) |
3,000,000 | 3,065,610 | ||||||
| Weingarten Realty Investors |
||||||||
| 3.25%, 08/15/2026 |
1,665,000 | 1,671,925 | ||||||
| Wells Fargo & Co. |
||||||||
| 2.60%, 07/22/2020 |
310,000 | 311,179 | ||||||
| 2.63%, 07/22/2022 |
2,762,000 | 2,801,883 | ||||||
| 3.07%, 01/24/2023 |
19,585,000 | 19,987,192 | ||||||
| 3.16% (3 Month LIBOR USD + 1.23%), 10/31/2023(1) |
5,000,000 | 5,088,950 | ||||||
| 2.41% (3 Month LIBOR USD + 0.83%), 10/30/2025(1) |
1,290,000 | 1,290,000 | ||||||
| 3.00%, 04/22/2026 |
8,685,000 | 8,921,488 | ||||||
| 3.00%, 10/23/2026 |
770,000 | 788,412 | ||||||
| Wells Fargo Bank N.A. |
||||||||
| 2.43% (3 Month LIBOR USD + 0.50%), 07/23/2021(1) |
1,200,000 | 1,201,715 | ||||||
| 3.33% (3 Month LIBOR USD + 0.49%), 07/23/2021(1) |
2,050,000 | 2,066,058 | ||||||
| Welltower, Inc. |
||||||||
| 3.95%, 09/01/2023 |
13,500,000 | 14,239,334 | ||||||
| 4.50%, 01/15/2024 |
650,000 | 701,453 | ||||||
| 4.00%, 06/01/2025 |
4,690,000 | 5,044,792 | ||||||
| 4.25%, 04/15/2028 |
111,000 | 121,608 | ||||||
| Willis North America, Inc. |
||||||||
| 3.60%, 05/15/2024 |
9,380,000 | 9,792,750 | ||||||
| WPC Eurobond BV |
||||||||
| 2.25%, 04/09/2026 |
EUR | 1,300,000 | 1,564,800 | |||||
| 2.13%, 04/15/2027 |
400,000 | 474,410 | ||||||
| 1.35%, 04/15/2028 |
3,425,000 | 3,798,382 | ||||||
| Yanlord Land HK Co. Ltd. |
||||||||
| 6.75%, 04/23/2023 |
$ | 5,200,000 | 5,318,050 | |||||
|
|
|
|||||||
| Total Financials |
1,949,921,022 | |||||||
|
|
|
|||||||
| Industrials – 1.56% |
||||||||
| 3M Co. |
||||||||
| 3.00%, 09/14/2021 |
4,260,000 | 4,332,873 | ||||||
| Amcor Finance USA, Inc. |
||||||||
| 3.63%, 04/28/2026(2) |
2,990,000 | 3,069,416 | ||||||
| 4.50%, 05/15/2028(2) |
4,100,000 | 4,380,020 | ||||||
| Arrow Electronics, Inc. |
||||||||
| 3.50%, 04/01/2022 |
480,000 | 491,325 | ||||||
| 4.50%, 03/01/2023 |
380,000 | 400,878 | ||||||
| 4.00%, 04/01/2025 |
3,622,000 | 3,815,042 | ||||||
| Associated Materials LLC / AMH New Finance, Inc. |
||||||||
| 9.00%, 01/01/2024(2) |
1,400,000 | 1,225,000 | ||||||
| Aviation Capital Group LLC |
||||||||
| 2.88%, 01/20/2022(2) |
8,869,000 | 8,929,469 | ||||||
| 3.88%, 05/01/2023(2) |
100,000 | 103,265 | ||||||
| 4.13%, 08/01/2025(2) |
168,000 | 175,501 | ||||||
| 4.88%, 10/01/2025(2) |
3,007,000 | 3,236,660 | ||||||
| Avnet, Inc. |
||||||||
| 3.75%, 12/01/2021 |
2,210,000 | 2,267,483 | ||||||
| 4.88%, 12/01/2022 |
5,855,000 | 6,198,812 | ||||||
| 4.63%, 04/15/2026 |
10,485,000 | 11,085,540 | ||||||
| Ball Corp. |
||||||||
| 4.38%, 12/15/2020 |
752,000 | 767,784 | ||||||
| 4.00%, 11/15/2023 |
750,000 | 787,500 | ||||||
| Berry Global, Inc. |
||||||||
| 4.88%, 07/15/2026(2) |
959,000 | 1,011,457 | ||||||
| Bombardier, Inc. |
||||||||
| 7.88%, 04/15/2027(2) |
1,492,000 | 1,534,895 | ||||||
| Boral Finance Pty Ltd. |
||||||||
| 3.00%, 11/01/2022(2) |
4,439,000 | 4,455,120 | ||||||
| 3.75%, 05/01/2028(2) |
3,520,000 | 3,530,366 | ||||||
| Canadian Pacific Railway Co. |
||||||||
| 4.50%, 01/15/2022 |
110,000 | 115,255 | ||||||
| Caterpillar Financial Services Corp. |
||||||||
| 3.15%, 09/07/2021 |
3,615,000 | 3,694,219 | ||||||
| Caterpillar, Inc. |
||||||||
| 3.90%, 05/27/2021 |
3,110,000 | 3,194,349 | ||||||
| CCCI Treasure Ltd. |
||||||||
| 3.50% (5 Year CMT Index + 7.19%), 10/21/2167(1)(5) |
200,000 | 200,004 | ||||||
| Clean Harbors, Inc. |
||||||||
| 5.13%, 07/15/2029(2) |
2,319,000 | 2,487,359 | ||||||
| DAE Funding LLC |
||||||||
| 4.00%, 08/01/2020(2) |
3,524,000 | 3,546,025 | ||||||
| 5.25%, 11/15/2021(2) |
6,444,000 | 6,685,650 | ||||||
| 4.50%, 08/01/2022(2) |
183,000 | 185,745 | ||||||
| 5.75%, 11/15/2023(2) |
2,501,000 | 2,622,924 | ||||||
| 5.00%, 08/01/2024(2) |
8,307,000 | 8,721,855 | ||||||
| Embraer Overseas Ltd. |
||||||||
| 5.70%, 09/16/2023(2) |
3,575,000 | 3,923,598 | ||||||
| Fortress Transportation & Infrastructure Investors LLC |
||||||||
| 6.75%, 03/15/2022(2) |
4,576,000 | 4,770,480 | ||||||
| 6.50%, 10/01/2025(2) |
1,561,000 | 1,647,636 | ||||||
| Fortune Brands Home & Security, Inc. |
||||||||
| 3.00%, 06/15/2020 |
2,766,000 | 2,775,462 | ||||||
| General Dynamics Corp. |
||||||||
| 3.00%, 05/11/2021 |
5,585,000 | 5,677,762 | ||||||
| General Electric Co. |
||||||||
| 5.55%, 05/04/2020 |
154,000 | 155,653 | ||||||
| 0.00% (3 Month EURIBOR + 0.30%), 05/28/2020(1)(5) |
EUR | 150,000 | 168,111 | |||||
| 6.25%, 09/29/2020 |
GBP | 160,000 | 219,219 | |||||
| 4.63%, 01/07/2021 |
$ | 5,410,000 | 5,530,522 | |||||
| 5.50%, 06/07/2021 |
GBP | 100,000 | 139,821 | |||||
| 4.65%, 10/17/2021 |
$ | 2,750,000 | 2,866,373 | |||||
| 0.38%, 05/17/2022 |
EUR | 400,000 | 448,970 | |||||
| 2.70%, 10/09/2022 |
$ | 200,000 | 202,657 | |||||
| 3.10%, 01/09/2023 |
46,000 | 46,972 | ||||||
| 3.38%, 03/11/2024 |
3,115,000 | 3,224,622 | ||||||
| 3.45%, 05/15/2024 |
915,000 | 949,337 | ||||||
| 5.55%, 01/05/2026 |
4,748,000 | 5,446,182 | ||||||
| 6.75%, 03/15/2032 |
5,231,000 | 6,709,781 | ||||||
| 6.15%, 08/07/2037 |
36,000 | 44,566 | ||||||
| 6.88%, 01/10/2039 |
27,000 | 35,918 | ||||||
| 5.00% (3 Month LIBOR USD + 3.33%), 06/15/2168(1) |
7,944,000 | 7,780,830 | ||||||
| Graphic Packaging International LLC |
||||||||
| 4.13%, 08/15/2024 |
50,000 | 51,875 | ||||||
| 4.75%, 07/15/2027(2) |
1,500,000 | 1,605,000 | ||||||
| Heathrow Funding Ltd. |
||||||||
| 4.88%, 07/15/2021(2) |
7,220,000 | 7,466,520 | ||||||
| ICTSI Treasury BV |
||||||||
| 5.88%, 09/17/2025 |
5,000,000 | 5,490,876 | ||||||
| Jabil, Inc. |
||||||||
| 4.70%, 09/15/2022 |
3,685,000 | 3,903,312 | ||||||
| John Deere Capital Corp. |
||||||||
| 2.95%, 04/01/2022 |
9,975,000 | 10,209,328 | ||||||
| 2.37% (3 Month LIBOR USD + 0.48%), 09/08/2022(1) |
10,000,000 | 10,048,783 | ||||||
| Keysight Technologies, Inc. |
||||||||
| 4.55%, 10/30/2024 |
1,374,000 | 1,496,229 | ||||||
| 4.60%, 04/06/2027 |
2,295,000 | 2,542,751 | ||||||
| 3.00%, 10/30/2029 |
5,800,000 | 5,810,699 |
| Komatsu Finance America, Inc. |
||||||||
| 2.12%, 09/11/2020 |
200,000 | 199,581 | ||||||
| 2.44%, 09/11/2022 |
860,000 | 862,776 | ||||||
| L3Harris Technologies, Inc. |
||||||||
| 2.42% (3 Month LIBOR USD + 0.48%), 04/30/2020(1) |
100,000 | 100,055 | ||||||
| Masco Corp. |
||||||||
| 3.50%, 04/01/2021 |
7,044,000 | 7,145,461 | ||||||
| Matthews International Corp. |
||||||||
| 5.25%, 12/01/2025(2) |
1,064,000 | 1,064,000 | ||||||
| NTT Finance Corp. |
||||||||
| 1.90%, 07/21/2021 |
5,400,000 | 5,384,521 | ||||||
| OI European Group BV |
||||||||
| 4.00%, 03/15/2023(2) |
216,000 | 217,620 | ||||||
| Pelabuhan Indonesia III Persero PT |
||||||||
| 4.50%, 05/02/2023 |
200,000 | 211,300 | ||||||
| Penske Truck Leasing Co. LP / PTL Finance Corp. |
||||||||
| 3.20%, 07/15/2020(2) |
200,000 | 200,855 | ||||||
| 3.38%, 02/01/2022(2) |
2,781,000 | 2,839,138 | ||||||
| 4.88%, 07/11/2022(2) |
5,762,000 | 6,125,920 | ||||||
| PerkinElmer, Inc. |
||||||||
| 3.30%, 09/15/2029 |
5,685,000 | 5,798,939 | ||||||
| Republic Services, Inc. |
||||||||
| 2.90%, 07/01/2026 |
3,000,000 | 3,070,159 | ||||||
| Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu |
||||||||
| 5.75%, 10/15/2020 |
5,712,890 | 5,720,031 | ||||||
| 5.50% (3 Month LIBOR USD + 3.50%), 07/15/2021(1)(2) |
1,200,000 | 1,201,500 | ||||||
| Roper Technologies, Inc. |
||||||||
| 2.35%, 09/15/2024 |
1,215,000 | 1,220,863 | ||||||
| 2.95%, 09/15/2029 |
1,930,000 | 1,946,806 | ||||||
| Sealed Air Corp. |
||||||||
| 5.25%, 04/01/2023(2) |
1,000,000 | 1,065,000 | ||||||
| 5.50%, 09/15/2025(2) |
1,545,000 | 1,699,500 | ||||||
| Sensata Technologies, Inc. |
||||||||
| 4.38%, 02/15/2030(2) |
208,000 | 212,039 | ||||||
| Siemens Financieringsmaatschappij NV |
||||||||
| 2.50% (3 Month LIBOR USD + 0.61%), 03/16/2022(1)(2) |
13,690,000 | 13,753,034 | ||||||
| SMBC Aviation Capital Finance DAC |
||||||||
| 2.65%, 07/15/2021(2) |
200,000 | 201,356 | ||||||
| 4.13%, 07/15/2023(2) |
13,215,000 | 13,896,757 | ||||||
| Spirit AeroSystems, Inc. |
||||||||
| 2.69% (3 Month LIBOR USD + 0.80%), 06/15/2021(1) |
3,080,000 | 3,072,434 | ||||||
| Textron, Inc. |
||||||||
| 2.45% (3 Month LIBOR USD + 0.55%), 11/10/2020(1) |
830,000 | 830,033 | ||||||
| TransDigm, Inc. |
||||||||
| 6.25%, 03/15/2026(2) |
2,115,000 | 2,289,720 | ||||||
| 7.50%, 03/15/2027 |
860,000 | 940,668 | ||||||
| Trident TPI Holdings, Inc. |
||||||||
| 9.25%, 08/01/2024(2) |
207,000 | 209,070 | ||||||
| Triumph Group, Inc. |
||||||||
| 5.25%, 06/01/2022 |
482,000 | 479,590 | ||||||
| 6.25%, 09/15/2024(2) |
751,000 | 789,489 | ||||||
| Trivium Packaging Finance BV |
||||||||
| 3.75%, 08/15/2026(2) |
EUR | 340,000 | 403,670 | |||||
| 5.50%, 08/15/2026(2) |
$ | 850,000 | 895,688 | |||||
| Union Pacific Corp. |
||||||||
| 3.95%, 09/10/2028 |
4,640,000 | 5,120,199 | ||||||
| United Technologies Corp. |
||||||||
| 2.55% (3 Month LIBOR USD + 0.65%), 08/16/2021(1) |
565,000 | 565,073 | ||||||
| 3.35%, 08/16/2021 |
5,105,000 | 5,226,167 | ||||||
| 4.50%, 06/01/2042 |
2,250,000 | 2,690,044 |
| WRKCo, Inc. |
||||||||
| 3.00%, 09/15/2024 |
4,000,000 | 4,078,505 | ||||||
| 3.75%, 03/15/2025 |
815,000 | 860,210 | ||||||
|
|
|
|||||||
| Total Industrials |
297,229,407 | |||||||
|
|
|
|||||||
| Technology – 1.45% |
||||||||
| Activision Blizzard, Inc. |
||||||||
| 2.60%, 06/15/2022 |
100,000 | 101,161 | ||||||
| Analog Devices, Inc. |
||||||||
| 2.85%, 03/12/2020 |
3,925,000 | 3,930,329 | ||||||
| Apple, Inc. |
||||||||
| 4.65%, 02/23/2046 |
1,250,000 | 1,563,682 | ||||||
| Broadcom Corp. / Broadcom Cayman Finance Ltd. |
||||||||
| 2.38%, 01/15/2020 |
7,514,000 | 7,514,336 | ||||||
| 2.20%, 01/15/2021 |
115,000 | 115,069 | ||||||
| 3.00%, 01/15/2022 |
30,477,000 | 30,916,099 | ||||||
| 2.65%, 01/15/2023 |
200,000 | 201,032 | ||||||
| 3.63%, 01/15/2024 |
4,721,000 | 4,889,301 | ||||||
| 3.88%, 01/15/2027 |
9,330,000 | 9,681,340 | ||||||
| Broadcom, Inc. |
||||||||
| 3.13%, 04/15/2021(2) |
23,700,000 | 23,982,817 | ||||||
| 3.13%, 10/15/2022(2) |
23,350,000 | 23,776,161 | ||||||
| 4.75%, 04/15/2029(2) |
13,947,000 | 15,249,917 | ||||||
| Cadence Design Systems, Inc. |
||||||||
| 4.38%, 10/15/2024 |
3,153,000 | 3,364,108 | ||||||
| Dell International LLC / EMC Corp. |
||||||||
| 4.42%, 06/15/2021(2) |
3,515,000 | 3,616,545 | ||||||
| 4.90%, 10/01/2026(2) |
2,055,000 | 2,260,583 | ||||||
| 5.30%, 10/01/2029(2) |
1,395,000 | 1,570,865 | ||||||
| 8.35%, 07/15/2046(2) |
520,000 | 714,826 | ||||||
| EMC Corp. |
||||||||
| 2.65%, 06/01/2020 |
6,718,000 | 6,719,209 | ||||||
| Exela Intermediate LLC / Exela Finance, Inc. |
||||||||
| 10.00%, 07/15/2023(2) |
300,000 | 120,000 | ||||||
| Fidelity National Information Services, Inc. |
||||||||
| 0.75%, 05/21/2023 |
EUR | 1,870,000 | 2,139,358 | |||||
| Fiserv, Inc. |
||||||||
| 3.20%, 07/01/2026 |
$ | 2,995,000 | 3,097,926 | |||||
| 1.13%, 07/01/2027 |
EUR | 1,465,000 | 1,691,324 | |||||
| Hewlett Packard Enterprise Co. |
||||||||
| 2.76% (3 Month LIBOR USD + 0.72%), 10/05/2021(1) |
$ | 2,500,000 | 2,500,331 | |||||
| Intel Corp. |
||||||||
| 1.70%, 05/19/2021 |
2,215,000 | 2,213,083 | ||||||
| 2.70%, 12/15/2022 |
8,055,000 | 8,250,217 | ||||||
| International Business Machines Corp. |
||||||||
| 2.25%, 02/19/2021 |
10,858,000 | 10,895,573 | ||||||
| IQVIA, Inc. |
||||||||
| 2.88%, 09/15/2025(2) |
EUR | 100,000 | 115,121 | |||||
| Microchip Technology, Inc. |
||||||||
| 3.92%, 06/01/2021 |
$ | 1,670,000 | 1,707,495 | |||||
| 4.33%, 06/01/2023 |
15,130,000 | 15,973,771 | ||||||
| Micron Technology, Inc. |
||||||||
| 4.64%, 02/06/2024 |
6,512,000 | 7,062,024 | ||||||
| 4.19%, 02/15/2027 |
3,800,000 | 4,064,449 | ||||||
| 5.33%, 02/06/2029 |
1,759,000 | 2,016,001 | ||||||
| 4.66%, 02/15/2030 |
6,437,000 | 7,082,160 | ||||||
| Microsoft Corp. |
||||||||
| 1.85%, 02/06/2020 |
400,000 | 399,983 | ||||||
| NCR Corp. |
||||||||
| 5.75%, 09/01/2027(2) |
27,000 | 28,755 | ||||||
| NXP BV |
||||||||
| 5.35%, 03/01/2026(2) |
1,945,000 | 2,190,411 | ||||||
| NXP BV / NXP Funding LLC |
||||||||
| 4.13%, 06/01/2021(2) |
19,112,000 | 19,590,920 | ||||||
| 4.63%, 06/15/2022(2) |
3,150,000 | 3,318,694 | ||||||
| 3.88%, 09/01/2022(2) |
13,999,000 | 14,517,467 | ||||||
| 4.63%, 06/01/2023(2) |
460,000 | 491,463 | ||||||
| 4.88%, 03/01/2024(2) |
5,935,000 | 6,468,134 | ||||||
| Oracle Corp. |
||||||||
| 2.80%, 07/08/2021 |
10,685,000 | 10,845,738 | ||||||
| Seagate HDD Cayman |
||||||||
| 4.75%, 01/01/2025 |
3,297,000 | 3,521,613 | ||||||
| 4.88%, 06/01/2027 |
855,000 | 907,661 | ||||||
| 5.75%, 12/01/2034 |
1,022,000 | 1,068,862 | ||||||
| VMware, Inc. |
||||||||
| 2.30%, 08/21/2020 |
904,000 | 905,260 | ||||||
| 2.95%, 08/21/2022 |
2,540,000 | 2,588,337 | ||||||
| 3.90%, 08/21/2027 |
160,000 | 167,301 | ||||||
| Western Digital Corp. |
||||||||
| 4.75%, 02/15/2026 |
872,000 | 909,060 | ||||||
|
|
|
|||||||
| Total Technology |
277,015,872 | |||||||
|
|
|
|||||||
| Utilities – 1.64% |
||||||||
| AEP Texas, Inc. |
||||||||
| 3.85%, 10/01/2025(2) |
1,500,000 | 1,562,938 | ||||||
| AEP Transmission Co. LLC |
||||||||
| 3.10%, 12/01/2026 |
1,575,000 | 1,630,494 | ||||||
| American Electric Power Co., Inc. |
||||||||
| 2.15%, 11/13/2020 |
330,000 | 330,629 | ||||||
| 2.95%, 12/15/2022 |
400,000 | 407,440 | ||||||
| American Transmission Systems, Inc. |
||||||||
| 5.25%, 01/15/2022(2) |
100,000 | 105,804 | ||||||
| American Water Capital Corp. |
||||||||
| 4.15%, 06/01/2049 |
1,425,000 | 1,608,967 | ||||||
| Ausgrid Finance Pty Ltd. |
||||||||
| 3.85%, 05/01/2023(2) |
9,410,000 | 9,794,636 | ||||||
| Baltimore Gas & Electric Co. |
||||||||
| 2.80%, 08/15/2022 |
570,000 | 578,859 | ||||||
| Black Hills Corp. |
||||||||
| 4.35%, 05/01/2033 |
6,250,000 | 6,925,706 | ||||||
| British Transco International Finance BV |
||||||||
| 0.00%, 11/04/2021 |
400,000 | 383,311 | ||||||
| Chugoku Electric Power Co., Inc. |
||||||||
| 2.70%, 03/16/2020 |
900,000 | 900,450 | ||||||
| Cleco Power LLC |
||||||||
| 6.00%, 12/01/2040 |
1,000,000 | 1,248,177 | ||||||
| Dominion Energy Inc. |
||||||||
| 2.45%, 01/15/2023(2) |
13,500,000 | 13,538,993 | ||||||
| Duke Energy Carolinas LLC |
||||||||
| 4.25%, 12/15/2041 |
1,650,000 | 1,881,484 | ||||||
| 3.88%, 03/15/2046 |
2,750,000 | 3,042,863 | ||||||
| 3.70%, 12/01/2047 |
2,500,000 | 2,695,869 | ||||||
| Duke Energy Corp. |
||||||||
| 2.41% (3 Month LIBOR USD + 0.50%), 05/14/2021(1)(2) |
156,000 | 156,572 | ||||||
| Duke Energy Progress LLC |
||||||||
| 3.25%, 08/15/2025 |
2,613,000 | 2,742,433 | ||||||
| 3.70%, 09/01/2028 |
4,050,000 | 4,425,724 | ||||||
| 4.10%, 03/15/2043 |
900,000 | 1,005,488 | ||||||
| 4.20%, 08/15/2045 |
1,000,000 | 1,135,516 | ||||||
| Duquesne Light Holdings, Inc. |
||||||||
| 6.40%, 09/15/2020(2) |
400,000 | 411,582 | ||||||
| 5.90%, 12/01/2021(2) |
1,500,000 | 1,593,909 | ||||||
| Emera US Finance LP |
||||||||
| 2.70%, 06/15/2021 |
338,000 | 341,060 | ||||||
| Enel Americas SA |
||||||||
| 4.00%, 10/25/2026 |
9,422,000 | 9,751,864 | ||||||
| Enel Finance International NV |
||||||||
| 2.75%, 04/06/2023(2) |
8,060,000 | 8,112,964 | ||||||
| 3.63%, 05/25/2027(2) |
3,175,000 | 3,285,987 | ||||||
| Entergy Corp. |
||||||||
| 5.13%, 09/15/2020 |
3,022,000 | 3,063,262 | ||||||
| 4.00%, 07/15/2022 |
925,000 | 965,183 | ||||||
| Exelon Corp. |
||||||||
| 2.85%, 06/15/2020 |
2,975,000 | 2,981,622 | ||||||
| FirstEnergy Corp. |
||||||||
| 2.85%, 07/15/2022 |
2,075,000 | 2,107,872 | ||||||
| 3.90%, 07/15/2027 |
5,035,000 | 5,379,712 | ||||||
| FirstEnergy Transmission LLC |
||||||||
| 4.35%, 01/15/2025(2) |
7,535,000 | 8,090,165 | ||||||
| IPALCO Enterprises, Inc. |
||||||||
| 3.45%, 07/15/2020 |
280,000 | 281,207 | ||||||
| ITC Holdings Corp. |
||||||||
| 2.70%, 11/15/2022 |
610,000 | 617,294 | ||||||
| 4.05%, 07/01/2023 |
3,812,000 | 3,999,671 | ||||||
| 3.25%, 06/30/2026 |
2,000,000 | 2,061,190 | ||||||
| Jersey Central Power & Light Co. |
||||||||
| 4.70%, 04/01/2024(2) |
150,000 | 163,448 | ||||||
| 4.30%, 01/15/2026(2) |
1,000,000 | 1,087,872 | ||||||
| Kansas City Power & Light Co. |
||||||||
| 3.65%, 08/15/2025 |
3,550,000 | 3,783,250 | ||||||
| KeySpan Gas East Corp. |
||||||||
| 2.74%, 08/15/2026(2) |
4,500,000 | 4,506,451 | ||||||
| LG&E & KU Energy LLC |
||||||||
| 4.38%, 10/01/2021 |
700,000 | 722,670 | ||||||
| Metropolitan Edison Co. |
||||||||
| 4.00%, 04/15/2025(2) |
4,000,000 | 4,256,311 | ||||||
| 4.30%, 01/15/2029(2) |
5,000,000 | 5,567,509 | ||||||
| Mong Duong Finance Holdings BV |
||||||||
| 5.13%, 05/07/2029 |
250,000 | 255,626 | ||||||
| NextEra Energy Capital Holdings Inc. |
||||||||
| 2.40%, 09/01/2021 |
500,000 | 503,473 | ||||||
| NextEra Energy Capital Holdings, Inc. |
||||||||
| 3.34%, 09/01/2020 |
3,400,000 | 3,429,693 | ||||||
| 2.46% (3 Month LIBOR USD + 0.55%), 08/28/2021(1) |
9,000,000 | 9,001,484 | ||||||
| NiSource, Inc. |
||||||||
| 2.65%, 11/17/2022 |
750,000 | 758,791 | ||||||
| Northern States Power Co. |
||||||||
| 4.00%, 08/15/2045 |
1,000,000 | 1,160,939 | ||||||
| 3.60%, 09/15/2047 |
1,800,000 | 1,918,222 | ||||||
| NRG Energy, Inc. |
||||||||
| 3.75%, 06/15/2024(2) |
700,000 | 723,231 | ||||||
| 4.45%, 06/15/2029(2) |
2,295,000 | 2,401,006 | ||||||
| Pacific Gas & Electric Co. |
||||||||
| 3.50%, 10/01/2020(7) |
2,454,000 | 2,460,135 | ||||||
| 4.25%, 05/15/2021(7) |
6,273,000 | 6,288,682 | ||||||
| 3.25%, 09/15/2021(7) |
959,000 | 961,398 | ||||||
| 2.45%, 08/15/2022(7) |
1,944,000 | 1,942,787 | ||||||
| 3.25%, 06/15/2023(7) |
2,644,000 | 2,630,780 | ||||||
| 4.25%, 08/01/2023(2)(7) |
800,000 | 820,000 | ||||||
| 3.85%, 11/15/2023(7) |
318,000 | 321,180 |
| 3.75%, 02/15/2024(7) |
811,000 | 823,165 | ||||||
| 3.40%, 08/15/2024(7) |
2,476,000 | 2,506,950 | ||||||
| 3.50%, 06/15/2025(7) |
1,913,000 | 1,913,000 | ||||||
| 2.95%, 03/01/2026(7) |
3,053,000 | 3,060,633 | ||||||
| 3.30%, 03/15/2027(7) |
1,252,000 | 1,252,000 | ||||||
| 3.30%, 12/01/2027(7) |
3,700,000 | 3,700,000 | ||||||
| 4.65%, 08/01/2028(2)(7) |
100,000 | 103,250 | ||||||
| 6.05%, 03/01/2034(7) |
1,003,000 | 1,050,642 | ||||||
| 5.80%, 03/01/2037(7) |
795,000 | 828,787 | ||||||
| 6.35%, 02/15/2038(7) |
444,000 | 469,810 | ||||||
| 6.25%, 03/01/2039(7) |
615,000 | 647,287 | ||||||
| 5.40%, 01/15/2040(7) |
4,186,000 | 4,353,440 | ||||||
| 4.50%, 12/15/2041(7) |
203,000 | 204,523 | ||||||
| 4.45%, 04/15/2042(7) |
941,000 | 955,115 | ||||||
| 3.75%, 08/15/2042(7) |
166,000 | 166,000 | ||||||
| 4.60%, 06/15/2043(7) |
488,000 | 495,320 | ||||||
| 5.13%, 11/15/2043(7) |
1,132,000 | 1,158,183 | ||||||
| 4.75%, 02/15/2044(7) |
423,000 | 434,633 | ||||||
| 4.30%, 03/15/2045(7) |
475,000 | 482,125 | ||||||
| 4.00%, 12/01/2046(7) |
16,000 | 15,880 | ||||||
| Pennsylvania Electric Co. |
||||||||
| 5.20%, 04/01/2020 |
780,000 | 785,587 | ||||||
| Perusahaan Listrik Negara PT |
||||||||
| 5.45%, 05/21/2028(2) |
11,800,000 | 13,570,000 | ||||||
| PPL WEM Ltd. / Western Power Distribution Ltd. |
||||||||
| 5.38%, 05/01/2021(2) |
2,615,000 | 2,691,627 | ||||||
| Public Service Co. of New Mexico |
||||||||
| 3.85%, 08/01/2025 |
7,000,000 | 7,294,416 | ||||||
| Puget Energy, Inc. |
||||||||
| 6.50%, 12/15/2020 |
2,903,000 | 3,019,227 | ||||||
| San Diego Gas & Electric Co. |
||||||||
| 3.75%, 06/01/2047 |
24,000 | 24,894 | ||||||
| Sempra Energy |
||||||||
| 2.40%, 03/15/2020 |
3,592,000 | 3,592,230 | ||||||
| 4.05%, 12/01/2023 |
1,250,000 | 1,328,608 | ||||||
| 3.25%, 06/15/2027 |
8,634,000 | 8,882,032 | ||||||
| 3.40%, 02/01/2028 |
3,037,000 | 3,144,559 | ||||||
| Southern California Edison Co. |
||||||||
| 3.65%, 03/01/2028 |
40,000 | 42,846 | ||||||
| 6.65%, 04/01/2029 |
192,000 | 231,076 | ||||||
| 6.00%, 01/15/2034 |
20,000 | 24,590 | ||||||
| 5.75%, 04/01/2035 |
70,000 | 85,248 | ||||||
| Southern California Gas Co. |
||||||||
| 5.13%, 11/15/2040 |
12,000 | 14,647 | ||||||
| Southern Co. |
||||||||
| 3.25%, 07/01/2026 |
8,000,000 | 8,325,812 | ||||||
| Southern Co. Gas Capital Corp. |
||||||||
| 3.50%, 09/15/2021 |
3,250,000 | 3,316,074 | ||||||
| 5.88%, 03/15/2041 |
1,920,000 | 2,419,485 | ||||||
| 4.40%, 05/30/2047 |
1,915,000 | 2,113,303 | ||||||
| Southern Power Co. |
||||||||
| 2.46% (3 Month LIBOR USD + 0.55%), 12/20/2020(1)(2) |
600,000 | 600,146 | ||||||
| Southwestern Electric Power Co. |
||||||||
| 4.10%, 09/15/2028 |
10,000,000 | 10,929,655 | ||||||
| Spire, Inc. |
||||||||
| 3.54%, 02/27/2024 |
5,000,000 | 5,121,761 | ||||||
| State Grid Overseas Investment 2016 Ltd. |
||||||||
| 2.75%, 05/04/2022(2) |
404,000 | 408,171 | ||||||
| 3.75%, 05/02/2023(2) |
4,235,000 | 4,413,470 | ||||||
| Talen Energy Supply LLC |
| 6.63%, 01/15/2028(2) |
250,000 | 255,000 | ||||||
| Tucson Electric Power Co. |
||||||||
| 5.15%, 11/15/2021 |
2,515,000 | 2,636,424 | ||||||
| 3.05%, 03/15/2025 |
3,000,000 | 3,086,850 | ||||||
| Vistra Operations Co. LLC |
||||||||
| 3.55%, 07/15/2024(2) |
6,335,000 | 6,412,011 | ||||||
| 3.70%, 01/30/2027(2) |
25,455,000 | 25,265,993 | ||||||
| 4.30%, 07/15/2029(2) |
3,095,000 | 3,153,200 | ||||||
|
|
|
|||||||
| Total Utilities |
312,621,520 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost: $5,669,874,153) |
5,950,423,290 | |||||||
|
|
|
|||||||
| Convertible Securities – 0.11% |
||||||||
| Communications – 0.03% |
||||||||
| DISH Network Corp. |
||||||||
| 2.38%, 03/15/2024 |
7,520,000 | 6,866,512 | ||||||
| 3.38%, 08/15/2026 |
60,000 | 57,714 | ||||||
|
|
|
|||||||
| Total Communications |
6,924,226 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 0.02% |
||||||||
| Caesars Entertainment Corp. |
||||||||
| 5.00%, 10/01/2024 |
1,634,430 | 3,140,149 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
3,140,149 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 0.04% |
||||||||
| BioMarin Pharmaceutical, Inc. |
||||||||
| 0.60%, 08/01/2024 |
6,980,000 | 7,374,361 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
7,374,361 | |||||||
|
|
|
|||||||
| Energy – 0.01% |
||||||||
| Chesapeake Energy Corp. |
||||||||
| 5.50%, 09/15/2026 |
3,940,000 | 1,876,953 | ||||||
| Whiting Petroleum Corp. |
||||||||
| 1.25%, 04/01/2020 |
158,000 | 154,222 | ||||||
|
|
|
|||||||
| Total Energy |
2,031,175 | |||||||
|
|
|
|||||||
| Industrials – 0.01% |
||||||||
| Greenbrier Cos, Inc. |
||||||||
| 2.88%, 02/01/2024 |
1,993,000 | 1,923,885 | ||||||
|
|
|
|||||||
| Total Industrials |
1,923,885 | |||||||
|
|
|
|||||||
| Total Convertible Securities (Cost: $22,633,491) |
21,393,796 | |||||||
|
|
|
|||||||
| Government Related – 21.21% |
||||||||
| Abu Dhabi Government International Bond |
||||||||
| 2.50%, 10/11/2022(2) |
500,000 | 506,135 | ||||||
| 3.13%, 10/11/2027(2) |
1,200,000 | 1,256,815 | ||||||
| Africa Finance Corp. |
||||||||
| 3.88%, 04/13/2024(2) |
1,085,000 | 1,127,983 | ||||||
| Argentina Bocon |
||||||||
| 59.93% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(1) |
ARS | 3,900,000 | 91,195 | |||||
| Argentina Bonar Bonds |
||||||||
| 45.40% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/01/2020(1) |
119,330,000 | 1,694,128 | ||||||
| 42.84% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022(1) |
187,669,000 | 2,209,832 | ||||||
| Argentina POM Politica Monetaria |
||||||||
| 56.59% (Argentina Blended Historical Policy Rate + 0.00%), 06/21/2020(1) |
2,004,605,000 | 22,432,687 | ||||||
| Argentine Bonos del Tesoro |
||||||||
| 15.50%, 10/17/2026 |
6,610,000 | 39,745 | ||||||
| Argentine Republic Government International Bond |
||||||||
| 3.88%, 01/15/2022 |
EUR | 16,200,000 | 8,604,769 | |||||
| 5.63%, 01/26/2022 |
$ | 445,000 | 230,288 | |||||
| 4.63%, 01/11/2023 |
8,716,000 | 4,301,346 | ||||||
| 3.38%, 01/15/2023 |
EUR | 1,100,000 | 551,787 | |||||
| 7.50%, 04/22/2026 |
$ | 150,000 | 78,000 | |||||
| 5.00%, 01/15/2027 |
EUR | 2,000,000 | 989,474 | |||||
| 6.88%, 01/26/2027 |
$ | 300,000 | 149,250 | |||||
| 5.25%, 01/15/2028 |
EUR | 500,000 | 240,997 | |||||
| 7.82%, 12/31/2033 |
220,177 | 142,305 | ||||||
| 7.13%, 07/06/2036 |
$ | 200,000 | 96,500 | |||||
| 3.38%, 12/31/2038(3) |
EUR | 179,000 | 90,373 | |||||
| 3.75%, 12/31/2038(3) |
$ | 8,696,000 | 4,239,387 | |||||
| 6.25%, 11/09/2047 |
EUR | 100,000 | 49,812 | |||||
| 6.88%, 01/11/2048 |
$ | 1,200,000 | 574,500 | |||||
| Autonomous Community of Catalonia |
||||||||
| 4.95%, 02/11/2020 |
EUR | 50,000 | 56,363 | |||||
| 4.90%, 09/15/2021 |
50,000 | 59,621 | ||||||
| Bahrain Government International Bond |
||||||||
| 7.00%, 10/12/2028 |
$ | 300,000 | 354,913 | |||||
| Bonos de la Nacion Argentina con Ajuste por CER |
||||||||
| 4.00%, 03/06/2020 |
ARS | 19,550,000 | 519,184 | |||||
| Brazilian Government International Bond |
||||||||
| 12.50%, 01/05/2022 |
BRL | 15,980,000 | 4,483,910 | |||||
| 4.63%, 01/13/2028 |
$ | 500,000 | 537,000 | |||||
| City of New York NY |
||||||||
| 3.55%, 12/01/2028 |
3,645,000 | 3,852,802 | ||||||
| Ciudad Autonoma de Buenos Aires/Government Bonds |
||||||||
| 51.31% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 5.00%), 01/23/2022(1) |
ARS | 46,530,000 | 761,617 | |||||
| Colombia Government International Bond |
||||||||
| 2.63%, 03/15/2023 |
$ | 440,000 | 440,422 | |||||
| 4.00%, 02/26/2024 |
31,290,000 | 32,962,138 | ||||||
| 4.50%, 01/28/2026 |
525,000 | 571,426 | ||||||
| Commonwealth of Puerto Rico |
||||||||
| 5.00%, 07/01/2021(7) |
240,000 | 170,100 | ||||||
| 4.13%, 07/01/2022(7) |
100,000 | 68,750 | ||||||
| 5.70%, 07/01/2023(7) |
170,000 | 131,963 | ||||||
| 5.25%, 07/01/2026(7) |
200,000 | 161,500 | ||||||
| 5.00%, 07/01/2028(7) |
20,000 | 16,125 | ||||||
| 5.13%, 07/01/2028(7) |
30,000 | 23,813 | ||||||
| 5.38%, 07/01/2030(7) |
165,000 | 124,575 | ||||||
| 5.13%, 07/01/2031(7) |
2,590,000 | 2,072,000 | ||||||
| 5.50%, 07/01/2032(7) |
1,610,000 | 1,288,000 | ||||||
| 8.00%, 07/01/2035(7) |
800,000 | 509,000 | ||||||
| 5.13%, 07/01/2037(7) |
190,000 | 133,000 | ||||||
| 5.25%, 07/01/2037(7) |
100,000 | 80,750 | ||||||
| 5.75%, 07/01/2038(7) |
80,000 | 63,500 | ||||||
| 6.00%, 07/01/2038(7) |
610,000 | 496,388 | ||||||
| 5.50%, 07/01/2039(7) |
520,000 | 371,800 | ||||||
| 6.00%, 07/01/2039(7) |
55,000 | 43,863 | ||||||
| 6.50%, 07/01/2040(7) |
30,000 | 23,813 | ||||||
| 5.00%, 07/01/2041(7) |
395,000 | 268,600 | ||||||
| 5.75%, 07/01/2041(7) |
100,000 | 75,875 | ||||||
| Dominican Republic International Bond |
||||||||
| 6.00%, 07/19/2028 |
500,000 | 555,630 | ||||||
| Egypt Government International Bond |
||||||||
| 5.58%, 02/21/2023(2) |
400,000 | 418,353 | ||||||
| Export Credit Bank of Turkey |
||||||||
| 8.25%, 01/24/2024(2) |
1,000,000 | 1,087,400 | ||||||
| Export-Import Bank of India |
||||||||
| 2.98% (3 Month LIBOR USD + 1.02%), 03/28/2022(1) |
9,600,000 | 9,601,152 | ||||||
| Hazine Mustesarligi Varlik Kiralama AS |
||||||||
| 5.80%, 02/21/2022(2) |
7,960,000 | 8,202,111 |
| Inter-American Development Bank |
||||||||
| 2.63%, 04/19/2021 |
20,000,000 | 20,237,085 | ||||||
| International Bank for Reconstruction & Development |
||||||||
| 2.75%, 07/23/2021 |
20,000,000 | 20,327,458 | ||||||
| Israel Government Bond - Fixed |
||||||||
| 5.50%, 01/31/2042 |
ILS | 54,000,000 | 26,796,255 | |||||
| Los Angeles Department of Water |
||||||||
| 6.01%, 07/01/2039 |
$ | 675,000 | 874,152 | |||||
| Malaysia Government Bond |
||||||||
| 3.49%, 03/31/2020 |
MYR | 16,000,000 | 3,919,326 | |||||
| 3.66%, 10/15/2020 |
6,795,000 | 1,670,955 | ||||||
| 4.05%, 09/30/2021 |
51,970,000 | 12,924,993 | ||||||
| Massachusetts Educational Financing Authority |
||||||||
| 3.85%, 05/25/2033 |
$ | 4,148,236 | 4,191,917 | |||||
| Mexico Government International Bond |
||||||||
| 3.75%, 01/11/2028 |
650,000 | 675,350 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue |
||||||||
| 2.80%, 02/01/2026 |
1,850,000 | 1,894,659 | ||||||
| 5.27%, 05/01/2027 |
3,500,000 | 4,131,855 | ||||||
| 3.95%, 08/01/2032 |
1,900,000 | 2,059,505 | ||||||
| New York City Water & Sewer System |
||||||||
| 5.75%, 06/15/2041 |
240,000 | 336,134 | ||||||
| New York State Dormitory Authority |
||||||||
| 5.05%, 09/15/2027 |
1,800,000 | 2,107,854 | ||||||
| Norway Government Bond |
||||||||
| 3.75%, 05/25/2021(2) |
NOK | 89,075,000 | 10,482,873 | |||||
| Oman Government International Bond |
||||||||
| 5.63%, 01/17/2028(2) |
$ | 500,000 | 516,875 | |||||
| 6.00%, 08/01/2029(2) |
2,540,000 | 2,651,150 | ||||||
| Paraguay Government International Bond |
||||||||
| 4.70%, 03/27/2027 |
300,000 | 330,000 | ||||||
| Peru Government Bond |
||||||||
| 5.94%, 02/12/2029(2) |
PEN | 21,282,000 | 7,246,654 | |||||
| 6.95%, 08/12/2031 |
5,192,000 | 1,887,591 | ||||||
| 6.15%, 08/12/2032(2) |
17,826,000 | 6,094,208 | ||||||
| Peruvian Government International Bond |
||||||||
| 8.20%, 08/12/2026(2) |
15,908,000 | 6,109,600 | ||||||
| 6.35%, 08/12/2028(2) |
12,544,000 | 4,389,848 | ||||||
| 5.94%, 02/12/2029 |
11,140,000 | 3,793,240 | ||||||
| 5.94%, 02/12/2029(2) |
11,637,000 | 3,962,471 | ||||||
| 6.95%, 08/12/2031 |
1,183,000 | 430,089 | ||||||
| 6.95%, 08/12/2031(2) |
11,230,000 | 4,082,752 | ||||||
| 6.15%, 08/12/2032(2) |
2,151,000 | 740,680 | ||||||
| 6.90%, 08/12/2037(2) |
879,000 | 319,667 | ||||||
| Provincia de Buenos Aires/Government Bonds |
||||||||
| 45.98% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.83%), 05/31/2022(1) |
ARS | 15,450,000 | 157,411 | |||||
| 52.27% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 04/12/2025(1)(2) |
254,135,000 | 2,801,471 | ||||||
| Puerto Rico Electric Power Authority |
||||||||
| 6.05%, 07/01/2032(7) |
$ | 100,000 | 75,875 | |||||
| Qatar Government International Bond |
||||||||
| 3.88%, 04/23/2023 |
1,700,000 | 1,794,625 | ||||||
| 4.50%, 04/23/2028 |
600,000 | 687,012 | ||||||
| 5.10%, 04/23/2048 |
600,000 | 770,456 | ||||||
| Republic of South Africa Government International Bond |
||||||||
| 4.88%, 04/14/2026 |
700,000 | 728,267 | ||||||
| 4.85%, 09/30/2029 |
7,600,000 | 7,600,000 | ||||||
| 5.75%, 09/30/2049 |
5,200,000 | 5,064,384 | ||||||
| Russian Foreign Bond - Eurobond |
||||||||
| 4.75%, 05/27/2026 |
600,000 | 669,287 | ||||||
| Saudi Government International Bond |
| 2.88%, 03/04/2023(2) |
2,000,000 | 2,035,160 | ||||||
| 4.00%, 04/17/2025 |
16,200,000 | 17,463,600 | ||||||
| 3.63%, 03/04/2028 |
600,000 | 633,268 | ||||||
| 4.63%, 10/04/2047(2) |
800,000 | 900,000 | ||||||
| 5.00%, 04/17/2049(2) |
1,400,000 | 1,673,000 | ||||||
| State of California |
||||||||
| 7.95%, 03/01/2036 |
4,085,000 | 4,123,644 | ||||||
| State of Illinois |
||||||||
| 5.10%, 06/01/2033 |
640,000 | 689,939 | ||||||
| 6.73%, 04/01/2035 |
70,000 | 82,157 | ||||||
| 7.35%, 07/01/2035 |
55,000 | 66,759 | ||||||
| Texas Public Finance Authority |
||||||||
| 8.25%, 07/01/2024 |
4,660,000 | 4,700,822 | ||||||
| Turkey Government International Bond |
||||||||
| 5.63%, 03/30/2021 |
800,000 | 823,394 | ||||||
| 7.25%, 12/23/2023 |
10,800,000 | 11,685,211 | ||||||
| 5.75%, 03/22/2024 |
600,000 | 613,226 | ||||||
| 6.35%, 08/10/2024 |
1,782,000 | 1,860,850 | ||||||
| 4.63%, 03/31/2025 |
EUR | 6,300,000 | 7,465,894 | |||||
| 7.63%, 04/26/2029 |
$ | 11,900,000 | 13,141,622 | |||||
| U.S. Treasury Inflation Indexed Bonds |
||||||||
| 0.13%, 07/15/2024(8) |
8,730,090 | 8,781,537 | ||||||
| 0.25%, 07/15/2029(8) |
104,722,832 | 105,727,544 | ||||||
| 1.00%, 02/15/2049(8) |
58,727,973 | 65,237,552 | ||||||
| U.S. Treasury Inflation Indexed Note |
||||||||
| 0.13%, 10/15/2024(8) |
45,583,153 | 45,843,045 | ||||||
| U.S. Treasury Note/Bond |
||||||||
| 2.63%, 08/31/2020 |
46,770,000 | 47,068,686 | ||||||
| 2.75%, 09/30/2020 |
62,290,000 | 62,789,157 | ||||||
| 1.50%, 08/31/2021 |
13,940,000 | 13,915,016 | ||||||
| 1.50%, 09/30/2021 |
55,840,000 | 55,740,902 | ||||||
| 1.50%, 10/31/2021 |
58,356,000 | 58,260,230 | ||||||
| 1.50%, 11/30/2021 |
119,150,000 | 118,956,331 | ||||||
| 1.50%, 08/15/2022 |
31,050,000 | 30,967,039 | ||||||
| 1.50%, 09/15/2022(15) |
220,645,000 | 220,024,429 | ||||||
| 1.38%, 10/15/2022 |
21,075,000 | 20,935,315 | ||||||
| 1.63%, 11/15/2022 |
251,170,000 | 251,217,039 | ||||||
| 1.63%, 12/15/2022 |
24,000,000 | 24,009,521 | ||||||
| 1.50%, 10/31/2024 |
313,951,000 | 311,034,747 | ||||||
| 1.50%, 11/30/2024 |
278,915,000 | 276,386,125 | ||||||
| 2.88%, 05/31/2025 |
167,200,000 | 176,932,312 | ||||||
| 2.00%, 11/15/2026(15) |
44,737,000 | 45,202,113 | ||||||
| 1.63%, 11/30/2026 |
139,227,000 | 137,297,580 | ||||||
| 2.25%, 02/15/2027(15) |
141,695,000 | 145,499,100 | ||||||
| 2.88%, 08/15/2028 |
44,165,000 | 47,568,410 | ||||||
| 2.38%, 05/15/2029(9) |
90,230,000 | 93,710,680 | ||||||
| 1.75%, 11/15/2029 |
192,169,000 | 189,117,568 | ||||||
| 4.63%, 02/15/2040 |
18,930,000 | 26,141,947 | ||||||
| 3.88%, 08/15/2040 |
32,670,000 | 41,128,115 | ||||||
| 4.25%, 11/15/2040 |
55,600,000 | 73,496,047 | ||||||
| 2.50%, 02/15/2045 |
62,700,000 | 63,894,362 | ||||||
| 3.00%, 05/15/2045 |
30,000,000 | 33,450,859 | ||||||
| 2.50%, 05/15/2046(15) |
11,105,000 | 11,323,572 | ||||||
| 2.88%, 11/15/2046 |
9,960,000 | 10,912,176 | ||||||
| 2.75%, 11/15/2047 |
250,000 | 267,772 | ||||||
| 3.00%, 02/15/2048 |
30,340,000 | 34,067,622 | ||||||
| 3.13%, 05/15/2048(9) |
12,780,000 | 14,698,548 | ||||||
| 3.00%, 08/15/2048 |
91,040,000 | 102,409,833 | ||||||
| 3.00%, 02/15/2049 |
124,310,000 | 140,077,277 | ||||||
| 2.88%, 05/15/2049 |
52,917,900 | 58,261,849 |
| 2.25%, 08/15/2049(9) |
232,090,000 | 224,873,440 | ||||||
| 2.38%, 11/15/2049 |
302,020,000 | 300,662,761 | ||||||
| Uruguay Government International Bond |
||||||||
| 4.38%, 01/23/2031 |
400,000 | 447,200 | ||||||
| Venezuela Government International Bond |
||||||||
| 7.75%, 04/13/2020(7) |
100,000 | 11,250 | ||||||
| 6.00%, 12/09/2020(7) |
30,000 | 3,450 | ||||||
| 9.00%, 05/07/2023(7) |
110,000 | 12,650 | ||||||
| 9.00%, 05/07/2023(7) |
7,405,000 | 851,575 | ||||||
| 8.25%, 10/13/2024(7) |
7,294,000 | 838,810 | ||||||
| 7.65%, 04/21/2025(7) |
534,000 | 61,410 | ||||||
| 11.75%, 10/21/2026(7) |
120,000 | 13,800 | ||||||
| 9.25%, 09/15/2027(7) |
1,049,000 | 120,635 | ||||||
| 9.25%, 05/07/2028(7) |
420,000 | 48,300 | ||||||
| 11.95%, 08/05/2031(7) |
3,200,000 | 368,000 | ||||||
| 7.00%, 03/31/2038(7) |
187,000 | 21,505 | ||||||
|
|
|
|||||||
| Total Government Related (Cost: $4,023,982,899) |
4,054,464,038 | |||||||
|
|
|
|||||||
| Mortgage-Backed Obligations – 32.87% |
||||||||
| 280 Park Avenue 2017-280P Mortgage Trust |
||||||||
| 2.62% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034(1)(2) |
1,315,632 | 1,315,206 | ||||||
| Alternative Loan Trust 2003-22CB |
||||||||
| 5.75%, 12/25/2033 |
647,527 | 665,364 | ||||||
| 6.00%, 12/25/2033 |
187,487 | 189,661 | ||||||
| Alternative Loan Trust 2004-16CB |
||||||||
| 5.50%, 07/25/2034 |
427,709 | 438,230 | ||||||
| 5.50%, 08/25/2034 |
482,431 | 494,271 | ||||||
| Alternative Loan Trust 2005-56 |
||||||||
| 2.52% (1 Month LIBOR USD + 0.73%, 0.73% Floor), 11/25/2035(1) |
5,297,393 | 5,416,097 | ||||||
| Alternative Loan Trust 2005-74T1 |
||||||||
| 6.00%, 01/25/2036 |
12,206,973 | 10,117,960 | ||||||
| Alternative Loan Trust 2006-HY12 |
||||||||
| 3.96%, 08/25/2036(4) |
298,824 | 311,546 | ||||||
| Alternative Loan Trust 2006-OA17 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046(1) |
17,582,304 | 15,306,246 | ||||||
| Alternative Loan Trust 2006-OA22 |
||||||||
| 2.00% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/25/2047(1) |
15,873,465 | 15,228,918 | ||||||
| Alternative Loan Trust 2006-OA3 |
||||||||
| 1.99% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2036(1) |
6,685,450 | 5,987,769 | ||||||
| Alternative Loan Trust 2006-OA7 |
||||||||
| 3.18% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046(1) |
13,126,545 | 11,905,677 | ||||||
| Alternative Loan Trust 2006-OC5 |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 06/25/2046(1) |
8,077,210 | 7,324,566 | ||||||
| Alternative Loan Trust 2007-HY7C |
||||||||
| 1.93% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2037(1) |
3,210,112 | 2,990,345 | ||||||
| Alternative Loan Trust 2007-OA2 |
||||||||
| 1.92% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047(1) |
13,084,214 | 10,752,899 | ||||||
| 3.08% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047(1) |
29,829,916 | 25,620,181 | ||||||
| Alternative Loan Trust 2007-OA4 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 05/25/2047(1) |
2,159,074 | 2,039,393 | ||||||
| Angel Oak Mortgage Trust 2019-3 |
||||||||
| 3.24%, 05/25/2059(2)(4) |
4,937,560 | 4,947,547 | ||||||
| Angel Oak Mortgage Trust I LLC 2019-1 |
||||||||
| 3.92%, 11/25/2048(2)(4) |
7,580,372 | 7,689,049 | ||||||
| 4.02%, 11/25/2048(2)(4) |
1,703,845 | 1,728,206 | ||||||
| Angel Oak Mortgage Trust I LLC 2019-2 |
||||||||
| 3.63%, 03/25/2049(2)(4) |
2,880,295 | 2,912,125 | ||||||
| 3.78%, 03/25/2049(2)(4) |
3,132,887 | 3,166,874 | ||||||
| 4.07%, 03/25/2049(2)(4) |
3,460,000 | 3,520,494 | ||||||
| AREIT 2018-CRE1 Trust |
||||||||
| 4.84% (1 Month LIBOR USD + 3.10%, 3.10% Floor), 02/14/2035(1)(2) |
4,800,000 | 4,799,491 | ||||||
| Ashford Hospitality Trust 2018-ASHF |
||||||||
| 2.64% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/15/2035(1)(2) |
1,061,043 | 1,055,766 | ||||||
| 2.99% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/15/2035(1)(2) |
1,530,000 | 1,524,251 | ||||||
| 3.14% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 04/15/2035(1)(2) |
715,000 | 712,759 | ||||||
| Atrium Hotel Portfolio Trust 2017-ATRM |
||||||||
| 2.67% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 12/15/2036(1)(2) |
3,120,000 | 3,109,500 | ||||||
| 3.24% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 12/15/2036(1)(2) |
1,095,000 | 1,092,292 | ||||||
| Austin Fairmont Hotel Trust 2019-FAIR |
||||||||
| 2.99% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 09/15/2032(1)(2) |
2,155,000 | 2,154,996 | ||||||
| 3.19% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 09/15/2032(1)(2) |
5,500,000 | 5,503,280 | ||||||
| Aventura Mall Trust |
||||||||
| 4.11%, 07/05/2040(2)(4) |
5,325,000 | 5,840,611 | ||||||
| BAMLL Commercial Mortgage Securities Trust 2016-ISQ |
||||||||
| 2.85%, 08/14/2034(2) |
6,895,000 | 6,946,071 | ||||||
| BAMLL Commercial Mortgage Securities Trust 2018-PARK |
||||||||
| 4.09%, 08/10/2038(2)(4) |
6,575,000 | 7,275,434 | ||||||
| BAMLL Re-REMIC Trust 2016-RRLD11 |
||||||||
| 5.88%, 06/17/2050(2)(4) |
397,196 | 396,616 | ||||||
| 5.88%, 06/17/2050(2)(4) |
100,000 | 48,000 | ||||||
| Banc of America Commercial Mortgage Trust 2007-5 |
||||||||
| 5.82%, 02/10/2051(4) |
5,988,355 | 6,397,472 | ||||||
| Banc of America Funding 2015-R7 Trust |
||||||||
| 2.68% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046(1)(2) |
1,263,457 | 1,284,328 | ||||||
| Banc of America Funding 2015-R8 Trust |
||||||||
| 3.17%, 11/26/2046(2)(4) |
1,853,305 | 1,882,196 | ||||||
| Banc of America Funding 2015-R9 Trust |
||||||||
| 2.00% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/26/2037(1)(2) |
15,000,297 | 14,768,832 | ||||||
| Bank 2017-BNK4 |
||||||||
| 4.00%, 05/15/2050 |
960,000 | 1,016,418 | ||||||
| Bank 2017-BNK5 |
||||||||
| 3.90%, 06/15/2060(4) |
1,167,000 | 1,218,899 | ||||||
| Bank 2019-BNK18 |
||||||||
| 3.98%, 05/15/2062 |
4,550,000 | 4,872,686 | ||||||
| BANK 2019-BNK20 |
||||||||
| 2.76%, 09/15/2061 |
5,760,000 | 5,811,784 | ||||||
| BANK 2019-BNK21 |
||||||||
| 2.60%, 10/17/2052 |
6,675,000 | 6,645,571 | ||||||
| 2.85%, 10/17/2052 |
2,390,000 | 2,426,280 | ||||||
| 3.52%, 10/17/2052 |
1,960,000 | 1,974,097 | ||||||
| BANK 2019-BNK22 |
||||||||
| 2.50%, 11/15/2062(2) |
3,945,000 | 3,404,637 | ||||||
| BBCCRE Trust 2015-GTP |
||||||||
| 4.55%, 08/10/2033(2)(4) |
2,715,000 | 2,831,749 | ||||||
| BBCMS 2019-BWAY Mortgage Trust |
||||||||
| 3.90% (1 Month LIBOR USD + 2.16%, 2.16% Floor), 11/25/2034(1)(2) |
2,025,000 | 2,014,860 | ||||||
| BBCMS Trust 2018-CBM |
||||||||
| 2.74% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/15/2037(1)(2) |
2,945,000 | 2,945,893 | ||||||
| BCAP LLC 2014-RR2 |
||||||||
| 1.95% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/26/2036(1)(2) |
16,529,291 | 15,531,212 | ||||||
| Bear Stearns ALT-A Trust 2005-1 |
||||||||
| 2.92% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 11.50% Cap), 01/25/2035(1) |
6,466,887 | 6,272,463 | ||||||
| Bear Stearns ARM Trust 2003-3 |
||||||||
| 4.97%, 05/25/2033(4) |
590,792 | 606,326 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 |
||||||||
| 5.66%, 10/12/2041(2)(4) |
9,159,076 | 9,478,824 | ||||||
| Benchmark 2019-B13 Mortgage Trust |
||||||||
| 2.70%, 08/15/2057 |
7,750,000 | 7,774,699 | ||||||
| 3.18%, 08/15/2057 |
2,902,000 | 2,950,915 | ||||||
| BFLD 2019-DPLO |
| 3.28% (1 Month LIBOR USD + 1.54%, 1.54% Floor), 10/15/2034(1)(2) |
4,650,000 | 4,641,185 | ||||||
| Brass NO 8 Plc |
||||||||
| 2.81% (3 Month LIBOR USD + 0.70%), 11/16/2066(1)(2) |
3,000,000 | 2,998,660 | ||||||
| Brunel Residential Mortgage Securitisation No 1 Plc |
||||||||
| 1.01% (3 Month LIBOR GBP + 0.22%), 01/13/2039(1) |
GBP | 1,080,826 | 1,413,428 | |||||
| BX Commercial Mortgage Trust 2019-IMC |
||||||||
| 3.04% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 04/15/2034(1)(2) |
$ | 4,870,000 | 4,865,627 | |||||
| 3.89% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 04/15/2034(1)(2) |
4,215,000 | 4,234,721 | ||||||
| BX Trust 2019-OC11 |
||||||||
| 3.20%, 12/09/2041(2) |
2,755,000 | 2,824,484 | ||||||
| BXP Trust 2017-GM |
||||||||
| 3.38%, 06/13/2039(2) |
6,185,000 | 6,479,115 | ||||||
| CALI Mortgage Trust 2019-101C |
||||||||
| 3.96%, 03/10/2039(2) |
5,010,000 | 5,464,425 | ||||||
| Cantor Commercial Real Estate Lending 2019-CF1 |
||||||||
| 4.18%, 05/15/2052(4) |
3,445,000 | 3,700,945 | ||||||
| 4.35%, 05/15/2052(4) |
3,220,000 | 3,385,988 | ||||||
| Cantor Commercial Real Estate Lending 2019-CF2 |
||||||||
| 2.62%, 11/15/2052 |
6,655,000 | 6,612,634 | ||||||
| 3.27%, 11/15/2052(4) |
2,780,000 | 2,785,946 | ||||||
| CD 2018-CD7 Mortgage Trust |
||||||||
| 4.85%, 08/15/2051(4) |
8,190,000 | 8,892,749 | ||||||
| Century Plaza Towers 2019-CPT |
||||||||
| 2.87%, 11/13/2039(2) |
5,185,000 | 5,202,820 | ||||||
| CGBAM Commercial Mortgage Trust 2015-SMRT |
||||||||
| 2.81%, 04/10/2028(2) |
1,500,000 | 1,499,156 | ||||||
| CGGS Commercial Mortgage Trust 2018-WSS |
||||||||
| 2.64% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 02/15/2037(1)(2) |
3,950,000 | 3,940,056 | ||||||
| 2.84% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 02/15/2037(1)(2) |
1,715,000 | 1,706,515 | ||||||
| 3.09% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 02/15/2037(1)(2) |
1,580,000 | 1,575,636 | ||||||
| 4.04% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 02/15/2037(1)(2) |
3,870,000 | 3,872,532 | ||||||
| CHL Mortgage Pass-Through Trust Resecuritization 2008-3R |
||||||||
| 6.00%, 08/25/2037(2) |
6,839,631 | 5,340,262 | ||||||
| CIM Trust 2018-R4 |
||||||||
| 4.07%, 12/26/2057(2)(4) |
18,444,875 | 18,617,069 | ||||||
| CIM Trust 2018-R5 |
||||||||
| 3.75%, 07/25/2058(2)(4) |
14,257,871 | 14,405,094 | ||||||
| CIM Trust 2018-R6 |
||||||||
| 2.77% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058(1)(2) |
17,336,513 | 17,217,886 | ||||||
| CIM Trust 2019-R3 |
||||||||
| 2.63%, 06/25/2058(2)(4) |
24,307,940 | 24,058,256 | ||||||
| Citigroup Commercial Mortgage Trust 2015-GC27 |
||||||||
| 2.69%, 02/10/2048 |
1,133,500 | 1,132,728 | ||||||
| 3.57%, 02/10/2048 |
430,000 | 446,810 | ||||||
| Citigroup Commercial Mortgage Trust 2015-GC33 |
||||||||
| 4.11%, 09/10/2058 |
1,350,000 | 1,442,794 | ||||||
| Citigroup Commercial Mortgage Trust 2016-P3 |
||||||||
| 3.06%, 04/15/2049 |
1,225,000 | 1,264,270 | ||||||
| Citigroup Commercial Mortgage Trust 2017-P7 |
||||||||
| 3.92%, 04/14/2050 |
2,140,000 | 2,285,598 | ||||||
| Citigroup Commercial Mortgage Trust 2018-B2 |
||||||||
| 4.67%, 03/10/2051(4) |
1,195,000 | 1,247,899 | ||||||
| Citigroup Mortgage Loan Trust 2018-A |
||||||||
| 4.00%, 01/25/2068(2)(4) |
1,227,908 | 1,231,601 | ||||||
| Citigroup Mortgage Loan Trust 2018-C |
||||||||
| 4.13%, 03/25/2059(2)(3) |
4,532,414 | 4,577,493 | ||||||
| Citigroup Mortgage Loan Trust 2019-B |
||||||||
| 3.26%, 04/25/2066(2)(4) |
3,414,876 | 3,417,839 | ||||||
| Citigroup Mortgage Loan Trust 2019-RP1 |
||||||||
| 3.50%, 01/25/2066(2)(4) |
3,628,485 | 3,702,870 |
| Civic Mortgage LLC 2018-2 |
||||||||
| 4.35%, 11/25/2022(2)(3) |
175,812 | 175,847 | ||||||
| Clavis Securities Plc |
||||||||
| 0.97% (3 Month LIBOR GBP + 0.17%), 12/15/2032(1) |
GBP | 1,064,182 | 1,357,844 | |||||
| COLT 2018-1 Mortgage Loan Trust |
||||||||
| 2.93%, 02/25/2048(2)(4) |
$ | 326,391 | 326,566 | |||||
| 2.98%, 02/25/2048(2)(4) |
93,589 | 93,642 | ||||||
| COLT 2018-2 Mortgage Loan Trust |
||||||||
| 3.47%, 07/27/2048(2)(4) |
1,985,251 | 1,990,114 | ||||||
| 4.19%, 07/27/2048(2)(4) |
1,095,000 | 1,105,706 | ||||||
| COLT 2018-3 Mortgage Loan Trust |
||||||||
| 3.87%, 10/26/2048(2)(4) |
1,636,669 | 1,645,019 | ||||||
| COLT 2018-4 Mortgage Loan Trust |
||||||||
| 4.01%, 12/28/2048(2)(4) |
2,652,414 | 2,662,555 | ||||||
| 4.11%, 12/28/2048(2)(4) |
2,200,146 | 2,208,520 | ||||||
| COLT 2019-1 Mortgage Loan Trust |
||||||||
| 3.71%, 03/25/2049(2)(4) |
7,121,528 | 7,160,984 | ||||||
| COLT 2019-2 Mortgage Loan Trust |
||||||||
| 3.34%, 05/25/2049(2)(4) |
5,675,928 | 5,682,974 | ||||||
| 3.54%, 05/25/2049(2)(4) |
3,895,515 | 3,907,430 | ||||||
| COLT 2019-3 Mortgage Loan Trust |
||||||||
| 2.76%, 08/25/2049(2)(4) |
3,579,530 | 3,574,653 | ||||||
| COMM 2013-300P Mortgage Trust |
||||||||
| 4.35%, 08/10/2030(2) |
720,000 | 761,712 | ||||||
| COMM 2013-SFS Mortgage Trust |
||||||||
| 2.99%, 04/12/2035(2)(4) |
1,445,000 | 1,472,537 | ||||||
| COMM 2014-CCRE20 Mortgage Trust |
||||||||
| 3.94%, 11/10/2047 |
1,115,000 | 1,170,027 | ||||||
| COMM 2014-CR14 Mortgage Trust |
||||||||
| 4.64%, 02/10/2047(4) |
5,465,000 | 5,659,485 | ||||||
| Comm 2014-UBS2 Mortgage Trust |
||||||||
| 4.97%, 03/10/2047(4) |
800,000 | 836,709 | ||||||
| COMM 2014-UBS6 Mortgage Trust |
||||||||
| 4.45%, 12/10/2047(4) |
1,013,000 | 1,033,244 | ||||||
| COMM 2015-CCRE24 Mortgage Trust |
||||||||
| 3.70%, 08/10/2048 |
1,990,000 | 2,115,584 | ||||||
| COMM 2015-CCRE25 Mortgage Trust |
||||||||
| 4.54%, 08/10/2048(4) |
5,470,000 | 5,829,591 | ||||||
| 4.54%, 08/10/2048(4) |
964,000 | 1,001,541 | ||||||
| COMM 2015-DC1 Mortgage Trust |
||||||||
| 3.72%, 02/10/2048 |
2,495,000 | 2,592,732 | ||||||
| COMM 2015-PC1 Mortgage Trust |
||||||||
| 3.90%, 07/10/2050 |
515,000 | 548,038 | ||||||
| 4.44%, 07/10/2050(4) |
440,000 | 466,946 | ||||||
| COMM 2016-787S Mortgage Trust |
||||||||
| 3.55%, 02/10/2036(2) |
760,000 | 796,276 | ||||||
| COMM 2017-COR2 Mortgage Trust |
||||||||
| 3.51%, 09/10/2050 |
3,110,000 | 3,292,674 | ||||||
| COMM 2017-PANW Mortgage Trust |
||||||||
| 3.41%, 10/10/2029(2)(4) |
1,285,000 | 1,328,841 | ||||||
| Connecticut Avenue Securities Trust 2019-R01 |
||||||||
| 2.64% (1 Month LIBOR USD + 0.85%), 07/25/2031(1)(2) |
1,812,805 | 1,813,370 | ||||||
| Connecticut Avenue Securities Trust 2019-R02 |
||||||||
| 2.64% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 08/25/2031(1)(2) |
186,182 | 186,195 | ||||||
| Connecticut Avenue Securities Trust 2019-R03 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 09/25/2031(1)(2) |
896,632 | 896,669 | ||||||
| Connecticut Avenue Securities Trust 2019-R06 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 09/25/2039(1)(2) |
4,410,682 | 4,411,595 | ||||||
| Credit Suisse Mortgage Capital Certificates 19-RPL4 |
||||||||
| 3.83%, 08/26/2058(2) |
722,024 | 727,667 |
| Credit Suisse Mortgage Capital Certificates 2019-ICE4 |
||||||||
| 3.34% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 05/15/2036(1)(2) |
5,465,000 | 5,469,901 | ||||||
| 3.89% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 05/15/2036(1)(2) |
2,375,000 | 2,378,720 | ||||||
| Csail 2015-C2 Commercial Mortgage Trust |
||||||||
| 3.85%, 06/15/2057(4) |
8,560,000 | 8,926,525 | ||||||
| CSAIL 2016-C6 Commercial Mortgage Trust |
||||||||
| 3.09%, 01/15/2049 |
840,000 | 863,513 | ||||||
| CSAIL 2016-C7 Commercial Mortgage Trust |
||||||||
| 3.96%, 11/15/2049(4) |
6,160,000 | 6,458,387 | ||||||
| CSAIL 2019-C16 Commercial Mortgage Trust |
||||||||
| 3.33%, 06/15/2052 |
10,970,000 | 11,497,401 | ||||||
| CSAIL 2019-C17 Commercial Mortgage Trust |
||||||||
| 2.76%, 09/15/2052 |
6,050,000 | 6,075,519 | ||||||
| 3.28%, 09/15/2052 |
2,625,000 | 2,650,879 | ||||||
| 3.48%, 09/15/2052 |
3,015,000 | 3,045,306 | ||||||
| CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 |
||||||||
| 5.75%, 11/25/2033 |
109,813 | 112,840 | ||||||
| CSMC 2014-USA OA LLC |
||||||||
| 4.37%, 09/15/2037(2) |
6,175,000 | 6,064,135 | ||||||
| CSMC 2018-RPL2 Trust |
||||||||
| 4.03%, 08/25/2062(2)(3) |
2,601,215 | 2,600,652 | ||||||
| CSMC 2018-RPL7 Trust |
||||||||
| 4.00%, 08/26/2058(2) |
1,660,029 | 1,673,410 | ||||||
| CSMC Trust 2013-5R |
||||||||
| 2.14% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036(1)(2) |
6,788,099 | 6,645,753 | ||||||
| DBCG 2017-BBG Mortgage Trust |
||||||||
| 2.44% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034(1)(2) |
2,645,000 | 2,639,342 | ||||||
| DBJPM 17-C6 Mortgage Trust |
||||||||
| 3.79%, 06/10/2050(4) |
2,750,000 | 2,858,493 | ||||||
| DBUBS 2017-BRBK Mortgage Trust |
||||||||
| 3.53%, 10/10/2034(2)(4) |
2,540,000 | 2,575,474 | ||||||
| DC Office Trust 2019-MTC |
||||||||
| 2.97%, 09/15/2045(2) |
5,545,000 | 5,616,034 | ||||||
| 3.17%, 09/15/2045(2)(4) |
4,450,000 | 4,338,188 | ||||||
| Deephaven Residential Mortgage Trust 2018-1 |
||||||||
| 2.98%, 12/25/2057(2)(4) |
326,630 | 326,407 | ||||||
| Deephaven Residential Mortgage Trust 2018-2 |
||||||||
| 3.48%, 04/25/2058(2)(4) |
1,838,625 | 1,849,601 | ||||||
| Deephaven Residential Mortgage Trust 2019-1 |
||||||||
| 3.74%, 01/25/2059(2)(4) |
3,094,224 | 3,109,977 | ||||||
| Deephaven Residential Mortgage Trust 2019-2 |
||||||||
| 3.56%, 04/25/2059(2)(4) |
3,663,339 | 3,687,155 | ||||||
| Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-2 |
||||||||
| 2.19% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035(1) |
5,160,519 | 4,928,799 | ||||||
| Eleven Madison Trust 2015-11MD Mortgage Trust |
||||||||
| 3.55%, 09/10/2035(2)(4) |
3,110,000 | 3,254,519 | ||||||
| Ellington Financial Mortgage Trust 2019-2 |
||||||||
| 2.74%, 11/25/2059(2)(4) |
6,106,919 | 6,102,229 | ||||||
| EOS European Loan Conduit No 35 DAC |
||||||||
| 1.00% (3 Month EURIBOR + 1.00%), 04/22/2024(1)(2) |
EUR | 1,177,826 | 1,322,210 | |||||
| Eurosail-UK 2007-5np Plc |
||||||||
| 1.55% (3 Month LIBOR GBP + 0.77%), 09/13/2045(1) |
GBP | 10,324,180 | 12,963,261 | |||||
| Eurosail-UK 2007-6nc Plc |
||||||||
| 1.50% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045(1) |
256,493 | 329,398 | ||||||
| Fannie Mae |
||||||||
| 3.50%, 01/01/2034(10) |
$ | 10,375,000 | 10,752,365 | |||||
| 2.50%, 01/01/2049(10) |
27,950,000 | 27,620,009 | ||||||
| 3.00%, 01/01/2049(10) |
66,550,000 | 67,451,889 | ||||||
| 5.00%, 01/01/2049(10) |
4,825,000 | 5,158,752 | ||||||
| Fannie Mae Connecticut Avenue Securities |
| 6.34% (1 Month LIBOR USD + 4.55%), 02/25/2025(1) |
875,096 | 909,172 | ||||||
| 2.94% (1 Month LIBOR USD + 1.15%), 09/25/2029(1) |
152,212 | 152,330 | ||||||
| 3.14% (1 Month LIBOR USD + 1.35%), 09/25/2029(1) |
9,545,000 | 9,554,325 | ||||||
| 2.89% (1 Month LIBOR USD + 1.10%), 11/25/2029(1) |
8,655,000 | 8,611,232 | ||||||
| 2.51% (1 Month LIBOR USD + 0.72%, 0.72% Floor), 01/25/2031(1) |
3,143,659 | 3,144,403 | ||||||
| 2.34% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 03/25/2031(1) |
932,566 | 932,385 | ||||||
| Fannie Mae Pool |
||||||||
| 3.47%, 12/01/2026 |
2,870,085 | 3,067,150 | ||||||
| 3.22%, 01/01/2027 |
3,565,000 | 3,747,150 | ||||||
| 2.82%, 05/01/2028 |
2,147,850 | 2,214,380 | ||||||
| 3.49%, 06/01/2028 |
8,500,000 | 9,100,003 | ||||||
| 3.00%, 10/01/2028 |
355,620 | 366,011 | ||||||
| 4.24%, 12/01/2029 |
11,576,472 | 12,966,235 | ||||||
| 3.00%, 02/01/2030 |
10,943,231 | 11,209,502 | ||||||
| 3.00%, 03/01/2030 |
11,066,687 | 11,335,961 | ||||||
| 3.00%, 05/01/2030 |
187,248 | 192,734 | ||||||
| 2.50%, 07/01/2030 |
577,201 | 585,270 | ||||||
| 2.50%, 07/01/2030 |
775,617 | 786,460 | ||||||
| 2.50%, 08/01/2030 |
1,400,930 | 1,420,521 | ||||||
| 3.55%, 08/01/2030 |
1,485,035 | 1,604,969 | ||||||
| 3.00%, 09/01/2030 |
2,090,414 | 2,154,202 | ||||||
| 3.00%, 12/01/2030 |
860,944 | 886,099 | ||||||
| 3.00%, 09/01/2031 |
752,372 | 774,365 | ||||||
| 2.50%, 11/01/2031 |
1,870,138 | 1,895,661 | ||||||
| 3.50%, 11/01/2031 |
2,544,553 | 2,636,416 | ||||||
| 2.50%, 01/01/2032 |
2,264,097 | 2,292,863 | ||||||
| 2.50%, 02/01/2032 |
6,147,913 | 6,214,837 | ||||||
| 3.00%, 06/01/2032 |
1,757,043 | 1,803,258 | ||||||
| 3.00%, 07/01/2032 |
17,216,387 | 17,665,106 | ||||||
| 3.25%, 07/01/2032 |
4,113,424 | 4,353,226 | ||||||
| 3.00%, 08/01/2032 |
5,049,819 | 5,182,069 | ||||||
| 3.00%, 09/01/2032 |
5,473,290 | 5,631,893 | ||||||
| 3.50%, 11/01/2032 |
1,771,943 | 1,857,536 | ||||||
| 3.00%, 04/01/2033 |
2,259,804 | 2,321,736 | ||||||
| 3.00%, 06/01/2033 |
12,562 | 12,795 | ||||||
| 3.00%, 10/01/2033 |
2,089,280 | 2,151,226 | ||||||
| 3.00%, 11/01/2033 |
1,367,386 | 1,410,071 | ||||||
| 6.00%, 03/01/2034 |
1,944,767 | 2,189,798 | ||||||
| 3.45%, 05/01/2034 |
10,464,000 | 11,228,443 | ||||||
| 5.50%, 05/01/2034 |
1,634,048 | 1,838,741 | ||||||
| 3.00%, 07/01/2034 |
3,430,093 | 3,514,773 | ||||||
| 5.50%, 07/01/2034 |
395,419 | 444,683 | ||||||
| 2.50%, 09/01/2034 |
8,885,124 | 8,960,435 | ||||||
| 2.50%, 11/01/2034 |
34,948,714 | 35,245,141 | ||||||
| 2.50%, 12/01/2034 |
53,953,131 | 54,410,755 | ||||||
| 2.50%, 01/01/2035 |
58,630,000 | 59,127,308 | ||||||
| 3.50%, 02/01/2035 |
157,625 | 164,747 | ||||||
| 5.00%, 07/01/2035 |
803,492 | 885,600 | ||||||
| 4.50%, 11/01/2035 |
342,493 | 371,216 | ||||||
| 3.50%, 01/01/2036 |
1,386,191 | 1,449,990 | ||||||
| 5.00%, 02/01/2036 |
1,284,906 | 1,416,527 | ||||||
| 6.00%, 06/01/2036 |
12,652 | 14,514 | ||||||
| 5.50%, 07/01/2036 |
153,237 | 172,408 | ||||||
| 3.00%, 11/01/2036 |
1,862,570 | 1,919,072 | ||||||
| 3.00%, 11/01/2036 |
1,616,613 | 1,658,595 | ||||||
| 3.00%, 11/01/2036 |
233,242 | 240,594 | ||||||
| 3.00%, 12/01/2036 |
2,086,032 | 2,140,206 | ||||||
| 3.00%, 12/01/2036 |
284,954 | 293,936 | ||||||
| 3.00%, 10/01/2037 |
45,566 | 46,741 | ||||||
| 3.21%, 11/01/2037 |
11,156,568 | 11,551,646 |
| 3.50%, 01/01/2038 |
7,426,558 | 7,738,924 | ||||||
| 3.00%, 03/01/2038 |
3,429,253 | 3,518,164 | ||||||
| 6.00%, 07/01/2038 |
1,295,382 | 1,485,302 | ||||||
| 6.00%, 10/01/2038 |
74,785 | 85,756 | ||||||
| 5.50%, 12/01/2039 |
340,113 | 381,250 | ||||||
| 5.50%, 03/01/2040 |
1,871,935 | 2,106,381 | ||||||
| 5.00%, 05/01/2040 |
31,759 | 34,991 | ||||||
| 6.50%, 05/01/2040 |
458,525 | 521,205 | ||||||
| 5.00%, 06/01/2040 |
10,253 | 11,304 | ||||||
| 4.50%, 08/01/2040 |
99,139 | 107,476 | ||||||
| 4.50%, 09/01/2040 |
38,015 | 41,274 | ||||||
| 4.00%, 11/01/2040 |
95,310 | 102,207 | ||||||
| 4.00%, 11/01/2040 |
350,051 | 375,341 | ||||||
| 4.00%, 11/01/2040 |
2,755,349 | 2,933,906 | ||||||
| 4.50%, 11/01/2040 |
2,554,949 | 2,774,485 | ||||||
| 4.00%, 12/01/2040 |
236,676 | 253,771 | ||||||
| 4.00%, 01/01/2041 |
174,728 | 187,384 | ||||||
| 4.50%, 01/01/2041 |
25,688 | 27,895 | ||||||
| 4.00%, 02/01/2041 |
771,120 | 826,896 | ||||||
| 4.00%, 02/01/2041 |
173,894 | 186,454 | ||||||
| 4.00%, 02/01/2041 |
575,627 | 617,154 | ||||||
| 4.50%, 02/01/2041 |
344,861 | 374,453 | ||||||
| 5.00%, 02/01/2041 |
749,291 | 825,658 | ||||||
| 5.50%, 06/01/2041 |
358,243 | 399,693 | ||||||
| 5.00%, 07/01/2041 |
937,518 | 1,032,522 | ||||||
| 6.00%, 07/01/2041 |
6,149,077 | 7,053,780 | ||||||
| 4.50%, 08/01/2041 |
43,385 | 47,109 | ||||||
| 5.00%, 08/01/2041 |
314,066 | 342,510 | ||||||
| 4.00%, 09/01/2041 |
336,613 | 360,973 | ||||||
| 4.50%, 11/01/2041 |
690,298 | 746,163 | ||||||
| 3.50%, 12/01/2041 |
72,322 | 77,084 | ||||||
| 4.00%, 01/01/2042 |
50,336 | 53,946 | ||||||
| 4.00%, 01/01/2042 |
3,165,176 | 3,388,426 | ||||||
| 4.00%, 02/01/2042 |
82,720 | 88,692 | ||||||
| 5.50%, 02/01/2042 |
816,430 | 916,263 | ||||||
| 5.50%, 02/01/2042 |
1,310,976 | 1,457,565 | ||||||
| 4.00%, 03/01/2042 |
3,178,161 | 3,419,076 | ||||||
| 5.00%, 03/01/2042 |
539,760 | 593,970 | ||||||
| 3.50%, 06/01/2042 |
62,613 | 65,753 | ||||||
| 3.50%, 06/01/2042 |
100,563 | 105,658 | ||||||
| 3.48%, 07/01/2042 |
4,108,597 | 4,407,607 | ||||||
| 3.50%, 07/01/2042 |
603,827 | 634,332 | ||||||
| 3.50%, 07/01/2042 |
83,994 | 88,253 | ||||||
| 3.50%, 08/01/2042 |
167,839 | 176,330 | ||||||
| 4.00%, 08/01/2042 |
3,088,231 | 3,286,053 | ||||||
| 3.50%, 09/01/2042 |
245,656 | 258,070 | ||||||
| 3.50%, 09/01/2042 |
187,948 | 197,464 | ||||||
| 2.50%, 12/01/2042 |
264,525 | 263,093 | ||||||
| 3.50%, 12/01/2042 |
1,923,183 | 2,020,689 | ||||||
| 3.50%, 12/01/2042 |
1,185,237 | 1,245,225 | ||||||
| 2.50%, 01/01/2043 |
806,515 | 802,172 | ||||||
| 2.50%, 01/01/2043 |
604,004 | 600,736 | ||||||
| 3.00%, 01/01/2043 |
2,644,628 | 2,722,266 | ||||||
| 3.50%, 01/01/2043 |
107,432 | 112,873 | ||||||
| 3.50%, 01/01/2043 |
273,764 | 287,639 | ||||||
| 2.50%, 02/01/2043 |
495,865 | 493,182 | ||||||
| 3.00%, 02/01/2043 |
3,909,155 | 4,023,590 | ||||||
| 3.50%, 03/01/2043 |
1,138,601 | 1,196,335 | ||||||
| 2.50%, 04/01/2043 |
350,794 | 348,896 | ||||||
| 3.00%, 04/01/2043 |
804,011 | 827,756 |
| 3.50%, 04/01/2043 |
94,344 | 99,251 | ||||||
| 3.00%, 05/01/2043 |
1,414,783 | 1,456,351 | ||||||
| 3.50%, 05/01/2043 |
448,140 | 470,864 | ||||||
| 3.00%, 06/01/2043 |
3,284,893 | 3,380,568 | ||||||
| 3.50%, 06/01/2043 |
144,885 | 154,158 | ||||||
| 3.50%, 06/01/2043 |
922,936 | 972,362 | ||||||
| 3.50%, 06/01/2043 |
2,375,291 | 2,495,742 | ||||||
| 3.50%, 06/01/2043 |
1,744,779 | 1,838,145 | ||||||
| 3.00%, 07/01/2043 |
329,125 | 338,891 | ||||||
| 3.50%, 07/01/2043 |
113,844 | 119,588 | ||||||
| 3.50%, 07/01/2043 |
176,269 | 186,873 | ||||||
| 3.00%, 08/01/2043 |
8,156,520 | 8,394,257 | ||||||
| 3.00%, 08/01/2043 |
160,249 | 163,530 | ||||||
| 3.50%, 08/01/2043 |
109,423 | 114,972 | ||||||
| 3.50%, 08/01/2043 |
114,747 | 120,699 | ||||||
| 3.00%, 09/01/2043 |
1,254,801 | 1,294,064 | ||||||
| 3.50%, 09/01/2043 |
499,681 | 528,372 | ||||||
| 4.00%, 09/01/2043 |
1,788,174 | 1,907,491 | ||||||
| 3.50%, 10/01/2043 |
332,103 | 348,942 | ||||||
| 5.50%, 10/01/2043 |
626,468 | 703,570 | ||||||
| 4.00%, 12/01/2043 |
3,505,270 | 3,729,076 | ||||||
| 3.50%, 01/01/2044 |
8,157,475 | 8,571,117 | ||||||
| 3.50%, 01/01/2044 |
563,745 | 592,326 | ||||||
| 3.50%, 01/01/2044 |
1,084,317 | 1,146,539 | ||||||
| 3.50%, 01/01/2044 |
5,627,740 | 5,913,054 | ||||||
| 3.00%, 02/01/2044 |
38,210 | 38,992 | ||||||
| 3.00%, 03/01/2044 |
7,837,375 | 8,065,999 | ||||||
| 3.50%, 03/01/2044 |
227,407 | 242,246 | ||||||
| 5.50%, 05/01/2044 |
431,762 | 485,662 | ||||||
| 5.50%, 05/01/2044 |
6,650,472 | 7,472,853 | ||||||
| 3.50%, 07/01/2044 |
771,437 | 812,666 | ||||||
| 5.00%, 11/01/2044 |
3,125,151 | 3,443,989 | ||||||
| 3.50%, 12/01/2044 |
396,442 | 416,544 | ||||||
| 3.50%, 02/01/2045 |
491,369 | 516,196 | ||||||
| 4.50%, 02/01/2045 |
561,845 | 605,643 | ||||||
| 5.00%, 02/01/2045 |
1,221,801 | 1,332,647 | ||||||
| 3.50%, 04/01/2045 |
63,833 | 67,218 | ||||||
| 3.50%, 04/01/2045 |
1,546,572 | 1,613,873 | ||||||
| 3.00%, 05/01/2045 |
631,271 | 649,810 | ||||||
| 3.00%, 05/01/2045 |
1,289,379 | 1,322,497 | ||||||
| 3.50%, 05/01/2045 |
2,051,810 | 2,141,118 | ||||||
| 3.50%, 06/01/2045 |
2,795,119 | 2,916,773 | ||||||
| 3.50%, 06/01/2045 |
2,276,469 | 2,397,194 | ||||||
| 4.00%, 06/01/2045 |
7,188,770 | 7,610,602 | ||||||
| 4.50%, 06/01/2045 |
367,420 | 396,454 | ||||||
| 3.00%, 07/01/2045 |
5,943,754 | 6,122,106 | ||||||
| 3.50%, 07/01/2045 |
2,762,465 | 2,895,483 | ||||||
| 4.00%, 07/01/2045 |
1,026,419 | 1,087,417 | ||||||
| 5.00%, 07/01/2045 |
648,033 | 713,341 | ||||||
| 3.50%, 08/01/2045 |
59,907 | 62,786 | ||||||
| 3.50%, 09/01/2045 |
4,927,405 | 5,189,220 | ||||||
| 4.00%, 09/01/2045 |
155,981 | 165,630 | ||||||
| 4.00%, 09/01/2045 |
117,850 | 124,845 | ||||||
| 3.50%, 10/01/2045 |
370,845 | 389,166 | ||||||
| 4.00%, 10/01/2045 |
3,262,195 | 3,455,903 | ||||||
| 3.50%, 11/01/2045 |
403,471 | 422,871 | ||||||
| 3.50%, 11/01/2045 |
7,369,773 | 7,689,627 | ||||||
| 3.50%, 12/01/2045 |
1,424,220 | 1,486,043 | ||||||
| 4.00%, 12/01/2045 |
161,921 | 172,370 | ||||||
| 4.00%, 12/01/2045 |
1,112,537 | 1,184,314 |
| 4.00%, 12/01/2045 |
5,416,845 | 5,747,998 | ||||||
| 4.00%, 12/01/2045 |
590,085 | 622,993 | ||||||
| 3.50%, 01/01/2046 |
33,517 | 35,291 | ||||||
| 3.50%, 01/01/2046 |
98,248 | 102,516 | ||||||
| 4.50%, 02/01/2046 |
2,691,240 | 2,891,983 | ||||||
| 4.00%, 03/01/2046 |
1,597,466 | 1,692,098 | ||||||
| 4.50%, 03/01/2046 |
1,980,187 | 2,133,683 | ||||||
| 3.50%, 04/01/2046 |
626,082 | 652,972 | ||||||
| 3.00%, 05/01/2046 |
13,335,644 | 13,649,189 | ||||||
| 3.50%, 05/01/2046 |
649,037 | 681,933 | ||||||
| 3.00%, 06/01/2046 |
384,828 | 394,722 | ||||||
| 3.50%, 06/01/2046 |
1,704,821 | 1,773,389 | ||||||
| 3.50%, 06/01/2046 |
3,433,667 | 3,615,506 | ||||||
| 3.50%, 06/01/2046 |
2,666,066 | 2,822,187 | ||||||
| 3.50%, 06/01/2046 |
5,317,201 | 5,545,912 | ||||||
| 3.50%, 06/01/2046 |
795,802 | 828,544 | ||||||
| 3.00%, 07/01/2046 |
2,771,957 | 2,837,019 | ||||||
| 3.50%, 07/01/2046 |
1,603,330 | 1,669,860 | ||||||
| 3.00%, 08/01/2046 |
122,531 | 125,036 | ||||||
| 3.50%, 08/01/2046 |
757,900 | 799,267 | ||||||
| 3.50%, 09/01/2046 |
6,918,572 | 7,203,738 | ||||||
| 4.00%, 09/01/2046 |
89,840 | 95,165 | ||||||
| 4.00%, 09/01/2046 |
2,156,789 | 2,279,211 | ||||||
| 4.50%, 09/01/2046 |
2,264,126 | 2,435,801 | ||||||
| 3.00%, 11/01/2046 |
1,776,437 | 1,818,273 | ||||||
| 3.00%, 11/01/2046 |
4,620,120 | 4,764,594 | ||||||
| 3.00%, 11/01/2046 |
642,458 | 657,568 | ||||||
| 3.00%, 11/01/2046 |
1,990,591 | 2,037,466 | ||||||
| 3.00%, 11/01/2046 |
2,034,498 | 2,086,806 | ||||||
| 3.00%, 11/01/2046 |
5,297,028 | 5,421,763 | ||||||
| 3.00%, 11/01/2046 |
870,374 | 892,752 | ||||||
| 3.00%, 11/01/2046 |
2,256,380 | 2,314,394 | ||||||
| 3.00%, 12/01/2046 |
51,354 | 52,563 | ||||||
| 3.50%, 12/01/2046 |
4,143,533 | 4,301,180 | ||||||
| 3.50%, 12/01/2046 |
2,131,377 | 2,213,386 | ||||||
| 4.00%, 12/01/2046 |
5,597,569 | 5,895,449 | ||||||
| 3.00%, 01/01/2047 |
35,564,588 | 36,369,357 | ||||||
| 3.00%, 01/01/2047 |
3,865,218 | 3,956,936 | ||||||
| 3.00%, 01/01/2047 |
2,823,958 | 2,905,246 | ||||||
| 3.50%, 01/01/2047 |
1,637,604 | 1,699,751 | ||||||
| 3.50%, 01/01/2047 |
1,028,385 | 1,067,427 | ||||||
| 3.50%, 01/01/2047 |
4,645,544 | 4,891,799 | ||||||
| 3.50%, 01/01/2047 |
23,971,515 | 24,914,164 | ||||||
| 3.00%, 02/01/2047 |
3,817,559 | 3,927,794 | ||||||
| 3.50%, 02/01/2047 |
1,547,803 | 1,608,464 | ||||||
| 3.50%, 02/01/2047 |
1,172,530 | 1,216,789 | ||||||
| 4.00%, 02/01/2047 |
2,659,983 | 2,815,823 | ||||||
| 4.00%, 02/01/2047 |
5,100,918 | 5,412,746 | ||||||
| 3.50%, 03/01/2047 |
223,658 | 232,059 | ||||||
| 4.00%, 03/01/2047 |
2,761,995 | 2,906,353 | ||||||
| 3.50%, 04/01/2047 |
4,699,327 | 4,882,083 | ||||||
| 4.00%, 04/01/2047 |
3,008,572 | 3,164,885 | ||||||
| 4.00%, 05/01/2047 |
3,408,920 | 3,628,647 | ||||||
| 4.00%, 05/01/2047 |
4,219,914 | 4,427,291 | ||||||
| 3.00%, 06/01/2047 |
2,401,831 | 2,476,784 | ||||||
| 3.50%, 06/01/2047 |
1,667,834 | 1,730,321 | ||||||
| 4.00%, 06/01/2047 |
1,690,064 | 1,781,860 | ||||||
| 4.00%, 06/01/2047 |
4,858,309 | 5,095,450 | ||||||
| 4.00%, 07/01/2047 |
4,144,400 | 4,341,011 | ||||||
| 3.00%, 08/01/2047 |
12,207,133 | 12,557,975 |
| 3.50%, 08/01/2047 |
15,366,277 | 16,178,917 | ||||||
| 4.00%, 08/01/2047 |
9,325,465 | 9,801,861 | ||||||
| 4.00%, 08/01/2047 |
3,840,947 | 4,051,356 | ||||||
| 4.00%, 08/01/2047 |
2,910,613 | 3,062,587 | ||||||
| 3.50%, 09/01/2047 |
4,255,907 | 4,419,506 | ||||||
| 3.00%, 10/01/2047 |
4,316,838 | 4,402,981 | ||||||
| 3.50%, 11/01/2047 |
17,477,045 | 18,167,963 | ||||||
| 4.50%, 11/01/2047 |
3,370,336 | 3,666,263 | ||||||
| 3.50%, 12/01/2047 |
4,378,625 | 4,601,585 | ||||||
| 3.50%, 12/01/2047 |
4,983,814 | 5,246,308 | ||||||
| 3.50%, 01/01/2048 |
3,775,066 | 3,984,141 | ||||||
| 3.50%, 01/01/2048 |
9,136,283 | 9,631,436 | ||||||
| 3.50%, 02/01/2048 |
2,512,167 | 2,619,434 | ||||||
| 4.50%, 04/01/2048 |
5,015,929 | 5,312,078 | ||||||
| 4.50%, 05/01/2048 |
8,516,283 | 8,978,065 | ||||||
| 4.50%, 05/01/2048 |
20,381,720 | 21,485,879 | ||||||
| 4.00%, 06/01/2048 |
13,389,458 | 13,916,285 | ||||||
| 4.00%, 06/01/2048 |
3,322,386 | 3,466,978 | ||||||
| 4.00%, 07/01/2048 |
38,680,981 | 40,315,402 | ||||||
| 4.50%, 08/01/2048 |
3,182,165 | 3,361,156 | ||||||
| 4.50%, 08/01/2048 |
15,854,554 | 16,708,486 | ||||||
| 3.00%, 09/01/2048 |
2,192,010 | 2,241,989 | ||||||
| 3.00%, 09/01/2048 |
1,211,420 | 1,239,839 | ||||||
| 4.00%, 09/01/2048 |
4,997,052 | 5,207,107 | ||||||
| 4.00%, 09/01/2048 |
26,891,011 | 28,928,491 | ||||||
| 4.50%, 09/01/2048 |
1,242,520 | 1,308,328 | ||||||
| 4.50%, 10/01/2048 |
5,480,060 | 5,777,097 | ||||||
| 4.50%, 11/01/2048 |
3,441,634 | 3,630,389 | ||||||
| 4.00%, 12/01/2048 |
148,283,133 | 154,232,280 | ||||||
| 4.00%, 12/01/2048 |
142,410,677 | 147,919,343 | ||||||
| 4.50%, 12/01/2048 |
8,874,699 | 9,336,701 | ||||||
| 5.00%, 12/01/2048 |
2,433,633 | 2,600,010 | ||||||
| 4.00%, 01/01/2049 |
10,500,802 | 11,104,755 | ||||||
| 4.00%, 02/01/2049 |
12,496,115 | 13,185,706 | ||||||
| 4.00%, 02/01/2049 |
1,924,750 | 2,000,281 | ||||||
| 4.00%, 03/01/2049 |
143,500,454 | 149,287,045 | ||||||
| 4.50%, 05/01/2049 |
9,515,017 | 10,205,203 | ||||||
| 3.00%, 08/01/2049 |
1,933,106 | 1,993,533 | ||||||
| 3.50%, 08/01/2049 |
734,883 | 757,748 | ||||||
| 4.00%, 08/01/2049 |
4,748,707 | 4,940,016 | ||||||
| 3.50%, 09/01/2049 |
5,628,220 | 5,803,340 | ||||||
| 3.00%, 10/01/2049 |
62,590,507 | 63,465,223 | ||||||
| 3.50%, 10/01/2049 |
3,033,607 | 3,127,996 | ||||||
| 3.50%, 10/01/2049 |
4,849,096 | 4,999,973 | ||||||
| 2.50%, 11/01/2049 |
112,659,012 | 111,351,377 | ||||||
| 3.00%, 11/01/2049 |
916,634 | 929,294 | ||||||
| 4.00%, 11/01/2049 |
2,779,319 | 2,899,575 | ||||||
| 2.50%, 12/01/2049 |
99,439,040 | 98,284,861 | ||||||
| Fannie Mae REMICS |
||||||||
| 3.50%, 03/25/2042 |
4,260,306 | 4,430,842 | ||||||
| 4.00%, 06/25/2044 |
1,527,134 | 1,578,078 | ||||||
| 3.50%, 01/25/2047 |
19,535,130 | 20,356,268 | ||||||
| 4.00%, 05/25/2047 |
8,583,979 | 8,839,563 | ||||||
| 3.50%, 06/25/2047 |
17,905,365 | 18,553,080 | ||||||
| 3.00%, 09/25/2049 |
2,615,791 | 2,647,106 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 11/25/2049(1) |
7,792,414 | 7,763,705 | ||||||
| 2.20% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 01/25/2050(1) |
35,199,472 | 35,171,756 | ||||||
| Fannie Mae-Aces |
||||||||
| 3.38%, 07/25/2028(4) |
5,305,000 | 5,662,231 | ||||||
| Feldspar 2016-1 Plc |
| 1.50% (3 Month LIBOR GBP + 0.70%), 09/15/2045(1) |
GBP | 929,153 | 1,231,322 | |||||
| Finsbury Square 2017-2 Plc |
||||||||
| 1.46% (3 Month LIBOR GBP + 0.68%), 09/12/2065(1) |
2,593,998 | 3,437,958 | ||||||
| Finsbury Square 2018-2 Plc |
||||||||
| 1.73% (3 Month LIBOR GBP + 0.95%), 09/12/2068(1) |
2,486,996 | 3,308,052 | ||||||
| Finsbury Square 2019-1 Plc |
||||||||
| 1.77% (3 Month LIBOR GBP + 0.97%), 06/16/2069(1) |
4,648,027 | 6,177,765 | ||||||
| Flagstar Mortgage Trust 2017-2 |
||||||||
| 4.12%, 10/25/2047(2)(4) |
$ | 1,304,230 | 1,374,418 | |||||
| Flagstar Mortgage Trust 2018-6RR |
||||||||
| 4.00%, 09/25/2048(2)(4) |
1,963,097 | 1,997,757 | ||||||
| Freddie Mac Gold Pool |
||||||||
| 2.50%, 07/01/2030 |
1,221,852 | 1,238,047 | ||||||
| 3.00%, 03/01/2031 |
744,293 | 766,535 | ||||||
| 2.50%, 09/01/2031 |
4,253,428 | 4,318,063 | ||||||
| 2.50%, 12/01/2031 |
6,068,784 | 6,155,123 | ||||||
| 2.50%, 12/01/2031 |
12,098,476 | 12,259,131 | ||||||
| 2.50%, 02/01/2032 |
8,336,338 | 8,474,638 | ||||||
| 8.00%, 04/01/2032 |
194,092 | 232,759 | ||||||
| 3.00%, 12/01/2032 |
2,813,648 | 2,892,720 | ||||||
| 3.50%, 05/01/2033 |
625,686 | 650,655 | ||||||
| 3.00%, 06/01/2033 |
1,405,783 | 1,445,258 | ||||||
| 3.50%, 08/01/2033 |
18,076,901 | 18,781,277 | ||||||
| 3.50%, 08/01/2033 |
7,056,294 | 7,326,478 | ||||||
| 3.50%, 11/01/2033 |
13,259,069 | 13,759,483 | ||||||
| 3.98%, 04/01/2034 |
9,289,171 | 10,226,608 | ||||||
| 3.00%, 02/01/2038 |
5,027,800 | 5,136,149 | ||||||
| 5.50%, 08/01/2041 |
6,418,174 | 7,212,649 | ||||||
| 5.00%, 11/01/2041 |
1,001,700 | 1,104,334 | ||||||
| 4.50%, 07/01/2042 |
649,834 | 705,792 | ||||||
| 3.50%, 09/01/2042 |
417,956 | 439,401 | ||||||
| 3.50%, 11/01/2042 |
43,392 | 45,617 | ||||||
| 3.00%, 02/01/2043 |
766,183 | 789,043 | ||||||
| 3.50%, 07/01/2043 |
378,842 | 398,291 | ||||||
| 3.50%, 10/01/2043 |
835,229 | 879,057 | ||||||
| 3.50%, 01/01/2044 |
1,012,450 | 1,067,262 | ||||||
| 4.50%, 05/01/2044 |
387,558 | 418,237 | ||||||
| 4.00%, 01/01/2045 |
1,927,479 | 2,086,460 | ||||||
| 4.50%, 06/01/2045 |
708,269 | 790,054 | ||||||
| 4.00%, 07/01/2045 |
597,755 | 633,676 | ||||||
| 3.50%, 10/01/2045 |
11,407,258 | 12,026,201 | ||||||
| 4.00%, 12/01/2045 |
4,068,948 | 4,374,927 | ||||||
| 4.50%, 02/01/2046 |
742,204 | 827,780 | ||||||
| 3.50%, 03/01/2046 |
1,037,156 | 1,097,391 | ||||||
| 3.00%, 04/01/2046 |
216,988 | 222,225 | ||||||
| 4.50%, 05/01/2046 |
780,253 | 870,219 | ||||||
| 3.00%, 06/01/2046 |
7,470,919 | 7,651,287 | ||||||
| 3.50%, 06/01/2046 |
7,280,593 | 7,599,925 | ||||||
| 4.50%, 06/01/2046 |
928,203 | 1,029,536 | ||||||
| 3.00%, 08/01/2046 |
8,949,133 | 9,165,185 | ||||||
| 3.50%, 08/01/2046 |
19,904,773 | 21,060,864 | ||||||
| 3.50%, 08/01/2046 |
11,393,553 | 11,895,805 | ||||||
| 3.00%, 09/01/2046 |
27,133,596 | 27,826,384 | ||||||
| 3.00%, 10/01/2046 |
8,745,349 | 8,956,678 | ||||||
| 3.00%, 11/01/2046 |
9,453,685 | 9,682,132 | ||||||
| 3.50%, 11/01/2046 |
2,499,464 | 2,602,994 | ||||||
| 3.00%, 12/01/2046 |
5,551,332 | 5,685,480 | ||||||
| 3.00%, 12/01/2046 |
5,639,324 | 5,773,908 | ||||||
| 3.00%, 01/01/2047 |
10,792,832 | 11,053,638 | ||||||
| 3.00%, 02/01/2047 |
9,934,765 | 10,174,715 |
| 3.50%, 02/01/2047 |
1,326,785 | 1,380,371 | ||||||
| 4.50%, 02/01/2047 |
691,747 | 771,347 | ||||||
| 3.00%, 03/01/2047 |
5,912,908 | 6,049,350 | ||||||
| 3.50%, 04/01/2047 |
15,368,867 | 16,261,028 | ||||||
| 3.50%, 04/01/2047 |
6,406,676 | 6,651,645 | ||||||
| 3.00%, 08/01/2047 |
25,701,735 | 26,264,111 | ||||||
| 3.50%, 09/01/2047 |
22,525,472 | 23,403,734 | ||||||
| 3.50%, 10/01/2047 |
4,860,771 | 5,055,022 | ||||||
| 3.50%, 11/01/2047 |
3,385,920 | 3,516,314 | ||||||
| 3.50%, 11/01/2047 |
4,626,206 | 4,814,690 | ||||||
| 3.00%, 12/01/2047 |
6,658,132 | 6,786,611 | ||||||
| 3.50%, 12/01/2047 |
38,049,875 | 40,258,801 | ||||||
| 4.50%, 12/01/2047 |
4,611,113 | 4,869,845 | ||||||
| 3.00%, 01/01/2048 |
330,261 | 337,081 | ||||||
| 3.50%, 01/01/2048 |
3,926,077 | 4,082,239 | ||||||
| 3.50%, 01/01/2048 |
22,364,225 | 23,846,230 | ||||||
| 3.50%, 02/01/2048 |
3,677,309 | 3,825,653 | ||||||
| 3.50%, 03/01/2048 |
36,534,854 | 38,460,452 | ||||||
| 3.50%, 03/01/2048 |
37,656,582 | 39,436,306 | ||||||
| 3.50%, 03/01/2048 |
38,624,118 | 40,768,987 | ||||||
| 4.00%, 03/01/2048 |
10,077,225 | 10,784,139 | ||||||
| 4.00%, 06/01/2048 |
24,008,446 | 25,627,905 | ||||||
| 4.00%, 07/01/2048 |
12,321,866 | 13,182,549 | ||||||
| 5.00%, 07/01/2048 |
2,443,316 | 2,614,905 | ||||||
| 5.00%, 08/01/2048 |
1,429,545 | 1,528,756 | ||||||
| 4.00%, 09/01/2048 |
220,234,797 | 229,465,403 | ||||||
| 5.00%, 09/01/2048 |
728,167 | 778,599 | ||||||
| 4.00%, 10/01/2048 |
31,903,488 | 33,226,199 | ||||||
| 4.50%, 10/01/2048 |
13,834,540 | 14,589,792 | ||||||
| 5.00%, 10/01/2048 |
3,803,806 | 4,067,904 | ||||||
| 4.00%, 11/01/2048 |
49,243,727 | 52,533,666 | ||||||
| 5.00%, 11/01/2048 |
6,111,026 | 6,539,687 | ||||||
| Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
| 3.11%, 06/25/2025 |
11,543,886 | 12,032,018 | ||||||
| 2.73%, 05/25/2029 |
15,705,000 | 15,935,980 | ||||||
| 3.90%, 12/25/2030(4) |
8,900,000 | 9,891,020 | ||||||
| 0.73%, 01/25/2031(4) |
295,805,577 | 11,682,516 | ||||||
| 3.75%, 11/25/2032 |
9,650,000 | 10,587,717 | ||||||
| 3.75%, 04/25/2033 |
5,505,000 | 6,063,870 | ||||||
| 3.99%, 05/25/2033(4) |
17,639,000 | 19,804,431 | ||||||
| 0.91%, 04/25/2034(4) |
18,987,148 | 1,750,326 | ||||||
| 2.86%, 10/25/2034 |
22,150,000 | 22,402,831 | ||||||
| 2.86%, 10/25/2046(4) |
581,306 | 590,086 | ||||||
| 2.84%, 12/25/2047(4) |
649,032 | 654,900 | ||||||
| Freddie Mac Pool |
||||||||
| 5.00%, 03/01/2042 |
369,632 | 411,322 | ||||||
| 3.50%, 06/01/2046 |
870,783 | 912,704 | ||||||
| 4.00%, 12/01/2048 |
164,003,016 | 170,705,419 | ||||||
| 4.00%, 06/01/2049 |
53,399,318 | 55,470,055 | ||||||
| 3.00%, 09/01/2049 |
2,143,731 | 2,210,741 | ||||||
| 2.50%, 01/01/2050 |
239,054,411 | 236,279,685 | ||||||
| Freddie Mac REMICS |
||||||||
| 3.00%, 01/15/2049 |
4,253,635 | 4,308,479 | ||||||
| 3.00%, 04/15/2049 |
20,852,490 | 21,325,990 | ||||||
| Freddie Mac STACR 2019-HQA3 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 09/25/2049(1)(2) |
2,354,364 | 2,354,677 | ||||||
| Freddie Mac Stacr Remic Trust 2019-Hqa4 |
||||||||
| 2.56% (1 Month LIBOR USD + 0.77%), 11/25/2049(1)(2) |
3,800,000 | 3,800,606 | ||||||
| Freddie Mac Stacr Trust 2018-HQA2 |
||||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 10/25/2048(1)(2) |
2,346,720 | 2,346,719 |
| Freddie Mac STACR Trust 2019-DNA1 |
||||||||
| 2.69% (1 Month LIBOR USD + 0.90%), 01/25/2049(1)(2) |
2,995,366 | 2,997,216 | ||||||
| Freddie Mac Stacr Trust 2019-HQA1 |
||||||||
| 2.69% (1 Month LIBOR USD + 0.90%), 02/25/2049(1)(2) |
721,371 | 721,690 | ||||||
| Freddie Mac STACR Trust 2019-HQA2 |
||||||||
| 2.49% (1 Month LIBOR USD + 0.70%), 04/25/2049(1)(2) |
510,507 | 510,531 | ||||||
| Freddie Mac STACR Trust 2019-HRP1 |
||||||||
| 3.19% (1 Month LIBOR USD + 1.40%), 02/25/2049(1)(2) |
3,740,000 | 3,741,008 | ||||||
| Freddie Mac Strips |
||||||||
| 3.00%, 09/15/2044 |
86,331,292 | 88,019,262 | ||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes |
||||||||
| 3.99% (1 Month LIBOR USD + 2.20%), 02/25/2024(1) |
241,787 | 244,393 | ||||||
| 3.44% (1 Month LIBOR USD + 1.65%), 04/25/2024(1) |
475,597 | 476,952 | ||||||
| 3.64% (1 Month LIBOR USD + 1.85%), 10/25/2027(1) |
434,358 | 437,104 | ||||||
| 4.39% (1 Month LIBOR USD + 2.60%), 12/25/2027(1) |
1,944,589 | 1,950,160 | ||||||
| 4.64% (1 Month LIBOR USD + 2.85%), 04/25/2028(1) |
1,505,107 | 1,519,558 | ||||||
| 4.69% (1 Month LIBOR USD + 2.90%), 07/25/2028(1) |
72,610 | 72,912 | ||||||
| 3.79% (1 Month LIBOR USD + 2.00%), 12/25/2028(1) |
129,367 | 129,556 | ||||||
| 2.99% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 07/25/2029(1) |
144,423 | 144,687 | ||||||
| 2.99% (1 Month LIBOR USD + 1.20%), 10/25/2029(1) |
3,365,768 | 3,377,320 | ||||||
| 2.59% (1 Month LIBOR USD + 0.80%), 12/25/2029(1) |
91,243 | 91,279 | ||||||
| 2.54% (1 Month LIBOR USD + 0.75%), 03/25/2030(1) |
831,757 | 832,327 | ||||||
| 2.24% (1 Month LIBOR USD + 0.45%), 07/25/2030(1) |
694,073 | 693,431 | ||||||
| 2.84% (1 Month LIBOR USD + 1.05%), 07/25/2030(1) |
5,965,000 | 5,942,723 | ||||||
| 3.81%, 05/25/2048(2)(4) |
445,000 | 432,438 | ||||||
| 4.15%, 08/25/2048(2)(4) |
4,290,000 | 4,277,254 | ||||||
| 4.46%, 11/25/2048(2)(4) |
221,472 | 221,223 | ||||||
| Freddie Mac Whole Loan Securities Trust |
||||||||
| 3.59%, 12/25/2046(2)(4) |
3,549,838 | 3,557,059 | ||||||
| FREMF 2018-K731 Mortgage Trust |
||||||||
| 3.93%, 02/25/2025(2)(4) |
4,525,000 | 4,665,961 | ||||||
| FREMF 2019-K736 Mortgage Trust |
||||||||
| 3.76%, 07/25/2026(2)(4) |
5,440,000 | 5,569,036 | ||||||
| FREMF 2019-K94 Mortgage Trust |
||||||||
| 3.97%, 07/25/2052(2)(4) |
2,800,000 | 2,913,977 | ||||||
| FREMF 2019-K98 Mortgage Trust |
||||||||
| 3.86%, 10/25/2052(2)(4) |
2,895,000 | 2,942,158 | ||||||
| FREMF K-100 Mortgage Trust |
||||||||
| 3.49%, 11/25/2052(2)(4) |
6,980,000 | 6,952,814 | ||||||
| Galton Funding Mortgage Trust 2017-1 |
||||||||
| 3.50%, 11/25/2057(2)(4) |
1,916,484 | 1,922,252 | ||||||
| Galton Funding Mortgage Trust 2017-2 |
||||||||
| 3.50%, 06/25/2059(2)(4) |
3,261,610 | 3,258,254 | ||||||
| Galton Funding Mortgage Trust 2018-2 |
||||||||
| 4.00%, 10/25/2058(2)(4) |
4,539,778 | 4,608,132 | ||||||
| Galton Funding Mortgage Trust 2019-1 |
||||||||
| 4.00%, 02/25/2059(2)(4) |
1,295,928 | 1,313,871 | ||||||
| 4.00%, 02/25/2059(2)(4) |
1,173,106 | 1,181,779 | ||||||
| Galton Funding Mortgage Trust 2019-H1 |
||||||||
| 2.66%, 10/25/2059(2)(4) |
6,703,756 | 6,705,732 | ||||||
| 2.96%, 10/25/2059(2)(4) |
5,949,029 | 5,950,708 | ||||||
| GCAT 2019-RPL1 Trust |
||||||||
| 2.65%, 10/25/2068(2)(4) |
4,328,372 | 4,321,276 | ||||||
| Ginnie Mae |
||||||||
| 3.50%, 03/20/2039 |
516,887 | 11,298 | ||||||
| 3.50%, 05/20/2043 |
256,117 | 43,075 | ||||||
| 3.00%, 11/20/2047 |
969,734 | 978,008 | ||||||
| 3.00%, 12/20/2047 |
714,873 | 718,451 | ||||||
| 3.50%, 08/20/2048 |
8,268,752 | 8,540,437 | ||||||
| 2.06% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 09/20/2048(1) |
2,392,777 | 2,383,611 |
| 3.50%, 09/20/2048 |
5,127,935 | 5,328,117 | ||||||
| 3.50%, 12/20/2048 |
1,426,682 | 1,467,407 | ||||||
| 3.00%, 01/01/2049(10) |
52,025,000 | 53,404,631 | ||||||
| 3.00%, 07/20/2049 |
1,790,121 | 1,805,352 | ||||||
| 3.00%, 09/20/2049 |
16,001,410 | 16,222,776 | ||||||
| Ginnie Mae I Pool |
||||||||
| 7.50%, 08/15/2033 |
265,163 | 300,610 | ||||||
| 5.00%, 09/15/2039 |
38,561 | 42,966 | ||||||
| 5.00%, 10/15/2039 |
304,105 | 338,811 | ||||||
| 5.00%, 12/15/2039 |
485,876 | 541,480 | ||||||
| 5.00%, 02/15/2040 |
67,482 | 75,222 | ||||||
| 5.00%, 02/15/2040 |
67,482 | 75,222 | ||||||
| 5.00%, 06/15/2040 |
190,497 | 212,277 | ||||||
| 4.50%, 05/15/2041 |
508,848 | 553,682 | ||||||
| 5.00%, 09/15/2041 |
153,324 | 170,911 | ||||||
| 3.00%, 10/15/2042 |
178,346 | 183,879 | ||||||
| 3.00%, 12/15/2042 |
31,120 | 32,085 | ||||||
| 3.50%, 12/15/2042 |
9,755 | 10,369 | ||||||
| 3.50%, 01/15/2043 |
13,781 | 14,555 | ||||||
| 3.00%, 05/15/2043 |
100,398 | 103,514 | ||||||
| 3.00%, 06/15/2043 |
8,670 | 8,937 | ||||||
| 3.00%, 06/15/2043 |
8,931 | 9,206 | ||||||
| 3.50%, 10/15/2043 |
65,467 | 68,765 | ||||||
| 5.00%, 07/15/2044 |
162,101 | 176,222 | ||||||
| 4.50%, 09/15/2045 |
190,246 | 206,887 | ||||||
| Ginnie Mae II Pool |
||||||||
| 5.50%, 07/20/2036 |
95,087 | 106,979 | ||||||
| 5.50%, 01/20/2040 |
200,390 | 222,152 | ||||||
| 5.00%, 05/20/2040 |
183,745 | 203,212 | ||||||
| 5.00%, 06/20/2040 |
98,552 | 108,974 | ||||||
| 5.00%, 08/20/2040 |
75,873 | 83,859 | ||||||
| 5.00%, 09/20/2040 |
65,793 | 72,724 | ||||||
| 3.50%, 07/20/2042 |
5,097,404 | 5,384,871 | ||||||
| 3.50%, 08/20/2042 |
18,353 | 19,386 | ||||||
| 3.50%, 09/20/2042 |
3,176,870 | 3,344,107 | ||||||
| 3.50%, 12/20/2042 |
7,689 | 8,120 | ||||||
| 3.50%, 02/20/2043 |
21,166 | 22,255 | ||||||
| 3.50%, 05/20/2043 |
9,928 | 10,448 | ||||||
| 3.50%, 06/20/2043 |
4,647,239 | 4,904,582 | ||||||
| 3.50%, 07/20/2043 |
1,910,599 | 2,016,400 | ||||||
| 3.50%, 09/20/2043 |
137,348 | 144,570 | ||||||
| 3.50%, 10/20/2044 |
453,939 | 475,620 | ||||||
| 3.50%, 10/20/2044 |
62,237 | 65,279 | ||||||
| 3.00%, 12/20/2044 |
613,151 | 634,120 | ||||||
| 3.50%, 12/20/2044 |
10,581 | 11,037 | ||||||
| 5.00%, 12/20/2044 |
289,397 | 313,207 | ||||||
| 3.50%, 01/20/2045 |
2,471,661 | 2,583,054 | ||||||
| 3.50%, 03/20/2045 |
428,274 | 446,429 | ||||||
| 3.50%, 05/20/2045 |
13,650 | 14,261 | ||||||
| 5.50%, 06/20/2045 |
248,089 | 276,261 | ||||||
| 3.50%, 07/20/2045 |
571,572 | 595,836 | ||||||
| 4.50%, 07/20/2045 |
4,198,269 | 4,493,684 | ||||||
| 4.00%, 09/20/2045 |
2,290,096 | 2,409,593 | ||||||
| 3.50%, 10/20/2045 |
86,447 | 90,659 | ||||||
| 3.50%, 10/20/2045 |
114,376 | 119,919 | ||||||
| 3.50%, 12/20/2045 |
3,010,335 | 3,144,370 | ||||||
| 4.50%, 12/20/2045 |
80,657 | 86,275 | ||||||
| 3.50%, 01/20/2046 |
2,161,489 | 2,253,140 | ||||||
| 4.50%, 01/20/2046 |
675,131 | 720,602 | ||||||
| 3.50%, 02/20/2046 |
1,463,702 | 1,529,886 |
| 3.50%, 02/20/2046 |
668,396 | 698,316 | ||||||
| 3.50%, 03/20/2046 |
8,123,068 | 8,464,502 | ||||||
| 3.50%, 04/20/2046 |
5,483,014 | 5,709,045 | ||||||
| 3.00%, 05/20/2046 |
31,771 | 32,781 | ||||||
| 3.00%, 05/20/2046 |
85,936 | 88,794 | ||||||
| 3.50%, 05/20/2046 |
11,190 | 11,684 | ||||||
| 3.50%, 05/20/2046 |
22,337 | 23,350 | ||||||
| 3.50%, 05/20/2046 |
3,757,147 | 3,913,946 | ||||||
| 3.50%, 05/20/2046 |
83,304 | 87,074 | ||||||
| 4.00%, 05/20/2046 |
1,184,324 | 1,239,614 | ||||||
| 3.00%, 06/20/2046 |
189,465 | 194,950 | ||||||
| 3.50%, 06/20/2046 |
91,935 | 96,079 | ||||||
| 3.50%, 06/20/2046 |
2,332,034 | 2,425,455 | ||||||
| 3.00%, 07/20/2046 |
290,535 | 299,776 | ||||||
| 3.00%, 07/20/2046 |
55,438 | 57,200 | ||||||
| 3.00%, 07/20/2046 |
89,509 | 92,496 | ||||||
| 3.00%, 07/20/2046 |
226,115 | 232,885 | ||||||
| 3.00%, 07/20/2046 |
132,827 | 136,418 | ||||||
| 3.00%, 07/20/2046 |
158,201 | 163,245 | ||||||
| 3.50%, 07/20/2046 |
769,300 | 799,031 | ||||||
| 3.00%, 08/20/2046 |
72,669 | 74,629 | ||||||
| 3.00%, 08/20/2046 |
121,435 | 125,475 | ||||||
| 3.00%, 08/20/2046 |
113,578 | 117,172 | ||||||
| 3.00%, 09/20/2046 |
62,117 | 64,010 | ||||||
| 3.00%, 09/20/2046 |
72,097 | 74,375 | ||||||
| 3.50%, 09/20/2046 |
1,379,458 | 1,434,499 | ||||||
| 3.00%, 10/20/2046 |
2,715,836 | 2,801,295 | ||||||
| 3.00%, 12/20/2046 |
6,474,770 | 6,681,245 | ||||||
| 3.50%, 12/20/2046 |
5,126,431 | 5,319,964 | ||||||
| 3.50%, 01/20/2047 |
6,939,742 | 7,191,766 | ||||||
| 4.50%, 01/20/2047 |
3,599,309 | 3,860,109 | ||||||
| 3.00%, 03/20/2047 |
1,643,402 | 1,693,239 | ||||||
| 4.00%, 03/20/2047 |
3,266,842 | 3,413,033 | ||||||
| 3.50%, 04/20/2047 |
3,512,410 | 3,653,536 | ||||||
| 4.00%, 04/20/2047 |
7,002,866 | 7,313,406 | ||||||
| 3.50%, 05/20/2047 |
470,686 | 489,578 | ||||||
| 4.00%, 05/20/2047 |
5,497,856 | 5,742,829 | ||||||
| 4.50%, 05/20/2047 |
8,130,851 | 8,659,461 | ||||||
| 3.50%, 06/20/2047 |
16,116,044 | 16,662,439 | ||||||
| 4.00%, 06/20/2047 |
2,664,434 | 2,786,887 | ||||||
| 4.50%, 06/20/2047 |
11,197,191 | 11,925,415 | ||||||
| 5.00%, 06/20/2047 |
5,440,342 | 5,840,474 | ||||||
| 4.00%, 07/20/2047 |
1,341,473 | 1,401,665 | ||||||
| 4.50%, 07/20/2047 |
1,302,055 | 1,386,562 | ||||||
| 5.00%, 07/20/2047 |
785,987 | 843,661 | ||||||
| 3.50%, 08/20/2047 |
7,348,951 | 7,633,339 | ||||||
| 4.00%, 08/20/2047 |
1,121,327 | 1,171,173 | ||||||
| 5.00%, 08/20/2047 |
542,991 | 582,918 | ||||||
| 3.00%, 09/20/2047 |
18,648,238 | 19,212,783 | ||||||
| 3.50%, 09/20/2047 |
19,731,371 | 20,492,715 | ||||||
| 4.00%, 09/20/2047 |
5,775,262 | 6,055,766 | ||||||
| 4.50%, 09/20/2047 |
3,356,253 | 3,553,230 | ||||||
| 5.00%, 09/20/2047 |
5,453,525 | 5,853,130 | ||||||
| 3.50%, 10/20/2047 |
1,548,474 | 1,600,733 | ||||||
| 5.00%, 10/20/2047 |
503,273 | 536,752 | ||||||
| 5.50%, 10/20/2047 |
906,649 | 986,972 | ||||||
| 3.00%, 11/20/2047 |
7,136,629 | 7,343,167 | ||||||
| 3.50%, 11/20/2047 |
26,150,283 | 27,136,708 | ||||||
| 4.00%, 11/20/2047 |
4,076,965 | 4,256,621 | ||||||
| 4.50%, 11/20/2047 |
1,273,679 | 1,348,305 |
| 5.00%, 11/20/2047 |
1,033,086 | 1,108,900 | ||||||
| 4.00%, 12/20/2047 |
3,973,067 | 4,148,357 | ||||||
| 5.00%, 12/20/2047 |
2,092,505 | 2,245,524 | ||||||
| 3.00%, 01/20/2048 |
8,855,859 | 9,103,944 | ||||||
| 3.50%, 01/20/2048 |
26,951,623 | 27,948,814 | ||||||
| 4.00%, 01/20/2048 |
5,741,560 | 5,970,310 | ||||||
| 4.00%, 01/20/2048 |
913,546 | 963,396 | ||||||
| 4.50%, 01/20/2048 |
425,591 | 446,977 | ||||||
| 5.00%, 01/20/2048 |
2,733,902 | 2,931,206 | ||||||
| 3.50%, 02/20/2048 |
3,398,656 | 3,546,740 | ||||||
| 3.50%, 02/20/2048 |
8,257,287 | 8,664,819 | ||||||
| 5.00%, 02/20/2048 |
2,501,930 | 2,678,837 | ||||||
| 3.50%, 04/20/2048 |
461,105 | 485,439 | ||||||
| 5.50%, 05/20/2048 |
3,604,200 | 3,843,424 | ||||||
| 4.00%, 06/20/2048 |
3,715,231 | 3,858,710 | ||||||
| 5.00%, 06/20/2048 |
2,595,845 | 2,774,494 | ||||||
| 4.00%, 08/20/2048 |
9,560,340 | 9,952,329 | ||||||
| 4.50%, 08/20/2048 |
18,508,509 | 19,476,584 | ||||||
| 5.00%, 08/20/2048 |
7,050,385 | 7,488,012 | ||||||
| 4.00%, 09/20/2048 |
5,340,749 | 5,564,270 | ||||||
| 4.50%, 09/20/2048 |
1,745,909 | 1,855,327 | ||||||
| 4.50%, 09/20/2048 |
2,115,967 | 2,224,977 | ||||||
| 4.00%, 10/20/2048 |
2,633,330 | 2,742,789 | ||||||
| 5.00%, 10/20/2048 |
6,622,834 | 6,973,992 | ||||||
| 5.00%, 11/20/2048 |
2,844,579 | 3,010,648 | ||||||
| 5.50%, 12/20/2048 |
2,420,432 | 2,572,296 | ||||||
| 3.50%, 01/20/2049 |
8,066,196 | 8,315,729 | ||||||
| 5.50%, 01/20/2049 |
717,522 | 762,897 | ||||||
| 5.50%, 03/20/2049 |
4,806,049 | 5,107,594 | ||||||
| 4.00%, 05/20/2049 |
16,901,019 | 17,521,774 | ||||||
| 4.50%, 05/20/2049 |
5,281,063 | 5,517,467 | ||||||
| 3.50%, 06/20/2049 |
6,919,086 | 7,041,010 | ||||||
| 3.50%, 07/20/2049 |
28,198,703 | 28,624,770 | ||||||
| 3.00%, 09/20/2049 |
1,269,096 | 1,279,467 | ||||||
| 4.00%, 09/20/2049 |
16,051,552 | 16,706,506 | ||||||
| 3.00%, 10/20/2049 |
36,973,998 | 37,390,691 | ||||||
| Gosforth Funding 2018-1 Plc |
||||||||
| 2.36% (3 Month LIBOR USD + 0.45%), 08/25/2060(1)(2) |
1,808,251 | 1,806,978 | ||||||
| Grand Avenue Mortgage Loan Trust 2017-RPL1 |
||||||||
| 3.25%, 08/25/2064(2) |
2,473,359 | 2,440,201 | ||||||
| Great Wolf Trust |
||||||||
| 3.66% (1 Month LIBOR USD + 1.93%, 1.93% Floor), 12/15/2029(1)(2) |
3,400,000 | 3,394,716 | ||||||
| GS Mortgage Securities Corp. Trust 2013-PEMB |
||||||||
| 3.55%, 03/05/2033(2)(4) |
4,700,000 | 4,079,818 | ||||||
| GS Mortgage Securities Corp. Trust 2019-SOHO |
||||||||
| 3.04% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 06/15/2036(1)(2) |
7,090,000 | 7,090,279 | ||||||
| GS Mortgage Securities Trust 2011-GC3 |
||||||||
| 5.64%, 03/10/2044(2)(4) |
340,000 | 351,227 | ||||||
| GS Mortgage Securities Trust 2011-GC5 |
||||||||
| 5.39%, 08/10/2044(2)(4) |
220,000 | 218,870 | ||||||
| GS Mortgage Securities Trust 2013-GC16 |
||||||||
| 5.16%, 11/10/2046(4) |
7,561,000 | 8,232,074 | ||||||
| GS Mortgage Securities Trust 2014-GC18 |
||||||||
| 4.38%, 01/10/2047 |
905,000 | 955,627 | ||||||
| GS Mortgage Securities Trust 2015-GC34 |
||||||||
| 3.51%, 10/10/2048 |
540,000 | 569,485 | ||||||
| GS Mortgage Securities Trust 2017-GS8 |
||||||||
| 4.34%, 11/10/2050(4) |
5,365,000 | 5,658,520 | ||||||
| GS Mortgage Securities Trust 2019-GC40 |
||||||||
| 3.16%, 07/10/2052 |
9,560,000 | 9,940,288 |
| GS Mortgage Securities Trust 2019-GC42 |
||||||||
| 2.75%, 09/01/2052 |
6,330,000 | 6,374,067 | ||||||
| GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 |
||||||||
| 4.00%, 08/25/2049(2)(4) |
3,855,000 | 3,927,033 | ||||||
| HarborView Mortgage Loan Trust 2005-9 |
||||||||
| 2.21% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2035(1) |
7,885,651 | 7,968,868 | ||||||
| HarborView Mortgage Loan Trust 2006-10 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036(1) |
10,581,825 | 9,792,508 | ||||||
| HarborView Mortgage Loan Trust 2006-12 |
||||||||
| 1.97% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/19/2036(1) |
34,525,315 | 30,561,277 | ||||||
| HarborView Mortgage Loan Trust 2006-7 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 09/19/2046(1) |
4,978,744 | 4,612,472 | ||||||
| HarborView Mortgage Loan Trust 2007-6 |
||||||||
| 1.96% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037(1) |
9,573,577 | 8,904,046 | ||||||
| Harvest Commercial Capital Loan Trust 2019-1 |
||||||||
| 3.29%, 09/25/2046(2)(4) |
10,728,030 | 10,671,177 | ||||||
| Hawksmoor Mortgages |
||||||||
| 1.76% (3 Month Sterling Overnight Interbank Average Rate + 1.05%), 05/25/2053(1)(2) |
GBP | 22,329,287 | 29,644,247 | |||||
| Hilton Orlando Trust 2018-ORL |
||||||||
| 2.51% (1 Month LIBOR USD + 0.77%, 0.77% Floor), 12/15/2034(1)(2) |
$ | 2,085,000 | 2,083,821 | |||||
| 2.79% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 12/15/2034(1)(2) |
350,000 | 349,802 | ||||||
| Holmes Master Issuer Plc |
||||||||
| 2.36% (3 Month LIBOR USD + 0.36%), 10/15/2054(1)(2) |
3,949,429 | 3,946,854 | ||||||
| 2.42% (3 Month LIBOR USD + 0.42%), 10/15/2054(1)(2) |
5,781,359 | 5,780,298 | ||||||
| Homeward Opportunities Fund I Trust 2018-1 |
||||||||
| 3.77%, 06/25/2048(2)(4) |
5,547,280 | 5,582,107 | ||||||
| 4.00%, 06/25/2048(2)(4) |
4,841,881 | 4,874,852 | ||||||
| Homeward Opportunities Fund I Trust 2019-1 |
||||||||
| 3.45%, 01/25/2059(2)(4) |
3,162,706 | 3,179,479 | ||||||
| 3.61%, 01/25/2059(2)(4) |
4,416,559 | 4,439,815 | ||||||
| 3.95%, 01/25/2059(2)(4) |
4,495,000 | 4,545,115 | ||||||
| Homeward Opportunities Fund I Trust 2019-2 |
||||||||
| 2.70%, 09/25/2059(2)(4) |
7,721,688 | 7,688,808 | ||||||
| Homeward Opportunities Fund I Trust 2019-3 |
||||||||
| 2.68%, 11/25/2059(2)(4) |
3,740,000 | 3,728,207 | ||||||
| 3.03%, 11/25/2059(2)(4) |
3,980,000 | 3,967,482 | ||||||
| HSI Asset Securitization Corp. Trust 2005-NC1 |
||||||||
| 2.75% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 07/25/2035(1) |
6,336,000 | 6,154,275 | ||||||
| Hudson Yards 2019-30HY Mortgage Trust |
||||||||
| 3.23%, 07/10/2039(2) |
6,570,000 | 6,791,991 | ||||||
| 3.38%, 07/10/2039(2)(4) |
3,905,000 | 4,004,643 | ||||||
| 3.44%, 07/10/2039(2)(4) |
4,500,000 | 4,509,598 | ||||||
| Hudson Yards 2019-55HY Mortgage Trust |
||||||||
| 3.04%, 12/10/2041(2) |
5,545,000 | 5,631,771 | ||||||
| Hudsons Bay Simon JV Trust 2015-HBS |
||||||||
| 4.15%, 08/05/2034(2) |
3,540,000 | 3,658,606 | ||||||
| ILPT Trust 2019-SURF |
||||||||
| 4.15%, 02/11/2041(2) |
7,575,000 | 8,448,106 | ||||||
| Impac CMB Trust Series 2004-7 |
||||||||
| 2.43% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034(1) |
5,972,704 | 6,051,710 | ||||||
| Independence Plaza Trust 2018-INDP |
||||||||
| 3.76%, 07/10/2035(2) |
3,265,000 | 3,407,171 | ||||||
| 3.91%, 07/10/2035(2) |
2,780,000 | 2,873,423 | ||||||
| IndyMac INDX Mortgage Loan Trust 2006-AR19 |
||||||||
| 3.88%, 08/25/2036(4) |
11,785,214 | 10,997,109 | ||||||
| IndyMac INDX Mortgage Loan Trust 2007-AR15 |
||||||||
| 3.80%, 08/25/2037(4) |
4,867,205 | 4,189,826 | ||||||
| InTown Hotel Portfolio Trust 2018-STAY |
||||||||
| 2.79% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 01/15/2033(1)(2) |
430,000 | 428,565 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 |
| 4.17%, 08/15/2046 |
2,402,871 | 2,453,367 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES |
||||||||
| 3.62%, 09/05/2032(2)(4) |
590,000 | 590,257 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 |
||||||||
| 3.06%, 08/15/2049 |
1,993,000 | 2,012,182 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 |
||||||||
| 3.40%, 08/15/2049(4) |
565,000 | 574,149 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE |
||||||||
| 2.85%, 09/06/2038(2)(4) |
3,597,500 | 3,649,790 | ||||||
| 2.85%, 09/06/2038(2)(4) |
910,000 | 903,487 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI |
||||||||
| 3.55%, 10/05/2031(2) |
394,000 | 397,669 | ||||||
| 4.01%, 10/05/2031(2)(4) |
602,000 | 610,903 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT |
||||||||
| 4.25%, 07/05/2033(2) |
965,000 | 1,025,941 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB |
||||||||
| 3.40%, 06/05/2039(2) |
8,012,500 | 8,371,555 | ||||||
| JP Morgan Mortgage Trust 2019-INV3 |
||||||||
| 3.50%, 05/25/2050(2)(4) |
5,060,000 | 5,157,247 | ||||||
| 3.50%, 05/25/2050(2)(4) |
4,323,000 | 4,389,872 | ||||||
| JP Morgan Resecuritization Trust Series 2014-6 |
||||||||
| 1.92% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 07/27/2046(1)(2) |
701,252 | 702,066 | ||||||
| JP Morgan Seasoned Mortgage Trust 2010-1 |
||||||||
| 0.00%, 03/25/2050(2)(4) |
13,995,583 | 13,044,088 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2014-C24 |
||||||||
| 2.94%, 11/15/2047 |
736,292 | 735,531 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2015-C28 |
||||||||
| 3.99%, 10/15/2048 |
1,200,000 | 1,247,515 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2015-C30 |
||||||||
| 3.82%, 07/15/2048 |
2,780,000 | 2,974,386 | ||||||
| JPMBB Commercial Mortgage Securities Trust 2015-C31 |
||||||||
| 3.80%, 08/15/2048 |
5,065,000 | 5,417,095 | ||||||
| JPMCC Commercial Mortgage Securities Trust 2017-JP5 |
||||||||
| 3.88%, 03/15/2050(4) |
4,990,000 | 5,296,847 | ||||||
| JPMDB Commercial Mortgage Securities Trust 2016-C4 |
||||||||
| 3.38%, 12/15/2049 |
4,040,000 | 4,159,569 | ||||||
| JPMDB Commercial Mortgage Securities Trust 2018-C8 |
||||||||
| 4.74%, 06/15/2051(4) |
1,474,000 | 1,591,221 | ||||||
| Lanark Master Issuer Plc |
||||||||
| 2.67% (3 Month LIBOR USD + 0.77%), 12/22/2069(1)(2) |
11,297,000 | 11,310,326 | ||||||
| 2.71%, 12/22/2069(2)(3) |
3,285,000 | 3,294,282 | ||||||
| Legacy Mortgage Asset Trust 2019-GS7 |
||||||||
| 3.25%, 11/25/2059(2)(3) |
4,742,865 | 4,744,566 | ||||||
| Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 |
||||||||
| 3.73%, 04/25/2029(4) |
789,678 | 786,439 | ||||||
| Metlife Securitization Trust 2018-1 |
||||||||
| 3.75%, 03/25/2057(2)(4) |
16,679,256 | 17,315,201 | ||||||
| Mill City Mortgage Loan Trust 2019-1 |
||||||||
| 3.25%, 10/25/2069(2)(4) |
2,351,574 | 2,393,754 | ||||||
| Mill City Mortgage Loan Trust 2019-GS1 |
||||||||
| 2.75%, 07/25/2059(2)(4) |
6,006,625 | 6,033,924 | ||||||
| Mill City Mortgage Loan Trust 2019-GS2 |
||||||||
| 2.75%, 08/25/2059(2)(4) |
15,201,787 | 15,264,594 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 |
||||||||
| 3.46%, 05/15/2046 |
3,750,000 | 3,869,611 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 |
||||||||
| 4.26%, 04/15/2047 |
1,940,000 | 2,056,287 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 |
||||||||
| 3.74%, 08/15/2047 |
974,000 | 1,027,123 | ||||||
| 4.46%, 08/15/2047(4) |
1,655,000 | 1,748,239 |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 |
||||||||
| 4.00%, 08/15/2031 |
310,000 | 323,258 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 |
||||||||
| 4.04%, 05/15/2048(4) |
190,000 | 202,413 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 |
||||||||
| 2.86%, 09/15/2049 |
3,220,000 | 3,279,060 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 |
||||||||
| 4.19%, 11/15/2052(4) |
845,000 | 878,775 | ||||||
| Morgan Stanley Capital I Trust 2011-C2 |
||||||||
| 5.49%, 06/15/2044(2)(4) |
1,415,000 | 1,375,382 | ||||||
| Morgan Stanley Capital I Trust 2017-H1 |
||||||||
| 4.28%, 06/15/2050(4) |
1,490,089 | 1,524,038 | ||||||
| Morgan Stanley Resecuritization Trust 2013-R7 |
||||||||
| 2.25% (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap), 12/26/2046(1)(2) |
10,368,510 | 10,277,280 | ||||||
| Motel 6 Trust 2017-MTL6 |
||||||||
| 2.66% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 08/15/2034(1)(2) |
5,963,058 | 5,962,156 | ||||||
| 2.93% (1 Month LIBOR USD + 1.19%, 1.19% Floor), 08/15/2034(1)(2) |
6,178,848 | 6,175,233 | ||||||
| 3.89% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034(1)(2) |
641,958 | 642,542 | ||||||
| MSCG Trust 2018-SELF |
||||||||
| 2.64% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037(1)(2) |
4,110,000 | 4,102,358 | ||||||
| New Orleans Hotel Trust 2019-HNLA |
||||||||
| 3.03% (1 Month LIBOR USD + 1.29%, 1.29% Floor), 04/15/2032(1)(2) |
6,425,000 | 6,409,088 | ||||||
| New Residential Mortgage Loan Trust 2019-NQM1 |
||||||||
| 3.67%, 01/25/2049(2)(4) |
4,642,473 | 4,666,617 | ||||||
| 3.93%, 01/25/2049(2)(4) |
4,379,550 | 4,404,246 | ||||||
| New Residential Mortgage Loan Trust 2019-NQM2 |
||||||||
| 3.60%, 04/25/2049(2)(4) |
5,609,284 | 5,650,172 | ||||||
| 3.70%, 04/25/2049(2)(4) |
1,876,556 | 1,890,189 | ||||||
| New Residential Mortgage Loan Trust 2019-NQM3 |
||||||||
| 2.80%, 07/25/2049(2)(4) |
7,128,812 | 7,135,055 | ||||||
| 3.09%, 07/25/2049(2)(4) |
2,891,155 | 2,890,873 | ||||||
| New Residential Mortgage Loan Trust 2019-NQM5 |
||||||||
| 2.71%, 11/25/2059(2)(4) |
3,887,048 | 3,886,187 | ||||||
| New Residential Mortgage Loan Trust 2019-RPL3 |
||||||||
| 2.75%, 07/25/2059(2)(4) |
37,418,242 | 37,422,429 | ||||||
| Nomura Resecuritization Trust 2015-7R |
||||||||
| 3.95%, 08/26/2036(2)(4) |
465,926 | 468,979 | ||||||
| OBX 2018-EXP1 Trust |
||||||||
| 2.64% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/25/2048(1)(2) |
2,860,589 | 2,859,549 | ||||||
| 4.00%, 04/25/2048(2)(4) |
1,659,273 | 1,682,619 | ||||||
| OBX 2019-EXP2 Trust |
||||||||
| 4.00%, 06/25/2059(2)(4) |
4,157,044 | 4,212,571 | ||||||
| OBX 2019-EXP3 Trust |
||||||||
| 3.50%, 10/25/2059(2)(4) |
6,457,371 | 6,499,909 | ||||||
| One Bryant Park Trust 2019-OBP |
||||||||
| 2.52%, 09/15/2054(2) |
7,390,000 | 7,187,002 | ||||||
| Palisades Center Trust 2016-PLSD |
||||||||
| 2.71%, 04/13/2033(2) |
640,000 | 636,724 | ||||||
| Precise Mortgage Funding 2018-2B Plc |
||||||||
| 1.46% (3 Month LIBOR GBP + 0.68%), 03/12/2055(1) |
GBP | 4,499,144 | 5,941,783 | |||||
| Queens Center Mortgage Trust 2013-QC |
||||||||
| 3.28%, 01/11/2037(2) |
$ | 3,915,000 | 4,037,885 | |||||
| RALI Series 2006-QS9 Trust |
||||||||
| 6.00%, 07/25/2036 |
4,980,269 | 4,757,991 | ||||||
| RALI Series 2007-QH8 Trust |
||||||||
| 3.26%, 10/25/2037(4) |
1,410,263 | 1,320,411 | ||||||
| RBS Commercial Funding, Inc. 2013-GSP Trust |
||||||||
| 3.83%, 01/15/2032(2)(4) |
1,565,000 | 1,631,578 | ||||||
| RCO V Mortgage LLC 2019-1 |
||||||||
| 3.72%, 05/24/2024(2)(3) |
2,669,579 | 2,672,123 |
| Real Estate Asset Liquidity Trust |
||||||||
| 2.42%, 06/12/2054(2)(4) |
CAD | 12,110,520 | 9,283,660 | |||||
| RESIMAC Bastille Trust Series 2018-1NC |
||||||||
| 2.55% (1 Month LIBOR USD + 0.85%), 12/05/2059(1)(2) |
$ | 2,544,000 | 2,547,167 | |||||
| RETL 2019-RVP |
||||||||
| 2.89% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 03/15/2036(1)(2) |
2,040,986 | 2,042,252 | ||||||
| Rosslyn Portfolio Trust 2017-ROSS |
||||||||
| 2.69% (1 Month LIBOR USD + 0.95%, 1.94% Floor), 06/15/2033(1)(2) |
15,800,000 | 15,790,101 | ||||||
| Seasoned Credit Risk Transfer Trust Series 2016-1 |
||||||||
| 3.00%, 09/25/2055(2)(4) |
375,000 | 366,876 | ||||||
| Seasoned Credit Risk Transfer Trust Series 2017-2 |
||||||||
| 4.00%, 08/25/2056(2)(4) |
910,000 | 919,452 | ||||||
| Sequoia Mortgage Trust 2003-2 |
||||||||
| 2.42% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.50% Cap), 06/20/2033(1) |
551,810 | 544,170 | ||||||
| Sequoia Mortgage Trust 2004-9 |
||||||||
| 2.80% (6 Month LIBOR USD + 0.72%, 0.36% Floor, 11.50% Cap), 10/20/2034(1) |
1,181,631 | 1,191,097 | ||||||
| Sequoia Mortgage Trust 2013-4 |
||||||||
| 3.49%, 04/25/2043(4) |
2,630,983 | 2,664,547 | ||||||
| Sequoia Mortgage Trust 2017-CH2 |
||||||||
| 4.00%, 12/25/2047(2)(4) |
1,597,087 | 1,649,395 | ||||||
| 4.00%, 12/25/2047(2)(4) |
1,655,105 | 1,674,664 | ||||||
| Sequoia Mortgage Trust 2018-CH1 |
||||||||
| 3.50%, 02/25/2048(2)(4) |
513,474 | 519,257 | ||||||
| Sequoia Mortgage Trust 2018-CH2 |
||||||||
| 4.00%, 06/25/2048(2)(4) |
1,596,147 | 1,619,213 | ||||||
| Sequoia Mortgage Trust 2018-CH3 |
||||||||
| 4.00%, 08/25/2048(2)(4) |
5,291,734 | 5,387,012 | ||||||
| 4.50%, 08/25/2048(2)(4) |
5,000,000 | 5,431,712 | ||||||
| 4.50%, 08/25/2048(2)(4) |
2,217,589 | 2,277,144 | ||||||
| Sequoia Mortgage Trust 2018-CH4 |
||||||||
| 4.00%, 10/25/2048(2)(4) |
1,815,095 | 1,841,267 | ||||||
| Sequoia Mortgage Trust 2019-CH2 |
||||||||
| 4.50%, 08/25/2049(2)(4) |
3,319,721 | 3,366,421 | ||||||
| SFAVE Commercial Mortgage Securities Trust 2015-5AVE |
||||||||
| 4.14%, 01/05/2043(2)(4) |
780,000 | 805,878 | ||||||
| SG Residential Mortgage Trust 2019-3 |
||||||||
| 2.70%, 09/25/2059(2)(4) |
4,794,533 | 4,784,653 | ||||||
| Silverstone Master Issuer Plc |
||||||||
| 2.54% (3 Month LIBOR USD + 0.57%), 01/21/2070(1)(2) |
2,310,375 | 2,321,542 | ||||||
| SLIDE 2018-FUN |
||||||||
| 4.04% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 06/15/2031(1)(2) |
5,141,477 | 5,151,329 | ||||||
| SLM Student Loan Trust 2008-9 |
||||||||
| 3.44% (3 Month LIBOR USD + 1.50%), 04/25/2023(1) |
8,635,275 | 8,659,034 | ||||||
| Southern Pacific Securities 06-1 Plc |
||||||||
| 1.09% (3 Month LIBOR GBP + 0.30%), 03/10/2044(1) |
GBP | 1,922,996 | 2,539,042 | |||||
| STACR Trust 2018-DNA2 |
||||||||
| 2.59% (1 Month LIBOR USD + 0.80%), 12/25/2030(1)(2) |
$ | 2,494,652 | 2,496,050 | |||||
| STACR Trust 2018-HRP2 |
||||||||
| 2.64% (1 Month LIBOR USD + 0.85%), 02/25/2047(1)(2) |
320,499 | 320,511 | ||||||
| 3.04% (1 Month LIBOR USD + 1.25%), 02/25/2047(1)(2) |
3,985,000 | 3,991,268 | ||||||
| Starwood Mortgage Residential Trust 2018-IMC2 |
||||||||
| 4.12%, 10/25/2048(2)(4) |
5,412,330 | 5,502,604 | ||||||
| Starwood Mortgage Residential Trust 2019-1 |
||||||||
| 2.94%, 06/25/2049(2)(4) |
7,529,949 | 7,525,962 | ||||||
| Starwood Mortgage Residential Trust 2019-IMC1 |
||||||||
| 3.47%, 02/25/2049(2)(4) |
3,015,986 | 3,038,407 | ||||||
| 3.75%, 02/25/2049(2)(4) |
1,651,518 | 1,670,473 | ||||||
| 4.09%, 02/25/2049(2)(4) |
2,160,000 | 2,176,265 | ||||||
| Starwood Mortgage Residential Trust 2019-INV1 |
||||||||
| 2.61%, 09/27/2049(2)(4) |
6,113,195 | 6,076,062 |
| 3.66%, 09/27/2049(2)(4) |
2,995,000 | 2,945,848 | ||||||
| Sutherland Commercial Mortgage Loans 2017-SBC6 |
||||||||
| 3.19%, 05/25/2037(2)(4) |
4,304,346 | 4,261,258 | ||||||
| Towd Point Mortgage Funding |
||||||||
| 1.61% (3 Month Sterling Overnight Interbank Average Rate + 0.90%), 07/20/2045(1)(2) |
GBP | 99,500,000 | 131,411,662 | |||||
| Towd Point Mortgage Funding 2018 - Auburn 12 Plc |
||||||||
| 1.60% (3 Month LIBOR GBP + 0.80%), 02/20/2045(1) |
2,790,532 | 3,694,697 | ||||||
| Towd Point Mortgage Funding 2019 - Granite4 Plc |
||||||||
| 1.82% (3 Month LIBOR GBP + 1.03%), 10/20/2051(1)(2) |
31,868,040 | 42,243,837 | ||||||
| Towd Point Mortgage Trust 2019-4 |
||||||||
| 2.90%, 10/25/2059(2)(4) |
$ | 114,569,291 | 115,158,956 | |||||
| UBS Commercial Mortgage Trust 2018-C9 |
||||||||
| 4.32%, 03/15/2051(4) |
1,718,000 | 1,853,910 | ||||||
| UBS-Barclays Commercial Mortgage Trust 2012-C2 |
||||||||
| 4.89%, 05/10/2063(2)(4) |
1,135,000 | 1,115,780 | ||||||
| 4.89%, 05/10/2063(2)(4) |
2,750,000 | 2,295,758 | ||||||
| Verus Securitization Trust 2018-1 |
||||||||
| 2.93%, 02/25/2048(2)(4) |
455,473 | 455,509 | ||||||
| Verus Securitization Trust 2018-2 |
||||||||
| 3.68%, 06/01/2058(2)(4) |
1,633,880 | 1,642,999 | ||||||
| 3.78%, 06/01/2058(2)(4) |
870,850 | 875,943 | ||||||
| Verus Securitization Trust 2018-3 |
||||||||
| 4.11%, 10/25/2058(2)(4) |
4,445,890 | 4,489,772 | ||||||
| 4.18%, 10/25/2058(2)(4) |
3,296,469 | 3,328,964 | ||||||
| Verus Securitization Trust 2018-INV1 |
||||||||
| 3.63%, 03/25/2058(2)(4) |
777,721 | 782,956 | ||||||
| Verus Securitization Trust 2018-INV2 |
||||||||
| 4.15%, 10/25/2058(2)(4) |
3,999,414 | 4,048,338 | ||||||
| Verus Securitization Trust 2019-1 |
||||||||
| 3.84%, 02/25/2059(2)(4) |
5,983,305 | 6,043,979 | ||||||
| Verus Securitization Trust 2019-2 |
||||||||
| 3.78%, 05/25/2059(2)(4) |
12,360,000 | 12,506,645 | ||||||
| Verus Securitization Trust 2019-3 |
||||||||
| 3.04%, 07/25/2059(2)(3) |
2,801,849 | 2,805,013 | ||||||
| Verus Securitization Trust 2019-4 |
||||||||
| 2.64%, 11/25/2059(2)(3) |
4,639,865 | 4,636,172 | ||||||
| Verus Securitization Trust 2019-INV1 |
||||||||
| 3.40%, 12/25/2059(2)(4) |
5,315,819 | 5,345,946 | ||||||
| 3.66%, 12/25/2059(2)(4) |
1,473,546 | 1,481,220 | ||||||
| 4.99%, 12/25/2059(2) |
1,340,000 | 1,364,722 | ||||||
| Verus Securitization Trust 2019-INV2 |
||||||||
| 3.12%, 07/25/2059(2)(4) |
5,562,913 | 5,564,656 | ||||||
| Verus Securitization Trust 2019-INV3 |
||||||||
| 2.69%, 11/25/2059(2)(4) |
8,753,070 | 8,724,454 | ||||||
| VNDO 2012-6AVE Mortgage Trust |
||||||||
| 3.00%, 11/15/2030(2) |
2,755,000 | 2,802,604 | ||||||
| Wachovia Bank Commercial Mortgage Trust Series 2006-C29 |
||||||||
| 5.44%, 11/15/2048(4) |
4,570,820 | 4,594,603 | ||||||
| Wachovia Bank Commercial Mortgage Trust Series 2007-C33 |
||||||||
| 5.65%, 02/15/2051(4) |
3,297,167 | 2,572,945 | ||||||
| Wachovia Bank Commercial Mortgage Trust Series 2007-C34 |
||||||||
| 6.17%, 05/15/2046(4) |
500,000 | 503,500 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust |
||||||||
| 2.12% (1 Month LIBOR USD + 0.33%, 0.33% Floor, 10.50% Cap), 01/25/2045(1) |
5,523,332 | 5,475,961 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust |
||||||||
| 2.11% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 08/25/2045(1) |
3,074,203 | 3,060,093 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust |
||||||||
| 2.08% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 10.50% Cap), 10/25/2045(1) |
1,943,500 | 1,912,044 | ||||||
| WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust |
||||||||
| 2.05% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap), 11/25/2045(1) |
5,893,558 | 5,742,961 |
| WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust |
||||||||
| 2.99% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047(1) |
13,454,421 | 12,834,316 | ||||||
| Warwick Finance Residential Mortgages No One Plc |
||||||||
| 1.80% (3 Month LIBOR GBP + 1.00%), 09/21/2049(1) |
GBP | 15,514,280 | 20,589,527 | |||||
| Warwick Finance Residential Mortgages No Two Plc |
||||||||
| 2.30% (3 Month LIBOR GBP + 1.50%), 09/21/2049(1) |
6,329,171 | 8,419,343 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust |
||||||||
| 5.50%, 04/25/2037 |
$ | 11,028,943 | 10,956,942 | |||||
| Wells Fargo Commercial Mortgage Trust 2013-120B |
||||||||
| 2.71%, 03/18/2028(2)(4) |
8,400,000 | 8,390,293 | ||||||
| Wells Fargo Commercial Mortgage Trust 2015-C30 |
||||||||
| 3.66%, 09/15/2058 |
1,280,000 | 1,361,538 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-C33 |
||||||||
| 3.16%, 03/15/2059 |
1,225,000 | 1,272,013 | ||||||
| 4.51%, 03/15/2059(4) |
4,317,000 | 4,622,709 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-C35 |
||||||||
| 3.18%, 07/15/2048 |
3,155,000 | 3,187,005 | ||||||
| Wells Fargo Commercial Mortgage Trust 2016-LC24 |
||||||||
| 3.37%, 10/15/2049 |
6,000,000 | 6,151,222 | ||||||
| Wells Fargo Commercial Mortgage Trust 2017-C38 |
||||||||
| 3.45%, 07/15/2050 |
1,695,000 | 1,795,406 | ||||||
| 3.67%, 07/15/2050(4) |
1,315,000 | 1,370,208 | ||||||
| Wells Fargo Commercial Mortgage Trust 2017-HSDB |
||||||||
| 2.59% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031(1)(2) |
8,100,000 | 8,075,617 | ||||||
| 2.84% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031(1)(2) |
6,700,000 | 6,667,241 | ||||||
| 3.59% (1 Month LIBOR USD + 1.84%, 1.85% Floor), 12/13/2031(1)(2) |
100,000 | 98,978 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C50 |
||||||||
| 4.19%, 05/15/2052 |
2,085,000 | 2,204,703 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C51 |
||||||||
| 3.31%, 06/15/2052 |
10,905,000 | 11,452,645 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C53 |
||||||||
| 3.51%, 10/15/2052(4) |
3,290,000 | 3,329,150 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-C54 |
||||||||
| 3.67%, 12/15/2052 |
4,420,000 | 4,544,929 | ||||||
| Wells Fargo Commercial Mortgage Trust 2019-JWDR |
||||||||
| 2.58%, 09/15/2031(2)(4) |
6,560,000 | 6,447,872 | ||||||
| 2.79%, 09/15/2031(2)(4) |
1,880,000 | 1,835,741 | ||||||
| WF-RBS Commercial Mortgage Trust 2011-C2 |
||||||||
| 5.65%, 02/15/2044(2)(4) |
3,500,000 | 3,562,813 | ||||||
| WFRBS Commercial Mortgage Trust 2011-C5 |
||||||||
| 5.67%, 11/15/2044(2)(4) |
115,000 | 119,277 | ||||||
| WFRBS Commercial Mortgage Trust 2012-C7 |
||||||||
| 4.81%, 06/15/2045(2)(4) |
690,000 | 523,063 | ||||||
| WFRBS Commercial Mortgage Trust 2014-C19 |
||||||||
| 4.72%, 03/15/2047(4) |
329,000 | 350,585 | ||||||
| WFRBS Commercial Mortgage Trust 2014-C22 |
||||||||
| 4.07%, 09/15/2057(4) |
4,250,000 | 4,484,863 | ||||||
| Worldwide Plaza Trust 2017-WWP |
||||||||
| 3.53%, 11/10/2036(2) |
1,740,000 | 1,829,932 | ||||||
| 3.60%, 11/10/2036(2)(4) |
320,000 | 328,631 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Obligations (Cost: $6,188,096,456) |
6,282,988,611 | |||||||
|
|
|
|||||||
| Total Bonds & Notes (Cost: $18,212,564,465) |
18,613,671,535 | |||||||
|
|
|
|||||||
| BANK LOANS – 2.56% |
||||||||
| 1011778 BC ULC |
||||||||
| 3.55% (LIBOR + 1.75%), 11/19/2026(1) |
1,591,316 | 1,592,891 | ||||||
| ABG Intermediate Holdings 2 LLC |
||||||||
| 5.30% (LIBOR + 3.50%), 09/27/2024(1) |
2,348,840 | 2,353,725 | ||||||
| Advanced Drainage Systems, Inc. |
||||||||
| 4.00% (LIBOR + 2.25%), 07/31/2026(1) |
482,857 | 486,078 | ||||||
| Advanz Pharma Corp. |
||||||||
| 7.45% (LIBOR + 5.50%), 09/06/2024(1) |
1,778,261 | 1,658,229 | ||||||
| AI Alpine U.S. Bidco, Inc. |
||||||||
| 4.60% (LIBOR + 2.75%), 10/31/2025(1) |
2,029,787 | 1,994,265 | ||||||
| Albertson’s LLC |
||||||||
| 4.55% (LIBOR + 2.75%), 08/17/2026(1) |
6,694,219 | 6,747,974 | ||||||
| Aldevron, LLC |
||||||||
| 6.19% (LIBOR + 4.25%), 10/12/2026(1) |
3,725,000 | 3,762,250 | ||||||
| Alliant Holdings Intermediate LLC |
||||||||
| 4.80% (LIBOR + 3.00%), 05/09/2025(1) |
5,476,600 | 5,473,533 | ||||||
| Alphabet Holding Company, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 09/26/2024(1) |
97,750 | 94,084 | ||||||
| Altice France SA |
||||||||
| 5.74% (LIBOR + 4.00%), 08/14/2026(1) |
1,386,000 | 1,387,150 | ||||||
| AMC Entertainment Holdings, Inc. |
||||||||
| 4.80% (LIBOR + 3.00%), 04/22/2026(1) |
3,518,413 | 3,542,901 | ||||||
| Applied Systems, Inc. |
||||||||
| 5.19% (LIBOR + 3.25%), 09/19/2024(1) |
4,559,953 | 4,573,770 | ||||||
| Aramark Services, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 03/28/2024(1) |
1,631,808 | 1,637,421 | ||||||
| 3.55% (LIBOR + 1.75%), 03/11/2025(1) |
186,533 | 187,174 | ||||||
| Ascend Learning, LLC |
||||||||
| 4.80% (LIBOR + 3.00%), 07/12/2024(1) |
4,612,402 | 4,638,370 | ||||||
| Asurion LLC |
||||||||
| 4.80% (LIBOR + 3.00%), 11/03/2023(1) |
439,951 | 442,230 | ||||||
| 4.80% (LIBOR + 3.00%), 11/03/2024(1) |
7,842,668 | 7,883,294 | ||||||
| 8.30% (LIBOR + 6.50%), 08/04/2025(1) |
1,835,000 | 1,856,102 | ||||||
| Atkins Nutritionals Inc. |
||||||||
| 5.73% (LIBOR + 3.75%), 07/07/2024(1) |
1,190,000 | 1,197,437 | ||||||
| Avantor, Inc. |
||||||||
| 4.80% (LIBOR + 3.00%), 11/21/2024(1) |
2,479,820 | 2,500,477 | ||||||
| Avolon TLB Borrower 1 U.S. LLC |
||||||||
| 3.51% (LIBOR + 1.75%), 01/15/2025(1) |
3,161,092 | 3,179,522 | ||||||
| Axalta Coating Systems U.S. Holdings, Inc. |
||||||||
| 3.69% (LIBOR + 1.75%), 06/01/2024(1) |
78,600 | 78,709 | ||||||
| Azalea TopCo, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 07/24/2026(1) |
5,798,468 | 5,825,662 | ||||||
| B&G Foods, Inc. |
||||||||
| 4.30% (LIBOR + 2.50%), 10/10/2026(1) |
763,088 | 768,490 | ||||||
| Bausch Health Companies, Inc. |
||||||||
| 4.74% (LIBOR + 3.00%), 06/02/2025(1) |
7,567,294 | 7,605,131 | ||||||
| 4.49% (LIBOR + 2.75%), 11/27/2025(1) |
1,444,553 | 1,451,241 | ||||||
| Beacon Roofing Supply, Inc. |
||||||||
| 4.05% (LIBOR + 2.25%), 01/02/2025(1) |
117,900 | 118,342 | ||||||
| Berry Global, Inc. |
||||||||
| 4.22% (LIBOR + 2.50%), 07/01/2026(1) |
3,604,381 | 3,610,401 | ||||||
| Brookfield WEC Holdings, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 08/01/2025(1) |
5,530,692 | 5,564,374 | ||||||
| Buckeye Partners, LP |
||||||||
| 4.44% (LIBOR + 2.75%), 11/01/2026(1) |
3,615,000 | 3,643,631 | ||||||
| Caesars Resort Collection LLC |
||||||||
| 4.55% (LIBOR + 2.75%), 12/23/2024(1) |
6,026,697 | 6,032,964 | ||||||
| Calpine Corp. |
||||||||
| 4.20% (LIBOR + 2.25%), 04/05/2026(1) |
4,577,000 | 4,600,114 | ||||||
| Camelot U.S. Acquisition 1 Co. |
||||||||
| 5.05% (LIBOR + 3.25%), 10/30/2026(1) |
1,450,000 | 1,457,975 | ||||||
| Catalent Pharma Solutions, Inc. |
||||||||
| 4.05% (LIBOR + 2.25%), 05/18/2026(1) |
3,880,675 | 3,891,580 | ||||||
| CenturyLink, Inc. |
||||||||
| 4.55% (LIBOR + 2.75%), 01/31/2025(1) |
752,970 | 755,605 |
| CEOC LLC |
||||||||
| 3.80% (LIBOR + 2.00%), 10/07/2024(1) |
506,392 | 509,015 | ||||||
| Ceridian HCM Holding, Inc. |
||||||||
| 4.80% (LIBOR + 3.00%), 04/30/2025(1) |
4,435,982 | 4,460,025 | ||||||
| Change Healthcare Holdings, Inc. |
||||||||
| 4.30% (LIBOR + 2.50%), 03/01/2024(1) |
976,138 | 978,734 | ||||||
| Charter Communications Operating LLC |
||||||||
| 3.55% (LIBOR + 1.75%), 04/30/2025(1) |
6,996,316 | 7,041,162 | ||||||
| 3.55% (LIBOR + 1.75%), 02/01/2027(1) |
6,337,471 | 6,373,151 | ||||||
| Charter NEX US, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 05/16/2024(1) |
7,114,250 | 7,149,821 | ||||||
| Churchill Downs, Inc. |
||||||||
| 3.80% (LIBOR + 2.00%), 12/27/2024(1) |
492,462 | 494,309 | ||||||
| Claros Mortgage Trust, Inc. |
||||||||
| 4.96% (LIBOR + 3.25%), 08/09/2026(1) |
1,845,375 | 1,854,602 | ||||||
| Clean Harbors, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 06/28/2024(1) |
492,424 | 495,379 | ||||||
| Clear Channel Outdoor Holdings, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 08/21/2026(1) |
3,291,750 | 3,307,024 | ||||||
| CommScope, Inc. |
||||||||
| 5.05% (LIBOR + 3.25%), 04/06/2026(1) |
2,892,750 | 2,908,111 | ||||||
| Core & Main Gp LLC |
||||||||
| 4.53% (LIBOR + 2.75%), 08/01/2024(1) |
98,000 | 97,959 | ||||||
| CPI Holdco LLC |
||||||||
| 6.19% (LIBOR + 4.25%), 11/04/2026(1) |
2,300,000 | 2,305,750 | ||||||
| CSC Holdings LLC |
||||||||
| 3.99% (LIBOR + 2.25%), 07/17/2025(1) |
3,950,476 | 3,952,688 | ||||||
| 3.99% (LIBOR + 2.25%), 01/15/2026(1) |
7,369,313 | 7,369,312 | ||||||
| 4.24% (LIBOR + 2.50%), 04/15/2027(1) |
4,946,250 | 4,962,721 | ||||||
| Cypress Intermediate Holdings III, Inc. |
||||||||
| 4.55% (LIBOR + 2.75%), 04/29/2024(1) |
3,505,420 | 3,509,802 | ||||||
| Dell International LLC |
||||||||
| 3.54% (LIBOR + 1.75%), 03/13/2024(1) |
2,242,500 | 2,250,909 | ||||||
| 3.80% (LIBOR + 2.00%), 09/19/2025(1) |
520,000 | 523,188 | ||||||
| Delos Finance SARL |
||||||||
| 3.69% (LIBOR + 1.75%), 10/06/2023(1) |
1,190,000 | 1,193,963 | ||||||
| Diamond Resorts International, Inc. |
||||||||
| 5.55% (LIBOR + 3.75%), 09/02/2023(1) |
3,119,217 | 3,040,456 | ||||||
| Dubai World Corp. |
||||||||
| 2.50% (LIBOR + 1.73%), 09/30/2022(1) |
7,248,847 | 6,777,672 | ||||||
| Dynasty Acquisition Co., Inc. |
||||||||
| 5.94% (LIBOR + 4.00%), 04/06/2026(1) |
4,242,653 | 4,268,491 | ||||||
| 5.94% (LIBOR + 4.00%), 04/06/2026(1) |
2,280,997 | 2,294,888 | ||||||
| Eastern Power LLC |
||||||||
| 5.55% (LIBOR + 3.75%), 10/02/2023(1) |
4,821,331 | 4,825,092 | ||||||
| Energizer Holdings, Inc. |
||||||||
| 4.00% (LIBOR + 2.25%), 12/17/2025(1) |
2,209,782 | 2,218,953 | ||||||
| Envision Healthcare Corp. |
||||||||
| 5.55% (LIBOR + 3.75%), 10/10/2025(1) |
3,514,996 | 2,989,504 | ||||||
| ExamWorks Group, Inc. |
||||||||
| 5.05% (LIBOR + 3.25%), 07/27/2023(1) |
2,416,390 | 2,429,221 | ||||||
| Filtration Group Corp. |
||||||||
| 4.80% (LIBOR + 3.00%), 03/29/2025(1) |
7,131,140 | 7,152,962 | ||||||
| Forest City Enterprises LP |
||||||||
| 5.30% (LIBOR + 3.50%), 12/08/2025(1) |
792,000 | 795,216 | ||||||
| Formula One Management Ltd. |
||||||||
| 4.30% (LIBOR + 2.50%), 02/01/2024(1) |
4,190,000 | 4,204,414 | ||||||
| Frontier Communications Corp. |
||||||||
| 5.55% (LIBOR + 3.75%), 06/15/2024(1) |
3,241,688 | 3,252,937 | ||||||
| Genesee & Wyoming Inc. |
| 3.91% (LIBOR + 2.00%), 12/30/2026(1) |
1,540,000 | 1,553,198 | ||||||
| Gentiva Health Services, Inc. |
||||||||
| 5.56% (LIBOR + 3.75%), 07/02/2025(1) |
316,000 | 317,384 | ||||||
| GFL Environmental Inc. |
||||||||
| 4.80% (LIBOR + 3.00%), 05/30/2025(1) |
5,918,564 | 5,922,766 | ||||||
| Go Daddy Operating Co. LLC |
||||||||
| 3.55% (LIBOR + 1.75%), 02/15/2024(1) |
2,509,852 | 2,522,401 | ||||||
| Gray Television, Inc. |
||||||||
| 4.20% (LIBOR + 2.50%), 01/02/2026(1) |
509,786 | 512,656 | ||||||
| HCA, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 03/13/2025(1) |
3,203,706 | 3,218,924 | ||||||
| Hertz Corp. |
||||||||
| 4.55% (LIBOR + 2.75%), 06/30/2023(1) |
2,785,224 | 2,799,735 | ||||||
| Hilton Worldwide Finance LLC |
||||||||
| 3.54% (LIBOR + 1.75%), 06/22/2026(1) |
7,631,741 | 7,679,439 | ||||||
| HUB International Ltd. |
||||||||
| 4.69% (LIBOR + 2.75%), 04/25/2025(1) |
2,809,538 | 2,805,830 | ||||||
| 5.90% (LIBOR + 4.00%), 04/25/2025(1) |
2,385,000 | 2,406,894 | ||||||
| Hyland Software, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 07/01/2024(1) |
1,258,892 | 1,264,406 | ||||||
| iHeartCommunications, Inc. |
||||||||
| 5.69% (LIBOR + 4.00%), 05/01/2026(1) |
13,690,066 | 13,786,991 | ||||||
| Ineos Finance Plc |
||||||||
| 2.50% (EURIBOR + 2.00%), 04/01/2024(1) |
EUR | 5,984,733 | 6,706,697 | |||||
| Intelsat Jackson Holdings SA |
||||||||
| 5.68% (LIBOR + 3.75%), 11/27/2023(1) |
$ | 3,900,000 | 3,903,471 | |||||
| 6.43% (LIBOR + 4.50%), 01/02/2024(1) |
2,196,282 | 2,211,568 | ||||||
| IPS Acquisition LLC |
||||||||
| 5.30% (LIBOR + 3.50%), 11/07/2024(1) |
544,833 | 547,901 | ||||||
| IQVIA, Inc. |
||||||||
| 3.69% (LIBOR + 1.75%), 01/17/2025(1) |
738,665 | 741,620 | ||||||
| IRB Holding Corp. |
||||||||
| 5.22% (LIBOR + 3.25%), 02/05/2025(1) |
98,250 | 98,769 | ||||||
| Iridium Satellite LLC |
||||||||
| 5.55% (LIBOR + 3.75%), 11/04/2026(1) |
4,675,000 | 4,730,539 | ||||||
| Jaguar Holding Co. I LLC |
||||||||
| 4.30% (LIBOR + 2.50%), 08/18/2022(1) |
9,306,994 | 9,350,364 | ||||||
| KAR Auction Services, Inc. |
||||||||
| 4.06% (LIBOR + 2.25%), 09/19/2026(1) |
548,625 | 552,054 | ||||||
| KFC Holding Co. |
||||||||
| 3.49% (LIBOR + 1.75%), 04/03/2025(1) |
11,482,480 | 11,511,186 | ||||||
| Kronos, Inc. |
||||||||
| 4.91% (LIBOR + 3.00%), 11/01/2023(1) |
9,235,146 | 9,276,150 | ||||||
| 10.16% (LIBOR + 8.25%), 11/01/2024(1) |
450,000 | 458,248 | ||||||
| Lake Road Generating Company LP |
||||||||
| 0.00% (LIBOR + 2.00%), 02/22/2049(1)(5) |
4,550,000 | 4,515,875 | ||||||
| Level 3 Financing, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 03/01/2027(1) |
10,290,353 | 10,322,562 | ||||||
| Marriott Ownership Resorts, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 08/29/2025(1) |
1,357,750 | 1,364,539 | ||||||
| McDermott International, Inc. |
||||||||
| 7.37% (LIBOR + 10.00%), 10/21/2021(1)(5) |
1,305,643 | 1,330,450 | ||||||
| 6.94% (LIBOR + 5.00%), 05/09/2025(1) |
3,621,017 | 2,108,337 | ||||||
| Meredith Corp. |
||||||||
| 4.55% (LIBOR + 2.75%), 01/31/2025(1) |
57,874 | 58,131 | ||||||
| Messer Industries GmbH |
||||||||
| 4.44% (LIBOR + 2.50%), 03/01/2026(1) |
4,189,004 | 4,208,777 | ||||||
| MGM Growth Properties Operating Partnership LP |
||||||||
| 3.80% (LIBOR + 2.00%), 03/21/2025(1) |
181,286 | 181,890 | ||||||
| Micro Holdings Corp. |
| 5.55% (LIBOR + 3.75%), 09/13/2024(1) |
303,025 | 303,361 | ||||||
| Microchip Technology, Inc. |
||||||||
| 3.80% (LIBOR + 2.00%), 05/29/2025(1) |
4,373,961 | 4,395,830 | ||||||
| Mission Broadcasting, Inc. |
||||||||
| 3.94% (LIBOR + 2.25%), 01/17/2024(1) |
299,079 | 300,030 | ||||||
| MPH Acquisition Holdings LLC |
||||||||
| 4.69% (LIBOR + 2.75%), 06/07/2023(1) |
1,142,681 | 1,124,924 | ||||||
| Nascar Holdings, Inc. |
||||||||
| 4.49% (LIBOR + 2.75%), 10/19/2026(1) |
732,006 | 739,605 | ||||||
| Neiman Marcus Group LLC Ltd. |
||||||||
| 8.21% (LIBOR + 6.50%), 10/25/2023(1) |
9,291,855 | 7,340,565 | ||||||
| Nexstar Broadcasting, Inc. |
||||||||
| 4.05% (LIBOR + 2.25%), 01/17/2024(1) |
1,505,137 | 1,509,923 | ||||||
| Nouryon Finance BV |
||||||||
| 4.96% (LIBOR + 3.25%), 10/01/2025(1) |
1,556,900 | 1,555,608 | ||||||
| NVA Holdings, Inc. |
||||||||
| 7.25% (LIBOR + 2.50%), 02/02/2025(1) |
2,218,850 | 2,214,701 | ||||||
| Pacific Gas & Electric Co. |
||||||||
| 3.97% (LIBOR + 2.25%), 12/31/2020(1) |
14,524,942 | 14,524,942 | ||||||
| Panther BF Aggregator 2 LP |
||||||||
| 5.30% (LIBOR + 3.50%), 04/30/2026(1) |
5,226,900 | 5,236,727 | ||||||
| PAREXEL International |
||||||||
| 4.55% (LIBOR + 2.75%), 09/27/2024(1) |
88,065 | 86,272 | ||||||
| Penn National Gaming, Inc. |
||||||||
| 4.05% (LIBOR + 2.25%), 10/15/2025(1) |
495,000 | 496,544 | ||||||
| PetSmart, Inc. |
||||||||
| 5.74% (LIBOR + 4.00%), 03/11/2022(1) |
646,683 | 638,935 | ||||||
| Ply Gem Midco, Inc. |
||||||||
| 5.49% (LIBOR + 3.75%), 04/12/2025(1) |
1,153,408 | 1,149,441 | ||||||
| PODS LLC |
||||||||
| 4.49% (LIBOR + 2.75%), 12/06/2024(1) |
753,442 | 756,501 | ||||||
| PQ Corp. |
||||||||
| 4.43% (LIBOR + 2.50%), 02/08/2025(1) |
3,314,926 | 3,330,904 | ||||||
| Prime Security Services Borrower LLC |
||||||||
| 4.94% (LIBOR + 3.25%), 09/23/2026(1) |
1,929,906 | 1,933,766 | ||||||
| Qatar National Bank QPSC |
||||||||
| 2.80% (LIBOR + 0.90%), 12/22/2020(1) |
2,650,000 | 2,643,375 | ||||||
| Refinitiv U.S. Holdings, Inc. |
||||||||
| 5.05% (LIBOR + 3.25%), 10/01/2025(1) |
9,125,372 | 9,202,938 | ||||||
| Regionalcare Hospital Partners Holdings, Inc. |
||||||||
| 6.30% (LIBOR + 4.50%), 11/16/2025(1) |
7,146,010 | 7,197,819 | ||||||
| Reynolds Group Holdings, Inc. |
||||||||
| 4.55% (LIBOR + 2.75%), 02/05/2023(1) |
3,768,009 | 3,776,864 | ||||||
| Sabre GLBL, Inc. |
||||||||
| 3.80% (LIBOR + 2.00%), 02/22/2024(1) |
1,605,427 | 1,613,454 | ||||||
| SBA Senior Finance II LLC |
||||||||
| 3.55% (LIBOR + 1.75%), 04/11/2025(1) |
1,576,000 | 1,580,602 | ||||||
| Scientific Games International, Inc. |
||||||||
| 4.58% (LIBOR + 2.75%), 08/14/2024(1) |
7,320,848 | 7,333,074 | ||||||
| Sequa Mezzanine Holdings LLC |
||||||||
| 6.90% (LIBOR + 5.00%), 11/28/2021(1) |
8,674,327 | 8,671,638 | ||||||
| 10.94% (LIBOR + 9.00%), 04/28/2022(1) |
660,000 | 647,625 | ||||||
| Servicemaster Company LLC |
||||||||
| 3.56% (LIBOR + 1.75%), 11/05/2026(1) |
1,295,000 | 1,299,053 | ||||||
| Sigma Holdco BV |
||||||||
| 3.50% (EURIBOR + 3.50%), 07/02/2025(1) |
EUR | 690,000 | 774,577 | |||||
| Sinclair Television Group, Inc. |
||||||||
| 4.24% (LIBOR + 2.50%), 09/30/2026(1) |
$ | 635,408 | 636,996 | |||||
| Solera, LLC |
||||||||
| 4.55% (LIBOR + 2.75%), 03/03/2023(1) |
4,576,227 | 4,580,529 |
| Sprint Communications, Inc. |
||||||||
| 4.31% (LIBOR + 2.50%), 02/02/2024(1) |
4,526,999 | 4,482,861 | ||||||
| 4.81% (LIBOR + 3.00%), 02/02/2024(1) |
371,250 | 369,394 | ||||||
| SS&C Technologies Holdings, Inc. |
||||||||
| 4.05% (LIBOR + 2.25%), 04/16/2025(1) |
619,670 | 623,660 | ||||||
| 4.05% (LIBOR + 2.25%), 04/16/2025(1) |
437,266 | 440,082 | ||||||
| Stars Group Holdings BV |
||||||||
| 5.44% (LIBOR + 3.50%), 07/10/2025(1) |
2,118,688 | 2,135,383 | ||||||
| Station Casinos LLC |
||||||||
| 4.30% (LIBOR + 2.50%), 06/08/2023(1) |
1,198,080 | 1,202,621 | ||||||
| Summit Materials LLC |
||||||||
| 3.80% (LIBOR + 2.00%), 11/21/2024(1) |
3,257,604 | 3,271,189 | ||||||
| Sunshine Luxembourg VII Sarl |
||||||||
| 3.75% (EURIBOR + 3.75%), 10/01/2026(1) |
EUR | 1,000,000 | 1,127,780 | |||||
| Syniverse Holdings, Inc. |
||||||||
| 6.85% (LIBOR + 5.00%), 03/09/2023(1) |
$ | 463,357 | 430,672 | |||||
| Telenet Financing USD LLC |
||||||||
| 3.99% (LIBOR + 2.25%), 08/15/2026(1) |
1,250,000 | 1,255,987 | ||||||
| Trans Union LLC |
||||||||
| 3.55% (LIBOR + 1.75%), 11/16/2026(1) |
2,368,766 | 2,376,843 | ||||||
| Transdigm Inc. |
||||||||
| 4.30% (LIBOR + 2.50%), 05/30/2025(1) |
742,443 | 744,047 | ||||||
| Tronox Finance LLC |
||||||||
| 4.61% (LIBOR + 2.75%), 09/23/2024(1) |
126,482 | 126,640 | ||||||
| Uber Technologies, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 07/13/2023(1) |
423,638 | 422,351 | ||||||
| 5.74% (LIBOR + 4.00%), 04/04/2025(1) |
2,810,384 | 2,802,346 | ||||||
| UFC Holdings LLC |
||||||||
| 5.05% (LIBOR + 3.25%), 04/29/2026(1) |
9,184,062 | 9,237,605 | ||||||
| Univision Communications, Inc. |
||||||||
| 4.55% (LIBOR + 2.75%), 03/15/2024(1) |
4,353,278 | 4,292,420 | ||||||
| USI, Inc. |
||||||||
| 5.94% (LIBOR + 4.00%), 12/02/2026(1) |
610,000 | 613,306 | ||||||
| VICI Properties 1 LLC |
||||||||
| 3.79% (LIBOR + 2.00%), 12/20/2024(1) |
710,000 | 712,932 | ||||||
| Vistra Operations Company LLC |
||||||||
| 3.54% (LIBOR + 2.00%), 12/31/2025(1) |
7,103,388 | 7,142,101 | ||||||
| Wand Newco 3, Inc. |
||||||||
| 5.30% (LIBOR + 3.50%), 02/05/2026(1) |
1,791,000 | 1,803,877 | ||||||
| Weight Watchers International, Inc. |
||||||||
| 6.72% (LIBOR + 4.75%), 11/29/2024(1) |
901,505 | 902,632 | ||||||
| Welbilt, Inc. |
||||||||
| 4.30% (LIBOR + 2.50%), 10/23/2025(1) |
5,425,000 | 5,438,562 | ||||||
| West Corp. |
||||||||
| 5.93% (LIBOR + 4.00%), 10/10/2024(1) |
76,291 | 64,476 | ||||||
| Western Digital Corp. |
||||||||
| 3.20% (LIBOR + 1.50%), 02/27/2023(1) |
4,238,462 | 4,240,242 | ||||||
| 3.45% (LIBOR + 1.75%), 04/29/2023(1) |
4,190,496 | 4,207,090 | ||||||
| Whatabrands LLC |
||||||||
| 4.94% (LIBOR + 3.25%), 08/02/2026(1) |
232,418 | 233,538 | ||||||
| Wink Holdco, Inc. |
||||||||
| 4.78% (LIBOR + 3.00%), 12/02/2024(1) |
1,670,669 | 1,671,722 | ||||||
| Wyndham Hotels & Resorts, Inc. |
||||||||
| 3.55% (LIBOR + 1.75%), 05/30/2025(1) |
197,500 | 198,381 | ||||||
| Zayo Group LLC |
||||||||
| 3.80% (LIBOR + 2.00%), 01/19/2021(1) |
1,583,230 | 1,585,462 | ||||||
| 4.05% (LIBOR + 2.25%), 01/19/2024(1) |
785,000 | 787,002 | ||||||
|
|
|
|||||||
| Total Bank Loans (Cost: $490,199,339) |
490,090,606 | |||||||
|
|
|
| Shares | Value | |||||||
| COMMON STOCKS – 0.07% |
||||||||
| Communications – 0.04% |
||||||||
| Clear Channel Outdoor Holdings, Inc. - Class A(11) |
2,064,946 | 5,905,745 | ||||||
| iHeartMedia, Inc. - Class A(11) |
139,553 | 2,358,446 | ||||||
| iHeartMedia, Inc. - Class B(11)(14) |
1,787 | 27,180 | ||||||
|
|
|
|||||||
| Total Communications |
8,291,371 | |||||||
|
|
|
|||||||
| Consumer, Cyclical – 0.03% |
||||||||
| Caesars Entertainment Corp.(11) |
338,983 | 4,610,169 | ||||||
|
|
|
|||||||
| Total Consumer, Cyclical |
4,610,169 | |||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $15,794,687) |
12,901,540 | |||||||
|
|
|
|||||||
| CONVERTIBLE PREFERRED STOCKS – 0.04% |
||||||||
| Consumer, Non-cyclical – 0.04% |
||||||||
| Bunge Ltd., 4.88% |
68,719 | 7,134,407 | ||||||
|
|
|
|||||||
| Total Consumer, Non-cyclical |
7,134,407 | |||||||
|
|
|
|||||||
| Total Convertible Preferred Stocks (Cost: $7,282,070) |
7,134,407 | |||||||
|
|
|
|||||||
| WARRANTS – 0.06% |
||||||||
| Communications – 0.06% iHeartMedia, Inc., expires 05/01/2039(11)(14) |
723,037 | 12,219,325 | ||||||
|
|
|
|||||||
| Total Communications |
12,219,325 | |||||||
|
|
|
|||||||
| Total Warrants (Cost: $14,531,679) |
12,219,325 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 3.74% |
||||||||
| Money Market Funds – 1.29% |
||||||||
| Fidelity Institutional Money Market Government Fund - Class I, 1.53%(12)(13) |
247,370,044 | 247,370,044 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $247,370,044) |
247,370,044 | |||||||
|
|
|
|||||||
| Government Related – 0.58% |
||||||||
| Federal Home Loan Bank Discount Notes, 01/23/2020 |
56,000,000 | 55,950,674 | ||||||
| Federal Home Loan Bank Discount Notes, 02/07/2020 |
56,000,000 | 55,914,880 | ||||||
|
|
|
|||||||
| Total Government Related (Cost: $111,857,351) |
111,865,554 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Commercial Paper – 0.09% |
||||||||
| Ford Motor Credit Co. LLC, 3.20%, 10/14/2020 |
$ | 17,380,000 | 16,964,270 | |||||
|
|
|
|||||||
| Total Commercial Paper (Cost: $16,950,472) |
16,964,270 | |||||||
|
|
|
|||||||
| Repurchase Agreements – 1.32% |
||||||||
| Bank of America Securities, Inc., 1.59% dated 12/31/2019, due 01/03/2020, repurchase price $116,610,300 (collateralized by U.S. Treasury Bond, value $120,218,111, 2.50%, 05/15/2046) |
116,600,000 | 116,600,000 | ||||||
| J.P. Morgan Securities, 1.65% dated 12/31/2019, due 01/02/2020, repurchase price $26,401,210 (collateralized by U.S. Treasury Bond, value $26,805,405, 3.00%, 11/15/2045) |
26,400,000 | 26,400,000 | ||||||
| J.P. Morgan Securities, 1.85% dated 12/30/2019, due 01/02/2020, repurchase price $109,011,203 (collateralized by U.S. Treasury Bond, value $110,584,834, 3.00%, 11/15/2044) |
109,000,000 | 109,000,000 | ||||||
|
|
|
|||||||
| Total Repurchase Agreements (Cost: $252,000,000) |
252,000,000 | |||||||
|
|
|
|||||||
| U.S. Treasury Bills – 0.42% |
||||||||
| U.S. Treasury Bill, 0.00%, 01/07/2020(15) |
5,827,500 | 5,826,395 | ||||||
| U.S. Treasury Bill, 0.00%, 02/27/2020(15) |
2,684,000 | 2,677,695 | ||||||
| U.S. Treasury Bill, 0.00%, 03/19/2020 |
4,915,000 | 4,899,424 | ||||||
| U.S. Treasury Bill, 0.00%, 03/26/2020(15) |
716,000 | 713,481 | ||||||
| U.S. Treasury Bill, 0.00%, 04/23/2020 |
20,000,000 | 19,904,629 | ||||||
| U.S. Treasury Bill, 0.00%, 05/07/2020 |
46,000,000 | 45,754,676 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Bills (Cost: $79,724,885) |
79,776,300 | |||||||
|
|
|
|||||||
| Time Deposits – 0.04% |
||||||||
| Brown Brothers Harriman, -7.75% due 01/02/2020 |
SEK | 387 | 41 | |||||
| Brown Brothers Harriman, -1.70% due 01/03/2020 |
CHF | 120,869 | 124,890 | |||||
| Brown Brothers Harriman, -0.68% due 01/02/2020 |
EUR | 7,738 | 8,680 | |||||
| Brown Brothers Harriman, -0.24% due 01/06/2020 |
JPY | 85,014 | 782 | |||||
| Brown Brothers Harriman, 0.32% due 01/02/2020 |
AUD | 1,368,864 | 960,601 | |||||
| Brown Brothers Harriman, 0.50% due 01/03/2020 |
NZD | 295 | 198 | |||||
| Brown Brothers Harriman, 0.87% due 01/02/2020 |
CAD | 272 | 209 | |||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
$ | 8,235 | 8,235 | |||||
| Citibank, London, -0.68% due 01/02/2020 |
EUR | 525,131 | 589,040 | |||||
| Citibank, London, 0.36% due 01/02/2020 |
GBP | 655,904 | 868,810 | |||||
| Citibank, New York, 1.81% due 01/02/2020 |
$ | 1,756,314 | 1,756,314 | |||||
| JP Morgan, New York, 1.81% due 01/02/2020 |
2,690,813 | 2,690,813 | ||||||
| Royal Bank of Canada, Toronto, 0.87% due 01/02/2020 |
CAD | 95,025 | 73,178 | |||||
|
|
|
|||||||
| Total Time Deposits (Cost: $7,081,791) |
7,081,791 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $714,984,543) |
715,057,959 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 103.85% (Cost: $19,455,356,783) |
19,851,075,372 | |||||||
|
|
|
|||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (3.85)% |
(736,487,290 | ) | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 19,114,588,082 | ||||||
|
|
|
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
ILS Israeli New Shekel
JPY Japanese Yen
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Sol
SEK Swedish Krona
| (1) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (2) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $4,358,983,363, which represents 22.80% of total net assets. |
| (3) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 2019. |
| (4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2019. |
| (5) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (6) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (7) | Security in default as of December 31, 2019. The value of these securities total $49,564,665, which represents 0.26% of total net assets. |
| (8) | Inflation protected security. The value of these securities total $225,589,678, which represents 1.18% of total net assets. |
| (9) | All or a portion of U.S. Treasuries purchased in a sale-buyback transaction. The value of these securities total $211,306,580, which represents 1.11% of total net assets. |
| (10) | Delayed delivery purchase commitment security. The value of these securities total $164,387,646, which represents 0.86% of total net assets. |
| (11) | Non-income producing security. |
| (12) | Represents annualized seven-day yield as of the close of the reporting period. |
| (13) | Partially assigned as collateral for certain delayed delivery securities. |
| (14) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $15,225,628 or 0.08% of the Fund’s net assets. |
| (15) | Partially assigned as collateral for certain future, swap and forward contracts. The value of these pledged issues totals $50,701,919, which represents 0.27% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments
Open Futures Contracts
| Number of |
Reference Entity |
Counterparty |
Expiration |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| 275 |
Australian 10 Year Bond Future | Goldman Sachs | Mar. 2020 | AUD | 40,097,474 | $ | 27,588,239 | $ | (550,162 | ) | ||||||||
| 1,580 |
U.S. 2 Year Note Future | Citigroup Global Markets | Mar. 2020 | $ | 340,656,959 | 340,490,000 | (166,959 | ) | ||||||||||
| 5,100 |
U.S. 2 Year Note Future | Goldman Sachs | Mar. 2020 | 1,099,166,533 | 1,099,050,000 | (116,533 | ) | |||||||||||
| 4,232 |
U.S. 5 Year Note Future | Citigroup Global Markets | Mar. 2020 | 502,817,213 | 501,954,875 | (862,338 | ) | |||||||||||
| 4,422 |
U.S. 5 Year Note Future | Goldman Sachs | Mar. 2020 | 527,185,313 | 524,490,656 | (2,694,657 | ) | |||||||||||
| 8,008 |
U.S. 10 Year Note Future | Goldman Sachs | Mar. 2020 | 1,038,197,078 | 1,028,402,375 | (9,794,703 | ) | |||||||||||
| 136 |
U.S. Long Bond Future | Goldman Sachs | Mar. 2020 | 21,662,216 | 21,203,250 | (458,966 | ) | |||||||||||
| 3 |
U.S. Ultra Long-Term Bond Future | Citigroup Global Markets | Mar. 2020 | 561,844 | 544,969 | (16,875 | ) | |||||||||||
| 1,031 |
U.S. Ultra Long-Term Bond Future | Goldman Sachs | Mar. 2020 | 192,838,813 | 187,287,594 | (5,551,219 | ) | |||||||||||
|
|
|
|||||||||||||||||
| (20,212,412 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| Number of |
Reference Entity |
Counterparty |
Expiration |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| (213) |
Euro-Bobl Future | Citigroup Global Markets | Mar. 2020 | EUR | (28,579,050 | ) | $ | (31,927,160 | ) | $ | 129,960 | |||||||
| (10) |
U.S. 10 Year Note Future | Goldman Sachs | Mar. 2020 | $ | (1,297,741 | ) | (1,284,219 | ) | 13,522 | |||||||||
| (799) |
U.S. Long Bond Future | Goldman Sachs | Mar. 2020 | (125,926,415 | ) | (124,569,094 | ) | 1,357,321 | ||||||||||
| (2,136) |
U.S. Ultra 10 Year Note Future | Goldman Sachs | Mar. 2020 | (304,121,933 | ) | (300,541,875 | ) | 3,580,058 | ||||||||||
|
|
|
|||||||||||||||||
| 5,080,861 | ||||||||||||||||||
|
|
|
|||||||||||||||||
| $ | (15,131,551 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
Over-the-Counter Forward Foreign Currency Exchange Contracts
| Currency Purchased |
Currency Sold | Settlement Date |
Counterparty |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
| AUD |
2,305,000 | USD | 1,565,948 | 01/10/20 | Bank Of America | $ | 51,874 | |||||||||||||||
| CAD |
1,347,000 | USD | 1,024,994 | 02/14/20 | Goldman Sachs | 12,510 | ||||||||||||||||
| CAD |
1,451,000 | USD | 1,099,105 | 02/14/20 | Morgan Stanley | 18,504 | ||||||||||||||||
| CLP |
116,217,000 | USD | 148,000 | 01/09/20 | Goldman Sachs | 6,573 | ||||||||||||||||
| CLP |
454,338,000 | USD | 587,000 | 01/27/20 | BNP Paribas | 17,416 | ||||||||||||||||
| EUR |
4,272,000 | USD | 4,772,414 | 01/10/20 | BNP Paribas | 21,579 | ||||||||||||||||
| EUR |
1,036,000 | USD | 1,159,530 | 01/10/20 | J.P. Morgan | 3,058 | ||||||||||||||||
| EUR |
1,821,322 | USD | 2,022,861 | 02/21/20 | Citigroup Global Markets | 26,397 | ||||||||||||||||
| EUR |
1,431,908 | USD | 1,590,907 | 02/21/20 | HSBC Bank | 20,202 | ||||||||||||||||
| EUR |
2,560,162 | USD | 2,855,201 | 02/21/20 | UBS | 25,361 | ||||||||||||||||
| GBP |
1,768,000 | USD | 2,289,033 | 01/10/20 | Morgan Stanley | 53,337 | ||||||||||||||||
| IDR* |
1,475,948,000 | USD | 103,256 | 03/18/20 | Deutsche Bank | 2,782 | ||||||||||||||||
| MXN |
844,845,000 | USD | 42,775,229 | 01/16/20 | BNP Paribas | 1,821,597 | ||||||||||||||||
| RUB |
3,067,075,789 | USD | 47,840,821 | 02/18/20 | Goldman Sachs | 1,293,449 | ||||||||||||||||
| RUB |
249,817,460 | USD | 3,844,499 | 03/16/20 | Morgan Stanley | 144,900 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Unrealized Appreciation | 3,519,539 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| GBP |
1,445,000 | USD | 1,934,086 | 01/10/20 | Bank Of America | (19,649 | ) | |||||||||||||||
| TRY |
31,948,835 | USD | 5,536,675 | 01/13/20 | J.P. Morgan | (180,761 | ) | |||||||||||||||
| TRY |
18,454,846 | USD | 3,200,277 | 01/13/20 | Morgan Stanley | (106,500 | ) | |||||||||||||||
| TRY |
69,569,484 | USD | 12,044,970 | 01/14/20 | J.P. Morgan | (385,399 | ) | |||||||||||||||
| TRY |
42,620,922 | USD | 7,388,237 | 01/14/20 | Morgan Stanley | (245,139 | ) | |||||||||||||||
| USD |
4,339,310 | AUD | 6,391,000 | 01/10/20 | Bank Of America | (146,373 | ) | |||||||||||||||
| USD |
135,104 | JPY | 14,700,000 | 01/10/20 | Bank Of America | (243 | ) | |||||||||||||||
| USD |
1,635,761 | AUD | 2,374,000 | 01/10/20 | BNP Paribas | (30,491 | ) | |||||||||||||||
| USD |
374,197,335 | GBP | 288,932,000 | 01/10/20 | BNP Paribas | (8,600,022 | ) | |||||||||||||||
| USD |
301,195,166 | EUR | 272,291,000 | 01/10/20 | Goldman Sachs | (4,366,967 | ) | |||||||||||||||
| USD |
22,076,899 | GBP | 17,034,000 | 01/10/20 | J.P. Morgan | (490,938 | ) | |||||||||||||||
| USD |
11,472,046 | ILS | 39,959,430 | 01/14/20 | Bank Of America | (105,190 | ) | |||||||||||||||
| USD |
14,238,545 | ILS | 49,721,000 | 01/14/20 | Citigroup Global Markets | (166,858 | ) | |||||||||||||||
| USD |
8,483,657 | PEN* | 28,785,047 | 02/10/20 | BNP Paribas | (193,315 | ) | |||||||||||||||
| USD |
16,534,820 | CAD | 21,924,000 | 02/14/20 | BNP Paribas | (351,774 | ) | |||||||||||||||
| USD |
21,243,434 | NZD | 33,217,000 | 02/14/20 | Morgan Stanley | (1,132,103 | ) | |||||||||||||||
| USD |
19,093,985 | EUR | 17,226,151 | 02/21/20 | Citigroup Global Markets | (287,984 | ) | |||||||||||||||
| USD |
11,941,948 | EUR | 10,738,380 | 02/21/20 | UBS | (140,318 | ) | |||||||||||||||
| USD |
13,787,553 | CAD | 18,245,000 | 03/18/20 | Bank Of America | (266,468 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Unrealized Depreciation | (17,216,492 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Net Unrealized Depreciation | $ | (13,696,953 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| * | Non-deliverable forward |
AUD Australian Dollar
CAD Canadian Dollar
CLP Chilean Peso
EUR Euro
GBP British Pound
IDR Indonesian Rupiah
ILS Israeli New Shekel
JPY Japanese Yen
MXN Mexican Peso
NZD New Zealand Dollar
PEN Peruvian Sol
RUB Russian Ruble
TRY Turkish Lira
USD United States Dollar
Centrally Cleared Credit Default Swaps – Buy Protection
| Reference Entity |
Fixed Annual Rate Paid by Fund |
Maturity Date |
Implied Credit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | |||||||||||||||||||||
| CDX.NA.HY.33 |
5.00 | % | 12/20/2024 | 2.80 | % | $ | 4,356,000 | $ | (243,107 | ) | $ | (183,907 | ) | $ | (427,014 | ) | ||||||||||||
| CDX.NA.IG.33 |
1.00 | 12/20/2024 | 0.45 | 39,900,000 | (684,127 | ) | (363,874 | ) | (1,048,001 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (927,234 | ) | $ | (547,781 | ) | $ | (1,475,015 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Centrally Cleared Credit Default Swaps – Sell Protection |
|
|||||||||||||||||||||||||||
| Reference Entity |
Fixed Annual Rate Received by Fund |
Maturity Date |
Implied Credit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | |||||||||||||||||||||
| CDX.EM.28 |
1.00 | % | 12/20/2022 | 1.24 | % | $ | 9,894,000 | $ | (252,070 | ) | $ | 187,528 | $ | (64,542 | ) | |||||||||||||
| CDX.EM.29 |
1.00 | 6/20/2023 | 1.67 | 2,000,000 | (29,939 | ) | (13,157 | ) | (43,096 | ) | ||||||||||||||||||
| CDX.EM.30 |
1.00 | 12/20/2023 | 1.66 | 10,500,000 | (396,246 | ) | 140,867 | (255,379 | ) | |||||||||||||||||||
| CDX.EM.31 |
1.00 | 6/20/2024 | 1.64 | 12,200,000 | (407,386 | ) | 88,410 | (318,976 | ) | |||||||||||||||||||
| CDX.EM.32 |
1.00 | 12/20/2024 | 1.74 | 16,700,000 | (760,477 | ) | 204,795 | (555,682 | ) | |||||||||||||||||||
| CDX.NA.HY.33 |
5.00 | 12/20/2024 | 2.80 | 11,632,500 | 845,101 | 295,221 | 1,140,322 | |||||||||||||||||||||
| CDX.NA.IG.33 |
1.00 | 12/20/2024 | 0.45 | 185,800,000 | 3,902,847 | 977,319 | 4,880,166 | |||||||||||||||||||||
| CDX.NA.IG.33 |
1.00 | 12/20/2024 | 0.45 | 165,500,000 | 3,466,105 | 880,868 | 4,346,973 | |||||||||||||||||||||
| AT&T Inc. |
1.00 | 12/20/2024 | 0.60 | 12,100,000 | 113,269 | 98,449 | 211,718 | |||||||||||||||||||||
| General Electric Co. |
1.00 | 12/20/2023 | 0.65 | 700,000 | (26,860 | ) | 36,410 | 9,550 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 6,454,344 | $ | 2,896,710 | $ | 9,351,054 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Over-the-Counter Credit Default Swaps – Sell Protection
| Counterparty |
Reference Entity |
Fixed Annual Rate Received by Fund |
Maturity Date |
Implied Credit Spread at December 31, 2019 |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||||||
| J.P. Morgan |
Argentine Republic | 5.00 | % | 6/20/2023 | 40.43 | % | $ | 200,000 | $ | 1,063 | $ | (110,074 | ) | $ | (109,011 | ) | ||||||||||||||
| J.P. Morgan |
Barclays Bank Plc | 1.00 | 6/20/2024 | 0.40 | EUR | 1,000,000 | 11,368 | 19,472 | 30,840 | |||||||||||||||||||||
| Goldman Sachs |
Brazilian Government International | 1.00 | 12/20/2024 | 0.99 | $ | 3,200,000 | (47,305 | ) | 49,718 | 2,413 | ||||||||||||||||||||
| Barclays Bank |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,180,000 | (16,497 | ) | 18,783 | 2,286 | |||||||||||||||||||||
| Barclays Bank |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,035,000 | (16,291 | ) | 18,296 | 2,005 | |||||||||||||||||||||
| Barclays Bank |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 590,000 | (8,098 | ) | 7,749 | (349 | ) | ||||||||||||||||||||
| J.P. Morgan |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 445,000 | (6,220 | ) | 5,957 | (263 | ) | ||||||||||||||||||||
| Morgan Stanley |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 1,325,000 | (25,208 | ) | 27,775 | 2,567 | |||||||||||||||||||||
| Morgan Stanley |
Cardinal Health, Inc. | 1.00 | 12/20/2024 | 1.02 | 2,005,000 | (42,636 | ) | 46,520 | 3,884 | |||||||||||||||||||||
| Deutsche Bank |
CMBX.NA.AAA.10 | 0.50 | 11/17/2059 | 0.00 | 16,450,000 | (271,263 | ) | 451,773 | 180,510 | |||||||||||||||||||||
| Bank of America |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 10,335,000 | 47,782 | 89,789 | 137,571 | ||||||||||||||||||||||
| Goldman Sachs |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 21,350,000 | 81,885 | 256,275 | 338,160 | ||||||||||||||||||||||
| Goldman Sachs |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 21,495,000 | 82,442 | 258,015 | 340,457 | ||||||||||||||||||||||
| Morgan Stanley |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 6,940,000 | 22,930 | 86,991 | 109,921 | ||||||||||||||||||||||
| Morgan Stanley |
Colombia Government International | 1.00 | 12/20/2024 | 0.72 | 11,000,000 | 44,930 | 129,298 | 174,228 | ||||||||||||||||||||||
| Barclays Bank |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 305,000 | — | 5,211 | 5,211 | ||||||||||||||||||||||
| Barclays Bank |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 455,000 | 206 | 7,569 | 7,775 | ||||||||||||||||||||||
| Bank of America |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 605,000 | (3,550 | ) | 13,887 | 10,337 | |||||||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 525,000 | — | 8,972 | 8,972 | ||||||||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 1,915,000 | (11,262 | ) | 43,983 | 32,721 | |||||||||||||||||||||
| Morgan Stanley |
Devon Energy Corp. | 1.00 | 12/20/2024 | 0.70 | 915,000 | (2,072 | ) | 17,707 | 15,635 | |||||||||||||||||||||
| Goldman Sachs |
Federative Republic of Brazil | 1.00 | 6/20/2024 | 0.88 | 300,000 | (6,009 | ) | 8,371 | 2,362 | |||||||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 6,065,000 | 38,866 | 85,349 | 124,215 | ||||||||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 4,057,181 | 25,006 | 58,087 | 83,093 | ||||||||||||||||||||||
| Barclays Bank |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 7,000,000 | 38,000 | 105,363 | 143,363 | ||||||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 17,932,741 | 118,614 | 248,657 | 367,271 | ||||||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 12,982,980 | 78,517 | 187,381 | 265,898 | ||||||||||||||||||||||
| Goldman Sachs |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 465,000 | 3,611 | 5,912 | 9,523 | ||||||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 9,737,235 | 61,166 | 138,258 | 199,424 | ||||||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 23,489,863 | 142,059 | 339,025 | 481,084 | ||||||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 1,865,000 | 14,809 | 23,387 | 38,196 | ||||||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 35,000,000 | 432,985 | 334,542 | 767,527 | ||||||||||||||||||||||
| Morgan Stanley |
Indonesia Government International | 1.00 | 12/20/2024 | 0.63 | 6,530,000 | 33,932 | 99,805 | 133,737 | ||||||||||||||||||||||
| Morgan Stanley |
Mexico Government International | 1.00 | 12/20/2024 | 0.78 | 2,800,000 | (20,902 | ) | 57,557 | 36,655 | |||||||||||||||||||||
| Goldman Sachs |
Republic of South Africa | 1.00 | 6/20/2024 | 1.51 | 4,700,000 | (174,354 | ) | 76,621 | (97,733 | ) | ||||||||||||||||||||
| J.P. Morgan |
Republic of South Africa | 1.00 | 6/20/2023 | 1.23 | 9,400,000 | (473,397 | ) | 428,386 | (45,011 | ) | ||||||||||||||||||||
| Barclays Bank |
Republic Of South Africa Gover | 1.00 | 12/20/2024 | 1.63 | 19,000,000 | (667,634 | ) | 123,141 | (544,493 | ) | ||||||||||||||||||||
| Goldman Sachs |
Republic Of South Africa Gover | 1.00 | 12/20/2024 | 1.63 | 3,975,931 | (146,147 | ) | 42,257 | (103,890 | ) | ||||||||||||||||||||
| Goldman Sachs |
Russia Emerging Markets SPMYC | 1.00 | 12/20/2022 | 0.25 | 1,500,000 | (20,136 | ) | 53,483 | 33,347 | |||||||||||||||||||||
| J.P. Morgan |
Russia Emerging Markets SPMYC | 1.00 | 6/20/2023 | 0.33 | 18,200,000 | (385,446 | ) | 806,455 | 421,009 | |||||||||||||||||||||
| Goldman Sachs |
Russian Foreign Bond - Eurobon | 1.00 | 12/20/2024 | 0.55 | 20,600,000 | 126,960 | 315,957 | 442,917 | ||||||||||||||||||||||
| Goldman Sachs |
Teva Pharmaceutical Finance Ne | 1.00 | 6/20/2022 | 2.33 | 210,000 | (10,650 | ) | 4,221 | (6,429 | ) | ||||||||||||||||||||
| Goldman Sachs |
United Mexican States | 1.00 | 6/20/2023 | 0.49 | 29,900,000 | (170,968 | ) | 692,190 | 521,222 | |||||||||||||||||||||
| Goldman Sachs |
United Mexican States | 1.00 | 12/20/2023 | 0.56 | 9,100,000 | (147,939 | ) | 305,160 | 157,221 | |||||||||||||||||||||
| J.P. Morgan |
United Mexican States | 1.00 | 12/20/2023 | 0.56 | 5,400,000 | (92,543 | ) | 185,839 | 93,296 | |||||||||||||||||||||
| J.P. Morgan |
United Mexican States | 1.00 | 6/20/2024 | 0.68 | 300,000 | (4,054 | ) | 8,219 | 4,165 | |||||||||||||||||||||
| Morgan Stanley |
United Mexican States | 1.00 | 12/20/2022 | 0.41 | 3,800,000 | 2,841 | 63,996 | 66,837 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (1,360,609 | ) | $ | 6,251,285 | $ | 4,890,676 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Fixed Annual Rate |
Floating Rate Index | Floating Rate Paid or Received |
Payment Frequency |
Maturity Date |
Notional Amount |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Value | ||||||||||||||||||
| 2.25% |
3 Month USD LIBOR | Received | Quarterly | 3/12/2050 | $ | 51,700,000 | $ | (163,068 | ) | $ | (1,691,383 | ) | $ | (1,854,451 | ) | |||||||||||
| 2.50 |
3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 107,900,000 | (1,168,430 | ) | 6,552,566 | 5,384,136 | |||||||||||||||||
| 2.50 |
3 Month USD LIBOR | Paid | Quarterly | 12/20/2027 | 94,300,000 | 1,840,143 | 2,865,362 | 4,705,505 | ||||||||||||||||||
| 2.54 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | — | (483,222 | ) | (483,222 | ) | ||||||||||||||||
| 2.55 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | — | (486,871 | ) | (486,871 | ) | ||||||||||||||||
| 2.56 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 12,000,000 | — | (491,693 | ) | (491,693 | ) | ||||||||||||||||
| 2.57 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 6,000,000 | — | (249,040 | ) | (249,040 | ) | ||||||||||||||||
| 2.58 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 17,900,000 | — | (749,577 | ) | (749,577 | ) | ||||||||||||||||
| 2.61 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 18,000,000 | — | (773,900 | ) | (773,900 | ) | ||||||||||||||||
| 2.61 |
3 Month USD LIBOR | Received | Quarterly | 2/5/2024 | 6,000,000 | — | (258,292 | ) | (258,292 | ) | ||||||||||||||||
| 3.00 |
3 Month USD LIBOR | Paid | Quarterly | 6/19/2029 | 47,200,000 | 3,531,269 | 1,080,849 | 4,612,118 | ||||||||||||||||||
| 3.00 |
6 Month Australian Bank Bill | Paid | Semi-Annual | 3/21/2027 | AUD | 109,400,000 | 662,378 | 8,557,275 | 9,219,653 | |||||||||||||||||
| (0.15) |
6 Month EURIBOR | Received | Semi-Annual | 3/18/2030 | EUR | 16,100,000 | 287,087 | 394,539 | 681,626 | |||||||||||||||||
| 0.75 |
6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2030 | GBP | 18,700,000 | 189,056 | 470,062 | 659,118 | |||||||||||||||||
| 0.75 |
6 Month GBP LIBOR | Received | Semi-Annual | 3/18/2050 | 6,000,000 | 144,774 | 611,724 | 756,498 | ||||||||||||||||||
| 7.15 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 6/11/2027 | MXN | 25,800,000 | (18,539 | ) | 51,727 | 33,188 | ||||||||||||||||
| 7.36 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 8/21/2037 | 900,000 | 3,325 | (4,756 | ) | (1,431 | ) | ||||||||||||||||
| 7.37 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 10/11/2027 | 40,300,000 | (2,019 | ) | 84,118 | 82,099 | |||||||||||||||||
| 7.38 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 8/14/2037 | 1,300,000 | 4,688 | (6,925 | ) | (2,237 | ) | ||||||||||||||||
| 7.61 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 1/23/2023 | 222,400,000 | 144,180 | (483,444 | ) | (339,264 | ) | ||||||||||||||||
| 7.75 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 1/5/2023 | 1,400,000 | — | 2,375 | 2,375 | ||||||||||||||||||
| 7.81 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | — | 5,143 | 5,143 | ||||||||||||||||||
| 7.82 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 2/6/2023 | 2,800,000 | (390 | ) | 5,597 | 5,207 | |||||||||||||||||
| 7.87 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 3,400,000 | — | 6,326 | 6,326 | ||||||||||||||||||
| 7.88 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/16/2022 | 2,000,000 | — | 3,710 | 3,710 | ||||||||||||||||||
| 7.88 |
Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 36,000,000 | 10,505 | 57,266 | 67,771 | ||||||||||||||||||
| 7.91 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 12/30/2027 | 800,000 | — | (3,122 | ) | (3,122 | ) | ||||||||||||||||
| 7.98 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 12/10/2027 | 3,300,000 | (23 | ) | (13,623 | ) | (13,646 | ) | |||||||||||||||
| 7.99 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 100,000 | — | (416 | ) | (416 | ) | ||||||||||||||||
| 8.01 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 20,200,000 | (9,390 | ) | (75,759 | ) | (85,149 | ) | |||||||||||||||
| 8.03 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 1/31/2028 | 1,600,000 | 13 | (6,953 | ) | (6,940 | ) | ||||||||||||||||
| 8.05 |
Mexico Interbank TIIE 28 Day | Received | Lunar | 1/31/2028 | 2,400,000 | 619 | (11,195 | ) | (10,576 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 5,456,178 | $ | 14,958,468 | $ | 20,414,646 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Lunar - payment frequency equal periods of 28 days (a lunar month).
Sale-Buyback Transactions
| Counterparty |
Borrowing Date |
Maturity Date |
Borrowing Rate |
Amount Borrowed |
||||||||
| Goldman Sachs |
11/25/2019 | 1/15/2020 | 1.80 | % | $ | 175,539,704 | ||||||
| Goldman Sachs |
12/12/2019 | 1/13/2020 | 2.15 | 6,092,781 | ||||||||
| Goldman Sachs |
12/16/2019 | 1/3/2020 | 2.30 | 16,412,460 | ||||||||
| Goldman Sachs |
12/20/2019 | 1/13/2020 | 2.15 | 1,285,944 | ||||||||
| Goldman Sachs |
12/20/2019 | 1/15/2020 | 1.80 | 8,802,852 | ||||||||
| Morgan Stanley |
11/1/2019 | 2/3/2020 | 1.90 | 3,172,839 | ||||||||
|
|
|
|||||||||||
| $ | 211,306,580 | |||||||||||
|
|
|
|||||||||||
| Buy-Saleback Transactions |
||||||||||||
| Counterparty |
Lending Date |
Maturity Date |
Lending Rate |
Amount Lent |
||||||||
| Goldman Sachs |
12/26/2019 | 1/15/2020 | 1.80 | % | $ | 79,630,448 | ||||||
| Morgan Stanley |
12/27/2019 | 2/3/2020 | 1.90 | 3,096,624 | ||||||||
|
|
|
|||||||||||
| $ | 82,727,072 | |||||||||||
|
|
|
|||||||||||
Bridge Builder Core Plus Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Asset-Backed Obligations |
$ | — | $ | 2,304,401,800 | $ | — | $ | 2,304,401,800 | ||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 173,492,520 | — | 173,492,520 | ||||||||||||
| Communications |
— | 692,622,517 | 14,381 | 692,636,898 | ||||||||||||
| Consumer, Cyclical |
— | 577,691,422 | — | 577,691,422 | ||||||||||||
| Consumer, Non-cyclical |
— | 999,885,936 | — | 999,885,936 | ||||||||||||
| Diversified |
— | 9,543,548 | — | 9,543,548 | ||||||||||||
| Energy |
— | 657,420,403 | 2,964,742 | 660,385,145 | ||||||||||||
| Financials |
— | 1,949,921,022 | — | 1,949,921,022 | ||||||||||||
| Industrials |
— | 297,229,407 | — | 297,229,407 | ||||||||||||
| Technology |
— | 277,015,872 | — | 277,015,872 | ||||||||||||
| Utilities |
— | 312,621,520 | — | 312,621,520 | ||||||||||||
| Convertible Securities |
||||||||||||||||
| Communications |
— | 6,924,226 | — | 6,924,226 | ||||||||||||
| Consumer, Cyclical |
— | 3,140,149 | — | 3,140,149 | ||||||||||||
| Consumer, Non-cyclical |
— | 7,374,361 | — | 7,374,361 | ||||||||||||
| Energy |
— | 2,031,175 | — | 2,031,175 | ||||||||||||
| Industrials |
— | 1,923,885 | — | 1,923,885 | ||||||||||||
| Government Related |
— | 4,054,464,038 | — | 4,054,464,038 | ||||||||||||
| Mortgage-Backed Obligations |
— | 6,282,988,611 | — | 6,282,988,611 | ||||||||||||
| Bank Loans |
— | 490,090,606 | — | 490,090,606 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Communications |
8,264,191 | — | 27,180 | 8,291,371 | ||||||||||||
| Consumer, Cyclical |
4,610,169 | — | — | 4,610,169 | ||||||||||||
| Convertible Preferred Stocks |
||||||||||||||||
| Consumer, Non-cyclical |
7,134,407 | — | — | 7,134,407 | ||||||||||||
| Warrants |
— | — | 12,219,325 | 12,219,325 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
247,370,044 | — | — | 247,370,044 | ||||||||||||
| Government Related |
— | 111,865,554 | — | 111,865,554 | ||||||||||||
| Commercial Paper |
— | 16,964,270 | — | 16,964,270 | ||||||||||||
| Repurchase Agreements |
— | 252,000,000 | — | 252,000,000 | ||||||||||||
| U.S. Treasury Bills |
— | 79,776,300 | — | 79,776,300 | ||||||||||||
| Time Deposits |
— | 7,081,791 | — | 7,081,791 | ||||||||||||
| Futures Contracts (1) |
5,080,861 | — | — | 5,080,861 | ||||||||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | 3,519,539 | — | 3,519,539 | ||||||||||||
| Swap Contracts (1) |
— | 42,611,057 | — | 42,611,057 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 272,459,672 | $ | 19,614,601,529 | $ | 15,225,628 | $ | 19,902,286,829 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Futures Contracts (1) |
$ | (20,212,412 | ) | $ | — | $ | — | $ | (20,212,412 | ) | ||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | (17,216,492 | ) | — | (17,216,492 | ) | ||||||||||
| Swap Contracts (1) |
— | (9,429,696 | ) | — | (9,429,696 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities |
$ | (20,212,412 | ) | $ | (26,646,188 | ) | $ | — | $ | (46,858,600 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
Bridge Builder Municipal Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Principal Amount |
Value | |||||||
| MUNICIPAL BONDS – 97.59% |
||||||||
| Alabama – 1.10% |
||||||||
| Alabama Federal Aid Highway Finance Authority |
||||||||
| 5.00%, 09/01/2031 |
$ | 4,845,000 | $ | 5,613,659 | ||||
| 5.00%, 09/01/2036 |
10,000,000 | 11,936,500 | ||||||
| Alabama Public School & College Authority |
||||||||
| 5.00%, 06/01/2035 |
4,000,000 | 4,610,800 | ||||||
| County of Jefferson AL |
||||||||
| 5.00%, 04/01/2021 |
1,085,000 | 1,136,581 | ||||||
| 5.00%, 04/01/2023 |
1,550,000 | 1,727,986 | ||||||
| County of Jefferson AL Sewer Revenue |
||||||||
| 5.00%, 10/01/2044 |
1,500,000 | 1,680,090 | ||||||
| 5.25%, 10/01/2048 |
1,650,000 | 1,872,074 | ||||||
| 5.50%, 10/01/2053 |
715,000 | 816,430 | ||||||
| Homewood Educational Building Authority |
||||||||
| 4.00%, 12/01/2038 |
1,385,000 | 1,525,190 | ||||||
| Industrial Development Board of the City of Mobile Alabama |
||||||||
| 1.71%, 06/01/2034(1) |
5,000,000 | 5,000,000 | ||||||
| 1.85%, 06/01/2034(1) |
1,025,000 | 1,026,251 | ||||||
| Mobile County Board of School Commissioners |
||||||||
| 5.00%, 03/01/2028 |
1,030,000 | 1,213,350 | ||||||
| Montgomery Medical Clinic Board |
||||||||
| 5.00%, 03/01/2029 |
1,000,000 | 1,130,170 | ||||||
| Selma Industrial Development Board |
||||||||
| 5.80%, 05/01/2034 |
2,900,000 | 2,941,267 | ||||||
| 5.38%, 12/01/2035 |
215,000 | 230,452 | ||||||
| Southeast Alabama Gas Supply District |
||||||||
| 4.00%, 04/01/2049(1) |
4,685,000 | 5,082,288 | ||||||
| 1.99% (1 Month LIBOR USD + 0.85%), 06/01/2049(2) |
5,365,000 | 5,373,691 | ||||||
| 4.00%, 06/01/2049(1) |
11,010,000 | 12,003,542 | ||||||
| Tuscaloosa County Industrial Development Authority |
||||||||
| 4.50%, 05/01/2032(3) |
615,000 | 674,852 | ||||||
| 5.25%, 05/01/2044(3) |
3,675,000 | 4,223,898 | ||||||
| Water Works Board of the City of Birmingham |
||||||||
| 5.00%, 01/01/2023 |
430,000 | 477,627 | ||||||
|
|
|
|||||||
| Total Alabama |
|
70,296,698 | ||||||
|
|
|
|||||||
| Alaska – 0.10% |
||||||||
| Alaska Industrial Development & Export Authority |
||||||||
| 5.00%, 10/01/2030 |
1,385,000 | 1,701,847 | ||||||
| Borough of North Slope AK |
||||||||
| 5.00%, 06/30/2021 |
305,000 | 310,938 | ||||||
| City of Valdez AK |
||||||||
| 5.00%, 01/01/2021 |
4,000,000 | 4,142,520 | ||||||
|
|
|
|||||||
| Total Alaska |
|
6,155,305 | ||||||
|
|
|
|||||||
| Arizona – 3.02% |
||||||||
| Arizona Health Facilities Authority |
||||||||
| 5.00%, 02/01/2042 |
2,000,000 | 2,117,200 | ||||||
| 1.70%, 01/01/2046(1) |
8,000,000 | 8,000,000 | ||||||
| Arizona Industrial Development Authority |
||||||||
| 0.48%, 02/01/2048(1) |
8,000,000 | 8,000,000 | ||||||
| 5.00%, 07/01/2049(3) |
650,000 | 681,005 | ||||||
| 5.00%, 07/15/2049(3) |
500,000 | 544,790 | ||||||
| Chandler Industrial Development Authority |
||||||||
| 5.00%, 06/01/2049(1) |
14,600,000 | 16,721,818 | ||||||
| City of Glendale AZ |
||||||||
| 5.00%, 07/01/2030 |
1,780,000 | 2,186,143 | ||||||
| City of Mesa AZ |
||||||||
| 4.00%, 07/01/2028 |
1,265,000 | 1,479,076 | ||||||
| City of Phoenix AZ |
||||||||
| 4.00%, 07/01/2022 |
900,000 | 964,926 | ||||||
| City of Phoenix Civic Improvement Corp. |
||||||||
| 5.00%, 07/01/2026 |
1,675,000 | 2,022,830 | ||||||
| 5.00%, 07/01/2027 |
3,000,000 | 3,687,480 | ||||||
| 5.00%, 07/01/2028 |
4,440,000 | 5,544,494 | ||||||
| 5.00%, 07/01/2029 |
12,865,000 | 14,329,166 | ||||||
| 5.00%, 07/01/2030 |
1,500,000 | 1,666,395 | ||||||
| 5.00%, 07/01/2032 |
800,000 | 965,128 | ||||||
| 5.00%, 07/01/2036 |
3,000,000 | 3,640,860 | ||||||
| 5.00%, 07/01/2042 |
540,000 | 636,055 | ||||||
| 4.00%, 07/01/2045 |
5,000,000 | 5,512,300 | ||||||
| County of Pima AZ |
||||||||
| 4.00%, 07/01/2022 |
13,160,000 | 14,092,518 | ||||||
| County of Pima AZ Sewer System Revenue |
||||||||
| 5.00%, 07/01/2022 |
10,000,000 | 10,954,000 | ||||||
| Glendale Industrial Development Authority |
||||||||
| 4.00%, 07/01/2028 |
300,000 | 316,308 | ||||||
| 5.00%, 07/01/2033 |
435,000 | 477,304 | ||||||
| 5.00%, 07/01/2038 |
450,000 | 489,258 | ||||||
| 5.00%, 07/01/2048 |
915,000 | 985,290 | ||||||
| Industrial Development Authority of the City of Phoenix |
||||||||
| 5.00%, 07/01/2033 |
415,000 | 493,846 | ||||||
| 5.00%, 07/01/2034 |
765,000 | 907,359 | ||||||
| 1.45%, 12/01/2035(1) |
19,400,000 | 19,399,806 | ||||||
| 5.00%, 07/01/2037 |
4,750,000 | 5,609,037 | ||||||
| 5.00%, 07/01/2038 |
1,295,000 | 1,516,082 | ||||||
| 5.00%, 07/01/2049 |
525,000 | 608,097 | ||||||
| Industrial Development Authority of the County of Pima |
||||||||
| 4.75%, 06/15/2037(3) |
2,250,000 | 2,313,832 | ||||||
| 5.00%, 06/15/2052(3) |
2,000,000 | 2,061,280 | ||||||
| Industrial Development Authority of the County of Yavapai |
||||||||
| 2.20%, 03/01/2028(1) |
2,100,000 | 2,138,913 | ||||||
| 1.20%, 04/01/2029(1) |
4,250,000 | 4,249,660 | ||||||
| Maricopa County Industrial Development Authority |
||||||||
| 5.75%, 01/01/2036(3) |
100,000 | 104,922 | ||||||
| 5.00%, 01/01/2046(1) |
3,175,000 | 3,845,211 | ||||||
| 5.00%, 07/01/2047 |
1,000,000 | 1,221,250 | ||||||
| 5.00%, 01/01/2048(1) |
1,300,000 | 1,432,873 | ||||||
| 5.00%, 01/01/2048(1) |
1,000,000 | 1,168,830 | ||||||
| 6.00%, 01/01/2048(3) |
635,000 | 664,845 | ||||||
| Maricopa County Special Health Care District |
||||||||
| 5.00%, 07/01/2025 |
5,000,000 | 5,979,800 | ||||||
| 5.00%, 07/01/2026 |
7,000,000 | 8,579,410 | ||||||
| McAllister Academic Village LLC |
||||||||
| 5.00%, 07/01/2021 |
200,000 | 211,500 | ||||||
| Salt River Project Agricultural Improvement & Power District |
||||||||
| 5.00%, 01/01/2022 |
1,200,000 | 1,292,820 | ||||||
| 5.00%, 01/01/2024 |
1,600,000 | 1,843,232 | ||||||
| 5.00%, 01/01/2033 |
1,000,000 | 1,248,130 | ||||||
| Salt Verde Financial Corp. |
||||||||
| 5.00%, 12/01/2037 |
3,500,000 | 4,675,475 | ||||||
| State of Arizona |
||||||||
| 5.00%, 10/01/2020 |
840,000 | 864,083 | ||||||
| 5.00%, 10/01/2021 |
740,000 | 789,447 | ||||||
| 5.00%, 10/01/2022 |
785,000 | 866,813 | ||||||
| 5.00%, 10/01/2023 |
1,035,000 | 1,180,500 | ||||||
| 5.00%, 10/01/2024 |
1,075,000 | 1,262,942 | ||||||
| Tempe Industrial Development Authority |
||||||||
| 4.00%, 10/01/2023(3) |
1,250,000 | 1,259,912 | ||||||
| 6.00%, 10/01/2037(3) |
40,000 | 45,940 | ||||||
| 6.13%, 10/01/2047(3) |
80,000 | 91,106 |
| 5.00%, 12/01/2050 |
500,000 | 550,945 | ||||||
| 6.13%, 10/01/2052(3) |
80,000 | 90,821 | ||||||
| 5.00%, 12/01/2054 |
750,000 | 824,475 | ||||||
| University of Arizona |
||||||||
| 5.00%, 06/01/2038 |
1,955,000 | 2,449,244 | ||||||
| 5.00%, 06/01/2039 |
860,000 | 1,074,518 | ||||||
| Western Maricopa Education Center District No 402 |
||||||||
| 5.00%, 07/01/2022 |
2,000,000 | 2,190,800 | ||||||
| 5.00%, 07/01/2024 |
320,000 | 373,328 | ||||||
| 5.00%, 07/01/2025 |
1,410,000 | 1,689,603 | ||||||
|
|
|
|||||||
| Total Arizona |
|
193,185,031 | ||||||
|
|
|
|||||||
| Arkansas – 0.10% |
||||||||
| Arkansas Development Finance Authority |
||||||||
| 1.37%, 09/01/2023(1) |
3,000,000 | 2,996,070 | ||||||
| 4.50%, 09/01/2049(3) |
2,900,000 | 3,082,033 | ||||||
| Arkansas State University |
||||||||
| 4.00%, 03/01/2020 |
525,000 | 527,194 | ||||||
|
|
|
|||||||
| Total Arkansas |
|
6,605,297 | ||||||
|
|
|
|||||||
| California – 3.40% |
||||||||
| Abag Finance Authority for Nonprofit Corps |
||||||||
| 5.00%, 08/01/2033 |
1,300,000 | 1,459,939 | ||||||
| Alameda Corridor Transportation Authority |
||||||||
| 5.00%, 10/01/2036 |
2,500,000 | 2,933,925 | ||||||
| 5.00%, 10/01/2037 |
2,000,000 | 2,340,120 | ||||||
| Alisal Union School District |
||||||||
| 5.25%, 08/01/2042 |
740,000 | 903,925 | ||||||
| Bay Area Toll Authority |
||||||||
| 2.86% (SIFMA Municipal Swap Index Yield + 1.25%), 04/01/2036(2) |
1,000,000 | 1,042,550 | ||||||
| 2.10%, 04/01/2045(1) |
2,790,000 | 2,842,368 | ||||||
| 2.85%, 04/01/2047(1) |
1,000,000 | 1,074,530 | ||||||
| 2.95%, 04/01/2047(1) |
1,170,000 | 1,270,515 | ||||||
| California Health Facilities Financing Authority |
||||||||
| 5.63%, 07/01/2025 |
2,130,000 | 2,158,840 | ||||||
| 5.00%, 11/01/2032(1) |
1,400,000 | 1,552,754 | ||||||
| 5.00%, 07/01/2034(1) |
1,710,000 | 1,893,244 | ||||||
| 1.25%, 10/01/2036(1) |
2,500,000 | 2,502,750 | ||||||
| California Housing Finance |
||||||||
| 4.00%, 03/20/2033 |
500,000 | 571,775 | ||||||
| 4.25%, 01/15/2035 |
527,591 | 618,047 | ||||||
| California Municipal Finance Authority |
||||||||
| 4.00%, 07/15/2029 |
3,020,000 | 3,432,502 | ||||||
| 5.00%, 08/15/2029 |
1,000,000 | 1,261,250 | ||||||
| 5.00%, 12/31/2029 |
2,300,000 | 2,819,846 | ||||||
| 5.00%, 08/15/2034 |
1,065,000 | 1,297,809 | ||||||
| 4.00%, 08/15/2037 |
1,560,000 | 1,655,644 | ||||||
| 4.00%, 08/15/2042 |
1,000,000 | 1,050,910 | ||||||
| 5.00%, 12/31/2043 |
10,835,000 | 12,648,020 | ||||||
| 5.00%, 12/31/2047 |
555,000 | 644,627 | ||||||
| 5.00%, 05/15/2049 |
1,000,000 | 1,190,930 | ||||||
| 5.00%, 10/01/2049(3) |
515,000 | 542,661 | ||||||
| 5.00%, 10/01/2057(3) |
1,000,000 | 1,045,630 | ||||||
| California Public Finance Authority |
||||||||
| 5.00%, 07/01/2027(3) |
180,000 | 174,202 | ||||||
| 5.00%, 07/01/2047(3) |
140,000 | 135,013 | ||||||
| 5.00%, 10/15/2047 |
1,775,000 | 1,994,266 | ||||||
| California State Public Works Board |
||||||||
| 5.00%, 03/01/2024 |
2,500,000 | 2,899,475 | ||||||
| 5.00%, 03/01/2025 |
3,280,000 | 3,921,142 | ||||||
| 5.00%, 11/01/2037 |
235,000 | 258,223 | ||||||
| 5.00%, 09/01/2039 |
5,705,000 | 6,551,223 | ||||||
| California Statewide Communities Development Authority |
||||||||
| 5.00%, 10/01/2028 |
1,100,000 | 1,189,727 | ||||||
| 4.00%, 09/02/2029 |
200,000 | 225,758 | ||||||
| 5.00%, 11/01/2032(3) |
1,135,000 | 1,340,866 | ||||||
| 5.00%, 01/01/2038 |
750,000 | 888,682 | ||||||
| 5.00%, 09/02/2039 |
745,000 | 860,371 | ||||||
| 5.00%, 05/15/2040 |
400,000 | 459,464 | ||||||
| 5.00%, 11/01/2041(3) |
875,000 | 1,011,439 | ||||||
| 5.00%, 04/01/2042 |
2,000,000 | 2,165,840 | ||||||
| 5.00%, 01/01/2043 |
1,000,000 | 1,170,930 | ||||||
| 5.00%, 09/02/2044 |
1,430,000 | 1,678,820 | ||||||
| 5.00%, 09/02/2044 |
500,000 | 585,620 | ||||||
| 5.00%, 09/02/2044 |
700,000 | 801,493 | ||||||
| 5.00%, 04/01/2046(1) |
4,300,000 | 5,615,284 | ||||||
| 5.00%, 01/01/2048 |
2,840,000 | 3,303,374 | ||||||
| 5.25%, 12/01/2048(3) |
800,000 | 924,000 | ||||||
| 5.00%, 09/02/2049 |
700,000 | 798,371 | ||||||
| 5.38%, 11/01/2049(3) |
100,000 | 110,171 | ||||||
| 5.50%, 12/01/2054 |
1,960,000 | 2,174,483 | ||||||
| 5.25%, 12/01/2056(3) |
1,000,000 | 1,123,420 | ||||||
| 5.50%, 12/01/2058(3) |
4,845,000 | 5,656,586 | ||||||
| City of Los Angeles Department of Airports |
||||||||
| 5.25%, 05/15/2031 |
4,805,000 | 6,048,438 | ||||||
| 5.25%, 05/15/2032 |
3,210,000 | 4,026,110 | ||||||
| 5.00%, 05/15/2033 |
1,250,000 | 1,536,200 | ||||||
| 5.00%, 05/15/2035 |
13,610,000 | 13,805,031 | ||||||
| 5.00%, 05/15/2040 |
22,575,000 | 22,898,500 | ||||||
| County of Sacramento CA Airport System Revenue |
||||||||
| 5.00%, 07/01/2034 |
3,000,000 | 3,666,120 | ||||||
| Cucamonga Valley Water District |
||||||||
| 5.38%, 09/01/2035 |
3,320,000 | 3,546,026 | ||||||
| Foothill-de Anza Community College District |
||||||||
| 5.00%, 04/01/2035 |
250,000 | 292,070 | ||||||
| 5.00%, 04/01/2036 |
200,000 | 233,356 | ||||||
| Golden State Tobacco Securitization Corp. |
||||||||
| 5.00%, 06/01/2021 |
285,000 | 299,079 | ||||||
| 5.00%, 06/01/2022 |
400,000 | 432,780 | ||||||
| 5.00%, 06/01/2023 |
455,000 | 506,265 | ||||||
| 0.00%, 06/01/2024 |
1,000,000 | 941,150 | ||||||
| 5.00%, 06/01/2024 |
255,000 | 291,108 | ||||||
| 5.30%, 06/01/2037 |
1,000,000 | 1,045,080 | ||||||
| 5.00%, 06/01/2040 |
2,000,000 | 2,309,120 | ||||||
| 5.00%, 06/01/2047 |
925,000 | 956,330 | ||||||
| 5.25%, 06/01/2047 |
2,500,000 | 2,600,225 | ||||||
| Irvine Unified School District |
||||||||
| 5.00%, 03/01/2057 |
800,000 | 919,472 | ||||||
| Los Angeles County Public Works Financing Authority |
||||||||
| 5.00%, 12/01/2029 |
1,200,000 | 1,453,452 | ||||||
| 5.00%, 12/01/2030 |
2,520,000 | 3,039,498 | ||||||
| Mendocino-Lake Community College District |
||||||||
| 5.00%, 08/01/2027 |
1,700,000 | 2,028,389 | ||||||
| 5.00%, 08/01/2028 |
1,000,000 | 1,187,850 | ||||||
| 5.00%, 08/01/2029 |
775,000 | 915,407 | ||||||
| 5.00%, 08/01/2030 |
2,530,000 | 2,980,466 | ||||||
| Norman Y Mineta San Jose International Airport SJC |
||||||||
| 5.00%, 03/01/2028 |
1,250,000 | 1,530,587 | ||||||
| 5.00%, 03/01/2030 |
1,700,000 | 2,060,774 | ||||||
| Orange County Community Facilities District |
||||||||
| 5.25%, 08/15/2045 |
975,000 | 1,110,281 | ||||||
| Orchard School District |
| 0.00%, 08/01/2022 |
2,940,000 | 2,841,833 | ||||||
| Sacramento City Financing Authority |
||||||||
| 5.00%, 12/01/2033 |
875,000 | 1,040,034 | ||||||
| State of California |
||||||||
| 5.00%, 08/01/2022 |
1,535,000 | 1,692,445 | ||||||
| 5.00%, 08/01/2023 |
3,000,000 | 3,420,900 | ||||||
| 5.00%, 09/01/2026 |
2,000,000 | 2,482,180 | ||||||
| 5.00%, 08/01/2027 |
620,000 | 747,900 | ||||||
| 5.00%, 08/01/2029 |
935,000 | 1,149,611 | ||||||
| 5.00%, 09/01/2029 |
370,000 | 456,587 | ||||||
| 5.00%, 08/01/2030 |
3,500,000 | 4,285,260 | ||||||
| 1.95% (1 Month LIBOR USD + 0.76%), 12/01/2031(2) |
750,000 | 754,965 | ||||||
| 5.00%, 04/01/2032 |
6,000,000 | 8,166,780 | ||||||
| 4.00%, 09/01/2035 |
3,625,000 | 4,110,496 | ||||||
| Tobacco Securitization Authority of Northern California |
||||||||
| 4.75%, 06/01/2023 |
4,590,000 | 4,613,730 | ||||||
|
|
|
|||||||
| Total California |
|
217,195,239 | ||||||
|
|
|
|||||||
| Colorado – 2.83% |
||||||||
| Adams 12 Five Star Schools |
||||||||
| 5.00%, 12/15/2028 |
2,050,000 | 2,528,367 | ||||||
| Amber Creek Metropolitan District |
||||||||
| 5.00%, 12/01/2037 |
750,000 | 783,487 | ||||||
| 5.13%, 12/01/2047 |
1,075,000 | 1,116,839 | ||||||
| Arapahoe County School District No 6 Littleton |
||||||||
| 5.50%, 12/01/2033 |
1,150,000 | 1,505,603 | ||||||
| Belleview Station Metropolitan District No 2 |
||||||||
| 5.00%, 12/01/2036 |
500,000 | 523,665 | ||||||
| Berthoud-Heritage Metropolitan District No 1 |
||||||||
| 5.63%, 12/01/2048 |
1,400,000 | 1,460,522 | ||||||
| Brighton Crossing Metropolitan District No 4 |
||||||||
| 5.00%, 12/01/2037 |
525,000 | 556,458 | ||||||
| Broadway Station Metropolitan District No 2 |
||||||||
| 5.00%, 12/01/2035 |
730,000 | 783,049 | ||||||
| 5.13%, 12/01/2048 |
1,450,000 | 1,551,225 | ||||||
| Canyons Metropolitan District No 5 |
||||||||
| 6.00%, 12/01/2037 |
500,000 | 527,615 | ||||||
| City & County of Denver CO |
||||||||
| 5.00%, 10/01/2032 |
10,845,000 | 11,824,304 | ||||||
| City & County of Denver CO Airport System Revenue |
||||||||
| 4.00%, 11/15/2023 |
4,465,000 | 4,904,624 | ||||||
| 5.00%, 11/15/2029 |
3,070,000 | 3,746,382 | ||||||
| 5.00%, 12/01/2031 |
7,000,000 | 8,608,460 | ||||||
| 5.00%, 12/01/2035 |
5,500,000 | 6,688,660 | ||||||
| Colorado Health Facilities Authority |
||||||||
| 0.00%, 07/15/2022 |
980,000 | 948,111 | ||||||
| 5.00%, 12/01/2022 |
1,855,000 | 2,037,476 | ||||||
| 5.00%, 11/01/2023 |
1,350,000 | 1,539,432 | ||||||
| 5.00%, 01/01/2024 |
125,000 | 138,364 | ||||||
| 5.00%, 11/01/2024 |
1,125,000 | 1,318,579 | ||||||
| 5.00%, 11/01/2025 |
1,715,000 | 2,053,644 | ||||||
| 5.00%, 01/01/2026 |
100,000 | 111,951 | ||||||
| 5.00%, 11/01/2026 |
1,330,000 | 1,625,021 | ||||||
| 5.00%, 01/01/2031 |
100,000 | 110,894 | ||||||
| 5.25%, 02/01/2031 |
2,250,000 | 2,348,505 | ||||||
| 5.00%, 11/15/2036(1) |
6,770,000 | 7,723,622 | ||||||
| 5.00%, 01/01/2037 |
250,000 | 274,323 | ||||||
| 5.25%, 05/15/2037 |
475,000 | 543,799 | ||||||
| 5.00%, 10/01/2038(1) |
630,000 | 669,772 | ||||||
| 2.41% (1 Month LIBOR USD + 1.25%), 10/01/2039(2) |
2,000,000 | 2,004,900 | ||||||
| 4.00%, 11/01/2039 |
3,775,000 | 4,205,124 | ||||||
| 5.25%, 01/01/2040 |
540,000 | 604,136 | ||||||
| 5.00%, 02/01/2041 |
500,000 | 520,555 | ||||||
| 2.80%, 05/15/2042(1) |
3,915,000 | 4,053,708 | ||||||
| 5.00%, 08/01/2044 |
2,200,000 | 2,592,700 | ||||||
| 5.25%, 01/01/2045 |
510,000 | 570,573 | ||||||
| 6.13%, 12/01/2045(3) |
375,000 | 418,444 | ||||||
| 5.00%, 09/01/2046 |
1,000,000 | 1,138,480 | ||||||
| 5.00%, 08/01/2049(1) |
13,830,000 | 16,317,187 | ||||||
| 5.00%, 11/15/2049(1) |
2,585,000 | 3,180,636 | ||||||
| 6.25%, 12/01/2050(3) |
205,000 | 229,518 | ||||||
| Colorado High Performance Transportation Enterprise |
||||||||
| 5.00%, 12/31/2047 |
645,000 | 706,359 | ||||||
| 5.00%, 12/31/2051 |
2,150,000 | 2,349,004 | ||||||
| 5.00%, 12/31/2056 |
1,925,000 | 2,097,788 | ||||||
| Colorado Housing & Finance Authority |
||||||||
| 4.25%, 11/01/2049 |
1,135,000 | 1,257,557 | ||||||
| 4.25%, 11/01/2049 |
580,000 | 641,625 | ||||||
| Colorado International Center Metropolitan District No 14 |
||||||||
| 5.88%, 12/01/2046 |
635,000 | 692,302 | ||||||
| Cornerstar Metropolitan District |
||||||||
| 5.13%, 12/01/2037 |
500,000 | 529,230 | ||||||
| Cottonwood Highlands Metropolitan District No 1 |
||||||||
| 5.00%, 12/01/2049 |
900,000 | 956,610 | ||||||
| Denver City & County School District No 1 |
||||||||
| 5.25%, 12/01/2038 |
3,595,000 | 3,755,481 | ||||||
| Denver Convention Center Hotel Authority |
||||||||
| 5.00%, 12/01/2022 |
4,950,000 | 5,410,251 | ||||||
| Denver Gateway Center Metropolitan District |
||||||||
| 5.50%, 12/01/2038 |
1,360,000 | 1,448,590 | ||||||
| 5.63%, 12/01/2048 |
2,130,000 | 2,270,239 | ||||||
| Denver Health & Hospital Authority |
||||||||
| 5.00%, 12/01/2048 |
1,800,000 | 2,113,686 | ||||||
| Denver International Business Center Metropolitan District No 1 |
||||||||
| 6.00%, 12/01/2048 |
500,000 | 524,375 | ||||||
| Denver Urban Renewal Authority |
||||||||
| 5.25%, 12/01/2039(3) |
1,000,000 | 1,068,230 | ||||||
| E-470 Public Highway Authority |
||||||||
| 0.00%, 09/01/2020 |
730,000 | 724,014 | ||||||
| 2.25% (1 Month LIBOR USD + 1.05%), 09/01/2039(2) |
275,000 | 277,302 | ||||||
| Eagle County Airport Terminal Corp. |
||||||||
| 5.00%, 05/01/2033 |
2,000,000 | 2,350,200 | ||||||
| Mesa County Valley School District No 51 Grand Junction CO |
||||||||
| 5.25%, 12/01/2033 |
2,000,000 | 2,520,260 | ||||||
| Painted Prairie Metropolitan District No 2 |
||||||||
| 5.25%, 12/01/2048 |
500,000 | 519,515 | ||||||
| Painted Prairie Public Improvement Authority |
||||||||
| 5.00%, 12/01/2049(3) |
1,500,000 | 1,524,420 | ||||||
| Park Creek Metropolitan District |
||||||||
| 5.00%, 12/01/2045 |
1,775,000 | 2,007,543 | ||||||
| Rampart Range Metropolitan District No 1 |
||||||||
| 5.00%, 12/01/2047 |
650,000 | 772,369 | ||||||
| Regional Transportation District |
||||||||
| 5.00%, 06/01/2031 |
1,315,000 | 1,647,340 | ||||||
| Serenity Ridge Metropolitan District No 2 |
||||||||
| 5.13%, 12/01/2037 |
1,290,000 | 1,368,832 | ||||||
| Sierra Ridge Metropolitan District No 2 |
||||||||
| 4.50%, 12/01/2031 |
750,000 | 769,238 | ||||||
| 5.50%, 12/01/2046 |
1,500,000 | 1,573,830 | ||||||
| Solaris Metropolitan District No 3 |
||||||||
| 5.00%, 12/01/2036 |
850,000 | 892,653 |
| 5.00%, 12/01/2046 |
1,880,000 | 1,968,642 | ||||||
| Southglenn Metropolitan District |
||||||||
| 5.00%, 12/01/2046 |
500,000 | 524,710 | ||||||
| Southlands Metropolitan District No 1 |
||||||||
| 3.00%, 12/01/2022 |
232,000 | 235,042 | ||||||
| 3.50%, 12/01/2027 |
500,000 | 523,905 | ||||||
| St Vrain Lakes Metropolitan District No 2 |
||||||||
| 5.00%, 12/01/2037 |
500,000 | 525,265 | ||||||
| STC Metropolitan District No 2 |
||||||||
| 3.00%, 12/01/2025 |
555,000 | 557,264 | ||||||
| 5.00%, 12/01/2038 |
500,000 | 541,535 | ||||||
| University of Colorado |
||||||||
| 5.00%, 06/01/2047 |
500,000 | 615,860 | ||||||
| 2.00%, 06/01/2054(1) |
10,955,000 | 11,248,265 | ||||||
| University of Colorado Hospital Authority |
||||||||
| 5.00%, 11/15/2038(1) |
1,020,000 | 1,082,648 | ||||||
| 5.00%, 11/15/2047(1) |
9,495,000 | 10,977,644 | ||||||
| Vauxmont Metropolitan District |
||||||||
| 5.00%, 12/15/2021 |
100,000 | 106,235 | ||||||
| 5.00%, 12/01/2024 |
200,000 | 223,426 | ||||||
| 5.00%, 12/15/2024 |
135,000 | 154,158 | ||||||
| 5.00%, 12/01/2025 |
180,000 | 205,144 | ||||||
| 5.00%, 12/15/2025 |
85,000 | 98,801 | ||||||
| 5.00%, 12/01/2026 |
195,000 | 226,233 | ||||||
| 5.00%, 12/01/2027 |
205,000 | 240,928 | ||||||
| 5.00%, 12/01/2028 |
210,000 | 249,339 | ||||||
| 5.00%, 12/15/2028 |
130,000 | 149,878 | ||||||
| 5.00%, 12/01/2029 |
210,000 | 252,206 | ||||||
| 5.00%, 12/15/2029 |
5,000 | 5,746 | ||||||
| 5.00%, 12/15/2030 |
500,000 | 572,730 | ||||||
| 5.00%, 12/01/2031 |
230,000 | 272,771 | ||||||
| 5.00%, 12/01/2032 |
250,000 | 295,700 | ||||||
| 5.00%, 12/01/2035 |
100,000 | 117,248 | ||||||
| Willow Bend Metropolitan District |
||||||||
| 5.00%, 12/01/2039 |
600,000 | 642,618 | ||||||
| 5.00%, 12/01/2049 |
1,000,000 | 1,054,570 | ||||||
|
|
|
|||||||
| Total Colorado |
|
180,826,068 | ||||||
|
|
|
|||||||
| Connecticut – 1.70% |
||||||||
| City of Bridgeport CT |
||||||||
| 5.00%, 09/15/2029 |
2,600,000 | 3,263,338 | ||||||
| 5.00%, 09/15/2030 |
2,250,000 | 2,791,980 | ||||||
| City of Hartford CT |
||||||||
| 5.00%, 07/15/2021 |
3,300,000 | 3,489,420 | ||||||
| 5.00%, 07/15/2022 |
2,250,000 | 2,464,965 | ||||||
| 5.00%, 07/15/2023 |
2,000,000 | 2,260,160 | ||||||
| 5.00%, 07/15/2026 |
2,430,000 | 2,878,359 | ||||||
| City of New Britain CT |
||||||||
| 5.00%, 03/01/2027 |
1,260,000 | 1,541,610 | ||||||
| 5.00%, 03/01/2028 |
1,490,000 | 1,816,578 | ||||||
| 5.00%, 03/01/2033 |
1,900,000 | 2,269,227 | ||||||
| City of New Haven CT |
||||||||
| 5.25%, 08/01/2023 |
1,115,000 | 1,258,110 | ||||||
| 5.00%, 08/15/2023 |
900,000 | 1,023,768 | ||||||
| 5.00%, 08/15/2029 |
2,000,000 | 2,366,640 | ||||||
| 5.00%, 08/15/2031 |
1,000,000 | 1,172,810 | ||||||
| City of West Haven CT |
||||||||
| 5.00%, 08/01/2021 |
2,495,000 | 2,622,619 | ||||||
| Connecticut Housing Finance Authority |
||||||||
| 2.25%, 11/15/2023 |
1,250,000 | 1,280,525 | ||||||
| Connecticut State Health & Educational Facilities Authority |
||||||||
| 4.00%, 07/01/2021(3) |
875,000 | 893,086 | ||||||
| 4.00%, 07/01/2022(3) |
1,010,000 | 1,044,643 | ||||||
| 5.00%, 11/01/2023 |
695,000 | 787,505 | ||||||
| 5.00%, 11/01/2024 |
475,000 | 552,378 | ||||||
| 5.00%, 07/01/2025(3) |
435,000 | 477,526 | ||||||
| 5.00%, 11/01/2028 |
1,245,000 | 1,573,605 | ||||||
| 5.00%, 07/01/2029(3) |
440,000 | 498,766 | ||||||
| 5.00%, 07/01/2029 |
1,000,000 | 1,245,100 | ||||||
| 2.05%, 07/01/2035(1) |
6,570,000 | 6,661,126 | ||||||
| 2.00%, 07/01/2042(1) |
4,370,000 | 4,509,359 | ||||||
| 5.00%, 07/01/2043 |
1,750,000 | 1,905,488 | ||||||
| 4.00%, 07/01/2044 |
710,000 | 758,308 | ||||||
| 4.00%, 07/01/2046 |
880,000 | 925,804 | ||||||
| 1.80%, 07/01/2049(1) |
2,005,000 | 2,038,423 | ||||||
| 1.80%, 07/01/2049(1) |
5,280,000 | 5,317,963 | ||||||
| 4.00%, 07/01/2049 |
645,000 | 686,099 | ||||||
| 5.00%, 07/01/2049(3) |
1,550,000 | 1,668,172 | ||||||
| Harbor Point Infrastructure Improvement District |
||||||||
| 7.88%, 04/01/2039 |
2,153,000 | 2,188,288 | ||||||
| Mohegan Tribe of Indians of Connecticut |
||||||||
| 5.25%, 02/01/2022(3) |
955,000 | 982,437 | ||||||
| State of Connecticut |
||||||||
| 5.00%, 09/01/2022 |
5,725,000 | 6,299,103 | ||||||
| 5.00%, 11/01/2022 |
315,000 | 336,801 | ||||||
| 5.00%, 04/15/2023 |
3,200,000 | 3,584,800 | ||||||
| 5.00%, 01/15/2026 |
850,000 | 1,020,349 | ||||||
| 5.00%, 04/15/2026 |
1,500,000 | 1,811,265 | ||||||
| 5.00%, 06/15/2027 |
1,680,000 | 1,983,290 | ||||||
| 5.00%, 09/15/2027 |
1,000,000 | 1,240,400 | ||||||
| 5.00%, 03/01/2029 |
1,500,000 | 1,701,090 | ||||||
| 5.00%, 04/15/2030 |
565,000 | 711,538 | ||||||
| 5.00%, 06/15/2032 |
710,000 | 825,574 | ||||||
| 5.00%, 11/15/2032 |
200,000 | 234,678 | ||||||
| 5.00%, 04/15/2034 |
645,000 | 800,065 | ||||||
| 5.00%, 04/15/2035 |
225,000 | 278,316 | ||||||
| 5.00%, 01/15/2040 |
3,205,000 | 3,930,292 | ||||||
| State of Connecticut Special Tax Revenue |
||||||||
| 5.00%, 09/01/2023 |
900,000 | 1,021,419 | ||||||
| 5.00%, 01/01/2038 |
4,400,000 | 5,259,496 | ||||||
| Town of Hamden CT |
||||||||
| 5.00%, 08/15/2026 |
500,000 | 577,595 | ||||||
| 5.00%, 08/15/2026 |
1,335,000 | 1,614,482 | ||||||
| 5.00%, 01/01/2040 |
1,875,000 | 2,039,494 | ||||||
| University of Connecticut |
||||||||
| 5.00%, 11/01/2028 |
1,290,000 | 1,623,272 | ||||||
| 5.25%, 11/15/2034 |
3,705,000 | 4,650,850 | ||||||
|
|
|
|||||||
| Total Connecticut |
|
108,758,354 | ||||||
|
|
|
|||||||
| Delaware – 0.27% |
||||||||
| County of Kent DE |
||||||||
| 5.00%, 07/01/2040 |
645,000 | 723,903 | ||||||
| 5.00%, 07/01/2048 |
2,305,000 | 2,562,976 | ||||||
| County of Sussex DE |
||||||||
| 5.00%, 01/01/2036 |
2,515,000 | 2,769,342 | ||||||
| Delaware State Economic Development Authority |
||||||||
| 5.40%, 02/01/2031 |
500,000 | 511,260 | ||||||
| 5.00%, 09/01/2036 |
1,225,000 | 1,414,103 | ||||||
| 5.00%, 08/01/2039 |
715,000 | 827,777 | ||||||
| 5.00%, 09/01/2046 |
700,000 | 791,021 | ||||||
| 5.00%, 11/15/2048 |
2,000,000 | 2,292,380 | ||||||
| 5.00%, 08/01/2049 |
900,000 | 1,024,992 | ||||||
| 5.00%, 08/01/2054 |
835,000 | 947,224 | ||||||
| Delaware State Health Facilities Authority |
||||||||
| 5.00%, 06/01/2037 |
1,385,000 | 1,651,792 | ||||||
| 5.00%, 06/01/2043 |
1,000,000 | 1,174,280 | ||||||
| 5.00%, 06/01/2048 |
500,000 | 583,140 | ||||||
|
|
|
|||||||
| Total Delaware |
|
17,274,190 | ||||||
|
|
|
|||||||
| District of Columbia – 2.09% |
||||||||
| District of Columbia |
||||||||
| 5.00%, 12/01/2022 |
2,000,000 | 2,224,580 | ||||||
| 5.00%, 12/01/2027 |
6,770,000 | 6,876,763 | ||||||
| 5.00%, 06/01/2031 |
2,500,000 | 3,077,475 | ||||||
| 5.00%, 06/01/2032 |
8,285,000 | 10,165,198 | ||||||
| 5.00%, 06/01/2033 |
3,795,000 | 4,551,609 | ||||||
| 5.00%, 06/01/2034 |
10,000,000 | 11,520,800 | ||||||
| 5.00%, 06/01/2034 |
1,000,000 | 1,172,390 | ||||||
| 5.00%, 06/01/2034 |
2,100,000 | 2,561,685 | ||||||
| 5.00%, 06/01/2035 |
3,000,000 | 3,450,690 | ||||||
| 5.00%, 12/01/2036 |
670,000 | 714,381 | ||||||
| 1.67%, 08/15/2038(1) |
13,745,000 | 13,745,000 | ||||||
| 5.00%, 07/01/2042 |
730,000 | 782,166 | ||||||
| 5.00%, 06/01/2046 |
3,370,000 | 3,767,289 | ||||||
| 5.00%, 07/01/2052 |
915,000 | 975,573 | ||||||
| District of Columbia Housing Finance Agency |
||||||||
| 2.45%, 11/01/2021(1) |
13,750,000 | 13,871,550 | ||||||
| District of Columbia Tobacco Settlement Financing Corp. |
||||||||
| 0.00%, 06/15/2046 |
2,000,000 | 213,920 | ||||||
| District of Columbia Water & Sewer Authority |
||||||||
| 1.75%, 10/01/2054(1) |
9,340,000 | 9,513,911 | ||||||
| Metropolitan Washington Airports Authority |
||||||||
| 5.00%, 10/01/2022 |
1,000,000 | 1,105,080 | ||||||
| 5.00%, 10/01/2023 |
850,000 | 962,472 | ||||||
| 5.00%, 10/01/2024 |
1,325,000 | 1,541,346 | ||||||
| 5.00%, 10/01/2024 |
1,500,000 | 1,763,760 | ||||||
| 5.00%, 10/01/2025 |
1,185,000 | 1,429,928 | ||||||
| 5.00%, 10/01/2027 |
500,000 | 619,505 | ||||||
| 5.00%, 10/01/2029 |
1,000,000 | 1,224,310 | ||||||
| 5.00%, 10/01/2030 |
1,480,000 | 1,616,574 | ||||||
| 5.00%, 10/01/2030 |
5,250,000 | 6,388,042 | ||||||
| 5.00%, 10/01/2031 |
5,335,000 | 6,586,164 | ||||||
| 5.00%, 10/01/2037 |
1,000,000 | 1,193,150 | ||||||
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue |
||||||||
| 5.00%, 10/01/2033 |
1,250,000 | 1,571,175 | ||||||
| 5.00%, 10/01/2034 |
1,500,000 | 1,878,870 | ||||||
| 0.00%, 10/01/2037 |
1,000,000 | 581,770 | ||||||
| 4.00%, 10/01/2038 |
415,000 | 463,725 | ||||||
| 6.50%, 10/01/2041 |
2,000,000 | 2,575,200 | ||||||
| 4.00%, 10/01/2044 |
1,000,000 | 1,099,920 | ||||||
| 5.00%, 10/01/2053 |
4,890,000 | 5,208,094 | ||||||
| Washington Convention & Sports Authority |
||||||||
| 5.00%, 10/01/2023 |
1,330,000 | 1,513,301 | ||||||
| 5.00%, 10/01/2024 |
1,030,000 | 1,206,954 | ||||||
| Washington Metropolitan Area Transit Authority |
||||||||
| 5.00%, 07/01/2032 |
2,965,000 | 3,646,476 | ||||||
|
|
|
|||||||
| Total District of Columbia |
|
133,360,796 | ||||||
|
|
|
|||||||
| Florida – 6.62% |
||||||||
| Alachua County Health Facilities Authority |
||||||||
| 6.00%, 11/15/2034 |
35,000 | 31,348 | ||||||
| 5.00%, 12/01/2036 |
1,000,000 | 1,133,080 | ||||||
| 5.00%, 12/01/2044 |
3,350,000 | 3,747,377 | ||||||
| 6.38%, 11/15/2049 |
300,000 | 261,228 | ||||||
| Brevard County Health Facilities Authority |
||||||||
| 5.00%, 04/01/2039 |
1,335,000 | 1,467,232 | ||||||
| Celebration Pointe Community Development District |
||||||||
| 4.00%, 05/01/2022(3) |
265,000 | 269,370 | ||||||
| Central Florida Expressway Authority |
||||||||
| 5.00%, 07/01/2035 |
5,000,000 | 6,229,400 | ||||||
| Citizens Property Insurance Corp. |
||||||||
| 5.00%, 06/01/2021 |
355,000 | 373,918 | ||||||
| 5.00%, 06/01/2022 |
2,150,000 | 2,344,553 | ||||||
| City of Gainesville FL Utilities System Revenue |
||||||||
| 5.00%, 10/01/2044 |
2,580,000 | 3,192,621 | ||||||
| 1.62%, 10/01/2047(1) |
12,800,000 | 12,800,000 | ||||||
| City of Jacksonville FL |
||||||||
| 5.00%, 08/15/2028 |
3,045,000 | 3,879,695 | ||||||
| 5.00%, 08/15/2029 |
2,500,000 | 3,240,525 | ||||||
| 5.00%, 08/15/2030 |
1,700,000 | 2,180,318 | ||||||
| 5.00%, 08/15/2031 |
2,250,000 | 2,871,540 | ||||||
| 5.00%, 08/15/2032 |
1,200,000 | 1,523,832 | ||||||
| 5.00%, 08/15/2033 |
1,200,000 | 1,519,488 | ||||||
| 5.00%, 06/01/2053(3) |
1,015,000 | 1,123,514 | ||||||
| City of Miami Gardens FL |
||||||||
| 5.00%, 07/01/2034 |
1,725,000 | 1,967,207 | ||||||
| City of Orlando FL |
||||||||
| 5.00%, 11/01/2029 |
2,000,000 | 2,470,160 | ||||||
| 5.00%, 10/01/2031 |
1,120,000 | 1,423,733 | ||||||
| 5.00%, 10/01/2032 |
1,300,000 | 1,577,797 | ||||||
| 5.00%, 10/01/2032 |
1,680,000 | 2,125,570 | ||||||
| 5.00%, 10/01/2035 |
1,200,000 | 1,498,764 | ||||||
| 5.00%, 10/01/2036 |
1,000,000 | 1,248,200 | ||||||
| City of Tallahassee FL |
||||||||
| 5.00%, 12/01/2026 |
1,380,000 | 1,631,836 | ||||||
| City of Tampa FL |
||||||||
| 5.00%, 04/01/2040 |
1,115,000 | 1,261,243 | ||||||
| County of Broward FL Airport System Revenue |
||||||||
| 5.00%, 10/01/2022 |
1,185,000 | 1,301,403 | ||||||
| 5.00%, 10/01/2022 |
1,500,000 | 1,657,620 | ||||||
| 5.00%, 10/01/2023 |
3,620,000 | 4,089,080 | ||||||
| 5.00%, 10/01/2026 |
1,500,000 | 1,817,730 | ||||||
| 5.00%, 10/01/2026 |
1,000,000 | 1,211,820 | ||||||
| 5.00%, 10/01/2027 |
1,650,000 | 2,034,928 | ||||||
| 5.00%, 10/01/2027 |
3,500,000 | 4,316,515 | ||||||
| 5.00%, 10/01/2028 |
1,500,000 | 1,879,440 | ||||||
| 5.00%, 10/01/2029 |
500,000 | 585,610 | ||||||
| 5.00%, 10/01/2029 |
1,150,000 | 1,459,361 | ||||||
| 5.00%, 10/01/2030 |
405,000 | 491,496 | ||||||
| 5.00%, 10/01/2036 |
1,500,000 | 1,792,230 | ||||||
| 5.00%, 10/01/2040 |
10,000,000 | 11,499,700 | ||||||
| 5.00%, 10/01/2042 |
110,000 | 121,407 | ||||||
| County of Broward FL Port Facilities Revenue |
||||||||
| 4.00%, 09/01/2037 |
11,250,000 | 12,616,762 | ||||||
| County of Hillsborough FL Community Investment Tax Revenue |
||||||||
| 5.00%, 11/01/2025 |
1,775,000 | 2,138,715 | ||||||
| County of Lee FL Solid Waste System Revenue |
||||||||
| 5.00%, 10/01/2025 |
3,045,000 | 3,545,750 | ||||||
| County of Miami-Dade FL |
||||||||
| 5.00%, 07/01/2023 |
1,000,000 | 1,131,660 | ||||||
| 5.00%, 10/01/2024 |
1,785,000 | 2,084,487 | ||||||
| County of Miami-Dade FL Aviation Revenue |
||||||||
| 5.00%, 10/01/2020 |
1,000,000 | 1,028,890 | ||||||
| 5.00%, 10/01/2021 |
690,000 | 736,478 |
| 5.00%, 10/01/2022 |
485,000 | 499,123 | ||||||
| 5.00%, 10/01/2031 |
3,000,000 | 3,298,260 | ||||||
| 5.00%, 10/01/2034 |
5,520,000 | 6,271,769 | ||||||
| 5.00%, 10/01/2035 |
1,000,000 | 1,134,250 | ||||||
| 5.00%, 10/01/2037 |
2,990,000 | 3,420,530 | ||||||
| County of Miami-Dade FL Transit System |
||||||||
| 4.00%, 07/01/2036 |
1,755,000 | 1,941,241 | ||||||
| County of Miami-Dade FL Water & Sewer System Revenue |
||||||||
| 5.00%, 10/01/2031 |
4,000,000 | 4,713,240 | ||||||
| 5.00%, 10/01/2032 |
1,275,000 | 1,498,979 | ||||||
| County of Miami-Dade Seaport Department |
||||||||
| 6.00%, 10/01/2038 |
7,000,000 | 8,077,300 | ||||||
| 6.25%, 10/01/2038 |
2,000,000 | 2,310,100 | ||||||
| County of Palm Beach FL |
||||||||
| 5.00%, 05/01/2029 |
1,915,000 | 2,321,440 | ||||||
| Crossings At Fleming Island Community Development District |
||||||||
| 4.50%, 05/01/2030 |
730,000 | 781,239 | ||||||
| Esplanade Lake Club Community Development District |
||||||||
| 3.25%, 11/01/2025 |
250,000 | 250,177 | ||||||
| 3.25%, 11/01/2025 |
250,000 | 250,177 | ||||||
| Florida Development Finance Corp. |
||||||||
| 5.00%, 05/01/2029(3) |
1,525,000 | 1,687,809 | ||||||
| 5.00%, 02/15/2031 |
750,000 | 820,110 | ||||||
| 5.00%, 02/15/2038 |
600,000 | 654,666 | ||||||
| 5.00%, 02/15/2048 |
1,600,000 | 1,736,864 | ||||||
| 1.90%, 01/01/2049(1) |
10,000,000 | 10,010,900 | ||||||
| Florida Higher Educational Facilities Financial Authority |
||||||||
| 5.00%, 10/01/2029 |
1,000,000 | 1,221,340 | ||||||
| 5.00%, 10/01/2033 |
1,000,000 | 1,205,970 | ||||||
| 5.00%, 06/01/2048(3) |
1,110,000 | 1,237,217 | ||||||
| Florida Municipal Power Agency |
||||||||
| 5.00%, 10/01/2025 |
3,475,000 | 4,171,911 | ||||||
| Greater Orlando Aviation Authority |
||||||||
| 5.00%, 10/01/2022 |
1,000,000 | 1,098,510 | ||||||
| 5.00%, 10/01/2024 |
8,935,000 | 10,398,374 | ||||||
| 5.00%, 10/01/2030 |
1,000,000 | 1,213,570 | ||||||
| 5.00%, 10/01/2031 |
2,000,000 | 2,335,160 | ||||||
| 5.00%, 10/01/2033 |
2,000,000 | 2,325,920 | ||||||
| 5.00%, 10/01/2046 |
1,000,000 | 1,155,920 | ||||||
| Halifax Hospital Medical Center |
||||||||
| 5.00%, 06/01/2036 |
3,000,000 | 3,472,020 | ||||||
| Harbor Bay Community Development District |
||||||||
| 3.10%, 05/01/2024 |
500,000 | 497,180 | ||||||
| 3.10%, 05/01/2024 |
100,000 | 99,436 | ||||||
| 3.10%, 05/01/2024 |
560,000 | 556,842 | ||||||
| Hernando County School District |
||||||||
| 5.00%, 07/01/2024 |
805,000 | 933,792 | ||||||
| Highlands County Health Facilities Authority |
||||||||
| 1.62%, 11/15/2035(1) |
4,200,000 | 4,200,000 | ||||||
| Hillsborough County Aviation Authority |
||||||||
| 5.00%, 10/01/2032 |
375,000 | 469,961 | ||||||
| 5.00%, 10/01/2033 |
465,000 | 581,306 | ||||||
| 5.00%, 10/01/2034 |
2,150,000 | 2,681,179 | ||||||
| 5.00%, 10/01/2035 |
2,275,000 | 2,828,962 | ||||||
| 5.00%, 10/01/2036 |
2,650,000 | 3,286,053 | ||||||
| 5.00%, 10/01/2040 |
12,500,000 | 14,306,000 | ||||||
| JEA Electric System Revenue |
||||||||
| 5.00%, 10/01/2026 |
1,120,000 | 1,354,853 | ||||||
| Lakewood Ranch Stewardship District |
||||||||
| 4.00%, 05/01/2022 |
365,000 | 370,628 |
| 3.50%, 05/01/2024 |
225,000 | 227,426 | ||||||
| 4.35%, 05/01/2024 |
1,565,000 | 1,602,795 | ||||||
| 4.55%, 05/01/2024(3) |
950,000 | 972,999 | ||||||
| 3.13%, 05/01/2025 |
315,000 | 315,145 | ||||||
| 3.40%, 05/01/2030 |
370,000 | 368,712 | ||||||
| 4.00%, 05/01/2040 |
600,000 | 604,524 | ||||||
| 4.00%, 05/01/2050 |
1,000,000 | 989,540 | ||||||
| Lee County Industrial Development Authority/FL |
||||||||
| 5.63%, 12/01/2037(3) |
250,000 | 267,163 | ||||||
| 5.00%, 11/15/2039 |
1,850,000 | 2,144,002 | ||||||
| 5.75%, 12/01/2052(3) |
750,000 | 796,403 | ||||||
| Lee County School Board |
||||||||
| 5.00%, 08/01/2027 |
6,495,000 | 8,053,151 | ||||||
| 5.00%, 08/01/2028 |
3,275,000 | 4,121,948 | ||||||
| Lee Memorial Health System |
||||||||
| 5.00%, 04/01/2033(1) |
2,850,000 | 3,364,482 | ||||||
| 5.00%, 04/01/2035 |
6,555,000 | 8,047,967 | ||||||
| 5.00%, 04/01/2037 |
2,060,000 | 2,509,595 | ||||||
| LT Ranch Community Development District |
||||||||
| 3.00%, 05/01/2025 |
835,000 | 830,909 | ||||||
| Manatee County School District |
||||||||
| 5.00%, 10/01/2025 |
520,000 | 630,692 | ||||||
| Marion County School Board |
||||||||
| 5.00%, 06/01/2026 |
1,455,000 | 1,710,207 | ||||||
| Martin County Health Facilities Authority |
||||||||
| 5.00%, 11/15/2023 |
800,000 | 914,192 | ||||||
| Miami-Dade County Educational Facilities Authority |
||||||||
| 5.00%, 04/01/2040 |
2,855,000 | 3,247,591 | ||||||
| 5.00%, 04/01/2045 |
1,010,000 | 1,141,300 | ||||||
| Miami-Dade County Expressway Authority |
||||||||
| 5.00%, 07/01/2030 |
1,225,000 | 1,452,740 | ||||||
| Miami-Dade County Health Facilities Authority |
||||||||
| 5.00%, 08/01/2025 |
110,000 | 129,888 | ||||||
| 5.00%, 08/01/2026 |
155,000 | 187,085 | ||||||
| 5.00%, 08/01/2027 |
345,000 | 424,726 | ||||||
| 5.00%, 08/01/2028 |
400,000 | 489,616 | ||||||
| 5.00%, 08/01/2029 |
480,000 | 584,837 | ||||||
| 5.00%, 08/01/2030 |
680,000 | 824,595 | ||||||
| 5.00%, 08/01/2032 |
750,000 | 903,833 | ||||||
| Miami-Dade County Industrial Development Authority |
||||||||
| 1.70%, 06/01/2021(1) |
5,000,000 | 5,000,000 | ||||||
| 1.50%, 09/01/2027(1) |
6,500,000 | 6,513,325 | ||||||
| Monroe County School District/FL |
||||||||
| 5.00%, 06/01/2033 |
500,000 | 604,985 | ||||||
| 5.00%, 06/01/2035 |
500,000 | 602,340 | ||||||
| Orange County Convention Center/Orlando |
||||||||
| 5.00%, 10/01/2023 |
1,510,000 | 1,722,880 | ||||||
| Orange County Health Facilities Authority |
||||||||
| 5.00%, 10/01/2039 |
750,000 | 879,353 | ||||||
| Orange County School Board |
||||||||
| 5.00%, 08/01/2029 |
1,000,000 | 1,184,690 | ||||||
| Palm Beach County Health Facilities Authority |
||||||||
| 5.00%, 12/01/2023 |
50,000 | 57,217 | ||||||
| 5.00%, 05/15/2024 |
615,000 | 684,981 | ||||||
| 5.00%, 12/01/2024 |
105,000 | 123,370 | ||||||
| 7.50%, 06/01/2049 |
100,000 | 112,249 | ||||||
| 7.50%, 06/01/2049 |
1,875,000 | 2,105,419 | ||||||
| Palm Beach County School District |
||||||||
| 5.00%, 08/01/2023 |
500,000 | 567,320 | ||||||
| 5.00%, 08/01/2024 |
220,000 | 257,193 |
| 5.00%, 08/01/2026 |
3,750,000 | 4,612,838 | ||||||
| 5.00%, 08/01/2026 |
1,065,000 | 1,310,046 | ||||||
| 5.00%, 08/01/2030 |
4,520,000 | 5,330,074 | ||||||
| 5.00%, 08/01/2032 |
3,000,000 | 3,512,070 | ||||||
| Pinellas County Industrial Development Authority |
||||||||
| 5.00%, 07/01/2039 |
375,000 | 435,559 | ||||||
| Sarasota County Health Facilities Authority |
||||||||
| 5.00%, 01/01/2042 |
750,000 | 821,258 | ||||||
| 5.00%, 01/01/2047 |
875,000 | 956,393 | ||||||
| School Board of Miami-Dade County |
||||||||
| 5.00%, 05/01/2025 |
3,000,000 | 3,548,490 | ||||||
| 5.00%, 05/01/2026 |
1,000,000 | 1,180,020 | ||||||
| 5.00%, 05/01/2028 |
2,785,000 | 3,258,366 | ||||||
| 5.00%, 02/01/2029 |
8,000,000 | 9,494,640 | ||||||
| 5.00%, 02/01/2030 |
500,000 | 591,130 | ||||||
| 5.00%, 05/01/2031(1) |
5,000,000 | 5,744,650 | ||||||
| 5.00%, 05/01/2031 |
5,000,000 | 5,839,850 | ||||||
| School District of Broward County/FL |
||||||||
| 5.00%, 07/01/2022 |
1,000,000 | 1,094,100 | ||||||
| 5.00%, 07/01/2028 |
1,500,000 | 1,857,015 | ||||||
| 5.00%, 07/01/2029 |
2,545,000 | 3,136,382 | ||||||
| 5.00%, 07/01/2030 |
5,500,000 | 6,470,475 | ||||||
| Seminole County Industrial Development Authority |
||||||||
| 3.75%, 11/15/2025 |
2,690,000 | 2,690,511 | ||||||
| South Miami Health Facilities Authority |
||||||||
| 5.00%, 08/15/2023 |
250,000 | 282,960 | ||||||
| 5.00%, 08/15/2024 |
400,000 | 466,400 | ||||||
| 5.00%, 08/15/2025 |
700,000 | 836,444 | ||||||
| St Johns County School Board |
||||||||
| 5.00%, 07/01/2029 |
1,250,000 | 1,595,613 | ||||||
| 5.00%, 07/01/2030 |
1,500,000 | 1,903,785 | ||||||
| 5.00%, 07/01/2031 |
1,000,000 | 1,263,590 | ||||||
| State of Florida |
||||||||
| 5.00%, 06/01/2023 |
2,425,000 | 2,743,936 | ||||||
| 5.00%, 07/01/2023 |
2,630,000 | 2,983,025 | ||||||
| 5.00%, 06/01/2024 |
2,415,000 | 2,820,599 | ||||||
| 5.00%, 06/01/2024 |
4,500,000 | 5,255,775 | ||||||
| 5.00%, 07/01/2024 |
2,460,000 | 2,875,838 | ||||||
| 4.00%, 06/01/2030 |
9,390,000 | 9,947,578 | ||||||
| State of Florida Lottery Revenue |
||||||||
| 5.00%, 07/01/2024 |
1,400,000 | 1,634,640 | ||||||
| 5.00%, 07/01/2024 |
4,000,000 | 4,670,400 | ||||||
| Sunshine Skyway Bridge |
||||||||
| 4.00%, 07/01/2037 |
2,355,000 | 2,694,261 | ||||||
| Tampa Bay Water |
||||||||
| 5.50%, 10/01/2022 |
1,000,000 | 1,118,270 | ||||||
| Tolomato Community Development District |
||||||||
| 2.00%, 05/01/2021 |
580,000 | 581,966 | ||||||
| 2.00%, 05/01/2022 |
605,000 | 608,128 | ||||||
| 2.00%, 05/01/2023 |
1,255,000 | 1,263,019 | ||||||
| 2.00%, 05/01/2024 |
1,300,000 | 1,306,565 | ||||||
| 3.50%, 05/01/2024 |
650,000 | 653,068 | ||||||
| 2.10%, 05/01/2025 |
1,345,000 | 1,353,527 | ||||||
| Town of Davie FL |
||||||||
| 5.00%, 04/01/2048 |
1,440,000 | 1,668,370 | ||||||
| Village Community Development District No 13 |
||||||||
| 3.00%, 05/01/2029(3) |
1,000,000 | 1,013,250 | ||||||
| 3.38%, 05/01/2034(3) |
1,000,000 | 1,021,280 | ||||||
| Volusia County Educational Facility Authority |
||||||||
| 4.00%, 10/15/2037 |
740,000 | 828,104 |
| 5.00%, 10/15/2044 |
390,000 | 470,847 | ||||||
| 5.00%, 10/15/2049 |
730,000 | 878,613 | ||||||
| Volusia County School Board |
||||||||
| 5.00%, 08/01/2024 |
2,100,000 | 2,448,915 | ||||||
| West Villages Improvement District |
||||||||
| 4.00%, 05/01/2024 |
400,000 | 405,600 | ||||||
| Westside Community Development District |
||||||||
| 3.50%, 05/01/2024(3) |
570,000 | 569,755 | ||||||
|
|
|
|||||||
| Total Florida |
|
422,936,282 | ||||||
|
|
|
|||||||
| Georgia – 2.77% |
||||||||
| Atlanta Development Authority |
||||||||
| 6.75%, 01/01/2035 |
2,200,000 | 2,319,812 | ||||||
| 7.00%, 01/01/2040 |
985,000 | 1,043,657 | ||||||
| Bartow County Development Authority |
||||||||
| 1.55%, 08/01/2043(1) |
3,000,000 | 2,991,390 | ||||||
| Brookhaven Development Authority |
||||||||
| 5.00%, 07/01/2025 |
1,400,000 | 1,677,620 | ||||||
| 5.00%, 07/01/2031 |
650,000 | 830,394 | ||||||
| 5.00%, 07/01/2032 |
1,000,000 | 1,271,290 | ||||||
| 5.00%, 07/01/2033 |
1,135,000 | 1,436,377 | ||||||
| 5.00%, 07/01/2037 |
1,800,000 | 2,236,320 | ||||||
| Burke County Development Authority |
||||||||
| 2.25%, 10/01/2032(1) |
2,800,000 | 2,849,364 | ||||||
| 3.25%, 11/01/2045(1) |
3,000,000 | 3,134,550 | ||||||
| 2.93%, 11/01/2053(1) |
2,940,000 | 3,076,004 | ||||||
| City of Atlanta GA Department of Aviation |
||||||||
| 4.00%, 07/01/2039 |
4,000,000 | 4,474,840 | ||||||
| City of Atlanta GA Water & Wastewater Revenue |
||||||||
| 5.00%, 11/01/2040 |
14,595,000 | 16,982,596 | ||||||
| City of East Point GA |
||||||||
| 5.00%, 08/01/2020 |
415,000 | 423,391 | ||||||
| 5.00%, 08/01/2021 |
250,000 | 263,630 | ||||||
| Cobb County Kennestone Hospital Authority |
||||||||
| 5.00%, 04/01/2047 |
1,150,000 | 1,330,952 | ||||||
| Columbus Medical Center Hospital Authority |
||||||||
| 5.00%, 07/01/2054(1) |
3,300,000 | 3,927,033 | ||||||
| 5.00%, 07/01/2054(1) |
2,700,000 | 3,377,106 | ||||||
| DeKalb County Hospital Authority/GA |
||||||||
| 6.13%, 09/01/2040 |
550,000 | 568,222 | ||||||
| DeKalb Private Hospital Authority |
||||||||
| 5.00%, 07/01/2027 |
1,235,000 | 1,547,579 | ||||||
| Fayette County Hospital Authority/GA |
||||||||
| 5.00%, 07/01/2054(1) |
1,300,000 | 1,485,575 | ||||||
| Fulton County Development Authority |
||||||||
| 5.00%, 04/01/2023 |
300,000 | 333,438 | ||||||
| 5.00%, 06/15/2044 |
580,000 | 712,663 | ||||||
| 5.00%, 04/01/2047 |
1,000,000 | 1,157,350 | ||||||
| Fulton County Residential Care Facilities for the Elderly Authority |
||||||||
| 5.00%, 04/01/2047(3) |
700,000 | 759,997 | ||||||
| 5.00%, 04/01/2054(3) |
550,000 | 592,565 | ||||||
| Gainesville & Hall County Development Authority |
||||||||
| 1.70%, 11/15/2033(1) |
5,800,000 | 5,800,000 | ||||||
| Gainesville & Hall County Hospital Authority |
||||||||
| 5.50%, 02/15/2042 |
650,000 | 798,103 | ||||||
| Griffin-Spalding County Hospital Authority |
||||||||
| 3.00%, 04/01/2027 |
635,000 | 689,216 | ||||||
| LaGrange-Troup County Hospital Authority |
||||||||
| 5.00%, 04/01/2024 |
500,000 | 571,345 | ||||||
| Macon-Bibb County Housing Authority |
||||||||
| 2.04%, 04/01/2021(1) |
15,000,000 | 15,023,400 | ||||||
| Macon-Bibb County Urban Development Authority |
||||||||
| 5.75%, 06/15/2037(3) |
1,000,000 | 1,017,520 | ||||||
| Main Street Natural Gas, Inc. |
||||||||
| 5.00%, 05/15/2027 |
3,000,000 | 3,611,610 | ||||||
| 5.00%, 05/15/2028 |
2,500,000 | 3,050,050 | ||||||
| 5.00%, 05/15/2043 |
4,520,000 | 5,347,612 | ||||||
| 1.90% (1 Month LIBOR USD + 0.75%), 04/01/2048(2) |
6,400,000 | 6,414,592 | ||||||
| 4.00%, 04/01/2048(1) |
3,600,000 | 3,908,016 | ||||||
| 1.97% (1 Month LIBOR USD + 0.83%), 08/01/2048(2) |
1,700,000 | 1,708,432 | ||||||
| 4.00%, 08/01/2048(1) |
7,975,000 | 8,693,946 | ||||||
| 4.00%, 08/01/2049(1) |
17,670,000 | 19,707,704 | ||||||
| 4.00%, 03/01/2050(1) |
20,000,000 | 22,632,800 | ||||||
| Marietta Development Authority |
||||||||
| 5.00%, 11/01/2037(3) |
625,000 | 701,869 | ||||||
| 5.00%, 11/01/2047(3) |
500,000 | 553,105 | ||||||
| Monroe County Development Authority |
||||||||
| 2.35%, 10/01/2048(1) |
500,000 | 504,880 | ||||||
| Municipal Electric Authority of Georgia |
||||||||
| 5.00%, 01/01/2024 |
830,000 | 940,515 | ||||||
| 5.00%, 01/01/2025 |
900,000 | 1,045,188 | ||||||
| 5.00%, 01/01/2025 |
350,000 | 406,462 | ||||||
| 5.00%, 01/01/2026 |
320,000 | 378,669 | ||||||
| 5.00%, 01/01/2026 |
300,000 | 355,002 | ||||||
| 5.00%, 01/01/2027 |
300,000 | 360,999 | ||||||
| 5.00%, 01/01/2028 |
750,000 | 915,450 | ||||||
| 5.00%, 01/01/2028 |
25,000 | 30,577 | ||||||
| 5.00%, 01/01/2030 |
1,000,000 | 1,219,980 | ||||||
| 5.00%, 01/01/2031 |
685,000 | 839,084 | ||||||
| 5.00%, 01/01/2049 |
3,610,000 | 4,145,038 | ||||||
| Private Colleges & Universities Authority |
||||||||
| 5.00%, 04/01/2027 |
1,900,000 | 2,182,530 | ||||||
| 5.00%, 04/01/2044 |
1,000,000 | 1,116,720 | ||||||
| Savannah Economic Development Authority |
||||||||
| 7.25%, 01/01/2049 |
120,000 | 134,078 | ||||||
| State of Georgia |
||||||||
| 5.00%, 07/01/2023 |
1,000,000 | 1,134,600 | ||||||
|
|
|
|||||||
| Total Georgia |
|
176,742,807 | ||||||
|
|
|
|||||||
| Guam – 0.07% |
||||||||
| Guam Government Waterworks Authority |
||||||||
| 5.00%, 07/01/2035 |
1,550,000 | 1,710,549 | ||||||
| Territory of Guam |
||||||||
| 5.00%, 11/15/2031 |
2,410,000 | 2,821,001 | ||||||
|
|
|
|||||||
| Total Guam |
|
4,531,550 | ||||||
|
|
|
|||||||
| Hawaii – 0.55% |
||||||||
| City & County of Honolulu HI |
||||||||
| 1.91% (SIFMA Municipal Swap Index Yield + 0.30%), 09/01/2023(2) |
1,000,000 | 1,000,060 | ||||||
| 5.00%, 09/01/2024 |
1,275,000 | 1,497,398 | ||||||
| 1.93% (SIFMA Municipal Swap Index Yield + 0.32%), 09/01/2027(2) |
5,000,000 | 5,000,300 | ||||||
| 5.00%, 10/01/2029 |
2,000,000 | 2,395,500 | ||||||
| State of Hawaii |
||||||||
| 5.00%, 08/01/2023 |
1,925,000 | 2,187,069 | ||||||
| 5.00%, 01/01/2030 |
15,500,000 | 19,436,845 | ||||||
| State of Hawaii Airports System Revenue |
||||||||
| 5.00%, 07/01/2031 |
1,275,000 | 1,571,782 | ||||||
| 5.00%, 07/01/2032 |
1,500,000 | 1,842,255 | ||||||
|
|
|
|||||||
| Total Hawaii |
|
34,931,209 | ||||||
|
|
|
|||||||
| Idaho – 0.06% |
||||||||
| Idaho Health Facilities Authority |
||||||||
| 5.00%, 03/01/2034 |
3,155,000 | 3,504,732 | ||||||
| Idaho Housing & Finance Association |
||||||||
| 4.00%, 01/01/2050 |
290,000 | 318,095 | ||||||
|
|
|
|||||||
| Total Idaho |
|
3,822,827 | ||||||
|
|
|
|||||||
| Illinois – 9.74% |
||||||||
| Chicago Board of Education |
||||||||
| 5.00%, 12/01/2021 |
1,000,000 | 1,052,640 | ||||||
| 5.00%, 12/01/2023 |
2,000,000 | 2,193,780 | ||||||
| 5.00%, 12/01/2024 |
130,000 | 144,966 | ||||||
| 5.00%, 12/01/2024 |
2,175,000 | 2,425,386 | ||||||
| 0.00%, 12/01/2025 |
265,000 | 229,628 | ||||||
| 0.00%, 12/01/2025 |
345,000 | 294,965 | ||||||
| 5.00%, 12/01/2025 |
475,000 | 538,123 | ||||||
| 5.00%, 12/01/2025 |
2,500,000 | 2,901,225 | ||||||
| 5.00%, 12/01/2025 |
1,160,000 | 1,314,152 | ||||||
| 5.00%, 12/01/2026 |
145,000 | 166,327 | ||||||
| 5.00%, 12/01/2026 |
3,660,000 | 4,198,313 | ||||||
| 5.00%, 12/01/2027 |
850,000 | 988,507 | ||||||
| 5.00%, 12/01/2028 |
1,270,000 | 1,494,409 | ||||||
| 5.00%, 12/01/2029 |
905,000 | 1,075,240 | ||||||
| 5.00%, 12/01/2029 |
540,000 | 641,579 | ||||||
| 5.00%, 12/01/2030 |
2,220,000 | 2,622,131 | ||||||
| 5.00%, 12/01/2030 |
2,000,000 | 2,362,280 | ||||||
| 6.75%, 12/01/2030(3) |
1,500,000 | 1,926,240 | ||||||
| 5.00%, 12/01/2031 |
2,185,000 | 2,572,379 | ||||||
| 5.00%, 12/01/2033 |
300,000 | 347,301 | ||||||
| 5.00%, 12/01/2034 |
250,000 | 297,375 | ||||||
| 5.00%, 12/01/2041 |
785,000 | 815,788 | ||||||
| 5.25%, 12/01/2041 |
3,000,000 | 3,131,520 | ||||||
| 5.00%, 12/01/2042 |
200,000 | 211,302 | ||||||
| 5.00%, 12/01/2046 |
1,455,000 | 1,641,225 | ||||||
| 6.50%, 12/01/2046 |
100,000 | 120,332 | ||||||
| 7.00%, 12/01/2046(3) |
400,000 | 508,744 | ||||||
| Chicago Midway International Airport |
||||||||
| 5.00%, 01/01/2021 |
5,000,000 | 5,179,150 | ||||||
| 5.00%, 01/01/2027 |
1,800,000 | 2,125,512 | ||||||
| 5.50%, 01/01/2028 |
5,000,000 | 5,589,450 | ||||||
| 5.00%, 01/01/2032 |
2,000,000 | 2,247,280 | ||||||
| 5.00%, 01/01/2034 |
1,000,000 | 1,120,770 | ||||||
| 5.00%, 01/01/2041 |
835,000 | 967,448 | ||||||
| 5.00%, 01/01/2046 |
300,000 | 345,177 | ||||||
| Chicago O’Hare International Airport |
||||||||
| 5.00%, 01/01/2021 |
1,535,000 | 1,590,782 | ||||||
| 5.00%, 01/01/2022 |
520,000 | 557,866 | ||||||
| 5.00%, 01/01/2023 |
1,000,000 | 1,111,070 | ||||||
| 5.00%, 01/01/2024 |
865,000 | 985,218 | ||||||
| 5.00%, 01/01/2025 |
415,000 | 485,641 | ||||||
| 5.00%, 01/01/2027 |
385,000 | 469,481 | ||||||
| 5.00%, 01/01/2028 |
1,000,000 | 1,211,600 | ||||||
| 5.00%, 01/01/2030 |
520,000 | 647,234 | ||||||
| 5.00%, 01/01/2030 |
2,000,000 | 2,297,960 | ||||||
| 5.00%, 01/01/2030 |
2,000,000 | 2,327,000 | ||||||
| 5.00%, 01/01/2031 |
660,000 | 785,961 | ||||||
| 5.00%, 01/01/2031 |
835,000 | 1,031,250 | ||||||
| 5.00%, 01/01/2031 |
700,000 | 801,619 | ||||||
| 5.00%, 01/01/2032 |
1,140,000 | 1,400,707 | ||||||
| 5.00%, 01/01/2032 |
1,300,000 | 1,486,121 | ||||||
| 5.00%, 01/01/2032 |
10,225,000 | 11,847,196 | ||||||
| 5.00%, 01/01/2033 |
1,200,000 | 1,468,308 | ||||||
| 5.00%, 01/01/2033 |
2,520,000 | 2,915,111 | ||||||
| 5.00%, 01/01/2033 |
345,000 | 407,224 | ||||||
| 5.00%, 07/01/2033 |
550,000 | 654,813 | ||||||
| 5.00%, 01/01/2034 |
400,000 | 471,396 | ||||||
| 5.00%, 01/01/2035 |
1,285,000 | 1,563,575 | ||||||
| 5.00%, 01/01/2036 |
430,000 | 504,747 | ||||||
| 5.00%, 01/01/2042 |
500,000 | 579,765 | ||||||
| Chicago Park District |
||||||||
| 4.00%, 01/01/2022 |
500,000 | 521,800 | ||||||
| 5.00%, 01/01/2025 |
500,000 | 515,370 | ||||||
| 5.00%, 01/01/2029 |
3,000,000 | 3,348,720 | ||||||
| 5.00%, 01/01/2036 |
480,000 | 501,811 | ||||||
| Chicago Transit Authority |
||||||||
| 5.00%, 06/01/2022 |
265,000 | 285,951 | ||||||
| 5.00%, 06/01/2023 |
240,000 | 266,275 | ||||||
| 5.00%, 06/01/2024 |
200,000 | 227,842 | ||||||
| 5.25%, 06/01/2024 |
2,000,000 | 2,110,380 | ||||||
| 5.00%, 06/01/2025 |
200,000 | 233,316 | ||||||
| 5.00%, 06/01/2026 |
8,275,000 | 9,858,918 | ||||||
| 5.00%, 06/01/2026 |
160,000 | 190,626 | ||||||
| City of Chicago IL |
||||||||
| 4.25%, 01/01/2020 |
465,000 | 465,000 | ||||||
| 5.00%, 01/01/2022 |
460,000 | 494,822 | ||||||
| 5.00%, 01/01/2023 |
1,535,000 | 1,535,000 | ||||||
| 5.00%, 01/01/2026 |
425,000 | 502,384 | ||||||
| 5.00%, 01/01/2027 |
500,000 | 591,040 | ||||||
| 5.25%, 01/01/2027 |
2,435,000 | 2,756,371 | ||||||
| 5.00%, 01/01/2028 |
865,000 | 865,000 | ||||||
| 5.75%, 01/01/2034 |
2,000,000 | 2,377,720 | ||||||
| 5.00%, 01/01/2035 |
750,000 | 830,227 | ||||||
| 5.50%, 01/01/2035 |
1,000,000 | 1,130,870 | ||||||
| 5.00%, 01/01/2039 |
1,200,000 | 1,363,380 | ||||||
| City of Chicago IL Motor Fuel Tax Revenue |
||||||||
| 5.00%, 01/01/2025 |
2,000,000 | 2,153,880 | ||||||
| City of Chicago IL Wastewater Transmission Revenue |
||||||||
| 5.00%, 01/01/2023 |
450,000 | 495,648 | ||||||
| 5.00%, 01/01/2024 |
500,000 | 564,500 | ||||||
| 5.00%, 01/01/2028 |
2,900,000 | 3,235,907 | ||||||
| 5.00%, 01/01/2029 |
1,300,000 | 1,446,341 | ||||||
| 5.00%, 01/01/2030 |
1,310,000 | 1,493,072 | ||||||
| 5.00%, 01/01/2030 |
1,000,000 | 1,188,990 | ||||||
| 5.00%, 01/01/2033 |
2,000,000 | 2,242,240 | ||||||
| 5.00%, 01/01/2039 |
1,000,000 | 1,107,040 | ||||||
| City of Chicago IL Waterworks Revenue |
||||||||
| 5.00%, 11/01/2020 |
1,030,000 | 1,059,355 | ||||||
| 5.00%, 11/01/2021 |
1,525,000 | 1,621,410 | ||||||
| 5.00%, 11/01/2022 |
1,000,000 | 1,095,890 | ||||||
| 4.00%, 11/01/2023 |
1,025,000 | 1,092,875 | ||||||
| 5.00%, 11/01/2023 |
650,000 | 733,148 | ||||||
| 5.00%, 11/01/2024 |
1,150,000 | 1,322,856 | ||||||
| 5.00%, 11/01/2024 |
250,000 | 287,577 | ||||||
| 5.00%, 11/01/2024 |
1,000,000 | 1,150,310 | ||||||
| 5.00%, 11/01/2025 |
1,000,000 | 1,150,630 | ||||||
| 5.00%, 11/01/2026 |
1,000,000 | 1,147,210 | ||||||
| 5.00%, 11/01/2033 |
500,000 | 563,620 | ||||||
| City of Springfield IL |
||||||||
| 5.00%, 12/01/2024 |
340,000 | 390,191 | ||||||
| 5.00%, 12/01/2025 |
395,000 | 463,189 | ||||||
| 5.00%, 12/01/2026 |
160,000 | 184,955 | ||||||
| City of Waukegan IL |
||||||||
| 4.00%, 12/30/2024 |
540,000 | 598,811 | ||||||
| Cook County Community College District No 508 |
||||||||
| 5.25%, 12/01/2028 |
1,150,000 | 1,272,141 |
| Cook Kane Lake & McHenry Counties Community College District No 512 |
||||||||
| 5.00%, 12/01/2024 |
850,000 | 999,064 | ||||||
| County of Cook IL |
||||||||
| 5.25%, 11/15/2022 |
405,000 | 417,948 | ||||||
| 5.00%, 11/15/2023 |
3,090,000 | 3,484,068 | ||||||
| 5.00%, 11/15/2025 |
2,500,000 | 2,739,700 | ||||||
| 5.00%, 11/15/2026 |
1,000,000 | 1,029,480 | ||||||
| 5.00%, 11/15/2026 |
1,450,000 | 1,741,783 | ||||||
| 5.25%, 11/15/2028 |
1,035,000 | 1,098,828 | ||||||
| 5.00%, 11/15/2029 |
1,000,000 | 1,178,680 | ||||||
| 5.00%, 11/15/2030 |
500,000 | 586,605 | ||||||
| 5.00%, 11/15/2034 |
1,200,000 | 1,389,852 | ||||||
| County of Cook IL Sales Tax Revenue |
||||||||
| 5.00%, 11/15/2029 |
1,085,000 | 1,179,232 | ||||||
| 5.00%, 11/15/2033 |
2,795,000 | 3,337,901 | ||||||
| 5.25%, 11/15/2035 |
3,000,000 | 3,618,690 | ||||||
| County of Kankakee IL |
||||||||
| 4.00%, 12/01/2020 |
515,000 | 524,950 | ||||||
| County of Kendall IL |
||||||||
| 5.00%, 12/15/2024 |
2,190,000 | 2,550,584 | ||||||
| Illinois Finance Authority |
||||||||
| 5.00%, 08/01/2021 |
445,000 | 468,047 | ||||||
| 5.00%, 02/15/2022 |
215,000 | 232,108 | ||||||
| 5.00%, 07/01/2022 |
1,000,000 | 1,095,140 | ||||||
| 5.00%, 12/01/2022 |
325,000 | 348,260 | ||||||
| 4.00%, 05/15/2023 |
45,000 | 49,129 | ||||||
| 4.00%, 05/15/2023 |
320,000 | 337,520 | ||||||
| 5.00%, 11/15/2023 |
1,680,000 | 1,901,676 | ||||||
| 5.00%, 12/01/2023 |
1,880,000 | 2,123,103 | ||||||
| 5.00%, 01/01/2024 |
250,000 | 280,807 | ||||||
| 5.00%, 02/15/2024 |
215,000 | 247,224 | ||||||
| 5.00%, 05/15/2024 |
350,000 | 401,446 | ||||||
| 5.00%, 02/15/2025 |
695,000 | 815,423 | ||||||
| 5.00%, 07/15/2025 |
230,000 | 274,395 | ||||||
| 5.00%, 08/01/2025 |
1,605,000 | 1,870,932 | ||||||
| 5.00%, 02/15/2026 |
360,000 | 436,126 | ||||||
| 5.00%, 02/15/2026 |
1,345,000 | 1,613,691 | ||||||
| 5.00%, 03/01/2028 |
15,000 | 17,872 | ||||||
| 5.00%, 05/15/2028 |
12,620,000 | 15,669,875 | ||||||
| 5.00%, 09/01/2028 |
500,000 | 601,665 | ||||||
| 5.00%, 01/01/2029 |
1,650,000 | 2,028,378 | ||||||
| 5.00%, 02/15/2029 |
1,445,000 | 1,768,810 | ||||||
| 5.00%, 10/01/2029 |
505,000 | 637,270 | ||||||
| 5.00%, 12/01/2029 |
340,000 | 398,929 | ||||||
| 5.00%, 02/15/2030 |
1,240,000 | 1,507,431 | ||||||
| 5.00%, 07/01/2030 |
275,000 | 324,654 | ||||||
| 5.00%, 07/15/2030 |
710,000 | 880,869 | ||||||
| 5.00%, 08/01/2030 |
870,000 | 1,036,100 | ||||||
| 5.00%, 09/01/2030 |
430,000 | 517,574 | ||||||
| 5.00%, 10/01/2030 |
565,000 | 708,233 | ||||||
| 5.00%, 11/15/2030 |
2,000,000 | 2,326,260 | ||||||
| 5.00%, 01/01/2031 |
3,545,000 | 4,183,596 | ||||||
| 5.00%, 02/15/2031 |
300,000 | 363,147 | ||||||
| 5.00%, 05/15/2031 |
5,000,000 | 6,085,600 | ||||||
| 5.00%, 07/01/2031 |
1,420,000 | 1,728,211 | ||||||
| 5.25%, 08/15/2031 |
500,000 | 587,330 | ||||||
| 3.63%, 02/15/2032 |
355,000 | 382,775 | ||||||
| 4.00%, 09/01/2032 |
40,000 | 41,749 | ||||||
| 4.75%, 05/15/2033 |
125,000 | 139,554 | ||||||
| 4.75%, 05/15/2033 |
835,000 | 880,608 |
| 5.00%, 05/15/2033 |
795,000 | 839,027 | ||||||
| 5.00%, 08/15/2033 |
250,000 | 286,740 | ||||||
| 5.00%, 10/01/2033 |
700,000 | 868,000 | ||||||
| 5.00%, 01/01/2034 |
605,000 | 707,366 | ||||||
| 3.75%, 02/15/2034 |
200,000 | 216,258 | ||||||
| 5.00%, 02/15/2034 |
1,890,000 | 2,259,382 | ||||||
| 5.00%, 07/01/2034 |
300,000 | 347,847 | ||||||
| 5.00%, 08/15/2034 |
2,500,000 | 3,009,150 | ||||||
| 5.00%, 11/15/2034 |
3,000,000 | 3,448,890 | ||||||
| 5.00%, 11/15/2034 |
300,000 | 344,889 | ||||||
| 3.00%, 07/01/2035 |
2,250,000 | 2,279,272 | ||||||
| 5.25%, 07/01/2035 |
20,085,000 | 25,711,612 | ||||||
| 5.00%, 08/15/2035 |
600,000 | 685,770 | ||||||
| 5.00%, 08/15/2035 |
100,000 | 113,239 | ||||||
| 4.00%, 02/15/2036 |
800,000 | 887,056 | ||||||
| 5.00%, 02/15/2036 |
905,000 | 1,072,941 | ||||||
| 5.00%, 07/01/2036 |
830,000 | 956,608 | ||||||
| 5.00%, 08/15/2036 |
1,000,000 | 1,140,430 | ||||||
| 5.00%, 10/01/2036 |
620,000 | 762,036 | ||||||
| 5.00%, 01/01/2037 |
2,785,000 | 3,233,218 | ||||||
| 5.25%, 02/15/2037 |
380,000 | 412,547 | ||||||
| 5.00%, 05/15/2037 |
395,000 | 436,210 | ||||||
| 5.00%, 05/15/2037 |
1,050,000 | 1,119,006 | ||||||
| 4.13%, 08/15/2037 |
1,090,000 | 1,143,192 | ||||||
| 5.00%, 08/15/2037 |
1,000,000 | 1,135,950 | ||||||
| 1.75%, 04/01/2038(1) |
8,000,000 | 8,000,000 | ||||||
| 5.13%, 05/15/2038 |
1,000,000 | 1,050,280 | ||||||
| 6.00%, 08/15/2038 |
1,500,000 | 1,508,460 | ||||||
| 5.00%, 11/15/2038 |
3,795,000 | 4,303,188 | ||||||
| 8.00%, 05/15/2040 |
785,000 | 804,421 | ||||||
| 4.00%, 02/15/2041 |
5,000 | 5,837 | ||||||
| 4.00%, 02/15/2041 |
2,890,000 | 3,149,522 | ||||||
| 5.00%, 02/15/2041 |
1,535,000 | 1,796,948 | ||||||
| 5.00%, 08/01/2042 |
120,000 | 136,372 | ||||||
| 1.75%, 11/15/2042(1) |
1,770,000 | 1,780,000 | ||||||
| 0.60%, 08/01/2043(1) |
7,965,000 | 7,965,000 | ||||||
| 5.00%, 01/01/2044 |
4,145,000 | 4,725,714 | ||||||
| 5.00%, 08/15/2044 |
200,000 | 222,746 | ||||||
| 5.00%, 11/15/2045 |
2,565,000 | 2,861,822 | ||||||
| 8.00%, 05/15/2046 |
1,595,000 | 1,634,460 | ||||||
| 5.00%, 12/01/2046 |
5,950,000 | 6,735,935 | ||||||
| 5.00%, 05/15/2047 |
100,000 | 108,808 | ||||||
| 5.25%, 05/15/2047 |
245,000 | 259,212 | ||||||
| 5.25%, 05/15/2047 |
35,000 | 39,650 | ||||||
| 5.00%, 08/01/2049 |
140,000 | 158,071 | ||||||
| 5.25%, 05/15/2054 |
1,000,000 | 1,040,800 | ||||||
| 5.00%, 07/15/2057(1) |
11,305,000 | 12,504,121 | ||||||
| Illinois Municipal Electric Agency |
||||||||
| 5.00%, 02/01/2023 |
275,000 | 305,473 | ||||||
| 5.00%, 02/01/2031 |
470,000 | 546,765 | ||||||
| Illinois Sports Facilities Authority |
||||||||
| 5.25%, 06/15/2032 |
1,735,000 | 1,947,451 | ||||||
| Illinois State Toll Highway Authority |
||||||||
| 5.00%, 01/01/2024 |
935,000 | 1,070,435 | ||||||
| 5.00%, 01/01/2028 |
3,000,000 | 3,752,280 | ||||||
| 5.00%, 12/01/2031 |
235,000 | 275,768 | ||||||
| 5.00%, 12/01/2032 |
425,000 | 497,539 | ||||||
| 5.00%, 01/01/2034 |
1,300,000 | 1,582,373 | ||||||
| 5.00%, 01/01/2037 |
1,260,000 | 1,451,911 | ||||||
| 5.00%, 01/01/2038 |
3,800,000 | 4,317,978 |
| 5.00%, 01/01/2041 |
7,000,000 | 8,145,970 | ||||||
| Illinois State University |
||||||||
| 5.00%, 04/01/2032 |
1,370,000 | 1,625,163 | ||||||
| Kane & DeKalb Counties Community Unit School District No 302 Kaneland |
||||||||
| 5.00%, 02/01/2025 |
4,125,000 | 4,802,160 | ||||||
| 5.00%, 02/01/2026 |
1,930,000 | 2,298,804 | ||||||
| Lake County Community Unit School District No 60 Waukegan |
||||||||
| 5.00%, 01/01/2026 |
1,000,000 | 1,141,230 | ||||||
| 5.00%, 01/01/2027 |
100,000 | 118,208 | ||||||
| 5.00%, 01/01/2027 |
2,100,000 | 2,387,994 | ||||||
| McHenry County Community Unit School District No 12 Johnsburg |
||||||||
| 5.00%, 01/01/2026 |
925,000 | 1,035,806 | ||||||
| McHenry County Community Unit School District No 200 Woodstock |
||||||||
| 0.00%, 01/15/2024 |
1,000,000 | 931,000 | ||||||
| 0.00%, 01/15/2025 |
1,000,000 | 911,180 | ||||||
| 0.00%, 01/15/2026 |
1,000,000 | 888,120 | ||||||
| Metropolitan Pier & Exposition Authority |
||||||||
| 5.00%, 12/15/2026 |
2,000,000 | 2,143,340 | ||||||
| 0.00%, 06/15/2028 |
14,270,000 | 11,440,687 | ||||||
| 5.00%, 12/15/2028 |
2,815,000 | 3,009,770 | ||||||
| 5.00%, 12/15/2028 |
1,000,000 | 1,170,260 | ||||||
| 0.00%, 06/15/2029 |
2,500,000 | 1,928,875 | ||||||
| 0.00%, 12/15/2030 |
11,000,000 | 7,979,400 | ||||||
| 5.00%, 12/15/2032 |
550,000 | 634,172 | ||||||
| 0.00%, 12/15/2034 |
550,000 | 340,934 | ||||||
| 5.00%, 06/15/2050 |
13,285,000 | 15,287,050 | ||||||
| 5.25%, 06/15/2050 |
3,275,000 | 3,335,522 | ||||||
| 5.00%, 06/15/2057 |
5,550,000 | 6,181,146 | ||||||
| Metropolitan Water Reclamation District of Greater Chicago |
||||||||
| 5.00%, 12/01/2031 |
5,700,000 | 6,067,479 | ||||||
| 5.25%, 12/01/2032 |
1,800,000 | 2,402,712 | ||||||
| Peoria Metropolitan Airport Authority |
||||||||
| 5.00%, 12/01/2026 |
1,375,000 | 1,665,895 | ||||||
| Peoria Public Building Commission |
||||||||
| 5.00%, 12/01/2022 |
1,500,000 | 1,652,055 | ||||||
| Railsplitter Tobacco Settlement Authority |
||||||||
| 5.00%, 06/01/2023 |
2,265,000 | 2,533,765 | ||||||
| 5.50%, 06/01/2023 |
1,240,000 | 1,316,173 | ||||||
| 5.00%, 06/01/2024 |
5,275,000 | 6,065,037 | ||||||
| Regional Transportation Authority |
||||||||
| 5.00%, 07/01/2020 |
400,000 | 407,412 | ||||||
| 5.00%, 07/01/2021 |
400,000 | 422,264 | ||||||
| Sales Tax Securitization Corp. |
||||||||
| 5.00%, 01/01/2025 |
1,000,000 | 1,143,140 | ||||||
| 5.00%, 01/01/2025 |
4,000,000 | 4,572,560 | ||||||
| 5.00%, 01/01/2026 |
2,000,000 | 2,332,920 | ||||||
| State of Illinois |
||||||||
| 5.00%, 11/01/2020 |
610,000 | 626,921 | ||||||
| 5.00%, 02/01/2021 |
6,000,000 | 6,209,820 | ||||||
| 5.00%, 09/01/2021 |
1,365,000 | 1,434,752 | ||||||
| 5.00%, 10/01/2021 |
2,000,000 | 2,106,540 | ||||||
| 5.00%, 11/01/2021 |
10,625,000 | 11,217,556 | ||||||
| 5.00%, 01/01/2022 |
700,000 | 701,638 | ||||||
| 5.00%, 08/01/2022 |
3,000,000 | 3,263,550 | ||||||
| 5.00%, 09/01/2022 |
1,340,000 | 1,444,667 | ||||||
| 5.00%, 11/01/2022 |
2,500,000 | 2,698,550 | ||||||
| 4.00%, 01/01/2023 |
330,000 | 341,778 | ||||||
| 5.00%, 02/01/2023 |
235,000 | 254,735 | ||||||
| 5.00%, 02/01/2023 |
200,000 | 216,796 | ||||||
| 5.00%, 09/01/2023 |
1,365,000 | 1,499,685 |
| 5.00%, 11/01/2023 |
5,160,000 | 5,680,489 | ||||||
| 5.00%, 06/15/2024 |
2,305,000 | 2,504,751 | ||||||
| 5.50%, 07/01/2024 |
1,000,000 | 1,108,570 | ||||||
| 5.00%, 09/01/2024 |
1,365,000 | 1,524,678 | ||||||
| 5.00%, 02/01/2025 |
455,000 | 499,959 | ||||||
| 5.00%, 05/01/2025 |
3,050,000 | 3,366,895 | ||||||
| 5.00%, 06/01/2025 |
880,000 | 994,541 | ||||||
| 5.00%, 06/15/2025 |
4,090,000 | 4,440,309 | ||||||
| 5.50%, 07/01/2025 |
400,000 | 443,256 | ||||||
| 5.00%, 11/01/2025 |
4,950,000 | 5,633,298 | ||||||
| 5.00%, 11/01/2025 |
2,040,000 | 2,321,602 | ||||||
| 5.00%, 11/01/2025 |
11,200,000 | 12,648,720 | ||||||
| 5.00%, 06/01/2026 |
125,000 | 143,223 | ||||||
| 5.00%, 10/01/2026 |
2,270,000 | 2,613,110 | ||||||
| 5.00%, 11/01/2026 |
9,230,000 | 10,562,627 | ||||||
| 5.00%, 02/01/2027 |
635,000 | 733,857 | ||||||
| 5.00%, 02/01/2028 |
1,000,000 | 1,151,700 | ||||||
| 5.00%, 05/01/2028 |
265,000 | 291,622 | ||||||
| 5.00%, 11/01/2028 |
3,000,000 | 3,454,410 | ||||||
| 5.00%, 02/01/2029 |
1,000,000 | 1,146,820 | ||||||
| 5.25%, 02/01/2029 |
3,720,000 | 4,101,077 | ||||||
| 5.00%, 04/01/2029 |
605,000 | 663,013 | ||||||
| 5.25%, 02/01/2030 |
100,000 | 109,950 | ||||||
| 5.25%, 12/01/2030 |
18,185,000 | 21,269,722 | ||||||
| 5.00%, 01/01/2031 |
11,000,000 | 11,515,020 | ||||||
| 5.25%, 02/01/2031 |
760,000 | 833,424 | ||||||
| 5.00%, 10/01/2031 |
800,000 | 925,176 | ||||||
| 5.00%, 05/01/2032 |
800,000 | 871,888 | ||||||
| 5.00%, 05/01/2034 |
2,500,000 | 2,716,975 | ||||||
| 5.50%, 07/01/2038 |
1,500,000 | 1,641,390 | ||||||
| Sugar Grove Public Library District |
||||||||
| 3.00%, 02/01/2020 |
390,000 | 390,499 | ||||||
| Upper Illinois River Valley Development Authority |
||||||||
| 5.25%, 12/01/2037(3) |
2,005,000 | 2,158,643 | ||||||
| Village of Bedford Park IL |
||||||||
| 4.00%, 12/01/2020 |
1,180,000 | 1,200,107 | ||||||
| Village of Bolingbrook IL |
||||||||
| 4.00%, 03/01/2023 |
500,000 | 540,275 | ||||||
| 4.00%, 03/01/2025 |
500,000 | 560,950 | ||||||
| 4.00%, 03/01/2027 |
1,000,000 | 1,150,460 | ||||||
| Village of Hillside IL |
||||||||
| 5.00%, 01/01/2024 |
925,000 | 957,412 | ||||||
| Will County Community Unit School District No 365 Valley View |
||||||||
| 5.00%, 11/01/2023 |
420,000 | 475,230 | ||||||
| 5.00%, 11/01/2024 |
2,390,000 | 2,778,112 | ||||||
| 0.00%, 11/01/2025 |
1,520,000 | 1,351,721 | ||||||
| 0.00%, 11/01/2026 |
905,000 | 785,124 | ||||||
| 5.00%, 11/01/2026 |
1,800,000 | 2,188,854 | ||||||
|
|
|
|||||||
| Total Illinois |
|
622,356,406 | ||||||
|
|
|
|||||||
| Indiana – 2.21% |
||||||||
| Ball State University |
||||||||
| 5.00%, 07/01/2033 |
955,000 | 1,161,910 | ||||||
| City of Whiting IN |
||||||||
| 5.25%, 01/01/2021 |
1,745,000 | 1,811,467 | ||||||
| 5.00%, 12/01/2044(1) |
19,230,000 | 22,724,860 | ||||||
| 5.00%, 11/01/2045(1) |
3,000,000 | 3,276,240 | ||||||
| County of St Joseph IN |
||||||||
| 5.00%, 04/01/2033 |
1,245,000 | 1,539,206 | ||||||
| Indiana Finance Authority |
||||||||
| 5.00%, 12/01/2024 |
3,000,000 | 3,544,920 | ||||||
| 5.00%, 05/01/2026 |
1,100,000 | 1,334,762 | ||||||
| 5.00%, 11/01/2026 |
1,200,000 | 1,472,280 | ||||||
| 6.00%, 12/01/2026 |
2,035,000 | 2,059,054 | ||||||
| 5.00%, 05/01/2027 |
700,000 | 866,341 | ||||||
| 5.00%, 05/01/2029 |
685,000 | 875,519 | ||||||
| 5.00%, 11/01/2029 |
2,350,000 | 2,890,852 | ||||||
| 5.00%, 09/01/2031 |
440,000 | 521,853 | ||||||
| 5.00%, 06/01/2032 |
2,750,000 | 2,870,120 | ||||||
| 5.25%, 02/01/2033 |
2,500,000 | 2,983,000 | ||||||
| 5.00%, 03/01/2036 |
4,000,000 | 4,559,680 | ||||||
| 5.00%, 09/01/2036 |
1,000,000 | 1,173,140 | ||||||
| 5.25%, 10/01/2038 |
15,010,000 | 15,964,186 | ||||||
| 5.00%, 06/01/2039 |
1,200,000 | 1,251,144 | ||||||
| 1.63%, 12/01/2039(1) |
5,575,000 | 5,575,000 | ||||||
| 1.65%, 12/01/2042(1) |
2,145,000 | 2,158,385 | ||||||
| 5.00%, 07/01/2048 |
3,600,000 | 3,929,292 | ||||||
| 5.25%, 01/01/2051 |
5,450,000 | 6,034,839 | ||||||
| 2.25%, 12/01/2058(1) |
1,285,000 | 1,331,131 | ||||||
| Indiana Health & Educational Facilities Financing Authority |
||||||||
| 1.75%, 11/15/2031(1) |
3,000,000 | 3,025,410 | ||||||
| Indiana Health Facility Financing Authority |
||||||||
| 1.25%, 11/01/2027(1) |
920,000 | 920,083 | ||||||
| 1.35%, 11/01/2027(1) |
1,075,000 | 1,075,688 | ||||||
| 2.00%, 11/15/2036(1) |
2,070,000 | 2,113,304 | ||||||
| Indiana Housing & Community Development Authority |
||||||||
| 1.65%, 04/01/2022(1) |
7,500,000 | 7,516,500 | ||||||
| 3.50%, 01/01/2049 |
1,220,000 | 1,316,014 | ||||||
| Indianapolis Local Public Improvement Bond Bank |
||||||||
| 5.00%, 01/01/2021 |
370,000 | 383,857 | ||||||
| 1.45%, 06/01/2021 |
5,190,000 | 5,190,156 | ||||||
| 5.00%, 01/01/2022 |
755,000 | 808,741 | ||||||
| 5.00%, 01/01/2023 |
285,000 | 314,794 | ||||||
| 5.00%, 07/15/2023 |
300,000 | 339,024 | ||||||
| 5.00%, 07/15/2024 |
1,000,000 | 1,161,760 | ||||||
| 5.00%, 07/15/2025 |
750,000 | 893,003 | ||||||
| 5.00%, 01/15/2026 |
720,000 | 866,851 | ||||||
| 5.00%, 01/15/2027 |
700,000 | 859,481 | ||||||
| 5.00%, 01/15/2028 |
500,000 | 623,275 | ||||||
| 5.00%, 01/01/2029 |
1,000,000 | 1,191,910 | ||||||
| 5.00%, 01/01/2031 |
1,000,000 | 1,182,090 | ||||||
| 5.00%, 02/01/2044 |
12,000,000 | 14,699,640 | ||||||
| Lebanon Middle School Building Corp. |
||||||||
| 5.00%, 01/10/2023 |
1,065,000 | 1,182,896 | ||||||
| 5.00%, 07/10/2023 |
1,740,000 | 1,960,997 | ||||||
| Westfield-Washington Multi-School Building Corp. |
||||||||
| 5.00%, 01/15/2028 |
390,000 | 463,180 | ||||||
| 5.00%, 01/15/2029 |
540,000 | 638,939 | ||||||
| 5.00%, 01/15/2030 |
700,000 | 825,090 | ||||||
|
|
|
|||||||
| Total Indiana |
|
141,461,864 | ||||||
|
|
|
|||||||
| Iowa – 0.56% |
||||||||
| City of Coralville IA |
||||||||
| 4.00%, 05/01/2030 |
1,200,000 | 1,217,724 | ||||||
| Iowa Finance Authority |
||||||||
| 3.13%, 12/01/2022 |
8,125,000 | 8,242,813 | ||||||
| 3.25%, 03/01/2023 |
3,300,000 | 3,301,947 | ||||||
| 5.25%, 12/01/2025 |
3,000,000 | 3,318,480 | ||||||
| 4.75%, 08/01/2042 |
980,000 | 1,018,759 | ||||||
| 5.00%, 05/15/2043 |
270,000 | 302,092 | ||||||
| 5.00%, 05/15/2048 |
335,000 | 373,331 | ||||||
| 2.88%, 05/15/2049 |
895,000 | 900,307 | ||||||
| Iowa Student Loan Liquidity Corp. |
||||||||
| 5.00%, 12/01/2025 |
1,775,000 | 2,067,378 | ||||||
| 5.00%, 12/01/2025 |
1,000,000 | 1,183,070 | ||||||
| 5.00%, 12/01/2028 |
1,640,000 | 2,028,483 | ||||||
| PEFA, Inc. |
||||||||
| 5.00%, 09/01/2049(1) |
10,000,000 | 11,839,000 | ||||||
|
|
|
|||||||
| Total Iowa |
|
35,793,384 | ||||||
|
|
|
|||||||
| Kansas – 0.14% |
||||||||
| City of Lenexa KS |
||||||||
| 5.00%, 05/15/2021 |
500,000 | 518,460 | ||||||
| 5.00%, 05/15/2039 |
325,000 | 363,740 | ||||||
| Johnson County Unified School District No 232 de Soto |
||||||||
| 5.00%, 09/01/2022 |
350,000 | 385,290 | ||||||
| Kansas Development Finance Authority |
||||||||
| 5.00%, 11/15/2032 |
7,325,000 | 7,893,567 | ||||||
|
|
|
|||||||
| Total Kansas |
|
9,161,057 | ||||||
|
|
|
|||||||
| Kentucky – 2.02% |
||||||||
| City of Ashland KY |
||||||||
| 5.00%, 02/01/2028 |
255,000 | 307,655 | ||||||
| 5.00%, 02/01/2032 |
395,000 | 475,868 | ||||||
| 4.00%, 02/01/2034 |
500,000 | 542,100 | ||||||
| 4.00%, 02/01/2038 |
620,000 | 662,817 | ||||||
| City of Russell KY |
||||||||
| 5.00%, 11/01/2022 |
3,200,000 | 3,537,056 | ||||||
| County of Carroll KY |
||||||||
| 1.55%, 09/01/2042(1) |
6,250,000 | 6,196,000 | ||||||
| County of Trimble KY |
||||||||
| 2.55%, 11/01/2027(1) |
6,730,000 | 6,834,517 | ||||||
| Kentucky Asset Liability Commission |
||||||||
| 5.00%, 09/01/2024 |
1,000,000 | 1,163,550 | ||||||
| 5.00%, 09/01/2025 |
1,250,000 | 1,486,300 | ||||||
| Kentucky Economic Development Finance Authority |
||||||||
| 5.00%, 06/01/2024 |
1,000,000 | 1,123,800 | ||||||
| 5.00%, 08/01/2030 |
2,160,000 | 2,665,915 | ||||||
| 5.00%, 05/15/2031 |
100,000 | 106,550 | ||||||
| 5.00%, 06/01/2037 |
325,000 | 371,904 | ||||||
| 6.38%, 06/01/2040 |
2,550,000 | 2,604,136 | ||||||
| 5.00%, 06/01/2041 |
225,000 | 255,512 | ||||||
| 5.25%, 06/01/2041 |
725,000 | 838,963 | ||||||
| 6.50%, 03/01/2045 |
1,000,000 | 1,021,700 | ||||||
| 5.00%, 06/01/2045 |
1,000,000 | 1,123,250 | ||||||
| 5.00%, 12/01/2045 |
300,000 | 348,972 | ||||||
| 5.00%, 05/15/2046 |
500,000 | 519,570 | ||||||
| 6.25%, 11/15/2046 |
750,000 | 605,663 | ||||||
| 5.00%, 12/01/2047 |
620,000 | 671,138 | ||||||
| 5.00%, 05/15/2051 |
325,000 | 336,804 | ||||||
| Kentucky Higher Education Student Loan Corp. |
||||||||
| 5.00%, 06/01/2020 |
600,000 | 608,142 | ||||||
| 5.00%, 06/01/2021 |
610,000 | 637,761 | ||||||
| Kentucky Housing Corp. |
||||||||
| 2.45%, 04/01/2021(1) |
13,000,000 | 13,098,670 | ||||||
| Kentucky Public Energy Authority |
||||||||
| 4.00%, 04/01/2048(1) |
5,000,000 | 5,442,000 | ||||||
| 4.00%, 01/01/2049(1) |
10,000,000 | 11,042,400 | ||||||
| 4.00%, 12/01/2049(1) |
10,000,000 | 11,075,000 | ||||||
| 4.00%, 12/01/2049(1) |
11,620,000 | 12,879,724 | ||||||
| 4.00%, 02/01/2050(1) |
6,500,000 | 7,431,840 | ||||||
| Kentucky Public Transportation Infrastructure Authority |
||||||||
| 5.75%, 07/01/2049 |
1,000,000 | 1,122,250 | ||||||
| 6.00%, 07/01/2053 |
530,000 | 600,633 | ||||||
| Kentucky State Property & Building Commission |
||||||||
| 5.00%, 05/01/2021 |
500,000 | 524,535 | ||||||
| 5.00%, 05/01/2029 |
1,000,000 | 1,202,430 | ||||||
| 5.00%, 05/01/2029 |
1,025,000 | 1,258,516 | ||||||
| 5.00%, 11/01/2031 |
1,685,000 | 2,066,332 | ||||||
| 5.00%, 05/01/2032 |
270,000 | 328,361 | ||||||
| Louisville & Jefferson County Metropolitan Government |
||||||||
| 5.00%, 10/01/2020 |
1,140,000 | 1,170,005 | ||||||
| 5.00%, 10/01/2023 |
1,565,000 | 1,773,317 | ||||||
| 5.00%, 12/01/2028 |
430,000 | 467,642 | ||||||
| 5.00%, 12/01/2029 |
1,250,000 | 1,359,425 | ||||||
| 5.00%, 10/01/2030 |
2,500,000 | 2,985,200 | ||||||
| 5.00%, 12/01/2030 |
130,000 | 141,380 | ||||||
| 5.00%, 10/01/2032 |
430,000 | 508,918 | ||||||
| 1.85%, 10/01/2033(1) |
15,900,000 | 15,991,743 | ||||||
| University of Louisville |
||||||||
| 3.00%, 09/01/2021 |
1,230,000 | 1,263,825 | ||||||
|
|
|
|||||||
| Total Kentucky |
|
128,779,789 | ||||||
|
|
|
|||||||
| Louisiana – 1.46% |
||||||||
| Calcasieu Parish Memorial Hospital Service District |
||||||||
| 5.00%, 12/01/2025 |
285,000 | 331,255 | ||||||
| 5.00%, 12/01/2026 |
255,000 | 300,760 | ||||||
| 5.00%, 12/01/2027 |
300,000 | 358,164 | ||||||
| 5.00%, 12/01/2028 |
300,000 | 361,317 | ||||||
| 5.00%, 12/01/2029 |
1,015,000 | 1,232,900 | ||||||
| Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge |
||||||||
| 1.59%, 03/01/2022(1) |
5,000,000 | 5,000,000 | ||||||
| Greater New Orleans Expressway Commission |
||||||||
| 5.00%, 11/01/2034 |
1,000,000 | 1,172,020 | ||||||
| Greater Ouachita Water Co. |
||||||||
| 5.00%, 09/01/2027 |
1,000,000 | 1,219,380 | ||||||
| 5.00%, 09/01/2028 |
500,000 | 617,525 | ||||||
| 5.00%, 09/01/2029 |
365,000 | 456,443 | ||||||
| Jefferson Parish Economic Development & Port District |
||||||||
| 5.50%, 06/15/2038(3) |
600,000 | 656,328 | ||||||
| 5.63%, 06/15/2048(3) |
700,000 | 761,138 | ||||||
| Jefferson Parish Hospital Service District No 1 |
||||||||
| 5.50%, 01/01/2026 |
3,000,000 | 3,127,140 | ||||||
| Louisiana Local Government Environmental Facilities & Community Development Auth |
||||||||
| 5.00%, 10/01/2028 |
1,045,000 | 1,311,266 | ||||||
| 6.50%, 08/01/2029 |
2,200,000 | 2,263,624 | ||||||
| 3.50%, 11/01/2032 |
4,000,000 | 4,223,280 | ||||||
| Louisiana Offshore Terminal Authority |
||||||||
| 1.65%, 09/01/2027(1) |
2,500,000 | 2,505,850 | ||||||
| 1.65%, 09/01/2034(1) |
4,500,000 | 4,506,030 | ||||||
| Louisiana Public Facilities Authority |
||||||||
| 5.00%, 06/01/2021 |
7,695,000 | 8,097,295 | ||||||
| 5.00%, 12/15/2022 |
230,000 | 255,102 | ||||||
| 5.00%, 12/15/2023 |
335,000 | 382,734 | ||||||
| 5.00%, 12/15/2024 |
330,000 | 387,087 | ||||||
| 5.00%, 12/15/2025 |
275,000 | 329,747 | ||||||
| 5.00%, 12/15/2026 |
300,000 | 367,707 | ||||||
| 0.00%, 10/01/2027 |
2,000,000 | 1,936,420 | ||||||
| 5.00%, 12/15/2028 |
250,000 | 309,692 | ||||||
| 5.00%, 12/15/2029 |
200,000 | 246,552 | ||||||
| 5.00%, 12/15/2030 |
150,000 | 183,993 | ||||||
| 5.00%, 05/15/2031 |
1,250,000 | 1,486,700 | ||||||
| 5.00%, 12/15/2031 |
390,000 | 477,083 | ||||||
| 5.00%, 05/15/2032 |
1,000,000 | 1,184,760 | ||||||
| 1.70%, 05/01/2042(1) |
8,825,000 | 8,825,000 | ||||||
| Louisiana State Citizens Property Insurance Corp. |
||||||||
| 5.00%, 06/01/2021 |
4,000,000 | 4,213,160 | ||||||
| New Orleans Aviation Board |
||||||||
| 5.00%, 01/01/2023 |
50,000 | 55,103 | ||||||
| 5.00%, 01/01/2024 |
1,400,000 | 1,584,660 | ||||||
| 5.00%, 01/01/2024 |
55,000 | 62,255 | ||||||
| 5.00%, 01/01/2027 |
850,000 | 980,959 | ||||||
| 5.00%, 01/01/2028 |
155,000 | 185,768 | ||||||
| 5.00%, 01/01/2029 |
810,000 | 929,921 | ||||||
| 5.00%, 01/01/2030 |
275,000 | 326,579 | ||||||
| 5.00%, 01/01/2033 |
740,000 | 870,432 | ||||||
| 5.00%, 01/01/2033 |
2,600,000 | 3,139,214 | ||||||
| 5.00%, 01/01/2034 |
170,000 | 199,602 | ||||||
| 5.00%, 01/01/2034 |
750,000 | 880,598 | ||||||
| 5.00%, 01/01/2034 |
2,750,000 | 3,313,585 | ||||||
| 5.00%, 01/01/2036 |
500,000 | 584,420 | ||||||
| 5.00%, 01/01/2037 |
500,000 | 583,100 | ||||||
| 5.00%, 01/01/2040 |
1,540,000 | 1,752,320 | ||||||
| 5.00%, 01/01/2040 |
1,000,000 | 1,125,230 | ||||||
| Parish of St John the Baptist LA |
||||||||
| 2.00%, 06/01/2037(1) |
2,335,000 | 2,349,804 | ||||||
| 2.10%, 06/01/2037(1) |
5,995,000 | 6,052,252 | ||||||
| 2.20%, 06/01/2037(1) |
7,605,000 | 7,670,555 | ||||||
| State of Louisiana |
||||||||
| 5.00%, 07/15/2021 |
1,695,000 | 1,794,971 | ||||||
|
|
|
|||||||
| Total Louisiana |
|
93,528,780 | ||||||
|
|
|
|||||||
| Maine – 0.10% |
||||||||
| Maine Health & Higher Educational Facilities Authority |
||||||||
| 4.00%, 07/01/2041 |
1,480,000 | 1,543,447 | ||||||
| 5.00%, 07/01/2041 |
1,235,000 | 1,376,531 | ||||||
| 5.00%, 07/01/2043 |
610,000 | 652,682 | ||||||
| 4.00%, 07/01/2046 |
330,000 | 342,253 | ||||||
| 5.00%, 07/01/2046 |
1,735,000 | 1,925,538 | ||||||
| Maine Municipal Bond Bank |
||||||||
| 5.00%, 11/01/2033 |
650,000 | 805,694 | ||||||
|
|
|
|||||||
| Total Maine |
|
6,646,145 | ||||||
|
|
|
|||||||
| Maryland – 2.53% |
||||||||
| City of Baltimore MD |
||||||||
| 5.00%, 09/01/2023 |
1,000,000 | 1,118,890 | ||||||
| 5.00%, 07/01/2026 |
720,000 | 882,454 | ||||||
| 5.00%, 07/01/2029 |
4,770,000 | 5,854,603 | ||||||
| 5.00%, 09/01/2030 |
3,000,000 | 3,560,820 | ||||||
| 5.00%, 09/01/2032 |
1,000,000 | 1,178,940 | ||||||
| 5.00%, 09/01/2036 |
1,770,000 | 2,056,404 | ||||||
| 5.00%, 09/01/2039 |
2,775,000 | 3,183,369 | ||||||
| 5.00%, 09/01/2046 |
2,500,000 | 2,835,675 | ||||||
| City of Gaithersburg MD |
||||||||
| 5.00%, 01/01/2027 |
1,335,000 | 1,545,036 | ||||||
| 5.00%, 01/01/2033 |
130,000 | 148,170 | ||||||
| 5.00%, 01/01/2036 |
85,000 | 96,473 | ||||||
| City of Rockville MD |
||||||||
| 4.00%, 11/01/2021 |
200,000 | 207,616 | ||||||
| 2.50%, 11/01/2024 |
245,000 | 245,066 | ||||||
| 3.00%, 11/01/2025 |
580,000 | 581,375 | ||||||
| 5.00%, 11/01/2042 |
1,250,000 | 1,371,938 | ||||||
| 5.00%, 11/01/2047 |
1,230,000 | 1,345,928 | ||||||
| City of Westminster MD |
||||||||
| 6.25%, 07/01/2044 |
1,100,000 | 1,223,343 | ||||||
| County of Baltimore MD |
||||||||
| 5.00%, 10/01/2023 |
2,495,000 | 2,839,859 | ||||||
| 4.00%, 03/01/2035 |
4,000,000 | 4,647,360 | ||||||
| County of Howard MD |
||||||||
| 4.00%, 08/15/2031 |
1,665,000 | 1,950,214 | ||||||
| County of Montgomery MD |
||||||||
| 5.00%, 10/01/2024 |
1,210,000 | 1,425,828 | ||||||
| 5.38%, 07/01/2048 |
625,000 | 670,894 | ||||||
| County of Prince George’s MD |
||||||||
| 4.00%, 08/01/2027 |
3,000,000 | 3,280,860 | ||||||
| 4.00%, 08/01/2029 |
4,035,000 | 4,390,605 | ||||||
| 4.00%, 08/01/2030 |
9,865,000 | 10,711,614 | ||||||
| Maryland Community Development Administration |
||||||||
| 2.06%, 09/01/2021 |
3,000,000 | 3,010,170 | ||||||
| 2.60%, 09/01/2022 |
2,630,000 | 2,716,895 | ||||||
| 2.70%, 03/01/2023 |
3,195,000 | 3,321,298 | ||||||
| 2.75%, 09/01/2023 |
1,010,000 | 1,056,995 | ||||||
| 2.85%, 03/01/2024 |
2,560,000 | 2,696,371 | ||||||
| 2.95%, 03/01/2025 |
3,025,000 | 3,227,403 | ||||||
| 3.10%, 03/01/2026 |
1,445,000 | 1,552,739 | ||||||
| 3.25%, 03/01/2027 |
2,325,000 | 2,531,785 | ||||||
| 4.00%, 09/01/2049 |
1,605,000 | 1,763,221 | ||||||
| 3.50%, 03/01/2050 |
1,300,000 | 1,403,428 | ||||||
| Maryland Community Development Administration Multi-Family Mortgage Revenue |
||||||||
| 2.34%, 04/01/2021(3) |
10,000,000 | 10,053,700 | ||||||
| Maryland Economic Development Corp. |
||||||||
| 5.00%, 07/01/2020 |
250,000 | 254,345 | ||||||
| 5.00%, 07/01/2021 |
500,000 | 525,605 | ||||||
| 5.00%, 06/01/2023 |
215,000 | 239,145 | ||||||
| 5.00%, 03/31/2024 |
5,700,000 | 6,049,923 | ||||||
| 5.00%, 09/30/2027 |
50,000 | 58,851 | ||||||
| 5.00%, 06/01/2028 |
2,000,000 | 2,462,440 | ||||||
| 5.00%, 09/30/2030 |
905,000 | 1,049,519 | ||||||
| 5.00%, 06/01/2035 |
1,415,000 | 1,701,679 | ||||||
| 5.00%, 03/31/2046 |
1,680,000 | 1,878,996 | ||||||
| 5.00%, 06/01/2049 |
1,000,000 | 1,183,170 | ||||||
| 5.00%, 03/31/2051 |
1,640,000 | 1,830,880 | ||||||
| 5.00%, 06/01/2058 |
600,000 | 665,706 | ||||||
| Maryland Health & Higher Educational Facilities Authority |
||||||||
| 5.00%, 07/01/2024 |
535,000 | 616,047 | ||||||
| 5.00%, 07/01/2024 |
745,000 | 858,560 | ||||||
| 5.50%, 01/01/2029 |
1,500,000 | 1,838,865 | ||||||
| 5.50%, 01/01/2030 |
1,750,000 | 2,134,860 | ||||||
| 5.00%, 07/01/2030 |
600,000 | 707,292 | ||||||
| 5.00%, 07/01/2032 |
750,000 | 875,040 | ||||||
| 5.00%, 07/01/2035 |
75,000 | 86,777 | ||||||
| 5.00%, 08/15/2038 |
1,945,000 | 2,212,010 | ||||||
| 4.00%, 07/01/2042 |
120,000 | 127,010 | ||||||
| 5.00%, 07/01/2043 |
500,000 | 571,285 | ||||||
| 5.00%, 07/01/2045 |
2,000,000 | 2,263,360 | ||||||
| 5.50%, 01/01/2046 |
1,290,000 | 1,524,535 | ||||||
| 5.00%, 07/01/2048 |
1,000,000 | 1,139,130 | ||||||
| Maryland Stadium Authority |
||||||||
| 5.00%, 06/15/2021 |
900,000 | 950,211 | ||||||
| 5.00%, 05/01/2032 |
765,000 | 911,742 | ||||||
| 5.00%, 05/01/2041 |
5,000,000 | 5,846,400 | ||||||
| Maryland State Transportation Authority |
||||||||
| 5.00%, 07/01/2030 |
4,655,000 | 5,787,375 | ||||||
| Prince George’s County Revenue Authority |
||||||||
| 5.00%, 05/01/2030 |
1,085,000 | 1,364,105 | ||||||
| State of Maryland |
||||||||
| 5.00%, 03/01/2020 |
6,000,000 | 6,038,040 |
| 4.00%, 03/15/2021 |
1,170,000 | 1,176,926 | ||||||
| 5.00%, 08/01/2022 |
3,000,000 | 3,298,830 | ||||||
| 5.00%, 08/01/2024 |
1,450,000 | 1,700,081 | ||||||
| State of Maryland Department of Transportation |
||||||||
| 4.00%, 09/01/2026 |
5,000,000 | 5,858,600 | ||||||
| Washington Suburban Sanitary Commission |
||||||||
| 3.00%, 06/01/2026 |
5,000,000 | 5,500,900 | ||||||
|
|
|
|||||||
| Total Maryland |
|
161,975,579 | ||||||
|
|
|
|||||||
| Massachusetts – 2.98% |
||||||||
| Boston Water & Sewer Commission |
||||||||
| 3.75%, 11/01/2037 |
13,450,000 | 14,131,377 | ||||||
| City of Boston MA |
||||||||
| 5.00%, 04/01/2023 |
2,095,000 | 2,364,082 | ||||||
| Commonwealth of Massachusetts |
||||||||
| 5.00%, 07/01/2022 |
485,000 | 532,026 | ||||||
| 5.50%, 12/01/2022 |
1,195,000 | 1,346,992 | ||||||
| 5.00%, 09/01/2028 |
2,000,000 | 2,401,740 | ||||||
| 5.00%, 12/01/2030 |
1,500,000 | 1,841,160 | ||||||
| 5.00%, 01/01/2032 |
5,400,000 | 6,706,044 | ||||||
| 5.25%, 01/01/2033 |
6,000,000 | 7,734,180 | ||||||
| 5.00%, 07/01/2036 |
12,630,000 | 14,890,770 | ||||||
| 3.50%, 05/01/2037 |
10,000,000 | 10,358,400 | ||||||
| 1.05%, 08/01/2043(1) |
10,515,000 | 10,506,693 | ||||||
| 1.70%, 08/01/2043(1) |
1,750,000 | 1,772,067 | ||||||
| 5.25%, 09/01/2043 |
1,250,000 | 1,558,575 | ||||||
| 5.00%, 03/01/2046 |
205,000 | 231,088 | ||||||
| Commonwealth of Massachusetts Transportation Fund Revenue |
||||||||
| 3.75%, 06/01/2040 |
45,000,000 | 46,062,000 | ||||||
| Massachusetts Bay Transportation Authority |
||||||||
| 5.25%, 07/01/2031 |
5,440,000 | 7,451,386 | ||||||
| Massachusetts Development Finance Agency |
||||||||
| 5.00%, 07/15/2022 |
355,000 | 390,134 | ||||||
| 5.00%, 07/01/2023 |
900,000 | 1,019,151 | ||||||
| 5.00%, 10/01/2024 |
2,020,000 | 2,382,368 | ||||||
| 5.00%, 07/01/2025 |
1,090,000 | 1,288,990 | ||||||
| 5.00%, 10/01/2025 |
905,000 | 1,061,882 | ||||||
| 5.00%, 07/01/2026 |
1,140,000 | 1,377,519 | ||||||
| 5.00%, 10/01/2026 |
955,000 | 1,141,139 | ||||||
| 5.00%, 07/01/2030 |
590,000 | 737,488 | ||||||
| 5.00%, 01/01/2031 |
475,000 | 557,541 | ||||||
| 5.00%, 01/01/2032 |
635,000 | 743,598 | ||||||
| 5.00%, 07/01/2032 |
500,000 | 615,595 | ||||||
| 5.00%, 01/01/2033 |
540,000 | 630,617 | ||||||
| 5.00%, 01/01/2034 |
710,000 | 827,647 | ||||||
| 5.00%, 07/01/2034 |
500,000 | 611,275 | ||||||
| 5.00%, 01/01/2035 |
745,000 | 866,636 | ||||||
| 5.00%, 01/01/2036 |
1,100,000 | 1,276,495 | ||||||
| 5.00%, 10/01/2037(3) |
500,000 | 552,430 | ||||||
| 5.00%, 07/01/2038(1) |
8,525,000 | 9,793,861 | ||||||
| 5.00%, 01/01/2040 |
755,000 | 882,104 | ||||||
| 5.13%, 11/15/2046(3) |
800,000 | 903,056 | ||||||
| 5.00%, 10/01/2047(3) |
375,000 | 411,773 | ||||||
| 2.09% (SIFMA Municipal Swap Index Yield + 0.48%), 07/01/2050(2) |
4,100,000 | 4,100,533 | ||||||
| 5.00%, 10/01/2057(3) |
1,535,000 | 1,681,193 | ||||||
| Massachusetts Educational Financing Authority |
||||||||
| 5.00%, 07/01/2026 |
5,000,000 | 5,966,900 | ||||||
| Massachusetts Housing Finance Agency |
||||||||
| 2.16% (SIFMA Municipal Swap Index Yield + 0.55%), 11/01/2048(2) |
9,900,000 | 9,900,000 | ||||||
| Massachusetts Port Authority |
||||||||
| 5.00%, 07/01/2024 |
800,000 | 924,960 | ||||||
| 5.00%, 07/01/2025 |
295,000 | 349,366 | ||||||
| Massachusetts School Building Authority |
||||||||
| 5.00%, 01/15/2028 |
1,500,000 | 1,768,500 | ||||||
| 5.00%, 10/15/2032 |
1,000,000 | 1,069,590 | ||||||
| Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue |
||||||||
| 5.00%, 01/01/2039(1) |
4,055,000 | 4,501,618 | ||||||
| Massachusetts Water Resources Authority |
||||||||
| 5.00%, 08/01/2040 |
1,900,000 | 2,266,472 | ||||||
|
|
|
|||||||
| Total Massachusetts |
|
190,489,011 | ||||||
|
|
|
|||||||
| Michigan – 2.78% |
||||||||
| Avondale School District |
||||||||
| 5.00%, 11/01/2022 |
600,000 | 664,050 | ||||||
| 5.00%, 11/01/2023 |
680,000 | 775,968 | ||||||
| 5.00%, 11/01/2024 |
800,000 | 936,424 | ||||||
| 5.00%, 11/01/2025 |
785,000 | 942,926 | ||||||
| 5.00%, 11/01/2026 |
765,000 | 938,020 | ||||||
| Calhoun County Hospital Finance Authority |
||||||||
| 5.00%, 02/15/2037 |
1,695,000 | 1,868,314 | ||||||
| City of Detroit MI |
||||||||
| 5.00%, 04/01/2021 |
1,000,000 | 1,031,650 | ||||||
| 5.00%, 04/01/2022 |
835,000 | 880,224 | ||||||
| 5.00%, 04/01/2023 |
750,000 | 805,417 | ||||||
| 5.00%, 04/01/2024 |
900,000 | 984,879 | ||||||
| 5.00%, 04/01/2025 |
900,000 | 1,002,006 | ||||||
| 5.00%, 04/01/2034 |
1,000,000 | 1,129,480 | ||||||
| City of Detroit MI Sewage Disposal System Revenue |
||||||||
| 5.25%, 07/01/2039 |
4,050,000 | 4,373,635 | ||||||
| City of Detroit MI Water Supply System Revenue |
||||||||
| 5.25%, 07/01/2041 |
1,000,000 | 1,050,920 | ||||||
| City of Royal Oak MI |
||||||||
| 5.00%, 04/01/2029 |
500,000 | 626,490 | ||||||
| 5.00%, 04/01/2031 |
1,045,000 | 1,296,845 | ||||||
| City of Wyandotte MI Electric System Revenue |
||||||||
| 5.00%, 10/01/2021 |
750,000 | 792,743 | ||||||
| 5.00%, 10/01/2022 |
800,000 | 871,792 | ||||||
| 5.00%, 10/01/2023 |
500,000 | 560,905 | ||||||
| 5.00%, 10/01/2024 |
765,000 | 877,776 | ||||||
| Clarkston Community Schools |
||||||||
| 5.00%, 05/01/2022 |
445,000 | 483,893 | ||||||
| County of Kent MI |
||||||||
| 5.00%, 06/01/2028 |
700,000 | 852,586 | ||||||
| Detroit Downtown Development Authority |
||||||||
| 5.00%, 07/01/2037 |
540,000 | 600,890 | ||||||
| 5.00%, 07/01/2038 |
1,000,000 | 1,110,710 | ||||||
| Grand Rapids Public Schools |
||||||||
| 5.00%, 05/01/2025 |
1,075,000 | 1,278,229 | ||||||
| 5.00%, 11/01/2037 |
1,750,000 | 2,172,677 | ||||||
| 5.00%, 11/01/2038 |
1,000,000 | 1,237,880 | ||||||
| Great Lakes Water Authority Sewage Disposal System Revenue |
||||||||
| 5.00%, 07/01/2030 |
3,000,000 | 3,569,820 | ||||||
| 5.00%, 07/01/2036 |
1,000,000 | 1,170,210 | ||||||
| Great Lakes Water Authority Water Supply System Revenue |
||||||||
| 5.00%, 07/01/2023 |
1,000,000 | 1,128,720 | ||||||
| Karegnondi Water Authority |
||||||||
| 5.25%, 11/01/2040 |
130,000 | 145,294 | ||||||
| Lake Orion Community School District |
||||||||
| 5.00%, 05/01/2020 |
1,390,000 | 1,407,292 | ||||||
| 5.00%, 05/01/2021 |
1,385,000 | 1,454,472 | ||||||
| 5.00%, 05/01/2025 |
3,275,000 | 3,899,739 | ||||||
| Michigan Finance Authority |
||||||||
| 5.00%, 07/01/2022 |
1,235,000 | 1,350,892 | ||||||
| 5.00%, 11/15/2022 |
275,000 | 303,358 | ||||||
| 5.00%, 10/01/2023 |
1,000,000 | 1,096,810 | ||||||
| 5.00%, 10/01/2024 |
3,000,000 | 3,535,110 | ||||||
| 5.00%, 11/01/2024 |
750,000 | 877,897 | ||||||
| 5.00%, 10/01/2025 |
5,000,000 | 6,058,150 | ||||||
| 5.00%, 11/01/2025 |
1,000,000 | 1,198,700 | ||||||
| 5.00%, 12/01/2026 |
1,190,000 | 1,467,913 | ||||||
| 5.00%, 12/01/2029 |
500,000 | 621,380 | ||||||
| 5.00%, 07/01/2030 |
600,000 | 702,090 | ||||||
| 5.00%, 10/01/2030 |
800,000 | 910,504 | ||||||
| 5.00%, 07/01/2033 |
350,000 | 405,240 | ||||||
| 4.00%, 12/01/2035 |
1,500,000 | 1,703,010 | ||||||
| 5.00%, 12/01/2044(1) |
2,550,000 | 2,988,982 | ||||||
| 5.00%, 11/15/2048 |
760,000 | 915,990 | ||||||
| 3.75%, 11/15/2049(1) |
3,600,000 | 4,027,392 | ||||||
| Michigan State Building Authority |
||||||||
| 5.00%, 10/15/2021 |
1,750,000 | 1,869,525 | ||||||
| 5.00%, 04/15/2035 |
1,250,000 | 1,588,312 | ||||||
| Michigan State Hospital Finance Authority |
||||||||
| 5.00%, 12/01/2022 |
125,000 | 138,465 | ||||||
| 5.00%, 12/01/2023 |
1,150,000 | 1,314,232 | ||||||
| 5.00%, 12/01/2024 |
275,000 | 323,656 | ||||||
| 5.00%, 12/01/2025 |
700,000 | 844,746 | ||||||
| 5.00%, 12/01/2027 |
415,000 | 522,095 | ||||||
| 1.90%, 11/15/2047(1) |
3,650,000 | 3,677,375 | ||||||
| 2.40%, 11/15/2047(1) |
850,000 | 876,834 | ||||||
| 4.00%, 11/15/2047(1) |
9,750,000 | 10,620,968 | ||||||
| 4.00%, 11/15/2047(1) |
4,505,000 | 5,021,453 | ||||||
| Michigan Strategic Fund |
||||||||
| 5.00%, 06/30/2025 |
2,000,000 | 2,325,980 | ||||||
| 5.00%, 12/31/2025 |
2,595,000 | 3,049,826 | ||||||
| 5.00%, 06/30/2026 |
2,800,000 | 3,324,272 | ||||||
| 1.45%, 09/01/2030(1) |
1,260,000 | 1,257,732 | ||||||
| 1.72%, 12/01/2033(1) |
8,050,000 | 8,050,000 | ||||||
| 1.59%, 12/01/2042(1) |
5,500,000 | 5,500,000 | ||||||
| 1.80%, 10/01/2049(1) |
2,075,000 | 2,084,504 | ||||||
| Michigan Tobacco Settlement Finance Authority |
||||||||
| 6.00%, 06/01/2048 |
7,025,000 | 7,098,201 | ||||||
| 0.00%, 06/01/2052 |
7,500,000 | 442,875 | ||||||
| Oakland University |
||||||||
| 5.00%, 03/01/2041 |
2,190,000 | 2,542,787 | ||||||
| Portage Public Schools |
||||||||
| 5.00%, 11/01/2028 |
1,000,000 | 1,208,590 | ||||||
| Royal Oak Hospital Finance Authority |
||||||||
| 5.00%, 09/01/2039 |
10,320,000 | 11,559,638 | ||||||
| Royal Oak School District |
||||||||
| 5.00%, 05/01/2023 |
600,000 | 673,086 | ||||||
| 5.00%, 05/01/2024 |
600,000 | 692,088 | ||||||
| State of Michigan |
||||||||
| 5.00%, 03/15/2020 |
1,670,000 | 1,682,876 | ||||||
| 5.00%, 03/15/2021 |
1,000,000 | 1,046,100 | ||||||
| 5.00%, 03/15/2022 |
1,170,000 | 1,267,777 | ||||||
| 5.00%, 03/15/2023 |
2,000,000 | 2,240,700 | ||||||
| Wayne County Airport Authority |
||||||||
| 5.00%, 12/01/2022 |
200,000 | 221,726 | ||||||
| 5.00%, 12/01/2023 |
400,000 | 457,124 | ||||||
| 5.00%, 12/01/2023 |
250,000 | 285,188 | ||||||
| 5.00%, 12/01/2023 |
550,000 | 623,134 | ||||||
| 5.00%, 12/01/2024 |
375,000 | 440,764 |
| 5.00%, 12/01/2024 |
500,000 | 579,930 | ||||||
| 5.00%, 12/01/2025 |
600,000 | 713,922 | ||||||
| 5.00%, 12/01/2027 |
4,055,000 | 4,808,297 | ||||||
| 5.00%, 12/01/2030 |
3,000,000 | 3,530,400 | ||||||
| 5.00%, 12/01/2031 |
350,000 | 428,127 | ||||||
| 5.00%, 12/01/2033 |
300,000 | 366,309 | ||||||
| 5.00%, 12/01/2040 |
4,000,000 | 4,682,520 | ||||||
| 5.00%, 12/01/2042 |
1,000,000 | 1,091,780 | ||||||
| 5.00%, 12/01/2042 |
900,000 | 1,058,148 | ||||||
| 5.00%, 12/01/2047 |
1,000,000 | 1,167,840 | ||||||
| Wayne-Westland Community Schools |
||||||||
| 5.00%, 11/01/2022 |
190,000 | 209,443 | ||||||
| 5.00%, 11/01/2023 |
80,000 | 90,808 | ||||||
| 5.00%, 11/01/2024 |
185,000 | 215,418 | ||||||
| 5.00%, 11/01/2025 |
95,000 | 113,231 | ||||||
| 5.00%, 11/01/2026 |
1,000,000 | 1,218,200 | ||||||
| 5.00%, 11/01/2027 |
600,000 | 744,576 | ||||||
| 5.00%, 11/01/2029 |
585,000 | 739,879 | ||||||
|
|
|
|||||||
| Total Michigan |
|
177,717,751 | ||||||
|
|
|
|||||||
| Minnesota – 0.45% |
||||||||
| City of Deephaven MN |
||||||||
| 5.00%, 10/01/2037 |
1,250,000 | 1,300,162 | ||||||
| 5.00%, 10/01/2049 |
2,200,000 | 2,266,264 | ||||||
| City of Minneapolis MN/St Paul Housing & Redevelopment Authority |
||||||||
| 5.00%, 11/15/2022 |
1,100,000 | 1,218,690 | ||||||
| City of Moorhead MN |
||||||||
| 5.00%, 12/01/2025 |
775,000 | 869,209 | ||||||
| City of North Oaks MN |
||||||||
| 5.00%, 10/01/2047 |
1,000,000 | 1,097,200 | ||||||
| City of Rochester MN |
||||||||
| 5.00%, 12/01/2025 |
850,000 | 914,235 | ||||||
| 5.25%, 12/01/2038 |
1,000,000 | 1,043,780 | ||||||
| City of St Paul Park MN |
||||||||
| 5.00%, 05/01/2053 |
400,000 | 424,760 | ||||||
| City of Wayzata MN |
||||||||
| 5.00%, 08/01/2054 |
400,000 | 438,240 | ||||||
| Duluth Economic Development Authority |
||||||||
| 5.00%, 02/15/2033 |
500,000 | 609,130 | ||||||
| 5.00%, 02/15/2034 |
750,000 | 911,152 | ||||||
| 5.00%, 02/15/2037 |
1,250,000 | 1,505,600 | ||||||
| Roseville Independent School District No 623 |
||||||||
| 5.00%, 02/01/2025 |
3,895,000 | 4,571,756 | ||||||
| 5.00%, 02/01/2026 |
2,315,000 | 2,784,065 | ||||||
| Shakopee Independent School District No 720 |
||||||||
| 5.00%, 02/01/2024 |
3,185,000 | 3,629,499 | ||||||
| State of Minnesota |
||||||||
| 5.00%, 03/01/2020 |
1,040,000 | 1,046,562 | ||||||
| 5.00%, 06/01/2020 |
2,345,000 | 2,382,778 | ||||||
| 5.00%, 08/01/2023 |
1,465,000 | 1,665,559 | ||||||
|
|
|
|||||||
| Total Minnesota |
|
28,678,641 | ||||||
|
|
|
|||||||
| Mississippi – 0.36% |
||||||||
| Mississippi Business Finance Corp. |
||||||||
| 1.60%, 12/01/2030(1) |
4,320,000 | 4,320,000 | ||||||
| 1.60%, 11/01/2035(1) |
8,700,000 | 8,700,000 | ||||||
| Mississippi Hospital Equipment & Facilities Authority |
||||||||
| 5.00%, 01/01/2021 |
350,000 | 362,649 | ||||||
| 5.00%, 01/01/2029 |
910,000 | 1,131,139 | ||||||
| 5.00%, 01/01/2033 |
1,750,000 | 2,173,063 | ||||||
| State of Mississippi |
||||||||
| 5.00%, 10/15/2020 |
1,750,000 | 1,801,660 | ||||||
| 5.00%, 10/15/2021 |
1,300,000 | 1,387,841 | ||||||
| 5.00%, 10/15/2022 |
1,750,000 | 1,929,865 | ||||||
| 5.00%, 10/01/2030 |
1,000,000 | 1,248,510 | ||||||
|
|
|
|||||||
| Total Mississippi |
|
23,054,727 | ||||||
|
|
|
|||||||
| Missouri – 0.72% |
||||||||
| Belton School District No 124 |
||||||||
| 5.00%, 03/01/2028 |
250,000 | 318,690 | ||||||
| 5.50%, 03/01/2030 |
500,000 | 632,020 | ||||||
| 5.50%, 03/01/2033 |
500,000 | 626,575 | ||||||
| 5.50%, 03/01/2036 |
500,000 | 623,655 | ||||||
| Cape Girardeau County Industrial Development Authority |
||||||||
| 5.00%, 03/01/2032 |
500,000 | 577,465 | ||||||
| City of Kansas City MO Sanitary Sewer System Revenue |
||||||||
| 5.00%, 01/01/2026 |
285,000 | 346,660 | ||||||
| 5.00%, 01/01/2031 |
135,000 | 168,553 | ||||||
| City of St Louis MO Airport Revenue |
||||||||
| 5.00%, 07/01/2025 |
400,000 | 471,868 | ||||||
| Hannibal Industrial Development Authority |
||||||||
| 5.00%, 10/01/2047 |
1,580,000 | 1,804,534 | ||||||
| Health & Educational Facilities Authority of the State of Missouri |
||||||||
| 5.00%, 06/01/2025 |
7,000,000 | 8,305,220 | ||||||
| 5.00%, 04/01/2027 |
1,705,000 | 1,954,152 | ||||||
| 5.00%, 02/01/2029 |
1,000,000 | 1,175,680 | ||||||
| 5.00%, 02/01/2035 |
1,000,000 | 1,140,170 | ||||||
| 5.00%, 02/01/2036 |
200,000 | 230,150 | ||||||
| 4.00%, 02/01/2040 |
100,000 | 106,676 | ||||||
| 5.00%, 08/01/2040 |
1,145,000 | 1,235,650 | ||||||
| 5.00%, 10/01/2042 |
6,370,000 | 7,492,903 | ||||||
| 5.00%, 10/01/2046 |
6,000,000 | 7,255,860 | ||||||
| Industrial Development Authority of the City of St Louis Missouri |
||||||||
| 3.88%, 11/15/2029 |
90,000 | 97,318 | ||||||
| 4.38%, 11/15/2035 |
230,000 | 249,189 | ||||||
| 4.75%, 11/15/2047 |
250,000 | 271,940 | ||||||
| Kirkwood Industrial Development Authority |
||||||||
| 5.00%, 05/15/2021 |
1,500,000 | 1,551,885 | ||||||
| Missouri Housing Development Commission |
||||||||
| 4.00%, 05/01/2050 |
340,000 | 374,659 | ||||||
| St Louis County Industrial Development Authority |
||||||||
| 5.00%, 12/01/2025 |
875,000 | 946,120 | ||||||
| 5.50%, 09/01/2033 |
1,000,000 | 1,102,820 | ||||||
| 5.00%, 09/01/2038 |
500,000 | 561,560 | ||||||
| 5.13%, 08/15/2045 |
200,000 | 216,328 | ||||||
| 5.13%, 09/01/2048 |
2,345,000 | 2,637,023 | ||||||
| St Louis Land Clearance for Redevelopment Authority |
||||||||
| 5.00%, 06/01/2029 |
1,000,000 | 1,146,110 | ||||||
| 5.38%, 06/01/2043 |
2,000,000 | 2,269,300 | ||||||
|
|
|
|||||||
| Total Missouri |
|
45,890,733 | ||||||
|
|
|
|||||||
| Montana – 0.03% |
||||||||
| City of Kalispell MT |
||||||||
| 5.25%, 05/15/2037 |
765,000 | 830,859 | ||||||
| 5.25%, 05/15/2047 |
500,000 | 537,980 | ||||||
| Montana Board of Housing |
||||||||
| 4.00%, 12/01/2047 |
435,000 | 458,647 | ||||||
| 4.00%, 06/01/2050 |
165,000 | 184,128 | ||||||
|
|
|
|||||||
| Total Montana |
|
2,011,614 | ||||||
|
|
|
|||||||
| Nebraska – 0.84% |
||||||||
| Central Plains Energy Project |
||||||||
| 5.00%, 09/01/2035 |
930,000 | 1,216,579 | ||||||
| 4.00%, 12/01/2049(1) |
37,500,000 | 41,961,750 | ||||||
| 5.00%, 03/01/2050(1) |
5,000,000 | 5,588,550 | ||||||
| City of Omaha NE |
||||||||
| 5.00%, 01/15/2026 |
1,700,000 | 2,066,469 | ||||||
| Nebraska Investment Finance Authority |
||||||||
| 3.75%, 09/01/2049 |
1,150,000 | 1,230,362 | ||||||
| 4.00%, 09/01/2049 |
905,000 | 983,672 | ||||||
| Omaha Airport Authority |
||||||||
| 5.00%, 12/15/2031 |
515,000 | 616,857 | ||||||
|
|
|
|||||||
| Total Nebraska |
|
53,664,239 | ||||||
|
|
|
|||||||
| Nevada – 1.12% |
||||||||
| City of Carson City NV |
||||||||
| 5.00%, 09/01/2026 |
550,000 | 655,803 | ||||||
| City of Las Vegas NV Special Improvement District No 814 |
||||||||
| 4.00%, 06/01/2039 |
450,000 | 468,265 | ||||||
| 4.00%, 06/01/2049 |
1,100,000 | 1,125,993 | ||||||
| City of Reno NV |
||||||||
| 5.00%, 06/01/2038 |
150,000 | 179,463 | ||||||
| 0.00%, 07/01/2058(3) |
2,000,000 | 289,260 | ||||||
| City of Sparks NV |
||||||||
| 2.50%, 06/15/2024(3) |
1,875,000 | 1,897,631 | ||||||
| Clark County School District |
||||||||
| 5.00%, 06/15/2021 |
420,000 | 443,121 | ||||||
| 5.00%, 06/15/2023 |
370,000 | 415,710 | ||||||
| 5.00%, 06/15/2023 |
1,650,000 | 1,853,841 | ||||||
| 5.00%, 06/15/2024 |
4,500,000 | 5,206,860 | ||||||
| 5.00%, 06/15/2025 |
6,060,000 | 7,196,917 | ||||||
| 5.00%, 06/15/2029 |
4,080,000 | 5,076,214 | ||||||
| 4.00%, 06/15/2034 |
5,000,000 | 5,594,400 | ||||||
| County of Clark Department of Aviation |
||||||||
| 5.00%, 07/01/2021 |
830,000 | 875,940 | ||||||
| 5.00%, 07/01/2021 |
1,000,000 | 1,056,420 | ||||||
| 5.00%, 07/01/2024 |
3,320,000 | 3,841,705 | ||||||
| 5.00%, 07/01/2024 |
1,250,000 | 1,443,475 | ||||||
| 5.00%, 07/01/2025 |
2,220,000 | 2,625,283 | ||||||
| County of Clark NV |
||||||||
| 5.00%, 11/01/2028 |
3,000,000 | 3,681,420 | ||||||
| 5.00%, 06/01/2032 |
3,000,000 | 3,750,270 | ||||||
| 5.00%, 11/01/2032 |
4,565,000 | 5,338,357 | ||||||
| County of Washoe NV |
||||||||
| 2.05%, 03/01/2036(1) |
5,000,000 | 5,048,900 | ||||||
| 2.05%, 03/01/2036(1) |
4,500,000 | 4,544,010 | ||||||
| 3.00%, 03/01/2036(1) |
700,000 | 726,768 | ||||||
| Las Vegas Convention & Visitors Authority |
||||||||
| 5.00%, 07/01/2033 |
1,140,000 | 1,294,379 | ||||||
| Las Vegas Redevelopment Agency |
||||||||
| 5.00%, 06/15/2030 |
1,000,000 | 1,165,120 | ||||||
| 5.00%, 06/15/2040 |
685,000 | 776,146 | ||||||
| Las Vegas Valley Water District |
||||||||
| 4.00%, 06/01/2028 |
1,000,000 | 1,127,270 | ||||||
| 5.00%, 06/01/2039 |
2,815,000 | 3,255,294 | ||||||
| Nevada Housing Division |
||||||||
| 4.00%, 10/01/2049 |
530,000 | 583,965 | ||||||
|
|
|
|||||||
| Total Nevada |
|
71,538,200 | ||||||
|
|
|
|||||||
| New Hampshire – 0.77% |
||||||||
| New Hampshire Business Finance Authority |
||||||||
| 5.00%, 01/01/2024 |
720,000 | 804,298 | ||||||
| 2.36% (SIFMA Municipal Swap Index Yield + 0.75%), 10/01/2033(2) |
9,500,000 | 9,496,770 | ||||||
| 5.25%, 07/01/2039(3) |
240,000 | 260,957 | ||||||
| 5.63%, 07/01/2046(3) |
125,000 | 137,227 | ||||||
| 2.00%, 06/01/2049(1)(3) |
25,000,000 | 25,070,250 | ||||||
| 5.75%, 07/01/2054(3) |
315,000 | 346,418 | ||||||
| New Hampshire Health & Education Facilities Authority Act |
||||||||
| 5.00%, 07/01/2023 |
500,000 | 565,830 | ||||||
| 4.13%, 07/01/2024(3) |
155,000 | 155,234 | ||||||
| 5.25%, 07/01/2027(3) |
1,250,000 | 1,293,487 | ||||||
| 5.00%, 08/01/2027 |
750,000 | 923,918 | ||||||
| 5.00%, 10/01/2028 |
1,580,000 | 1,885,019 | ||||||
| 5.00%, 07/01/2030 |
390,000 | 487,161 | ||||||
| 5.00%, 10/01/2032 |
2,825,000 | 3,314,346 | ||||||
| 4.00%, 10/01/2038 |
115,000 | 124,113 | ||||||
| 5.00%, 10/01/2038 |
425,000 | 490,662 | ||||||
| 6.25%, 07/01/2042(3) |
700,000 | 759,948 | ||||||
| 5.00%, 07/01/2044 |
2,445,000 | 2,823,388 | ||||||
| 6.13%, 07/01/2052(3) |
495,000 | 533,858 | ||||||
|
|
|
|||||||
| Total New Hampshire |
|
49,472,884 | ||||||
|
|
|
|||||||
| New Jersey – 3.07% |
||||||||
| Camden County Improvement Authority |
||||||||
| 5.00%, 01/15/2028 |
500,000 | 614,780 | ||||||
| 5.00%, 01/15/2029 |
1,000,000 | 1,226,560 | ||||||
| 5.00%, 01/15/2033 |
500,000 | 603,695 | ||||||
| County of Union NJ |
||||||||
| 3.00%, 03/01/2026 |
3,000,000 | 3,240,750 | ||||||
| Garden State Preservation Trust |
||||||||
| 5.75%, 11/01/2028 |
2,000,000 | 2,503,340 | ||||||
| Hudson County Improvement Authority |
||||||||
| 4.00%, 01/01/2036 |
1,125,000 | 1,279,924 | ||||||
| 4.00%, 01/01/2037 |
855,000 | 969,946 | ||||||
| 4.00%, 01/01/2040 |
1,250,000 | 1,404,537 | ||||||
| New Brunswick Parking Authority |
||||||||
| 5.00%, 09/01/2039 |
2,000,000 | 2,359,020 | ||||||
| New Jersey Economic Development Authority |
||||||||
| 4.00%, 01/01/2020 |
115,000 | 115,000 | ||||||
| 5.00%, 01/01/2023 |
400,000 | 440,268 | ||||||
| 5.00%, 03/01/2023 |
4,045,000 | 4,465,033 | ||||||
| 5.00%, 03/01/2024 |
2,405,000 | 2,617,578 | ||||||
| 5.00%, 06/15/2024 |
2,000,000 | 2,275,180 | ||||||
| 5.00%, 06/15/2025 |
5,190,000 | 6,007,165 | ||||||
| 5.00%, 06/01/2026 |
900,000 | 1,080,108 | ||||||
| 5.50%, 01/01/2027 |
500,000 | 573,200 | ||||||
| 5.00%, 06/15/2028 |
605,000 | 644,845 | ||||||
| 5.00%, 06/15/2029 |
1,000,000 | 1,063,620 | ||||||
| 3.13%, 07/01/2029 |
725,000 | 735,715 | ||||||
| 5.00%, 06/15/2030 |
4,000,000 | 4,763,360 | ||||||
| 5.50%, 06/15/2030 |
2,000,000 | 2,382,480 | ||||||
| 5.63%, 11/15/2030 |
2,095,000 | 2,396,135 | ||||||
| 5.00%, 01/01/2031 |
500,000 | 558,360 | ||||||
| 5.00%, 06/15/2033 |
5,000,000 | 5,937,450 | ||||||
| 5.13%, 01/01/2034 |
705,000 | 788,366 | ||||||
| 5.00%, 06/15/2034 |
1,000,000 | 1,184,420 | ||||||
| 5.00%, 06/15/2035 |
1,595,000 | 1,858,079 | ||||||
| 5.00%, 10/01/2037 |
3,185,000 | 3,687,434 | ||||||
| 2.20%, 10/01/2039(1) |
1,400,000 | 1,393,700 | ||||||
| 5.00%, 10/01/2039(3) |
355,000 | 355,788 | ||||||
| 5.13%, 06/15/2043 |
2,450,000 | 2,599,523 | ||||||
| 5.25%, 01/01/2044 |
190,000 | 197,549 | ||||||
| 5.00%, 10/01/2047 |
2,450,000 | 2,785,454 | ||||||
| 5.63%, 01/01/2052 |
2,000,000 | 2,258,940 | ||||||
| 5.00%, 06/15/2054(3) |
2,900,000 | 3,088,819 | ||||||
| 4.00%, 08/01/2059 |
355,000 | 383,499 | ||||||
| 5.00%, 08/01/2059 |
1,000,000 | 1,188,500 | ||||||
| New Jersey Educational Facilities Authority |
||||||||
| 5.00%, 06/01/2023 |
930,000 | 1,033,788 | ||||||
| 5.00%, 07/01/2023 |
3,390,000 | 3,777,070 | ||||||
| 5.00%, 07/01/2032 |
4,920,000 | 5,732,194 | ||||||
| New Jersey Health Care Facilities Financing Authority |
||||||||
| 5.00%, 07/01/2021 |
40,000 | 42,024 | ||||||
| 5.00%, 07/01/2022 |
540,000 | 585,803 | ||||||
| 5.00%, 07/01/2023 |
140,000 | 156,086 | ||||||
| 5.00%, 07/01/2023 |
530,000 | 598,026 | ||||||
| 5.00%, 07/01/2024 |
110,000 | 125,634 | ||||||
| 5.00%, 07/01/2024 |
2,500,000 | 2,730,725 | ||||||
| 5.00%, 07/01/2025 |
120,000 | 140,046 | ||||||
| 5.00%, 07/01/2026 |
40,000 | 47,520 | ||||||
| 5.00%, 07/01/2027 |
60,000 | 71,084 | ||||||
| 5.00%, 07/01/2028 |
155,000 | 188,716 | ||||||
| 5.00%, 07/01/2030 |
165,000 | 192,822 | ||||||
| 5.00%, 07/01/2031 |
430,000 | 430,000 | ||||||
| 5.63%, 07/01/2032 |
380,000 | 405,126 | ||||||
| 5.00%, 07/01/2033 |
500,000 | 591,720 | ||||||
| 5.00%, 07/01/2041 |
815,000 | 923,794 | ||||||
| 5.00%, 07/01/2042(1) |
2,755,000 | 3,266,769 | ||||||
| 5.00%, 07/01/2043(1) |
2,250,000 | 2,602,980 | ||||||
| 4.00%, 07/01/2044 |
1,000,000 | 1,115,810 | ||||||
| 5.00%, 07/01/2045(1) |
2,735,000 | 3,332,215 | ||||||
| 5.00%, 07/01/2046 |
2,375,000 | 2,669,120 | ||||||
| New Jersey Higher Education Student Assistance Authority |
||||||||
| 5.00%, 12/01/2021 |
660,000 | 706,695 | ||||||
| 5.50%, 12/01/2021 |
2,260,000 | 2,434,472 | ||||||
| 5.00%, 12/01/2023 |
460,000 | 524,368 | ||||||
| 5.00%, 12/01/2024 |
265,000 | 310,371 | ||||||
| 5.00%, 12/01/2025 |
490,000 | 587,319 | ||||||
| 5.00%, 12/01/2044 |
1,000,000 | 1,075,060 | ||||||
| New Jersey Housing & Mortgage Finance Agency |
||||||||
| 2.02%, 08/01/2021(1) |
3,000,000 | 3,011,520 | ||||||
| 2.41%, 10/01/2021(1) |
5,000,000 | 5,038,300 | ||||||
| 3.55%, 04/01/2027 |
2,095,000 | 2,231,259 | ||||||
| 3.65%, 04/01/2028 |
1,515,000 | 1,622,838 | ||||||
| New Jersey Transportation Trust Fund Authority |
||||||||
| 5.25%, 12/15/2022 |
1,760,000 | 1,949,112 | ||||||
| 5.00%, 12/15/2023 |
2,700,000 | 3,045,762 | ||||||
| 5.25%, 12/15/2023 |
3,940,000 | 4,482,105 | ||||||
| 5.50%, 12/15/2023 |
190,000 | 217,951 | ||||||
| 5.00%, 12/15/2024 |
1,335,000 | 1,537,600 | ||||||
| 5.00%, 06/15/2025 |
450,000 | 498,096 | ||||||
| 5.00%, 12/15/2025 |
1,255,000 | 1,467,434 | ||||||
| 0.00%, 12/15/2026 |
2,600,000 | 2,207,192 | ||||||
| 5.00%, 12/15/2026 |
2,000,000 | 2,364,620 | ||||||
| 5.00%, 06/15/2027 |
235,000 | 277,396 | ||||||
| 0.00%, 12/15/2027 |
3,260,000 | 2,669,940 | ||||||
| 0.00%, 12/15/2028 |
770,000 | 605,828 | ||||||
| 5.00%, 12/15/2028 |
5,510,000 | 6,644,123 | ||||||
| 5.00%, 06/15/2029 |
665,000 | 715,221 | ||||||
| 5.00%, 06/15/2029 |
1,200,000 | 1,403,892 | ||||||
| 5.00%, 12/15/2029 |
820,000 | 998,030 | ||||||
| 0.00%, 12/15/2030 |
2,000,000 | 1,476,080 | ||||||
| 5.00%, 12/15/2030 |
2,000,000 | 2,378,700 | ||||||
| 5.00%, 06/15/2031 |
3,545,000 | 4,114,682 | ||||||
| 5.50%, 06/15/2031 |
1,000,000 | 1,054,720 | ||||||
| 5.00%, 06/15/2032 |
2,725,000 | 3,216,399 | ||||||
| 5.00%, 06/15/2032 |
1,860,000 | 1,993,381 | ||||||
| 5.00%, 12/15/2032 |
1,340,000 | 1,578,989 |
| 5.00%, 12/15/2033 |
2,200,000 | 2,586,496 | ||||||
| 5.25%, 06/15/2036 |
10,180,000 | 10,672,305 | ||||||
| 4.00%, 12/15/2039 |
600,000 | 635,478 | ||||||
| 5.00%, 12/15/2039 |
700,000 | 816,515 | ||||||
| 5.25%, 06/15/2043 |
3,000,000 | 3,513,630 | ||||||
| New Jersey Turnpike Authority |
||||||||
| 5.00%, 01/01/2033 |
5,000,000 | 5,804,750 | ||||||
| Tender Option Bond Trust Receipts/Certificates |
||||||||
| 1.79%, 07/01/2025(1)(3) |
600,000 | 600,000 | ||||||
| Tobacco Settlement Financing Corp./NJ |
||||||||
| 5.00%, 06/01/2023 |
570,000 | 632,501 | ||||||
| 5.25%, 06/01/2046 |
2,300,000 | 2,665,332 | ||||||
| Township of Montclair NJ |
||||||||
| 4.00%, 03/01/2023 |
800,000 | 872,752 | ||||||
| 4.00%, 03/01/2027 |
325,000 | 383,480 | ||||||
|
|
|
|||||||
| Total New Jersey |
|
196,409,886 | ||||||
|
|
|
|||||||
| New Mexico – 0.40% |
||||||||
| Albuquerque Bernalillo County Water Utility Authority |
||||||||
| 5.00%, 07/01/2027 |
2,400,000 | 2,943,432 | ||||||
| 5.00%, 07/01/2028 |
1,700,000 | 2,074,493 | ||||||
| Albuquerque Municipal School District No 12 |
||||||||
| 5.00%, 08/01/2025 |
800,000 | 963,112 | ||||||
| City of Farmington NM |
||||||||
| 1.88%, 04/01/2033(1) |
10,500,000 | 10,534,755 | ||||||
| City of Santa Fe NM |
||||||||
| 2.25%, 05/15/2024 |
555,000 | 555,499 | ||||||
| 2.63%, 05/15/2025 |
995,000 | 995,975 | ||||||
| Farmington Municipal School District No 5/NM |
||||||||
| 5.00%, 09/01/2024 |
490,000 | 574,496 | ||||||
| New Mexico Hospital Equipment Loan Council |
||||||||
| 5.00%, 08/01/2049(1) |
2,360,000 | 2,798,016 | ||||||
| New Mexico Mortgage Finance Authority |
||||||||
| 3.75%, 01/01/2050 |
750,000 | 817,605 | ||||||
| Town of Clayton NM |
||||||||
| 4.00%, 11/01/2020 |
3,545,000 | 3,612,851 | ||||||
|
|
|
|||||||
| Total New Mexico |
|
25,870,234 | ||||||
|
|
|
|||||||
| New York – 9.27% |
||||||||
| Build NYC Resource Corp. |
||||||||
| 5.00%, 08/01/2022 |
200,000 | 219,116 | ||||||
| 5.00%, 08/01/2023 |
230,000 | 259,930 | ||||||
| 4.88%, 05/01/2031(3) |
750,000 | 835,942 | ||||||
| 5.00%, 01/01/2035(3) |
3,900,000 | 4,280,913 | ||||||
| 5.50%, 05/01/2048(3) |
1,350,000 | 1,520,653 | ||||||
| City of New York NY |
||||||||
| 5.00%, 08/01/2025 |
1,600,000 | 1,925,264 | ||||||
| 5.00%, 08/01/2027 |
2,975,000 | 3,559,617 | ||||||
| 5.00%, 08/01/2027 |
400,000 | 472,224 | ||||||
| 5.00%, 08/01/2028 |
400,000 | 482,808 | ||||||
| 5.00%, 08/01/2028 |
3,975,000 | 4,749,370 | ||||||
| 5.00%, 08/01/2028 |
700,000 | 856,289 | ||||||
| 5.00%, 08/01/2029 |
1,500,000 | 1,885,980 | ||||||
| 5.00%, 08/01/2029 |
1,305,000 | 1,640,803 | ||||||
| 5.00%, 08/01/2032 |
1,745,000 | 2,149,683 | ||||||
| 1.68%, 04/01/2036(1) |
6,000,000 | 6,000,000 | ||||||
| 1.60%, 03/01/2042(1) |
3,660,000 | 3,660,000 | ||||||
| 1.67%, 06/01/2044(1) |
5,000,000 | 5,000,000 | ||||||
| City of Yonkers NY |
||||||||
| 5.00%, 09/01/2022 |
2,350,000 | 2,586,951 | ||||||
| 5.00%, 09/01/2025 |
1,015,000 | 1,217,249 | ||||||
| County of Erie NY |
||||||||
| 5.00%, 06/01/2020 |
500,000 | 508,095 | ||||||
| 5.00%, 09/15/2020 |
350,000 | 359,688 | ||||||
| 5.00%, 06/01/2021 |
750,000 | 791,160 | ||||||
| 5.00%, 09/15/2021 |
225,000 | 239,854 | ||||||
| 5.00%, 06/01/2025 |
1,000,000 | 1,199,730 | ||||||
| County of Nassau NY |
||||||||
| 5.00%, 10/01/2024 |
3,000,000 | 3,515,400 | ||||||
| County of Rockland NY |
||||||||
| 4.00%, 01/01/2021 |
1,100,000 | 1,131,570 | ||||||
| County of Suffolk NY |
||||||||
| 4.00%, 02/01/2028 |
1,865,000 | 2,168,193 | ||||||
| Erie County Fiscal Stability Authority |
||||||||
| 5.00%, 09/01/2033 |
525,000 | 652,297 | ||||||
| Glen Cove Local Economic Assistance Corp. |
||||||||
| 0.00%, 01/01/2045 |
3,550,000 | 1,248,180 | ||||||
| 0.00%, 01/01/2055 |
710,000 | 683,432 | ||||||
| 5.00%, 01/01/2056 |
485,000 | 523,853 | ||||||
| Hempstead Town Local Development Corp. |
||||||||
| 5.89%, 02/01/2032 |
1,250,000 | 1,370,587 | ||||||
| 6.47%, 02/01/2033 |
1,000,000 | 1,158,460 | ||||||
| 6.24%, 02/01/2047 |
1,000,000 | 1,098,710 | ||||||
| Hudson Yards Infrastructure Corp. |
||||||||
| 5.00%, 02/15/2035 |
1,700,000 | 2,059,125 | ||||||
| Long Island Power Authority |
||||||||
| 5.00%, 09/01/2023 |
550,000 | 624,838 | ||||||
| 5.00%, 09/01/2024 |
565,000 | 660,751 | ||||||
| 5.00%, 09/01/2025 |
1,000,000 | 1,200,470 | ||||||
| 5.00%, 09/01/2026 |
2,000,000 | 2,454,900 | ||||||
| 5.00%, 09/01/2027 |
6,500,000 | 8,136,245 | ||||||
| 5.00%, 09/01/2039 |
1,725,000 | 2,101,240 | ||||||
| 1.65%, 09/01/2049(1) |
4,300,000 | 4,335,690 | ||||||
| Metropolitan Transportation Authority |
||||||||
| 5.00%, 05/15/2020 |
1,400,000 | 1,419,530 | ||||||
| 4.00%, 09/01/2020 |
20,000,000 | 20,364,800 | ||||||
| 5.00%, 09/01/2021 |
25,000,000 | 26,497,750 | ||||||
| 5.00%, 11/15/2021 |
640,000 | 684,998 | ||||||
| 5.00%, 11/15/2021 |
500,000 | 535,155 | ||||||
| 5.00%, 11/15/2023 |
3,225,000 | 3,675,339 | ||||||
| 2.06% (SIFMA Municipal Swap Index Yield + 0.45%), 11/01/2026(2) |
2,530,000 | 2,530,961 | ||||||
| 5.25%, 11/15/2031 |
4,000,000 | 4,774,640 | ||||||
| 0.00%, 11/15/2033 |
1,600,000 | 1,118,656 | ||||||
| 1.80% (1 Month LIBOR USD + 0.65%), 11/01/2035(2) |
8,305,000 | 8,312,973 | ||||||
| 5.00%, 11/15/2036 |
10,000,000 | 11,547,000 | ||||||
| 5.25%, 11/15/2036 |
1,015,000 | 1,241,721 | ||||||
| 5.00%, 11/15/2045(1) |
4,470,000 | 4,608,481 | ||||||
| MTA Hudson Rail Yards Trust Obligations |
||||||||
| 5.00%, 11/15/2051 |
1,500,000 | 1,588,530 | ||||||
| 5.00%, 11/15/2056 |
4,380,000 | 4,847,390 | ||||||
| Nassau County Industrial Development Agency |
||||||||
| 6.50%, 01/01/2034 |
672,500 | 675,324 | ||||||
| 6.70%, 01/01/2049 |
793,750 | 782,955 | ||||||
| New York City Housing Development Corp. |
||||||||
| 2.75%, 05/01/2050(1) |
6,500,000 | 6,753,305 | ||||||
| New York City Industrial Development Agency |
||||||||
| 1.60%, 05/01/2033(1) |
3,550,000 | 3,550,000 | ||||||
| New York City Transitional Finance Authority Building Aid Revenue |
||||||||
| 5.00%, 07/15/2024 |
200,000 | 234,188 | ||||||
| 5.00%, 07/15/2032 |
2,000,000 | 2,461,600 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue |
||||||||
| 1.80%, 11/01/2022(1) |
1,535,000 | 1,535,000 |
| 5.00%, 11/01/2028 |
1,500,000 | 1,799,430 | ||||||
| 5.00%, 11/01/2029 |
2,000,000 | 2,364,940 | ||||||
| 5.00%, 02/01/2030 |
4,480,000 | 5,373,536 | ||||||
| 5.00%, 05/01/2033 |
2,535,000 | 3,148,318 | ||||||
| 5.00%, 08/01/2034 |
700,000 | 869,652 | ||||||
| 5.00%, 08/01/2035 |
1,600,000 | 1,980,912 | ||||||
| 5.00%, 08/01/2038 |
1,975,000 | 2,417,143 | ||||||
| 1.65%, 08/01/2039(1) |
10,000,000 | 10,000,000 | ||||||
| 5.00%, 02/01/2041 |
200,000 | 230,740 | ||||||
| 1.67%, 08/01/2042(1) |
7,300,000 | 7,300,000 | ||||||
| 1.65%, 02/01/2044(1) |
1,500,000 | 1,500,000 | ||||||
| 1.65%, 11/01/2044(1) |
5,000,000 | 5,000,000 | ||||||
| New York City Water & Sewer System |
||||||||
| 5.00%, 06/15/2029 |
12,320,000 | 12,531,658 | ||||||
| 5.00%, 06/15/2031 |
6,075,000 | 7,220,684 | ||||||
| 5.00%, 06/15/2032 |
5,000,000 | 5,268,800 | ||||||
| 1.60%, 06/15/2035(1) |
7,505,000 | 7,505,000 | ||||||
| 5.00%, 06/15/2035 |
9,025,000 | 10,745,977 | ||||||
| 5.00%, 06/15/2036 |
5,000,000 | 5,941,200 | ||||||
| 5.00%, 06/15/2037 |
6,000,000 | 7,029,900 | ||||||
| 5.00%, 06/15/2039 |
8,320,000 | 9,714,682 | ||||||
| 1.60%, 06/15/2044(1) |
9,450,000 | 9,450,000 | ||||||
| 1.60%, 06/15/2048(1) |
3,180,000 | 3,180,000 | ||||||
| New York Convention Center Development Corp. |
||||||||
| 5.00%, 11/15/2033 |
3,000,000 | 3,573,090 | ||||||
| New York Liberty Development Corp. |
||||||||
| 5.25%, 10/01/2035 |
2,285,000 | 3,110,616 | ||||||
| 5.38%, 11/15/2040(3) |
4,500,000 | 5,065,065 | ||||||
| 5.00%, 11/15/2044(3) |
1,500,000 | 1,657,740 | ||||||
| 5.75%, 11/15/2051 |
2,000,000 | 2,160,440 | ||||||
| 2.63%, 09/15/2069 |
400,000 | 401,488 | ||||||
| 2.80%, 09/15/2069 |
1,025,000 | 1,032,698 | ||||||
| New York State Dormitory Authority |
||||||||
| 5.00%, 12/01/2022(3) |
900,000 | 986,103 | ||||||
| 5.00%, 07/01/2023 |
250,000 | 283,098 | ||||||
| 5.00%, 12/15/2023 |
1,000,000 | 1,114,070 | ||||||
| 5.00%, 03/15/2024 |
3,700,000 | 4,290,039 | ||||||
| 5.00%, 05/01/2024 |
4,870,000 | 5,619,639 | ||||||
| 5.00%, 07/01/2024 |
250,000 | 291,663 | ||||||
| 5.00%, 07/01/2025 |
250,000 | 299,430 | ||||||
| 5.00%, 03/15/2027 |
2,500,000 | 2,957,050 | ||||||
| 5.00%, 10/01/2028 |
1,735,000 | 2,195,833 | ||||||
| 5.00%, 10/01/2029 |
1,430,000 | 1,800,055 | ||||||
| 5.00%, 10/01/2030 |
1,910,000 | 2,392,562 | ||||||
| 5.25%, 03/15/2033 |
6,000,000 | 7,196,520 | ||||||
| 5.00%, 03/15/2035 |
18,190,000 | 22,733,862 | ||||||
| 5.25%, 03/15/2037 |
13,815,000 | 17,426,517 | ||||||
| 5.25%, 03/15/2038 |
1,930,000 | 2,425,508 | ||||||
| 5.00%, 10/01/2041 |
12,205,000 | 12,774,363 | ||||||
| 5.00%, 05/01/2048(1) |
1,040,000 | 1,225,182 | ||||||
| 5.00%, 05/01/2048(1) |
5,695,000 | 6,431,307 | ||||||
| 5.00%, 05/01/2048(1) |
1,145,000 | 1,218,669 | ||||||
| New York State Housing Finance Agency |
||||||||
| 1.55%, 11/01/2023 |
14,705,000 | 14,712,058 | ||||||
| 1.66%, 11/01/2046(1) |
6,950,000 | 6,950,000 | ||||||
| New York State Thruway Authority |
||||||||
| 5.00%, 01/01/2032 |
2,835,000 | 3,299,543 | ||||||
| New York State Urban Development Corp. |
||||||||
| 5.00%, 03/15/2022 |
360,000 | 390,744 | ||||||
| 5.00%, 03/15/2023 |
700,000 | 785,680 |
| 5.00%, 03/15/2024 |
400,000 | 463,428 | ||||||
| 5.00%, 03/15/2035 |
2,800,000 | 3,191,944 | ||||||
| New York Transportation Development Corp. |
||||||||
| 5.00%, 08/01/2021 |
2,410,000 | 2,528,982 | ||||||
| 5.00%, 01/01/2023 |
270,000 | 295,974 | ||||||
| 5.00%, 08/01/2026 |
1,000,000 | 1,046,920 | ||||||
| 5.00%, 01/01/2031 |
1,015,000 | 1,224,242 | ||||||
| 5.00%, 08/01/2031 |
5,105,000 | 5,326,251 | ||||||
| 5.00%, 01/01/2034 |
5,500,000 | 6,582,620 | ||||||
| 5.00%, 07/01/2041 |
2,300,000 | 2,562,476 | ||||||
| 5.00%, 07/01/2046 |
800,000 | 889,240 | ||||||
| Oneida County Local Development Corp. |
||||||||
| 5.00%, 12/01/2025 |
320,000 | 364,499 | ||||||
| 5.00%, 12/01/2027 |
1,425,000 | 1,610,578 | ||||||
| 5.00%, 12/01/2028 |
1,000,000 | 1,125,380 | ||||||
| Port Authority of New York & New Jersey |
||||||||
| 5.00%, 09/15/2024 |
5,115,000 | 5,945,369 | ||||||
| 5.00%, 09/15/2026 |
1,000,000 | 1,216,370 | ||||||
| 5.00%, 10/15/2028 |
4,000,000 | 4,739,640 | ||||||
| 5.25%, 07/15/2030 |
9,705,000 | 10,116,589 | ||||||
| 5.00%, 07/15/2031 |
5,000,000 | 5,189,400 | ||||||
| 5.00%, 10/15/2032 |
9,650,000 | 10,252,160 | ||||||
| 5.00%, 10/15/2033 |
3,500,000 | 4,013,625 | ||||||
| 5.00%, 07/15/2035 |
25,000,000 | 25,491,250 | ||||||
| State of New York Mortgage Agency |
||||||||
| 3.45%, 04/01/2026 |
2,185,000 | 2,344,680 | ||||||
| Suffolk County Economic Development Corp. |
||||||||
| 5.00%, 07/01/2028 |
300,000 | 317,526 | ||||||
| 5.00%, 07/01/2028 |
1,750,000 | 1,844,308 | ||||||
| Tompkins County Development Corp. |
||||||||
| 5.00%, 07/01/2044 |
115,000 | 126,202 | ||||||
| Town of Hempstead NY |
||||||||
| 4.00%, 06/15/2028 |
3,665,000 | 4,252,573 | ||||||
| Triborough Bridge & Tunnel Authority |
||||||||
| 5.00%, 11/15/2030 |
4,000,000 | 5,352,760 | ||||||
| 1.53% (Secured Overnight Financing Rate + 0.50%), 11/15/2038(2) |
20,000,000 | 20,001,000 | ||||||
| Utility Debt Securitization Authority |
||||||||
| 5.00%, 12/15/2032 |
640,000 | 729,837 | ||||||
| 5.00%, 12/15/2033 |
12,000,000 | 14,397,120 | ||||||
| Westchester County Local Development Corp. |
||||||||
| 5.50%, 05/01/2042 |
150,000 | 167,439 | ||||||
|
|
|
|||||||
| Total New York |
|
592,349,142 | ||||||
|
|
|
|||||||
| North Carolina – 0.93% |
||||||||
| Charlotte-Mecklenburg Hospital Authority |
||||||||
| 5.00%, 01/15/2031 |
1,500,000 | 1,603,125 | ||||||
| 5.00%, 01/15/2048(1) |
5,000,000 | 5,389,350 | ||||||
| County of New Hanover NC |
||||||||
| 5.00%, 10/01/2023 |
1,125,000 | 1,245,172 | ||||||
| 5.00%, 10/01/2027 |
100,000 | 119,570 | ||||||
| 5.00%, 10/01/2034 |
1,000,000 | 1,163,720 | ||||||
| 5.00%, 10/01/2047 |
840,000 | 954,391 | ||||||
| County of Wake NC |
||||||||
| 5.00%, 03/01/2023 |
1,900,000 | 2,132,313 | ||||||
| Mecklenburg County Public Facilities Corp. |
||||||||
| 5.00%, 02/01/2023 |
2,160,000 | 2,411,165 | ||||||
| North Carolina Capital Facilities Finance Agency |
||||||||
| 5.00%, 06/01/2021 |
500,000 | 524,840 | ||||||
| 1.35%, 06/01/2038(1) |
7,710,000 | 7,708,304 | ||||||
| North Carolina Eastern Municipal Power Agency |
||||||||
| 5.00%, 01/01/2021 |
1,965,000 | 2,040,594 | ||||||
| North Carolina Medical Care Commission |
||||||||
| 5.00%, 10/01/2022 |
40,000 | 42,745 | ||||||
| 5.00%, 10/01/2023 |
110,000 | 123,570 | ||||||
| 5.00%, 10/01/2023 |
30,000 | 32,731 | ||||||
| 3.55%, 10/01/2024 |
1,110,000 | 1,112,176 | ||||||
| 5.00%, 10/01/2024 |
300,000 | 344,112 | ||||||
| 5.00%, 10/01/2024 |
35,000 | 38,907 | ||||||
| 5.00%, 10/01/2025 |
250,000 | 284,245 | ||||||
| 5.00%, 10/01/2025 |
25,000 | 28,175 | ||||||
| 5.00%, 10/01/2030 |
420,000 | 456,095 | ||||||
| 5.00%, 10/01/2030 |
2,100,000 | 2,297,295 | ||||||
| 5.00%, 10/01/2030 |
460,000 | 539,424 | ||||||
| 5.00%, 10/01/2031 |
2,950,000 | 3,268,511 | ||||||
| 5.00%, 10/01/2031 |
245,000 | 286,339 | ||||||
| 6.25%, 07/01/2035 |
1,000,000 | 1,119,040 | ||||||
| 5.00%, 09/01/2037 |
3,000,000 | 3,205,170 | ||||||
| 5.00%, 10/01/2037 |
250,000 | 273,370 | ||||||
| 5.00%, 01/01/2039 |
1,225,000 | 1,408,382 | ||||||
| 5.00%, 07/01/2039 |
800,000 | 918,704 | ||||||
| 4.88%, 07/01/2040 |
550,000 | 587,504 | ||||||
| 5.00%, 09/01/2041 |
440,000 | 472,516 | ||||||
| 5.00%, 10/01/2043 |
2,000,000 | 2,181,940 | ||||||
| 2.55%, 06/01/2048(1) |
3,955,000 | 4,111,223 | ||||||
| 2.20%, 12/01/2048(1) |
2,285,000 | 2,317,744 | ||||||
| 5.00%, 07/01/2049 |
900,000 | 1,022,004 | ||||||
| North Carolina Turnpike Authority |
||||||||
| 5.00%, 01/01/2027 |
530,000 | 646,298 | ||||||
| 5.00%, 01/01/2032 |
1,000,000 | 1,188,770 | ||||||
| 5.00%, 07/01/2051 |
1,700,000 | 1,919,929 | ||||||
| State of North Carolina |
||||||||
| 5.00%, 03/01/2022 |
1,000,000 | 1,082,120 | ||||||
| 5.00%, 03/01/2023 |
2,335,000 | 2,612,748 | ||||||
|
|
|
|||||||
| Total North Carolina |
|
59,214,331 | ||||||
|
|
|
|||||||
| North Dakota – 0.01% |
||||||||
| North Dakota Housing Finance Agency |
||||||||
| 1.55%, 07/01/2020 |
950,000 | 949,724 | ||||||
|
|
|
|||||||
| Total North Dakota |
|
949,724 | ||||||
|
|
|
|||||||
| Ohio – 2.44% |
||||||||
| Akron Bath Copley Joint Township Hospital District |
||||||||
| 5.25%, 11/15/2031 |
530,000 | 635,830 | ||||||
| 5.25%, 11/15/2032 |
645,000 | 771,742 | ||||||
| 5.25%, 11/15/2033 |
1,770,000 | 2,113,805 | ||||||
| 5.25%, 11/15/2046 |
1,255,000 | 1,462,188 | ||||||
| American Municipal Power, Inc. |
||||||||
| 2.30%, 02/15/2038(1) |
2,900,000 | 2,943,355 | ||||||
| Buckeye Tobacco Settlement Financing Authority |
||||||||
| 5.88%, 06/01/2047 |
8,600,000 | 8,639,818 | ||||||
| 6.50%, 06/01/2047 |
3,000,000 | 3,057,030 | ||||||
| City of Cleveland OH Airport System Revenue |
||||||||
| 5.00%, 01/01/2024 |
2,450,000 | 2,813,114 | ||||||
| City of Columbus OH |
||||||||
| 5.00%, 04/01/2033 |
1,345,000 | 1,712,777 | ||||||
| 5.00%, 04/01/2035 |
12,245,000 | 15,489,068 | ||||||
| City of Dayton OH Airport Revenue |
||||||||
| 5.00%, 12/01/2021 |
1,050,000 | 1,117,735 | ||||||
| City of Hamilton OH Electric System Revenue |
||||||||
| 4.00%, 10/01/2037 |
1,000,000 | 1,113,770 | ||||||
| Clermont County Port Authority |
||||||||
| 5.00%, 12/01/2029 |
750,000 | 882,322 | ||||||
| 5.00%, 12/01/2030 |
850,000 | 998,197 | ||||||
| 5.00%, 12/01/2031 |
650,000 | 763,256 | ||||||
| Cleveland-Cuyahoga County Port Authority |
||||||||
| 5.50%, 12/01/2043 |
125,000 | 144,926 | ||||||
| 5.50%, 12/01/2053 |
900,000 | 1,036,008 | ||||||
| County of Allen OH Hospital Facilities Revenue |
||||||||
| 5.00%, 08/01/2047(1) |
500,000 | 542,330 | ||||||
| County of Cuyahoga OH |
||||||||
| 5.00%, 12/01/2026 |
2,500,000 | 2,867,750 | ||||||
| 5.00%, 02/15/2042 |
525,000 | 597,471 | ||||||
| 5.50%, 02/15/2052 |
1,790,000 | 2,088,107 | ||||||
| 5.50%, 02/15/2057 |
1,245,000 | 1,448,856 | ||||||
| County of Fairfield OH |
||||||||
| 4.25%, 06/15/2024 |
1,470,000 | 1,538,590 | ||||||
| County of Franklin OH |
||||||||
| 5.00%, 11/15/2033(1) |
12,780,000 | 14,273,215 | ||||||
| County of Hamilton OH |
||||||||
| 4.00%, 01/01/2021 |
450,000 | 459,266 | ||||||
| 5.00%, 01/01/2022 |
465,000 | 492,519 | ||||||
| County of Marion OH |
||||||||
| 5.13%, 12/01/2049 |
575,000 | 575,196 | ||||||
| County of Muskingum OH |
||||||||
| 4.00%, 02/15/2023 |
1,700,000 | 1,799,280 | ||||||
| 5.00%, 02/15/2048 |
2,080,000 | 2,220,254 | ||||||
| County of Scioto OH |
||||||||
| 5.00%, 02/15/2029 |
1,700,000 | 1,928,276 | ||||||
| County of Wood OH |
||||||||
| 5.00%, 12/01/2032 |
115,000 | 121,470 | ||||||
| 5.00%, 12/01/2042 |
145,000 | 151,644 | ||||||
| Franklin County Convention Facilities Authority |
||||||||
| 5.00%, 12/01/2044 |
1,550,000 | 1,815,066 | ||||||
| 5.00%, 12/01/2051 |
2,135,000 | 2,484,521 | ||||||
| Lancaster Port Authority |
||||||||
| 5.00%, 08/01/2049(1) |
2,000,000 | 2,315,380 | ||||||
| Miami University/Oxford OH |
||||||||
| 5.00%, 09/01/2034 |
700,000 | 836,871 | ||||||
| Ohio Air Quality Development Authority |
||||||||
| 2.88%, 02/01/2026 |
5,400,000 | 5,480,082 | ||||||
| 2.10%, 12/01/2027(1) |
5,000,000 | 5,023,650 | ||||||
| 2.10%, 07/01/2028(1) |
12,500,000 | 12,558,750 | ||||||
| 3.25%, 09/01/2029 |
2,995,000 | 3,090,780 | ||||||
| 4.25%, 01/15/2038(3) |
250,000 | 269,383 | ||||||
| 4.50%, 01/15/2048(3) |
275,000 | 296,909 | ||||||
| 5.00%, 07/01/2049(3) |
2,800,000 | 3,089,184 | ||||||
| Ohio Housing Finance Agency |
||||||||
| 2.50%, 10/01/2021(1) |
2,850,000 | 2,872,857 | ||||||
| 2.45%, 11/01/2021(1) |
2,385,000 | 2,405,893 | ||||||
| 4.50%, 03/01/2050 |
245,000 | 274,532 | ||||||
| Ohio Water Development Authority |
||||||||
| 5.00%, 06/01/2028 |
9,290,000 | 11,852,832 | ||||||
| Southeastern Ohio Port Authority |
||||||||
| 5.75%, 12/01/2032 |
445,000 | 483,297 | ||||||
| 6.00%, 12/01/2042 |
550,000 | 591,129 | ||||||
| 5.50%, 12/01/2043 |
1,000,000 | 1,079,080 | ||||||
| State of Ohio |
||||||||
| 4.00%, 09/01/2021 |
3,980,000 | 4,171,438 | ||||||
| 5.00%, 08/01/2024 |
2,500,000 | 2,932,400 | ||||||
| 5.00%, 01/01/2030 |
1,170,000 | 1,462,184 | ||||||
| 5.00%, 10/01/2035 |
1,410,000 | 1,722,625 | ||||||
| University of Akron |
||||||||
| 4.00%, 01/01/2027 |
2,780,000 | 3,215,126 |
| 5.00%, 01/01/2037 |
6,675,000 | 7,842,591 | ||||||
| University of Cincinnati |
||||||||
| 5.00%, 06/01/2028 |
250,000 | 310,373 | ||||||
| 5.00%, 06/01/2029 |
400,000 | 494,356 | ||||||
|
|
|
|||||||
| Total Ohio |
|
155,770,454 | ||||||
|
|
|
|||||||
| Oklahoma – 0.84% |
||||||||
| Cache Educational Facilities Authority |
||||||||
| 5.00%, 09/01/2023 |
500,000 | 561,530 | ||||||
| 5.00%, 09/01/2026 |
3,220,000 | 3,893,173 | ||||||
| Canadian County Educational Facilities Authority |
||||||||
| 4.00%, 09/01/2025 |
1,500,000 | 1,705,950 | ||||||
| 5.00%, 09/01/2026 |
1,725,000 | 2,098,980 | ||||||
| 5.00%, 09/01/2028 |
1,000,000 | 1,204,390 | ||||||
| Cleveland County Educational Facilities Authority |
||||||||
| 5.00%, 09/01/2024 |
365,000 | 423,086 | ||||||
| 5.00%, 09/01/2025 |
300,000 | 356,532 | ||||||
| 5.00%, 09/01/2026 |
375,000 | 455,505 | ||||||
| Dewey County Educational Facilities Authority |
||||||||
| 5.00%, 09/01/2030 |
2,470,000 | 2,951,699 | ||||||
| Garvin County Educational Facilities Authority |
||||||||
| 5.00%, 12/01/2024 |
515,000 | 592,853 | ||||||
| 5.00%, 12/01/2025 |
545,000 | 639,748 | ||||||
| 5.00%, 12/01/2026 |
320,000 | 382,864 | ||||||
| Grady County School Finance Authority |
||||||||
| 5.00%, 09/01/2028 |
375,000 | 465,836 | ||||||
| 5.00%, 09/01/2030 |
1,235,000 | 1,518,136 | ||||||
| Grand River Dam Authority |
||||||||
| 5.00%, 06/01/2023 |
1,000,000 | 1,128,650 | ||||||
| Muskogee Industrial Trust |
||||||||
| 4.00%, 09/01/2030 |
2,000,000 | 2,277,780 | ||||||
| Norman Regional Hospital Authority |
||||||||
| 4.00%, 09/01/2045 |
750,000 | 807,960 | ||||||
| Oklahoma City Airport Trust |
||||||||
| 5.00%, 07/01/2025 |
2,040,000 | 2,410,056 | ||||||
| 5.00%, 07/01/2026 |
2,195,000 | 2,647,807 | ||||||
| 5.00%, 07/01/2030 |
1,350,000 | 1,665,009 | ||||||
| 5.00%, 07/01/2032 |
2,960,000 | 3,617,327 | ||||||
| 5.00%, 07/01/2035 |
3,240,000 | 3,929,245 | ||||||
| 5.00%, 07/01/2043 |
1,065,000 | 1,264,879 | ||||||
| Oklahoma County Finance Authority |
||||||||
| 5.70%, 04/01/2025 |
475,000 | 475,522 | ||||||
| 5.13%, 04/01/2042 |
1,900,000 | 1,818,433 | ||||||
| Oklahoma Department of Transportation |
||||||||
| 5.00%, 09/01/2030 |
1,015,000 | 1,286,310 | ||||||
| Oklahoma Development Finance Authority |
||||||||
| 3.00%, 06/01/2022 |
1,015,000 | 1,057,508 | ||||||
| 4.00%, 12/01/2022 |
530,000 | 572,140 | ||||||
| 4.00%, 06/01/2023 |
1,305,000 | 1,425,230 | ||||||
| 5.00%, 08/01/2023 |
515,000 | 570,563 | ||||||
| 5.00%, 08/01/2026 |
75,000 | 87,772 | ||||||
| 5.00%, 08/15/2029 |
420,000 | 512,749 | ||||||
| 5.00%, 08/01/2030 |
1,010,000 | 1,205,284 | ||||||
| 5.25%, 08/15/2048 |
1,500,000 | 1,772,730 | ||||||
| 5.50%, 08/15/2052 |
830,000 | 989,402 | ||||||
| 5.50%, 08/15/2057 |
1,000,000 | 1,183,690 | ||||||
| Tulsa Airports Improvement Trust |
||||||||
| 5.00%, 06/01/2031 |
1,120,000 | 1,361,248 | ||||||
| 5.00%, 06/01/2033 |
1,240,000 | 1,496,395 | ||||||
| Tulsa County Industrial Authority |
||||||||
| 5.00%, 11/15/2023 |
230,000 | 255,093 | ||||||
| 5.00%, 11/15/2029 |
400,000 | 461,156 | ||||||
|
|
|
|||||||
| Total Oklahoma |
|
53,530,220 | ||||||
|
|
|
|||||||
| Oregon – 0.50% |
||||||||
| Clackamas County Hospital Facility Authority |
||||||||
| 3.00%, 11/15/2022 |
120,000 | 120,000 | ||||||
| County of Washington OR |
||||||||
| 5.00%, 03/01/2022 |
3,000,000 | 3,251,730 | ||||||
| Klamath Falls Intercommunity Hospital Authority |
||||||||
| 5.00%, 09/01/2031 |
200,000 | 236,658 | ||||||
| 5.00%, 09/01/2032 |
270,000 | 318,319 | ||||||
| 5.00%, 09/01/2046 |
1,000,000 | 1,147,670 | ||||||
| Oregon State Lottery |
||||||||
| 5.00%, 04/01/2036 |
2,500,000 | 3,036,100 | ||||||
| Port of Portland OR Airport Revenue |
||||||||
| 5.00%, 07/01/2032 |
1,000,000 | 1,136,090 | ||||||
| 5.00%, 07/01/2033 |
3,485,000 | 3,952,826 | ||||||
| Washington & Multnomah Counties School District No 48J Beaverton |
||||||||
| 5.00%, 06/15/2035 |
12,780,000 | 15,644,509 | ||||||
| Washington County School District No 1 West Union |
||||||||
| 5.00%, 06/15/2028 |
1,525,000 | 1,906,921 | ||||||
| Yamhill County Hospital Authority |
||||||||
| 5.00%, 11/15/2051 |
1,005,000 | 1,105,993 | ||||||
|
|
|
|||||||
| Total Oregon |
|
31,856,816 | ||||||
|
|
|
|||||||
| Pennsylvania – 4.67% |
||||||||
| Allegheny County Hospital Development Authority |
||||||||
| 5.00%, 07/15/2025 |
2,370,000 | 2,827,457 | ||||||
| 5.00%, 07/15/2034 |
5,000,000 | 6,241,850 | ||||||
| Allegheny County Industrial Development Authority |
||||||||
| 4.88%, 11/01/2024 |
2,000,000 | 2,087,640 | ||||||
| Allentown Neighborhood Improvement Zone Development Authority |
||||||||
| 5.00%, 05/01/2022(3) |
1,545,000 | 1,636,093 | ||||||
| 5.00%, 05/01/2025 |
1,000,000 | 1,068,250 | ||||||
| 5.00%, 05/01/2032(3) |
2,025,000 | 2,335,615 | ||||||
| 5.00%, 05/01/2042(3) |
1,345,000 | 1,508,498 | ||||||
| Capital Region Water Sewer Revenue |
||||||||
| 5.00%, 07/15/2024 |
430,000 | 497,295 | ||||||
| 5.00%, 07/15/2028 |
350,000 | 430,563 | ||||||
| Capital Region Water Revenue |
||||||||
| 5.00%, 07/15/2023 |
1,750,000 | 1,973,737 | ||||||
| 5.00%, 07/15/2025 |
1,000,000 | 1,187,150 | ||||||
| Chester County Industrial Development Authority |
||||||||
| 4.38%, 03/01/2028(3) |
175,000 | 182,308 | ||||||
| 5.00%, 03/01/2038(3) |
525,000 | 558,962 | ||||||
| 5.13%, 03/01/2048(3) |
1,050,000 | 1,116,465 | ||||||
| City of Philadelphia PA |
||||||||
| 5.00%, 08/01/2022 |
2,940,000 | 3,218,653 | ||||||
| 5.00%, 08/01/2023 |
4,000,000 | 4,520,520 | ||||||
| 5.00%, 07/15/2026 |
2,475,000 | 2,825,163 | ||||||
| 5.00%, 08/01/2027 |
1,500,000 | 1,859,850 | ||||||
| 5.00%, 08/01/2028 |
6,000,000 | 7,073,400 | ||||||
| 5.00%, 02/01/2029 |
3,175,000 | 4,038,695 | ||||||
| 5.00%, 08/01/2031 |
8,000,000 | 9,774,560 | ||||||
| 5.00%, 08/01/2031 |
500,000 | 659,840 | ||||||
| 5.00%, 08/01/2033 |
2,000,000 | 2,415,420 | ||||||
| City of Philadelphia PA Airport Revenue |
||||||||
| 5.00%, 07/01/2030 |
1,000,000 | 1,205,550 | ||||||
| City of Philadelphia PA Water & Wastewater Revenue |
||||||||
| 5.00%, 11/01/2026 |
1,165,000 | 1,438,705 | ||||||
| 5.00%, 11/01/2027 |
1,540,000 | 1,943,249 | ||||||
| 5.00%, 11/01/2032 |
1,000,000 | 1,223,350 | ||||||
| City of Reading PA |
||||||||
| 5.00%, 11/01/2027 |
2,330,000 | 2,836,123 | ||||||
| Coatesville School District |
||||||||
| 5.00%, 08/01/2025 |
875,000 | 1,029,114 | ||||||
| Commonwealth Financing Authority |
||||||||
| 5.00%, 06/01/2023 |
750,000 | 837,135 | ||||||
| 5.00%, 06/01/2027 |
750,000 | 914,557 | ||||||
| 5.00%, 06/01/2027 |
2,165,000 | 2,629,999 | ||||||
| 5.00%, 06/01/2027 |
1,500,000 | 1,839,615 | ||||||
| 5.00%, 06/01/2028 |
2,500,000 | 3,117,500 | ||||||
| 5.00%, 06/01/2030 |
1,750,000 | 2,224,180 | ||||||
| 5.00%, 06/01/2035 |
325,000 | 393,331 | ||||||
| Commonwealth of Pennsylvania |
||||||||
| 5.00%, 02/01/2020 |
2,050,000 | 2,056,211 | ||||||
| 5.00%, 11/01/2020 |
2,800,000 | 2,882,628 | ||||||
| 5.00%, 08/15/2021 |
1,015,000 | 1,078,580 | ||||||
| 5.00%, 11/01/2021 |
2,000,000 | 2,129,440 | ||||||
| 5.00%, 09/15/2022 |
1,750,000 | 1,928,010 | ||||||
| 5.00%, 02/01/2023 |
895,000 | 997,916 | ||||||
| 5.00%, 03/15/2023 |
9,970,000 | 11,159,820 | ||||||
| 5.00%, 01/01/2027 |
2,095,000 | 2,578,023 | ||||||
| 4.00%, 11/15/2028 |
6,325,000 | 6,620,694 | ||||||
| 5.00%, 03/15/2031 |
430,000 | 499,286 | ||||||
| County of Luzerne PA |
||||||||
| 5.00%, 12/15/2029 |
750,000 | 900,615 | ||||||
| Cumberland County Municipal Authority |
||||||||
| 5.25%, 01/01/2041 |
170,000 | 175,450 | ||||||
| Dauphin County General Authority |
||||||||
| 5.00%, 06/01/2020 |
815,000 | 827,111 | ||||||
| 5.00%, 06/01/2035 |
1,000,000 | 1,172,890 | ||||||
| Delaware County Authority |
||||||||
| 5.00%, 08/01/2030 |
1,150,000 | 1,360,818 | ||||||
| Delaware River Joint Toll Bridge Commission |
||||||||
| 5.00%, 07/01/2042 |
1,100,000 | 1,319,032 | ||||||
| Doylestown Hospital Authority |
||||||||
| 4.00%, 07/01/2045 |
500,000 | 521,875 | ||||||
| 5.00%, 07/01/2046 |
3,700,000 | 4,136,304 | ||||||
| 5.00%, 07/01/2049 |
3,620,000 | 4,148,013 | ||||||
| Easton Area School District |
||||||||
| 5.00%, 04/01/2029 |
1,000,000 | 1,202,030 | ||||||
| 5.00%, 04/01/2030 |
2,805,000 | 3,358,286 | ||||||
| Franklin County Industrial Development Authority/PA |
||||||||
| 5.00%, 12/01/2053 |
500,000 | 540,710 | ||||||
| General Authority of Southcentral Pennsylvania |
||||||||
| 5.00%, 06/01/2038 |
1,970,000 | 2,431,926 | ||||||
| 5.00%, 06/01/2044 |
1,085,000 | 1,317,993 | ||||||
| Hospitals & Higher Education Facilities Authority of Philadelphia |
||||||||
| 5.00%, 07/01/2021 |
275,000 | 287,749 | ||||||
| 5.00%, 07/01/2023 |
325,000 | 358,378 | ||||||
| 5.00%, 07/01/2030 |
780,000 | 914,870 | ||||||
| 5.00%, 07/01/2034 |
2,000,000 | 2,322,180 | ||||||
| Lancaster City Parking Authority |
||||||||
| 4.00%, 09/01/2035 |
1,100,000 | 1,222,221 | ||||||
| Lancaster County Hospital Authority/PA |
||||||||
| 5.00%, 07/01/2023 |
775,000 | 831,916 | ||||||
| 5.00%, 07/01/2031 |
450,000 | 495,405 | ||||||
| 5.00%, 12/01/2032 |
250,000 | 272,412 | ||||||
| 5.00%, 12/01/2037 |
820,000 | 874,284 | ||||||
| 5.00%, 07/01/2045 |
1,970,000 | 2,125,728 | ||||||
| 5.00%, 12/01/2047 |
2,010,000 | 2,091,928 |
| Lehigh County Industrial Development Authority |
||||||||
| 1.80%, 02/15/2027(1) |
1,000,000 | 1,010,970 | ||||||
| 1.80%, 09/01/2029(1) |
1,925,000 | 1,937,897 | ||||||
| Luzerne County Industrial Development Authority |
||||||||
| 5.00%, 12/15/2027 |
1,000,000 | 1,163,990 | ||||||
| Montgomery County Higher Education & Health Authority |
||||||||
| 5.00%, 09/01/2023 |
460,000 | 520,472 | ||||||
| 5.00%, 10/01/2023 |
50,000 | 55,018 | ||||||
| 5.00%, 09/01/2024 |
410,000 | 476,654 | ||||||
| 5.00%, 10/01/2028 |
1,000,000 | 1,149,370 | ||||||
| 5.00%, 09/01/2032 |
1,000,000 | 1,247,800 | ||||||
| 5.00%, 09/01/2033 |
305,000 | 379,213 | ||||||
| 5.00%, 10/01/2036 |
1,320,000 | 1,480,499 | ||||||
| 5.00%, 10/01/2040 |
1,595,000 | 1,767,276 | ||||||
| Montgomery County Industrial Development Authority/PA |
||||||||
| 5.25%, 01/15/2036 |
2,500,000 | 2,819,700 | ||||||
| 5.25%, 01/01/2040 |
1,510,000 | 1,587,010 | ||||||
| 5.38%, 01/01/2050 |
500,000 | 524,615 | ||||||
| North Allegheny School District |
||||||||
| 4.00%, 05/01/2035 |
1,000,000 | 1,147,430 | ||||||
| 4.00%, 05/01/2036 |
705,000 | 806,414 | ||||||
| Northampton County General Purpose Authority |
||||||||
| 5.00%, 08/15/2036 |
455,000 | 529,383 | ||||||
| 2.24% (1 Month LIBOR USD + 1.04%), 08/15/2048(2) |
1,625,000 | 1,639,332 | ||||||
| 4.00%, 08/15/2048 |
470,000 | 500,498 | ||||||
| Pennsylvania Economic Development Financing Authority |
||||||||
| 2.15%, 11/01/2021(1) |
2,405,000 | 2,431,744 | ||||||
| 1.70%, 08/01/2037(1) |
1,000,000 | 1,001,270 | ||||||
| 1.75%, 08/01/2038(1) |
10,000,000 | 9,938,700 | ||||||
| 3.25%, 08/01/2039(3) |
625,000 | 625,256 | ||||||
| Pennsylvania Higher Educational Facilities Authority |
||||||||
| 5.00%, 06/15/2022 |
2,000,000 | 2,179,300 | ||||||
| 5.00%, 06/15/2024 |
3,005,000 | 3,482,675 | ||||||
| 5.00%, 06/15/2025 |
1,855,000 | 2,200,865 | ||||||
| 5.00%, 08/15/2029 |
1,600,000 | 1,982,752 | ||||||
| Pennsylvania State University |
||||||||
| 5.00%, 09/01/2020 |
2,440,000 | 2,503,123 | ||||||
| 5.00%, 09/01/2021 |
1,400,000 | 1,490,566 | ||||||
| 5.00%, 09/01/2022 |
2,295,000 | 2,530,857 | ||||||
| Pennsylvania Turnpike Commission |
||||||||
| 5.00%, 06/01/2028 |
2,000,000 | 2,395,300 | ||||||
| 5.00%, 06/01/2032 |
2,000,000 | 2,406,060 | ||||||
| 5.00%, 06/01/2033 |
3,155,000 | 3,786,126 | ||||||
| 5.00%, 12/01/2034 |
1,000,000 | 1,220,680 | ||||||
| Philadelphia Authority for Industrial Development |
||||||||
| 5.00%, 07/01/2031 |
205,000 | 231,308 | ||||||
| 5.00%, 07/01/2032 |
600,000 | 675,288 | ||||||
| 5.00%, 07/01/2037 |
150,000 | 167,231 | ||||||
| 5.00%, 06/15/2039 |
500,000 | 530,380 | ||||||
| 5.00%, 06/15/2050 |
1,375,000 | 1,437,301 | ||||||
| Philadelphia Gas Works Co. |
||||||||
| 5.00%, 08/01/2022 |
750,000 | 820,680 | ||||||
| Pittsburgh Water & Sewer Authority |
||||||||
| 5.00%, 09/01/2038 |
1,000,000 | 1,239,210 | ||||||
| Reading School District |
||||||||
| 5.00%, 02/01/2020 |
1,000,000 | 1,002,810 | ||||||
| 5.00%, 02/01/2020 |
1,000,000 | 1,002,810 | ||||||
| 5.00%, 02/01/2021 |
1,000,000 | 1,038,580 | ||||||
| 5.00%, 02/01/2022 |
1,920,000 | 2,061,792 | ||||||
| 5.00%, 03/01/2035 |
1,100,000 | 1,305,183 |
| 5.00%, 03/01/2036 |
1,250,000 | 1,479,513 | ||||||
| Redevelopment Authority of the City of Philadelphia |
||||||||
| 5.00%, 04/15/2023 |
1,335,000 | 1,461,184 | ||||||
| School District of Philadelphia |
||||||||
| 4.00%, 03/31/2020 |
23,510,000 | 23,677,391 | ||||||
| 5.25%, 09/01/2023 |
1,750,000 | 1,796,743 | ||||||
| 5.00%, 09/01/2026 |
1,580,000 | 1,904,785 | ||||||
| 5.00%, 09/01/2029 |
1,500,000 | 1,893,750 | ||||||
| 5.00%, 09/01/2030 |
15,000 | 18,498 | ||||||
| 5.00%, 09/01/2030 |
3,985,000 | 4,712,860 | ||||||
| 5.00%, 09/01/2031 |
1,000,000 | 1,179,200 | ||||||
| 5.00%, 09/01/2031 |
1,200,000 | 1,465,476 | ||||||
| 5.00%, 09/01/2032 |
1,200,000 | 1,460,868 | ||||||
| 5.00%, 09/01/2032 |
2,200,000 | 2,725,646 | ||||||
| 5.00%, 09/01/2033 |
960,000 | 1,199,280 | ||||||
| Scranton School District/PA |
||||||||
| 5.00%, 06/01/2033 |
530,000 | 642,752 | ||||||
| 5.00%, 06/01/2035 |
515,000 | 621,523 | ||||||
| Southeastern Pennsylvania Transportation Authority |
||||||||
| 5.00%, 03/01/2026 |
875,000 | 1,060,010 | ||||||
| St Mary Hospital Authority |
||||||||
| 5.00%, 11/15/2022 |
1,900,000 | 2,098,189 | ||||||
| State Public School Building Authority |
||||||||
| 4.00%, 12/01/2020 |
1,590,000 | 1,628,748 | ||||||
| 5.00%, 12/01/2022 |
7,370,000 | 8,119,382 | ||||||
| 5.00%, 04/01/2023 |
2,500,000 | 2,715,525 | ||||||
| 5.00%, 06/15/2025 |
3,000,000 | 3,535,230 | ||||||
| 5.00%, 06/01/2026 |
180,000 | 210,553 | ||||||
| 5.00%, 06/01/2029 |
500,000 | 627,580 | ||||||
| 5.25%, 09/15/2030 |
1,000,000 | 1,223,250 | ||||||
| 5.00%, 12/01/2032 |
3,060,000 | 3,585,616 | ||||||
| Susquehanna Area Regional Airport Authority |
||||||||
| 5.00%, 01/01/2035 |
1,000,000 | 1,158,460 | ||||||
| 5.00%, 01/01/2038 |
2,125,000 | 2,439,755 | ||||||
| Upper Merion Area School District/PA |
||||||||
| 5.00%, 01/15/2030 |
600,000 | 720,492 | ||||||
| York County School of Technology Authority |
||||||||
| 5.00%, 02/15/2023 |
1,200,000 | 1,333,788 | ||||||
| 5.00%, 02/15/2028 |
400,000 | 459,532 | ||||||
|
|
|
|||||||
| Total Pennsylvania |
|
298,398,091 | ||||||
|
|
|
|||||||
| Puerto Rico – 0.73% |
||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority |
||||||||
| 4.00%, 07/01/2022 |
10,000 | 10,152 | ||||||
| 5.00%, 07/01/2022 |
300,000 | 314,700 | ||||||
| 6.13%, 07/01/2024 |
280,000 | 300,300 | ||||||
| 5.00%, 07/01/2030 |
260,000 | 269,815 | ||||||
| 5.00%, 07/01/2033 |
1,520,000 | 1,573,580 | ||||||
| 5.13%, 07/01/2037 |
1,770,000 | 1,836,817 | ||||||
| 5.75%, 07/01/2037 |
2,000,000 | 2,110,500 | ||||||
| 5.25%, 07/01/2042 |
2,990,000 | 3,110,347 | ||||||
| 6.00%, 07/01/2044 |
2,000,000 | 2,035,000 | ||||||
| 5.13%, 07/01/2047 |
1,000,000 | 1,029,390 | ||||||
| Puerto Rico Electric Power Authority |
||||||||
| 5.25%, 07/01/2023(4) |
3,495,000 | 2,656,200 | ||||||
| 5.00%, 07/01/2024(4) |
340,000 | 257,550 | ||||||
| 5.25%, 07/01/2024(4) |
25,000 | 19,000 | ||||||
| 5.00%, 07/01/2026(4) |
30,000 | 22,725 | ||||||
| 5.25%, 07/01/2026(4) |
555,000 | 421,800 | ||||||
| 5.00%, 07/01/2027(4) |
25,000 | 18,938 | ||||||
| 5.00%, 07/01/2027(4) |
15,000 | 11,363 | ||||||
| 5.25%, 07/01/2027(4) |
650,000 | 494,000 | ||||||
| 5.25%, 07/01/2027(4) |
30,000 | 22,800 | ||||||
| 5.00%, 07/01/2028(4) |
30,000 | 22,725 | ||||||
| 5.00%, 07/01/2028(4) |
50,000 | 37,875 | ||||||
| 5.25%, 07/01/2028(4) |
60,000 | 45,600 | ||||||
| 7.25%, 07/01/2030(4) |
265,000 | 209,019 | ||||||
| 5.00%, 07/01/2032(4) |
50,000 | 37,875 | ||||||
| 5.25%, 07/01/2033(4) |
95,000 | 72,200 | ||||||
| 5.75%, 07/01/2036(4) |
1,300,000 | 994,500 | ||||||
| 6.75%, 07/01/2036(4) |
1,560,000 | 1,214,850 | ||||||
| 5.00%, 07/01/2037(4) |
1,565,000 | 1,185,488 | ||||||
| 5.25%, 07/01/2040(4) |
70,000 | 53,200 | ||||||
| 5.05%, 07/01/2042(4) |
120,000 | 90,900 | ||||||
| 3.70%, 07/01/2050(4) |
20,000 | 14,250 | ||||||
| 5.25%, 07/01/2050(4) |
270,000 | 199,463 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
||||||||
| 0.00%, 07/01/2024 |
10,724,000 | 9,412,455 | ||||||
| 0.00%, 07/01/2024 |
2,400,000 | 2,106,480 | ||||||
| 0.00%, 07/01/2027 |
407,000 | 324,985 | ||||||
| 0.00%, 07/01/2027 |
2,061,000 | 1,645,688 | ||||||
| 0.00%, 07/01/2029 |
1,569,000 | 1,164,261 | ||||||
| 0.00%, 07/01/2031 |
3,300,000 | 2,265,681 | ||||||
| 0.00%, 07/01/2033 |
2,023,000 | 1,286,992 | ||||||
| 4.50%, 07/01/2034 |
2,582,000 | 2,755,175 | ||||||
| 5.00%, 07/01/2058 |
4,600,000 | 4,880,738 | ||||||
|
|
|
|||||||
| Total Puerto Rico |
|
46,535,377 | ||||||
|
|
|
|||||||
| Rhode Island – 0.18% |
||||||||
| Providence Redevelopment Agency |
||||||||
| 5.00%, 04/01/2028 |
1,200,000 | 1,352,352 | ||||||
| Rhode Island Commerce Corp. |
||||||||
| 5.00%, 06/15/2020 |
3,000,000 | 3,051,270 | ||||||
| Rhode Island Health & Educational Building Corp. |
||||||||
| 5.00%, 09/01/2031 |
710,000 | 810,202 | ||||||
| 5.00%, 09/01/2036 |
100,000 | 112,881 | ||||||
| 5.00%, 05/15/2039 |
700,000 | 799,834 | ||||||
| Rhode Island Housing & Mortgage Finance Corp./RI |
||||||||
| 4.00%, 10/01/2049 |
610,000 | 670,512 | ||||||
| Rhode Island Student Loan Authority |
||||||||
| 5.00%, 12/01/2024 |
600,000 | 692,538 | ||||||
| 5.00%, 12/01/2025 |
750,000 | 883,148 | ||||||
| 5.00%, 12/01/2026 |
1,000,000 | 1,197,160 | ||||||
| 5.00%, 12/01/2027 |
800,000 | 971,216 | ||||||
| 3.50%, 12/01/2034 |
605,000 | 633,526 | ||||||
|
|
|
|||||||
| Total Rhode Island |
|
11,174,639 | ||||||
|
|
|
|||||||
| South Carolina – 1.29% |
||||||||
| Aiken County Consolidated School District/SC |
||||||||
| 4.00%, 04/01/2034 |
2,415,000 | 2,798,647 | ||||||
| Connector 2000 Association, Inc. |
||||||||
| 0.00%, 07/22/2051 |
20,000,000 | 2,162,800 | ||||||
| Lancaster County School District/SC |
||||||||
| 5.00%, 03/01/2023 |
445,000 | 498,525 | ||||||
| Lexington County Health Services District, Inc. |
||||||||
| 5.00%, 11/01/2022 |
250,000 | 275,878 | ||||||
| 5.00%, 11/01/2023 |
300,000 | 341,133 | ||||||
| 5.00%, 11/01/2024 |
780,000 | 911,820 | ||||||
| Patriots Energy Group Financing Agency |
||||||||
| 4.00%, 10/01/2048(1) |
31,410,000 | 34,241,297 | ||||||
| Scago Educational Facilities Corp. for Sumter County School 17 |
||||||||
| 4.00%, 12/01/2021 |
1,895,000 | 1,978,418 | ||||||
| Scago Educational Facilities Corp. for Union School District |
||||||||
| 5.00%, 12/01/2023 |
1,060,000 | 1,198,796 | ||||||
| South Carolina Jobs-Economic Development Authority |
||||||||
| 5.00%, 11/01/2028 |
700,000 | 774,760 | ||||||
| 6.00%, 02/01/2035(3) |
525,000 | 560,322 | ||||||
| 5.00%, 05/01/2037 |
500,000 | 539,505 | ||||||
| 5.00%, 05/01/2042 |
500,000 | 535,880 | ||||||
| 5.00%, 05/01/2043 |
4,675,000 | 5,481,110 | ||||||
| 6.25%, 02/01/2045(3) |
995,000 | 1,061,247 | ||||||
| 5.00%, 04/01/2047 |
2,000,000 | 2,166,800 | ||||||
| 5.00%, 04/01/2052 |
1,750,000 | 1,891,575 | ||||||
| South Carolina Ports Authority |
||||||||
| 5.00%, 07/01/2026 |
1,940,000 | 2,334,906 | ||||||
| 5.00%, 07/01/2027 |
3,120,000 | 3,825,151 | ||||||
| 5.00%, 07/01/2028 |
1,100,000 | 1,369,720 | ||||||
| South Carolina Public Service Authority |
||||||||
| 5.00%, 12/01/2022 |
1,185,000 | 1,309,425 | ||||||
| 5.00%, 12/01/2032 |
1,500,000 | 1,772,700 | ||||||
| 5.00%, 12/01/2035 |
1,500,000 | 1,777,050 | ||||||
| 5.00%, 12/01/2041 |
3,000,000 | 3,504,990 | ||||||
| 5.75%, 12/01/2043 |
2,000,000 | 2,350,000 | ||||||
| 5.00%, 12/01/2049 |
1,900,000 | 2,105,485 | ||||||
| 5.00%, 12/01/2050 |
2,665,000 | 3,002,895 | ||||||
| South Carolina State Housing Finance & Development Authority |
||||||||
| 4.00%, 01/01/2050 |
920,000 | 1,019,250 | ||||||
| South Carolina Transportation Infrastructure Bank |
||||||||
| 5.00%, 10/01/2025 |
305,000 | 368,230 | ||||||
|
|
|
|||||||
| Total South Carolina |
|
82,158,315 | ||||||
|
|
|
|||||||
| South Dakota – 0.12% |
||||||||
| City of Sioux Falls SD |
||||||||
| 5.00%, 11/01/2042 |
750,000 | 790,717 | ||||||
| South Dakota Health & Educational Facilities Authority |
||||||||
| 5.00%, 11/01/2029 |
800,000 | 940,512 | ||||||
| 5.00%, 11/01/2030 |
1,000,000 | 1,170,570 | ||||||
| 5.00%, 07/01/2033(1) |
2,630,000 | 3,009,851 | ||||||
| 5.00%, 11/01/2042 |
145,000 | 156,309 | ||||||
| 5.00%, 11/01/2045 |
1,500,000 | 1,697,550 | ||||||
|
|
|
|||||||
| Total South Dakota |
|
7,765,509 | ||||||
|
|
|
|||||||
| Tennessee – 1.49% |
||||||||
| Blount County Health & Educational Facilities Board |
||||||||
| 5.00%, 01/01/2037 |
1,240,000 | 1,291,956 | ||||||
| Chattanooga Health Educational & Housing Facility Board |
||||||||
| 5.00%, 10/01/2021 |
1,000,000 | 1,058,770 | ||||||
| 5.00%, 10/01/2022 |
325,000 | 353,798 | ||||||
| 5.00%, 10/01/2030 |
500,000 | 570,560 | ||||||
| 5.00%, 10/01/2032 |
1,215,000 | 1,380,046 | ||||||
| 5.00%, 10/01/2035 |
2,260,000 | 2,553,213 | ||||||
| Greeneville Health & Educational Facilities Board |
||||||||
| 5.00%, 07/01/2025 |
1,850,000 | 2,071,260 | ||||||
| 5.00%, 07/01/2035 |
1,275,000 | 1,526,609 | ||||||
| Johnson City Health & Educational Facilities Board |
||||||||
| 5.00%, 08/15/2042 |
2,000,000 | 2,146,780 | ||||||
| Knox County Health Educational & Housing Facility Board |
||||||||
| 5.00%, 04/01/2023 |
1,825,000 | 2,007,664 | ||||||
| 5.00%, 04/01/2024 |
1,000,000 | 1,126,870 | ||||||
| 5.00%, 04/01/2027 |
1,740,000 | 2,079,961 | ||||||
| Lewisburg Industrial Development Board |
||||||||
| 1.45%, 07/02/2035(1) |
1,000,000 | 999,990 | ||||||
| Memphis-Shelby County Industrial Development Board |
||||||||
| 4.75%, 07/01/2027 |
200,000 | 220,932 | ||||||
| 5.50%, 07/01/2037 |
600,000 | 673,878 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd |
||||||||
| 1.88%, 07/01/2021(1) |
2,400,000 | 2,403,816 | ||||||
| Nashville Metropolitan Development & Housing Agency |
||||||||
| 4.50%, 06/01/2028(3) |
1,050,000 | 1,141,109 | ||||||
| 5.13%, 06/01/2036(3) |
3,290,000 | 3,676,509 | ||||||
| Public Building Authority of Blount County Tennessee |
||||||||
| 0.60%, 06/01/2034(1) |
3,360,000 | 3,360,000 | ||||||
| Shelby County Health Educational & Housing Facilities Board |
||||||||
| 5.00%, 09/01/2037(3) |
1,590,000 | 1,546,275 | ||||||
| Tennergy Corp. |
||||||||
| 5.00%, 02/01/2050(1) |
11,590,000 | 13,325,834 | ||||||
| Tennessee Energy Acquisition Corp. |
||||||||
| 5.00%, 02/01/2027 |
2,725,000 | 3,240,352 | ||||||
| 4.00%, 05/01/2048(1) |
8,885,000 | 9,510,415 | ||||||
| 4.00%, 11/01/2049(1) |
7,070,000 | 7,858,446 | ||||||
| Tennessee State School Bond Authority |
||||||||
| 5.00%, 11/01/2040 |
25,000,000 | 29,325,750 | ||||||
|
|
|
|||||||
| Total Tennessee |
|
95,450,793 | ||||||
|
|
|
|||||||
| Texas – 11.63% |
||||||||
| Alamito Public Facility Corp. |
||||||||
| 2.25%, 06/01/2021(1) |
3,000,000 | 3,009,900 | ||||||
| 2.50%, 11/01/2021(1) |
15,000,000 | 15,188,100 | ||||||
| 1.95%, 04/01/2036(1) |
7,000,000 | 7,011,620 | ||||||
| 1.51%, 05/01/2037(1) |
5,000,000 | 5,007,000 | ||||||
| Alamo Community College District |
||||||||
| 4.00%, 02/15/2021 |
715,000 | 738,266 | ||||||
| 3.00%, 08/15/2021 |
7,695,000 | 7,933,622 | ||||||
| 4.00%, 02/15/2022 |
665,000 | 704,920 | ||||||
| 4.00%, 02/15/2023 |
1,000,000 | 1,087,150 | ||||||
| Austin Community College District Public Facility Corp. |
||||||||
| 5.00%, 08/01/2024 |
430,000 | 501,027 | ||||||
| 5.00%, 08/01/2028 |
310,000 | 386,155 | ||||||
| 5.00%, 08/01/2031 |
565,000 | 694,814 | ||||||
| 5.00%, 08/01/2031 |
300,000 | 368,928 | ||||||
| Austin Convention Enterprises, Inc. |
||||||||
| 5.00%, 01/01/2023 |
250,000 | 272,137 | ||||||
| 5.00%, 01/01/2025 |
150,000 | 169,959 | ||||||
| 5.00%, 01/01/2028 |
400,000 | 473,088 | ||||||
| 5.00%, 01/01/2029 |
425,000 | 498,440 | ||||||
| 5.00%, 01/01/2030 |
720,000 | 826,762 | ||||||
| 5.00%, 01/01/2032 |
1,700,000 | 1,981,197 | ||||||
| 5.00%, 01/01/2034 |
730,000 | 829,813 | ||||||
| Austin-Bergstrom Landhost Enterprises, Inc. |
||||||||
| 5.00%, 10/01/2023 |
1,425,000 | 1,603,552 | ||||||
| 5.00%, 10/01/2025 |
1,780,000 | 2,106,701 | ||||||
| 5.00%, 10/01/2026 |
1,400,000 | 1,691,592 | ||||||
| 5.00%, 10/01/2028 |
1,925,000 | 2,357,047 | ||||||
| 5.00%, 10/01/2030 |
2,175,000 | 2,634,316 | ||||||
| 5.00%, 10/01/2033 |
2,000,000 | 2,400,820 | ||||||
| 5.00%, 10/01/2034 |
2,000,000 | 2,395,520 | ||||||
| 5.00%, 10/01/2036 |
1,000,000 | 1,191,690 | ||||||
| Baytown Area Water Authority |
||||||||
| 5.00%, 05/01/2023 |
1,000,000 | 1,122,850 | ||||||
| 5.00%, 05/01/2024 |
1,000,000 | 1,155,300 | ||||||
| 5.00%, 05/01/2025 |
1,000,000 | 1,185,660 | ||||||
| Board of Managers Joint Guadalupe County-City of Seguin Hospital |
||||||||
| 5.25%, 12/01/2035 |
525,000 | 579,164 | ||||||
| 5.00%, 12/01/2045 |
290,000 | 309,769 | ||||||
| Central Texas Regional Mobility Authority |
||||||||
| 4.00%, 01/01/2022 |
5,000,000 | 5,187,050 | ||||||
| 5.00%, 01/01/2022 |
500,000 | 536,000 | ||||||
| 5.00%, 01/01/2024 |
175,000 | 199,322 | ||||||
| 5.00%, 01/01/2025 |
225,000 | 263,538 | ||||||
| 5.00%, 01/01/2028 |
300,000 | 357,321 | ||||||
| 5.75%, 01/01/2031 |
2,210,000 | 2,310,223 | ||||||
| 5.00%, 01/01/2034 |
1,475,000 | 1,713,212 | ||||||
| 5.00%, 01/01/2040 |
2,250,000 | 2,604,825 | ||||||
| 6.00%, 01/01/2041 |
2,925,000 | 3,064,581 | ||||||
| 5.00%, 01/01/2042 |
1,335,000 | 1,448,008 | ||||||
| 5.00%, 01/01/2046 |
1,600,000 | 1,839,024 | ||||||
| Central Texas Turnpike System |
||||||||
| 5.00%, 08/15/2037 |
2,500,000 | 2,837,500 | ||||||
| 5.00%, 08/15/2042 |
1,400,000 | 1,581,902 | ||||||
| City of Arlington TX |
||||||||
| 5.00%, 02/15/2045 |
530,000 | 547,999 | ||||||
| City of Austin TX |
||||||||
| 5.00%, 09/01/2033 |
2,920,000 | 3,473,749 | ||||||
| City of Austin TX Airport System Revenue |
||||||||
| 5.00%, 11/15/2026 |
1,140,000 | 1,389,022 | ||||||
| 5.00%, 11/15/2044 |
255,000 | 288,267 | ||||||
| City of Dallas TX |
||||||||
| 5.00%, 02/15/2023 |
1,000,000 | 1,081,110 | ||||||
| 5.00%, 02/15/2024 |
1,055,000 | 1,211,752 | ||||||
| City of Dallas TX Waterworks & Sewer System Revenue |
||||||||
| 5.00%, 10/01/2027 |
530,000 | 635,157 | ||||||
| 5.00%, 10/01/2031 |
800,000 | 969,480 | ||||||
| City of El Paso TX |
||||||||
| 5.00%, 08/15/2025 |
2,245,000 | 2,671,887 | ||||||
| City of Fort Worth TX |
||||||||
| 5.00%, 03/01/2023 |
1,000,000 | 1,119,280 | ||||||
| City of Garland TX Water & Sewer System Revenue |
||||||||
| 5.00%, 03/01/2028 |
700,000 | 864,038 | ||||||
| City of Houston TX |
||||||||
| 5.00%, 03/01/2023 |
1,975,000 | 2,209,275 | ||||||
| 5.00%, 03/01/2025 |
750,000 | 887,085 | ||||||
| 5.00%, 03/01/2029 |
1,000,000 | 1,226,710 | ||||||
| City of Houston TX Airport System Revenue |
||||||||
| 4.75%, 07/01/2024 |
2,000,000 | 2,169,460 | ||||||
| 5.00%, 07/01/2027 |
3,000,000 | 3,752,040 | ||||||
| 5.00%, 07/01/2029 |
1,000,000 | 1,242,440 | ||||||
| 5.00%, 07/01/2031 |
1,750,000 | 2,146,620 | ||||||
| 5.00%, 07/01/2032 |
1,750,000 | 2,138,623 | ||||||
| City of Houston TX Combined Utility System Revenue |
||||||||
| 5.00%, 11/15/2022 |
200,000 | 221,700 | ||||||
| 5.00%, 11/15/2023 |
225,000 | 257,427 | ||||||
| 5.00%, 05/15/2028 |
410,000 | 472,558 | ||||||
| 5.00%, 11/15/2030 |
2,005,000 | 2,549,819 | ||||||
| 5.00%, 11/15/2033 |
6,220,000 | 6,672,878 | ||||||
| 5.00%, 11/15/2033 |
1,325,000 | 1,421,473 | ||||||
| 5.00%, 11/15/2033 |
400,000 | 483,540 | ||||||
| City of Houston TX Hotel Occupancy Tax & Special Revenue |
||||||||
| 5.00%, 09/01/2036 |
2,100,000 | 2,568,447 | ||||||
| City of San Antonio TX |
||||||||
| 5.00%, 08/01/2036 |
5,000,000 | 6,235,550 | ||||||
| City of San Antonio TX Airport System |
||||||||
| 5.00%, 07/01/2027 |
2,000,000 | 2,458,320 | ||||||
| 5.00%, 07/01/2028 |
1,750,000 | 2,177,543 | ||||||
| City of San Antonio TX Electric & Gas Systems Revenue |
||||||||
| 5.00%, 02/01/2023 |
4,000,000 | 4,468,960 | ||||||
| 5.00%, 02/01/2030 |
1,000,000 | 1,245,060 |
| 2.00%, 02/01/2033(1) |
1,115,000 | 1,125,091 | ||||||
| 3.00%, 12/01/2045(1) |
5,150,000 | 5,231,370 | ||||||
| City of Waco TX |
||||||||
| 5.00%, 02/01/2025 |
1,710,000 | 1,962,738 | ||||||
| Clifton Higher Education Finance Corp. |
||||||||
| 6.13%, 08/15/2048 |
2,250,000 | 2,537,460 | ||||||
| Coppell Independent School District |
||||||||
| 4.00%, 08/15/2021 |
3,250,000 | 3,401,645 | ||||||
| 5.00%, 08/15/2033 |
2,955,000 | 3,709,234 | ||||||
| 4.00%, 08/15/2034 |
2,310,000 | 2,663,499 | ||||||
| 4.00%, 08/15/2036 |
2,580,000 | 2,957,918 | ||||||
| County of Bexar TX |
||||||||
| 4.00%, 06/15/2032 |
2,000,000 | 2,222,320 | ||||||
| County of Comal TX |
||||||||
| 4.00%, 02/01/2023 |
1,000,000 | 1,082,330 | ||||||
| County of Dallas TX |
||||||||
| 5.00%, 08/15/2024 |
1,400,000 | 1,639,260 | ||||||
| County of El Paso TX |
||||||||
| 5.00%, 02/15/2029 |
1,500,000 | 1,851,060 | ||||||
| 5.00%, 02/15/2031 |
1,280,000 | 1,521,805 | ||||||
| County of Travis TX |
||||||||
| 5.00%, 03/01/2038 |
12,555,000 | 15,698,270 | ||||||
| County of Williamson TX |
||||||||
| 5.00%, 02/15/2021 |
1,000,000 | 1,043,610 | ||||||
| Cypress-Fairbanks Independent School District |
||||||||
| 5.00%, 02/15/2027 |
470,000 | 569,090 | ||||||
| 1.25%, 02/15/2036(1) |
1,190,000 | 1,188,108 | ||||||
| 1.25%, 02/15/2036(1) |
390,000 | 389,380 | ||||||
| 1.40%, 02/15/2040(1) |
1,000,000 | 1,000,610 | ||||||
| 2.13%, 02/15/2040(1) |
10,000,000 | 10,134,900 | ||||||
| 1.40%, 02/15/2044(1) |
1,000,000 | 1,000,610 | ||||||
| 5.00%, 02/15/2044 |
585,000 | 661,998 | ||||||
| Dallas County Community College District |
||||||||
| 5.00%, 02/15/2022 |
7,665,000 | 8,279,963 | ||||||
| Dallas County Utility & Reclamation District |
||||||||
| 5.00%, 02/15/2024 |
1,125,000 | 1,288,260 | ||||||
| Dallas Independent School District |
||||||||
| 5.00%, 02/15/2023 |
3,855,000 | 4,309,890 | ||||||
| 5.00%, 02/15/2036(1) |
85,000 | 91,916 | ||||||
| 5.00%, 02/15/2036(1) |
1,045,000 | 1,128,882 | ||||||
| 5.00%, 02/15/2036(1) |
4,355,000 | 4,690,117 | ||||||
| Dallas Love Field |
||||||||
| 5.00%, 11/01/2035 |
1,000,000 | 1,177,980 | ||||||
| Dallas Performing Arts Cultural Facilities Corp. |
||||||||
| 1.73%, 09/01/2041(1) |
1,275,000 | 1,275,000 | ||||||
| Dallas/Fort Worth International Airport |
||||||||
| 5.00%, 11/01/2031 |
10,000,000 | 10,306,800 | ||||||
| 5.00%, 11/01/2032 |
7,200,000 | 7,418,520 | ||||||
| 5.00%, 11/01/2037 |
10,100,000 | 10,700,546 | ||||||
| 5.00%, 11/01/2038 |
3,110,000 | 3,294,361 | ||||||
| 5.00%, 11/01/2044 |
300,000 | 328,332 | ||||||
| Denton Independent School District |
||||||||
| 0.00%, 08/15/2025 |
500,000 | 459,975 | ||||||
| 2.00%, 08/01/2044(1) |
5,275,000 | 5,413,944 | ||||||
| El Paso County Hospital District |
||||||||
| 5.00%, 08/15/2027 |
1,260,000 | 1,373,942 | ||||||
| Fort Bend Independent School District |
||||||||
| 1.35%, 08/01/2042(1) |
490,000 | 490,137 | ||||||
| 1.50%, 08/01/2042(1) |
960,000 | 962,832 | ||||||
| Fort Worth Independent School District |
| 5.00%, 02/15/2022 |
450,000 | 486,792 | ||||||
| 5.00%, 02/15/2026 |
1,365,000 | 1,660,796 | ||||||
| Grand Parkway Transportation Corp. |
||||||||
| 5.00%, 02/01/2023 |
1,580,000 | 1,752,046 | ||||||
| 5.00%, 10/01/2031 |
2,630,000 | 3,279,899 | ||||||
| 5.00%, 10/01/2033 |
1,205,000 | 1,494,610 | ||||||
| 5.00%, 10/01/2034 |
1,500,000 | 1,856,175 | ||||||
| 5.00%, 10/01/2052(1) |
9,610,000 | 10,881,595 | ||||||
| Gregg County Health Facilities Development Corp. |
||||||||
| 4.50%, 07/01/2032 |
635,000 | 686,346 | ||||||
| 5.00%, 07/01/2032 |
2,595,000 | 2,836,620 | ||||||
| 5.00%, 07/01/2042 |
25,000 | 27,328 | ||||||
| Gulf Coast Authority |
||||||||
| 2.15%, 05/01/2028(1) |
4,000,000 | 4,008,680 | ||||||
| Harlandale Independent School District |
||||||||
| 5.00%, 08/01/2030 |
1,305,000 | 1,580,459 | ||||||
| Harris County Cultural Education Facilities Finance Corp. |
||||||||
| 5.00%, 06/01/2021 |
1,100,000 | 1,149,357 | ||||||
| 5.00%, 01/01/2043 |
180,000 | 188,708 | ||||||
| 5.00%, 07/01/2049(1) |
1,290,000 | 1,424,302 | ||||||
| 5.00%, 07/01/2049(1) |
1,480,000 | 1,723,504 | ||||||
| 5.00%, 07/01/2049(1) |
5,000,000 | 6,088,800 | ||||||
| Hays Consolidated Independent School District |
||||||||
| 2.70%, 08/15/2042(1) |
2,900,000 | 3,001,674 | ||||||
| Houston Independent School District |
||||||||
| 3.00%, 02/15/2022 |
7,085,000 | 7,364,078 | ||||||
| 5.00%, 02/15/2030 |
1,000,000 | 1,201,740 | ||||||
| 2.40%, 06/01/2030(1) |
7,000,000 | 7,109,270 | ||||||
| 2.25%, 06/01/2039(1) |
5,000,000 | 5,127,800 | ||||||
| Irving Hospital Authority |
||||||||
| 5.00%, 10/15/2035 |
625,000 | 717,769 | ||||||
| Love Field Airport Modernization Corp. |
||||||||
| 5.00%, 11/01/2028 |
1,250,000 | 1,354,050 | ||||||
| 5.25%, 11/01/2040 |
3,015,000 | 3,105,601 | ||||||
| Lower Colorado River Authority |
||||||||
| 5.00%, 05/15/2020 |
1,070,000 | 1,085,130 | ||||||
| 5.00%, 05/15/2021 |
800,000 | 841,968 | ||||||
| 5.00%, 05/15/2022 |
1,025,000 | 1,114,554 | ||||||
| 5.00%, 05/15/2036 |
1,425,000 | 1,766,402 | ||||||
| 5.00%, 05/15/2037 |
1,500,000 | 1,800,510 | ||||||
| Midlothian Independent School District |
||||||||
| 2.00%, 08/01/2051(1) |
1,065,000 | 1,093,052 | ||||||
| 2.50%, 08/01/2052(1) |
8,280,000 | 8,336,966 | ||||||
| Mission Economic Development Corp. |
||||||||
| 2.50%, 08/01/2020 |
3,000,000 | 3,003,420 | ||||||
| 4.63%, 10/01/2031(3) |
4,055,000 | 4,383,414 | ||||||
| Montgomery County Toll Road Authority |
||||||||
| 5.00%, 09/15/2032 |
50,000 | 56,949 | ||||||
| 5.00%, 09/15/2033 |
55,000 | 62,471 | ||||||
| 5.00%, 09/15/2034 |
55,000 | 62,367 | ||||||
| 5.00%, 09/15/2035 |
55,000 | 62,214 | ||||||
| 5.00%, 09/15/2036 |
75,000 | 84,674 | ||||||
| 5.00%, 09/15/2038 |
125,000 | 140,479 | ||||||
| 5.00%, 09/15/2043 |
380,000 | 423,609 | ||||||
| 5.00%, 09/15/2048 |
1,070,000 | 1,187,486 | ||||||
| Nacogdoches Independent School District |
||||||||
| 5.00%, 02/15/2049 |
5,220,000 | 6,240,353 | ||||||
| New Hope Cultural Education Facilities Finance Corp. |
||||||||
| 5.00%, 08/15/2024 |
730,000 | 850,465 | ||||||
| 5.00%, 08/15/2026 |
200,000 | 244,536 |
| 5.00%, 08/15/2027 |
375,000 | 467,749 | ||||||
| 5.00%, 08/15/2030 |
3,500,000 | 4,299,750 | ||||||
| 5.00%, 04/01/2031 |
335,000 | 345,660 | ||||||
| 5.00%, 10/01/2031 |
160,000 | 178,546 | ||||||
| 5.00%, 11/01/2031 |
1,000,000 | 1,126,390 | ||||||
| 5.00%, 10/01/2034 |
185,000 | 204,891 | ||||||
| 5.00%, 07/01/2035 |
2,100,000 | 1,931,475 | ||||||
| 5.00%, 04/01/2036 |
355,000 | 362,029 | ||||||
| 5.00%, 10/01/2039 |
250,000 | 274,113 | ||||||
| 5.00%, 11/01/2040 |
1,100,000 | 1,219,394 | ||||||
| 5.00%, 07/01/2047 |
1,075,000 | 988,000 | ||||||
| 5.00%, 04/01/2048 |
1,250,000 | 1,255,888 | ||||||
| 5.25%, 10/01/2049 |
575,000 | 632,155 | ||||||
| 5.50%, 11/15/2052 |
250,000 | 264,615 | ||||||
| 5.00%, 07/01/2058 |
275,000 | 311,333 | ||||||
| Newark Higher Education Finance Corp. |
||||||||
| 5.00%, 04/01/2029 |
505,000 | 589,042 | ||||||
| North East Independent School District/TX |
||||||||
| 1.42%, 08/01/2040(1) |
460,000 | 460,014 | ||||||
| North Texas Municipal Water District |
||||||||
| 5.00%, 06/01/2027 |
1,025,000 | 1,287,052 | ||||||
| 5.00%, 06/01/2028 |
1,050,000 | 1,309,392 | ||||||
| 5.00%, 06/01/2029 |
600,000 | 744,846 | ||||||
| North Texas Tollway Authority |
||||||||
| 5.00%, 01/01/2023 |
235,000 | 261,470 | ||||||
| 5.00%, 01/01/2030 |
6,250,000 | 7,068,438 | ||||||
| 5.00%, 01/01/2030 |
75,000 | 88,850 | ||||||
| 5.00%, 01/01/2031 |
1,900,000 | 2,142,991 | ||||||
| 5.00%, 01/01/2031 |
500,000 | 593,140 | ||||||
| 5.00%, 01/01/2031 |
105,000 | 123,904 | ||||||
| 5.00%, 01/01/2031 |
1,100,000 | 1,358,555 | ||||||
| 5.00%, 01/01/2032 |
1,100,000 | 1,354,056 | ||||||
| 5.00%, 01/01/2033 |
3,150,000 | 3,635,730 | ||||||
| 5.00%, 01/01/2033 |
500,000 | 600,660 | ||||||
| 5.00%, 01/01/2033 |
1,250,000 | 1,531,863 | ||||||
| 5.00%, 01/01/2034 |
1,400,000 | 1,712,186 | ||||||
| 5.00%, 01/01/2035 |
1,500,000 | 1,828,950 | ||||||
| 5.00%, 01/01/2036 |
550,000 | 644,243 | ||||||
| 5.00%, 01/01/2039 |
170,000 | 197,790 | ||||||
| 5.00%, 01/01/2040 |
2,000,000 | 2,188,860 | ||||||
| 5.00%, 01/01/2043 |
3,600,000 | 4,307,112 | ||||||
| Northside Independent School District |
||||||||
| 2.75%, 08/01/2048(1) |
4,325,000 | 4,531,432 | ||||||
| 1.60%, 08/01/2049(1) |
14,745,000 | 14,807,371 | ||||||
| Old Spanish Trail-Alemda Corridors Redevelopment Authority |
||||||||
| 4.00%, 09/01/2033 |
1,360,000 | 1,542,730 | ||||||
| Pasadena Independent School District |
||||||||
| 5.00%, 02/15/2023 |
4,080,000 | 4,561,440 | ||||||
| 5.00%, 02/15/2024 |
3,590,000 | 4,142,142 | ||||||
| 5.00%, 02/15/2025 |
3,120,000 | 3,704,626 | ||||||
| 1.50%, 02/15/2044(1) |
4,295,000 | 4,317,033 | ||||||
| Permanent University Fund – University of Texas System |
||||||||
| 5.00%, 07/01/2029 |
235,000 | 286,101 | ||||||
| Pflugerville Independent School District |
||||||||
| 2.50%, 02/15/2039(1) |
7,500,000 | 7,800,900 | ||||||
| Plano Independent School District |
||||||||
| 5.00%, 02/15/2022 |
1,000,000 | 1,079,570 | ||||||
| Port of Arthur Navigation District Industrial Development Corp. |
||||||||
| 1.59%, 05/01/2040(1) |
9,000,000 | 9,000,000 | ||||||
| Port of Port Arthur Navigation District |
| 1.60%, 10/01/2024(1) |
4,000,000 | 4,000,000 | ||||||
| Prosper Independent School District |
||||||||
| 5.00%, 02/15/2040 |
1,000,000 | 1,241,910 | ||||||
| 5.00%, 02/15/2044 |
515,000 | 633,651 | ||||||
| 2.00%, 02/15/2050(1) |
11,000,000 | 11,242,330 | ||||||
| Rockwall Independent School District |
||||||||
| 0.00%, 02/15/2024 |
1,005,000 | 949,966 | ||||||
| San Antonio Water System |
||||||||
| 5.00%, 05/15/2032 |
3,000,000 | 3,349,470 | ||||||
| State of Texas |
||||||||
| 4.00%, 08/27/2020 |
55,000,000 | 56,026,850 | ||||||
| 4.00%, 08/01/2021 |
1,240,000 | 1,293,097 | ||||||
| 5.00%, 08/01/2025 |
2,035,000 | 2,303,620 | ||||||
| 5.00%, 08/01/2026 |
1,000,000 | 1,157,420 | ||||||
| 5.00%, 04/01/2027 |
5,000,000 | 6,082,500 | ||||||
| 1.85%, 08/01/2029(1) |
955,000 | 957,626 | ||||||
| 2.25%, 08/01/2029(1) |
4,295,000 | 4,318,623 | ||||||
| 5.00%, 10/01/2030 |
10,000,000 | 11,647,700 | ||||||
| 5.50%, 08/01/2032 |
1,000,000 | 1,224,220 | ||||||
| 4.00%, 10/01/2032 |
1,200,000 | 1,313,580 | ||||||
| 5.00%, 10/01/2036 |
800,000 | 980,712 | ||||||
| 5.00%, 04/01/2039 |
20,000,000 | 22,776,200 | ||||||
| 1.91% (SIFMA Municipal Swap Index Yield + 0.30%), 10/01/2041(2) |
10,000,000 | 10,000,900 | ||||||
| 5.00%, 04/01/2042 |
2,755,000 | 2,995,732 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp. |
||||||||
| 5.00%, 11/15/2022 |
300,000 | 326,685 | ||||||
| 5.00%, 07/01/2026 |
1,775,000 | 2,137,526 | ||||||
| 5.00%, 11/15/2035 |
1,015,000 | 1,067,557 | ||||||
| 5.00%, 11/15/2035 |
1,750,000 | 1,883,245 | ||||||
| 5.00%, 11/15/2040 |
1,800,000 | 1,919,376 | ||||||
| 5.00%, 11/15/2040 |
1,650,000 | 1,868,675 | ||||||
| 8.25%, 11/15/2044(4) |
500,000 | 485,000 | ||||||
| 5.00%, 11/15/2045 |
1,175,000 | 1,218,428 | ||||||
| 5.00%, 11/15/2046 |
1,615,000 | 1,814,259 | ||||||
| Texas A&M University |
||||||||
| 3.00%, 05/15/2028 |
2,300,000 | 2,493,223 | ||||||
| Texas Department of Housing & Community Affairs |
||||||||
| 2.95%, 07/01/2036 |
1,674,717 | 1,725,494 | ||||||
| 4.00%, 03/01/2050 |
1,770,000 | 1,974,948 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. I |
||||||||
| 5.25%, 12/15/2022 |
450,000 | 498,213 | ||||||
| 5.25%, 12/15/2025 |
3,000,000 | 3,590,670 | ||||||
| 6.25%, 12/15/2026 |
7,385,000 | 8,691,480 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. III |
||||||||
| 5.00%, 12/15/2029 |
5,000,000 | 5,465,300 | ||||||
| 5.00%, 12/15/2032 |
3,000,000 | 3,263,820 | ||||||
| Texas Municipal Power Agency |
||||||||
| 5.00%, 09/01/2028 |
2,280,000 | 2,334,857 | ||||||
| 5.00%, 09/01/2029 |
4,490,000 | 4,598,029 | ||||||
| 5.00%, 09/01/2033 |
920,000 | 941,519 | ||||||
| 5.00%, 09/01/2034 |
945,000 | 966,848 | ||||||
| 5.00%, 09/01/2035 |
1,200,000 | 1,228,200 | ||||||
| Texas Private Activity Bond Surface Transportation Corp. |
||||||||
| 5.00%, 12/31/2050 |
2,410,000 | 2,675,148 | ||||||
| 5.00%, 12/31/2055 |
2,755,000 | 3,050,143 | ||||||
| 5.00%, 06/30/2058 |
3,000,000 | 3,495,360 | ||||||
| Texas Public Finance Authority |
||||||||
| 5.00%, 02/01/2028 |
2,300,000 | 2,907,016 | ||||||
| 4.00%, 02/01/2033 |
3,200,000 | 3,707,616 | ||||||
| Texas State University System |
| 5.00%, 03/15/2026 |
800,000 | 970,016 | ||||||
| 5.00%, 03/15/2029 |
610,000 | 747,933 | ||||||
| 5.00%, 03/15/2032 |
1,325,000 | 1,606,602 | ||||||
| Texas Transportation Commission |
||||||||
| 0.00%, 08/01/2034 |
1,060,000 | 647,872 | ||||||
| 0.00%, 08/01/2037 |
725,000 | 370,337 | ||||||
| 0.00%, 08/01/2038 |
800,000 | 385,832 | ||||||
| 0.00%, 08/01/2039 |
710,000 | 324,072 | ||||||
| 0.00%, 08/01/2040 |
1,500,000 | 645,885 | ||||||
| 5.00%, 08/01/2057 |
2,930,000 | 3,408,293 | ||||||
| Texas Transportation Commission State Highway Fund |
||||||||
| 5.00%, 10/01/2023 |
5,020,000 | 5,729,677 | ||||||
| Texas Water Development Board |
||||||||
| 5.00%, 04/15/2030 |
7,000,000 | 8,920,380 | ||||||
| 5.00%, 10/15/2031 |
2,000,000 | 2,486,260 | ||||||
| 4.00%, 10/15/2032 |
2,000,000 | 2,311,880 | ||||||
| Travis County Health Facilities Development Corp. |
||||||||
| 7.00%, 11/01/2030 |
55,000 | 57,061 | ||||||
| University of Houston |
||||||||
| 5.00%, 02/15/2030 |
860,000 | 1,029,059 | ||||||
| University of Texas Revenues |
||||||||
| 4.00%, 08/15/2036 |
10,785,000 | 11,776,357 | ||||||
| University of Texas System |
||||||||
| 5.00%, 08/15/2021 |
505,000 | 536,719 | ||||||
| Uptown Development Authority |
||||||||
| 5.00%, 09/01/2033 |
715,000 | 818,775 | ||||||
| Viridian Municipal Management District |
||||||||
| 4.00%, 12/01/2029 |
520,000 | 570,289 | ||||||
| 4.00%, 12/01/2031 |
560,000 | 610,702 | ||||||
| 4.00%, 12/01/2032 |
580,000 | 630,385 | ||||||
| 4.00%, 12/01/2033 |
605,000 | 656,334 | ||||||
|
|
|
|||||||
| Total Texas |
|
742,879,314 | ||||||
|
|
|
|||||||
| Utah – 0.18% |
||||||||
| Salt Lake City Corp. Airport Revenue |
||||||||
| 5.00%, 07/01/2025 |
1,000,000 | 1,179,670 | ||||||
| 5.00%, 07/01/2026 |
1,700,000 | 2,046,052 | ||||||
| 5.00%, 07/01/2026 |
3,000,000 | 3,610,680 | ||||||
| 5.25%, 07/01/2048 |
3,000,000 | 3,599,220 | ||||||
| Utah Charter School Finance Authority |
||||||||
| 4.50%, 06/15/2027(3) |
1,000,000 | 1,047,010 | ||||||
|
|
|
|||||||
| Total Utah |
|
11,482,632 | ||||||
|
|
|
|||||||
| Vermont – 0.07% |
||||||||
| Vermont Educational & Health Buildings Financing Agency |
||||||||
| 5.00%, 10/15/2027 |
1,000,000 | 1,175,770 | ||||||
| 5.00%, 10/15/2029 |
890,000 | 1,039,654 | ||||||
| Vermont Student Assistance Corp. |
||||||||
| 5.00%, 06/15/2025 |
800,000 | 929,552 | ||||||
| 5.00%, 06/15/2026 |
500,000 | 591,815 | ||||||
| 5.00%, 06/15/2027 |
700,000 | 823,970 | ||||||
|
|
|
|||||||
| Total Vermont |
|
4,560,761 | ||||||
|
|
|
|||||||
| Virgin Islands – 0.05% |
||||||||
| Virgin Islands Public Finance Authority |
||||||||
| 5.00%, 10/01/2032 |
3,000,000 | 3,260,070 | ||||||
|
|
|
|||||||
| Total Virgin Islands |
|
3,260,070 | ||||||
|
|
|
|||||||
| Virginia – 1.51% |
||||||||
| Chesapeake Bay Bridge & Tunnel District |
||||||||
| 5.00%, 11/01/2023 |
7,700,000 | 8,727,950 | ||||||
| 5.00%, 07/01/2046 |
3,985,000 | 4,591,995 | ||||||
| 5.00%, 07/01/2051 |
1,095,000 | 1,259,086 | ||||||
| City of Norfolk VA Water Revenue |
||||||||
| 5.00%, 11/01/2022 |
1,645,000 | 1,825,473 | ||||||
| County of Botetourt VA |
||||||||
| 4.75%, 07/01/2023 |
80,000 | 83,122 | ||||||
| 6.00%, 07/01/2034 |
1,500,000 | 1,678,515 | ||||||
| County of Loudoun VA |
||||||||
| 5.00%, 12/01/2023 |
825,000 | 948,271 | ||||||
| Fairfax County Industrial Development Authority |
||||||||
| 5.00%, 05/15/2035 |
1,175,000 | 1,269,634 | ||||||
| 5.00%, 05/15/2044 |
975,000 | 1,088,812 | ||||||
| Franklin County Industrial Development Authority/VA |
||||||||
| 3.00%, 10/15/2023 |
2,000,000 | 2,025,220 | ||||||
| Fredericksburg Economic Development Authority |
||||||||
| 5.00%, 06/15/2031 |
500,000 | 569,405 | ||||||
| Hanover County Economic Development Authority |
||||||||
| 5.00%, 07/01/2042 |
1,000,000 | 1,034,560 | ||||||
| 5.00%, 07/01/2047 |
2,000,000 | 2,065,260 | ||||||
| Henrico County Economic Development Authority |
||||||||
| 5.00%, 12/01/2047 |
1,250,000 | 1,385,850 | ||||||
| Newport News Economic Development Authority |
||||||||
| 5.00%, 12/01/2038 |
1,000,000 | 1,085,560 | ||||||
| Norfolk Redevelopment & Housing Authority |
||||||||
| 4.00%, 01/01/2025 |
3,070,000 | 3,070,860 | ||||||
| 5.00%, 01/01/2046 |
240,000 | 254,784 | ||||||
| 5.00%, 01/01/2049 |
500,000 | 541,795 | ||||||
| Stafford County Economic Development Authority |
||||||||
| 5.00%, 06/15/2030 |
150,000 | 178,437 | ||||||
| 5.00%, 06/15/2033 |
150,000 | 176,556 | ||||||
| 5.00%, 06/15/2034 |
500,000 | 586,795 | ||||||
| 4.00%, 06/15/2037 |
50,000 | 53,549 | ||||||
| Tobacco Settlement Financing Corp./VA |
||||||||
| 0.00%, 06/01/2047 |
3,000,000 | 361,590 | ||||||
| Virginia College Building Authority |
||||||||
| 5.00%, 02/01/2023 |
700,000 | 782,747 | ||||||
| 5.00%, 09/01/2023 |
1,000,000 | 1,139,540 | ||||||
| 5.00%, 02/01/2024 |
2,475,000 | 2,854,393 | ||||||
| 5.00%, 02/01/2026 |
1,000,000 | 1,216,890 | ||||||
| 5.00%, 02/01/2030 |
1,500,000 | 1,885,170 | ||||||
| 5.00%, 07/01/2030(3) |
500,000 | 548,715 | ||||||
| 5.25%, 07/01/2035(3) |
1,000,000 | 1,096,200 | ||||||
| 5.00%, 07/01/2045(3) |
500,000 | 534,100 | ||||||
| 5.00%, 07/01/2045(3) |
1,000,000 | 1,068,200 | ||||||
| Virginia Commonwealth Transportation Board |
||||||||
| 5.00%, 09/15/2022 |
1,000,000 | 1,085,670 | ||||||
| 5.00%, 09/15/2023 |
2,500,000 | 2,851,400 | ||||||
| 5.00%, 05/15/2026 |
3,000,000 | 3,682,320 | ||||||
| Virginia Port Authority |
||||||||
| 5.00%, 07/01/2023 |
1,000,000 | 1,121,420 | ||||||
| Virginia Public Building Authority |
||||||||
| 5.00%, 08/01/2022 |
1,490,000 | 1,637,212 | ||||||
| 5.00%, 08/01/2022 |
1,050,000 | 1,153,740 | ||||||
| Virginia Public School Authority |
||||||||
| 5.00%, 08/01/2022 |
2,505,000 | 2,754,523 | ||||||
| 5.00%, 08/01/2022 |
3,275,000 | 3,604,727 | ||||||
| Virginia Small Business Financing Authority |
||||||||
| 5.00%, 07/01/2034 |
1,000,000 | 1,064,240 | ||||||
| 5.00%, 01/01/2040 |
3,540,000 | 3,756,648 | ||||||
| 5.00%, 01/01/2040 |
4,135,000 | 4,388,062 | ||||||
| 5.50%, 01/01/2042 |
6,590,000 | 7,141,781 | ||||||
| 5.00%, 01/01/2048(1)(3) |
500,000 | 530,210 | ||||||
| 5.00%, 07/01/2049 |
1,890,000 | 2,002,228 |
| 5.00%, 12/31/2049 |
500,000 | 570,610 | ||||||
| 5.00%, 12/31/2052 |
880,000 | 1,002,364 | ||||||
| 5.00%, 12/31/2056 |
4,455,000 | 5,058,430 | ||||||
| Wise County Industrial Development Authority |
||||||||
| 1.88%, 11/01/2040(1) |
6,700,000 | 6,715,410 | ||||||
| York County Economic Development Authority |
||||||||
| 1.90%, 05/01/2033(1) |
600,000 | 607,722 | ||||||
|
|
|
|||||||
| Total Virginia |
|
96,717,751 | ||||||
|
|
|
|||||||
| Washington – 2.64% |
||||||||
| Adams County Public Hospital District No 2 |
||||||||
| 5.13%, 12/01/2044 |
1,000,000 | 1,091,900 | ||||||
| Auburn School District No 408 of King & Pierce Counties |
||||||||
| 5.00%, 12/01/2033 |
2,000,000 | 2,471,760 | ||||||
| Central Puget Sound Regional Transit Authority |
||||||||
| 5.00%, 11/01/2035 |
960,000 | 1,136,813 | ||||||
| City of Kent WA |
||||||||
| 5.00%, 12/01/2027 |
695,000 | 850,061 | ||||||
| City of Seattle WA Municipal Light & Power Revenue |
||||||||
| 4.00%, 01/01/2032 |
3,385,000 | 3,892,208 | ||||||
| 2.10% (SIFMA Municipal Swap Index Yield + 0.49%), 11/01/2046(2) |
5,000,000 | 5,019,250 | ||||||
| City of Tacoma WA Electric System Revenue |
||||||||
| 5.00%, 01/01/2039 |
675,000 | 804,391 | ||||||
| City of Tacoma WA Solid Waste Utility Revenue |
||||||||
| 5.00%, 12/01/2031 |
460,000 | 547,451 | ||||||
| Clark County Public Utility District No 1 |
||||||||
| 5.00%, 01/01/2022 |
425,000 | 457,257 | ||||||
| 5.00%, 01/01/2023 |
750,000 | 834,480 | ||||||
| 5.00%, 01/01/2023 |
375,000 | 417,240 | ||||||
| 5.00%, 01/01/2024 |
395,000 | 453,543 | ||||||
| East Pierce Fire & Rescue |
||||||||
| 5.00%, 12/01/2029 |
635,000 | 810,819 | ||||||
| 5.00%, 12/01/2031 |
925,000 | 1,164,889 | ||||||
| Energy Northwest |
||||||||
| 4.00%, 07/01/2044 |
8,000,000 | 8,324,960 | ||||||
| King County Housing Authority |
||||||||
| 5.00%, 11/01/2027 |
1,000,000 | 1,245,100 | ||||||
| 5.00%, 11/01/2028 |
1,430,000 | 1,808,764 | ||||||
| 5.00%, 11/01/2029 |
750,000 | 959,805 | ||||||
| 4.00%, 11/01/2031 |
1,640,000 | 1,925,065 | ||||||
| 4.00%, 11/01/2032 |
1,705,000 | 1,990,673 | ||||||
| King County Public Hospital District No 1 |
||||||||
| 5.00%, 12/01/2032 |
4,500,000 | 5,348,880 | ||||||
| King County School District No 414 Lake Washington |
||||||||
| 5.00%, 12/01/2035 |
1,600,000 | 1,989,024 | ||||||
| 5.00%, 12/01/2036 |
3,205,000 | 3,973,623 | ||||||
| 5.00%, 12/01/2037 |
1,425,000 | 1,759,960 | ||||||
| 5.00%, 12/01/2038 |
865,000 | 1,065,576 | ||||||
| Pierce County School District No 10 Tacoma |
||||||||
| 5.00%, 12/01/2034 |
2,800,000 | 3,230,248 | ||||||
| Port of Seattle WA |
||||||||
| 5.00%, 04/01/2029 |
5,050,000 | 6,372,191 | ||||||
| 5.00%, 04/01/2034 |
1,000,000 | 1,135,110 | ||||||
| 5.00%, 01/01/2037 |
3,500,000 | 4,206,405 | ||||||
| Skagit County Public Hospital District No 1 |
||||||||
| 5.00%, 12/01/2020 |
1,750,000 | 1,800,680 | ||||||
| Snohomish County Housing Authority |
||||||||
| 5.00%, 04/01/2031 |
1,135,000 | 1,400,965 | ||||||
| State of Washington |
||||||||
| 5.00%, 09/01/2021 |
2,670,000 | 2,841,815 | ||||||
| 5.00%, 08/01/2027 |
550,000 | 658,081 | ||||||
| 5.00%, 08/01/2027 |
235,000 | 288,770 | ||||||
| 5.00%, 08/01/2028 |
235,000 | 287,633 | ||||||
| 5.00%, 08/01/2030 |
235,000 | 285,255 | ||||||
| 5.00%, 07/01/2031 |
5,000,000 | 5,824,400 | ||||||
| 5.00%, 07/01/2032 |
1,235,000 | 1,573,748 | ||||||
| 5.00%, 08/01/2032 |
1,505,000 | 1,894,058 | ||||||
| 5.00%, 08/01/2033 |
4,335,000 | 5,441,249 | ||||||
| 5.00%, 06/01/2034 |
660,000 | 822,650 | ||||||
| 5.00%, 02/01/2036 |
1,800,000 | 2,171,880 | ||||||
| 5.00%, 07/01/2036 |
1,505,000 | 1,892,869 | ||||||
| Thurston & Pierce Counties Community Schools |
||||||||
| 5.00%, 12/01/2029 |
675,000 | 865,114 | ||||||
| 5.00%, 12/01/2031 |
1,100,000 | 1,392,501 | ||||||
| Tobacco Settlement Authority |
||||||||
| 5.00%, 06/01/2023 |
500,000 | 555,680 | ||||||
| 5.00%, 06/01/2024 |
1,000,000 | 1,111,360 | ||||||
| Washington Health Care Facilities Authority |
||||||||
| 5.00%, 08/15/2022 |
1,200,000 | 1,319,004 | ||||||
| 5.00%, 08/15/2023 |
650,000 | 737,672 | ||||||
| 5.00%, 10/01/2024 |
465,000 | 512,002 | ||||||
| 5.00%, 07/01/2025 |
360,000 | 426,762 | ||||||
| 5.00%, 08/01/2028 |
1,005,000 | 1,239,668 | ||||||
| 5.00%, 07/01/2029 |
115,000 | 142,418 | ||||||
| 5.00%, 07/01/2030 |
410,000 | 504,554 | ||||||
| 5.00%, 08/01/2030 |
1,220,000 | 1,505,748 | ||||||
| 5.00%, 08/15/2030 |
1,000,000 | 1,168,700 | ||||||
| 5.00%, 08/15/2031 |
845,000 | 984,239 | ||||||
| 5.00%, 08/15/2032 |
385,000 | 447,193 | ||||||
| 5.00%, 07/01/2034 |
105,000 | 126,884 | ||||||
| 5.00%, 10/01/2038 |
11,320,000 | 12,879,104 | ||||||
| 2.66% (SIFMA Municipal Swap Index Yield + 1.05%), 01/01/2042(2) |
5,000,000 | 5,086,700 | ||||||
| 5.00%, 07/01/2042 |
2,060,000 | 2,420,788 | ||||||
| 5.00%, 08/01/2049(1) |
10,480,000 | 12,107,544 | ||||||
| Washington Higher Education Facilities Authority |
||||||||
| 5.00%, 10/01/2029 |
1,855,000 | 2,178,289 | ||||||
| 5.00%, 10/01/2033 |
735,000 | 850,645 | ||||||
| Washington State Housing Finance Commission |
||||||||
| 1.55%, 07/01/2022(1) |
10,000,000 | 10,015,300 | ||||||
| 5.00%, 01/01/2024(3) |
180,000 | 194,443 | ||||||
| 5.00%, 01/01/2025(3) |
375,000 | 411,555 | ||||||
| 2.38%, 01/01/2026(3) |
600,000 | 600,480 | ||||||
| 5.00%, 01/01/2026(3) |
300,000 | 335,661 | ||||||
| 4.00%, 07/01/2026(3) |
1,155,000 | 1,207,991 | ||||||
| 5.00%, 07/01/2031(3) |
1,000,000 | 1,098,780 | ||||||
| 2.16% (SIFMA Municipal Swap Index Yield + 0.55%), 12/01/2048(2) |
10,000,000 | 10,000,000 | ||||||
| 5.00%, 07/01/2053(3) |
400,000 | 425,308 | ||||||
| 5.00%, 01/01/2055(3) |
775,000 | 845,339 | ||||||
| Washington State University |
||||||||
| 5.00%, 04/01/2029 |
1,285,000 | 1,455,173 | ||||||
| Yakima County School District No 208 West Valley |
||||||||
| 5.00%, 12/01/2030 |
1,000,000 | 1,269,860 | ||||||
|
|
|
|||||||
| Total Washington |
|
168,893,958 | ||||||
|
|
|
|||||||
| West Virginia – 0.19% |
||||||||
| Monongalia County Commission Special District |
||||||||
| 5.50%, 06/01/2037(3) |
200,000 | 220,824 | ||||||
| 5.75%, 06/01/2043(3) |
200,000 | 221,302 | ||||||
| Ohio County Board of Education |
||||||||
| 3.00%, 06/01/2028 |
2,150,000 | 2,326,149 | ||||||
| State of West Virginia |
||||||||
| 5.00%, 12/01/2036 |
2,910,000 | 3,595,130 | ||||||
| West Virginia Economic Development Authority |
||||||||
| 5.38%, 12/01/2038 |
885,000 | 912,453 | ||||||
| 1.70%, 01/01/2041(1) |
1,515,000 | 1,516,273 | ||||||
| West Virginia Hospital Finance Authority |
||||||||
| 5.00%, 01/01/2031 |
620,000 | 759,463 | ||||||
| West Virginia State School Building Authority Lottery Revenue |
||||||||
| 5.00%, 07/01/2022 |
695,000 | 760,580 | ||||||
| 5.00%, 07/01/2024 |
500,000 | 582,130 | ||||||
| 5.00%, 07/01/2032 |
940,000 | 1,123,056 | ||||||
|
|
|
|||||||
| Total West Virginia |
|
12,017,360 | ||||||
|
|
|
|||||||
| Wisconsin – 1.89% |
||||||||
| Milwaukee Redevelopment Authority |
||||||||
| 5.00%, 11/15/2031 |
570,000 | 679,976 | ||||||
| 5.00%, 11/15/2032 |
500,000 | 593,820 | ||||||
| Public Finance Authority |
||||||||
| 5.00%, 05/15/2021(3) |
185,000 | 191,982 | ||||||
| 1.45%, 10/01/2025(1) |
11,300,000 | 11,299,887 | ||||||
| 5.00%, 12/01/2025 |
1,000,000 | 1,145,440 | ||||||
| 4.13%, 05/01/2026(3) |
775,000 | 784,943 | ||||||
| 1.45%, 09/01/2027(1) |
2,000,000 | 1,999,980 | ||||||
| 5.00%, 05/15/2028(3) |
200,000 | 226,296 | ||||||
| 5.00%, 06/15/2034 |
500,000 | 592,265 | ||||||
| 5.00%, 07/01/2035 |
5,000,000 | 6,050,750 | ||||||
| 4.00%, 08/01/2035 |
5,250,000 | 5,449,867 | ||||||
| 5.25%, 05/15/2037(3) |
500,000 | 559,910 | ||||||
| 5.20%, 06/01/2037 |
500,000 | 522,275 | ||||||
| 5.00%, 06/15/2037(3) |
1,130,000 | 1,178,432 | ||||||
| 5.00%, 07/01/2037 |
825,000 | 897,072 | ||||||
| 5.00%, 06/15/2039(3) |
410,000 | 439,356 | ||||||
| 5.00%, 06/15/2039 |
500,000 | 582,165 | ||||||
| 5.00%, 01/01/2042 |
600,000 | 657,360 | ||||||
| 5.25%, 05/15/2042(3) |
60,000 | 66,559 | ||||||
| 5.00%, 10/01/2043(3) |
170,000 | 188,090 | ||||||
| 5.25%, 10/01/2043 |
2,105,000 | 2,425,234 | ||||||
| 5.00%, 10/01/2044 |
2,015,000 | 2,408,288 | ||||||
| 5.25%, 05/15/2047(3) |
60,000 | 66,340 | ||||||
| 5.30%, 06/01/2047 |
500,000 | 522,195 | ||||||
| 5.00%, 10/01/2048(3) |
705,000 | 778,059 | ||||||
| 5.25%, 10/01/2048 |
2,105,000 | 2,413,424 | ||||||
| 5.00%, 06/15/2049(3) |
750,000 | 778,852 | ||||||
| 5.00%, 06/15/2049 |
1,100,000 | 1,260,798 | ||||||
| 5.00%, 06/15/2049(3) |
420,000 | 445,624 | ||||||
| 5.25%, 05/15/2052(3) |
115,000 | 126,852 | ||||||
| 5.00%, 10/01/2053(3) |
1,175,000 | 1,293,522 | ||||||
| 5.00%, 06/15/2054(3) |
455,000 | 480,102 | ||||||
| 5.00%, 05/01/2055(3) |
2,000,000 | 2,149,480 | ||||||
| State of Wisconsin |
||||||||
| 5.00%, 11/01/2022 |
2,545,000 | 2,823,448 | ||||||
| 5.00%, 05/01/2023 |
2,000,000 | 2,256,180 | ||||||
| 5.00%, 05/01/2023 |
4,000,000 | 4,510,960 | ||||||
| 5.00%, 05/01/2024 |
7,470,000 | 8,691,793 | ||||||
| 5.00%, 05/01/2025 |
5,335,000 | 6,380,020 | ||||||
| 4.00%, 05/01/2030 |
5,000,000 | 5,287,500 | ||||||
| 4.00%, 05/01/2032 |
2,000,000 | 2,132,920 | ||||||
| 5.00%, 05/01/2034 |
2,400,000 | 2,863,176 | ||||||
| Village of Mukwonago WI Waterworks System & Sewer System Revenue |
||||||||
| 3.38%, 06/01/2021 |
3,190,000 | 3,216,477 | ||||||
| Wisconsin Health & Educational Facilities Authority |
||||||||
| 5.00%, 05/01/2022 |
550,000 | 590,172 | ||||||
| 5.00%, 10/01/2022 |
330,000 | 363,261 | ||||||
| 5.00%, 12/01/2022 |
560,000 | 617,445 | ||||||
| 5.00%, 11/01/2024 |
155,000 | 168,758 | ||||||
| 4.00%, 02/15/2025 |
270,000 | 305,400 | ||||||
| 5.00%, 04/01/2025 |
2,000,000 | 2,367,360 | ||||||
| 4.00%, 02/15/2026 |
510,000 | 582,563 | ||||||
| 5.00%, 04/01/2026 |
1,000,000 | 1,209,790 | ||||||
| 5.00%, 02/15/2027 |
300,000 | 358,854 | ||||||
| 5.00%, 04/01/2027 |
1,700,000 | 2,096,423 | ||||||
| 5.00%, 10/01/2027 |
580,000 | 721,004 | ||||||
| 2.55%, 11/01/2027 |
390,000 | 393,194 | ||||||
| 5.00%, 11/01/2027 |
100,000 | 112,152 | ||||||
| 5.00%, 04/01/2028 |
900,000 | 1,130,085 | ||||||
| 5.00%, 10/01/2028 |
700,000 | 881,580 | ||||||
| 2.83%, 11/01/2028 |
605,000 | 609,991 | ||||||
| 5.00%, 11/01/2029 |
760,000 | 852,614 | ||||||
| 5.00%, 04/01/2030 |
1,670,000 | 2,100,409 | ||||||
| 4.00%, 02/15/2031 |
460,000 | 525,449 | ||||||
| 4.00%, 02/15/2033 |
550,000 | 628,254 | ||||||
| 5.00%, 12/15/2033 |
1,450,000 | 1,808,077 | ||||||
| 5.00%, 09/01/2036 |
335,000 | 381,237 | ||||||
| 5.00%, 09/15/2037 |
650,000 | 676,578 | ||||||
| 5.00%, 09/15/2050 |
645,000 | 674,393 | ||||||
| 2.26% (SIFMA Municipal Swap Index Yield + 0.65%), 08/15/2054(2) |
4,000,000 | 4,041,840 | ||||||
| 5.00%, 08/15/2054(1) |
1,260,000 | 1,357,310 | ||||||
| Wisconsin Housing & Economic Development Authority |
||||||||
| 1.55%, 11/01/2038(1) |
1,750,000 | 1,750,682 | ||||||
| 1.60%, 11/01/2048(1) |
6,000,000 | 6,008,400 | ||||||
|
|
|
|||||||
| Total Wisconsin |
|
120,730,944 | ||||||
|
|
|
|||||||
| Total Municipal Bonds (Cost: $6,011,306,082) |
|
6,236,818,778 | ||||||
|
|
|
|||||||
| Shares | Value | |||||||
| SHORT-TERM INVESTMENTS – 1.67% |
||||||||
| Money Market Funds – 1.67% |
||||||||
| Fidelity Institutional Money Market Government Fund – Class I, 1.53%(5) |
106,628,587 | 106,628,587 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $106,628,587) |
106,628,587 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.00%(6) |
||||||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
$ | 7,882 | 7,882 | |||||
| JP Morgan, New York, 1.81% due 01/02/2020 |
25,000 | 25,000 | ||||||
|
|
|
|||||||
| Total Time Deposits (Cost: $32,882) |
32,882 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $106,661,469) |
|
106,661,469 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.26% |
||||||||
| (Cost: $6,117,967,551) |
6,343,480,247 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.74% |
47,561,206 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 6,391,041,453 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
| (1) | Adjustable rate security. The rate reported is the rate in effect as of December 31, 2019. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2019. |
| (3) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $162,168,886, which represents 2.54% of total net assets. |
| (4) | Security in default as of December 31, 2019. The value of these securities total $8,587,321, which represents 0.13% of total net assets. |
| (5) | Represents annualized seven-day yield as of the close of the reporting period. |
| (6) | Amount calculated is less than 0.005%. |
| % of Net Assets | ||||
| MUNICIPAL BONDS |
||||
| Education |
8.01 | % | ||
| General Obligation |
19.80 | % | ||
| General Revenue |
27.47 | % | ||
| Healthcare |
14.67 | % | ||
| Housing |
4.14 | % | ||
| Transportation |
15.30 | % | ||
| Utilities |
8.20 | % | ||
|
|
|
|||
| Total Municipal Bonds |
97.59 | % | ||
|
|
|
|||
| SHORT-TERM INVESTMENTS |
1.67 | % | ||
|
|
|
|||
| TOTAL INVESTMENTS |
99.26 | % | ||
| Other Assets In Excess Of Liabilities |
0.74 | % | ||
|
|
|
|||
| TOTAL NET ASSETS |
100.00 | % | ||
|
|
|
|||
The accompanying notes are an integral part of this Schedule of Investments
Open Futures Contracts
| Number of Contracts Sold |
Reference Entity |
Counterparty | Expiration Date |
Notional Amount |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
| (200) |
U.S. 10 Year Note Future | Bank of America | Mar. 2020 | $ | (25,953,125 | ) | $ | (25,684,375 | ) | $ | 268,750 | |||||||||||
|
|
|
|||||||||||||||||||||
| $ | 268,750 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Bridge Builder Municipal Bond Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Municipal Bonds |
||||||||||||||||
| Education |
$ | — | $ | 511,702,355 | $ | — | $ | 511,702,355 | ||||||||
| General Obligation |
— | 1,265,575,762 | — | 1,265,575,762 | ||||||||||||
| General Revenue |
— | 1,755,401,130 | — | 1,755,401,130 | ||||||||||||
| Healthcare |
— | 937,492,105 | — | 937,492,105 | ||||||||||||
| Housing |
— | 264,789,458 | — | 264,789,458 | ||||||||||||
| Transportation |
— | 977,742,772 | — | 977,742,772 | ||||||||||||
| Utilities |
— | 524,115,196 | — | 524,115,196 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
106,628,587 | — | — | 106,628,587 | ||||||||||||
| Time Deposits |
— | 32,882 | — | 32,882 | ||||||||||||
| Futures Contracts (1) |
268,750 | — | — | 268,750 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 106,897,337 | $ | 6,236,851,660 | $ | — | $ | 6,343,748,997 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
Bridge Builder Large Cap Growth Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCKS – 97.52% |
||||||||
| Communication Services – 8.74% |
||||||||
| Activision Blizzard, Inc. |
280,675 | $ | 16,677,708 | |||||
| Alphabet, Inc. – Class A(1) |
142,754 | 191,203,280 | ||||||
| Alphabet, Inc. – Class C(1) |
131,097 | 175,279,311 | ||||||
| Altice USA, Inc. – Class A(1) |
15,532 | 424,645 | ||||||
| AMC Networks, Inc. – Class A(1) |
2,377 | 93,891 | ||||||
| Cable One, Inc. |
224 | 333,417 | ||||||
| Charter Communications, Inc. – Class A(1) |
4,687 | 2,273,570 | ||||||
| Comcast Corp. – Class A |
109,974 | 4,945,531 | ||||||
| Electronic Arts, Inc.(1) |
288,174 | 30,981,587 | ||||||
| Facebook, Inc. – Class A(1) |
773,809 | 158,824,297 | ||||||
| Fox Corp. – Class A |
1,720 | 63,760 | ||||||
| Fox Corp. – Class B |
782 | 28,465 | ||||||
| InterActiveCorp(1) |
2,220 | 553,024 | ||||||
| Interpublic Group of Companies, Inc. |
1,838 | 42,458 | ||||||
| Live Nation Entertainment, Inc.(1) |
6,630 | 473,846 | ||||||
| Madison Square Garden Co. – Class A(1) |
110 | 32,361 | ||||||
| Match Group, Inc.(1) |
2,813 | 230,975 | ||||||
| Netflix, Inc.(1) |
192,022 | 62,132,559 | ||||||
| New York Times Co. – Class A |
1,505 | 48,416 | ||||||
| Nexstar Media Group, Inc. – Class A |
1,855 | 217,499 | ||||||
| Omnicom Group, Inc. |
5,896 | 477,694 | ||||||
| Roku, Inc. – Class A(1) |
4,405 | 589,830 | ||||||
| Sinclair Broadcast Group, Inc. – Class A |
3,127 | 104,254 | ||||||
| Sirius XM Holdings, Inc. |
70,334 | 502,888 | ||||||
| Spotify Technology SA(1) |
6,093 | 911,208 | ||||||
| Take-Two Interactive Software, Inc.(1) |
2,671 | 327,011 | ||||||
| T-Mobile US, Inc.(1) |
8,402 | 658,885 | ||||||
| TripAdvisor, Inc. |
5,085 | 154,482 | ||||||
| Twitter, Inc.(1) |
39,443 | 1,264,148 | ||||||
| ViacomCBS, Inc. – Class B |
15,623 | 655,697 | ||||||
| Walt Disney Co. |
286,255 | 41,401,061 | ||||||
| World Wrestling Entertainment, Inc. – Class A |
2,357 | 152,899 | ||||||
| Zayo Group Holdings, Inc.(1) |
11,654 | 403,811 | ||||||
| Zynga, Inc. – Class A(1) |
8,910 | 54,529 | ||||||
|
|
|
|||||||
| Total Communication Services |
692,518,997 | |||||||
|
|
|
|||||||
| Consumer Discretionary – 16.20% |
||||||||
| Adidas AG |
90,802 | 29,557,688 | ||||||
| Advance Auto Parts, Inc. |
812 | 130,050 | ||||||
| Alibaba Group Holding Ltd. – ADR(1) |
273,697 | 58,051,134 | ||||||
| Amazon.com, Inc.(1) |
138,551 | 256,020,080 | ||||||
| Aptiv Plc |
198,092 | 18,812,797 | ||||||
| AutoZone, Inc.(1) |
1,232 | 1,467,694 | ||||||
| Best Buy, Inc. |
2,414 | 211,949 | ||||||
| Booking Holdings, Inc.(1) |
39,568 | 81,261,989 | ||||||
| Bright Horizons Family Solutions, Inc.(1) |
2,938 | 441,552 | ||||||
| Burlington Stores, Inc.(1) |
3,379 | 770,513 | ||||||
| Capri Holdings Ltd.(1) |
2,925 | 111,589 | ||||||
| CarMax, Inc.(1) |
4,039 | 354,099 | ||||||
| Carter’s, Inc. |
985 | 107,700 | ||||||
| Carvana Co. – Class A(1) |
2,389 | 219,907 | ||||||
| Chipotle Mexican Grill, Inc. – Class A(1) |
1,331 | 1,114,193 | ||||||
| Choice Hotels International, Inc. |
719 | 74,366 | ||||||
| Columbia Sportswear Co. |
992 | 99,388 | ||||||
| Darden Restaurants, Inc. |
6,463 | 704,532 | ||||||
| Dollar General Corp. |
232,956 | 36,336,477 | ||||||
| Dollar Tree, Inc.(1) |
6,570 | 617,909 | ||||||
| Domino’s Pizza, Inc. |
2,142 | 629,277 | ||||||
| Dunkin’ Brands Group, Inc. |
4,006 | 302,613 | ||||||
| eBay, Inc. |
40,003 | 1,444,508 | ||||||
| Etsy, Inc.(1) |
6,149 | 272,401 | ||||||
| Expedia Group, Inc. |
6,174 | 667,656 | ||||||
| Five Below, Inc.(1) |
2,815 | 359,926 | ||||||
| Floor & Decor Holdings, Inc. – Class A(1) |
3,612 | 183,526 | ||||||
| Grand Canyon Education, Inc.(1) |
218 | 20,882 | ||||||
| GrubHub, Inc.(1) |
4,878 | 237,266 | ||||||
| H&R Block, Inc. |
1,669 | 39,188 | ||||||
| Hanesbrands, Inc. |
14,833 | 220,270 | ||||||
| Hasbro, Inc. |
6,581 | 695,019 | ||||||
| Hilton Grand Vacations, Inc.(1) |
619 | 21,287 | ||||||
| Hilton Worldwide Holdings, Inc. |
14,560 | 1,614,850 | ||||||
| Home Depot, Inc. |
119,811 | 26,164,326 | ||||||
| Kering SA |
41,772 | 27,524,203 | ||||||
| L Brands, Inc. |
1,944 | 35,225 | ||||||
| Las Vegas Sands Corp. |
8,390 | 579,246 | ||||||
| Lennar Corp. – Class A |
5,982 | 333,736 | ||||||
| Lennar Corp. – Class B |
440 | 19,668 | ||||||
| LKQ Corp.(1) |
2,241 | 80,004 | ||||||
| Lowes Companies, Inc. |
655,884 | 78,548,668 | ||||||
| Lululemon Athletica, Inc.(1) |
176,771 | 40,952,538 | ||||||
| Marriott International, Inc. – Class A |
14,229 | 2,154,697 | ||||||
| Mattel, Inc.(1) |
11,697 | 158,494 | ||||||
| McDonald’s Corp. |
430,482 | 85,067,548 | ||||||
| MGM Resorts International |
2,196 | 73,061 | ||||||
| NIKE, Inc. – Class B |
1,569,727 | 159,029,042 | ||||||
| Nordstrom, Inc. |
5,634 | 230,600 | ||||||
| Norwegian Cruise Line Holdings Ltd.(1) |
2,155 | 125,874 | ||||||
| NVR, Inc.(1) |
170 | 647,430 | ||||||
| Ollie’s Bargain Outlet Holdings, Inc.(1) |
2,834 | 185,089 | ||||||
| O’Reilly Automotive, Inc.(1) |
3,871 | 1,696,504 | ||||||
| Planet Fitness, Inc. – Class A(1) |
4,218 | 315,000 | ||||||
| Polaris Industries, Inc. |
2,698 | 274,387 | ||||||
| Pool Corp. |
1,979 | 420,300 | ||||||
| Ross Stores, Inc. |
351,240 | 40,891,361 | ||||||
| Service Corp. International |
3,160 | 145,455 | ||||||
| ServiceMaster Global Holdings, Inc.(1) |
1,067 | 41,250 | ||||||
| Six Flags Entertainment Corp. |
366 | 16,510 | ||||||
| Skechers U.S.A., Inc. – Class A(1) |
2,356 | 101,756 | ||||||
| Starbucks Corp. |
61,296 | 5,389,144 |
| Target Corp. |
1,360 | 174,366 | ||||||
| Tempur Sealy International, Inc.(1) |
2,363 | 205,723 | ||||||
| Tesla, Inc.(1) |
113,602 | 47,523,125 | ||||||
| TJX Companies, Inc. |
1,404,334 | 85,748,634 | ||||||
| Tractor Supply Co. |
6,125 | 572,320 | ||||||
| Ulta Beauty, Inc.(1) |
225,222 | 57,012,697 | ||||||
| Under Armour, Inc. – Class A(1) |
6,118 | 132,149 | ||||||
| Under Armour, Inc. – Class C(1) |
6,948 | 133,263 | ||||||
| Vail Resorts, Inc. |
1,838 | 440,808 | ||||||
| VF Corp. |
15,987 | 1,593,264 | ||||||
| Wayfair, Inc. – Class A(1) |
3,347 | 302,468 | ||||||
| Wendy’s Co. |
9,788 | 217,391 | ||||||
| Williams-Sonoma, Inc. |
680 | 49,939 | ||||||
| Wyndham Hotels & Resorts, Inc. |
1,408 | 88,436 | ||||||
| Wynn Resorts Ltd. |
4,134 | 574,089 | ||||||
| Yum China Holdings, Inc. |
15,022 | 721,206 | ||||||
| Yum! Brands, Inc. |
1,239,469 | 124,851,712 | ||||||
|
|
|
|||||||
| Total Consumer Discretionary |
1,284,716,981 | |||||||
|
|
|
|||||||
| Consumer Staples – 6.42% |
||||||||
| Altria Group, Inc. |
47,486 | 2,370,026 | ||||||
| Brown-Forman Corp. – Class A |
2,365 | 148,451 | ||||||
| Brown-Forman Corp. – Class B |
8,213 | 555,199 | ||||||
| Campbell Soup Co. |
5,023 | 248,237 | ||||||
| Casey’s General Stores, Inc. |
456 | 72,499 | ||||||
| Church & Dwight Co., Inc. |
12,852 | 904,010 | ||||||
| Clorox Co. |
5,374 | 825,124 | ||||||
| Coca-Cola Co. |
2,084,068 | 115,353,164 | ||||||
| Costco Wholesale Corp. |
139,187 | 40,909,843 | ||||||
| Estee Lauder Companies, Inc. – Class A |
389,232 | 80,391,977 | ||||||
| Grocery Outlet Holding Corp.(1) |
435 | 14,116 | ||||||
| Herbalife Nutrition Ltd.(1) |
656 | 31,272 | ||||||
| Hershey Co. |
6,489 | 953,753 | ||||||
| Kellogg Co. |
4,906 | 339,299 | ||||||
| Kimberly-Clark Corp. |
241,955 | 33,280,910 | ||||||
| Lamb Weston Holdings, Inc. |
1,873 | 161,134 | ||||||
| McCormick & Co., Inc. |
4,111 | 697,760 | ||||||
| Mondelez International, Inc. – Class A |
2,579,545 | 142,081,339 | ||||||
| Monster Beverage Corp.(1) |
19,774 | 1,256,638 | ||||||
| PepsiCo, Inc. |
61,107 | 8,351,494 | ||||||
| Pilgrim’s Pride Corp.(1) |
932 | 30,490 | ||||||
| Post Holdings, Inc.(1) |
1,443 | 157,431 | ||||||
| Procter & Gamble Co. |
623,887 | 77,923,486 | ||||||
| Sprouts Farmers Market, Inc.(1) |
2,746 | 53,135 | ||||||
| Sysco Corp. |
24,703 | 2,113,095 | ||||||
| TreeHouse Foods, Inc.(1) |
464 | 22,504 | ||||||
|
|
|
|||||||
| Total Consumer Staples |
509,246,386 | |||||||
|
|
|
|||||||
| Energy – 1.55% |
||||||||
| Cabot Oil & Gas Corp. |
12,945 | 225,373 | ||||||
| Cheniere Energy, Inc.(1) |
7,000 | 427,490 | ||||||
| Chevron Corp. |
417,520 | 50,315,335 |
| ConocoPhillips |
852,745 | 55,454,007 | ||||||
| Diamondback Energy, Inc. |
1,690 | 156,933 | ||||||
| EOG Resources, Inc. |
177,170 | 14,839,759 | ||||||
| Equitrans Midstream Corp. |
1,028 | 13,734 | ||||||
| ONEOK, Inc. |
6,745 | 510,394 | ||||||
| Parsley Energy, Inc. – Class A |
7,616 | 144,019 | ||||||
| Pioneer Natural Resources Co. |
3,672 | 555,831 | ||||||
|
|
|
|||||||
| Total Energy |
122,642,875 | |||||||
|
|
|
|||||||
| Financials – 5.22% |
||||||||
| Alleghany Corp.(1) |
77 | 61,567 | ||||||
| American Express Co. |
19,439 | 2,419,961 | ||||||
| Ameriprise Financial, Inc. |
928 | 154,586 | ||||||
| Aon Plc |
236,698 | 49,301,826 | ||||||
| Arch Capital Group Ltd.(1) |
2,944 | 126,268 | ||||||
| Arthur J. Gallagher & Co. |
2,174 | 207,030 | ||||||
| Athene Holding Ltd. – Class A(1) |
3,062 | 144,006 | ||||||
| Axis Capital Holdings Ltd. |
404 | 24,014 | ||||||
| Bank of America Corp. |
3,091,609 | 108,886,469 | ||||||
| Brown & Brown, Inc. |
660 | 26,057 | ||||||
| CBOE Global Markets, Inc. |
1,406 | 168,720 | ||||||
| Charles Schwab Corp. |
35,722 | 1,698,938 | ||||||
| CIT Group, Inc. |
390 | 17,796 | ||||||
| Comerica, Inc. |
541 | 38,817 | ||||||
| Commerce Bancshares, Inc. |
443,493 | 30,130,914 | ||||||
| Credit Acceptance Corp.(1) |
494 | 218,511 | ||||||
| Discover Financial Services |
5,803 | 492,210 | ||||||
| E*TRADE Financial Corp. |
367,482 | 16,672,658 | ||||||
| Erie Indemnity Co. – Class A |
808 | 134,128 | ||||||
| Evercore, Inc. – Class A |
719 | 53,752 | ||||||
| Everest Re Group Ltd. |
605 | 167,488 | ||||||
| FactSet Research Systems, Inc. |
1,922 | 515,673 | ||||||
| First Republic Bank |
1,573 | 184,749 | ||||||
| Interactive Brokers Group, Inc. – Class A |
975 | 45,455 | ||||||
| Intercontinental Exchange, Inc. |
1,044,429 | 96,661,904 | ||||||
| JPMorgan Chase & Co. |
492,835 | 68,701,199 | ||||||
| Kemper Corp. |
563 | 43,633 | ||||||
| Lazard Ltd. – Class A |
1,977 | 79,001 | ||||||
| LendingTree, Inc.(1) |
381 | 115,611 | ||||||
| LPL Financial Holdings, Inc. |
4,108 | 378,963 | ||||||
| Markel Corp.(1) |
55 | 62,874 | ||||||
| MarketAxess Holdings, Inc. |
1,898 | 719,551 | ||||||
| Marsh & McLennan Companies, Inc. |
23,131 | 2,577,025 | ||||||
| Moody’s Corp. |
8,520 | 2,022,733 | ||||||
| Morningstar, Inc. |
971 | 146,922 | ||||||
| MSCI, Inc. – Class A |
4,277 | 1,104,236 | ||||||
| Primerica, Inc. |
1,504 | 196,362 | ||||||
| Prosperity Bancshares, Inc. |
409 | 29,403 | ||||||
| Raymond James Financial, Inc. |
1,455 | 130,164 | ||||||
| RenaissanceRe Holdings Ltd. |
824 | 161,521 | ||||||
| S&P Global, Inc. |
94,240 | 25,732,232 |
| SEI Investments Co. |
3,281 | 214,840 | ||||||
| Signature Bank |
1,317 | 179,915 | ||||||
| SVB Financial Group(1) |
190 | 47,698 | ||||||
| Synchrony Financial |
9,238 | 332,660 | ||||||
| Synovus Financial Corp. |
559 | 21,913 | ||||||
| T Rowe Price Group, Inc. |
3,415 | 416,084 | ||||||
| TD Ameritrade Holding Corp. |
12,148 | 603,756 | ||||||
| The Progressive Corp. |
9,872 | 714,634 | ||||||
| Travelers Companies, Inc. |
2,216 | 303,481 | ||||||
| Virtu Financial, Inc. – Class A |
1,002 | 16,022 | ||||||
| Voya Financial, Inc. |
489 | 29,819 | ||||||
| Western Alliance Bancorp |
508 | 28,956 | ||||||
|
|
|
|||||||
| Total Financials |
413,664,705 | |||||||
|
|
|
|||||||
| Healthcare – 17.55% |
||||||||
| Abbott Laboratories |
1,277,038 | 110,923,521 | ||||||
| AbbVie, Inc. |
76,787 | 6,798,721 | ||||||
| ABIOMED, Inc.(1) |
2,261 | 385,704 | ||||||
| Adaptive Biotechnologies Corp.(1) |
582 | 17,413 | ||||||
| Agilent Technologies, Inc. |
1,509 | 128,733 | ||||||
| Agios Pharmaceuticals, Inc.(1) |
273 | 13,036 | ||||||
| Alexion Pharmaceuticals, Inc.(1) |
120,764 | 13,060,627 | ||||||
| Align Technology, Inc.(1) |
4,071 | 1,135,972 | ||||||
| Alnylam Pharmaceuticals, Inc.(1) |
4,548 | 523,793 | ||||||
| AmerisourceBergen Corp. – Class A |
7,866 | 668,767 | ||||||
| Amgen, Inc. |
28,645 | 6,905,450 | ||||||
| Anthem, Inc. |
95,784 | 28,929,641 | ||||||
| AstraZeneca Plc – ADR |
678,199 | 33,815,002 | ||||||
| Avantor, Inc.(1) |
11,583 | 210,231 | ||||||
| Baxter International, Inc. |
11,791 | 985,963 | ||||||
| Becton Dickinson & Co. |
324,035 | 88,127,799 | ||||||
| Biogen, Inc.(1) |
3,206 | 951,316 | ||||||
| BioMarin Pharmaceutical, Inc.(1) |
215,669 | 18,234,814 | ||||||
| Bio-Techne Corp. |
1,951 | 428,264 | ||||||
| Boston Scientific Corp.(1) |
587,247 | 26,555,309 | ||||||
| Bristol Myers Squibb Co. |
71,281 | 4,575,527 | ||||||
| Bruker Corp. |
5,120 | 260,966 | ||||||
| Cantel Medical Corp. |
1,040 | 73,736 | ||||||
| Centene Corp.(1) |
17,803 | 1,119,275 | ||||||
| Cerner Corp. |
16,234 | 1,191,413 | ||||||
| Change Healthcare, Inc.(1) |
1,242 | 20,356 | ||||||
| Charles River Laboratories International, Inc.(1) |
2,495 | 381,136 | ||||||
| Chemed Corp. |
805 | 353,604 | ||||||
| Cigna Corp. |
5,832 | 1,192,586 | ||||||
| CVS Health Corp. |
284,885 | 21,164,107 | ||||||
| Danaher Corp. |
830,866 | 127,521,314 | ||||||
| DexCom, Inc.(1) |
4,665 | 1,020,422 | ||||||
| Edwards Lifesciences Corp.(1) |
77,713 | 18,129,666 | ||||||
| Elanco Animal Health, Inc.(1) |
559,350 | 16,472,857 | ||||||
| Eli Lilly & Co. |
44,183 | 5,806,972 | ||||||
| Encompass Health Corp. |
2,677 | 185,436 |
| Envista Holdings Corp.(1) |
4,815 | 142,717 | ||||||
| Exact Sciences Corp.(1) |
7,220 | 667,706 | ||||||
| Exelixis, Inc.(1) |
6,046 | 106,530 | ||||||
| Gilead Sciences, Inc. |
9,563 | 621,404 | ||||||
| Guardant Health, Inc.(1) |
1,884 | 147,216 | ||||||
| HCA Healthcare, Inc. |
8,325 | 1,230,518 | ||||||
| Henry Schein, Inc.(1) |
869 | 57,980 | ||||||
| Hill-Rom Holdings, Inc. |
1,711 | 194,250 | ||||||
| Hologic, Inc.(1) |
11,177 | 583,551 | ||||||
| Horizon Therapeutics Plc(1) |
1,044 | 37,793 | ||||||
| Humana, Inc. |
93,173 | 34,149,768 | ||||||
| ICU Medical, Inc.(1) |
290 | 54,265 | ||||||
| IDEXX Laboratories, Inc.(1) |
4,393 | 1,147,144 | ||||||
| Illumina, Inc.(1) |
273,393 | 90,695,394 | ||||||
| Incyte Corp.(1) |
9,143 | 798,367 | ||||||
| Insulet Corp.(1) |
3,051 | 522,331 | ||||||
| Intuitive Surgical, Inc.(1) |
59,721 | 35,304,069 | ||||||
| Ionis Pharmaceuticals, Inc.(1) |
6,673 | 403,116 | ||||||
| IQVIA Holdings, Inc.(1) |
96,010 | 14,834,505 | ||||||
| Jazz Pharmaceuticals Plc(1) |
2,550 | 380,664 | ||||||
| Johnson & Johnson |
689,497 | 100,576,927 | ||||||
| Laboratory Corp. of America Holdings(1) |
161,021 | 27,239,923 | ||||||
| Masimo Corp.(1) |
2,483 | 392,463 | ||||||
| McKesson Corp. |
1,046 | 144,683 | ||||||
| Medtronic Plc |
900,000 | 102,105,000 | ||||||
| Merck & Co., Inc. |
125,432 | 11,408,040 | ||||||
| Mettler-Toledo International, Inc.(1) |
1,249 | 990,807 | ||||||
| Moderna, Inc.(1) |
10,026 | 196,109 | ||||||
| Molina Healthcare, Inc.(1) |
2,483 | 336,918 | ||||||
| Nektar Therapeutics – Class A(1) |
1,271 | 27,434 | ||||||
| Neurocrine Biosciences, Inc.(1) |
4,672 | 502,193 | ||||||
| Novartis AG – ADR |
82,769 | 7,837,397 | ||||||
| Novo Nordisk A/S – ADR |
948,278 | 54,886,331 | ||||||
| Penumbra, Inc.(1) |
1,654 | 271,703 | ||||||
| PerkinElmer, Inc. |
1,200 | 116,520 | ||||||
| Pfizer, Inc. |
1,210,270 | 47,418,379 | ||||||
| PRA Health Sciences, Inc.(1) |
3,242 | 360,348 | ||||||
| Regeneron Pharmaceuticals, Inc.(1) |
186,990 | 70,211,005 | ||||||
| ResMed, Inc. |
7,372 | 1,142,439 | ||||||
| Sage Therapeutics, Inc.(1) |
2,597 | 187,477 | ||||||
| Sarepta Therapeutics, Inc.(1) |
3,653 | 471,383 | ||||||
| Seattle Genetics, Inc.(1) |
6,006 | 686,246 | ||||||
| STERIS Plc |
240 | 36,581 | ||||||
| Stryker Corp. |
17,823 | 3,741,761 | ||||||
| Teleflex, Inc. |
2,412 | 907,973 | ||||||
| The Cooper Companies, Inc. |
322 | 103,455 | ||||||
| Thermo Fisher Scientific, Inc. |
99,069 | 32,184,546 | ||||||
| UnitedHealth Group, Inc. |
484,110 | 142,318,658 | ||||||
| Varian Medical Systems, Inc.(1) |
4,739 | 672,985 | ||||||
| Veeva Systems, Inc. – Class A(1) |
6,807 | 957,473 |
| Vertex Pharmaceuticals, Inc.(1) |
84,801 | 18,567,179 | ||||||
| Waters Corp.(1) |
3,319 | 775,484 | ||||||
| WellCare Health Plans, Inc.(1) |
2,346 | 774,673 | ||||||
| West Pharmaceutical Services, Inc. |
2,839 | 426,787 | ||||||
| Zoetis, Inc. – Class A |
319,254 | 42,253,267 | ||||||
|
|
|
|||||||
| Total Healthcare |
1,391,579,284 | |||||||
|
|
|
|||||||
| Industrials – 6.65% |
||||||||
| 3M Co. |
180,566 | 31,855,454 | ||||||
| Acuity Brands, Inc. |
517 | 71,346 | ||||||
| Air Lease Corp. – Class A |
401 | 19,056 | ||||||
| Airbus SE |
161,948 | 23,768,339 | ||||||
| Alaska Air Group, Inc. |
2,735 | 185,296 | ||||||
| Allegion Plc |
3,718 | 463,040 | ||||||
| Allison Transmission Holdings, Inc. |
5,797 | 280,111 | ||||||
| American Airlines Group, Inc. |
1,992 | 57,131 | ||||||
| AMETEK, Inc. |
9,289 | 926,485 | ||||||
| AO Smith Corp. |
1,125 | 53,595 | ||||||
| Armstrong World Industries, Inc. |
2,579 | 242,349 | ||||||
| Boeing Co. |
216,903 | 70,658,321 | ||||||
| BWX Technologies, Inc. |
3,750 | 232,800 | ||||||
| Carlisle Companies, Inc. |
2,568 | 415,605 | ||||||
| Caterpillar, Inc. |
203,101 | 29,993,956 | ||||||
| CH Robinson Worldwide, Inc. |
5,267 | 411,879 | ||||||
| Cintas Corp. |
4,363 | 1,173,996 | ||||||
| Copart, Inc.(1) |
10,493 | 954,233 | ||||||
| CoStar Group, Inc.(1) |
1,877 | 1,123,009 | ||||||
| CSX Corp. |
13,946 | 1,009,133 | ||||||
| Deere & Co. |
153,432 | 26,583,628 | ||||||
| Delta Air Lines, Inc. |
6,068 | 354,857 | ||||||
| Donaldson Co., Inc. |
6,580 | 379,140 | ||||||
| Dover Corp. |
3,276 | 377,592 | ||||||
| Emerson Electric Co. |
2,742 | 209,105 | ||||||
| Equifax, Inc. |
5,253 | 736,050 | ||||||
| Expeditors International of Washington, Inc. |
6,438 | 502,293 | ||||||
| Fastenal Co. |
26,760 | 988,782 | ||||||
| Flowserve Corp. |
1,400 | 69,678 | ||||||
| Fortive Corp. |
3,479 | 265,761 | ||||||
| Fortune Brands Home & Security, Inc. |
2,203 | 143,944 | ||||||
| General Dynamics Corp. |
930 | 164,005 | ||||||
| Graco, Inc. |
8,515 | 442,780 | ||||||
| HEICO Corp. |
1,974 | 225,332 | ||||||
| HEICO Corp. – Class A |
4,032 | 360,985 | ||||||
| Hexcel Corp. |
4,107 | 301,084 | ||||||
| Honeywell International, Inc. |
478,956 | 84,775,212 | ||||||
| Hubbell, Inc. – Class B |
1,480 | 218,774 | ||||||
| Huntington Ingalls Industries, Inc. |
1,663 | 417,213 | ||||||
| IAA, Inc.(1) |
6,381 | 300,290 | ||||||
| IDEX Corp. |
1,964 | 337,808 | ||||||
| IHS Markit Ltd.(1) |
811,641 | 61,157,149 | ||||||
| Illinois Tool Works, Inc. |
16,644 | 2,989,762 |
| Ingersoll-Rand Plc |
11,743 | 1,560,880 | ||||||
| JB Hunt Transport Services, Inc. |
1,314 | 153,449 | ||||||
| JetBlue Airways Corp.(1) |
1,307 | 24,467 | ||||||
| KAR Auction Services, Inc. |
6,350 | 138,366 | ||||||
| L3Harris Technologies, Inc. |
5,740 | 1,135,774 | ||||||
| Landstar System, Inc. |
1,789 | 203,713 | ||||||
| Lennox International, Inc. |
1,665 | 406,210 | ||||||
| Lincoln Electric Holdings, Inc. |
2,813 | 272,101 | ||||||
| Lockheed Martin Corp. |
12,840 | 4,999,639 | ||||||
| Lyft, Inc. – Class A(1) |
1,070 | 46,031 | ||||||
| Middleby Corp.(1) |
2,859 | 313,118 | ||||||
| Nielsen Holdings Plc |
2,198 | 44,619 | ||||||
| Nordson Corp. |
2,709 | 441,134 | ||||||
| Norfolk Southern Corp. |
224,087 | 43,502,009 | ||||||
| Northrop Grumman Corp. |
8,227 | 2,829,841 | ||||||
| Old Dominion Freight Line, Inc. |
1,453 | 275,750 | ||||||
| Quanta Services, Inc. |
1,943 | 79,100 | ||||||
| Raytheon Co. |
239,112 | 52,542,471 | ||||||
| Republic Services, Inc. – Class A |
701 | 62,831 | ||||||
| Robert Half International, Inc. |
6,061 | 382,752 | ||||||
| Rockwell Automation, Inc. |
5,992 | 1,214,399 | ||||||
| Rollins, Inc. |
7,422 | 246,114 | ||||||
| Roper Technologies, Inc. |
831 | 294,365 | ||||||
| Safran SA |
204,235 | 31,546,008 | ||||||
| Sensata Technologies Holding Plc(1) |
3,439 | 185,259 | ||||||
| Southwest Airlines Co. |
14,594 | 787,784 | ||||||
| Spirit AeroSystems Holdings, Inc. – Class A |
4,763 | 347,127 | ||||||
| Toro Co. |
5,422 | 431,971 | ||||||
| TransDigm Group, Inc. |
2,063 | 1,155,280 | ||||||
| TransUnion |
9,671 | 827,934 | ||||||
| Uber Technologies, Inc.(1) |
5,314 | 158,038 | ||||||
| Union Pacific Corp. |
132,830 | 24,014,336 | ||||||
| United Continental Holdings, Inc.(1) |
2,622 | 230,972 | ||||||
| United Parcel Service, Inc. – Class B |
36,248 | 4,243,191 | ||||||
| United Rentals, Inc.(1) |
2,758 | 459,952 | ||||||
| Verisk Analytics, Inc. – Class A |
8,290 | 1,238,029 | ||||||
| WABCO Holdings, Inc.(1) |
2,231 | 302,300 | ||||||
| Wabtec Corp. |
2,499 | 194,422 | ||||||
| Waste Management, Inc. |
17,198 | 1,959,884 | ||||||
| Woodward, Inc. |
2,364 | 279,992 | ||||||
| WW Grainger, Inc. |
2,239 | 757,946 | ||||||
| XPO Logistics, Inc.(1) |
2,825 | 225,153 | ||||||
| Xylem, Inc. |
9,230 | 727,232 | ||||||
|
|
|
|||||||
| Total Industrials |
527,438,301 | |||||||
|
|
|
|||||||
| Information Technology – 30.99% |
||||||||
| 2U, Inc.(1) |
1,018 | 24,422 | ||||||
| Accenture Plc – Class A |
184,125 | 38,771,201 | ||||||
| Adobe Systems, Inc.(1) |
180,341 | 59,478,265 | ||||||
| Advanced Micro Devices, Inc.(1) |
53,516 | 2,454,244 | ||||||
| Adyen NV(1)(2) |
20,550 | 16,904,348 |
| Akamai Technologies, Inc.(1) |
7,552 | 652,342 | ||||||
| Alliance Data Systems Corp. |
236 | 26,479 | ||||||
| Alteryx, Inc. – Class A(1) |
2,401 | 240,268 | ||||||
| Amphenol Corp. – Class A |
15,141 | 1,638,710 | ||||||
| Analog Devices, Inc. |
482,164 | 57,300,370 | ||||||
| Anaplan, Inc.(1) |
4,339 | 227,364 | ||||||
| ANSYS, Inc.(1) |
4,358 | 1,121,793 | ||||||
| Apple, Inc. |
812,912 | 238,711,609 | ||||||
| Applied Materials, Inc. |
25,696 | 1,568,484 | ||||||
| Arista Networks, Inc.(1) |
3,048 | 619,963 | ||||||
| Aspen Technology, Inc.(1) |
3,543 | 428,455 | ||||||
| Atlassian Corp. Plc – Class A(1) |
6,091 | 732,991 | ||||||
| Autodesk, Inc.(1) |
605,134 | 111,017,884 | ||||||
| Automatic Data Processing, Inc. |
415,901 | 70,911,121 | ||||||
| Avalara, Inc.(1) |
2,363 | 173,090 | ||||||
| Black Knight, Inc.(1) |
7,382 | 475,991 | ||||||
| Booz Allen Hamilton Holding Corp. – Class A |
7,007 | 498,408 | ||||||
| Broadcom, Inc. |
83,265 | 26,313,405 | ||||||
| Broadridge Financial Solutions, Inc. |
5,842 | 721,721 | ||||||
| Cadence Design Systems, Inc.(1) |
14,301 | 991,917 | ||||||
| CDK Global, Inc. |
6,250 | 341,750 | ||||||
| CDW Corp. |
7,447 | 1,063,729 | ||||||
| Ceridian HCM Holding, Inc.(1) |
3,972 | 269,619 | ||||||
| Cisco Systems, Inc. |
1,742,282 | 83,559,845 | ||||||
| Citrix Systems, Inc. |
5,740 | 636,566 | ||||||
| Cognex Corp. |
8,424 | 472,081 | ||||||
| Cognizant Technology Solutions Corp. – Class A |
2,208 | 136,940 | ||||||
| CoreLogic, Inc.(1) |
223 | 9,747 | ||||||
| Corning, Inc. |
12,549 | 365,301 | ||||||
| Coupa Software, Inc.(1) |
169,703 | 24,819,064 | ||||||
| Cree, Inc.(1) |
395 | 18,229 | ||||||
| Dell Technologies, Inc. – Class C(1) |
5,642 | 289,942 | ||||||
| DocuSign, Inc. – Class A(1) |
8,044 | 596,141 | ||||||
| Dolby Laboratories, Inc. – Class A |
413 | 28,414 | ||||||
| Dropbox, Inc. – Class A(1) |
11,215 | 200,861 | ||||||
| Dynatrace, Inc.(1) |
2,693 | 68,133 | ||||||
| Elastic NV(1) |
2,409 | 154,899 | ||||||
| Entegris, Inc. |
6,915 | 346,372 | ||||||
| EPAM Systems, Inc.(1) |
2,665 | 565,406 | ||||||
| Euronet Worldwide, Inc.(1) |
2,568 | 404,614 | ||||||
| F5 Networks, Inc.(1) |
2,969 | 414,621 | ||||||
| Fair Isaac Corp.(1) |
1,457 | 545,909 | ||||||
| Fidelity National Information Services, Inc. |
215,069 | 29,913,947 | ||||||
| FireEye, Inc.(1) |
10,781 | 178,210 | ||||||
| Fiserv, Inc.(1) |
29,306 | 3,388,653 | ||||||
| FleetCor Technologies, Inc.(1) |
271,371 | 78,078,864 | ||||||
| FLIR Systems, Inc. |
582 | 30,305 | ||||||
| Fortinet, Inc.(1) |
7,359 | 785,647 | ||||||
| Gartner, Inc.(1) |
4,490 | 691,909 | ||||||
| Genpact Ltd. |
9,648 | 406,856 |
| Global Payments, Inc. |
15,447 | 2,820,004 | ||||||
| GoDaddy, Inc. – Class A(1) |
8,806 | 598,104 | ||||||
| Guidewire Software, Inc.(1) |
4,340 | 476,402 | ||||||
| HP, Inc. |
3,953 | 81,234 | ||||||
| HubSpot, Inc.(1) |
2,144 | 339,824 | ||||||
| International Business Machines Corp. |
27,786 | 3,724,435 | ||||||
| Intuit, Inc. |
359,026 | 94,039,680 | ||||||
| IPG Photonics Corp.(1) |
124 | 17,970 | ||||||
| Jabil, Inc. |
1,645 | 67,988 | ||||||
| Jack Henry & Associates, Inc. |
3,485 | 507,660 | ||||||
| Keysight Technologies, Inc.(1) |
9,641 | 989,456 | ||||||
| KLA-Tencor Corp. |
8,286 | 1,476,317 | ||||||
| Lam Research Corp. |
6,556 | 1,916,974 | ||||||
| Manhattan Associates, Inc.(1) |
3,306 | 263,654 | ||||||
| Mastercard, Inc. – Class A |
272,144 | 81,259,477 | ||||||
| Maxim Integrated Products, Inc. |
5,245 | 322,620 | ||||||
| Medallia, Inc.(1) |
652 | 20,284 | ||||||
| Microchip Technology, Inc. |
3,359 | 351,754 | ||||||
| Microsoft Corp. |
2,791,807 | 440,267,964 | ||||||
| MongoDB, Inc. – Class A(1) |
2,202 | 289,805 | ||||||
| Monolithic Power Systems, Inc. |
2,148 | 382,387 | ||||||
| Motorola Solutions, Inc. |
114,852 | 18,507,251 | ||||||
| National Instruments Corp. |
354 | 14,988 | ||||||
| NCR Corp.(1) |
6,643 | 233,568 | ||||||
| NetApp, Inc. |
12,297 | 765,488 | ||||||
| New Relic, Inc.(1) |
2,549 | 167,495 | ||||||
| Nutanix, Inc. – Class A(1) |
8,755 | 273,681 | ||||||
| NVIDIA Corp. |
208,082 | 48,961,695 | ||||||
| Okta, Inc. – Class A(1) |
5,436 | 627,151 | ||||||
| Oracle Corp. |
106,622 | 5,648,834 | ||||||
| Pagerduty, Inc.(1) |
2,205 | 51,575 | ||||||
| Palo Alto Networks, Inc.(1) |
123,401 | 28,536,481 | ||||||
| Paychex, Inc. |
16,694 | 1,419,992 | ||||||
| Paycom Software, Inc.(1) |
2,530 | 669,843 | ||||||
| Paylocity Holding Corp.(1) |
1,749 | 211,314 | ||||||
| PayPal Holdings, Inc.(1) |
1,268,119 | 137,172,432 | ||||||
| Pegasystems, Inc. |
1,958 | 155,955 | ||||||
| Pluralsight, Inc. – Class A(1) |
3,078 | 52,972 | ||||||
| Proofpoint, Inc.(1) |
2,821 | 323,794 | ||||||
| PTC, Inc.(1) |
194,101 | 14,536,224 | ||||||
| Pure Storage, Inc. – Class A(1) |
11,744 | 200,940 | ||||||
| QUALCOMM, Inc. |
59,308 | 5,232,745 | ||||||
| RealPage, Inc.(1) |
4,078 | 219,193 | ||||||
| RingCentral, Inc. – Class A(1) |
3,861 | 651,235 | ||||||
| Sabre Corp. |
2,472 | 55,472 | ||||||
| Salesforce.com, Inc.(1) |
1,206,627 | 196,245,815 | ||||||
| ServiceNow, Inc.(1) |
97,058 | 27,401,415 | ||||||
| Shopify, Inc. – Class A(1) |
83,793 | 33,314,421 | ||||||
| Skyworks Solutions, Inc. |
148,319 | 17,928,801 | ||||||
| Smartsheet, Inc. – Class A(1) |
4,548 | 204,296 |
| SolarWinds Corp.(1) |
1,209 | 22,427 | ||||||
| Splunk, Inc.(1) |
7,994 | 1,197,261 | ||||||
| Square, Inc. – Class A(1) |
136,277 | 8,525,489 | ||||||
| SS&C Technologies Holdings, Inc. |
10,284 | 631,438 | ||||||
| Switch, Inc. – Class A |
3,013 | 44,653 | ||||||
| Synopsys, Inc.(1) |
7,662 | 1,066,550 | ||||||
| Teradata Corp.(1) |
5,834 | 156,176 | ||||||
| Teradyne, Inc. |
8,778 | 598,572 | ||||||
| Texas Instruments, Inc. |
379,265 | 48,655,907 | ||||||
| Trade Desk, Inc. – Class A(1) |
2,037 | 529,172 | ||||||
| Trimble, Inc.(1) |
2,209 | 92,093 | ||||||
| Twilio, Inc. – Class A(1) |
6,362 | 625,257 | ||||||
| Tyler Technologies, Inc.(1) |
1,996 | 598,840 | ||||||
| Ubiquiti, Inc. |
445 | 84,096 | ||||||
| Universal Display Corp. |
2,178 | 448,820 | ||||||
| VeriSign, Inc.(1) |
3,717 | 716,192 | ||||||
| Visa, Inc. – Class A |
1,344,209 | 252,576,871 | ||||||
| VMware, Inc. – Class A(1) |
3,949 | 599,419 | ||||||
| Western Union Co. |
4,768 | 127,687 | ||||||
| WEX, Inc.(1) |
2,210 | 462,907 | ||||||
| Workday, Inc. – Class A(1) |
640,939 | 105,402,419 | ||||||
| Xilinx, Inc. |
13,234 | 1,293,888 | ||||||
| Zebra Technologies Corp. – Class A(1) |
2,739 | 699,650 | ||||||
| Zendesk, Inc.(1) |
5,823 | 446,216 | ||||||
| Zscaler, Inc.(1) |
3,376 | 156,984 | ||||||
|
|
|
|||||||
| Total Information Technology |
2,456,545,462 | |||||||
|
|
|
|||||||
| Materials – 2.21% |
||||||||
| Air Products & Chemicals, Inc. |
1,608 | 377,864 | ||||||
| AptarGroup, Inc. |
1,252 | 144,756 | ||||||
| Avery Dennison Corp. |
4,022 | 526,158 | ||||||
| Axalta Coating Systems Ltd.(1) |
3,148 | 95,699 | ||||||
| Ball Corp. |
16,815 | 1,087,426 | ||||||
| Berry Global Group, Inc.(1) |
2,506 | 119,010 | ||||||
| CF Industries Holdings, Inc. |
1,081 | 51,607 | ||||||
| Crown Holdings, Inc.(1) |
3,922 | 284,502 | ||||||
| Eagle Materials, Inc. |
1,723 | 156,207 | ||||||
| Ecolab, Inc. |
450,523 | 86,946,434 | ||||||
| Element Solutions, Inc.(1) |
5,227 | 61,051 | ||||||
| Linde Plc |
273,836 | 58,299,684 | ||||||
| Martin Marietta Materials, Inc. |
1,006 | 281,318 | ||||||
| NewMarket Corp. |
312 | 151,794 | ||||||
| PPG Industries, Inc. |
4,087 | 545,574 | ||||||
| Royal Gold, Inc. |
1,023 | 125,062 | ||||||
| RPM International, Inc. |
1,067 | 81,903 | ||||||
| Scotts Miracle-Gro Co. |
2,104 | 223,403 | ||||||
| Sealed Air Corp. |
562 | 22,385 | ||||||
| Sherwin-Williams Co. |
4,308 | 2,513,890 | ||||||
| Southern Copper Corp. |
3,169 | 134,619 | ||||||
| Vulcan Materials Co. |
157,257 | 22,643,435 | ||||||
| WR Grace & Co. |
2,826 | 197,396 | ||||||
|
|
|
|||||||
| Total Materials |
175,071,177 | |||||||
|
|
|
| Real Estate – 1.99% |
||||||||
| American Homes 4 Rent – Class A |
5,452 | 142,897 | ||||||
| American Tower Corp. |
22,830 | 5,246,791 | ||||||
| Americold Realty Trust |
9,842 | 345,060 | ||||||
| Brookfield Property REIT, Inc. – Class A |
3,676 | 67,804 | ||||||
| CBRE Group, Inc. – Class A(1) |
6,528 | 400,101 | ||||||
| Colony Capital, Inc. |
705 | 3,349 | ||||||
| CoreSite Realty Corp. |
1,552 | 174,010 | ||||||
| Crown Castle International Corp. |
21,569 | 3,066,033 | ||||||
| Equinix, Inc. |
161,681 | 94,373,200 | ||||||
| Equity LifeStyle Properties, Inc. |
8,891 | 625,837 | ||||||
| Extra Space Storage, Inc. |
5,229 | 552,287 | ||||||
| Iron Mountain, Inc. |
1,578 | 50,291 | ||||||
| Jones Lang LaSalle, Inc. |
286 | 49,790 | ||||||
| Lamar Advertising Co. – Class A |
4,391 | 391,941 | ||||||
| Outfront Media, Inc. |
1,081 | 28,992 | ||||||
| Prologis, Inc. |
527,670 | 47,036,504 | ||||||
| Public Storage |
5,815 | 1,238,362 | ||||||
| SBA Communications Corp. – Class A |
5,835 | 1,406,177 | ||||||
| Simon Property Group, Inc. |
14,071 | 2,096,016 | ||||||
| Sun Communities, Inc. |
1,099 | 164,960 | ||||||
| The Howard Hughes Corp.(1) |
695 | 88,126 | ||||||
| UDR, Inc. |
732 | 34,184 | ||||||
|
|
|
|||||||
| Total Real Estate |
157,582,712 | |||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $5,364,521,200) |
7,731,006,880 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 2.41% |
||||||||
| Money Market Funds – 2.38% |
||||||||
| Goldman Sachs Financial Square Government Fund – Class I, 1.50%(3) |
188,354,922 | 188,354,922 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $188,354,922) |
188,354,922 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.03% |
||||||||
| BBVA, Madrid, 1.81% due 01/02/2020 |
$ | 835,986 | 835,986 | |||||
| Citibank, New York, 1.81% due 01/02/2020 |
1,970,545 | 1,970,545 | ||||||
|
|
|
|||||||
| Total Time Deposits (Cost: $2,806,531) |
2,806,531 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $191,161,453) |
191,161,453 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.93% |
||||||||
| (Cost: $5,555,682,653) |
7,922,168,333 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.07% |
5,808,355 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 7,927,976,688 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities that were purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $16,904,348, which represents 0.21% of total net assets. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of this Schedule of Investments
Bridge Builder Large Cap Growth Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 692,518,997 | $ | — | $ | — | $ | 692,518,997 | ||||||||
| Consumer Discretionary |
1,227,635,090 | 57,081,891 | — | 1,284,716,981 | ||||||||||||
| Consumer Staples |
509,246,386 | — | — | 509,246,386 | ||||||||||||
| Energy |
122,642,875 | — | — | 122,642,875 | ||||||||||||
| Financials |
413,664,705 | — | — | 413,664,705 | ||||||||||||
| Healthcare |
1,391,579,284 | — | — | 1,391,579,284 | ||||||||||||
| Industrials |
472,123,954 | 55,314,347 | — | 527,438,301 | ||||||||||||
| Information Technology |
2,439,641,114 | 16,904,348 | — | 2,456,545,462 | ||||||||||||
| Materials |
175,071,177 | — | — | 175,071,177 | ||||||||||||
| Real Estate |
157,582,712 | — | — | 157,582,712 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
188,354,922 | — | — | 188,354,922 | ||||||||||||
| Time Deposits |
— | 2,806,531 | — | 2,806,531 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 7,790,061,216 | $ | 132,107,117 | $ | — | $ | 7,922,168,333 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Bridge Builder Large Cap Value Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCKS – 97.03% |
||||||||
| Communication Services – 5.01% |
||||||||
| Activision Blizzard, Inc. |
50,603 | $ | 3,006,830 | |||||
| Alphabet, Inc. – Class C(1) |
96,249 | 128,686,838 | ||||||
| AT&T, Inc. |
517,700 | 20,231,716 | ||||||
| CenturyLink, Inc. |
77,147 | 1,019,112 | ||||||
| Charter Communications, Inc. – Class A(1) |
4,487 | 2,176,554 | ||||||
| Cinemark Holdings, Inc. |
7,404 | 250,625 | ||||||
| Comcast Corp. – Class A |
3,511,517 | 157,912,920 | ||||||
| Discovery, Inc. – Class A(1) |
11,122 | 364,134 | ||||||
| Discovery, Inc. – Class C(1) |
23,859 | 727,461 | ||||||
| DISH Network Corp. – Class A(1) |
18,443 | 654,173 | ||||||
| Electronic Arts, Inc.(1) |
1,951 | 209,752 | ||||||
| Facebook, Inc. – Class A(1) |
406,849 | 83,505,757 | ||||||
| Fox Corp. – Class A |
22,373 | 829,367 | ||||||
| Fox Corp. – Class B |
10,361 | 377,140 | ||||||
| GCI Liberty, Inc. – Class A(1) |
256,730 | 18,189,321 | ||||||
| InterActiveCorp(1) |
2,203 | 548,789 | ||||||
| Interpublic Group of Companies, Inc. |
24,683 | 570,177 | ||||||
| John Wiley & Sons, Inc. – Class A |
3,016 | 146,336 | ||||||
| Liberty Broadband Corp. – Class A(1) |
1,705 | 212,375 | ||||||
| Liberty Broadband Corp. – Class C(1) |
7,423 | 933,442 | ||||||
| Liberty Media Corp.-Liberty Formula One – Class A(1) |
2,069 | 90,581 | ||||||
| Liberty Media Corp.-Liberty Formula One – Class C(1) |
13,943 | 640,890 | ||||||
| Liberty Media Corp.-Liberty SiriusXM – Class A(1) |
5,852 | 282,886 | ||||||
| Liberty Media Corp.-Liberty SiriusXM – Class C(1) |
10,873 | 523,426 | ||||||
| Lions Gate Entertainment Corp. – Class A(1) |
3,979 | 42,416 | ||||||
| Lions Gate Entertainment Corp. – Class B(1) |
7,922 | 78,666 | ||||||
| Madison Square Garden Co. – Class A(1) |
1,202 | 353,616 | ||||||
| New York Times Co. – Class A |
9,416 | 302,913 | ||||||
| News Corp. – Class A |
27,163 | 384,085 | ||||||
| News Corp. – Class B |
8,646 | 125,454 | ||||||
| Nexstar Media Group, Inc. – Class A |
740 | 86,765 | ||||||
| Omnicom Group, Inc. |
7,126 | 577,349 | ||||||
| Sinclair Broadcast Group, Inc. – Class A |
236 | 7,868 | ||||||
| Sprint Corp.(1) |
39,267 | 204,581 | ||||||
| Take-Two Interactive Software, Inc.(1) |
4,259 | 521,429 | ||||||
| Telephone & Data Systems, Inc. |
7,199 | 183,071 | ||||||
| T-Mobile US, Inc.(1) |
10,515 | 824,586 | ||||||
| TripAdvisor, Inc. |
655 | 19,899 | ||||||
| United States Cellular Corp.(1) |
998 | 36,158 | ||||||
| Verizon Communications, Inc. |
293,528 | 18,022,619 | ||||||
| ViacomCBS, Inc. – Class A |
500 | 22,435 | ||||||
| ViacomCBS, Inc. – Class B |
1,236,419 | 51,892,505 | ||||||
| Walt Disney Co. |
123,776 | 17,901,723 | ||||||
| Zillow Group, Inc. – Class A(1) |
3,892 | 178,020 | ||||||
| Zillow Group, Inc. – Class C(1) |
8,805 | 404,502 | ||||||
| Zynga, Inc. – Class A(1) |
47,483 | 290,596 | ||||||
|
|
|
|||||||
| Total Communication Services |
514,551,858 | |||||||
|
|
|
|||||||
| Consumer Discretionary – 12.46% |
||||||||
| Advance Auto Parts, Inc. |
381,613 | 61,119,138 | ||||||
| Aptiv Plc |
16,970 | 1,611,641 | ||||||
| Aramark |
1,412,271 | 61,292,561 | ||||||
| AutoNation, Inc.(1) |
1,473,273 | 71,645,266 | ||||||
| Best Buy, Inc. |
12,785 | 1,122,523 | ||||||
| Booking Holdings, Inc.(1) |
43,108 | 88,532,193 | ||||||
| BorgWarner, Inc. |
14,517 | 629,747 | ||||||
| Brunswick Corp. |
5,716 | 342,846 | ||||||
| Caesars Entertainment Corp.(1) |
40,149 | 546,026 | ||||||
| Capri Holdings Ltd.(1) |
5,748 | 219,286 | ||||||
| CarMax, Inc.(1) |
6,164 | 540,398 | ||||||
| Carnival Corp. |
28,178 | 1,432,288 | ||||||
| Carter’s, Inc. |
1,684 | 184,129 | ||||||
| Choice Hotels International, Inc. |
1,311 | 135,597 | ||||||
| Cie Generale des Etablissements Michelin SCA |
582,981 | 71,741,131 | ||||||
| Columbia Sportswear Co. |
764 | 76,545 | ||||||
| Dick’s Sporting Goods, Inc. |
4,694 | 232,306 | ||||||
| Dollar General Corp. |
454,922 | 70,958,734 | ||||||
| Dollar Tree, Inc.(1) |
7,581 | 712,993 | ||||||
| DR Horton, Inc. |
23,590 | 1,244,372 | ||||||
| Dunkin’ Brands Group, Inc. |
346 | 26,137 | ||||||
| eBay, Inc. |
1,328,719 | 47,980,043 | ||||||
| Expedia Group, Inc. |
1,271 | 137,446 | ||||||
| Extended Stay America, Inc. |
13,170 | 195,706 | ||||||
| Foot Locker, Inc. |
7,804 | 304,278 | ||||||
| Ford Motor Co. |
276,075 | 2,567,497 | ||||||
| Frontdoor, Inc.(1) |
5,879 | 278,782 | ||||||
| Gap, Inc. |
15,048 | 266,049 | ||||||
| Garmin Ltd. |
10,182 | 993,356 | ||||||
| General Motors Co. |
87,616 | 3,206,746 | ||||||
| Gentex Corp. |
18,086 | 524,132 | ||||||
| Genuine Parts Co. |
9,869 | 1,048,384 | ||||||
| Goodyear Tire & Rubber Co. |
16,106 | 250,529 | ||||||
| Graham Holdings Co. – Class B |
293 | 187,224 | ||||||
| Grand Canyon Education, Inc.(1) |
2,980 | 285,454 | ||||||
| H&R Block, Inc. |
11,980 | 281,290 | ||||||
| Hanesbrands, Inc. |
5,710 | 84,793 | ||||||
| Harley-Davidson, Inc. |
11,061 | 411,359 | ||||||
| Hilton Grand Vacations, Inc.(1) |
5,214 | 179,309 | ||||||
| Home Depot, Inc. |
291,229 | 63,598,589 | ||||||
| Hyatt Hotels Corp. – Class A |
2,626 | 235,578 | ||||||
| International Game Technology Plc |
7,009 | 104,925 | ||||||
| Kohl’s Corp. |
11,053 | 563,150 | ||||||
| L Brands, Inc. |
13,311 | 241,195 | ||||||
| Las Vegas Sands Corp. |
12,461 | 860,307 | ||||||
| Lear Corp. |
4,309 | 591,195 | ||||||
| Leggett & Platt, Inc. |
9,259 | 470,635 | ||||||
| Lennar Corp. – Class A |
1,089,960 | 60,808,868 | ||||||
| Lennar Corp. – Class B |
598 | 26,731 | ||||||
| LKQ Corp.(1) |
18,535 | 661,699 | ||||||
| Lowes Companies, Inc. |
501,852 | 60,101,796 | ||||||
| Macy’s, Inc. |
22,071 | 375,207 | ||||||
| Mattel, Inc.(1) |
7,556 | 102,384 | ||||||
| McDonald’s Corp. |
599,187 | 118,405,343 | ||||||
| MGM Resorts International |
1,912,442 | 63,626,945 | ||||||
| Mohawk Industries, Inc.(1) |
4,194 | 571,978 | ||||||
| Newell Brands, Inc. |
26,782 | 514,750 | ||||||
| NIKE, Inc. – Class B |
947,083 | 95,948,979 | ||||||
| Norwegian Cruise Line Holdings Ltd.(1) |
899,827 | 52,558,895 | ||||||
| Penske Automotive Group, Inc. |
2,456 | 123,340 | ||||||
| Polaris Industries, Inc. |
474 | 48,206 | ||||||
| PulteGroup, Inc. |
17,922 | 695,374 | ||||||
| PVH Corp. |
5,258 | 552,879 | ||||||
| Qurate Retail, Inc.(1) |
26,530 | 223,648 | ||||||
| Ralph Lauren Corp. – Class A |
3,457 | 405,230 | ||||||
| Royal Caribbean Cruises Ltd. |
436,830 | 58,321,173 | ||||||
| SeaWorld Entertainment, Inc.(1) |
1,759,412 | 55,790,955 | ||||||
| Service Corp. International |
8,090 | 372,383 | ||||||
| ServiceMaster Global Holdings, Inc.(1) |
8,198 | 316,935 | ||||||
| Six Flags Entertainment Corp. |
5,000 | 225,550 |
| Skechers U.S.A., Inc. – Class A(1) |
5,831 | 251,841 | ||||||
| Tapestry, Inc. |
19,482 | 525,430 | ||||||
| Target Corp. |
33,488 | 4,293,496 | ||||||
| Thor Industries, Inc. |
3,662 | 272,050 | ||||||
| Tiffany & Co. |
8,549 | 1,142,574 | ||||||
| TJX Companies, Inc. |
1,583,780 | 96,705,607 | ||||||
| Toll Brothers, Inc. |
9,441 | 373,014 | ||||||
| Under Armour, Inc. – Class A(1) |
4,637 | 100,159 | ||||||
| Under Armour, Inc. – Class C(1) |
4,828 | 92,601 | ||||||
| Urban Outfitters, Inc.(1) |
4,935 | 137,045 | ||||||
| Vail Resorts, Inc. |
313 | 75,067 | ||||||
| VF Corp. |
421,873 | 42,043,863 | ||||||
| Whirlpool Corp. |
4,355 | 642,493 | ||||||
| Williams-Sonoma, Inc. |
4,565 | 335,254 | ||||||
| Wyndham Destinations, Inc. |
6,498 | 335,882 | ||||||
| Wyndham Hotels & Resorts, Inc. |
4,808 | 301,990 | ||||||
| Wynn Resorts Ltd. |
1,158 | 160,811 | ||||||
| Yum China Holdings, Inc. |
4,864 | 233,521 | ||||||
| Yum! Brands, Inc. |
2,365 | 238,226 | ||||||
|
|
|
|||||||
| Total Consumer Discretionary |
1,279,233,980 | |||||||
|
|
|
|||||||
| Consumer Staples – 7.56% |
||||||||
| Altria Group, Inc. |
1,443,910 | 72,065,548 | ||||||
| Archer-Daniels-Midland Co. |
39,337 | 1,823,270 | ||||||
| Beyond Meat Inc.(1) |
3,368 | 254,621 | ||||||
| Brown-Forman Corp. – Class A |
193 | 12,115 | ||||||
| Brown-Forman Corp. – Class B |
870 | 58,812 | ||||||
| Bunge Ltd. |
9,719 | 559,328 | ||||||
| Campbell Soup Co. |
5,007 | 247,446 | ||||||
| Casey’s General Stores, Inc. |
1,953 | 310,507 | ||||||
| Clorox Co. |
1,615 | 247,967 | ||||||
| Coca-Cola Co. |
2,123,287 | 117,523,935 | ||||||
| Coca-Cola European Partners Plc |
970,989 | 49,403,920 | ||||||
| Colgate-Palmolive Co. |
1,202,480 | 82,778,723 | ||||||
| Conagra Brands, Inc. |
33,861 | 1,159,401 | ||||||
| Constellation Brands, Inc. – Class A |
11,189 | 2,123,113 | ||||||
| Costco Wholesale Corp. |
179,307 | 52,701,913 | ||||||
| Coty, Inc. – Class A |
19,991 | 224,899 | ||||||
| Diageo Plc – ADR |
411,280 | 69,267,778 | ||||||
| Energizer Holdings, Inc. |
4,339 | 217,905 | ||||||
| Flowers Foods, Inc. |
13,513 | 293,773 | ||||||
| General Mills, Inc. |
42,294 | 2,265,267 | ||||||
| Grocery Outlet Holding Corp.(1) |
2,064 | 66,977 | ||||||
| Hain Celestial Group, Inc.(1) |
6,330 | 164,295 | ||||||
| Herbalife Nutrition Ltd.(1) |
6,026 | 287,259 | ||||||
| Hershey Co. |
1,270 | 186,665 | ||||||
| Hormel Foods Corp. |
19,505 | 879,870 | ||||||
| Ingredion, Inc. |
4,747 | 441,234 | ||||||
| Kellogg Co. |
10,695 | 739,666 | ||||||
| Keurig Dr Pepper, Inc. |
14,475 | 419,051 | ||||||
| Kimberly-Clark Corp. |
24,263 | 3,337,376 | ||||||
| Kraft Heinz Co. |
44,150 | 1,418,539 | ||||||
| Kroger Co. |
56,168 | 1,628,310 | ||||||
| Lamb Weston Holdings, Inc. |
7,629 | 656,323 | ||||||
| McCormick & Co., Inc. |
3,064 | 520,053 | ||||||
| Molson Coors Brewing Co. – Class B |
12,257 | 660,652 | ||||||
| Mondelez International, Inc. – Class A |
100,995 | 5,562,805 | ||||||
| Nu Skin Enterprises, Inc. – Class A |
3,798 | 155,642 | ||||||
| PepsiCo, Inc. |
562,601 | 76,890,679 | ||||||
| Philip Morris International, Inc. |
697,866 | 59,381,418 | ||||||
| Pilgrim’s Pride Corp.(1) |
2,365 | 77,371 |
| Post Holdings, Inc.(1) |
2,477 | 270,241 | ||||||
| Procter & Gamble Co. |
768,777 | 96,020,247 | ||||||
| Seaboard Corp. |
18 | 76,510 | ||||||
| Spectrum Brands Holdings, Inc. |
2,897 | 186,248 | ||||||
| Sprouts Farmers Market, Inc.(1) |
4,409 | 85,314 | ||||||
| Swedish Match AB |
891,162 | 45,909,745 | ||||||
| Swedish Match AB – ADR |
313,132 | 8,044,361 | ||||||
| The J.M. Smucker Co. |
7,709 | 802,738 | ||||||
| TreeHouse Foods, Inc.(1) |
3,231 | 156,703 | ||||||
| Tyson Foods, Inc. – Class A |
20,315 | 1,849,478 | ||||||
| US Foods Holding Corp.(1) |
15,370 | 643,849 | ||||||
| Walgreens Boots Alliance, Inc. |
53,480 | 3,153,181 | ||||||
| Walmart, Inc. |
99,527 | 11,827,789 | ||||||
|
|
|
|||||||
| Total Consumer Staples |
776,040,830 | |||||||
|
|
|
|||||||
| Energy – 5.33% |
||||||||
| Antero Midstream Corp. |
18,822 | 142,859 | ||||||
| Antero Resources Corp.(1) |
20,854 | 59,434 | ||||||
| Apache Corp. |
26,472 | 677,418 | ||||||
| Apergy Corp.(1) |
5,469 | 184,743 | ||||||
| Baker Hughes a GE Co. – Class A |
45,974 | 1,178,314 | ||||||
| Cabot Oil & Gas Corp. |
10,651 | 185,434 | ||||||
| Centennial Resource Development, Inc. – Class A(1) |
12,973 | 59,935 | ||||||
| Cheniere Energy, Inc.(1) |
7,002 | 427,612 | ||||||
| Chesapeake Energy Corp.(1) |
90,155 | 74,432 | ||||||
| Chevron Corp. |
510,283 | 61,494,204 | ||||||
| Cimarex Energy Co. |
7,143 | 374,936 | ||||||
| Concho Resources, Inc. |
13,960 | 1,222,477 | ||||||
| ConocoPhillips |
77,915 | 5,066,812 | ||||||
| Continental Resources, Inc. |
6,121 | 209,950 | ||||||
| Devon Energy Corp. |
1,131,412 | 29,382,770 | ||||||
| Diamondback Energy, Inc. |
8,929 | 829,147 | ||||||
| EOG Resources, Inc. |
1,020,615 | 85,486,712 | ||||||
| EQT Corp. |
17,622 | 192,080 | ||||||
| Equitrans Midstream Corp. |
12,853 | 171,716 | ||||||
| Exxon Mobil Corp. |
913,738 | 63,760,638 | ||||||
| Halliburton Co. |
61,593 | 1,507,181 | ||||||
| Helmerich & Payne, Inc. |
7,633 | 346,767 | ||||||
| Hess Corp. |
928,285 | 62,018,721 | ||||||
| HollyFrontier Corp. |
10,742 | 544,727 | ||||||
| Kinder Morgan, Inc. |
137,745 | 2,916,062 | ||||||
| Kosmos Energy Ltd. |
10,438,784 | 59,501,069 | ||||||
| Marathon Oil Corp. |
56,400 | 765,912 | ||||||
| Marathon Petroleum Corp. |
45,620 | 2,748,605 | ||||||
| Murphy Oil Corp. |
10,677 | 286,144 | ||||||
| National Oilwell Varco, Inc. |
27,151 | 680,132 | ||||||
| Noble Energy, Inc. |
33,294 | 827,023 | ||||||
| Occidental Petroleum Corp. |
63,214 | 2,605,049 | ||||||
| ONEOK, Inc. |
19,803 | 1,498,493 | ||||||
| Parsley Energy, Inc. – Class A |
1,959,935 | 37,062,371 | ||||||
| Patterson-UTI Energy, Inc. |
13,866 | 145,593 | ||||||
| PBF Energy, Inc. – Class A |
8,261 | 259,148 | ||||||
| Phillips 66 |
524,448 | 58,428,752 | ||||||
| Pioneer Natural Resources Co. |
6,749 | 1,021,596 | ||||||
| Range Resources Corp. |
15,058 | 73,031 | ||||||
| Schlumberger Ltd. |
98,315 | 3,952,263 | ||||||
| Targa Resources Corp. |
16,100 | 657,363 | ||||||
| Transocean Ltd.(1) |
40,335 | 277,505 | ||||||
| Valero Energy Corp. |
591,094 | 55,355,953 | ||||||
| Williams Cos, Inc. |
85,667 | 2,032,021 | ||||||
| WPX Energy, Inc.(1) |
29,999 | 412,186 | ||||||
|
|
|
|||||||
| Total Energy |
547,105,290 | |||||||
|
|
|
| Financials – 18.48% |
||||||||
| Affiliated Managers Group, Inc. |
3,604 | 305,403 | ||||||
| Aflac, Inc. |
51,517 | 2,725,249 | ||||||
| AGNC Investment Corp. |
38,494 | 680,574 | ||||||
| Alleghany Corp.(1) |
881 | 704,421 | ||||||
| Allstate Corp. |
22,974 | 2,583,426 | ||||||
| Ally Financial, Inc. |
26,793 | 818,794 | ||||||
| American Express Co. |
1,084,237 | 134,976,664 | ||||||
| American Financial Group, Inc. |
5,210 | 571,277 | ||||||
| American International Group, Inc. |
1,058,092 | 54,311,862 | ||||||
| American National Insurance Co. |
529 | 62,253 | ||||||
| Ameriprise Financial, Inc. |
7,728 | 1,287,330 | ||||||
| Annaly Capital Management, Inc. |
102,168 | 962,423 | ||||||
| Arch Capital Group Ltd.(1) |
23,238 | 996,678 | ||||||
| Arthur J. Gallagher & Co. |
10,169 | 968,394 | ||||||
| Associated Banc-Corp. |
11,088 | 244,380 | ||||||
| Assurant, Inc. |
4,326 | 567,052 | ||||||
| Assured Guaranty Ltd. |
6,722 | 329,512 | ||||||
| Athene Holding Ltd. – Class A(1) |
6,095 | 286,648 | ||||||
| AXA Equitable Holdings, Inc. |
29,205 | 723,700 | ||||||
| Axis Capital Holdings Ltd. |
5,309 | 315,567 | ||||||
| Bank of America Corp. |
576,612 | 20,308,275 | ||||||
| Bank of Hawaii Corp. |
2,795 | 265,972 | ||||||
| Bank of New York Mellon Corp. |
1,016,462 | 51,158,533 | ||||||
| Bank OZK |
8,546 | 260,696 | ||||||
| BankUnited, Inc. |
6,488 | 237,201 | ||||||
| Berkshire Hathaway, Inc. – Class B(1) |
883,822 | 200,185,683 | ||||||
| BGC Partners, Inc. – Class A |
20,213 | 120,065 | ||||||
| BlackRock, Inc. – Class A |
124,387 | 62,529,345 | ||||||
| BOK Financial Corp. |
2,233 | 195,164 | ||||||
| Brighthouse Financial, Inc.(1) |
7,971 | 312,702 | ||||||
| Brown & Brown, Inc. |
15,637 | 617,349 | ||||||
| Capital One Financial Corp. |
32,995 | 3,395,516 | ||||||
| CBOE Global Markets, Inc. |
5,863 | 703,560 | ||||||
| Charles Schwab Corp. |
32,691 | 1,554,784 | ||||||
| Chimera Investment Corp. |
12,900 | 265,224 | ||||||
| Chubb Ltd. |
1,340,786 | 208,706,749 | ||||||
| Cincinnati Financial Corp. |
10,683 | 1,123,317 | ||||||
| CIT Group, Inc. |
6,051 | 276,107 | ||||||
| Citigroup, Inc. |
1,488,531 | 118,918,742 | ||||||
| Citizens Financial Group, Inc. |
30,849 | 1,252,778 | ||||||
| CME Group, Inc. – Class A |
25,102 | 5,038,473 | ||||||
| CNA Financial Corp. |
1,914 | 85,766 | ||||||
| Comerica, Inc. |
9,559 | 685,858 | ||||||
| Commerce Bancshares, Inc. |
7,394 | 502,348 | ||||||
| Credit Acceptance Corp.(1) |
77 | 34,059 | ||||||
| Cullen/Frost Bankers, Inc. |
4,014 | 392,489 | ||||||
| Discover Financial Services |
14,365 | 1,218,439 | ||||||
| E*TRADE Financial Corp. |
2,051,461 | 93,074,786 | ||||||
| East West Bancorp, Inc. |
10,267 | 500,003 | ||||||
| Eaton Vance Corp. |
7,935 | 370,485 | ||||||
| Erie Indemnity Co. – Class A |
580 | 96,280 | ||||||
| Evercore, Inc. – Class A |
1,782 | 133,222 | ||||||
| Everest Re Group Ltd. |
1,975 | 546,759 | ||||||
| Fidelity National Financial, Inc. |
1,016,480 | 46,097,368 | ||||||
| Fifth Third Bancorp |
50,283 | 1,545,699 | ||||||
| First American Financial Corp. |
7,725 | 450,522 | ||||||
| First Citizens BancShares, Inc. – Class A |
483 | 257,057 | ||||||
| First Hawaiian, Inc. |
9,257 | 267,064 |
| First Horizon National Corp. |
22,237 | 368,245 | ||||||
| First Republic Bank |
9,556 | 1,122,352 | ||||||
| FNB Corp. |
22,442 | 285,013 | ||||||
| Franklin Resources, Inc. |
19,876 | 516,379 | ||||||
| Globe Life, Inc. |
7,648 | 804,952 | ||||||
| Goldman Sachs Group, Inc. |
296,812 | 68,245,983 | ||||||
| Hanover Insurance Group, Inc. |
2,816 | 384,863 | ||||||
| Hartford Financial Services Group, Inc. |
25,291 | 1,536,934 | ||||||
| Huntington Bancshares, Inc. |
73,389 | 1,106,706 | ||||||
| Interactive Brokers Group, Inc. – Class A |
3,769 | 175,711 | ||||||
| Intercontinental Exchange, Inc. |
23,426 | 2,168,076 | ||||||
| Invesco Ltd. |
27,901 | 501,660 | ||||||
| Janus Henderson Group Plc |
11,142 | 272,422 | ||||||
| Jefferies Financial Group, Inc. |
1,845,562 | 39,439,660 | ||||||
| JPMorgan Chase & Co. |
764,554 | 106,578,828 | ||||||
| Kemper Corp. |
3,672 | 284,580 | ||||||
| KeyCorp |
69,815 | 1,413,056 | ||||||
| Lazard Ltd. – Class A |
4,508 | 180,140 | ||||||
| Legg Mason, Inc. |
5,934 | 213,090 | ||||||
| Lincoln National Corp. |
14,005 | 826,435 | ||||||
| Loews Corp. |
18,423 | 967,023 | ||||||
| M&T Bank Corp. |
9,304 | 1,579,354 | ||||||
| Markel Corp.(1) |
873 | 997,987 | ||||||
| Marsh & McLennan Companies, Inc. |
729,111 | 81,230,257 | ||||||
| Mercury General Corp. |
1,998 | 97,363 | ||||||
| MetLife, Inc. |
55,229 | 2,815,022 | ||||||
| MFA Financial, Inc. |
31,164 | 238,405 | ||||||
| MGIC Investment Corp. |
25,245 | 357,722 | ||||||
| Morgan Stanley |
82,554 | 4,220,161 | ||||||
| Nasdaq, Inc. |
8,132 | 870,937 | ||||||
| Navient Corp. |
1,659,992 | 22,708,691 | ||||||
| New Residential Investment Corp. |
29,318 | 472,313 | ||||||
| New York Community Bancorp, Inc. |
4,085,558 | 49,108,407 | ||||||
| Northern Trust Corp. |
390,175 | 41,452,192 | ||||||
| Old Republic International Corp. |
19,997 | 447,333 | ||||||
| OneMain Holdings, Inc. – Class A |
4,535 | 191,150 | ||||||
| PacWest Bancorp |
8,173 | 312,781 | ||||||
| People’s United Financial, Inc. |
31,147 | 526,384 | ||||||
| Pinnacle Financial Partners, Inc. |
5,335 | 341,440 | ||||||
| PNC Financial Services Group, Inc. |
499,485 | 79,732,791 | ||||||
| Popular, Inc. |
6,786 | 398,678 | ||||||
| Primerica, Inc. |
816 | 106,537 | ||||||
| Principal Financial Group, Inc. |
19,390 | 1,066,450 | ||||||
| Prosperity Bancshares, Inc. |
5,762 | 414,230 | ||||||
| Prudential Financial, Inc. |
28,636 | 2,684,339 | ||||||
| Raymond James Financial, Inc. |
6,718 | 600,992 | ||||||
| Regions Financial Corp. |
68,616 | 1,177,451 | ||||||
| Reinsurance Group of America, Inc. – Class A |
4,396 | 716,812 | ||||||
| RenaissanceRe Holdings Ltd. |
1,919 | 376,162 | ||||||
| Santander Consumer USA Holdings, Inc. |
7,520 | 175,742 | ||||||
| SEI Investments Co. |
4,832 | 316,399 | ||||||
| Signature Bank |
1,893 | 258,603 | ||||||
| SLM Corp. |
3,734,538 | 33,274,734 | ||||||
| Starwood Property Trust, Inc. |
19,270 | 479,052 | ||||||
| State Street Corp. |
25,729 | 2,035,164 | ||||||
| Sterling Bancorp |
14,183 | 298,978 | ||||||
| SVB Financial Group(1) |
3,371 | 846,256 | ||||||
| Synchrony Financial |
2,272,527 | 81,833,697 | ||||||
| Synovus Financial Corp. |
9,181 | 359,895 | ||||||
| T Rowe Price Group, Inc. |
11,445 | 1,394,459 |
| TCF Financial Corp. |
10,757 | 503,428 | ||||||
| TD Ameritrade Holding Corp. |
2,472 | 122,858 | ||||||
| Texas Capital Bancshares, Inc.(1) |
3,501 | 198,752 | ||||||
| TFS Financial Corp. |
3,623 | 71,301 | ||||||
| The Progressive Corp. |
27,702 | 2,005,348 | ||||||
| Travelers Companies, Inc. |
15,332 | 2,099,717 | ||||||
| Truist Financial Corp. |
1,001,500 | 56,404,480 | ||||||
| Two Harbors Investment Corp. |
19,423 | 283,964 | ||||||
| Umpqua Holdings Corp. |
15,289 | 270,615 | ||||||
| Unum Group |
14,426 | 420,662 | ||||||
| US Bancorp |
568,334 | 33,696,523 | ||||||
| Virtu Financial, Inc. – Class A |
2,260 | 36,137 | ||||||
| Voya Financial, Inc. |
8,842 | 539,185 | ||||||
| Webster Financial Corp. |
6,523 | 348,067 | ||||||
| Wells Fargo & Co. |
1,184,173 | 63,708,507 | ||||||
| Western Alliance Bancorp |
6,163 | 351,291 | ||||||
| White Mountains Insurance Group Ltd. |
214 | 238,719 | ||||||
| Willis Towers Watson Plc |
308,083 | 62,214,281 | ||||||
| Wintrust Financial Corp. |
4,028 | 285,585 | ||||||
| WR Berkley Corp. |
10,123 | 699,499 | ||||||
| Zions Bancorp N.A. |
11,891 | 617,381 | ||||||
|
|
|
|||||||
| Total Financials |
1,897,129,774 | |||||||
|
|
|
|||||||
| Healthcare – 11.97% |
||||||||
| Abbott Laboratories |
69,278 | 6,017,487 | ||||||
| Acadia Healthcare Co., Inc.(1) |
6,168 | 204,901 | ||||||
| Adaptive Biotechnologies Corp.(1) |
438 | 13,105 | ||||||
| Agilent Technologies, Inc. |
19,805 | 1,689,565 | ||||||
| Agios Pharmaceuticals, Inc.(1) |
3,859 | 184,267 | ||||||
| Alexion Pharmaceuticals, Inc.(1) |
3,726 | 402,967 | ||||||
| Alkermes Plc(1) |
10,809 | 220,504 | ||||||
| Allergan Plc |
383,055 | 73,228,624 | ||||||
| Alnylam Pharmaceuticals, Inc.(1) |
1,201 | 138,319 | ||||||
| Amgen, Inc. |
189,788 | 45,752,193 | ||||||
| Anthem, Inc. |
194,130 | 58,633,084 | ||||||
| Avantor, Inc.(1) |
6,545 | 118,792 | ||||||
| Baxter International, Inc. |
860,685 | 71,970,480 | ||||||
| Becton Dickinson & Co. |
17,379 | 4,726,567 | ||||||
| Biogen, Inc.(1) |
8,384 | 2,487,784 | ||||||
| Bio-Rad Laboratories, Inc. – Class A(1) |
1,498 | 554,305 | ||||||
| Bluebird Bio, Inc.(1) |
3,933 | 345,121 | ||||||
| Bristol Myers Squibb Co. |
68,534 | 4,399,197 | ||||||
| Cantel Medical Corp. |
1,144 | 81,110 | ||||||
| Cardinal Health, Inc. |
20,723 | 1,048,169 | ||||||
| Catalent, Inc.(1) |
10,242 | 576,625 | ||||||
| Centene Corp.(1) |
4,649 | 292,283 | ||||||
| Change Healthcare, Inc.(1) |
1,989 | 32,600 | ||||||
| Cigna Corp. |
18,058 | 3,692,680 | ||||||
| Covetrus, Inc.(1) |
7,059 | 93,179 | ||||||
| CVS Health Corp. |
774,500 | 57,537,605 | ||||||
| Danaher Corp. |
494,376 | 75,876,828 | ||||||
| DaVita, Inc.(1) |
7,052 | 529,112 | ||||||
| Dentsply Sirona, Inc. |
15,650 | 885,634 | ||||||
| Elanco Animal Health, Inc.(1) |
26,275 | 773,799 | ||||||
| Encompass Health Corp. |
3,360 | 232,747 | ||||||
| Envista Holdings Corp.(1) |
982,005 | 29,106,628 | ||||||
| Exelixis, Inc.(1) |
12,289 | 216,532 | ||||||
| Fresenius Medical Care AG & Co. KGaA |
708,498 | 52,165,173 | ||||||
| Gilead Sciences, Inc. |
77,535 | 5,038,224 | ||||||
| HCA Healthcare, Inc. |
7,679 | 1,135,033 | ||||||
| Henry Schein, Inc.(1) |
9,135 | 609,487 |
| Hill-Rom Holdings, Inc. |
2,230 | 253,172 | ||||||
| Hologic, Inc.(1) |
3,586 | 187,225 | ||||||
| Horizon Therapeutics Plc(1) |
11,562 | 418,544 | ||||||
| Humana, Inc. |
5,356 | 1,963,081 | ||||||
| ICU Medical, Inc.(1) |
923 | 172,712 | ||||||
| Integra LifeSciences Holdings Corp.(1) |
5,062 | 295,013 | ||||||
| IQVIA Holdings, Inc.(1) |
7,156 | 1,105,674 | ||||||
| Jazz Pharmaceuticals Plc(1) |
471 | 70,311 | ||||||
| Johnson & Johnson |
889,502 | 129,751,657 | ||||||
| Laboratory Corp. of America Holdings(1) |
6,413 | 1,084,887 | ||||||
| McKesson Corp. |
11,368 | 1,572,422 | ||||||
| MEDNAX, Inc.(1) |
5,887 | 163,600 | ||||||
| Medtronic Plc |
2,057,135 | 233,381,966 | ||||||
| Merck & Co., Inc. |
875,979 | 79,670,290 | ||||||
| Moderna, Inc.(1) |
1,375 | 26,895 | ||||||
| Molina Healthcare, Inc.(1) |
959 | 130,127 | ||||||
| Mylan NV(1) |
36,221 | 728,042 | ||||||
| Nektar Therapeutics – Class A(1) |
9,841 | 212,418 | ||||||
| PerkinElmer, Inc. |
6,072 | 589,591 | ||||||
| Perrigo Co. Plc |
8,931 | 461,375 | ||||||
| Pfizer, Inc. |
394,406 | 15,452,827 | ||||||
| Premier, Inc. – Class A(1) |
4,398 | 166,596 | ||||||
| QIAGEN NV(1) |
15,606 | 527,483 | ||||||
| Quest Diagnostics, Inc. |
9,422 | 1,006,175 | ||||||
| Regeneron Pharmaceuticals, Inc.(1) |
4,587 | 1,722,327 | ||||||
| Sanofi – ADR |
1,534,819 | 77,047,914 | ||||||
| STERIS Plc |
5,541 | 844,559 | ||||||
| The Cooper Companies, Inc. |
2,959 | 950,697 | ||||||
| Thermo Fisher Scientific, Inc. |
8,984 | 2,918,632 | ||||||
| United Therapeutics Corp.(1) |
2,990 | 263,359 | ||||||
| UnitedHealth Group, Inc. |
581,929 | 171,075,487 | ||||||
| Universal Health Services, Inc. – Class B |
5,567 | 798,642 | ||||||
| WellCare Health Plans, Inc.(1) |
326 | 107,648 | ||||||
| West Pharmaceutical Services, Inc. |
1,255 | 188,664 | ||||||
| Zimmer Biomet Holdings, Inc. |
14,473 | 2,166,319 | ||||||
|
|
|
|||||||
| Total Healthcare |
1,228,487,041 | |||||||
|
|
|
|||||||
| Industrials – 14.65% |
||||||||
| 3M Co. |
228,365 | 40,288,153 | ||||||
| Acuity Brands, Inc. |
2,016 | 278,208 | ||||||
| ADT, Inc. |
8,382 | 66,469 | ||||||
| AECOM(1) |
11,020 | 475,293 | ||||||
| AGCO Corp. |
4,448 | 343,608 | ||||||
| Air Lease Corp. – Class A |
2,089,886 | 99,311,383 | ||||||
| Alaska Air Group, Inc. |
4,683 | 317,273 | ||||||
| Allegion Plc |
1,627 | 202,627 | ||||||
| AMERCO |
614 | 230,753 | ||||||
| American Airlines Group, Inc. |
25,183 | 722,248 | ||||||
| AMETEK, Inc. |
3,320 | 331,137 | ||||||
| AO Smith Corp. |
8,051 | 383,550 | ||||||
| Arconic, Inc. |
27,455 | 844,790 | ||||||
| BWX Technologies, Inc. |
1,704 | 105,784 | ||||||
| Canadian National Railway Co. |
737,866 | 66,739,980 | ||||||
| Carlisle Companies, Inc. |
538 | 87,070 | ||||||
| Caterpillar, Inc. |
35,054 | 5,176,775 | ||||||
| CH Robinson Worldwide, Inc. |
2,232 | 174,542 | ||||||
| Clean Harbors, Inc.(1) |
3,687 | 316,160 | ||||||
| Colfax Corp.(1) |
6,465 | 235,197 | ||||||
| Copa Holdings SA – Class A |
2,171 | 234,642 | ||||||
| Crane Co. |
3,589 | 310,018 | ||||||
| CSX Corp. |
33,896 | 2,452,715 |
| Cummins, Inc. |
10,612 | 1,899,123 | ||||||
| Curtiss-Wright Corp. |
3,018 | 425,206 | ||||||
| Deere & Co. |
556,488 | 96,417,111 | ||||||
| Delta Air Lines, Inc. |
32,543 | 1,903,115 | ||||||
| Dover Corp. |
5,731 | 660,555 | ||||||
| Eaton Corp. Plc |
29,237 | 2,769,329 | ||||||
| Emerson Electric Co. |
39,476 | 3,010,440 | ||||||
| Equifax, Inc. |
1,304 | 182,716 | ||||||
| Expeditors International of Washington, Inc. |
3,420 | 266,828 | ||||||
| Fastenal Co. |
3,760 | 138,932 | ||||||
| FedEx Corp. |
476,212 | 72,008,016 | ||||||
| Flowserve Corp. |
7,316 | 364,117 | ||||||
| Fluor Corp. |
9,675 | 182,664 | ||||||
| Fortive Corp. |
16,229 | 1,239,733 | ||||||
| Fortune Brands Home & Security, Inc. |
6,732 | 439,869 | ||||||
| Gardner Denver Holdings, Inc.(1) |
9,412 | 345,232 | ||||||
| Gates Industrial Corp. Plc(1) |
3,281 | 45,147 | ||||||
| General Dynamics Corp. |
449,806 | 79,323,288 | ||||||
| General Electric Co. |
6,285,352 | 70,144,528 | ||||||
| GrafTech International Ltd. |
4,132 | 48,014 | ||||||
| HD Supply Holdings, Inc.(1) |
12,065 | 485,254 | ||||||
| Hexcel Corp. |
359 | 26,318 | ||||||
| Honeywell International, Inc. |
377,358 | 66,792,366 | ||||||
| Hubbell, Inc. – Class B |
1,686 | 249,225 | ||||||
| Huntington Ingalls Industries, Inc. |
581 | 145,761 | ||||||
| IAA, Inc.(1) |
744 | 35,013 | ||||||
| IDEX Corp. |
2,676 | 460,272 | ||||||
| IHS Markit Ltd.(1) |
10,313 | 777,085 | ||||||
| Ingersoll-Rand Plc |
982 | 130,527 | ||||||
| ITT, Inc. |
6,216 | 459,425 | ||||||
| Jacobs Engineering Group, Inc. |
908,867 | 81,643,523 | ||||||
| JB Hunt Transport Services, Inc. |
421,610 | 49,235,616 | ||||||
| JetBlue Airways Corp.(1) |
18,141 | 339,600 | ||||||
| Johnson Controls International Plc |
55,164 | 2,245,726 | ||||||
| Kansas City Southern |
7,039 | 1,078,093 | ||||||
| KAR Auction Services, Inc. |
788 | 17,171 | ||||||
| Kirby Corp.(1) |
4,227 | 378,443 | ||||||
| Knight-Swift Transportation Holdings, Inc. – Class A |
8,805 | 315,571 | ||||||
| L3Harris Technologies, Inc. |
7,762 | 1,535,867 | ||||||
| Landstar System, Inc. |
238 | 27,101 | ||||||
| Lennox International, Inc. |
196 | 47,818 | ||||||
| Lincoln Electric Holdings, Inc. |
218 | 21,087 | ||||||
| Lockheed Martin Corp. |
150,669 | 58,667,495 | ||||||
| Lyft, Inc. – Class A(1) |
12,062 | 518,907 | ||||||
| Macquarie Infrastructure Corp. |
5,092 | 218,141 | ||||||
| ManpowerGroup, Inc. |
4,237 | 411,413 | ||||||
| Masco Corp. |
20,248 | 971,702 | ||||||
| MSC Industrial Direct Co., Inc. – Class A |
3,026 | 237,450 | ||||||
| Nielsen Holdings Plc |
1,016,414 | 20,633,204 | ||||||
| Nordson Corp. |
387 | 63,019 | ||||||
| Norfolk Southern Corp. |
16,028 | 3,111,516 | ||||||
| Northrop Grumman Corp. |
139,253 | 47,898,854 | ||||||
| nVent Electric Plc |
10,473 | 267,899 | ||||||
| Old Dominion Freight Line, Inc. |
2,643 | 501,589 | ||||||
| Oshkosh Corp. |
4,815 | 455,740 | ||||||
| Owens Corning |
768,327 | 50,033,454 | ||||||
| PACCAR, Inc. |
23,940 | 1,893,654 | ||||||
| Parker-Hannifin Corp. |
9,037 | 1,859,995 | ||||||
| Pentair Plc |
11,825 | 542,413 | ||||||
| Quanta Services, Inc. |
7,794 | 317,294 |
| Raytheon Co. |
381,778 | 83,891,898 | ||||||
| Regal Beloit Corp. |
2,966 | 253,919 | ||||||
| Republic Services, Inc. – Class A |
14,116 | 1,265,217 | ||||||
| Resideo Technologies, Inc.(1) |
8,729 | 104,137 | ||||||
| Roper Technologies, Inc. |
6,107 | 2,163,283 | ||||||
| Ryder System, Inc. |
3,599 | 195,462 | ||||||
| Schneider National, Inc. – Class B |
3,914 | 85,403 | ||||||
| Sensata Technologies Holding Plc(1) |
6,549 | 352,795 | ||||||
| Snap-on, Inc. |
3,864 | 654,562 | ||||||
| Southwest Airlines Co. |
13,743 | 741,847 | ||||||
| Spirit AeroSystems Holdings, Inc. – Class A |
728,800 | 53,114,944 | ||||||
| Stanley Black & Decker, Inc. |
377,172 | 62,512,487 | ||||||
| Stericycle, Inc.(1) |
6,337 | 404,364 | ||||||
| Teledyne Technologies, Inc.(1) |
2,511 | 870,162 | ||||||
| Textron, Inc. |
16,247 | 724,616 | ||||||
| Timken Co. |
4,647 | 261,673 | ||||||
| TransDigm Group, Inc. |
658 | 368,480 | ||||||
| Trinity Industries, Inc. |
7,248 | 160,543 | ||||||
| Uber Technologies, Inc.(1) |
59,971 | 1,783,538 | ||||||
| Union Pacific Corp. |
486,801 | 88,008,753 | ||||||
| United Continental Holdings, Inc.(1) |
12,762 | 1,124,205 | ||||||
| United Parcel Service, Inc. – Class B |
489,543 | 57,305,904 | ||||||
| United Rentals, Inc.(1) |
1,554 | 259,161 | ||||||
| United Technologies Corp. |
880,531 | 131,868,323 | ||||||
| Univar, Inc.(1) |
12,175 | 295,122 | ||||||
| Valmont Industries, Inc. |
1,489 | 223,022 | ||||||
| WABCO Holdings, Inc.(1) |
596 | 80,758 | ||||||
| Wabtec Corp. |
850,668 | 66,181,970 | ||||||
| Waste Management, Inc. |
6,517 | 742,677 | ||||||
| Watsco, Inc. |
2,303 | 414,885 | ||||||
| WESCO International, Inc.(1) |
2,965 | 176,091 | ||||||
| Woodward, Inc. |
719 | 85,158 | ||||||
| XPO Logistics, Inc.(1) |
2,660 | 212,002 | ||||||
|
|
|
|||||||
| Total Industrials |
1,503,380,300 | |||||||
|
|
|
|||||||
| Information Technology – 10.89% |
||||||||
| 2U, Inc.(1) |
2,687 | 64,461 | ||||||
| Accenture Plc – Class A |
342,289 | 72,075,795 | ||||||
| Akamai Technologies, Inc.(1) |
992 | 85,689 | ||||||
| Alliance Data Systems Corp. |
2,492 | 279,602 | ||||||
| Amdocs Ltd. |
9,531 | 688,043 | ||||||
| Analog Devices, Inc. |
22,455 | 2,668,552 | ||||||
| Apple, Inc. |
329,407 | 96,730,366 | ||||||
| Applied Materials, Inc. |
30,233 | 1,845,422 | ||||||
| Arrow Electronics, Inc.(1) |
5,834 | 494,373 | ||||||
| Autodesk, Inc.(1) |
3,541 | 649,632 | ||||||
| Automatic Data Processing, Inc. |
276,089 | 47,073,175 | ||||||
| Avnet, Inc. |
6,864 | 291,308 | ||||||
| Broadcom, Inc. |
228,232 | 72,125,877 | ||||||
| CACI International, Inc. – Class A(1) |
1,741 | 435,233 | ||||||
| Cerence, Inc.(1) |
2,343 | 53,022 | ||||||
| Ceridian HCM Holding, Inc.(1) |
1,295 | 87,905 | ||||||
| Ciena Corp.(1) |
11,000 | 469,590 | ||||||
| Cisco Systems, Inc. |
1,432,328 | 68,694,451 | ||||||
| Citrix Systems, Inc. |
963 | 106,797 | ||||||
| Cognizant Technology Solutions Corp. – Class A |
35,818 | 2,221,432 | ||||||
| Coherent, Inc.(1) |
1,660 | 276,141 | ||||||
| CommScope Holding Co., Inc.(1) |
13,172 | 186,911 | ||||||
| CoreLogic, Inc.(1) |
5,251 | 229,521 | ||||||
| Corning, Inc. |
37,092 | 1,079,748 | ||||||
| Cree, Inc.(1) |
6,955 | 320,973 |
| Cypress Semiconductor Corp. |
25,960 | 605,647 | ||||||
| Dell Technologies, Inc. – Class C(1) |
3,845 | 197,595 | ||||||
| Dolby Laboratories, Inc. – Class A |
3,768 | 259,238 | ||||||
| DXC Technology Co. |
17,876 | 671,959 | ||||||
| Dynatrace, Inc.(1) |
490 | 12,397 | ||||||
| EchoStar Corp. – Class A(1) |
3,282 | 142,143 | ||||||
| F5 Networks, Inc.(1) |
280 | 39,102 | ||||||
| Fidelity National Information Services, Inc. |
16,713 | 2,324,611 | ||||||
| First Solar, Inc.(1) |
5,891 | 329,660 | ||||||
| FLIR Systems, Inc. |
8,737 | 454,936 | ||||||
| Hewlett Packard Enterprise Co. |
91,954 | 1,458,390 | ||||||
| HP, Inc. |
99,487 | 2,044,458 | ||||||
| Intel Corp. |
308,499 | 18,463,665 | ||||||
| International Business Machines Corp. |
24,899 | 3,337,462 | ||||||
| IPG Photonics Corp.(1) |
2,351 | 340,707 | ||||||
| Jabil, Inc. |
8,347 | 344,982 | ||||||
| Jack Henry & Associates, Inc. |
637 | 92,792 | ||||||
| Juniper Networks, Inc. |
24,064 | 592,696 | ||||||
| Lam Research Corp. |
1,259 | 368,132 | ||||||
| Leidos Holdings, Inc. |
9,553 | 935,143 | ||||||
| Littelfuse, Inc. |
1,710 | 327,123 | ||||||
| LogMeIn, Inc. |
3,390 | 290,659 | ||||||
| Marvell Technology Group Ltd. |
2,605,330 | 69,197,565 | ||||||
| Maxim Integrated Products, Inc. |
11,899 | 731,907 | ||||||
| Medallia, Inc.(1) |
331 | 10,297 | ||||||
| Microchip Technology, Inc. |
480,752 | 50,344,349 | ||||||
| Micron Technology, Inc.(1) |
78,483 | 4,220,816 | ||||||
| Microsoft Corp. |
949,905 | 149,800,019 | ||||||
| MKS Instruments, Inc. |
3,832 | 421,558 | ||||||
| Motorola Solutions, Inc. |
3,177 | 511,942 | ||||||
| National Instruments Corp. |
8,741 | 370,094 | ||||||
| NortonLifeLock, Inc. |
40,642 | 1,037,184 | ||||||
| Nuance Communications, Inc.(1) |
20,356 | 362,947 | ||||||
| NXP Semiconductors NV |
738,893 | 94,031,523 | ||||||
| ON Semiconductor Corp.(1) |
28,691 | 699,487 | ||||||
| Oracle Corp. |
1,555,683 | 82,420,085 | ||||||
| Qorvo, Inc.(1) |
8,254 | 959,362 | ||||||
| QUALCOMM, Inc. |
609,401 | 53,767,450 | ||||||
| Sabre Corp. |
16,166 | 362,765 | ||||||
| Samsung Electronics Co. Ltd. |
1,630,524 | 78,569,867 | ||||||
| Skyworks Solutions, Inc. |
11,413 | 1,379,603 | ||||||
| SolarWinds Corp.(1) |
2,030 | 37,657 | ||||||
| SS&C Technologies Holdings, Inc. |
1,520 | 93,328 | ||||||
| SYNNEX Corp. |
2,922 | 376,354 | ||||||
| Texas Instruments, Inc. |
389,705 | 49,995,254 | ||||||
| Trimble, Inc.(1) |
14,664 | 611,342 | ||||||
| VeriSign, Inc.(1) |
2,321 | 447,210 | ||||||
| ViaSat, Inc.(1) |
3,910 | 286,192 | ||||||
| Visa, Inc. – Class A |
378,180 | 71,060,022 | ||||||
| Western Digital Corp. |
21,049 | 1,335,980 | ||||||
| Western Union Co. |
23,318 | 624,456 | ||||||
| Xerox Corp. |
12,886 | 475,107 | ||||||
|
|
|
|||||||
| Total Information Technology |
1,117,409,238 | |||||||
|
|
|
|||||||
| Materials – 5.77% |
||||||||
| Air Products & Chemicals, Inc. |
314,603 | 73,928,559 | ||||||
| Albemarle Corp. |
7,440 | 543,418 | ||||||
| Alcoa Corp.(1) |
13,341 | 286,965 | ||||||
| AptarGroup, Inc. |
2,706 | 312,868 | ||||||
| Ardagh Group SA – Class A |
1,510 | 29,566 | ||||||
| Ashland Global Holdings, Inc. |
4,203 | 321,656 |
| Avery Dennison Corp. |
420 | 54,944 | ||||||
| Axalta Coating Systems Ltd.(1) |
10,222 | 310,749 | ||||||
| Berry Global Group, Inc.(1) |
5,623 | 267,036 | ||||||
| Cabot Corp. |
3,946 | 187,514 | ||||||
| Celanese Corp. – Class A |
534,770 | 65,840,882 | ||||||
| CF Industries Holdings, Inc. |
13,827 | 660,101 | ||||||
| Chemours Co. |
11,414 | 206,479 | ||||||
| Corteva, Inc. |
1,811,895 | 53,559,616 | ||||||
| Crown Holdings, Inc.(1) |
3,943 | 286,025 | ||||||
| Domtar Corp. |
3,844 | 146,995 | ||||||
| Dow, Inc. |
562,421 | 30,781,301 | ||||||
| DowDuPont, Inc. |
859,697 | 55,192,547 | ||||||
| Eagle Materials, Inc. |
499 | 45,239 | ||||||
| Eastman Chemical Co. |
9,695 | 768,426 | ||||||
| Ecolab, Inc. |
300,391 | 57,972,459 | ||||||
| Element Solutions, Inc.(1) |
4,062,231 | 47,446,858 | ||||||
| FMC Corp. |
9,220 | 920,340 | ||||||
| Freeport-McMoRan, Inc. |
102,588 | 1,345,955 | ||||||
| Graphic Packaging Holding Co. |
20,979 | 349,300 | ||||||
| Huntsman Corp. |
15,671 | 378,611 | ||||||
| International Flavors & Fragrances, Inc. |
7,563 | 975,778 | ||||||
| International Paper Co. |
27,787 | 1,279,591 | ||||||
| Linde Plc |
617,825 | 131,534,943 | ||||||
| LyondellBasell Industries NV – Class A |
18,786 | 1,774,901 | ||||||
| Martin Marietta Materials, Inc. |
3,037 | 849,267 | ||||||
| Mosaic Co. |
24,874 | 538,273 | ||||||
| NewMarket Corp. |
31 | 15,082 | ||||||
| Newmont Goldcorp Corp. |
57,695 | 2,506,848 | ||||||
| Nucor Corp. |
21,573 | 1,214,129 | ||||||
| Nutrien Ltd. |
1,079,374 | 51,712,808 | ||||||
| O-I Glass, Inc. |
10,795 | 128,784 | ||||||
| Olin Corp. |
11,402 | 196,685 | ||||||
| Packaging Corp. of America |
6,610 | 740,254 | ||||||
| PPG Industries, Inc. |
11,260 | 1,503,097 | ||||||
| Reliance Steel & Aluminum Co. |
4,596 | 550,417 | ||||||
| Royal Gold, Inc. |
3,174 | 388,022 | ||||||
| RPM International, Inc. |
7,507 | 576,237 | ||||||
| Sealed Air Corp. |
10,240 | 407,859 | ||||||
| Silgan Holdings, Inc. |
5,406 | 168,019 | ||||||
| Sonoco Products Co. |
7,052 | 435,250 | ||||||
| Southern Copper Corp. |
1,700 | 72,216 | ||||||
| Steel Dynamics, Inc. |
14,829 | 504,779 | ||||||
| United States Steel Corp. |
12,146 | 138,586 | ||||||
| Valvoline, Inc. |
13,062 | 279,657 | ||||||
| Vulcan Materials Co. |
743 | 106,985 | ||||||
| Westlake Chemical Corp. |
2,446 | 171,587 | ||||||
| Westrock Co. |
17,884 | 767,403 | ||||||
|
|
|
|||||||
| Total Materials |
591,681,866 | |||||||
|
|
|
|||||||
| Real Estate – 2.80% |
||||||||
| Alexandria Real Estate Equities, Inc. |
8,186 | 1,322,694 | ||||||
| American Campus Communities, Inc. |
9,666 | 454,592 | ||||||
| American Homes 4 Rent – Class A |
10,505 | 275,336 | ||||||
| American Tower Corp. |
262,032 | 60,220,194 | ||||||
| Apartment Investment & Management Co. – Class A |
10,414 | 537,883 | ||||||
| Apple Hospitality REIT, Inc. |
14,593 | 237,136 | ||||||
| AvalonBay Communities, Inc. |
9,822 | 2,059,673 | ||||||
| Boston Properties, Inc. |
10,928 | 1,506,534 | ||||||
| Brandywine Realty Trust |
12,074 | 190,165 | ||||||
| Brixmor Property Group, Inc. |
21,012 | 454,069 | ||||||
| Camden Property Trust |
6,549 | 694,849 |
| CBRE Group, Inc. – Class A(1) |
14,824 | 908,563 | ||||||
| Colony Capital, Inc. |
31,218 | 148,285 | ||||||
| Columbia Property Trust, Inc. |
8,009 | 167,468 | ||||||
| CoreSite Realty Corp. |
592 | 66,375 | ||||||
| Corporate Office Properties Trust |
7,734 | 227,225 | ||||||
| Cousins Properties, Inc. |
10,318 | 425,102 | ||||||
| CubeSmart |
13,611 | 428,474 | ||||||
| CyrusOne, Inc. |
7,899 | 516,832 | ||||||
| Digital Realty Trust, Inc. |
14,672 | 1,756,825 | ||||||
| Douglas Emmett, Inc. |
11,659 | 511,830 | ||||||
| Duke Realty Corp. |
26,316 | 912,376 | ||||||
| Empire State Realty Trust, Inc. – Class A |
10,651 | 148,688 | ||||||
| EPR Properties |
5,481 | 387,178 | ||||||
| Equity Commonwealth |
8,378 | 275,050 | ||||||
| Equity Residential |
25,805 | 2,088,141 | ||||||
| Essex Property Trust, Inc. |
4,625 | 1,391,478 | ||||||
| Extra Space Storage, Inc. |
1,619 | 170,999 | ||||||
| Federal Realty Investment Trust |
5,236 | 674,030 | ||||||
| Gaming & Leisure Properties, Inc. |
14,242 | 613,118 | ||||||
| Healthcare Trust of America, Inc. – Class A |
14,432 | 437,001 | ||||||
| Healthpeak Properties, Inc. |
34,805 | 1,199,728 | ||||||
| Highwoods Properties, Inc. |
7,273 | 355,722 | ||||||
| Host Hotels & Resorts, Inc. |
50,776 | 941,895 | ||||||
| Hudson Pacific Properties, Inc. |
10,770 | 405,491 | ||||||
| Invitation Homes, Inc. |
37,845 | 1,134,215 | ||||||
| Iron Mountain, Inc. |
17,830 | 568,242 | ||||||
| JBG SMITH Properties |
8,679 | 346,205 | ||||||
| Jones Lang LaSalle, Inc. |
3,216 | 559,873 | ||||||
| Kilroy Realty Corp. |
7,477 | 627,320 | ||||||
| Kimco Realty Corp. |
28,428 | 588,744 | ||||||
| Liberty Property Trust |
837,826 | 50,311,451 | ||||||
| Life Storage, Inc. |
3,303 | 357,649 | ||||||
| Macerich Co. |
10,136 | 272,861 | ||||||
| Medical Properties Trust, Inc. |
36,734 | 775,455 | ||||||
| MGM Growth Properties LLC – Class A |
2,016,811 | 62,460,637 | ||||||
| Mid-America Apartment Communities, Inc. |
8,043 | 1,060,550 | ||||||
| National Retail Properties, Inc. |
12,094 | 648,480 | ||||||
| Omega Healthcare Investors, Inc. |
15,559 | 658,924 | ||||||
| Outfront Media, Inc. |
8,344 | 223,786 | ||||||
| Paramount Group, Inc. |
13,880 | 193,210 | ||||||
| Park Hotels & Resorts, Inc. |
16,946 | 438,393 | ||||||
| Prologis, Inc. |
44,553 | 3,971,454 | ||||||
| Public Storage |
296,724 | 63,190,343 | ||||||
| Rayonier, Inc. |
9,277 | 303,915 | ||||||
| Realty Income Corp. |
23,230 | 1,710,425 | ||||||
| Regency Centers Corp. |
11,755 | 741,623 | ||||||
| Retail Properties of America, Inc. – Class A |
15,055 | 201,737 | ||||||
| Service Properties Trust |
11,293 | 274,759 | ||||||
| Simon Property Group, Inc. |
2,490 | 370,910 | ||||||
| SITE Centers Corp. |
9,899 | 138,784 | ||||||
| SL Green Realty Corp. |
5,800 | 532,904 | ||||||
| Spirit Realty Capital, Inc. |
7,193 | 353,752 | ||||||
| STORE Capital Corp. |
15,469 | 576,066 | ||||||
| Sun Communities, Inc. |
4,917 | 738,042 | ||||||
| Taubman Centers, Inc. |
4,022 | 125,044 | ||||||
| The Howard Hughes Corp.(1) |
1,914 | 242,695 | ||||||
| UDR, Inc. |
19,453 | 908,455 | ||||||
| Ventas, Inc. |
26,315 | 1,519,428 | ||||||
| VEREIT, Inc. |
74,236 | 685,941 | ||||||
| VICI Properties, Inc. |
32,397 | 827,743 |
| Vornado Realty Trust |
12,138 | 807,177 | ||||||
| Weingarten Realty Investors |
8,396 | 262,291 | ||||||
| Welltower, Inc. |
28,592 | 2,338,254 | ||||||
| Weyerhaeuser Co. |
52,629 | 1,589,396 | ||||||
| WP Carey, Inc. |
12,255 | 980,890 | ||||||
|
|
|
|||||||
| Total Real Estate |
287,729,022 | |||||||
|
|
|
|||||||
| Utilities – 2.11% |
||||||||
| AES Corp. |
46,563 | 926,604 | ||||||
| Alliant Energy Corp. |
17,551 | 960,391 | ||||||
| Ameren Corp. |
17,327 | 1,330,714 | ||||||
| American Electric Power Co., Inc. |
35,147 | 3,321,743 | ||||||
| American Water Works Co., Inc. |
12,761 | 1,567,689 | ||||||
| Aqua America, Inc. |
15,172 | 712,174 | ||||||
| Atmos Energy Corp. |
8,203 | 917,587 | ||||||
| Avangrid, Inc. |
3,906 | 199,831 | ||||||
| CenterPoint Energy, Inc. |
35,257 | 961,458 | ||||||
| CMS Energy Corp. |
20,026 | 1,258,434 | ||||||
| Consolidated Edison, Inc. |
23,486 | 2,124,778 | ||||||
| Dominion Energy, Inc. |
740,254 | 61,307,836 | ||||||
| DTE Energy Co. |
13,298 | 1,727,011 | ||||||
| Duke Energy Corp. |
51,734 | 4,718,658 | ||||||
| Edison International |
591,873 | 44,633,143 | ||||||
| Entergy Corp. |
14,040 | 1,681,992 | ||||||
| Evergy, Inc. |
16,190 | 1,053,807 | ||||||
| Eversource Energy |
22,867 | 1,945,296 | ||||||
| Exelon Corp. |
1,153,054 | 52,567,732 | ||||||
| FirstEnergy Corp. |
38,371 | 1,864,831 | ||||||
| Hawaiian Electric Industries, Inc. |
7,540 | 353,324 | ||||||
| IDACORP, Inc. |
3,586 | 382,985 | ||||||
| MDU Resources Group, Inc. |
13,966 | 414,930 | ||||||
| National Fuel Gas Co. |
5,666 | 263,696 | ||||||
| NextEra Energy, Inc. |
34,603 | 8,379,462 | ||||||
| NiSource, Inc. |
26,192 | 729,185 | ||||||
| NRG Energy, Inc. |
17,732 | 704,847 | ||||||
| OGE Energy Corp. |
14,081 | 626,182 | ||||||
| PG&E Corp.(1) |
37,729 | 410,114 | ||||||
| Pinnacle West Capital Corp. |
7,898 | 710,267 | ||||||
| PPL Corp. |
51,063 | 1,832,140 | ||||||
| Public Service Enterprise Group, Inc. |
35,615 | 2,103,066 | ||||||
| Sempra Energy |
20,020 | 3,032,630 | ||||||
| Southern Co. |
73,821 | 4,702,398 | ||||||
| UGI Corp. |
14,694 | 663,581 | ||||||
| Vistra Energy Corp. |
29,742 | 683,768 | ||||||
| WEC Energy Group, Inc. |
22,264 | 2,053,409 | ||||||
| Xcel Energy, Inc. |
37,335 | 2,370,399 | ||||||
|
|
|
|||||||
| Total Utilities |
216,198,092 | |||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $8,017,354,809) |
9,958,947,291 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 2.67% |
||||||||
| Money Market Funds – 2.64% |
||||||||
| Goldman Sachs Financial Square Government Fund – Class I, 1.50%(2) |
271,094,308 | 271,094,308 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $271,094,308) |
271,094,308 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.03% |
||||||||
| Banco Santander, Frankfurt, 1.81% due 01/02/2020 |
$ | 1,318,519 | 1,318,519 | |||||
| BBVA, Madrid, 1.81% due 01/02/2020 |
2,201,407 | 2,201,407 | ||||||
|
|
|
|||||||
| Total Time Deposits (Cost: $3,519,926) |
3,519,926 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $274,614,234) |
274,614,234 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.70% |
||||||||
| (Cost: $8,291,969,043) |
10,233,561,525 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.30% |
30,312,953 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 10,263,874,478 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of this Schedule of Investments
Bridge Builder Large Cap Value Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These
valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 514,551,858 | $ | — | $ | — | $ | 514,551,858 | ||||||||
| Consumer Discretionary |
1,207,492,849 | 71,741,131 | — | 1,279,233,980 | ||||||||||||
| Consumer Staples |
730,131,085 | 45,909,745 | — | 776,040,830 | ||||||||||||
| Energy |
547,105,290 | — | — | 547,105,290 | ||||||||||||
| Financials |
1,897,129,774 | — | — | 1,897,129,774 | ||||||||||||
| Healthcare |
1,176,321,868 | 52,165,173 | — | 1,228,487,041 | ||||||||||||
| Industrials |
1,503,380,300 | — | — | 1,503,380,300 | ||||||||||||
| Information Technology |
1,038,839,371 | 78,569,867 | — | 1,117,409,238 | ||||||||||||
| Materials |
591,681,866 | — | — | 591,681,866 | ||||||||||||
| Real Estate |
287,729,022 | — | — | 287,729,022 | ||||||||||||
| Utilities |
216,198,092 | — | — | 216,198,092 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
271,094,308 | — | — | 271,094,308 | ||||||||||||
| Time Deposits |
— | 3,519,926 | — | 3,519,926 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 9,981,655,683 | $ | 251,905,842 | $ | — | $ | 10,233,561,525 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCKS – 98.01% |
||||||||
| Communication Services – 3.09% |
||||||||
| Altice USA, Inc. – Class A(1) |
20,534 | $ | 561,400 | |||||
| AMC Networks, Inc. – Class A(1) |
2,853 | 112,693 | ||||||
| Anterix Inc.(1) |
4,304 | 185,976 | ||||||
| Bandwidth, Inc. – Class A(1) |
5,417 | 346,959 | ||||||
| Boingo Wireless, Inc.(1) |
17,595 | 192,665 | ||||||
| Boston Omaha Corp. – Class A(1) |
3,077 | 64,740 | ||||||
| Cable One, Inc. |
296 | 440,587 | ||||||
| Cardlytics, Inc.(1) |
5,777 | 363,142 | ||||||
| Care.com, Inc.(1) |
8,163 | 122,690 | ||||||
| Cargurus, Inc. – Class A(1) |
30,325 | 1,066,833 | ||||||
| Cars.com, Inc.(1) |
3,730 | 45,581 | ||||||
| Central European Media Enterprises Ltd. – Class A(1) |
35,643 | 161,463 | ||||||
| Clear Channel Outdoor Holdings, Inc. – Class A(1) |
5,058 | 14,466 | ||||||
| Cogent Communications Holdings, Inc. |
17,162 | 1,129,431 | ||||||
| Electronic Arts, Inc.(1) |
22,735 | 2,444,240 | ||||||
| Entravision Communications Corp. – Class A |
4,280 | 11,214 | ||||||
| Eros International Plc(1) |
2,333 | 7,909 | ||||||
| Eventbrite, Inc. – Class A(1) |
14,798 | 298,476 | ||||||
| EverQuote, Inc. – Class A(1) |
3,606 | 123,866 | ||||||
| Fluent, Inc.(1) |
15,913 | 39,782 | ||||||
| Fox Corp. – Class A |
2,241 | 83,074 | ||||||
| Fox Corp. – Class B |
1,117 | 40,659 | ||||||
| Glu Mobile, Inc.(1) |
46,866 | 283,539 | ||||||
| Gogo, Inc.(1) |
21,992 | 140,749 | ||||||
| Gray Television, Inc.(1) |
14,938 | 320,271 | ||||||
| Hemisphere Media Group, Inc. – Class A(1) |
6,643 | 98,649 | ||||||
| IDT Corp. – Class B(1) |
4,892 | 35,271 | ||||||
| IMAX Corp.(1) |
21,103 | 431,134 | ||||||
| InterActiveCorp(1) |
26,885 | 6,697,322 | ||||||
| Interpublic Group of Companies, Inc. |
2,334 | 53,915 | ||||||
| Iridium Communications, Inc.(1) |
205,598 | 5,065,935 | ||||||
| John Wiley & Sons, Inc. – Class A |
563,871 | 27,359,021 | ||||||
| Liberty Media Corp.-Liberty Braves – Class A(1) |
3,971 | 117,740 | ||||||
| Liberty Media Corp.-Liberty Braves – Class C(1) |
14,590 | 430,989 | ||||||
| Liberty TripAdvisor Holdings, Inc. – Class A(1) |
29,261 | 215,068 | ||||||
| Live Nation Entertainment, Inc.(1) |
619,113 | 44,248,006 | ||||||
| LiveXLive Media, Inc.(1) |
13,219 | 20,423 | ||||||
| Loral Space & Communications, Inc.(1) |
5,149 | 166,416 | ||||||
| Madison Square Garden Co. – Class A(1) |
116 | 34,126 | ||||||
| Match Group, Inc.(1) |
3,696 | 303,479 | ||||||
| MDC Partners, Inc. – Class A(1) |
22,888 | 63,629 | ||||||
| Meet Group, Inc.(1) |
17,540 | 87,875 | ||||||
| Meredith Corp. |
16,087 | 522,345 | ||||||
| National CineMedia, Inc. |
2,908 | 21,199 | ||||||
| New York Times Co. – Class A |
2,088 | 67,171 | ||||||
| Nexstar Media Group, Inc. – Class A |
2,338 | 274,131 | ||||||
| Omnicom Group, Inc. |
7,770 | 629,525 | ||||||
| Ooma, Inc.(1) |
8,200 | 108,486 | ||||||
| ORBCOMM, Inc.(1) |
24,080 | 101,377 | ||||||
| Pareteum Corp.(1) |
19,683 | 8,607 | ||||||
| Pinterest, Inc. – Class A(1) |
561,920 | 10,474,189 | ||||||
| QuinStreet, Inc.(1) |
18,665 | 285,761 | ||||||
| Roku, Inc. – Class A(1) |
5,815 | 778,629 | ||||||
| Shenandoah Telecommunications Co. |
19,442 | 808,982 | ||||||
| Sinclair Broadcast Group, Inc. – Class A |
3,901 | 130,059 | ||||||
| Sirius XM Holdings, Inc. |
92,468 | 661,146 | ||||||
| Spotify Technology SA(1) |
8,030 | 1,200,887 | ||||||
| Take-Two Interactive Software, Inc.(1) |
36,458 | 4,463,553 | ||||||
| TechTarget, Inc.(1) |
9,360 | 244,296 | ||||||
| Travelzoo(1) |
2,215 | 23,701 | ||||||
| TripAdvisor, Inc. |
6,421 | 195,070 | ||||||
| TrueCar, Inc.(1) |
36,017 | 171,081 | ||||||
| Twitter, Inc.(1) |
51,688 | 1,656,600 | ||||||
| ViacomCBS, Inc. – Class A |
151 | 6,775 | ||||||
| ViacomCBS, Inc. – Class B |
20,369 | 854,887 | ||||||
| Vonage Holdings Corp.(1) |
62,167 | 460,657 | ||||||
| World Wrestling Entertainment, Inc. – Class A |
3,038 | 197,075 | ||||||
| Yelp, Inc. – Class A(1) |
27,690 | 964,443 | ||||||
| Zayo Group Holdings, Inc.(1) |
15,299 | 530,110 | ||||||
| Zynga, Inc. – Class A(1) |
2,045,940 | 12,521,153 | ||||||
|
|
|
|||||||
| Total Communication Services |
|
132,393,298 | ||||||
|
|
|
|||||||
| Consumer Discretionary – 11.11% |
||||||||
| 1-800-Flowers.com, Inc. – Class A(1) |
10,055 | 145,798 | ||||||
| Aaron’s, Inc. |
123,381 | 7,046,289 | ||||||
| Advance Auto Parts, Inc. |
307,150 | 49,193,144 | ||||||
| American Eagle Outfitters, Inc. |
57,878 | 850,807 | ||||||
| America’s Car-Mart, Inc.(1) |
2,519 | 276,234 | ||||||
| Aptiv Plc |
285,658 | 27,128,940 | ||||||
| Asbury Automotive Group, Inc.(1) |
7,820 | 874,198 | ||||||
| At Home Group, Inc.(1) |
1,173 | 6,452 | ||||||
| AutoZone, Inc.(1) |
1,613 | 1,921,583 | ||||||
| Best Buy, Inc. |
3,170 | 278,326 | ||||||
| Biglari Holdings, Inc. – Class B(1) |
323 | 36,958 | ||||||
| BJ’s Restaurants, Inc. |
7,753 | 294,304 | ||||||
| Bloomin’ Brands, Inc. |
35,123 | 775,165 | ||||||
| Boot Barn Holdings, Inc.(1) |
11,294 | 502,922 | ||||||
| Boyd Gaming Corp. |
29,580 | 885,625 | ||||||
| Bright Horizons Family Solutions, Inc.(1) |
77,580 | 11,659,498 | ||||||
| Brinker International, Inc. |
11,498 | 482,916 | ||||||
| Burlington Stores, Inc.(1) |
44,249 | 10,090,099 | ||||||
| Camping World Holdings, Inc. – Class A |
13,384 | 197,280 | ||||||
| Canada Goose Holdings, Inc.(1) |
42,739 | 1,548,861 | ||||||
| Capri Holdings Ltd.(1) |
3,992 | 152,295 | ||||||
| Career Education Corp.(1) |
27,810 | 511,426 | ||||||
| CarMax, Inc.(1) |
5,261 | 461,232 | ||||||
| Carrols Restaurant Group, Inc.(1) |
862 | 6,077 | ||||||
| Carter’s, Inc. |
1,341 | 146,625 | ||||||
| Carvana Co. – Class A(1) |
3,084 | 283,882 | ||||||
| Cavco Industries, Inc.(1) |
3,481 | 680,118 | ||||||
| Centric Brands, Inc.(1) |
6,340 | 13,758 | ||||||
| Century Communities, Inc.(1) |
4,659 | 127,424 | ||||||
| Cheesecake Factory, Inc. |
16,841 | 654,441 | ||||||
| Chegg, Inc.(1) |
47,896 | 1,815,737 | ||||||
| Chewy, Inc. – Class A(1) |
366,860 | 10,638,940 | ||||||
| Children’s Place, Inc. |
6,124 | 382,873 | ||||||
| Chipotle Mexican Grill, Inc. – Class A(1) |
1,740 | 1,456,571 | ||||||
| Choice Hotels International, Inc. |
990 | 102,396 | ||||||
| Churchill Downs, Inc. |
14,217 | 1,950,572 | ||||||
| Chuy’s Holdings, Inc.(1) |
1,735 | 44,971 | ||||||
| Clarus Corp. |
3,026 | 41,033 | ||||||
| Collectors Universe |
3,369 | 77,655 | ||||||
| Columbia Sportswear Co. |
1,311 | 131,349 | ||||||
| Core-Mark Holding Co., Inc. |
18,286 | 497,196 | ||||||
| Cracker Barrel Old Country Store, Inc. |
9,723 | 1,494,814 | ||||||
| Crocs, Inc.(1) |
27,945 | 1,170,616 | ||||||
| Darden Restaurants, Inc. |
8,347 | 909,906 | ||||||
| Dave & Buster’s Entertainment, Inc. |
12,483 | 501,442 | ||||||
| Deckers Outdoor Corp.(1) |
11,365 | 1,919,094 | ||||||
| Delphi Technologies Plc(1) |
275,017 | 3,528,468 | ||||||
| Denny’s Corp.(1) |
17,619 | 350,266 | ||||||
| Designer Brands, Inc. – Class A |
9,143 | 143,911 | ||||||
| Dine Brands Global, Inc. |
3,808 | 318,044 | ||||||
| Dollar General Corp. |
16,566 | 2,583,965 | ||||||
| Dollar Tree, Inc.(1) |
8,666 | 815,037 | ||||||
| Domino’s Pizza, Inc. |
25,982 | 7,632,992 | ||||||
| Dorman Products, Inc.(1) |
10,910 | 826,105 | ||||||
| Drive Shack, Inc.(1) |
21,950 | 80,337 | ||||||
| Duluth Holdings, Inc. – Class B(1) |
4,363 | 45,942 | ||||||
| Dunkin’ Brands Group, Inc. |
5,222 | 394,470 | ||||||
| Eldorado Resorts, Inc.(1) |
26,647 | 1,589,227 | ||||||
| Etsy, Inc.(1) |
8,000 | 354,400 | ||||||
| Everi Holdings, Inc.(1) |
27,719 | 372,266 | ||||||
| Expedia Group, Inc. |
236,218 | 25,544,615 | ||||||
| Five Below, Inc.(1) |
40,805 | 5,217,327 | ||||||
| Floor & Decor Holdings, Inc. – Class A(1) |
102,861 | 5,226,367 | ||||||
| Fox Factory Holding Corp.(1) |
77,488 | 5,390,840 | ||||||
| Funko, Inc. – Class A(1) |
8,855 | 151,952 | ||||||
| Gentherm, Inc.(1) |
184,773 | 8,202,073 | ||||||
| Golden Entertainment, Inc.(1) |
3,413 | 65,598 | ||||||
| GoPro, Inc. – Class A(1) |
47,613 | 206,640 | ||||||
| Grand Canyon Education, Inc.(1) |
34,655 | 3,319,602 | ||||||
| Green Brick Partners, Inc.(1) |
748 | 8,587 | ||||||
| Greenlane Holdings, Inc. – Class A(1) |
4,966 | 16,164 | ||||||
| Groupon, Inc. – Class A(1) |
181,927 | 434,806 | ||||||
| GrubHub, Inc.(1) |
6,182 | 300,692 | ||||||
| H&R Block, Inc. |
2,082 | 48,885 | ||||||
| Hamilton Beach Brands Holding Co. – Class A |
2,726 | 52,067 | ||||||
| Hanesbrands, Inc. |
18,799 | 279,165 | ||||||
| Hasbro, Inc. |
8,573 | 905,395 | ||||||
| Helen of Troy Ltd.(1) |
78,300 | 14,077,557 | ||||||
| Hibbett Sports, Inc.(1) |
391 | 10,964 | ||||||
| Hilton Grand Vacations, Inc.(1) |
747 | 25,689 | ||||||
| Hilton Worldwide Holdings, Inc. |
18,943 | 2,100,968 | ||||||
| Hooker Furniture Corp. |
331 | 8,503 | ||||||
| Hudson Ltd. – Class A(1) |
526,059 | 8,069,745 | ||||||
| Inspired Entertainment, Inc.(1) |
3,493 | 23,578 | ||||||
| Installed Building Products, Inc.(1) |
9,161 | 630,918 | ||||||
| iRobot Corp.(1) |
11,143 | 564,170 | ||||||
| Jack in the Box, Inc. |
1,598 | 124,692 | ||||||
| Johnson Outdoors, Inc. – Class A |
1,248 | 95,722 | ||||||
| K12, Inc.(1) |
1,250 | 25,438 | ||||||
| KB Home |
7,025 | 240,747 | ||||||
| Kontoor Brands, Inc. |
4,304 | 180,725 | ||||||
| Kura Sushi USA, Inc. – Class A(1) |
704 | 17,917 | ||||||
| L Brands, Inc. |
2,458 | 44,539 | ||||||
| La-Z-Boy, Inc. |
7,729 | 243,309 | ||||||
| LCI Industries |
9,855 | 1,055,766 | ||||||
| Leaf Group Ltd.(1) |
5,881 | 23,524 | ||||||
| Legacy Housing Corp.(1) |
842 | 14,011 | ||||||
| Lennar Corp. – Class A |
7,704 | 429,806 | ||||||
| Lennar Corp. – Class B |
467 | 20,875 | ||||||
| LGI Homes, Inc.(1) |
8,129 | 574,314 | ||||||
| Lindblad Expeditions Holdings, Inc.(1) |
9,259 | 151,385 | ||||||
| Lithia Motors, Inc. – Class A |
5,581 | 820,407 | ||||||
| LKQ Corp.(1) |
2,914 | 104,030 | ||||||
| Lovesac Co.(1) |
3,626 | 58,197 | ||||||
| Lululemon Athletica, Inc.(1) |
32,249 | 7,471,126 |
| Lumber Liquidators Holdings, Inc.(1) |
1,985 | 19,393 | ||||||
| Malibu Boats, Inc. – Class A(1) |
8,248 | 337,756 | ||||||
| Marine Products Corp. |
3,082 | 44,381 | ||||||
| MarineMax, Inc.(1) |
483 | 8,061 | ||||||
| Marriott Vacations Worldwide Corp. |
3,016 | 388,340 | ||||||
| MasterCraft Boat Holdings, Inc.(1) |
7,401 | 116,566 | ||||||
| Mattel, Inc.(1) |
15,928 | 215,824 | ||||||
| MercadoLibre, Inc.(1) |
62,162 | 35,552,934 | ||||||
| MGM Resorts International |
2,920 | 97,148 | ||||||
| Monarch Casino & Resort, Inc.(1) |
3,639 | 176,673 | ||||||
| Monro, Inc. |
13,206 | 1,032,709 | ||||||
| Murphy USA, Inc.(1) |
2,032 | 237,744 | ||||||
| Nathan’s Famous, Inc. |
478 | 33,881 | ||||||
| National Vision Holdings, Inc.(1) |
196,834 | 6,383,327 | ||||||
| Noodles & Co. – Class A(1) |
11,942 | 66,159 | ||||||
| Nordstrom, Inc. |
7,445 | 304,724 | ||||||
| Norwegian Cruise Line Holdings Ltd.(1) |
2,895 | 169,097 | ||||||
| NVR, Inc.(1) |
223 | 849,275 | ||||||
| Ollie’s Bargain Outlet Holdings, Inc.(1) |
155,434 | 10,151,395 | ||||||
| O’Reilly Automotive, Inc.(1) |
5,067 | 2,220,663 | ||||||
| Overstock.com, Inc.(1) |
1,700 | 11,985 | ||||||
| Oxford Industries, Inc. |
2,626 | 198,053 | ||||||
| Papa John’s International, Inc. |
7,966 | 503,053 | ||||||
| Penn National Gaming, Inc.(1) |
4,991 | 127,570 | ||||||
| PetMed Express, Inc. |
2,314 | 54,425 | ||||||
| Planet Fitness, Inc. – Class A(1) |
5,578 | 416,565 | ||||||
| PlayAGS, Inc.(1) |
10,650 | 129,185 | ||||||
| Polaris Industries, Inc. |
3,495 | 355,442 | ||||||
| Pool Corp. |
50,173 | 10,655,742 | ||||||
| Purple Innovation, Inc. – Class A(1) |
882 | 7,682 | ||||||
| Quotient Technology, Inc.(1) |
3,041 | 29,984 | ||||||
| RealReal, Inc.(1) |
1,760 | 33,176 | ||||||
| Red Rock Resorts, Inc. – Class A |
28,238 | 676,300 | ||||||
| Regis Corp.(1) |
677 | 12,098 | ||||||
| Rent-A-Center, Inc. |
20,038 | 577,896 | ||||||
| RH(1) |
1,896 | 404,796 | ||||||
| Ross Stores, Inc. |
370,772 | 43,165,276 | ||||||
| Rubicon Project, Inc.(1) |
13,281 | 108,373 | ||||||
| Ruth’s Hospitality Group, Inc. |
11,184 | 243,420 | ||||||
| Sally Beauty Holdings, Inc.(1) |
608,000 | 11,096,000 | ||||||
| Scientific Games Corp.(1) |
22,522 | 603,139 | ||||||
| SeaWorld Entertainment, Inc.(1) |
19,030 | 603,441 | ||||||
| Select Interior Concepts, Inc. – Class A(1) |
2,282 | 20,515 | ||||||
| Service Corp. International |
4,346 | 200,046 | ||||||
| ServiceMaster Global Holdings, Inc.(1) |
1,482 | 57,294 | ||||||
| Shake Shack, Inc. – Class A(1) |
11,733 | 698,935 | ||||||
| Shutterstock, Inc.(1) |
7,726 | 331,291 | ||||||
| Six Flags Entertainment Corp. |
510 | 23,006 | ||||||
| Skechers U.S.A., Inc. – Class A(1) |
3,202 | 138,294 | ||||||
| Skyline Champion Corp.(1) |
20,350 | 645,095 | ||||||
| Sleep Number Corp.(1) |
10,363 | 510,274 | ||||||
| Sonos, Inc.(1) |
28,719 | 448,591 | ||||||
| Standard Motor Products, Inc. |
1,826 | 97,180 | ||||||
| Steven Madden Ltd. |
278,101 | 11,961,124 | ||||||
| Stitch Fix, Inc. – Class A(1) |
14,829 | 380,512 | ||||||
| Stoneridge, Inc.(1) |
1,152 | 33,777 | ||||||
| Strategic Education, Inc. |
8,626 | 1,370,671 | ||||||
| Sturm Ruger & Co., Inc. |
6,201 | 291,633 | ||||||
| Superior Group of Companies, Inc. |
1,138 | 15,409 | ||||||
| Tailored Brands, Inc. |
18,004 | 74,537 |
| Target Hospitality Corp.(1) |
12,940 | 64,700 | ||||||
| Taylor Morrison Home Corp. – Class A(1) |
5,969 | 130,482 | ||||||
| Tempur Sealy International, Inc.(1) |
3,117 | 271,366 | ||||||
| Texas Roadhouse, Inc. – Class A |
163,782 | 9,224,202 | ||||||
| The Habit Restaurants, Inc. – Class A(1) |
2,874 | 29,976 | ||||||
| TopBuild Corp.(1) |
13,536 | 1,395,291 | ||||||
| Tractor Supply Co. |
279,123 | 26,081,253 | ||||||
| Twin River Worldwide Holdings, Inc. |
7,111 | 182,397 | ||||||
| Ulta Beauty, Inc.(1) |
120,825 | 30,585,641 | ||||||
| Under Armour, Inc. – Class A(1) |
8,514 | 183,902 | ||||||
| Under Armour, Inc. – Class C(1) |
8,492 | 162,877 | ||||||
| Universal Electronics, Inc.(1) |
4,927 | 257,485 | ||||||
| Vail Resorts, Inc. |
2,429 | 582,547 | ||||||
| Waitr Holdings, Inc.(1) |
3,833 | 1,234 | ||||||
| Wayfair, Inc. – Class A(1) |
4,265 | 385,428 | ||||||
| Wendy’s Co. |
12,705 | 282,178 | ||||||
| Williams-Sonoma, Inc. |
979 | 71,898 | ||||||
| Wingstop, Inc. |
59,060 | 5,092,744 | ||||||
| Winmark Corp. |
384 | 76,147 | ||||||
| Winnebago Industries, Inc. |
8,825 | 467,549 | ||||||
| Wolverine World Wide, Inc. |
15,639 | 527,660 | ||||||
| Wyndham Hotels & Resorts, Inc. |
1,919 | 120,532 | ||||||
| Wynn Resorts Ltd. |
5,495 | 763,091 | ||||||
| YETI Holdings, Inc.(1) |
16,677 | 580,026 | ||||||
| Yum China Holdings, Inc. |
19,821 | 951,606 | ||||||
| ZAGG, Inc.(1) |
655 | 5,312 | ||||||
|
|
|
|||||||
| Total Consumer Discretionary |
|
476,178,028 | ||||||
|
|
|
|||||||
| Consumer Staples – 5.66% |
||||||||
| 22nd Century Group, Inc.(1) |
46,166 | 50,783 | ||||||
| B&G Foods, Inc. |
2,682 | 48,088 | ||||||
| BellRing Brands, Inc. – Class A(1) |
9,485 | 201,936 | ||||||
| BJ’s Wholesale Club Holdings, Inc.(1) |
15,461 | 351,583 | ||||||
| Boston Beer Inc. – Class A(1) |
3,380 | 1,277,133 | ||||||
| Bridgford Foods Corp.(1) |
749 | 18,568 | ||||||
| Brown-Forman Corp. – Class A |
2,874 | 180,401 | ||||||
| Brown-Forman Corp. – Class B |
195,943 | 13,245,747 | ||||||
| Calavo Growers, Inc. |
115,467 | 10,460,156 | ||||||
| Campbell Soup Co. |
342,439 | 16,923,335 | ||||||
| Casey’s General Stores, Inc. |
118,497 | 18,839,838 | ||||||
| Celsius Holdings, Inc.(1) |
11,902 | 57,487 | ||||||
| Church & Dwight Co., Inc. |
16,773 | 1,179,813 | ||||||
| Clorox Co. |
6,957 | 1,068,178 | ||||||
| Coca-Cola Consolidated, Inc. |
1,896 | 538,559 | ||||||
| Craft Brew Alliance, Inc.(1) |
363 | 5,990 | ||||||
| elf Beauty, Inc.(1) |
1,699 | 27,405 | ||||||
| Flowers Foods, Inc. |
509,000 | 11,065,660 | ||||||
| Freshpet, Inc.(1) |
13,922 | 822,651 | ||||||
| Grocery Outlet Holding Corp.(1) |
375 | 12,169 | ||||||
| Herbalife Nutrition Ltd.(1) |
1,048 | 49,958 | ||||||
| Hershey Co. |
8,585 | 1,261,823 | ||||||
| HF Foods Group, Inc.(1) |
2,968 | 57,876 | ||||||
| Hormel Foods Corp. |
281,000 | 12,675,910 | ||||||
| Inter Parfums, Inc. |
7,135 | 518,786 | ||||||
| J&J Snack Foods Corp. |
6,116 | 1,126,995 | ||||||
| John B Sanfilippo & Son, Inc. |
3,486 | 318,202 | ||||||
| Kellogg Co. |
6,393 | 442,140 | ||||||
| Lamb Weston Holdings, Inc. |
343,553 | 29,555,865 | ||||||
| Lancaster Colony Corp. |
5,551 | 888,715 | ||||||
| LifeVantage Corp.(1) |
5,709 | 89,117 | ||||||
| Limoneira Co. |
1,961 | 37,710 | ||||||
| McCormick & Co., Inc. |
82,386 | 13,983,376 | ||||||
| Medifast, Inc. |
4,473 | 490,151 | ||||||
| MGP Ingredients, Inc. |
5,232 | 253,490 | ||||||
| Molson Coors Brewing Co. – Class B |
295,000 | 15,900,500 | ||||||
| Monster Beverage Corp.(1) |
60,226 | 3,827,362 | ||||||
| National Beverage Corp.(1) |
4,769 | 243,314 | ||||||
| New Age Beverages Corp.(1) |
30,446 | 55,412 | ||||||
| Performance Food Group Co.(1) |
41,637 | 2,143,473 | ||||||
| Pilgrim’s Pride Corp.(1) |
1,227 | 40,141 | ||||||
| Post Holdings, Inc.(1) |
1,983 | 216,345 | ||||||
| PriceSmart, Inc. |
768 | 54,543 | ||||||
| Primo Water Corp.(1) |
14,071 | 157,947 | ||||||
| Revlon, Inc. – Class A(1) |
2,416 | 51,751 | ||||||
| Sanderson Farms, Inc. |
6,760 | 1,191,247 | ||||||
| Sprouts Farmers Market, Inc.(1) |
3,844 | 74,381 | ||||||
| The Chefs’ Warehouse, Inc.(1) |
9,863 | 375,879 | ||||||
| The J.M. Smucker Co. |
279,000 | 29,052,270 | ||||||
| Tootsie Roll Industries, Inc. |
5,821 | 198,729 | ||||||
| TreeHouse Foods, Inc.(1) |
278,638 | 13,513,943 | ||||||
| Turning Point Brands, Inc. |
3,328 | 95,181 | ||||||
| US Foods Holding Corp.(1) |
594,500 | 24,903,605 | ||||||
| USANA Health Sciences, Inc.(1) |
5,070 | 398,249 | ||||||
| Vector Group Ltd. |
42,141 | 564,268 | ||||||
| WD-40 Co. |
57,957 | 11,251,772 | ||||||
| Youngevity International, Inc.(1) |
3,882 | 12,655 | ||||||
|
|
|
|||||||
| Total Consumer Staples |
|
242,448,561 | ||||||
|
|
|
|||||||
| Energy – 0.80% |
||||||||
| Altus Midstream Co. – Class A(1) |
20,242 | 57,892 | ||||||
| Apergy Corp.(1) |
191,184 | 6,458,196 | ||||||
| Ardmore Shipping Corp.(1) |
2,471 | 22,363 | ||||||
| Brigham Minerals, Inc. – Class A |
4,570 | 97,981 | ||||||
| Cabot Oil & Gas Corp. |
160,016 | 2,785,879 | ||||||
| Cactus, Inc. – Class A |
19,067 | 654,379 | ||||||
| Cheniere Energy, Inc.(1) |
9,034 | 551,706 | ||||||
| Core Laboratories NV |
139,817 | 5,266,906 | ||||||
| CVR Energy, Inc. |
4,972 | 201,018 | ||||||
| Diamondback Energy, Inc. |
2,233 | 207,356 | ||||||
| DMC Global, Inc. |
5,693 | 255,843 | ||||||
| Dorian LPG Ltd.(1) |
2,166 | 33,530 | ||||||
| Equitrans Midstream Corp. |
1,388 | 18,544 | ||||||
| Evolution Petroleum Corp. |
9,183 | 50,231 | ||||||
| Falcon Minerals Corp. |
2,365 | 16,697 | ||||||
| FTS International, Inc.(1) |
5,655 | 5,881 | ||||||
| GasLog Ltd. |
11,045 | 108,131 | ||||||
| Golar LNG Ltd. |
3,168 | 45,049 | ||||||
| Goodrich Petroleum Corp.(1) |
2,717 | 27,279 | ||||||
| Jagged Peak Energy, Inc.(1) |
16,510 | 140,170 | ||||||
| Liberty Oilfield Services, Inc. – Class A |
6,187 | 68,799 | ||||||
| Matador Resources Co.(1) |
4,567 | 82,069 | ||||||
| NextDecade Corp.(1) |
4,830 | 29,656 | ||||||
| ONEOK, Inc. |
8,910 | 674,220 | ||||||
| Parsley Energy, Inc. – Class A |
103,246 | 1,952,382 | ||||||
| Pioneer Natural Resources Co. |
74,753 | 11,315,362 | ||||||
| PrimeEnergy Resources Corp.(1) |
167 | 25,260 | ||||||
| ProPetro Holding Corp.(1) |
18,557 | 208,766 | ||||||
| RigNet, Inc.(1) |
5,157 | 34,036 | ||||||
| Ring Energy, Inc.(1) |
9,618 | 25,392 | ||||||
| Rosehill Resources, Inc. – Class A(1) |
3,749 | 4,799 | ||||||
| Solaris Oilfield Infrastructure, Inc. – Class A |
12,550 | 175,700 | ||||||
| SRC Energy, Inc.(1) |
511,900 | 2,109,028 | ||||||
| Tellurian, Inc.(1) |
37,955 | 276,312 | ||||||
| U.S. Well Services, Inc.(1) |
6,016 | 11,370 | ||||||
| Uranium Energy Corp.(1) |
71,631 | 65,843 | ||||||
|
|
|
|||||||
| Total Energy |
|
34,064,025 | ||||||
|
|
|
|||||||
| Financials – 9.20% |
||||||||
| Alerus Financial Corp. |
490 | 11,196 | ||||||
| Alleghany Corp.(1) |
102 | 81,556 | ||||||
| Ameriprise Financial, Inc. |
1,179 | 196,398 | ||||||
| Ameris Bancorp |
3,879 | 165,013 | ||||||
| Arch Capital Group Ltd.(1) |
3,574 | 153,289 | ||||||
| Ares Management Corp. – Class A |
28,981 | 1,034,332 | ||||||
| Argo Group International Holdings Ltd. |
192,060 | 12,627,945 | ||||||
| Arthur J. Gallagher & Co. |
332,596 | 31,673,117 | ||||||
| Artisan Partners Asset Management, Inc. – Class A |
10,891 | 351,997 | ||||||
| Assetmark Financial Holdings, Inc.(1) |
2,657 | 77,106 | ||||||
| Athene Holding Ltd. – Class A(1) |
3,987 | 187,509 | ||||||
| Atlantic Capital Bancshares, Inc.(1) |
665 | 12,203 | ||||||
| Axis Capital Holdings Ltd. |
571 | 33,940 | ||||||
| Axos Financial, Inc.(1) |
14,849 | 449,628 | ||||||
| Bank First Corp. |
2,214 | 155,002 | ||||||
| Bank of NT Butterfield & Son Ltd. |
7,452 | 275,873 | ||||||
| Bank7 Corp. |
211 | 4,001 | ||||||
| Baycom Corp.(1) |
1,580 | 35,929 | ||||||
| Blucora, Inc.(1) |
14,205 | 371,319 | ||||||
| Brown & Brown, Inc. |
833 | 32,887 | ||||||
| BRP Group, Inc. – Class A(1) |
2,532 | 40,639 | ||||||
| Bryn Mawr Bank Corp. |
112,335 | 4,632,695 | ||||||
| Cambridge Bancorp |
464 | 37,190 | ||||||
| Camden National Corp. |
108,054 | 4,976,967 | ||||||
| CBOE Global Markets, Inc. |
1,851 | 222,120 | ||||||
| Century Bancorp, Inc. – Class A |
177 | 15,923 | ||||||
| CIT Group, Inc. |
501 | 22,861 | ||||||
| City Holding Co. |
549 | 44,991 | ||||||
| CNB Financial Corporation, Inc. |
342 | 11,177 | ||||||
| Coastal Financial Corp.(1) |
2,006 | 33,039 | ||||||
| Cohen & Steers, Inc. |
161,601 | 10,142,079 | ||||||
| Columbia Banking System, Inc. |
449,775 | 18,299,096 | ||||||
| Comerica, Inc. |
559 | 40,108 | ||||||
| Commerce Bancshares, Inc. |
200,000 | 13,588,000 | ||||||
| Cowen, Inc. – Class A(1) |
5,355 | 84,341 | ||||||
| Crawford & Co. – Class A |
5,627 | 64,542 | ||||||
| Credit Acceptance Corp.(1) |
627 | 277,341 | ||||||
| CrossFirst Bankshares, Inc.(1) |
543 | 7,830 | ||||||
| Cullen/Frost Bankers, Inc. |
200,000 | 19,556,000 | ||||||
| Curo Group Holdings Corp.(1) |
6,309 | 76,844 | ||||||
| Diamond Hill Investment Group, Inc. |
1,111 | 156,051 | ||||||
| Discover Financial Services |
7,470 | 633,605 | ||||||
| E*TRADE Financial Corp. |
2,825 | 128,170 | ||||||
| Eagle Bancorp, Inc. |
729 | 35,451 | ||||||
| eHealth, Inc.(1) |
9,219 | 885,761 | ||||||
| Elevate Credit, Inc.(1) |
6,539 | 29,099 | ||||||
| Enova International, Inc.(1) |
8,678 | 208,793 | ||||||
| Enstar Group Ltd.(1) |
791 | 163,626 | ||||||
| Entegra Financial Corp.(1) |
304 | 9,169 | ||||||
| Erie Indemnity Co. – Class A |
1,112 | 184,592 | ||||||
| Esquire Financial Holdings, Inc.(1) |
957 | 24,949 | ||||||
| Essent Group Ltd. |
19,834 | 1,031,170 | ||||||
| Evercore, Inc. – Class A |
981 | 73,340 | ||||||
| Everest Re Group Ltd. |
150,461 | 41,653,623 | ||||||
| FactSet Research Systems, Inc. |
2,540 | 681,482 | ||||||
| FB Financial Corp. |
3,413 | 135,121 | ||||||
| Federal Agricultural Mortgage Corp. – Class C |
1,112 | 92,852 | ||||||
| Federated Investors, Inc. – Class B |
39,004 | 1,271,140 | ||||||
| FedNat Holding Co. |
2,547 | 42,357 | ||||||
| Fidelity D&D Bancorp, Inc. |
433 | 26,937 | ||||||
| First Capital, Inc. |
88 | 6,424 | ||||||
| First Financial Bankshares, Inc. |
52,625 | 1,847,137 | ||||||
| First Financial Corp. |
464 | 21,214 | ||||||
| First Foundation, Inc. |
5,149 | 89,593 | ||||||
| First Republic Bank |
205,681 | 24,157,233 | ||||||
| FirstCash, Inc. |
78,262 | 6,310,265 | ||||||
| Focus Financial Partners, Inc. – Class A(1) |
12,390 | 365,133 | ||||||
| FS Bancorp, Inc. |
184 | 11,737 | ||||||
| GAMCO Investors, Inc. – Class A |
1,869 | 36,427 | ||||||
| Glacier Bancorp, Inc. |
5,080 | 233,629 | ||||||
| Global Indemnity Ltd. |
721 | 21,363 | ||||||
| Goosehead Insurance, Inc. – Class A |
4,597 | 194,913 | ||||||
| Great Western Bancorp, Inc. |
259,169 | 9,003,531 | ||||||
| Green Dot Corp. – Class A(1) |
16,206 | 377,600 | ||||||
| Greene County Bancorp, Inc. |
1,078 | 31,036 | ||||||
| Greenhill & Co., Inc. |
6,274 | 107,160 | ||||||
| GWG Holdings, Inc.(1) |
414 | 4,065 | ||||||
| Hamilton Lane, Inc. – Class A |
8,933 | 532,407 | ||||||
| Hanmi Financial Corp. |
645 | 12,897 | ||||||
| HarborOne Bancorp, Inc.(1) |
4,815 | 52,917 | ||||||
| HBT Financial, Inc.(1) |
478 | 9,077 | ||||||
| Health Insurance Innovations, Inc. – Class A(1) |
3,964 | 76,466 | ||||||
| Heritage Commerce Corp. |
2,520 | 32,332 | ||||||
| Heritage Insurance Holdings, Inc. |
1,110 | 14,707 | ||||||
| Hingham Institution for Savings |
264 | 55,493 | ||||||
| HomeTrust Bancshares, Inc. |
1,986 | 53,284 | ||||||
| Houlihan Lokey, Inc. – Class A |
253,125 | 12,370,219 | ||||||
| Independent Bank Corp. |
1,207 | 100,483 | ||||||
| Independent Bank Corp. MI |
2,376 | 53,816 | ||||||
| Independent Bank Group, Inc. |
3,581 | 198,531 | ||||||
| Interactive Brokers Group, Inc. – Class A |
1,344 | 62,657 | ||||||
| Investar Holding Corp. |
1,218 | 29,232 | ||||||
| Investors Title Co. |
86 | 13,691 | ||||||
| James River Group Holdings Ltd. |
5,595 | 230,570 | ||||||
| Kearny Financial Corp. |
10,286 | 142,255 | ||||||
| Kemper Corp. |
760 | 58,900 | ||||||
| Kinsale Capital Group, Inc. |
8,240 | 837,678 | ||||||
| Ladenburg Thalmann Financial Services, Inc. |
44,389 | 154,474 | ||||||
| Lakeland Financial Corp. |
7,483 | 366,143 | ||||||
| Lazard Ltd. – Class A |
2,675 | 106,893 | ||||||
| LendingTree, Inc.(1) |
520 | 157,789 | ||||||
| LPL Financial Holdings, Inc. |
5,469 | 504,515 | ||||||
| Malvern Bancorp, Inc.(1) |
592 | 13,669 | ||||||
| Markel Corp.(1) |
80 | 91,454 | ||||||
| MarketAxess Holdings, Inc. |
21,570 | 8,177,403 | ||||||
| Marlin Business Services Corp. |
1,166 | 25,629 | ||||||
| MBIA, Inc.(1) |
2,873 | 26,719 | ||||||
| Meridian Bancorp, Inc. |
2,876 | 57,779 | ||||||
| Meta Financial Group, Inc. |
8,284 | 302,449 | ||||||
| Metrocity Bankshares, Inc. |
501 | 8,772 | ||||||
| Midland States Bancorp, Inc. |
993 | 28,757 | ||||||
| Moelis & Co. – Class A |
15,618 | 498,527 |
| Morningstar, Inc. |
47,318 | 7,159,687 | ||||||
| Mr Cooper Group, Inc.(1) |
14,805 | 185,211 | ||||||
| MSCI, Inc. – Class A |
5,580 | 1,440,644 | ||||||
| National Bank Holdings Corp. – Class A |
3,885 | 136,830 | ||||||
| National General Holdings Corp. |
16,427 | 363,037 | ||||||
| NMI Holdings, Inc. – Class A(1) |
26,296 | 872,501 | ||||||
| Northeast Bank |
244 | 5,366 | ||||||
| Northern Trust Corp. |
275,000 | 29,216,000 | ||||||
| Oak Valley Bancorp |
225 | 4,378 | ||||||
| OceanFirst Financial Corp. |
1,437 | 36,701 | ||||||
| Oportun Financial Corp.(1) |
1,311 | 31,202 | ||||||
| Palomar Holdings, Inc. – Class A(1) |
64,039 | 3,233,329 | ||||||
| PCSB Financial Corp. |
782 | 15,835 | ||||||
| People’s Utah Bancorp |
548 | 16,506 | ||||||
| Pioneer Bancorp, Inc.(1) |
435 | 6,660 | ||||||
| PJT Partners, Inc. – Class A |
5,472 | 246,951 | ||||||
| PRA Group, Inc.(1) |
156,113 | 5,666,902 | ||||||
| Preferred Bank Los Angeles |
1,739 | 104,496 | ||||||
| Primerica, Inc. |
2,035 | 265,690 | ||||||
| ProSight Global, Inc.(1) |
1,403 | 22,630 | ||||||
| Prosperity Bancshares, Inc. |
215,682 | 15,505,379 | ||||||
| Provident Bancorp, Inc.(1) |
293 | 3,648 | ||||||
| Pzena Investment Management, Inc. – Class A |
7,045 | 60,728 | ||||||
| Raymond James Financial, Inc. |
1,985 | 177,578 | ||||||
| Red River Bancshares, Inc.(1) |
79 | 4,429 | ||||||
| Regional Management Corp.(1) |
1,770 | 53,153 | ||||||
| Reliant Bancorp, Inc. |
377 | 8,384 | ||||||
| RenaissanceRe Holdings Ltd. |
1,122 | 219,934 | ||||||
| Richmond Mutual Bancorporation, Inc.(1) |
582 | 9,289 | ||||||
| RLI Corp. |
16,158 | 1,454,543 | ||||||
| Safeguard Scientifics, Inc. |
7,923 | 86,995 | ||||||
| Sculptor Capital Management, Inc. – Class A |
3,567 | 78,831 | ||||||
| Seacoast Banking Corp. of Florida(1) |
3,316 | 101,370 | ||||||
| SEI Investments Co. |
4,161 | 272,462 | ||||||
| Selective Insurance Group, Inc. |
10,742 | 700,271 | ||||||
| ServisFirst Bancshares, Inc. |
15,852 | 597,303 | ||||||
| Siebert Financial Corp.(1) |
3,213 | 27,792 | ||||||
| Signature Bank |
1,800 | 245,898 | ||||||
| Silvercrest Asset Management Group, Inc. – Class A |
3,414 | 42,948 | ||||||
| South State Corp. |
149,515 | 12,970,426 | ||||||
| Southern Missouri Bancorp, Inc. |
261 | 10,012 | ||||||
| State Auto Financial Corp. |
541 | 16,782 | ||||||
| Stock Yards Bancorp, Inc. |
1,721 | 70,664 | ||||||
| SVB Financial Group(1) |
77,344 | 19,416,438 | ||||||
| Synchrony Financial |
11,898 | 428,447 | ||||||
| Synovus Financial Corp. |
744 | 29,165 | ||||||
| T Rowe Price Group, Inc. |
4,455 | 542,797 | ||||||
| Texas Capital Bancshares, Inc.(1) |
137,668 | 7,815,412 | ||||||
| The Progressive Corp. |
274,520 | 19,872,503 | ||||||
| Tradeweb Markets, Inc. – Class A |
364,279 | 16,884,332 | ||||||
| TriState Capital Holdings, Inc.(1) |
2,491 | 65,065 | ||||||
| Triumph Bancorp, Inc.(1) |
4,549 | 172,953 | ||||||
| Trupanion, Inc.(1) |
11,635 | 435,847 | ||||||
| UMB Financial Corp. |
143,319 | 9,837,416 | ||||||
| Union Bankshares, Inc. |
391 | 14,178 | ||||||
| United Community Banks, Inc. |
2,341 | 72,290 | ||||||
| United Community Financial Corp. |
2,874 | 33,511 | ||||||
| United Fire Group, Inc. |
738 | 32,273 | ||||||
| Unity Bancorp, Inc. |
290 | 6,545 | ||||||
| Universal Insurance Holdings, Inc. |
4,051 | 113,387 |
| Value Line, Inc. |
389 | 11,246 | ||||||
| Veritex Holdings, Inc. |
6,148 | 179,091 | ||||||
| Virtu Financial, Inc. – Class A |
1,375 | 21,986 | ||||||
| Virtus Investment Partners, Inc. |
341 | 41,507 | ||||||
| Voya Financial, Inc. |
693 | 42,259 | ||||||
| Walker & Dunlop, Inc. |
1,383 | 89,452 | ||||||
| Waterstone Financial, Inc. |
950 | 18,078 | ||||||
| West Bancorporation, Inc. |
1,469 | 37,650 | ||||||
| Westamerica Bancorporation |
1,917 | 129,915 | ||||||
| Western Alliance Bancorp |
714 | 40,698 | ||||||
| WisdomTree Investments, Inc. |
20,561 | 99,515 | ||||||
| World Acceptance Corp.(1) |
1,298 | 112,147 | ||||||
|
|
|
|||||||
| Total Financials |
|
394,193,833 | ||||||
|
|
|
|||||||
| Healthcare – 20.82% |
||||||||
| 89bio, Inc.(1) |
941 | 24,739 | ||||||
| ABIOMED, Inc.(1) |
15,654 | 2,670,416 | ||||||
| Acadia Healthcare Co., Inc.(1) |
97,704 | 3,245,727 | ||||||
| ACADIA Pharmaceuticals, Inc.(1) |
45,525 | 1,947,559 | ||||||
| Accelerate Diagnostics, Inc.(1) |
11,016 | 186,170 | ||||||
| Acceleron Pharma, Inc.(1) |
15,042 | 797,527 | ||||||
| Accuray, Inc.(1) |
36,299 | 102,363 | ||||||
| AcelRx Pharmaceuticals, Inc.(1) |
11,414 | 24,084 | ||||||
| Acer Therapeutics, Inc.(1) |
2,660 | 10,667 | ||||||
| Adaptive Biotechnologies Corp.(1) |
758 | 22,679 | ||||||
| Addus HomeCare Corp.(1) |
5,026 | 488,628 | ||||||
| ADMA Biologics, Inc.(1) |
18,272 | 73,088 | ||||||
| Aduro Biotech, Inc.(1) |
23,568 | 27,810 | ||||||
| Adverum Biotechnologies, Inc.(1) |
21,804 | 251,182 | ||||||
| Aeglea BioTherapeutics, Inc.(1) |
1,518 | 11,598 | ||||||
| Aerie Pharmaceuticals, Inc.(1) |
17,023 | 411,446 | ||||||
| Affimed NV(1) |
24,745 | 67,801 | ||||||
| Agenus, Inc.(1) |
43,783 | 178,197 | ||||||
| AgeX Therapeutics, Inc.(1) |
7,838 | 14,265 | ||||||
| Agilent Technologies, Inc. |
2,066 | 176,250 | ||||||
| Agios Pharmaceuticals, Inc.(1) |
396 | 18,909 | ||||||
| Aimmune Therapeutics, Inc.(1) |
18,200 | 609,154 | ||||||
| Akcea Therapeutics, Inc.(1) |
5,091 | 86,242 | ||||||
| Akero Therapeutics, Inc.(1) |
1,473 | 32,693 | ||||||
| Akorn, Inc.(1) |
4,867 | 7,300 | ||||||
| Albireo Pharma, Inc.(1) |
4,455 | 113,246 | ||||||
| Aldeyra Therapeutics, Inc.(1) |
6,712 | 38,997 | ||||||
| Alector, Inc.(1) |
12,235 | 210,809 | ||||||
| Alexion Pharmaceuticals, Inc.(1) |
164,717 | 17,814,144 | ||||||
| Align Technology, Inc.(1) |
44,021 | 12,283,620 | ||||||
| Allakos, Inc.(1) |
7,898 | 753,153 | ||||||
| Allogene Therapeutics, Inc.(1) |
15,639 | 406,301 | ||||||
| Alnylam Pharmaceuticals, Inc.(1) |
6,011 | 692,287 | ||||||
| Alphatec Holdings, Inc.(1) |
14,316 | 101,572 | ||||||
| Amedisys, Inc.(1) |
12,688 | 2,117,881 | ||||||
| American Renal Associates Holdings, Inc.(1) |
2,920 | 30,280 | ||||||
| AmerisourceBergen Corp. – Class A |
10,292 | 875,026 | ||||||
| Amicus Therapeutics, Inc.(1) |
103,483 | 1,007,924 | ||||||
| AMN Healthcare Services, Inc.(1) |
18,653 | 1,162,268 | ||||||
| Amneal Pharmaceuticals, Inc.(1) |
47,727 | 230,044 | ||||||
| Amphastar Pharmaceuticals, Inc.(1) |
14,560 | 280,862 | ||||||
| AnaptysBio, Inc.(1) |
8,312 | 135,070 | ||||||
| Anavex Life Sciences Corp.(1) |
17,240 | 44,652 | ||||||
| ANI Pharmaceuticals, Inc.(1) |
3,665 | 226,021 | ||||||
| Antares Pharma, Inc.(1) |
65,238 | 306,619 | ||||||
| Apellis Pharmaceuticals, Inc.(1) |
19,806 | 606,460 | ||||||
| Apollo Medical Holdings, Inc.(1) |
2,519 | 46,375 | ||||||
| Applied Therapeutics, Inc.(1) |
2,039 | 55,624 | ||||||
| Aprea Therapeutics, Inc.(1) |
2,060 | 94,533 | ||||||
| Apyx Medical Corp.(1) |
1,864 | 15,769 | ||||||
| Arena Pharmaceuticals, Inc.(1) |
16,343 | 742,299 | ||||||
| ArQule, Inc.(1) |
41,217 | 822,691 | ||||||
| Arrowhead Pharmaceuticals, Inc.(1) |
37,765 | 2,395,434 | ||||||
| Arvinas, Inc.(1) |
8,556 | 351,566 | ||||||
| Assembly Biosciences, Inc.(1) |
891 | 18,230 | ||||||
| Atara Biotherapeutics, Inc.(1) |
20,767 | 342,032 | ||||||
| Athenex, Inc.(1) |
27,568 | 420,963 | ||||||
| Athersys, Inc.(1) |
52,720 | 64,846 | ||||||
| Atreca, Inc. – Class A(1) |
1,993 | 30,832 | ||||||
| AtriCure, Inc.(1) |
15,313 | 497,826 | ||||||
| Atrion Corp. |
584 | 438,876 | ||||||
| Audentes Therapeutics, Inc.(1) |
18,199 | 1,089,028 | ||||||
| Avalon GloboCare Corp.(1) |
7,063 | 13,632 | ||||||
| Avantor, Inc.(1) |
15,193 | 275,753 | ||||||
| Avid Bioservices, Inc.(1) |
21,249 | 162,980 | ||||||
| Avrobio, Inc.(1) |
8,319 | 167,461 | ||||||
| Axcella Health Inc.(1) |
3,120 | 12,511 | ||||||
| Axogen, Inc.(1) |
13,824 | 247,311 | ||||||
| Axonics Modulation Technologies, Inc.(1) |
6,346 | 175,848 | ||||||
| Axsome Therapeutics, Inc.(1) |
10,192 | 1,053,445 | ||||||
| Baudax Bio, Inc.(1) |
3,122 | 21,604 | ||||||
| BeyondSpring, Inc.(1) |
5,061 | 78,446 | ||||||
| BioCryst Pharmaceuticals, Inc.(1) |
50,786 | 175,212 | ||||||
| BioDelivery Sciences International, Inc.(1) |
33,801 | 213,622 | ||||||
| Biohaven Pharmaceutical Holding Co. Ltd.(1) |
15,854 | 863,092 | ||||||
| BioLife Solutions, Inc.(1) |
3,191 | 51,630 | ||||||
| BioMarin Pharmaceutical, Inc.(1) |
316,872 | 26,791,528 | ||||||
| BioSig Technologies, Inc.(1) |
6,341 | 37,539 | ||||||
| BioSpecifics Technologies Corp.(1) |
2,493 | 141,951 | ||||||
| Bio-Techne Corp. |
173,531 | 38,091,790 | ||||||
| BioTelemetry, Inc.(1) |
89,021 | 4,121,672 | ||||||
| BioXcel Therapeutics, Inc.(1) |
3,243 | 47,380 | ||||||
| Blueprint Medicines Corp.(1) |
19,750 | 1,582,172 | ||||||
| Bridgebio Pharma, Inc.(1) |
7,230 | 253,411 | ||||||
| Bruker Corp. |
6,888 | 351,081 | ||||||
| Cabaletta Bio, Inc.(1) |
2,082 | 29,086 | ||||||
| Calithera Biosciences, Inc.(1) |
2,926 | 16,707 | ||||||
| Calyxt, Inc.(1) |
4,119 | 28,874 | ||||||
| Cantel Medical Corp. |
402,548 | 28,540,653 | ||||||
| Cara Therapeutics, Inc.(1) |
13,899 | 223,913 | ||||||
| Cardiovascular Systems, Inc.(1) |
169,098 | 8,216,472 | ||||||
| CareDx, Inc.(1) |
15,735 | 339,404 | ||||||
| CASI Pharmaceuticals, Inc.(1) |
18,622 | 57,542 | ||||||
| Castle Biosciences, Inc.(1) |
1,264 | 43,444 | ||||||
| Castlight Health, Inc. – Class B(1) |
39,750 | 52,867 | ||||||
| Catalent, Inc.(1) |
851,457 | 47,937,029 | ||||||
| Catalyst Pharmaceuticals, Inc.(1) |
38,976 | 146,160 | ||||||
| Catasys, Inc.(1) |
2,851 | 46,500 | ||||||
| Celcuity, Inc.(1) |
2,394 | 25,472 | ||||||
| Cellular Biomedicine Group, Inc.(1) |
3,572 | 58,009 | ||||||
| CEL-SCI Corp.(1) |
9,730 | 89,029 | ||||||
| Centene Corp.(1) |
23,218 | 1,459,716 | ||||||
| Centogene NV(1) |
787 | 7,925 | ||||||
| Cerecor, Inc.(1) |
9,097 | 49,033 | ||||||
| Cerner Corp. |
82,663 | 6,066,638 |
| Cerus Corp.(1) |
50,597 | 213,519 | ||||||
| Change Healthcare, Inc.(1) |
1,599 | 26,208 | ||||||
| Charles River Laboratories International, Inc.(1) |
3,264 | 498,609 | ||||||
| Checkpoint Therapeutics, Inc.(1) |
10,003 | 17,205 | ||||||
| Chemed Corp. |
1,055 | 463,419 | ||||||
| ChemoCentryx, Inc.(1) |
16,466 | 651,230 | ||||||
| Chiasma, Inc.(1) |
14,179 | 70,328 | ||||||
| ChromaDex Corp.(1) |
17,198 | 74,123 | ||||||
| Clovis Oncology, Inc.(1) |
20,374 | 212,399 | ||||||
| Codexis, Inc.(1) |
21,317 | 340,859 | ||||||
| Coherus Biosciences, Inc.(1) |
10,601 | 190,871 | ||||||
| Collegium Pharmaceutical, Inc.(1) |
12,984 | 267,211 | ||||||
| ConforMIS, Inc.(1) |
25,333 | 37,999 | ||||||
| CONMED Corp. |
136,289 | 15,241,199 | ||||||
| Constellation Pharmaceuticals, Inc.(1) |
5,547 | 261,319 | ||||||
| Corbus Pharmaceuticals Holdings, Inc.(1) |
24,135 | 131,777 | ||||||
| Corcept Therapeutics, Inc.(1) |
38,632 | 467,447 | ||||||
| CorMedix, Inc.(1) |
10,517 | 76,564 | ||||||
| Cortexyme, Inc.(1) |
3,796 | 213,107 | ||||||
| CorVel Corp.(1) |
3,579 | 312,661 | ||||||
| Crinetics Pharmaceuticals, Inc.(1) |
4,505 | 113,030 | ||||||
| Cross Country Healthcare, Inc.(1) |
2,265 | 26,319 | ||||||
| CryoLife, Inc.(1) |
14,716 | 398,656 | ||||||
| CryoPort, Inc.(1) |
12,754 | 209,931 | ||||||
| Cue Biopharma, Inc.(1) |
8,282 | 131,477 | ||||||
| Cutera, Inc.(1) |
5,671 | 203,079 | ||||||
| Cyclerion Therapeutics, Inc.(1) |
8,938 | 24,311 | ||||||
| Cymabay Therapeutics, Inc.(1) |
27,397 | 53,698 | ||||||
| Cytokinetics, Inc.(1) |
20,357 | 215,988 | ||||||
| CytomX Therapeutics, Inc.(1) |
18,391 | 152,829 | ||||||
| CytoSorbents Corp.(1) |
12,212 | 47,016 | ||||||
| Deciphera Pharmaceuticals, Inc.(1) |
7,984 | 496,924 | ||||||
| Denali Therapeutics, Inc.(1) |
19,450 | 338,819 | ||||||
| Dentsply Sirona, Inc. |
538,000 | 30,445,420 | ||||||
| Dermira, Inc.(1) |
18,986 | 287,828 | ||||||
| DexCom, Inc.(1) |
38,754 | 8,477,050 | ||||||
| Dicerna Pharmaceuticals, Inc.(1) |
20,897 | 460,361 | ||||||
| Dynavax Technologies Corp. – Class A(1) |
29,992 | 171,554 | ||||||
| Eagle Pharmaceuticals, Inc.(1) |
3,693 | 221,875 | ||||||
| Editas Medicine, Inc.(1) |
20,878 | 618,198 | ||||||
| Edwards Lifesciences Corp.(1) |
135,000 | 31,494,150 | ||||||
| Eidos Therapeutics, Inc.(1) |
4,546 | 260,895 | ||||||
| Eiger Biopharmaceuticals, Inc.(1) |
9,624 | 143,398 | ||||||
| Eloxx Pharmaceuticals, Inc.(1) |
8,802 | 64,783 | ||||||
| Emergent BioSolutions, Inc.(1) |
18,454 | 995,593 | ||||||
| Enanta Pharmaceuticals, Inc.(1) |
6,933 | 428,321 | ||||||
| Encompass Health Corp. |
3,371 | 233,509 | ||||||
| Endo International Plc(1) |
4,718 | 22,127 | ||||||
| Enochian Biosciences, Inc.(1) |
2,215 | 11,119 | ||||||
| Ensign Group, Inc. |
20,464 | 928,452 | ||||||
| Envista Holdings Corp.(1) |
275,322 | 8,160,544 | ||||||
| Epizyme, Inc.(1) |
22,912 | 563,635 | ||||||
| Esperion Therapeutics, Inc.(1) |
10,277 | 612,818 | ||||||
| Evelo Biosciences, Inc.(1) |
1,075 | 4,364 | ||||||
| Evofem Biosciences, Inc.(1) |
5,521 | 34,065 | ||||||
| Evolent Health, Inc. – Class A(1) |
6,531 | 59,106 | ||||||
| Evolus, Inc.(1) |
7,479 | 91,019 | ||||||
| Exact Sciences Corp.(1) |
9,512 | 879,670 | ||||||
| Exagen, Inc.(1) |
1,083 | 27,508 | ||||||
| Exelixis, Inc.(1) |
110,427 | 1,945,724 |
| EyePoint Pharmaceuticals, Inc.(1) |
17,025 | 26,389 | ||||||
| Fate Therapeutics, Inc.(1) |
24,475 | 478,976 | ||||||
| FibroGen, Inc.(1) |
28,531 | 1,223,695 | ||||||
| Flexion Therapeutics, Inc.(1) |
13,661 | 282,783 | ||||||
| Fluidigm Corp.(1) |
28,464 | 99,055 | ||||||
| Forty Seven, Inc.(1) |
8,979 | 353,503 | ||||||
| Frequency Therapeutics, Inc.(1) |
1,838 | 32,220 | ||||||
| Fulcrum Therapeutics, Inc.(1) |
1,385 | 23,046 | ||||||
| G1 Therapeutics, Inc.(1) |
8,032 | 212,286 | ||||||
| Galectin Therapeutics, Inc.(1) |
15,607 | 44,636 | ||||||
| Galera Therapeutics, Inc.(1) |
856 | 11,265 | ||||||
| Genesis Healthcare, Inc. – Class A(1) |
32,849 | 53,872 | ||||||
| GenMark Diagnostics, Inc.(1) |
22,998 | 110,620 | ||||||
| Glaukos Corp.(1) |
15,774 | 859,210 | ||||||
| Global Blood Therapeutics, Inc.(1) |
23,429 | 1,862,371 | ||||||
| Globus Medical, Inc. – Class A(1) |
203,498 | 11,981,962 | ||||||
| GlycoMimetics, Inc.(1) |
13,603 | 71,960 | ||||||
| Gossamer Bio, Inc.(1) |
9,237 | 144,374 | ||||||
| Gritstone Oncology, Inc.(1) |
2,299 | 20,622 | ||||||
| Guardant Health, Inc.(1) |
2,468 | 192,850 | ||||||
| Haemonetics Corp.(1) |
20,717 | 2,380,383 | ||||||
| Halozyme Therapeutics, Inc.(1) |
57,936 | 1,027,205 | ||||||
| Hanger, Inc.(1) |
2,351 | 64,911 | ||||||
| Harpoon Therapeutics, Inc.(1) |
1,262 | 18,665 | ||||||
| Health Catalyst, Inc.(1) |
2,862 | 99,311 | ||||||
| HealthEquity, Inc.(1) |
97,766 | 7,241,528 | ||||||
| HealthStream, Inc.(1) |
3,918 | 106,570 | ||||||
| Henry Schein, Inc.(1) |
1,274 | 85,001 | ||||||
| Heron Therapeutics, Inc.(1) |
33,920 | 797,120 | ||||||
| Heska Corp.(1) |
2,843 | 272,757 | ||||||
| Hill-Rom Holdings, Inc. |
2,387 | 270,996 | ||||||
| HMS Holdings Corp.(1) |
157,854 | 4,672,478 | ||||||
| Hologic, Inc.(1) |
99,689 | 5,204,763 | ||||||
| Homology Medicines, Inc.(1) |
10,032 | 207,662 | ||||||
| Hookipa Pharma Inc.(1) |
3,829 | 46,829 | ||||||
| Horizon Therapeutics Plc(1) |
1,399 | 50,644 | ||||||
| ICON Plc(1) |
42,454 | 7,311,852 | ||||||
| ICU Medical, Inc.(1) |
61,039 | 11,421,618 | ||||||
| IDEXX Laboratories, Inc.(1) |
142,014 | 37,084,116 | ||||||
| IGM Biosciences, Inc.(1) |
1,580 | 60,293 | ||||||
| Illumina, Inc.(1) |
10,471 | 3,473,650 | ||||||
| ImmunoGen, Inc.(1) |
33,294 | 169,966 | ||||||
| Immunomedics, Inc.(1) |
64,133 | 1,357,054 | ||||||
| Incyte Corp.(1) |
121,684 | 10,625,447 | ||||||
| Innoviva, Inc.(1) |
25,912 | 366,914 | ||||||
| Inogen, Inc.(1) |
7,378 | 504,139 | ||||||
| Inovalon Holdings, Inc. – Class A(1) |
29,452 | 554,287 | ||||||
| Inovio Pharmaceuticals, Inc.(1) |
37,491 | 123,720 | ||||||
| Insmed, Inc.(1) |
35,937 | 858,176 | ||||||
| Inspire Medical Systems, Inc.(1) |
5,446 | 404,148 | ||||||
| Insulet Corp.(1) |
4,022 | 688,566 | ||||||
| Integer Holdings Corp.(1) |
9,600 | 772,128 | ||||||
| Integra LifeSciences Holdings Corp.(1) |
714,359 | 41,632,843 | ||||||
| Intellia Therapeutics, Inc.(1) |
11,231 | 164,759 | ||||||
| Intercept Pharmaceuticals, Inc.(1) |
10,176 | 1,261,010 | ||||||
| Intersect ENT, Inc.(1) |
12,423 | 309,333 | ||||||
| Intra-Cellular Therapies, Inc.(1) |
8,915 | 305,874 | ||||||
| Intrexon Corp.(1) |
7,467 | 40,919 | ||||||
| IntriCon Corp.(1) |
3,257 | 58,626 | ||||||
| Intuitive Surgical, Inc.(1) |
5,856 | 3,461,774 |
| Invitae Corp.(1) |
34,971 | 564,082 | ||||||
| Ionis Pharmaceuticals, Inc.(1) |
8,675 | 524,057 | ||||||
| Iovance Biotherapeutics, Inc.(1) |
47,400 | 1,312,032 | ||||||
| IQVIA Holdings, Inc.(1) |
5,133 | 793,100 | ||||||
| iRadimed Corp.(1) |
1,803 | 42,154 | ||||||
| iRhythm Technologies, Inc.(1) |
10,697 | 728,359 | ||||||
| Ironwood Pharmaceuticals, Inc. – Class A(1) |
62,045 | 825,819 | ||||||
| Jazz Pharmaceuticals Plc(1) |
3,329 | 496,953 | ||||||
| Kadmon Holdings, Inc.(1) |
63,142 | 286,033 | ||||||
| Kala Pharmaceuticals, Inc.(1) |
4,248 | 15,675 | ||||||
| Kaleido BioSciences, Inc.(1) |
4,619 | 23,187 | ||||||
| KalVista Pharmaceuticals, Inc.(1) |
5,110 | 91,009 | ||||||
| Karuna Therapeutics, Inc.(1) |
1,462 | 110,147 | ||||||
| Karyopharm Therapeutics, Inc.(1) |
24,048 | 461,000 | ||||||
| Kezar Life Sciences, Inc.(1) |
395 | 1,584 | ||||||
| Kindred Biosciences, Inc.(1) |
15,083 | 127,904 | ||||||
| Kiniksa Pharmaceuticals Ltd. – Class A(1) |
5,257 | 58,142 | ||||||
| Kodiak Sciences, Inc.(1) |
9,511 | 684,316 | ||||||
| Krystal Biotech, Inc.(1) |
4,218 | 233,593 | ||||||
| Kura Oncology, Inc.(1) |
13,773 | 189,379 | ||||||
| La Jolla Pharmaceutical Co.(1) |
8,273 | 32,513 | ||||||
| Laboratory Corp. of America Holdings(1) |
118,393 | 20,028,544 | ||||||
| Lantheus Holdings, Inc.(1) |
15,533 | 318,582 | ||||||
| LeMaitre Vascular, Inc. |
5,729 | 205,958 | ||||||
| Lexicon Pharmaceuticals, Inc.(1) |
16,684 | 69,239 | ||||||
| LHC Group, Inc.(1) |
12,179 | 1,677,779 | ||||||
| Ligand Pharmaceuticals, Inc.(1) |
43,872 | 4,575,411 | ||||||
| Liquidia Technologies, Inc.(1) |
5,808 | 24,829 | ||||||
| LivaNova Plc(1) |
15,496 | 1,168,863 | ||||||
| Livongo Health, Inc.(1) |
5,093 | 127,631 | ||||||
| LogicBio Therapeutics, Inc.(1) |
3,216 | 23,155 | ||||||
| MacroGenics, Inc.(1) |
8,896 | 96,788 | ||||||
| Madrigal Pharmaceuticals, Inc.(1) |
3,140 | 286,085 | ||||||
| Magellan Health, Inc.(1) |
4,935 | 386,164 | ||||||
| Magenta Therapeutics, Inc.(1) |
7,828 | 118,672 | ||||||
| MannKind Corp.(1) |
76,091 | 98,157 | ||||||
| Marinus Pharmaceuticals, Inc.(1) |
21,158 | 45,701 | ||||||
| Marker Therapeutics, Inc.(1) |
10,772 | 31,023 | ||||||
| Masimo Corp.(1) |
109,212 | 17,262,049 | ||||||
| McKesson Corp. |
1,371 | 189,637 | ||||||
| Medicines Co.(1) |
10,140 | 861,292 | ||||||
| MediciNova, Inc.(1) |
17,175 | 115,759 | ||||||
| Medpace Holdings, Inc.(1) |
11,184 | 940,127 | ||||||
| MEI Pharma, Inc.(1) |
29,292 | 72,644 | ||||||
| MeiraGTx Holdings Plc(1) |
6,930 | 138,739 | ||||||
| Meridian Bioscience, Inc. |
1,346 | 13,150 | ||||||
| Merit Medical Systems, Inc.(1) |
21,671 | 676,569 | ||||||
| Mesa Laboratories, Inc. |
1,617 | 403,280 | ||||||
| Mettler-Toledo International, Inc.(1) |
51,272 | 40,673,052 | ||||||
| Millendo Therapeutics, Inc.(1) |
4,062 | 27,378 | ||||||
| Minerva Neurosciences, Inc.(1) |
9,897 | 70,368 | ||||||
| Mirati Therapeutics, Inc.(1) |
11,019 | 1,419,908 | ||||||
| Mirum Pharmaceuticals, Inc.(1) |
839 | 20,572 | ||||||
| MISONIX, Inc.(1) |
3,428 | 63,795 | ||||||
| Moderna, Inc.(1) |
12,787 | 250,114 | ||||||
| Molecular Templates, Inc.(1) |
4,488 | 62,765 | ||||||
| Molina Healthcare, Inc.(1) |
3,271 | 443,842 | ||||||
| Momenta Pharmaceuticals, Inc.(1) |
39,763 | 784,524 | ||||||
| Morphic Holding, Inc.(1) |
1,509 | 25,894 | ||||||
| Mustang Bio, Inc.(1) |
11,176 | 45,598 |
| MyoKardia, Inc.(1) |
17,969 | 1,309,671 | ||||||
| Myriad Genetics, Inc.(1) |
3,364 | 91,602 | ||||||
| NanoString Technologies, Inc.(1) |
12,220 | 339,960 | ||||||
| Natera, Inc.(1) |
25,272 | 851,414 | ||||||
| National Research Corp. |
4,898 | 322,974 | ||||||
| Natus Medical, Inc.(1) |
13,601 | 448,697 | ||||||
| Nektar Therapeutics – Class A(1) |
1,729 | 37,320 | ||||||
| Neogen Corp.(1) |
68,933 | 4,498,568 | ||||||
| NeoGenomics, Inc.(1) |
38,560 | 1,127,880 | ||||||
| Neurocrine Biosciences, Inc.(1) |
6,130 | 658,914 | ||||||
| Neuronetics, Inc.(1) |
5,216 | 23,420 | ||||||
| Nevro Corp.(1) |
12,103 | 1,422,587 | ||||||
| NextCure, Inc.(1) |
5,395 | 303,900 | ||||||
| NextGen Healthcare, Inc.(1) |
22,127 | 355,581 | ||||||
| NGM Biopharmaceuticals, Inc.(1) |
9,352 | 172,918 | ||||||
| Novavax, Inc.(1) |
4,379 | 17,428 | ||||||
| Novocure Ltd.(1) |
35,136 | 2,960,911 | ||||||
| NuVasive, Inc.(1) |
69,947 | 5,409,701 | ||||||
| Ocular Therapeutix, Inc.(1) |
16,784 | 66,297 | ||||||
| Odonate Therapeutics, Inc.(1) |
4,729 | 153,456 | ||||||
| Omeros Corp.(1) |
19,091 | 268,992 | ||||||
| Omnicell, Inc.(1) |
145,890 | 11,922,131 | ||||||
| OncoCyte Corp.(1) |
7,886 | 17,743 | ||||||
| OPTIMIZERx Corp.(1) |
5,803 | 59,597 | ||||||
| Optinose, Inc.(1) |
10,116 | 93,270 | ||||||
| Option Care Health, Inc.(1) |
5,586 | 20,836 | ||||||
| Organogenesis Holdings, Inc. – Class A(1) |
4,411 | 21,217 | ||||||
| Orthofix Medical, Inc.(1) |
5,577 | 257,546 | ||||||
| OrthoPediatrics Corp.(1) |
3,589 | 168,647 | ||||||
| Oyster Point Pharma, Inc.(1) |
1,801 | 44,016 | ||||||
| Pacific Biosciences of California, Inc.(1) |
52,379 | 269,228 | ||||||
| Pacira BioSciences, Inc.(1) |
118,644 | 5,374,573 | ||||||
| Palatin Technologies, Inc.(1) |
92,282 | 72,183 | ||||||
| Paratek Pharmaceuticals, Inc.(1) |
13,790 | 55,574 | ||||||
| Pennant Group, Inc.(1) |
10,229 | 338,273 | ||||||
| Penumbra, Inc.(1) |
28,407 | 4,666,418 | ||||||
| PerkinElmer, Inc. |
1,637 | 158,953 | ||||||
| Personalis, Inc.(1) |
2,740 | 29,866 | ||||||
| PetIQ, Inc. – Class A(1) |
8,106 | 203,055 | ||||||
| Pfenex, Inc.(1) |
11,950 | 131,211 | ||||||
| PhaseBio Pharmaceuticals, Inc.(1) |
5,927 | 36,214 | ||||||
| Phathom Pharmaceuticals, Inc.(1) |
3,424 | 106,623 | ||||||
| Phibro Animal Health Corp. – Class A |
7,785 | 193,302 | ||||||
| Phreesia, Inc.(1) |
3,389 | 90,283 | ||||||
| Pieris Pharmaceuticals, Inc.(1) |
19,369 | 70,116 | ||||||
| Portola Pharmaceuticals, Inc.(1) |
30,786 | 735,170 | ||||||
| PRA Health Sciences, Inc.(1) |
37,968 | 4,220,143 | ||||||
| Precision BioSciences, Inc.(1) |
14,502 | 201,433 | ||||||
| Prestige Consumer Healthcare, Inc.(1) |
222,193 | 8,998,817 | ||||||
| Prevail Therapeutics, Inc.(1) |
2,265 | 35,855 | ||||||
| Principia Biopharma, Inc.(1) |
6,944 | 380,392 | ||||||
| Progenics Pharmaceuticals, Inc.(1) |
35,154 | 178,934 | ||||||
| Progyny, Inc.(1) |
2,129 | 58,441 | ||||||
| Protagonist Therapeutics, Inc.(1) |
4,339 | 30,590 | ||||||
| PTC Therapeutics, Inc.(1) |
24,455 | 1,174,574 | ||||||
| Pulse Biosciences, Inc.(1) |
4,501 | 60,358 | ||||||
| Puma Biotechnology, Inc.(1) |
12,479 | 109,191 | ||||||
| Quanterix Corp.(1) |
5,447 | 128,713 | ||||||
| Quidel Corp.(1) |
14,352 | 1,076,831 | ||||||
| R1 RCM, Inc.(1) |
41,974 | 544,823 |
| Ra Pharmaceuticals, Inc.(1) |
14,075 | 660,540 | ||||||
| Radius Health, Inc.(1) |
18,154 | 365,985 | ||||||
| RadNet, Inc.(1) |
16,975 | 344,593 | ||||||
| RAPT Therapeutics, Inc.(1) |
499 | 13,777 | ||||||
| Reata Pharmaceuticals, Inc. – Class A(1) |
3,817 | 780,309 | ||||||
| Recro Pharma, Inc.(1) |
8,044 | 147,447 | ||||||
| REGENXBIO, Inc.(1) |
13,472 | 551,948 | ||||||
| Repligen Corp.(1) |
78,573 | 7,268,003 | ||||||
| Replimune Group, Inc.(1) |
5,244 | 75,251 | ||||||
| ResMed, Inc. |
46,699 | 7,236,944 | ||||||
| resTORbio, Inc.(1) |
252 | 375 | ||||||
| Retrophin, Inc.(1) |
16,771 | 238,148 | ||||||
| Revance Therapeutics, Inc.(1) |
15,322 | 248,676 | ||||||
| Rhythm Pharmaceuticals, Inc.(1) |
11,845 | 271,961 | ||||||
| Rigel Pharmaceuticals, Inc.(1) |
61,279 | 131,137 | ||||||
| Rocket Pharmaceuticals, Inc.(1) |
12,125 | 275,965 | ||||||
| Rockwell Medical, Inc.(1) |
22,881 | 55,830 | ||||||
| Rubius Therapeutics, Inc.(1) |
14,158 | 134,501 | ||||||
| Sage Therapeutics, Inc.(1) |
3,512 | 253,531 | ||||||
| Sangamo Therapeutics, Inc.(1) |
32,620 | 273,029 | ||||||
| Sarepta Therapeutics, Inc.(1) |
4,783 | 617,198 | ||||||
| Satsuma Pharmaceuticals, Inc.(1) |
1,412 | 27,788 | ||||||
| Savara, Inc.(1) |
14,903 | 66,765 | ||||||
| Scholar Rock Holding Corp.(1) |
7,161 | 94,382 | ||||||
| Seattle Genetics, Inc.(1) |
7,818 | 893,285 | ||||||
| Select Medical Holdings Corp.(1) |
44,497 | 1,038,560 | ||||||
| Senseonics Holdings, Inc.(1) |
50,261 | 46,039 | ||||||
| Seres Therapeutics, Inc.(1) |
15,250 | 52,613 | ||||||
| Shockwave Medical, Inc.(1) |
10,279 | 451,454 | ||||||
| SI-BONE, Inc.(1) |
6,620 | 142,330 | ||||||
| Sientra, Inc.(1) |
13,473 | 120,449 | ||||||
| SIGA Technologies, Inc.(1) |
21,911 | 104,515 | ||||||
| Silk Road Medical, Inc.(1) |
6,500 | 262,470 | ||||||
| Simulations Plus, Inc. |
4,892 | 142,210 | ||||||
| SmileDirectClub, Inc. – Class A(1) |
372,190 | 3,252,941 | ||||||
| Solid Biosciences, Inc.(1) |
1,265 | 5,629 | ||||||
| Soliton, Inc.(1) |
2,412 | 26,484 | ||||||
| Sorrento Therapeutics, Inc.(1) |
50,038 | 169,128 | ||||||
| Spectrum Pharmaceuticals, Inc.(1) |
41,122 | 149,684 | ||||||
| Spero Therapeutics, Inc.(1) |
178 | 1,711 | ||||||
| SpringWorks Therapeutics, Inc.(1) |
3,331 | 128,210 | ||||||
| STAAR Surgical Co.(1) |
17,939 | 630,915 | ||||||
| Stemline Therapeutics, Inc.(1) |
18,741 | 199,217 | ||||||
| STERIS Plc |
120,015 | 18,292,686 | ||||||
| Stoke Therapeutics, Inc.(1) |
2,981 | 84,422 | ||||||
| Supernus Pharmaceuticals, Inc.(1) |
20,041 | 475,373 | ||||||
| Surgery Partners, Inc.(1) |
907 | 14,199 | ||||||
| Surmodics, Inc.(1) |
5,291 | 219,206 | ||||||
| Sutro Biopharma, Inc.(1) |
823 | 9,053 | ||||||
| Syndax Pharmaceuticals, Inc.(1) |
8,367 | 73,462 | ||||||
| Syneos Health, Inc. – Class A(1) |
469,562 | 27,927,200 | ||||||
| Synthorx, Inc.(1) |
3,471 | 242,588 | ||||||
| Syros Pharmaceuticals, Inc.(1) |
14,044 | 97,044 | ||||||
| Tabula Rasa HealthCare, Inc.(1) |
7,898 | 384,475 | ||||||
| Tactile Systems Technology, Inc.(1) |
7,413 | 500,452 | ||||||
| Tandem Diabetes Care, Inc.(1) |
72,671 | 4,331,918 | ||||||
| TCR2 Therapeutics, Inc.(1) |
469 | 6,697 | ||||||
| Teladoc Health, Inc.(1) |
29,225 | 2,446,717 | ||||||
| Teleflex, Inc. |
3,129 | 1,177,881 | ||||||
| Tenet Healthcare Corp.(1) |
38,912 | 1,479,823 |
| TG Therapeutics, Inc.(1) |
31,130 | 345,543 | ||||||
| The Cooper Companies, Inc. |
71,444 | 22,954,243 | ||||||
| The Joint Corp.(1) |
5,253 | 84,783 | ||||||
| The Providence Service Corp.(1) |
4,711 | 278,797 | ||||||
| TherapeuticsMD, Inc.(1) |
79,896 | 193,348 | ||||||
| Theravance Biopharma, Inc.(1) |
18,094 | 468,454 | ||||||
| Tocagen, Inc.(1) |
8,066 | 4,301 | ||||||
| TransEnterix, Inc.(1) |
4,117 | 6,052 | ||||||
| Translate Bio, Inc.(1) |
13,989 | 113,870 | ||||||
| TransMedics Group, Inc.(1) |
4,941 | 93,928 | ||||||
| Tricida, Inc.(1) |
8,811 | 332,527 | ||||||
| Turning Point Therapeutics, Inc.(1) |
10,678 | 665,133 | ||||||
| Twist Bioscience Corp.(1) |
8,874 | 186,354 | ||||||
| Tyme Technologies, Inc.(1) |
24,769 | 34,677 | ||||||
| Ultragenyx Pharmaceutical, Inc.(1) |
22,141 | 945,642 | ||||||
| UNITY Biotechnology, Inc.(1) |
8,557 | 61,696 | ||||||
| Universal Health Services, Inc. – Class B |
120,597 | 17,300,846 | ||||||
| UroGen Pharma Ltd.(1) |
7,578 | 252,878 | ||||||
| US Physical Therapy, Inc. |
5,083 | 581,241 | ||||||
| Utah Medical Products, Inc. |
1,185 | 127,862 | ||||||
| Vanda Pharmaceuticals, Inc.(1) |
20,993 | 344,495 | ||||||
| Vapotherm, Inc.(1) |
6,046 | 73,519 | ||||||
| Varex Imaging Corp.(1) |
6,590 | 196,448 | ||||||
| Varian Medical Systems, Inc.(1) |
137,382 | 19,509,618 | ||||||
| VBI Vaccines, Inc.(1) |
53,783 | 74,221 | ||||||
| Veeva Systems, Inc. – Class A(1) |
142,906 | 20,101,158 | ||||||
| Veracyte, Inc.(1) |
19,038 | 531,541 | ||||||
| Vericel Corp.(1) |
18,034 | 313,792 | ||||||
| Verrica Pharmaceuticals, Inc.(1) |
2,267 | 36,023 | ||||||
| Viela Bio, Inc.(1) |
1,742 | 47,295 | ||||||
| ViewRay, Inc.(1) |
28,362 | 119,688 | ||||||
| Viking Therapeutics, Inc.(1) |
2,397 | 19,224 | ||||||
| Vir Biotechnology, Inc.(1) |
2,314 | 29,099 | ||||||
| Vocera Communications, Inc.(1) |
12,553 | 260,600 | ||||||
| Voyager Therapeutics, Inc.(1) |
9,671 | 134,910 | ||||||
| Waters Corp.(1) |
151,342 | 35,361,058 | ||||||
| WaVe Life Sciences Ltd.(1) |
7,156 | 57,355 | ||||||
| WellCare Health Plans, Inc.(1) |
3,089 | 1,020,019 | ||||||
| West Pharmaceutical Services, Inc. |
96,772 | 14,547,735 | ||||||
| Wright Medical Group NV(1) |
51,041 | 1,555,730 | ||||||
| X4 Pharmaceuticals, Inc.(1) |
5,015 | 53,661 | ||||||
| Xbiotech, Inc.(1) |
7,663 | 143,030 | ||||||
| Xencor, Inc.(1) |
19,093 | 656,608 | ||||||
| Xeris Pharmaceuticals, Inc.(1) |
10,064 | 70,951 | ||||||
| Y-mAbs Therapeutics, Inc.(1) |
9,539 | 298,094 | ||||||
| ZIOPHARM Oncology, Inc.(1) |
64,768 | 305,705 | ||||||
| Zogenix, Inc.(1) |
17,214 | 897,366 | ||||||
| Zynerba Pharmaceuticals, Inc.(1) |
9,013 | 54,439 | ||||||
| Zynex, Inc.(1) |
6,172 | 48,574 | ||||||
|
|
|
|||||||
| Total Healthcare |
|
892,414,405 | ||||||
|
|
|
|||||||
| Industrials – 15.85% |
||||||||
| AAON, Inc. |
136,659 | 6,752,321 | ||||||
| Actuant Corp. – Class A |
10,971 | 285,575 | ||||||
| Acuity Brands, Inc. |
702 | 96,876 | ||||||
| Advanced Disposal Services, Inc.(1) |
27,658 | 909,118 | ||||||
| Advanced Drainage Systems, Inc. |
17,504 | 679,855 | ||||||
| Aerojet Rocketdyne Holdings, Inc.(1) |
20,775 | 948,586 | ||||||
| Aerovironment, Inc.(1) |
8,591 | 530,408 | ||||||
| Air Lease Corp. – Class A |
497 | 23,617 | ||||||
| Air Transport Services Group, Inc.(1) |
23,593 | 553,492 | ||||||
| Alamo Group, Inc. |
3,399 | 426,744 | ||||||
| Alaska Air Group, Inc. |
217,787 | 14,755,069 | ||||||
| Albany International Corp. – Class A |
45,763 | 3,474,327 | ||||||
| Allegiant Travel Co. – Class A |
5,265 | 916,321 | ||||||
| Allegion Plc |
4,752 | 591,814 | ||||||
| Allied Motion Technologies, Inc. |
2,874 | 139,389 | ||||||
| Allison Transmission Holdings, Inc. |
7,467 | 360,805 | ||||||
| Altra Industrial Motion Corp. |
314,716 | 11,395,866 | ||||||
| American Airlines Group, Inc. |
2,776 | 79,616 | ||||||
| American Superconductor Corp.(1) |
2,443 | 19,178 | ||||||
| American Woodmark Corp.(1) |
6,813 | 712,027 | ||||||
| AMETEK, Inc. |
352,273 | 35,135,709 | ||||||
| AO Smith Corp. |
270,778 | 12,899,864 | ||||||
| Apogee Enterprises, Inc. |
8,927 | 290,127 | ||||||
| Applied Industrial Technologies, Inc. |
15,512 | 1,034,495 | ||||||
| Argan, Inc. |
5,066 | 203,349 | ||||||
| Armstrong World Industries, Inc. |
3,317 | 311,698 | ||||||
| ASGN, Inc.(1) |
18,124 | 1,286,260 | ||||||
| Astronics Corp.(1) |
9,249 | 258,510 | ||||||
| Atkore International Group, Inc.(1) |
18,903 | 764,815 | ||||||
| Avis Budget Group, Inc.(1) |
23,220 | 748,613 | ||||||
| Axon Enterprise, Inc.(1) |
82,789 | 6,066,778 | ||||||
| AZZ, Inc. |
3,252 | 149,429 | ||||||
| Barnes Group, Inc. |
2,263 | 140,215 | ||||||
| Barrett Business Services, Inc. |
2,956 | 267,400 | ||||||
| Beacon Roofing Supply, Inc.(1) |
214,171 | 6,849,189 | ||||||
| BG Staffing, Inc. |
1,765 | 38,636 | ||||||
| Blue Bird Corp.(1) |
3,054 | 69,998 | ||||||
| Brady Corp. – Class A |
15,883 | 909,461 | ||||||
| Brink’s Co. |
20,193 | 1,831,101 | ||||||
| Builders FirstSource, Inc.(1) |
43,031 | 1,093,418 | ||||||
| BWX Technologies, Inc. |
4,788 | 297,239 | ||||||
| Carlisle Companies, Inc. |
3,296 | 533,425 | ||||||
| Casella Waste Systems, Inc. – Class A(1) |
18,589 | 855,652 | ||||||
| CECO Environmental Corp.(1) |
575 | 4,404 | ||||||
| CH Robinson Worldwide, Inc. |
7,002 | 547,556 | ||||||
| Chart Industries, Inc.(1) |
14,591 | 984,747 | ||||||
| Cimpress Plc(1) |
8,056 | 1,013,203 | ||||||
| Cintas Corp. |
5,698 | 1,533,218 | ||||||
| Clarivate Analytics Plc(1) |
732,000 | 12,297,600 | ||||||
| Columbus McKinnon Corp. |
5,758 | 230,493 | ||||||
| Comfort Systems USA, Inc. |
14,676 | 731,599 | ||||||
| Construction Partners, Inc. – Class A(1) |
2,723 | 45,937 | ||||||
| Continental Building Products, Inc.(1) |
6,677 | 243,243 | ||||||
| Copart, Inc.(1) |
315,589 | 28,699,664 | ||||||
| CoStar Group, Inc.(1) |
62,374 | 37,318,364 | ||||||
| Covanta Holding Corp. |
47,697 | 707,823 | ||||||
| CRA International, Inc. |
784 | 42,704 | ||||||
| CSW Industrials, Inc. |
6,000 | 462,000 | ||||||
| Cubic Corp. |
1,955 | 124,279 | ||||||
| Deluxe Corp. |
1,017 | 50,769 | ||||||
| Donaldson Co., Inc. |
8,646 | 498,182 | ||||||
| Douglas Dynamics, Inc. |
9,043 | 497,365 | ||||||
| Dover Corp. |
4,304 | 496,079 | ||||||
| Ducommun, Inc.(1) |
776 | 39,211 | ||||||
| Dycom Industries, Inc.(1) |
9,778 | 461,033 | ||||||
| EMCOR Group, Inc. |
16,936 | 1,461,577 | ||||||
| Energous Corp.(1) |
11,203 | 19,829 | ||||||
| Energy Recovery, Inc.(1) |
15,524 | 151,980 |
| EnerSys |
11,273 | 843,559 | ||||||
| EnPro Industries, Inc. |
719 | 48,087 | ||||||
| Equifax, Inc. |
6,906 | 967,669 | ||||||
| ESCO Technologies, Inc. |
9,733 | 900,302 | ||||||
| EVI Industries, Inc.(1) |
1,813 | 49,024 | ||||||
| Evoqua Water Technologies Corp.(1) |
30,281 | 573,825 | ||||||
| Expeditors International of Washington, Inc. |
8,324 | 649,438 | ||||||
| Exponent, Inc. |
20,929 | 1,444,310 | ||||||
| Fastenal Co. |
35,096 | 1,296,797 | ||||||
| Federal Signal Corp. |
22,709 | 732,365 | ||||||
| Flowserve Corp. |
1,899 | 94,513 | ||||||
| Forrester Research, Inc.(1) |
4,349 | 181,353 | ||||||
| Fortive Corp. |
482,484 | 36,856,953 | ||||||
| Fortune Brands Home & Security, Inc. |
3,025 | 197,653 | ||||||
| Forward Air Corp. |
11,424 | 799,109 | ||||||
| Foundation Building Materials, Inc.(1) |
2,403 | 46,498 | ||||||
| Franklin Covey Co.(1) |
3,921 | 126,374 | ||||||
| Franklin Electric Co., Inc. |
17,676 | 1,013,188 | ||||||
| FTI Consulting, Inc.(1) |
1,377 | 152,379 | ||||||
| Gencor Industries, Inc.(1) |
565 | 6,594 | ||||||
| Generac Holdings, Inc.(1) |
24,745 | 2,489,100 | ||||||
| General Finance Corp.(1) |
2,297 | 25,428 | ||||||
| GMS, Inc.(1) |
7,165 | 194,028 | ||||||
| Gorman-Rupp Co. |
1,436 | 53,850 | ||||||
| Graco, Inc. |
11,174 | 581,048 | ||||||
| Graham Corp. |
286 | 6,258 | ||||||
| Granite Construction, Inc. |
2,843 | 78,666 | ||||||
| Great Lakes Dredge & Dock Corp.(1) |
21,820 | 247,221 | ||||||
| H&E Equipment Services, Inc. |
10,067 | 336,540 | ||||||
| Harsco Corp.(1) |
31,488 | 724,539 | ||||||
| Healthcare Services Group, Inc. |
405,029 | 9,850,305 | ||||||
| Heartland Express, Inc. |
982 | 20,671 | ||||||
| HEICO Corp. |
2,645 | 301,927 | ||||||
| HEICO Corp. – Class A |
78,225 | 7,003,484 | ||||||
| Heidrick & Struggles International, Inc. |
864 | 28,080 | ||||||
| Helios Technologies, Inc. |
11,828 | 546,808 | ||||||
| Herc Holdings, Inc.(1) |
764 | 37,390 | ||||||
| Heritage-Crystal Clean, Inc.(1) |
4,381 | 137,432 | ||||||
| Herman Miller, Inc. |
23,835 | 992,728 | ||||||
| Hexcel Corp. |
5,353 | 392,428 | ||||||
| Hillenbrand, Inc. |
16,612 | 553,346 | ||||||
| HNI Corp. |
13,652 | 511,404 | ||||||
| Hubbell, Inc. – Class B |
2,026 | 299,483 | ||||||
| Huntington Ingalls Industries, Inc. |
2,159 | 541,650 | ||||||
| Huron Consulting Group, Inc.(1) |
1,104 | 75,867 | ||||||
| IAA, Inc.(1) |
8,205 | 386,127 | ||||||
| ICF International, Inc. |
4,551 | 416,963 | ||||||
| IDEX Corp. |
354,755 | 61,017,860 | ||||||
| IES Holdings, Inc.(1) |
1,603 | 41,133 | ||||||
| IHS Markit Ltd.(1) |
62,235 | 4,689,407 | ||||||
| Ingersoll-Rand Plc |
15,393 | 2,046,038 | ||||||
| Insperity, Inc. |
15,199 | 1,307,722 | ||||||
| Interface, Inc. – Class A |
21,059 | 349,369 | ||||||
| JB Hunt Transport Services, Inc. |
23,527 | 2,747,483 | ||||||
| JELD-WEN Holding, Inc.(1) |
24,287 | 568,559 | ||||||
| JetBlue Airways Corp.(1) |
1,717 | 32,142 | ||||||
| John Bean Technologies Corp. |
12,617 | 1,421,431 | ||||||
| Kadant, Inc. |
4,455 | 469,290 | ||||||
| Kaman Corp. |
1,579 | 104,088 | ||||||
| KAR Auction Services, Inc. |
7,964 | 173,536 |
| Kforce, Inc. |
8,175 | 324,547 | ||||||
| Kimball International, Inc. – Class B |
12,476 | 257,879 | ||||||
| Knoll, Inc. |
18,640 | 470,846 | ||||||
| Korn Ferry |
22,778 | 965,787 | ||||||
| Kornit Digital Ltd.(1) |
96,646 | 3,308,193 | ||||||
| Kratos Defense & Security Solutions, Inc.(1) |
270,432 | 4,870,480 | ||||||
| L3Harris Technologies, Inc. |
19,824 | 3,922,575 | ||||||
| Landstar System, Inc. |
60,889 | 6,933,430 | ||||||
| Lawson Products, Inc.(1) |
1,723 | 89,768 | ||||||
| LB Foster Co. – Class A(1) |
310 | 6,008 | ||||||
| Lennox International, Inc. |
2,164 | 527,951 | ||||||
| Lincoln Electric Holdings, Inc. |
3,774 | 365,059 | ||||||
| Lindsay Corp. |
1,535 | 147,345 | ||||||
| Luxfer Holdings Plc |
10,219 | 189,154 | ||||||
| Lyft, Inc. – Class A(1) |
1,395 | 60,013 | ||||||
| Masonite International Corp.(1) |
9,435 | 681,301 | ||||||
| MasTec, Inc.(1) |
24,279 | 1,557,741 | ||||||
| McGrath RentCorp |
6,658 | 509,603 | ||||||
| Mercury Systems, Inc.(1) |
86,288 | 5,963,364 | ||||||
| Meritor, Inc.(1) |
25,263 | 661,638 | ||||||
| Mesa Air Group, Inc.(1) |
3,757 | 33,588 | ||||||
| Middleby Corp.(1) |
22,544 | 2,469,019 | ||||||
| Miller Industries, Inc. |
314 | 11,659 | ||||||
| Mistras Group, Inc.(1) |
1,125 | 16,054 | ||||||
| Mobile Mini, Inc. |
5,904 | 223,821 | ||||||
| Moog, Inc. – Class A |
11,309 | 964,997 | ||||||
| MRC Global, Inc.(1) |
3,047 | 41,561 | ||||||
| MSA Safety, Inc. |
14,281 | 1,804,547 | ||||||
| Mueller Industries, Inc. |
12,386 | 393,255 | ||||||
| Mueller Water Products, Inc. – Class A |
37,676 | 451,358 | ||||||
| MYR Group, Inc.(1) |
6,509 | 212,128 | ||||||
| National Presto Industries, Inc. |
162 | 14,319 | ||||||
| Nielsen Holdings Plc |
3,001 | 60,920 | ||||||
| Nordson Corp. |
195,568 | 31,846,293 | ||||||
| NV5 Global, Inc.(1) |
4,174 | 210,578 | ||||||
| Old Dominion Freight Line, Inc. |
1,864 | 353,750 | ||||||
| Omega Flex, Inc. |
1,189 | 127,568 | ||||||
| PAM Transportation Services, Inc.(1) |
542 | 31,279 | ||||||
| Parsons Corp.(1) |
7,769 | 320,704 | ||||||
| Patrick Industries, Inc. |
6,052 | 317,306 | ||||||
| PGT Innovations, Inc.(1) |
11,175 | 166,619 | ||||||
| Pitney Bowes, Inc. |
30,829 | 124,241 | ||||||
| Plug Power, Inc.(1) |
98,870 | 312,429 | ||||||
| Primoris Services Corp. |
322,592 | 7,174,446 | ||||||
| Proto Labs, Inc.(1) |
56,630 | 5,750,776 | ||||||
| Quanta Services, Inc. |
2,150 | 87,526 | ||||||
| Radiant Logistics, Inc.(1) |
15,712 | 87,516 | ||||||
| Raven Industries, Inc. |
14,474 | 498,774 | ||||||
| RBC Bearings, Inc.(1) |
155,962 | 24,695,023 | ||||||
| Republic Services, Inc. – Class A |
910 | 81,563 | ||||||
| Resources Connection, Inc. |
3,722 | 60,780 | ||||||
| REV Group, Inc. |
1,792 | 21,916 | ||||||
| Rexnord Corp.(1) |
4,506 | 146,986 | ||||||
| Robert Half International, Inc. |
7,713 | 487,076 | ||||||
| Rockwell Automation, Inc. |
337,662 | 68,433,958 | ||||||
| Rollins, Inc. |
9,550 | 316,678 | ||||||
| Saia, Inc.(1) |
6,258 | 582,745 | ||||||
| Scorpio Bulkers, Inc. |
4,053 | 25,818 | ||||||
| Sensata Technologies Holding Plc(1) |
4,540 | 244,570 | ||||||
| Simpson Manufacturing Co., Inc. |
110,019 | 8,826,824 |
| SiteOne Landscape Supply, Inc.(1) |
69,175 | 6,270,714 | ||||||
| Spartan Motors, Inc. |
10,003 | 180,854 | ||||||
| Spirit AeroSystems Holdings, Inc. – Class A |
6,269 | 456,885 | ||||||
| Spirit Airlines, Inc.(1) |
21,815 | 879,363 | ||||||
| SPX Corp.(1) |
14,372 | 731,247 | ||||||
| Steelcase, Inc. – Class A |
8,610 | 176,161 | ||||||
| Stericycle, Inc.(1) |
168,000 | 10,720,080 | ||||||
| Sterling Construction Co., Inc.(1) |
2,318 | 32,637 | ||||||
| Sunrun, Inc.(1) |
45,796 | 632,443 | ||||||
| Systemax, Inc. |
3,731 | 93,872 | ||||||
| Tennant Co. |
7,254 | 565,232 | ||||||
| Terex Corp. |
19,328 | 575,588 | ||||||
| Tetra Tech, Inc. |
22,076 | 1,902,068 | ||||||
| Thermon Group Holdings, Inc.(1) |
3,589 | 96,185 | ||||||
| Toro Co. |
81,346 | 6,480,836 | ||||||
| TPI Composites, Inc.(1) |
11,621 | 215,105 | ||||||
| Transcat, Inc.(1) |
2,810 | 89,527 | ||||||
| TransDigm Group, Inc. |
2,719 | 1,522,640 | ||||||
| TransUnion |
12,762 | 1,092,555 | ||||||
| Trex Co., Inc.(1) |
57,326 | 5,152,461 | ||||||
| TriNet Group, Inc.(1) |
18,111 | 1,025,264 | ||||||
| Triumph Group, Inc. |
4,880 | 123,318 | ||||||
| UniFirst Corp. |
53,758 | 10,858,041 | ||||||
| United Continental Holdings, Inc.(1) |
3,441 | 303,118 | ||||||
| United Rentals, Inc.(1) |
159,497 | 26,599,315 | ||||||
| Universal Forest Products, Inc. |
21,300 | 1,016,010 | ||||||
| Universal Logistics Holdings, Inc. |
3,321 | 62,966 | ||||||
| Upwork, Inc.(1) |
23,162 | 247,139 | ||||||
| US Ecology, Inc. |
9,774 | 566,012 | ||||||
| Verisk Analytics, Inc. – Class A |
129,588 | 19,352,672 | ||||||
| Viad Corp. |
8,101 | 546,817 | ||||||
| Vicor Corp.(1) |
7,197 | 336,244 | ||||||
| Vivint Solar, Inc.(1) |
17,703 | 128,524 | ||||||
| VSE Corp. |
222 | 8,445 | ||||||
| WABCO Holdings, Inc.(1) |
2,900 | 392,950 | ||||||
| Wabtec Corp. |
3,376 | 262,653 | ||||||
| Watsco, Inc. |
42,631 | 7,679,975 | ||||||
| Watts Water Technologies, Inc. – Class A |
6,341 | 632,578 | ||||||
| Welbilt, Inc.(1) |
573,000 | 8,944,530 | ||||||
| Wesco Aircraft Holdings, Inc.(1) |
5,716 | 62,990 | ||||||
| Willdan Group, Inc.(1) |
4,060 | 129,027 | ||||||
| Willis Lease Finance Corp.(1) |
68 | 4,006 | ||||||
| WillScot Corp. – Class A(1) |
14,095 | 260,617 | ||||||
| Woodward, Inc. |
3,055 | 361,834 | ||||||
| WW Grainger, Inc. |
2,938 | 994,572 | ||||||
| XPO Logistics, Inc.(1) |
210,176 | 16,751,027 | ||||||
| Xylem, Inc. |
12,221 | 962,893 | ||||||
|
|
|
|||||||
| Total Industrials |
679,453,703 | |||||||
|
|
|
|||||||
| Information Technology – 24.62% |
||||||||
| 2U, Inc.(1) |
1,385 | 33,226 | ||||||
| 8x8, Inc.(1) |
131,013 | 2,397,538 | ||||||
| A10 Networks, Inc.(1) |
20,231 | 138,987 | ||||||
| Acacia Communications, Inc.(1) |
15,338 | 1,040,070 | ||||||
| ACI Worldwide, Inc.(1) |
46,583 | 1,764,797 | ||||||
| Adesto Technologies Corp.(1) |
9,473 | 80,521 | ||||||
| Advanced Energy Industries, Inc.(1) |
15,423 | 1,098,118 | ||||||
| Advanced Micro Devices, Inc.(1) |
284,228 | 13,034,696 | ||||||
| Agilysys, Inc.(1) |
8,424 | 214,054 | ||||||
| Airgain, Inc.(1) |
3,756 | 40,152 |
| Akamai Technologies, Inc.(1) |
9,840 | 849,979 | ||||||
| Akoustis Technologies, Inc.(1) |
10,188 | 81,504 | ||||||
| Alarm.com Holdings, Inc.(1) |
14,823 | 636,944 | ||||||
| Alliance Data Systems Corp. |
286 | 32,089 | ||||||
| Altair Engineering, Inc. – Class A(1) |
186,609 | 6,701,129 | ||||||
| Alteryx, Inc. – Class A(1) |
3,086 | 308,816 | ||||||
| Ambarella, Inc.(1) |
5,148 | 311,763 | ||||||
| American Software, Inc. – Class A |
6,561 | 97,628 | ||||||
| Amphenol Corp. – Class A |
19,827 | 2,145,876 | ||||||
| Anaplan, Inc.(1) |
5,786 | 303,186 | ||||||
| ANSYS, Inc.(1) |
45,753 | 11,777,280 | ||||||
| Appfolio, Inc. – Class A(1) |
6,356 | 698,842 | ||||||
| Appian Corp. – Class A(1) |
13,745 | 525,196 | ||||||
| Arista Networks, Inc.(1) |
98,386 | 20,011,712 | ||||||
| Aspen Technology, Inc.(1) |
329,649 | 39,864,454 | ||||||
| AstroNova, Inc. |
2,817 | 38,649 | ||||||
| Atlassian Corp. Plc – Class A(1) |
331,795 | 39,928,210 | ||||||
| Avalara, Inc.(1) |
3,187 | 233,448 | ||||||
| Avid Technology, Inc.(1) |
11,563 | 99,211 | ||||||
| Badger Meter, Inc. |
88,500 | 5,746,305 | ||||||
| Benefitfocus, Inc.(1) |
11,957 | 262,337 | ||||||
| Black Knight, Inc.(1) |
9,736 | 627,777 | ||||||
| Blackbaud, Inc. |
311,249 | 24,775,420 | ||||||
| Blackline, Inc.(1) |
17,516 | 903,125 | ||||||
| Booz Allen Hamilton Holding Corp. – Class A |
9,293 | 661,011 | ||||||
| Bottomline Technologies DE, Inc.(1) |
17,530 | 939,608 | ||||||
| Box, Inc. – Class A(1) |
58,021 | 973,592 | ||||||
| Brightcove, Inc.(1) |
15,527 | 134,930 | ||||||
| Broadridge Financial Solutions, Inc. |
7,752 | 957,682 | ||||||
| Brooks Automation, Inc. |
24,893 | 1,044,510 | ||||||
| Cabot Microelectronics Corp. |
96,151 | 13,876,512 | ||||||
| Cadence Design Systems, Inc.(1) |
107,975 | 7,489,146 | ||||||
| Calix, Inc.(1) |
9,898 | 79,184 | ||||||
| Cambium Networks Corp.(1) |
1,034 | 9,037 | ||||||
| Cardtronics Plc – Class A(1) |
11,954 | 533,746 | ||||||
| Casa Systems, Inc.(1) |
11,903 | 48,683 | ||||||
| Cass Information Systems, Inc. |
5,745 | 331,716 | ||||||
| CDK Global, Inc. |
8,241 | 450,618 | ||||||
| CDW Corp. |
9,687 | 1,383,691 | ||||||
| Ceridian HCM Holding, Inc.(1) |
5,126 | 347,953 | ||||||
| CEVA, Inc.(1) |
8,100 | 218,376 | ||||||
| ChannelAdvisor Corp.(1) |
10,730 | 96,999 | ||||||
| Cision Ltd.(1) |
37,109 | 369,977 | ||||||
| Citrix Systems, Inc. |
143,615 | 15,926,904 | ||||||
| Clearfield, Inc.(1) |
4,595 | 64,054 | ||||||
| Cloudera, Inc.(1) |
6,070 | 70,594 | ||||||
| Coda Octopus Group, Inc.(1) |
1,706 | 14,279 | ||||||
| Cognex Corp. |
93,641 | 5,247,642 | ||||||
| CommVault Systems, Inc.(1) |
16,599 | 740,979 | ||||||
| CoreLogic, Inc.(1) |
278 | 12,151 | ||||||
| Cornerstone OnDemand, Inc.(1) |
23,015 | 1,347,528 | ||||||
| Corning, Inc. |
16,309 | 474,755 | ||||||
| Coupa Software, Inc.(1) |
13,784 | 2,015,910 | ||||||
| Cree, Inc.(1) |
520 | 23,998 | ||||||
| CSG Systems International, Inc. |
13,268 | 687,017 | ||||||
| CyberArk Software Ltd.(1) |
27,351 | 3,188,580 | ||||||
| DASAN Zhone Solutions, Inc.(1) |
2,875 | 25,473 | ||||||
| Datadog, Inc. – Class A(1) |
199,570 | 7,539,755 | ||||||
| Diebold Nixdorf, Inc.(1) |
15,913 | 168,041 | ||||||
| Digimarc Corp.(1) |
4,456 | 149,543 |
| Digital Turbine, Inc.(1) |
32,004 | 228,189 | ||||||
| Diodes, Inc.(1) |
3,954 | 222,887 | ||||||
| DocuSign, Inc. – Class A(1) |
72,240 | 5,353,706 | ||||||
| Dolby Laboratories, Inc. – Class A |
82,237 | 5,657,906 | ||||||
| Domo, Inc. – Class B(1) |
7,089 | 153,973 | ||||||
| Dropbox, Inc. – Class A(1) |
14,348 | 256,973 | ||||||
| DSP Group, Inc.(1) |
3,296 | 51,879 | ||||||
| Dynatrace, Inc.(1) |
3,549 | 89,790 | ||||||
| Ebix, Inc. |
9,379 | 313,352 | ||||||
| eGain Corp.(1) |
8,032 | 63,613 | ||||||
| Elastic NV(1) |
3,099 | 199,266 | ||||||
| Endurance International Group Holdings, Inc.(1) |
29,050 | 136,535 | ||||||
| Enphase Energy, Inc.(1) |
37,147 | 970,651 | ||||||
| Entegris, Inc. |
9,125 | 457,071 | ||||||
| Envestnet, Inc.(1) |
107,955 | 7,516,907 | ||||||
| EPAM Systems, Inc.(1) |
3,523 | 747,440 | ||||||
| ePlus, Inc.(1) |
4,739 | 399,450 | ||||||
| Euronet Worldwide, Inc.(1) |
45,784 | 7,213,727 | ||||||
| Everbridge, Inc.(1) |
13,476 | 1,052,206 | ||||||
| EVERTEC, Inc. |
24,601 | 837,418 | ||||||
| Evo Payments, Inc. – Class A(1) |
14,345 | 378,851 | ||||||
| Exela Technologies, Inc.(1) |
15,892 | 6,479 | ||||||
| ExlService Holdings, Inc.(1) |
220,046 | 15,284,395 | ||||||
| Extreme Networks, Inc.(1) |
48,629 | 358,396 | ||||||
| F5 Networks, Inc.(1) |
3,830 | 534,860 | ||||||
| Fabrinet(1) |
13,583 | 880,722 | ||||||
| Fair Isaac Corp.(1) |
1,934 | 724,631 | ||||||
| FARO Technologies, Inc.(1) |
6,642 | 334,425 | ||||||
| FireEye, Inc.(1) |
13,425 | 221,915 | ||||||
| Fiserv, Inc.(1) |
38,367 | 4,436,376 | ||||||
| Fitbit, Inc. – Class A(1) |
19,142 | 125,763 | ||||||
| Five9, Inc.(1) |
24,195 | 1,586,708 | ||||||
| FleetCor Technologies, Inc.(1) |
5,785 | 1,664,460 | ||||||
| FLIR Systems, Inc. |
287,851 | 14,988,402 | ||||||
| ForeScout Technologies, Inc.(1) |
17,148 | 562,454 | ||||||
| FormFactor, Inc.(1) |
2,238 | 58,121 | ||||||
| Fortinet, Inc.(1) |
379,468 | 40,512,004 | ||||||
| Gartner, Inc.(1) |
5,922 | 912,580 | ||||||
| Genpact Ltd. |
12,713 | 536,107 | ||||||
| Global Payments, Inc. |
20,275 | 3,701,404 | ||||||
| GoDaddy, Inc. – Class A(1) |
11,633 | 790,113 | ||||||
| GTT Communications, Inc.(1) |
13,359 | 151,625 | ||||||
| Guidewire Software, Inc.(1) |
167,914 | 18,431,920 | ||||||
| Hackett Group, Inc. |
8,945 | 144,372 | ||||||
| HubSpot, Inc.(1) |
2,753 | 436,351 | ||||||
| I3 Verticals, Inc. – Class A(1) |
5,836 | 164,867 | ||||||
| Ichor Holdings Ltd.(1) |
2,026 | 67,405 | ||||||
| Ideanomics, Inc.(1) |
20,138 | 17,232 | ||||||
| II-VI, Inc.(1) |
23,207 | 781,380 | ||||||
| Impinj, Inc.(1) |
6,783 | 175,408 | ||||||
| Inphi Corp.(1) |
18,184 | 1,345,980 | ||||||
| Insight Enterprises, Inc.(1) |
5,201 | 365,578 | ||||||
| Instructure, Inc.(1) |
14,002 | 675,036 | ||||||
| Intelligent Systems Corp.(1) |
2,748 | 109,755 | ||||||
| InterDigital, Inc. |
12,618 | 687,555 | ||||||
| International Money Express, Inc.(1) |
7,237 | 87,134 | ||||||
| IPG Photonics Corp.(1) |
126,990 | 18,403,391 | ||||||
| Iteris, Inc.(1) |
16,305 | 81,362 | ||||||
| Itron, Inc.(1) |
13,887 | 1,165,814 | ||||||
| j2 Global, Inc. |
18,864 | 1,767,745 |
| Jabil, Inc. |
2,132 | 88,116 | ||||||
| Jack Henry & Associates, Inc. |
137,935 | 20,092,991 | ||||||
| Keysight Technologies, Inc.(1) |
207,984 | 21,345,398 | ||||||
| Kimball Electronics, Inc.(1) |
708 | 12,425 | ||||||
| KLA-Tencor Corp. |
10,816 | 1,927,087 | ||||||
| KVH Industries, Inc.(1) |
399 | 4,441 | ||||||
| Lam Research Corp. |
8,612 | 2,518,149 | ||||||
| Lattice Semiconductor Corp.(1) |
51,027 | 976,657 | ||||||
| Limelight Networks, Inc.(1) |
17,985 | 73,379 | ||||||
| Littelfuse, Inc. |
46,521 | 8,899,467 | ||||||
| LivePerson, Inc.(1) |
25,166 | 931,142 | ||||||
| LogMeIn, Inc. |
191,077 | 16,382,942 | ||||||
| Majesco(1) |
3,125 | 25,781 | ||||||
| Manhattan Associates, Inc.(1) |
61,295 | 4,888,276 | ||||||
| Marvell Technology Group Ltd. |
878,350 | 23,328,976 | ||||||
| Maxim Integrated Products, Inc. |
6,902 | 424,542 | ||||||
| MAXIMUS, Inc. |
25,731 | 1,914,129 | ||||||
| MaxLinear, Inc. – Class A(1) |
26,783 | 568,335 | ||||||
| Medallia, Inc.(1) |
408,836 | 12,718,888 | ||||||
| Microchip Technology, Inc. |
62,895 | 6,586,364 | ||||||
| MicroStrategy, Inc. – Class A(1) |
3,334 | 475,528 | ||||||
| Mitek Systems, Inc.(1) |
10,557 | 80,761 | ||||||
| MobileIron, Inc.(1) |
40,117 | 194,969 | ||||||
| Model N, Inc.(1) |
13,382 | 469,307 | ||||||
| MongoDB, Inc. – Class A(1) |
2,825 | 371,798 | ||||||
| Monolithic Power Systems, Inc. |
2,835 | 504,687 | ||||||
| Motorola Solutions, Inc. |
8,594 | 1,384,837 | ||||||
| MTS Systems Corp. |
2,479 | 119,066 | ||||||
| Napco Security Technologies, Inc.(1) |
4,673 | 137,340 | ||||||
| National Instruments Corp. |
49,013 | 2,075,210 | ||||||
| NCR Corp.(1) |
8,649 | 304,099 | ||||||
| NetApp, Inc. |
16,309 | 1,015,235 | ||||||
| New Relic, Inc.(1) |
240,345 | 15,793,070 | ||||||
| NIC, Inc. |
26,596 | 594,421 | ||||||
| Nice Ltd. – ADR(1) |
113,290 | 17,576,944 | ||||||
| nLight, Inc.(1) |
13,298 | 269,683 | ||||||
| Novanta, Inc.(1) |
13,621 | 1,204,641 | ||||||
| Nutanix, Inc. – Class A(1) |
638,486 | 19,959,072 | ||||||
| NVE Corp. |
1,792 | 127,949 | ||||||
| Okta, Inc. – Class A(1) |
117,120 | 13,512,134 | ||||||
| ON Semiconductor Corp.(1) |
98,332 | 2,397,334 | ||||||
| OneSpan, Inc.(1) |
9,483 | 162,349 | ||||||
| Onto Innovation, Inc.(1) |
4,578 | 167,280 | ||||||
| OSI Systems, Inc.(1) |
6,843 | 689,364 | ||||||
| Pagerduty, Inc.(1) |
2,861 | 66,919 | ||||||
| Palo Alto Networks, Inc.(1) |
240,517 | 55,619,556 | ||||||
| PAR Technology Corp.(1) |
4,739 | 145,677 | ||||||
| Paychex, Inc. |
21,815 | 1,855,584 | ||||||
| Paycom Software, Inc.(1) |
3,353 | 887,740 | ||||||
| Paylocity Holding Corp.(1) |
110,479 | 13,348,073 | ||||||
| PaySign, Inc.(1) |
12,169 | 123,515 | ||||||
| PDF Solutions, Inc.(1) |
919 | 15,522 | ||||||
| Pegasystems, Inc. |
2,566 | 204,382 | ||||||
| Perficient, Inc.(1) |
12,899 | 594,257 | ||||||
| Perspecta, Inc. |
4,079 | 107,849 | ||||||
| Phunware Inc.(1) |
12,317 | 14,657 | ||||||
| Ping Identity Holding Corp.(1) |
4,661 | 113,262 | ||||||
| Plantronics, Inc. |
13,679 | 373,984 | ||||||
| Plexus Corp.(1) |
1,570 | 120,796 | ||||||
| Pluralsight, Inc. – Class A(1) |
4,213 | 72,506 |
| Power Integrations, Inc. |
48,949 | 4,841,546 | ||||||
| PRGX Global, Inc.(1) |
8,242 | 40,551 | ||||||
| Priority Technology Holdings(1) |
2,478 | 6,071 | ||||||
| Progress Software Corp. |
17,966 | 746,487 | ||||||
| Proofpoint, Inc.(1) |
153,561 | 17,625,732 | ||||||
| PROS Holdings, Inc.(1) |
65,888 | 3,948,009 | ||||||
| PTC, Inc.(1) |
50,772 | 3,802,315 | ||||||
| Pure Storage, Inc. – Class A(1) |
1,285,965 | 22,002,861 | ||||||
| Q2 Holdings, Inc.(1) |
67,413 | 5,465,846 | ||||||
| QAD, Inc. – Class A |
2,470 | 125,797 | ||||||
| Qualys, Inc.(1) |
238,246 | 19,862,569 | ||||||
| Rapid7, Inc.(1) |
19,957 | 1,117,991 | ||||||
| RealPage, Inc.(1) |
5,388 | 289,605 | ||||||
| Rimini Street, Inc.(1) |
8,248 | 32,002 | ||||||
| RingCentral, Inc. – Class A(1) |
30,655 | 5,170,579 | ||||||
| Rogers Corp.(1) |
7,488 | 933,978 | ||||||
| Rosetta Stone, Inc.(1) |
1,368 | 24,816 | ||||||
| Sabre Corp. |
3,281 | 73,626 | ||||||
| SailPoint Technologies Holding, Inc.(1) |
34,626 | 817,174 | ||||||
| Sanmina Corp.(1) |
6,433 | 220,266 | ||||||
| Science Applications International Corp. |
23,418 | 2,037,834 | ||||||
| SecureWorks Corp. – Class A(1) |
391 | 6,514 | ||||||
| Semtech Corp.(1) |
129,252 | 6,837,431 | ||||||
| ServiceNow, Inc.(1) |
228,230 | 64,433,894 | ||||||
| SharpSpring, Inc.(1) |
4,155 | 47,658 | ||||||
| Shopify, Inc. – Class A(1) |
17,257 | 6,861,038 | ||||||
| ShotSpotter, Inc.(1) |
3,377 | 86,114 | ||||||
| Silicon Laboratories, Inc.(1) |
101,125 | 11,728,478 | ||||||
| Skyworks Solutions, Inc. |
584 | 70,594 | ||||||
| Smartsheet, Inc. – Class A(1) |
5,898 | 264,938 | ||||||
| SolarWinds Corp.(1) |
827 | 15,341 | ||||||
| Sonim Technologies, Inc.(1) |
4,431 | 16,085 | ||||||
| Splunk, Inc.(1) |
467,857 | 70,070,943 | ||||||
| SPS Commerce, Inc.(1) |
211,774 | 11,736,515 | ||||||
| Square, Inc. – Class A(1) |
78,652 | 4,920,469 | ||||||
| SS&C Technologies Holdings, Inc. |
13,566 | 832,952 | ||||||
| SVMK, Inc.(1) |
35,055 | 626,433 | ||||||
| Switch, Inc. – Class A |
3,965 | 58,761 | ||||||
| Synopsys, Inc.(1) |
100,139 | 13,939,349 | ||||||
| Telaria, Inc.(1) |
17,845 | 157,214 | ||||||
| Telenav, Inc.(1) |
6,869 | 33,383 | ||||||
| Tenable Holdings, Inc.(1) |
15,240 | 365,150 | ||||||
| Teradata Corp.(1) |
7,658 | 205,005 | ||||||
| Teradyne, Inc. |
11,354 | 774,229 | ||||||
| Trade Desk, Inc. – Class A(1) |
2,662 | 691,534 | ||||||
| Trimble, Inc.(1) |
2,912 | 121,401 | ||||||
| TTEC Holdings, Inc. |
5,741 | 227,458 | ||||||
| Tucows, Inc. – Class A(1) |
3,825 | 236,309 | ||||||
| Twilio, Inc. – Class A(1) |
8,336 | 819,262 | ||||||
| Tyler Technologies, Inc.(1) |
17,827 | 5,348,457 | ||||||
| Ubiquiti, Inc. |
582 | 109,986 | ||||||
| Unisys Corp.(1) |
14,391 | 170,677 | ||||||
| Universal Display Corp. |
2,891 | 595,748 | ||||||
| Upland Software, Inc.(1) |
9,215 | 329,068 | ||||||
| Varonis Systems, Inc.(1) |
11,974 | 930,500 | ||||||
| Verint Systems, Inc.(1) |
25,424 | 1,407,473 | ||||||
| VeriSign, Inc.(1) |
4,840 | 932,571 | ||||||
| Verra Mobility Corp. – Class A(1) |
51,747 | 723,941 | ||||||
| Viavi Solutions, Inc.(1) |
92,752 | 1,391,280 | ||||||
| VirnetX Holding Corp.(1) |
25,238 | 95,904 |
| Virtusa Corp.(1) |
11,625 | 526,961 | ||||||
| Vishay Precision Group, Inc.(1) |
3,119 | 106,046 | ||||||
| Western Union Co. |
6,295 | 168,580 | ||||||
| WEX, Inc.(1) |
25,493 | 5,339,764 | ||||||
| Workday, Inc. – Class A(1) |
362,350 | 59,588,458 | ||||||
| Workiva, Inc. – Class A(1) |
14,828 | 623,517 | ||||||
| Wrap Technologies, Inc.(1) |
3,642 | 23,272 | ||||||
| Xilinx, Inc. |
17,315 | 1,692,888 | ||||||
| Xperi Corp. |
3,945 | 72,983 | ||||||
| Yext, Inc.(1) |
38,227 | 551,233 | ||||||
| Zebra Technologies Corp. – Class A(1) |
3,626 | 926,225 | ||||||
| Zendesk, Inc.(1) |
7,472 | 572,579 | ||||||
| Zix Corp.(1) |
21,585 | 146,346 | ||||||
| Zscaler, Inc.(1) |
4,309 | 200,369 | ||||||
| Zuora, Inc. – Class A(1) |
35,656 | 510,951 | ||||||
|
|
|
|||||||
| Total Information Technology |
|
1,055,443,954 | ||||||
|
|
|
|||||||
| Materials – 3.49% |
||||||||
| Advanced Emissions Solutions, Inc. |
5,733 | 60,196 | ||||||
| AK Steel Holding Corp.(1) |
55,604 | 182,937 | ||||||
| Amyris, Inc.(1) |
4,190 | 12,947 | ||||||
| AptarGroup, Inc. |
243,828 | 28,191,393 | ||||||
| Avery Dennison Corp. |
5,290 | 692,038 | ||||||
| Axalta Coating Systems Ltd.(1) |
4,314 | 131,146 | ||||||
| Balchem Corp. |
40,679 | 4,134,207 | ||||||
| Ball Corp. |
21,959 | 1,420,089 | ||||||
| Berry Global Group, Inc.(1) |
92,196 | 4,378,388 | ||||||
| Boise Cascade Co. |
3,677 | 134,321 | ||||||
| CF Industries Holdings, Inc. |
1,467 | 70,035 | ||||||
| Chase Corp. |
40,349 | 4,780,550 | ||||||
| Cleveland-Cliffs, Inc. |
16,108 | 135,307 | ||||||
| Compass Minerals International, Inc. |
13,836 | 843,443 | ||||||
| Crown Holdings, Inc.(1) |
5,089 | 369,156 | ||||||
| Eagle Materials, Inc. |
2,333 | 211,510 | ||||||
| Element Solutions, Inc.(1) |
5,943 | 69,414 | ||||||
| Ferro Corp.(1) |
26,884 | 398,690 | ||||||
| Forterra, Inc.(1) |
7,522 | 86,954 | ||||||
| GCP Applied Technologies, Inc.(1) |
21,847 | 496,145 | ||||||
| Graphic Packaging Holding Co. |
739,818 | 12,317,970 | ||||||
| HB Fuller Co. |
15,412 | 794,797 | ||||||
| Ingevity Corp.(1) |
110,409 | 9,647,538 | ||||||
| Innospec, Inc. |
84,604 | 8,751,438 | ||||||
| International Flavors & Fragrances, Inc. |
137,000 | 17,675,740 | ||||||
| Kaiser Aluminum Corp. |
3,294 | 365,272 | ||||||
| Koppers Holdings, Inc.(1) |
5,438 | 207,840 | ||||||
| Kraton Corp.(1) |
3,551 | 89,911 | ||||||
| Louisiana-Pacific Corp. |
6,652 | 197,365 | ||||||
| Marrone Bio Innovations, Inc.(1) |
20,472 | 20,677 | ||||||
| Martin Marietta Materials, Inc. |
143,725 | 40,191,259 | ||||||
| Materion Corp. |
3,329 | 197,909 | ||||||
| Mayville Engineering Co., Inc.(1) |
2,606 | 24,444 | ||||||
| Myers Industries, Inc. |
14,459 | 241,176 | ||||||
| Neenah, Inc. |
5,596 | 394,126 | ||||||
| NewMarket Corp. |
427 | 207,744 | ||||||
| Novagold Resources, Inc.(1) |
65,416 | 586,127 | ||||||
| OMNOVA Solutions, Inc.(1) |
17,584 | 177,774 | ||||||
| Orion Engineered Carbons SA |
16,396 | 316,443 | ||||||
| PolyOne Corp. |
29,377 | 1,080,780 | ||||||
| Quaker Chemical Corp. |
5,307 | 873,108 | ||||||
| Reliance Steel & Aluminum Co. |
41,328 | 4,949,441 | ||||||
| Royal Gold, Inc. |
1,401 | 171,272 | ||||||
| RPM International, Inc. |
1,424 | 109,306 | ||||||
| Ryerson Holding Corp.(1) |
6,120 | 72,400 | ||||||
| Scotts Miracle-Gro Co. |
2,678 | 284,350 | ||||||
| Sealed Air Corp. |
819 | 32,621 | ||||||
| Sensient Technologies Corp. |
9,056 | 598,511 | ||||||
| Stepan Co. |
909 | 93,118 | ||||||
| Summit Materials, Inc. – Class A(1) |
8,327 | 199,015 | ||||||
| Tronox Holdings Plc – Class A |
16,850 | 192,427 | ||||||
| UFP Technologies, Inc.(1) |
320 | 15,875 | ||||||
| United States Lime & Minerals, Inc. |
55 | 4,966 | ||||||
| US Concrete, Inc.(1) |
6,416 | 267,291 | ||||||
| Valhi, Inc. |
368 | 688 | ||||||
| Verso Corp. – Class A(1) |
841 | 15,163 | ||||||
| Vulcan Materials Co. |
8,187 | 1,178,846 | ||||||
| Worthington Industries, Inc. |
3,499 | 147,588 | ||||||
| WR Grace & Co. |
3,867 | 270,110 | ||||||
|
|
|
|||||||
| Total Materials |
|
149,761,292 | ||||||
|
|
|
|||||||
| Real Estate – 3.22% |
||||||||
| Alexander’s, Inc. |
857 | 283,110 | ||||||
| Altisource Portfolio Solutions SA(1) |
222 | 4,291 | ||||||
| American Assets Trust, Inc. |
19,509 | 895,463 | ||||||
| American Finance Trust, Inc. |
2,861 | 37,937 | ||||||
| American Homes 4 Rent – Class A |
7,382 | 193,482 | ||||||
| Americold Realty Trust |
12,988 | 455,359 | ||||||
| Armada Hoffler Properties, Inc. |
6,993 | 128,322 | ||||||
| Bluerock Residential Growth REIT, Inc. – Class A |
9,137 | 110,101 | ||||||
| Brookfield Property REIT, Inc. – Class A |
4,524 | 83,445 | ||||||
| CareTrust REIT, Inc. |
28,607 | 590,162 | ||||||
| CBRE Group, Inc. – Class A(1) |
8,374 | 513,242 | ||||||
| Clipper Realty, Inc. |
5,733 | 60,770 | ||||||
| Colony Capital, Inc. |
1,857 | 8,821 | ||||||
| Community Healthcare Trust, Inc. |
4,620 | 198,013 | ||||||
| CoreSite Realty Corp. |
59,337 | 6,652,864 | ||||||
| Corporate Office Properties Trust |
154,438 | 4,537,388 | ||||||
| Cushman & Wakefield Plc(1) |
42,796 | 874,750 | ||||||
| Easterly Government Properties, Inc. |
6,858 | 162,740 | ||||||
| EastGroup Properties, Inc. |
15,350 | 2,036,485 | ||||||
| Equity LifeStyle Properties, Inc. |
11,807 | 831,095 | ||||||
| Essential Properties Realty Trust, Inc. |
3,556 | 88,224 | ||||||
| eXp World Holdings, Inc.(1) |
8,360 | 94,719 | ||||||
| Extra Space Storage, Inc. |
6,910 | 729,834 | ||||||
| First Industrial Realty Trust, Inc. |
10,458 | 434,112 | ||||||
| FirstService Corp. |
71,018 | 6,607,515 | ||||||
| Four Corners Property Trust, Inc. |
27,619 | 778,580 | ||||||
| Gladstone Commercial Corp. |
3,920 | 85,691 | ||||||
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
1,811 | 58,278 | ||||||
| Hudson Pacific Properties, Inc. |
142,704 | 5,372,806 | ||||||
| Innovative Industrial Properties, Inc. – Class A |
4,572 | 346,878 | ||||||
| Iron Mountain, Inc. |
2,154 | 68,648 | ||||||
| iStar, Inc. |
17,026 | 247,047 | ||||||
| Jones Lang LaSalle, Inc. |
178,107 | 31,006,648 | ||||||
| Kennedy-Wilson Holdings, Inc. |
25,213 | 562,250 | ||||||
| Lamar Advertising Co. – Class A |
5,816 | 519,136 | ||||||
| LTC Properties, Inc. |
7,897 | 353,549 | ||||||
| Marcus & Millichap, Inc.(1) |
8,100 | 301,725 | ||||||
| Maui Land & Pineapple Co., Inc.(1) |
1,513 | 17,021 | ||||||
| Monmouth Real Estate Investment Corp. |
5,754 | 83,318 | ||||||
| National Health Investors, Inc. |
7,457 | 607,596 | ||||||
| National Storage Affiliates Trust |
23,908 | 803,787 | ||||||
| New Senior Investment Group, Inc. |
14,713 | 112,554 | ||||||
| Newmark Group, Inc. – Class A |
51,836 | 697,453 | ||||||
| NexPoint Residential Trust, Inc. |
7,994 | 359,730 | ||||||
| Outfront Media, Inc. |
1,489 | 39,935 | ||||||
| Pennsylvania Real Estate Investment Trust |
13,528 | 72,104 | ||||||
| PS Business Parks, Inc. |
8,096 | 1,334,788 | ||||||
| QTS Realty Trust, Inc. – Class A |
23,292 | 1,264,057 | ||||||
| Redfin Corp.(1) |
36,286 | 767,086 | ||||||
| RMR Group, Inc. – Class A |
6,160 | 281,142 | ||||||
| Ryman Hospitality Properties, Inc. |
18,565 | 1,608,843 | ||||||
| Safehold, Inc. |
275 | 11,083 | ||||||
| Saul Centers, Inc. |
4,390 | 231,704 | ||||||
| SBA Communications Corp. – Class A |
186,539 | 44,954,034 | ||||||
| Seritage Growth Properties |
1,331 | 53,346 | ||||||
| Sun Communities, Inc. |
1,436 | 215,544 | ||||||
| Tanger Factory Outlet Centers, Inc. |
36,535 | 538,161 | ||||||
| Terreno Realty Corp. |
285,570 | 15,460,760 | ||||||
| The GEO Group, Inc. |
48,068 | 798,410 | ||||||
| The Howard Hughes Corp.(1) |
844 | 107,019 | ||||||
| UDR, Inc. |
1,106 | 51,650 | ||||||
| UMH Properties, Inc. |
12,455 | 195,917 | ||||||
| Uniti Group, Inc. |
74,858 | 614,584 | ||||||
| Universal Health Realty Income Trust |
4,691 | 550,536 | ||||||
|
|
|
|||||||
| Total Real Estate |
|
138,145,642 | ||||||
|
|
|
|||||||
| Utilities – 0.15% |
||||||||
| American States Water Co. |
14,833 | 1,285,131 | ||||||
| AquaVenture Holdings Ltd.(1) |
908 | 24,625 | ||||||
| Atlantic Power Corp.(1) |
26,855 | 62,572 | ||||||
| California Water Service Group |
18,342 | 945,714 | ||||||
| Chesapeake Utilities Corp. |
6,449 | 618,008 | ||||||
| El Paso Electric Co. |
2,767 | 187,852 | ||||||
| Genie Energy Ltd. – Class B |
2,570 | 19,866 | ||||||
| Global Water Resources, Inc. |
4,877 | 64,133 | ||||||
| MGE Energy, Inc. |
5,103 | 402,218 | ||||||
| Middlesex Water Co. |
5,657 | 359,615 | ||||||
| New Jersey Resources Corp. |
2,414 | 107,592 | ||||||
| Northwest Natural Holding Co. |
1,805 | 133,083 | ||||||
| Ormat Technologies, Inc. |
5,724 | 426,552 | ||||||
| Otter Tail Corp. |
7,003 | 359,184 | ||||||
| Pure Cycle Corp.(1) |
6,771 | 85,247 | ||||||
| SJW Group |
6,911 | 491,096 | ||||||
| South Jersey Industries, Inc. |
5,231 | 172,518 | ||||||
| Southwest Gas Holdings, Inc. |
2,450 | 186,126 | ||||||
| Spark Energy, Inc. – Class A |
4,695 | 43,335 | ||||||
| Sunnova Energy International, Inc.(1) |
1,745 | 19,474 | ||||||
| TerraForm Power, Inc. – Class A |
22,799 | 350,877 | ||||||
| York Water Co. |
4,731 | 218,146 | ||||||
|
|
|
|||||||
| Total Utilities |
|
6,562,964 | ||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $3,129,405,615) |
4,201,059,705 | |||||||
|
|
|
|||||||
| RIGHTS – 0.00%(2) |
||||||||
| Healthcare – 0.00%(2) |
||||||||
| Corium International, Inc., expires 03/31/2020 – CVR(1)(4) |
7,613 | 1,370 | ||||||
| Oncternal Therapeutics, Inc.(1)(4) |
207 | 382 | ||||||
|
|
|
|||||||
| Total Healthcare |
|
1,752 | ||||||
|
|
|
|||||||
| Materials – 0.00%(2) |
||||||||
| A. Schulman, Inc. – CVR(1)(4) |
9,002 | 3,508 | ||||||
|
|
|
|||||||
| Total Materials |
|
3,508 | ||||||
|
|
|
|||||||
| Total Rights (Cost: $0) |
5,260 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 1.95% |
||||||||
| Money Market Funds – 1.90% |
||||||||
| Goldman Sachs Financial Square Government Fund – Class I, 1.50%(3) |
81,363,317 | 81,363,317 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $81,363,317) |
81,363,317 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.05% |
||||||||
| Banco Santander, Frankfurt, 1.81% due 01/02/2020 |
$ | 1,533,450 | 1,533,450 | |||||
| BBVA, Madrid, 1.81% due 01/02/2020 |
306,393 | 306,393 | ||||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
9,699 | 9,699 | ||||||
| JP Morgan, New York, 1.81% due 01/02/2020 |
172,883 | 172,883 | ||||||
|
|
|
|||||||
| Total Time Deposits (Cost: $2,022,425) |
2,022,425 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $83,385,742) |
83,385,742 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.96% |
||||||||
| (Cost: $3,212,791,357) |
4,284,450,707 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.04% |
1,684,482 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 4,286,135,189 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
CVR Contingent Value Right
REIT Real Estate Investment Trust
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $5,260, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 132,393,298 | $ | — | $ | — | $ | 132,393,298 | ||||||||
| Consumer Discretionary |
476,178,028 | — | — | 476,178,028 | ||||||||||||
| Consumer Staples |
242,448,561 | — | — | 242,448,561 | ||||||||||||
| Energy |
34,064,025 | — | — | 34,064,025 | ||||||||||||
| Financials |
394,193,833 | — | — | 394,193,833 | ||||||||||||
| Healthcare |
892,414,405 | — | — | 892,414,405 | ||||||||||||
| Industrials |
679,453,703 | — | — | 679,453,703 | ||||||||||||
| Information Technology |
1,055,443,954 | — | — | 1,055,443,954 | ||||||||||||
| Materials |
149,761,292 | — | — | 149,761,292 | ||||||||||||
| Real Estate |
138,145,642 | — | — | 138,145,642 | ||||||||||||
| Utilities |
6,562,964 | — | — | 6,562,964 | ||||||||||||
| Rights |
||||||||||||||||
| Healthcare |
— | — | 1,752 | 1,752 | ||||||||||||
| Materials |
— | — | 3,508 | 3,508 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
81,363,317 | — | — | 81,363,317 | ||||||||||||
| Time Deposits |
— | 2,022,425 | — | 2,022,425 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 4,282,423,022 | $ | 2,022,425 | $ | 5,260 | $ | 4,284,450,707 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCKS – 98.13% |
||||||||
| Communication Services – 2.70% |
||||||||
| Activision Blizzard, Inc. |
166,883 | $ | 9,916,188 | |||||
| Altice USA, Inc. – Class A(1) |
288,261 | 7,881,056 | ||||||
| AMC Entertainment Holdings, Inc. – Class A |
15,110 | 109,396 | ||||||
| AMC Networks, Inc. – Class A(1) |
65,900 | 2,603,050 | ||||||
| ATN International, Inc. |
3,230 | 178,910 | ||||||
| Bandwidth, Inc. – Class A(1) |
776 | 49,703 | ||||||
| Boston Omaha Corp. – Class A(1) |
939 | 19,757 | ||||||
| Cable One, Inc. |
10,280 | 15,301,472 | ||||||
| Care.com, Inc.(1) |
534 | 8,026 | ||||||
| Cars.com, Inc.(1) |
17,234 | 210,599 | ||||||
| CenturyLink, Inc. |
37,047 | 489,391 | ||||||
| Cincinnati Bell, Inc.(1) |
14,127 | 147,910 | ||||||
| Cinemark Holdings, Inc. |
170,483 | 5,770,850 | ||||||
| Clear Channel Outdoor Holdings, Inc. – Class A(1) |
11,820 | 33,805 | ||||||
| comScore, Inc.(1) |
14,090 | 69,605 | ||||||
| Consolidated Communications Holdings, Inc. |
20,869 | 80,972 | ||||||
| Cumulus Media, Inc. – Class A(1) |
4,176 | 73,372 | ||||||
| Daily Journal Corp.(1) |
351 | 101,937 | ||||||
| DHI Group, Inc.(1) |
15,174 | 45,674 | ||||||
| Discovery, Inc. – Class A(1) |
5,315 | 174,013 | ||||||
| Discovery, Inc. – Class C(1) |
11,497 | 350,544 | ||||||
| DISH Network Corp. – Class A(1) |
8,848 | 313,839 | ||||||
| Electronic Arts, Inc.(1) |
182,965 | 19,670,567 | ||||||
| Emerald Expositions Events, Inc. |
7,156 | 75,496 | ||||||
| Entercom Communications Corp. – Class A |
36,017 | 167,119 | ||||||
| Entravision Communications Corp. – Class A |
14,792 | 38,755 | ||||||
| Eros International Plc(1) |
19,685 | 66,732 | ||||||
| EW Scripps Co. – Class A |
16,043 | 252,036 | ||||||
| Fluent, Inc.(1) |
1,197 | 2,992 | ||||||
| Fox Corp. – Class A |
190,888 | 7,076,218 | ||||||
| Fox Corp. – Class B |
5,006 | 182,218 | ||||||
| Frontier Communications Corp.(1) |
30,939 | 27,523 | ||||||
| Gaia, Inc. – Class A(1) |
2,892 | 23,107 | ||||||
| Gannett Co., Inc. |
34,681 | 221,265 | ||||||
| GCI Liberty, Inc. – Class A(1) |
3,347 | 237,135 | ||||||
| Gray Television, Inc.(1) |
15,999 | 343,019 | ||||||
| Hemisphere Media Group, Inc. – Class A(1) |
791 | 11,746 | ||||||
| IDT Corp. – Class B(1) |
1,228 | 8,854 | ||||||
| IMAX Corp.(1) |
97,995 | 2,002,038 | ||||||
| Intelsat SA(1) |
19,626 | 137,971 | ||||||
| InterActiveCorp(1) |
1,056 | 263,060 | ||||||
| Interpublic Group of Companies, Inc. |
11,892 | 274,705 | ||||||
| Iridium Communications, Inc.(1) |
29,338 | 722,888 | ||||||
| John Wiley & Sons, Inc. – Class A |
1,490 | 72,295 | ||||||
| Lee Enterprises, Inc.(1) |
14,754 | 20,951 | ||||||
| Liberty Broadband Corp. – Class A(1) |
838 | 104,381 | ||||||
| Liberty Broadband Corp. – Class C(1) |
3,590 | 451,442 | ||||||
| Liberty Global Plc – Class C(1) |
151,679 | 3,305,844 | ||||||
| Liberty Latin America Ltd. – Class A(1) |
13,178 | 254,335 | ||||||
| Liberty Latin America Ltd. – Class C(1) |
34,199 | 665,513 | ||||||
| Liberty Media Corp.-Liberty Formula One – Class A(1) |
892 | 39,052 | ||||||
| Liberty Media Corp.-Liberty Formula One – Class C(1) |
117,074 | 5,381,306 | ||||||
| Liberty Media Corp.-Liberty SiriusXM – Class A(1) |
2,870 | 138,736 | ||||||
| Liberty Media Corp.-Liberty SiriusXM – Class C(1) |
5,228 | 251,676 | ||||||
| Lions Gate Entertainment Corp. – Class A(1) |
1,640 | 17,482 | ||||||
| Lions Gate Entertainment Corp. – Class B(1) |
3,895 | 38,677 | ||||||
| Madison Square Garden Co. – Class A(1) |
573 | 168,571 | ||||||
| Marchex, Inc. – Class B(1) |
10,580 | 39,992 | ||||||
| Marcus Corp. |
6,721 | 213,526 | ||||||
| Meet Group, Inc.(1) |
8,259 | 41,378 | ||||||
| MSG Networks, Inc. – Class A(1) |
12,903 | 224,512 | ||||||
| National CineMedia, Inc. |
16,514 | 120,387 | ||||||
| NetEase, Inc. – ADR |
19,583 | 6,004,931 | ||||||
| New York Times Co. – Class A |
4,489 | 144,411 | ||||||
| News Corp. – Class A |
13,073 | 184,852 | ||||||
| News Corp. – Class B |
4,133 | 59,970 | ||||||
| Nexstar Media Group, Inc. – Class A |
295,959 | 34,701,193 | ||||||
| Omnicom Group, Inc. |
61,371 | 4,972,278 | ||||||
| ORBCOMM, Inc.(1) |
4,109 | 17,299 | ||||||
| Pareteum Corp.(1) |
17,037 | 7,450 | ||||||
| Reading International, Inc. – Class A(1) |
5,041 | 56,409 | ||||||
| Saga Communications, Inc. – Class A |
1,068 | 32,467 | ||||||
| Scholastic Corp. |
8,803 | 338,475 | ||||||
| Sinclair Broadcast Group, Inc. – Class A |
120 | 4,001 | ||||||
| Spok Holdings, Inc. |
5,480 | 67,020 | ||||||
| Sprint Corp.(1) |
19,300 | 100,553 | ||||||
| Take-Two Interactive Software, Inc.(1) |
2,045 | 250,369 | ||||||
| TEGNA, Inc. |
64,686 | 1,079,609 | ||||||
| Telephone & Data Systems, Inc. |
3,366 | 85,597 | ||||||
| Tribune Publishing Co. |
5,164 | 67,958 | ||||||
| TripAdvisor, Inc. |
344 | 10,451 | ||||||
| TrueCar, Inc.(1) |
4,142 | 19,675 | ||||||
| United States Cellular Corp.(1) |
501 | 18,151 | ||||||
| ViacomCBS, Inc. – Class A |
55 | 2,468 | ||||||
| ViacomCBS, Inc. – Class B |
121,163 | 5,085,211 | ||||||
| Vonage Holdings Corp.(1) |
21,432 | 158,811 | ||||||
| WideOpenWest, Inc.(1) |
7,395 | 54,871 | ||||||
| Yelp, Inc. – Class A(1) |
104,720 | 3,647,398 | ||||||
| Zillow Group, Inc. – Class A(1) |
1,921 | 87,867 | ||||||
| Zillow Group, Inc. – Class C(1) |
4,198 | 192,856 | ||||||
| Zynga, Inc. – Class A(1) |
22,598 | 138,300 | ||||||
|
|
|
|||||||
| Total Communication Services |
|
144,876,470 | ||||||
|
|
|
|||||||
| Consumer Discretionary – 9.86% |
||||||||
| Aaron’s, Inc. |
32,393 | 1,849,964 | ||||||
| Abercrombie & Fitch Co. – Class A |
18,667 | 322,752 | ||||||
| Acushnet Holdings Corp. |
590,230 | 19,182,475 | ||||||
| Adient Plc(1) |
26,043 | 553,414 | ||||||
| Adtalem Global Education, Inc.(1) |
16,060 | 561,618 | ||||||
| Advance Auto Parts, Inc. |
11,675 | 1,869,868 | ||||||
| American Axle & Manufacturing Holdings, Inc.(1) |
172,373 | 1,854,733 | ||||||
| American Eagle Outfitters, Inc. |
118,654 | 1,744,214 | ||||||
| American Outdoor Brands Corp.(1) |
16,032 | 148,777 | ||||||
| American Public Education, Inc.(1) |
4,661 | 127,665 | ||||||
| Aptiv Plc |
8,175 | 776,380 | ||||||
| Aramark |
333,697 | 14,482,450 | ||||||
| Ascena Retail Group, Inc.(1) |
2,544 | 19,500 | ||||||
| At Home Group, Inc.(1) |
13,716 | 75,438 | ||||||
| AutoNation, Inc.(1) |
1,806 | 87,826 | ||||||
| AutoZone, Inc.(1) |
7,242 | 8,627,467 | ||||||
| Barnes & Noble Education, Inc.(1) |
12,307 | 52,551 | ||||||
| Bassett Furniture Industries, Inc. |
2,804 | 46,771 | ||||||
| BBX Capital Corp. – Class A |
16,974 | 80,966 | ||||||
| Beazer Homes USA, Inc.(1) |
8,445 | 119,328 | ||||||
| Bed Bath & Beyond, Inc. |
116,673 | 2,018,443 | ||||||
| Best Buy, Inc. |
61,202 | 5,373,536 | ||||||
| Big Lots, Inc. |
55,857 | 1,604,213 | ||||||
| Biglari Holdings, Inc. – Class B(1) |
70 | 8,009 | ||||||
| BorgWarner, Inc. |
265,121 | 11,500,949 | ||||||
| Boyd Gaming Corp. |
2,289 | 68,533 | ||||||
| Brinker International, Inc. |
2,690 | 112,980 | ||||||
| Brunswick Corp. |
284,504 | 17,064,550 | ||||||
| Buckle, Inc. |
8,663 | 234,248 | ||||||
| Caesars Entertainment Corp.(1) |
19,717 | 268,151 | ||||||
| Caleres, Inc. |
11,767 | 279,466 | ||||||
| Callaway Golf Co. |
27,678 | 586,774 | ||||||
| Capri Holdings Ltd.(1) |
2,831 | 108,003 | ||||||
| CarMax, Inc.(1) |
2,927 | 256,610 | ||||||
| Carriage Services, Inc. – Class A |
4,829 | 123,622 | ||||||
| Carrols Restaurant Group, Inc.(1) |
9,625 | 67,856 | ||||||
| Carter’s, Inc. |
85,946 | 9,397,336 | ||||||
| Cato Corp. – Class A |
6,527 | 113,570 | ||||||
| Century Casinos, Inc.(1) |
8,133 | 64,413 | ||||||
| Century Communities, Inc.(1) |
4,460 | 121,981 | ||||||
| Chico’s FAS, Inc. |
34,698 | 132,199 | ||||||
| Choice Hotels International, Inc. |
655 | 67,747 | ||||||
| Chuy’s Holdings, Inc.(1) |
3,689 | 95,619 | ||||||
| Citi Trends, Inc. |
3,469 | 80,203 | ||||||
| Clarus Corp. |
2,713 | 36,788 | ||||||
| Collectors Universe |
125 | 2,881 | ||||||
| Columbia Sportswear Co. |
357 | 35,768 | ||||||
| Conn’s, Inc.(1) |
5,337 | 66,125 | ||||||
| Container Store Group, Inc.(1) |
4,654 | 19,640 | ||||||
| Cooper Tire & Rubber Co. |
14,891 | 428,116 | ||||||
| Cooper-Standard Holdings, Inc.(1) |
22,919 | 759,994 | ||||||
| Core-Mark Holding Co., Inc. |
1,086,181 | 29,533,261 | ||||||
| Culp, Inc. |
3,207 | 43,679 | ||||||
| Dana, Inc. |
691,252 | 12,580,786 | ||||||
| Del Taco Restaurants, Inc.(1) |
8,819 | 69,714 | ||||||
| Delta Apparel, Inc.(1) |
1,766 | 54,923 | ||||||
| Denny’s Corp.(1) |
4,403 | 87,532 | ||||||
| Designer Brands, Inc. – Class A |
11,998 | 188,849 | ||||||
| Dick’s Sporting Goods, Inc. |
113,401 | 5,612,215 | ||||||
| Dillard’s, Inc. – Class A |
2,973 | 218,456 | ||||||
| Dine Brands Global, Inc. |
92,080 | 7,690,522 | ||||||
| Dollar General Corp. |
62,954 | 9,819,565 | ||||||
| Dollar Tree, Inc.(1) |
49,097 | 4,617,573 | ||||||
| DR Horton, Inc. |
11,460 | 604,515 | ||||||
| Drive Shack, Inc.(1) |
1,917 | 7,016 | ||||||
| Dunkin’ Brands Group, Inc. |
189 | 14,277 | ||||||
| eBay, Inc. |
453,560 | 16,378,052 | ||||||
| El Pollo Loco Holdings, Inc.(1) |
5,884 | 89,084 | ||||||
| Escalade, Inc. |
2,814 | 27,662 | ||||||
| Ethan Allen Interiors, Inc. |
7,101 | 135,345 | ||||||
| Expedia Group, Inc. |
63,535 | 6,870,675 | ||||||
| Express, Inc.(1) |
20,054 | 97,663 | ||||||
| Extended Stay America, Inc. |
850,106 | 12,632,575 | ||||||
| Fiesta Restaurant Group, Inc.(1) |
7,038 | 69,606 | ||||||
| Flexsteel Industries, Inc. |
2,154 | 42,908 | ||||||
| Foot Locker, Inc. |
80,781 | 3,149,651 | ||||||
| Fossil Group, Inc.(1) |
13,720 | 108,114 | ||||||
| Frontdoor, Inc.(1) |
2,885 | 136,807 | ||||||
| GameStop Corp. – Class A |
24,190 | 147,075 | ||||||
| Gap, Inc. |
7,435 | 131,451 | ||||||
| Garmin Ltd. |
4,934 | 481,361 | ||||||
| Genesco, Inc.(1) |
4,316 | 206,823 | ||||||
| Gentex Corp. |
171,784 | 4,978,300 | ||||||
| Genuine Parts Co. |
4,783 | 508,098 | ||||||
| G-III Apparel Group Ltd.(1) |
13,178 | 441,463 |
| GNC Holdings, Inc. – Class A(1) |
24,006 | 64,816 | ||||||
| Golden Entertainment, Inc.(1) |
2,586 | 49,703 | ||||||
| Goodyear Tire & Rubber Co. |
153,138 | 2,382,062 | ||||||
| GoPro, Inc. – Class A(1) |
2,603 | 11,297 | ||||||
| Graham Holdings Co. – Class B |
25,644 | 16,386,260 | ||||||
| Grand Canyon Education, Inc.(1) |
121,598 | 11,647,872 | ||||||
| Green Brick Partners, Inc.(1) |
6,655 | 76,399 | ||||||
| Group 1 Automotive, Inc. |
33,384 | 3,338,400 | ||||||
| Guess, Inc. |
13,724 | 307,143 | ||||||
| H&R Block, Inc. |
5,873 | 137,898 | ||||||
| Hanesbrands, Inc. |
135,768 | 2,016,155 | ||||||
| Harley-Davidson, Inc. |
72,000 | 2,677,680 | ||||||
| Haverty Furniture Cos, Inc. |
5,145 | 103,723 | ||||||
| Hibbett Sports, Inc.(1) |
4,829 | 135,405 | ||||||
| Hilton Grand Vacations, Inc.(1) |
2,498 | 85,906 | ||||||
| Hooker Furniture Corp. |
3,219 | 82,696 | ||||||
| Houghton Mifflin Harcourt Co.(1) |
30,590 | 191,187 | ||||||
| Hudson Ltd. – Class A(1) |
11,502 | 176,441 | ||||||
| Hyatt Hotels Corp. – Class A |
1,228 | 110,164 | ||||||
| Inspired Entertainment, Inc.(1) |
384 | 2,592 | ||||||
| International Game Technology Plc |
322,496 | 4,827,765 | ||||||
| J. Alexander’s Holdings, Inc.(1) |
3,895 | 37,236 | ||||||
| J. Jill, Inc. |
4,243 | 4,795 | ||||||
| Jack in the Box, Inc. |
234,612 | 18,306,774 | ||||||
| JC Penney Co., Inc.(1) |
92,641 | 103,758 | ||||||
| Johnson Outdoors, Inc. – Class A |
547 | 41,955 | ||||||
| K12, Inc.(1) |
10,751 | 218,783 | ||||||
| KB Home |
20,461 | 701,198 | ||||||
| Kohl’s Corp. |
85,909 | 4,377,064 | ||||||
| Kontoor Brands, Inc. |
10,080 | 423,259 | ||||||
| Kura Sushi USA, Inc. – Class A(1) |
449 | 11,427 | ||||||
| L Brands, Inc. |
6,510 | 117,961 | ||||||
| Lands’ End, Inc.(1) |
3,087 | 51,862 | ||||||
| Las Vegas Sands Corp. |
128,609 | 8,879,165 | ||||||
| Laureate Education, Inc. – Class A(1) |
781,534 | 13,762,814 | ||||||
| La-Z-Boy, Inc. |
333,737 | 10,506,041 | ||||||
| Leaf Group Ltd.(1) |
1,149 | 4,596 | ||||||
| Lear Corp. |
70,277 | 9,642,004 | ||||||
| Legacy Housing Corp.(1) |
1,009 | 16,790 | ||||||
| Leggett & Platt, Inc. |
4,458 | 226,600 | ||||||
| Lennar Corp. – Class A |
148,108 | 8,262,945 | ||||||
| Lennar Corp. – Class B |
296 | 13,231 | ||||||
| Lifetime Brands, Inc. |
3,279 | 22,789 | ||||||
| Liquidity Services, Inc.(1) |
7,750 | 46,190 | ||||||
| Lithia Motors, Inc. – Class A |
2,569 | 377,643 | ||||||
| LKQ Corp.(1) |
76,673 | 2,737,226 | ||||||
| Lumber Liquidators Holdings, Inc.(1) |
6,635 | 64,824 | ||||||
| M/I Homes, Inc.(1) |
8,088 | 318,263 | ||||||
| Macy’s, Inc. |
79,506 | 1,351,602 | ||||||
| MarineMax, Inc.(1) |
6,019 | 100,457 | ||||||
| Marriott Vacations Worldwide Corp. |
10,130 | 1,304,339 | ||||||
| Mattel, Inc.(1) |
3,610 | 48,915 | ||||||
| MDC Holdings, Inc. |
128,177 | 4,891,234 | ||||||
| Meritage Homes Corp.(1) |
10,722 | 655,221 | ||||||
| MGM Resorts International |
15,522 | 516,417 | ||||||
| Modine Manufacturing Co.(1) |
14,466 | 111,388 | ||||||
| Mohawk Industries, Inc.(1) |
75,663 | 10,318,920 | ||||||
| Monarch Casino & Resort, Inc.(1) |
679 | 32,965 | ||||||
| Motorcar Parts of America, Inc.(1) |
5,499 | 121,143 | ||||||
| Movado Group, Inc. |
4,623 | 100,504 |
| Murphy USA, Inc.(1) |
27,851 | 3,258,567 | ||||||
| Nathan’s Famous, Inc. |
496 | 35,156 | ||||||
| Newell Brands, Inc. |
141,771 | 2,724,839 | ||||||
| Nordstrom, Inc. |
58,800 | 2,406,684 | ||||||
| Norwegian Cruise Line Holdings Ltd.(1) |
5,730 | 334,689 | ||||||
| NVR, Inc.(1) |
1,231 | 4,688,153 | ||||||
| Office Depot, Inc. |
665,473 | 1,823,396 | ||||||
| OneSpaWorld Holdings Ltd.(1) |
13,535 | 227,929 | ||||||
| Overstock.com, Inc.(1) |
6,552 | 46,192 | ||||||
| Oxford Industries, Inc. |
114,994 | 8,672,847 | ||||||
| Papa John’s International, Inc. |
743 | 46,920 | ||||||
| Party City Holdco, Inc.(1) |
16,720 | 39,125 | ||||||
| Penn National Gaming, Inc.(1) |
29,011 | 741,521 | ||||||
| Penske Automotive Group, Inc. |
44,280 | 2,223,742 | ||||||
| PetMed Express, Inc. |
4,144 | 97,467 | ||||||
| Polaris Industries, Inc. |
199 | 20,238 | ||||||
| Pool Corp. |
21,915 | 4,654,308 | ||||||
| Potbelly Corp.(1) |
5,909 | 24,936 | ||||||
| PulteGroup, Inc. |
8,548 | 331,662 | ||||||
| Purple Innovation, Inc. – Class A(1) |
1,861 | 16,209 | ||||||
| PVH Corp. |
58,942 | 6,197,751 | ||||||
| Quotient Technology, Inc.(1) |
19,984 | 197,042 | ||||||
| Qurate Retail, Inc.(1) |
12,903 | 108,772 | ||||||
| Ralph Lauren Corp. – Class A |
1,677 | 196,578 | ||||||
| RCI Hospitality Holdings, Inc. |
2,611 | 53,526 | ||||||
| RealReal, Inc.(1) |
3,808 | 71,781 | ||||||
| Red Lion Hotels Corp.(1) |
6,820 | 25,439 | ||||||
| Red Robin Gourmet Burgers, Inc.(1) |
3,799 | 125,443 | ||||||
| Red Rock Resorts, Inc. – Class A |
248,834 | 5,959,574 | ||||||
| Regis Corp.(1) |
71,631 | 1,280,046 | ||||||
| RH(1) |
3,513 | 750,026 | ||||||
| Rocky Brands, Inc. |
2,064 | 60,744 | ||||||
| Ross Stores, Inc. |
68,863 | 8,017,030 | ||||||
| Royal Caribbean Cruises Ltd. |
31,121 | 4,154,965 | ||||||
| RTW RetailWinds, Inc.(1) |
8,335 | 6,676 | ||||||
| Rubicon Project, Inc.(1) |
4,648 | 37,928 | ||||||
| Sally Beauty Holdings, Inc.(1) |
35,808 | 653,496 | ||||||
| Select Interior Concepts, Inc. – Class A(1) |
4,305 | 38,702 | ||||||
| Service Corp. International |
3,841 | 176,801 | ||||||
| ServiceMaster Global Holdings, Inc.(1) |
266,685 | 10,310,042 | ||||||
| Shoe Carnival, Inc. |
2,894 | 107,888 | ||||||
| Signet Jewelers Ltd. |
15,341 | 333,513 | ||||||
| Six Flags Entertainment Corp. |
25,998 | 1,172,770 | ||||||
| Skechers U.S.A., Inc. – Class A(1) |
58,468 | 2,525,233 | ||||||
| Sleep Number Corp.(1) |
672 | 33,089 | ||||||
| Sonic Automotive, Inc. – Class A |
7,137 | 221,247 | ||||||
| Sportsman’s Warehouse Holdings, Inc.(1) |
12,411 | 99,660 | ||||||
| Stamps.com, Inc.(1) |
17,689 | 1,477,385 | ||||||
| Standard Motor Products, Inc. |
4,950 | 263,439 | ||||||
| Stitch Fix, Inc. – Class A(1) |
1,345 | 34,513 | ||||||
| Stoneridge, Inc.(1) |
252,700 | 7,409,164 | ||||||
| Sturm Ruger & Co., Inc. |
465 | 21,869 | ||||||
| Superior Group of Companies, Inc. |
2,227 | 30,154 | ||||||
| Tailored Brands, Inc. |
1,697 | 7,026 | ||||||
| Tapestry, Inc. |
9,434 | 254,435 | ||||||
| Taylor Morrison Home Corp. – Class A(1) |
26,805 | 585,957 | ||||||
| Tenneco, Inc. – Class A |
62,669 | 820,964 | ||||||
| The Habit Restaurants, Inc. – Class A(1) |
4,224 | 44,056 | ||||||
| The Michaels Companies, Inc.(1) |
102,778 | 831,474 | ||||||
| Thor Industries, Inc. |
60,199 | 4,472,184 |
| Tiffany & Co. |
4,107 | 548,901 | ||||||
| Tilly’s, Inc. – Class A |
6,240 | 76,440 | ||||||
| Toll Brothers, Inc. |
214,277 | 8,466,084 | ||||||
| TRI Pointe Group, Inc.(1) |
41,248 | 642,644 | ||||||
| Tupperware Brands Corp. |
14,712 | 126,229 | ||||||
| Under Armour, Inc. – Class A(1) |
2,293 | 49,529 | ||||||
| Under Armour, Inc. – Class C(1) |
2,226 | 42,695 | ||||||
| Unifi, Inc.(1) |
4,256 | 107,507 | ||||||
| Universal Electronics, Inc.(1) |
414 | 21,636 | ||||||
| Urban Outfitters, Inc.(1) |
93,748 | 2,603,382 | ||||||
| Vail Resorts, Inc. |
12,330 | 2,957,104 | ||||||
| Vera Bradley, Inc.(1) |
6,008 | 70,894 | ||||||
| Vince Holding Corp.(1) |
850 | 14,714 | ||||||
| Vista Outdoor, Inc.(1) |
16,922 | 126,577 | ||||||
| Visteon Corp.(1) |
55,620 | 4,816,136 | ||||||
| Waitr Holdings, Inc.(1) |
12,122 | 3,903 | ||||||
| Weyco Group, Inc. |
1,777 | 47,002 | ||||||
| Whirlpool Corp. |
106,128 | 15,657,064 | ||||||
| William Lyon Homes – Class A(1) |
9,680 | 193,406 | ||||||
| Williams-Sonoma, Inc. |
55,371 | 4,066,446 | ||||||
| Wingstop, Inc. |
633 | 54,584 | ||||||
| Winmark Corp. |
450 | 89,235 | ||||||
| Winnebago Industries, Inc. |
2,729 | 144,582 | ||||||
| Wolverine World Wide, Inc. |
307,626 | 10,379,301 | ||||||
| WW International, Inc.(1) |
13,839 | 528,788 | ||||||
| Wyndham Destinations, Inc. |
179,867 | 9,297,325 | ||||||
| Wyndham Hotels & Resorts, Inc. |
142,224 | 8,933,089 | ||||||
| Wynn Resorts Ltd. |
565 | 78,462 | ||||||
| Yum China Holdings, Inc. |
2,354 | 113,016 | ||||||
| ZAGG, Inc.(1) |
7,646 | 62,009 | ||||||
| Zumiez, Inc.(1) |
61,040 | 2,108,322 | ||||||
|
|
|
|||||||
| Total Consumer Discretionary |
|
529,109,906 | ||||||
|
|
|
|||||||
| Consumer Staples – 3.11% |
||||||||
| Alico, Inc. |
1,101 | 39,449 | ||||||
| Archer-Daniels-Midland Co. |
73,241 | 3,394,720 | ||||||
| B&G Foods, Inc. |
65,683 | 1,177,696 | ||||||
| BellRing Brands, Inc. – Class A(1) |
4,814 | 102,490 | ||||||
| Beyond Meat Inc.(1) |
1,614 | 122,018 | ||||||
| BJ’s Wholesale Club Holdings, Inc.(1) |
82,571 | 1,877,665 | ||||||
| Brown-Forman Corp. – Class A |
87 | 5,461 | ||||||
| Brown-Forman Corp. – Class B |
385 | 26,026 | ||||||
| Bunge Ltd. |
4,679 | 269,276 | ||||||
| Cal-Maine Foods, Inc. |
44,288 | 1,893,312 | ||||||
| Campbell Soup Co. |
2,477 | 122,413 | ||||||
| Casey’s General Stores, Inc. |
72,367 | 11,505,629 | ||||||
| Central Garden & Pet Co. – Class A(1) |
3,035 | 94,297 | ||||||
| Central Garden & Pet Co. – Class A(1) |
264,162 | 7,755,796 | ||||||
| Clorox Co. |
794 | 121,911 | ||||||
| Coca-Cola European Partners Plc |
135,391 | 6,888,694 | ||||||
| Conagra Brands, Inc. |
16,410 | 561,878 | ||||||
| Constellation Brands, Inc. – Class A |
104,710 | 19,868,723 | ||||||
| Coty, Inc. – Class A |
9,826 | 110,543 | ||||||
| Craft Brew Alliance, Inc.(1) |
3,145 | 51,893 | ||||||
| Darling Ingredients, Inc.(1) |
48,764 | 1,369,293 | ||||||
| Edgewell Personal Care Co.(1) |
16,015 | 495,824 | ||||||
| elf Beauty, Inc.(1) |
6,582 | 106,168 | ||||||
| Energizer Holdings, Inc. |
32,486 | 1,631,447 | ||||||
| Farmer Brothers Co.(1) |
2,968 | 44,698 | ||||||
| Flowers Foods, Inc. |
120,822 | 2,626,670 | ||||||
| Fresh Del Monte Produce, Inc. |
9,125 | 319,193 | ||||||
| Grocery Outlet Holding Corp.(1) |
914 | 29,659 | ||||||
| Hain Celestial Group, Inc.(1) |
2,842 | 73,764 | ||||||
| Herbalife Nutrition Ltd.(1) |
2,853 | 136,003 | ||||||
| Hershey Co. |
622 | 91,422 | ||||||
| Hormel Foods Corp. |
9,452 | 426,380 | ||||||
| Hostess Brands, Inc. – Class A(1) |
201,912 | 2,935,801 | ||||||
| Ingles Markets, Inc. – Class A |
4,144 | 196,881 | ||||||
| Ingredion, Inc. |
33,956 | 3,156,210 | ||||||
| J&J Snack Foods Corp. |
56,763 | 10,459,718 | ||||||
| Kellogg Co. |
5,168 | 357,419 | ||||||
| Kroger Co. |
353,841 | 10,257,851 | ||||||
| Lamb Weston Holdings, Inc. |
3,684 | 316,935 | ||||||
| Lancaster Colony Corp. |
45,269 | 7,247,567 | ||||||
| Landec Corp.(1) |
7,750 | 87,653 | ||||||
| Limoneira Co. |
3,367 | 64,747 | ||||||
| McCormick & Co., Inc. |
1,477 | 250,691 | ||||||
| Molson Coors Brewing Co. – Class B |
158,497 | 8,542,988 | ||||||
| Natural Grocers by Vitamin Cottage, Inc. |
2,708 | 26,728 | ||||||
| Nature’s Sunshine Products, Inc.(1) |
2,679 | 23,923 | ||||||
| Nomad Foods Ltd.(1) |
610,424 | 13,655,185 | ||||||
| Nu Skin Enterprises, Inc. – Class A |
1,838 | 75,321 | ||||||
| Oil-Dri Corp. of America |
1,513 | 54,846 | ||||||
| Pilgrim’s Pride Corp.(1) |
81,770 | 2,675,106 | ||||||
| Post Holdings, Inc.(1) |
55,901 | 6,098,799 | ||||||
| PriceSmart, Inc. |
6,081 | 431,873 | ||||||
| Pyxus International, Inc.(1) |
2,466 | 22,046 | ||||||
| Revlon, Inc. – Class A(1) |
347 | 7,433 | ||||||
| Rite Aid Corp.(1) |
16,676 | 257,978 | ||||||
| Sanderson Farms, Inc. |
6,129 | 1,080,052 | ||||||
| Seaboard Corp. |
9 | 38,255 | ||||||
| Seneca Foods Corp. – Class A(1) |
1,989 | 81,131 | ||||||
| Simply Good Foods Co.(1) |
24,422 | 697,004 | ||||||
| SpartanNash Co. |
10,576 | 150,602 | ||||||
| Spectrum Brands Holdings, Inc. |
1,424 | 91,549 | ||||||
| Sprouts Farmers Market, Inc.(1) |
2,127 | 41,157 | ||||||
| The Andersons, Inc. |
9,292 | 234,902 | ||||||
| The J.M. Smucker Co. |
59,306 | 6,175,534 | ||||||
| Tootsie Roll Industries, Inc. |
560 | 19,118 | ||||||
| TreeHouse Foods, Inc.(1) |
1,553 | 75,321 | ||||||
| Tyson Foods, Inc. – Class A |
260,944 | 23,756,342 | ||||||
| United Natural Foods, Inc.(1) |
43,958 | 385,072 | ||||||
| Universal Corp. |
51,597 | 2,944,125 | ||||||
| US Foods Holding Corp.(1) |
7,436 | 311,494 | ||||||
| Vector Group Ltd. |
1,888 | 25,280 | ||||||
| Village Super Market, Inc. – Class A |
2,550 | 59,160 | ||||||
| Weis Markets, Inc. |
2,770 | 112,157 | ||||||
|
|
|
|||||||
| Total Consumer Staples |
|
166,822,365 | ||||||
|
|
|
|||||||
| Energy – 4.55% |
||||||||
| Abraxas Petroleum Corp.(1) |
45,933 | 16,127 | ||||||
| Amplify Energy Corp. |
4,012 | 26,519 | ||||||
| Antero Midstream Corp. |
8,619 | 65,418 | ||||||
| Antero Resources Corp.(1) |
8,769 | 24,992 | ||||||
| Apache Corp. |
12,782 | 327,091 | ||||||
| Apergy Corp.(1) |
218,543 | 7,382,383 | ||||||
| Arch Coal, Inc. – Class A |
22,211 | 1,593,417 | ||||||
| Archrock, Inc. |
38,576 | 387,303 | ||||||
| Ardmore Shipping Corp.(1) |
8,196 | 74,174 | ||||||
| Baker Hughes a GE Co. – Class A |
450,740 | 11,552,466 | ||||||
| Berry Petroleum Corp. |
18,551 | 174,936 | ||||||
| Bonanza Creek Energy, Inc.(1) |
5,463 | 127,506 | ||||||
| Brigham Minerals, Inc. – Class A |
1,326 | 28,429 | ||||||
| Cabot Oil & Gas Corp. |
5,180 | 90,184 | ||||||
| California Resources Corp.(1) |
14,159 | 127,856 | ||||||
| Callon Petroleum Co.(1) |
1,489,038 | 7,192,054 | ||||||
| Centennial Resource Development, Inc. – Class A(1) |
6,306 | 29,134 | ||||||
| Chaparral Energy, Inc. – Class A(1) |
8,887 | 15,641 | ||||||
| Cheniere Energy, Inc.(1) |
3,348 | 204,462 | ||||||
| Chesapeake Energy Corp.(1) |
43,541 | 35,947 | ||||||
| Cimarex Energy Co. |
178,104 | 9,348,679 | ||||||
| Clean Energy Fuels Corp.(1) |
39,062 | 91,405 | ||||||
| CNX Resources Corp.(1) |
55,142 | 488,007 | ||||||
| Comstock Resources, Inc.(1) |
4,304 | 35,422 | ||||||
| Concho Resources, Inc. |
6,752 | 591,273 | ||||||
| CONSOL Energy, Inc.(1) |
8,011 | 116,240 | ||||||
| Continental Resources, Inc. |
3,008 | 103,174 | ||||||
| Contura Energy, Inc.(1) |
5,518 | 49,938 | ||||||
| Covia Holdings Corp.(1) |
11,907 | 24,290 | ||||||
| CVR Energy, Inc. |
5,104 | 206,355 | ||||||
| Delek US Holdings, Inc. |
105,614 | 3,541,237 | ||||||
| Denbury Resources, Inc.(1) |
143,309 | 202,066 | ||||||
| Devon Energy Corp. |
57,686 | 1,498,105 | ||||||
| DHT Holdings, Inc. |
27,312 | 226,143 | ||||||
| Diamond Offshore Drilling, Inc.(1) |
19,082 | 137,200 | ||||||
| Diamond S Shipping, Inc.(1) |
6,682 | 111,857 | ||||||
| Diamondback Energy, Inc. |
100,305 | 9,314,322 | ||||||
| Dorian LPG Ltd.(1) |
6,629 | 102,617 | ||||||
| Dril-Quip, Inc.(1) |
10,694 | 501,656 | ||||||
| Earthstone Energy, Inc. – Class A(1) |
5,425 | 34,340 | ||||||
| Energy Fuels, Inc.(1) |
29,646 | 56,624 | ||||||
| EQT Corp. |
8,527 | 92,944 | ||||||
| Equitrans Midstream Corp. |
6,173 | 82,471 | ||||||
| Era Group, Inc.(1) |
5,965 | 60,664 | ||||||
| Evolution Petroleum Corp. |
972 | 5,317 | ||||||
| Exterran Corp.(1) |
8,534 | 66,821 | ||||||
| Extraction Oil & Gas, Inc.(1) |
24,959 | 52,913 | ||||||
| Falcon Minerals Corp. |
9,785 | 69,082 | ||||||
| Forum Energy Technologies, Inc.(1) |
23,322 | 39,181 | ||||||
| Frank’s International NV(1) |
384,109 | 1,985,844 | ||||||
| FTS International, Inc.(1) |
5,482 | 5,701 | ||||||
| GasLog Ltd. |
4,300 | 42,097 | ||||||
| Geospace Technologies Corp.(1) |
3,848 | 64,531 | ||||||
| Golar LNG Ltd. |
25,873 | 367,914 | ||||||
| Goodrich Petroleum Corp.(1) |
761 | 7,640 | ||||||
| Green Plains, Inc. |
10,281 | 158,636 | ||||||
| Gulfport Energy Corp.(1) |
432,112 | 1,313,620 | ||||||
| Hallador Energy Co. |
6,001 | 17,823 | ||||||
| Halliburton Co. |
29,627 | 724,973 | ||||||
| Helix Energy Solutions Group, Inc.(1) |
43,010 | 414,186 | ||||||
| Helmerich & Payne, Inc. |
24,036 | 1,091,955 | ||||||
| Hess Corp. |
9,142 | 610,777 | ||||||
| HighPoint Resources Corp.(1) |
33,290 | 56,260 | ||||||
| HollyFrontier Corp. |
108,683 | 5,511,315 | ||||||
| Independence Contract Drilling, Inc.(1) |
13,286 | 13,243 | ||||||
| International Seaways, Inc.(1) |
7,421 | 220,849 | ||||||
| Jagged Peak Energy, Inc.(1) |
7,210 | 61,213 | ||||||
| KLX Energy Services Holdings, Inc.(1) |
6,106 | 39,323 | ||||||
| Kosmos Energy Ltd. |
12,324 | 70,247 | ||||||
| Laredo Petroleum, Inc.(1) |
214,662 | 616,080 | ||||||
| Liberty Oilfield Services, Inc. – Class A |
10,906 | 121,275 | ||||||
| Magnolia Oil & Gas Corp. – Class A(1) |
775,417 | 9,754,746 |
| Mammoth Energy Services, Inc. |
3,754 | 8,259 | ||||||
| Marathon Oil Corp. |
454,337 | 6,169,896 | ||||||
| Marathon Petroleum Corp. |
303,713 | 18,298,708 | ||||||
| Matador Resources Co.(1) |
725,300 | 13,033,641 | ||||||
| Matrix Service Co.(1) |
8,131 | 186,037 | ||||||
| McDermott International, Inc.(1) |
205,154 | 138,807 | ||||||
| Montage Resources Corp.(1) |
6,145 | 48,791 | ||||||
| Murphy Oil Corp. |
5,020 | 134,536 | ||||||
| Nabors Industries Ltd. |
105,385 | 303,509 | ||||||
| NACCO Industries, Inc. – Class A |
1,170 | 54,791 | ||||||
| National Energy Services Reunited, Inc.(1) |
7,275 | 66,348 | ||||||
| National Oilwell Varco, Inc. |
13,119 | 328,631 | ||||||
| Natural Gas Services Group, Inc.(1) |
3,480 | 42,665 | ||||||
| NCS Multistage Holdings, Inc.(1) |
3,406 | 7,153 | ||||||
| Newpark Resources, Inc.(1) |
26,008 | 163,070 | ||||||
| NexTier Oilfield Solutions, Inc.(1) |
46,892 | 314,176 | ||||||
| Nine Energy Service, Inc.(1) |
4,663 | 36,465 | ||||||
| Noble Corp. Plc(1) |
72,454 | 88,394 | ||||||
| Noble Energy, Inc. |
683,682 | 16,982,661 | ||||||
| Nordic American Tankers Ltd. |
41,176 | 202,586 | ||||||
| Northern Oil & Gas, Inc.(1) |
89,079 | 208,445 | ||||||
| Oasis Petroleum, Inc.(1) |
93,541 | 304,944 | ||||||
| Oceaneering International, Inc.(1) |
29,244 | 436,028 | ||||||
| Oil States International, Inc.(1) |
17,965 | 293,009 | ||||||
| ONEOK, Inc. |
9,529 | 721,059 | ||||||
| Overseas Shipholding Group, Inc. – Class A(1) |
19,065 | 43,849 | ||||||
| Pacific Drilling SA(1) |
8,562 | 34,933 | ||||||
| Panhandle Oil & Gas, Inc. – Class A |
4,398 | 49,302 | ||||||
| Par Pacific Holdings, Inc.(1) |
10,467 | 243,253 | ||||||
| Parker Drilling Co.(1) |
2,706 | 60,885 | ||||||
| Parsley Energy, Inc. – Class A |
3,841 | 72,633 | ||||||
| Patterson-UTI Energy, Inc. |
264,015 | 2,772,157 | ||||||
| PBF Energy, Inc. – Class A |
95,110 | 2,983,601 | ||||||
| PDC Energy, Inc.(1) |
18,540 | 485,192 | ||||||
| Peabody Energy Corp. |
19,108 | 174,265 | ||||||
| Penn Virginia Corp.(1) |
3,900 | 118,365 | ||||||
| Pioneer Natural Resources Co. |
133,794 | 20,252,398 | ||||||
| Plains GP Holdings LP – Class A(1) |
59,450 | 1,126,577 | ||||||
| PrimeEnergy Resources Corp.(1) |
41 | 6,202 | ||||||
| ProPetro Holding Corp.(1) |
10,056 | 113,130 | ||||||
| QEP Resources, Inc. |
71,619 | 322,285 | ||||||
| Range Resources Corp. |
6,976 | 33,834 | ||||||
| Renewable Energy Group, Inc.(1) |
11,008 | 296,666 | ||||||
| REX American Resources Corp.(1) |
1,626 | 133,267 | ||||||
| RigNet, Inc.(1) |
633 | 4,178 | ||||||
| Ring Energy, Inc.(1) |
9,995 | 26,387 | ||||||
| RPC, Inc. |
17,029 | 89,232 | ||||||
| SandRidge Energy, Inc.(1) |
8,700 | 36,888 | ||||||
| Scorpio Tankers, Inc. |
13,132 | 516,613 | ||||||
| SEACOR Holdings, Inc.(1) |
5,057 | 218,210 | ||||||
| SEACOR Marine Holdings, Inc.(1) |
5,890 | 81,223 | ||||||
| Seadrill Ltd.(1) |
16,740 | 42,520 | ||||||
| Select Energy Services, Inc. – Class A(1) |
441,311 | 4,095,366 | ||||||
| SFL Corp. Ltd. |
24,683 | 358,891 | ||||||
| SilverBow Resources, Inc.(1) |
2,052 | 20,315 | ||||||
| SM Energy Co. |
33,036 | 371,325 | ||||||
| Smart Sand, Inc.(1) |
5,753 | 14,498 | ||||||
| Southwestern Energy Co.(1) |
162,863 | 394,128 | ||||||
| SRC Energy, Inc.(1) |
438,565 | 1,806,888 | ||||||
| Talos Energy, Inc.(1) |
6,050 | 182,407 |
| Targa Resources Corp. |
7,778 | 317,576 | ||||||
| Teekay Corp. |
20,173 | 107,320 | ||||||
| Teekay Tankers Ltd. – Class A(1) |
7,117 | 170,594 | ||||||
| TETRA Technologies, Inc.(1) |
35,436 | 69,455 | ||||||
| Tidewater, Inc.(1) |
11,999 | 231,341 | ||||||
| Transocean Ltd.(1) |
19,675 | 135,364 | ||||||
| U.S. Well Services, Inc.(1) |
1,127 | 2,130 | ||||||
| Unit Corp.(1) |
15,722 | 10,936 | ||||||
| US Silica Holdings, Inc. |
21,420 | 131,733 | ||||||
| Valero Energy Corp. |
215,897 | 20,218,754 | ||||||
| W&T Offshore, Inc.(1) |
27,457 | 152,661 | ||||||
| Whiting Petroleum Corp.(1) |
26,979 | 198,026 | ||||||
| Williams Cos, Inc. |
41,313 | 979,944 | ||||||
| World Fuel Services Corp. |
84,235 | 3,657,484 | ||||||
| WPX Energy, Inc.(1) |
3,048,342 | 41,884,219 | ||||||
|
|
|
|||||||
| Total Energy |
|
244,418,639 | ||||||
|
|
|
|||||||
| Financials – 22.61% |
||||||||
| 1st Constitution Bancorp |
2,496 | 55,236 | ||||||
| 1st Source Corp. |
4,388 | 227,649 | ||||||
| ACNB Corp. |
1,972 | 74,581 | ||||||
| Affiliated Managers Group, Inc. |
1,660 | 140,668 | ||||||
| AG Mortgage Investment Trust, Inc. |
9,276 | 143,036 | ||||||
| AGNC Investment Corp. |
18,628 | 329,343 | ||||||
| Alerus Financial Corp. |
313 | 7,152 | ||||||
| Alleghany Corp.(1) |
40,770 | 32,598,469 | ||||||
| Allegiance Bancshares, Inc.(1) |
5,775 | 217,140 | ||||||
| Allstate Corp. |
281,384 | 31,641,631 | ||||||
| Ally Financial, Inc. |
194,147 | 5,933,132 | ||||||
| Amalgamated Bank – Class A |
4,123 | 80,192 | ||||||
| Ambac Financial Group, Inc.(1) |
13,455 | 290,224 | ||||||
| Amerant Bancorp, Inc. – Class A(1) |
5,712 | 124,464 | ||||||
| American Equity Investment Life Holding Co. |
25,969 | 777,252 | ||||||
| American Financial Group, Inc. |
28,403 | 3,114,389 | ||||||
| American National Bankshares, Inc. |
3,250 | 128,603 | ||||||
| American National Insurance Co. |
259 | 30,479 | ||||||
| Ameriprise Financial, Inc. |
160,636 | 26,758,745 | ||||||
| Ameris Bancorp |
15,257 | 649,033 | ||||||
| AMERISAFE, Inc. |
5,535 | 365,476 | ||||||
| Ames National Corp. |
2,538 | 71,216 | ||||||
| Annaly Capital Management, Inc. |
337,024 | 3,174,766 | ||||||
| Anworth Mortgage Asset Corp. |
29,065 | 102,309 | ||||||
| Aon Plc |
100,058 | 20,841,081 | ||||||
| Apollo Commercial Real Estate Finance, Inc. |
45,688 | 835,634 | ||||||
| Arch Capital Group Ltd.(1) |
11,262 | 483,027 | ||||||
| Ares Commercial Real Estate Corp. |
8,562 | 135,622 | ||||||
| Ares Management Corp. – Class A |
299,125 | 10,675,771 | ||||||
| Argo Group International Holdings Ltd. |
9,743 | 640,602 | ||||||
| Arlington Asset Investment Corp. – Class A |
11,547 | 64,317 | ||||||
| ARMOUR Residential REIT, Inc. |
17,943 | 320,641 | ||||||
| Arrow Financial Corp. |
3,762 | 142,204 | ||||||
| Arthur J. Gallagher & Co. |
135,653 | 12,918,235 | ||||||
| Artisan Partners Asset Management, Inc. – Class A |
6,980 | 225,594 | ||||||
| Assetmark Financial Holdings, Inc.(1) |
2,165 | 62,828 | ||||||
| Associated Banc-Corp. |
5,472 | 120,603 | ||||||
| Associated Capital Group, Inc. – Class A |
568 | 22,266 | ||||||
| Assurant, Inc. |
2,045 | 268,059 | ||||||
| Assured Guaranty Ltd. |
76,872 | 3,768,265 | ||||||
| Athene Holding Ltd. – Class A(1) |
192,749 | 9,064,985 | ||||||
| Atlantic Capital Bancshares, Inc.(1) |
539,228 | 9,894,834 | ||||||
| Atlantic Union Bankshares Corp. |
23,909 | 897,783 | ||||||
| AXA Equitable Holdings, Inc. |
14,096 | 349,299 | ||||||
| Axis Capital Holdings Ltd. |
2,527 | 150,205 | ||||||
| Axos Financial, Inc.(1) |
6,250 | 189,250 | ||||||
| B. Riley Financial, Inc. |
6,045 | 152,213 | ||||||
| Banc of California, Inc. |
13,582 | 233,339 | ||||||
| BancFirst Corp. |
5,609 | 350,226 | ||||||
| Banco Latinoamericano de Comercio Exterior SA – Class E |
34,903 | 746,226 | ||||||
| BancorpSouth Bank |
616,706 | 19,370,735 | ||||||
| Bank First Corp. |
84 | 5,881 | ||||||
| Bank of Commerce Holdings |
4,924 | 56,971 | ||||||
| Bank of Hawaii Corp. |
30,980 | 2,948,057 | ||||||
| Bank of Marin Bancorp |
3,998 | 180,110 | ||||||
| Bank of NT Butterfield & Son Ltd. |
438,947 | 16,249,818 | ||||||
| Bank of Princeton |
1,668 | 52,525 | ||||||
| Bank OZK |
106,141 | 3,237,831 | ||||||
| Bank7 Corp. |
1,028 | 19,491 | ||||||
| BankFinancial Corp. |
3,944 | 51,588 | ||||||
| BankUnited, Inc. |
693,543 | 25,355,932 | ||||||
| Bankwell Financial Group, Inc. |
1,943 | 56,036 | ||||||
| Banner Corp. |
9,571 | 541,623 | ||||||
| Bar Harbor Bankshares |
4,746 | 120,501 | ||||||
| Baycom Corp.(1) |
2,070 | 47,072 | ||||||
| BCB Bancorp, Inc. |
3,905 | 53,850 | ||||||
| Berkshire Hills Bancorp, Inc. |
13,535 | 445,031 | ||||||
| BGC Partners, Inc. – Class A |
9,915 | 58,895 | ||||||
| Blackstone Mortgage Trust, Inc. – Class A |
37,309 | 1,388,641 | ||||||
| Blucora, Inc.(1) |
3,992 | 104,351 | ||||||
| BOK Financial Corp. |
27,912 | 2,439,509 | ||||||
| Boston Private Financial Holdings, Inc. |
24,444 | 294,061 | ||||||
| Bridge Bancorp, Inc. |
4,938 | 165,571 | ||||||
| Bridgewater Bancshares, Inc.(1) |
6,712 | 92,491 | ||||||
| Brighthouse Financial, Inc.(1) |
59,239 | 2,323,946 | ||||||
| Brightsphere Investment Group, Inc. |
19,839 | 202,755 | ||||||
| Brookline Bancorp, Inc. |
168,126 | 2,767,354 | ||||||
| Brown & Brown, Inc. |
7,476 | 295,152 | ||||||
| BRP Group, Inc. – Class A(1) |
2,741 | 43,993 | ||||||
| Bryn Mawr Bank Corp. |
6,045 | 249,296 | ||||||
| Business First Bancshares, Inc. |
3,639 | 90,720 | ||||||
| Byline Bancorp, Inc. |
7,235 | 141,589 | ||||||
| C&F Financial Corp. |
963 | 53,283 | ||||||
| Cadence BanCorp – Class A |
36,806 | 667,293 | ||||||
| Cambridge Bancorp |
909 | 72,856 | ||||||
| Camden National Corp. |
4,721 | 217,449 | ||||||
| Cannae Holdings, Inc.(1) |
700,250 | 26,042,298 | ||||||
| Capital Bancorp, Inc.(1) |
2,301 | 34,262 | ||||||
| Capital City Bank Group, Inc. |
3,927 | 119,774 | ||||||
| Capitol Federal Financial, Inc. |
39,109 | 536,967 | ||||||
| Capstar Financial Holdings, Inc. |
4,333 | 72,144 | ||||||
| Capstead Mortgage Corp. |
27,170 | 215,186 | ||||||
| Carolina Financial Corp. |
6,933 | 299,714 | ||||||
| Carter Bank & Trust(1) |
6,757 | 160,276 | ||||||
| Cathay General Bancorp |
173,753 | 6,611,302 | ||||||
| CBOE Global Markets, Inc. |
2,839 | 340,680 | ||||||
| CBTX, Inc. |
5,445 | 169,448 | ||||||
| CenterState Bank Corp. |
699,286 | 17,468,164 | ||||||
| Central Pacific Financial Corp. |
7,312 | 216,289 | ||||||
| Central Valley Community Bancorp |
3,349 | 72,573 | ||||||
| Century Bancorp, Inc. – Class A |
752 | 67,650 | ||||||
| Chemung Financial Corp. |
1,047 | 44,498 | ||||||
| Cherry Hill Mortgage Investment Corp. |
4,598 | 67,085 |
| Chimera Investment Corp. |
118,321 | 2,432,680 | ||||||
| Cincinnati Financial Corp. |
5,177 | 544,362 | ||||||
| CIT Group, Inc. |
65,275 | 2,978,498 | ||||||
| Citizens & Northern Corp. |
3,738 | 105,599 | ||||||
| Citizens Financial Group, Inc. |
214,057 | 8,692,855 | ||||||
| Citizens, Inc. – Class A(1) |
14,895 | 100,541 | ||||||
| City Holding Co. |
4,304 | 352,713 | ||||||
| Civista Bancshares, Inc. |
4,442 | 106,608 | ||||||
| CNA Financial Corp. |
105,994 | 4,749,591 | ||||||
| CNB Financial Corporation, Inc. |
4,367 | 142,714 | ||||||
| CNO Financial Group, Inc. |
133,170 | 2,414,372 | ||||||
| Coastal Financial Corp.(1) |
879 | 14,477 | ||||||
| Codorus Valley Bancorp, Inc. |
2,799 | 64,461 | ||||||
| Colony Bankcorp, Inc. |
2,086 | 34,419 | ||||||
| Colony Credit Real Estate, Inc. |
24,071 | 316,774 | ||||||
| Columbia Banking System, Inc. |
21,199 | 862,481 | ||||||
| Columbia Financial, Inc.(1) |
15,587 | 264,044 | ||||||
| Comerica, Inc. |
4,590 | 329,333 | ||||||
| Commerce Bancshares, Inc. |
3,407 | 231,472 | ||||||
| Community Bank System, Inc. |
15,013 | 1,065,022 | ||||||
| Community Bankers Trust Corp. |
6,999 | 62,151 | ||||||
| Community Financial Corp. |
1,367 | 48,624 | ||||||
| Community Trust Bancorp, Inc. |
4,622 | 215,570 | ||||||
| ConnectOne Bancorp, Inc. |
10,268 | 264,093 | ||||||
| Cowen, Inc. – Class A(1) |
4,993 | 78,640 | ||||||
| Crawford & Co. – Class A |
557 | 6,389 | ||||||
| Credit Acceptance Corp.(1) |
41 | 18,136 | ||||||
| Crescent Acquisition Corp.(1) |
528,711 | 5,469,515 | ||||||
| CrossFirst Bankshares, Inc.(1) |
1,852 | 26,706 | ||||||
| Cullen/Frost Bankers, Inc. |
15,706 | 1,535,733 | ||||||
| Customers Bancorp, Inc.(1) |
8,395 | 199,885 | ||||||
| CVB Financial Corp. |
717,843 | 15,491,052 | ||||||
| Diamond Eagle Acquisition Corp.(1) |
513,160 | 5,901,340 | ||||||
| Diamond Hill Investment Group, Inc. |
122 | 17,136 | ||||||
| Dime Community Bancshares, Inc. |
9,634 | 201,254 | ||||||
| Discover Financial Services |
414,564 | 35,163,318 | ||||||
| Donegal Group, Inc. – Class A |
2,862 | 42,415 | ||||||
| Donnelley Financial Solutions, Inc.(1) |
9,228 | 96,617 | ||||||
| Dynex Capital, Inc. |
6,892 | 116,750 | ||||||
| E*TRADE Financial Corp. |
6,284 | 285,105 | ||||||
| Eagle Bancorp, Inc. |
9,152 | 445,062 | ||||||
| East West Bancorp, Inc. |
274,748 | 13,380,228 | ||||||
| Eaton Vance Corp. |
3,801 | 177,469 | ||||||
| Element Fleet Management Corp. |
286,819 | 2,449,519 | ||||||
| Elevate Credit, Inc.(1) |
1,734 | 7,716 | ||||||
| Ellington Financial, Inc. |
9,057 | 166,015 | ||||||
| Employers Holdings, Inc. |
8,980 | 374,915 | ||||||
| Encore Capital Group, Inc.(1) |
9,150 | 323,544 | ||||||
| Enova International, Inc.(1) |
3,337 | 80,288 | ||||||
| Enstar Group Ltd.(1) |
109,120 | 22,572,563 | ||||||
| Entegra Financial Corp.(1) |
1,732 | 52,237 | ||||||
| Enterprise Bancorp, Inc. |
2,671 | 90,467 | ||||||
| Enterprise Financial Services Corp. |
7,343 | 354,006 | ||||||
| Equity Bancshares, Inc. – Class A(1) |
4,372 | 134,964 | ||||||
| Erie Indemnity Co. – Class A |
289 | 47,974 | ||||||
| Esquire Financial Holdings, Inc.(1) |
1,113 | 29,016 | ||||||
| ESSA Bancorp, Inc. |
3,172 | 53,765 | ||||||
| Essent Group Ltd. |
164,315 | 8,542,737 | ||||||
| Evans Bancorp, Inc. |
1,414 | 56,701 | ||||||
| Evercore, Inc. – Class A |
821 | 61,378 |
| Everest Re Group Ltd. |
47,945 | 13,273,094 | ||||||
| Exantas Capital Corp. |
9,819 | 115,962 | ||||||
| EZCORP, Inc. – Class A(1) |
14,888 | 101,536 | ||||||
| Farmers & Merchants Bancorp, Inc. |
2,977 | 89,757 | ||||||
| Farmers National Banc Corp. |
7,637 | 124,636 | ||||||
| FB Financial Corp. |
2,751 | 108,912 | ||||||
| FBL Financial Group, Inc. – Class A |
3,000 | 176,790 | ||||||
| Federal Agricultural Mortgage Corp. – Class C |
1,872 | 156,312 | ||||||
| FedNat Holding Co. |
1,481 | 24,629 | ||||||
| Ferroglobe Representation & Warranty Insurance Trust(1)(4) |
11,189 | — | ||||||
| FGL Holdings |
43,348 | 461,656 | ||||||
| Fidelity D&D Bancorp, Inc. |
552 | 34,340 | ||||||
| Fidelity National Financial, Inc. |
8,984 | 407,424 | ||||||
| Fifth Third Bancorp |
830,731 | 25,536,671 | ||||||
| Financial Institutions, Inc. |
4,625 | 148,463 | ||||||
| First American Financial Corp. |
82,675 | 4,821,606 | ||||||
| First Bancorp NC |
8,879 | 354,361 | ||||||
| First BanCorp PR |
62,192 | 658,613 | ||||||
| First Bancorp, Inc. |
2,949 | 89,148 | ||||||
| First Bancshares, Inc. |
4,877 | 173,231 | ||||||
| First Bank/Hamilton NJ |
4,789 | 52,918 | ||||||
| First Busey Corp. |
15,589 | 428,698 | ||||||
| First Business Financial Services, Inc. |
2,464 | 64,877 | ||||||
| First Capital, Inc. |
883 | 64,459 | ||||||
| First Choice Bancorp |
2,947 | 79,451 | ||||||
| First Citizens BancShares, Inc. – Class A |
233 | 124,005 | ||||||
| First Commonwealth Financial Corp. |
27,814 | 403,581 | ||||||
| First Community Bankshares, Inc. |
4,618 | 143,250 | ||||||
| First Defiance Financial Corp. |
5,976 | 188,184 | ||||||
| First Financial Bancorp |
28,604 | 727,686 | ||||||
| First Financial Corp. |
3,580 | 163,678 | ||||||
| First Financial Northwest, Inc. |
2,178 | 32,539 | ||||||
| First Foundation, Inc. |
7,826 | 136,172 | ||||||
| First Guaranty Bancshares, Inc. |
1,459 | 31,762 | ||||||
| First Hawaiian, Inc. |
126,535 | 3,650,535 | ||||||
| First Horizon National Corp. |
10,560 | 174,874 | ||||||
| First Internet Bancorp |
2,807 | 66,554 | ||||||
| First Interstate BancSystem, Inc. – Class A |
293,599 | 12,307,670 | ||||||
| First Merchants Corp. |
16,330 | 679,165 | ||||||
| First Mid Bancshares, Inc. |
4,537 | 159,929 | ||||||
| First Midwest Bancorp, Inc. |
30,818 | 710,663 | ||||||
| First Northwest Bancorp |
2,672 | 48,443 | ||||||
| First of Long Island Corp. |
7,061 | 177,090 | ||||||
| First Republic Bank |
46,411 | 5,450,972 | ||||||
| Flagstar Bancorp, Inc. |
10,333 | 395,237 | ||||||
| Flushing Financial Corp. |
8,087 | 174,720 | ||||||
| FNB Corp. |
492,003 | 6,248,438 | ||||||
| FNCB Bancorp, Inc. |
5,281 | 44,624 | ||||||
| Franklin Financial Network, Inc. |
3,926 | 134,780 | ||||||
| Franklin Financial Services Corp. |
1,224 | 47,357 | ||||||
| Franklin Resources, Inc. |
73,916 | 1,920,338 | ||||||
| FS Bancorp, Inc. |
1,062 | 67,745 | ||||||
| FS KKR Capital Corp. |
488,500 | 2,994,505 | ||||||
| Fulton Financial Corp. |
47,890 | 834,723 | ||||||
| FVCBankcorp, Inc.(1) |
3,504 | 61,215 | ||||||
| GAIN Capital Holdings, Inc. |
6,333 | 25,015 | ||||||
| GAMCO Investors, Inc. – Class A |
248 | 4,834 | ||||||
| Genworth Financial, Inc. – Class A(1) |
150,052 | 660,229 | ||||||
| German American Bancorp, Inc. |
7,523 | 267,969 | ||||||
| Glacier Bancorp, Inc. |
396,068 | 18,215,167 |
| Global Indemnity Ltd. |
1,947 | 57,690 | ||||||
| Globe Life, Inc. |
82,392 | 8,671,758 | ||||||
| Granite Point Mortgage Trust, Inc. |
15,760 | 289,669 | ||||||
| Great Ajax Corp. |
5,076 | 75,176 | ||||||
| Great Southern Bancorp, Inc. |
3,480 | 220,354 | ||||||
| Great Western Bancorp, Inc. |
16,715 | 580,679 | ||||||
| Green Dot Corp. – Class A(1) |
2,476 | 57,691 | ||||||
| Greene County Bancorp, Inc. |
160 | 4,606 | ||||||
| Greenlight Capital Re Ltd. – Class A(1) |
8,956 | 90,545 | ||||||
| Guaranty Bancshares, Inc. |
2,416 | 79,438 | ||||||
| GWG Holdings, Inc.(1) |
273 | 2,681 | ||||||
| Hallmark Financial Services, Inc.(1) |
4,206 | 73,899 | ||||||
| Hancock Whitney Corp. |
25,989 | 1,140,397 | ||||||
| Hanmi Financial Corp. |
101,088 | 2,021,255 | ||||||
| Hanover Insurance Group, Inc. |
156,155 | 21,341,704 | ||||||
| HarborOne Bancorp, Inc.(1) |
3,937 | 43,268 | ||||||
| Hartford Financial Services Group, Inc. |
136,873 | 8,317,772 | ||||||
| Hawthorn Bancshares, Inc. |
1,613 | 41,132 | ||||||
| HBT Financial, Inc.(1) |
2,646 | 50,248 | ||||||
| HCI Group, Inc. |
1,931 | 88,150 | ||||||
| Heartland Financial USA, Inc. |
10,480 | 521,275 | ||||||
| Heritage Commerce Corp. |
14,439 | 185,252 | ||||||
| Heritage Financial Corp. |
10,723 | 303,461 | ||||||
| Heritage Insurance Holdings, Inc. |
7,079 | 93,797 | ||||||
| Hilltop Holdings, Inc. |
276,967 | 6,904,787 | ||||||
| Hingham Institution for Savings |
212 | 44,562 | ||||||
| Home Bancorp, Inc. |
2,432 | 95,310 | ||||||
| Home Bancshares, Inc. |
46,601 | 916,176 | ||||||
| HomeStreet, Inc.(1) |
6,588 | 223,992 | ||||||
| HomeTrust Bancshares, Inc. |
3,591 | 96,347 | ||||||
| Hope Bancorp, Inc. |
35,604 | 529,075 | ||||||
| Horace Mann Educators Corp. |
226,315 | 9,880,913 | ||||||
| Horizon Bancorp |
920,297 | 17,485,643 | ||||||
| Howard Bancorp, Inc.(1) |
3,653 | 61,663 | ||||||
| Huntington Bancshares, Inc. |
1,558,105 | 23,496,223 | ||||||
| IBERIABANK Corp. |
241,880 | 18,099,880 | ||||||
| Independence Holding Co. |
1,623 | 68,296 | ||||||
| Independent Bank Corp. |
223,981 | 18,646,418 | ||||||
| Independent Bank Corp. MI |
4,742 | 107,406 | ||||||
| Independent Bank Group, Inc. |
8,165 | 452,668 | ||||||
| Interactive Brokers Group, Inc. – Class A |
1,847 | 86,107 | ||||||
| International Bancshares Corp. |
16,660 | 717,546 | ||||||
| INTL. FCStone, Inc.(1) |
4,905 | 239,511 | ||||||
| Invesco Ltd. |
13,020 | 234,100 | ||||||
| Invesco Mortgage Capital, Inc. |
135,779 | 2,260,720 | ||||||
| Investar Holding Corp. |
1,795 | 43,080 | ||||||
| Investors Bancorp, Inc. |
67,700 | 806,646 | ||||||
| Investors Title Co. |
356 | 56,675 | ||||||
| James River Group Holdings Ltd. |
165,458 | 6,818,524 | ||||||
| Janus Henderson Group Plc |
5,428 | 132,715 | ||||||
| Jefferies Financial Group, Inc. |
9,004 | 192,415 | ||||||
| Kearny Financial Corp. |
16,275 | 225,083 | ||||||
| Kemper Corp. |
1,726 | 133,765 | ||||||
| KeyCorp |
1,242,820 | 25,154,677 | ||||||
| KKR Real Estate Finance Trust, Inc. |
7,307 | 149,209 | ||||||
| Ladder Capital Corp. – Class A |
30,424 | 548,849 | ||||||
| Ladenburg Thalmann Financial Services, Inc. |
2,821 | 9,817 | ||||||
| Lakeland Bancorp, Inc. |
15,006 | 260,804 | ||||||
| Lakeland Financial Corp. |
64,081 | 3,135,483 | ||||||
| Lazard Ltd. – Class A |
73,648 | 2,942,974 |
| LCNB Corp. |
3,522 | 67,975 | ||||||
| Legg Mason, Inc. |
107,415 | 3,857,273 | ||||||
| LendingClub Corp.(1) |
20,187 | 254,760 | ||||||
| Level One Bancorp, Inc. |
1,532 | 38,545 | ||||||
| Lincoln National Corp. |
88,087 | 5,198,014 | ||||||
| Live Oak Bancshares, Inc. |
7,602 | 144,514 | ||||||
| Loews Corp. |
378,318 | 19,857,912 | ||||||
| Luther Burbank Corp. |
5,917 | 68,223 | ||||||
| M&T Bank Corp. |
4,472 | 759,122 | ||||||
| Macatawa Bank Corp. |
7,482 | 83,275 | ||||||
| Mackinac Financial Corp. |
2,613 | 45,623 | ||||||
| MainStreet Bancshares, Inc.(1) |
2,024 | 46,552 | ||||||
| Malvern Bancorp, Inc.(1) |
1,828 | 42,209 | ||||||
| Markel Corp.(1) |
423 | 483,561 | ||||||
| Marlin Business Services Corp. |
1,743 | 38,311 | ||||||
| Marsh & McLennan Companies, Inc. |
74,362 | 8,284,670 | ||||||
| MBIA, Inc.(1) |
21,023 | 195,514 | ||||||
| Medallion Financial Corp.(1) |
5,843 | 42,479 | ||||||
| Mercantile Bank Corp. |
4,797 | 174,947 | ||||||
| Merchants Bancorp |
2,777 | 54,735 | ||||||
| Mercury General Corp. |
919 | 44,783 | ||||||
| Meridian Bancorp, Inc. |
12,787 | 256,891 | ||||||
| Meta Financial Group, Inc. |
4,318 | 157,650 | ||||||
| Metrocity Bankshares, Inc. |
4,465 | 78,182 | ||||||
| Metropolitan Bank Holding Corp.(1) |
2,042 | 98,486 | ||||||
| MFA Financial, Inc. |
15,510 | 118,652 | ||||||
| MGIC Investment Corp. |
724,583 | 10,267,341 | ||||||
| Mid Penn Bancorp, Inc. |
1,957 | 56,362 | ||||||
| Midland States Bancorp, Inc. |
6,122 | 177,293 | ||||||
| MidWestOne Financial Group, Inc. |
3,475 | 125,899 | ||||||
| MMA Capital Holdings, Inc.(1) |
1,453 | 46,205 | ||||||
| Moelis & Co. – Class A |
2,611 | 83,343 | ||||||
| Moody’s Corp. |
29,167 | 6,924,537 | ||||||
| Mr Cooper Group, Inc.(1) |
168,033 | 2,102,093 | ||||||
| MutualFirst Financial, Inc. |
1,731 | 68,669 | ||||||
| MVB Financial Corp. |
2,759 | 68,754 | ||||||
| Nasdaq, Inc. |
192,020 | 20,565,342 | ||||||
| National Bank Holdings Corp. – Class A |
5,853 | 206,143 | ||||||
| National Bankshares, Inc. |
1,913 | 85,951 | ||||||
| National General Holdings Corp. |
115,907 | 2,561,545 | ||||||
| National Western Life Group, Inc. – Class A |
682 | 198,380 | ||||||
| Navient Corp. |
186,980 | 2,557,886 | ||||||
| NBT Bancorp, Inc. |
12,354 | 501,078 | ||||||
| Nelnet, Inc. – Class A |
5,294 | 308,323 | ||||||
| New Residential Investment Corp. |
591,198 | 9,524,200 | ||||||
| New York Community Bancorp, Inc. |
15,459 | 185,817 | ||||||
| New York Mortgage Trust, Inc. |
202,671 | 1,262,640 | ||||||
| NI Holdings, Inc.(1) |
3,171 | 54,541 | ||||||
| Nicolet Bankshares, Inc.(1) |
2,792 | 206,189 | ||||||
| Northeast Bank |
1,941 | 42,683 | ||||||
| Northern Trust Corp. |
6,630 | 704,371 | ||||||
| Northfield Bancorp, Inc. |
12,972 | 220,005 | ||||||
| Northrim BanCorp, Inc. |
1,997 | 76,485 | ||||||
| Northwest Bancshares, Inc. |
29,727 | 494,360 | ||||||
| Norwood Financial Corp. |
1,654 | 64,341 | ||||||
| Oak Valley Bancorp |
1,911 | 37,188 | ||||||
| OceanFirst Financial Corp. |
15,046 | 384,275 | ||||||
| Ocwen Financial Corp.(1) |
38,932 | 53,337 | ||||||
| OFG Bancorp |
14,979 | 353,654 | ||||||
| Ohio Valley Banc Corp. |
1,207 | 47,821 |
| Old National Bancorp |
50,456 | 922,840 | ||||||
| Old Republic International Corp. |
142,584 | 3,189,604 | ||||||
| Old Second Bancorp, Inc. |
8,569 | 115,424 | ||||||
| On Deck Capital, Inc.(1) |
19,046 | 78,850 | ||||||
| OneMain Holdings, Inc. – Class A |
2,237 | 94,290 | ||||||
| OP Bancorp |
3,879 | 40,225 | ||||||
| Oportun Financial Corp.(1) |
1,245 | 29,631 | ||||||
| Oppenheimer Holdings, Inc. – Class A |
2,789 | 76,642 | ||||||
| Opus Bank |
6,660 | 172,294 | ||||||
| Orchid Island Capital, Inc. – Class A |
18,328 | 107,219 | ||||||
| Origin Bancorp, Inc. |
5,673 | 214,666 | ||||||
| Orrstown Financial Services, Inc. |
2,988 | 67,589 | ||||||
| Pacific Mercantile Bancorp(1) |
5,668 | 46,024 | ||||||
| Pacific Premier Bancorp, Inc. |
17,459 | 569,251 | ||||||
| PacWest Bancorp |
322,873 | 12,356,350 | ||||||
| Park National Corp. |
3,976 | 407,063 | ||||||
| Parke Bancorp, Inc. |
2,911 | 73,910 | ||||||
| PCB Bancorp |
3,575 | 61,776 | ||||||
| PCSB Financial Corp. |
4,394 | 88,979 | ||||||
| PDL Community Bancorp(1) |
2,458 | 36,133 | ||||||
| Peapack Gladstone Financial Corp. |
5,674 | 175,327 | ||||||
| PennantPark Investment Corp. |
163,500 | 1,067,655 | ||||||
| Penns Woods Bancorp, Inc. |
2,026 | 72,045 | ||||||
| PennyMac Mortgage Investment Trust |
26,625 | 593,471 | ||||||
| Peoples Bancorp of North Carolina, Inc. |
1,327 | 43,592 | ||||||
| Peoples Bancorp, Inc. |
5,398 | 187,095 | ||||||
| Peoples Financial Services Corp. |
2,065 | 103,973 | ||||||
| People’s United Financial, Inc. |
14,984 | 253,230 | ||||||
| People’s Utah Bancorp |
4,477 | 134,847 | ||||||
| Pinnacle Financial Partners, Inc. |
2,552 | 163,328 | ||||||
| Pioneer Bancorp, Inc.(1) |
3,058 | 46,818 | ||||||
| Piper Jaffray Cos |
4,134 | 330,472 | ||||||
| PJT Partners, Inc. – Class A |
2,720 | 122,754 | ||||||
| Popular, Inc. |
43,738 | 2,569,608 | ||||||
| PRA Group, Inc.(1) |
76,587 | 2,780,108 | ||||||
| Preferred Bank Los Angeles |
2,857 | 171,677 | ||||||
| Premier Financial Bancorp, Inc. |
3,814 | 69,186 | ||||||
| Primerica, Inc. |
402 | 52,485 | ||||||
| Principal Financial Group, Inc. |
82,197 | 4,520,835 | ||||||
| ProAssurance Corp. |
15,179 | 548,569 | ||||||
| ProSight Global, Inc.(1) |
1,618 | 26,098 | ||||||
| Prospect Capital Corp. |
136,400 | 878,416 | ||||||
| Prosperity Bancshares, Inc. |
49,881 | 3,585,945 | ||||||
| Protective Insurance Corp. – Class B |
2,758 | 44,376 | ||||||
| Provident Bancorp, Inc.(1) |
2,197 | 27,353 | ||||||
| Provident Financial Holdings, Inc. |
1,719 | 37,646 | ||||||
| Provident Financial Services, Inc. |
18,236 | 449,517 | ||||||
| Prudential Bancorp, Inc. |
2,609 | 48,345 | ||||||
| QCR Holdings, Inc. |
4,402 | 193,072 | ||||||
| Radian Group, Inc. |
380,589 | 9,575,619 | ||||||
| Raymond James Financial, Inc. |
64,441 | 5,764,892 | ||||||
| RBB Bancorp |
4,793 | 101,468 | ||||||
| Ready Capital Corp. |
9,331 | 143,884 | ||||||
| Red River Bancshares, Inc.(1) |
1,397 | 78,316 | ||||||
| Redwood Trust, Inc. |
33,226 | 549,558 | ||||||
| Regional Management Corp.(1) |
1,445 | 43,393 | ||||||
| Regions Financial Corp. |
1,319,893 | 22,649,364 | ||||||
| Reinsurance Group of America, Inc. – Class A |
292,219 | 47,649,230 | ||||||
| Reliant Bancorp, Inc. |
2,802 | 62,316 | ||||||
| RenaissanceRe Holdings Ltd. |
15,648 | 3,067,321 |
| Renasant Corp. |
16,730 | 592,577 | ||||||
| Republic Bancorp, Inc. – Class A |
2,878 | 134,690 | ||||||
| Republic First Bancorp, Inc.(1) |
12,679 | 52,998 | ||||||
| Richmond Mutual Bancorporation, Inc.(1) |
3,479 | 55,525 | ||||||
| Riverview Bancorp, Inc. |
6,079 | 49,909 | ||||||
| S&T Bancorp, Inc. |
11,132 | 448,508 | ||||||
| Safety Insurance Group, Inc. |
9,340 | 864,230 | ||||||
| Sandy Spring Bancorp, Inc. |
35,687 | 1,351,824 | ||||||
| Santander Consumer USA Holdings, Inc. |
142,496 | 3,330,132 | ||||||
| SB One Bancorp |
2,482 | 61,851 | ||||||
| Sculptor Capital Management, Inc. – Class A |
2,294 | 50,697 | ||||||
| Seacoast Banking Corp. of Florida(1) |
12,440 | 380,291 | ||||||
| SEI Investments Co. |
2,284 | 149,556 | ||||||
| Select Bancorp, Inc.(1) |
4,844 | 59,581 | ||||||
| Selective Insurance Group, Inc. |
247,312 | 16,122,269 | ||||||
| ServisFirst Bancshares, Inc. |
2,850 | 107,388 | ||||||
| Shore Bancshares, Inc. |
3,914 | 67,947 | ||||||
| Sierra Bancorp |
4,222 | 122,945 | ||||||
| Signature Bank |
20,797 | 2,841,078 | ||||||
| Silvergate Capital Corp. – Class A(1) |
1,044 | 16,610 | ||||||
| Simmons First National Corp. – Class A |
26,889 | 720,356 | ||||||
| SLM Corp. |
637,579 | 5,680,829 | ||||||
| SmartFinancial, Inc. |
3,758 | 88,877 | ||||||
| South Plains Financial, Inc. |
3,112 | 64,947 | ||||||
| South State Corp. |
153,578 | 13,322,892 | ||||||
| Southern First Bancshares, Inc.(1) |
2,257 | 95,900 | ||||||
| Southern Missouri Bancorp, Inc. |
2,235 | 85,735 | ||||||
| Southern National Bancorp of Virginia, Inc. |
5,824 | 95,222 | ||||||
| Southside Bancshares, Inc. |
9,496 | 352,681 | ||||||
| Spirit of Texas Bancshares, Inc.(1) |
3,925 | 90,275 | ||||||
| Starwood Property Trust, Inc. |
9,064 | 225,331 | ||||||
| State Auto Financial Corp. |
4,919 | 152,587 | ||||||
| State Street Corp. |
90,220 | 7,136,402 | ||||||
| Sterling Bancorp |
1,126,834 | 23,753,661 | ||||||
| Sterling Bancorp, Inc. |
4,954 | 40,127 | ||||||
| Stewart Information Services Corp. |
6,593 | 268,928 | ||||||
| Stifel Financial Corp. |
19,960 | 1,210,574 | ||||||
| Stock Yards Bancorp, Inc. |
4,819 | 197,868 | ||||||
| Summit Financial Group, Inc. |
3,208 | 86,905 | ||||||
| SVB Financial Group(1) |
15,217 | 3,820,076 | ||||||
| Synchrony Financial |
398,788 | 14,360,356 | ||||||
| Synovus Financial Corp. |
4,400 | 172,480 | ||||||
| T Rowe Price Group, Inc. |
5,508 | 671,095 | ||||||
| TCF Financial Corp. |
786,694 | 36,817,279 | ||||||
| TD Ameritrade Holding Corp. |
96,162 | 4,779,251 | ||||||
| Territorial Bancorp, Inc. |
2,281 | 70,574 | ||||||
| Texas Capital Bancshares, Inc.(1) |
1,719 | 97,588 | ||||||
| TFS Financial Corp. |
1,688 | 33,220 | ||||||
| The Bancorp, Inc.(1) |
14,963 | 194,070 | ||||||
| The Progressive Corp. |
103,988 | 7,527,691 | ||||||
| Third Point Reinsurance Ltd.(1) |
181,201 | 1,906,235 | ||||||
| Timberland Bancorp, Inc. |
2,176 | 64,714 | ||||||
| Tiptree, Inc. |
8,024 | 65,315 | ||||||
| TMX Group Ltd. |
24,189 | 2,094,685 | ||||||
| Tompkins Financial Corp. |
4,316 | 394,914 | ||||||
| Towne Bank/Portsmouth VA |
20,053 | 557,874 | ||||||
| TPG RE Finance Trust, Inc. |
14,491 | 293,733 | ||||||
| Travelers Companies, Inc. |
43,538 | 5,962,529 | ||||||
| TriCo Bancshares |
8,084 | 329,908 | ||||||
| TriState Capital Holdings, Inc.(1) |
5,525 | 144,313 |
| Triumph Bancorp, Inc.(1) |
3,702 | 140,750 | ||||||
| Truist Financial Corp. |
472,394 | 26,605,230 | ||||||
| TrustCo Bank Corp. NY |
27,709 | 240,237 | ||||||
| Trustmark Corp. |
19,195 | 662,419 | ||||||
| Two Harbors Investment Corp. |
162,766 | 2,379,639 | ||||||
| UMB Financial Corp. |
57,660 | 3,957,782 | ||||||
| Umpqua Holdings Corp. |
85,421 | 1,511,952 | ||||||
| Union Bankshares, Inc. |
829 | 30,060 | ||||||
| United Bankshares, Inc. |
28,962 | 1,119,671 | ||||||
| United Community Banks, Inc. |
19,240 | 594,131 | ||||||
| United Community Financial Corp. |
12,494 | 145,680 | ||||||
| United Fire Group, Inc. |
5,743 | 251,141 | ||||||
| United Insurance Holdings Corp. |
5,963 | 75,193 | ||||||
| United Security Bancshares |
3,715 | 39,862 | ||||||
| Unity Bancorp, Inc. |
2,062 | 46,539 | ||||||
| Universal Insurance Holdings, Inc. |
69,083 | 1,933,633 | ||||||
| Univest Financial Corp. |
8,580 | 229,772 | ||||||
| Unum Group |
104,689 | 3,052,731 | ||||||
| Valley National Bancorp |
115,239 | 1,319,487 | ||||||
| Value Line, Inc. |
83 | 2,400 | ||||||
| Veritex Holdings, Inc. |
10,798 | 314,546 | ||||||
| Virtu Financial, Inc. – Class A |
289,326 | 4,626,323 | ||||||
| Virtus Investment Partners, Inc. |
1,720 | 209,358 | ||||||
| Voya Financial, Inc. |
74,457 | 4,540,388 | ||||||
| Waddell & Reed Financial, Inc. – Class A |
20,887 | 349,231 | ||||||
| Walker & Dunlop, Inc. |
7,260 | 469,577 | ||||||
| Washington Federal, Inc. |
23,594 | 864,720 | ||||||
| Washington Trust Bancorp, Inc. |
4,541 | 244,260 | ||||||
| Waterstone Financial, Inc. |
6,814 | 129,670 | ||||||
| Watford Holdings Ltd.(1) |
5,706 | 143,563 | ||||||
| Webster Financial Corp. |
3,114 | 166,163 | ||||||
| WesBanco, Inc. |
19,293 | 729,082 | ||||||
| West Bancorporation, Inc. |
3,802 | 97,445 | ||||||
| Westamerica Bancorporation |
6,380 | 432,373 | ||||||
| Western Alliance Bancorp |
2,862 | 163,134 | ||||||
| Western Asset Mortgage Capital Corp. |
15,033 | 155,291 | ||||||
| Western New England Bancorp, Inc. |
7,273 | 70,039 | ||||||
| Westwood Holdings Group, Inc. |
2,334 | 69,133 | ||||||
| White Mountains Insurance Group Ltd. |
105 | 117,129 | ||||||
| Willis Towers Watson Plc |
30,592 | 6,177,748 | ||||||
| Wintrust Financial Corp. |
39,771 | 2,819,764 | ||||||
| WisdomTree Investments, Inc. |
26,072 | 126,188 | ||||||
| World Acceptance Corp.(1) |
695 | 60,048 | ||||||
| WR Berkley Corp. |
88,603 | 6,122,467 | ||||||
| WSFS Financial Corp. |
15,303 | 673,179 | ||||||
| Zions Bancorp N.A. |
101,501 | 5,269,932 | ||||||
|
|
|
|||||||
| Total Financials |
|
1,213,873,554 | ||||||
|
|
|
|||||||
| Healthcare – 6.51% |
||||||||
| 89bio, Inc.(1) |
214 | 5,626 | ||||||
| Abeona Therapeutics, Inc.(1) |
9,339 | 30,539 | ||||||
| Acadia Healthcare Co., Inc.(1) |
2,918 | 96,936 | ||||||
| Acceleron Pharma, Inc.(1) |
2,263 | 119,984 | ||||||
| AcelRx Pharmaceuticals, Inc.(1) |
14,971 | 31,589 | ||||||
| Achillion Pharmaceuticals, Inc.(1) |
40,141 | 242,050 | ||||||
| Aclaris Therapeutics, Inc.(1) |
8,952 | 16,919 | ||||||
| Acorda Therapeutics, Inc.(1) |
12,937 | 26,391 | ||||||
| Adamas Pharmaceuticals, Inc.(1) |
6,533 | 24,760 | ||||||
| Adaptive Biotechnologies Corp.(1) |
181 | 5,416 | ||||||
| ADMA Biologics, Inc.(1) |
1,087 | 4,348 | ||||||
| Aduro Biotech, Inc.(1) |
3,173 | 3,744 | ||||||
| Aeglea BioTherapeutics, Inc.(1) |
6,443 | 49,225 | ||||||
| Affimed NV(1) |
2,927 | 8,020 | ||||||
| Agilent Technologies, Inc. |
131,564 | 11,223,725 | ||||||
| Agios Pharmaceuticals, Inc.(1) |
1,823 | 87,048 | ||||||
| Akebia Therapeutics, Inc.(1) |
34,829 | 220,119 | ||||||
| Akero Therapeutics, Inc.(1) |
441 | 9,788 | ||||||
| Akorn, Inc.(1) |
23,880 | 35,820 | ||||||
| Aldeyra Therapeutics, Inc.(1) |
1,834 | 10,656 | ||||||
| Alexion Pharmaceuticals, Inc.(1) |
48,500 | 5,245,275 | ||||||
| Alkermes Plc(1) |
5,301 | 108,140 | ||||||
| Allscripts Healthcare Solutions, Inc.(1) |
760,165 | 7,461,019 | ||||||
| Alnylam Pharmaceuticals, Inc.(1) |
590 | 67,950 | ||||||
| Alphatec Holdings, Inc.(1) |
1,138 | 8,074 | ||||||
| AMAG Pharmaceuticals, Inc.(1) |
9,931 | 120,860 | ||||||
| American Renal Associates Holdings, Inc.(1) |
3,059 | 31,722 | ||||||
| AmerisourceBergen Corp. – Class A |
127,123 | 10,807,997 | ||||||
| AMN Healthcare Services, Inc.(1) |
178,190 | 11,103,019 | ||||||
| AnaptysBio, Inc.(1) |
1,105 | 17,956 | ||||||
| AngioDynamics, Inc.(1) |
10,744 | 172,011 | ||||||
| Anika Therapeutics, Inc.(1) |
3,954 | 205,015 | ||||||
| Applied Therapeutics, Inc.(1) |
434 | 11,840 | ||||||
| Aprea Therapeutics, Inc.(1) |
437 | 20,054 | ||||||
| Apyx Medical Corp.(1) |
8,283 | 70,074 | ||||||
| Arcus Biosciences, Inc.(1) |
10,066 | 101,667 | ||||||
| Ardelyx, Inc.(1) |
14,456 | 108,492 | ||||||
| Arena Pharmaceuticals, Inc.(1) |
3,070 | 139,439 | ||||||
| ArQule, Inc.(1) |
3,188 | 63,632 | ||||||
| Assembly Biosciences, Inc.(1) |
6,205 | 126,954 | ||||||
| Assertio Therapeutics, Inc.(1) |
18,455 | 23,069 | ||||||
| Atreca, Inc. – Class A(1) |
315 | 4,873 | ||||||
| Avanos Medical, Inc.(1) |
13,972 | 470,856 | ||||||
| Avantor, Inc.(1) |
311,220 | 5,648,643 | ||||||
| Avid Bioservices, Inc.(1) |
1,453 | 11,144 | ||||||
| BeyondSpring, Inc.(1) |
256 | 3,968 | ||||||
| BioCryst Pharmaceuticals, Inc.(1) |
7,108 | 24,523 | ||||||
| Bio-Rad Laboratories, Inc. – Class A(1) |
722 | 267,162 | ||||||
| Bluebird Bio, Inc.(1) |
1,880 | 164,970 | ||||||
| Boston Scientific Corp.(1) |
250,408 | 11,323,450 | ||||||
| Bridgebio Pharma, Inc.(1) |
1,453 | 50,928 | ||||||
| Brookdale Senior Living, Inc.(1) |
54,892 | 399,065 | ||||||
| Cabaletta Bio, Inc.(1) |
637 | 8,899 | ||||||
| Calithera Biosciences, Inc.(1) |
12,271 | 70,067 | ||||||
| Cantel Medical Corp. |
533 | 37,790 | ||||||
| Cara Therapeutics, Inc.(1) |
1,721 | 27,725 | ||||||
| Cardinal Health, Inc. |
60,077 | 3,038,695 | ||||||
| CareDx, Inc.(1) |
653 | 14,085 | ||||||
| CASI Pharmaceuticals, Inc.(1) |
1,689 | 5,219 | ||||||
| Castle Biosciences, Inc.(1) |
403 | 13,851 | ||||||
| Catalent, Inc.(1) |
4,930 | 277,559 | ||||||
| cbdMD, Inc.(1) |
2,681 | 6,059 | ||||||
| Cellular Biomedicine Group, Inc.(1) |
1,009 | 16,386 | ||||||
| CEL-SCI Corp.(1) |
752 | 6,881 | ||||||
| Centene Corp.(1) |
475,858 | 29,917,192 | ||||||
| Cerus Corp.(1) |
4,138 | 17,462 | ||||||
| Change Healthcare, Inc.(1) |
414,220 | 6,789,066 | ||||||
| Chimerix, Inc.(1) |
13,782 | 27,977 | ||||||
| Coherus Biosciences, Inc.(1) |
10,979 | 197,677 | ||||||
| Community Health Systems, Inc.(1) |
25,298 | 73,364 | ||||||
| Computer Programs & Systems, Inc. |
3,698 | 97,627 | ||||||
| Concert Pharmaceuticals, Inc.(1) |
6,233 | 57,499 |
| Constellation Pharmaceuticals, Inc.(1) |
516 | 24,309 | ||||||
| Cortexyme, Inc.(1) |
157 | 8,814 | ||||||
| Covetrus, Inc.(1) |
3,224 | 42,557 | ||||||
| Cross Country Healthcare, Inc.(1) |
9,145 | 106,265 | ||||||
| Cyclerion Therapeutics, Inc.(1) |
497 | 1,352 | ||||||
| Cytokinetics, Inc.(1) |
1,386 | 14,705 | ||||||
| DaVita, Inc.(1) |
118,607 | 8,899,083 | ||||||
| Dentsply Sirona, Inc. |
7,584 | 429,179 | ||||||
| Diplomat Pharmacy, Inc.(1) |
18,238 | 72,952 | ||||||
| Dynavax Technologies Corp. – Class A(1) |
2,935 | 16,788 | ||||||
| Elanco Animal Health, Inc.(1) |
12,710 | 374,309 | ||||||
| ElectroCore, Inc.(1) |
3,781 | 6,012 | ||||||
| Eloxx Pharmaceuticals, Inc.(1) |
775 | 5,704 | ||||||
| Encompass Health Corp. |
1,649 | 114,226 | ||||||
| Endo International Plc(1) |
62,750 | 294,297 | ||||||
| Enochian Biosciences, Inc.(1) |
2,626 | 13,183 | ||||||
| Envista Holdings Corp.(1) |
67,207 | 1,992,015 | ||||||
| Enzo Biochem, Inc.(1) |
12,702 | 33,406 | ||||||
| Epizyme, Inc.(1) |
6,366 | 156,604 | ||||||
| Evelo Biosciences, Inc.(1) |
3,180 | 12,911 | ||||||
| Evolent Health, Inc. – Class A(1) |
17,426 | 157,705 | ||||||
| Exagen, Inc.(1) |
328 | 8,331 | ||||||
| Exelixis, Inc.(1) |
6,093 | 107,359 | ||||||
| EyePoint Pharmaceuticals, Inc.(1) |
6,056 | 9,387 | ||||||
| FibroGen, Inc.(1) |
2,420 | 103,794 | ||||||
| Five Prime Therapeutics, Inc.(1) |
9,837 | 45,152 | ||||||
| Frequency Therapeutics, Inc.(1) |
411 | 7,205 | ||||||
| Fulcrum Therapeutics, Inc.(1) |
234 | 3,894 | ||||||
| G1 Therapeutics, Inc.(1) |
3,995 | 105,588 | ||||||
| Genomma Lab Internacional SAB de CV – Class B(1) |
484,693 | 480,655 | ||||||
| Geron Corp.(1) |
55,423 | 75,375 | ||||||
| Gossamer Bio, Inc.(1) |
5,853 | 91,482 | ||||||
| Gritstone Oncology, Inc.(1) |
5,578 | 50,035 | ||||||
| Hanger, Inc.(1) |
8,924 | 246,392 | ||||||
| Harpoon Therapeutics, Inc.(1) |
1,338 | 19,789 | ||||||
| HCA Healthcare, Inc. |
48,800 | 7,213,128 | ||||||
| Health Catalyst, Inc.(1) |
385 | 13,359 | ||||||
| HealthStream, Inc.(1) |
4,780 | 130,016 | ||||||
| Henry Schein, Inc.(1) |
4,330 | 288,898 | ||||||
| Hill-Rom Holdings, Inc. |
1,109 | 125,905 | ||||||
| Hologic, Inc.(1) |
248,696 | 12,984,418 | ||||||
| Horizon Therapeutics Plc(1) |
5,662 | 204,964 | ||||||
| Humana, Inc. |
40,969 | 15,015,958 | ||||||
| ICON Plc(1) |
72,821 | 12,541,961 | ||||||
| ICU Medical, Inc.(1) |
49,809 | 9,320,260 | ||||||
| IGM Biosciences, Inc.(1) |
342 | 13,051 | ||||||
| ImmunoGen, Inc.(1) |
18,936 | 96,668 | ||||||
| Immunomedics, Inc.(1) |
5,017 | 106,160 | ||||||
| Integer Holdings Corp.(1) |
146,018 | 11,744,228 | ||||||
| Integra LifeSciences Holdings Corp.(1) |
2,409 | 140,397 | ||||||
| Intellia Therapeutics, Inc.(1) |
3,473 | 50,949 | ||||||
| Intra-Cellular Therapies, Inc.(1) |
6,628 | 227,407 | ||||||
| Intrexon Corp.(1) |
16,436 | 90,069 | ||||||
| Invacare Corp. |
9,890 | 89,208 | ||||||
| IQVIA Holdings, Inc.(1) |
213,605 | 33,004,109 | ||||||
| Jazz Pharmaceuticals Plc(1) |
93,578 | 13,969,324 | ||||||
| Jounce Therapeutics, Inc.(1) |
4,672 | 40,787 | ||||||
| Kala Pharmaceuticals, Inc.(1) |
3,126 | 11,535 | ||||||
| Karuna Therapeutics, Inc.(1) |
278 | 20,945 | ||||||
| Kezar Life Sciences, Inc.(1) |
4,189 | 16,798 |
| Kiniksa Pharmaceuticals Ltd. – Class A(1) |
196 | 2,168 | ||||||
| Laboratory Corp. of America Holdings(1) |
93,592 | 15,832,959 | ||||||
| Lannett Co., Inc.(1) |
67,610 | 596,320 | ||||||
| LeMaitre Vascular, Inc. |
648 | 23,296 | ||||||
| Ligand Pharmaceuticals, Inc.(1) |
4,285 | 446,883 | ||||||
| Lineage Cell Therapeutics, Inc.(1) |
31,355 | 27,906 | ||||||
| LivaNova Plc(1) |
3,016 | 227,497 | ||||||
| Livongo Health, Inc.(1) |
691 | 17,316 | ||||||
| Luminex Corp. |
12,549 | 290,635 | ||||||
| MacroGenics, Inc.(1) |
7,315 | 79,587 | ||||||
| Magellan Health, Inc.(1) |
2,920 | 228,490 | ||||||
| Mallinckrodt Plc(1) |
159,393 | 556,282 | ||||||
| McKesson Corp. |
78,447 | 10,850,789 | ||||||
| Medicines Co.(1) |
15,017 | 1,275,544 | ||||||
| MEDNAX, Inc.(1) |
2,829 | 78,618 | ||||||
| Menlo Therapeutics, Inc.(1) |
4,448 | 20,639 | ||||||
| Meridian Bioscience, Inc. |
11,658 | 113,899 | ||||||
| Merit Medical Systems, Inc.(1) |
41,994 | 1,311,053 | ||||||
| Mersana Therapeutics, Inc.(1) |
10,379 | 59,472 | ||||||
| Minerva Neurosciences, Inc.(1) |
1,354 | 9,627 | ||||||
| Moderna, Inc.(1) |
687 | 13,438 | ||||||
| Molecular Templates, Inc.(1) |
2,028 | 28,362 | ||||||
| Molina Healthcare, Inc.(1) |
34,789 | 4,720,519 | ||||||
| Morphic Holding, Inc.(1) |
478 | 8,202 | ||||||
| Mylan NV(1) |
17,517 | 352,092 | ||||||
| Myriad Genetics, Inc.(1) |
18,641 | 507,594 | ||||||
| NanoString Technologies, Inc.(1) |
915 | 25,455 | ||||||
| National HealthCare Corp. |
3,616 | 312,531 | ||||||
| Natus Medical, Inc.(1) |
218,780 | 7,217,552 | ||||||
| Nektar Therapeutics – Class A(1) |
4,845 | 104,579 | ||||||
| Neon Therapeutics, Inc.(1) |
4,111 | 4,851 | ||||||
| NextCure, Inc.(1) |
220 | 12,393 | ||||||
| NGM Biopharmaceuticals, Inc.(1) |
407 | 7,525 | ||||||
| Novavax, Inc.(1) |
4,430 | 17,631 | ||||||
| OPKO Health, Inc.(1) |
115,134 | 169,247 | ||||||
| Option Care Health, Inc.(1) |
32,532 | 121,344 | ||||||
| OraSure Technologies, Inc.(1) |
18,656 | 149,808 | ||||||
| Orthofix Medical, Inc.(1) |
1,263 | 58,325 | ||||||
| Osmotica Pharmaceuticals Plc(1) |
2,262 | 15,811 | ||||||
| Owens & Minor, Inc. |
18,054 | 93,339 | ||||||
| Oyster Point Pharma, Inc.(1) |
399 | 9,752 | ||||||
| Pacific Biosciences of California, Inc.(1) |
3,604 | 18,525 | ||||||
| Patterson Cos, Inc. |
24,795 | 507,802 | ||||||
| PDL BioPharma, Inc.(1) |
34,032 | 110,434 | ||||||
| PerkinElmer, Inc. |
2,925 | 284,017 | ||||||
| Perrigo Co. Plc |
4,289 | 221,570 | ||||||
| Personalis, Inc.(1) |
615 | 6,703 | ||||||
| Phathom Pharmaceuticals, Inc.(1) |
698 | 21,736 | ||||||
| Phibro Animal Health Corp. – Class A |
377 | 9,361 | ||||||
| Phreesia, Inc.(1) |
479 | 12,761 | ||||||
| PolarityTE, Inc.(1) |
4,055 | 10,543 | ||||||
| Premier, Inc. – Class A(1) |
103,265 | 3,911,678 | ||||||
| Prestige Consumer Healthcare, Inc.(1) |
60,829 | 2,463,574 | ||||||
| Prevail Therapeutics, Inc.(1) |
733 | 11,603 | ||||||
| Principia Biopharma, Inc.(1) |
389 | 21,309 | ||||||
| Progyny, Inc.(1) |
1,976 | 54,241 | ||||||
| Protagonist Therapeutics, Inc.(1) |
2,338 | 16,483 | ||||||
| Prothena Corp. Plc(1) |
12,108 | 191,670 | ||||||
| QIAGEN NV(1) |
7,523 | 254,277 | ||||||
| Quest Diagnostics, Inc. |
4,569 | 487,924 |
| Reata Pharmaceuticals, Inc. – Class A(1) |
3,838 | 784,602 | ||||||
| resTORbio, Inc.(1) |
3,995 | 5,953 | ||||||
| Revance Therapeutics, Inc.(1) |
2,151 | 34,911 | ||||||
| Rigel Pharmaceuticals, Inc.(1) |
4,089 | 8,750 | ||||||
| Rockwell Medical, Inc.(1) |
854 | 2,084 | ||||||
| RTI Surgical Holdings, Inc.(1) |
16,058 | 43,999 | ||||||
| Sangamo Therapeutics, Inc.(1) |
9,733 | 81,465 | ||||||
| Satsuma Pharmaceuticals, Inc.(1) |
386 | 7,596 | ||||||
| SeaSpine Holdings Corp.(1) |
4,626 | 55,558 | ||||||
| Sientra, Inc.(1) |
1,527 | 13,651 | ||||||
| Solid Biosciences, Inc.(1) |
4,935 | 21,961 | ||||||
| Spectrum Pharmaceuticals, Inc.(1) |
2,382 | 8,670 | ||||||
| Spero Therapeutics, Inc.(1) |
3,346 | 32,172 | ||||||
| SpringWorks Therapeutics, Inc.(1) |
699 | 26,905 | ||||||
| STERIS Plc |
2,690 | 410,010 | ||||||
| Stoke Therapeutics, Inc.(1) |
629 | 17,813 | ||||||
| Strongbridge Biopharma Plc(1) |
10,501 | 21,947 | ||||||
| Surgery Partners, Inc.(1) |
6,429 | 100,646 | ||||||
| Sutro Biopharma, Inc.(1) |
2,540 | 27,940 | ||||||
| Syneos Health, Inc. – Class A(1) |
17,091 | 1,016,487 | ||||||
| Synlogic, Inc.(1) |
4,444 | 11,466 | ||||||
| Synthorx, Inc.(1) |
294 | 20,548 | ||||||
| TCR2 Therapeutics, Inc.(1) |
3,175 | 45,339 | ||||||
| Tenet Healthcare Corp.(1) |
1,994 | 75,832 | ||||||
| TG Therapeutics, Inc.(1) |
2,976 | 33,034 | ||||||
| The Cooper Companies, Inc. |
39,620 | 12,729,510 | ||||||
| TherapeuticsMD, Inc.(1) |
6,084 | 14,723 | ||||||
| Tivity Health, Inc.(1) |
14,054 | 285,929 | ||||||
| TransEnterix, Inc.(1) |
1,263 | 1,857 | ||||||
| TransMedics Group, Inc.(1) |
672 | 12,775 | ||||||
| Triple-S Management Corp. – Class B(1) |
6,789 | 125,529 | ||||||
| Turning Point Therapeutics, Inc.(1) |
425 | 26,473 | ||||||
| United Therapeutics Corp.(1) |
1,470 | 129,478 | ||||||
| UNITY Biotechnology, Inc.(1) |
2,256 | 16,266 | ||||||
| Universal Health Services, Inc. – Class B |
120,851 | 17,337,284 | ||||||
| Utah Medical Products, Inc. |
158 | 17,048 | ||||||
| Varex Imaging Corp.(1) |
6,395 | 190,635 | ||||||
| VBI Vaccines, Inc.(1) |
4,679 | 6,457 | ||||||
| Verrica Pharmaceuticals, Inc.(1) |
2,170 | 34,481 | ||||||
| Viela Bio, Inc.(1) |
373 | 10,127 | ||||||
| Viking Therapeutics, Inc.(1) |
17,320 | 138,906 | ||||||
| Vir Biotechnology, Inc.(1) |
531 | 6,677 | ||||||
| WaVe Life Sciences Ltd.(1) |
1,374 | 11,013 | ||||||
| WellCare Health Plans, Inc.(1) |
157 | 51,843 | ||||||
| West Pharmaceutical Services, Inc. |
32,101 | 4,825,743 | ||||||
| Xeris Pharmaceuticals, Inc.(1) |
522 | 3,680 | ||||||
| Zimmer Biomet Holdings, Inc. |
112,316 | 16,811,459 | ||||||
|
|
|
|||||||
| Total Healthcare |
|
349,241,713 | ||||||
|
|
|
|||||||
| Industrials – 16.74% |
||||||||
| AAR Corp. |
9,866 | 444,957 | ||||||
| ABM Industries, Inc. |
171,822 | 6,479,408 | ||||||
| Acacia Research Corp.(1) |
2,169 | 5,770 | ||||||
| ACCO Brands Corp. |
28,339 | 265,253 | ||||||
| Actuant Corp. – Class A |
747,908 | 19,468,045 | ||||||
| Acuity Brands, Inc. |
18,990 | 2,620,620 | ||||||
| ADT, Inc. |
3,816 | 30,261 | ||||||
| Advanced Disposal Services, Inc.(1) |
1,332 | 43,783 | ||||||
| AECOM(1) |
5,298 | 228,503 | ||||||
| Aegion Corp. – Class A(1) |
9,207 | 205,961 | ||||||
| Aerojet Rocketdyne Holdings, Inc.(1) |
6,431 | 293,639 | ||||||
| AGCO Corp. |
27,018 | 2,087,140 | ||||||
| Air Lease Corp. – Class A |
165,134 | 7,847,168 | ||||||
| Aircastle Ltd. |
15,607 | 499,580 | ||||||
| Alamo Group, Inc. |
385 | 48,337 | ||||||
| Alaska Air Group, Inc. |
60,932 | 4,128,143 | ||||||
| Allegion Plc |
90,893 | 11,319,814 | ||||||
| Allison Transmission Holdings, Inc. |
499,190 | 24,120,861 | ||||||
| Altra Industrial Motion Corp. |
326,650 | 11,827,996 | ||||||
| AMERCO |
301 | 113,122 | ||||||
| Ameresco, Inc. – Class A(1) |
6,509 | 113,907 | ||||||
| American Airlines Group, Inc. |
104,124 | 2,986,276 | ||||||
| American Superconductor Corp.(1) |
4,676 | 36,707 | ||||||
| AMETEK, Inc. |
346,375 | 34,547,442 | ||||||
| AO Smith Corp. |
3,861 | 183,938 | ||||||
| Apogee Enterprises, Inc. |
1,234 | 40,105 | ||||||
| ArcBest Corp. |
7,485 | 206,586 | ||||||
| Arconic, Inc. |
153,489 | 4,722,857 | ||||||
| Arcosa, Inc. |
14,469 | 644,594 | ||||||
| Argan, Inc. |
720 | 28,901 | ||||||
| Armstrong Flooring, Inc.(1) |
5,981 | 25,539 | ||||||
| Armstrong World Industries, Inc. |
115,270 | 10,831,922 | ||||||
| ASGN, Inc.(1) |
1,919 | 136,191 | ||||||
| Astec Industries, Inc. |
6,624 | 278,208 | ||||||
| Atlas Air Worldwide Holdings, Inc.(1) |
50,742 | 1,398,957 | ||||||
| AZZ, Inc. |
5,306 | 243,811 | ||||||
| Barnes Group, Inc. |
12,346 | 764,958 | ||||||
| Beacon Roofing Supply, Inc.(1) |
16,408 | 524,728 | ||||||
| BG Staffing, Inc. |
1,560 | 34,148 | ||||||
| Bloom Energy Corp. – Class A(1) |
16,346 | 122,105 | ||||||
| Blue Bird Corp.(1) |
2,104 | 48,224 | ||||||
| BlueLinx Holdings, Inc.(1) |
2,562 | 36,508 | ||||||
| BMC Stock Holdings, Inc.(1) |
386,710 | 11,094,710 | ||||||
| Brady Corp. – Class A |
2,553 | 146,185 | ||||||
| Briggs & Stratton Corp. |
12,003 | 79,940 | ||||||
| BrightView Holdings, Inc.(1) |
87,871 | 1,482,384 | ||||||
| Brink’s Co. |
516,243 | 46,812,915 | ||||||
| Builders FirstSource, Inc.(1) |
2,252 | 57,223 | ||||||
| BWX Technologies, Inc. |
859 | 53,327 | ||||||
| Caesarstone Ltd. |
6,671 | 100,532 | ||||||
| CAI International, Inc.(1) |
4,828 | 139,915 | ||||||
| Carlisle Companies, Inc. |
258 | 41,755 | ||||||
| Casella Waste Systems, Inc. – Class A(1) |
233,270 | 10,737,418 | ||||||
| CBIZ, Inc.(1) |
15,137 | 408,094 | ||||||
| CECO Environmental Corp.(1) |
8,681 | 66,496 | ||||||
| CH Robinson Worldwide, Inc. |
75,038 | 5,867,972 | ||||||
| Charah Solutions, Inc.(1) |
2,661 | 6,493 | ||||||
| CIRCOR International, Inc.(1) |
5,780 | 267,267 | ||||||
| Clean Harbors, Inc.(1) |
1,751 | 150,148 | ||||||
| Colfax Corp.(1) |
118,377 | 4,306,555 | ||||||
| Columbus McKinnon Corp. |
2,768 | 110,803 | ||||||
| Commercial Vehicle Group, Inc.(1) |
9,056 | 57,506 | ||||||
| CompX International, Inc. |
351 | 5,121 | ||||||
| Concrete Pumping Holdings, Inc.(1) |
5,359 | 29,314 | ||||||
| Construction Partners, Inc. – Class A(1) |
78,410 | 1,322,777 | ||||||
| Continental Building Products, Inc.(1) |
5,372 | 195,702 | ||||||
| Copa Holdings SA – Class A |
1,054 | 113,916 | ||||||
| Cornerstone Building Brands, Inc.(1) |
13,643 | 116,102 | ||||||
| Costamare, Inc. |
15,409 | 146,848 | ||||||
| Covenant Transportation Group, Inc. – Class A(1) |
3,687 | 47,654 | ||||||
| CRA International, Inc. |
1,672 | 91,074 |
| Crane Co. |
1,693 | 146,241 | ||||||
| Cubic Corp. |
7,807 | 496,291 | ||||||
| Cummins, Inc. |
72,626 | 12,997,149 | ||||||
| Curtiss-Wright Corp. |
63,474 | 8,942,852 | ||||||
| Daseke, Inc.(1) |
13,196 | 41,699 | ||||||
| Deere & Co. |
5,864 | 1,015,997 | ||||||
| Deluxe Corp. |
62,112 | 3,100,631 | ||||||
| Dover Corp. |
227,463 | 26,217,385 | ||||||
| Ducommun, Inc.(1) |
2,614 | 132,085 | ||||||
| DXP Enterprises, Inc.(1) |
4,753 | 189,217 | ||||||
| Dycom Industries, Inc.(1) |
1,822 | 85,907 | ||||||
| Eagle Bulk Shipping, Inc.(1) |
13,643 | 62,758 | ||||||
| Eastern Co. |
1,563 | 47,718 | ||||||
| Eaton Corp. Plc |
131,109 | 12,418,644 | ||||||
| Echo Global Logistics, Inc.(1) |
8,022 | 166,055 | ||||||
| EMCOR Group, Inc. |
35,098 | 3,028,957 | ||||||
| Encore Wire Corp. |
5,991 | 343,883 | ||||||
| EnerSys |
61,010 | 4,565,378 | ||||||
| Ennis, Inc. |
7,389 | 159,972 | ||||||
| EnPro Industries, Inc. |
5,536 | 370,248 | ||||||
| Equifax, Inc. |
629 | 88,135 | ||||||
| ESCO Technologies, Inc. |
163,735 | 15,145,487 | ||||||
| Expeditors International of Washington, Inc. |
60,719 | 4,737,296 | ||||||
| Fastenal Co. |
1,848 | 68,284 | ||||||
| Federal Signal Corp. |
972 | 31,347 | ||||||
| Flowserve Corp. |
3,494 | 173,896 | ||||||
| Fluor Corp. |
4,690 | 88,547 | ||||||
| Fortive Corp. |
7,798 | 595,689 | ||||||
| Fortune Brands Home & Security, Inc. |
425,868 | 27,826,215 | ||||||
| Forward Air Corp. |
148,230 | 10,368,688 | ||||||
| Foundation Building Materials, Inc.(1) |
4,305 | 83,302 | ||||||
| Franklin Electric Co., Inc. |
736 | 42,188 | ||||||
| FTI Consulting, Inc.(1) |
10,063 | 1,113,572 | ||||||
| Gardner Denver Holdings, Inc.(1) |
4,456 | 163,446 | ||||||
| Gates Industrial Corp. Plc(1) |
1,625 | 22,360 | ||||||
| GATX Corp. |
10,419 | 863,214 | ||||||
| Genco Shipping & Trading Ltd. |
4,370 | 46,409 | ||||||
| Gencor Industries, Inc.(1) |
1,980 | 23,107 | ||||||
| General Finance Corp.(1) |
1,743 | 19,295 | ||||||
| Gibraltar Industries, Inc.(1) |
204,310 | 10,305,396 | ||||||
| GMS, Inc.(1) |
47,990 | 1,299,569 | ||||||
| Gorman-Rupp Co. |
4,081 | 153,038 | ||||||
| GP Strategies Corp.(1) |
3,745 | 49,546 | ||||||
| GrafTech International Ltd. |
2,020 | 23,472 | ||||||
| Graham Corp. |
2,566 | 56,144 | ||||||
| Granite Construction, Inc. |
11,819 | 327,032 | ||||||
| Great Lakes Dredge & Dock Corp.(1) |
2,286 | 25,900 | ||||||
| Greenbrier Cos, Inc. |
9,503 | 308,182 | ||||||
| Griffon Corp. |
10,791 | 219,381 | ||||||
| H&E Equipment Services, Inc. |
2,066 | 69,066 | ||||||
| Hawaiian Holdings, Inc. |
13,712 | 401,624 | ||||||
| HD Supply Holdings, Inc.(1) |
339,718 | 13,663,458 | ||||||
| Heartland Express, Inc. |
12,794 | 269,314 | ||||||
| Heidrick & Struggles International, Inc. |
4,927 | 160,128 | ||||||
| Herc Holdings, Inc.(1) |
6,698 | 327,800 | ||||||
| Heritage-Crystal Clean, Inc.(1) |
1,401 | 43,949 | ||||||
| Herman Miller, Inc. |
68,713 | 2,861,896 | ||||||
| Hertz Global Holdings, Inc.(1) |
30,297 | 477,178 | ||||||
| Hexcel Corp. |
151 | 11,070 | ||||||
| Hillenbrand, Inc. |
9,679 | 322,407 |
| HNI Corp. |
2,721 | 101,929 | ||||||
| Hub Group, Inc. – Class A(1) |
61,289 | 3,143,513 | ||||||
| Hubbell, Inc. – Class B |
106,247 | 15,705,432 | ||||||
| Huntington Ingalls Industries, Inc. |
70,852 | 17,775,350 | ||||||
| Hurco Cos, Inc. |
1,769 | 67,859 | ||||||
| Huron Consulting Group, Inc.(1) |
5,806 | 398,988 | ||||||
| Hyster-Yale Materials Handling, Inc. |
2,955 | 174,227 | ||||||
| IAA, Inc.(1) |
541,691 | 25,491,978 | ||||||
| ICF International, Inc. |
127,643 | 11,694,652 | ||||||
| IDEX Corp. |
1,285 | 221,020 | ||||||
| IES Holdings, Inc.(1) |
1,384 | 35,513 | ||||||
| IHS Markit Ltd.(1) |
4,998 | 376,599 | ||||||
| Ingersoll-Rand Plc |
43,565 | 5,790,660 | ||||||
| InnerWorkings, Inc.(1) |
13,166 | 72,545 | ||||||
| Insteel Industries, Inc. |
5,316 | 114,241 | ||||||
| Interface, Inc. – Class A |
1,643 | 27,257 | ||||||
| ITT, Inc. |
188,311 | 13,918,066 | ||||||
| Jacobs Engineering Group, Inc. |
4,485 | 402,888 | ||||||
| JB Hunt Transport Services, Inc. |
2,010 | 234,728 | ||||||
| JELD-WEN Holding, Inc.(1) |
2,173 | 50,870 | ||||||
| JetBlue Airways Corp.(1) |
253,527 | 4,746,025 | ||||||
| Kaman Corp. |
6,986 | 460,517 | ||||||
| Kansas City Southern |
133,519 | 20,449,770 | ||||||
| KAR Auction Services, Inc. |
748,852 | 16,317,485 | ||||||
| Kelly Services, Inc. – Class A |
9,791 | 221,081 | ||||||
| Kennametal, Inc. |
101,780 | 3,754,664 | ||||||
| Kimball International, Inc. – Class B |
1,347 | 27,842 | ||||||
| Kirby Corp.(1) |
72,563 | 6,496,565 | ||||||
| Knight-Swift Transportation Holdings, Inc. – Class A |
4,215 | 151,066 | ||||||
| Knoll, Inc. |
339,965 | 8,587,516 | ||||||
| L3Harris Technologies, Inc. |
100,165 | 19,819,649 | ||||||
| Landstar System, Inc. |
138 | 15,714 | ||||||
| LB Foster Co. – Class A(1) |
2,637 | 51,105 | ||||||
| Lennox International, Inc. |
111 | 27,081 | ||||||
| Lincoln Electric Holdings, Inc. |
124 | 11,995 | ||||||
| Lindsay Corp. |
2,081 | 199,755 | ||||||
| Luxfer Holdings Plc |
543 | 10,051 | ||||||
| Lydall, Inc.(1) |
5,064 | 103,913 | ||||||
| Lyft, Inc. – Class A(1) |
5,777 | 248,527 | ||||||
| Macquarie Infrastructure Corp. |
2,482 | 106,329 | ||||||
| Manitowoc Co., Inc.(1) |
10,204 | 178,570 | ||||||
| ManpowerGroup, Inc. |
116,511 | 11,313,218 | ||||||
| Marten Transport Ltd. |
11,462 | 246,318 | ||||||
| Masco Corp. |
151,978 | 7,293,424 | ||||||
| Masonite International Corp.(1) |
371 | 26,790 | ||||||
| Matson, Inc. |
12,661 | 516,569 | ||||||
| Matthews International Corp. – Class A |
9,101 | 347,385 | ||||||
| Maxar Technologies, Inc. |
17,488 | 274,037 | ||||||
| McGrath RentCorp |
2,283 | 174,741 | ||||||
| Meritor, Inc.(1) |
3,709 | 97,139 | ||||||
| Mesa Air Group, Inc.(1) |
3,240 | 28,966 | ||||||
| Miller Industries, Inc. |
3,063 | 113,729 | ||||||
| Mistras Group, Inc.(1) |
4,483 | 63,972 | ||||||
| Mobile Mini, Inc. |
8,799 | 333,570 | ||||||
| Moog, Inc. – Class A |
1,294 | 110,417 | ||||||
| MRC Global, Inc.(1) |
21,388 | 291,732 | ||||||
| MSC Industrial Direct Co., Inc. – Class A |
1,485 | 116,528 | ||||||
| Mueller Industries, Inc. |
7,357 | 233,585 | ||||||
| Mueller Water Products, Inc. – Class A |
308,341 | 3,693,925 | ||||||
| National Presto Industries, Inc. |
1,306 | 115,437 |
| Navistar International Corp.(1) |
14,683 | 424,926 | ||||||
| Nielsen Holdings Plc |
10,578 | 214,733 | ||||||
| NL Industries, Inc.(1) |
2,045 | 7,996 | ||||||
| NN, Inc. |
12,110 | 112,018 | ||||||
| Nordson Corp. |
183 | 29,800 | ||||||
| Northwest Pipe Co.(1) |
2,802 | 93,335 | ||||||
| NOW, Inc.(1) |
158,845 | 1,785,418 | ||||||
| nVent Electric Plc |
414,344 | 10,598,920 | ||||||
| Old Dominion Freight Line, Inc. |
1,275 | 241,970 | ||||||
| Oshkosh Corp. |
169,935 | 16,084,348 | ||||||
| Owens Corning |
263,322 | 17,147,529 | ||||||
| PACCAR, Inc. |
100,174 | 7,923,763 | ||||||
| PAM Transportation Services, Inc.(1) |
227 | 13,100 | ||||||
| Park Aerospace Corp. |
5,515 | 89,729 | ||||||
| Parker-Hannifin Corp. |
81,215 | 16,715,671 | ||||||
| Park-Ohio Holdings Corp. |
2,543 | 85,572 | ||||||
| Patrick Industries, Inc. |
2,220 | 116,395 | ||||||
| Pentair Plc |
5,689 | 260,954 | ||||||
| PGT Innovations, Inc.(1) |
8,564 | 127,689 | ||||||
| PICO Holdings, Inc.(1) |
4,448 | 49,462 | ||||||
| Pitney Bowes, Inc. |
144,361 | 581,775 | ||||||
| Powell Industries, Inc. |
2,636 | 129,138 | ||||||
| Preformed Line Products Co. |
911 | 54,979 | ||||||
| Primoris Services Corp. |
4,142 | 92,118 | ||||||
| Quad/Graphics, Inc. |
9,903 | 46,247 | ||||||
| Quanex Building Products Corp. |
9,687 | 165,454 | ||||||
| Quanta Services, Inc. |
46,363 | 1,887,438 | ||||||
| Regal Beloit Corp. |
77,883 | 6,667,564 | ||||||
| Republic Services, Inc. – Class A |
6,786 | 608,229 | ||||||
| Resideo Technologies, Inc.(1) |
4,104 | 48,961 | ||||||
| Resources Connection, Inc. |
6,260 | 102,226 | ||||||
| REV Group, Inc. |
6,757 | 82,638 | ||||||
| Rexnord Corp.(1) |
321,934 | 10,501,487 | ||||||
| Roadrunner Transportation Systems, Inc.(1) |
1,014 | 9,339 | ||||||
| Robert Half International, Inc. |
132,170 | 8,346,536 | ||||||
| RR Donnelley & Sons Co. |
20,520 | 81,054 | ||||||
| Rush Enterprises, Inc. – Class A |
7,979 | 371,024 | ||||||
| Rush Enterprises, Inc. – Class B |
1,494 | 68,276 | ||||||
| Ryder System, Inc. |
18,062 | 980,947 | ||||||
| Safe Bulkers, Inc.(1) |
14,417 | 24,509 | ||||||
| Saia, Inc.(1) |
3,124 | 290,907 | ||||||
| Schneider National, Inc. – Class B |
112,632 | 2,457,630 | ||||||
| Scorpio Bulkers, Inc. |
13,482 | 85,880 | ||||||
| Sensata Technologies Holding Plc(1) |
80,978 | 4,362,285 | ||||||
| SkyWest, Inc. |
14,635 | 945,860 | ||||||
| Snap-on, Inc. |
1,838 | 311,357 | ||||||
| Southwest Airlines Co. |
311,157 | 16,796,255 | ||||||
| SP Plus Corp.(1) |
6,770 | 287,251 | ||||||
| Spartan Motors, Inc. |
2,713 | 49,051 | ||||||
| Spirit AeroSystems Holdings, Inc. – Class A |
183,999 | 13,409,847 | ||||||
| Spirit Airlines, Inc.(1) |
4,400 | 177,364 | ||||||
| SPX Corp.(1) |
2,410 | 122,621 | ||||||
| SPX FLOW, Inc.(1) |
12,510 | 611,364 | ||||||
| Standex International Corp. |
86,180 | 6,838,383 | ||||||
| Stanley Black & Decker, Inc. |
5,154 | 854,224 | ||||||
| Steelcase, Inc. – Class A |
198,180 | 4,054,763 | ||||||
| Stericycle, Inc.(1) |
76,502 | 4,881,593 | ||||||
| Sterling Construction Co., Inc.(1) |
6,101 | 85,902 | ||||||
| Systemax, Inc. |
943 | 23,726 | ||||||
| Team, Inc.(1) |
9,009 | 143,874 |
| Teledyne Technologies, Inc.(1) |
1,217 | 421,739 | ||||||
| Terex Corp. |
4,761 | 141,783 | ||||||
| Textainer Group Holdings Ltd.(1) |
114,959 | 1,231,211 | ||||||
| Textron, Inc. |
202,896 | 9,049,162 | ||||||
| Thermon Group Holdings, Inc.(1) |
6,917 | 185,376 | ||||||
| Timken Co. |
300,168 | 16,902,460 | ||||||
| Titan International, Inc. |
14,544 | 52,649 | ||||||
| Titan Machinery, Inc.(1) |
5,505 | 81,364 | ||||||
| TransDigm Group, Inc. |
315 | 176,400 | ||||||
| TriMas Corp.(1) |
1,097,280 | 34,465,565 | ||||||
| Trinity Industries, Inc. |
61,261 | 1,356,931 | ||||||
| Triton International Ltd. |
16,159 | 649,592 | ||||||
| Triumph Group, Inc. |
11,037 | 278,905 | ||||||
| TrueBlue, Inc.(1) |
11,771 | 283,210 | ||||||
| Tutor Perini Corp.(1) |
11,817 | 151,967 | ||||||
| Twin Discount, Inc.(1) |
2,899 | 31,947 | ||||||
| UniFirst Corp. |
4,478 | 904,466 | ||||||
| United Continental Holdings, Inc.(1) |
146,639 | 12,917,430 | ||||||
| United Rentals, Inc.(1) |
25,835 | 4,308,503 | ||||||
| Univar, Inc.(1) |
124,131 | 3,008,935 | ||||||
| Universal Forest Products, Inc. |
2,040 | 97,308 | ||||||
| US Ecology, Inc. |
171,580 | 9,936,198 | ||||||
| US Xpress Enterprises, Inc. – Class A(1) |
6,333 | 31,855 | ||||||
| Valmont Industries, Inc. |
716 | 107,242 | ||||||
| Vectrus, Inc.(1) |
3,369 | 172,695 | ||||||
| Veritiv Corp.(1) |
3,880 | 76,320 | ||||||
| VSE Corp. |
2,386 | 90,763 | ||||||
| Wabash National Corp. |
82,916 | 1,218,036 | ||||||
| WABCO Holdings, Inc.(1) |
64,251 | 8,706,011 | ||||||
| Wabtec Corp. |
4,398 | 342,164 | ||||||
| Watsco, Inc. |
1,103 | 198,705 | ||||||
| Watts Water Technologies, Inc. – Class A |
3,553 | 354,447 | ||||||
| Werner Enterprises, Inc. |
13,426 | 488,572 | ||||||
| Wesco Aircraft Holdings, Inc.(1) |
11,362 | 125,209 | ||||||
| WESCO International, Inc.(1) |
170,555 | 10,129,261 | ||||||
| Willis Lease Finance Corp.(1) |
888 | 52,312 | ||||||
| WillScot Corp. – Class A(1) |
829,734 | 15,341,782 | ||||||
| Woodward, Inc. |
340 | 40,270 | ||||||
| XPO Logistics, Inc.(1) |
1,307 | 104,168 | ||||||
| YRC Worldwide, Inc.(1) |
9,673 | 24,666 | ||||||
|
|
|
|||||||
| Total Industrials |
|
898,672,213 | ||||||
|
|
|
|||||||
| Information Technology – 12.11% |
||||||||
| 2U, Inc.(1) |
1,181 | 28,332 | ||||||
| 3D Systems Corp.(1) |
34,302 | 300,143 | ||||||
| 8x8, Inc.(1) |
25,545 | 467,473 | ||||||
| ACI Worldwide, Inc.(1) |
349,440 | 13,238,534 | ||||||
| Adesto Technologies Corp.(1) |
999 | 8,491 | ||||||
| ADTRAN, Inc. |
14,098 | 139,429 | ||||||
| Akamai Technologies, Inc.(1) |
458 | 39,562 | ||||||
| Alliance Data Systems Corp. |
97,275 | 10,914,255 | ||||||
| Alpha & Omega Semiconductor Ltd.(1) |
5,808 | 79,105 | ||||||
| Ambarella, Inc.(1) |
5,589 | 338,470 | ||||||
| Amdocs Ltd. |
104,070 | 7,512,813 | ||||||
| American Software, Inc. – Class A |
3,662 | 54,491 | ||||||
| Amkor Technology, Inc.(1) |
29,145 | 378,885 | ||||||
| Analog Devices, Inc. |
91,675 | 10,894,657 | ||||||
| Anixter International, Inc.(1) |
9,065 | 834,886 | ||||||
| Applied Optoelectronics, Inc.(1) |
5,505 | 65,399 | ||||||
| Arlo Technologies, Inc.(1) |
22,760 | 95,820 | ||||||
| Arrow Electronics, Inc.(1) |
130,094 | 11,024,166 | ||||||
| Avaya Holdings Corp.(1) |
32,848 | 443,448 | ||||||
| Avnet, Inc. |
363,634 | 15,432,627 | ||||||
| AVX Corp. |
13,972 | 286,007 | ||||||
| Axcelis Technologies, Inc.(1) |
9,545 | 229,987 | ||||||
| AXT, Inc.(1) |
11,040 | 48,024 | ||||||
| Bel Fuse, Inc. – Class B |
2,848 | 58,384 | ||||||
| Belden, Inc. |
11,607 | 638,385 | ||||||
| Benchmark Electronics, Inc. |
11,100 | 381,396 | ||||||
| Booz Allen Hamilton Holding Corp. – Class A |
170,875 | 12,154,339 | ||||||
| Brooks Automation, Inc. |
408,116 | 17,124,547 | ||||||
| CACI International, Inc. – Class A(1) |
112,411 | 28,101,626 | ||||||
| CalAmp Corp.(1) |
10,493 | 100,523 | ||||||
| Calix, Inc.(1) |
6,356 | 50,848 | ||||||
| Cambium Networks Corp.(1) |
797 | 6,966 | ||||||
| Cardtronics Plc – Class A(1) |
2,196 | 98,051 | ||||||
| Casa Systems, Inc.(1) |
801 | 3,276 | ||||||
| CDK Global, Inc. |
177,381 | 9,699,193 | ||||||
| CDW Corp. |
35,000 | 4,999,400 | ||||||
| Cerence, Inc.(1) |
1,198 | 27,111 | ||||||
| Ceridian HCM Holding, Inc.(1) |
589 | 39,981 | ||||||
| CEVA, Inc.(1) |
446 | 12,024 | ||||||
| Check Point Software Technologies Ltd.(1) |
157,216 | 17,444,687 | ||||||
| Ciena Corp.(1) |
5,264 | 224,720 | ||||||
| Cirrus Logic, Inc.(1) |
71,815 | 5,918,274 | ||||||
| Citrix Systems, Inc. |
469 | 52,012 | ||||||
| Cloudera, Inc.(1) |
66,954 | 778,675 | ||||||
| Coherent, Inc.(1) |
816 | 135,742 | ||||||
| Cohu, Inc. |
11,868 | 271,184 | ||||||
| CommScope Holding Co., Inc.(1) |
6,422 | 91,128 | ||||||
| Comtech Telecommunications Corp. |
7,148 | 253,683 | ||||||
| Conduent, Inc.(1) |
51,744 | 320,813 | ||||||
| CoreLogic, Inc.(1) |
2,598 | 113,559 | ||||||
| Corning, Inc. |
148,725 | 4,329,385 | ||||||
| Cree, Inc.(1) |
3,421 | 157,879 | ||||||
| CTS Corp. |
9,756 | 292,778 | ||||||
| Cypress Semiconductor Corp. |
12,526 | 292,232 | ||||||
| Daktronics, Inc. |
10,628 | 64,725 | ||||||
| DASAN Zhone Solutions, Inc.(1) |
220 | 1,949 | ||||||
| Diebold Nixdorf, Inc.(1) |
10,927 | 115,389 | ||||||
| Digi International, Inc.(1) |
8,171 | 144,790 | ||||||
| Digimarc Corp.(1) |
181 | 6,074 | ||||||
| Diodes, Inc.(1) |
71,822 | 4,048,606 | ||||||
| Dolby Laboratories, Inc. – Class A |
1,847 | 127,074 | ||||||
| DSP Group, Inc.(1) |
3,910 | 61,543 | ||||||
| DXC Technology Co. |
76,910 | 2,891,047 | ||||||
| Dynatrace, Inc.(1) |
465 | 11,764 | ||||||
| EchoStar Corp. – Class A(1) |
1,704 | 73,800 | ||||||
| Entegris, Inc. |
256,550 | 12,850,589 | ||||||
| ePlus, Inc.(1) |
469 | 39,532 | ||||||
| EVERTEC, Inc. |
63,389 | 2,157,762 | ||||||
| Exela Technologies, Inc.(1) |
2,530 | 1,031 | ||||||
| F5 Networks, Inc.(1) |
20,944 | 2,924,830 | ||||||
| Fabrinet(1) |
909 | 58,940 | ||||||
| FARO Technologies, Inc.(1) |
244 | 12,285 | ||||||
| Fidelity National Information Services, Inc. |
321,514 | 44,719,382 | ||||||
| First Solar, Inc.(1) |
2,800 | 156,688 | ||||||
| Fiserv, Inc.(1) |
228,000 | 26,363,640 | ||||||
| Fitbit, Inc. – Class A(1) |
53,012 | 348,289 | ||||||
| Flex Ltd.(1) |
498,178 | 6,287,006 | ||||||
| FLIR Systems, Inc. |
4,202 | 218,798 |
| FormFactor, Inc.(1) |
21,001 | 545,396 | ||||||
| Global Payments, Inc. |
172,456 | 31,483,567 | ||||||
| GSI Technology, Inc.(1) |
4,612 | 32,699 | ||||||
| GTY Technology Holdings, Inc.(1) |
11,573 | 68,165 | ||||||
| Hackett Group, Inc. |
586 | 9,458 | ||||||
| Harmonic, Inc.(1) |
26,185 | 204,243 | ||||||
| Hewlett Packard Enterprise Co. |
883,782 | 14,016,783 | ||||||
| HP, Inc. |
178,000 | 3,657,900 | ||||||
| Ichor Holdings Ltd.(1) |
5,201 | 173,037 | ||||||
| Ideanomics, Inc.(1) |
1,645 | 1,408 | ||||||
| II-VI, Inc.(1) |
9,609 | 323,535 | ||||||
| Immersion Corp.(1) |
9,352 | 69,485 | ||||||
| Infinera Corp.(1) |
53,039 | 421,130 | ||||||
| Information Services Group, Inc.(1) |
12,187 | 30,833 | ||||||
| Inseego Corp.(1) |
13,395 | 98,185 | ||||||
| Insight Enterprises, Inc.(1) |
6,600 | 463,914 | ||||||
| IPG Photonics Corp.(1) |
1,127 | 163,325 | ||||||
| Jabil, Inc. |
125,874 | 5,202,372 | ||||||
| Jack Henry & Associates, Inc. |
307 | 44,721 | ||||||
| Juniper Networks, Inc. |
259,129 | 6,382,347 | ||||||
| KBR, Inc. |
167,739 | 5,116,039 | ||||||
| KEMET Corp. |
128,252 | 3,469,217 | ||||||
| Keysight Technologies, Inc.(1) |
134,425 | 13,796,038 | ||||||
| Kimball Electronics, Inc.(1) |
7,019 | 123,183 | ||||||
| KLA-Tencor Corp. |
73,763 | 13,142,354 | ||||||
| Knowles Corp.(1) |
24,366 | 515,341 | ||||||
| KVH Industries, Inc.(1) |
4,584 | 51,020 | ||||||
| Lam Research Corp. |
33,201 | 9,707,972 | ||||||
| Leidos Holdings, Inc. |
137,984 | 13,507,254 | ||||||
| Limelight Networks, Inc.(1) |
20,339 | 82,983 | ||||||
| Littelfuse, Inc. |
6,660 | 1,274,058 | ||||||
| LiveRamp Holdings, Inc.(1) |
19,827 | 953,084 | ||||||
| LogMeIn, Inc. |
1,611 | 138,127 | ||||||
| Lumentum Holdings, Inc.(1) |
22,948 | 1,819,776 | ||||||
| MACOM Technology Solutions Holdings, Inc.(1) |
13,593 | 361,574 | ||||||
| ManTech International Corp. – Class A |
18,193 | 1,453,257 | ||||||
| Marvell Technology Group Ltd. |
230,737 | 6,128,375 | ||||||
| Maxim Integrated Products, Inc. |
5,754 | 353,929 | ||||||
| MAXIMUS, Inc. |
186,200 | 13,851,418 | ||||||
| Medallia, Inc.(1) |
122 | 3,795 | ||||||
| Methode Electronics, Inc. |
381,973 | 15,030,638 | ||||||
| Microchip Technology, Inc. |
5,687 | 595,543 | ||||||
| MKS Instruments, Inc. |
65,696 | 7,227,217 | ||||||
| Motorola Solutions, Inc. |
1,521 | 245,094 | ||||||
| MTS Systems Corp. |
3,498 | 168,009 | ||||||
| National Instruments Corp. |
4,175 | 176,769 | ||||||
| NCR Corp.(1) |
49,975 | 1,757,121 | ||||||
| NeoPhotonics Corp.(1) |
11,415 | 100,680 | ||||||
| NetApp, Inc. |
37,400 | 2,328,150 | ||||||
| NETGEAR, Inc.(1) |
8,865 | 217,281 | ||||||
| NetScout Systems, Inc.(1) |
21,484 | 517,120 | ||||||
| nLight, Inc.(1) |
70,602 | 1,431,809 | ||||||
| NortonLifeLock, Inc. |
19,696 | 502,642 | ||||||
| Nuance Communications, Inc.(1) |
9,719 | 173,290 | ||||||
| NVE Corp. |
59 | 4,213 | ||||||
| NXP Semiconductors NV |
104,799 | 13,336,721 | ||||||
| ON Semiconductor Corp.(1) |
171,340 | 4,177,269 | ||||||
| OneSpan, Inc.(1) |
2,638 | 45,163 | ||||||
| Onto Innovation, Inc.(1) |
10,935 | 399,565 | ||||||
| PC Connection, Inc. |
3,321 | 164,921 |
| PDF Solutions, Inc.(1) |
7,965 | 134,529 | ||||||
| Perspecta, Inc. |
38,677 | 1,022,620 | ||||||
| Photronics, Inc.(1) |
18,912 | 298,053 | ||||||
| Ping Identity Holding Corp.(1) |
859 | 20,874 | ||||||
| Plexus Corp.(1) |
180,087 | 13,855,894 | ||||||
| QAD, Inc. – Class A |
1,676 | 85,359 | ||||||
| Qorvo, Inc.(1) |
138,082 | 16,049,271 | ||||||
| Rambus, Inc.(1) |
32,548 | 448,349 | ||||||
| Ribbon Communications, Inc.(1) |
17,062 | 52,892 | ||||||
| RingCentral, Inc. – Class A(1) |
33,000 | 5,566,110 | ||||||
| Rogers Corp.(1) |
48,678 | 6,071,607 | ||||||
| Rosetta Stone, Inc.(1) |
5,017 | 91,008 | ||||||
| Sabre Corp. |
7,711 | 173,035 | ||||||
| Sanmina Corp.(1) |
70,991 | 2,430,732 | ||||||
| ScanSource, Inc.(1) |
7,609 | 281,153 | ||||||
| Science Applications International Corp. |
106,520 | 9,269,370 | ||||||
| Seagate Technology Plc |
55,900 | 3,326,050 | ||||||
| SecureWorks Corp. – Class A(1) |
2,277 | 37,935 | ||||||
| Semtech Corp.(1) |
131,863 | 6,975,553 | ||||||
| Skyworks Solutions, Inc. |
9,299 | 1,124,063 | ||||||
| SMART Global Holdings, Inc.(1) |
4,054 | 153,809 | ||||||
| SolarWinds Corp.(1) |
1,078,788 | 20,011,517 | ||||||
| SS&C Technologies Holdings, Inc. |
716 | 43,962 | ||||||
| StarTek, Inc.(1) |
4,521 | 36,078 | ||||||
| Stratasys Ltd.(1) |
15,221 | 307,845 | ||||||
| SunPower Corp. – Class A(1) |
18,742 | 146,188 | ||||||
| Sykes Enterprises, Inc.(1) |
11,298 | 417,913 | ||||||
| Synaptics, Inc.(1) |
9,959 | 655,003 | ||||||
| Synchronoss Technologies, Inc.(1) |
10,942 | 51,974 | ||||||
| SYNNEX Corp. |
138,339 | 17,818,063 | ||||||
| TE Connectivity Ltd. |
243,710 | 23,357,166 | ||||||
| Tech Data Corp.(1) |
48,445 | 6,956,702 | ||||||
| Telenav, Inc.(1) |
4,500 | 21,870 | ||||||
| TESSCO Technologies, Inc. |
2,261 | 25,368 | ||||||
| TiVo Corp. |
37,153 | 315,057 | ||||||
| Trimble, Inc.(1) |
7,088 | 295,499 | ||||||
| TTM Technologies, Inc.(1) |
157,044 | 2,363,512 | ||||||
| Ultra Clean Holdings, Inc.(1) |
11,833 | 277,721 | ||||||
| Unisys Corp.(1) |
4,671 | 55,398 | ||||||
| Veeco Instruments, Inc.(1) |
14,119 | 207,338 | ||||||
| Verint Systems, Inc.(1) |
58,751 | 3,252,455 | ||||||
| VeriSign, Inc.(1) |
1,115 | 214,838 | ||||||
| Verra Mobility Corp. – Class A(1) |
469,950 | 6,574,601 | ||||||
| ViaSat, Inc.(1) |
1,910 | 139,802 | ||||||
| Vishay Intertechnology, Inc. |
113,853 | 2,423,930 | ||||||
| Vishay Precision Group, Inc.(1) |
775 | 26,350 | ||||||
| Western Digital Corp. |
80,763 | 5,126,028 | ||||||
| Western Union Co. |
195,971 | 5,248,103 | ||||||
| Xerox Corp. |
202,844 | 7,478,858 | ||||||
| Xperi Corp. |
11,496 | 212,676 | ||||||
|
|
|
|||||||
| Total Information Technology |
|
650,083,931 | ||||||
|
|
|
|||||||
| Materials – 5.41% |
||||||||
| Advanced Emissions Solutions, Inc. |
684 | 7,182 | ||||||
| AdvanSix, Inc.(1) |
8,223 | 164,131 | ||||||
| AK Steel Holding Corp.(1) |
53,702 | 176,680 | ||||||
| Albemarle Corp. |
3,580 | 261,483 | ||||||
| Alcoa Corp.(1) |
6,393 | 137,513 | ||||||
| Allegheny Technologies, Inc.(1) |
37,284 | 770,288 | ||||||
| American Vanguard Corp. |
8,498 | 165,456 | ||||||
| Amyris, Inc.(1) |
15,638 | 48,321 | ||||||
| AptarGroup, Inc. |
75,579 | 8,738,444 | ||||||
| Ardagh Group SA – Class A |
644 | 12,610 | ||||||
| Ashland Global Holdings, Inc. |
49,034 | 3,752,572 | ||||||
| Avery Dennison Corp. |
112,970 | 14,778,735 | ||||||
| Axalta Coating Systems Ltd.(1) |
196,734 | 5,980,714 | ||||||
| Berry Global Group, Inc.(1) |
68,092 | 3,233,689 | ||||||
| Boise Cascade Co. |
8,749 | 319,601 | ||||||
| Cabot Corp. |
63,948 | 3,038,809 | ||||||
| Carpenter Technology Corp. |
13,955 | 694,680 | ||||||
| Celanese Corp. – Class A |
59,399 | 7,313,205 | ||||||
| Century Aluminum Co.(1) |
14,554 | 109,373 | ||||||
| CF Industries Holdings, Inc. |
6,682 | 318,999 | ||||||
| Chemours Co. |
106,977 | 1,935,214 | ||||||
| Clearwater Paper Corp.(1) |
4,754 | 101,546 | ||||||
| Cleveland-Cliffs, Inc. |
281,808 | 2,367,187 | ||||||
| Coeur Mining, Inc.(1) |
70,771 | 571,830 | ||||||
| Commercial Metals Co. |
34,985 | 779,116 | ||||||
| Compass Minerals International, Inc. |
29,509 | 1,798,869 | ||||||
| Constellium SE – Class A(1) |
814,100 | 10,908,940 | ||||||
| Corteva, Inc. |
514,485 | 15,208,177 | ||||||
| Crown Holdings, Inc.(1) |
202,199 | 14,667,516 | ||||||
| Domtar Corp. |
45,443 | 1,737,740 | ||||||
| Eagle Materials, Inc. |
67,760 | 6,143,122 | ||||||
| Eastman Chemical Co. |
74,550 | 5,908,833 | ||||||
| Element Solutions, Inc.(1) |
1,614,526 | 18,857,664 | ||||||
| Ferro Corp.(1) |
173,071 | 2,566,643 | ||||||
| Ferroglobe Plc(1) |
154,087 | 144,842 | ||||||
| Flotek Industries, Inc.(1) |
16,622 | 33,244 | ||||||
| FMC Corp. |
328,548 | 32,795,661 | ||||||
| Freeport-McMoRan, Inc. |
49,292 | 646,711 | ||||||
| FutureFuel Corp. |
7,395 | 91,624 | ||||||
| Gold Resource Corp. |
17,782 | 98,512 | ||||||
| Graphic Packaging Holding Co. |
586,361 | 9,762,911 | ||||||
| Greif, Inc. – Class A |
23,178 | 1,024,468 | ||||||
| Greif, Inc. – Class B |
1,920 | 99,398 | ||||||
| Hawkins, Inc. |
2,780 | 127,352 | ||||||
| Haynes International, Inc. |
3,651 | 130,633 | ||||||
| HB Fuller Co. |
232,704 | 12,000,545 | ||||||
| Hecla Mining Co. |
146,115 | 495,330 | ||||||
| Huntsman Corp. |
160,965 | 3,888,914 | ||||||
| Innophos Holdings, Inc. |
5,879 | 188,010 | ||||||
| Innospec, Inc. |
1,024 | 105,923 | ||||||
| International Flavors & Fragrances, Inc. |
3,631 | 468,472 | ||||||
| International Paper Co. |
92,963 | 4,280,946 | ||||||
| Intrepid Potash, Inc.(1) |
27,639 | 74,902 | ||||||
| Kaiser Aluminum Corp. |
2,273 | 252,053 | ||||||
| Koppers Holdings, Inc.(1) |
1,638 | 62,604 | ||||||
| Kraton Corp.(1) |
6,559 | 166,074 | ||||||
| Kronos Worldwide, Inc. |
207,587 | 2,781,666 | ||||||
| Livent Corp.(1) |
43,895 | 375,302 | ||||||
| Louisiana-Pacific Corp. |
30,237 | 897,132 | ||||||
| LSB Industries, Inc.(1) |
6,561 | 27,556 | ||||||
| LyondellBasell Industries NV – Class A |
159,475 | 15,067,198 | ||||||
| Martin Marietta Materials, Inc. |
1,472 | 411,630 | ||||||
| Materion Corp. |
3,561 | 211,702 | ||||||
| Minerals Technologies, Inc. |
117,760 | 6,786,509 | ||||||
| Mosaic Co. |
241,935 | 5,235,473 | ||||||
| Neenah, Inc. |
841 | 59,232 | ||||||
| NewMarket Corp. |
20 | 9,730 | ||||||
| Newmont Goldcorp Corp. |
27,827 | 1,209,083 |
| Novagold Resources, Inc.(1) |
20,518 | 183,841 | ||||||
| Nucor Corp. |
10,369 | 583,567 | ||||||
| Nutrien Ltd. |
198,930 | 9,530,736 | ||||||
| O-I Glass, Inc. |
156,319 | 1,864,886 | ||||||
| Olin Corp. |
5,541 | 95,582 | ||||||
| Olympic Steel, Inc. |
2,621 | 46,968 | ||||||
| Orion Engineered Carbons SA |
5,787 | 111,689 | ||||||
| Packaging Corp. of America |
33,582 | 3,760,848 | ||||||
| PH Glatfelter Co. |
370,898 | 6,787,433 | ||||||
| PolyOne Corp. |
1,299 | 47,790 | ||||||
| PQ Group Holdings, Inc.(1) |
11,784 | 202,449 | ||||||
| Ramaco Resources, Inc.(1) |
2,280 | 8,162 | ||||||
| Rayonier Advanced Materials, Inc. |
14,644 | 56,233 | ||||||
| Reliance Steel & Aluminum Co. |
46,286 | 5,543,211 | ||||||
| Royal Gold, Inc. |
1,510 | 184,598 | ||||||
| RPM International, Inc. |
30,695 | 2,356,148 | ||||||
| Ryerson Holding Corp.(1) |
353 | 4,176 | ||||||
| Schnitzer Steel Industries, Inc. – Class A |
7,609 | 164,963 | ||||||
| Schweitzer-Mauduit International, Inc. |
37,394 | 1,570,174 | ||||||
| Sealed Air Corp. |
4,898 | 195,087 | ||||||
| Sensient Technologies Corp. |
33,137 | 2,190,024 | ||||||
| Silgan Holdings, Inc. |
112,947 | 3,510,393 | ||||||
| Sonoco Products Co. |
3,363 | 207,564 | ||||||
| Steel Dynamics, Inc. |
290,529 | 9,889,607 | ||||||
| Stepan Co. |
5,442 | 557,479 | ||||||
| Summit Materials, Inc. – Class A(1) |
27,182 | 649,650 | ||||||
| SunCoke Energy, Inc. |
22,575 | 140,642 | ||||||
| Synalloy Corp.(1) |
2,311 | 29,835 | ||||||
| TimkenSteel Corp.(1) |
12,066 | 94,839 | ||||||
| Trecora Resources(1) |
6,156 | 44,015 | ||||||
| Tredegar Corp. |
7,895 | 176,453 | ||||||
| Trinseo SA |
51,204 | 1,905,301 | ||||||
| Tronox Holdings Plc – Class A |
14,515 | 165,761 | ||||||
| UFP Technologies, Inc.(1) |
1,872 | 92,870 | ||||||
| United States Lime & Minerals, Inc. |
534 | 48,220 | ||||||
| United States Steel Corp. |
5,778 | 65,927 | ||||||
| Valhi, Inc. |
7,407 | 13,851 | ||||||
| Valvoline, Inc. |
6,356 | 136,082 | ||||||
| Verso Corp. – Class A(1) |
9,655 | 174,080 | ||||||
| Vulcan Materials Co. |
365 | 52,556 | ||||||
| Warrior Met Coal, Inc. |
15,510 | 327,726 | ||||||
| Westlake Chemical Corp. |
1,203 | 84,391 | ||||||
| Westrock Co. |
8,655 | 371,386 | ||||||
| Worthington Industries, Inc. |
8,882 | 374,643 | ||||||
| WR Grace & Co. |
31,773 | 2,219,344 | ||||||
|
|
|
|||||||
| Total Materials |
|
290,407,404 | ||||||
|
|
|
|||||||
| Real Estate – 7.74% |
||||||||
| Acadia Realty Trust |
25,356 | 657,481 | ||||||
| Agree Realty Corp. |
12,233 | 858,390 | ||||||
| Alexander & Baldwin, Inc. |
20,393 | 427,437 | ||||||
| Alexandria Real Estate Equities, Inc. |
3,892 | 628,869 | ||||||
| Altisource Portfolio Solutions SA(1) |
1,680 | 32,474 | ||||||
| American Campus Communities, Inc. |
97,988 | 4,608,376 | ||||||
| American Finance Trust, Inc. |
29,561 | 391,979 | ||||||
| American Homes 4 Rent – Class A |
320,992 | 8,413,200 | ||||||
| American Realty Investors, Inc.(1) |
828 | 14,184 | ||||||
| Apartment Investment & Management Co. – Class A |
5,022 | 259,386 | ||||||
| Apple Hospitality REIT, Inc. |
7,164 | 116,415 | ||||||
| Armada Hoffler Properties, Inc. |
11,026 | 202,327 | ||||||
| Ashford Hospitality Trust, Inc. |
26,313 | 73,413 | ||||||
| AvalonBay Communities, Inc. |
4,737 | 993,349 | ||||||
| Boston Properties, Inc. |
163,683 | 22,565,338 | ||||||
| Braemar Hotels & Resorts, Inc. |
8,770 | 78,316 | ||||||
| Brandywine Realty Trust |
5,895 | 92,846 | ||||||
| Brixmor Property Group, Inc. |
262,595 | 5,674,678 | ||||||
| BRT Apartments Corp. |
2,794 | 47,414 | ||||||
| Camden Property Trust |
3,173 | 336,655 | ||||||
| CareTrust REIT, Inc. |
7,236 | 149,279 | ||||||
| CatchMark Timber Trust, Inc. – Class A |
14,527 | 166,625 | ||||||
| CBL & Associates Properties, Inc. |
141,933 | 149,030 | ||||||
| CBRE Group, Inc. – Class A(1) |
7,184 | 440,307 | ||||||
| Cedar Realty Trust, Inc. |
27,316 | 80,582 | ||||||
| Chatham Lodging Trust |
119,035 | 2,183,102 | ||||||
| CIM Commercial Trust Corp. |
409 | 5,931 | ||||||
| City Office REIT, Inc. |
115,226 | 1,557,856 | ||||||
| Colony Capital, Inc. |
15,256 | 72,466 | ||||||
| Columbia Property Trust, Inc. |
3,967 | 82,950 | ||||||
| Community Healthcare Trust, Inc. |
2,240 | 96,006 | ||||||
| Consolidated-Tomoka Land Co. |
1,460 | 88,067 | ||||||
| CoreCivic, Inc. |
35,438 | 615,912 | ||||||
| CorEnergy Infrastructure Trust, Inc. |
3,888 | 173,833 | ||||||
| CorePoint Lodging, Inc. |
11,910 | 127,199 | ||||||
| CoreSite Realty Corp. |
285 | 31,954 | ||||||
| Corporate Office Properties Trust |
87,923 | 2,583,178 | ||||||
| Cousins Properties, Inc. |
4,949 | 203,899 | ||||||
| CubeSmart |
161,689 | 5,089,970 | ||||||
| Cushman & Wakefield Plc(1) |
1,974 | 40,349 | ||||||
| CyrusOne, Inc. |
283,654 | 18,559,481 | ||||||
| DiamondRock Hospitality Co. |
450,324 | 4,989,590 | ||||||
| Digital Realty Trust, Inc. |
7,069 | 846,442 | ||||||
| Douglas Emmett, Inc. |
294,340 | 12,921,526 | ||||||
| Duke Realty Corp. |
290,259 | 10,063,280 | ||||||
| Easterly Government Properties, Inc. |
17,218 | 408,583 | ||||||
| EastGroup Properties, Inc. |
58,390 | 7,746,601 | ||||||
| Empire State Realty Trust, Inc. – Class A |
5,025 | 70,149 | ||||||
| EPR Properties |
2,616 | 184,794 | ||||||
| Equity Commonwealth |
337,473 | 11,079,239 | ||||||
| Equity Residential |
244,724 | 19,803,066 | ||||||
| Essential Properties Realty Trust, Inc. |
21,325 | 529,073 | ||||||
| Essex Property Trust, Inc. |
2,235 | 672,422 | ||||||
| Extra Space Storage, Inc. |
791 | 83,545 | ||||||
| Farmland Partners, Inc. |
7,699 | 52,199 | ||||||
| Federal Realty Investment Trust |
2,533 | 326,073 | ||||||
| First Industrial Realty Trust, Inc. |
29,859 | 1,239,447 | ||||||
| Forestar Group, Inc.(1) |
3,622 | 75,519 | ||||||
| Franklin Street Properties Corp. |
193,136 | 1,653,244 | ||||||
| Front Yard Residential Corp. |
14,557 | 179,633 | ||||||
| FRP Holdings, Inc.(1) |
2,040 | 101,612 | ||||||
| Gaming & Leisure Properties, Inc. |
93,878 | 4,041,448 | ||||||
| Getty Realty Corp. |
9,798 | 322,060 | ||||||
| Gladstone Commercial Corp. |
6,777 | 148,145 | ||||||
| Gladstone Land Corp. |
5,137 | 66,627 | ||||||
| Global Medical REIT, Inc. |
9,312 | 123,198 | ||||||
| Global Net Lease, Inc. |
26,685 | 541,172 | ||||||
| Griffin Industrial Realty, Inc. |
211 | 8,345 | ||||||
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
17,547 | 564,662 | ||||||
| Healthcare Realty Trust, Inc. |
38,989 | 1,301,063 | ||||||
| Healthcare Trust of America, Inc. – Class A |
6,916 | 209,417 | ||||||
| Healthpeak Properties, Inc. |
16,728 | 576,614 | ||||||
| Hersha Hospitality Trust – Class A |
10,400 | 151,320 |
| Highwoods Properties, Inc. |
3,471 | 169,767 | ||||||
| Host Hotels & Resorts, Inc. |
252,083 | 4,676,140 | ||||||
| Hudson Pacific Properties, Inc. |
5,162 | 194,349 | ||||||
| Independence Realty Trust, Inc. |
27,025 | 380,512 | ||||||
| Industrial Logistics Properties Trust |
254,638 | 5,708,984 | ||||||
| Investors Real Estate Trust |
3,476 | 252,010 | ||||||
| Invitation Homes, Inc. |
18,180 | 544,855 | ||||||
| Iron Mountain, Inc. |
8,604 | 274,210 | ||||||
| iStar, Inc. |
5,061 | 73,435 | ||||||
| JBG SMITH Properties |
4,153 | 165,663 | ||||||
| Jernigan Capital, Inc. |
6,270 | 120,008 | ||||||
| Jones Lang LaSalle, Inc. |
12,919 | 2,249,069 | ||||||
| Kennedy-Wilson Holdings, Inc. |
17,851 | 398,077 | ||||||
| Kilroy Realty Corp. |
127,972 | 10,736,851 | ||||||
| Kimco Realty Corp. |
13,723 | 284,203 | ||||||
| Kite Realty Group Trust |
24,462 | 477,743 | ||||||
| Lexington Realty Trust |
449,913 | 4,778,076 | ||||||
| Liberty Property Trust |
5,294 | 317,905 | ||||||
| Life Storage, Inc. |
21,606 | 2,339,498 | ||||||
| LTC Properties, Inc. |
5,963 | 266,964 | ||||||
| Macerich Co. |
4,758 | 128,085 | ||||||
| Mack-Cali Realty Corp. |
25,624 | 592,683 | ||||||
| Marcus & Millichap, Inc.(1) |
891 | 33,190 | ||||||
| Maui Land & Pineapple Co., Inc.(1) |
1,337 | 15,041 | ||||||
| Medical Properties Trust, Inc. |
95,749 | 2,021,261 | ||||||
| Mid-America Apartment Communities, Inc. |
22,984 | 3,030,670 | ||||||
| Monmouth Real Estate Investment Corp. |
23,646 | 342,394 | ||||||
| National Health Investors, Inc. |
6,982 | 568,893 | ||||||
| National Retail Properties, Inc. |
5,815 | 311,800 | ||||||
| New Senior Investment Group, Inc. |
14,389 | 110,076 | ||||||
| Newmark Group, Inc. – Class A |
4,386 | 59,014 | ||||||
| Office Properties Income Trust |
148,158 | 4,761,798 | ||||||
| Omega Healthcare Investors, Inc. |
167,308 | 7,085,494 | ||||||
| One Liberty Properties, Inc. |
4,781 | 129,995 | ||||||
| Outfront Media, Inc. |
227,002 | 6,088,194 | ||||||
| Paramount Group, Inc. |
6,887 | 95,867 | ||||||
| Park Hotels & Resorts, Inc. |
8,107 | 209,728 | ||||||
| Pebblebrook Hotel Trust |
450,074 | 12,066,484 | ||||||
| Pennsylvania Real Estate Investment Trust |
10,233 | 54,542 | ||||||
| Physicians Realty Trust |
644,746 | 12,211,489 | ||||||
| Piedmont Office Realty Trust, Inc. – Class A |
182,316 | 4,054,708 | ||||||
| PotlatchDeltic Corp. |
451,081 | 19,518,275 | ||||||
| Preferred Apartment Communities, Inc. – Class A |
13,565 | 180,686 | ||||||
| Prologis, Inc. |
107,910 | 9,619,097 | ||||||
| QTS Realty Trust, Inc. – Class A |
294,380 | 15,976,003 | ||||||
| Rafael Holdings, Inc. – Class B(1) |
3,013 | 53,752 | ||||||
| Rayonier, Inc. |
4,369 | 143,128 | ||||||
| Re/Max Holdings, Inc. – Class A |
5,294 | 203,766 | ||||||
| Realogy Holdings Corp. |
33,707 | 326,284 | ||||||
| Realty Income Corp. |
11,114 | 818,324 | ||||||
| Regency Centers Corp. |
220,242 | 13,895,068 | ||||||
| Retail Opportunity Investments Corp. |
33,390 | 589,667 | ||||||
| Retail Properties of America, Inc. – Class A |
390,521 | 5,232,981 | ||||||
| Retail Value, Inc. |
17,220 | 633,696 | ||||||
| Rexford Industrial Realty, Inc. |
32,869 | 1,501,127 | ||||||
| RLJ Lodging Trust |
50,482 | 894,541 | ||||||
| RPT Realty |
23,619 | 355,230 | ||||||
| Sabra Health Care REIT, Inc. |
184,786 | 3,943,333 | ||||||
| Safehold, Inc. |
2,953 | 119,006 | ||||||
| Saul Centers, Inc. |
388 | 20,479 |
| Senior Housing Properties Trust |
298,683 | 2,520,885 | ||||||
| Seritage Growth Properties |
9,057 | 363,005 | ||||||
| Service Properties Trust |
122,108 | 2,970,888 | ||||||
| SITE Centers Corp. |
131,125 | 1,838,373 | ||||||
| SL Green Realty Corp. |
2,730 | 250,832 | ||||||
| Spirit Realty Capital, Inc. |
34,750 | 1,709,005 | ||||||
| St Joe Co.(1) |
10,110 | 200,481 | ||||||
| STAG Industrial, Inc. |
90,176 | 2,846,856 | ||||||
| STORE Capital Corp. |
545,642 | 20,319,708 | ||||||
| Stratus Properties, Inc.(1) |
1,709 | 52,945 | ||||||
| Summit Hotel Properties, Inc. |
197,643 | 2,438,915 | ||||||
| Sun Communities, Inc. |
2,350 | 352,735 | ||||||
| Sunstone Hotel Investors, Inc. |
66,866 | 930,775 | ||||||
| Tanger Factory Outlet Centers, Inc. |
109,300 | 1,609,989 | ||||||
| Taubman Centers, Inc. |
1,988 | 61,807 | ||||||
| Tejon Ranch Co.(1) |
6,241 | 99,731 | ||||||
| Terreno Realty Corp. |
17,605 | 953,135 | ||||||
| The Howard Hughes Corp.(1) |
259,718 | 32,932,242 | ||||||
| Transcontinental Realty Investors, Inc.(1) |
298 | 11,884 | ||||||
| UDR, Inc. |
9,343 | 436,318 | ||||||
| UMH Properties, Inc. |
1,785 | 28,078 | ||||||
| Uniti Group, Inc. |
156,400 | 1,284,044 | ||||||
| Universal Health Realty Income Trust |
380 | 44,597 | ||||||
| Urban Edge Properties |
34,247 | 656,857 | ||||||
| Urstadt Biddle Properties, Inc. – Class A |
8,699 | 216,083 | ||||||
| Ventas, Inc. |
12,669 | 731,508 | ||||||
| VEREIT, Inc. |
820,010 | 7,576,892 | ||||||
| VICI Properties, Inc. |
15,700 | 401,135 | ||||||
| Vornado Realty Trust |
5,877 | 390,821 | ||||||
| Washington Prime Group, Inc. |
333,605 | 1,214,322 | ||||||
| Washington Real Estate Investment Trust |
24,067 | 702,275 | ||||||
| Weingarten Realty Investors |
4,124 | 128,834 | ||||||
| Welltower, Inc. |
13,790 | 1,127,746 | ||||||
| Weyerhaeuser Co. |
25,341 | 765,298 | ||||||
| Whitestone REIT – Class B |
11,429 | 155,663 | ||||||
| WP Carey, Inc. |
5,834 | 466,953 | ||||||
| Xenia Hotels & Resorts, Inc. |
202,396 | 4,373,778 | ||||||
|
|
|
|||||||
| Total Real Estate |
|
415,620,172 | ||||||
|
|
|
|||||||
| Utilities – 6.79% |
||||||||
| AES Corp. |
22,565 | 449,044 | ||||||
| ALLETE, Inc. |
15,340 | 1,245,148 | ||||||
| Alliant Energy Corp. |
101,114 | 5,532,958 | ||||||
| Ameren Corp. |
257,958 | 19,811,174 | ||||||
| American Electric Power Co., Inc. |
80,637 | 7,621,003 | ||||||
| American Water Works Co., Inc. |
6,145 | 754,913 | ||||||
| Aqua America, Inc. |
7,315 | 343,366 | ||||||
| AquaVenture Holdings Ltd.(1) |
3,527 | 95,652 | ||||||
| Artesian Resources Corp. – Class A |
2,317 | 86,216 | ||||||
| Atlantic Power Corp.(1) |
12,987 | 30,260 | ||||||
| Atlantica Yield Plc |
499,025 | 13,169,270 | ||||||
| Atmos Energy Corp. |
3,977 | 444,867 | ||||||
| Avangrid, Inc. |
1,915 | 97,971 | ||||||
| Avista Corp. |
19,647 | 944,824 | ||||||
| Black Hills Corp. |
63,131 | 4,958,309 | ||||||
| Cadiz, Inc.(1) |
4,074 | 44,895 | ||||||
| California Water Service Group |
824 | 42,485 | ||||||
| CenterPoint Energy, Inc. |
17,086 | 465,935 | ||||||
| Clearway Energy, Inc. – Class A |
10,239 | 195,770 | ||||||
| Clearway Energy, Inc. – Class C |
21,932 | 437,543 | ||||||
| CMS Energy Corp. |
315,452 | 19,823,004 | ||||||
| Consolidated Edison, Inc. |
11,337 | 1,025,658 | ||||||
| Consolidated Water Co. Ltd. |
4,071 | 66,357 | ||||||
| DTE Energy Co. |
150,915 | 19,599,331 | ||||||
| Edison International |
172,548 | 13,011,845 | ||||||
| El Paso Electric Co. |
10,000 | 678,900 | ||||||
| Entergy Corp. |
184,082 | 22,053,024 | ||||||
| Evergy, Inc. |
499,647 | 32,522,023 | ||||||
| Eversource Energy |
240,798 | 20,484,686 | ||||||
| Exelon Corp. |
88,500 | 4,034,715 | ||||||
| FirstEnergy Corp. |
385,221 | 18,721,741 | ||||||
| Genie Energy Ltd. – Class B |
2,585 | 19,982 | ||||||
| Hawaiian Electric Industries, Inc. |
3,681 | 172,492 | ||||||
| IDACORP, Inc. |
1,709 | 182,521 | ||||||
| MDU Resources Group, Inc. |
6,816 | 202,503 | ||||||
| MGE Energy, Inc. |
94,862 | 7,477,023 | ||||||
| Middlesex Water Co. |
661 | 42,020 | ||||||
| National Fuel Gas Co. |
130,355 | 6,066,722 | ||||||
| New Jersey Resources Corp. |
58,557 | 2,609,886 | ||||||
| NiSource, Inc. |
12,680 | 353,011 | ||||||
| Northwest Natural Holding Co. |
7,648 | 563,887 | ||||||
| NorthWestern Corp. |
14,967 | 1,072,685 | ||||||
| NRG Energy, Inc. |
8,580 | 341,055 | ||||||
| OGE Energy Corp. |
6,794 | 302,129 | ||||||
| ONE Gas, Inc. |
161,606 | 15,121,473 | ||||||
| Ormat Technologies, Inc. |
7,570 | 564,116 | ||||||
| Otter Tail Corp. |
6,627 | 339,899 | ||||||
| Pattern Energy Group, Inc. – Class A |
26,323 | 704,272 | ||||||
| PG&E Corp.(1) |
18,028 | 195,964 | ||||||
| Pinnacle West Capital Corp. |
3,814 | 342,993 | ||||||
| PNM Resources, Inc. |
23,784 | 1,206,087 | ||||||
| Portland General Electric Co. |
84,745 | 4,727,924 | ||||||
| PPL Corp. |
244,806 | 8,783,639 | ||||||
| Public Service Enterprise Group, Inc. |
116,478 | 6,878,026 | ||||||
| RGC Resources, Inc. |
2,125 | 60,733 | ||||||
| Sempra Energy |
9,609 | 1,455,571 | ||||||
| SJW Group |
2,761 | 196,197 | ||||||
| South Jersey Industries, Inc. |
220,924 | 7,286,074 | ||||||
| Southwest Gas Holdings, Inc. |
14,294 | 1,085,915 | ||||||
| Spire, Inc. |
14,714 | 1,225,823 | ||||||
| Sunnova Energy International, Inc.(1) |
2,838 | 31,672 | ||||||
| TerraForm Power, Inc. – Class A |
6,681 | 102,821 | ||||||
| UGI Corp. |
178,676 | 8,069,008 | ||||||
| Unitil Corp. |
4,227 | 261,313 | ||||||
| Vistra Energy Corp. |
1,592,984 | 36,622,702 | ||||||
| WEC Energy Group, Inc. |
218,186 | 20,123,295 | ||||||
| Xcel Energy, Inc. |
333,296 | 21,160,963 | ||||||
| York Water Co. |
393 | 18,121 | ||||||
|
|
|
|||||||
| Total Utilities |
|
364,763,404 | ||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $4,427,043,545) |
|
5,267,889,771 | ||||||
|
|
|
|||||||
| RIGHTS – 0.00%(2) |
||||||||
| Healthcare – 0.00%(2) |
||||||||
| Corium International, Inc., expires 03/31/2020 – CVR(1)(4) |
1,051 | 189 | ||||||
|
|
|
|||||||
| Total Healthcare |
189 | |||||||
|
|
|
|||||||
| Total Rights (Cost: $0) |
|
189 | ||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 1.84% |
||||||||
| Money Market Funds – 1.76% |
||||||||
| Goldman Sachs Financial Square Government Fund – Class I, 1.50%(3) |
94,695,730 | 94,695,730 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $94,695,730) |
94,695,730 | |||||||
|
|
|
|||||||
| Principal Amount |
Value | |||||||
| Time Deposits – 0.08% |
||||||||
| ANZ, London, 1.81% due 01/02/2020 |
$ | 770,701 | 770,701 | |||||
| Banco Santander, Frankfurt, 1.81% due 01/02/2020 |
1,904,483 | 1,904,483 | ||||||
| BBVA, Madrid, 1.81% due 01/02/2020 |
632,642 | 632,642 | ||||||
| BNP Paribas, Paris, 1.81% due 01/02/2020 |
1,036,030 | 1,036,030 | ||||||
| Brown Brothers Harriman, 0.87% due 01/02/2020 |
CAD | 14 | 11 | |||||
|
|
|
|||||||
| Total Time Deposits (Cost: $4,343,867) |
4,343,867 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $99,039,597) |
|
99,039,597 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.97% |
||||||||
| (Cost: $4,526,083,142) |
5,366,929,557 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.03% |
1,411,670 | |||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
$ | 5,368,341,227 | ||||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
CVR Contingent Value Right
REIT Real Estate Investment Trust
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $189, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 144,876,470 | $ | — | $ | — | $ | 144,876,470 | ||||||||
| Consumer Discretionary |
529,109,906 | — | — | 529,109,906 | ||||||||||||
| Consumer Staples |
166,822,365 | — | — | 166,822,365 | ||||||||||||
| Energy |
244,418,639 | — | — | 244,418,639 | ||||||||||||
| Financials |
1,213,873,554 | — | — | (2) | 1,213,873,554 | |||||||||||
| Healthcare |
349,241,713 | — | — | 349,241,713 | ||||||||||||
| Industrials |
898,672,213 | — | — | 898,672,213 | ||||||||||||
| Information Technology |
650,083,931 | — | — | 650,083,931 | ||||||||||||
| Materials |
290,407,404 | — | — | 290,407,404 | ||||||||||||
| Real Estate |
415,620,172 | — | — | 415,620,172 | ||||||||||||
| Utilities |
364,763,404 | — | — | 364,763,404 | ||||||||||||
| Rights |
||||||||||||||||
| Healthcare |
— | — | 189 | 189 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
94,695,730 | — | — | 94,695,730 | ||||||||||||
| Time Deposits |
— | 4,343,867 | — | 4,343,867 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 5,362,585,501 | $ | 4,343,867 | $ | 189 | $ | 5,366,929,557 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (2) | Includes a security valued at $0. |
Bridge Builder International Equity Fund
Schedule of Investments
December 31, 2019 (Unaudited)
| Shares | Value | |||||||
| COMMON STOCKS – 96.85% |
||||||||
| Australia – 2.35% |
||||||||
| AGL Energy Ltd. |
26,476 | $ | 381,085 | |||||
| Alumina Ltd. |
99,068 | 160,015 | ||||||
| AMP Ltd. |
135,352 | 182,075 | ||||||
| APA Group – Stapled Security |
47,870 | 372,641 | ||||||
| Aristocrat Leisure Ltd. |
23,316 | 550,937 | ||||||
| ASX Ltd. |
7,854 | 432,442 | ||||||
| Aurizon Holdings Ltd. |
80,743 | 296,321 | ||||||
| AusNet Services – Class Miscella |
74,496 | 88,836 | ||||||
| Australia & New Zealand Banking Group Ltd. |
116,439 | 2,008,106 | ||||||
| Bendigo & Adelaide Bank Ltd. |
21,026 | 144,277 | ||||||
| BHP Group Ltd. |
121,009 | 3,313,506 | ||||||
| BHP Group Plc |
86,759 | 2,033,103 | ||||||
| BlueScope Steel Ltd. |
20,855 | 220,888 | ||||||
| Boral Ltd. |
47,328 | 148,898 | ||||||
| Brambles Ltd. |
64,198 | 528,395 | ||||||
| Caltex Australia Ltd. |
10,131 | 241,567 | ||||||
| Challenger Ltd. |
22,182 | 126,227 | ||||||
| CIMIC Group Ltd. |
3,420 | 79,514 | ||||||
| Coca-Cola Amatil Ltd. |
21,234 | 164,896 | ||||||
| Cochlear Ltd. |
357,725 | 56,379,659 | ||||||
| Coles Group Ltd. |
46,002 | 478,870 | ||||||
| Commonwealth Bank of Australia |
72,718 | 4,079,321 | ||||||
| Computershare Ltd. |
19,800 | 233,440 | ||||||
| Crown Resorts Ltd. |
15,771 | 132,969 | ||||||
| CSL Ltd. |
486,280 | 94,280,975 | ||||||
| Dexus Property Group |
44,501 | 366,323 | ||||||
| Flight Centre Travel Group Ltd. |
1,987 | 61,458 | ||||||
| Fortescue Metals Group Ltd. |
57,952 | 436,863 | ||||||
| Goodman Group |
66,763 | 627,385 | ||||||
| GPT Group |
79,031 | 311,307 | ||||||
| Harvey Norman Holdings Ltd. |
22,465 | 64,163 | ||||||
| Incitec Pivot Ltd. |
61,217 | 136,764 | ||||||
| Insurance Australia Group Ltd. |
93,763 | 503,800 | ||||||
| LendLease Group – Stapled Security |
22,888 | 282,976 | ||||||
| Macquarie Group Ltd. |
13,119 | 1,270,500 | ||||||
| Magellan Financial Group Ltd. |
5,091 | 203,971 | ||||||
| Medibank Pvt Ltd. |
111,540 | 247,197 | ||||||
| Mirvac Group |
159,606 | 357,246 | ||||||
| National Australia Bank Ltd. |
118,428 | 2,049,290 | ||||||
| Newcrest Mining Ltd. |
31,178 | 658,447 | ||||||
| Oil Search Ltd. |
55,675 | 283,889 | ||||||
| Orica Ltd. |
15,441 | 238,108 | ||||||
| Origin Energy Ltd. |
71,101 | 421,575 | ||||||
| Qantas Airways Ltd. |
29,637 | 147,726 | ||||||
| QBE Insurance Group Ltd. |
4,661,562 | 42,124,056 | ||||||
| Ramsay Health Care Ltd. |
6,559 | 333,708 | ||||||
| REA Group Ltd. |
2,138 | 155,319 | ||||||
| Santos Ltd. |
71,832 | 413,247 | ||||||
| Scentre Group |
220,340 | 592,991 | ||||||
| Seek Ltd. |
2,162,226 | 34,223,067 | ||||||
| Sonic Healthcare Ltd. |
18,273 | 368,437 | ||||||
| South32 Ltd. |
209,502 | 395,564 | ||||||
| Stockland |
96,258 | 312,315 | ||||||
| Suncorp Group Ltd. |
52,569 | 477,528 | ||||||
| Sydney Airport – Stapled Security |
43,346 | 263,358 | ||||||
| Tabcorp Holdings Ltd. |
80,919 | 257,250 | ||||||
| Telstra Corp. Ltd. |
168,886 | 419,511 | ||||||
| TPG Telecom Ltd. |
20,044 | 94,441 | ||||||
| Transurban Group – Stapled Security |
110,001 | 1,151,386 | ||||||
| Treasury Wine Estates Ltd. |
2,875,778 | 32,757,281 | ||||||
| Vicinity Centres |
129,996 | 227,371 | ||||||
| Washington H Soul Pattinson & Co. Ltd. |
5,392 | 81,344 | ||||||
| Wesfarmers Ltd. |
46,449 | 1,349,888 | ||||||
| Westpac Banking Corp. |
143,359 | 2,448,106 | ||||||
| WiseTech Global Ltd. |
5,809 | 95,396 | ||||||
| Woodside Petroleum Ltd. |
38,455 | 929,788 | ||||||
| Woolworths Group Ltd. |
51,067 | 1,295,236 | ||||||
| WorleyParsons Ltd. |
14,115 | 152,478 | ||||||
|
|
|
|||||||
| Total Australia |
296,647,017 | |||||||
|
|
|
|||||||
| Austria – 0.01% |
||||||||
| Andritz AG |
2,939 | 126,348 | ||||||
| Erste Group Bank AG |
12,146 | 456,230 | ||||||
| OMV AG |
6,115 | 342,592 | ||||||
| Raiffeisen Bank International AG |
6,025 | 150,802 | ||||||
| Verbund AG |
2,608 | 130,921 | ||||||
| Voestalpine AG |
4,991 | 138,429 | ||||||
|
|
|
|||||||
| Total Austria |
1,345,322 | |||||||
|
|
|
|||||||
| Belgium – 0.16% |
||||||||
| Ageas |
7,208 | 426,228 | ||||||
| Anheuser-Busch InBev SA |
92,304 | 7,559,735 | ||||||
| Colruyt SA |
3,197 | 166,681 | ||||||
| Galapagos NV(1) |
1,759 | 366,307 | ||||||
| Groupe Bruxelles Lambert SA |
3,257 | 343,681 | ||||||
| KBC Group NV |
124,341 | 9,374,646 | ||||||
| Proximus |
6,224 | 178,341 | ||||||
| Solvay SA |
3,123 | 363,495 | ||||||
| Telenet Group Holding NV |
1,708 | 76,780 | ||||||
| UCB SA |
5,129 | 408,138 | ||||||
| Umicore SA |
7,715 | 375,983 | ||||||
|
|
|
|||||||
| Total Belgium |
19,640,015 | |||||||
|
|
|
|||||||
| Brazil – 0.40% |
||||||||
| Raia Drogasil SA |
1,800,571 | 50,156,909 | ||||||
|
|
|
|||||||
| Total Brasil |
50,156,909 | |||||||
|
|
|
|||||||
| Canada – 2.65% |
||||||||
| Canadian Pacific Railway Ltd. |
300,916 | 76,718,534 | ||||||
| Dollarama, Inc. |
711,562 | 24,455,749 | ||||||
| Fairfax Financial Holdings Ltd. |
56,233 | 26,404,458 | ||||||
| Lululemon Athletica, Inc.(1) |
182,716 | 42,329,816 | ||||||
| Shopify, Inc. – Class A(1) |
412,985 | 164,194,576 | ||||||
|
|
|
|||||||
| Total Canada |
334,103,133 | |||||||
|
|
|
|||||||
| Chile – 0.00%(2) |
||||||||
| Antofagasta Plc |
15,903 | 192,549 | ||||||
|
|
|
|||||||
| Total Chile |
192,549 | |||||||
|
|
|
|||||||
| China – 3.24% |
||||||||
| Alibaba Group Holding Ltd. – ADR(1) |
431,890 | 91,603,869 | ||||||
| Baidu, Inc. – ADR(1) |
199,007 | 25,154,485 | ||||||
| BeiGene Ltd. – ADR(1) |
1,461 | 242,175 | ||||||
| Lenovo Group Ltd. |
97,306,000 | 65,346,181 | ||||||
| Ping An Insurance Group Co. of China Ltd. – Class H |
2,973,500 | 35,186,817 | ||||||
| Shanghai Fosun Pharmaceutical Group Co. Ltd. – Class H |
17,405,500 | 52,529,045 | ||||||
| Tencent Holdings Ltd. |
1,300,556 | 62,655,791 | ||||||
| Trip.com Group Ltd. – ADR(1) |
698,448 | 23,425,946 | ||||||
| Tsingtao Brewery Co. Ltd. – Class H |
7,885,000 | 52,972,689 | ||||||
| Yangzijiang Shipbuilding Holdings Ltd. |
102,100 | 85,107 | ||||||
|
|
|
|||||||
| Total China |
409,202,105 | |||||||
|
|
|
|||||||
| Denmark – 0.99% |
||||||||
| AP Moller – Maersk – Class A |
152 | 206,033 | ||||||
| AP Moller – Maersk – Class B |
28,751 | 41,482,707 |
| Carlsberg – Class B |
4,340 | 647,684 | ||||||
| CHR Hansen Holding A/S |
4,280 | 340,238 | ||||||
| Coloplast A/S – Class B |
4,820 | 597,974 | ||||||
| Danske Bank A/S |
711,969 | 11,518,449 | ||||||
| Demant A/S(1) |
4,200 | 132,274 | ||||||
| DSV A/S |
470,159 | 54,198,124 | ||||||
| Genmab A/S(1) |
2,637 | 586,478 | ||||||
| H Lundbeck A/S |
2,828 | 108,116 | ||||||
| ISS A/S |
6,371 | 152,871 | ||||||
| Novo Nordisk A/S – Class B |
71,789 | 4,160,089 | ||||||
| Novozymes A/S – Class B |
190,296 | 9,314,437 | ||||||
| Orsted A/S(3) |
7,675 | 793,785 | ||||||
| Pandora A/S |
4,057 | 176,485 | ||||||
| Tryg A/S |
4,903 | 145,410 | ||||||
| Vestas Wind Systems |
7,666 | 774,316 | ||||||
|
|
|
|||||||
| Total Denmark |
125,335,470 | |||||||
|
|
|
|||||||
| Finland – 0.77% |
||||||||
| Elisa OYJ |
5,761 | 318,319 | ||||||
| Fortum OYJ |
17,989 | 444,030 | ||||||
| Kone OYJ – Class B |
654,876 | 42,820,928 | ||||||
| Metso OYJ |
4,270 | 168,687 | ||||||
| Neste OYJ |
17,164 | 597,224 | ||||||
| Nokia OYJ |
13,492,850 | 49,908,278 | ||||||
| Nokian Renkaat OYJ |
5,300 | 152,438 | ||||||
| Nordea Bank Abp |
132,576 | 1,072,565 | ||||||
| Orion OYJ – Class B |
4,216 | 195,250 | ||||||
| Sampo OYJ – Class A |
18,248 | 796,765 | ||||||
| Stora Enso OYJ – Class R |
24,579 | 357,644 | ||||||
| UPM-Kymmene OYJ |
21,993 | 763,036 | ||||||
| Wartsila OYJ Abp |
17,916 | 198,034 | ||||||
|
|
|
|||||||
| Total Finland |
97,793,198 | |||||||
|
|
|
|||||||
| France – 7.71% |
||||||||
| Accor SA |
7,326 | 343,874 | ||||||
| Aeroports de Paris |
1,191 | 235,810 | ||||||
| Air Liquide SA |
19,138 | 2,713,211 | ||||||
| Airbus SE |
23,676 | 3,474,814 | ||||||
| Alstom SA |
7,735 | 367,560 | ||||||
| Amundi SA(3) |
316,609 | 24,897,036 | ||||||
| Arkema SA |
2,779 | 297,152 | ||||||
| Atos SE |
3,967 | 331,494 | ||||||
| AXA SA |
79,369 | 2,242,670 | ||||||
| BioMerieux |
1,681 | 149,868 | ||||||
| BNP Paribas SA |
1,336,190 | 79,420,588 | ||||||
| Bollore SA |
35,754 | 156,242 | ||||||
| Bouygues SA |
301,768 | 12,863,452 | ||||||
| Bureau Veritas SA |
11,918 | 311,560 | ||||||
| Capgemini SE |
6,448 | 788,622 | ||||||
| Carrefour SA |
24,442 | 411,082 | ||||||
| Casino Guichard Perrachon SA |
2,241 | 104,982 | ||||||
| Cie de Saint-Gobain |
1,927,577 | 78,964,860 | ||||||
| Cie Generale des Etablissements Michelin SCA |
105,194 | 12,945,081 | ||||||
| CNP Assurances |
6,930 | 138,081 | ||||||
| Covivio |
1,975 | 224,301 | ||||||
| Credit Agricole SA |
47,622 | 692,964 | ||||||
| Danone SA |
25,053 | 2,080,550 | ||||||
| Dassault Aviation SA |
95 | 124,663 | ||||||
| Dassault Systemes |
5,334 | 879,712 | ||||||
| Edenred |
9,867 | 511,352 | ||||||
| Eiffage SA |
3,031 | 347,737 | ||||||
| Electricite de France SA |
26,644 | 297,301 |
| Engie SA |
75,027 | 1,215,312 | ||||||
| EssilorLuxottica SA |
284,679 | 43,522,164 | ||||||
| EssilorLuxottica SA |
172,788 | 26,271,111 | ||||||
| Eurazeo SE |
1,456 | 99,941 | ||||||
| Eutelsat Communications SA |
7,302 | 118,683 | ||||||
| Faurecia SE |
3,065 | 166,392 | ||||||
| Gecina SA |
1,894 | 339,070 | ||||||
| Getlink SE |
17,851 | 311,230 | ||||||
| Hermes International |
1,285 | 962,604 | ||||||
| ICADE |
1,272 | 138,504 | ||||||
| Iliad SA |
1,080 | 140,478 | ||||||
| Ingenico Group SA |
2,456 | 267,160 | ||||||
| Ipsen SA |
1,530 | 135,813 | ||||||
| JCDecaux SA |
3,454 | 106,722 | ||||||
| Kering SA |
3,074 | 2,025,505 | ||||||
| Klepierre SA |
8,330 | 316,906 | ||||||
| Legrand SA |
568,875 | 46,456,516 | ||||||
| L’Oreal SA |
10,252 | 3,031,593 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
179,091 | 83,448,154 | ||||||
| Natixis SA |
38,187 | 170,105 | ||||||
| Orange SA |
5,781,493 | 84,966,057 | ||||||
| Pernod Ricard SA |
279,825 | 50,071,239 | ||||||
| Peugeot SA |
23,803 | 573,109 | ||||||
| Publicis Groupe SA |
571,874 | 25,929,583 | ||||||
| Remy Cointreau SA |
916 | 112,509 | ||||||
| Renault SA |
8,075 | 383,461 | ||||||
| Rexel SA |
2,929,114 | 38,959,257 | ||||||
| Safran SA |
13,279 | 2,051,066 | ||||||
| Sanofi SA |
1,908,355 | 191,651,250 | ||||||
| Sartorius Stedim Biotech |
29,324 | 4,867,422 | ||||||
| Schneider Electric SE |
359,251 | 36,909,353 | ||||||
| SCOR SE |
186,113 | 7,834,584 | ||||||
| SEB SA |
918 | 136,532 | ||||||
| Societe Generale SA |
33,302 | 1,162,173 | ||||||
| Sodexo SA |
3,589 | 425,324 | ||||||
| Suez Environnement Co. |
14,333 | 217,192 | ||||||
| Teleperformance |
2,377 | 580,743 | ||||||
| Thales SA |
4,239 | 441,089 | ||||||
| TOTAL SA |
1,517,609 | 84,212,906 | ||||||
| Ubisoft Entertainment SA(1) |
3,412 | 236,394 | ||||||
| Unibail-Rodamco-Westfield |
5,684 | 896,748 | ||||||
| Valeo SA |
9,779 | 346,600 | ||||||
| Veolia Environnement SA |
22,275 | 592,701 | ||||||
| Vinci SA |
20,980 | 2,336,619 | ||||||
| Vivendi SA |
35,630 | 1,031,757 | ||||||
| Wendel SA |
1,007 | 134,140 | ||||||
| Worldline SA(1)(3) |
4,076 | 288,952 | ||||||
|
|
|
|||||||
| Total France |
972,909,342 | |||||||
|
|
|
|||||||
| Germany – 7.01% |
||||||||
| Adidas AG |
316,975 | 103,181,078 | ||||||
| Allianz SE |
287,297 | 70,395,747 | ||||||
| BASF SE |
400,035 | 30,137,290 | ||||||
| Bayer AG |
897,360 | 72,952,358 | ||||||
| Bayerische Motoren Werke AG |
13,601 | 1,114,000 | ||||||
| Bechtle AG |
419,671 | 58,598,668 | ||||||
| Beiersdorf AG |
4,090 | 489,284 | ||||||
| Brenntag AG |
6,253 | 339,267 | ||||||
| Carl Zeiss Meditec AG |
1,674 | 212,815 | ||||||
| Commerzbank AG |
10,034,814 | 61,975,185 | ||||||
| Continental AG |
534,333 | 69,051,997 |
| Covestro AG(3) |
238,572 | 11,100,784 | ||||||
| Daimler AG – Class REGISTERED |
1,267,239 | 70,058,431 | ||||||
| Delivery Hero SE(1)(3) |
4,587 | 363,562 | ||||||
| Deutsche Bank AG |
81,381 | 630,582 | ||||||
| Deutsche Boerse AG |
7,709 | 1,208,869 | ||||||
| Deutsche Lufthansa AG |
9,592 | 176,561 | ||||||
| Deutsche Post AG |
40,134 | 1,526,063 | ||||||
| Deutsche Telekom AG |
2,216,721 | 36,226,065 | ||||||
| Deutsche Wohnen SE |
14,928 | 607,224 | ||||||
| E.ON SE |
6,563,986 | 70,148,516 | ||||||
| Evonik Industries AG |
7,525 | 229,831 | ||||||
| Fraport AG Frankfurt Airport Services Worldwide |
1,680 | 142,607 | ||||||
| Fresenius Medical Care AG & Co. KGaA |
980,248 | 72,173,537 | ||||||
| Fresenius SE & Co. KGaA |
17,164 | 965,878 | ||||||
| GEA Group AG |
6,298 | 208,260 | ||||||
| Hannover Rueck SE |
2,493 | 480,687 | ||||||
| HeidelbergCement AG |
6,008 | 436,571 | ||||||
| Henkel AG & Co. KGaA |
4,216 | 396,273 | ||||||
| HOCHTIEF AG |
1,054 | 134,191 | ||||||
| Infineon Technologies AG |
1,833,217 | 41,420,365 | ||||||
| KION Group AG |
2,622 | 180,308 | ||||||
| Knorr-Bremse AG |
1,962 | 199,720 | ||||||
| LANXESS AG |
3,503 | 235,203 | ||||||
| Merck KGaA |
5,244 | 618,235 | ||||||
| METRO AG |
7,669 | 123,403 | ||||||
| MTU Aero Engines AG |
2,056 | 585,807 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
5,893 | 1,738,983 | ||||||
| Nemetschek SE |
158,089 | 10,414,661 | ||||||
| Puma SE |
3,163 | 242,545 | ||||||
| RWE AG |
23,694 | 726,031 | ||||||
| SAP SE |
39,874 | 5,366,971 | ||||||
| Siemens AG |
163,495 | 21,351,068 | ||||||
| Siemens Healthineers AG(3) |
6,086 | 291,745 | ||||||
| Symrise AG – Class A |
5,220 | 548,668 | ||||||
| Telefonica Deutschland Holding AG |
37,328 | 108,285 | ||||||
| ThyssenKrupp AG |
16,215 | 217,883 | ||||||
| TUI AG |
17,799 | 224,628 | ||||||
| Uniper SE |
8,320 | 274,990 | ||||||
| United Internet AG – Class REG |
4,943 | 161,880 | ||||||
| Volkswagen AG |
30,668 | 5,939,931 | ||||||
| Vonovia SE |
21,162 | 1,136,598 | ||||||
| Wirecard AG |
4,763 | 570,463 | ||||||
| Zalando SE(1)(3) |
1,120,960 | 56,530,206 | ||||||
|
|
|
|||||||
| Total Germany |
884,870,758 | |||||||
|
|
|
|||||||
| Hong Kong – 5.57% |
||||||||
| AIA Group Ltd. |
12,572,585 | 132,238,027 | ||||||
| ASM Pacific Technology Ltd. |
12,400 | 172,117 | ||||||
| Bank of East Asia Ltd. |
52,800 | 117,883 | ||||||
| BOC Hong Kong Holdings Ltd. |
154,000 | 534,600 | ||||||
| Budweiser Brewing Co. APAC Ltd.(1)(3) |
53,700 | 181,244 | ||||||
| China Mobile Ltd. |
18,268,000 | 154,361,993 | ||||||
| China Resources Power Holdings Co. Ltd. |
17,028,000 | 23,908,922 | ||||||
| CK Asset Holdings Ltd. |
107,000 | 772,136 | ||||||
| CK Hutchison Holdings Ltd. |
15,817,500 | 150,827,577 | ||||||
| CK Infrastructure Holdings Ltd. |
28,000 | 199,267 | ||||||
| CLP Holdings Ltd. |
66,500 | 698,079 | ||||||
| Dairy Farm International Holdings Ltd. |
15,600 | 89,078 | ||||||
| Galaxy Entertainment Group Ltd. |
8,084,000 | 59,511,290 | ||||||
| Hang Lung Properties Ltd. |
82,000 | 180,051 | ||||||
| Hang Seng Bank Ltd. |
31,700 | 655,238 |
| Henderson Land Development Co. Ltd. |
63,758 | 312,864 | ||||||
| HK Electric Investments & HK Electric Investments Ltd. |
103,000 | 101,516 | ||||||
| HKT Trust & HKT Ltd. – Class Miscella |
156,000 | 219,849 | ||||||
| Hong Kong & China Gas Co. Ltd. |
418,992 | 818,656 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
48,399 | 1,572,374 | ||||||
| Hongkong Land Holdings Ltd. |
47,100 | 270,922 | ||||||
| Jardine Matheson Holdings Ltd. |
293,000 | 16,304,779 | ||||||
| Jardine Strategic Holdings Ltd. |
711,600 | 21,823,421 | ||||||
| Kerry Properties Ltd. |
28,500 | 90,518 | ||||||
| Link Real Estate Investment Trust |
85,500 | 905,785 | ||||||
| Melco Resorts & Entertainment Ltd. – ADR |
8,652 | 209,119 | ||||||
| MTR Corp. Ltd. |
65,000 | 384,118 | ||||||
| New World Development Co. Ltd. |
258,413 | 354,218 | ||||||
| NWS Holdings Ltd. |
40,613 | 56,922 | ||||||
| PCCW Ltd. |
171,000 | 101,180 | ||||||
| Power Assets Holdings Ltd. |
58,000 | 424,306 | ||||||
| Sino Land Co. Ltd. |
124,490 | 180,698 | ||||||
| SJM Holdings Ltd. |
75,000 | 85,400 | ||||||
| Sun Hung Kai Properties Ltd. |
64,500 | 987,810 | ||||||
| Swire Pacific Ltd. – Class A |
5,238,000 | 48,659,413 | ||||||
| Swire Properties Ltd. |
47,200 | 156,366 | ||||||
| Techtronic Industries Co. Ltd. |
4,457,500 | 36,380,762 | ||||||
| Vitasoy International Holdings Ltd. |
32,000 | 116,084 | ||||||
| WH Group Ltd.(3) |
46,499,500 | 48,079,276 | ||||||
| Wharf Real Estate Investment Co. Ltd. |
50,000 | 305,078 | ||||||
| Wheelock & Co. Ltd. |
34,000 | 226,654 | ||||||
| Yue Yuen Industrial Holdings Ltd. |
32,500 | 95,917 | ||||||
|
|
|
|||||||
| Total Hong Kong |
703,671,507 | |||||||
|
|
|
|||||||
| India – 1.88% |
||||||||
| Asian Paints Ltd. |
2,234,574 | 56,056,343 | ||||||
| HDFC Bank Ltd. – ADR |
1,008,907 | 63,934,437 | ||||||
| Housing Development Finance Corp. Ltd. |
1,924,906 | 65,099,284 | ||||||
| Mahindra & Mahindra Ltd. – GDR |
2,737,551 | 20,695,885 | ||||||
| MakeMyTrip Ltd.(1) |
487,900 | 11,172,910 | ||||||
| United Spirits Ltd.(1) |
2,363,362 | 19,843,457 | ||||||
|
|
|
|||||||
| Total India |
236,802,316 | |||||||
|
|
|
|||||||
| Ireland – 1.92% |
||||||||
| Accenture Plc – Class A |
376,844 | 79,352,041 | ||||||
| AerCap Holdings NV(1) |
5,207 | 320,074 | ||||||
| AIB Group Plc |
31,794 | 110,770 | ||||||
| Bank of Ireland Group Plc |
39,077 | 215,064 | ||||||
| CRH Plc |
32,338 | 1,297,043 | ||||||
| DCC Plc |
3,990 | 346,089 | ||||||
| Experian Plc |
2,322,478 | 78,730,794 | ||||||
| Flutter Entertainment Plc |
3,050 | 372,967 | ||||||
| ICON Plc(1) |
193,338 | 33,298,604 | ||||||
| James Hardie Industries Plc |
17,944 | 350,706 | ||||||
| Kerry Group Plc – Class A |
6,444 | 803,057 | ||||||
| Kingspan Group Plc |
758,649 | 46,335,675 | ||||||
| Paddy Power Betfair Plc |
244 | 29,737 | ||||||
| Smurfit Kappa Group Plc |
9,118 | 351,564 | ||||||
|
|
|
|||||||
| Total Ireland |
241,914,185 | |||||||
|
|
|
|||||||
| Isle of Man – 0.00%(2) |
||||||||
| GVC Holdings Plc |
24,979 | 292,557 | ||||||
|
|
|
|||||||
| Total Isle of Man |
292,557 | |||||||
|
|
|
|||||||
| Israel – 0.03% |
||||||||
| Azrieli Group Ltd. |
1,741 | 127,532 | ||||||
| Bank Hapoalim BM |
45,816 | 380,492 | ||||||
| Bank Leumi Le-Israel BM |
59,729 | 435,600 | ||||||
| Check Point Software Technologies Ltd.(1) |
4,941 | 548,253 |
| CyberArk Software Ltd.(1) |
1,531 | 178,484 | ||||||
| Elbit Systems Ltd. |
921 | 143,504 | ||||||
| Israel Chemicals Ltd. |
30,517 | 144,117 | ||||||
| Israel Discount Bank Ltd. – Class A |
47,144 | 218,947 | ||||||
| Mizrahi Tefahot Bank Ltd. |
5,679 | 151,485 | ||||||
| Nice Ltd.(1) |
2,521 | 390,905 | ||||||
| Teva Pharmaceutical Industries Ltd. – ADR(1) |
45,653 | 447,399 | ||||||
| Wix.com Ltd.(1) |
1,922 | 235,214 | ||||||
|
|
|
|||||||
| Total Israel |
3,401,932 | |||||||
|
|
|
|||||||
| Italy – 2.17% |
||||||||
| Assicurazioni Generali SpA |
45,138 | 931,865 | ||||||
| Atlantia SpA |
20,620 | 481,248 | ||||||
| Davide Campari-Milano SpA |
23,649 | 216,088 | ||||||
| Enel SpA |
11,937,314 | 94,827,939 | ||||||
| ENI SpA |
9,798,673 | 152,185,452 | ||||||
| Ferrari NV |
4,889 | 811,748 | ||||||
| FinecoBank Banca Fineco SpA |
22,764 | 273,073 | ||||||
| Intesa Sanpaolo SpA |
611,374 | 1,610,475 | ||||||
| Leonardo SpA |
13,561 | 159,034 | ||||||
| Mediobanca Banca di Credito Finanziario SpA |
26,440 | 291,119 | ||||||
| Moncler SpA |
7,235 | 325,629 | ||||||
| Pirelli & C SpA(3) |
16,148 | 93,102 | ||||||
| Poste Italiane SpA(3) |
21,128 | 240,075 | ||||||
| Prysmian SpA |
9,791 | 236,347 | ||||||
| Recordati SpA |
4,197 | 176,924 | ||||||
| Snam SpA |
89,518 | 470,668 | ||||||
| Telecom Italia SpA(1) |
15,543,407 | 9,707,011 | ||||||
| Telecom Italia SpA Savings Share |
246,161 | 150,753 | ||||||
| Terna Rete Elettrica Nazionale SpA |
58,619 | 392,039 | ||||||
| UniCredit SpA |
689,197 | 10,073,973 | ||||||
|
|
|
|||||||
| Total Italy |
273,654,562 | |||||||
|
|
|
|||||||
| Japan – 17.73% |
||||||||
| ABC-Mart, Inc. |
1,200 | 81,914 | ||||||
| Acom Co. Ltd. |
18,100 | 82,123 | ||||||
| Advantest Corp. |
8,100 | 456,825 | ||||||
| Aeon Co. Ltd. |
26,500 | 546,864 | ||||||
| Aeon Financial Service Co. Ltd. |
4,900 | 77,207 | ||||||
| Aeon Mall Co. Ltd. |
4,600 | 81,593 | ||||||
| AGC, Inc. |
7,300 | 261,033 | ||||||
| Air Water, Inc. |
6,000 | 87,550 | ||||||
| Aisin Seiki Co. Ltd. |
6,800 | 251,870 | ||||||
| Ajinomoto Co., Inc. |
17,865 | 297,404 | ||||||
| Alfresa Holdings Corp. |
7,600 | 154,394 | ||||||
| Alps Alpine Co. Ltd. |
8,400 | 190,674 | ||||||
| Amada Holdings Co. Ltd. |
13,100 | 148,996 | ||||||
| ANA Holdings, Inc. |
4,700 | 156,903 | ||||||
| Aozora Bank Ltd. |
4,700 | 124,168 | ||||||
| Asahi Group Holdings Ltd. |
14,700 | 670,622 | ||||||
| Asahi Intecc Co. Ltd. |
7,900 | 231,322 | ||||||
| Asahi Kasei Corp. |
51,000 | 572,649 | ||||||
| Astellas Pharma, Inc. |
4,167,700 | 71,142,587 | ||||||
| Bandai Namco Holdings, Inc. |
8,100 | 492,741 | ||||||
| Bank of Kyoto Ltd. |
2,100 | 89,546 | ||||||
| Benesse Holdings, Inc. |
2,600 | 68,340 | ||||||
| Bridgestone Corp. |
23,500 | 873,028 | ||||||
| Brother Industries Ltd. |
8,900 | 183,814 | ||||||
| Calbee, Inc. |
3,300 | 107,518 | ||||||
| Canon, Inc. |
41,100 | 1,124,845 | ||||||
| Casio Computer Co. Ltd. |
7,900 | 157,870 | ||||||
| Central Japan Railway Co. |
5,900 | 1,186,306 |
| Chiba Bank Ltd. |
22,600 | 129,949 | ||||||
| Chubu Electric Power Co., Inc. |
26,000 | 367,532 | ||||||
| Chugai Pharmaceutical Co. Ltd. |
9,100 | 838,067 | ||||||
| Chugoku Electric Power Co., Inc. |
11,400 | 149,854 | ||||||
| Coca-Cola Bottlers Japan Holdings, Inc. |
5,000 | 127,752 | ||||||
| Concordia Financial Group Ltd. |
42,700 | 175,356 | ||||||
| Credit Saison Co. Ltd. |
6,400 | 111,000 | ||||||
| CyberAgent, Inc. |
3,800 | 132,376 | ||||||
| Dai Nippon Printing Co. Ltd. |
10,100 | 273,180 | ||||||
| Daicel Corp. |
10,600 | 101,340 | ||||||
| Daifuku Co. Ltd. |
4,100 | 247,783 | ||||||
| Dai-ichi Life Holdings, Inc. |
716,600 | 11,809,769 | ||||||
| Daiichi Sankyo Co. Ltd. |
23,000 | 1,519,018 | ||||||
| Daikin Industries Ltd. |
10,100 | 1,425,007 | ||||||
| Daito Trust Construction Co. Ltd. |
2,900 | 358,371 | ||||||
| Daiwa House Industry Co. Ltd. |
23,400 | 724,391 | ||||||
| Daiwa House REIT Investment Corp. |
75 | 196,113 | ||||||
| Daiwa Securities Group, Inc. |
63,400 | 320,069 | ||||||
| Denso Corp. |
502,400 | 22,689,560 | ||||||
| Dentsu, Inc. |
8,900 | 306,657 | ||||||
| Disco Corp. |
1,100 | 258,308 | ||||||
| East Japan Railway Co. |
901,400 | 81,362,167 | ||||||
| Eisai Co. Ltd. |
10,200 | 763,225 | ||||||
| Electric Power Development Co. Ltd. |
6,300 | 152,917 | ||||||
| FamilyMart UNY Holdings Co. Ltd. |
10,300 | 246,682 | ||||||
| FANUC Corp. |
8,000 | 1,477,319 | ||||||
| Fast Retailing Co. Ltd. |
2,400 | 1,425,778 | ||||||
| Fuji Electric Co. Ltd. |
5,100 | 154,924 | ||||||
| FUJIFILM Holdings Corp. |
1,545,600 | 73,811,519 | ||||||
| Fujitsu Ltd. |
320,000 | 30,097,865 | ||||||
| Fukuoka Financial Group, Inc. |
282,100 | 5,389,819 | ||||||
| GMO Payment Gateway, Inc. |
1,700 | 116,418 | ||||||
| Hakuhodo DY Holdings, Inc. |
9,800 | 157,692 | ||||||
| Hamamatsu Photonics KK |
5,700 | 233,589 | ||||||
| Hankyu Hanshin Holdings, Inc. |
9,100 | 389,259 | ||||||
| Hikari Tsushin, Inc. |
800 | 201,038 | ||||||
| Hino Motors Ltd. |
12,800 | 135,366 | ||||||
| Hirose Electric Co. Ltd. |
1,415 | 180,882 | ||||||
| Hisamitsu Pharmaceutical Co., Inc. |
2,500 | 121,754 | ||||||
| Hitachi Chemical Co. Ltd. |
4,215 | 176,591 | ||||||
| Hitachi Construction Machinery Co. Ltd. |
4,100 | 122,128 | ||||||
| Hitachi High-Technologies Corp. |
2,780 | 196,878 | ||||||
| Hitachi Ltd. |
39,200 | 1,654,073 | ||||||
| Hitachi Metals Ltd. |
2,644,400 | 38,924,822 | ||||||
| Honda Motor Co. Ltd. |
4,171,700 | 118,065,526 | ||||||
| Hoshizaki Corp. |
2,200 | 196,152 | ||||||
| Hoya Corp. |
15,500 | 1,479,662 | ||||||
| Hulic Co. Ltd. |
12,300 | 148,094 | ||||||
| Idemitsu Kosan Co. Ltd. |
8,265 | 228,376 | ||||||
| IHI Corp. |
6,000 | 140,406 | ||||||
| Iida Group Holdings Co. Ltd. |
724,800 | 12,702,502 | ||||||
| Inpex Corp. |
3,102,600 | 32,142,097 | ||||||
| Isetan Mitsukoshi Holdings Ltd. |
14,400 | 129,308 | ||||||
| Isuzu Motors Ltd. |
3,521,600 | 41,628,027 | ||||||
| ITOCHU Corp. |
55,200 | 1,279,353 | ||||||
| Itochu Techno-Solutions Corp. |
3,500 | 98,567 | ||||||
| J Front Retailing Co. Ltd. |
9,900 | 138,078 | ||||||
| Japan Airlines Co. Ltd. |
4,700 | 146,339 | ||||||
| Japan Airport Terminal Co. Ltd. |
2,200 | 122,067 | ||||||
| Japan Exchange Group, Inc. |
20,600 | 362,665 |
| Japan Post Bank Co. Ltd. |
16,400 | 157,355 | ||||||
| Japan Post Holdings Co. Ltd. |
65,300 | 614,111 | ||||||
| Japan Post Insurance Co. Ltd. |
9,100 | 155,123 | ||||||
| Japan Prime Realty Investment Corp. |
32 | 140,700 | ||||||
| Japan Real Estate Investment Corp. |
54 | 358,370 | ||||||
| Japan Retail Fund Investment Corp. |
106 | 228,102 | ||||||
| Japan Tobacco, Inc. |
2,709,400 | 60,410,283 | ||||||
| JFE Holdings, Inc. |
19,800 | 254,062 | ||||||
| JGC Corp. |
8,900 | 141,653 | ||||||
| JSR Corp. |
7,800 | 142,682 | ||||||
| JTEKT Corp. |
8,300 | 98,049 | ||||||
| JXTG Holdings, Inc. |
5,047,650 | 22,909,160 | ||||||
| Kajima Corp. |
18,100 | 240,643 | ||||||
| Kakaku.com, Inc. |
1,243,900 | 31,760,632 | ||||||
| Kamigumi Co. Ltd. |
4,100 | 90,126 | ||||||
| Kansai Electric Power Co., Inc. |
29,300 | 339,435 | ||||||
| Kansai Paint Co. Ltd. |
7,200 | 175,890 | ||||||
| Kao Corp. |
430,300 | 35,489,036 | ||||||
| Kawasaki Heavy Industries Ltd. |
6,775 | 148,079 | ||||||
| KDDI Corp. |
72,600 | 2,166,121 | ||||||
| Keihan Holdings Co. Ltd. |
3,900 | 189,371 | ||||||
| Keikyu Corp. |
9,000 | 173,511 | ||||||
| Keio Corp. |
4,200 | 254,139 | ||||||
| Keisei Electric Railway Co. Ltd. |
5,200 | 201,497 | ||||||
| Keyence Corp. |
264,808 | 92,984,305 | ||||||
| Kikkoman Corp. |
5,900 | 288,833 | ||||||
| Kintetsu Group Holdings Co. Ltd. |
7,000 | 379,679 | ||||||
| Kirin Holdings Co. Ltd. |
33,400 | 729,008 | ||||||
| Kobayashi Pharmaceutical Co. Ltd. |
1,900 | 160,932 | ||||||
| Koito Manufacturing Co. Ltd. |
4,200 | 194,485 | ||||||
| Komatsu Ltd. |
38,000 | 912,055 | ||||||
| Konami Holdings Corp. |
3,800 | 156,152 | ||||||
| Konica Minolta, Inc. |
19,200 | 125,071 | ||||||
| Kose Corp. |
1,300 | 189,493 | ||||||
| Kubota Corp. |
43,200 | 678,380 | ||||||
| Kuraray Co. Ltd. |
12,600 | 152,685 | ||||||
| Kurita Water Industries Ltd. |
3,700 | 109,797 | ||||||
| Kyocera Corp. |
1,210,500 | 82,502,480 | ||||||
| Kyowa Kirin Co. Ltd. |
9,900 | 233,248 | ||||||
| Kyushu Electric Power Co., Inc. |
15,600 | 135,345 | ||||||
| Kyushu Railway Co. |
6,700 | 224,300 | ||||||
| Lawson, Inc. |
1,900 | 107,849 | ||||||
| LINE Corp.(1) |
2,500 | 122,831 | ||||||
| Lion Corp. |
9,100 | 176,892 | ||||||
| LIXIL Group Corp. |
11,400 | 196,728 | ||||||
| M3, Inc. |
17,900 | 539,785 | ||||||
| Makita Corp. |
9,000 | 310,814 | ||||||
| Marubeni Corp. |
63,100 | 466,206 | ||||||
| Marui Group Co. Ltd. |
8,000 | 195,060 | ||||||
| Maruichi Steel Tube Ltd. |
2,100 | 59,015 | ||||||
| Mazda Motor Corp. |
23,000 | 195,993 | ||||||
| McDonald’s Holdings Co. Japan Ltd. |
2,650 | 127,674 | ||||||
| Mebuki Financial Group, Inc. |
36,540 | 93,161 | ||||||
| Medipal Holdings Corp. |
7,540 | 166,411 | ||||||
| MEIJI Holdings Co. Ltd. |
4,600 | 310,869 | ||||||
| Mercari, Inc.(1) |
2,700 | 55,199 | ||||||
| Minebea Co. Ltd. |
14,700 | 303,645 | ||||||
| MISUMI Group, Inc. |
11,300 | 279,677 | ||||||
| Mitsubishi Chemical Holdings Corp. |
51,650 | 384,854 | ||||||
| Mitsubishi Corp. |
55,300 | 1,464,973 |
| Mitsubishi Electric Corp. |
5,578,900 | 75,960,584 | ||||||
| Mitsubishi Estate Co. Ltd. |
48,000 | 918,474 | ||||||
| Mitsubishi Gas Chemical Co., Inc. |
6,900 | 105,116 | ||||||
| Mitsubishi Heavy Industries Ltd. |
13,340 | 517,283 | ||||||
| Mitsubishi Materials Corp. |
4,500 | 122,129 | ||||||
| Mitsubishi Motors Corp. |
29,000 | 120,880 | ||||||
| Mitsubishi Tanabe Pharma Corp. |
9,490 | 174,095 | ||||||
| Mitsubishi UFJ Financial Group, Inc. |
505,300 | 2,731,822 | ||||||
| Mitsubishi UFJ Lease & Finance Co. Ltd. |
15,800 | 101,716 | ||||||
| Mitsui & Co. Ltd. |
735,800 | 13,079,232 | ||||||
| Mitsui Chemicals, Inc. |
7,600 | 185,131 | ||||||
| Mitsui Fudosan Co. Ltd. |
36,200 | 884,725 | ||||||
| Mitsui OSK Lines Ltd. |
4,600 | 126,502 | ||||||
| Mizuho Financial Group, Inc. |
990,900 | 1,526,402 | ||||||
| Monotaro Co. Ltd. |
5,100 | 135,767 | ||||||
| MS&AD Insurance Group Holdings, Inc. |
1,898,340 | 62,661,731 | ||||||
| Murata Manufacturing Co. Ltd. |
823,400 | 50,679,120 | ||||||
| Nabtesco Corp. |
4,600 | 135,548 | ||||||
| Nagoya Railroad Co. Ltd. |
7,600 | 236,002 | ||||||
| NEC Corp. |
10,000 | 413,845 | ||||||
| Nexon Co. Ltd.(1) |
20,000 | 265,306 | ||||||
| NGK Insulators Ltd. |
11,200 | 194,835 | ||||||
| NGK Spark Plug Co. Ltd. |
6,900 | 133,750 | ||||||
| NH Foods Ltd. |
3,400 | 140,840 | ||||||
| Nidec Corp. |
322,500 | 44,048,278 | ||||||
| Nikon Corp. |
13,200 | 161,431 | ||||||
| Nintendo Co. Ltd. |
4,500 | 1,799,821 | ||||||
| Nippon Building Fund, Inc. |
54 | 395,834 | ||||||
| Nippon Express Co. Ltd. |
3,200 | 187,581 | ||||||
| Nippon Paint Holdings Co. Ltd. |
5,900 | 303,742 | ||||||
| Nippon Prologis Real Estate Investment Trust, Inc. |
81 | 206,300 | ||||||
| Nippon Shinyaku Co. Ltd. |
1,900 | 164,528 | ||||||
| Nippon Steel Corp. |
32,600 | 491,377 | ||||||
| Nippon Telegraph & Telephone Corp. |
2,169,600 | 54,833,800 | ||||||
| Nippon Yusen KK |
6,200 | 111,747 | ||||||
| Nissan Chemical Corp. |
4,800 | 201,014 | ||||||
| Nissan Motor Co. Ltd. |
96,200 | 557,454 | ||||||
| Nisshin Seifun Group, Inc. |
8,700 | 151,793 | ||||||
| Nissin Foods Holdings Co. Ltd. |
2,600 | 193,109 | ||||||
| Nitori Holdings Co. Ltd. |
3,300 | 520,909 | ||||||
| Nitto Denko Corp. |
6,400 | 359,858 | ||||||
| Nomura Holdings, Inc. |
137,000 | 704,973 | ||||||
| Nomura Real Estate Holdings, Inc. |
5,500 | 131,919 | ||||||
| Nomura Real Estate Master Fund, Inc. |
165 | 282,238 | ||||||
| Nomura Research Institute Ltd. |
13,814 | 295,427 | ||||||
| NSK Ltd. |
15,000 | 141,798 | ||||||
| NTT Data Corp. |
25,600 | 342,374 | ||||||
| NTT DOCOMO, Inc. |
54,800 | 1,526,516 | ||||||
| Obayashi Corp. |
26,200 | 290,995 | ||||||
| Obic Co. Ltd. |
2,600 | 350,222 | ||||||
| Odakyu Electric Railway Co. Ltd. |
12,000 | 279,948 | ||||||
| Oji Holdings Corp. |
34,800 | 188,198 | ||||||
| Olympus Corp. |
3,503,800 | 54,003,036 | ||||||
| Omron Corp. |
7,800 | 454,648 | ||||||
| Ono Pharmaceutical Co. Ltd. |
15,200 | 347,021 | ||||||
| Oracle Corp. |
1,600 | 145,214 | ||||||
| Oriental Land Co. Ltd. |
8,100 | 1,105,175 | ||||||
| ORIX Corp. |
54,500 | 903,140 | ||||||
| Orix JREIT, Inc. |
107 | 231,927 | ||||||
| Osaka Gas Co. Ltd. |
15,900 | 304,059 |
| Otsuka Corp. |
4,300 | 171,720 | ||||||
| Otsuka Holdings Co. Ltd. |
15,630 | 696,696 | ||||||
| Pan Pacific International Holdings Corp. |
17,600 | 292,007 | ||||||
| Panasonic Corp. |
9,072,000 | 85,088,002 | ||||||
| Park24 Co. Ltd. |
4,700 | 115,084 | ||||||
| PeptiDream, Inc.(1) |
3,800 | 194,193 | ||||||
| Persol Holdings Co. Ltd. |
7,200 | 134,936 | ||||||
| Pigeon Corp. |
701,200 | 25,675,275 | ||||||
| Pola Orbis Holdings, Inc. |
3,700 | 88,131 | ||||||
| Rakuten, Inc. |
34,900 | 298,157 | ||||||
| Recruit Holdings Co. Ltd. |
55,000 | 2,060,044 | ||||||
| Renesas Electronics Corp.(1) |
29,800 | 203,592 | ||||||
| Resona Holdings, Inc. |
1,967,100 | 8,573,667 | ||||||
| Ricoh Co. Ltd. |
27,400 | 298,153 | ||||||
| Rinnai Corp. |
1,500 | 117,224 | ||||||
| Rohm Co. Ltd. |
153,500 | 12,247,626 | ||||||
| Ryohin Keikaku Co. Ltd. |
9,700 | 226,072 | ||||||
| Sankyo Co. Ltd. |
2,100 | 69,747 | ||||||
| Santen Pharmaceutical Co. Ltd. |
14,600 | 278,030 | ||||||
| SBI Holdings, Inc. |
9,525 | 201,094 | ||||||
| Secom Co. Ltd. |
8,500 | 758,563 | ||||||
| Sega Sammy Holdings, Inc. |
6,400 | 92,670 | ||||||
| Seibu Holdings, Inc. |
8,100 | 133,242 | ||||||
| Seiko Epson Corp. |
11,800 | 178,167 | ||||||
| Sekisui Chemical Co. Ltd. |
14,700 | 255,044 | ||||||
| Sekisui House Ltd. |
25,800 | 550,955 | ||||||
| Seven & i Holdings Co. Ltd. |
30,600 | 1,121,656 | ||||||
| Seven Bank Ltd. |
34,200 | 112,042 | ||||||
| SG Holdings Co. Ltd. |
5,800 | 130,650 | ||||||
| Sharp Corp. |
8,605 | 131,506 | ||||||
| Shimadzu Corp. |
9,000 | 281,459 | ||||||
| Shimamura Co. Ltd. |
1,000 | 76,024 | ||||||
| Shimano, Inc. |
235,300 | 38,172,950 | ||||||
| Shimizu Corp. |
26,600 | 270,969 | ||||||
| Shin-Etsu Chemical Co. Ltd. |
14,795 | 1,627,052 | ||||||
| Shinsei Bank Ltd. |
8,400 | 128,160 | ||||||
| Shionogi & Co. Ltd. |
10,900 | 674,291 | ||||||
| Shiseido Co. Ltd. |
913,800 | 64,888,931 | ||||||
| Shizuoka Bank Ltd. |
19,100 | 142,071 | ||||||
| Showa Denko KK |
5,400 | 142,320 | ||||||
| SMC Corp. |
123,400 | 56,432,724 | ||||||
| Softbank Corp. |
68,000 | 911,858 | ||||||
| SoftBank Group Corp. |
693,800 | 30,122,747 | ||||||
| Sohgo Security Services Co. Ltd. |
2,900 | 156,962 | ||||||
| Sompo Holdings, Inc. |
13,600 | 534,067 | ||||||
| Sony Corp. |
1,298,200 | 88,144,815 | ||||||
| Sony Financial Holdings, Inc. |
6,200 | 148,830 | ||||||
| Square Enix Holdings Co. Ltd. |
3,700 | 184,237 | ||||||
| Stanley Electric Co. Ltd. |
5,300 | 153,071 | ||||||
| Subaru Corp. |
25,480 | 631,135 | ||||||
| Sugi Holdings Co. Ltd. |
284,100 | 14,987,598 | ||||||
| Sumco Corp. |
10,100 | 167,345 | ||||||
| Sumitomo Chemical Co. Ltd. |
60,800 | 276,066 | ||||||
| Sumitomo Corp. |
49,100 | 729,299 | ||||||
| Sumitomo Dainippon Pharma Co. Ltd. |
6,400 | 124,001 | ||||||
| Sumitomo Electric Industries Ltd. |
4,500,000 | 67,581,714 | ||||||
| Sumitomo Heavy Industries Ltd. |
4,500 | 127,822 | ||||||
| Sumitomo Metal Mining Co. Ltd. |
9,400 | 302,680 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
2,539,700 | 93,804,762 | ||||||
| Sumitomo Mitsui Trust Holdings, Inc. |
1,703,700 | 67,348,896 |
| Sumitomo Realty & Development Co. Ltd. |
13,500 | 471,008 | ||||||
| Sumitomo Rubber Industries Ltd. |
7,700 | 93,892 | ||||||
| Sundrug Co. Ltd. |
2,800 | 101,310 | ||||||
| Suntory Beverage & Food Ltd. |
5,610 | 234,210 | ||||||
| Suzuken Co. Ltd. |
2,955 | 120,440 | ||||||
| Suzuki Motor Corp. |
645,400 | 26,940,258 | ||||||
| Sysmex Corp. |
688,500 | 46,876,483 | ||||||
| T&D Holdings, Inc. |
22,500 | 284,528 | ||||||
| Taiheiyo Cement Corp. |
5,300 | 155,571 | ||||||
| Taisei Corp. |
8,200 | 339,653 | ||||||
| Taisho Pharmaceutical Holdings Co. Ltd. |
1,360 | 100,361 | ||||||
| Taiyo Nippon Sanso Corp. |
5,300 | 117,310 | ||||||
| Takeda Pharmaceutical Co. Ltd. |
2,396,979 | 94,805,847 | ||||||
| TDK Corp. |
5,300 | 595,609 | ||||||
| Teijin Ltd. |
7,200 | 134,511 | ||||||
| Terumo Corp. |
26,200 | 929,427 | ||||||
| THK Co. Ltd. |
4,900 | 131,556 | ||||||
| Tobu Railway Co. Ltd. |
7,630 | 276,213 | ||||||
| Toho Co. Ltd |
4,600 | 191,692 | ||||||
| Toho Gas Co. Ltd. |
3,400 | 138,829 | ||||||
| Tohoku Electric Power Co., Inc. |
17,200 | 170,514 | ||||||
| Tokio Marine Holdings, Inc. |
1,491,500 | 83,507,340 | ||||||
| Tokyo Century Corp. |
1,700 | 90,515 | ||||||
| Tokyo Electric Power Co. Holdings, Inc.(1) |
61,600 | 263,682 | ||||||
| Tokyo Electron Ltd. |
6,400 | 1,397,312 | ||||||
| Tokyo Gas Co. Ltd. |
15,900 | 386,353 | ||||||
| Tokyu Corp. |
20,300 | 375,402 | ||||||
| Tokyu Fudosan Holdings Corp. |
24,500 | 169,180 | ||||||
| Toppan Printing Co. Ltd. |
11,800 | 243,767 | ||||||
| Toray Industries, Inc. |
57,300 | 388,238 | ||||||
| Toshiba Corp. |
20,000 | 678,835 | ||||||
| Tosoh Corp. |
11,300 | 174,085 | ||||||
| TOTO Ltd. |
5,700 | 240,695 | ||||||
| Toyo Seikan Group Holdings Ltd. |
6,500 | 111,892 | ||||||
| Toyo Suisan Kaisha Ltd. |
3,450 | 146,507 | ||||||
| Toyoda Gosei Co. Ltd. |
2,700 | 67,417 | ||||||
| Toyota Industries Corp. |
5,900 | 339,486 | ||||||
| Toyota Motor Corp. |
176,594 | 12,443,080 | ||||||
| Toyota Tsusho Corp. |
8,535 | 299,814 | ||||||
| Trend Micro, Inc. |
5,000 | 255,849 | ||||||
| Tsuruha Holdings, Inc. |
1,600 | 205,437 | ||||||
| Unicharm Corp. |
16,400 | 553,782 | ||||||
| United Urban Investment Corp. |
121 | 227,245 | ||||||
| USS Co. Ltd. |
8,900 | 168,239 | ||||||
| Welcia Holdings Co. Ltd. |
2,000 | 127,059 | ||||||
| West Japan Railway Co. |
6,600 | 570,858 | ||||||
| Yahoo Japan Corp. |
107,000 | 451,766 | ||||||
| Yakult Honsha Co. Ltd. |
4,900 | 270,051 | ||||||
| Yamada Denki Co. Ltd. |
26,840 | 142,414 | ||||||
| Yamaha Corp. |
5,700 | 316,028 | ||||||
| Yamaha Motor Co. Ltd. |
11,300 | 226,373 | ||||||
| Yamato Holdings Co. Ltd. |
12,500 | 213,120 | ||||||
| Yamazaki Baking Co. Ltd. |
4,800 | 85,773 | ||||||
| Yaskawa Electric Corp. |
9,700 | 365,409 | ||||||
| Yokogawa Electric Corp. |
9,300 | 163,318 | ||||||
| Yokohama Rubber Co. Ltd. |
4,800 | 93,096 | ||||||
| ZOZO, Inc. |
4,400 | 84,149 | ||||||
|
|
|
|||||||
| Total Japan |
2,238,303,924 | |||||||
|
|
|
|||||||
| Luxembourg – 0.01% |
||||||||
| ArcelorMittal |
26,816 | 472,489 |
| Aroundtown SA |
36,494 | 327,781 | ||||||
| Eurofins Scientific SE |
462 | 256,656 | ||||||
| Millicom International Cellular SA |
4,147 | 199,155 | ||||||
| SES SA – Class A |
14,706 | 206,703 | ||||||
| Tenaris SA |
19,064 | 215,994 | ||||||
|
|
|
|||||||
| Total Luxembourg |
1,678,778 | |||||||
|
|
|
|||||||
| Macau – 0.01% |
||||||||
| Sands China Ltd. |
98,000 | 523,621 | ||||||
| Wynn Macau Ltd. |
81,600 | 201,073 | ||||||
|
|
|
|||||||
| Total Macau |
724,694 | |||||||
|
|
|
|||||||
| Malaysia – 0.18% |
||||||||
| Public Bank Bhd |
4,823,300 | 22,940,274 | ||||||
|
|
|
|||||||
| Total Malaysia |
22,940,274 | |||||||
|
|
|
|||||||
| Mexico – 0.46% |
||||||||
| Wal-Mart de Mexico SAB de CV |
20,265,412 | 58,178,319 | ||||||
|
|
|
|||||||
| Total Mexico |
58,178,319 | |||||||
|
|
|
|||||||
| Netherlands – 4.00% |
||||||||
| ABN AMRO Bank NV(3) |
17,077 | 311,251 | ||||||
| Adyen NV(1)(3) |
391 | 321,635 | ||||||
| Aegon NV |
75,035 | 343,481 | ||||||
| Akzo Nobel NV |
9,240 | 943,625 | ||||||
| Altice Europe NV(1) |
27,308 | 176,833 | ||||||
| ASML Holding NV |
238,973 | 70,749,529 | ||||||
| ASML Holding NV – Class REG |
196,470 | 58,143,332 | ||||||
| EXOR NV |
4,476 | 347,031 | ||||||
| Heineken Holding NV |
4,674 | 454,278 | ||||||
| Heineken NV |
10,516 | 1,122,351 | ||||||
| ING Groep NV |
8,939,582 | 107,475,337 | ||||||
| Koninklijke Ahold Delhaize NV |
368,710 | 9,244,444 | ||||||
| Koninklijke DSM NV |
7,361 | 962,419 | ||||||
| Koninklijke KPN NV |
4,644,855 | 13,745,875 | ||||||
| Koninklijke Philips NV |
36,728 | 1,795,401 | ||||||
| Koninklijke Vopak NV |
3,845 | 208,939 | ||||||
| NN Group NV |
12,354 | 469,734 | ||||||
| NXP Semiconductors NV |
11,309 | 1,439,183 | ||||||
| PostNL NV |
15,476,351 | 35,019,536 | ||||||
| Prosus NV(1) |
321,664 | 24,073,844 | ||||||
| QIAGEN NV – Aquis Listed(1) |
9,208 | 313,747 | ||||||
| Randstad NV |
4,918 | 301,351 | ||||||
| Royal Dutch Shell Plc – Class A |
300,488 | 8,898,720 | ||||||
| Royal Dutch Shell Plc – Class A |
2,610,924 | 76,982,887 | ||||||
| Royal Dutch Shell Plc – Class B |
3,022,476 | 89,718,210 | ||||||
| Wolters Kluwer NV |
11,349 | 828,653 | ||||||
|
|
|
|||||||
| Total Netherlands |
504,391,626 | |||||||
|
|
|
|||||||
| New Zealand – 0.30% |
||||||||
| a2 Milk Co. Ltd.(1) |
29,827 | 302,009 | ||||||
| Auckland International Airport Ltd. |
39,190 | 231,001 | ||||||
| Fisher & Paykel Healthcare Corp. Ltd. |
23,036 | 344,756 | ||||||
| Fletcher Building Ltd. |
34,606 | 118,618 | ||||||
| Mercury NZ Ltd. |
27,980 | 95,179 | ||||||
| Meridian Energy Ltd. |
54,688 | 184,217 | ||||||
| Ryman Healthcare Ltd. |
16,229 | 178,366 | ||||||
| Spark New Zealand Ltd. |
74,128 | 216,158 | ||||||
| Xero Ltd.(1) |
651,326 | 36,592,561 | ||||||
|
|
|
|||||||
| Total New Zealand |
38,262,865 | |||||||
|
|
|
|||||||
| Norway – 0.03% |
||||||||
| Aker BP ASA |
4,383 | 143,852 | ||||||
| DNB ASA |
39,124 | 732,124 | ||||||
| Equinor ASA |
41,221 | 822,041 | ||||||
| Gjensidige Forsikring ASA |
8,100 | 170,026 |
| Mowi ASA |
17,879 | 464,871 | ||||||
| Norsk Hydro ASA |
54,468 | 202,545 | ||||||
| Orkla ASA |
30,472 | 309,011 | ||||||
| Schibsted ASA – Class B |
3,591 | 102,620 | ||||||
| Telenor ASA |
29,167 | 522,838 | ||||||
| Yara International ASA |
7,184 | 299,313 | ||||||
|
|
|
|||||||
| Total Norway |
3,769,241 | |||||||
|
|
|
|||||||
| Portugal – 0.30% |
||||||||
| EDP – Energias de Portugal SA |
103,511 | 449,175 | ||||||
| Galp Energia SGPS SA |
20,337 | 341,419 | ||||||
| Jeronimo Martins SGPS SA |
2,262,520 | 37,284,727 | ||||||
|
|
|
|||||||
| Total Portugal |
38,075,321 | |||||||
|
|
|
|||||||
| Russia – 0.00%(2) |
||||||||
| Evraz Plc |
20,551 | 110,047 | ||||||
|
|
|
|||||||
| Total Russia |
110,047 | |||||||
|
|
|
|||||||
| Singapore – 2.83% |
||||||||
| Ascendas Real Estate Investment Trust |
116,752 | 257,947 | ||||||
| CapitaLand Commercial Trust |
109,151 | 161,653 | ||||||
| CapitaLand Ltd. |
100,100 | 279,331 | ||||||
| CapitaLand Mall Trust |
104,600 | 191,477 | ||||||
| City Developments Ltd. |
17,900 | 145,685 | ||||||
| ComfortDelGro Corp. Ltd. |
91,100 | 161,193 | ||||||
| DBS Group Holdings Ltd. |
4,161,900 | 80,246,600 | ||||||
| Genting Singapore Ltd. |
226,200 | 154,899 | ||||||
| Jardine Cycle & Carriage Ltd. |
4,000 | 89,451 | ||||||
| Keppel Corp. Ltd. |
66,000 | 332,546 | ||||||
| Mapletree Commercial Trust |
82,200 | 146,172 | ||||||
| Oversea-Chinese Banking Corp. Ltd. |
133,100 | 1,088,833 | ||||||
| SATS Ltd. |
25,800 | 97,114 | ||||||
| Sembcorp Industries Ltd. |
66,600 | 113,420 | ||||||
| Singapore Airlines Ltd. |
21,900 | 147,240 | ||||||
| Singapore Exchange Ltd. |
27,800 | 183,095 | ||||||
| Singapore Press Holdings Ltd. |
38,400 | 62,204 | ||||||
| Singapore Technologies Engineering Ltd. |
63,300 | 185,383 | ||||||
| Singapore Telecommunications Ltd. |
45,129,300 | 113,144,502 | ||||||
| Suntec Real Estate Investment Trust |
90,700 | 124,163 | ||||||
| United Overseas Bank Ltd. |
6,727,806 | 132,313,286 | ||||||
| UOL Group Ltd. |
20,900 | 129,350 | ||||||
| Venture Corp. Ltd. |
11,200 | 135,114 | ||||||
| Wilmar International Ltd. |
8,727,900 | 26,739,665 | ||||||
|
|
|
|||||||
| Total Singapore |
356,630,323 | |||||||
|
|
|
|||||||
| South Africa – 0.41% |
||||||||
| Naspers Ltd. – Class N |
319,234 | 52,241,691 | ||||||
|
|
|
|||||||
| Total South Africa |
52,241,691 | |||||||
|
|
|
|||||||
| South Korea – 0.99% |
||||||||
| NAVER Corp.(1) |
130,339 | 20,970,885 | ||||||
| POSCO |
87,099 | 17,704,072 | ||||||
| Samsung SDI Co. Ltd. |
365,934 | 74,545,650 | ||||||
| Shinhan Financial Group Ltd. |
319,280 | 11,970,699 | ||||||
|
|
|
|||||||
| Total South Korea |
125,191,306 | |||||||
|
|
|
|||||||
| Spain – 2.77% |
||||||||
| ACS Actividades Co. |
10,962 | 439,731 | ||||||
| Aena SA(3) |
2,739 | 525,115 | ||||||
| Amadeus IT Group SA |
604,212 | 49,483,011 | ||||||
| Banco Bilbao Vizcaya Argentaria SA |
12,619,118 | 70,847,871 | ||||||
| Banco de Sabadell SA |
243,320 | 284,906 | ||||||
| Banco Santander SA |
18,101,172 | 75,893,663 | ||||||
| Bankia SA |
4,956,587 | 10,612,798 | ||||||
| Bankinter SA |
27,242 | 200,098 | ||||||
| CaixaBank SA |
149,659 | 471,285 |
| Cellnex Telecom SA(3) |
9,920 | 427,906 | ||||||
| Enagas SA |
5,959 | 152,206 | ||||||
| Endesa SA |
13,954 | 372,638 | ||||||
| Ferrovial SA |
19,942 | 604,186 | ||||||
| Grifols SA |
12,102 | 427,582 | ||||||
| Iberdrola SA |
248,274 | 2,558,605 | ||||||
| Industria de Diseno Textil SA |
1,766,863 | 62,441,831 | ||||||
| Mapfre SA |
48,084 | 127,497 | ||||||
| Naturgy Energy Group SA |
13,456 | 338,836 | ||||||
| Red Electrica Corp. SA |
17,306 | 348,712 | ||||||
| Repsol SA |
59,139 | 929,083 | ||||||
| Siemens Gamesa Renewable Energy SA |
9,672 | 170,330 | ||||||
| Telefonica SA |
10,232,809 | 71,559,109 | ||||||
|
|
|
|||||||
| Total Spain |
349,216,999 | |||||||
|
|
|
|||||||
| Sweden – 2.92% |
||||||||
| Alfa Laval AB |
12,414 | 312,637 | ||||||
| Assa Abloy AB – Class B |
40,665 | 950,563 | ||||||
| Atlas Copco AB – Class A |
2,782,824 | 111,078,284 | ||||||
| Atlas Copco AB – Class B |
15,832 | 549,704 | ||||||
| Boliden AB |
11,042 | 293,261 | ||||||
| Electrolux AB |
8,828 | 217,022 | ||||||
| Epiroc AB – Class A |
2,865,767 | 35,046,205 | ||||||
| Epiroc AB – Class B |
15,534 | 184,617 | ||||||
| Essity AB – Class B |
24,606 | 792,467 | ||||||
| Hennes & Mauritz AB – Class B |
32,489 | 662,696 | ||||||
| Hexagon AB – Class B |
10,653 | 597,115 | ||||||
| Husqvarna AB – Class B |
15,155 | 121,448 | ||||||
| ICA Gruppen AB |
3,672 | 171,526 | ||||||
| Industrivarden AB – Class C |
6,736 | 162,442 | ||||||
| Investor AB – Class B |
885,404 | 48,337,586 | ||||||
| Kinnevik AB – Class B |
9,766 | 239,316 | ||||||
| L E Lundbergforetagen AB – Class B |
4,296 | 188,588 | ||||||
| Lundin Petroleum AB |
7,325 | 248,716 | ||||||
| Nibe Industrier AB – Class B |
2,121,615 | 36,808,730 | ||||||
| Sandvik AB |
45,803 | 892,122 | ||||||
| Securitas AB – Class B |
12,595 | 217,002 | ||||||
| Skandinaviska Enskilda Banken AB – Class A |
67,343 | 633,014 | ||||||
| Skanska AB – Class B |
14,647 | 331,339 | ||||||
| SKF AB – Class B |
15,355 | 310,882 | ||||||
| Spotify Technology SA(1) |
233,393 | 34,903,923 | ||||||
| Svenska Handelsbanken AB – Class A |
63,432 | 683,179 | ||||||
| Swedbank AB |
37,614 | 559,169 | ||||||
| Swedish Match AB |
6,723 | 346,347 | ||||||
| Tele2 AB – Class B |
20,261 | 294,069 | ||||||
| Telefonaktiebolaget LM Ericsson – Class B |
2,056,932 | 17,973,093 | ||||||
| Telia Co. AB |
17,104,487 | 73,489,867 | ||||||
| Volvo AB – Class B |
60,183 | 1,007,535 | ||||||
|
|
|
|||||||
| Total Sweden |
368,604,464 | |||||||
|
|
|
|||||||
| Switzerland – 7.71% |
||||||||
| ABB Ltd. |
3,632,242 | 87,621,101 | ||||||
| Adecco Group AG |
1,106,176 | 69,934,929 | ||||||
| Alcon, Inc.(1) |
888,613 | 50,332,475 | ||||||
| Baloise Holding AG |
1,970 | 356,541 | ||||||
| Barry Callebaut AG |
116 | 256,069 | ||||||
| Chocoladefabriken Lindt & Spruengli AG |
44 | 341,662 | ||||||
| Chocoladefabriken Lindt & Spruengli AG – REG |
4 | 353,379 | ||||||
| Chubb Ltd. |
383,223 | 59,652,492 | ||||||
| Cie Financiere Richemont SA |
643,934 | 50,324,039 | ||||||
| Clariant AG(1) |
8,040 | 179,681 | ||||||
| Coca-Cola HBC AG |
8,102 | 275,387 |
| Credit Suisse Group AG(1) |
960,858 | 12,988,568 | ||||||
| Dufry AG(1) |
1,633 | 161,930 | ||||||
| EMS-Chemie Holding AG |
332 | 218,268 | ||||||
| Geberit AG |
76,188 | 42,762,908 | ||||||
| Givaudan SA |
375 | 1,174,873 | ||||||
| Glencore Plc(1) |
445,399 | 1,386,848 | ||||||
| Julius Baer Group Ltd.(1) |
9,080 | 468,101 | ||||||
| Kuehne & Nagel International AG |
2,523 | 425,546 | ||||||
| LafargeHolcim Ltd.(1) |
20,207 | 1,121,033 | ||||||
| Lonza Group AG(1) |
3,021 | 1,102,083 | ||||||
| Nestle SA |
723,244 | 78,302,208 | ||||||
| Novartis AG |
1,920,760 | 181,876,012 | ||||||
| Pargesa Holding SA |
1,654 | 137,416 | ||||||
| Partners Group Holding AG |
758 | 694,728 | ||||||
| Roche Holding AG |
462,853 | 150,428,528 | ||||||
| Schindler Holding AG |
816 | 199,832 | ||||||
| Schindler Holding AG Participation Certificate |
200,822 | 51,069,280 | ||||||
| SGS SA |
209 | 572,383 | ||||||
| Sika AG |
285,802 | 53,672,337 | ||||||
| Sonova Holding AG |
2,253 | 515,055 | ||||||
| STMicroelectronics NV |
27,707 | 747,552 | ||||||
| Straumann Holding AG |
419 | 411,011 | ||||||
| Swatch Group AG – BR |
1,168 | 326,112 | ||||||
| Swatch Group AG – REG |
2,356 | 124,632 | ||||||
| Swiss Life Holding AG |
1,387 | 695,817 | ||||||
| Swiss Prime Site AG(1) |
3,134 | 362,586 | ||||||
| Swiss Re AG |
12,104 | 1,359,794 | ||||||
| Swisscom AG |
1,046 | 553,727 | ||||||
| Temenos AG(1) |
2,651 | 419,360 | ||||||
| u-blox Holding AG(1) |
77,824 | 7,864,422 | ||||||
| UBS Group AG(1) |
2,079,561 | 26,242,788 | ||||||
| Vifor Pharma AG |
1,776 | 324,130 | ||||||
| Zurich Insurance Group AG |
85,407 | 35,033,916 | ||||||
|
|
|
|||||||
| Total Switzerland |
973,371,539 | |||||||
|
|
|
|||||||
| Taiwan – 2.33% |
||||||||
| Catcher Technology Co. Ltd. |
2,137,000 | 16,186,514 | ||||||
| Hon Hai Precision Industry Co. Ltd. |
6,340,400 | 19,233,699 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. |
7,403,860 | 81,944,662 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. – ADR |
3,051,667 | 177,301,853 | ||||||
|
|
|
|||||||
| Total Taiwan |
294,666,728 | |||||||
|
|
|
|||||||
| Thailand – 0.14% |
||||||||
| Thai Beverage PCL |
26,780,100 | 17,732,172 | ||||||
|
|
|
|||||||
| Total Thailand |
17,732,172 | |||||||
|
|
|
|||||||
| United Arab Emirates – 0.00%(2) |
||||||||
| NMC Health Plc |
3,812 | 89,313 | ||||||
|
|
|
|||||||
| Total United Arab Emirates |
89,313 | |||||||
|
|
|
|||||||
| United Kingdom – 15.43% |
||||||||
| 3i Group Plc |
40,319 | 586,711 | ||||||
| Admiral Group Plc |
7,615 | 232,702 | ||||||
| Anglo American Plc |
42,597 | 1,223,724 | ||||||
| Ashtead Group Plc |
18,713 | 598,343 | ||||||
| ASOS Plc(1) |
396,988 | 17,790,120 | ||||||
| Associated British Foods Plc |
14,454 | 497,231 | ||||||
| AstraZeneca Plc |
1,058,632 | 105,960,539 | ||||||
| Auto Trader Group Plc(3) |
7,006,191 | 55,328,949 | ||||||
| AVEVA Group Plc |
2,621 | 161,696 | ||||||
| Aviva Plc |
2,999,106 | 16,646,686 | ||||||
| BAE Systems Plc |
131,607 | 985,384 | ||||||
| Barclays Plc |
7,405,458 | 17,658,137 | ||||||
| Barratt Developments Plc |
41,101 | 406,959 |
| Berkeley Group Holdings Plc |
4,844 | 311,825 | ||||||
| BP Plc |
26,086,324 | 164,104,040 | ||||||
| British American Tobacco Plc |
379,708 | 16,138,384 | ||||||
| British Land Co. Plc |
36,763 | 311,072 | ||||||
| BT Group Plc – Class A |
345,047 | 879,246 | ||||||
| Bunzl Plc |
13,663 | 373,693 | ||||||
| Burberry Group Plc |
1,197,484 | 34,961,285 | ||||||
| Centrica Plc |
234,889 | 277,843 | ||||||
| CNH Industrial NV |
42,299 | 464,439 | ||||||
| Coca-Cola European Partners Plc |
9,153 | 465,705 | ||||||
| Compass Group Plc |
2,374,897 | 59,519,139 | ||||||
| Croda International Plc |
5,214 | 354,180 | ||||||
| Diageo Plc |
95,971 | 4,043,901 | ||||||
| Direct Line Insurance Group Plc |
56,842 | 235,187 | ||||||
| easyJet Plc |
6,414 | 120,820 | ||||||
| Ferguson Plc |
9,294 | 845,818 | ||||||
| Fiat Chrysler Automobiles NV |
44,825 | 664,599 | ||||||
| G4S Plc |
76,539 | 221,340 | ||||||
| GlaxoSmithKline Plc |
3,447,056 | 80,995,632 | ||||||
| Halma Plc |
15,403 | 431,325 | ||||||
| Hargreaves Lansdown Plc |
2,828,942 | 72,565,818 | ||||||
| HomeServe Plc |
1,869,958 | 31,308,601 | ||||||
| HSBC Holdings Plc |
10,269,875 | 80,397,142 | ||||||
| Imperial Brands Plc |
39,163 | 968,904 | ||||||
| Informa Plc |
51,929 | 590,621 | ||||||
| InterContinental Hotels Group Plc |
7,016 | 482,103 | ||||||
| Intertek Group Plc |
536,531 | 41,574,807 | ||||||
| ITV Plc |
146,257 | 292,628 | ||||||
| J Sainsbury Plc |
9,579,257 | 29,209,565 | ||||||
| JD Sports Fashion Plc |
17,769 | 197,371 | ||||||
| John Wood Group Plc |
8,042,015 | 42,652,506 | ||||||
| Johnson Matthey Plc |
844,684 | 33,585,812 | ||||||
| Jupiter Fund Management Plc |
4,151,459 | 22,545,635 | ||||||
| Kingfisher Plc |
20,521,752 | 59,076,568 | ||||||
| Land Securities Group Plc |
28,437 | 373,279 | ||||||
| Legal & General Group Plc |
245,012 | 984,227 | ||||||
| Lloyds Banking Group Plc |
112,196,037 | 92,945,670 | ||||||
| London Stock Exchange Group Plc |
12,771 | 1,312,502 | ||||||
| M&G Plc(1) |
103,337 | 324,680 | ||||||
| Marks & Spencer Group Plc |
78,725 | 223,222 | ||||||
| Meggitt Plc |
33,193 | 289,110 | ||||||
| Melrose Industries Plc |
197,107 | 627,831 | ||||||
| Micro Focus International Plc |
13,808 | 193,804 | ||||||
| Mondi Plc |
19,636 | 460,449 | ||||||
| National Grid Plc |
1,317,894 | 16,469,946 | ||||||
| Next Plc |
5,405 | 503,653 | ||||||
| Ocado Group Plc(1) |
18,644 | 316,333 | ||||||
| Pearson Plc |
33,466 | 282,724 | ||||||
| Persimmon Plc |
13,297 | 474,957 | ||||||
| Prudential Plc |
106,795 | 2,046,260 | ||||||
| Reckitt Benckiser Group Plc |
28,778 | 2,337,593 | ||||||
| RELX Plc |
78,870 | 1,990,943 | ||||||
| Rentokil Initial Plc |
75,030 | 449,698 | ||||||
| Rightmove Plc |
8,360,579 | 70,154,884 | ||||||
| Rio Tinto Ltd. |
15,249 | 1,078,867 | ||||||
| Rio Tinto Plc |
46,418 | 2,747,712 | ||||||
| Rolls-Royce Holdings Plc(1) |
70,108 | 633,637 | ||||||
| Royal Bank of Scotland Group Plc |
6,802,136 | 21,820,871 | ||||||
| RSA Insurance Group Plc |
41,778 | 313,114 | ||||||
| Sage Group Plc |
44,163 | 438,127 |
| Schroders Plc |
5,013 | 221,355 | ||||||
| Segro Plc |
44,358 | 528,192 | ||||||
| Severn Trent Plc |
9,603 | 319,911 | ||||||
| Smith & Nephew Plc |
1,907,714 | 45,977,314 | ||||||
| Smiths Group Plc |
15,231 | 340,187 | ||||||
| Spirax-Sarco Engineering Plc |
2,901 | 341,487 | ||||||
| SSE Plc |
5,335,789 | 101,765,466 | ||||||
| St James’s Place Plc |
21,167 | 326,284 | ||||||
| Standard Chartered Plc |
2,228,748 | 21,001,696 | ||||||
| Standard Life Aberdeen Plc |
100,405 | 436,825 | ||||||
| Taylor Wimpey Plc |
132,408 | 339,504 | ||||||
| TechnipFMC Plc |
1,295,845 | 27,782,917 | ||||||
| Tesco Plc |
64,283,475 | 217,254,663 | ||||||
| Trainline Plc(1)(3) |
7,166,210 | 48,535,432 | ||||||
| Travis Perkins Plc |
1,520,785 | 32,303,103 | ||||||
| Unilever NV |
59,538 | 3,416,929 | ||||||
| Unilever Plc |
45,028 | 2,577,523 | ||||||
| United Utilities Group Plc |
28,768 | 360,000 | ||||||
| Vodafone Group Plc |
62,207,240 | 120,767,567 | ||||||
| Weir Group Plc |
1,040,154 | 20,803,065 | ||||||
| Whitbread Plc |
5,636 | 361,711 | ||||||
| Willis Towers Watson Plc |
38,794 | 7,834,060 | ||||||
| Wm Morrison Supermarkets Plc |
96,893 | 256,432 | ||||||
| WPP Plc |
5,278,761 | 74,284,125 | ||||||
|
|
|
|||||||
| Total United Kingdom |
1,947,174,576 | |||||||
|
|
|
|||||||
| United States – 1.44% |
||||||||
| Carnival Plc |
6,462 | 309,747 | ||||||
| Mettler-Toledo International, Inc.(1) |
125,884 | 99,861,259 | ||||||
| Mylan NV(1) |
736,142 | 14,796,454 | ||||||
| ResMed, Inc. |
428,924 | 66,470,352 | ||||||
|
|
|
|||||||
| Total United States |
181,437,812 | |||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $10,882,667,918) |
12,224,724,889 | |||||||
|
|
|
|||||||
| PREFERRED STOCKS – 0.23% |
||||||||
| Germany – 0.23% |
||||||||
| Bayerische Motoren Werke AG |
2,242 | 138,022 | ||||||
| Fuchs Petrolub SE |
3,795 | 188,549 | ||||||
| Henkel AG & Co. KGaA |
7,211 | 744,900 | ||||||
| Porsche Automobil Holding SE |
6,182 | 458,694 | ||||||
| Sartorius AG |
1,443 | 308,459 | ||||||
| Volkswagen AG |
137,144 | 26,995,198 | ||||||
|
|
|
|||||||
| Total Germany |
28,833,822 | |||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost: $22,164,316) |
28,833,822 | |||||||
|
|
|
|||||||
| RIGHTS – 0.00%(2) |
||||||||
| United Kingdom – 0.00%(2) |
||||||||
| Rolls-Royce Holdings Plc, expires 12/31/2049(1) |
2,910,926 | 3,856 | ||||||
|
|
|
|||||||
| Total United Kingdom |
3,856 | |||||||
|
|
|
|||||||
| Spain – 0.00%(2) |
||||||||
| Repsol SA, expires 01/10/2020(1) |
58,090 | 27,562 | ||||||
|
|
|
|||||||
| Total Spain |
27,562 | |||||||
|
|
|
|||||||
| Total Rights (Cost: $31,788) |
31,418 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENTS – 2.67% |
||||||||
| Money Market Funds – 2.64% |
||||||||
| Goldman Sachs Financial Square Government Fund – Class I, 1.50%(4) |
332,819,135 | 332,819,135 | ||||||
|
|
|
|||||||
| Total Money Market Funds (Cost: $332,819,135) |
332,819,135 | |||||||
|
|
|
| Principal Amount |
Value | |||||||
| Time Deposits – 0.03% |
|
|||||||
| BBVA, Madrid, 1.81% due 01/02/2020 |
$ | 1,457,744 | 1,457,744 | |||||
| Brown Brothers Harriman, -7.75% due 01/02/2020 |
SEK | 402,922 | 43,018 | |||||
| Brown Brothers Harriman, -1.70% due 01/03/2020 |
CHF | 132,243 | 136,643 | |||||
| Brown Brothers Harriman, -0.90% due 01/02/2020 |
DKK | 120,315 | 18,060 | |||||
| Brown Brothers Harriman, -0.68% due 01/02/2020 |
EUR | 155 | 174 | |||||
| Brown Brothers Harriman, 0.32% due 01/02/2020 |
AUD | 429,519 | 301,415 | |||||
| Brown Brothers Harriman, 0.36% due 01/02/2020 |
GBP | 448 | 593 | |||||
| Brown Brothers Harriman, 0.50% due 01/03/2020 |
NZD | 14,487 | 9,753 | |||||
| Brown Brothers Harriman, 0.63% due 01/02/2020 |
SGD | 12,655 | 9,410 | |||||
| Brown Brothers Harriman, 0.66% due 01/02/2020 |
NOK | 173,014 | 19,707 | |||||
| Brown Brothers Harriman, 1.81% due 01/02/2020 |
$ | 51,006 | 51,006 | |||||
| Brown Brothers Harriman, 1.91% due 01/02/2020 |
HKD | 7,160 | 919 | |||||
| Citibank, London, -0.68% due 01/02/2020 |
EUR | 525,272 | 589,198 | |||||
| Citibank, London, 0.36% due 01/02/2020 |
GBP | 203,023 | 268,924 | |||||
| Hong Kong & Shanghai Bank, Hong Kong, 1.91% due 01/02/2020 |
HKD | 573,653 | 73,618 | |||||
| Sumitomo, Tokyo, -0.24% due 01/06/2020 |
JPY | 71,576,165 | 658,747 | |||||
| Sumitomo, Tokyo, 1.81% due 01/02/2020 |
$ | 142,080 | 142,080 | |||||
|
|
|
|||||||
| Total Time Deposits (Cost: $3,781,009) |
|
3,781,009 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $336,600,144) |
336,600,144 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS IN SECURITIES – 99.75% |
||||||||
| (Cost: $11,241,464,166) |
|
12,590,190,273 | ||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.25% |
|
32,069,047 | ||||||
|
|
|
|||||||
| TOTAL NET ASSETS – 100.00% |
|
$ | 12,622,259,320 | |||||
|
|
|
|||||||
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
GDR Global Depositary Receipt
REIT Real Estate Investment Trust
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $248,310,055, which represents 1.97% of total net assets. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| % of Net Assets | ||||
| COMMON STOCKS |
||||
| Financials |
16.51 | % | ||
| Industrials |
13.99 | % | ||
| Consumer Discretionary |
13.45 | % | ||
| Healthcare |
13.21 | % | ||
| Information Technology |
11.47 | % | ||
| Communication Services |
9.36 | % | ||
| Consumer Staples |
7.85 | % | ||
| Energy |
5.61 | % | ||
| Utilities |
2.56 | % | ||
| Materials |
2.29 | % | ||
| Real Estate |
0.55 | % | ||
|
|
|
|||
| Total Common Stocks |
96.85 | % | ||
|
|
|
|||
| PREFERRED STOCKS |
||||
| Consumer Discretionary |
0.22 | % | ||
| Consumer Staples |
0.01 | % | ||
| Healthcare |
0.00 | %(1) | ||
| Materials |
0.00 | %(1) | ||
|
|
|
|||
| Total Preferred Stocks |
0.23 | |||
|
|
|
|||
| RIGHTS |
||||
| Energy |
0.00 | %(1) | ||
| Industrials |
0.00 | %(1) | ||
|
|
|
|||
| Total Rights |
0.00 | %(1) | ||
|
|
|
|||
| SHORT-TERM INVESTMENTS |
2.67 | % | ||
|
|
|
|||
| TOTAL INVESTMENTS |
99.75 | % | ||
| OTHER ASSETS IN EXCESS OF LIABILITIES |
0.25 | % | ||
|
|
|
|||
| TOTAL NET ASSETS |
100.00 | % | ||
|
|
|
|||
| (1) | Amount calculated is less than 0.005%. |
The accompanying notes are an integral part of this Schedule of Investments
Over-the-Counter Forward Foreign Currency Exchange Contracts
| Currency Purchased |
Currency Sold | Settlement Date |
Counterparty |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||
| JPY |
134,769,996 | USD | 1,234,926 | 1/7/2020 | Brown Brothers Harriman & Co. | $ | 5,716 | |||||||||||
|
|
|
|||||||||||||||||
| Total Unrealized Appreciation | 5,716 | |||||||||||||||||
|
|
|
|||||||||||||||||
| Net Unrealized Appreciation | $ | 5,716 | ||||||||||||||||
|
|
|
|||||||||||||||||
JPY Japanese Yen
USD United States Dollar
Bridge Builder International Equity Fund
Schedule of Investments
December 31, 2019 (Unaudited)
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has approved a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| • | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| • | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| • | Level 3 – Significant unobservable inputs (including the Fund’s own assumptions). |
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent the Fund’s valuation inputs as presented in the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Communication Services |
$ | 60,177,091 | $ | 1,120,689,908 | $ | — | $ | 1,180,866,999 | ||||||||
| Consumer Discretionary |
214,880,762 | 1,482,840,688 | — | 1,697,721,450 | ||||||||||||
| Consumer Staples |
61,348,272 | 929,670,129 | — | 991,018,401 | ||||||||||||
| Energy |
28,380,141 | 679,810,878 | — | 708,191,019 | ||||||||||||
| Financials |
158,260,897 | 1,925,315,249 | — | 2,083,576,146 | ||||||||||||
| Healthcare |
215,116,243 | 1,452,648,817 | — | 1,667,765,060 | ||||||||||||
| Industrials |
155,626,329 | 1,610,432,268 | — | 1,766,058,597 | ||||||||||||
| Information Technology |
489,257,358 | 958,450,354 | — | 1,447,707,712 | ||||||||||||
| Materials |
— | 288,432,936 | — | 288,432,936 | ||||||||||||
| Real Estate |
1,546,890 | 68,213,692 | — | 69,760,582 | ||||||||||||
| Utilities |
1,493,055 | 322,132,932 | — | 323,625,987 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| Consumer Discretionary |
— | 27,591,914 | — | 27,591,914 | ||||||||||||
| Consumer Staples |
— | 744,900 | — | 744,900 | ||||||||||||
| Healthcare |
— | 308,459 | — | 308,459 | ||||||||||||
| Materials |
— | 188,549 | — | 188,549 | ||||||||||||
| Rights |
||||||||||||||||
| Energy |
27,562 | — | — | 27,562 | ||||||||||||
| Industrials |
— | 3,856 | — | 3,856 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Money Market Funds |
332,819,135 | — | — | 332,819,135 | ||||||||||||
| Time Deposits |
— | 3,781,009 | — | 3,781,009 | ||||||||||||
| Forward Foreign Currency Exchange Contracts (1) |
— | 5,716 | — | 5,716 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
$ | 1,718,933,735 | $ | 10,871,262,254 | $ | — | $ | 12,590,195,989 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (1) | Derivative instruments, including futures, total return swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps and interest rate swaps are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally cleared derivatives. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not applicable to open-end investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
ITEM 11. CONTROLS AND PROCEDURES.
| (a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 13. EXHIBITS.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Bridge Builder Trust | ||
| By: | /s/ Julius A. Drelick III | |
| Julius A. Drelick III | ||
| Title: | Principal Executive Officer | |
| Date: | February 26, 2020 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Julius A. Drelick III | |
| Julius A. Drelick III | ||
| Title: | Principal Executive Officer | |
| Date: | February 26, 2020 | |
| By: | /s/ Aaron Masek | |
| Aaron Masek | ||
| Title: | Principal Financial Officer | |
| Date: | February 26, 2020 | |